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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 LLP 800 Boylston Street Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: December 31
Date of reporting period: June 30, 2017
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Item 1. Reports to Shareholders.
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Semi-Annual Report
30 June 2017
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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
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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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets | ||||
Investment in State Street Disciplined Global Equity Portfolio | $ | 4,631,159 | ||
Receivable from Adviser (Note 3) | 13,314 | |||
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Total assets | 4,644,473 | |||
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Liabilities | ||||
Advisory fee payable (Note 3) | 2,797 | |||
Custodian fees payable (Note 3) | 6,863 | |||
Administration fees payable (Note 3) | 186 | |||
Trustees’ fees and expenses payable (Note 4) | 48,100 | |||
Transfer agent fees payable (Note 3) | 6,288 | |||
Registration and filing fees payable | 42 | |||
Professional fees payable | 22,956 | |||
Printing and postage fees payable | 2,623 | |||
Accrued expenses and other liabilities | 32 | |||
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Total liabilities | 89,887 | |||
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Net Assets | $ | 4,554,586 | ||
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Net Assets Consist of: | ||||
Paid-in capital | $ | 3,915,700 | ||
Undistributed (distribution in excess of) net investment income (loss) | (14,635 | ) | ||
Accumulated net realized gain (loss) on investments | 14,144 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 639,377 | |||
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Net Assets | $ | 4,554,586 | ||
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Net Asset Value Per Share | ||||
Class I | ||||
Net assets | $ | 4,554,586 | ||
Shares outstanding | 380,481 | |||
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Net asset value, offering and redemption price per share | $ | 11.97 | ||
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Cost of Investments: | ||||
Investment in State Street Disciplined Global Equity Portfolio | $ | 3,991,782 | ||
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Shares of the State Street Disciplined Global Equity Portfolio | 380,481 | |||
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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 Six Months Ended June 30, 2017 (Unaudited)
Investment Income | ||||
Dividend income from State Street Disciplined Global Equity Portfolio (Note 2) | $ | – | ||
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Expenses | ||||
Advisory fee (Note 3) | 14,449 | |||
Administration fees (Note 3) | 963 | |||
Custodian fees (Note 3) | 6,900 | |||
Trustees’ fees and expenses (Note 4) | 64,432 | |||
Transfer agent fees (Note 3) | 2,698 | |||
Registration and filing fees | 18,243 | |||
Professional fees | 21,879 | |||
Printing and postage fees | 17,123 | |||
Insurance expense | 11 | |||
Miscellaneous expenses | 1,854 | |||
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Total expenses | 148,552 | |||
Expenses waived/reimbursed by the Adviser (Note 3) | (133,902 | ) | ||
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Net expenses | 14,650 | |||
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Net Investment Income (Loss) | (14,650 | ) | ||
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Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 7,191 | |||
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Net realized gain (loss) | 7,191 | |||
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Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 452,347 | |||
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Net change in unrealized appreciation/depreciation | 452,347 | |||
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Net realized and unrealized gain (loss) | 459,538 | |||
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Net Increase (Decrease) in Net Assets from Operations | $ | 444,888 | ||
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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
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | For the Period 2/18/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (14,650 | ) | $ | 63,303 | |||
Net realized gain (loss) | 7,191 | 44,165 | ||||||
Net change in unrealized appreciation/depreciation | 452,347 | 187,030 | ||||||
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Net increase (decrease) in net assets resulting from operations | 444,888 | 294,498 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | – | (94,050 | ) | |||||
Net realized gains | – | (6,450 | ) | |||||
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Total distributions to shareholders | – | (100,500 | ) | |||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Class I | ||||||||
Shares sold | 915,700 | 3,000,000 | ||||||
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Net Increase (Decrease) in Net Assets from Capital Share Transactions | 915,700 | 3,000,000 | ||||||
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Net Increase (Decrease) in Net Assets During the Period | 1,360,588 | 3,193,998 | ||||||
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Net Assets at Beginning of Period | 3,193,998 | – | ||||||
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Net Assets at End of Period | $ | 4,554,586 | $ | 3,193,998 | ||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | (14,635 | ) | $ | 15 | |||
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Shares of Beneficial Interest: | ||||||||
Class I | ||||||||
Shares sold | 80,481 | 300,000 | ||||||
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Net increase (decrease) | 80,481 | 300,000 | ||||||
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* | Inception date. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Selected data for a share outstanding throughout each period
Class I | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 2/19/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.65 | $ | 10.00 | ||||
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Income (Loss) from Investment Operations | ||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.21 | |||||
Net realized and unrealized gain (loss) | 1.36 | 0.77 | ||||||
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Total from investment operations | 1.32 | 0.98 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | – | (0.31 | ) | |||||
Net realized gains | – | (0.02 | ) | |||||
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Total distributions to shareholders | – | (0.33 | ) | |||||
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Net asset value, end of period | $ | 11.97 | $ | 10.65 | ||||
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Total return(b) | 12.39 | % | 9.85 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 4,555 | $ | 3,194 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 7.71 | %(c) | 5.37 | %(c) | ||||
Net expenses | 0.76 | %(c) | 0.75 | %(c) | ||||
Net investment income (loss) | (0.76 | )%(c) | 2.26 | %(c) | ||||
Portfolio turnover rate(e) | 1 | %(d) | 38 | %(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 each distribution. Total return for periods of less than one year is not annualized. |
(c) | Annualized. |
(d) | Not annualized. |
(e) | 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 only to the following series (the “Fund”):
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Disciplined Global Equity Fund | Class A Class I Class K | Not commenced February 19, 2016 Not commenced | Diversified |
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 are sold without a sales charge and only to certain eligible investors.
The Fund is part of a master-feeder structure and invests substantially all of its assets in State Street Disciplined Global Equity Portfolio (the “Portfolio”), a separate series of SSGA Active Trust. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio, (100.00% at June 30, 2017). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Security Valuation
The Fund records its investment in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day the 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. The summary of the inputs used for the Portfolio, as of June 30, 2017, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
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. 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 foreign taxes withheld at source, if any.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The Adviser is contractually obligated until April 30, 2018, to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.75% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $133,902.
Administrator, Custodian 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 attributable to each class of shares of the Fund. 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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. In addition to payments under the Plan, the Fund may reimburse SSGA FD 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 wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. 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 June 30, 2017, based on management’s evaluation of the shareholder
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
account base, the Fund had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Disciplined Global Equity Fund | 1 | 78.84% |
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 for as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. 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 December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2017, 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 | $ | 3,991,782 | $ | 639,377 | $ | – | $ | 639,377 |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
6. | 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.
7. | New Accounting Pronouncements |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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(b) | 0.76 | % | $ | 1,123.90 | $ | 4.00 | $ | 1,021.00 | $ | 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 181, then divided by 365. |
(b) | Because the Fund invests all of its assets in its Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (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 Fund’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (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)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Disciplined Global Equity Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the period since the Fund’s inception through December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past calendar year, since the Fund’s inception; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the period since the Fund’s inception through December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on February 19, 2016. The Board took
15
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory while noting the Fund’s limited performance history.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can
16
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
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 of the Fund
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 Fund
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, 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
Annual Report
30 June 2017
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
ANNUAL REPORT
JUNE 30, 2017
Management’s Discussion of Fund Performance & Performance Summary (Unaudited) | 1 | |||
4 | ||||
5 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
12 | ||||
17 | ||||
18 |
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
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — MANAGEMENT’S DISCUSSIONOF FUND PERFORMANCE (UNAUDITED)
The State Street Disciplined Global Equity Fund Portfolio (the “Portfolio”) seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad global equity market. The Portfolio’s benchmark is the MSCI World Index (the “Index”).
For the 12-month period ended June 30, 2017 (the “Reporting Period”), the total return for the Portfolio was 14.43%, and the Index was 18.20% (Net). The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, 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.
Global equity markets accelerated higher through the third quarter of 2016, while the VIX declined substantially from the post-Brexit high. Collectively, rising crude oil prices and incrementally positive economic releases drove risk sentiment higher. The Portfolio’s lower risk positioning faced a strong head wind on performance as the market reverted to favoring higher beta and higher risk securities. Overall stock selection performance was rather muted as shifts in sentiment and interest rates concerns dominated market dynamics. As a result, the portfolio’s allocation effect was negatively impacted as it was overweight the utilities sector and underweight the financials sector relative to the Index. Diminishing risk aversion saw investors rotating into riskier technology names at the expense of the more defensive health care and consumer staples stocks that were owned by the Portfolio. The health care sector also faced additional pressure from concerns on the rising regulatory and government pricing interference on the sector.
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 Portfolio was negatively affected by the performance of the financials sector, relative to the Index, 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 administration. In addition, lower allocations to energy companies and an emphasis on telecommunication services hurt overall performance for the quarter relative to the Index.
Equity markets ushered in 2017 on a cautiously positive note. However, reflationary market trends and positive sentiment quickly picked up and drove global equity indices to new highs. The Portfolio added value in each of the months during the first quarter, but was particularly successful during February. An overweight in health care, an increase in exposure to banks, and a significant underweight in energy, relative to the Index, provided a boost to performance during the first quarter of 2017.
During April and May 2017, general market sentiment was helped by the unwinding of Eurozone political risk fears, however the materials and energy sectors performed poorly as commodities and oil slumped on China deleveraging and risks to oil production cuts. The Portfolio made relative gains during this period in the energy, health care, and financials sectors from both an allocation and stock selection effect. However performance was hurt by poor stock selection within the information technology and consumer discretionary sectors. As the second quarter of 2017 came to a close, enthusiasm for the current market environment was still positive, although a dip in oil and a rotation away from technology stocks did provide a slight setback. In June, the Portfolio made most of its gains from stock selection within the Information Technology and Industrials sectors, however the portfolio’s significant underweight in Information Technology also contributed to performance against the Index.
In summary, the “risk on” rally which was sustained through the second half of 2016 benefitted pro-cyclical, higher beta equities which negatively impacted the Portfolio’s performance as it was more defensively positioned, relative to the Index. Although, relative to the Index, the Portfolio’s positioning started to pay off during the first half of 2017, it was not enough to offset the losses incurred earlier on.
On an individual security level, the top positive contributors to the Portfolio’s performance on an absolute basis were Quest Diagnostics Inc., Peugeot SA, and NetApp, Inc. The top negative contributors to the Fund’s performance on an absolute basis were DaVita, Inc.*, Astellas Pharma, Inc., and Express Scripts Holding Co.
The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
* | The security was not held by the Portfolio as of June 30, 2017 and is therefore not included in the Schedule of Investments. |
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — PERFORMANCE SUMMARY (UNAUDITED)
The following performance chart of the Portfolio’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Portfolio’s per share net asset value (“NAV”) is the value of one share of the Portfolio and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Portfolio and the market return is based on the market price per share of the Portfolio. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Portfolio are listed for trading, as of the time that the Portfolio’s NAV is calculated. Since shares of the Portfolio did not trade in the secondary market until one day after the Portfolio’s inception, for the period from inception to the first day of secondary market trading in shares of the Portfolio (2/18/16, 2/19/16, respectively), the NAV of the Portfolio is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Portfolio at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Portfolio’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.spdrs.com for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption or sale of Portfolio shares. The total expense ratio for State Street Disciplined Global Equity Portfolio as stated in the Fees and Expenses table of the prospectus dated October 31, 2016 is 0.25%.
PERFORMANCE AS OF JUNE 30, 2017
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||
NET ASSET VALUE | MARKET VALUE | MSCI World Index (USD) (Net) | NET ASSET VALUE | MARKET VALUE | MSCI World Index (USD) (Net) | |||||||||||||||||||||||||
ONE YEAR | 14.43% | N/A | 18.20% | 14.43% | N/A | 18.20% | ||||||||||||||||||||||||
SINCE INCEPTION (1) | 24.62% | N/A | 27.88% | 17.47% | N/A | 19.77% | ||||||||||||||||||||||||
(1) | For the period February 18, 2016 to June 30, 2017. |
MSCI World Index
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.
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO — PERFORMANCE SUMMARY (UNAUDITED) (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT (BASED ON NET ASSET VALUE)
Past Performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO —
PORTFOLIO STATISTICS (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2017
DESCRIPTION | BAXTER | QUEST DIAGNOSTICS, INC. | AGILENT | ENEL | ABBOTT | |||||||||
MARKET VALUE | $68,713 | 64,473 | 60,555 | 59,641 | 58,429 | |||||||||
% OF NET ASSETS | 1.5 | 1.4 | 1.3 | 1.3 | 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 company.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2017*
INDUSTRY | PERCENT OF NET ASSETS | |||||||
Electric Utilities | 8.2 | % | ||||||
Health Care Providers & Services | 7.1 | |||||||
Insurance | 6.0 | |||||||
Health Care Equipment & Supplies | 5.7 | |||||||
Diversified Telecommunication Services | 5.6 | |||||||
Pharmaceuticals | 5.6 | |||||||
Banks | 5.2 | |||||||
Multi-Utilities | 4.5 | |||||||
Food & Staples Retailing | 3.5 | |||||||
Electronic Equipment, Instruments & Components | 3.3 | |||||||
Automobiles | 3.0 | |||||||
Commercial Services & Supplies | 2.4 | |||||||
Household Products | 2.3 | |||||||
Airlines | 2.2 | |||||||
Beverages | 2.2 | |||||||
Real Estate Investment Trusts (REITs) | 2.2 | |||||||
Food Products | 2.1 | |||||||
Electrical Equipment | 2.0 | |||||||
Tobacco | 1.9 | |||||||
Media | 1.8 | |||||||
Construction & Engineering | 1.7 | |||||||
Communications Equipment | 1.6 | |||||||
Semiconductors & Semiconductor Equipment | 1.5 | |||||||
Technology Hardware, Storage & Peripherals | 1.4 | |||||||
Auto Components | 1.3 | |||||||
IT Services | 1.3 | |||||||
Life Sciences Tools & Services | 1.3 | |||||||
Aerospace & Defense | 1.1 | |||||||
Real Estate Management & Development | 1.1 | |||||||
Road & Rail | 1.1 | |||||||
Containers & Packaging | 1.0 | |||||||
Industrial Conglomerates | 1.0 | |||||||
Machinery | 1.0 | |||||||
Metals & Mining | 1.0 | |||||||
Consumer Finance | 0.9 | |||||||
Household Durables | 0.9 | |||||||
Mortgage Real Estate Investment | 0.9 | |||||||
Trading Companies & Distributors | 0.8 | |||||||
Building Products | 0.6 | |||||||
Software | 0.6 | |||||||
Short-Term Investment | 0.5 | |||||||
Other Assets in Excess of Liabilities | 0.6 | |||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2017
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.9% | ||||||||
AUSTRALIA — 1.3% | ||||||||
Qantas Airways, Ltd. | 6,574 | $ | 28,844 | |||||
Telstra Corp., Ltd. | 9,964 | 32,864 | ||||||
|
| |||||||
61,708 | ||||||||
|
| |||||||
CANADA — 3.3% | ||||||||
BCE, Inc. | 859 | 38,627 | ||||||
Metro, Inc. | 802 | 26,357 | ||||||
Shaw Communications, Inc. Class B | 1,954 | 42,565 | ||||||
TELUS Corp. | 1,279 | 44,091 | ||||||
|
| |||||||
151,640 | ||||||||
|
| |||||||
DENMARK — 1.4% | ||||||||
Danske Bank A/S | 548 | 21,050 | ||||||
Vestas Wind Systems A/S | 468 | 43,147 | ||||||
|
| |||||||
64,197 | ||||||||
|
| |||||||
FRANCE — 2.0% | ||||||||
Peugeot SA | 1,992 | 39,680 | ||||||
Sanofi | 544 | 51,970 | ||||||
|
| |||||||
91,650 | ||||||||
|
| |||||||
GERMANY — 2.7% | ||||||||
Fresenius SE & Co. KGaA | 280 | 23,971 | ||||||
METRO AG | 1,496 | 50,429 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 79 | 15,908 | ||||||
RWE AG (a) | 1,673 | 33,287 | ||||||
|
| |||||||
123,595 | ||||||||
|
| |||||||
HONG KONG — 7.9% | ||||||||
BOC Hong Kong Holdings, Ltd. | 12,000 | 57,414 | ||||||
CK Hutchison Holdings, Ltd. | 1,500 | 18,831 | ||||||
CLP Holdings, Ltd. | 5,000 | 52,905 | ||||||
Hang Seng Bank, Ltd. | 2,100 | 43,929 | ||||||
Jardine Matheson Holdings, Ltd. | 400 | 25,680 | ||||||
Link REIT | 6,500 | 49,459 | ||||||
Power Assets Holdings, Ltd. | 3,500 | 30,913 | ||||||
Sun Hung Kai Properties, Ltd. | 2,000 | 29,386 | ||||||
WH Group, Ltd. (b) | 57,000 | 57,537 | ||||||
|
| |||||||
366,054 | ||||||||
|
| |||||||
ITALY — 1.3% | ||||||||
Enel SpA | 11,140 | 59,641 | ||||||
|
| |||||||
JAPAN — 14.4% | ||||||||
Asahi Glass Co., Ltd. | 600 | 25,258 | ||||||
Astellas Pharma, Inc. | 2,500 | 30,583 | ||||||
Bridgestone Corp. | 700 | 30,153 | ||||||
Central Japan Railway Co. | 300 | 48,887 | ||||||
Daiichi Sankyo Co., Ltd. | 1,500 | 35,337 | ||||||
Fujitsu, Ltd. | 5,000 | 36,837 | ||||||
Hitachi, Ltd. | 9,000 | 55,221 | ||||||
Hoya Corp. | 600 | 31,148 | ||||||
Kirin Holdings Co., Ltd. | 2,400 | 48,893 | ||||||
Marubeni Corp. | 5,900 | 38,112 | ||||||
Mitsubishi Materials Corp. | 600 | 18,156 | ||||||
Nippon Telegraph & Telephone Corp. | 1,100 | 51,985 | ||||||
Sekisui Chemical Co., Ltd. | 2,300 | 41,165 | ||||||
Sumitomo Rubber Industries, Ltd. | 1,900 | 32,061 | ||||||
Suzuki Motor Corp. | 1,200 | 56,924 | ||||||
Taisei Corp. | 5,000 | 45,657 | ||||||
Toyota Motor Corp. | 800 | 41,958 | ||||||
|
| |||||||
668,335 | ||||||||
|
| |||||||
NETHERLANDS — 0.9% | ||||||||
Koninklijke Ahold Delhaize NV | 2,135 | 40,763 | ||||||
|
| |||||||
NEW ZEALAND — 1.0% | ||||||||
Spark New Zealand, Ltd. | 16,707 | 46,240 | ||||||
|
| |||||||
NORWAY — 0.6% | ||||||||
Norsk Hydro ASA | 5,426 | 29,978 | ||||||
|
| |||||||
SINGAPORE — 1.1% | ||||||||
Ascendas REIT | 6,500 | 12,322 | ||||||
Singapore Airlines, Ltd. | 2,400 | 17,640 | ||||||
UOL Group, Ltd. | 3,785 | 21,002 | ||||||
|
| |||||||
50,964 | ||||||||
|
| |||||||
SPAIN — 0.7% | ||||||||
ACS Actividades de Construccion y Servicios SA | 791 | 30,516 | ||||||
|
| |||||||
SWEDEN — 1.1% | ||||||||
Swedish Match AB | 1,444 | 50,795 | ||||||
|
| |||||||
SWITZERLAND — 2.8% | ||||||||
Sonova Holding AG | 246 | 39,996 | ||||||
Swisscom AG | 89 | 43,002 | ||||||
TE Connectivity, Ltd. | 571 | 44,926 | ||||||
|
| |||||||
127,924 | ||||||||
|
| |||||||
UNITED KINGDOM — 0.8% | ||||||||
Direct Line Insurance Group PLC | 8,421 | 38,875 | ||||||
|
| |||||||
UNITED STATES — 55.6% | ||||||||
Abbott Laboratories | 1,202 | 58,429 | ||||||
Agilent Technologies, Inc. | 1,021 | 60,555 | ||||||
AGNC Investment Corp. REIT | 1,953 | 41,579 | ||||||
Allstate Corp. | 556 | 49,173 | ||||||
Altria Group, Inc. | 478 | 35,597 | ||||||
Ameren Corp. | 768 | 41,987 | ||||||
American Electric Power Co., Inc. | 520 | 36,124 | ||||||
American Express Co. | 471 | 39,677 | ||||||
Annaly Capital Management, Inc. REIT | 3,380 | 40,729 | ||||||
Anthem, Inc. | 235 | 44,211 | ||||||
Avery Dennison Corp. | 522 | 46,129 | ||||||
Axis Capital Holdings, Ltd. | 669 | 43,258 | ||||||
Baxter International, Inc. | 1,135 | 68,713 | ||||||
Cardinal Health, Inc. | 391 | 30,467 | ||||||
CenterPoint Energy, Inc. | 1,662 | 45,506 | ||||||
Cintas Corp. | 366 | 46,131 | ||||||
Cisco Systems, Inc. | 834 | 26,104 | ||||||
Colgate-Palmolive Co. | 229 | 16,976 | ||||||
Comcast Corp. Class A | 1,101 | 42,851 | ||||||
Corning, Inc. | 1,700 | 51,085 | ||||||
Cummins, Inc. | 293 | 47,530 | ||||||
Delta Air Lines, Inc. | 481 | 25,849 | ||||||
DTE Energy Co. | 492 | 52,049 | ||||||
Eaton Corp. PLC | 659 | 51,290 | ||||||
Edison International | 520 | 40,659 | ||||||
Eli Lilly & Co. | 330 | 27,159 | ||||||
Entergy Corp. | 494 | 37,924 |
See accompanying notes to financial statements.
5
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Security Description | Shares | Value | ||||||
Everest Re Group, Ltd. | 202 | $ | 51,427 | |||||
Exelon Corp. | 1,239 | 44,691 | ||||||
Express Scripts Holding Co. (a) | 534 | 34,091 | ||||||
General Dynamics Corp. | 121 | 23,970 | ||||||
HCA Healthcare, Inc. (a) | 522 | 45,518 | ||||||
Hologic, Inc. (a) | 824 | 37,393 | ||||||
HP, Inc. | 1,887 | 32,985 | ||||||
IDEXX Laboratories, Inc. (a) | 175 | 28,248 | ||||||
International Business Machines Corp. | 150 | 23,074 | ||||||
Johnson & Johnson | 386 | 51,064 | ||||||
JPMorgan Chase & Co. | 589 | 53,835 | ||||||
Kimberly-Clark Corp. | 384 | 49,578 | ||||||
KLA-Tencor Corp. | 207 | 18,943 | ||||||
Lincoln National Corp. | 408 | 27,573 | ||||||
McKesson Corp. | 123 | 20,238 | ||||||
Merck & Co., Inc. | 809 | 51,849 | ||||||
Motorola Solutions, Inc. | 535 | 46,406 | ||||||
NetApp, Inc. | 800 | 32,040 | ||||||
PepsiCo, Inc. | 473 | 54,627 | ||||||
Pfizer, Inc. | 404 | 13,570 | ||||||
Pinnacle West Capital Corp. | 614 | 52,288 | ||||||
PNC Financial Services Group, Inc. | 196 | 24,474 | ||||||
PPL Corp. | 624 | 24,124 | ||||||
Principal Financial Group, Inc. | 667 | 42,735 | ||||||
Procter & Gamble Co. | 421 | 36,690 | ||||||
Prudential Financial, Inc. | 103 | 11,138 | ||||||
Public Service Enterprise Group, Inc. | 846 | 36,386 | ||||||
Quest Diagnostics, Inc. | 580 | 64,473 | ||||||
Raytheon Co. | 155 | 25,029 | ||||||
Republic Services, Inc. | 211 | 13,447 | ||||||
Southwest Airlines Co. | 503 | 31,256 | ||||||
Synopsys, Inc. (a) | 404 | 29,464 | ||||||
Sysco Corp. | 659 | 33,167 | ||||||
Texas Instruments, Inc. | 678 | 52,159 | ||||||
Tyson Foods, Inc. Class A | 599 | 37,515 | ||||||
UnitedHealth Group, Inc. | 266 | 49,322 | ||||||
Universal Health Services, Inc. Class B | 141 | 17,213 | ||||||
US Bancorp | 808 | 41,951 | ||||||
Wal-Mart Stores, Inc. | 164 | 12,412 | ||||||
Waste Management, Inc. | 713 | 52,299 | ||||||
|
| |||||||
2,576,403 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,579,278 | |||||||
|
| |||||||
RIGHTS — 0.0%(c) | ||||||||
SPAIN — 0.0%(c) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17) (a) (Cost $665) | 791 | 631 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92% (d)(e) (Cost $23,785) | 23,785 | 23,785 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.4% | 4,603,694 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6% | 27,212 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,630,906 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 1.2% of net assets as of June 30, 2017, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Amount is less than 0.05% of net assets. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 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 June 30, 2017.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 61,708 | $ | — | $ | — | $ | 61,708 | ||||||||
Canada | 151,640 | — | — | 151,640 | ||||||||||||
Denmark | 64,197 | — | — | 64,197 | ||||||||||||
France | 91,650 | — | — | 91,650 | ||||||||||||
Germany | 123,595 | — | — | 123,595 | ||||||||||||
Hong Kong | 366,054 | — | — | 366,054 | ||||||||||||
Italy | 59,641 | — | — | 59,641 | ||||||||||||
Japan | 668,335 | — | — | 668,335 | ||||||||||||
Netherlands | 40,763 | — | — | 40,763 |
See accompanying notes to financial statements.
6
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2017
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
New Zealand | $ | 46,240 | $ | — | $ | — | $ | 46,240 | ||||||||
Norway | 29,978 | — | — | 29,978 | ||||||||||||
Singapore | 50,964 | — | — | 50,964 | ||||||||||||
Spain | 30,516 | — | — | 30,516 | ||||||||||||
Sweden | 50,795 | — | — | 50,795 | ||||||||||||
Switzerland | 127,924 | — | — | 127,924 | ||||||||||||
United Kingdom | 38,875 | — | — | 38,875 | ||||||||||||
United States | 2,576,403 | — | — | 2,576,403 | ||||||||||||
Rights | ||||||||||||||||
Spain | 631 | — | — | 631 | ||||||||||||
Short-Term Investment | 23,785 | — | — | 23,785 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 4,603,694 | $ | — | $ | — | $ | 4,603,694 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/17 | Value at 6/30/17 | 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, Class G Shares | — | — | 517,282 | 493,497 | 23,785 | 23,785 | 86 | — | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 625,675 | 625,675 | — | — | 105 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 34,046 | $ | 23,785 | $ | 223 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2017
ASSETS | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 4,579,909 | ||
Investments in affiliated issuers, at value (Note 2) | 23,785 | |||
|
| |||
Total Investments | 4,603,694 | |||
Foreign currency, at value | 14,680 | |||
Dividends receivable — unaffiliated issuers (Note 2) | 9,445 | |||
Dividends receivable — affiliated issuers (Note 2) | 36 | |||
Receivable from Adviser (Note 3) | 1,197 | |||
Receivable for foreign taxes recoverable | 2,804 | |||
|
| |||
TOTAL ASSETS | 4,631,856 | |||
|
| |||
LIABILITIES | ||||
Advisory fee payable (Note 3) | 948 | |||
Trustees’ fees and expenses payable (Note 4) | 2 | |||
|
| |||
TOTAL LIABILITIES | 950 | |||
|
| |||
NET ASSETS | $ | 4,630,906 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in Capital | $ | 3,971,188 | ||
Undistributed (distribution in excess of) net investment income (loss) | 60,327 | |||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 59,127 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 540,041 | |||
Foreign currency transactions | 223 | |||
|
| |||
NET ASSETS | $ | 4,630,906 | ||
|
| |||
NET ASSET VALUE PER SHARE | ||||
Net asset value per share | $ | 12.03 | ||
|
| |||
Shares outstanding (unlimited amount authorized, no par value) | 384,967 | |||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in unaffiliated issuers | $ | 4,039,868 | ||
Investments in affiliated issuers | 23,785 | |||
|
| |||
Total cost of investments | $ | 4,063,653 | ||
|
| |||
Foreign currency, at cost | $ | 14,534 | ||
|
|
See accompanying notes to financial statements.
8
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
For the Year Ended June 30, 2017
INVESTMENT INCOME | ||||
Dividend income — unaffiliated issuers (Note 2) | $ | 104,713 | ||
Dividend income — affiliated issuers (Note 2) | 223 | |||
Foreign taxes withheld | (5,610 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME (LOSS) | 99,326 | |||
|
| |||
EXPENSES | ||||
Advisory fee (Note 3) | 9,037 | |||
Trustees’ fee (Note 4) | 62 | |||
Redemption facility fee | 2,583 | |||
Miscellaneous expenses | 398 | |||
|
| |||
TOTAL EXPENSES | 12,080 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (12,049 | ) | ||
|
| |||
NET EXPENSES | 31 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 99,295 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 74,426 | |||
Foreign currency transactions | (1,133 | ) | ||
|
| |||
Net realized gain (loss) | 73,293 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments — unaffiliated issuers | 333,314 | |||
Foreign currency transactions | 666 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 333,980 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 407,273 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 506,568 | ||
|
|
See accompanying notes to financial statements.
9
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended 6/30/17 | For the Period 2/18/16* - 6/30/16 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 99,295 | $ | 45,676 | ||||
Net realized gain (loss) | 73,293 | 16,262 | ||||||
Net change in unrealized appreciation/depreciation | 333,980 | 206,284 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 506,568 | 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 | 1,071,399 | 3,036,146 | ||||||
Reinvestment of distributions | 115,072 | — | ||||||
Cost of shares redeemed | (217,386 | ) | (34,043 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 969,085 | 3,002,103 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 1,360,581 | 3,270,325 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 3,270,325 | — | ||||||
|
|
|
| |||||
NET ASSETS AT END OF PERIOD | $ | 4,630,906 | $ | 3,270,325 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 60,327 | $ | 46,475 | ||||
|
|
|
| |||||
SHARES OF BENEFICIAL INTEREST: | ||||||||
Shares sold | 93,862 | 303,384 | ||||||
Reinvestment of distributions | 10,805 | — | ||||||
Shares redeemed | (19,900 | ) | (3,184 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 84,767 | 300,200 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
10
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
Selected data for a share outstanding throughout each period
Year Ended 6/30/17 | 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) | 0.31 | 0.15 | ||||||
Net realized and unrealized gain (loss) | 1.21 | 0.74 | ||||||
|
|
|
| |||||
Total from investment operations | 1.52 | 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 | $ | 12.03 | $ | 10.89 | ||||
|
|
|
| |||||
Total return (b) | 14.43 | % | 8.90 | %(c) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 4,631 | $ | 3,270 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.33 | % | 0.27 | %(d) | ||||
Net expenses | 0.00 | %(e) | — | %(d) | ||||
Net investment income (loss) | 2.75 | % | 4.00 | %(d) | ||||
Portfolio turnover rate | 30 | % | 21 | %(c) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
11
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2017
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 June 30, 2017, the Trust consists of twelve (12) 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 (the “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 (“NAV”) per share or unit. |
12
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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 an 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 June 30, 2017 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 June 30, 2017.
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 years to return of capital or capital gains distributions at year end based on information provided by the REIT.
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.
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared and paid 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, 2018 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Disciplined Global Equity Fund (the “Feeder 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. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $12,049.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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 to the Portfolio. 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, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
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 June 30, 2017, were:
Purchases | Sales | |||||||
State Street Disciplined Global Equity Portfolio | $ | 2,064,436 | $ | 1,093,247 |
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. 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 currency transactions, wash sales, REITs and passive foreign investment companies.
The tax character of distributions paid during the period ended June 30, 2017, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Disciplined Global Equity Portfolio | $ | 115,072 | $ | — | $ | — | $ | 115,072 |
At June 30, 2017, 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 Appreciation (Depreciation) | Qualified Late-Year Losses | Total | |||||||||||||||||||
State Street Disciplined Global Equity Portfolio | $ | 96,161 | $ | — | $ | 24,400 | $ | 539,157 | $ | — | $ | 659,718 |
As of June 30, 2017, 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 | $ | 4,064,760 | $ | 596,540 | $ | 57,606 | $ | 538,934 |
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2017
7. | Line of Credit |
Effective October 13, 2016, 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 October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of June 30, 2017.
8. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
9. | New Accounting Pronouncements |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
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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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Disciplined Global Equity Portfolio (the “Portfolio”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2017, and the related statement 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 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 June 30, 2017, by correspondence with the custodian, brokers and others. 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 Global Equity Portfolio (one of the portfolios constituting SSGA Active Trust) at June 30, 2017, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 25, 2017
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June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Portfolio, 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, 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 January 1, 2017 to June 30, 2017.
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 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 Disciplined Global Equity Portfolio | 0.00 | %(b) | $ | 1,127.50 | $ | 0.00 | (c) | $ | 1,024.80 | $ | 0.00 | (c) |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Amount is less than 0.005%. |
(c) | Amount is less than $0.005. |
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 June 30, 2017.
Dividends Received Deduction
The Portfolio reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Portfolio during the fiscal year ended June 30, 2017 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (toll free) or (ii) on the website of the SEC, at www.sec.gov.
Information regarding how the investment adviser voted for the most recent 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The 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 Fund’s website at www.ssgafunds.com.
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During The Past 5 Years | |||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 179 | None. | |||||
DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 179 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 179 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 179 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 179 | The Motley Fool Funds Trust (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 255 | None. |
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STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Fund Management, Inc. serves as investment adviser. |
* | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005-present).* | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1978 | Chief Legal Officer | Term: Unlimited Served: since February 2015 | Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2006-2011). | |||
JESSE D. HALLEE State Street Bank and Trust Company One Hundred Summer Street, SUM0703 Boston, MA 02111 1976 | Secretary | Term: Unlimited Served: since August 2017 | Vice President and Senior Counsel, State Street Bank and Trust Company (2013 to present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013).** | |||
PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Summer Street, SUM 0703 Boston, MA 02111 1973 | Assistant Secretary | Term: Unlimited Served: since February 2015 | Vice President and Counsel, State Street Bank and Trust Company (2014-present); Assistant Vice President and Counsel, John Hancock Financial Services (2011-2013); Independent legal consultant (2009-2011); Associate, Bingham McCutchen LLP (2003-2009).*,. ** |
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2017 (Unaudited)
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers: (continued) | ||||||
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014-present); Vice President, State Street Bank and Trust Company (2001-November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | 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 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present); Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Assistant Vice President, SSGA Funds Management, Inc. (May 2015-present); Officer, State Street Bank and Trust Company (March 2009-May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013-present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
** | Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period. |
Statement of Additional information (SAI) includes additional information about Fund directors and is available, without charge, upon request and by calling 1-800-997-7327.
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SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Daniel Plourde, Assistant Treasurer
Jesse D. Hallee, 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 Advisors Funds Distributors, 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 Advisors Funds Distributors, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
SSIITDGBLEQSAR
IBG-24482
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Target Retirement Fund
State Street Target Retirement 2015 Fund
State Street Target Retirement 2020 Fund
State Street Target Retirement 2025 Fund
State Street Target Retirement 2030 Fund
State Street Target Retirement 2035 Fund
State Street Target Retirement 2040 Fund
State Street Target Retirement 2045 Fund
State Street Target Retirement 2050 Fund
State Street Target Retirement 2055 Fund
State Street Target Retirement 2060 Fund
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
Target Retirement Funds
Semi-Annual Report
June 30, 2017
(Unaudited)
1 | ||||
5 | ||||
26 | ||||
29 | ||||
32 | ||||
44 | ||||
77 | ||||
85 |
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
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 June 30, 2017 (as a percentage of Net Assets)
Domestic Fixed Income | 47.0 | % | ||
Domestic Equity | 19.9 | |||
Inflation Linked | 18.0 | |||
International Equity | 10.1 | |||
Real Estate | 5.0 | |||
Short-Term Investment | 0.3 | |||
Liabilities in Excess of Other Assets | (0.3 | ) | ||
100.0 | % |
State Street Target Retirement 2015 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Fixed Income | 38.1 | % | ||
Domestic Equity | 23.6 | |||
Inflation Linked | 20.5 | |||
International Equity | 12.5 | |||
Real Estate | 5.0 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
Short-Term Investment | 0.1 | |||
100.0 | % |
See accompanying notes to financial statements.
1
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2020 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Fixed Income | 32.3 | % | ||
Domestic Equity | 31.7 | |||
Inflation Linked | 13.8 | |||
International Equity | 18.1 | |||
Real Estate | 3.8 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
Short-Term Investment | 0.1 | |||
100.0 | % |
State Street Target Retirement 2025 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 40.1 | % | ||
Domestic Fixed Income | 27.7 | |||
International Equity | 24.2 | |||
Inflation Linked | 6.3 | |||
Real Estate | 1.3 | |||
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 June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 45.3 | % | ||
International Equity | 27.8 | |||
Domestic Fixed Income | 24.6 | |||
Inflation Linked | 1.9 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
100.0 | % |
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2035 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 49.6 | % | ||
International Equity | 30.7 | |||
Domestic Fixed Income | 19.2 | |||
Other Assets in Excess of Liabilities | 0.3 | |||
Short-Term Investment | 0.2 | |||
100.0 | % |
State Street Target Retirement 2040 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 52.6 | % | ||
International Equity | 32.6 | |||
Domestic Fixed Income | 14.3 | |||
Other Assets in Excess of Liabilities | 0.3 | |||
Short-Term Investment | 0.2 | |||
100.0 | % |
State Street Target Retirement 2045 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 55.3 | % | ||
International Equity | 34.4 | |||
Domestic Fixed Income | 9.7 | |||
Other Assets in Excess of Liabilities | 0.4 | |||
Short-Term Investment | 0.2 | |||
100.0 | % |
State Street Target Retirement 2050 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 55.2 | % | ||
International Equity | 34.4 | |||
Domestic Fixed Income | 9.7 | |||
Other Assets in Excess of Liabilities | 0.5 | |||
Short-Term Investment | 0.2 | |||
100.0 | % |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2055 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 55.0 | % | ||
International Equity | 34.2 | |||
Domestic Fixed Income | 9.7 | |||
Other Assets in Excess of Liabilities | 1.0 | |||
Short-Term Investment | 0.1 | |||
100.0 | % |
State Street Target Retirement 2060 Fund
Asset Allocation as of June 30, 2017 (as a percentage of Net Assets)
Domestic Equity | 55.2 | % | ||
International Equity | 34.3 | |||
Domestic Fixed Income | 9.7 | |||
Short-Term Investment | 0.4 | |||
Other Assets in Excess of Liabilities | 0.4 | |||
100.0 | % |
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 100.0%(a) |
| |||||||
Domestic Equity – 19.9% | ||||||||
State Street Equity 500 Index II Portfolio | 1,189,291 | $ | 14,699,635 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 241,315 | 2,758,232 | ||||||
|
| |||||||
17,457,867 | ||||||||
|
| |||||||
Domestic Fixed Income – 47.0% | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 165,721 | 6,164,821 | ||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 114,904 | 3,520,658 | ||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 460,786 | 13,897,306 | ||||||
State Street Aggregate Bond Index Portfolio | 1,754,056 | 17,558,102 | ||||||
|
| |||||||
41,140,887 | ||||||||
|
| |||||||
Inflation Linked – 18.0% | ||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 812,432 | 15,785,554 | ||||||
|
| |||||||
International Equity – 10.1% | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 884,771 | 8,821,163 | ||||||
|
| |||||||
Real Estate – 5.0% | ||||||||
SPDR Dow Jones Global Real Estate ETF | 91,523 | 4,364,732 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 87,570,203 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 281,145 | 281,145 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.3% | 87,851,348 | |||||||
Liabilities in Excess of Other Assets – (0.3)% |
| (233,786 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 87,617,562 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 17,457,867 | $ | – | $ | – | $ | 17,457,867 | ||||||||
Domestic Fixed Income | 41,140,887 | – | – | 41,140,887 | ||||||||||||
Inflation Linked | 15,785,554 | – | – | 15,785,554 | ||||||||||||
International Equity | 8,821,163 | – | – | 8,821,163 | ||||||||||||
Real Estate | 4,364,732 | – | – | 4,364,732 | ||||||||||||
Short-Term Investment | 281,145 | – | – | 281,145 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 87,851,348 | $ | – | $ | – | $ | 87,851,348 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 522,357 | $ | 10,107,608 | 346,469 | 56,394 | 812,432 | $ | 15,785,554 | $ | 116,851 | $ | 8,768 | ||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 108,415 | 3,951,727 | 63,756 | 6,450 | 165,721 | 6,164,821 | 146,366 | 5,060 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 73,883 | 2,255,648 | 46,417 | 5,396 | 114,904 | 3,520,659 | 25,160 | (505 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 295,962 | 8,893,658 | 196,388 | 31,564 | 460,786 | 13,897,306 | 58,714 | (5,532 | ) | |||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 60,746 | 2,846,557 | 35,921 | 5,144 | 91,523 | 4,364,732 | 61,278 | 419 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 1,140,689 | 11,304,230 | 740,372 | 127,005 | 1,754,056 | 17,558,102 | 194,133 | (28,905 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 828,939 | 9,383,593 | 500,466 | 140,114 | 1,189,291 | 14,699,635 | – | 235,133 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 659,493 | 5,763,966 | 392,443 | 167,165 | 884,771 | 8,821,162 | – | 168,385 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 3,324,716 | 3,043,571 | 281,145 | 281,145 | 329 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 106,318 | 106,318 | 21,061,084 | 21,167,402 | – | – | 983 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 166,447 | 1,772,660 | 95,932 | 21,064 | 241,315 | 2,758,232 | – | 42,896 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 56,385,965 | $ | 87,851,348 | $ | 603,814 | $ | 425,719 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.7%(a) |
| |||||||
Domestic Equity – 23.6% |
| |||||||
State Street Equity 500 Index II Portfolio | 2,457,280 | $ | 30,371,980 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 446,831 | 5,107,275 | ||||||
|
| |||||||
35,479,255 | ||||||||
|
| |||||||
Domestic Fixed Income – 38.1% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 284,475 | 10,582,470 | ||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 86,294 | 2,644,048 | ||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 340,422 | 10,267,128 | ||||||
State Street Aggregate Bond Index Portfolio | 3,387,280 | 33,906,674 | ||||||
|
| |||||||
57,400,320 | ||||||||
|
| |||||||
Inflation Linked – 20.5% |
| |||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,588,310 | 30,860,863 | ||||||
|
| |||||||
International Equity – 12.5% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,889,868 | 18,841,987 | ||||||
|
| |||||||
Real Estate – 5.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 157,107 | 7,492,433 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 150,074,858 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 229,894 | 229,894 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% |
| 150,304,752 | ||||||
Other Assets in Excess of Liabilities – 0.2% |
| 245,587 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 150,550,339 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 35,479,255 | $ | – | $ | – | $ | 35,479,255 | ||||||||
Domestic Fixed Income | 57,400,320 | – | – | 57,400,320 | ||||||||||||
Inflation Linked | 30,860,863 | – | – | 30,860,863 | ||||||||||||
International Equity | 18,841,987 | – | – | 18,841,987 | ||||||||||||
Real Estate | 7,492,433 | – | – | 7,492,433 | ||||||||||||
Short-Term Investment | 229,894 | – | – | 229,894 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 150,304,752 | $ | – | $ | – | $ | 150,304,752 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 749,088 | $ | 14,494,853 | 1,045,781 | 206,559 | 1,588,310 | $ | 30,860,863 | $ | 222,612 | $ | (83,013 | ) | |||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 139,926 | 5,100,303 | 178,156 | 33,607 | 284,475 | 10,582,470 | 248,086 | 20,663 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 35,759 | 1,091,722 | 59,362 | 8,827 | 86,294 | 2,644,048 | 16,766 | (1,954 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 139,454 | 4,190,593 | 237,187 | 36,219 | 340,422 | 10,267,128 | 38,593 | (17,552 | ) | |||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 78,412 | 3,674,386 | 100,212 | 21,517 | 157,107 | 7,492,433 | 103,465 | (78,537 | ) | |||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 1,693,129 | 16,778,907 | 2,133,766 | 439,615 | 3,387,280 | 33,906,674 | 375,439 | (150,618 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,327,710 | 15,029,680 | 1,621,947 | 492,377 | 2,457,280 | 30,371,980 | – | 431,871 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,104,279 | 9,651,396 | 1,310,567 | 524,978 | 1,889,868 | 18,841,987 | – | 427,771 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 6,625,880 | 6,395,986 | 229,894 | 229,894 | 481 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 206,879 | 206,879 | 43,457,647 | 43,664,526 | – | – | 1,566 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 246,404 | 2,624,201 | 288,924 | 88,497 | 446,831 | 5,107,275 | – | 105,854 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 72,842,920 | $ | 150,304,752 | $ | 1,007,008 | $ | 654,485 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.7%(a) |
| |||||||
Domestic Equity – 31.7% | ||||||||
State Street Equity 500 Index II Portfolio | 11,242,732 | $ | 138,960,162 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 2,653,601 | 30,330,658 | ||||||
|
| |||||||
169,290,820 | ||||||||
|
| |||||||
Domestic Fixed Income – 32.3% | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 865,883 | 32,210,848 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 169,377 | 12,213,775 | ||||||
State Street Aggregate Bond Index Portfolio | 12,812,277 | 128,250,897 | ||||||
|
| |||||||
172,675,520 | ||||||||
|
| |||||||
Inflation Linked – 13.8% | ||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,544,987 | 49,449,097 | ||||||
SPDR Bloomberg Barclays TIPS ETF | 427,085 | 23,989,365 | ||||||
|
| |||||||
73,438,462 | ||||||||
|
| |||||||
International Equity – 18.1% | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 9,708,178 | 96,790,530 | ||||||
|
| |||||||
Real Estate – 3.8% | ||||||||
SPDR Dow Jones Global Real Estate ETF | 418,428 | 19,954,831 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 532,150,163 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 682,299 | 682,299 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% |
| 532,832,462 | ||||||
Other Assets in Excess of Liabilities – 0.2% |
| 1,298,812 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 534,131,274 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 169,290,820 | $ | – | $ | – | $ | 169,290,820 | ||||||||
Domestic Fixed Income | 172,675,520 | – | – | 172,675,520 | ||||||||||||
Inflation Linked | 73,438,462 | – | – | 73,438,462 | ||||||||||||
International Equity | 96,790,530 | – | – | 96,790,530 | ||||||||||||
Real Estate | 19,954,831 | – | – | 19,954,831 | ||||||||||||
Short-Term Investment | 682,299 | – | – | 682,299 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 532,832,462 | $ | – | $ | – | $ | 532,832,462 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 851,877 | $ | 16,483,820 | 1,732,953 | 39,843 | 2,544,987 | $ | 49,449,097 | $ | 308,869 | $ | 14,465 | ||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 389,698 | 14,204,492 | 485,175 | 8,990 | 865,883 | 32,210,848 | 727,911 | (19,701 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 94,754 | 6,527,603 | 107,724 | 33,101 | 169,377 | 12,213,775 | 137,007 | (243,242 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 253,001 | 14,216,430 | 288,303 | 114,219 | 427,085 | 23,989,365 | 258,107 | (146,721 | ) | |||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 178,473 | 8,363,245 | 239,955 | – | 418,428 | 19,954,831 | 256,707 | – | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 5,500,578 | 54,510,728 | 7,601,993 | 290,294 | 12,812,277 | 128,250,897 | 1,314,470 | (78,528 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 5,538,453 | 62,695,292 | 6,562,673 | 858,394 | 11,242,732 | 138,960,162 | – | 1,396,345 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,133,472 | 44,866,542 | 5,941,231 | 1,366,525 | 9,708,178 | 96,790,530 | – | 1,356,469 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 19,214,014 | 18,531,715 | 682,299 | 682,299 | 1,809 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 275,062 | 275,062 | 98,269,189 | 98,544,251 | – | – | 4,264 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,320,755 | 14,066,036 | 1,495,473 | 162,627 | 2,653,601 | 30,330,658 | – | 351,418 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 236,209,250 | $ | 532,832,462 | $ | 3,009,144 | $ | 2,630,505 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.6%(a) |
| |||||||
Domestic Equity – 40.1% |
| |||||||
State Street Equity 500 Index II Portfolio | 14,174,165 | $ | 175,192,677 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 3,911,012 | 44,702,866 | ||||||
|
| |||||||
219,895,543 | ||||||||
|
| |||||||
Domestic Fixed Income – 27.7% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 836,520 | 31,118,544 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 551,529 | 39,770,756 | ||||||
State Street Aggregate Bond Index Portfolio | 8,090,716 | 80,988,071 | ||||||
|
| |||||||
151,877,371 | ||||||||
|
| |||||||
Inflation Linked – 6.3% |
| |||||||
SPDR Bloomberg Barclays TIPS ETF | 618,294 | 34,729,574 | ||||||
|
| |||||||
International Equity – 24.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 13,268,766 | 132,289,599 | ||||||
|
| |||||||
Real Estate – 1.3% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 143,093 | 6,824,105 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 545,616,192 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 1,018,441 | 1,018,441 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% |
| 546,634,633 | ||||||
Other Assets in Excess of Liabilities – 0.2% |
| 1,220,115 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 547,854,748 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 219,895,543 | $ | – | $ | – | $ | 219,895,543 | ||||||||
Domestic Fixed Income | 151,877,371 | – | – | 151,877,371 | ||||||||||||
Inflation Linked | 34,729,574 | – | – | 34,729,574 | ||||||||||||
International Equity | 132,289,599 | – | – | 132,289,599 | ||||||||||||
Real Estate | 6,824,105 | – | – | 6,824,105 | ||||||||||||
Short-Term Investment | 1,018,441 | – | – | 1,018,441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 546,634,633 | $ | – | $ | – | $ | 546,634,633 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 303,086 | $ | 11,047,485 | 534,526 | 1,092 | 836,520 | $ | 31,118,544 | $ | 633,410 | $ | 2,393 | ||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 235,114 | 16,197,004 | 348,731 | 32,316 | 551,529 | 39,770,756 | 384,336 | (186,887 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 211,621 | 11,891,238 | 409,839 | 3,166 | 618,294 | 34,729,574 | 286,060 | 6,092 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 44,954 | 2,106,544 | 98,139 | – | 143,093 | 6,824,105 | 76,555 | – | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 3,053,373 | 30,258,930 | 5,095,523 | 58,180 | 8,090,716 | 80,988,071 | 801,970 | (7,195 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 5,917,934 | 66,991,012 | 8,656,690 | 400,459 | 14,174,165 | 175,192,677 | – | 763,379 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,955,335 | 52,049,631 | 8,515,069 | 1,201,638 | 13,268,766 | 132,289,599 | – | 1,291,405 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 25,649,916 | 24,631,475 | 1,018,441 | 1,018,441 | 2,552 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 476,724 | 476,724 | 93,121,478 | 93,598,202 | – | – | 4,428 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,640,714 | 17,473,607 | 2,354,425 | 84,127 | 3,911,012 | 44,702,866 | – | 137,165 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 208,492,175 | $ | 546,634,633 | $ | 2,189,311 | $ | 2,006,352 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.6%(a) |
| |||||||
Domestic Equity – 45.3% | ||||||||
State Street Equity 500 Index II Portfolio | 15,007,853 | $ | 185,497,059 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 4,832,169 | 55,231,696 | ||||||
|
| |||||||
240,728,755 | ||||||||
|
| |||||||
Domestic Fixed Income – 24.6% | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 373,778 | 13,904,541 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 718,927 | 51,841,826 | ||||||
State Street Aggregate Bond Index Portfolio | 6,524,543 | 65,310,672 | ||||||
|
| |||||||
131,057,039 | ||||||||
|
| |||||||
Inflation Linked – 1.9% | ||||||||
SPDR Bloomberg Barclays TIPS ETF | 179,634 | 10,090,042 | ||||||
|
| |||||||
International Equity – 27.8% | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 14,808,468 | 147,640,428 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 529,516,264 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 898,540 | 898,540 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% |
| 530,414,804 | ||||||
Other Assets in Excess of Liabilities – 0.2% |
| 1,287,382 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 531,702,186 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 240,728,755 | $ | – | $ | – | $ | 240,728,755 | ||||||||
Domestic Fixed Income | 131,057,039 | – | – | 131,057,039 | ||||||||||||
Inflation Linked | 10,090,042 | – | – | 10,090,042 | ||||||||||||
International Equity | 147,640,428 | – | – | 147,640,428 | ||||||||||||
Short-Term Investment | 898,540 | – | – | 898,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 530,414,804 | $ | – | $ | – | $ | 530,414,804 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 142,960 | $ | 5,210,892 | 231,364 | 546 | 373,778 | $ | 13,904,541 | $ | 272,665 | $ | 1,366 | ||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 321,497 | 22,147,928 | 409,038 | 11,608 | 718,927 | 51,841,826 | 481,278 | 11,534 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 68,601 | 3,854,773 | 111,033 | – | 179,634 | 10,090,042 | 83,454 | – | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 2,746,525 | 27,218,059 | 3,822,201 | 44,183 | 6,524,543 | 65,310,672 | 646,445 | (12,430 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 6,991,050 | 79,138,687 | 8,332,307 | 315,504 | 15,007,853 | 185,497,059 | – | 359,420 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 7,389,682 | 64,585,823 | 8,576,442 | 1,157,656 | 14,808,468 | 147,640,428 | – | 447,623 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 25,794,833 | 24,896,293 | 898,540 | 898,540 | 2,111 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 519,504 | 519,504 | 72,129,689 | 72,649,193 | – | – | 3,652 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,246,580 | 23,926,080 | 2,629,519 | 43,930 | 4,832,169 | 55,231,696 | – | 50,828 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 226,601,746 | $ | 530,414,804 | $ | 1,489,605 | $ | 858,341 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 49.6% | ||||||||
State Street Equity 500 Index II Portfolio | 11,705,228 | $ | 144,676,613 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 4,293,450 | 49,074,134 | ||||||
|
| |||||||
193,750,747 | ||||||||
|
| |||||||
Domestic Fixed Income – 19.2% | ||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 527,963 | 38,071,412 | ||||||
State Street Aggregate Bond Index Portfolio | 3,699,459 | 37,031,584 | ||||||
|
| |||||||
75,102,996 | ||||||||
|
| |||||||
International Equity – 30.7% | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 12,006,040 | 119,700,220 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 388,553,963 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 560,106 | 560,106 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% |
| 389,114,069 | ||||||
Other Assets in Excess of Liabilities – 0.3% |
| 1,252,648 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 390,366,717 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 193,750,747 | $ | – | $ | – | $ | 193,750,747 | ||||||||
Domestic Fixed Income | 75,102,996 | – | – | 75,102,996 | ||||||||||||
International Equity | 119,700,220 | – | – | 119,700,220 | ||||||||||||
Short-Term Investment | 560,106 | – | – | 560,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 389,114,069 | $ | – | $ | – | $ | 389,114,069 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 235,292 | $ | 16,209,266 | 302,170 | 9,499 | 527,963 | $ | 38,071,412 | $ | 347,037 | $ | (38,565 | ) | |||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 1,507,436 | 14,938,693 | 2,227,586 | 35,563 | 3,699,459 | 37,031,584 | 355,138 | (2,521 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 5,409,606 | 61,236,743 | 6,465,331 | 169,709 | 11,705,228 | 144,676,613 | – | 240,121 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,944,761 | 51,957,210 | 6,828,431 | 767,152 | 12,006,040 | 119,700,220 | – | 897,265 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 18,659,520 | 18,099,414 | 560,106 | 560,106 | 1,562 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 415,810 | 415,810 | 51,674,649 | 52,090,459 | – | – | 2,782 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,982,769 | 21,116,491 | 2,345,274 | 34,593 | 4,293,450 | 49,074,134 | – | 87,588 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 165,874,213 | $ | 389,114,069 | $ | 706,519 | $ | 1,183,888 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 52.6% |
| |||||||
State Street Equity 500 Index II Portfolio | 9,799,539 | $ | 121,122,307 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 4,173,817 | 47,706,727 | ||||||
|
| |||||||
168,829,034 | ||||||||
|
| |||||||
Domestic Fixed Income – 14.3% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 433,856 | 31,285,356 | ||||||
State Street Aggregate Bond Index Portfolio | 1,446,600 | 14,480,461 | ||||||
|
| |||||||
45,765,817 | ||||||||
|
| |||||||
International Equity – 32.6% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 10,506,817 | 104,752,968 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 319,347,819 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 540,360 | 540,360 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% |
| 319,888,179 | ||||||
Other Assets in Excess of Liabilities – 0.3% |
| 1,048,379 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 320,936,558 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 168,829,034 | $ | – | $ | – | $ | 168,829,034 | ||||||||
Domestic Fixed Income | 45,765,817 | – | – | 45,765,817 | ||||||||||||
International Equity | 104,752,968 | – | – | 104,752,968 | ||||||||||||
Short-Term Investment | 540,360 | – | – | 540,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 319,888,179 | $ | – | $ | – | $ | 319,888,179 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 204,304 | $ | 14,074,503 | 232,809 | 3,257 | 433,856 | $ | 31,285,356 | $ | 293,837 | $ | 10,298 | ||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 581,656 | 5,764,211 | 864,944 | – | 1,446,600 | 14,480,461 | 134,708 | – | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 4,792,971 | 54,256,435 | 5,119,336 | 112,768 | 9,799,539 | 121,122,307 | – | 121,901 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,494,710 | 48,023,763 | 5,672,182 | 660,075 | 10,506,817 | 104,752,968 | – | 55,708 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 11,475,138 | 10,934,778 | 540,360 | 540,360 | 1,065 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 383,493 | 383,493 | 41,014,703 | 41,398,196 | – | – | 2,231 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,031,247 | 21,632,779 | 2,159,519 | 16,949 | 4,173,817 | 47,706,727 | – | 20,511 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 144,135,184 | $ | 319,888,179 | $ | 431,841 | $ | 208,418 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.4%(a) |
| |||||||
Domestic Equity – 55.3% |
| |||||||
State Street Equity 500 Index II Portfolio | 6,329,949 | $ | 78,238,167 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 3,051,570 | 34,879,448 | ||||||
|
| |||||||
113,117,615 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 276,512 | 19,939,280 | ||||||
|
| |||||||
International Equity – 34.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 7,064,178 | 70,429,852 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 203,486,747 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 427,030 | 427,030 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.6% |
| 203,913,777 | ||||||
Other Assets in Excess of Liabilities – 0.4% |
| 784,831 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 204,698,608 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 113,117,615 | $ | – | $ | – | $ | 113,117,615 | ||||||||
Domestic Fixed Income | 19,939,280 | – | – | 19,939,280 | ||||||||||||
International Equity | 70,429,852 | – | – | 70,429,852 | ||||||||||||
Short-Term Investment | 427,030 | – | – | 427,030 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 203,913,777 | $ | – | $ | – | $ | 203,913,777 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 109,425 | $ | 7,538,288 | 169,432 | 2,345 | 276,512 | $ | 19,939,280 | $ | 178,798 | $ | (5,225 | ) | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | 2,591,396 | 29,334,598 | 3,796,478 | 57,925 | 6,329,949 | 78,238,167 | – | 64,308 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 3,085,449 | 26,966,824 | 4,332,118 | 353,389 | 7,064,178 | 70,429,852 | – | 385,560 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 10,929,468 | 10,502,438 | 427,030 | 427,030 | 884 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 186,283 | 186,283 | 32,484,163 | 32,670,446 | – | – | 1,552 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,230,788 | 13,107,891 | 1,836,204 | 15,422 | 3,051,570 | 34,879,448 | – | 24,152 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 77,133,884 | $ | 203,913,777 | $ | 181,234 | $ | 468,795 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.3%(a) |
| |||||||
Domestic Equity – 55.2% |
| |||||||
State Street Equity 500 Index II Portfolio | 4,637,270 | $ | 57,316,653 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 2,235,556 | 25,552,403 | ||||||
|
| |||||||
82,869,056 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 202,571 | 14,607,395 | ||||||
|
| |||||||
International Equity – 34.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,175,163 | 51,596,371 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 149,072,822 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 249,526 | 249,526 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% |
| 149,322,348 | ||||||
Other Assets in Excess of Liabilities – 0.5% |
| 710,412 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 150,032,760 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 82,869,056 | $ | – | $ | – | $ | 82,869,056 | ||||||||
Domestic Fixed Income | 14,607,395 | – | – | 14,607,395 | ||||||||||||
International Equity | 51,596,371 | – | – | 51,596,371 | ||||||||||||
Short-Term Investment | 249,526 | – | – | 249,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 149,322,348 | $ | – | $ | – | $ | 149,322,348 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 68,486 | $ | 4,718,001 | 136,137 | 2,052 | 202,571 | $ | 14,607,395 | $ | 134,477 | $ | (4,624 | ) | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,623,760 | 18,380,960 | 3,043,833 | 30,323 | 4,637,270 | 57,316,653 | – | 41,969 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,931,105 | 16,877,862 | 3,496,628 | 252,570 | 5,175,163 | 51,596,371 | – | 229,572 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 6,752,866 | 6,503,340 | 249,526 | 249,526 | 503 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 151,225 | 151,225 | 26,241,646 | 26,392,871 | – | – | 1,227 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 770,307 | 8,203,774 | 1,485,248 | 19,999 | 2,235,556 | 25,552,403 | – | 29,892 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 48,331,822 | $ | 149,322,348 | $ | 136,207 | $ | 296,809 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2055 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 98.9%(a) |
| |||||||
Domestic Equity – 55.0% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,562,204 | $ | 19,308,838 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 752,281 | 8,598,570 | ||||||
|
| |||||||
27,907,408 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 68,277 | 4,923,454 | ||||||
|
| |||||||
International Equity – 34.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,741,840 | 17,366,144 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 50,197,006 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) (Cost $59,597) | 59,597 | 59,597 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.0% |
| 50,256,603 | ||||||
Other Assets in Excess of Liabilities – 1.0% |
| 482,573 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 50,739,176 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 27,907,408 | $ | – | $ | – | $ | 27,907,408 | ||||||||
Domestic Fixed Income | 4,923,454 | – | – | 4,923,454 | ||||||||||||
International Equity | 17,366,144 | – | – | 17,366,144 | ||||||||||||
Short-Term Investment | 59,597 | – | – | 59,597 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 50,256,603 | $ | – | $ | – | $ | 50,256,603 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 26,978 | $ | 1,858,515 | 42,209 | 910 | 68,277 | $ | 4,923,454 | $ | 41,291 | $ | 388 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 638,889 | 7,232,227 | 945,931 | 22,616 | 1,562,204 | 19,308,838 | – | 29,882 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 760,683 | 6,648,369 | 1,076,235 | 95,078 | 1,741,840 | 17,366,144 | – | 31,965 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 3,849,379 | 3,789,782 | 59,597 | 59,597 | 227 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 40,625 | 40,625 | 12,707,173 | 12,747,798 | – | – | 559 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 303,441 | 3,231,648 | 458,144 | 9,304 | 752,281 | 8,598,570 | – | 10,961 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 19,011,384 | $ | 50,256,603 | $ | 42,077 | $ | 73,196 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.2%(a) |
| |||||||
Domestic Equity – 55.2% |
| |||||||
State Street Equity 500 Index II Portfolio | 203,045 | $ | 2,509,639 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 97,794 | 1,117,783 | ||||||
|
| |||||||
3,627,422 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 8,849 | 638,101 | ||||||
|
| |||||||
International Equity – 34.3% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 226,391 | 2,257,119 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 6,522,642 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 23,956 | 23,956 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.6% |
| 6,546,598 | ||||||
Other Assets in Excess of Liabilities – 0.4% |
| 28,732 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 6,575,330 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 3,627,422 | $ | – | $ | – | $ | 3,627,422 | ||||||||
Domestic Fixed Income | 638,101 | – | – | 638,101 | ||||||||||||
International Equity | 2,257,119 | – | – | 2,257,119 | ||||||||||||
Short-Term Investment | 23,956 | – | – | 23,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 6,546,598 | $ | – | $ | – | $ | 6,546,598 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 5,203 | $ | 358,434 | 4,127 | 481 | 8,849 | $ | 638,101 | $ | 5,121 | $ | (5,615 | ) | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | 123,213 | 1,394,774 | 87,819 | 7,987 | 203,045 | 2,509,639 | – | 9,204 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 145,739 | 1,273,762 | 100,121 | 19,469 | 226,391 | 2,257,119 | – | 19,649 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 656,775 | 632,819 | 23,956 | 23,956 | 42 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 1,358,761 | 1,358,761 | – | – | 57 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 58,520 | 623,241 | 42,771 | 3,497 | 97,794 | 1,117,783 | – | 4,697 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 3,650,211 | $ | 6,546,598 | $ | 5,220 | $ | 27,935 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
25
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in affiliated issuers, at value (Note 2) | $ | 87,851,348 | $ | 150,304,752 | $ | 532,832,462 | $ | 546,634,633 | ||||||||
Receivable for investments sold | 699,584 | 2,360,129 | 13,203,965 | 7,499,239 | ||||||||||||
Receivable for fund shares sold | 63,399 | 208,220 | 975,686 | 1,243,869 | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 36,712 | 70,973 | 258,433 | 164,710 | ||||||||||||
Receivable from Adviser (Note 3) | 37,832 | 60,254 | 83,665 | 70,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 88,688,875 | 153,004,328 | 547,354,211 | 555,613,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Due to custodian (Note 3) | 2,237 | 2,228 | 2,783 | 2,222 | ||||||||||||
Payable for investments purchased | 841,311 | 2,373,281 | 13,095,588 | 7,640,634 | ||||||||||||
Payable for fund shares repurchased | 152,608 | 4,308 | 18,782 | 8,855 | ||||||||||||
Advisory fee payable (Note 3) | 3,622 | 6,192 | 21,878 | 22,126 | ||||||||||||
Custodian fees payable (Note 3) | 15,813 | 15,932 | 15,934 | 15,772 | ||||||||||||
Administration fees payable (Note 3) | 3,795 | 6,429 | 22,265 | 22,450 | ||||||||||||
Distribution fees payable (Note 3) | 95 | 163 | 41 | 39 | ||||||||||||
Transfer agent fees payable (Note 3) | 23,305 | 16,564 | 16,892 | 16,752 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 298 | 199 | 384 | 336 | ||||||||||||
Professional fees payable | 25,982 | 25,987 | 26,020 | 26,014 | ||||||||||||
Accrued expenses and other liabilities | 2,247 | 2,706 | 2,370 | 3,405 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 1,071,313 | 2,453,989 | 13,222,937 | 7,758,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 87,617,562 | $ | 150,550,339 | $ | 534,131,274 | $ | 547,854,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 84,740,076 | $ | 144,781,023 | $ | 506,695,558 | $ | 514,260,299 | ||||||||
Undistributed (distribution in excess of) net investment income (loss) | 628,121 | 1,055,997 | 3,009,366 | 2,119,280 | ||||||||||||
Accumulated net realized gain (loss) on investments | 125,912 | 704,236 | 2,186,798 | 2,374,060 | ||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 2,123,453 | 4,009,083 | 22,239,552 | 29,101,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 87,617,562 | $ | 150,550,339 | $ | 534,131,274 | $ | 547,854,748 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets | $ | 460,573 | $ | 792,288 | $ | 197,734 | $ | 187,236 | ||||||||
Shares outstanding | 43,616 | 74,730 | 18,051 | 16,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.56 | $ | 10.60 | $ | 10.95 | $ | 11.15 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 11.06 | $ | 11.10 | $ | 11.47 | $ | 11.68 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets | $ | 628,526 | $ | 847,893 | $ | 895,705 | $ | 2,229,626 | ||||||||
Shares outstanding | 59,450 | 79,879 | 81,776 | 199,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.57 | $ | 10.61 | $ | 10.95 | $ | 11.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net assets | $ | 86,528,463 | $ | 148,910,158 | $ | 533,037,835 | $ | 545,437,886 | ||||||||
Shares outstanding | 8,189,225 | 14,025,175 | 48,651,270 | 48,825,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.57 | $ | 10.62 | $ | 10.96 | $ | 11.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | 85,727,895 | 146,295,669 | 510,592,910 | 517,533,524 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
26
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in affiliated issuers, at value (Note 2) | $ | 530,414,804 | $ | 389,114,069 | $ | 319,888,179 | $ | 203,913,777 | ||||||||
Receivable for investments sold | 5,111,805 | 3,336,105 | 2,586,409 | 1,411,104 | ||||||||||||
Receivable for fund shares sold | 1,112,166 | 1,121,972 | 1,080,144 | 808,618 | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 132,161 | 73,967 | 28,187 | 555 | ||||||||||||
Receivable from Adviser (Note 3) | 56,063 | 47,291 | 42,127 | 40,456 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 536,826,999 | 393,693,404 | 323,625,046 | 206,174,510 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Due to custodian (Note 3) | 2,214 | 2,230 | 2,227 | 2,227 | ||||||||||||
Payable for investments purchased | 4,999,479 | 3,186,044 | 2,586,419 | 1,372,281 | ||||||||||||
Payable for fund shares repurchased | 17,890 | 46,372 | 15,971 | 27,767 | ||||||||||||
Advisory fee payable (Note 3) | 21,474 | 15,782 | 13,045 | 8,250 | ||||||||||||
Custodian fees payable (Note 3) | 16,304 | 15,730 | 15,757 | 15,813 | ||||||||||||
Administration fees payable (Note 3) | 21,768 | 16,006 | 13,248 | 8,377 | ||||||||||||
Distribution fees payable (Note 3) | 39 | 136 | 43 | 90 | ||||||||||||
Transfer agent fees payable (Note 3) | 16,926 | 15,333 | 12,715 | 12,297 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 337 | 166 | 233 | 139 | ||||||||||||
Professional fees payable | 26,016 | 26,004 | 25,999 | 25,985 | ||||||||||||
Accrued expenses and other liabilities | 2,366 | 2,884 | 2,831 | 2,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 5,124,813 | 3,326,687 | 2,688,488 | 1,475,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 531,702,186 | $ | 390,366,717 | $ | 320,936,558 | $ | 204,698,608 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 494,867,378 | $ | 361,180,065 | $ | 294,666,879 | $ | 188,149,247 | ||||||||
Undistributed (distribution in excess of) net investment income (loss) | 1,352,400 | 590,089 | 334,094 | 130,125 | ||||||||||||
Accumulated net realized gain (loss) on investments | 1,025,973 | 1,676,461 | 220,827 | 602,877 | ||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 34,456,435 | 26,920,102 | 25,714,758 | 15,816,359 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 531,702,186 | $ | 390,366,717 | $ | 320,936,558 | $ | 204,698,608 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets | $ | 188,773 | $ | 662,057 | $ | 209,007 | $ | 435,043 | ||||||||
Shares outstanding | 16,724 | 58,059 | 18,335 | 38,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 11.29 | $ | 11.40 | $ | 11.40 | $ | 11.40 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 11.82 | $ | 11.94 | $ | 11.94 | $ | 11.94 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets | $ | 1,743,741 | $ | 889,687 | $ | 856,540 | $ | 942,665 | ||||||||
Shares outstanding | 154,478 | 78,026 | 75,053 | 82,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 11.29 | $ | 11.40 | $ | 11.41 | $ | 11.41 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net assets | $ | 529,769,672 | $ | 388,814,973 | $ | 319,871,011 | $ | 203,320,900 | ||||||||
Shares outstanding | 46,874,560 | 34,034,661 | 28,007,555 | 17,827,623 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 11.30 | $ | 11.42 | $ | 11.42 | $ | 11.40 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | 495,958,369 | 362,193,967 | 294,173,421 | 188,097,418 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
27
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Assets |
| |||||||||||
Investments in affiliated issuers, at value (Note 2) | $ | 149,322,348 | $ | 50,256,603 | $ | 6,546,598 | ||||||
Receivable for investments sold | 1,039,586 | 392,574 | 43,796 | |||||||||
Receivable for fund shares sold | 729,465 | 484,008 | 72,598 | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 291 | 132 | 25 | |||||||||
Receivable from Adviser (Note 3) | 32,179 | 28,430 | 26,800 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 151,123,869 | 51,161,747 | 6,689,817 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Due to custodian (Note 3) | 2,180 | 2,271 | 1,638 | |||||||||
Payable for investments purchased | 993,605 | 354,882 | 54,602 | |||||||||
Payable for fund shares repurchased | 25,051 | 3,895 | 122 | |||||||||
Advisory fee payable (Note 3) | 6,083 | 2,030 | 258 | |||||||||
Custodian fees payable (Note 3) | 15,666 | 15,762 | 15,826 | |||||||||
Administration fees payable (Note 3) | 6,147 | 2,093 | 321 | |||||||||
Distribution fees payable (Note 3) | 52 | 39 | 46 | |||||||||
Transfer agent fees payable (Note 3) | 12,240 | 12,293 | 12,207 | |||||||||
Sub-transfer agent fee payable (Note 3) | 51 | 121 | 155 | |||||||||
Professional fees payable | 25,979 | 25,973 | 25,970 | |||||||||
Printing and postage fees payable | 268 | – | – | |||||||||
Accrued expenses and other liabilities | 3,787 | 3,212 | 3,342 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 1,091,109 | 422,571 | 114,487 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 150,032,760 | $ | 50,739,176 | $ | 6,575,330 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Paid-in Capital | $ | 137,857,240 | $ | 46,960,014 | $ | 6,091,725 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | 98,311 | 30,510 | 3,676 | |||||||||
Accumulated net realized gain (loss) on investments | 389,313 | 102,329 | 27,051 | |||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 11,687,896 | 3,646,323 | 452,878 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 150,032,760 | $ | 50,739,176 | $ | 6,575,330 | ||||||
|
|
|
|
|
| |||||||
Class A |
| |||||||||||
Net assets | $ | 253,826 | $ | 189,228 | $ | 221,253 | ||||||
Shares outstanding | 22,323 | 16,667 | 19,936 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.37 | $ | 11.35 | $ | 11.10 | ||||||
|
|
|
|
|
| |||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 11.91 | $ | 11.88 | $ | 11.62 | ||||||
|
|
|
|
|
| |||||||
Class I |
| |||||||||||
Net assets | $ | 414,780 | $ | 304,529 | $ | 187,982 | ||||||
Shares outstanding | 36,478 | 26,790 | 16,917 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.37 | $ | 11.37 | $ | 11.11 | ||||||
|
|
|
|
|
| |||||||
Class K |
| |||||||||||
Net assets | $ | 149,364,154 | $ | 50,245,419 | $ | 6,166,095 | ||||||
Shares outstanding | 13,134,724 | 4,424,027 | 555,103 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.37 | $ | 11.36 | $ | 11.11 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments: |
| |||||||||||
Investments in affiliated issuers | 137,634,452 | 46,610,280 | 6,093,720 | |||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
28
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2017 (Unaudited)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Investment Income |
| |||||||||||||||
Interest income | $ | 439 | $ | 450 | $ | 449 | $ | 462 | ||||||||
Dividend income – affiliated issuers (Note 2) | 603,814 | 1,007,008 | 3,009,144 | 2,189,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income (loss) | 604,253 | 1,007,458 | 3,009,593 | 2,189,773 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses |
| |||||||||||||||
Advisory fees (Note 3) | 20,863 | 35,327 | 120,742 | 117,114 | ||||||||||||
Administration fees (Note 3) | 20,863 | 35,327 | 120,742 | 117,114 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 557 | 919 | 227 | 225 | ||||||||||||
Custodian fees (Note 3) | 13,408 | 13,551 | 13,542 | 13,353 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 17,006 | 17,506 | 19,890 | 19,630 | ||||||||||||
Transfer agent fees (Note 3) | 29,749 | 27,009 | 27,044 | 27,125 | ||||||||||||
Registration and filing fees | 33,297 | 32,927 | 32,764 | 33,479 | ||||||||||||
Professional fees | 22,724 | 22,731 | 22,796 | 22,782 | ||||||||||||
Printing and postage fees | 4,652 | 8,113 | 9,477 | 9,015 | ||||||||||||
Insurance expense | 88 | 32 | 214 | 110 | ||||||||||||
Miscellaneous expenses | 4,576 | 4,599 | 5,694 | 6,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 167,783 | 198,041 | 373,132 | 366,864 | ||||||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (188,089 | ) | (246,580 | ) | (372,905 | ) | (296,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | (20,306 | ) | (48,539 | ) | 227 | 70,493 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 624,559 | 1,055,997 | 3,009,366 | 2,119,280 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments – affiliated issuers (Note 2) | 425,719 | 654,485 | 2,630,505 | 2,006,352 | ||||||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investments – affiliated issuers (Note 2) | 2,407,381 | 4,917,114 | 23,057,428 | 29,336,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 2,833,100 | 5,571,599 | 25,687,933 | 31,342,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 3,457,659 | $ | 6,627,596 | $ | 28,697,299 | $ | 33,462,262 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
29
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Six Months Ended June 30, 2017 (Unaudited)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||
Investment Income |
| |||||||||||||||
Interest income | $ | 465 | $ | 445 | $ | 449 | $ | 448 | ||||||||
Dividend income – affiliated issuers (Note 2) | 1,489,605 | 706,519 | 431,841 | 181,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income (loss) | 1,490,070 | 706,964 | 432,290 | 181,682 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses |
| |||||||||||||||
Advisory fees (Note 3) | 114,538 | 82,917 | 69,972 | 42,545 | ||||||||||||
Administration fees (Note 3) | 114,538 | 82,917 | 69,972 | 42,545 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 224 | 792 | 236 | 503 | ||||||||||||
Custodian fees (Note 3) | 13,482 | 13,309 | 13,211 | 13,195 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 19,659 | 18,718 | 18,378 | 17,496 | ||||||||||||
Transfer agent fees (Note 3) | 27,058 | 23,161 | 15,085 | 15,149 | ||||||||||||
Registration and filing fees | 33,440 | 34,349 | 34,092 | 34,003 | ||||||||||||
Professional fees | 22,788 | 22,764 | 22,756 | 22,730 | ||||||||||||
Printing and postage fees | 9,327 | 8,694 | 8,762 | 8,123 | ||||||||||||
Insurance expense | 201 | 86 | 154 | 49 | ||||||||||||
Miscellaneous expenses | 5,542 | 5,668 | 5,386 | 4,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 360,797 | 293,375 | 258,004 | 200,981 | ||||||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (223,127 | ) | (176,500 | ) | (159,808 | ) | (149,424 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 137,670 | 116,875 | 98,196 | 51,557 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 1,352,400 | 590,089 | 334,094 | 130,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) |
| |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments – affiliated issuers (Note 2) | 858,341 | 1,183,888 | 208,418 | 468,795 | ||||||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investments – affiliated issuers (Note 2) | 33,887,672 | 25,943,428 | 23,935,904 | 14,547,826 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized gain (loss) | 34,746,013 | 27,127,316 | 24,144,322 | 15,016,621 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 36,098,413 | $ | 27,717,405 | $ | 24,478,416 | $ | 15,146,746 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
30
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Six Months Ended June 30, 2017 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Investment Income | ||||||||||||
Interest income | $ | 496 | $ | 404 | $ | 437 | ||||||
Dividend income – affiliated issuers (Note 2) | 136,207 | 42,077 | 5,220 | |||||||||
|
|
|
|
|
| |||||||
Total investment income (loss) | 136,703 | 42,481 | 5,657 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 3) | 31,754 | 9,787 | 1,233 | |||||||||
Administration fees (Note 3) | 31,754 | 9,787 | 1,233 | |||||||||
Distribution fees (Note 3) | ||||||||||||
Class A | 288 | 226 | 255 | |||||||||
Custodian fees (Note 3) | 13,196 | 13,245 | 13,325 | |||||||||
Trustee’s fees and expenses (Note 4) | 17,152 | 16,568 | 16,335 | |||||||||
Transfer agent fees (Note 3) | 15,111 | 15,110 | 14,981 | |||||||||
Registration and filing fees | 33,910 | 32,685 | 33,510 | |||||||||
Professional fees | 22,717 | 22,706 | 22,701 | |||||||||
Printing and postage fees | 6,760 | 6,324 | 6,075 | |||||||||
Insurance expense | 35 | 15 | 3 | |||||||||
Miscellaneous expenses | 5,918 | 4,797 | 4,540 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 178,595 | 131,250 | 114,191 | |||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (140,203 | ) | (119,279 | ) | (112,210 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 38,392 | 11,971 | 1,981 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 98,311 | 30,510 | 3,676 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments – affiliated issuers (Note 2) | 296,809 | 73,196 | 27,935 | |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments – affiliated issuers (Note 2) | 10,833,265 | 3,377,738 | 423,995 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 11,130,074 | 3,450,934 | 451,930 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 11,228,385 | $ | 3,481,444 | $ | 455,606 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
31
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 624,559 | $ | 926,160 | $ | 1,055,997 | $ | 1,092,386 | ||||||||
Net realized gain (loss) | 425,719 | (148,979 | ) | 654,485 | 611,967 | |||||||||||
Net change in unrealized appreciation/depreciation | 2,407,381 | 674,997 | 4,917,114 | (706,029 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 3,457,659 | 1,452,178 | 6,627,596 | 998,324 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (6,166 | ) | – | (8,155 | ) | ||||||||||
Class I | – | (10,426 | ) | – | (12,230 | ) | ||||||||||
Class K | – | (935,057 | ) | – | (1,117,808 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (951,649 | ) | – | (1,138,193 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (513 | ) | – | (4,222 | ) | ||||||||||
Class I | – | (738 | ) | – | (5,318 | ) | ||||||||||
Class K | – | (66,213 | ) | – | (486,094 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (67,464 | ) | – | (495,634 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (1,019,113 | ) | – | (1,633,827 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 20,000 | – | 149,000 | – | ||||||||||||
Reinvestment of distributions | – | – | – | 389 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 20,000 | – | 149,000 | 389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 12,056 | 41,463 | 5,735 | 102,889 | ||||||||||||
Reinvestment of distributions | – | 3,414 | – | 4,056 | ||||||||||||
Shares redeemed | (23,065 | ) | (110,725 | ) | (19,381 | ) | (362,937 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (11,009 | ) | (65,848 | ) | (13,646 | ) | (255,992 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 36,941,164 | 46,143,254 | 94,484,088 | 84,189,586 | ||||||||||||
Reinvestment of distributions | – | 1,001,270 | – | 1,603,902 | ||||||||||||
Shares redeemed | (9,322,878 | ) | (14,304,713 | ) | (23,610,084 | ) | (17,311,502 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 27,618,286 | 32,839,811 | 70,874,004 | 68,481,986 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 27,627,277 | 32,773,963 | 71,009,358 | 68,226,383 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 31,084,936 | 33,207,028 | 77,636,954 | 67,590,880 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 56,532,626 | 23,325,598 | 72,913,385 | 5,322,505 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 87,617,562 | $ | 56,532,626 | $ | 150,550,339 | $ | 72,913,385 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 628,121 | $ | 3,562 | $ | 1,055,997 | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
32
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 | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 1,949 | – | 14,466 | – | ||||||||||||
Reinvestment of distributions | – | – | – | 39 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,949 | – | 14,466 | 39 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 1,161 | 4,126 | 548 | 10,254 | ||||||||||||
Reinvestment of distributions | – | 337 | – | 402 | ||||||||||||
Shares redeemed | (2,197 | ) | (10,716 | ) | (1,889 | ) | (35,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (1,036 | ) | (6,253 | ) | (1,341 | ) | (24,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 3,598,442 | 4,510,309 | 9,213,564 | 8,231,250 | ||||||||||||
Reinvestment of distributions | – | 99,136 | – | 159,117 | ||||||||||||
Shares redeemed | (895,785 | ) | (1,398,704 | ) | (2,274,791 | ) | (1,685,474 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 2,702,657 | 3,210,741 | 6,938,773 | 6,704,893 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
33
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,009,366 | $ | 3,711,007 | $ | 2,119,280 | $ | 3,079,915 | ||||||||
Net realized gain (loss) | 2,630,505 | 307,846 | 2,006,352 | 1,142,261 | ||||||||||||
Net change in unrealized appreciation/depreciation | 23,057,428 | 2,463,278 | 29,336,630 | 1,078,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 28,697,299 | 6,482,131 | 33,462,262 | 5,300,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,347 | ) | – | (2,252 | ) | ||||||||||
Class I | – | (13,020 | ) | – | (32,761 | ) | ||||||||||
Class K | – | (3,873,680 | ) | – | (3,211,224 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (3,889,047 | ) | – | (3,246,237 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (229 | ) | – | (428 | ) | ||||||||||
Class I | – | (1,078 | ) | – | (5,237 | ) | ||||||||||
Class K | – | (320,549 | ) | – | (513,326 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (321,856 | ) | – | (518,991 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (4,210,903 | ) | – | (3,765,228 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 20,000 | 34,186 | 4,487 | – | ||||||||||||
Reinvestment of distributions | – | 525 | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 20,000 | 34,711 | 4,487 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 127,728 | 271,677 | 374,590 | 640,094 | ||||||||||||
Reinvestment of distributions | – | 13,553 | – | 36,777 | ||||||||||||
Shares redeemed | (81,985 | ) | (1,418,497 | ) | (427,540 | ) | (2,097,980 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 45,743 | (1,133,267 | ) | (52,950 | ) | (1,421,109 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 294,204,245 | 207,056,245 | 320,562,385 | 195,861,516 | ||||||||||||
Reinvestment of distributions | – | 4,194,229 | – | 3,724,550 | ||||||||||||
Shares redeemed | (25,526,973 | ) | (29,972,089 | ) | (15,096,549 | ) | (15,992,219 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 268,677,272 | 181,278,385 | 305,465,836 | 183,593,847 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 268,743,015 | 180,179,829 | 305,417,373 | 182,172,738 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 297,440,314 | 182,451,057 | 338,879,635 | 183,708,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 236,690,960 | 54,239,903 | 208,975,113 | 25,266,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 534,131,274 | $ | 236,690,960 | $ | 547,854,748 | $ | 208,975,113 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 3,009,366 | $ | – | $ | 2,119,280 | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
34
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 1,871 | 3,289 | 429 | – | ||||||||||||
Reinvestment of distributions | – | 51 | – | – | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,871 | 3,340 | 429 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 11,852 | 27,060 | 34,289 | 63,513 | ||||||||||||
Reinvestment of distributions | – | 1,317 | – | 3,557 | ||||||||||||
Shares redeemed | (7,686 | ) | (136,507 | ) | (38,706 | ) | (200,842 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 4,166 | (108,130 | ) | (4,417 | ) | (133,772 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 28,096,477 | 20,069,634 | 30,227,937 | 18,931,937 | ||||||||||||
Reinvestment of distributions | – | 408,396 | – | 360,208 | ||||||||||||
Shares redeemed | (2,383,098 | ) | (2,907,709 | ) | (1,392,570 | ) | (1,540,243 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 25,713,379 | 17,570,321 | 28,835,367 | 17,751,902 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
35
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,352,400 | $ | 3,264,776 | $ | 590,089 | $ | 2,263,146 | ||||||||
Net realized gain (loss) | 858,341 | 827,668 | 1,183,888 | 1,006,931 | ||||||||||||
Net change in unrealized appreciation/depreciation | 33,887,672 | 3,859,742 | 25,943,428 | 2,007,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 36,098,413 | 7,952,186 | 27,717,405 | 5,277,839 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,197 | ) | – | (7,469 | ) | ||||||||||
Class I | – | (23,233 | ) | – | (12,402 | ) | ||||||||||
Class K | – | (3,440,357 | ) | – | (2,404,522 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (3,465,787 | ) | – | (2,424,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (319 | ) | – | (1,501 | ) | ||||||||||
Class I | – | (2,820 | ) | – | (2,067 | ) | ||||||||||
Class K | – | (417,529 | ) | – | (400,753 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (420,668 | ) | – | (404,321 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (3,886,455 | ) | – | (2,828,714 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 5,000 | – | – | 83,713 | ||||||||||||
Reinvestment of distributions | – | – | – | 1,229 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 5,000 | – | – | 84,942 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 268,781 | 493,232 | 72,832 | 267,595 | ||||||||||||
Reinvestment of distributions | – | 24,911 | – | 5,405 | ||||||||||||
Shares redeemed | (178,567 | ) | (1,219,672 | ) | (106,582 | ) | (966,070 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 90,214 | (701,529 | ) | (33,750 | ) | (693,070 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 282,436,133 | 186,539,670 | 206,767,597 | 153,466,291 | ||||||||||||
Reinvestment of distributions | – | 3,857,886 | – | 2,805,275 | ||||||||||||
Shares redeemed | (14,167,520 | ) | (16,861,337 | ) | (10,539,417 | ) | (10,785,680 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 268,268,613 | 173,536,219 | 196,228,180 | 145,485,886 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 268,363,827 | 172,834,690 | 196,194,430 | 144,877,758 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 304,462,240 | 176,900,421 | 223,911,835 | 147,326,883 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 227,239,946 | 50,339,525 | 166,454,882 | 19,127,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 531,702,186 | $ | 227,239,946 | $ | 390,366,717 | $ | 166,454,882 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 1,352,400 | $ | – | �� | $ | 590,089 | $ | – | |||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
36
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 460 | – | – | 7,941 | ||||||||||||
Reinvestment of distributions | – | – | – | 118 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 460 | – | – | 8,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 24,363 | 48,914 | 6,715 | 27,102 | ||||||||||||
Reinvestment of distributions | – | 2,398 | – | 517 | ||||||||||||
Shares redeemed | (16,598 | ) | (116,399 | ) | (9,303 | ) | (91,943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 7,765 | (65,087 | ) | (2,588 | ) | (64,324 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 26,455,875 | 18,046,002 | 19,190,143 | 14,807,074 | ||||||||||||
Reinvestment of distributions | – | 370,951 | – | 268,191 | ||||||||||||
Shares redeemed | (1,300,278 | ) | (1,628,102 | ) | (955,236 | ) | (1,036,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 25,155,597 | 16,788,851 | 18,234,907 | 14,038,867 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
37
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 334,094 | $ | 2,021,715 | $ | 130,125 | $ | 1,061,855 | ||||||||
Net realized gain (loss) | 208,418 | 542,330 | 468,795 | 343,038 | ||||||||||||
Net change in unrealized appreciation/depreciation | 23,935,904 | 4,289,308 | 14,547,826 | 1,861,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 24,478,416 | 6,853,353 | 15,146,746 | 3,266,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (1,958 | ) | – | (4,699 | ) | ||||||||||
Class I | – | (10,651 | ) | – | (12,694 | ) | ||||||||||
Class K | – | (2,158,308 | ) | – | (1,126,768 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (2,170,917 | ) | – | (1,144,161 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (368 | ) | – | (784 | ) | ||||||||||
Class I | – | (1,668 | ) | – | (1,762 | ) | ||||||||||
Class K | – | (338,081 | ) | – | (156,335 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (340,117 | ) | – | (158,881 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (2,511,034 | ) | – | (1,303,042 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 39,152 | 2,190 | 22,000 | 28,972 | ||||||||||||
Reinvestment of distributions | – | 33 | – | 427 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 39,152 | 2,223 | 22,000 | 29,399 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 79,311 | 324,824 | 118,377 | 458,704 | ||||||||||||
Reinvestment of distributions | – | 10,563 | – | 8,519 | ||||||||||||
Shares redeemed | (3,132 | )�� | (1,255,980 | ) | (110,697 | ) | (464,999 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 76,179 | (920,593 | ) | 7,680 | 2,224 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 161,085,356 | 111,674,374 | 117,826,306 | 70,539,581 | ||||||||||||
Reinvestment of distributions | – | 2,496,389 | – | 1,283,103 | ||||||||||||
Shares redeemed | (9,129,658 | ) | (10,208,524 | ) | (5,836,214 | ) | (5,763,109 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 151,955,698 | 103,962,239 | 111,990,092 | 66,059,575 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 152,071,029 | 103,043,869 | 112,019,772 | 66,091,198 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 176,549,445 | 107,386,188 | 127,166,518 | 68,054,320 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 144,387,113 | 37,000,925 | 77,532,090 | 9,477,770 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 320,936,558 | $ | 144,387,113 | $ | 204,698,608 | $ | 77,532,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 334,094 | $ | – | $ | 130,125 | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 3,619 | 210 | 1,983 | 2,812 | ||||||||||||
Reinvestment of distributions | – | 3 | – | 41 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 3,619 | 213 | 1,983 | 2,853 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 7,186 | 32,885 | 10,674 | 45,372 | ||||||||||||
Reinvestment of distributions | – | 1,013 | – | 820 | ||||||||||||
Shares redeemed | (287 | ) | (120,327 | ) | (10,338 | ) | (45,053 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 6,899 | (86,429 | ) | 336 | 1,139 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 15,039,661 | 10,913,691 | 10,994,768 | 6,941,387 | ||||||||||||
Reinvestment of distributions | – | 239,347 | – | 123,494 | ||||||||||||
Shares redeemed | (827,303 | ) | (997,055 | ) | (532,409 | ) | (568,753 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 14,212,358 | 10,155,983 | 10,462,359 | 6,496,128 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
39
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 98,311 | $ | 660,945 | $ | 30,510 | $ | 259,110 | ||||||||
Net realized gain (loss) | 296,809 | 231,371 | 73,196 | 77,160 | ||||||||||||
Net change in unrealized appreciation/depreciation | 10,833,265 | 1,277,772 | 3,377,738 | 501,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 11,228,385 | 2,170,088 | 3,481,444 | 838,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,235 | ) | – | (2,135 | ) | ||||||||||
Class I | – | (5,403 | ) | – | (4,014 | ) | ||||||||||
Class K | – | (704,800 | ) | – | (273,037 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (712,438 | ) | – | (279,186 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (419 | ) | – | (362 | ) | ||||||||||
Class I | – | (841 | ) | – | (565 | ) | ||||||||||
Class K | – | (109,655 | ) | – | (38,398 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (110,915 | ) | – | (39,325 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (823,353 | ) | – | (318,511 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 53,384 | 7,400 | – | – | ||||||||||||
Reinvestment of distributions | – | 109 | – | – | ||||||||||||
Shares redeemed | (450 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 52,934 | 7,509 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 27,809 | 290,721 | 19,223 | 55,860 | ||||||||||||
Reinvestment of distributions | – | 3,260 | – | 1,645 | ||||||||||||
Shares redeemed | (17,081 | ) | (796,279 | ) | (13,706 | ) | (27,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 10,728 | (502,298 | ) | 5,517 | 29,599 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 94,742,449 | 43,363,547 | 29,854,630 | 16,085,979 | ||||||||||||
Reinvestment of distributions | – | 814,456 | – | 311,435 | ||||||||||||
Shares redeemed | (4,563,368 | ) | (3,160,116 | ) | (1,763,785 | ) | (1,212,086 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 90,179,081 | 41,017,887 | 28,090,845 | 15,185,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 90,242,743 | 40,523,098 | 28,096,362 | 15,214,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Contribution by Affiliate (Note 3) | – | – | – | 794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 101,471,128 | 41,869,833 | 31,577,806 | 15,735,478 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 48,561,632 | 6,691,799 | 19,161,370 | 3,425,892 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 150,032,760 | $ | 48,561,632 | $ | 50,739,176 | $ | 19,161,370 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 98,311 | $ | – | $ | 30,510 | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 4,970 | 716 | – | – | ||||||||||||
Reinvestment of distributions | – | 11 | – | – | ||||||||||||
Shares redeemed | (41 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 4,929 | 727 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 2,549 | 29,798 | 1,737 | 5,654 | ||||||||||||
Reinvestment of distributions | – | 315 | – | 159 | ||||||||||||
Shares redeemed | (1,505 | ) | (77,361 | ) | (1,223 | ) | (2,702 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,044 | (47,248 | ) | 514 | 3,111 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 8,901,138 | 4,288,324 | 2,768,696 | 1,587,326 | ||||||||||||
Reinvestment of distributions | – | 78,615 | – | 30,119 | ||||||||||||
Shares redeemed | (415,417 | ) | (314,600 | ) | (159,827 | ) | (119,510 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 8,485,721 | 4,052,339 | 2,608,869 | 1,497,935 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
41
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 3,676 | $ | 46,747 | ||||
Net realized gain (loss) | 27,935 | 53,022 | ||||||
Net change in unrealized appreciation/depreciation | 423,995 | 66,338 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 455,606 | 166,107 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | – | (1,972 | ) | |||||
Class I | – | (2,423 | ) | |||||
Class K | – | (46,023 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (50,418 | ) | |||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | – | (2,158 | ) | |||||
Class I | – | (2,176 | ) | |||||
Class K | – | (41,332 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | – | (45,666 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (96,084 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class A | ||||||||
Shares sold | 33,890 | – | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 33,890 | – | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 1,098 | 11,520 | ||||||
Reinvestment of distributions | – | 38 | ||||||
Shares redeemed | (4 | ) | (14,264 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 1,094 | (2,706 | ) | |||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 2,848,299 | 3,713,026 | ||||||
Reinvestment of distributions | – | 87,354 | ||||||
Shares redeemed | (445,335 | ) | (774,907 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,402,964 | 3,025,473 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 2,437,948 | 3,022,767 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 2,893,554 | 3,092,790 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 3,681,776 | 588,986 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 6,575,330 | $ | 3,681,776 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 3,676 | $ | – | ||||
|
|
|
|
See accompanying notes to financial statements.
42
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Shares of Beneficial Interest: | ||||||||
Class A | ||||||||
Shares sold | 3,269 | – | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 3,269 | – | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 102 | 1,180 | ||||||
Reinvestment of distributions | – | 4 | ||||||
Shares redeemed | – | (1,393 | ) | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 102 | (209 | ) | |||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 265,499 | 371,243 | ||||||
Reinvestment of distributions | – | 8,640 | ||||||
Shares redeemed | (42,091 | ) | (76,528 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 223,408 | 303,355 | ||||||
|
|
|
|
See accompanying notes to financial statements.
43
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.12 | $ | 9.79 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.17 | 0.15 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.38 | 0.32 | (0.21 | ) | 0.01 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.44 | 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 | $ | 10.56 | $ | 10.12 | $ | 9.79 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 4.35 | % | 5.01 | % | (0.64 | )% | 0.64 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 461 | $ | 422 | $ | 408 | $ | 418 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.65 | %(e) | 0.91 | % | 1.40 | % | 21.65 | %(e) | ||||||||
Net expenses(d) | 0.20 | %(e) | 0.22 | % | 0.26 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | 1.23 | %(e) | 1.68 | % | 1.48 | % | 1.82 | %(e) | ||||||||
Portfolio turnover rate | 9 | %(f) | 37 | % | 31 | % | 8 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
44
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.09 | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.17 | 0.17 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.45 | 0.41 | (0.27 | ) | 0.03 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.51 | 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 | $ | 10.60 | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 5.05 | % | 5.92 | % | (1.00 | )% | 0.81 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 792 | $ | 608 | $ | 585 | $ | 585 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.53 | %(e) | 0.83 | % | 5.32 | % | 15.05 | %(e) | ||||||||
Net expenses(d) | 0.18 | %(e) | 0.25 | % | 0.27 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | 1.26 | %(e) | 1.73 | % | 1.65 | % | 2.06 | %(e) | ||||||||
Portfolio turnover rate | 18 | %(f) | 49 | % | 55 | % | 39 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
45
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.29 | $ | 9.76 | $ | 10.14 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.05 | 0.19 | 0.24 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.61 | 0.50 | (0.41 | ) | 0.12 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.66 | 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 | $ | 10.95 | $ | 10.29 | $ | 9.76 | $ | 10.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 6.41 | % | 7.07 | % | (1.71 | )% | 1.66 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 198 | $ | 166 | $ | 125 | $ | 845 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.41 | %(e) | 0.49 | % | 0.80 | % | 9.36 | %(e) | ||||||||
Net expenses(d) | 0.25 | %(e) | 0.26 | % | 0.26 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | 0.99 | %(e) | 1.92 | % | 2.30 | % | 2.32 | %(e) | ||||||||
Portfolio turnover rate | 8 | %(f) | 28 | % | 39 | % | 5 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
46
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.33 | $ | 9.74 | $ | 10.16 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.17 | 0.23 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.59 | (0.44 | ) | 0.13 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.82 | 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 | $ | 11.15 | $ | 10.33 | $ | 9.74 | $ | 10.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 7.94 | % | 7.74 | % | (2.11 | )% | 1.93 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 187 | $ | 169 | $ | 159 | $ | 677 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.41 | %(d) | 0.53 | % | 1.56 | % | 10.90 | %(d) | ||||||||
Net expenses(c) | 0.28 | %(d) | 0.29 | % | 0.28 | % | 0.62 | %(d) | ||||||||
Net investment income (loss) | 0.62 | %(d) | 1.65 | % | 2.27 | % | 2.38 | %(d) | ||||||||
Portfolio turnover rate | 5 | %(e) | 21 | % | 51 | % | 13 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
47
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.39 | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.15 | 0.23 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.88 | 0.64 | (0.44 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.90 | 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 | $ | 11.29 | $ | 10.39 | $ | 9.76 | $ | 10.15 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 8.66 | % | 8.04 | % | (2.07 | )% | 2.12 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 189 | $ | 169 | $ | 159 | $ | 676 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.41 | %(e) | 0.51 | % | 0.84 | % | 12.85 | %(e) | ||||||||
Net expenses(d) | 0.31 | %(e) | 0.29 | % | 0.28 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | 0.33 | %(e) | 1.47 | % | 2.21 | % | 2.05 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 18 | % | 33 | % | 18 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
48
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.44 | $ | 9.78 | $ | 10.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.15 | 0.17 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.95 | 0.67 | (0.39 | ) | 0.15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.96 | 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 | $ | 11.40 | $ | 10.44 | $ | 9.78 | $ | 10.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 9.20 | % | 8.33 | % | (2.15 | )% | 2.13 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 662 | $ | 606 | $ | 489 | $ | 508 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.43 | %(d) | 0.58 | % | 2.08 | % | 17.04 | %(d) | ||||||||
Net expenses(c) | 0.32 | %(d) | 0.30 | % | 0.28 | % | 0.62 | %(d) | ||||||||
Net investment income (loss) | 0.09 | %(d) | 1.48 | % | 1.65 | % | 2.53 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 18 | % | 38 | % | 7 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
49
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.40 | $ | 9.71 | $ | 10.13 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.13 | 0.21 | 0.06 | |||||||||||
Net realized and unrealized gain (loss) | 1.00 | 0.72 | (0.47 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.00 | 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 | $ | 11.40 | $ | 10.40 | $ | 9.71 | $ | 10.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.62 | % | 8.73 | % | (2.53 | )% | 2.17 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 209 | $ | 153 | $ | 141 | $ | 506 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.43 | %(e) | 0.57 | % | 1.04 | % | 18.29 | %(e) | ||||||||
Net expenses(d) | 0.32 | %(e) | 0.29 | % | 0.27 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | (0.01 | )%(e) | 1.34 | % | 2.07 | % | 2.28 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 38 | % | 5 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
50
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2045 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.36 | $ | 9.64 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.14 | 0.17 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.05 | 0.73 | (0.43 | ) | 0.17 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.04 | 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 | $ | 11.40 | $ | 10.36 | $ | 9.64 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 10.04 | % | 9.04 | % | (2.64 | )% | 2.14 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 435 | $ | 375 | $ | 321 | $ | 335 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.49 | %(d) | 0.82 | % | 3.50 | % | 30.47 | %(d) | ||||||||
Net expenses(c) | 0.31 | %(d) | 0.29 | % | 0.26 | % | 0.62 | %(d) | ||||||||
Net investment income (loss) | (0.10 | )%(d) | 1.41 | % | 1.63 | % | 2.07 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 17 | % | 35 | % | 5 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
51
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.34 | $ | 9.62 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.13 | 0.16 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.04 | 0.74 | (0.45 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.03 | 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 | $ | 11.37 | $ | 10.34 | $ | 9.62 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.96 | % | 9.07 | % | (2.85 | )% | 2.13 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 254 | $ | 180 | $ | 160 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.53 | %(e) | 1.15 | % | 4.90 | % | 59.96 | %(e) | ||||||||
Net expenses(d) | 0.31 | %(e) | 0.29 | % | 0.27 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | (0.10 | )%(e) | 1.35 | % | 1.61 | % | 2.03 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 35 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
52
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.32 | $ | 9.60 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.13 | 0.16 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.04 | 0.74 | (0.45 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.03 | 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 | $ | 11.35 | $ | 10.32 | $ | 9.60 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.98 | % | 9.06 | % | (2.90 | )% | 2.13 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 189 | $ | 172 | $ | 160 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.93 | %(e) | 2.34 | % | 7.94 | % | 59.87 | %(e) | ||||||||
Net expenses(d) | 0.31 | %(e) | 0.29 | % | 0.27 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | (0.10 | )%(e) | 1.30 | % | 1.62 | % | 2.03 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 14 | % | 40 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
53
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.09 | $ | 9.50 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.13 | 0.17 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.01 | 0.71 | (0.45 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.01 | 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 | $ | 11.10 | $ | 10.09 | $ | 9.50 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.01 | % | 8.81 | % | (2.78 | )% | 2.12 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 221 | $ | 168 | $ | 158 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 4.87 | %(e) | 11.61 | % | 30.01 | % | 59.73 | %(e) | ||||||||
Net expenses(d) | 0.32 | %(e) | 0.30 | % | 0.27 | % | 0.62 | %(e) | ||||||||
Net investment income (loss) | (0.09 | )%(e) | 1.30 | % | 1.68 | % | 2.04 | %(e) | ||||||||
Portfolio turnover rate | 7 | %(f) | 55 | % | 73 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
54
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.12 | $ | 9.79 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.19 | 0.19 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.37 | 0.32 | (0.23 | ) | 0.02 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.45 | 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 | $ | 10.57 | $ | 10.12 | $ | 9.79 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 4.45 | % | 5.27 | % | (0.39 | )% | 0.70 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 629 | $ | 612 | $ | 653 | $ | 418 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.40 | %(e) | 0.66 | % | 1.15 | % | 21.40 | %(e) | ||||||||
Net expenses(d) | (0.05 | )%(e)(f) | (0.03 | )%(g) | 0.01 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 1.47 | %(e) | 1.89 | % | 1.94 | % | 2.07 | %(e) | ||||||||
Portfolio turnover rate | 9 | %(h) | 37 | % | 31 | % | 8 | %(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Due to the Fund waiving the acquired fund fees for the period ended June 30, 2017, the waiver exceeded the total fund expenses. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
(h) | Not annualized. |
See accompanying notes to financial statements.
55
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.09 | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.19 | 0.23 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.44 | 0.41 | (0.31 | ) | 0.03 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.52 | 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 | $ | 10.61 | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 5.15 | % | 6.19 | % | (0.75 | )% | 0.87 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 848 | $ | 819 | $ | 1,030 | $ | 585 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.28 | %(e) | 0.58 | % | 5.07 | % | 14.80 | %(e) | ||||||||
Net expenses(d) | (0.07 | )%(e)(f) | 0.01 | % | 0.02 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 1.46 | %(e) | 1.85 | % | 2.32 | % | 2.31 | %(e) | ||||||||
Portfolio turnover rate | 18 | %(g) | 49 | % | 55 | % | 39 | %(g) |
* | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Due to the Fund waiving the acquired fund fees for the period ended June 30, 2017, the waiver exceeded the total fund expenses. |
(g) | Not annualized. |
See accompanying notes to financial statements.
56
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.27 | $ | 9.75 | $ | 10.14 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.16 | 0.33 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.62 | 0.54 | (0.49 | ) | 0.11 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.68 | 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 | $ | 10.95 | $ | 10.27 | $ | 9.75 | $ | 10.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 6.52 | % | 7.34 | % | (1.56 | )% | 1.72 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 896 | $ | 797 | $ | 1,811 | $ | 845 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.16 | %(e) | 0.30 | % | 0.55 | % | 9.11 | %(e) | ||||||||
Net expenses(d) | 0.00 | %(e)(f) | 0.07 | % | 0.01 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 1.21 | %(e) | 1.54 | % | 3.28 | % | 2.57 | %(e) | ||||||||
Portfolio turnover rate | 8 | %(g) | 28 | % | 39 | % | 5 | %(g) |
* | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Not annualized. |
See accompanying notes to financial statements.
57
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.33 | $ | 9.74 | $ | 10.16 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.05 | 0.15 | 0.37 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.63 | (0.56 | ) | 0.14 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.83 | 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 | $ | 11.16 | $ | 10.33 | $ | 9.74 | $ | 10.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 8.03 | % | 8.01 | % | (1.87 | )% | 1.99 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,230 | $ | 2,110 | $ | 3,293 | $ | 677 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.16 | %(d) | 0.33 | % | 1.31 | % | 10.65 | %(d) | ||||||||
Net expenses(c) | 0.03 | %(d) | 0.08 | % | 0.03 | % | 0.37 | %(d) | ||||||||
Net investment income (loss) | 0.87 | %(d) | 1.53 | % | 3.71 | % | 5.10 | %(d) | ||||||||
Portfolio turnover rate | 5 | %(e) | 21 | % | 51 | % | 13 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
58
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.37 | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.14 | 0.35 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.89 | 0.65 | (0.54 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.92 | 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 | $ | 11.29 | $ | 10.37 | $ | 9.76 | $ | 10.15 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 8.87 | % | 8.10 | % | (1.83 | )% | 2.18 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,744 | $ | 1,522 | $ | 2,066 | $ | 676 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.16 | %(e) | 0.30 | % | 0.59 | % | 12.59 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.08 | % | 0.03 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 0.56 | %(e) | 1.39 | % | 3.52 | % | 2.30 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 18 | % | 33 | % | 18 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
59
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.43 | $ | 9.77 | $ | 10.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.11 | 0.31 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) | 0.95 | 0.74 | (0.51 | ) | 0.15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.97 | 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 | $ | 11.40 | $ | 10.43 | $ | 9.77 | $ | 10.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 9.30 | % | 8.61 | % | (2.00 | )% | 2.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 890 | $ | 840 | $ | 1,416 | $ | 508 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.18 | %(d) | 0.36 | % | 1.83 | % | 16.79 | %(d) | ||||||||
Net expenses(c) | 0.07 | %(d) | 0.09 | % | 0.03 | % | 0.37 | %(d) | ||||||||
Net investment income (loss) | 0.35 | %(d) | 1.08 | % | 3.07 | % | 2.78 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 18 | % | 38 | % | 7 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
60
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.39 | $ | 9.71 | $ | 10.13 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.09 | 0.40 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.01 | 0.78 | (0.63 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.02 | 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 | $ | 11.41 | $ | 10.39 | $ | 9.71 | $ | 10.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.71 | % | 9.00 | % | (2.28 | )% | 2.23 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 857 | $ | 708 | $ | 1,501 | $ | 506 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.19 | %(e) | 0.38 | % | 0.79 | % | 18.04 | %(e) | ||||||||
Net expenses(d) | 0.07 | %(e) | 0.10 | % | 0.02 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 0.23 | %(e) | 0.86 | % | 4.02 | % | 2.53 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 38 | % | 5 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
61
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2045 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.36 | $ | 9.64 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.15 | 0.30 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 0.75 | (0.54 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.05 | 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 | $ | 11.41 | $ | 10.36 | $ | 9.64 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 10.14 | % | 9.31 | % | (2.40 | )% | 2.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 943 | $ | 853 | $ | 782 | $ | 335 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.24 | %(d) | 0.59 | % | 3.25 | % | 30.22 | %(d) | ||||||||
Net expenses(c) | 0.06 | %(d) | 0.06 | % | 0.01 | % | 0.37 | %(d) | ||||||||
Net investment income (loss) | 0.15 | %(d) | 1.46 | % | 2.97 | % | 2.32 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 17 | % | 35 | % | 5 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
62
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.33 | $ | 9.62 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.08 | 0.43 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.03 | 0.80 | (0.69 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.04 | 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 | $ | 11.37 | $ | 10.33 | $ | 9.62 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.96 | % | 9.34 | % | (2.61 | )% | 2.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 415 | $ | 366 | $ | 795 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.29 | %(e) | 0.97 | % | 4.65 | % | 59.71 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.12 | % | 0.02 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 0.15 | %(e) | 0.76 | % | 4.40 | % | 2.28 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 35 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
63
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.32 | $ | 9.60 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.16 | 0.22 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 0.73 | (0.49 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.05 | 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 | $ | 11.37 | $ | 10.32 | $ | 9.60 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.17 | % | 9.33 | % | (2.65 | )% | 2.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 305 | $ | 271 | $ | 222 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.68 | %(e) | 2.09 | % | 7.69 | % | 59.62 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.04 | % | 0.02 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 0.15 | %(e) | 1.58 | % | 2.20 | % | 2.28 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 14 | % | 40 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
64
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.09 | $ | 9.50 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.15 | 0.20 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.01 | 0.71 | (0.46 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.02 | 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 | $ | 11.11 | $ | 10.09 | $ | 9.50 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.11 | % | 9.09 | % | (2.53 | )% | 2.18 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 188 | $ | 170 | $ | 162 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 4.64 | %(e) | 11.36 | % | 29.76 | % | 59.48 | %(e) | ||||||||
Net expenses(d) | 0.07 | %(e) | 0.05 | % | 0.02 | % | 0.37 | %(e) | ||||||||
Net investment income (loss) | 0.15 | %(e) | 1.51 | % | 1.96 | % | 2.29 | %(e) | ||||||||
Portfolio turnover rate | 7 | %(f) | 55 | % | 73 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
65
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.12 | $ | 9.78 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.23 | 0.20 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.37 | 0.29 | (0.25 | ) | 0.02 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.45 | 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 | $ | 10.57 | $ | 10.12 | $ | 9.78 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 4.55 | % | 5.28 | % | (0.49 | )% | 0.75 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 86,528 | $ | 55,499 | $ | 22,265 | $ | 1,558 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.40 | %(e) | 0.66 | % | 1.15 | % | 25.06 | %(e) | ||||||||
Net expenses(d) | (0.05 | )%(e)(f) | (0.04 | )%(g) | 0.01 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 1.50 | %(e) | 2.23 | % | 1.99 | % | 2.59 | %(e) | ||||||||
Portfolio turnover rate | 9 | %(h) | 37 | % | 31 | % | 8 | %(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Due to the Fund waiving the acquired fund fees for the period ended June 30, 2017, the waiver exceeded the total fund expenses. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
(h) | Not annualized. |
See accompanying notes to financial statements.
66
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.09 | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.28 | 0.22 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.45 | 0.32 | (0.30 | ) | 0.03 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.53 | 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 | $ | 10.62 | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 5.25 | % | 6.19 | % | (0.74 | )% | 0.92 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 148,910 | $ | 71,486 | $ | 3,707 | $ | 1,740 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.28 | %(e) | 0.58 | % | 5.07 | % | 18.68 | %(e) | ||||||||
Net expenses(d) | (0.07 | )%(e)(f) | (0.01 | )%(g) | 0.02 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 1.50 | %(e) | 2.72 | % | 2.19 | % | 2.50 | %(e) | ||||||||
Portfolio turnover rate | 18 | %(h) | 49 | % | 55 | % | 39 | %(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Due to the Fund waiving the acquired fund fees for the period ended June 30, 2017, the waiver exceeded the total fund expenses. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
(h) | Not annualized. |
See accompanying notes to financial statements.
67
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.28 | $ | 9.74 | $ | 10.13 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.07 | 0.27 | 0.23 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.61 | 0.45 | (0.39 | ) | 0.13 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.68 | 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 | $ | 10.96 | $ | 10.28 | $ | 9.74 | $ | 10.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 6.61 | % | 7.45 | % | (1.57 | )% | 1.67 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 533,038 | $ | 235,727 | $ | 52,303 | $ | 6,399 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.15 | %(e) | 0.24 | % | 0.55 | % | 11.13 | %(e) | ||||||||
Net expenses(d) | 0.00 | %(e)(f) | 0.01 | % | 0.01 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 1.25 | %(e) | 2.60 | % | 2.29 | % | 1.62 | %(e) | ||||||||
Portfolio turnover rate | 8 | %(g) | 28 | % | 39 | % | 5 | %(g) |
* | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Not annualized. |
See accompanying notes to financial statements.
68
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.34 | $ | 9.75 | $ | 10.16 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.05 | 0.29 | 0.29 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.49 | (0.47 | ) | 0.15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.83 | 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 | $ | 11.17 | $ | 10.34 | $ | 9.75 | $ | 10.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 8.03 | % | 8.00 | % | (1.77 | )% | 2.04 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 545,438 | $ | 206,696 | $ | 21,815 | $ | 5,597 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.16 | %(d) | 0.28 | % | 1.31 | % | 11.75 | %(d) | ||||||||
Net expenses(c) | 0.03 | %(d) | 0.04 | % | 0.03 | % | 0.17 | %(d) | ||||||||
Net investment income (loss) | 0.91 | %(d) | 2.81 | % | 2.86 | % | 2.19 | %(d) | ||||||||
Portfolio turnover rate | 5 | %(e) | 21 | % | 51 | % | 13 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
69
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.38 | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.03 | 0.25 | 0.25 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) | 0.89 | 0.55 | (0.44 | ) | 0.15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.92 | 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 | $ | 11.30 | $ | 10.38 | $ | 9.76 | $ | 10.15 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 8.86 | % | 8.20 | % | (1.83 | )% | 2.23 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 529,770 | $ | 225,549 | $ | 48,114 | $ | 3,243 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.16 | %(e) | 0.26 | % | 0.59 | % | 14.05 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.05 | % | 0.03 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 0.59 | %(e) | 2.48 | % | 2.42 | % | 2.64 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 18 | % | 33 | % | 18 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
70
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.44 | $ | 9.78 | $ | 10.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.27 | 0.32 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.96 | 0.58 | (0.51 | ) | 0.20 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.98 | 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 | $ | 11.42 | $ | 10.44 | $ | 9.78 | $ | 10.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 9.39 | % | 8.60 | % | (1.90 | )% | 2.25 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 388,815 | $ | 165,008 | $ | 17,223 | $ | 3,208 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.18 | %(d) | 0.33 | % | 1.83 | % | 17.89 | %(d) | ||||||||
Net expenses(c) | 0.07 | %(d) | 0.06 | % | 0.03 | % | 0.17 | %(d) | ||||||||
Net investment income (loss) | 0.36 | %(d) | 2.64 | % | 3.12 | % | 1.28 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 18 | % | 38 | % | 7 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
71
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.40 | $ | 9.72 | $ | 10.13 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.24 | 0.25 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 1.01 | 0.63 | (0.47 | ) | 0.18 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.02 | 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 | $ | 11.42 | $ | 10.40 | $ | 9.72 | $ | 10.13 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 9.81 | % | 8.89 | % | (2.18 | )% | 2.28 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 319,871 | $ | 143,526 | $ | 35,359 | $ | 1,512 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.18 | %(e) | 0.32 | % | 0.79 | % | 20.53 | %(e) | ||||||||
Net expenses(d) | 0.07 | %(e) | 0.05 | % | 0.02 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 0.24 | %(e) | 2.31 | % | 2.47 | % | 1.90 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 38 | % | 5 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
72
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 | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.36 | $ | 9.63 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.27 | 0.30 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.03 | 0.64 | (0.55 | ) | 0.17 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.04 | 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 | $ | 11.40 | $ | 10.36 | $ | 9.63 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 10.04 | % | 9.31 | % | (2.40 | )% | 2.25 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 203,321 | $ | 76,304 | $ | 8,374 | $ | 335 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(c) | 0.24 | %(d) | 0.57 | % | 3.25 | % | 30.02 | %(d) | ||||||||
Net expenses(c) | 0.06 | %(d) | 0.05 | % | 0.01 | % | 0.17 | %(d) | ||||||||
Net investment income (loss) | 0.15 | %(d) | 2.62 | % | 2.99 | % | 2.53 | %(d) | ||||||||
Portfolio turnover rate | 3 | %(e) | 17 | % | 35 | % | 5 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
73
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.33 | $ | 9.61 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.26 | 0.28 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.03 | 0.63 | (0.55 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.04 | 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 | $ | 11.37 | $ | 10.33 | $ | 9.61 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.07 | % | 9.35 | % | (2.71 | )% | 2.25 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 149,364 | $ | 48,016 | $ | 5,736 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.28 | %(e) | 0.90 | % | 4.65 | % | 59.52 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.05 | % | 0.02 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 0.16 | %(e) | 2.61 | % | 2.82 | % | 2.48 | %(e) | ||||||||
Portfolio turnover rate | 3 | %(f) | 16 | % | 35 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
74
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.31 | $ | 9.59 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.26 | 0.27 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 0.63 | (0.55 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.05 | 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 | $ | 11.36 | $ | 10.31 | $ | 9.59 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.18 | % | 9.34 | % | (2.75 | )% | 2.25 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 50,245 | $ | 18,718 | $ | 3,043 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 0.67 | %(e) | 2.09 | % | 7.69 | % | 59.42 | %(e) | ||||||||
Net expenses(d) | 0.06 | %(e) | 0.05 | % | 0.02 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 0.16 | %(e) | 2.61 | % | 2.64 | % | 2.48 | %(e) | ||||||||
Portfolio turnover rate | 4 | %(f) | 14 | % | 40 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
75
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 10.08 | $ | 9.49 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations | ||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.29 | 0.19 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 1.02 | 0.57 | (0.45 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.03 | 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 | $ | 11.11 | $ | 10.08 | $ | 9.49 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 10.22 | % | 8.98 | % | (2.53 | )% | 2.24 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 6,166 | $ | 3,344 | $ | 269 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses(d) | 4.62 | %(e) | 11.36 | % | 29.76 | % | 59.28 | %(e) | ||||||||
Net expenses(d) | 0.07 | %(e) | 0.06 | % | 0.02 | % | 0.17 | %(e) | ||||||||
Net investment income (loss) | 0.16 | %(e) | 2.91 | % | 1.88 | % | 2.49 | %(e) | ||||||||
Portfolio turnover rate | 7 | %(f) | 55 | % | 73 | % | 7 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
See accompanying notes to financial statements.
76
Table of Contents
State Street Institutional Investment Trust
June 30, 2017 (Unaudited)
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 June 30, 2017, 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. 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 series (each a “Fund” and collectively the “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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Each Fund is a “fund of funds” that invests in a combination of mutual funds and exchange traded funds (“ETFs”) sponsored by 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 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 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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• | 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 (“NAV”) 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 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 an 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 June 30, 2017, is disclosed in each Fund’s respective Schedule of Investments.
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
The Funds had no transfers between levels for the period ended June 30, 2017.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
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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.
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 Funds’ investment adviser is contractually obligated until April 30, 2018 (i) to waive up to the full amount of the advisory fee payable by the Funds and/or (ii) to reimburse the Funds to the extent that Total Annual Fund Operating Expenses (exclusive of non-recurring account fees, extraordinary expenses, and distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.13% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board.
Administrator, Sub-Administrator and Custodian 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 the average daily net assets attributable to each class of shares of the Funds. 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 wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, BFDS was a joint
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venture of DST Systems, Inc. and State Street Corporation. 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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 SSGA FD or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
Each Fund may also pay a sub-transfer agent fee at an annual rate of up to 0.20% of the Fund’s average daily net assets attributable to Class A and Class I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, included securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the applicable Schedules of Investments.
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.
The Funds had a cash overdraft related to the expenses incurred during the period ended June 30, 2017.
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.
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5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Target Retirement Fund | $ | 35,946,963 | $ | 7,489,508 | ||||
State Street Target Retirement 2015 Fund | 95,766,752 | 23,899,535 | ||||||
State Street Target Retirement 2020 Fund | 308,680,246 | 38,152,203 | ||||||
State Street Target Retirement 2025 Fund | 326,651,728 | 20,393,969 | ||||||
State Street Target Retirement 2030 Fund | 285,349,530 | 16,661,522 | ||||||
State Street Target Retirement 2035 Fund | 206,775,216 | 10,806,972 | ||||||
State Street Target Retirement 2040 Fund | 159,558,316 | 8,106,509 | ||||||
State Street Target Retirement 2045 Fund | 115,938,710 | 4,416,186 | ||||||
State Street Target Retirement 2050 Fund | 92,926,399 | 3,164,248 | ||||||
State Street Target Retirement 2055 Fund | 29,138,336 | 1,363,022 | ||||||
State Street Target Retirement 2060 Fund | 2,768,899 | 348,399 |
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. 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 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.
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As of June 30, 2017, 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 | $ | 86,139,105 | $ | 2,329,199 | $ | 616,956 | $ | 1,712,243 | ||||||||
State Street Target Retirement 2015 Fund | 146,428,487 | 4,680,824 | 804,559 | 3,876,265 | ||||||||||||
State Street Target Retirement 2020 Fund | 511,781,486 | 23,289,671 | 2,238,695 | 21,050,976 | ||||||||||||
State Street Target Retirement 2025 Fund | 518,078,651 | 30,106,576 | 1,550,594 | 28,555,982 | ||||||||||||
State Street Target Retirement 2030 Fund | 496,695,952 | 35,006,931 | 1,288,079 | 33,718,852 | ||||||||||||
State Street Target Retirement 2035 Fund | 362,491,300 | 27,552,812 | 930,043 | 26,622,769 | ||||||||||||
State Street Target Retirement 2040 Fund | 294,806,530 | 25,574,109 | 492,460 | 25,081,649 | ||||||||||||
State Street Target Retirement 2045 Fund | 188,335,148 | 15,814,136 | 235,507 | 15,578,629 | ||||||||||||
State Street Target Retirement 2050 Fund | 137,755,211 | 11,621,862 | 54,725 | 11,567,137 | ||||||||||||
State Street Target Retirement 2055 Fund | 46,660,376 | 3,630,573 | 34,346 | 3,596,227 | ||||||||||||
State Street Target Retirement 2060 Fund | 6,118,717 | 440,880 | 12,999 | 427,881 |
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 October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Funds had no outstanding loans as of June 30, 2017.
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.
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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. New Accounting Pronouncements
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Funds and concluded that it will be limited to additional disclosures.
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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Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street Target Retirement Fund |
| |||||||||||||||||||
Class A | 0.20 | % | $ | 1,043.50 | $ | 1.01 | $ | 1,023.80 | $ | 1.00 | ||||||||||
Class I | (0.05 | ) | 1,044.50 | (0.25 | ) | 1,025.00 | (0.25 | ) | ||||||||||||
Class K | (0.05 | ) | 1,045.50 | (0.25 | ) | 1,025.00 | (0.25 | ) | ||||||||||||
State Street Target Retirement 2015 Fund |
| |||||||||||||||||||
Class A | 0.18 | 1,050.50 | 0.92 | 1,023.90 | 0.90 | |||||||||||||||
Class I | (0.07 | ) | 1,051.50 | (0.36 | ) | 1,025.10 | (0.35 | ) | ||||||||||||
Class K | (0.07 | ) | 1,052.50 | (0.36 | ) | 1,025.10 | (0.35 | ) |
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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 | 0.25 | % | $ | 1,064.10 | $ | 1.28 | $ | 1,023.60 | $ | 1.25 | ||||||||||
Class I | 0.00 | 1,065.20 | 0.00 | 1,024.80 | 0.00 | |||||||||||||||
Class K | 0.00 | 1,066.10 | 0.00 | 1,024.80 | 0.00 | |||||||||||||||
State Street Target Retirement 2025 Fund |
| |||||||||||||||||||
Class A | 0.28 | 1,079.40 | 1.44 | 1,023.40 | 1.40 | |||||||||||||||
Class I | 0.03 | 1,080.30 | 0.15 | 1,024.60 | 0.15 | |||||||||||||||
Class K | 0.03 | 1,080.30 | 0.15 | 1,024.60 | 0.15 | |||||||||||||||
State Street Target Retirement 2030 Fund |
| |||||||||||||||||||
Class A | 0.31 | 1,086.60 | 1.60 | 1,023.30 | 1.56 | |||||||||||||||
Class I | 0.06 | 1,088.70 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,088.60 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
State Street Target Retirement 2035 Fund |
| |||||||||||||||||||
Class A | 0.32 | 1,092.00 | 1.66 | 1,023.20 | 1.61 | |||||||||||||||
Class I | 0.07 | 1,093.00 | 0.36 | 1,024.40 | 0.35 | |||||||||||||||
Class K | 0.07 | 1,093.90 | 0.36 | 1,024.40 | 0.35 | |||||||||||||||
State Street Target Retirement 2040 Fund |
| |||||||||||||||||||
Class A | 0.32 | 1,096.20 | 1.66 | 1,023.20 | 1.61 | |||||||||||||||
Class I | 0.07 | 1,097.10 | 0.36 | 1,024.40 | 0.35 | |||||||||||||||
Class K | 0.07 | 1,098.10 | 0.36 | 1,024.40 | 0.35 | |||||||||||||||
State Street Target Retirement 2045 Fund |
| |||||||||||||||||||
Class A | 0.31 | 1,100.40 | 1.61 | 1,023.30 | 1.56 | |||||||||||||||
Class I | 0.06 | 1,101.40 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,100.40 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
State Street Target Retirement 2050 Fund |
| |||||||||||||||||||
Class A | 0.31 | 1,099.60 | 1.61 | 1,023.30 | 1.56 | |||||||||||||||
Class I | 0.06 | 1,099.60 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,100.70 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
State Street Target Retirement 2055 Fund |
| |||||||||||||||||||
Class A | 0.31 | 1,099.80 | 1.61 | 1,023.30 | 1.56 | |||||||||||||||
Class I | 0.06 | 1,101.70 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,101.80 | 0.31 | 1,024.50 | 0.30 | |||||||||||||||
State Street Target Retirement 2060 Fund |
| |||||||||||||||||||
Class A | 0.32 | 1,100.10 | 1.67 | 1,023.20 | 1.61 | |||||||||||||||
Class I | 0.07 | 1,101.10 | 0.36 | 1,024.40 | 0.35 | |||||||||||||||
Class K | 0.07 | 1,102.20 | 0.36 | 1,024.40 | 0.35 |
(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 181, then divided by 365. 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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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 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 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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Trustee Considerations in Approving Continuation of
Investment Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the 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 and State Street Target Retirement Fund (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto
1 | Over the course of many years overseeing the Funds and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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Other Information — (continued)
June 30, 2017 (Unaudited)
prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the one-year period ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past two calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; |
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Other Information — (continued)
June 30, 2017 (Unaudited)
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | 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 provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Funds, with respect to its operations relating to the Funds; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory 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 each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreements effective June 1, 2017, for an additional year with respect to the Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. With respect to those funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of a portfolio’s quality distribution and sector and interest rate exposure. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2016.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Target Retirement 2015 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe for the 1-year period and outperformed its Lipper Index for the 1-year period. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
State Street Target Retirement 2020 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2025 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2030 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2035 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2040 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2045 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2050 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2055 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement 2060 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Target Retirement Fund. The Board considered that the Fund outperformed the median of its Performance Universe and underperformed the median of its Performance Group and its Lipper Index for the 1-year period. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory (a) by comparison to the performance of its Performance Group, Performance Universe or Lipper Index or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Funds to limit the total expenses borne by shareholders of the Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Target Retirement 2015 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2020 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2025 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2030 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2035 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2040 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2045 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2050 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2055 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2060 Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
State Street Target Retirement Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Funds, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Funds or the fund complex taken as a whole. The Board concluded that, in light of the current size of each Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to each Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory 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 Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Further, based upon its review of each Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
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 Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Fund shares.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSIITTRETSAR |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
State Street Equity 500 Index II Portfolio
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2017 (Unaudited)
State Street Equity 500 Index Fund | ||||
1 | ||||
3 | ||||
4 | ||||
6 | ||||
State Street Equity 500 Index II Portfolio | ||||
12 | ||||
13 | ||||
20 | ||||
21 | ||||
22 | ||||
23 | ||||
24 | ||||
34 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investment in State Street Equity 500 Index II Portfolio | $ | 697,346,710 | ||
Receivable for fund shares sold | 376,773 | |||
Receivable from Adviser (Note 4) | 83,349 | |||
|
| |||
Total assets | 697,806,832 | |||
|
| |||
Liabilities |
| |||
Payable for investments purchased | 291,428 | |||
Payable for fund shares repurchased | 84,641 | |||
Advisory fees payable (Note 4) | 11,587 | |||
Custodian fees payable (Note 4) | 8,149 | |||
Administration fees payable (Note 4) | 26,775 | |||
Distribution fees payable (Note 4) | 61,865 | |||
Transfer agent fees payable (Note 4) | 39,624 | |||
Sub-transfer agent fee payable (Note 4) | 3,759 | |||
Registration and filing fees payable | 1,551 | |||
Professional fees payable | 16,758 | |||
Printing and postage fees payable | 37,056 | |||
|
| |||
Total liabilities | 583,193 | |||
|
| |||
Net Assets | $ | 697,223,639 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 550,829,984 | ||
Undistributed (distribution in excess of) net investment income (loss) | (571,612 | ) | ||
Accumulated net realized gain (loss) on investment | 23,437,871 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investment in State Street Equity 500 Index II Portfolio | 123,527,396 | |||
|
| |||
Net Assets | $ | 697,223,639 | ||
|
| |||
Administrative Shares |
| |||
Net assets | $ | 255,317,985 | ||
Shares outstanding | 12,431,094 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.54 | ||
|
| |||
Service Shares |
| |||
Net assets | $ | 31,296,837 | ||
Shares outstanding | 1,525,830 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.51 | ||
|
|
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
Class R Shares |
| |||
Net assets | $ | 42,858,424 | ||
Shares outstanding | 2,092,658 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.48 | ||
|
| |||
Maximum sales charge | 5.25 | % | ||
Maximum offering price per share | $ | 21.61 | ||
|
| |||
Class A Shares |
| |||
Net assets | $ | 11,107,418 | ||
Shares outstanding | 541,423 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.52 | ||
|
| |||
Maximum sales charge | 5.25 | |||
Maximum offering price per share | $ | 21.66 | ||
|
| |||
Class I Shares |
| |||
Net assets | $ | 5,521,017 | ||
Shares outstanding | 268,745 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.54 | ||
|
| |||
Class K Shares |
| |||
Net assets | $ | 351,121,958 | ||
Shares outstanding | 17,079,347 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 20.56 | ||
|
| |||
Cost of Investments: |
| |||
Investment in State Street Equity 500 Index II Portfolio | $ | 573,819,314 | ||
|
| |||
Shares of State Street Equity 500 Index II Portfolio | 56,419,637 | |||
|
|
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
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Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income | $ | – | ||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 78,734 | |||
Administration fees (Note 4) | 209,721 | |||
Distribution fees (Note 4) | ||||
Administrative Shares | 208,275 | |||
Service Shares | 97,375 | |||
Class R Shares | 121,728 | |||
Class A Shares | 11,815 | |||
Custodian fees (Note 4) | 6,910 | |||
Trustees’ fees and expenses (Note 5) | 16,448 | |||
Transfer agent fees (Note 4) | 47,648 | |||
Sub-transfer agent fee (Note 4) | ||||
Class A Shares | 9,452 | |||
Class I Shares | 4,913 | |||
Registration and filing fees | 67,727 | |||
Professional fees | 13,665 | |||
Printing and postage fees | 24,745 | |||
Insurance expense | 1,878 | |||
|
| |||
Total expenses | 921,034 | |||
Expenses waived/reimbursed by the Adviser (Note 4) | (349,422 | ) | ||
|
| |||
Net expenses | 571,612 | |||
|
| |||
Net Investment Income (Loss) | (571,612 | ) | ||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investment in State Street Equity 500 Index II Portfolio | 19,297,872 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Equity 500 Index II Portfolio | 51,644,377 | |||
|
| |||
Net realized and unrealized gain (loss) | 70,942,249 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 70,370,637 | ||
|
|
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
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Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (571,612 | ) | $ | 11,786,393 | |||
Net realized gain (loss) | 19,297,872 | 4,935,469 | ||||||
Net change in unrealized appreciation/depreciation | 51,644,377 | 62,316,120 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 70,370,637 | 79,037,982 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Administrative Shares | – | (4,106,875 | ) | |||||
Service Shares | – | (1,701,356 | ) | |||||
Class R Shares | – | (400,997 | ) | |||||
Class A Shares | – | (88,337 | ) | |||||
Class I Shares | – | (61,548 | ) | |||||
Class K Shares | – | (5,971,211 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (12,330,324 | ) | |||||
|
|
|
| |||||
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 | 17,054,148 | 21,875,613 | ||||||
Reinvestment of distributions | – | 5,235,360 | ||||||
Shares redeemed | (63,493,385 | ) | (36,273,233 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (46,439,237 | ) | (9,162,260 | ) | ||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 6,470,468 | 15,822,923 | ||||||
Reinvestment of distributions | – | 2,203,195 | ||||||
Shares redeemed | (107,266,455 | ) | (8,529,710 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (100,795,987 | ) | 9,496,408 | |||||
|
|
|
| |||||
Class R Shares | ||||||||
Shares sold | 5,404,680 | 7,132,413 | ||||||
Reinvestment of distributions | – | 560,130 | ||||||
Shares redeemed | (5,045,534 | ) | (9,967,450 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 359,146 | (2,274,907 | ) | |||||
|
|
|
| |||||
Class A Shares | ||||||||
Shares sold | 3,939,916 | 7,221,028 | ||||||
Reinvestment of distributions | – | 117,809 | ||||||
Shares redeemed | (1,104,452 | ) | (19,080 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,835,464 | 7,319,757 | ||||||
|
|
|
|
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statements of Changes in Net Assets — (continued)
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Class I Shares | ||||||||
Shares sold | 1,280,534 | 4,380,131 | ||||||
Reinvestment of distributions | – | 78,024 | ||||||
Shares redeemed | (643,409 | ) | (57,378 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | 637,125 | 4,400,777 | ||||||
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Class K Shares | ||||||||
Shares sold | 27,412,093 | 308,312,508 | ||||||
Reinvestment of distributions | – | 7,309,089 | ||||||
Shares redeemed | (79,865,414 | ) | (31,860,973 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | (52,453,321 | ) | 283,760,624 | |||||
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| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | (195,856,810 | ) | 293,540,399 | |||||
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Net Increase (Decrease) in Net Assets During the Period | (125,486,173 | ) | 356,922,056 | |||||
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Net Assets at Beginning of Period | 822,709,812 | 465,787,756 | ||||||
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Net Assets at End of Period | $ | 697,223,639 | $ | 822,709,812 | ||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | (571,612 | ) | $ | – | |||
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Shares of Beneficial Interest: | ||||||||
Administrative Shares | ||||||||
Shares sold | 860,621 | 1,230,543 | ||||||
Reinvestment of distributions | – | 275,111 | ||||||
Shares redeemed | (3,150,058 | ) | (1,992,281 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | (2,289,437 | ) | (486,627 | ) | ||||
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Service Shares | ||||||||
Shares sold | 330,178 | 892,147 | ||||||
Reinvestment of distributions | – | 115,896 | ||||||
Shares redeemed | (5,428,043 | ) | (491,370 | ) | ||||
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Net increase (decrease) from share transactions | (5,097,865 | ) | 516,673 | |||||
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Class R Shares | ||||||||
Shares sold | 272,081 | 406,522 | ||||||
Reinvestment of distributions | – | 29,450 | ||||||
Shares redeemed | (256,815 | ) | (564,687 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | 15,266 | (128,715 | ) | |||||
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Class A Shares | ||||||||
Shares sold | 197,904 | 390,086 | ||||||
Reinvestment of distributions | – | 6,191 | ||||||
Shares redeemed | (55,197 | ) | (1,049 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | 142,707 | 395,228 | ||||||
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Class I Shares | ||||||||
Shares sold | 64,252 | 233,255 | ||||||
Reinvestment of distributions | – | 4,098 | ||||||
Shares redeemed | (32,766 | ) | (3,035 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | 31,486 | 234,318 | ||||||
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Class K Shares | ||||||||
Shares sold | 1,373,932 | 17,379,691 | ||||||
Reinvestment of distributions | – | 384,082 | ||||||
Shares redeemed | (3,939,353 | ) | (1,734,066 | ) | ||||
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Net increase (decrease) from share transactions | (2,565,421 | ) | 16,029,707 | |||||
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|
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Selected data for a share outstanding throughout each period
Administrative Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.83 | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.26 | 0.31 | 0.29 | 0.26 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.73 | 1.76 | (0.12 | ) | 1.79 | 3.56 | 1.42 | |||||||||||||||||
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Total from investment operations | 1.71 | 2.02 | 0.19 | 2.08 | 3.82 | 1.66 | ||||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | – | (0.28 | ) | (0.29 | ) | (0.31 | ) | (0.26 | ) | (0.23 | ) | |||||||||||||
Net realized gains | – | (0.08 | ) | – | – | – | – | |||||||||||||||||
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Total distributions | – | (0.36 | ) | (0.29 | ) | (0.31 | ) | (0.26 | ) | (0.23 | ) | |||||||||||||
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Net asset value, end of period | $ | 20.54 | $ | 18.83 | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | ||||||||||||
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Total return(b) | 9.08 | % | 11.75 | % | 1.08 | % | 13.41 | % | 31.97 | % | 15.84 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 255,318 | $ | 277,141 | $ | 261,038 | $ | 248,180 | $ | 230,330 | $ | 185,918 | ||||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||||||
Total expenses | 0.27 | %(d)(f) | 0.27 | %(f) | 0.31 | %(f) | 0.30 | %(e) | 0.25 | % | 0.25 | % | ||||||||||||
Net expenses | 0.18 | %(d)(f) | 0.18 | %(f) | 0.18 | %(f) | 0.23 | %(e) | 0.25 | % | 0.25 | % | ||||||||||||
Net investment income (loss) | (0.18 | )%(d) | 1.48 | % | 1.76 | % | 1.78 | % | 1.84 | % | 2.06 | % | ||||||||||||
Portfolio turnover rate | 16 | %(g)(h) | 5 | %(h) | 5 | %(h) | 4 | %(i) | 4 | %(j) | 9 | %(j) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | 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). |
(j) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Service Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.81 | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | 0.26 | 0.22 | 0.28 | 0.24 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.73 | 1.74 | (0.05 | ) | 1.77 | 3.57 | 1.41 | |||||||||||||||||
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Total from investment operations | 1.70 | 2.00 | 0.17 | 2.05 | 3.81 | 1.64 | ||||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | – | (0.26 | ) | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.22 | ) | |||||||||||||
Net realized gains | – | (0.08 | ) | – | – | – | – | |||||||||||||||||
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Total distributions | – | (0.34 | ) | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.22 | ) | |||||||||||||
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Net asset value, end of period | $ | 20.51 | $ | 18.81 | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | ||||||||||||
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Total return(b) | 9.04 | % | 11.65 | % | 0.98 | % | 13.24 | % | 31.97 | % | 15.64 | % | ||||||||||||
Ratios and Supplemental Data:(c) | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 31,297 | $ | 124,591 | $ | 104,730 | $ | 126,412 | $ | 124,885 | $ | 88,416 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.36 | %(d)(f) | 0.37 | %(f) | 0.41 | %(f) | 0.40 | %(e) | 0.35 | % | 0.35 | % | ||||||||||||
Net expenses | 0.28 | %(d)(f) | 0.27 | %(f) | 0.28 | %(f) | 0.33 | %(e) | 0.35 | % | 0.35 | % | ||||||||||||
Net investment income (loss) | (0.28 | )%(d)(f) | 1.46 | % | 1.25 | % | 1.73 | % | 1.74 | % | 1.96 | % | ||||||||||||
Portfolio turnover rate | 16 | %(g)(h) | 5 | %(h) | 5 | %(h) | 4 | %(i) | 4 | %(j) | 9 | %(j) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | 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). |
(j) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class R Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.81 | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.06 | ) | 0.18 | 0.19 | 0.22 | 0.19 | 0.19 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.73 | 1.76 | (0.09 | ) | 1.78 | 3.56 | 1.41 | |||||||||||||||||
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Total from investment operations | 1.67 | 1.94 | 0.10 | 2.00 | 3.75 | 1.60 | ||||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | – | (0.20 | ) | (0.21 | ) | (0.23 | ) | (0.19 | ) | (0.18 | ) | |||||||||||||
Net realized gains | – | (0.08 | ) | – | – | – | – | |||||||||||||||||
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Total distributions | – | (0.28 | ) | (0.21 | ) | (0.23 | ) | (0.19 | ) | (0.18 | ) | |||||||||||||
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Net asset value, end of period | $ | 20.48 | $ | 18.81 | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | ||||||||||||
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Total return(b) | 8.88 | % | 11.26 | % | 0.58 | % | 12.91 | % | 31.40 | % | 15.22 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 42,858 | $ | 39,086 | $ | 37,845 | $ | 41,148 | $ | 32,555 | $ | 21,954 | ||||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||||||
Total expenses | 0.72 | %(d)(f) | 0.72 | %(f) | 0.76 | %(f) | 0.75 | %(e) | 0.70 | % | 0.70 | % | ||||||||||||
Net expenses | 0.63 | %(d)(f) | 0.63 | %(f) | 0.63 | %(f) | 0.68 | %(e) | 0.70 | % | 0.70 | % | ||||||||||||
Net investment income (loss) | (0.63 | )%(d) | 0.99 | % | 1.09 | % | 1.37 | % | 1.40 | % | 1.62 | % | ||||||||||||
Portfolio turnover rate | 16 | %(g)(h) | 5 | %(h) | 5 | %(h) | 4 | %(i) | 4 | %(j) | 9 | %(j) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | 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). |
(j) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
8
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class A Shares | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.83 | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.05 | ) | 0.68 | 0.25 | 0.11 | |||||||||||
Net realized and unrealized gain (loss) | 1.74 | 0.29 | (0.11 | ) | 0.45 | |||||||||||
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Total from investment operations | 1.69 | 1.97 | 0.14 | 0.56 | ||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | – | (0.23 | ) | (0.24 | ) | (0.29 | ) | |||||||||
Net realized gains | – | (0.08 | ) | – | – | |||||||||||
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Total distributions | – | (0.31 | ) | (0.24 | ) | (0.29 | ) | |||||||||
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| |||||||||
Net asset value, end of period | $ | 20.52 | $ | 18.83 | $ | 17.17 | $ | 17.27 | ||||||||
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Total return(b) | 8.98 | % | 11.42 | % | 0.78 | % | 3.28 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 11,107 | $ | 7,509 | $ | 60 | $ | 51 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.57 | %(c)(d) | 0.57 | %(d) | 0.61 | %(d) | 0.70 | %(c)(d) | ||||||||
Net expenses | 0.48 | %(c)(d) | 0.48 | %(d) | 0.48 | %(d) | 0.51 | %(c)(d) | ||||||||
Net investment income (loss) | (0.48 | )%(c) | 3.69 | % | 1.43 | % | 2.32 | %(c) | ||||||||
Portfolio turnover rate | 16 | %(e)(f) | 5 | %(f) | 5 | %(f) | 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 is 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) | Not annualized. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
9
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class I Shares | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.84 | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||||
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| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 2.86 | 0.29 | 0.13 | |||||||||||
Net realized and unrealized gain (loss) | 1.72 | (0.84 | ) | (0.11 | ) | 0.44 | ||||||||||
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Total from investment operations | 1.70 | 2.02 | 0.18 | 0.57 | ||||||||||||
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| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | – | (0.27 | ) | (0.28 | ) | (0.30 | ) | |||||||||
Net realized gains | – | (0.08 | ) | – | – | |||||||||||
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| |||||||||
Total distributions | – | (0.35 | ) | (0.28 | ) | (0.30 | ) | |||||||||
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| |||||||||
Net asset value, end of period | $ | 20.54 | $ | 18.84 | $ | 17.17 | $ | 17.27 | ||||||||
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| |||||||||
Total return(b) | 9.02 | % | 11.75 | % | 1.03 | % | 3.35 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 5,521 | $ | 4,469 | $ | 50 | $ | 51 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.32 | %(c)(d) | 0.32 | %(d) | 0.36 | %(d) | 0.45 | %(c)(d) | ||||||||
Net expenses | 0.23 | %(c)(d) | 0.23 | %(d) | 0.23 | %(d) | 0.26 | %(c)(d) | ||||||||
Net investment income (loss) | (0.23 | )%(c) | 15.53 | %(e) | 1.66 | % | 2.57 | %(c) | ||||||||
Portfolio turnover rate | 16 | %(f)(g) | 5 | %(g) | 5 | %(g) | 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 is 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) | Not annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
10
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class K Shares | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 18.83 | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.44 | 1.45 | 0.14 | |||||||||||
Net realized and unrealized gain (loss) | 1.73 | 1.61 | (1.23 | ) | 0.44 | |||||||||||
|
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Total from investment operations | 1.73 | 2.05 | 0.22 | 0.58 | ||||||||||||
|
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | – | (0.31 | ) | (0.32 | ) | (0.31 | ) | |||||||||
Net realized gains | – | (0.08 | ) | – | – | |||||||||||
|
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Total distributions | – | (0.39 | ) | (0.32 | ) | (0.31 | ) | |||||||||
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Net asset value, end of period | $ | 20.56 | $ | 18.83 | $ | 17.17 | $ | 17.27 | ||||||||
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Total return(c) | 9.19 | % | 11.92 | % | 1.23 | % | 3.41 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 351,122 | $ | 369,915 | $ | 62,064 | $ | 51 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.12 | %(d)(e) | 0.12 | %(e) | 0.16 | %(e) | 0.27 | %(d)(e) | ||||||||
Net expenses | 0.03 | %(d)(e) | 0.03 | %(e) | 0.03 | %(e) | 0.06 | %(d)(e) | ||||||||
Net investment income (loss) | (0.03 | )%(d) | 2.42 | % | 8.45 | %(f) | 2.78 | %(d) | ||||||||
Portfolio turnover rate | 16 | %(g)(h) | 5 | %(h) | 5 | %(h) | 4 | %(g)(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005. |
(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 is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(g) | Not annualized. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of corresponding Portfolio.
11
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 97.2 | % | ||
Short-Term Investments | 0.6 | |||
Other Assets in Excess of Liabilities | 2.2 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2017 | |||
Information Technology | 21.6 | % | ||
Financials | 14.1 | |||
Health Care | 14.0 | |||
Consumer Discretionary | 12.0 | |||
Industrials | 10.0 | |||
Total | 71.7 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
12
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.2% | ||||||||
Consumer Discretionary – 12.0% |
| |||||||
Advance Auto Parts, Inc. | 7,000 | $ | 816,130 | |||||
Amazon.com, Inc.(a) | 34,890 | 33,773,520 | ||||||
AutoNation, Inc.(a) | 6,194 | 261,139 | ||||||
AutoZone, Inc.(a) | 2,476 | 1,412,459 | ||||||
Bed Bath & Beyond, Inc. | 14,415 | 438,216 | ||||||
Best Buy Co., Inc. | 22,906 | 1,313,201 | ||||||
BorgWarner, Inc. | 18,977 | 803,866 | ||||||
CarMax, Inc.(a) | 14,903 | 939,783 | ||||||
Carnival Corp. | 37,201 | 2,439,270 | ||||||
CBS Corp. Class B | 33,142 | 2,113,797 | ||||||
Charter Communications, Inc. Class A(a) | 19,100 | 6,433,835 | ||||||
Chipotle Mexican Grill, Inc.(a) | 2,686 | 1,117,645 | ||||||
Coach, Inc. | 22,828 | 1,080,678 | ||||||
Comcast Corp. Class A | 415,266 | 16,162,153 | ||||||
D.R. Horton, Inc. | 32,197 | 1,113,050 | ||||||
Darden Restaurants, Inc. | 11,671 | 1,055,525 | ||||||
Delphi Automotive PLC | 23,919 | 2,096,500 | ||||||
Discovery Communications, Inc. Class A(a) | 14,403 | 372,029 | ||||||
Discovery Communications, Inc. Class C(a) | 21,003 | 529,486 | ||||||
DISH Network Corp. Class A(a) | 18,600 | 1,167,336 | ||||||
Dollar General Corp. | 21,713 | 1,565,290 | ||||||
Dollar Tree, Inc.(a) | 21,626 | 1,512,090 | ||||||
Expedia, Inc. | 10,134 | 1,509,459 | ||||||
Foot Locker, Inc. | 12,900 | 635,712 | ||||||
Ford Motor Co. | 344,038 | 3,849,785 | ||||||
Gap, Inc. | 20,834 | 458,140 | ||||||
Garmin, Ltd. | 10,940 | 558,268 | ||||||
General Motors Co. | 120,323 | 4,202,882 | ||||||
Genuine Parts Co. | 11,989 | 1,112,100 | ||||||
Goodyear Tire & Rubber Co. | 19,544 | 683,258 | ||||||
H&R Block, Inc. | 19,664 | 607,814 | ||||||
Hanesbrands, Inc. | 28,100 | 650,796 | ||||||
Harley-Davidson, Inc. | 16,816 | 908,400 | ||||||
Hasbro, Inc. | 9,097 | 1,014,406 | ||||||
Hilton Worldwide Holdings, Inc. | 17,000 | 1,051,450 | ||||||
Home Depot, Inc. | 104,902 | 16,091,967 | ||||||
Interpublic Group of Cos., Inc. | 37,666 | 926,584 | ||||||
Kohl’s Corp. | 16,745 | 647,529 | ||||||
L Brands, Inc. | 22,821 | 1,229,824 | ||||||
Leggett & Platt, Inc. | 12,654 | 664,715 | ||||||
Lennar Corp. Class A | 18,706 | 997,404 | ||||||
LKQ Corp.(a) | 29,200 | 962,140 | ||||||
Lowe’s Cos., Inc. | 74,550 | 5,779,862 | ||||||
Macy’s, Inc. | 29,062 | 675,401 | ||||||
Marriott International, Inc. Class A | 27,555 | 2,764,042 | ||||||
Mattel, Inc. | 32,533 | 700,435 | ||||||
McDonald’s Corp. | 71,310 | 10,921,840 | ||||||
Michael Kors Holdings, Ltd.(a) | 15,614 | 566,008 | ||||||
Mohawk Industries, Inc.(a) | 5,231 | 1,264,280 | ||||||
Netflix, Inc.(a) | 38,304 | 5,723,001 | ||||||
Newell Brands, Inc. | 42,841 | 2,297,134 | ||||||
News Corp. Class A | 36,288 | 497,146 | ||||||
News Corp. Class B | 11,400 | 161,310 | ||||||
NIKE, Inc. Class B | 117,906 | 6,956,454 | ||||||
Nordstrom, Inc.(b) | 11,077 | 529,813 | ||||||
O’Reilly Automotive, Inc.(a) | 8,180 | 1,789,293 | ||||||
Omnicom Group, Inc. | 21,491 | 1,781,604 | ||||||
Priceline Group, Inc.(a) | 4,375 | 8,183,525 | ||||||
PulteGroup, Inc. | 28,262 | 693,267 | ||||||
PVH Corp. | 7,549 | 864,361 | ||||||
Ralph Lauren Corp. | 5,379 | 396,970 | ||||||
Ross Stores, Inc. | 35,156 | 2,029,556 | ||||||
Royal Caribbean Cruises, Ltd. | 14,300 | 1,561,989 | ||||||
Scripps Networks Interactive, Inc. Class A | 9,072 | 619,708 | ||||||
Signet Jewelers, Ltd. | 6,600 | 417,384 | ||||||
Staples, Inc. | 61,799 | 622,316 | ||||||
Starbucks Corp. | 126,230 | 7,360,471 | ||||||
Target Corp. | 49,672 | 2,597,349 | ||||||
Tiffany & Co. | 10,199 | 957,380 | ||||||
Time Warner, Inc. | 69,011 | 6,929,395 | ||||||
TJX Cos., Inc. | 56,637 | 4,087,492 | ||||||
Tractor Supply Co. | 12,426 | 673,613 | ||||||
TripAdvisor, Inc.(a) | 10,842 | 414,164 | ||||||
Twenty-First Century Fox, Inc. Class A | 94,200 | 2,669,628 | ||||||
Twenty-First Century Fox, Inc. Class B | 39,600 | 1,103,652 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 5,400 | 1,551,636 | ||||||
Under Armour, Inc. Class A(a)(b) | 17,424 | 379,146 | ||||||
Under Armour, Inc. Class C(a) | 17,575 | 354,312 | ||||||
VF Corp. | 28,144 | 1,621,094 | ||||||
Viacom, Inc. Class B | 32,981 | 1,107,172 | ||||||
Walt Disney Co. | 127,552 | 13,552,400 | ||||||
Whirlpool Corp. | 6,002 | 1,150,103 | ||||||
Wyndham Worldwide Corp. | 8,353 | 838,725 | ||||||
Wynn Resorts, Ltd. | 7,541 | 1,011,399 | ||||||
Yum! Brands, Inc. | 29,802 | 2,198,196 | ||||||
|
| |||||||
225,633,657 | ||||||||
|
| |||||||
Consumer Staples – 8.8% | ||||||||
Altria Group, Inc. | 169,229 | 12,602,484 | ||||||
Archer-Daniels-Midland Co. | 50,832 | 2,103,428 | ||||||
Brown-Forman Corp. Class B | 17,342 | 842,821 | ||||||
Campbell Soup Co. | 18,382 | 958,621 | ||||||
Church & Dwight Co., Inc. | 23,300 | 1,208,804 | ||||||
Clorox Co. | 11,764 | 1,567,435 | ||||||
Coca-Cola Co. | 337,300 | 15,127,905 | ||||||
Colgate-Palmolive Co. | 78,523 | 5,820,910 | ||||||
Conagra Brands, Inc. | 34,924 | 1,248,882 | ||||||
Constellation Brands, Inc. Class A | 15,450 | 2,993,129 | ||||||
Costco Wholesale Corp. | 39,155 | 6,262,059 | ||||||
Coty, Inc. Class A | 44,678 | 838,159 | ||||||
CVS Health Corp. | 90,605 | 7,290,078 | ||||||
Dr. Pepper Snapple Group, Inc. | 16,797 | 1,530,375 | ||||||
Estee Lauder Cos., Inc. Class A | 20,341 | 1,952,329 | ||||||
General Mills, Inc. | 51,942 | 2,877,587 | ||||||
Hershey Co. | 11,467 | 1,231,212 | ||||||
Hormel Foods Corp. | 25,602 | 873,284 | ||||||
J.M. Smucker Co. | 9,505 | 1,124,727 | ||||||
Kellogg Co. | 21,528 | 1,495,335 |
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Consumer Staples – (continued) |
| |||||||
Kimberly-Clark Corp. | 31,427 | $ | 4,057,540 | |||||
Kraft Heinz Co. | 52,718 | 4,514,770 | ||||||
Kroger Co. | 82,442 | 1,922,547 | ||||||
McCormick & Co., Inc. | 9,092 | 886,561 | ||||||
Molson Coors Brewing Co. Class B | 16,853 | 1,455,088 | ||||||
Mondelez International, Inc. Class A | 135,815 | 5,865,850 | ||||||
Monster Beverage Corp.(a) | 36,835 | 1,829,963 | ||||||
PepsiCo, Inc. | 125,316 | 14,472,745 | ||||||
Philip Morris International, Inc. | 136,312 | 16,009,844 | ||||||
Procter & Gamble Co. | 224,626 | 19,576,156 | ||||||
Reynolds American, Inc. | 73,108 | 4,754,944 | ||||||
Sysco Corp. | 44,274 | 2,228,310 | ||||||
Tyson Foods, Inc. Class A | 25,244 | 1,581,032 | ||||||
Wal-Mart Stores, Inc. | 129,103 | 9,770,515 | ||||||
Walgreens Boots Alliance, Inc. | 75,805 | 5,936,290 | ||||||
Whole Foods Market, Inc. | 26,079 | 1,098,187 | ||||||
|
| |||||||
165,909,906 | ||||||||
|
| |||||||
Energy – 5.9% | ||||||||
Anadarko Petroleum Corp. | 50,082 | 2,270,718 | ||||||
Apache Corp. | 34,755 | 1,665,807 | ||||||
Baker Hughes, Inc. | 38,979 | 2,124,745 | ||||||
Cabot Oil & Gas Corp. | 44,178 | 1,107,984 | ||||||
Chesapeake Energy Corp.(a) | 70,788 | 351,816 | ||||||
Chevron Corp. | 166,312 | 17,351,331 | ||||||
Cimarex Energy Co. | 9,058 | 851,543 | ||||||
Concho Resources, Inc.(a) | 12,300 | 1,494,819 | ||||||
ConocoPhillips | 107,127 | 4,709,303 | ||||||
Devon Energy Corp. | 44,301 | 1,416,303 | ||||||
EOG Resources, Inc. | 49,871 | 4,514,323 | ||||||
EQT Corp. | 16,457 | 964,216 | ||||||
Exxon Mobil Corp. | 372,775 | 30,094,126 | ||||||
Halliburton Co. | 77,967 | 3,329,971 | ||||||
Helmerich & Payne, Inc. | 10,226 | 555,681 | ||||||
Hess Corp. | 25,357 | 1,112,412 | ||||||
Kinder Morgan, Inc. | 172,550 | 3,306,058 | ||||||
Marathon Oil Corp. | 80,488 | 953,783 | ||||||
Marathon Petroleum Corp. | 46,974 | 2,458,149 | ||||||
Murphy Oil Corp. | 15,379 | 394,164 | ||||||
National Oilwell Varco, Inc. | 35,916 | 1,183,073 | ||||||
Newfield Exploration Co.(a) | 18,715 | 532,629 | ||||||
Noble Energy, Inc. | 40,725 | 1,152,517 | ||||||
Occidental Petroleum Corp. | 65,909 | 3,945,972 | ||||||
ONEOK, Inc. | 33,496 | 1,747,151 | ||||||
Phillips 66 | 39,573 | 3,272,291 | ||||||
Pioneer Natural Resources Co. | 15,176 | 2,421,786 | ||||||
Range Resources Corp. | 17,859 | 413,793 | ||||||
Schlumberger, Ltd. | 123,750 | 8,147,700 | ||||||
TechnipFMC PLC(a) | 37,791 | 1,027,915 | ||||||
Tesoro Corp. | 12,516 | 1,171,498 | ||||||
Transocean, Ltd.(a) | 37,010 | 304,592 | ||||||
Valero Energy Corp. | 40,323 | 2,720,190 | ||||||
Williams Cos., Inc. | 71,258 | 2,157,692 | ||||||
|
| |||||||
111,226,051 | ||||||||
|
| |||||||
Financials – 14.1% | ||||||||
Affiliated Managers Group, Inc. | 5,224 | 866,453 | ||||||
Aflac, Inc. | 35,853 | 2,785,061 | ||||||
Allstate Corp. | 32,639 | 2,886,593 | ||||||
American Express Co. | 66,412 | 5,594,547 | ||||||
American International Group, Inc. | 76,201 | 4,764,087 | ||||||
Ameriprise Financial, Inc. | 13,644 | 1,736,745 | ||||||
Aon PLC | 22,965 | 3,053,197 | ||||||
Arthur J Gallagher & Co. | 16,900 | 967,525 | ||||||
Assurant, Inc. | 5,385 | 558,371 | ||||||
Bank of America Corp. | 874,305 | 21,210,639 | ||||||
Bank of New York Mellon Corp. | 89,894 | 4,586,392 | ||||||
BB&T Corp. | 72,531 | 3,293,633 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 167,084 | 28,299,017 | ||||||
BlackRock, Inc. | 10,516 | 4,442,064 | ||||||
Capital One Financial Corp. | 43,195 | 3,568,771 | ||||||
CBOE Holdings, Inc. | 8,700 | 795,180 | ||||||
Charles Schwab Corp. | 105,204 | 4,519,564 | ||||||
Chubb, Ltd. | 41,353 | 6,011,899 | ||||||
Cincinnati Financial Corp. | 14,209 | 1,029,442 | ||||||
Citigroup, Inc. | 241,527 | 16,153,326 | ||||||
Citizens Financial Group, Inc. | 46,700 | 1,666,256 | ||||||
CME Group, Inc. | 30,563 | 3,827,710 | ||||||
Comerica, Inc. | 16,327 | 1,195,790 | ||||||
Discover Financial Services | 34,328 | 2,134,858 | ||||||
E*TRADE Financial Corp.(a) | 26,042 | 990,377 | ||||||
Everest Re Group, Ltd. | 3,300 | 840,147 | ||||||
Fifth Third Bancorp | 68,762 | 1,785,062 | ||||||
Franklin Resources, Inc. | 28,189 | 1,262,585 | ||||||
Goldman Sachs Group, Inc. | 31,846 | 7,066,627 | ||||||
Hartford Financial Services Group, Inc. | 30,667 | 1,612,164 | ||||||
Huntington Bancshares, Inc. | 88,891 | 1,201,806 | ||||||
Intercontinental Exchange, Inc. | 53,385 | 3,519,139 | ||||||
Invesco, Ltd. | 33,311 | 1,172,214 | ||||||
JPMorgan Chase & Co. | 312,443 | 28,557,290 | ||||||
KeyCorp | 98,296 | 1,842,067 | ||||||
Leucadia National Corp. | 30,827 | 806,434 | ||||||
Lincoln National Corp. | 20,682 | 1,397,690 | ||||||
Loews Corp. | 22,419 | 1,049,433 | ||||||
M&T Bank Corp. | 13,663 | 2,212,723 | ||||||
Marsh & McLennan Cos., Inc. | 45,319 | 3,533,069 | ||||||
MetLife, Inc. | 95,470 | 5,245,122 | ||||||
Moody’s Corp. | 15,232 | 1,853,430 | ||||||
Morgan Stanley | 126,175 | 5,622,358 | ||||||
Nasdaq, Inc. | 10,875 | 777,454 | ||||||
Navient Corp. | 28,813 | 479,736 | ||||||
Northern Trust Corp. | 18,096 | 1,759,112 | ||||||
People’s United Financial, Inc. | 29,566 | 522,136 | ||||||
PNC Financial Services Group, Inc. | 42,775 | 5,341,314 | ||||||
Principal Financial Group, Inc. | 22,165 | 1,420,112 | ||||||
Progressive Corp. | 49,249 | 2,171,388 | ||||||
Prudential Financial, Inc. | 37,902 | 4,098,722 | ||||||
Raymond James Financial, Inc. | 11,700 | 938,574 | ||||||
Regions Financial Corp. | 106,046 | 1,552,513 |
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Financials – (continued) |
| |||||||
S&P Global, Inc. | 23,168 | $ | 3,382,296 | |||||
State Street Corp.(c) | 32,078 | 2,878,359 | ||||||
SunTrust Banks, Inc. | 43,836 | 2,486,378 | ||||||
Synchrony Financial | 68,576 | 2,044,936 | ||||||
T Rowe Price Group, Inc. | 20,555 | 1,525,387 | ||||||
Torchmark Corp. | 10,512 | 804,168 | ||||||
Travelers Cos., Inc. | 24,506 | 3,100,744 | ||||||
Unum Group | 18,105 | 844,236 | ||||||
US Bancorp | 140,822 | 7,311,478 | ||||||
Wells Fargo & Co. | 395,203 | 21,898,198 | ||||||
Willis Towers Watson PLC | 11,676 | 1,698,391 | ||||||
XL Group, Ltd. | 20,948 | 917,522 | ||||||
Zions Bancorp | 19,395 | 851,635 | ||||||
|
| |||||||
266,321,646 | ||||||||
|
| |||||||
Health Care – 14.0% | ||||||||
Abbott Laboratories | 154,249 | 7,498,044 | ||||||
AbbVie, Inc. | 139,143 | 10,089,259 | ||||||
Aetna, Inc. | 29,244 | 4,440,117 | ||||||
Agilent Technologies, Inc. | 29,493 | 1,749,230 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 20,073 | 2,442,282 | ||||||
Align Technology, Inc.(a) | 6,100 | 915,732 | ||||||
Allergan PLC | 29,806 | 7,245,541 | ||||||
AmerisourceBergen Corp. | 15,134 | 1,430,617 | ||||||
Amgen, Inc. | 64,454 | 11,100,912 | ||||||
Anthem, Inc. | 22,919 | 4,311,751 | ||||||
Baxter International, Inc. | 43,279 | 2,620,111 | ||||||
Becton Dickinson and Co. | 19,636 | 3,831,180 | ||||||
Biogen, Inc.(a) | 18,884 | 5,124,362 | ||||||
Boston Scientific Corp.(a) | 119,657 | 3,316,892 | ||||||
Bristol-Myers Squibb Co. | 146,604 | 8,168,775 | ||||||
C.R. Bard, Inc. | 6,235 | 1,970,946 | ||||||
Cardinal Health, Inc. | 28,133 | 2,192,123 | ||||||
Celgene Corp.(a) | 68,171 | 8,853,368 | ||||||
Centene Corp.(a) | 16,200 | 1,294,056 | ||||||
Cerner Corp.(a) | 25,837 | 1,717,385 | ||||||
Cigna Corp. | 22,585 | 3,780,503 | ||||||
Cooper Cos., Inc. | 4,600 | 1,101,332 | ||||||
Danaher Corp. | 52,794 | 4,455,286 | ||||||
DaVita, Inc.(a) | 15,028 | 973,213 | ||||||
DENTSPLY SIRONA, Inc. | 18,834 | 1,221,197 | ||||||
Edwards Lifesciences Corp.(a) | 18,810 | 2,224,094 | ||||||
Eli Lilly & Co. | 86,518 | 7,120,431 | ||||||
Envision Healthcare Corp.(a) | 11,174 | 700,275 | ||||||
Express Scripts Holding Co.(a) | 50,967 | 3,253,733 | ||||||
Gilead Sciences, Inc. | 116,252 | 8,228,317 | ||||||
HCA Healthcare, Inc.(a) | 25,700 | 2,241,040 | ||||||
Henry Schein, Inc.(a) | 6,600 | 1,207,932 | ||||||
Hologic, Inc.(a) | 26,400 | 1,198,032 | ||||||
Humana, Inc. | 12,390 | 2,981,282 | ||||||
IDEXX Laboratories, Inc.(a) | 8,100 | 1,307,502 | ||||||
Illumina, Inc.(a) | 13,000 | 2,255,760 | ||||||
Incyte Corp.(a) | 14,300 | 1,800,513 | ||||||
Intuitive Surgical, Inc.(a) | 3,148 | 2,944,545 | ||||||
Johnson & Johnson | 237,008 | 31,353,788 | ||||||
Laboratory Corp. of America Holdings(a) | 8,375 | 1,290,922 | ||||||
Mallinckrodt PLC(a) | 10,100 | 452,581 | ||||||
McKesson Corp. | 18,524 | 3,047,939 | ||||||
Medtronic PLC | 119,793 | 10,631,629 | ||||||
Merck & Co., Inc. | 239,972 | 15,379,805 | ||||||
Mettler-Toledo International, Inc.(a) | 2,400 | 1,412,496 | ||||||
Mylan NV(a) | 39,202 | 1,521,822 | ||||||
Patterson Cos., Inc. | 7,935 | 372,548 | ||||||
PerkinElmer, Inc. | 10,386 | 707,702 | ||||||
Perrigo Co. PLC | 13,586 | 1,026,015 | ||||||
Pfizer, Inc. | 523,933 | 17,598,909 | ||||||
Quest Diagnostics, Inc. | 11,242 | 1,249,661 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 6,542 | 3,213,038 | ||||||
Stryker Corp. | 27,294 | 3,787,861 | ||||||
Thermo Fisher Scientific, Inc. | 34,712 | 6,056,203 | ||||||
UnitedHealth Group, Inc. | 84,574 | 15,681,711 | ||||||
Universal Health Services, Inc. Class B | 8,500 | 1,037,680 | ||||||
Varian Medical Systems, Inc.(a) | 8,829 | 911,064 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 21,252 | 2,738,745 | ||||||
Waters Corp.(a) | 6,550 | 1,204,152 | ||||||
Zimmer Biomet Holdings, Inc. | 17,025 | 2,186,010 | ||||||
Zoetis, Inc. | 42,920 | 2,677,350 | ||||||
|
| |||||||
264,847,301 | ||||||||
|
| |||||||
Industrials – 10.0% | ||||||||
3M Co. | 52,329 | 10,894,375 | ||||||
Acuity Brands, Inc. | 4,200 | 853,776 | ||||||
Alaska Air Group, Inc. | 11,700 | 1,050,192 | ||||||
Allegion PLC | 9,096 | 737,868 | ||||||
American Airlines Group, Inc. | 44,700 | 2,249,304 | ||||||
AMETEK, Inc. | 18,799 | 1,138,655 | ||||||
Arconic, Inc. | 41,686 | 944,188 | ||||||
Boeing Co. | 49,064 | 9,702,406 | ||||||
C.H. Robinson Worldwide, Inc. | 13,479 | 925,738 | ||||||
Caterpillar, Inc. | 51,124 | 5,493,785 | ||||||
Cintas Corp. | 8,166 | 1,029,243 | ||||||
CSX Corp. | 81,355 | 4,438,729 | ||||||
Cummins, Inc. | 13,014 | 2,111,131 | ||||||
Deere & Co. | 25,683 | 3,174,162 | ||||||
Delta Air Lines, Inc. | 64,034 | 3,441,187 | ||||||
Dover Corp. | 14,750 | 1,183,245 | ||||||
Eaton Corp. PLC | 39,425 | 3,068,448 | ||||||
Emerson Electric Co. | 56,679 | 3,379,202 | ||||||
Equifax, Inc. | 9,988 | 1,372,551 | ||||||
Expeditors International of Washington, Inc. | 17,176 | 970,100 | ||||||
Fastenal Co. | 27,458 | 1,195,247 | ||||||
FedEx Corp. | 21,250 | 4,618,262 | ||||||
Flowserve Corp. | 12,345 | 573,178 | ||||||
Fluor Corp. | 13,204 | 604,479 | ||||||
Fortive Corp. | 27,597 | 1,748,270 | ||||||
Fortune Brands Home & Security, Inc. | 14,700 | 959,028 | ||||||
General Dynamics Corp. | 25,072 | 4,966,763 | ||||||
General Electric Co. | 765,188 | 20,667,728 | ||||||
Honeywell International, Inc. | 66,578 | 8,874,182 | ||||||
IHS Markit, Ltd.(a) | 29,200 | 1,285,968 | ||||||
Illinois Tool Works, Inc. | 26,800 | 3,839,100 | ||||||
Ingersoll-Rand PLC | 21,584 | 1,972,562 | ||||||
Jacobs Engineering Group, Inc. | 11,443 | 622,385 |
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Industrials – (continued) |
| |||||||
JB Hunt Transport Services, Inc. | 8,300 | $ | 758,454 | |||||
Johnson Controls International PLC | 82,508 | 3,577,547 | ||||||
Kansas City Southern | 8,496 | 889,106 | ||||||
L3 Technologies, Inc. | 7,338 | 1,226,033 | ||||||
Lockheed Martin Corp. | 22,071 | 6,127,130 | ||||||
Masco Corp. | 29,384 | 1,122,763 | ||||||
Nielsen Holdings PLC | 27,325 | 1,056,384 | ||||||
Norfolk Southern Corp. | 25,987 | 3,162,618 | ||||||
Northrop Grumman Corp. | 15,725 | 4,036,765 | ||||||
PACCAR, Inc. | 31,239 | 2,063,024 | ||||||
Parker-Hannifin Corp. | 12,189 | 1,948,046 | ||||||
Pentair PLC | 15,904 | 1,058,252 | ||||||
Quanta Services, Inc.(a) | 14,407 | 474,278 | ||||||
Raytheon Co. | 25,646 | 4,141,316 | ||||||
Republic Services, Inc. | 18,889 | 1,203,796 | ||||||
Robert Half International, Inc. | 12,266 | 587,909 | ||||||
Rockwell Automation, Inc. | 11,826 | 1,915,339 | ||||||
Rockwell Collins, Inc. | 14,831 | 1,558,441 | ||||||
Roper Technologies, Inc. | 9,365 | 2,168,278 | ||||||
Snap-on, Inc. | 5,540 | 875,320 | ||||||
Southwest Airlines Co. | 53,959 | 3,353,012 | ||||||
Stanley Black & Decker, Inc. | 12,957 | 1,823,439 | ||||||
Stericycle, Inc.(a) | 8,096 | 617,887 | ||||||
Textron, Inc. | 21,633 | 1,018,914 | ||||||
TransDigm Group, Inc. | 4,100 | 1,102,367 | ||||||
Union Pacific Corp. | 71,898 | 7,830,411 | ||||||
United Continental Holdings, Inc.(a) | 23,700 | 1,783,425 | ||||||
United Parcel Service, Inc. Class B | 61,391 | 6,789,231 | ||||||
United Rentals, Inc.(a) | 8,000 | 901,680 | ||||||
United Technologies Corp. | 66,351 | 8,102,121 | ||||||
Verisk Analytics, Inc.(a) | 12,500 | 1,054,625 | ||||||
W.W. Grainger, Inc. | 5,157 | 930,993 | ||||||
Waste Management, Inc. | 36,135 | 2,650,502 | ||||||
Xylem, Inc. | 17,058 | 945,525 | ||||||
|
| |||||||
188,940,368 | ||||||||
|
| |||||||
Information Technology – 21.6% |
| |||||||
Accenture PLC Class A | 55,118 | 6,816,994 | ||||||
Activision Blizzard, Inc. | 60,900 | 3,506,013 | ||||||
Adobe Systems, Inc.(a) | 44,144 | 6,243,727 | ||||||
Advanced Micro Devices, Inc.(a) | 66,400 | 828,672 | ||||||
Akamai Technologies, Inc.(a) | 16,490 | 821,367 | ||||||
Alliance Data Systems Corp. | 4,896 | 1,256,754 | ||||||
Alphabet, Inc. Class A(a) | 26,167 | 24,326,937 | ||||||
Alphabet, Inc. Class C(a) | 26,187 | 23,796,913 | ||||||
Amphenol Corp. Class A | 27,320 | 2,016,762 | ||||||
Analog Devices, Inc. | 32,552 | 2,532,546 | ||||||
ANSYS, Inc.(a) | 6,900 | 839,592 | ||||||
Apple, Inc. | 459,424 | 66,166,244 | ||||||
Applied Materials, Inc. | 94,554 | 3,906,026 | ||||||
Autodesk, Inc.(a) | 17,906 | 1,805,283 | ||||||
Automatic Data Processing, Inc. | 38,552 | 3,950,038 | ||||||
Broadcom, Ltd. | 34,991 | 8,154,653 | ||||||
CA, Inc. | 29,740 | 1,025,138 | ||||||
Cars.com, Inc.(a) | 1 | 27 | ||||||
Cisco Systems, Inc. | 438,390 | 13,721,607 | ||||||
Citrix Systems, Inc.(a) | 12,189 | 970,001 | ||||||
Cognizant Technology Solutions Corp. Class A | 50,641 | 3,362,562 | ||||||
Corning, Inc. | 82,626 | 2,482,911 | ||||||
CSRA, Inc. | 13,812 | 438,531 | ||||||
DXC Technology Co. | 25,838 | 1,982,291 | ||||||
eBay, Inc.(a) | 90,545 | 3,161,831 | ||||||
Electronic Arts, Inc.(a) | 26,979 | 2,852,220 | ||||||
F5 Networks, Inc.(a) | 6,241 | 792,981 | ||||||
Facebook, Inc. Class A(a) | 207,993 | 31,402,783 | ||||||
Fidelity National Information Services, Inc. | 29,291 | 2,501,451 | ||||||
Fiserv, Inc.(a) | 19,062 | 2,332,045 | ||||||
FLIR Systems, Inc. | 12,961 | 449,228 | ||||||
Gartner, Inc.(a) | 8,200 | 1,012,782 | ||||||
Global Payments, Inc. | 12,476 | 1,126,832 | ||||||
Harris Corp. | 9,902 | 1,080,110 | ||||||
Hewlett Packard Enterprise Co. | 149,453 | 2,479,425 | ||||||
HP, Inc. | 151,253 | 2,643,902 | ||||||
Intel Corp. | 412,836 | 13,929,087 | ||||||
International Business Machines Corp. | 74,895 | 11,521,098 | ||||||
Intuit, Inc. | 21,737 | 2,886,891 | ||||||
Juniper Networks, Inc. | 36,149 | 1,007,834 | ||||||
KLA-Tencor Corp. | 12,832 | 1,174,256 | ||||||
Lam Research Corp. | 13,577 | 1,920,195 | ||||||
Mastercard, Inc. Class A | 82,051 | 9,965,094 | ||||||
Microchip Technology, Inc. | 19,083 | 1,472,826 | ||||||
Micron Technology, Inc.(a) | 92,434 | 2,760,079 | ||||||
Microsoft Corp. | 679,958 | 46,869,505 | ||||||
Motorola Solutions, Inc. | 13,372 | 1,159,887 | ||||||
NetApp, Inc. | 21,614 | 865,641 | ||||||
NVIDIA Corp. | 51,844 | 7,494,569 | ||||||
Oracle Corp. | 263,235 | 13,198,603 | ||||||
Paychex, Inc. | 28,207 | 1,606,107 | ||||||
PayPal Holdings, Inc.(a) | 98,745 | 5,299,644 | ||||||
Qorvo, Inc.(a) | 12,100 | 766,172 | ||||||
QUALCOMM, Inc. | 131,426 | 7,257,344 | ||||||
Red Hat, Inc.(a) | 16,370 | 1,567,428 | ||||||
salesforce.com, Inc.(a) | 57,995 | 5,022,367 | ||||||
Seagate Technology PLC | 28,024 | 1,085,930 | ||||||
Skyworks Solutions, Inc. | 16,900 | 1,621,555 | ||||||
Symantec Corp. | 50,460 | 1,425,495 | ||||||
Synopsys, Inc.(a) | 12,000 | 875,160 | ||||||
TE Connectivity, Ltd. | 31,651 | 2,490,301 | ||||||
Texas Instruments, Inc. | 86,693 | 6,669,293 | ||||||
Total System Services, Inc. | 15,676 | 913,127 | ||||||
VeriSign, Inc.(a) | 8,601 | 799,549 | ||||||
Visa, Inc. Class A | 161,960 | 15,188,609 | ||||||
Western Digital Corp. | 26,353 | 2,334,876 | ||||||
Western Union Co. | 46,045 | 877,157 | ||||||
Xerox Corp. | 20,227 | 581,122 | ||||||
Xilinx, Inc. | 22,860 | 1,470,355 | ||||||
|
| |||||||
406,864,335 | ||||||||
|
| |||||||
Materials – 2.8% | ||||||||
Air Products & Chemicals, Inc. | 19,002 | 2,718,426 | ||||||
Albemarle Corp. | 8,900 | 939,306 |
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Materials – (continued) | ||||||||
Alcoa Corp. | 1 | $ | 33 | |||||
Avery Dennison Corp. | 8,470 | 748,494 | ||||||
Ball Corp. | 28,732 | 1,212,778 | ||||||
CF Industries Holdings, Inc. | 22,120 | 618,475 | ||||||
Dow Chemical Co. | 99,738 | 6,290,476 | ||||||
E.I. du Pont de Nemours & Co. | 76,918 | 6,208,052 | ||||||
Eastman Chemical Co. | 11,736 | 985,706 | ||||||
Ecolab, Inc. | 23,501 | 3,119,758 | ||||||
FMC Corp. | 12,678 | 926,128 | ||||||
Freeport-McMoRan, Inc.(a) | 117,040 | 1,405,650 | ||||||
International Flavors & Fragrances, Inc. | 7,551 | 1,019,385 | ||||||
International Paper Co. | 37,703 | 2,134,367 | ||||||
LyondellBasell Industries NV Class A | 29,448 | 2,485,117 | ||||||
Martin Marietta Materials, Inc. | 5,745 | 1,278,722 | ||||||
Monsanto Co. | 37,961 | 4,493,064 | ||||||
Mosaic Co. | 33,284 | 759,874 | ||||||
Newmont Mining Corp. | 45,233 | 1,465,097 | ||||||
Nucor Corp. | 27,148 | 1,571,055 | ||||||
PPG Industries, Inc. | 22,954 | 2,524,022 | ||||||
Praxair, Inc. | 25,011 | 3,315,208 | ||||||
Sealed Air Corp. | 18,323 | 820,137 | ||||||
Sherwin-Williams Co. | 7,209 | 2,530,070 | ||||||
Vulcan Materials Co. | 10,971 | 1,389,806 | ||||||
WestRock Co. | 20,536 | 1,163,570 | ||||||
|
| |||||||
52,122,776 | ||||||||
|
| |||||||
Real Estate – 2.8% | ||||||||
Alexandria Real Estate Equities, Inc. REIT | 7,600 | 915,572 | ||||||
American Tower Corp. REIT | 37,518 | 4,964,382 | ||||||
Apartment Investment & Management Co. Class A REIT | 14,887 | 639,694 | ||||||
AvalonBay Communities, Inc. REIT | 12,269 | 2,357,734 | ||||||
Boston Properties, Inc. REIT | 14,146 | 1,740,241 | ||||||
CBRE Group, Inc. Class A(a) | 28,467 | 1,036,199 | ||||||
Crown Castle International Corp. REIT | 31,658 | 3,171,498 | ||||||
Digital Realty Trust, Inc. REIT | 13,600 | 1,536,120 | ||||||
Equinix, Inc. REIT | 6,643 | 2,850,910 | ||||||
Equity Residential REIT | 33,619 | 2,213,139 | ||||||
Essex Property Trust, Inc. REIT | 5,545 | 1,426,562 | ||||||
Extra Space Storage, Inc. REIT | 12,000 | 936,000 | ||||||
Federal Realty Investment Trust REIT | 6,800 | 859,452 | ||||||
GGP, Inc. REIT | 47,558 | 1,120,466 | ||||||
HCP, Inc. REIT | 38,523 | 1,231,195 | ||||||
Host Hotels & Resorts, Inc. REIT | 60,462 | 1,104,641 | ||||||
Iron Mountain, Inc. REIT | 23,281 | 799,935 | ||||||
Kimco Realty Corp. REIT | 40,353 | 740,478 | ||||||
Macerich Co. REIT | 11,455 | 665,077 | ||||||
Mid-America Apartment Communities, Inc. REIT | 10,800 | 1,138,104 | ||||||
Prologis, Inc. REIT | 47,152 | 2,764,993 | ||||||
Public Storage REIT | 13,035 | 2,718,189 | ||||||
Realty Income Corp. REIT | 23,800 | 1,313,284 | ||||||
Regency Centers Corp. REIT | 12,500 | 783,000 | ||||||
Simon Property Group, Inc. REIT | 26,980 | 4,364,285 | ||||||
SL Green Realty Corp. REIT | 9,600 | 1,015,680 | ||||||
UDR, Inc. REIT | 25,400 | 989,838 | ||||||
Ventas, Inc. REIT | 32,497 | 2,257,892 | ||||||
Vornado Realty Trust REIT | 14,268 | 1,339,765 | ||||||
Welltower, Inc. REIT | 32,319 | 2,419,077 | ||||||
Weyerhaeuser Co. REIT | 66,687 | 2,234,014 | ||||||
|
| |||||||
53,647,416 | ||||||||
|
| |||||||
Telecommunication Services – 2.1% |
| |||||||
AT&T, Inc. | 540,087 | 20,377,482 | ||||||
CenturyLink, Inc. | 44,692 | 1,067,245 | ||||||
Level 3 Communications, Inc.(a) | 24,700 | 1,464,710 | ||||||
Verizon Communications, Inc. | 357,915 | 15,984,484 | ||||||
|
| |||||||
38,893,921 | ||||||||
|
| |||||||
Utilities – 3.1% | ||||||||
AES Corp. | 62,636 | 695,886 | ||||||
Alliant Energy Corp. | 21,600 | 867,672 | ||||||
Ameren Corp. | 19,804 | 1,082,685 | ||||||
American Electric Power Co., Inc. | 44,009 | 3,057,305 | ||||||
American Water Works Co., Inc. | 14,600 | 1,138,070 | ||||||
CenterPoint Energy, Inc. | 40,876 | 1,119,185 | ||||||
CMS Energy Corp. | 22,755 | 1,052,419 | ||||||
Consolidated Edison, Inc. | 27,152 | 2,194,425 | ||||||
Dominion Energy, Inc. | 54,294 | 4,160,549 | ||||||
DTE Energy Co. | 16,445 | 1,739,717 | ||||||
Duke Energy Corp. | 61,892 | 5,173,552 | ||||||
Edison International | 29,014 | 2,268,605 | ||||||
Entergy Corp. | 14,698 | 1,128,365 | ||||||
Eversource Energy | 29,017 | 1,761,622 | ||||||
Exelon Corp. | 82,984 | 2,993,233 | ||||||
FirstEnergy Corp. | 40,393 | 1,177,860 | ||||||
NextEra Energy, Inc. | 41,564 | 5,824,363 | ||||||
NiSource, Inc. | 30,704 | 778,653 | ||||||
NRG Energy, Inc. | 30,002 | 516,634 | ||||||
PG&E Corp. | 45,414 | 3,014,127 | ||||||
Pinnacle West Capital Corp. | 10,604 | 903,037 | ||||||
PPL Corp. | 60,519 | 2,339,665 | ||||||
Public Service Enterprise Group, Inc. | 46,388 | 1,995,148 | ||||||
SCANA Corp. | 13,599 | 911,269 | ||||||
Sempra Energy | 22,362 | 2,521,315 | ||||||
Southern Co. | 85,959 | 4,115,717 | ||||||
WEC Energy Group, Inc. | 28,882 | 1,772,777 | ||||||
Xcel Energy, Inc. | 45,051 | 2,066,940 | ||||||
|
| |||||||
58,370,795 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,832,778,172 | ||||||
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENTS – 0.6% |
| |||||||
MONEY MARKET FUNDS – 0.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,610,144 | $ | 10,610,144 | |||||
State Street Navigator Securities Lending Government Money Market Portfolio(d)(f) | 332,209 | 332,209 | ||||||
|
| |||||||
10,942,353 | ||||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 10,942,353 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 97.8% |
| 1,843,720,525 | ||||||
Other Assets in Excess of Liabilities – 2.2% |
| 41,269,309 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,884,989,834 | |||||
|
|
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2017. |
(c) | The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 225,633,657 | $ | – | $ | – | $ | 225,633,657 | ||||||||
Consumer Staples | 165,909,906 | – | – | 165,909,906 | ||||||||||||
Energy | 111,226,051 | – | – | 111,226,051 | ||||||||||||
Financials | 266,321,646 | – | – | 266,321,646 | ||||||||||||
Health Care | 264,847,301 | – | – | 264,847,301 | ||||||||||||
Industrials | 188,940,368 | – | – | 188,940,368 | ||||||||||||
Information Technology | 406,864,335 | – | – | 406,864,335 | ||||||||||||
Materials | 52,122,776 | – | – | 52,122,776 | ||||||||||||
Real Estate | 53,647,416 | – | – | 53,647,416 | ||||||||||||
Telecommunication Services | 38,893,921 | – | – | 38,893,921 | ||||||||||||
Utilities | 58,370,795 | – | – | 58,370,795 | ||||||||||||
Short-Term Investments | 10,942,353 | – | – | 10,942,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,843,720,525 | $ | – | $ | – | $ | 1,843,720,525 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts (a) | $ | (195,951 | ) | $ | – | $ | – | $ | (195,951 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 1,843,524,574 | $ | – | $ | – | $ | 1,843,524,574 | ||||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
At June 30, 2017, 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) | 09/15/2017 | 422 | $ | 51,080,990 | $ | (195,951 | ) |
During the period ended June 30, 2017, average notional value related to futures contracts was $50,642,554 or 3% of net assets.
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)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Corp. | 23,278 | $ | 1,809,166 | 11,200 | 2,400 | 32,078 | $ | 2,878,359 | $ | 24,379 | $ | 57,650 | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | – | 192,887,338 | 182,277,196 | 10,610,144 | 10,610,144 | 52,853 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 30,381,182 | 30,381,182 | 487,234,351 | 517,615,533 | – | – | 101,342 | – | ||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | – | – | 2,432,599 | 2,100,390 | 332,209 | 332,209 | 3,074 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 32,190,348 | $ | 13,820,712 | $ | 181,648 | $ | 57,650 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investments in unaffiliated issuers, at value* (Note 2) | $ | 1,829,899,813 | ||
Investments in affiliated issuers, at value (Note 2) | 13,820,712 | |||
|
| |||
Total Investments | 1,843,720,525 | |||
Cash at broker | 1,772,400 | |||
Receivable from broker – variation margin on open futures contracts | 103,410 | |||
Receivable for investments sold | 37,515,980 | |||
Receivable for fund shares sold | 4,953,559 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 1,879,388 | |||
Dividends receivable – affiliated issuers (Note 2) | 31,437 | |||
Securities lending income receivable – affiliated issuers (Notes 4 and 8) | 4,163 | |||
Receivable from Adviser (Note 4) | 1,520 | |||
Receivable for foreign taxes recoverable | 1,116 | |||
|
| |||
Total assets | 1,889,983,498 | |||
|
| |||
Liabilities |
| |||
Due to custodian (Note 4) | 245 | |||
Payable upon return of securities loaned | 332,209 | |||
Payable for investments purchased | 703,985 | |||
Payable for fund shares repurchased | 3,768,646 | |||
Custodian fees payable (Note 4) | 105,667 | |||
Trustees’ fees and expenses payable (Note 5) | 15,039 | |||
Professional fees payable | 64,121 | |||
Printing and postage fees payable | 3,752 | |||
|
| |||
Total liabilities | 4,993,664 | |||
|
| |||
Net Assets | $ | 1,884,989,834 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 1,430,609,248 | ||
Undistributed (distribution in excess of) net investment income (loss) | 18,838,872 | |||
Accumulated net realized gain (loss) on investments and futures contracts | 46,467,935 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 389,268,730 | |||
Futures contracts | (194,951 | ) | ||
|
| |||
Net Assets | $ | 1,884,989,834 | ||
|
| |||
Net Asset Value Per Share |
| |||
Net asset value per share | $ | 12.36 | ||
|
| |||
Shares of beneficial interest (unlimited amount authorized, no par value) | 152,458,841 | |||
|
| |||
Cost of Investments: |
| |||
Investments in unaffiliated issuers | $ | 1,441,592,495 | ||
Investments in affiliated issuers | 12,859,300 | |||
|
| |||
Total cost of investments | $ | 1,454,451,795 | ||
|
| |||
* Includes investments in securities on loan, at value | $ | 15,660,569 | ||
|
|
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Interest income | $ | 3,074 | ||
Dividend income – unaffiliated issuers (Note 2) | 18,894,455 | |||
Dividend income – affiliated issuers (Note 2) | 178,574 | |||
Affiliated securities lending income – net (Notes 4 and 8) | 7,148 | |||
|
| |||
Total investment income (loss) | 19,083,251 | |||
|
| |||
Expenses |
| |||
Administration and custody fees (Note 4) | 110,730 | |||
Trustees’ fees and expenses (Note 5) | 46,736 | |||
Registration and filing fees | 6,040 | |||
Professional fees | 59,665 | |||
Printing and postage fees | 5,282 | |||
Insurance expense | 2,192 | |||
Miscellaneous expenses | 15,254 | |||
|
| |||
Total expenses | 245,899 | |||
Expenses waived/reimbursed by the Adviser (Note 4) | (1,520 | ) | ||
|
| |||
Net expenses | 244,379 | |||
|
| |||
Net Investment Income (Loss) | 18,838,872 | |||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments – unaffiliated issuers | 42,273,385 | |||
Investments – affiliated issuers | 57,650 | |||
Futures contracts | 3,953,980 | |||
|
| |||
Net realized gain (loss) | 46,285,015 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments – unaffiliated issuers | 95,702,712 | |||
Investments – affiliated issuers | 293,269 | |||
Futures contracts | 94,070 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 96,090,051 | |||
|
| |||
Net realized and unrealized gain (loss) | 142,375,066 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 161,213,938 | ||
|
|
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 18,838,872 | $ | 19,097,077 | ||||
Net realized gain (loss) | 46,285,015 | 8,694,706 | ||||||
Net change in unrealized appreciation/depreciation | 96,090,051 | 77,846,081 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 161,213,938 | 105,637,864 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | – | (19,477,482 | ) | |||||
Net realized gains | – | (8,517,345 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (27,994,827 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 832,477,631 | 690,372,400 | ||||||
Reinvestment of distributions | – | 27,994,827 | ||||||
Cost of shares redeemed | (336,146,010 | ) | (109,900,950 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 496,331,621 | 608,466,277 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 657,545,559 | 686,109,314 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,227,444,275 | 541,334,961 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,884,989,834 | $ | 1,227,444,275 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 18,838,872 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 71,722,175 | 63,557,261 | ||||||
Reinvestment of distributions | – | 2,455,687 | ||||||
Shares redeemed | (27,743,281 | ) | (9,970,413 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 43,978,894 | 56,042,535 | ||||||
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 11.31 | $ | 10.32 | $ | 10.55 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.12 | 0.23 | 0.22 | 0.08 | ||||||||||||
Net realized and unrealized gain (loss) | 0.93 | 1.02 | (0.09 | ) | 0.63 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.05 | 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 | $ | 12.36 | $ | 11.31 | $ | 10.32 | $ | 10.55 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(b) | 9.19 | % | 12.18 | % | 1.29 | % | 7.12 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,884,990 | $ | 1,227,444 | $ | 541,335 | $ | 426,710 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.03 | %(c) | 0.04 | % | 0.04 | % | 0.04 | %(c) | ||||||||
Net expenses | 0.03 | %(c) | 0.03 | % | 0.03 | % | 0.03 | %(c) | ||||||||
Net investment income (loss) | 2.01 | %(c) | 2.15 | % | 2.05 | % | 2.06 | %(c) | ||||||||
Portfolio turnover rate | 16 | %(d) | 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 is 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.
23
Table of Contents
State Street Institutional Investment Trust
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 or Portfolio:
Fund | Classes | Commencement of Operations | Diversification | |||
State Street Equity 500 Index 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 it invests substantially all of its assets in the master portfolio 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 June 30, 2017 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 36.99% |
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 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.
24
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund and the Portfolio are investment companies under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investment in its Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed 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 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. |
• | 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 (“NAV”) 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.
25
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 an 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 June 30, 2017, 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 June 30, 2017.
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.
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 Managment, 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
26
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 |
Futures Contracts
The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2017, the Portfolio entered into futures contracts for cash equitization, for return enhancement and to facilitate daily liquidity.
The following tables summarize the value of the Portfolio’s derivative instruments as of June 30, 2017 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) | $ | – | $ | – | $ | – | $ | (194,951 | ) | $ | – | $ | (194,951 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statement of Assets and Liabilities only reflect the current day’s net variation margin. |
27
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 | $ | – | $ | – | $ | – | $ | 3,953,980 | $ | – | $ | 3,953,980 |
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 | $ | – | $ | – | $ | – | $ | 94,070 | $ | – | $ | 94,070 |
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 a 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, 2018, 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 of the Fund’s Board.
SSGA FM is contractually obligated until April 30, 2018, 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 of the Portfolio’s Board.
For the period ended June 30, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.
28
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Administrator, Sub-Administrator, Custodian, and Transfer Agent Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets attributable to each class of shares of the Fund. 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 wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
Distribution and Shareholder Servicing Fees
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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 in such class (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 SSGA FD 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 – Securities Lending
State Street, an affiliate of the Fund/Portfolio, acts as the securities lending agent for the Fund/Portfolio, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund/Portfolio, and 15% payable to State Street.
29
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securities lending.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.
Due to Custodian
In certain circumstances, the Portfolio may have a 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 Portfolio. The State Street Equity 500 Index II Portfolio had a cash overdraft related to expense payments and dividend adjustments.
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 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 June 30, 2017, were as follows:
Purchases | Sales | |||||||
State Street Equity 500 Index II Portfolio | $ | 765,534,143 | $ | 279,511,605 |
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. As of December 31, 2016 SSGA FM has analyzed the Fund and 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.
30
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2017, 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 II Portfolio | $ | 1,457,331,201 | $ | 402,474,642 | $ | 16,085,318 | $ | 386,389,324 |
8. | Securities Lending |
The Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.
The Portfolio will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolio may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Portfolio will bear the risk of loss of any cash collateral that it may invest. The Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.
The market value of securities on loan as of June 30, 2017, and the value of the invested cash collateral are disclosed in the Portfolio’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio, and the Portfolio does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolio’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non Cash Collateral Received* | Total Collateral Received | ||||||||||||
State Street Equity 500 Index II Portfolio | $ | 15,660,569 | $ | 332,209 | $ | 15,662,225 | $ | 15,994,434 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2017:
State Street Equity 500 Index II Portfolio
Remaining Contractual Maturity of the Agreements As of June 30, 2017 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 332,209 | $ | – | $ | – | $ | – | $ | 332,209 | ||||||||||
Total Borrowings | $ | 332,209 | $ | – | $ | – | $ | – | $ | 332,209 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. | $ | 332,209 |
9. | Line of Credit |
The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of June 30, 2017.
10. | 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
11. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and Portfolio and concluded that it will be limited to additional disclosures.
12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio and 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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Expense Example
As a shareholder of a Fund/Portfolio, 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 to the extent applicable, distribution (12b-1) and or service fees; and other Fund/Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund/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 January 1, 2017 to June 30, 2017.
The table below illustrates your Fund’s/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 Fund’s/Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund/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/Portfolio under the heading “Expenses Paid During Period”. |
• | Based on hypothetical 5% return – This section is intended to help you compare your Fund’s/Portfolio’s costs with those of other mutual funds. It assumes that the Fund/Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s/Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s/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 Equity 500 Index Fund(b) | ||||||||||||||||||||
Administrative Shares | 0.18 | % | $ | 1,090.80 | $ | 0.93 | $ | 1,023.90 | $ | 0.90 | ||||||||||
Service Shares | 0.28 | % | $ | 1,090.40 | $ | 1.45 | $ | 1,023.40 | $ | 1.40 | ||||||||||
Class R Shares | 0.63 | % | $ | 1,088.80 | $ | 3.26 | $ | 1,021.70 | $ | 3.16 | ||||||||||
Class A Shares | 0.48 | % | $ | 1,089.80 | $ | 2.49 | $ | 1,022.40 | $ | 2.41 | ||||||||||
Class I Shares | 0.23 | % | $ | 1,090.20 | $ | 1.19 | $ | 1,023.70 | $ | 1.15 | ||||||||||
Class K Shares | 0.03 | % | $ | 1,091.90 | $ | 0.16 | $ | 1,024.60 | $ | 0.15 | ||||||||||
State Street Equity 500 Index II Portfolio | 0.03 | % | $ | 1,091.90 | $ | 0.16 | $ | 1,024.60 | $ | 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 181, then divided by 365. |
(b) | Because the Fund invest all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invest. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (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 Fund’s and Portfolio’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Fund and Portfolio file 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 and Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on the Form N-Q is available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Fund’s and Portfolio’s website at www.ssgafunds.com.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Equity 500 Index Fund (the “Fund”) and State Street Equity 500 Index II Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund, which is a feeder fund for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Fund, the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years, as applicable; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Fund and Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund and Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and Portfolio, and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund and Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund and Portfolio by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund and Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, and securities lending agent of the Fund and Portfolio, and transfer agent of the Portfolio, and the role of the Adviser in managing the Fund’s and the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s and Portfolio’s Adviser and Administrator, with respect to its operations relating to the Fund and Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund and Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund and Portfolio, and transfer agent for the Portfolio, with respect to its operations relating to the Fund and Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund and Portfolio (the “Distributor”), with respect to its operations relating to the Fund and Portfolio, together with the Fund’s related distribution plan and arrangement under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund and Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and Portfolio, and the investment strategies used in pursuing the Fund’s and Portfolio’s investment objective.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory 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 Fund and Portfolio.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreements effective June 1, 2017, for an additional year with respect to the Fund and Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to the Fund and Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Fund’s and Portfolio’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund and Portfolio.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. The Board
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
considered the Portfolio’s performance by evaluating the performance of the Fund. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Fund and Portfolio:
State Street Equity 500 Index Fund and State Street Equity 500 Index II Portfolio. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund and Portfolio is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. In the case of the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. The Board also considered that the Portfolio does not pay an investment advisory fee to the Adviser. Among other information, the Board considered the following expense information in its evaluation of the Fund and Portfolio:
State Street Equity 500 Index Fund and State Street Equity 500 Index II Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund and Portfolio compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund and Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s or Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to each of the Fund and the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund and Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and Portfolio, and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and Portfolio and the fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund and Portfolio during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund and Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Fund or Portfolio 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 Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of each Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the Fund and Portfolio and their respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
Michael F. Holland
William L. Marshall
Michael A. 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 of the Fund
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSIITEQTY500SAR |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2017
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
Semi-Annual Report
June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Fund | ||||
State Street Global Equity ex-U.S. Index Fund | ||||
State Street Small/Mid Cap Equity Index Fund | ||||
1 | ||||
3 | ||||
4 | ||||
8 | ||||
State Street Aggregate Bond Index Portfolio | ||||
17 | ||||
18 | ||||
State Street Global Equity ex-U.S. Index Portfolio | ||||
49 | ||||
50 | ||||
State Street Small/Mid Cap Equity Index Portfolio | ||||
73 | ||||
74 | ||||
State Street Aggregate Bond Index Portfolio | ||||
State Street Global Equity ex-U.S. Index Portfolio | ||||
State Street Small/Mid Cap Equity Index Portfolio | ||||
103 | ||||
105 | ||||
106 | ||||
108 | ||||
111 | ||||
124 |
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
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Assets | ||||||||||||
Investment in corresponding Portfolio, at value (Note 1)* | $ | 103,171,597 | $ | 455,893,099 | $ | 15,871,171 | ||||||
Receivable for fund shares sold | 41,908 | 208,972,488 | 37,263 | |||||||||
Dividends receivable – unaffiliated issuers (Note 2) | 213,851 | – | – | |||||||||
Receivable from Advisor (Note 5) | 35,053 | 40,615 | 22,652 | |||||||||
Prepaid expenses and other assets | – | 2,550 | – | |||||||||
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| |||||||
Total assets | 103,462,409 | 664,908,752 | 15,931,086 | |||||||||
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Liabilities |
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Due to custodian (Note 5) | 2,084 | 2,082 | 7,106 | |||||||||
Payable for investments purchased | 255,759 | 208,952,442 | 37,263 | |||||||||
Payable for fund shares repurchased | – | 20,047 | – | |||||||||
Advisory fee payable (Note 5) | 2,553 | 12,178 | 388 | |||||||||
Custodian fees payable (Note 5) | 8,159 | 8,208 | 8,005 | |||||||||
Administration fees payable (Note 5) | 5,289 | 11,103 | 653 | |||||||||
Distribution fees payable (Note 5) | 20 | 379 | 34 | |||||||||
Accrued Trustees’ fees and expenses (Note 6) | – | – | 268 | |||||||||
Transfer agent fees payable | 12,388 | 12,570 | 9,791 | |||||||||
Sub-transfer agent fee payable (Note 5) | 829 | – | – | |||||||||
Registration and filing fees payable | – | – | 303 | |||||||||
Professional fees payable | 21,104 | 21,101 | 31,367 | |||||||||
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| |||||||
Total liabilities | 308,185 | 209,040,110 | 95,178 | |||||||||
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| |||||||
Net Assets | $ | 103,154,224 | $ | 455,868,642 | $ | 15,835,908 | ||||||
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Net Assets Consist of: |
| |||||||||||
Paid-in Capital | $ | 103,651,490 | $ | 429,651,476 | $ | 13,950,496 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | 208,691 | (86,236 | ) | (2,653 | ) | |||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 122,818 | (3,974,717 | ) | 606,891 | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (828,775 | ) | 30,278,119 | 1,281,174 | ||||||||
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| |||||||
Net Assets | $ | 103,154,224 | $ | 455,868,642 | $ | 15,835,908 | ||||||
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See accompanying notes to financial statements.
1
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Class A |
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Net assets | $ | 97,211 | $ | 1,849,156 | $ | 164,727 | ||||||
Shares outstanding | 9,859 | 185,907 | 14,406 | |||||||||
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Net asset value, offering and redemption price per share | $ | 9.86 | $ | 9.95 | $ | 11.43 | ||||||
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Maximum sales charge | 3.75 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.24 | $ | 10.42 | $ | 11.97 | ||||||
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Class I |
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Net assets | $ | 12,895,236 | $ | 1,177,105 | $ | 982,976 | ||||||
Shares outstanding | 1,305,292 | 118,181 | 85,880 | |||||||||
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Net asset value, offering and redemption price per share | $ | 9.88 | $ | 9.96 | $ | 11.45 | ||||||
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Class K |
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Net assets | $ | 90,161,777 | $ | 452,842,381 | $ | 14,688,205 | ||||||
Shares outstanding | 9,133,332 | 45,426,713 | 1,282,876 | |||||||||
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Net asset value, offering and redemption price per share | $ | 9.87 | $ | 9.97 | $ | 11.45 | ||||||
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Cost of Investments: |
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* Investment in corresponding Portfolio, at cost (Note 1) | $ | 104,000,372 | $ | 425,614,980 | $ | 14,589,997 | ||||||
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See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Investment Income |
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Interest income | $ | 466 | $ | 468 | $ | – | ||||||
Dividend income from corresponding Portfolio (Note 2) | 1,126,099 | – | – | |||||||||
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Total investment income (loss) | 1,126,565 | 468 | – | |||||||||
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Expenses |
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Advisory fees (Note 5) | 14,535 | 70,424 | 2,575 | |||||||||
Administration fees (Note 5) | 27,733 | 63,155 | 8,631 | |||||||||
Distribution fees (Note 5) | ||||||||||||
Class A | 161 | 2,138 | 171 | |||||||||
Custodian fees (Note 5) | 6,841 | 6,863 | 6,854 | |||||||||
Trustees’ fees and expenses (Note 6) | 16,302 | 16,307 | 16,564 | |||||||||
Transfer agent fees (Note 5) | 15,300 | 15,613 | 13,559 | |||||||||
Sub-transfer agent fee (Note 5) | ||||||||||||
Class A | 90 | 1,875 | 12 | |||||||||
Class I | – | 594 | 415 | |||||||||
Registration and filing fees | 34,257 | 35,222 | 27,721 | |||||||||
Professional fees | 18,537 | 18,537 | 18,466 | |||||||||
Printing and postage fees | 7,631 | 4,297 | 6,938 | |||||||||
Insurance expense | 199 | 295 | 14 | |||||||||
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Total expenses | 141,586 | 235,320 | 101,920 | |||||||||
Expenses waived/reimbursed by the Adviser (Note 5) | (112,277 | ) | (148,616 | ) | (97,020 | ) | ||||||
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Net expenses | 29,309 | 86,704 | 4,900 | |||||||||
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Net Investment Income (Loss) | 1,097,256 | (86,236 | ) | (4,900 | ) | |||||||
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Realized and Unrealized Gain (Loss) |
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Net realized gain (loss) on: | ||||||||||||
Investment in corresponding Portfolio | (9,167 | ) | (988,499 | ) | 570,869 | |||||||
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Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment in corresponding Portfolio | 985,538 | 31,931,702 | 524,537 | |||||||||
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| |||||||
Net realized and unrealized gain (loss) | 976,371 | 30,943,203 | 1,095,406 | |||||||||
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Net Increase (Decrease) in Net Assets from Operations | $ | 2,073,627 | $ | 30,856,967 | $ | 1,090,506 | ||||||
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See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,097,256 | $ | 1,277,712 | $ | (86,236 | ) | $ | 2,975,353 | |||||||
Net realized gain (loss) | (9,167 | ) | 197,087 | (988,499 | ) | (2,955,156 | ) | |||||||||
Net change in unrealized appreciation/depreciation | 985,538 | (741,648 | ) | 31,931,702 | 6,185,977 | |||||||||||
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| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,073,627 | 733,151 | 30,856,967 | 6,206,174 | ||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (959 | ) | (3,618 | ) | – | (19,511 | ) | |||||||||
Class I | (115,852 | ) | (99,762 | ) | – | (5,566 | ) | |||||||||
Class K | (771,754 | ) | (1,273,579 | ) | – | (2,954,328 | ) | |||||||||
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Total distributions from net investment income | (888,565 | ) | (1,376,959 | ) | – | (2,979,405 | ) | |||||||||
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Net realized gain on investments | ||||||||||||||||
Class A | – | (143 | ) | – | – | |||||||||||
Class I | – | (8,369 | ) | – | – | |||||||||||
Class K | – | (51,264 | ) | – | – | |||||||||||
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| |||||||||
Total distributions from net realized gain on investments | – | (59,776 | ) | – | – | |||||||||||
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Total distributions to shareholders | (888,565 | ) | (1,436,735 | ) | – | (2,979,405 | ) | |||||||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 34,897 | 25,519 | 166,050 | 1,529,865 | ||||||||||||
Reinvestment of distributions | 567 | 2,814 | – | 18,958 | ||||||||||||
Shares redeemed | (150,629 | ) | – | (99,681 | ) | (3,212 | ) | |||||||||
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| |||||||||
Net increase (decrease) from capital share transactions | (115,165 | ) | 28,333 | 66,369 | 1,545,611 | |||||||||||
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Class I | ||||||||||||||||
Shares sold | 1,075,205 | 8,726,563 | 558,654 | 461,922 | ||||||||||||
Reinvestment of distributions | 33,148 | 84,817 | – | 4,904 | ||||||||||||
Shares redeemed | (739,937 | ) | (1,036,767 | ) | – | (43,088 | ) | |||||||||
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Net increase (decrease) from capital share transactions | 368,416 | 7,774,613 | 558,654 | 423,738 | ||||||||||||
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Class K | ||||||||||||||||
Shares sold | 12,936,337 | 34,423,585 | 215,566,185 | 179,462,524 | ||||||||||||
Reinvestment of distributions | 755,054 | 1,313,224 | – | 2,954,328 | ||||||||||||
Shares redeemed | (985,804 | ) | (8,159,404 | ) | (15,540,640 | ) | (20,555,137 | ) | ||||||||
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Net increase (decrease) from capital share transactions | 12,705,587 | 27,577,405 | 200,025,545 | 161,861,715 | ||||||||||||
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Net Increase (Decrease) in Net Assets from Capital Share Transactions | 12,958,838 | 35,380,351 | 200,650,568 | 163,831,064 | ||||||||||||
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Net Increase (Decrease) in Net Assets During the Period | 14,143,900 | 34,676,767 | 231,507,535 | 167,057,833 | ||||||||||||
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Net Assets at Beginning of Period | 89,010,324 | 54,333,557 | 224,361,107 | 57,303,274 | ||||||||||||
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Net Assets at End of Period | $ | 103,154,224 | $ | 89,010,324 | $ | 455,868,642 | $ | 224,361,107 | ||||||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | 208,691 | $ | – | $ | (86,236 | ) | $ | – | |||||||
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See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 3,558 | 2,536 | 17,802 | 172,029 | ||||||||||||
Reinvestment of distributions | 58 | 282 | – | 2,189 | ||||||||||||
Shares redeemed | (15,444 | ) | – | (10,748 | ) | (365 | ) | |||||||||
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Net increase (decrease) from share transactions | (11,828 | ) | 2,818 | 7,054 | 173,853 | |||||||||||
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Class I | ||||||||||||||||
Shares sold | 109,469 | 899,938 | 60,852 | 56,831 | ||||||||||||
Reinvestment of distributions | 3,377 | 8,500 | – | 567 | ||||||||||||
Shares redeemed | (74,914 | ) | (103,787 | ) | – | (5,069 | ) | |||||||||
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Net increase (decrease) from share transactions | 37,932 | 804,651 | 60,852 | 52,329 | ||||||||||||
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Class K | ||||||||||||||||
Shares sold | 1,321,295 | 3,420,492 | 21,657,161 | 20,681,990 | ||||||||||||
Reinvestment of distributions | 76,978 | 131,785 | – | 341,541 | ||||||||||||
Shares redeemed | (100,846 | ) | (813,019 | ) | (1,663,144 | ) | (2,360,232 | ) | ||||||||
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Net increase (decrease) from share transactions | 1,297,427 | 2,739,258 | 19,994,017 | 18,663,299 | ||||||||||||
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See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Small/Mid Cap Equity Index Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (4,900 | ) | $ | 109,227 | |||
Net realized gain (loss) | 570,869 | 95,812 | ||||||
Net change in unrealized appreciation/depreciation | 524,537 | 1,057,970 | ||||||
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| |||||
Net increase (decrease) in net assets resulting from operations | 1,090,506 | 1,263,009 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | – | (1,186 | ) | |||||
Class I | – | (2,663 | ) | |||||
Class K | – | (163,533 | ) | |||||
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Total distributions from net investment income | – | (167,382 | ) | |||||
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Net realized gain on investments | ||||||||
Class A | – | (5 | ) | |||||
Class I | – | (10 | ) | |||||
Class K | – | (591 | ) | |||||
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Total distributions from net realized gain on investments | – | (606 | ) | |||||
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Total distributions to shareholders | – | (167,988 | ) | |||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Class A | ||||||||
Shares sold | 55,945 | 2,000 | ||||||
Reinvestment of distributions | – | 23 | ||||||
Shares redeemed | (14,849 | ) | – | |||||
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Net increase (decrease) from capital share transactions | 41,096 | 2,023 | ||||||
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Class I | ||||||||
Shares sold | 651,856 | 179,144 | ||||||
Reinvestment of distributions | – | 1,219 | ||||||
Shares redeemed | (17,183 | ) | – | |||||
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Net increase (decrease) from capital share transactions | 634,673 | 180,363 | ||||||
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Class K | ||||||||
Shares sold | 5,285,621 | 9,280,415 | ||||||
Reinvestment of distributions | – | 164,124 | ||||||
Shares redeemed | (5,725,405 | ) | (337,475 | ) | ||||
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Net increase (decrease) from capital share transactions | (439,784 | ) | 9,107,064 | |||||
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Net Increase (Decrease) in Net Assets from Capital Share Transactions | 235,985 | 9,289,450 | ||||||
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Net increase (Decrease) in Net Assets During the Period | 1,326,491 | 10,384,471 | ||||||
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Net Assets at Beginning of Period | 14,509,417 | 4,124,946 | ||||||
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Net Assets at End of Period | $ | 15,835,908 | $ | 14,509,417 | ||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | (2,653 | ) | $ | 2,247 | |||
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See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Small/Mid Cap Equity Index Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Shares of Beneficial Interest: | ||||||||
Class A | ||||||||
Shares sold | 5,078 | 202 | ||||||
Reinvestment of distributions | – | 2 | ||||||
Shares redeemed | (1,347 | ) | – | |||||
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Net increase (decrease) from share transactions | 3,731 | 204 | ||||||
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Class I | ||||||||
Shares sold | 59,545 | 17,279 | ||||||
Reinvestment of distributions | – | 113 | ||||||
Shares redeemed | (1,528 | ) | – | |||||
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Net increase (decrease) from share transactions | 58,017 | 17,392 | ||||||
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Class K | ||||||||
Shares sold | 478,243 | 916,650 | ||||||
Reinvestment of distributions | – | 15,239 | ||||||
Shares redeemed | (516,672 | ) | (33,261 | ) | ||||
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Net increase (decrease) from share transactions | (38,429 | ) | 898,628 | |||||
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See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 9.75 | $ | 10.14 | $ | 10.00 | ||||||||
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Income (Loss) from Investment Operations: |
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Net investment income (loss)(a) | 0.08 | 0.16 | 0.21 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 0.11 | 0.03 | (0.18 | ) | 0.16 | |||||||||||
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Total from investment operations | 0.19 | 0.19 | 0.03 | 0.18 | ||||||||||||
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Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | (0.08 | ) | (0.18 | ) | (0.26 | ) | (0.04 | ) | ||||||||
Net realized gains | – | (0.01 | ) | (0.14 | ) | – | ||||||||||
Return of capital | – | – | (0.02 | ) | – | |||||||||||
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Total distributions | (0.08 | ) | (0.19 | ) | (0.42 | ) | (0.04 | ) | ||||||||
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Net asset value, end of period | $ | 9.86 | $ | 9.75 | $ | 9.75 | $ | 10.14 | ||||||||
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Total return(b) | 2.04 | % | 1.91 | % | 0.35 | % | 1.85 | % | ||||||||
Ratios and Supplemental Data: |
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Net assets, end of period (in 000s) | $ | 97 | $ | 211 | $ | 184 | $ | 51 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(c) | 0.67 | %(d) | 0.67 | % | 0.66 | % | 0.91 | %(d) | ||||||||
Net expenses(c) | 0.45 | %(d) | 0.40 | % | 0.31 | % | 0.52 | %(d) | ||||||||
Net investment income (loss) | 1.60 | %(d) | 1.65 | % | 2.11 | % | 0.58 | %(d) | ||||||||
Portfolio turnover rate(e) | 78 | %(g) | 190 | % | 62 | %(f) | 16 | %(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 less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
(g) | Not annualized. |
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 9.76 | $ | 9.74 | $ | 10.13 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations |
| |||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.18 | 0.20 | 0.08 | ||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.06 | (0.14 | ) | 0.09 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.21 | 0.24 | 0.06 | 0.17 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | (0.09 | ) | (0.21 | ) | (0.29 | ) | (0.04 | ) | ||||||||
Net realized gains | – | (0.01 | ) | (0.14 | ) | – | ||||||||||
Return of capital | – | – | (0.02 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (0.09 | ) | (0.22 | ) | (0.45 | ) | (0.04 | ) | ||||||||
|
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|
|
|
|
| |||||||||
Net asset value, end of period | $ | 9.88 | $ | 9.76 | $ | 9.74 | $ | 10.13 | ||||||||
|
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|
|
|
|
|
| |||||||||
Total return(b) | 2.15 | % | 2.37 | % | 0.60 | % | 1.82 | % | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 12,895 | $ | 12,370 | $ | 4,508 | $ | 4,484 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(c) | 0.29 | %(d) | 0.33 | % | 0.41 | % | 0.88 | %(d) | ||||||||
Net expenses(c) | 0.06 | %(d) | 0.06 | % | 0.06 | % | 0.28 | %(d) | ||||||||
Net investment income (loss) | 2.24 | %(d) | 1.83 | % | 1.95 | % | 2.91 | %(d) | ||||||||
Portfolio turnover rate(e) | 78 | %(g) | 194 | % | 62 | %(f) | 16 | %(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 less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
(g) | Not annualized. |
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 9.74 | $ | 10.14 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations |
| |||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.20 | 0.20 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.03 | (0.15 | ) | 0.15 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.21 | 0.23 | 0.05 | 0.19 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | (0.09 | ) | (0.21 | ) | (0.29 | ) | (0.05 | ) | ||||||||
Net realized gains | – | (0.01 | ) | (0.14 | ) | – | ||||||||||
Return of capital | – | – | (0.02 | ) | – | |||||||||||
|
|
|
|
|
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|
| |||||||||
Total distributions | (0.09 | ) | (0.22 | ) | (0.45 | ) | (0.05 | ) | ||||||||
|
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| |||||||||
Net asset value, end of period | $ | 9.87 | $ | 9.75 | $ | 9.74 | $ | 10.14 | ||||||||
|
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|
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| |||||||||
Total return(b) | 2.15 | % | 2.27 | % | 0.54 | % | 1.97 | % | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 90,162 | $ | 76,429 | $ | 49,641 | $ | 70,950 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(c) | 0.29 | %(d) | 0.33 | % | 0.41 | % | 0.50 | %(d) | ||||||||
Net expenses(c) | 0.06 | %(d) | 0.06 | % | 0.06 | % | 0.09 | %(d) | ||||||||
Net investment income (loss) | 2.27 | %(d) | 1.98 | % | 1.88 | % | 1.33 | %(d) | ||||||||
Portfolio turnover rate(e) | 78 | %(g) | 194 | % | 62 | %(f) | 16 | %(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 less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
(g) | Not annualized. |
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 8.74 | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: |
| |||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.31 | 0.15 | 0.04 | |||||||||||
Net realized and unrealized gain (loss) | 1.22 | 0.09 | (0.71 | ) | (0.83 | ) | ||||||||||
|
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|
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|
|
| |||||||||
Total from investment operations | 1.21 | 0.40 | (0.56 | ) | (0.79 | ) | ||||||||||
|
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|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | – | (0.11 | ) | (0.16 | ) | (0.04 | ) | |||||||||
|
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|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 9.95 | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||||
|
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|
|
|
| |||||||||
Total return(b) | 13.96 | % | 4.75 | % | (6.17 | )% | (7.88 | )% | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 1,849 | $ | 1,564 | $ | 42 | $ | 46 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(c) | 0.67 | %(d) | 0.58 | % | 0.70 | % | 1.17 | %(d) | ||||||||
Net expenses(c) | 0.54 | %(d) | 0.42 | % | 0.32 | % | 0.60 | %(d) | ||||||||
Net investment income (loss) | (0.32 | )%(d) | 3.51 | % | 1.64 | % | 1.55 | %(d) | ||||||||
Portfolio turnover rate(e) | 1 | %(f) | 8 | % | 3 | % | 0 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||||||
Class I | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 8.74 | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations |
| |||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.17 | 0.18 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.23 | 0.25 | (0.72 | ) | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.22 | 0.42 | (0.54 | ) | (0.78 | ) | ||||||||||
|
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|
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|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | – | (0.13 | ) | (0.18 | ) | (0.05 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 9.96 | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||||
|
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|
|
|
|
|
| |||||||||
Total return(b) | 14.07 | % | 5.02 | % | (5.94 | )% | (7.81 | )% | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 1,177 | $ | 501 | $ | 42 | $ | 46 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(c) | 0.33 | %(d) | 0.32 | % | 0.45 | % | 0.92 | %(d) | ||||||||
Net expenses(c) | 0.19 | %(d) | 0.16 | % | 0.06 | % | 0.35 | %(d) | ||||||||
Net investment income (loss) | (0.19 | )%(d) | 2.01 | % | 1.89 | % | 1.81 | %(d) | ||||||||
Portfolio turnover rate(e) | 1 | %(f) | 8 | % | 3 | % | 0 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||||||
Class K | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 8.74 | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations |
| |||||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.20 | 0.24 | 0.05 | |||||||||||
Net realized and unrealized gain (loss) | 1.23 | 0.22 | (0.78 | ) | (0.83 | ) | ||||||||||
|
|
|
|
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|
|
| |||||||||
Total from investment operations | 1.23 | 0.42 | (0.54 | ) | (0.78 | ) | ||||||||||
|
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|
|
|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | – | (0.13 | ) | (0.18 | ) | (0.05 | ) | |||||||||
|
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|
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|
|
| |||||||||
Net asset value, end of period | $ | 9.97 | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||||
|
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|
|
| |||||||||
Total return(c) | 14.07 | % | 5.02 | % | (5.94 | )% | (7.76 | )% | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 452,842 | $ | 222,297 | $ | 57,219 | $ | 40,800 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses(d) | 0.20 | %(e) | 0.23 | % | 0.45 | % | 0.73 | %(e) | ||||||||
Net expenses(d) | 0.07 | %(e) | 0.07 | % | 0.06 | % | 0.15 | %(e) | ||||||||
Net investment income (loss) | (0.07 | )%(e) | 2.28 | % | 2.59 | % | 2.00 | %(e) | ||||||||
Portfolio turnover rate(f) | 1 | %(f) | 8 | % | 3 | % | 0 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | For the Period 10/16/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 10.67 | $ | 9.30 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.07 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.78 | 1.41 | (0.69 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.76 | 1.48 | (0.64 | ) | ||||||||
|
|
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|
|
| |||||||
Distributions to Shareholders from: |
| |||||||||||
Net investment income | – | (0.11 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.11 | ) | (0.06 | ) | |||||||
|
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|
| |||||||
Net asset value, end of period | $ | 11.43 | $ | 10.67 | $ | 9.30 | ||||||
|
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| |||||||
Total return(c) | 7.12 | % | 15.67 | % | (6.27 | )% | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 165 | $ | 114 | $ | 97 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 1.49 | %(e) | 2.48 | % | 5.08 | %(e) | ||||||
Net expenses(d) | 0.32 | %(e) | 0.30 | % | 0.30 | %(e) | ||||||
Net investment income (loss) | (0.32 | )%(e) | 0.69 | % | 2.55 | %(e) | ||||||
Portfolio turnover rate(f) | 15 | %(g) | 21 | % | 8 | %(g) |
* | 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. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | For the Period 10/16/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 10.67 | $ | 9.30 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations |
| |||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.14 | 0.06 | ||||||||
Net realized and unrealized gain (loss) | 0.79 | 1.37 | (0.70 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.78 | 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 | $ | 11.45 | $ | 10.67 | $ | 9.30 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 7.31 | % | 15.96 | % | (6.18 | )% | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 983 | $ | 297 | $ | 97 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 1.34 | %(e) | 2.22 | % | 4.83 | %(e) | ||||||
Net expenses(d) | 0.16 | %(e) | 0.05 | % | 0.05 | %(e) | ||||||
Net investment income (loss) | (0.16 | )%(e) | 1.42 | % | 2.80 | %(e) | ||||||
Portfolio turnover rate(f) | 15 | %(g) | 21 | % | 8 | %(g) |
* | 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. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
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 Small/Mid Cap Equity Index Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | For the Period 8/12/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 10.67 | $ | 9.30 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations |
| |||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.15 | 0.06 | ||||||||
Net realized and unrealized gain (loss) | 0.78 | 1.36 | (0.70 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.78 | 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 | $ | 11.45 | $ | 10.67 | $ | 9.30 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 7.31 | % | 16.21 | % | (6.38 | )% | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 14,688 | $ | 14,098 | $ | 3,930 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 1.18 | %(e) | 2.21 | % | 4.71 | %(e) | ||||||
Net expenses(d) | 0.05 | %(e) | 0.05 | % | 0.05 | %(e) | ||||||
Net investment income (loss) | (0.05 | )%(e) | 1.51 | % | 1.49 | %(e) | ||||||
Portfolio turnover rate(f) | 15 | %(g) | 21 | % | 8 | %(g) |
* | 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. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
See accompanying notes to financial statements.
16
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
U.S. Treasury Obligations | 35.5 | % | ||
U.S. Government Agency Obligations | 29.9 | |||
Corporate Bonds & Notes | 26.7 | |||
Foreign Government Obligations | 2.9 | |||
Short-Term Investment | 2.4 | |||
Mortgage-Backed Securities | 1.1 | |||
Municipal Bonds & Notes | 0.5 | |||
Asset-Backed Securities | 0.4 | |||
Other Assets in Excess of Liabilities | 0.6 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2017 | |||
Banks | 6.1 | % | ||
Oil & Gas | 1.8 | |||
Electric | 1.6 | |||
Telecommunications | 1.4 | |||
Pharmaceuticals | 1.3 | |||
Total | 12.2 | % |
* | 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 Aggregate Bond Index Portfolio
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – 26.7% |
| |||||||
Advertising – 0.0%(a) | ||||||||
Interpublic Group of Cos., Inc. | $ | 25,000 | $ | 26,339 | ||||
Omnicom Group, Inc. | 100,000 | 100,700 | ||||||
WPP Finance 2010 | 25,000 | 25,918 | ||||||
|
| |||||||
152,957 | ||||||||
|
| |||||||
Aerospace & Defense – 0.4% |
| |||||||
Boeing Co.: | ||||||||
2.60%, 10/30/2025 | 35,000 | 34,458 | ||||||
3.38%, 6/15/2046 | 25,000 | 23,864 | ||||||
3.65%, 3/1/2047 | 100,000 | 99,891 | ||||||
Embraer Netherlands Finance B.V. | 50,000 | 52,164 | ||||||
General Dynamics Corp. | 25,000 | 24,800 | ||||||
Harris Corp. | 50,000 | 51,646 | ||||||
L3 Technologies, Inc.: | ||||||||
3.85%, 12/15/2026 | 50,000 | 51,375 | ||||||
4.95%, 2/15/2021 | 25,000 | 26,830 | ||||||
Lockheed Martin Corp.: | ||||||||
2.50%, 11/23/2020 | 100,000 | 101,375 | ||||||
3.55%, 1/15/2026 | 100,000 | 103,596 | ||||||
3.60%, 3/1/2035 | 50,000 | 49,347 | ||||||
4.70%, 5/15/2046 | 110,000 | 123,515 | ||||||
Northrop Grumman Corp.: | ||||||||
3.25%, 8/1/2023 | 200,000 | 206,574 | ||||||
4.75%, 6/1/2043 | 25,000 | 28,144 | ||||||
Raytheon Co.: | ||||||||
3.13%, 10/15/2020 | 25,000 | 25,894 | ||||||
4.20%, 12/15/2044 | 25,000 | 26,775 | ||||||
Rockwell Collins, Inc.: | ||||||||
2.80%, 3/15/2022 | 50,000 | 50,472 | ||||||
3.50%, 3/15/2027 | 36,000 | 36,516 | ||||||
4.35%, 4/15/2047 | 100,000 | 104,483 | ||||||
Textron, Inc. | 50,000 | 51,684 | ||||||
United Technologies Corp.: | ||||||||
1.95%, 11/1/2021 | 150,000 | 147,918 | ||||||
2.65%, 11/1/2026 | 50,000 | 48,577 | ||||||
4.50%, 6/1/2042 | 250,000 | 272,855 | ||||||
6.13%, 7/15/2038 | 50,000 | 65,534 | ||||||
|
| |||||||
1,808,287 | ||||||||
|
| |||||||
Agriculture – 0.2% | ||||||||
Altria Group, Inc.: | ||||||||
2.63%, 1/14/2020 | 150,000 | 152,214 | ||||||
4.00%, 1/31/2024 | 25,000 | 26,650 | ||||||
4.50%, 5/2/2043 | 25,000 | 26,597 | ||||||
Archer-Daniels-Midland Co. | 50,000 | 51,757 | ||||||
Philip Morris International, Inc.: | ||||||||
1.63%, 2/21/2019 | 100,000 | 99,709 | ||||||
1.88%, 1/15/2019 | 50,000 | 50,069 | ||||||
2.13%, 5/10/2023 | 75,000 | 72,637 | ||||||
2.63%, 2/18/2022 | 25,000 | 25,179 | ||||||
2.75%, 2/25/2026 | 125,000 | 122,080 | ||||||
4.13%, 3/4/2043 | 25,000 | 25,261 | ||||||
4.50%, 3/26/2020 | 25,000 | 26,649 | ||||||
4.50%, 3/20/2042 | 50,000 | 53,126 | ||||||
Reynolds American, Inc.: | ||||||||
4.00%, 6/12/2022 | 50,000 | 53,046 | ||||||
5.70%, 8/15/2035 | 25,000 | 29,541 | ||||||
5.85%, 8/15/2045 | 175,000 | 214,210 | ||||||
|
| |||||||
1,028,725 | ||||||||
|
| |||||||
Airlines – 0.1% | ||||||||
American Airlines 2014-1 Class A Pass Through Trust | 21,446 | 21,968 | ||||||
Delta Air Lines, Inc.: | ||||||||
2.88%, 3/13/2020 | 100,000 | �� | 101,126 | |||||
3.63%, 3/15/2022 | 250,000 | 257,135 | ||||||
Southwest Airlines Co. | 25,000 | 25,386 | ||||||
United Airlines 2016-1 Pass Through Trust, Class AA | 50,000 | 49,564 | ||||||
|
| |||||||
455,179 | ||||||||
|
| |||||||
Apparel – 0.0%(a) | ||||||||
NIKE, Inc.: | ||||||||
2.38%, 11/1/2026 | 50,000 | 47,412 | ||||||
3.88%, 11/1/2045 | 30,000 | 30,200 | ||||||
|
| |||||||
77,612 | ||||||||
|
| |||||||
Auto Manufacturers – 0.6% |
| |||||||
American Honda Finance Corp.: | ||||||||
1.50%, 11/19/2018 | 50,000 | 49,839 | ||||||
Series MTN, 2.25%, 8/15/2019 | 25,000 | 25,215 | ||||||
Series MTN, 2.45%, 9/24/2020 | 75,000 | 75,994 | ||||||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 50,643 | ||||||
Ford Motor Co.: | ||||||||
4.35%, 12/8/2026 | 100,000 | 102,900 | ||||||
4.75%, 1/15/2043 | 50,000 | 48,136 | ||||||
5.29%, 12/8/2046 | 100,000 | 102,565 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.02%, 5/3/2019 | 150,000 | 149,571 | ||||||
2.68%, 1/9/2020 | 300,000 | 302,058 | ||||||
3.10%, 5/4/2023 | 100,000 | 98,719 | ||||||
3.34%, 3/18/2021 | 150,000 | 152,964 | ||||||
Series GMTN, 4.39%, 1/8/2026 | 100,000 | 103,049 | ||||||
General Motors Co.: | ||||||||
3.50%, 10/2/2018 | 25,000 | 25,431 | ||||||
6.60%, 4/1/2036 | 100,000 | 117,020 | ||||||
6.75%, 4/1/2046 | 25,000 | 29,591 | ||||||
General Motors Financial Co., Inc.: | ||||||||
2.40%, 5/9/2019 | 200,000 | 200,478 | ||||||
3.15%, 1/15/2020 | 35,000 | 35,574 |
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Auto Manufacturers – (continued) |
| |||||||
3.20%, 7/13/2020 | $ | 25,000 | $ | 25,474 | ||||
3.20%, 7/6/2021 | 100,000 | 101,004 | ||||||
3.45%, 1/14/2022 | 50,000 | 50,769 | ||||||
3.70%, 5/9/2023 | 100,000 | 101,590 | ||||||
4.00%, 1/15/2025 | 35,000 | 35,200 | ||||||
4.35%, 1/17/2027 | 35,000 | 35,429 | ||||||
5.25%, 3/1/2026 | 100,000 | 107,961 | ||||||
Toyota Motor Credit Corp.: | ||||||||
1.95%, 4/17/2020 | 100,000 | 100,009 | ||||||
2.90%, 4/17/2024 | 50,000 | 50,306 | ||||||
Series GMTN, 1.90%, 4/8/2021 | 275,000 | 272,231 | ||||||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 25,407 | ||||||
Series MTN, 1.40%, 5/20/2019 | 75,000 | 74,515 | ||||||
Series MTN, 1.70%, 2/19/2019 | 25,000 | 25,006 | ||||||
Series MTN, 2.10%, 1/17/2019 | 50,000 | 50,311 | ||||||
|
| |||||||
2,724,959 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.0%(a) |
| |||||||
Delphi Automotive PLC: | ||||||||
4.25%, 1/15/2026 | 25,000 | 26,477 | ||||||
4.40%, 10/1/2046 | 30,000 | 30,065 | ||||||
Lear Corp. | 20,000 | 21,081 | ||||||
|
| |||||||
77,623 | ||||||||
|
| |||||||
Banks – 6.1% | ||||||||
Australia & New Zealand Banking Group, Ltd. | 100,000 | 99,394 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 25,000 | 25,484 | ||||||
Bank of America Corp.: | ||||||||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038(b) | 100,000 | 103,953 | ||||||
5.70%, 1/24/2022 | 50,000 | 56,336 | ||||||
6.11%, 1/29/2037 | 75,000 | 91,740 | ||||||
Series GMTN, 2.63%, 4/19/2021 | 600,000 | 602,406 | ||||||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 130,447 | ||||||
Series L, 2.60%, 1/15/2019 | 50,000 | 50,456 | ||||||
Series L, 2.65%, 4/1/2019 | 300,000 | 303,324 | ||||||
Series L, 3.95%, 4/21/2025 | 50,000 | 50,668 | ||||||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 49,311 | ||||||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023(b) | 200,000 | 202,552 | ||||||
Series MTN, 3.25%, 10/21/2027 | 400,000 | 387,320 | ||||||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 52,361 | ||||||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 26,388 | ||||||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 51,907 | ||||||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048(b) | 50,000 | 53,025 | ||||||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 55,898 | ||||||
Series MTN, 5.00%, 5/13/2021 | 50,000 | 54,546 | ||||||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 113,467 | ||||||
Series MTN, 5.63%, 7/1/2020 | 50,000 | 54,746 | ||||||
Bank of Montreal: | ||||||||
Series MTN, 1.90%, 8/27/2021 | 300,000 | 294,381 | ||||||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 29,936 | ||||||
Bank of New York Mellon Corp.: | ||||||||
Series G, 2.15%, 2/24/2020 | 100,000 | 100,522 | ||||||
Series G, 3.00%, 2/24/2025 | 100,000 | 99,897 | ||||||
Series MTN, 2.05%, 5/3/2021 | 50,000 | 49,538 | ||||||
Series MTN, 2.20%, 3/4/2019 | 25,000 | 25,182 | ||||||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 193,918 | ||||||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 100,790 | ||||||
Bank of Nova Scotia: | ||||||||
2.35%, 10/21/2020 | 100,000 | 100,382 | ||||||
2.70%, 3/7/2022 | 100,000 | 100,603 | ||||||
Series BKNT, 1.95%, 1/15/2019 | 100,000 | 100,195 | ||||||
Series BKNT, 2.45%, 3/22/2021 | 200,000 | 200,690 | ||||||
Barclays Bank PLC | 100,000 | 107,057 | ||||||
Barclays PLC: | ||||||||
3.20%, 8/10/2021 | 200,000 | 202,678 | ||||||
3.68%, 1/10/2023 | 200,000 | 205,090 | ||||||
4.38%, 1/12/2026 | 50,000 | 51,892 | ||||||
5.20%, 5/12/2026 | 75,000 | 78,853 | ||||||
5.25%, 8/17/2045 | 25,000 | 28,011 | ||||||
BB&T Corp.: | ||||||||
Series MTN, 2.25%, 2/1/2019 | 25,000 | 25,168 | ||||||
Series MTN, 2.63%, 6/29/2020 | 50,000 | 50,814 | ||||||
BNP Paribas SA: | ||||||||
Series BKNT, 5.00%, 1/15/2021 | 100,000 | 109,265 | ||||||
Series MTN, 2.70%, 8/20/2018 | 50,000 | 50,580 | ||||||
BPCE SA | 100,000 | 100,898 | ||||||
Branch Banking & Trust Co.: | ||||||||
2.10%, 1/15/2020 | 250,000 | 250,875 | ||||||
3.63%, 9/16/2025 | 25,000 | 25,912 |
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
Series BKNT, 1.45%, 5/10/2019 | $ | 50,000 | $ | 49,651 | ||||
Canadian Imperial Bank of Commerce | 50,000 | 49,935 | ||||||
Capital One Financial Corp.: | ||||||||
2.45%, 4/24/2019 | 50,000 | 50,282 | ||||||
3.75%, 7/28/2026 | 125,000 | 121,937 | ||||||
Capital One NA/Mclean: | ||||||||
2.35%, 8/17/2018 | 50,000 | 50,202 | ||||||
Series BKNT, 1.85%, 9/13/2019 | 250,000 | 247,827 | ||||||
Series BKNT, 2.95%, 7/23/2021 | 75,000 | 75,545 | ||||||
Citibank NA | 250,000 | 250,195 | ||||||
Citigroup, Inc.: | ||||||||
2.05%, 6/7/2019 | 300,000 | 300,150 | ||||||
2.35%, 8/2/2021 | 50,000 | 49,536 | ||||||
2.50%, 9/26/2018 | 50,000 | 50,341 | ||||||
2.55%, 4/8/2019 | 50,000 | 50,469 | ||||||
2.70%, 3/30/2021 | 175,000 | 176,127 | ||||||
2.90%, 12/8/2021 | 250,000 | 252,245 | ||||||
3.20%, 10/21/2026 | 300,000 | 291,828 | ||||||
3.75%, 6/16/2024 | 25,000 | 25,824 | ||||||
4.13%, 7/25/2028 | 30,000 | 30,435 | ||||||
4.30%, 11/20/2026 | 50,000 | 51,427 | ||||||
4.45%, 9/29/2027 | 150,000 | 155,892 | ||||||
4.65%, 7/30/2045 | 25,000 | 27,216 | ||||||
5.30%, 5/6/2044 | 50,000 | 56,495 | ||||||
6.68%, 9/13/2043 | 175,000 | 233,196 | ||||||
Citizens Bank NA/Providence | 50,000 | 50,351 | ||||||
Commonwealth Bank of Australia | 100,000 | 100,375 | ||||||
Cooperatieve Rabobank UA: | ||||||||
2.25%, 1/14/2019 | 50,000 | 50,325 | ||||||
3.88%, 2/8/2022 | 50,000 | 53,068 | ||||||
4.38%, 8/4/2025 | 250,000 | 261,973 | ||||||
4.50%, 1/11/2021 | 50,000 | 53,757 | ||||||
5.75%, 12/1/2043 | 50,000 | 61,551 | ||||||
Series GMTN, 2.50%, 1/19/2021 | 300,000 | 302,001 | ||||||
Credit Suisse AG | 100,000 | 106,768 | ||||||
Credit Suisse Group Funding Guernsey, Ltd.: | ||||||||
3.13%, 12/10/2020 | 450,000 | 458,131 | ||||||
3.80%, 6/9/2023 | 150,000 | 154,449 | ||||||
Deutsche Bank AG: | ||||||||
2.50%, 2/13/2019 | 75,000 | 75,271 | ||||||
2.95%, 8/20/2020 | 50,000 | 50,271 | ||||||
3.70%, 5/30/2024 | 50,000 | 49,986 | ||||||
4.25%, 10/14/2021 | 200,000 | 209,740 | ||||||
Discover Bank | 25,000 | 24,255 | ||||||
Fifth Third Bancorp | 50,000 | 50,231 | ||||||
Fifth Third Bank: | ||||||||
2.25%, 6/14/2021 | 50,000 | 49,805 | ||||||
Series BKNT, 3.85%, 3/15/2026 | 225,000 | 228,989 | ||||||
FMS Wertmanagement AoeR | 200,000 | 197,432 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
2.00%, 4/25/2019 | 50,000 | 49,984 | ||||||
2.30%, 12/13/2019 | 50,000 | 50,142 | ||||||
2.35%, 11/15/2021 | 175,000 | 172,664 | ||||||
2.55%, 10/23/2019 | 25,000 | 25,248 | ||||||
2.63%, 1/31/2019 | 200,000 | 201,934 | ||||||
2.63%, 4/25/2021 | 150,000 | 150,327 | ||||||
2.75%, 9/15/2020 | 250,000 | 252,943 | ||||||
2.88%, 2/25/2021 | 25,000 | 25,273 | ||||||
2.90%, 7/19/2018 | 50,000 | 50,538 | ||||||
3.00%, 4/26/2022 | 250,000 | 251,898 | ||||||
3.50%, 1/23/2025 | 50,000 | 50,536 | ||||||
3.50%, 11/16/2026 | 250,000 | 248,200 | ||||||
3.63%, 1/22/2023 | 25,000 | 25,794 | ||||||
3.75%, 2/25/2026 | 50,000 | 50,872 | ||||||
4.00%, 3/3/2024 | 50,000 | 52,293 | ||||||
4.75%, 10/21/2045 | 50,000 | 55,395 | ||||||
5.95%, 1/15/2027 | 50,000 | 58,242 | ||||||
6.25%, 2/1/2041 | 200,000 | 261,314 | ||||||
6.75%, 10/1/2037 | 150,000 | 194,703 | ||||||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 55,488 | ||||||
HSBC Holdings PLC: | ||||||||
2.65%, 1/5/2022 | 325,000 | 324,236 | ||||||
2.95%, 5/25/2021 | 250,000 | 253,060 | ||||||
4.30%, 3/8/2026 | 250,000 | 265,352 | ||||||
5.10%, 4/5/2021 | 50,000 | 54,335 | ||||||
5.25%, 3/14/2044 | 200,000 | 227,828 | ||||||
6.50%, 9/15/2037 | 200,000 | 258,528 | ||||||
Huntington Bancshares, Inc.: | ||||||||
2.30%, 1/14/2022 | 25,000 | 24,579 | ||||||
2.60%, 8/2/2018 | 50,000 | 50,343 | ||||||
Industrial & Commercial Bank of China, Ltd. 3.23%, 11/13/2019 | 50,000 | 50,854 | ||||||
International Finance Corp. | 25,000 | 25,106 | ||||||
Intesa Sanpaolo SpA | 50,000 | 55,248 | ||||||
JPMorgan Chase & Co.: | ||||||||
1.85%, 3/22/2019 | 350,000 | 349,681 | ||||||
2.25%, 1/23/2020 | 150,000 | 150,447 | ||||||
2.35%, 1/28/2019 | 50,000 | 50,375 | ||||||
2.40%, 6/7/2021 | 550,000 | 549,037 | ||||||
2.70%, 5/18/2023 | 125,000 | 123,619 | ||||||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023(b) | 38,000 | 38,081 | ||||||
2.95%, 10/1/2026 | 350,000 | 337,785 | ||||||
2.97%, 1/15/2023 | 50,000 | 50,488 | ||||||
3.38%, 5/1/2023 | 75,000 | 76,065 |
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028(b) | $ | 200,000 | $ | 201,244 | ||||
3.88%, 2/1/2024 | 50,000 | 52,406 | ||||||
4.13%, 12/15/2026 | 50,000 | 51,746 | ||||||
4.25%, 10/1/2027 | 80,000 | 83,354 | ||||||
4.85%, 2/1/2044 | 50,000 | 57,816 | ||||||
4.95%, 6/1/2045 | 50,000 | 55,624 | ||||||
5.40%, 1/6/2042 | 50,000 | 60,618 | ||||||
5.50%, 10/15/2040 | 150,000 | 183,012 | ||||||
KeyBank NA | 25,000 | 24,800 | ||||||
KeyCorp.: | ||||||||
Series MTN, 2.30%, 12/13/2018 | 25,000 | 25,124 | ||||||
Series MTN, 2.90%, 9/15/2020 | 100,000 | 101,809 | ||||||
KFW | 50,000 | 50,613 | ||||||
Kreditanstalt fuer Wiederaufbau: | ||||||||
Zero Coupon, 6/29/2037 | 100,000 | 55,217 | ||||||
1.00%, 7/15/2019 | 100,000 | 98,893 | ||||||
1.50%, 2/6/2019 | 750,000 | 749,985 | ||||||
1.50%, 6/15/2021 | 700,000 | 689,297 | ||||||
1.88%, 4/1/2019 | 25,000 | 25,152 | ||||||
2.00%, 5/2/2025 | 100,000 | 97,583 | ||||||
2.13%, 1/17/2023 | 100,000 | 99,875 | ||||||
2.63%, 1/25/2022 | 50,000 | 51,328 | ||||||
4.50%, 7/16/2018 | 75,000 | 77,364 | ||||||
Landwirtschaftliche Rentenbank: | ||||||||
2.00%, 1/13/2025 | 25,000 | 24,373 | ||||||
2.25%, 10/1/2021 | 50,000 | 50,487 | ||||||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 46,987 | ||||||
Lloyds Banking Group PLC: | ||||||||
3.00%, 1/11/2022 | 200,000 | 201,536 | ||||||
4.65%, 3/24/2026 | 100,000 | 104,184 | ||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||
2.19%, 9/13/2021 | 50,000 | 49,238 | ||||||
2.76%, 9/13/2026 | 25,000 | 24,016 | ||||||
3.00%, 2/22/2022 | 50,000 | 50,751 | ||||||
3.68%, 2/22/2027 | 50,000 | 51,667 | ||||||
3.85%, 3/1/2026 | 25,000 | 26,111 | ||||||
Mizuho Financial Group, Inc. | 200,000 | 201,550 | ||||||
Morgan Stanley: | ||||||||
2.75%, 5/19/2022 | 150,000 | 149,931 | ||||||
2.80%, 6/16/2020 | 50,000 | 50,711 | ||||||
3.63%, 1/20/2027 | 100,000 | 100,789 | ||||||
3.95%, 4/23/2027 | 25,000 | 25,216 | ||||||
4.30%, 1/27/2045 | 50,000 | 51,621 | ||||||
6.38%, 7/24/2042 | 65,000 | 86,872 | ||||||
Series GMTN, 2.38%, 7/23/2019 | 50,000 | 50,332 | ||||||
Series GMTN, 2.45%, 2/1/2019 | 550,000 | 553,889 | ||||||
Series GMTN, 2.50%, 4/21/2021 | 225,000 | 224,633 | ||||||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 52,008 | ||||||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 128,557 | ||||||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 51,940 | ||||||
Series MTN, 2.20%, 12/7/2018 | 50,000 | 50,215 | ||||||
Series MTN, 2.63%, 11/17/2021 | 250,000 | 249,433 | ||||||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 218,452 | ||||||
National Australia Bank, Ltd.: | ||||||||
1.38%, 7/12/2019 | 50,000 | 49,387 | ||||||
1.88%, 7/12/2021 | 250,000 | 244,505 | ||||||
2.50%, 7/12/2026 | 50,000 | 47,180 | ||||||
Northern Trust Corp. | 63,000 | 62,946 | ||||||
Oesterreichische Kontrollbank AG: | ||||||||
1.13%, 4/26/2019 | 25,000 | 24,774 | ||||||
1.63%, 3/12/2019 | 25,000 | 25,007 | ||||||
PNC Bank NA: | ||||||||
Series MTN, 2.40%, 10/18/2019 | 200,000 | 201,746 | ||||||
Series MTN, 2.15%, 4/29/2021 | 250,000 | 248,522 | ||||||
PNC Financial Services Group, Inc.: | ||||||||
3.15%, 5/19/2027 | 100,000 | 99,674 | ||||||
3.30%, 3/8/2022 | 50,000 | 51,826 | ||||||
3.90%, 4/29/2024 | 50,000 | 52,287 | ||||||
Regions Financial Corp. | 25,000 | 25,574 | ||||||
Royal Bank of Canada: | ||||||||
1.88%, 2/5/2020 | 250,000 | 249,015 | ||||||
2.00%, 12/10/2018 | 50,000 | 50,157 | ||||||
2.30%, 3/22/2021 | 125,000 | 125,387 | ||||||
Series GMTN, 2.13%, 3/2/2020 | 100,000 | 100,129 | ||||||
Series GMTN, 2.50%, 1/19/2021 | 100,000 | 100,714 | ||||||
Series GMTN, 1.63%, 4/15/2019 | 50,000 | 49,747 | ||||||
Series GMTN, 4.65%, 1/27/2026 | 100,000 | 107,276 | ||||||
Royal Bank of Scotland Group PLC | 75,000 | 76,576 | ||||||
Santander Holdings USA, Inc.: | ||||||||
3.70%, 3/28/2022(c) | 60,000 | 60,676 | ||||||
4.50%, 7/17/2025 | 50,000 | 51,473 | ||||||
Santander UK Group Holdings PLC: | ||||||||
2.88%, 10/16/2020 | 100,000 | 101,378 | ||||||
3.57%, 1/10/2023 | 250,000 | 254,820 |
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
Santander UK PLC | $ | 25,000 | $ | 25,336 | ||||
Skandinaviska Enskilda Banken AB | 50,000 | 48,883 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
1.97%, 1/11/2019 | 250,000 | 249,888 | ||||||
Series GMTN, 1.95%, 7/23/2018 | 100,000 | 100,240 | ||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||
2.44%, 10/19/2021 | 70,000 | 69,668 | ||||||
2.93%, 3/9/2021 | 100,000 | 101,491 | ||||||
3.01%, 10/19/2026 | 50,000 | 49,000 | ||||||
3.78%, 3/9/2026 | 30,000 | 31,179 | ||||||
SunTrust Bank | 50,000 | 50,164 | ||||||
SunTrust Banks, Inc.: | ||||||||
2.35%, 11/1/2018 | 25,000 | 25,129 | ||||||
2.70%, 1/27/2022 | 50,000 | 50,135 | ||||||
Svenska Handelsbanken AB | 75,000 | 75,454 | ||||||
Synchrony Bank | 250,000 | 248,998 | ||||||
Toronto-Dominion Bank: | ||||||||
1.45%, 8/13/2019 | 325,000 | 321,828 | ||||||
Series GMTN, 1.45%, 9/6/2018 | 50,000 | 49,865 | ||||||
Series GMTN, 1.75%, 7/23/2018 | 50,000 | 50,070 | ||||||
Series GMTN, 2.50%, 12/14/2020 | 50,000 | 50,514 | ||||||
Series MTN, 1.95%, 1/22/2019 | 50,000 | 50,151 | ||||||
UBS AG | 100,000 | 100,616 | ||||||
US Bancorp: | ||||||||
Series MTN, 2.20%, 4/25/2019 | 25,000 | 25,206 | ||||||
Series MTN, 2.35%, 1/29/2021 | 100,000 | 100,474 | ||||||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 49,452 | ||||||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 25,952 | ||||||
US Bank NA | 350,000 | 347,939 | ||||||
Wells Fargo & Co.: | ||||||||
2.10%, 7/26/2021 | 300,000 | 295,905 | ||||||
2.15%, 1/15/2019 | 25,000 | 25,117 | ||||||
2.50%, 3/4/2021 | 50,000 | 50,171 | ||||||
3.00%, 10/23/2026 | 250,000 | 243,467 | ||||||
4.13%, 8/15/2023 | 25,000 | 26,433 | ||||||
4.48%, 1/16/2024 | 25,000 | 26,745 | ||||||
5.61%, 1/15/2044 | 325,000 | 386,074 | ||||||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 52,419 | ||||||
Series MTN, 3.00%, 1/22/2021 | 50,000 | 51,056 | ||||||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 152,012 | ||||||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 50,842 | ||||||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028(b) | 100,000 | 101,196 | ||||||
Series MTN, 4.75%, 12/7/2046 | 150,000 | 160,242 | ||||||
Wells Fargo Bank NA | 300,000 | 301,080 | ||||||
Wells Fargo Capital | 25,000 | 28,208 | ||||||
Westpac Banking Corp.: | ||||||||
2.15%, 3/6/2020 | 200,000 | 200,368 | ||||||
2.25%, 1/17/2019 | 125,000 | 125,689 | ||||||
2.80%, 1/11/2022 | 100,000 | 101,369 | ||||||
2.85%, 5/13/2026 | 50,000 | 48,575 | ||||||
3.35%, 3/8/2027 | 150,000 | 150,909 | ||||||
|
| |||||||
29,237,819 | ||||||||
|
| |||||||
Beverages – 0.8% | ||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||
1.90%, 2/1/2019 | 350,000 | 350,773 | ||||||
2.15%, 2/1/2019 | 25,000 | 25,149 | ||||||
2.65%, 2/1/2021 | 155,000 | 156,917 | ||||||
3.30%, 2/1/2023 | 200,000 | 205,750 | ||||||
3.65%, 2/1/2026 | 250,000 | 257,493 | ||||||
4.70%, 2/1/2036 | 425,000 | 468,116 | ||||||
4.90%, 2/1/2046 | 175,000 | 197,493 | ||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
2.50%, 7/15/2022 | 50,000 | 49,905 | ||||||
3.75%, 1/15/2022 | 200,000 | 210,866 | ||||||
3.75%, 7/15/2042 | 50,000 | 47,901 | ||||||
Coca-Cola Co.: | ||||||||
1.38%, 5/30/2019 | 275,000 | 273,842 | ||||||
1.55%, 9/1/2021 | 200,000 | 196,110 | ||||||
1.65%, 11/1/2018 | 25,000 | 25,062 | ||||||
2.25%, 9/1/2026 | 25,000 | 23,680 | ||||||
2.88%, 10/27/2025 | 25,000 | 25,135 | ||||||
3.20%, 11/1/2023 | 25,000 | 25,876 | ||||||
Coca-Cola Femsa SAB de CV | 100,000 | 100,577 | ||||||
Constellation Brands, Inc.: | ||||||||
2.70%, 5/9/2022 | 50,000 | 49,956 | ||||||
3.75%, 5/1/2021 | 5,000 | 5,207 | ||||||
3.88%, 11/15/2019 | 5,000 | 5,194 | ||||||
4.25%, 5/1/2023 | 25,000 | 26,553 | ||||||
4.50%, 5/9/2047 | 50,000 | 51,376 | ||||||
6.00%, 5/1/2022 | 5,000 | 5,687 | ||||||
Diageo Capital PLC | 75,000 | 75,565 |
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Beverages – (continued) | ||||||||
Diageo Investment Corp. | $ | 25,000 | $ | 26,528 | ||||
Dr Pepper Snapple Group, Inc. | 50,000 | 50,822 | ||||||
Molson Coors Brewing Co.: | ||||||||
2.10%, 7/15/2021 | 50,000 | 49,140 | ||||||
2.25%, 3/15/2020(c) | 50,000 | 50,036 | ||||||
3.00%, 7/15/2026 | 50,000 | 48,229 | ||||||
4.20%, 7/15/2046 | 30,000 | 29,505 | ||||||
PepsiCo, Inc.: | ||||||||
1.50%, 2/22/2019 | 135,000 | 134,692 | ||||||
1.70%, 10/6/2021 | 150,000 | 146,970 | ||||||
1.85%, 4/30/2020 | 25,000 | 24,968 | ||||||
2.15%, 10/14/2020 | 50,000 | 50,316 | ||||||
2.85%, 2/24/2026 | 85,000 | 84,685 | ||||||
3.45%, 10/6/2046 | 150,000 | 140,658 | ||||||
3.60%, 3/1/2024 | 25,000 | 26,363 | ||||||
4.45%, 4/14/2046 | 75,000 | 81,682 | ||||||
4.60%, 7/17/2045 | 25,000 | 27,820 | ||||||
|
| |||||||
3,832,597 | ||||||||
|
| |||||||
Biotechnology – 0.4% | ||||||||
Amgen, Inc.: | ||||||||
1.85%, 8/19/2021 | 200,000 | 195,732 | ||||||
2.20%, 5/22/2019 | 50,000 | 50,301 | ||||||
3.63%, 5/22/2024 | 100,000 | 104,308 | ||||||
4.40%, 5/1/2045 | 50,000 | 51,450 | ||||||
4.66%, 6/15/2051 | 225,000 | 238,556 | ||||||
6.38%, 6/1/2037 | 50,000 | 63,397 | ||||||
Biogen, Inc.: | ||||||||
2.90%, 9/15/2020 | 25,000 | 25,507 | ||||||
4.05%, 9/15/2025 | 50,000 | 52,867 | ||||||
5.20%, 9/15/2045 | 25,000 | 28,549 | ||||||
Celgene Corp.: | ||||||||
2.13%, 8/15/2018 | 50,000 | 50,189 | ||||||
2.88%, 8/15/2020 | 225,000 | 230,033 | ||||||
3.63%, 5/15/2024 | 25,000 | 25,890 | ||||||
3.88%, 8/15/2025 | 25,000 | 26,146 | ||||||
4.63%, 5/15/2044 | 50,000 | 52,839 | ||||||
Gilead Sciences, Inc.: | ||||||||
1.85%, 9/4/2018 | 50,000 | 50,097 | ||||||
1.95%, 3/1/2022 | 5,000 | 4,901 | ||||||
2.55%, 9/1/2020 | 250,000 | 253,440 | ||||||
2.95%, 3/1/2027 | 25,000 | 24,275 | ||||||
3.65%, 3/1/2026 | 85,000 | 87,425 | ||||||
4.15%, 3/1/2047 | 120,000 | 120,485 | ||||||
4.40%, 12/1/2021 | 25,000 | 26,945 | ||||||
4.50%, 2/1/2045 | 25,000 | 26,414 | ||||||
4.60%, 9/1/2035 | 100,000 | 108,042 | ||||||
4.75%, 3/1/2046 | 25,000 | 27,428 | ||||||
4.80%, 4/1/2044 | 25,000 | 27,454 | ||||||
|
| |||||||
1,952,670 | ||||||||
|
| |||||||
Chemicals – 0.4% | ||||||||
Agrium, Inc. | 25,000 | 24,870 | ||||||
Airgas, Inc. | 25,000 | 25,622 | ||||||
Celanese US Holdings LLC: | ||||||||
4.63%, 11/15/2022 | 10,000 | 10,782 | ||||||
5.88%, 6/15/2021 | 10,000 | 11,215 | ||||||
Dow Chemical Co.: | ||||||||
3.00%, 11/15/2022 | 275,000 | 280,189 | ||||||
4.25%, 11/15/2020 | 25,000 | 26,526 | ||||||
4.25%, 10/1/2034 | 50,000 | 51,678 | ||||||
4.38%, 11/15/2042 | 50,000 | 51,594 | ||||||
Eastman Chemical Co. | 25,000 | 25,714 | ||||||
Ecolab, Inc. | 25,000 | 27,102 | ||||||
EI du Pont de Nemours & Co.: | ||||||||
2.20%, 5/1/2020 | 33,000 | 33,123 | ||||||
3.63%, 1/15/2021 | 25,000 | 26,155 | ||||||
4.63%, 1/15/2020 | 50,000 | 53,087 | ||||||
6.00%, 7/15/2018 | 25,000 | 26,105 | ||||||
HB Fuller Co. | 25,000 | 25,561 | ||||||
Lubrizol Corp. | 25,000 | 27,571 | ||||||
LYB International Finance B.V. | 25,000 | 26,541 | ||||||
LyondellBasell Industries NV: | ||||||||
4.63%, 2/26/2055 | 25,000 | 24,414 | ||||||
5.00%, 4/15/2019 | 100,000 | 104,539 | ||||||
5.75%, 4/15/2024 | 100,000 | 114,555 | ||||||
Monsanto Co.: | ||||||||
2.13%, 7/15/2019 | 200,000 | 200,420 | ||||||
2.75%, 7/15/2021 | 50,000 | 50,445 | ||||||
4.70%, 7/15/2064 | 25,000 | 25,146 | ||||||
Mosaic Co. | 25,000 | 25,516 | ||||||
Potash Corp. of Saskatchewan, Inc.: | ||||||||
3.00%, 4/1/2025 | 50,000 | 48,559 | ||||||
4.00%, 12/15/2026 | 50,000 | 51,520 | ||||||
PPG Industries, Inc. | 25,000 | 25,141 | ||||||
Praxair, Inc.: | ||||||||
1.25%, 11/7/2018 | 50,000 | 49,764 | ||||||
3.20%, 1/30/2026 | 25,000 | 25,532 | ||||||
3.55%, 11/7/2042 | 25,000 | 24,203 | ||||||
RPM International, Inc.: | ||||||||
3.75%, 3/15/2027 | 50,000 | 50,846 | ||||||
5.25%, 6/1/2045 | 25,000 | 27,989 | ||||||
Sherwin-Williams Co.: | ||||||||
2.25%, 5/15/2020 | 50,000 | 50,103 | ||||||
2.75%, 6/1/2022 | 50,000 | 49,997 | ||||||
3.45%, 6/1/2027 | 30,000 | 30,185 | ||||||
4.50%, 6/1/2047 | 50,000 | 52,402 | ||||||
Westlake Chemical Corp.: | ||||||||
4.63%, 2/15/2021 | 100,000 | 103,430 | ||||||
5.00%, 8/15/2046 | 100,000 | 106,310 | ||||||
|
| |||||||
1,994,451 | ||||||||
|
| |||||||
Commercial Services – 0.2% |
| |||||||
Automatic Data Processing, Inc. | 20,000 | 20,234 |
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Commercial Services – (continued) |
| |||||||
Catholic Health Initiatives | $ | 25,000 | $ | 23,276 | ||||
Ecolab, Inc. | 150,000 | 144,803 | ||||||
Massachusetts Institute of Technology | 50,000 | 54,385 | ||||||
Moody’s Corp.: | ||||||||
2.75%, 7/15/2019 | 50,000 | 50,740 | ||||||
2.75%, 12/15/2021 | 200,000 | 201,518 | ||||||
President and Fellows of Harvard College | 225,000 | 213,437 | ||||||
S&P Global, Inc. | 50,000 | 51,183 | ||||||
University of Southern California | 25,000 | 23,294 | ||||||
|
| |||||||
782,870 | ||||||||
|
| |||||||
Construction Materials – 0.1% |
| |||||||
Johnson Controls International PLC: | ||||||||
3.63%, 7/2/2024(d) | 25,000 | 25,862 | ||||||
4.50%, 2/15/2047 | 70,000 | 74,453 | ||||||
Masco Corp.: | ||||||||
3.50%, 4/1/2021 | 30,000 | 30,825 | ||||||
4.38%, 4/1/2026 | 170,000 | 180,652 | ||||||
Owens Corning | 100,000 | 96,784 | ||||||
Vulcan Materials Co. | 25,000 | 29,438 | ||||||
|
| |||||||
438,014 | ||||||||
|
| |||||||
Distribution & Wholesale – 0.0%(a) |
| |||||||
WW Grainger, Inc. | 50,000 | 54,401 | ||||||
|
| |||||||
Diversified Financial Services – 0.9% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||||
3.95%, 2/1/2022 | 150,000 | 156,222 | ||||||
4.50%, 5/15/2021 | 300,000 | 318,135 | ||||||
Air Lease Corp.: | ||||||||
3.00%, 9/15/2023 | 25,000 | 24,799 | ||||||
3.63%, 4/1/2027 | 70,000 | 70,016 | ||||||
4.25%, 9/15/2024 | 25,000 | 26,263 | ||||||
American Express Credit Corp.: | ||||||||
2.13%, 3/18/2019 | 50,000 | 50,215 | ||||||
Series GMTN, 2.25%, 8/15/2019 | 50,000 | 50,392 | ||||||
Series MTN, 1.80%, 7/31/2018 | 50,000 | 49,995 | ||||||
Series MTN, 2.25%, 5/5/2021 | 350,000 | 349,395 | ||||||
Ameriprise Financial, Inc. | 50,000 | 52,166 | ||||||
BlackRock, Inc.: | ||||||||
3.20%, 3/15/2027 | 56,000 | 56,779 | ||||||
3.50%, 3/18/2024 | 25,000 | 26,280 | ||||||
CBOE Holdings, Inc. | 30,000 | 30,009 | ||||||
Charles Schwab Corp. | 50,000 | 51,302 | ||||||
Credit Suisse USA, Inc. | 50,000 | 68,566 | ||||||
Discover Financial Services: | ||||||||
3.85%, 11/21/2022 | 50,000 | 51,270 | ||||||
4.10%, 2/9/2027 | 75,000 | 75,322 | ||||||
GE Capital International Funding Co. Unlimited Co.: | ||||||||
2.34%, 11/15/2020 | 200,000 | 201,632 | ||||||
4.42%, 11/15/2035 | 350,000 | 380,912 | ||||||
General Electric Co.: | ||||||||
5.30%, 2/11/2021 | 25,000 | 27,634 | ||||||
Series GMTN, 2.20%, 1/9/2020 | 200,000 | 201,758 | ||||||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 52,501 | ||||||
Series GMTN, 2.30%, 1/14/2019 | 25,000 | 25,238 | ||||||
Series MTN, 4.65%, 10/17/2021 | 50,000 | 55,011 | ||||||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 64,711 | ||||||
HSBC Finance Corp. | 25,000 | 28,205 | ||||||
Intercontinental Exchange, Inc.: | ||||||||
2.75%, 12/1/2020 | 50,000 | 50,942 | ||||||
3.75%, 12/1/2025 | 180,000 | 188,615 | ||||||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 51,785 | ||||||
Jefferies Group LLC: | ||||||||
4.85%, 1/15/2027 | 90,000 | 94,090 | ||||||
6.50%, 1/20/2043 | 50,000 | 56,386 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
1.65%, 2/8/2019 | 50,000 | 49,869 | ||||||
2.95%, 2/7/2024 | 100,000 | 100,545 | ||||||
4.02%, 11/1/2032 | 50,000 | 53,003 | ||||||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043(b) | 75,000 | 77,187 | ||||||
Nomura Holdings, Inc. | 200,000 | 201,638 | ||||||
Synchrony Financial: | ||||||||
2.60%, 1/15/2019 | 50,000 | 50,254 | ||||||
4.50%, 7/23/2025 | 50,000 | 51,405 | ||||||
TD Ameritrade Holding Corp.: | ||||||||
2.95%, 4/1/2022 | 150,000 | 153,198 | ||||||
5.60%, 12/1/2019 | 25,000 | 27,027 | ||||||
Visa, Inc.: | ||||||||
2.80%, 12/14/2022 | 75,000 | 76,384 | ||||||
3.15%, 12/14/2025 | 250,000 | 253,870 | ||||||
4.15%, 12/14/2035 | 50,000 | 54,118 | ||||||
4.30%, 12/14/2045 | 50,000 | 54,912 | ||||||
|
| |||||||
4,189,956 | ||||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Electric – 1.6% | ||||||||
Alabama Power Co. | $ | 75,000 | $ | 74,223 | ||||
Ameren Corp. | 50,000 | 50,900 | ||||||
Ameren Illinois Co. | 50,000 | 53,220 | ||||||
American Electric Power Co., Inc. | 50,000 | 50,802 | ||||||
Appalachian Power Co.: | ||||||||
4.40%, 5/15/2044 | 25,000 | 26,524 | ||||||
7.00%, 4/1/2038 | 25,000 | 34,348 | ||||||
Arizona Public Service Co.: | ||||||||
3.75%, 5/15/2046 | 25,000 | 24,523 | ||||||
4.35%, 11/15/2045 | 50,000 | 53,904 | ||||||
Baltimore Gas & Electric Co. | 50,000 | 65,801 | ||||||
Berkshire Hathaway Energy Co.: | ||||||||
2.40%, 2/1/2020 | 230,000 | 231,812 | ||||||
4.50%, 2/1/2045 | 50,000 | 54,232 | ||||||
5.15%, 11/15/2043 | 150,000 | 175,696 | ||||||
6.50%, 9/15/2037 | 80,000 | 107,110 | ||||||
Berkshire Hathaway, Inc. | 50,000 | 50,664 | ||||||
Black Hills Corp. | 25,000 | 24,131 | ||||||
CenterPoint Energy Houston Electric LLC: | ||||||||
Series AA, 3.00%, 2/1/2027 | 100,000 | 99,552 | ||||||
Series Z, 2.40%, 9/1/2026 | 50,000 | 47,478 | ||||||
Cleco Corporate Holdings LLC | 20,000 | 21,343 | ||||||
CMS Energy Corp. | 50,000 | 50,166 | ||||||
Commonwealth Edison Co. | 100,000 | 105,107 | ||||||
Consolidated Edison Co. of New York, Inc.: | ||||||||
3.85%, 6/15/2046 | 50,000 | 49,959 | ||||||
4.45%, 3/15/2044 | 75,000 | 81,817 | ||||||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 31,948 | ||||||
Consolidated Edison, Inc. | 180,000 | 177,266 | ||||||
Consumers Energy Co. | 50,000 | 45,719 | ||||||
Dominion Energy, Inc.: | ||||||||
4.10%, 4/1/2021(d) | 150,000 | 157,427 | ||||||
4.70%, 12/1/2044 | 130,000 | 140,513 | ||||||
Series A, 1.88%, 1/15/2019 | 100,000 | 99,785 | ||||||
Series B, 2.75%, 1/15/2022 | 150,000 | 150,562 | ||||||
Series D, 2.85%, 8/15/2026 | 25,000 | 23,876 | ||||||
DTE Electric Co. | 75,000 | 73,787 | ||||||
DTE Energy Co.: | ||||||||
2.40%, 12/1/2019 | 25,000 | 25,108 | ||||||
Series B, 3.30%, 6/15/2022 | 175,000 | 178,423 | ||||||
Duke Energy Carolinas LLC: | ||||||||
3.88%, 3/15/2046 | 150,000 | 152,972 | ||||||
4.25%, 12/15/2041 | 130,000 | 139,009 | ||||||
Duke Energy Corp.: | ||||||||
2.65%, 9/1/2026 | 50,000 | 47,527 | ||||||
3.75%, 9/1/2046 | 150,000 | 142,599 | ||||||
Duke Energy Florida LLC | 50,000 | 68,467 | ||||||
Duke Energy Ohio, Inc. | 28,000 | 27,311 | ||||||
Duke Energy Progress LLC | 100,000 | 101,928 | ||||||
Edison International | 50,000 | 50,308 | ||||||
Emera US Finance L.P.: | ||||||||
2.15%, 6/15/2019 | 100,000 | 99,920 | ||||||
4.75%, 6/15/2046 | 30,000 | 31,560 | ||||||
Entergy Corp.: | ||||||||
2.95%, 9/1/2026 | 50,000 | 48,001 | ||||||
4.00%, 7/15/2022 | 50,000 | 52,823 | ||||||
Entergy Louisiana LLC: | ||||||||
3.05%, 6/1/2031 | 25,000 | 24,116 | ||||||
3.25%, 4/1/2028 | 200,000 | 199,446 | ||||||
Entergy Mississippi, Inc. | 25,000 | 24,134 | ||||||
Eversource Energy | 50,000 | 50,269 | ||||||
Exelon Corp.: | ||||||||
3.40%, 4/15/2026 | 100,000 | 99,618 | ||||||
3.95%, 6/15/2025 | 50,000 | 51,774 | ||||||
5.10%, 6/15/2045 | 330,000 | 369,432 | ||||||
FirstEnergy Corp.: | ||||||||
Series B, 3.90%, 7/15/2027 | 30,000 | 30,162 | ||||||
Series B, 4.25%, 3/15/2023 | 10,000 | 10,503 | ||||||
Series C, 4.85%, 7/15/2047 | 50,000 | 50,943 | ||||||
Series C, 7.38%, 11/15/2031 | 20,000 | 26,296 | ||||||
Florida Power & Light Co.: | ||||||||
3.25%, 6/1/2024 | 25,000 | 25,784 | ||||||
4.05%, 10/1/2044 | 50,000 | 52,687 | ||||||
Great Plains Energy, Inc.: | ||||||||
3.15%, 4/1/2022 | 50,000 | 50,534 | ||||||
3.90%, 4/1/2027 | 50,000 | 50,773 | ||||||
4.85%, 4/1/2047 | 29,000 | 29,625 | ||||||
Interstate Power & Light Co. | 50,000 | 48,242 | ||||||
Kansas City Power & Light Co. | 25,000 | 25,507 | ||||||
Midamerican Funding LLC | 50,000 | 65,881 | ||||||
NextEra Energy Capital Holdings, Inc.: | ||||||||
2.30%, 4/1/2019 | 100,000 | 100,462 | ||||||
3.55%, 5/1/2027 | 100,000 | 101,424 | ||||||
NiSource Finance Corp.: | ||||||||
4.80%, 2/15/2044 | 30,000 | 32,584 | ||||||
6.80%, 1/15/2019 | 4,000 | 4,273 | ||||||
NSTAR Electric Co. | 50,000 | 50,284 |
See accompanying notes to financial statements.
25
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Electric – (continued) | ||||||||
Oncor Electric Delivery Co. LLC | $ | 50,000 | $ | 72,611 | ||||
Pacific Gas & Electric Co.: | ||||||||
2.95%, 3/1/2026 | 50,000 | 49,589 | ||||||
3.25%, 6/15/2023 | 50,000 | 51,416 | ||||||
3.30%, 3/15/2027 | 150,000 | 151,730 | ||||||
4.75%, 2/15/2044 | 50,000 | 56,914 | ||||||
6.05%, 3/1/2034 | 50,000 | 64,518 | ||||||
PPL Capital Funding, Inc.: | ||||||||
3.50%, 12/1/2022 | 75,000 | 76,657 | ||||||
5.00%, 3/15/2044 | 50,000 | 56,343 | ||||||
PPL Electric Utilities Corp. | 50,000 | 51,412 | ||||||
Public Service Co. of Colorado | 25,000 | 25,764 | ||||||
Public Service Electric & Gas Co.: | ||||||||
3.65%, 9/1/2042 | 50,000 | 49,095 | ||||||
Series MTN, 1.90%, 3/15/2021 | 50,000 | 49,447 | ||||||
Puget Sound Energy, Inc. | 50,000 | 63,236 | ||||||
San Diego Gas & Electric Co. | 50,000 | 50,279 | ||||||
Sierra Pacific Power Co. | 50,000 | 48,211 | ||||||
South Carolina Electric & Gas Co.: | ||||||||
4.10%, 6/15/2046 | 50,000 | 48,939 | ||||||
4.50%, 6/1/2064 | 35,000 | 34,927 | ||||||
Southern California Edison Co.: | ||||||||
4.00%, 4/1/2047 | 41,000 | 42,671 | ||||||
4.50%, 9/1/2040 | 25,000 | 27,527 | ||||||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 50,924 | ||||||
Series C, 3.60%, 2/1/2045 | 50,000 | 48,555 | ||||||
Southern Co.: | ||||||||
1.85%, 7/1/2019 | 250,000 | 248,930 | ||||||
2.35%, 7/1/2021 | 75,000 | 74,281 | ||||||
3.25%, 7/1/2026 | 50,000 | 49,019 | ||||||
4.25%, 7/1/2036 | 250,000 | 255,207 | ||||||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057(b) | 50,000 | 52,984 | ||||||
Southern Power Co. | 150,000 | 154,260 | ||||||
Southwestern Electric Power Co. | 50,000 | 47,911 | ||||||
Southwestern Public Service Co. | 50,000 | 51,245 | ||||||
Virginia Electric & Power Co.: | ||||||||
3.45%, 2/15/2024 | 50,000 | 51,567 | ||||||
8.88%, 11/15/2038 | 50,000 | 83,840 | ||||||
Series B, 2.95%, 11/15/2026 | 30,000 | 29,585 | ||||||
WEC Energy Group, Inc. | 25,000 | 25,780 | ||||||
Westar Energy, Inc. | 30,000 | 31,272 | ||||||
Xcel Energy, Inc. | 200,000 | 201,042 | ||||||
|
| |||||||
7,702,592 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.0%(a) |
| |||||||
Emerson Electric Co.: | ||||||||
2.63%, 12/1/2021 | 50,000 | 50,880 | ||||||
2.63%, 2/15/2023 | 25,000 | 25,239 | ||||||
Hubbell, Inc. | 50,000 | 50,089 | ||||||
|
| |||||||
126,208 | ||||||||
|
| |||||||
Electronics – 0.1% | ||||||||
Arrow Electronics, Inc. | 25,000 | 24,922 | ||||||
Corning, Inc. | 25,000 | 29,232 | ||||||
Fortive Corp. | 50,000 | 49,960 | ||||||
Honeywell International, Inc.: | ||||||||
1.40%, 10/30/2019 | 150,000 | 148,768 | ||||||
2.50%, 11/1/2026 | 150,000 | 143,939 | ||||||
3.35%, 12/1/2023 | 50,000 | 51,898 | ||||||
Keysight Technologies, Inc. | 30,000 | 31,556 | ||||||
Koninklijke Philips NV | 50,000 | 52,637 | ||||||
Thermo Fisher Scientific, Inc.: | ||||||||
3.30%, 2/15/2022 | 50,000 | 51,563 | ||||||
4.15%, 2/1/2024 | 25,000 | 26,675 | ||||||
|
| |||||||
611,150 | ||||||||
|
| |||||||
Engineering & Construction – 0.0%(a) |
| |||||||
ABB Finance USA, Inc. | 50,000 | 51,118 | ||||||
|
| |||||||
Environmental Control – 0.1% | ||||||||
Republic Services, Inc.: | ||||||||
2.90%, 7/1/2026 | 45,000 | 44,062 | ||||||
3.55%, 6/1/2022 | 25,000 | 25,998 | ||||||
Waste Management, Inc.: | ||||||||
2.40%, 5/15/2023 | 150,000 | 148,015 | ||||||
3.50%, 5/15/2024 | 25,000 | 25,999 | ||||||
3.90%, 3/1/2035 | 50,000 | 51,631 | ||||||
|
| |||||||
295,705 | ||||||||
|
| |||||||
Food – 0.4% | ||||||||
General Mills, Inc.: | ||||||||
2.20%, 10/21/2019 | 25,000 | 25,161 | ||||||
3.20%, 2/10/2027 | 100,000 | 99,442 | ||||||
3.65%, 2/15/2024 | 50,000 | 52,176 | ||||||
Hershey Co. | 25,000 | 25,357 | ||||||
JM Smucker Co.: | ||||||||
2.50%, 3/15/2020 | 25,000 | 25,216 | ||||||
4.25%, 3/15/2035 | 50,000 | 51,927 | ||||||
Kellogg Co. | 25,000 | 26,208 |
See accompanying notes to financial statements.
26
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Food – (continued) | ||||||||
Kraft Heinz Foods Co.: | ||||||||
2.80%, 7/2/2020 | $ | 100,000 | $ | 101,407 | ||||
3.00%, 6/1/2026 | 150,000 | 143,487 | ||||||
3.50%, 7/15/2022 | 50,000 | 51,556 | ||||||
3.95%, 7/15/2025 | 50,000 | 51,500 | ||||||
4.38%, 6/1/2046 | 50,000 | 48,878 | ||||||
5.20%, 7/15/2045 | 200,000 | 215,950 | ||||||
6.13%, 8/23/2018 | 25,000 | 26,181 | ||||||
6.88%, 1/26/2039 | 50,000 | 64,241 | ||||||
Kroger Co.: | ||||||||
2.65%, 10/15/2026 | 50,000 | 46,128 | ||||||
3.85%, 8/1/2023 | 75,000 | 78,131 | ||||||
4.45%, 2/1/2047 | 100,000 | 96,488 | ||||||
Mondelez International, Inc. | 100,000 | 105,723 | ||||||
Sysco Corp.: | ||||||||
3.25%, 7/15/2027 | 50,000 | 49,413 | ||||||
3.30%, 7/15/2026 | 100,000 | 99,716 | ||||||
3.75%, 10/1/2025 | 5,000 | 5,195 | ||||||
4.85%, 10/1/2045 | 5,000 | 5,506 | ||||||
Tyson Foods, Inc.: | ||||||||
4.50%, 6/15/2022 | 30,000 | 32,485 | ||||||
4.55%, 6/2/2047 | 35,000 | 36,780 | ||||||
Unilever Capital Corp.: | ||||||||
1.38%, 7/28/2021 | 100,000 | 96,609 | ||||||
2.00%, 7/28/2026 | 100,000 | 92,044 | ||||||
3.10%, 7/30/2025 | 50,000 | 50,401 | ||||||
WhiteWave Foods Co. | 10,000 | 11,288 | ||||||
Whole Foods Market, Inc. | 50,000 | 57,425 | ||||||
|
| |||||||
1,872,019 | ||||||||
|
| |||||||
Forest Products & Paper – 0.1% |
| |||||||
Celulosa Arauco y Constitucion SA | 50,000 | 51,328 | ||||||
Fibria Overseas Finance, Ltd. | 25,000 | 25,541 | ||||||
Georgia-Pacific LLC | 25,000 | 34,671 | ||||||
International Paper Co.: | ||||||||
3.00%, 2/15/2027 | 150,000 | 144,285 | ||||||
3.65%, 6/15/2024 | 25,000 | 25,786 | ||||||
4.40%, 8/15/2047 | 50,000 | 50,442 | ||||||
5.00%, 9/15/2035 | 100,000 | 110,238 | ||||||
|
| |||||||
442,291 | ||||||||
|
| |||||||
Gas – 0.1% | ||||||||
AGL Capital Corp. | 25,000 | 26,425 | ||||||
Atmos Energy Corp. | 25,000 | 25,950 | ||||||
Dominion Energy Gas Holdings LLC: | ||||||||
2.80%, 11/15/2020 | 50,000 | 50,594 | ||||||
3.60%, 12/15/2024 | 50,000 | 50,981 | ||||||
4.80%, 11/1/2043 | 25,000 | 26,452 | ||||||
Fortis, Inc. | 50,000 | 48,259 | ||||||
NiSource Finance Corp.: | ||||||||
3.49%, 5/15/2027 | 50,000 | 50,369 | ||||||
4.38%, 5/15/2047 | 50,000 | 51,408 | ||||||
Sempra Energy | 50,000 | 49,321 | ||||||
Southern California Gas Co.: | ||||||||
3.15%, 9/15/2024 | 25,000 | 25,612 | ||||||
3.20%, 6/15/2025 | 50,000 | 50,996 | ||||||
3.75%, 9/15/2042 | 30,000 | 29,960 | ||||||
5.13%, 11/15/2040 | 25,000 | 29,491 | ||||||
|
| |||||||
515,818 | ||||||||
|
| |||||||
Hand & Machine Tools – 0.0%(a) |
| |||||||
Stanley Black & Decker, Inc. | 50,000 | 52,559 | ||||||
|
| |||||||
Health Care Products – 0.5% | ||||||||
Abbott Laboratories: | ||||||||
2.35%, 11/22/2019 | 35,000 | 35,262 | ||||||
2.90%, 11/30/2021 | 50,000 | 50,555 | ||||||
3.40%, 11/30/2023 | 50,000 | 50,975 | ||||||
3.75%, 11/30/2026 | 150,000 | 153,034 | ||||||
4.75%, 11/30/2036 | 250,000 | 271,982 | ||||||
4.75%, 4/15/2043 | 25,000 | 26,510 | ||||||
4.90%, 11/30/2046 | 50,000 | 55,101 | ||||||
Baxter International, Inc. | 50,000 | 44,844 | ||||||
Becton Dickinson and Co.: | ||||||||
2.40%, 6/5/2020 | 20,000 | 20,030 | ||||||
2.68%, 12/15/2019 | 44,000 | 44,526 | ||||||
2.89%, 6/6/2022 | 35,000 | 34,965 | ||||||
3.36%, 6/6/2024 | 50,000 | 50,104 | ||||||
3.70%, 6/6/2027 | 50,000 | 50,167 | ||||||
3.73%, 12/15/2024 | 50,000 | 50,840 | ||||||
4.67%, 6/6/2047 | 10,000 | 10,377 | ||||||
4.69%, 12/15/2044 | 25,000 | 25,938 | ||||||
Boston Scientific Corp.: | ||||||||
2.65%, 10/1/2018 | 25,000 | 25,190 | ||||||
3.38%, 5/15/2022 | 50,000 | 51,500 | ||||||
Covidien International Finance SA | 50,000 | 51,617 | ||||||
Danaher Corp. | 45,000 | 45,565 | ||||||
Medtronic Global Holdings SCA | 200,000 | 200,112 | ||||||
Medtronic, Inc.: | ||||||||
3.15%, 3/15/2022 | 150,000 | 155,199 | ||||||
3.50%, 3/15/2025 | 150,000 | 155,949 | ||||||
4.38%, 3/15/2035 | 75,000 | 81,913 | ||||||
4.63%, 3/15/2045 | 75,000 | 84,434 | ||||||
5.55%, 3/15/2040 | 25,000 | 30,361 | ||||||
Stryker Corp.: | ||||||||
2.00%, 3/8/2019 | 150,000 | 150,219 | ||||||
3.38%, 11/1/2025 | 25,000 | 25,470 | ||||||
3.50%, 3/15/2026 | 25,000 | 25,597 | ||||||
4.63%, 3/15/2046 | 25,000 | 27,304 |
See accompanying notes to financial statements.
27
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Health Care Products – (continued) |
| |||||||
Thermo Fisher Scientific, Inc. | $ | 250,000 | $ | 252,180 | ||||
Zimmer Biomet Holdings, Inc. | 100,000 | 101,056 | ||||||
|
| |||||||
2,438,876 | ||||||||
|
| |||||||
Health Care Services – 0.3% | ||||||||
Aetna, Inc.: | ||||||||
2.20%, 3/15/2019 | 25,000 | 25,147 | ||||||
2.80%, 6/15/2023 | 200,000 | 199,678 | ||||||
4.13%, 11/15/2042 | 25,000 | 25,641 | ||||||
Anthem, Inc.: | ||||||||
2.25%, 8/15/2019 | 50,000 | 50,242 | ||||||
3.30%, 1/15/2023 | 50,000 | 51,075 | ||||||
3.50%, 8/15/2024 | 25,000 | 25,565 | ||||||
4.65%, 1/15/2043 | 50,000 | 54,282 | ||||||
Ascension Health | 150,000 | 152,299 | ||||||
Cigna Corp. | 50,000 | 60,236 | ||||||
Duke University Health System, Inc. | 50,000 | 50,603 | ||||||
Howard Hughes Medical Institute | 25,000 | 26,389 | ||||||
Humana, Inc.: | ||||||||
2.63%, 10/1/2019 | 50,000 | 50,504 | ||||||
4.95%, 10/1/2044 | 50,000 | 56,086 | ||||||
Kaiser Foundation Hospitals | 50,000 | 52,070 | ||||||
Laboratory Corp. of America Holdings: | ||||||||
2.63%, 2/1/2020 | 25,000 | 25,186 | ||||||
4.70%, 2/1/2045 | 25,000 | 26,001 | ||||||
Memorial Sloan-Kettering Cancer Center | 25,000 | 25,344 | ||||||
Quest Diagnostics, Inc.: | ||||||||
2.70%, 4/1/2019 | 25,000 | 25,284 | ||||||
4.70%, 3/30/2045 | 25,000 | 26,087 | ||||||
UnitedHealth Group, Inc.: | ||||||||
1.70%, 2/15/2019 | 25,000 | 24,978 | ||||||
1.90%, 7/16/2018 | 25,000 | 25,080 | ||||||
2.13%, 3/15/2021 | 150,000 | 149,632 | ||||||
2.70%, 7/15/2020 | 105,000 | 107,190 | ||||||
2.88%, 3/15/2022 | 25,000 | 25,544 | ||||||
3.10%, 3/15/2026 | 50,000 | 50,217 | ||||||
3.75%, 7/15/2025 | 5,000 | 5,281 | ||||||
4.63%, 7/15/2035 | 200,000 | 225,348 | ||||||
4.75%, 7/15/2045 | 30,000 | 34,475 | ||||||
6.88%, 2/15/2038 | 25,000 | 35,499 | ||||||
|
| |||||||
1,690,963 | ||||||||
|
| |||||||
Holding Companies-divers – 0.0%(a) |
| |||||||
MUFG Americas Holdings Corp. | 25,000 | 25,027 | ||||||
|
| |||||||
Home Builders – 0.0%(a) | ||||||||
DR Horton, Inc.: | ||||||||
3.75%, 3/1/2019 | 10,000 | 10,229 | ||||||
4.00%, 2/15/2020 | 15,000 | 15,563 | ||||||
|
| |||||||
25,792 | ||||||||
|
| |||||||
Home Furnishings – 0.0%(a) | ||||||||
Whirlpool Corp. | 25,000 | 26,146 | ||||||
|
| |||||||
Household Products – 0.1% | ||||||||
Colgate-Palmolive Co. | 25,000 | 25,068 | ||||||
Estee Lauder Cos., Inc. | 100,000 | 100,000 | ||||||
Procter & Gamble Co.: | ||||||||
1.70%, 11/3/2021 | 100,000 | 98,579 | ||||||
1.85%, 2/2/2021 | 50,000 | 49,777 | ||||||
2.45%, 11/3/2026 | 150,000 | 146,379 | ||||||
|
| |||||||
419,803 | ||||||||
|
| |||||||
Household Products & Wares – 0.0%(a) |
| |||||||
Kimberly-Clark Corp.: | ||||||||
1.40%, 2/15/2019 | 25,000 | 24,943 | ||||||
2.75%, 2/15/2026 | 25,000 | 24,845 | ||||||
3.90%, 5/4/2047 | 50,000 | 50,908 | ||||||
|
| |||||||
100,696 | ||||||||
|
| |||||||
Housewares – 0.1% | ||||||||
Newell Brands, Inc.: | ||||||||
3.15%, 4/1/2021 | 50,000 | 51,212 | ||||||
3.85%, 4/1/2023 | 50,000 | 52,523 | ||||||
4.20%, 4/1/2026 | 50,000 | 53,101 | ||||||
5.38%, 4/1/2036 | 150,000 | 174,190 | ||||||
5.50%, 4/1/2046 | 50,000 | 60,152 | ||||||
|
| |||||||
391,178 | ||||||||
|
| |||||||
Insurance – 0.8% | ||||||||
Aflac, Inc. | 50,000 | 52,524 | ||||||
Alleghany Corp. | 50,000 | 52,534 | ||||||
Allstate Corp.: | ||||||||
4.20%, 12/15/2046 | 50,000 | 52,482 | ||||||
3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053(b) | 25,000 | 27,381 | ||||||
American International Group, Inc.: | ||||||||
2.30%, 7/16/2019 | 50,000 | 50,276 | ||||||
3.30%, 3/1/2021 | 300,000 | 308,457 | ||||||
3.88%, 1/15/2035 | 200,000 | 193,676 | ||||||
3.90%, 4/1/2026 | 30,000 | 30,827 | ||||||
4.50%, 7/16/2044 | 50,000 | 51,057 | ||||||
4.88%, 6/1/2022 | 50,000 | 54,907 | ||||||
Aon PLC: | ||||||||
3.50%, 6/14/2024 | 50,000 | 50,915 | ||||||
3.88%, 12/15/2025 | 150,000 | 156,535 | ||||||
Berkshire Hathaway Finance Corp. | 255,000 | 255,518 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Insurance – (continued) | ||||||||
Berkshire Hathaway, Inc.: | ||||||||
2.20%, 3/15/2021 | $ | 155,000 | $ | 156,175 | ||||
3.00%, 2/11/2023 | 25,000 | 25,628 | ||||||
3.13%, 3/15/2026 | 55,000 | 55,640 | ||||||
4.50%, 2/11/2043 | 180,000 | 198,619 | ||||||
Brighthouse Financial, Inc.: | ||||||||
3.70%, 6/22/2027(c) | 50,000 | 49,470 | ||||||
4.70%, 6/22/2047(c) | 50,000 | 49,543 | ||||||
Chubb INA Holdings, Inc.: | ||||||||
2.88%, 11/3/2022 | 50,000 | 50,808 | ||||||
3.35%, 5/3/2026 | 50,000 | 51,148 | ||||||
4.15%, 3/13/2043 | 25,000 | 26,491 | ||||||
4.35%, 11/3/2045 | 125,000 | �� | 136,945 | |||||
CNA Financial Corp. | 25,000 | 26,815 | ||||||
First American Financial Corp. | 25,000 | 25,323 | ||||||
Hartford Financial Services Group, Inc. | 25,000 | 27,732 | ||||||
Lincoln National Corp. | 50,000 | 61,885 | ||||||
Loews Corp. | 50,000 | 51,874 | ||||||
Manulife Financial Corp. | 50,000 | 50,404 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
2.75%, 1/30/2022 | 30,000 | 30,271 | ||||||
3.30%, 3/14/2023 | 150,000 | 154,113 | ||||||
3.75%, 3/14/2026 | 25,000 | 26,013 | ||||||
Mercury General Corp. | 50,000 | 50,507 | ||||||
MetLife, Inc.: | ||||||||
3.60%, 4/10/2024 | 100,000 | 105,034 | ||||||
4.05%, 3/1/2045 | 150,000 | 151,014 | ||||||
6.40%, 12/15/2066 | 100,000 | 115,563 | ||||||
Series D, 4.37%, 9/15/2023 | 50,000 | 54,675 | ||||||
Principal Financial Group, Inc. | 75,000 | 77,366 | ||||||
Progressive Corp. | 50,000 | 52,718 | ||||||
Prudential Financial, Inc.: | ||||||||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043(b) | 80,000 | 87,782 | ||||||
6.63%, 6/21/2040 | 25,000 | 33,811 | ||||||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 52,025 | ||||||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 82,209 | ||||||
RenaissanceRe Finance, Inc. | 30,000 | 29,578 | ||||||
Travelers Cos., Inc | 80,000 | 81,629 | ||||||
Travelers Cos., Inc.: | ||||||||
3.75%, 5/15/2046 | 10,000 | 9,781 | ||||||
6.25%, 6/15/2037 | 25,000 | 33,307 | ||||||
Trinity Acquisition PLC | 26,000 | 26,967 | ||||||
Voya Financial, Inc. | 50,000 | 50,076 | ||||||
Willis North America, Inc. | 50,000 | 50,572 | ||||||
XLIT, Ltd. | 125,000 | 133,570 | ||||||
|
| |||||||
3,870,170 | ||||||||
|
| |||||||
Internet – 0.2% | ||||||||
Alibaba Group Holding, Ltd.: | ||||||||
2.50%, 11/28/2019 | 200,000 | 201,802 | ||||||
3.13%, 11/28/2021 | 25,000 | 25,487 | ||||||
3.60%, 11/28/2024 | 75,000 | 77,188 | ||||||
Alphabet, Inc.: | ||||||||
2.00%, 8/15/2026 | 50,000 | 46,827 | ||||||
3.63%, 5/19/2021 | 50,000 | 53,057 | ||||||
Amazon.com, Inc.: | ||||||||
2.50%, 11/29/2022 | 25,000 | 25,195 | ||||||
2.60%, 12/5/2019 | 75,000 | 76,390 | ||||||
3.80%, 12/5/2024 | 30,000 | 31,968 | ||||||
4.95%, 12/5/2044 | 125,000 | 148,236 | ||||||
Baidu, Inc. | 100,000 | 101,186 | ||||||
eBay, Inc.: | ||||||||
2.75%, 1/30/2023 | 150,000 | 148,837 | ||||||
3.45%, 8/1/2024 | 25,000 | 25,260 | ||||||
3.80%, 3/9/2022 | 50,000 | 52,283 | ||||||
|
| |||||||
1,013,716 | ||||||||
|
| |||||||
Iron/Steel – 0.1% | ||||||||
Nucor Corp.: | ||||||||
4.00%, 8/1/2023 | 25,000 | 26,536 | ||||||
5.20%, 8/1/2043 | 50,000 | 58,641 | ||||||
Vale Overseas, Ltd.: | ||||||||
4.38%, 1/11/2022 | 25,000 | 25,472 | ||||||
5.88%, 6/10/2021 | 300,000 | 322,557 | ||||||
8.25%, 1/17/2034 | 25,000 | 29,806 | ||||||
Vale SA | 50,000 | 47,641 | ||||||
|
| |||||||
510,653 | ||||||||
|
| |||||||
IT Services – 0.7% | ||||||||
Apple, Inc.: | ||||||||
1.55%, 2/8/2019 | 100,000 | 100,024 | ||||||
1.55%, 2/7/2020 | 25,000 | 24,865 | ||||||
1.55%, 8/4/2021 | 50,000 | 48,888 | ||||||
1.70%, 2/22/2019 | 35,000 | 35,092 | ||||||
2.25%, 2/23/2021 | 200,000 | 201,314 | ||||||
2.40%, 5/3/2023 | 25,000 | 24,798 | ||||||
2.45%, 8/4/2026 | 200,000 | 191,548 | ||||||
2.50%, 2/9/2022 | 100,000 | 100,853 | ||||||
2.85%, 5/6/2021 | 25,000 | 25,661 | ||||||
2.85%, 2/23/2023 | 250,000 | 254,127 | ||||||
3.00%, 2/9/2024 | 100,000 | 101,438 | ||||||
3.25%, 2/23/2026 | 150,000 | 152,718 | ||||||
3.85%, 5/4/2043 | 25,000 | 24,957 | ||||||
3.85%, 8/4/2046 | 150,000 | 149,770 | ||||||
4.38%, 5/13/2045 | 75,000 | 81,068 |
See accompanying notes to financial statements.
29
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
IT Services – (continued) | ||||||||
4.50%, 2/23/2036 | $ | 100,000 | $ | 112,126 | ||||
4.65%, 2/23/2046 | 75,000 | 84,235 | ||||||
Dell International LLC/EMC Corp.: | ||||||||
3.48%, 6/1/2019(c) | 120,000 | 122,836 | ||||||
4.42%, 6/15/2021(c) | 50,000 | 52,715 | ||||||
5.45%, 6/15/2023(c) | 325,000 | 353,636 | ||||||
6.02%, 6/15/2026(c) | 20,000 | 22,076 | ||||||
8.35%, 7/15/2046(c) | 70,000 | 90,285 | ||||||
Hewlett Packard Enterprise Co.: | ||||||||
2.85%, 10/5/2018 | 155,000 | 156,756 | ||||||
3.60%, 10/15/2020 | 10,000 | 10,303 | ||||||
4.90%, 10/15/2025 | 70,000 | 73,436 | ||||||
6.20%, 10/15/2035 | 10,000 | 10,809 | ||||||
6.35%, 10/15/2045 | 10,000 | 10,556 | ||||||
HP, Inc.: | ||||||||
4.05%, 9/15/2022 | 25,000 | 26,321 | ||||||
4.65%, 12/9/2021 | 50,000 | 53,954 | ||||||
International Business Machines Corp.: | ||||||||
1.80%, 5/17/2019 | 100,000 | 100,181 | ||||||
2.25%, 2/19/2021 | 200,000 | 200,862 | ||||||
2.88%, 11/9/2022 | 100,000 | 101,800 | ||||||
3.63%, 2/12/2024 | 50,000 | 52,285 | ||||||
4.70%, 2/19/2046 | 25,000 | 27,879 | ||||||
5.88%, 11/29/2032 | 25,000 | 31,569 | ||||||
Seagate HDD Cayman: | ||||||||
4.25%, 3/1/2022(c) | 150,000 | 152,533 | ||||||
4.75%, 6/1/2023 | 50,000 | 51,950 | ||||||
|
| |||||||
3,416,224 | ||||||||
|
| |||||||
Lodging – 0.1% | ||||||||
Marriott International, Inc.: | ||||||||
2.30%, 1/15/2022 | 150,000 | 147,876 | ||||||
2.88%, 3/1/2021 | 50,000 | 50,739 | ||||||
3.75%, 3/15/2025 | 25,000 | 25,669 | ||||||
Wyndham Worldwide Corp.: | ||||||||
4.15%, 4/1/2024 | 30,000 | 30,849 | ||||||
4.50%, 4/1/2027 | 35,000 | 35,962 | ||||||
|
| |||||||
291,095 | ||||||||
|
| |||||||
Machinery, Construction & Mining – 0.1% |
| |||||||
Caterpillar Financial Services Corp.: | ||||||||
1.70%, 8/9/2021 | 150,000 | 146,397 | ||||||
Series MTN, 1.35%, 5/18/2019 | 100,000 | 99,138 | ||||||
Series MTN, 2.10%, 1/10/2020 | 150,000 | 150,425 | ||||||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 26,512 | ||||||
Caterpillar, Inc.: | ||||||||
3.80%, 8/15/2042 | 125,000 | 125,216 | ||||||
4.75%, 5/15/2064 | 25,000 | 27,961 | ||||||
|
| |||||||
575,649 | ||||||||
|
| |||||||
Machinery-Diversified – 0.1% |
| |||||||
Deere & Co.: | ||||||||
2.60%, 6/8/2022 | 25,000 | 25,303 | ||||||
3.90%, 6/9/2042 | 25,000 | 26,087 | ||||||
John Deere Capital Corp.: | ||||||||
Series MTN, 1.65%, 10/15/2018 | 250,000 | 250,078 | ||||||
Series MTN, 1.95%, 1/8/2019 | 50,000 | 50,204 | ||||||
Series MTN, 2.38%, 7/14/2020 | 25,000 | 25,295 | ||||||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 151,638 | ||||||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 26,041 | ||||||
Roper Technologies, Inc.: | ||||||||
2.80%, 12/15/2021 | 50,000 | 50,395 | ||||||
3.80%, 12/15/2026 | 30,000 | 30,836 | ||||||
|
| |||||||
635,877 | ||||||||
|
| |||||||
Media – 0.9% | ||||||||
21st Century Fox America, Inc.: | ||||||||
3.70%, 10/15/2025 | 100,000 | 102,983 | ||||||
4.00%, 10/1/2023 | 100,000 | 105,883 | ||||||
5.40%, 10/1/2043 | 75,000 | 86,119 | ||||||
Series WI, 3.38%, 11/15/2026 | 100,000 | 100,011 | ||||||
CBS Corp.: | ||||||||
2.30%, 8/15/2019 | 75,000 | 75,282 | ||||||
2.50%, 2/15/2023(e) | 50,000 | 49,534 | ||||||
2.90%, 1/15/2027 | 125,000 | 118,336 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||||
3.58%, 7/23/2020 | 65,000 | 67,197 | ||||||
4.46%, 7/23/2022 | 150,000 | 160,016 | ||||||
4.91%, 7/23/2025 | 50,000 | 54,015 | ||||||
6.48%, 10/23/2045 | 185,000 | 222,609 | ||||||
Comcast Corp.: | ||||||||
2.75%, 3/1/2023 | 175,000 | 176,586 | ||||||
3.00%, 2/1/2024 | 150,000 | 152,109 | ||||||
3.15%, 3/1/2026 | 225,000 | 226,307 | ||||||
3.20%, 7/15/2036 | 250,000 | 233,353 | ||||||
3.30%, 2/1/2027 | 150,000 | 152,079 | ||||||
3.40%, 7/15/2046 | 100,000 | 90,944 | ||||||
3.60%, 3/1/2024 | 25,000 | 26,239 | ||||||
4.20%, 8/15/2034 | 100,000 | 105,924 | ||||||
4.25%, 1/15/2033 | 50,000 | 53,169 | ||||||
4.65%, 7/15/2042 | 75,000 | 82,165 | ||||||
Discovery Communications LLC: | ||||||||
3.25%, 4/1/2023 | 25,000 | 24,667 | ||||||
3.80%, 3/13/2024 | 100,000 | 101,045 | ||||||
4.95%, 5/15/2042 | 50,000 | 46,728 | ||||||
Grupo Televisa SAB: | ||||||||
5.00%, 5/13/2045 | 50,000 | 48,705 | ||||||
6.13%, 1/31/2046 | 100,000 | 111,977 | ||||||
NBCUniversal Media LLC: | ||||||||
5.15%, 4/30/2020 | 50,000 | 54,440 | ||||||
6.40%, 4/30/2040 | 50,000 | 67,206 | ||||||
Thomson Reuters Corp.: | ||||||||
3.35%, 5/15/2026 | 50,000 | 49,891 |
See accompanying notes to financial statements.
30
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Media – (continued) | ||||||||
3.85%, 9/29/2024 | $ | 25,000 | $ | 25,954 | ||||
Time Warner Cable LLC: | ||||||||
4.00%, 9/1/2021 | 25,000 | 26,147 | ||||||
5.00%, 2/1/2020 | 100,000 | 106,706 | ||||||
5.50%, 9/1/2041 | 25,000 | 26,888 | ||||||
5.88%, 11/15/2040 | 50,000 | 55,899 | ||||||
6.75%, 7/1/2018 | 25,000 | 26,162 | ||||||
6.75%, 6/15/2039 | 50,000 | 61,024 | ||||||
Time Warner, Inc.: | ||||||||
3.55%, 6/1/2024 | 25,000 | 25,348 | ||||||
3.60%, 7/15/2025 | 300,000 | 300,645 | ||||||
3.80%, 2/15/2027 | 150,000 | 150,841 | ||||||
4.65%, 6/1/2044 | 25,000 | 24,928 | ||||||
4.85%, 7/15/2045 | 50,000 | 51,473 | ||||||
6.50%, 11/15/2036 | 50,000 | 61,582 | ||||||
Viacom, Inc.: | ||||||||
4.38%, 3/15/2043 | 25,000 | 22,223 | ||||||
5.85%, 9/1/2043 | 50,000 | 53,905 | ||||||
Walt Disney Co.: | ||||||||
2.30%, 2/12/2021 | 200,000 | 201,542 | ||||||
3.00%, 2/13/2026 | 50,000 | 50,128 | ||||||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 25,526 | ||||||
Series MTN, 0.88%, 7/12/2019 | 25,000 | 24,608 | ||||||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 65,476 | ||||||
Series MTN, 5.50%, 3/15/2019 | 25,000 | 26,584 | ||||||
|
| |||||||
4,359,108 | ||||||||
|
| |||||||
Metal Fabricate & Hardware – 0.0%(a) |
| |||||||
Precision Castparts Corp. | 75,000 | 74,705 | ||||||
|
| |||||||
Mining – 0.2% | ||||||||
Barrick Gold Corp.: | ||||||||
4.10%, 5/1/2023 | 50,000 | 54,144 | ||||||
5.25%, 4/1/2042 | 25,000 | 28,292 | ||||||
Barrick North America Finance LLC | 7,000 | 7,541 | ||||||
BHP Billiton Finance USA, Ltd.: | ||||||||
4.13%, 2/24/2042 | 125,000 | 128,068 | ||||||
5.00%, 9/30/2043 | 50,000 | 57,632 | ||||||
Goldcorp, Inc. | 50,000 | 51,694 | ||||||
Newmont Mining Corp.: | ||||||||
3.50%, 3/15/2022 | 25,000 | 25,894 | ||||||
4.88%, 3/15/2042 | 50,000 | 52,857 | ||||||
Rio Tinto Finance USA PLC | 25,000 | 25,622 | ||||||
Rio Tinto Finance USA, Ltd. | 250,000 | 262,875 | ||||||
Southern Copper Corp. | 207,000 | 221,761 | ||||||
|
| |||||||
916,380 | ||||||||
|
| |||||||
Miscellaneous Manufacturer – 0.2% |
| |||||||
3M Co.: | ||||||||
Series MTN, 1.63%, 6/15/2019 | 25,000 | 25,014 | ||||||
Series MTN, 2.00%, 8/7/2020 | 100,000 | 100,623 | ||||||
Eaton Corp. | 25,000 | 25,672 | ||||||
General Electric Co.: | ||||||||
2.70%, 10/9/2022 | 250,000 | 253,990 | ||||||
4.13%, 10/9/2042 | 225,000 | 236,758 | ||||||
4.50%, 3/11/2044 | 50,000 | 55,555 | ||||||
Illinois Tool Works, Inc.: | ||||||||
1.95%, 3/1/2019 | 25,000 | 25,119 | ||||||
3.90%, 9/1/2042 | 25,000 | 26,016 | ||||||
Ingersoll-Rand Global Holding Co., Ltd.: | ||||||||
5.75%, 6/15/2043 | 25,000 | 31,636 | ||||||
6.88%, 8/15/2018 | 25,000 | 26,381 | ||||||
Parker-Hannifin Corp. | 50,000 | 51,573 | ||||||
Tyco Electronics Group SA | 50,000 | 51,670 | ||||||
|
| |||||||
910,007 | ||||||||
|
| |||||||
Multi-National – 0.8% | ||||||||
African Development Bank: | ||||||||
Series GDIF, 1.00%, 5/15/2019 | 50,000 | 49,490 | ||||||
Series GDIF, 1.25%, 7/26/2021 | 25,000 | 24,298 | ||||||
Asian Development Bank: | ||||||||
1.38%, 1/15/2019 | 375,000 | 374,460 | ||||||
1.63%, 3/16/2021 | 150,000 | 148,662 | ||||||
1.75%, 9/11/2018 | 50,000 | 50,183 | ||||||
2.13%, 11/24/2021 | 75,000 | 75,448 | ||||||
Series GMTN, 2.00%, 4/24/2026 | 100,000 | 96,587 | ||||||
Corp. Andina de Fomento | 50,000 | 49,672 | ||||||
Council of Europe Development Bank | 50,000 | 49,417 | ||||||
European Bank for Reconstruction & Development: | ||||||||
1.00%, 9/17/2018 | 50,000 | 49,727 | ||||||
1.63%, 11/15/2018 | 25,000 | 25,050 | ||||||
Series GMTN, 1.88%, 2/23/2022 | 75,000 | 74,419 | ||||||
European Investment Bank: | ||||||||
1.13%, 8/15/2018 | 175,000 | 174,407 | ||||||
1.38%, 9/15/2021 | 200,000 | 195,050 | ||||||
1.75%, 6/17/2019 | 25,000 | 25,100 | ||||||
1.88%, 3/15/2019 | 50,000 | 50,276 | ||||||
1.88%, 2/10/2025 | 100,000 | 96,508 | ||||||
2.00%, 3/15/2021 | 225,000 | 225,902 | ||||||
2.13%, 10/15/2021 | 50,000 | 50,268 | ||||||
2.50%, 4/15/2021 | 50,000 | 51,054 | ||||||
2.50%, 10/15/2024 | 25,000 | 25,312 |
See accompanying notes to financial statements.
31
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Multi-National – (continued) | ||||||||
Series MTN, 1.25%, 5/15/2019 | $ | 350,000 | $ | 348,089 | ||||
Inter-American Development Bank: | ||||||||
1.13%, 8/28/2018 | 50,000 | 49,842 | ||||||
1.25%, 10/15/2019 | 100,000 | 99,259 | ||||||
1.88%, 6/16/2020 | 135,000 | 135,593 | ||||||
2.13%, 11/9/2020 | 25,000 | 25,267 | ||||||
3.00%, 2/21/2024 | 100,000 | 104,432 | ||||||
4.38%, 1/24/2044 | 75,000 | 90,343 | ||||||
International Bank for Reconstruction & Development: | ||||||||
0.88%, 7/19/2018 | 200,000 | 198,982 | ||||||
1.00%, 10/5/2018 | 100,000 | 99,497 | ||||||
2.13%, 11/1/2020 | 25,000 | 25,272 | ||||||
Series GDIF, 1.38%, 5/24/2021 | 275,000 | 270,091 | ||||||
Series GDIF, 2.50%, 11/25/2024 | 50,000 | 50,626 | ||||||
Series GDIF, 2.50%, 7/29/2025 | 200,000 | 201,466 | ||||||
Series GMTN, 0.88%, 8/15/2019 | 50,000 | 49,286 | ||||||
Series GMTN, 4.75%, 2/15/2035 | 25,000 | 31,386 | ||||||
International Finance Corp.: | ||||||||
1.75%, 9/4/2018 | 175,000 | 175,684 | ||||||
Series GMTN, 1.13%, 7/20/2021 | 125,000 | 121,156 | ||||||
Nordic Investment Bank | 50,000 | 49,700 | ||||||
|
| |||||||
4,087,261 | ||||||||
|
| |||||||
Office & Business Equipment – 0.0%(a) |
| |||||||
Pitney Bowes, Inc. | 50,000 | 49,999 | ||||||
Xerox Corp. | 50,000 | 50,952 | ||||||
|
| |||||||
100,951 | ||||||||
|
| |||||||
Oil & Gas – 1.8% | ||||||||
Anadarko Petroleum Corp.: | ||||||||
3.45%, 7/15/2024 | 50,000 | 49,107 | ||||||
6.20%, 3/15/2040 | 25,000 | 28,566 | ||||||
6.60%, 3/15/2046 | 300,000 | 367,797 | ||||||
Apache Corp.: | ||||||||
4.75%, 4/15/2043 | 25,000 | 25,074 | ||||||
6.00%, 1/15/2037 | 50,000 | 57,747 | ||||||
BP Capital Markets PLC: | ||||||||
2.24%, 5/10/2019 | 25,000 | 25,168 | ||||||
2.32%, 2/13/2020 | 50,000 | 50,430 | ||||||
3.02%, 1/16/2027 | 200,000 | 194,790 | ||||||
3.06%, 3/17/2022 | 200,000 | 204,182 | ||||||
3.81%, 2/10/2024 | 150,000 | 156,649 | ||||||
Canadian Natural Resources, Ltd.: | ||||||||
2.95%, 1/15/2023 | 250,000 | 247,887 | ||||||
3.45%, 11/15/2021 | 25,000 | 25,678 | ||||||
3.85%, 6/1/2027 | 50,000 | 49,603 | ||||||
3.90%, 2/1/2025 | 25,000 | 25,226 | ||||||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 101,430 | ||||||
Cenovus Energy, Inc.: | ||||||||
3.00%, 8/15/2022 | 20,000 | 19,194 | ||||||
4.25%, 4/15/2027(c) | 50,000 | 47,743 | ||||||
4.45%, 9/15/2042 | 45,000 | 37,076 | ||||||
5.25%, 6/15/2037(c) | 100,000 | 93,532 | ||||||
5.40%, 6/15/2047(c) | 50,000 | 46,728 | ||||||
5.70%, 10/15/2019 | 30,000 | 31,650 | ||||||
Chevron Corp.: | ||||||||
1.56%, 5/16/2019 | 75,000 | 74,772 | ||||||
2.10%, 5/16/2021 | 250,000 | 249,030 | ||||||
2.42%, 11/17/2020 | 75,000 | 75,938 | ||||||
2.95%, 5/16/2026 | 50,000 | 49,666 | ||||||
3.19%, 6/24/2023 | 25,000 | 25,873 | ||||||
Cimarex Energy Co. | 50,000 | 50,274 | ||||||
CNOOC Finance 2015 Australia Pty, Ltd. | 50,000 | 50,133 | ||||||
CNOOC Finance 2015 USA LLC | 300,000 | 299,619 | ||||||
ConocoPhillips: | ||||||||
5.75%, 2/1/2019 | 6,000 | 6,352 | ||||||
6.50%, 2/1/2039 | 75,000 | 97,951 | ||||||
ConocoPhillips Co.: | ||||||||
2.20%, 5/15/2020 | 50,000 | 50,122 | ||||||
4.20%, 3/15/2021 | 250,000 | 265,557 | ||||||
4.95%, 3/15/2026 | 200,000 | 222,390 | ||||||
ConocoPhillips Holding Co. | 50,000 | 64,409 | ||||||
Devon Energy Corp.: | ||||||||
3.25%, 5/15/2022 | 50,000 | 49,783 | ||||||
5.00%, 6/15/2045 | 25,000 | 25,364 | ||||||
5.85%, 12/15/2025 | 50,000 | 56,976 | ||||||
Ecopetrol SA: | ||||||||
4.13%, 1/16/2025 | 100,000 | 98,051 | ||||||
5.88%, 5/28/2045 | 25,000 | 22,901 | ||||||
7.38%, 9/18/2043 | 50,000 | 54,001 | ||||||
Encana Corp. | 25,000 | 25,514 | ||||||
EOG Resources, Inc.: | ||||||||
2.63%, 3/15/2023 | 100,000 | 98,834 | ||||||
3.90%, 4/1/2035 | 25,000 | 24,327 | ||||||
Exxon Mobil Corp.: | ||||||||
1.71%, 3/1/2019 | 250,000 | 250,600 | ||||||
2.22%, 3/1/2021 | 200,000 | 201,270 | ||||||
2.73%, 3/1/2023 | 150,000 | 151,617 | ||||||
4.11%, 3/1/2046 | 125,000 | 131,744 | ||||||
Hess Corp. | 75,000 | 73,574 | ||||||
Marathon Oil Corp.: | ||||||||
2.80%, 11/1/2022 | 25,000 | 24,067 | ||||||
5.20%, 6/1/2045 | 50,000 | 48,047 | ||||||
Marathon Petroleum Corp. | 50,000 | 50,440 |
See accompanying notes to financial statements.
32
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Oil & Gas – (continued) | ||||||||
Nabors Industries, Inc. | $ | 210,000 | $ | 198,880 | ||||
Nexen Energy ULC | 100,000 | 119,328 | ||||||
Noble Energy, Inc. | 50,000 | 51,838 | ||||||
Occidental Petroleum Corp.: | ||||||||
2.60%, 4/15/2022 | 100,000 | 100,328 | ||||||
4.40%, 4/15/2046 | 25,000 | 25,993 | ||||||
Series 1, 4.10%, 2/1/2021 | 25,000 | 26,421 | ||||||
Petro-Canada | 25,000 | 27,618 | ||||||
Petroleos Mexicanos: | ||||||||
2.46%, 12/15/2025 | 21,250 | 20,932 | ||||||
3.50%, 7/18/2018 | 25,000 | 25,287 | ||||||
3.50%, 7/23/2020 | 225,000 | 227,300 | ||||||
3.50%, 1/30/2023 | 25,000 | 23,980 | ||||||
4.25%, 1/15/2025 | 25,000 | 24,257 | ||||||
4.50%, 1/23/2026 | 75,000 | 72,837 | ||||||
4.63%, 9/21/2023 | 75,000 | 75,767 | ||||||
5.38%, 3/13/2022(c) | 50,000 | 52,590 | ||||||
5.50%, 2/4/2019 | 50,000 | 52,208 | ||||||
6.38%, 1/23/2045 | 150,000 | 146,290 | ||||||
6.50%, 3/13/2027(c) | 150,000 | 161,124 | ||||||
6.75%, 9/21/2047 | 298,000 | 300,569 | ||||||
Phillips 66: | ||||||||
4.30%, 4/1/2022 | 35,000 | 37,472 | ||||||
4.88%, 11/15/2044 | 50,000 | 53,547 | ||||||
Pioneer Natural Resources Co. | 50,000 | 53,063 | ||||||
Shell International Finance B.V.: | ||||||||
1.38%, 5/10/2019 | 25,000 | 24,847 | ||||||
1.88%, 5/10/2021 | 250,000 | 246,907 | ||||||
2.13%, 5/11/2020 | 100,000 | 100,478 | ||||||
3.25%, 5/11/2025 | 100,000 | 101,944 | ||||||
4.00%, 5/10/2046 | 50,000 | 49,549 | ||||||
4.13%, 5/11/2035 | 75,000 | 78,049 | ||||||
4.30%, 9/22/2019 | 25,000 | 26,312 | ||||||
4.38%, 5/11/2045 | 250,000 | 260,543 | ||||||
5.50%, 3/25/2040 | 25,000 | 30,200 | ||||||
Statoil ASA: | ||||||||
1.95%, 11/8/2018 | 25,000 | 25,066 | ||||||
2.65%, 1/15/2024 | 75,000 | 74,114 | ||||||
3.70%, 3/1/2024 | 100,000 | 104,982 | ||||||
3.95%, 5/15/2043 | 50,000 | 49,330 | ||||||
Suncor Energy, Inc.: | ||||||||
3.60%, 12/1/2024 | 25,000 | 25,564 | ||||||
6.50%, 6/15/2038 | 50,000 | 63,920 | ||||||
Total Capital International SA: | ||||||||
2.10%, 6/19/2019 | 250,000 | 251,938 | ||||||
3.75%, 4/10/2024 | 25,000 | 26,354 | ||||||
Total Capital SA | 25,000 | 25,146 | ||||||
Valero Energy Corp.: | ||||||||
3.40%, 9/15/2026 | 50,000 | 48,939 | ||||||
6.13%, 2/1/2020 | 25,000 | 27,415 | ||||||
6.63%, 6/15/2037 | 50,000 | 61,700 | ||||||
|
| |||||||
8,435,379 | ||||||||
|
| |||||||
Oil & Gas Services – 0.1% | ||||||||
Baker Hughes, Inc. | 8,000 | 8,211 | ||||||
Halliburton Co.: | ||||||||
4.85%, 11/15/2035 | 150,000 | 159,470 | ||||||
5.00%, 11/15/2045 | 35,000 | 37,300 | ||||||
7.45%, 9/15/2039 | 25,000 | 34,209 | ||||||
National Oilwell Varco, Inc. | 75,000 | 72,400 | ||||||
|
| |||||||
311,590 | ||||||||
|
| |||||||
Packaging & Containers – 0.0%(a) |
| |||||||
Bemis Co., Inc. | 50,000 | 48,715 | ||||||
|
| |||||||
Pharmaceuticals – 1.3% | ||||||||
Abbott Laboratories | 75,000 | 73,046 | ||||||
AbbVie, Inc.: | ||||||||
2.30%, 5/14/2021 | 325,000 | 324,028 | ||||||
2.50%, 5/14/2020 | 25,000 | 25,274 | ||||||
2.90%, 11/6/2022 | 25,000 | 25,240 | ||||||
3.20%, 5/14/2026 | 200,000 | 197,850 | ||||||
4.30%, 5/14/2036 | 50,000 | 51,538 | ||||||
4.40%, 11/6/2042 | 50,000 | 51,316 | ||||||
4.45%, 5/14/2046 | 150,000 | 155,149 | ||||||
4.50%, 5/14/2035 | 50,000 | 52,690 | ||||||
Allergan Funding SCS: | ||||||||
3.00%, 3/12/2020 | 75,000 | 76,584 | ||||||
3.45%, 3/15/2022 | 200,000 | 206,402 | ||||||
3.80%, 3/15/2025 | 75,000 | 77,583 | ||||||
3.85%, 6/15/2024 | 50,000 | 52,084 | ||||||
4.55%, 3/15/2035 | 100,000 | 106,717 | ||||||
4.75%, 3/15/2045 | 75,000 | 80,907 | ||||||
AstraZeneca PLC: | ||||||||
1.75%, 11/16/2018 | 100,000 | 100,024 | ||||||
2.38%, 6/12/2022 | 100,000 | 99,905 | ||||||
3.38%, 11/16/2025 | 35,000 | 35,731 | ||||||
4.00%, 9/18/2042 | 25,000 | 25,365 | ||||||
6.45%, 9/15/2037 | 25,000 | 33,784 | ||||||
Baxalta, Inc.: | ||||||||
2.88%, 6/23/2020 | 25,000 | 25,388 | ||||||
4.00%, 6/23/2025 | 25,000 | 26,081 | ||||||
Bristol-Myers Squibb Co.: | ||||||||
1.75%, 3/1/2019 | 25,000 | 25,060 | ||||||
3.25%, 8/1/2042 | 50,000 | 45,499 | ||||||
Cardinal Health, Inc.: | ||||||||
2.40%, 11/15/2019 | 50,000 | 50,292 | ||||||
2.62%, 6/15/2022 | 150,000 | 150,261 | ||||||
3.41%, 6/15/2027 | 50,000 | 50,139 | ||||||
4.90%, 9/15/2045 | 25,000 | 27,553 | ||||||
Eli Lilly & Co.: | ||||||||
2.35%, 5/15/2022 | 50,000 | 50,172 | ||||||
3.10%, 5/15/2027 | 24,000 | 24,193 | ||||||
5.55%, 3/15/2037 | 25,000 | 30,801 | ||||||
Express Scripts Holding Co.: | ||||||||
2.25%, 6/15/2019 | 25,000 | 25,071 | ||||||
3.00%, 7/15/2023 | 150,000 | 149,730 | ||||||
3.30%, 2/25/2021 | 25,000 | 25,577 | ||||||
4.50%, 2/25/2026 | 75,000 | 79,541 |
See accompanying notes to financial statements.
33
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Pharmaceuticals – (continued) | ||||||||
4.80%, 7/15/2046 | $ | 150,000 | $ | 153,326 | ||||
6.13%, 11/15/2041 | 25,000 | 29,845 | ||||||
GlaxoSmithKline Capital, Inc.: | ||||||||
2.80%, 3/18/2023 | 25,000 | 25,392 | ||||||
4.20%, 3/18/2043 | 25,000 | 26,793 | ||||||
6.38%, 5/15/2038 | 50,000 | 68,513 | ||||||
Johnson & Johnson: | ||||||||
1.65%, 3/1/2021 | 50,000 | 49,500 | ||||||
2.45%, 3/1/2026 | 30,000 | 29,258 | ||||||
3.38%, 12/5/2023 | 25,000 | 26,656 | ||||||
3.55%, 3/1/2036 | 150,000 | 154,796 | ||||||
3.63%, 3/3/2037 | 100,000 | 104,675 | ||||||
3.70%, 3/1/2046 | 50,000 | 51,331 | ||||||
3.75%, 3/3/2047 | 100,000 | 103,948 | ||||||
4.50%, 12/5/2043 | 50,000 | 57,546 | ||||||
McKesson Corp.: | ||||||||
2.28%, 3/15/2019 | 75,000 | 75,391 | ||||||
2.85%, 3/15/2023 | 25,000 | 24,952 | ||||||
4.88%, 3/15/2044 | 25,000 | 27,466 | ||||||
Mead Johnson Nutrition Co. | 25,000 | 27,619 | ||||||
Merck & Co., Inc.: | ||||||||
2.35%, 2/10/2022 | 50,000 | 50,406 | ||||||
2.40%, 9/15/2022 | 25,000 | 25,209 | ||||||
2.75%, 2/10/2025 | 325,000 | 323,567 | ||||||
3.60%, 9/15/2042 | 25,000 | 24,403 | ||||||
3.70%, 2/10/2045 | 50,000 | 49,663 | ||||||
Mylan NV: | ||||||||
3.00%, 12/15/2018 | 100,000 | 101,369 | ||||||
3.15%, 6/15/2021 | 80,000 | 81,386 | ||||||
Novartis Capital Corp.: | ||||||||
1.80%, 2/14/2020 | 125,000 | 124,965 | ||||||
2.40%, 5/17/2022 | 50,000 | 50,390 | ||||||
3.00%, 11/20/2025 | 25,000 | 25,260 | ||||||
3.10%, 5/17/2027 | 30,000 | 30,386 | ||||||
3.40%, 5/6/2024 | 25,000 | 26,095 | ||||||
4.00%, 11/20/2045 | 50,000 | 52,258 | ||||||
Novartis Securities Investment, Ltd. | 25,000 | 26,315 | ||||||
Perrigo Finance Unlimited Co. | 50,000 | 51,563 | ||||||
Pfizer, Inc.: | ||||||||
1.45%, 6/3/2019 | 100,000 | 99,594 | ||||||
2.10%, 5/15/2019 | 25,000 | 25,223 | ||||||
2.20%, 12/15/2021 | 200,000 | 200,398 | ||||||
3.00%, 12/15/2026 | 150,000 | 150,531 | ||||||
3.40%, 5/15/2024 | 25,000 | 26,190 | ||||||
4.00%, 12/15/2036 | 150,000 | 159,022 | ||||||
7.20%, 3/15/2039 | 75,000 | 112,185 | ||||||
Sanofi | 25,000 | 26,592 | ||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||
1.90%, 9/23/2019 | 150,000 | 149,308 | ||||||
2.40%, 9/23/2021 | 50,000 | 49,493 | ||||||
2.88%, 9/23/2023 | 100,000 | 99,023 | ||||||
3.20%, 9/23/2026 | 30,000 | 29,389 | ||||||
Teva Pharmaceutical Finance IV LLC | 25,000 | 24,974 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V.: | ||||||||
1.40%, 7/20/2018 | 50,000 | 49,792 | ||||||
1.70%, 7/19/2019 | 200,000 | 198,184 | ||||||
2.20%, 7/21/2021 | 50,000 | 49,055 | ||||||
3.15%, 10/1/2026 | 25,000 | 23,755 | ||||||
4.10%, 10/1/2046 | 25,000 | 22,981 | ||||||
Wyeth LLC | 25,000 | 32,056 | ||||||
Zoetis, Inc. | 25,000 | 27,201 | ||||||
|
| |||||||
6,271,763 | ||||||||
|
| |||||||
Pipelines – 0.9% | ||||||||
Buckeye Partners L.P. | 25,000 | 26,497 | ||||||
Columbia Pipeline Group, Inc. | 150,000 | 153,640 | ||||||
Enable Midstream Partners L.P. | 50,000 | 50,330 | ||||||
Enbridge Energy Partners L.P. | 25,000 | 26,166 | ||||||
Enbridge, Inc.: | ||||||||
2.90%, 7/15/2022(e) | 50,000 | 50,021 | ||||||
3.70%, 7/15/2027(e) | 50,000 | 49,993 | ||||||
4.25%, 12/1/2026 | 50,000 | 52,123 | ||||||
Energy Transfer L.P.: | ||||||||
4.20%, 4/15/2027 | 50,000 | 49,904 | ||||||
4.75%, 1/15/2026 | 225,000 | 234,463 | ||||||
5.15%, 2/1/2043 | 25,000 | 23,744 | ||||||
5.15%, 3/15/2045 | 225,000 | 217,885 | ||||||
5.20%, 2/1/2022 | 100,000 | 107,590 | ||||||
6.70%, 7/1/2018 | 50,000 | 52,150 | ||||||
EnLink Midstream Partners L.P.: | ||||||||
4.85%, 7/15/2026 | 25,000 | 25,905 | ||||||
5.45%, 6/1/2047 | 50,000 | 50,202 | ||||||
Enterprise Products Operating LLC: | ||||||||
2.85%, 4/15/2021 | 75,000 | 75,744 | ||||||
3.75%, 2/15/2025 | 75,000 | 77,200 | ||||||
3.95%, 2/15/2027 | 200,000 | 207,444 | ||||||
4.85%, 3/15/2044 | 50,000 | 52,941 | ||||||
4.90%, 5/15/2046 | 50,000 | 53,893 | ||||||
Series N, 6.50%, 1/31/2019 | 25,000 | 26,689 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.50%, 3/1/2021 | 25,000 | 25,607 | ||||||
5.40%, 9/1/2044 | 25,000 | 25,487 | ||||||
Kinder Morgan, Inc.: | ||||||||
3.05%, 12/1/2019 | 225,000 | 228,728 | ||||||
4.30%, 6/1/2025 | 50,000 | 51,859 | ||||||
5.05%, 2/15/2046 | 50,000 | 50,186 | ||||||
5.30%, 12/1/2034 | 200,000 | 206,450 | ||||||
5.55%, 6/1/2045 | 150,000 | 159,011 |
See accompanying notes to financial statements.
34
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Pipelines – (continued) | ||||||||
Magellan Midstream Partners L.P. | $ | 50,000 | $ | 55,278 | ||||
MPLX L.P.: | ||||||||
4.88%, 6/1/2025 | 50,000 | 53,091 | ||||||
5.20%, 3/1/2047 | 100,000 | 103,087 | ||||||
ONEOK Partners L.P. | 25,000 | 25,221 | ||||||
Phillips 66 Partners L.P.: | ||||||||
3.55%, 10/1/2026 | 10,000 | 9,717 | ||||||
4.90%, 10/1/2046 | 10,000 | 9,874 | ||||||
Plains All American Pipeline L.P./PAA Finance Corp.: | ||||||||
3.60%, 11/1/2024 | 25,000 | 24,376 | ||||||
4.50%, 12/15/2026 | 50,000 | 50,792 | ||||||
4.65%, 10/15/2025 | 50,000 | 51,304 | ||||||
4.70%, 6/15/2044 | 25,000 | 22,751 | ||||||
Sabine Pass Liquefaction LLC: | ||||||||
4.20%, 3/15/2028(c) | 100,000 | 100,896 | ||||||
5.63%, 2/1/2021 | 95,000 | 103,477 | ||||||
5.63%, 3/1/2025 | 200,000 | 220,293 | ||||||
5.75%, 5/15/2024 | 75,000 | 83,573 | ||||||
Spectra Energy Partners L.P. | 25,000 | 25,284 | ||||||
Sunoco Logistics Partners Operations L.P.: | ||||||||
5.30%, 4/1/2044 | 25,000 | 24,534 | ||||||
5.35%, 5/15/2045 | 25,000 | 24,637 | ||||||
TransCanada PipeLines, Ltd.: | ||||||||
2.50%, 8/1/2022 | 100,000 | 99,878 | ||||||
4.63%, 3/1/2034 | 250,000 | 273,962 | ||||||
7.63%, 1/15/2039 | 25,000 | 36,481 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 200,000 | 257,742 | ||||||
Western Gas Partners L.P. | 25,000 | 26,155 | ||||||
Williams Partners L.P.: | ||||||||
3.60%, 3/15/2022 | 100,000 | 102,192 | ||||||
3.90%, 1/15/2025 | 50,000 | 50,582 | ||||||
5.10%, 9/15/2045 | 125,000 | 129,502 | ||||||
5.25%, 3/15/2020 | 25,000 | 26,898 | ||||||
Williams Partners L.P./ACMP Finance Corp. | 50,000 | 51,914 | ||||||
|
| |||||||
4,455,343 | ||||||||
|
| |||||||
Real Estate – 0.1% | ||||||||
CBRE Services, Inc. | 50,000 | 53,373 | ||||||
Prologis L.P.: | ||||||||
3.75%, 11/1/2025 | 50,000 | 52,109 | ||||||
4.25%, 8/15/2023 | 150,000 | 162,091 | ||||||
|
| |||||||
267,573 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 0.7% |
| |||||||
American Tower Corp.: | ||||||||
2.25%, 1/15/2022 | 100,000 | 97,753 | ||||||
3.13%, 1/15/2027 | 100,000 | 95,924 | ||||||
3.38%, 10/15/2026 | 75,000 | 73,390 | ||||||
3.40%, 2/15/2019 | 25,000 | 25,515 | ||||||
3.50%, 1/31/2023 | 50,000 | 51,171 | ||||||
AvalonBay Communities, Inc.: | ||||||||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 25,286 | ||||||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 48,759 | ||||||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 48,236 | ||||||
Boston Properties L.P.: | ||||||||
2.75%, 10/1/2026 | 150,000 | 141,532 | ||||||
3.65%, 2/1/2026 | 100,000 | 101,373 | ||||||
3.85%, 2/1/2023 | 75,000 | 78,737 | ||||||
Brixmor Operating Partnership L.P.: | ||||||||
3.65%, 6/15/2024 | 50,000 | 49,332 | ||||||
4.13%, 6/15/2026 | 50,000 | 49,706 | ||||||
Care Capital Properties L.P. | 25,000 | 25,299 | ||||||
CBL & Associates L.P. | 50,000 | 49,454 | ||||||
Crown Castle International Corp.: | ||||||||
3.70%, 6/15/2026 | 15,000 | 15,123 | ||||||
4.00%, 3/1/2027 | 20,000 | 20,622 | ||||||
4.75%, 5/15/2047 | 100,000 | 102,310 | ||||||
5.25%, 1/15/2023 | 100,000 | 111,011 | ||||||
DDR Corp. | 25,000 | 25,284 | ||||||
Digital Realty Trust L.P. | 25,000 | 26,020 | ||||||
EPR Properties | 50,000 | 50,235 | ||||||
ERP Operating L.P. | 50,000 | 50,278 | ||||||
Essex Portfolio L.P. | 50,000 | 49,901 | ||||||
Federal Realty Investment Trust | 50,000 | 49,251 | ||||||
HCP, Inc.: | ||||||||
2.63%, 2/1/2020 | 25,000 | 25,152 | ||||||
3.88%, 8/15/2024 | 50,000 | 50,890 | ||||||
Healthcare Trust of America Holdings L.P.: | ||||||||
2.95%, 7/1/2022 | 50,000 | 50,004 | ||||||
3.50%, 8/1/2026 | 25,000 | 24,371 | ||||||
Highwoods Realty L.P. | 50,000 | 49,900 | ||||||
Hospitality Properties Trust: | ||||||||
4.50%, 6/15/2023 | 25,000 | 26,198 | ||||||
4.95%, 2/15/2027 | 70,000 | 72,928 | ||||||
Host Hotels & Resorts L.P. | 50,000 | 50,701 | ||||||
Kimco Realty Corp.: | ||||||||
2.80%, 10/1/2026 | 50,000 | 46,296 | ||||||
3.80%, 4/1/2027 | 25,000 | 25,013 |
See accompanying notes to financial statements.
35
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Real Estate Investment Trusts – (continued) |
| |||||||
Mid-America Apartments L.P. | $ | 50,000 | $ | 49,884 | ||||
National Retail Properties, Inc. | 50,000 | 49,438 | ||||||
Omega Healthcare Investors, Inc. | 150,000 | 153,799 | ||||||
Realty Income Corp. | 50,000 | 51,681 | ||||||
Regency Centers L.P. | 50,000 | 49,746 | ||||||
Select Income REIT | 50,000 | 49,610 | ||||||
Simon Property Group L.P.: | ||||||||
2.50%, 7/15/2021 | 350,000 | 350,885 | ||||||
2.63%, 6/15/2022 | 100,000 | 100,204 | ||||||
4.25%, 11/30/2046 | 50,000 | 49,726 | ||||||
Tanger Properties L.P. | 50,000 | 49,699 | ||||||
UDR, Inc.: | ||||||||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 23,635 | ||||||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 49,504 | ||||||
Ventas Realty L.P.: | ||||||||
3.10%, 1/15/2023 | 50,000 | 50,074 | ||||||
4.38%, 2/1/2045 | 75,000 | 74,007 | ||||||
VEREIT Operating Partnership L.P.: | ||||||||
3.00%, 2/6/2019 | 10,000 | 10,095 | ||||||
4.13%, 6/1/2021 | 5,000 | 5,208 | ||||||
4.60%, 2/6/2024 | 5,000 | 5,213 | ||||||
4.88%, 6/1/2026 | 10,000 | 10,565 | ||||||
Welltower, Inc.: | ||||||||
4.00%, 6/1/2025 | 175,000 | 181,198 | ||||||
5.25%, 1/15/2022 | 50,000 | 54,866 | ||||||
Weyerhaeuser Co. | 25,000 | 27,265 | ||||||
|
| |||||||
3,329,257 | ||||||||
|
| |||||||
Retail – 0.9% | ||||||||
AutoNation, Inc. | 25,000 | 25,442 | ||||||
AutoZone, Inc. | 100,000 | 100,218 | ||||||
Costco Wholesale Corp. | 150,000 | 149,676 | ||||||
CVS Health Corp.: | ||||||||
2.13%, 6/1/2021 | 100,000 | 98,884 | ||||||
2.25%, 12/5/2018 | 50,000 | 50,310 | ||||||
2.80%, 7/20/2020 | 20,000 | 20,362 | ||||||
2.88%, 6/1/2026 | 210,000 | 203,448 | ||||||
3.38%, 8/12/2024 | 25,000 | 25,404 | ||||||
3.88%, 7/20/2025 | 20,000 | 20,839 | ||||||
4.00%, 12/5/2023 | 25,000 | 26,405 | ||||||
4.88%, 7/20/2035 | 45,000 | 50,115 | ||||||
5.13%, 7/20/2045 | 185,000 | 212,152 | ||||||
Darden Restaurants, Inc. | 15,000 | 15,236 | ||||||
Dollar General Corp. | 25,000 | 26,358 | ||||||
Home Depot, Inc.: | ||||||||
2.00%, 6/15/2019 | 25,000 | 25,167 | ||||||
2.00%, 4/1/2021 | 100,000 | 99,779 | ||||||
2.25%, 9/10/2018 | 25,000 | 25,204 | ||||||
2.63%, 6/1/2022 | 150,000 | 152,271 | ||||||
3.00%, 4/1/2026 | 50,000 | 50,277 | ||||||
3.75%, 2/15/2024 | 25,000 | 26,617 | ||||||
3.90%, 6/15/2047 | 50,000 | 50,679 | ||||||
4.25%, 4/1/2046 | 35,000 | 37,587 | ||||||
5.95%, 4/1/2041 | 50,000 | 65,967 | ||||||
Kohl’s Corp. | 20,000 | 18,313 | ||||||
Lowe’s Cos., Inc.: | ||||||||
1.15%, 4/15/2019 | 200,000 | 197,890 | ||||||
2.50%, 4/15/2026 | 50,000 | 48,039 | ||||||
3.38%, 9/15/2025 | 25,000 | 25,759 | ||||||
3.70%, 4/15/2046 | 50,000 | 48,142 | ||||||
4.25%, 9/15/2044 | 25,000 | 26,107 | ||||||
4.38%, 9/15/2045 | 25,000 | 26,532 | ||||||
4.65%, 4/15/2042 | 25,000 | 27,582 | ||||||
Macy’s Retail Holdings, Inc.: | ||||||||
3.63%, 6/1/2024 | 25,000 | 23,029 | ||||||
4.50%, 12/15/2034 | 50,000 | 41,429 | ||||||
McDonald’s Corp.: | ||||||||
Series MTN, 1.88%, 5/29/2019 | 25,000 | 24,999 | ||||||
Series MTN, 2.75%, 12/9/2020 | 25,000 | 25,475 | ||||||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 50,815 | ||||||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 77,761 | ||||||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 165,280 | ||||||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 111,174 | ||||||
QVC, Inc. | 50,000 | 47,930 | ||||||
Starbucks Corp. | 25,000 | 26,901 | ||||||
Target Corp.: | ||||||||
2.30%, 6/26/2019 | 275,000 | 278,116 | ||||||
2.50%, 4/15/2026 | 50,000 | 47,426 | ||||||
4.00%, 7/1/2042 | 50,000 | 49,462 | ||||||
TJX Cos., Inc. | 50,000 | 46,480 | ||||||
Wal-Mart Stores, Inc.: | ||||||||
1.95%, 12/15/2018 | 25,000 | 25,157 | ||||||
3.30%, 4/22/2024 | 325,000 | 339,651 | ||||||
4.00%, 4/11/2043 | 275,000 | 290,161 | ||||||
4.30%, 4/22/2044 | 30,000 | 33,139 | ||||||
4.88%, 7/8/2040 | 50,000 | 58,980 | ||||||
5.00%, 10/25/2040 | 50,000 | 60,011 | ||||||
5.25%, 9/1/2035 | 25,000 | 30,568 | ||||||
6.20%, 4/15/2038 | 25,000 | 33,911 | ||||||
Walgreen Co. | 25,000 | 25,503 |
See accompanying notes to financial statements.
36
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Retail – (continued) | ||||||||
Walgreens Boots Alliance, Inc.: | ||||||||
3.30%, 11/18/2021 | $ | 200,000 | $ | 206,194 | ||||
4.50%, 11/18/2034 | 25,000 | 26,152 | ||||||
4.65%, 6/1/2046 | 25,000 | 26,151 | ||||||
|
| |||||||
4,148,616 | ||||||||
|
| |||||||
Semiconductors – 0.4% | ||||||||
Applied Materials, Inc.: | ||||||||
3.90%, 10/1/2025 | 25,000 | 26,612 | ||||||
4.35%, 4/1/2047 | 100,000 | 106,318 | ||||||
5.10%, 10/1/2035 | 50,000 | 58,655 | ||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd.: | ||||||||
2.38%, 1/15/2020(c) | 100,000 | 100,202 | ||||||
3.00%, 1/15/2022(c) | 100,000 | 101,005 | ||||||
3.63%, 1/15/2024(c) | 100,000 | 102,548 | ||||||
3.88%, 1/15/2027(c) | 100,000 | 102,677 | ||||||
Intel Corp.: | ||||||||
2.35%, 5/11/2022 | 50,000 | 50,039 | ||||||
2.45%, 7/29/2020 | 100,000 | 101,606 | ||||||
2.60%, 5/19/2026 | 225,000 | 217,786 | ||||||
3.30%, 10/1/2021 | 25,000 | 26,106 | ||||||
4.10%, 5/19/2046 | 20,000 | 20,657 | ||||||
4.10%, 5/11/2047 | 100,000 | 103,855 | ||||||
4.80%, 10/1/2041 | 50,000 | 57,192 | ||||||
Lam Research Corp. | 25,000 | 25,364 | ||||||
NVIDIA Corp. | 50,000 | 49,561 | ||||||
QUALCOMM, Inc.: | ||||||||
2.10%, 5/20/2020 | 15,000 | 15,072 | ||||||
2.25%, 5/20/2020 | 150,000 | 151,159 | ||||||
2.60%, 1/30/2023 | 200,000 | 199,358 | ||||||
2.90%, 5/20/2024 | 50,000 | 49,866 | ||||||
3.25%, 5/20/2027 | 50,000 | 50,101 | ||||||
3.45%, 5/20/2025 | 50,000 | 51,387 | ||||||
4.30%, 5/20/2047 | 50,000 | 51,026 | ||||||
4.80%, 5/20/2045 | 25,000 | 27,450 | ||||||
Xilinx, Inc. | 50,000 | 50,130 | ||||||
|
| |||||||
1,895,732 | ||||||||
|
| |||||||
Software – 0.8% | ||||||||
Adobe Systems, Inc. | 25,000 | 25,619 | ||||||
Autodesk, Inc. | 50,000 | 49,270 | ||||||
Electronic Arts, Inc. | 25,000 | 25,993 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.00%, 8/15/2026 | 200,000 | 193,898 | ||||||
3.63%, 10/15/2020 | 50,000 | 52,206 | ||||||
3.88%, 6/5/2024 | 25,000 | 26,211 | ||||||
Fiserv, Inc. | 100,000 | 101,119 | ||||||
Microsoft Corp.: | ||||||||
1.10%, 8/8/2019 | 100,000 | 98,888 | ||||||
1.55%, 8/8/2021 | 200,000 | 195,624 | ||||||
1.85%, 2/6/2020 | 250,000 | 250,625 | ||||||
2.00%, 11/3/2020 | 150,000 | 150,457 | ||||||
2.00%, 8/8/2023 | 50,000 | 48,720 | ||||||
2.40%, 2/6/2022 | 50,000 | 50,475 | ||||||
2.40%, 8/8/2026 | 200,000 | 192,382 | ||||||
3.13%, 11/3/2025 | 50,000 | 51,044 | ||||||
3.30%, 2/6/2027 | 30,000 | 30,893 | ||||||
3.45%, 8/8/2036 | 50,000 | 49,984 | ||||||
3.63%, 12/15/2023 | 25,000 | 26,527 | ||||||
3.70%, 8/8/2046 | 200,000 | 197,610 | ||||||
3.95%, 8/8/2056 | 75,000 | 74,700 | ||||||
4.00%, 2/12/2055 | 75,000 | 76,072 | ||||||
4.10%, 2/6/2037 | 250,000 | 269,865 | ||||||
4.20%, 11/3/2035 | 65,000 | 70,816 | ||||||
4.45%, 11/3/2045 | 25,000 | 27,774 | ||||||
5.20%, 6/1/2039 | 50,000 | 60,899 | ||||||
Series 30Y, 4.25%, 2/6/2047 | 150,000 | 161,979 | ||||||
Oracle Corp.: | ||||||||
1.90%, 9/15/2021 | 200,000 | 198,268 | ||||||
2.25%, 10/8/2019 | 75,000 | 75,920 | ||||||
2.38%, 1/15/2019 | 25,000 | 25,292 | ||||||
2.40%, 9/15/2023 | 200,000 | 197,382 | ||||||
2.50%, 5/15/2022 | 50,000 | 50,475 | ||||||
2.65%, 7/15/2026 | 45,000 | 43,491 | ||||||
2.95%, 5/15/2025 | 10,000 | 10,031 | ||||||
3.85%, 7/15/2036 | 150,000 | 154,600 | ||||||
3.90%, 5/15/2035 | 5,000 | 5,173 | ||||||
4.00%, 7/15/2046 | 180,000 | 181,985 | ||||||
4.30%, 7/8/2034 | 200,000 | 216,724 | ||||||
4.38%, 5/15/2055 | 10,000 | 10,486 | ||||||
|
| |||||||
3,729,477 | ||||||||
|
| |||||||
Telecommunications – 1.4% | ||||||||
America Movil SAB de CV | 50,000 | 50,434 | ||||||
AT&T, Inc.: | ||||||||
2.30%, 3/11/2019 | 25,000 | 25,146 | ||||||
2.45%, 6/30/2020 | 250,000 | 251,255 | ||||||
2.80%, 2/17/2021 | 325,000 | 327,698 | ||||||
3.60%, 2/17/2023 | 125,000 | 127,670 | ||||||
3.90%, 3/11/2024 | 25,000 | 25,633 | ||||||
4.13%, 2/17/2026 | 350,000 | 358,680 | ||||||
4.45%, 4/1/2024 | 25,000 | 26,337 | ||||||
4.50%, 5/15/2035 | 300,000 | 294,852 | ||||||
4.55%, 3/9/2049 | 208,000 | 196,500 | ||||||
4.75%, 5/15/2046 | 30,000 | 29,468 | ||||||
4.80%, 6/15/2044 | 50,000 | 49,483 | ||||||
5.25%, 3/1/2037 | 400,000 | 425,872 | ||||||
5.65%, 2/15/2047 | 150,000 | 166,210 | ||||||
6.30%, 1/15/2038 | 50,000 | 58,980 | ||||||
British Telecommunications PLC | 75,000 | 75,432 | ||||||
Cisco Systems, Inc.: | ||||||||
1.40%, 9/20/2019 | 200,000 | 198,480 | ||||||
1.85%, 9/20/2021 | 200,000 | 197,588 | ||||||
2.13%, 3/1/2019 | 25,000 | 25,189 | ||||||
2.20%, 2/28/2021 | 100,000 | 100,533 |
See accompanying notes to financial statements.
37
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Telecommunications – (continued) |
| |||||||
3.00%, 6/15/2022 | $ | 25,000 | $ | 25,750 | ||||
3.50%, 6/15/2025 | 25,000 | 26,183 | ||||||
3.63%, 3/4/2024 | 25,000 | 26,430 | ||||||
5.50%, 1/15/2040 | 50,000 | 62,447 | ||||||
Deutsche Telekom International Finance B.V. | 100,000 | 107,719 | ||||||
Motorola Solutions, Inc. | 25,000 | 25,151 | ||||||
Orange SA: | ||||||||
1.63%, 11/3/2019 | 150,000 | 148,546 | ||||||
2.75%, 2/6/2019 | 25,000 | 25,291 | ||||||
5.38%, 7/8/2019 | 100,000 | 106,471 | ||||||
5.50%, 2/6/2044 | 50,000 | 59,606 | ||||||
Rogers Communications, Inc.: | ||||||||
3.00%, 3/15/2023 | 30,000 | 30,185 | ||||||
5.00%, 3/15/2044 | 50,000 | 56,851 | ||||||
Telefonica Emisiones SAU: | ||||||||
5.21%, 3/8/2047 | 300,000 | 323,700 | ||||||
7.05%, 6/20/2036 | 25,000 | 32,925 | ||||||
Telefonica Europe B.V. | 25,000 | 35,251 | ||||||
Telefonos de Mexico SAB de CV | 100,000 | 107,901 | ||||||
Verizon Communications, Inc.: | ||||||||
1.75%, 8/15/2021 | 350,000 | 338,667 | ||||||
2.63%, 8/15/2026 | 50,000 | 46,140 | ||||||
3.00%, 11/1/2021 | 50,000 | 50,680 | ||||||
3.13%, 3/16/2022 | 150,000 | 152,124 | ||||||
3.50%, 11/1/2024 | 50,000 | 50,467 | ||||||
4.27%, 1/15/2036 | 28,000 | 27,021 | ||||||
4.40%, 11/1/2034 | 250,000 | 248,388 | ||||||
4.50%, 9/15/2020 | 250,000 | 267,085 | ||||||
4.52%, 9/15/2048 | 25,000 | 23,693 | ||||||
4.67%, 3/15/2055 | 250,000 | 234,627 | ||||||
4.81%, 3/15/2039(c) | 100,000 | 101,100 | ||||||
4.86%, 8/21/2046 | 250,000 | 249,748 | ||||||
5.01%, 4/15/2049(c) | 53,000 | 53,638 | ||||||
5.05%, 3/15/2034 | 135,000 | 142,783 | ||||||
5.15%, 9/15/2023 | 50,000 | 55,567 | ||||||
5.25%, 3/16/2037 | 150,000 | 161,199 | ||||||
Vodafone Group PLC: | ||||||||
2.50%, 9/26/2022 | 50,000 | 49,644 | ||||||
2.95%, 2/19/2023 | 125,000 | 125,881 | ||||||
4.38%, 2/19/2043 | 75,000 | 74,168 | ||||||
|
| |||||||
6,664,467 | ||||||||
|
| |||||||
Toys/Games/Hobbies – 0.0%(a) | ||||||||
Mattel, Inc. | 25,000 | 25,005 | ||||||
|
| |||||||
Transportation – 0.5% | ||||||||
Burlington Northern Santa Fe LLC: | ||||||||
3.40%, 9/1/2024 | 100,000 | 104,034 | ||||||
3.75%, 4/1/2024 | 25,000 | 26,509 | ||||||
3.90%, 8/1/2046 | 100,000 | 101,766 | ||||||
4.45%, 3/15/2043 | 50,000 | 54,404 | ||||||
4.55%, 9/1/2044 | 50,000 | 55,368 | ||||||
4.90%, 4/1/2044 | 125,000 | 144,816 | ||||||
Canadian National Railway Co.: | ||||||||
2.75%, 3/1/2026 | 100,000 | 99,061 | ||||||
2.95%, 11/21/2024 | 50,000 | 50,884 | ||||||
3.20%, 8/2/2046 | 25,000 | 22,845 | ||||||
Canadian Pacific Railway Co. | 30,000 | 33,381 | ||||||
CSX Corp.: | ||||||||
3.25%, 6/1/2027 | 50,000 | 50,448 | ||||||
3.40%, 8/1/2024 | 25,000 | 25,805 | ||||||
4.10%, 3/15/2044 | 75,000 | 76,837 | ||||||
FedEx Corp.: | ||||||||
3.90%, 2/1/2035 | 200,000 | 199,254 | ||||||
4.00%, 1/15/2024 | 25,000 | 26,733 | ||||||
4.55%, 4/1/2046 | 100,000 | 104,920 | ||||||
4.75%, 11/15/2045 | 25,000 | 27,112 | ||||||
Norfolk Southern Corp.: | ||||||||
2.90%, 6/15/2026 | 150,000 | 147,648 | ||||||
3.00%, 4/1/2022 | 25,000 | 25,564 | ||||||
3.15%, 6/1/2027 | 50,000 | 49,894 | ||||||
4.45%, 6/15/2045 | 19,000 | 20,383 | ||||||
4.80%, 8/15/2043 | 25,000 | 28,150 | ||||||
Ryder System, Inc.: | ||||||||
Series MTN, 2.45%, 9/3/2019 | 25,000 | 25,172 | ||||||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 100,730 | ||||||
Series MTN, 3.45%, 11/15/2021 | 100,000 | 103,086 | ||||||
Union Pacific Corp.: | ||||||||
2.75%, 3/1/2026 | 50,000 | 49,350 | ||||||
3.80%, 10/1/2051 | 52,000 | 50,862 | ||||||
4.05%, 3/1/2046 | 175,000 | 180,941 | ||||||
United Parcel Service, Inc.: | ||||||||
2.35%, 5/16/2022 | 50,000 | 50,172 | ||||||
2.40%, 11/15/2026 | 30,000 | 28,901 | ||||||
2.45%, 10/1/2022 | 125,000 | 126,144 | ||||||
|
| |||||||
2,191,174 | ||||||||
|
| |||||||
Trucking & Leasing – 0.0%(a) |
| |||||||
GATX Corp.: | ||||||||
2.50%, 3/15/2019 | 50,000 | 50,351 | ||||||
3.85%, 3/30/2027 | 50,000 | 50,391 | ||||||
|
| |||||||
100,742 | ||||||||
|
| |||||||
Water – 0.0%(a) | ||||||||
American Water Capital Corp.: | ||||||||
3.40%, 3/1/2025 | 25,000 | 25,830 | ||||||
4.30%, 12/1/2042 | 25,000 | 27,011 | ||||||
|
| |||||||
52,841 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES |
| 128,285,531 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.8% |
| |||||||
Austria – 0.0%(a) | ||||||||
Oesterreichische Kontrollbank AG | 100,000 | 99,749 | ||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) |
| |||||||
Canada – 0.5% | ||||||||
Canada Government International Bond | $ | 300,000 | $ | 301,095 | ||||
Export Development Canada: | ||||||||
1.00%, 9/13/2019 | 150,000 | 148,185 | ||||||
1.38%, 10/21/2021 | 50,000 | 48,765 | ||||||
1.50%, 5/26/2021 | 50,000 | 49,271 | ||||||
2.00%, 5/17/2022 | 50,000 | 49,929 | ||||||
Province of Alberta Canada | 50,000 | 50,106 | ||||||
Province of British Columbia Canada: | ||||||||
2.25%, 6/2/2026 | 150,000 | 145,600 | ||||||
2.65%, 9/22/2021 | 50,000 | 51,248 | ||||||
Province of Manitoba Canada | 250,000 | 237,522 | ||||||
Province of Ontario Canada: | ||||||||
1.25%, 6/17/2019 | 200,000 | 198,258 | ||||||
1.63%, 1/18/2019 | 100,000 | 99,982 | ||||||
1.88%, 5/21/2020 | 250,000 | 249,762 | ||||||
2.40%, 2/8/2022 | 100,000 | 100,819 | ||||||
2.50%, 9/10/2021 | 25,000 | 25,345 | ||||||
2.50%, 4/27/2026 | 100,000 | 98,384 | ||||||
4.40%, 4/14/2020 | 50,000 | 53,324 | ||||||
Province of Quebec Canada: | ||||||||
2.50%, 4/20/2026 | 250,000 | 245,842 | ||||||
2.63%, 2/13/2023 | 250,000 | 253,715 | ||||||
2.75%, 8/25/2021 | 50,000 | 51,241 | ||||||
2.75%, 4/12/2027 | 100,000 | 99,545 | ||||||
|
| |||||||
2,557,938 | ||||||||
|
| |||||||
Chile – 0.0%(a) | ||||||||
Chile Government International Bond: | ||||||||
3.13%, 1/21/2026 | 50,000 | 50,994 | ||||||
3.86%, 6/21/2047 | 50,000 | 50,277 | ||||||
|
| |||||||
101,271 | ||||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Colombia Government International Bond: | ||||||||
4.00%, 2/26/2024 | 275,000 | 285,189 | ||||||
5.00%, 6/15/2045 | 200,000 | 201,342 | ||||||
5.63%, 2/26/2044 | 200,000 | 218,630 | ||||||
|
| |||||||
705,161 | ||||||||
|
| |||||||
Germany – 0.2% | ||||||||
FMS Wertmanagement AoeR | 200,000 | 200,220 | ||||||
Kreditanstalt fuer Wiederaufbau: | ||||||||
1.25%, 9/30/2019 | 200,000 | 198,404 | ||||||
1.63%, 5/29/2020 | 250,000 | 249,280 | ||||||
1.75%, 3/31/2020 | 150,000 | 150,141 | ||||||
2.13%, 3/7/2022 | 250,000 | 250,957 | ||||||
Landwirtschaftliche Rentenbank | 150,000 | 149,889 | ||||||
|
| |||||||
1,198,891 | ||||||||
|
| |||||||
Hungary – 0.1% | ||||||||
Hungary Government International Bond: | ||||||||
5.38%, 3/25/2024 | 150,000 | 168,783 | ||||||
6.38%, 3/29/2021 | 150,000 | 168,618 | ||||||
|
| |||||||
337,401 | ||||||||
|
| |||||||
Israel – 0.0%(a) | ||||||||
Israel Government International Bond: | ||||||||
2.88%, 3/16/2026 | 100,000 | 99,454 | ||||||
4.00%, 6/30/2022 | 50,000 | 53,589 | ||||||
|
| |||||||
153,043 | ||||||||
|
| |||||||
Italy – 0.0%(a) | ||||||||
Italy Government International Bond | 50,000 | 57,001 | ||||||
|
| |||||||
Japan – 0.2% | ||||||||
Japan Bank for International Cooperation: | ||||||||
1.50%, 7/21/2021 | 25,000 | 24,159 | ||||||
1.75%, 7/31/2018 | 100,000 | 100,037 | ||||||
1.88%, 4/20/2021 | 225,000 | 221,281 | ||||||
2.38%, 4/20/2026 | 200,000 | 193,942 | ||||||
2.50%, 6/1/2022 | 200,000 | 200,806 | ||||||
|
| |||||||
740,225 | ||||||||
|
| |||||||
Mexico – 0.3% | ||||||||
Mexico Government International Bond: | ||||||||
3.63%, 3/15/2022 | 100,000 | 103,755 | ||||||
4.00%, 10/2/2023 | 80,000 | 83,697 | ||||||
4.13%, 1/21/2026 | 125,000 | 130,001 | ||||||
4.15%, 3/28/2027 | 200,000 | 207,132 | ||||||
5.55%, 1/21/2045 | 300,000 | 335,385 | ||||||
6.05%, 1/11/2040 | 30,000 | 35,368 | ||||||
Series GMTN, 3.50%, 1/21/2021 | 200,000 | 207,914 | ||||||
Series MTN, 4.75%, 3/8/2044 | 100,000 | 100,119 | ||||||
|
| |||||||
1,203,371 | ||||||||
|
| |||||||
Panama – 0.1% | ||||||||
Panama Government International Bond: | ||||||||
3.88%, 3/17/2028 | 200,000 | 205,022 | ||||||
6.70%, 1/26/2036 | 50,000 | 64,325 | ||||||
|
| |||||||
269,347 | ||||||||
|
| |||||||
Peru – 0.1% | ||||||||
Peruvian Government International Bond: | ||||||||
4.13%, 8/25/2027 | 150,000 | 163,155 | ||||||
5.63%, 11/18/2050 | 50,000 | 60,670 | ||||||
6.55%, 3/14/2037 | 25,000 | 32,864 | ||||||
|
| |||||||
256,689 | ||||||||
|
| |||||||
Philippines – 0.1% | ||||||||
Philippine Government International Bond: | ||||||||
3.95%, 1/20/2040 | 100,000 | 104,251 |
See accompanying notes to financial statements.
39
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) |
| |||||||
Philippines – (continued) | ||||||||
4.00%, 1/15/2021 | $ | 100,000 | $ | 106,518 | ||||
4.20%, 1/21/2024 | 100,000 | 109,360 | ||||||
5.00%, 1/13/2037 | 150,000 | 177,536 | ||||||
7.75%, 1/14/2031 | 100,000 | 144,234 | ||||||
|
| |||||||
641,899 | ||||||||
|
| |||||||
Poland – 0.1% | ||||||||
Poland Government International Bond: | ||||||||
3.00%, 3/17/2023 | 50,000 | 50,832 | ||||||
3.25%, 4/6/2026 | 25,000 | 25,419 | ||||||
4.00%, 1/22/2024 | 150,000 | 160,370 | ||||||
5.00%, 3/23/2022 | 50,000 | 55,511 | ||||||
|
| |||||||
292,132 | ||||||||
|
| |||||||
South Korea – 0.1% | ||||||||
Export-Import Bank of Korea: | ||||||||
2.13%, 2/11/2021 | 100,000 | 98,346 | ||||||
2.38%, 4/21/2027 | 25,000 | 23,427 | ||||||
3.25%, 11/10/2025 | 150,000 | 151,317 | ||||||
5.13%, 6/29/2020 | 100,000 | 107,597 | ||||||
Korea Development Bank | 100,000 | 99,612 | ||||||
Korea International Bond | 100,000 | 108,996 | ||||||
|
| |||||||
589,295 | ||||||||
|
| |||||||
Sweden – 0.1% | ||||||||
Svensk Exportkredit AB: | ||||||||
1.13%, 8/28/2019 | 150,000 | 148,149 | ||||||
1.25%, 4/12/2019 | 100,000 | 99,345 | ||||||
|
| |||||||
247,494 | ||||||||
|
| |||||||
Supranational – 0.8% | ||||||||
African Development Bank: | ||||||||
Series GDIC, 1.88%, 3/16/2020 | 200,000 | 200,924 | ||||||
Series GDIF, 1.00%, 11/2/2018 | 25,000 | 24,842 | ||||||
Asian Development Bank: | ||||||||
1.75%, 6/8/2021 | 100,000 | 99,464 | ||||||
2.00%, 2/16/2022 | 150,000 | 149,977 | ||||||
2.63%, 1/12/2027 | 50,000 | 50,729 | ||||||
Council Of Europe Development Bank | 100,000 | 100,494 | ||||||
European Bank for Reconstruction & Development | 100,000 | 97,995 | ||||||
European Investment Bank: | ||||||||
1.25%, 12/16/2019 | 375,000 | 371,437 | ||||||
1.63%, 6/15/2021 | 150,000 | 148,277 | ||||||
1.75%, 5/15/2020 | 400,000 | 400,032 | ||||||
2.13%, 4/13/2026 | 100,000 | 97,480 | ||||||
Inter-American Development Bank: | ||||||||
1.00%, 5/13/2019 | 125,000 | 123,848 | ||||||
1.63%, 5/12/2020 | 200,000 | 199,560 | ||||||
1.88%, 3/15/2021 | 250,000 | 250,270 | ||||||
2.13%, 1/18/2022 | 100,000 | 100,617 | ||||||
International Bank for Reconstruction & Development: | ||||||||
2.00%, 1/26/2022 | 300,000 | 300,024 | ||||||
Series GDIF, 1.13%, 11/27/2019 | 50,000 | 49,444 | ||||||
Series GDIF, 1.25%, 7/26/2019 | 350,000 | 347,945 | ||||||
Series GDIF, 1.38%, 9/20/2021 | 300,000 | 293,196 | ||||||
Series GDIF, 1.88%, 4/21/2020 | 200,000 | 201,000 | ||||||
International Finance Corp. | 100,000 | 97,491 | ||||||
Nordic Investment Bank | 200,000 | 201,100 | ||||||
|
| |||||||
3,906,146 | ||||||||
|
| |||||||
Uruguay – 0.0%(a) | ||||||||
Uruguay Government International Bond: | ||||||||
4.38%, 10/27/2027 | 25,000 | 26,552 | ||||||
5.10%, 6/18/2050 | 175,000 | 178,181 | ||||||
|
| |||||||
204,733 | ||||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
| 13,561,786 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – 29.9% |
| |||||||
Federal Farm Credit Banks: | ||||||||
1.50%, 12/19/2019 | 50,000 | 49,846 | ||||||
1.55%, 1/10/2020 | 300,000 | 299,676 | ||||||
3.50%, 12/20/2023 | 50,000 | 53,673 | ||||||
Federal Home Loan Bank: | ||||||||
0.88%, 10/1/2018 | 200,000 | 198,754 | ||||||
1.13%, 6/21/2019 | 225,000 | 223,659 | ||||||
1.13%, 7/14/2021 | 100,000 | 97,439 | ||||||
1.25%, 1/16/2019 | 250,000 | 249,415 | ||||||
1.38%, 11/15/2019 | 750,000 | 747,795 | ||||||
1.38%, 2/18/2021 | 100,000 | 98,844 | ||||||
1.88%, 3/8/2019 | 50,000 | 50,383 | ||||||
1.88%, 11/29/2021 | 200,000 | 200,340 | ||||||
2.25%, 6/11/2021 | 75,000 | 76,089 | ||||||
2.88%, 9/13/2024 | 50,000 | 51,804 | ||||||
5.50%, 7/15/2036 | 35,000 | 47,524 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
0.88%, 10/12/2018 | 750,000 | 745,402 | ||||||
0.88%, 7/19/2019 | 50,000 | 49,427 | ||||||
1.05%, 7/27/2018 | 150,000 | 149,556 | ||||||
1.10%, 9/13/2018 | 25,000 | 24,903 | ||||||
1.25%, 7/26/2019 | 250,000 | 248,855 | ||||||
1.25%, 8/1/2019 | 100,000 | 99,587 | ||||||
1.25%, 10/2/2019 | 75,000 | 74,618 | ||||||
1.63%, 10/25/2019 | 50,000 | 49,977 | ||||||
1.75%, 6/29/2020 | 50,000 | 49,973 | ||||||
1.80%, 4/28/2020 | 50,000 | 49,990 | ||||||
2.38%, 1/13/2022 | 325,000 | 331,682 |
See accompanying notes to financial statements.
40
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
2.50%, 10/1/2029 | $ | 62,806 | $ | 63,461 | ||||
2.50%, 1/1/2031 | 121,747 | 122,531 | ||||||
2.50%, 5/1/2031 | 196,168 | 197,387 | ||||||
2.50%, 6/1/2031 | 356,078 | 358,291 | ||||||
2.50%, 10/1/2031 | 325,522 | 327,545 | ||||||
2.50%, 12/1/2031 | 376,389 | 378,728 | ||||||
3.00%, 12/1/2030 | 159,666 | 164,063 | ||||||
3.00%, 5/1/2031 | 128,642 | 132,156 | ||||||
3.00%, 12/1/2031 | 611,603 | 628,314 | ||||||
3.00%, 2/1/2032 | 2,420,844 | 2,487,373 | ||||||
3.00%, 5/1/2032 | 983,516 | 1,010,346 | ||||||
3.00%, 5/1/2035 | 84,912 | 86,275 | ||||||
3.00%, 6/1/2036 | 366,936 | 372,109 | ||||||
3.00%, 6/1/2045 | 125,063 | 125,117 | ||||||
3.00%, 8/1/2045 | 254,332 | 254,444 | ||||||
3.00%, 4/1/2046 | 554,860 | 554,072 | ||||||
3.00%, 6/1/2046 | 185,991 | 185,726 | ||||||
3.00%, 8/1/2046 | 946,009 | 944,665 | ||||||
3.00%, 9/1/2046 | 309,810 | 309,370 | ||||||
3.00%, 10/1/2046 | 528,754 | 528,003 | ||||||
3.00%, 11/1/2046 | 1,674,961 | 1,672,583 | ||||||
3.00%, 12/1/2046 | 511,065 | 510,339 | ||||||
3.00%, 1/1/2047 | 1,075,899 | 1,074,371 | ||||||
3.00%, 2/1/2047 | 1,969,127 | 1,966,820 | ||||||
3.50%, 11/1/2034 | 372,576 | 388,393 | ||||||
3.50%, 3/1/2037 | 488,301 | 506,503 | ||||||
3.50%, 4/1/2042 | 399,087 | 412,235 | ||||||
3.50%, 8/1/2043 | 842,585 | 869,254 | ||||||
3.50%, 11/1/2044 | 73,250 | 75,421 | ||||||
3.50%, 1/1/2045 | 95,076 | 97,735 | ||||||
3.50%, 7/1/2045 | 161,216 | 166,039 | ||||||
3.50%, 10/1/2045 | 95,383 | 98,051 | ||||||
3.50%, 12/1/2045 | 1,088,124 | 1,118,558 | ||||||
3.50%, 1/1/2046 | 140,983 | 144,949 | ||||||
3.50%, 3/1/2046 | 291,079 | 299,226 | ||||||
3.50%, 4/1/2046 | 430,957 | 443,019 | ||||||
3.50%, 6/1/2046 | 495,213 | 509,074 | ||||||
3.50%, 12/1/2046 | 1,447,550 | 1,488,065 | ||||||
3.50%, 2/1/2047 | 979,802 | 1,007,364 | ||||||
3.50%, 3/1/2047 | 984,238 | 1,011,783 | ||||||
3.50%, 4/1/2047 | 642,249 | 660,223 | ||||||
3.50%, 6/1/2047 | 673,314 | 692,157 | ||||||
3.75%, 3/27/2019 | 150,000 | 156,007 | ||||||
4.00%, 4/1/2025 | 81,637 | 85,452 | ||||||
4.00%, 4/1/2042 | 57,776 | 61,038 | ||||||
4.00%, 6/1/2042 | 146,067 | 154,274 | ||||||
4.00%, 12/1/2044 | 77,250 | 81,321 | ||||||
4.00%, 4/1/2045 | 63,199 | 66,514 | ||||||
4.00%, 10/1/2045 | 141,545 | 148,971 | ||||||
4.00%, 12/1/2045 | 237,609 | 250,074 | ||||||
4.00%, 1/1/2046 | 966,000 | 1,017,089 | ||||||
4.00%, 2/1/2046 | 362,454 | 381,623 | ||||||
4.00%, 1/1/2047 | 960,784 | 1,011,597 | ||||||
4.00%, 2/1/2047 | 485,084 | 510,869 | ||||||
4.00%, 6/1/2047 | 996,935 | 1,049,928 | ||||||
4.50%, 5/1/2044 | 167,710 | 179,688 | ||||||
4.50%, 12/1/2045 | 854,986 | 916,049 | ||||||
4.50%, 9/1/2046 | 657,126 | 704,995 | ||||||
5.00%, 7/1/2041 | 244,518 | 266,230 | ||||||
5.50%, 8/1/2038 | 748,898 | 827,563 | ||||||
6.00%, 7/1/2040 | 271,134 | 303,151 | ||||||
6.25%, 7/15/2032 | 210,000 | 298,103 | ||||||
Series K005, Class A2, 4.32%, 11/25/2019 | 200,000 | 210,462 | ||||||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 127,226 | ||||||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 103,824 | ||||||
Series K040, Class A2, 3.24%, 9/25/2024 | 75,000 | 78,158 | ||||||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 204,516 | ||||||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 499,415 | ||||||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 417,920 | ||||||
Series K716, Class A2, 3.13%, 6/25/2021 | 250,000 | 259,592 | ||||||
Series K718, Class A2, 2.79%, 1/25/2022 | 500,000 | 512,865 | ||||||
TBA, 3.00%, 7/1/2032(e) | 300,000 | 308,062 | ||||||
TBA, 3.50%, 7/1/2047(e) | 475,000 | 487,933 | ||||||
TBA, 4.00%, 7/1/2047(e) | 1,100,000 | 1,156,719 | ||||||
Federal National Mortgage Association: | ||||||||
1.00%, 8/28/2019 | 200,000 | 198,020 | ||||||
1.00%, 10/24/2019 | 200,000 | 197,790 | ||||||
1.13%, 7/20/2018 | 600,000 | 598,518 | ||||||
1.25%, 5/6/2021 | 275,000 | 270,094 | ||||||
1.38%, 1/28/2019 | 750,000 | 749,692 | ||||||
1.38%, 10/7/2021 | 325,000 | 318,828 | ||||||
1.50%, 6/22/2020 | 100,000 | 99,743 | ||||||
1.75%, 9/12/2019 | 75,000 | 75,454 | ||||||
1.88%, 9/24/2026 | 500,000 | 474,565 | ||||||
2.00%, 1/5/2022 | 150,000 | 150,606 | ||||||
2.00%, 11/1/2031 | 190,138 | 186,415 | ||||||
2.13%, 4/24/2026 | 50,000 | 48,755 | ||||||
2.50%, 3/1/2029 | 367,973 | 371,995 | ||||||
2.50%, 2/1/2031 | 187,658 | 188,763 | ||||||
2.50%, 10/1/2031 | 305,736 | 307,491 | ||||||
2.50%, 12/1/2031 | 545,485 | 548,617 | ||||||
2.50%, 1/1/2032 | 183,370 | 184,450 | ||||||
3.00%, 10/1/2028 | 130,794 | 134,481 | ||||||
3.00%, 8/1/2029 | 66,196 | 68,028 | ||||||
3.00%, 5/1/2030 | 419,400 | 431,292 | ||||||
3.00%, 6/1/2030 | 88,555 | 90,942 | ||||||
3.00%, 9/1/2030 | 69,949 | 71,834 | ||||||
3.00%, 11/1/2030 | 145,141 | 149,053 | ||||||
3.00%, 12/1/2030 | 103,500 | 106,290 | ||||||
3.00%, 4/1/2031 | 361,063 | 370,703 | ||||||
3.00%, 12/1/2031 | 543,924 | 558,446 | ||||||
3.00%, 2/1/2032 | 2,216,536 | 2,275,671 | ||||||
3.00%, 5/1/2032 | 883,968 | 907,528 | ||||||
3.00%, 6/1/2036 | 112,267 | 113,932 | ||||||
3.00%, 8/1/2036 | 558,737 | 567,021 | ||||||
3.00%, 10/1/2036 | 285,566 | 289,800 | ||||||
3.00%, 12/1/2036 | 483,363 | 490,529 |
See accompanying notes to financial statements.
41
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
3.00%, 6/1/2043 | $ | 367,844 | $ | 369,392 | ||||
3.00%, 7/1/2043 | 108,805 | 109,247 | ||||||
3.00%, 1/1/2045 | 1,542,386 | 1,548,663 | ||||||
3.00%, 9/1/2045 | 105,899 | 106,014 | ||||||
3.00%, 11/1/2045 | 822,414 | 823,309 | ||||||
3.00%, 12/1/2045 | 144,091 | 144,248 | ||||||
3.00%, 5/1/2046 | 1,021,844 | 1,021,133 | ||||||
3.00%, 7/1/2046 | 1,171,608 | 1,170,792 | ||||||
3.00%, 10/1/2046 | 289,216 | 289,014 | ||||||
3.00%, 11/1/2046 | 1,452,455 | 1,451,443 | ||||||
3.00%, 12/1/2046 | 1,146,034 | 1,145,236 | ||||||
3.00%, 1/1/2047 | 3,136,358 | 3,134,173 | ||||||
3.00%, 2/1/2047 | 983,122 | 982,438 | ||||||
3.50%, 11/1/2025 | 63,351 | 65,963 | ||||||
3.50%, 1/1/2027 | 72,970 | 75,979 | ||||||
3.50%, 5/1/2029 | 75,102 | 78,214 | ||||||
3.50%, 10/1/2029 | 58,522 | 60,947 | ||||||
3.50%, 2/1/2031 | 787,624 | 820,167 | ||||||
3.50%, 3/1/2032 | 536,627 | 559,356 | ||||||
3.50%, 4/1/2032 | 737,340 | 768,570 | ||||||
3.50%, 12/1/2035 | 78,853 | 81,958 | ||||||
3.50%, 1/1/2037 | 484,774 | 502,584 | ||||||
3.50%, 2/1/2037 | 732,630 | 760,028 | ||||||
3.50%, 2/1/2041 | 162,273 | 167,601 | ||||||
3.50%, 10/1/2044 | 59,350 | 61,087 | ||||||
3.50%, 1/1/2045 | 170,910 | 175,798 | ||||||
3.50%, 5/1/2045 | 71,979 | 73,975 | ||||||
3.50%, 8/1/2045 | 232,484 | 238,930 | ||||||
3.50%, 11/1/2045 | 94,992 | 97,626 | ||||||
3.50%, 12/1/2045 | 1,165,977 | 1,198,304 | ||||||
3.50%, 1/1/2046 | 877,798 | 902,135 | ||||||
3.50%, 2/1/2046 | 1,026,119 | 1,054,560 | ||||||
3.50%, 4/1/2046 | 717,952 | 737,852 | ||||||
3.50%, 5/1/2046 | 1,088,590 | 1,118,762 | ||||||
3.50%, 6/1/2046 | 293,569 | 301,706 | ||||||
3.50%, 7/1/2046 | 679,657 | 698,495 | ||||||
3.50%, 1/1/2047 | 928,069 | 953,792 | ||||||
3.50%, 2/1/2047 | 931,072 | 956,862 | ||||||
3.50%, 3/1/2047 | 984,212 | 1,011,538 | ||||||
3.50%, 4/1/2047 | 1,978,095 | 2,033,016 | ||||||
3.50%, 5/1/2047 | 743,102 | 763,733 | ||||||
3.50%, 6/1/2047 | 996,995 | 1,024,676 | ||||||
4.00%, 8/1/2018 | 29,638 | 30,682 | ||||||
4.00%, 1/1/2019 | 25,429 | 26,324 | ||||||
4.00%, 9/1/2019 | 59,014 | 61,093 | ||||||
4.00%, 3/1/2021 | 48,785 | 50,503 | ||||||
4.00%, 10/1/2033 | 241,394 | 256,009 | ||||||
4.00%, 12/1/2040 | 90,955 | 96,047 | ||||||
4.00%, 2/1/2043 | 525,741 | 555,214 | ||||||
4.00%, 10/1/2043 | 1,254,824 | 1,324,716 | ||||||
4.00%, 11/1/2043 | 431,292 | 454,333 | ||||||
4.00%, 12/1/2043 | 396,716 | 417,910 | ||||||
4.00%, 10/1/2044 | 98,324 | 103,472 | ||||||
4.00%, 3/1/2045 | 92,814 | 97,668 | ||||||
4.00%, 7/1/2045 | 87,968 | 92,569 | ||||||
4.00%, 9/1/2045 | 369,294 | 388,609 | ||||||
4.00%, 12/1/2045 | 189,248 | 199,147 | ||||||
4.00%, 4/1/2046 | 447,572 | 471,150 | ||||||
4.00%, 7/1/2046 | 558,052 | 587,450 | ||||||
4.00%, 11/1/2046 | 870,613 | 916,477 | ||||||
4.00%, 12/1/2046 | 945,451 | 995,257 | ||||||
4.00%, 4/1/2047 | 1,035,287 | 1,089,836 | ||||||
4.00%, 7/1/2047 | 1,100,000 | 1,157,959 | ||||||
4.50%, 4/1/2018 | 12,352 | 12,488 | ||||||
4.50%, 5/1/2020 | 20,328 | 20,552 | ||||||
4.50%, 12/1/2040 | 231,278 | 249,185 | ||||||
4.50%, 1/1/2042 | 104,466 | 112,518 | ||||||
4.50%, 9/1/2043 | 207,188 | 223,075 | ||||||
4.50%, 11/1/2043 | 106,650 | 114,560 | ||||||
4.50%, 5/1/2044 | 417,238 | 447,693 | ||||||
4.50%, 6/1/2044 | 122,964 | 131,939 | ||||||
4.50%, 2/1/2046 | 411,468 | 443,326 | ||||||
4.50%, 3/1/2046 | 1,402,833 | 1,505,230 | ||||||
4.50%, 7/1/2046 | 578,150 | 621,653 | ||||||
5.00%, 1/1/2039 | 888,795 | 973,670 | ||||||
5.00%, 6/1/2040 | 436,985 | 478,072 | ||||||
5.00%, 7/1/2041 | 75,341 | 82,605 | ||||||
5.00%, 5/1/2042 | 86,402 | 94,526 | ||||||
5.00%, 11/1/2044 | 1,113,298 | 1,220,631 | ||||||
5.00%, 1/1/2045 | 105,155 | 115,480 | ||||||
5.50%, 2/1/2037 | 47,619 | 52,928 | ||||||
5.50%, 4/1/2038 | 227,743 | 253,156 | ||||||
5.50%, 9/1/2040 | 70,065 | 77,940 | ||||||
5.50%, 9/1/2041 | 112,186 | 124,704 | ||||||
5.50%, 5/1/2044 | 1,262,795 | 1,404,114 | ||||||
5.63%, 7/15/2037 | 80,000 | 110,030 | ||||||
6.63%, 11/15/2030 | 115,000 | 164,141 | ||||||
7.25%, 5/15/2030 | 75,000 | 111,115 | ||||||
Series 2011-M5, Class A2, 2.94%, 7/25/2021 | 139,110 | 143,390 | ||||||
Series 2013-M12, Class APT, 2.47%, 3/25/2023(b) | 38,276 | 38,356 | ||||||
Series 2013-M3, Class A2, 2.51%, 11/25/2022(b) | 150,000 | 150,783 | ||||||
Series 2014-M3, Class A2, 3.50%, 1/25/2024(b) | 50,000 | 52,677 | ||||||
Series 2015-M8, Class A2, 2.90%, 1/25/2025(b) | 250,000 | 253,522 | ||||||
TBA, 2.50%, 7/1/2032(e) | 1,000,000 | 1,005,312 | ||||||
TBA, 3.00%, 7/1/2032(e) | 300,000 | 307,922 | ||||||
TBA, 3.00%, 7/1/2047(e) | 1,000,000 | 998,828 | ||||||
TBA, 3.50%, 7/1/2047(e) | 1,150,000 | 1,180,996 | ||||||
TBA, 4.00%, 7/1/2047(e) | 600,000 | 630,703 | ||||||
Government National Mortgage Association: | ||||||||
3.00%, 1/20/2043 | 837,659 | 850,667 | ||||||
3.00%, 5/20/2043 | 423,919 | 430,278 | ||||||
3.00%, 12/20/2044 | 94,491 | 95,654 | ||||||
3.00%, 3/20/2045 | 52,532 | 53,152 | ||||||
3.00%, 4/20/2045 | 152,602 | 154,404 | ||||||
3.00%, 6/20/2045 | 76,796 | 77,702 | ||||||
3.00%, 7/20/2045 | 138,398 | 140,032 | ||||||
3.00%, 8/20/2045 | 122,411 | 123,856 | ||||||
3.00%, 4/20/2046 | 127,739 | 129,179 | ||||||
3.00%, 5/20/2046 | 219,596 | 222,072 | ||||||
3.00%, 7/20/2046 | 138,332 | 139,891 | ||||||
3.00%, 8/20/2046 | 445,659 | 450,683 |
See accompanying notes to financial statements.
42
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
3.00%, 9/20/2046 | $ | 310,179 | $ | 313,675 | ||||
3.00%, 10/20/2046 | 313,485 | 317,019 | ||||||
3.00%, 11/20/2046 | 558,900 | 565,201 | ||||||
3.00%, 12/20/2046 | 2,178,048 | 2,202,602 | ||||||
3.00%, 2/20/2047 | 1,035,386 | 1,046,917 | ||||||
3.00%, 4/20/2047 | 1,491,051 | 1,507,657 | ||||||
3.00%, 5/20/2047 | 1,096,575 | 1,108,979 | ||||||
3.00%, 6/20/2047 | 500,000 | 505,656 | ||||||
3.50%, 10/20/2042 | 683,903 | 712,126 | ||||||
3.50%, 5/20/2043 | 101,724 | 105,774 | ||||||
3.50%, 9/20/2043 | 70,719 | 73,535 | ||||||
3.50%, 11/20/2043 | 543,642 | 565,286 | ||||||
3.50%, 10/20/2044 | 77,265 | 80,199 | ||||||
3.50%, 12/20/2044 | 53,334 | 55,359 | ||||||
3.50%, 3/20/2045 | 50,926 | 52,815 | ||||||
3.50%, 4/20/2045 | 151,476 | 157,094 | ||||||
3.50%, 6/20/2045 | 101,654 | 105,424 | ||||||
3.50%, 10/20/2045 | 108,812 | 112,848 | ||||||
3.50%, 1/20/2046 | 1,594,551 | 1,653,688 | ||||||
3.50%, 3/20/2046 | 347,330 | 360,059 | ||||||
3.50%, 4/20/2046 | 183,646 | 190,376 | ||||||
3.50%, 5/20/2046 | 191,493 | 198,510 | ||||||
3.50%, 6/20/2046 | 417,390 | 432,686 | ||||||
3.50%, 7/20/2046 | 469,886 | 487,106 | ||||||
3.50%, 10/20/2046 | 891,952 | 924,638 | ||||||
3.50%, 11/20/2046 | 573,560 | 594,578 | ||||||
3.50%, 1/20/2047 | 1,327,277 | 1,375,917 | ||||||
3.50%, 3/20/2047 | 1,982,683 | 2,055,787 | ||||||
3.50%, 5/20/2047 | 1,496,767 | 1,551,955 | ||||||
3.50%, 6/20/2047 | 1,000,000 | 1,036,871 | ||||||
4.00%, 4/15/2040 | 80,435 | 84,825 | ||||||
4.00%, 2/20/2042 | 34,507 | 36,612 | ||||||
4.00%, 7/20/2042 | 23,338 | 24,762 | ||||||
4.00%, 7/15/2044 | 81,404 | 85,951 | ||||||
4.00%, 8/20/2044 | 50,054 | 52,934 | ||||||
4.00%, 10/20/2044 | 452,701 | 478,748 | ||||||
4.00%, 5/15/2045 | 89,612 | 94,323 | ||||||
4.00%, 6/15/2045 | 186,915 | 196,741 | ||||||
4.00%, 8/20/2045 | 56,192 | 59,227 | ||||||
4.00%, 11/20/2045 | 187,915 | 198,064 | ||||||
4.00%, 2/20/2046 | 521,954 | 550,144 | ||||||
4.00%, 5/20/2046 | 553,898 | 583,619 | ||||||
4.00%, 6/20/2046 | 372,850 | 392,856 | ||||||
4.00%, 1/20/2047 | 1,319,800 | 1,390,617 | ||||||
4.00%, 4/20/2047 | 1,193,341 | 1,258,635 | ||||||
4.50%, 1/20/2044 | 214,444 | 228,834 | ||||||
4.50%, 11/20/2044 | 69,251 | 73,711 | ||||||
4.50%, 12/20/2044 | 56,269 | 59,893 | ||||||
4.50%, 4/20/2046 | 350,570 | 373,151 | ||||||
4.50%, 6/20/2046 | 258,439 | 275,086 | ||||||
4.50%, 7/20/2046 | 326,136 | 347,143 | ||||||
4.50%, 4/20/2047 | 1,490,447 | 1,588,031 | ||||||
5.00%, 6/15/2040 | 60,482 | 66,154 | ||||||
5.00%, 10/15/2041 | 106,136 | 115,730 | ||||||
5.00%, 3/20/2044 | 98,469 | 106,693 | ||||||
5.00%, 12/20/2045 | 365,541 | 396,072 | ||||||
5.50%, 10/20/2043 | 88,514 | 98,034 | ||||||
5.50%, 5/20/2045 | 1,031,432 | 1,141,618 | ||||||
TBA, 3.00%, 7/1/2047(e) | 975,000 | 985,283 | ||||||
TBA, 3.50%, 7/1/2047(e) | 1,400,000 | 1,450,094 | ||||||
TBA, 4.00%, 7/1/2047(e) | 950,000 | 999,504 | ||||||
Iraq Government AID Bond | 200,000 | 200,966 | ||||||
Tennessee Valley Authority: | ||||||||
2.88%, 9/15/2024 | 100,000 | 103,472 | ||||||
2.88%, 2/1/2027 | 50,000 | 51,160 | ||||||
3.50%, 12/15/2042 | 75,000 | 77,778 | ||||||
5.25%, 9/15/2039 | 150,000 | 196,188 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 143,854,044 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS – 35.5% |
| |||||||
Treasury Bonds: | ||||||||
2.25%, 8/15/2046 | 1,425,000 | 1,254,997 | ||||||
2.50%, 2/15/2045 | 840,000 | 784,274 | ||||||
2.50%, 2/15/2046 | 100,000 | 93,122 | ||||||
2.50%, 5/15/2046 | 700,000 | 651,497 | ||||||
2.75%, 8/15/2042 | 150,000 | 148,409 | ||||||
2.75%, 11/15/2042 | 500,000 | 494,300 | ||||||
2.88%, 5/15/2043 | 2,575,000 | 2,600,544 | ||||||
2.88%, 8/15/2045 | 80,000 | 80,465 | ||||||
2.88%, 11/15/2046 | 2,275,000 | 2,288,309 | ||||||
3.00%, 5/15/2042 | 325,000 | 336,694 | ||||||
3.00%, 11/15/2044 | 675,000 | 696,762 | ||||||
3.00%, 5/15/2045 | 375,000 | 386,595 | ||||||
3.00%, 2/15/2047 | 700,000 | 722,295 | ||||||
3.00%, 5/15/2047 | 700,000 | 722,715 | ||||||
3.13%, 11/15/2041 | 800,000 | 847,304 | ||||||
3.13%, 2/15/2042 | 125,000 | 132,403 | ||||||
3.13%, 8/15/2044 | 500,000 | 528,425 | ||||||
3.38%, 5/15/2044 | 850,000 | 939,420 | ||||||
3.63%, 8/15/2043 | 850,000 | 978,256 | ||||||
3.63%, 2/15/2044 | 475,000 | 547,442 | ||||||
3.75%, 8/15/2041 | 700,000 | 819,812 | ||||||
3.75%, 11/15/2043 | 2,525,000 | 2,969,274 | ||||||
4.38%, 2/15/2038 | 775,000 | 987,606 | ||||||
4.38%, 11/15/2039 | 350,000 | 446,187 | ||||||
4.38%, 5/15/2040 | 575,000 | 734,028 | ||||||
4.38%, 5/15/2041 | 800,000 | 1,025,784 | ||||||
4.63%, 2/15/2040 | 1,190,000 | 1,569,527 | ||||||
4.75%, 2/15/2037 | 2,325,000 | 3,098,062 | ||||||
5.25%, 11/15/2028 | 450,000 | 579,375 | ||||||
Treasury Notes: | ||||||||
0.75%, 7/31/2018 | 5,000,000 | 4,971,300 | ||||||
0.75%, 8/31/2018 | 3,750,000 | 3,725,963 | ||||||
0.88%, 7/15/2018 | 350,000 | 348,520 | ||||||
0.88%, 10/15/2018 | 500,000 | 497,160 | ||||||
0.88%, 4/15/2019 | 150,000 | 148,716 | ||||||
0.88%, 6/15/2019 | 4,500,000 | 4,456,710 | ||||||
0.88%, 9/15/2019 | 825,000 | 815,438 | ||||||
1.00%, 8/15/2018 | 300,000 | 299,004 | ||||||
1.00%, 9/15/2018 | 100,000 | 99,633 | ||||||
1.00%, 11/30/2018 | 1,500,000 | 1,492,980 | ||||||
1.00%, 8/31/2019 | 500,000 | 495,725 | ||||||
1.00%, 9/30/2019 | 750,000 | 743,130 | ||||||
1.00%, 10/15/2019 | 1,000,000 | 990,650 | ||||||
1.13%, 1/15/2019 | 2,050,000 | 2,042,927 |
See accompanying notes to financial statements.
43
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – (continued) |
| |||||||
1.13%, 1/31/2019 | $ | 1,500,000 | $ | 1,494,675 | ||||
1.13%, 2/28/2019 | 750,000 | 747,225 | ||||||
1.13%, 4/30/2020 | 100,000 | 98,915 | ||||||
1.13%, 2/28/2021 | 850,000 | 832,898 | ||||||
1.13%, 6/30/2021 | 2,250,000 | 2,196,225 | ||||||
1.13%, 7/31/2021 | 1,175,000 | 1,145,402 | ||||||
1.13%, 8/31/2021 | 2,350,000 | 2,288,501 | ||||||
1.13%, 9/30/2021 | 1,300,000 | 1,264,692 | ||||||
1.25%, 12/15/2018 | 750,000 | 749,002 | ||||||
1.25%, 12/31/2018 | 5,000,000 | 4,992,850 | ||||||
1.25%, 3/31/2019 | 600,000 | 598,806 | ||||||
1.25%, 4/30/2019 | 1,500,000 | 1,496,520 | ||||||
1.25%, 5/31/2019 | 1,775,000 | 1,770,935 | ||||||
1.25%, 1/31/2020 | 5,250,000 | 5,218,395 | ||||||
1.25%, 3/31/2021 | 200,000 | 196,718 | ||||||
1.25%, 10/31/2021 | 1,400,000 | 1,367,646 | ||||||
1.25%, 7/31/2023 | 250,000 | 238,710 | ||||||
1.38%, 9/30/2018 | 100,000 | 100,068 | ||||||
1.38%, 2/28/2019 | 500,000 | 500,175 | ||||||
1.38%, 12/15/2019 | 6,000,000 | 5,988,360 | ||||||
1.38%, 2/29/2020 | 500,000 | 498,305 | ||||||
1.38%, 4/30/2020 | 350,000 | 348,492 | ||||||
1.38%, 5/31/2020 | 500,000 | 497,665 | ||||||
1.38%, 8/31/2020 | 3,200,000 | 3,178,240 | ||||||
1.38%, 9/30/2020 | 550,000 | 545,936 | ||||||
1.38%, 10/31/2020 | 1,100,000 | 1,091,200 | ||||||
1.38%, 1/31/2021 | 5,500,000 | 5,442,800 | ||||||
1.38%, 4/30/2021 | 525,000 | 518,354 | ||||||
1.38%, 5/31/2021 | 275,000 | 271,224 | ||||||
1.38%, 6/30/2023 | 2,500,000 | 2,407,200 | ||||||
1.38%, 9/30/2023 | 550,000 | 527,852 | ||||||
1.50%, 12/31/2018 | 750,000 | 751,702 | ||||||
1.50%, 5/31/2020 | 300,000 | 299,604 | ||||||
1.50%, 1/31/2022 | 450,000 | 443,232 | ||||||
1.50%, 2/28/2023 | 5,000,000 | 4,867,850 | ||||||
1.50%, 8/15/2026 | 1,200,000 | 1,122,804 | ||||||
1.63%, 8/31/2019 | 800,000 | 803,664 | ||||||
1.63%, 12/31/2019 | 750,000 | 752,932 | ||||||
1.63%, 3/15/2020 | 3,500,000 | 3,511,340 | ||||||
1.63%, 6/30/2020 | 75,000 | 75,146 | ||||||
1.63%, 7/31/2020 | 5,600,000 | 5,607,672 | ||||||
1.63%, 5/31/2023 | 1,250,000 | 1,222,437 | ||||||
1.63%, 2/15/2026 | 1,925,000 | 1,829,597 | ||||||
1.63%, 5/15/2026 | 1,350,000 | 1,280,110 | ||||||
1.75%, 10/31/2018 | 500,000 | 502,835 | ||||||
1.75%, 10/31/2020 | 650,000 | 652,827 | ||||||
1.75%, 11/30/2021 | 1,500,000 | 1,496,145 | ||||||
1.75%, 2/28/2022 | 300,000 | 298,737 | ||||||
1.75%, 3/31/2022 | 250,000 | 248,750 | ||||||
1.75%, 4/30/2022 | 300,000 | 298,314 | ||||||
1.75%, 5/31/2022 | 1,000,000 | 994,150 | ||||||
1.75%, 1/31/2023 | 2,925,000 | 2,888,759 | ||||||
1.75%, 5/15/2023 | 250,000 | 246,285 | ||||||
1.88%, 3/31/2022 | 5,500,000 | 5,503,465 | ||||||
1.88%, 5/31/2022 | 100,000 | 100,007 | ||||||
1.88%, 8/31/2022 | 150,000 | 149,721 | ||||||
2.00%, 2/28/2021 | 750,000 | 758,415 | ||||||
2.00%, 5/31/2021 | 350,000 | 353,532 | ||||||
2.00%, 8/31/2021 | 300,000 | 302,637 | ||||||
2.00%, 11/15/2021 | 500,000 | 504,260 | ||||||
2.00%, 12/31/2021 | 6,000,000 | 6,043,920 | ||||||
2.00%, 7/31/2022 | 100,000 | 100,475 | ||||||
2.00%, 2/15/2023 | 500,000 | 500,255 | ||||||
2.00%, 5/31/2024 | 1,750,000 | 1,735,790 | ||||||
2.00%, 6/30/2024 | 350,000 | 346,909 | ||||||
2.00%, 2/15/2025 | 625,000 | 616,469 | ||||||
2.00%, 8/15/2025 | 1,500,000 | 1,474,680 | ||||||
2.00%, 11/15/2026 | 3,250,000 | 3,169,595 | ||||||
2.13%, 8/31/2020 | 1,650,000 | 1,676,846 | ||||||
2.13%, 6/30/2022 | 4,500,000 | 4,549,275 | ||||||
2.13%, 12/31/2022 | 650,000 | 655,297 | ||||||
2.13%, 11/30/2023 | 1,000,000 | 1,003,420 | ||||||
2.13%, 3/31/2024 | 975,000 | 975,663 | ||||||
2.13%, 5/15/2025 | 2,350,000 | 2,335,383 | ||||||
2.25%, 12/31/2023 | 3,600,000 | 3,635,892 | ||||||
2.25%, 1/31/2024 | 1,000,000 | 1,009,470 | ||||||
2.25%, 11/15/2024 | 1,675,000 | 1,684,481 | ||||||
2.25%, 11/15/2025 | 975,000 | 975,302 | ||||||
2.25%, 2/15/2027 | 2,000,000 | 1,991,100 | ||||||
2.38%, 5/15/2027 | 500,000 | 503,225 | ||||||
2.63%, 8/15/2020 | 150,000 | 154,734 | ||||||
2.63%, 11/15/2020 | 250,000 | 258,025 | ||||||
2.75%, 2/15/2024 | 100,000 | 104,045 | ||||||
4.00%, 8/15/2018 | 250,000 | 257,470 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 170,830,375 | ||||||
|
| |||||||
MUNICIPAL BONDS & NOTES – 0.5% |
| |||||||
California – 0.2% | ||||||||
California, State General Obligation: | ||||||||
7.30%, 10/1/2039 | 125,000 | 182,601 | ||||||
7.50%, 4/1/2034 | 100,000 | 145,561 | ||||||
7.55%, 4/1/2039 | 100,000 | 152,672 | ||||||
Los Angeles, CA, Department of Water & Power Revenue | 100,000 | 128,183 | ||||||
Los Angeles, CA, Unified School District, General Obligation | 25,000 | 31,577 | ||||||
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue | 25,000 | 37,936 | ||||||
University of California 3.06%, 7/1/2025 | 50,000 | 50,498 | ||||||
University of California, Revenue 6.55%, 5/15/2048 | 50,000 | 67,777 | ||||||
|
| |||||||
796,805 | ||||||||
|
|
See accompanying notes to financial statements.
44
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
MUNICIPAL BONDS & NOTES – (continued) |
| |||||||
Florida – 0.1% | ||||||||
State Board of Administration Finance Corp. 2.64%, 7/1/2021 | $ | 150,000 | $ | 150,330 | ||||
State Board of Administration Finance Corp., Revenue 3.00%, 7/1/2020 | 100,000 | 102,084 | ||||||
|
| |||||||
252,414 | ||||||||
|
| |||||||
Georgia – 0.0%(a) | ||||||||
Georgia, Municipal Electric Authority Revenue | 165,000 | 202,422 | ||||||
|
| |||||||
Illinois – 0.0%(a) | ||||||||
State of Illinois: | ||||||||
5.10%, 6/1/2033 | 50,000 | 46,806 | ||||||
7.35%, 7/1/2035 | 100,000 | 106,999 | ||||||
|
| |||||||
153,805 | ||||||||
|
| |||||||
Massachusetts – 0.0%(a) | ||||||||
Commonwealth of Massachusetts, State General Obligation | 100,000 | 106,693 | ||||||
|
| |||||||
New Jersey – 0.0%(a) | ||||||||
New Jersey, State Turnpike Authority Revenue | 100,000 | 146,756 | ||||||
|
| |||||||
New York – 0.1% | ||||||||
New York, NY, City Municipal Water Finance Authority, Water & Sewer System Revenue | 25,000 | 31,920 | ||||||
Port Authority of New York & New Jersey: | ||||||||
4.46%, 10/1/2062 | 250,000 | 273,585 | ||||||
5.65%, 11/1/2040 | 100,000 | 126,158 | ||||||
Series 192, 4.81%, 10/15/2065 | 25,000 | 28,971 | ||||||
|
| |||||||
460,634 | ||||||||
|
| |||||||
Ohio – 0.1% | ||||||||
American Municipal Power Inc | 150,000 | 221,193 | ||||||
|
| |||||||
Pennsylvania – 0.0%(a) | ||||||||
Commonwealth Financing Authority | 125,000 | 129,626 | ||||||
|
| |||||||
Texas – 0.0%(a) | ||||||||
Dallas, TX, Area Rapid Transit, Sales Tax Revenue | 100,000 | 118,672 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS & NOTES |
| 2,589,020 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES – 0.5% |
| |||||||
Automobile – 0.2% | ||||||||
CarMax Auto Owner Trust 2016-1 | 211,000 | 210,839 | ||||||
Ford Credit Auto Owner Trust 2016-C | 200,000 | 197,599 | ||||||
Honda Auto Receivables 2015-3 Owner Trust | 112,000 | 111,882 | ||||||
Nissan Auto Receivables 2016-B Owner Trust | 169,000 | 168,196 | ||||||
Santander Drive Auto Receivables Trust 2015-3 | 200,000 | 201,733 | ||||||
Toyota Auto Receivables 2017-B Owner Trust | 200,000 | 200,096 | ||||||
|
| |||||||
1,090,345 | ||||||||
|
| |||||||
Credit Card – 0.3% | ||||||||
Capital One Multi-Asset Execution Trust | 200,000 | 196,468 | ||||||
Chase Issuance Trust | 400,000 | 400,290 | ||||||
Citibank Credit Card Issuance Trust: | ||||||||
Series 2014-A1, Class A1, ABS, 2.88%, 1/23/2023 | 100,000 | 102,970 | ||||||
Series 2017-A3, Class A3, ABS, 1.92%, 4/7/2022 | 300,000 | 300,379 | ||||||
Discover Card Execution Note Trust | 100,000 | 99,965 | ||||||
|
| |||||||
1,100,072 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES |
| 2,190,417 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES – 1.1% |
| |||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | 100,000 | 104,784 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC11 | 75,000 | 76,441 |
See accompanying notes to financial statements.
45
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) |
| |||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | $ | 300,000 | $ | 314,139 | ||||
COMM 2013-CCRE8 Mortgage Trust | 65,000 | 66,953 | ||||||
COMM 2014-CCRE15 Mortgage Trust | 300,000 | 304,344 | ||||||
COMM 2014-CCRE16 Mortgage Trust | 100,000 | 106,507 | ||||||
COMM 2014-UBS6 Mortgage Trust | 100,000 | 103,218 | ||||||
COMM 2015-LC21 Mortgage Trust | 50,000 | 52,157 | ||||||
Commercial Mortgage Pass Through Certificates | 400,000 | 425,432 | ||||||
CSAIL 2015-C1 Commercial Mortgage Trust | 150,000 | 155,368 | ||||||
GS Mortgage Securities Trust 2013-GC13 | 80,000 | 86,073 | ||||||
GS Mortgage Securities Trust 2013-GC16 | 100,000 | 107,901 | ||||||
GS Mortgage Securities Trust 2013-GCJ12 | 150,000 | 152,190 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 200,000 | 195,540 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 60,000 | 64,417 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | 50,000 | 53,407 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 | 100,000 | 103,448 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C33 | 100,000 | 104,280 | ||||||
JPMBB Commercial Mortgage Securities Trust 2016-C1 | 300,000 | 324,324 | ||||||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 | 500,000 | 513,476 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 200,000 | 202,338 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | 200,000 | 202,762 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 200,000 | 203,500 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC18 | 225,000 | 232,328 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C31 | 100,000 | 102,293 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 | 300,000 | 309,771 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19: | ||||||||
Series 2014-C19, Class A3, 3.66%, 3/15/2047 | 75,000 | 78,511 | ||||||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 115,760 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | 120,000 | 122,273 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 100,000 | 106,559 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 5,090,494 | ||||||
|
|
See accompanying notes to financial statements.
46
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT – 2.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(f)(g) | 11,393,878 | $ | 11,393,878 | |||||
|
| |||||||
TOTAL INVESTMENTS – 99.4% |
| 477,795,545 | ||||||
Other Assets in Excess of Liabilities – 0.6% |
| 2,902,296 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 480,697,841 | |||||
|
|
(a) | Amount is less than 0.05% of net assets. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Step-up bond – Coupon rate increases in increments to maturity. Rate shown as of June 30, 2017. Maturity date shown is the final maturity. |
(e) | When-issued security. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2017. |
GMTN | Global Medium Term Note | |
MTN | Medium Term Note | |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Advertising | $ | – | $ | 152,957 | $ | – | $ | 152,957 | ||||||||
Aerospace & Defense | – | 1,808,287 | – | 1,808,287 | ||||||||||||
Agriculture | – | 1,028,725 | – | 1,028,725 | ||||||||||||
Airlines | – | 455,179 | – | 455,179 | ||||||||||||
Apparel | – | 77,612 | – | 77,612 | ||||||||||||
Auto Manufacturers | – | 2,724,959 | – | 2,724,959 | ||||||||||||
Auto Parts & Equipment | – | 77,623 | – | 77,623 | ||||||||||||
Banks | – | 29,237,819 | �� | – | 29,237,819 | |||||||||||
Beverages | – | 3,832,597 | – | 3,832,597 | ||||||||||||
Biotechnology | – | 1,952,670 | – | 1,952,670 | ||||||||||||
Chemicals | – | 1,994,451 | – | 1,994,451 | ||||||||||||
Commercial Services | – | 782,870 | – | 782,870 | ||||||||||||
Construction Materials | – | 438,014 | – | 438,014 | ||||||||||||
Distribution & Wholesale | – | 54,401 | – | 54,401 | ||||||||||||
Diversified Financial Services | – | 4,189,956 | – | 4,189,956 | ||||||||||||
Electric | – | 7,702,592 | – | 7,702,592 | ||||||||||||
Electrical Components & Equipment | – | 126,208 | – | 126,208 | ||||||||||||
Electronics | – | 611,150 | – | 611,150 | ||||||||||||
Engineering & Construction | – | 51,118 | – | 51,118 | ||||||||||||
Environmental Control | – | 295,705 | – | 295,705 | ||||||||||||
Food | – | 1,872,019 | – | 1,872,019 | ||||||||||||
Forest Products & Paper | – | 442,291 | – | 442,291 | ||||||||||||
Gas | – | 515,818 | – | 515,818 | ||||||||||||
Hand & Machine Tools | – | 52,559 | – | 52,559 | ||||||||||||
Health Care Products | – | 2,438,876 | – | 2,438,876 | ||||||||||||
Health Care Services | – | 1,690,963 | – | 1,690,963 | ||||||||||||
Holding Companies-Divers | – | 25,027 | – | 25,027 | ||||||||||||
Home Builders | – | 25,792 | – | 25,792 | ||||||||||||
Home Furnishings | – | 26,146 | – | 26,146 | ||||||||||||
Household Products | – | 419,803 | – | 419,803 |
See accompanying notes to financial statements.
47
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Household Products & Wares | $ | – | $ | 100,696 | $ | – | $ | 100,696 | ||||||||
Housewares | – | 391,178 | – | 391,178 | ||||||||||||
Insurance | – | 3,870,170 | – | 3,870,170 | ||||||||||||
Internet | – | 1,013,716 | – | 1,013,716 | ||||||||||||
Iron/Steel | – | 510,653 | – | 510,653 | ||||||||||||
IT Services | – | 3,416,224 | – | 3,416,224 | ||||||||||||
Lodging | – | 291,095 | – | 291,095 | ||||||||||||
Machinery, Construction & Mining | – | 575,649 | – | 575,649 | ||||||||||||
Machinery-Diversified | – | 635,877 | – | 635,877 | ||||||||||||
Media | – | 4,359,108 | – | 4,359,108 | ||||||||||||
Metal Fabricate & Hardware | – | 74,705 | – | 74,705 | ||||||||||||
Mining | – | 916,380 | – | 916,380 | ||||||||||||
Miscellaneous Manufacturer | – | 910,007 | – | 910,007 | ||||||||||||
Multi-National | – | 4,087,261 | – | 4,087,261 | ||||||||||||
Office & Business Equipment | – | 100,951 | – | 100,951 | ||||||||||||
Oil & Gas | – | 8,435,379 | – | 8,435,379 | ||||||||||||
Oil & Gas Services | – | 311,590 | – | 311,590 | ||||||||||||
Packaging & Containers | – | 48,715 | – | 48,715 | ||||||||||||
Pharmaceuticals | – | 6,271,763 | – | 6,271,763 | ||||||||||||
Pipelines | – | 4,455,343 | – | 4,455,343 | ||||||||||||
Real Estate | – | 267,573 | – | 267,573 | ||||||||||||
Real Estate Investment Trusts | – | 3,329,257 | – | 3,329,257 | ||||||||||||
Retail | – | 4,148,616 | – | 4,148,616 | ||||||||||||
Semiconductors | – | 1,895,732 | – | 1,895,732 | ||||||||||||
Software | – | 3,729,477 | – | 3,729,477 | ||||||||||||
Telecommunications | – | 6,664,467 | – | 6,664,467 | ||||||||||||
Toys/Games/Hobbies | – | 25,005 | – | 25,005 | ||||||||||||
Transportation | – | 2,191,174 | – | 2,191,174 | ||||||||||||
Trucking & Leasing | – | 100,742 | – | 100,742 | ||||||||||||
Water | – | 52,841 | – | 52,841 | ||||||||||||
Foreign Government Obligations | – | 13,561,786 | – | 13,561,786 | ||||||||||||
U.S. Government Agency Obligations | – | 143,854,044 | – | 143,854,044 | ||||||||||||
U.S. Treasury Obligations | – | 170,830,375 | – | 170,830,375 | ||||||||||||
Municipal Bonds & Notes | – | 2,589,020 | – | 2,589,020 | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Automobile | – | 1,090,345 | – | 1,090,345 | ||||||||||||
Credit Card | – | 1,100,072 | – | 1,100,072 | ||||||||||||
Mortgage-Backed Securities | – | 5,090,494 | – | 5,090,494 | ||||||||||||
Short-Term Investment | 11,393,878 | – | – | 11,393,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 11,393,878 | $ | 466,401,667 | $ | – | $ | 477,795,545 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 36,682,035 | 25,288,157 | 11,393,878 | $ | 11,393,878 | $ | 17,982 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 11,977,648 | 11,977,648 | 146,578,397 | 158,556,045 | – | – | 64,268 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 11,977,648 | $ | 11,393,878 | $ | 82,250 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
48
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 97.6 | % | ||
Short-Term Investments | 3.0 | |||
Rights | 0.0 | ** | ||
Liabilities in Excess of Other Assets | (0.6 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2017 | |||
Banks | 15.2 | % | ||
Pharmaceuticals | 6.2 | |||
Oil, Gas & Consumable Fuels | 6.2 | |||
Insurance | 5.6 | |||
Chemicals | 3.0 | |||
Total | 36.2 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Less than 0.05% of net assets. |
49
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.6% | ||||||||
Australia – 4.9% | ||||||||
AGL Energy, Ltd. | 44,820 | $ | 876,669 | |||||
Alumina, Ltd. | 181,849 | 267,816 | ||||||
Amcor, Ltd. | 76,962 | 956,936 | ||||||
AMP, Ltd. | 198,276 | 789,335 | ||||||
APA Group | 76,362 | 537,119 | ||||||
Aristocrat Leisure, Ltd. | 36,809 | 636,967 | ||||||
ASX, Ltd. | 13,290 | 546,505 | ||||||
Aurizon Holdings, Ltd. | 140,049 | 575,796 | ||||||
AusNet Services | 78,881 | 104,977 | ||||||
Australia & New Zealand Banking Group, Ltd. | 189,163 | 4,167,199 | ||||||
Bank of Queensland, Ltd. | 29,099 | 255,568 | ||||||
Bendigo & Adelaide Bank, Ltd. | 27,057 | 229,955 | ||||||
BHP Billiton PLC | 137,297 | 2,097,300 | ||||||
BHP Billiton, Ltd. | 207,176 | 3,699,526 | ||||||
BlueScope Steel, Ltd. | 32,324 | 327,530 | ||||||
Boral, Ltd. | 66,049 | 352,107 | ||||||
Brambles, Ltd. | 106,444 | 794,434 | ||||||
Caltex Australia, Ltd. | 14,220 | 344,784 | ||||||
Challenger, Ltd. | 32,025 | 327,694 | ||||||
CIMIC Group, Ltd. | 4,078 | 121,493 | ||||||
Coca-Cola Amatil, Ltd. | 33,346 | 236,085 | ||||||
Cochlear, Ltd. | 3,178 | 378,938 | ||||||
Commonwealth Bank of Australia | 110,592 | 7,024,738 | ||||||
Computershare, Ltd. | 26,548 | 287,942 | ||||||
Crown Resorts, Ltd. | 24,360 | 229,456 | ||||||
CSL, Ltd. | 29,424 | 3,115,293 | ||||||
Dexus REIT | 69,882 | 508,156 | ||||||
Domino’s Pizza Enterprises, Ltd.(a) | 4,890 | 195,346 | ||||||
Flight Centre Travel Group, Ltd. | 4,796 | 140,897 | ||||||
Fortescue Metals Group, Ltd. | 83,174 | 333,029 | ||||||
Goodman Group REIT | 120,257 | 725,953 | ||||||
GPT Group REIT | 124,761 | 458,393 | ||||||
Harvey Norman Holdings, Ltd.(a) | 23,187 | 67,941 | ||||||
Healthscope, Ltd. | 133,386 | 226,113 | ||||||
Incitec Pivot, Ltd. | 89,468 | 234,016 | ||||||
Insurance Australia Group, Ltd. | 158,263 | 823,062 | ||||||
LendLease Group | 30,196 | 385,645 | ||||||
Macquarie Group, Ltd. | 21,204 | 1,439,411 | ||||||
Medibank Pvt, Ltd. | 150,495 | 323,224 | ||||||
Mirvac Group REIT | 202,322 | 330,557 | ||||||
National Australia Bank, Ltd. | 172,472 | 3,914,599 | ||||||
Newcrest Mining, Ltd. | 51,378 | 794,495 | ||||||
Oil Search, Ltd. | 95,019 | 497,071 | ||||||
Orica, Ltd. | 20,923 | 331,893 | ||||||
Origin Energy, Ltd.(b) | 119,356 | 628,047 | ||||||
Qantas Airways, Ltd. | 37,496 | 164,515 | ||||||
QBE Insurance Group, Ltd. | 91,743 | 831,087 | ||||||
Ramsay Health Care, Ltd. | 9,693 | 547,217 | ||||||
REA Group, Ltd. | 2,308 | 117,551 | ||||||
Santos, Ltd.(b) | 100,733 | 234,120 | ||||||
Scentre Group REIT | 351,847 | 1,093,031 | ||||||
SEEK, Ltd. | 20,880 | 270,831 | ||||||
Sonic Healthcare, Ltd. | 21,682 | 402,807 | ||||||
South32, Ltd.(c) | 10,757 | 22,217 | ||||||
South32, Ltd.(c) | 347,569 | 714,495 | ||||||
Stockland REIT(a) | 164,916 | 554,065 | ||||||
Suncorp Group, Ltd. | 85,648 | 973,619 | ||||||
Sydney Airport | 61,787 | 336,021 | ||||||
Tabcorp Holdings, Ltd. | 51,259 | 171,821 | ||||||
Tatts Group, Ltd. | 82,061 | 263,110 | ||||||
Telstra Corp., Ltd. | 277,122 | 914,036 | ||||||
TPG Telecom, Ltd.(a) | 9,201 | 40,228 | ||||||
Transurban Group Stapled Security | 135,015 | 1,227,225 | ||||||
Treasury Wine Estates, Ltd. | 40,293 | 406,733 | ||||||
Vicinity Centres REIT | 233,018 | 459,353 | ||||||
Wesfarmers, Ltd. | 73,409 | 2,259,092 | ||||||
Westfield Corp. REIT | 132,077 | 813,517 | ||||||
Westpac Banking Corp. | 210,405 | 4,924,044 | ||||||
Woodside Petroleum, Ltd. | 50,056 | 1,146,872 | ||||||
Woolworths, Ltd. | 84,163 | 1,648,792 | ||||||
|
| |||||||
62,176,409 | ||||||||
|
| |||||||
Austria – 0.2% | ||||||||
ANDRITZ AG | 4,639 | 279,048 | ||||||
Erste Group Bank AG(b) | 17,079 | 653,049 | ||||||
OMV AG | 8,177 | 423,739 | ||||||
Raiffeisen Bank International AG(b) | 9,777 | 246,441 | ||||||
Voestalpine AG | 6,042 | 281,161 | ||||||
|
| |||||||
1,883,438 | ||||||||
|
| |||||||
Belgium – 0.8% | ||||||||
Ageas | 13,388 | 538,409 | ||||||
Anheuser-Busch InBev SA | 48,968 | 5,401,297 | ||||||
Colruyt SA | 4,570 | 240,418 | ||||||
Groupe Bruxelles Lambert SA | 5,541 | 532,695 | ||||||
KBC Group NV | 16,521 | 1,251,365 | ||||||
Proximus SADP | 8,646 | 302,049 | ||||||
Solvay SA | 5,011 | 671,547 | ||||||
Telenet Group Holding NV(b) | 3,963 | 249,278 | ||||||
UCB SA | 8,612 | 591,604 | ||||||
Umicore SA | 6,623 | 460,030 | ||||||
|
| |||||||
10,238,692 | ||||||||
|
| |||||||
Brazil – 1.5% | ||||||||
Ambev SA | 307,867 | 1,701,364 | ||||||
Banco Bradesco SA | 48,285 | 402,223 | ||||||
Banco Bradesco SA Preference Shares | 199,479 | 1,694,811 | ||||||
Banco do Brasil SA | 45,400 | 367,229 | ||||||
Banco Santander Brasil SA | 15,500 | 116,955 | ||||||
BB Seguridade Participacoes SA | 37,700 | 325,996 | ||||||
BM&FBovespa SA | 138,301 | 824,400 | ||||||
BR Malls Participacoes SA | 53,082 | 191,453 | ||||||
Braskem SA Class A, Preference Shares | 12,900 | 133,156 | ||||||
BRF SA | 31,600 | 373,869 | ||||||
CCR SA | 71,400 | 364,192 | ||||||
Centrais Eletricas Brasileiras SA(b) | 16,300 | 61,250 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 6,800 | 33,679 |
See accompanying notes to financial statements.
50
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Brazil – (continued) | ||||||||
Cia Brasileira de Distribuicao Preference Shares(b) | 6,100 | $ | 119,947 | |||||
Cia de Saneamento Basico do Estado de Sao Paulo | 25,900 | 247,489 | ||||||
Cia Energetica de Minas Gerais Preference Shares | 31,300 | 76,331 | ||||||
Cia Paranaense de Energia Preference Shares | 1,300 | 9,625 | ||||||
Cia Siderurgica Nacional SA(b) | 41,500 | 89,933 | ||||||
Cielo SA | 83,039 | 616,544 | ||||||
Cosan SA Industria e Comercio | 10,500 | 109,587 | ||||||
CPFL Energia SA | 16,469 | 131,772 | ||||||
Duratex SA | 4,428 | 10,919 | ||||||
EDP – Energias do Brasil SA | 4,474 | 19,161 | ||||||
Embraer SA | 44,700 | 204,123 | ||||||
Engie Brasil Energia SA | 12,853 | 131,585 | ||||||
Equatorial Energia SA | 15,000 | 245,288 | ||||||
Fibria Celulose SA | 16,100 | 164,292 | ||||||
Gerdau SA Preference Shares | 34,900 | 108,284 | ||||||
Hypermarcas SA | 13,500 | 113,272 | ||||||
Itau Unibanco Holding SA Preference Shares | 209,669 | 2,325,613 | ||||||
Itausa – Investimentos Itau SA | 133 | 346 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 266,775 | 726,269 | ||||||
JBS SA | 45,600 | 89,872 | ||||||
Klabin SA | 21,528 | 105,455 | ||||||
Kroton Educacional SA | 75,100 | 337,052 | ||||||
Localiza Rent a Car SA | 11,340 | 154,531 | ||||||
Lojas Americanas SA | 2,055 | 7,536 | ||||||
Lojas Americanas SA Preference Shares | 44,081 | 186,262 | ||||||
Lojas Renner SA | 39,710 | 328,155 | ||||||
M Dias Branco SA | 7,900 | 117,549 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 5,238 | 103,266 | ||||||
Natura Cosmeticos SA | 13,800 | 107,043 | ||||||
Odontoprev SA | 3,400 | 11,955 | ||||||
Petroleo Brasileiro SA(b) | 199,700 | 795,606 | ||||||
Petroleo Brasileiro SA Preference Shares(b) | 260,700 | 973,322 | ||||||
Porto Seguro SA | 900 | 8,315 | ||||||
Qualicorp SA | 18,591 | 161,039 | ||||||
Raia Drogasil SA | 13,100 | 277,202 | ||||||
Rumo SA(b) | 59,338 | 154,916 | ||||||
Sul America SA | 2,891 | 15,444 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 8,200 | 35,292 | ||||||
Telefonica Brasil SA Preference Shares | 24,185 | 327,747 | ||||||
Tim Participacoes SA | 56,500 | 166,946 | ||||||
Ultrapar Participacoes SA | 24,700 | 577,905 | ||||||
Vale SA | 86,500 | 757,112 | ||||||
Vale SA Preference Shares | 127,600 | 1,036,359 | ||||||
WEG SA | 21,500 | 114,857 | ||||||
|
| |||||||
18,991,695 | ||||||||
|
| |||||||
Canada – 6.7% | ||||||||
Agnico Eagle Mines, Ltd. | 15,200 | 684,451 | ||||||
Agrium, Inc. | 9,200 | 832,583 | ||||||
Alimentation Couche-Tard, Inc. Class B | 27,600 | 1,321,026 | ||||||
AltaGas, Ltd. | 12,300 | 281,100 | ||||||
ARC Resources, Ltd. | 25,500 | 333,010 | ||||||
Atco, Ltd. Class I | 4,900 | 191,329 | ||||||
Bank of Montreal | 41,900 | 3,072,086 | ||||||
Bank of Nova Scotia | 77,700 | 4,667,265 | ||||||
Barrick Gold Corp. | 76,800 | 1,219,977 | ||||||
BCE, Inc. | 10,579 | 475,717 | ||||||
BlackBerry, Ltd.(b) | 35,900 | 358,254 | ||||||
Bombardier, Inc. Class B(b) | 151,000 | 274,397 | ||||||
Brookfield Asset Management, Inc. Class A | 57,650 | 2,259,035 | ||||||
CAE, Inc. | 19,300 | 332,292 | ||||||
Cameco Corp. | �� | 23,300 | 211,883 | |||||
Canadian Imperial Bank of Commerce | 27,900 | 2,264,096 | ||||||
Canadian National Railway Co. | 49,000 | 3,969,955 | ||||||
Canadian Natural Resources, Ltd. | 72,200 | 2,080,330 | ||||||
Canadian Pacific Railway, Ltd. | 9,600 | 1,542,342 | ||||||
Canadian Tire Corp., Ltd. Class A | 4,600 | 522,658 | ||||||
Canadian Utilities, Ltd. Class A | 9,200 | 295,191 | ||||||
CCL Industries, Inc. Class B | 9,700 | 490,042 | ||||||
Cenovus Energy, Inc. | 62,400 | 459,339 | ||||||
CGI Group, Inc. Class A(b) | 14,400 | 734,692 | ||||||
CI Financial Corp.(a) | 18,800 | 400,117 | ||||||
Constellation Software, Inc. | 1,400 | 731,327 | ||||||
Crescent Point Energy Corp. | 39,500 | 301,717 | ||||||
Dollarama, Inc. | 7,400 | 706,040 | ||||||
Element Fleet Management Corp. | 30,500 | 209,017 | ||||||
Emera, Inc. | 4,400 | 163,336 | ||||||
Empire Co., Ltd. Class A | 13,400 | 228,234 | ||||||
Enbridge, Inc. | 104,900 | 4,172,737 | ||||||
Encana Corp. | 66,500 | 584,250 | ||||||
Fairfax Financial Holdings, Ltd. | 1,600 | 692,397 | ||||||
Finning International, Inc. | 10,000 | 195,734 | ||||||
First Capital Realty, Inc. | 10,500 | 159,760 | ||||||
First Quantum Minerals, Ltd. | 48,600 | 410,520 | ||||||
Fortis, Inc. | 26,700 | 937,080 | ||||||
Franco-Nevada Corp. | 11,900 | 857,383 | ||||||
George Weston, Ltd. | 3,700 | 334,444 | ||||||
Gildan Activewear, Inc. | 15,900 | 487,884 | ||||||
Goldcorp, Inc. | 57,400 | 738,991 | ||||||
Great-West Lifeco, Inc. | 20,300 | 549,430 | ||||||
H&R Real Estate Investment Trust REIT | 7,500 | 127,166 | ||||||
Husky Energy, Inc.(b) | 25,655 | 290,784 | ||||||
Hydro One, Ltd.(d) | 21,100 | 377,418 | ||||||
IGM Financial, Inc. | 6,600 | 204,398 | ||||||
Imperial Oil, Ltd. | 20,200 | 587,942 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 7,700 | 333,566 | ||||||
Intact Financial Corp. | 8,900 | 671,321 | ||||||
Inter Pipeline, Ltd. | 25,500 | 498,729 | ||||||
Jean Coutu Group PJC, Inc. Class A | 3,900 | 59,760 |
See accompanying notes to financial statements.
51
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Canada – (continued) | ||||||||
Keyera Corp.(a) | 13,100 | $ | 411,752 | |||||
Kinross Gold Corp.(b) | 88,700 | 359,936 | ||||||
Linamar Corp. | 3,900 | 191,952 | ||||||
Loblaw Cos., Ltd. | 14,700 | 816,553 | ||||||
Magna International, Inc. | 24,000 | 1,110,095 | ||||||
Manulife Financial Corp. | 128,200 | 2,399,740 | ||||||
Methanex Corp. | 5,200 | 229,229 | ||||||
Metro, Inc. | 15,800 | 519,245 | ||||||
National Bank of Canada | 22,700 | 953,131 | ||||||
Onex Corp. | 5,700 | 455,623 | ||||||
Open Text Corp. | 18,000 | 567,290 | ||||||
Pembina Pipeline Corp. | 26,600 | 879,703 | ||||||
Peyto Exploration & Development Corp.(a) | 12,600 | 228,191 | ||||||
Potash Corp. of Saskatchewan, Inc. | 55,900 | 910,360 | ||||||
Power Corp. of Canada | 24,200 | 551,194 | ||||||
Power Financial Corp. | 17,400 | 445,752 | ||||||
PrairieSky Royalty, Ltd. | 15,294 | 347,757 | ||||||
Restaurant Brands International, Inc. | 14,846 | 927,546 | ||||||
RioCan Real Estate Investment Trust | 12,200 | 226,114 | ||||||
Rogers Communications, Inc. Class B | 23,900 | 1,127,185 | ||||||
Royal Bank of Canada | 94,700 | 6,866,060 | ||||||
Saputo, Inc. | 13,300 | 422,442 | ||||||
Seven Generations Energy, Ltd. Class A(b) | 17,900 | 306,121 | ||||||
Shaw Communications, Inc. Class B(a) | 28,400 | 618,646 | ||||||
Shopify, Inc. Class A(b) | 5,500 | 476,861 | ||||||
Smart Real Estate Investment Trust REIT | 5,700 | 140,975 | ||||||
SNC-Lavalin Group, Inc. | 10,500 | 453,326 | ||||||
Sun Life Financial, Inc. | 40,200 | 1,435,029 | ||||||
Suncor Energy, Inc. | 107,764 | 3,144,050 | ||||||
Teck Resources, Ltd. Class B | 38,400 | 664,689 | ||||||
TELUS Corp. | 13,500 | 465,385 | ||||||
Thomson Reuters Corp. | 19,400 | 896,878 | ||||||
Toronto-Dominion Bank | 119,500 | 6,013,186 | ||||||
Tourmaline Oil Corp.(b) | 16,400 | 352,069 | ||||||
TransCanada Corp.(a) | 56,100 | 2,670,441 | ||||||
Turquoise Hill Resources, Ltd.(b) | 78,900 | 209,598 | ||||||
Valeant Pharmaceuticals International, Inc.(b) | 22,900 | 397,448 | ||||||
Veresen, Inc. | 19,000 | 268,314 | ||||||
Vermilion Energy, Inc. | 6,500 | 205,906 | ||||||
West Fraser Timber Co., Ltd. | 5,700 | 269,397 | ||||||
Wheaton Precious Metals Corp. | 30,000 | 595,057 | ||||||
Yamana Gold, Inc. | 75,200 | 181,240 | ||||||
|
| |||||||
85,595,998 | ||||||||
|
| |||||||
Chile – 0.2% | ||||||||
AES Gener SA | 22,037 | 7,756 | ||||||
Aguas Andinas SA Class A | 220,856 | 129,226 | ||||||
Antofagasta PLC | 28,888 | 300,005 | ||||||
Banco de Chile | 935,556 | 121,349 | ||||||
Banco de Credito e Inversiones | 1,591 | 88,793 | ||||||
Banco Santander Chile | 4,206,222 | 267,285 | ||||||
Cencosud SA | 81,884 | 217,199 | ||||||
Cia Cervecerias Unidas SA | 7,183 | 94,081 | ||||||
Colbun SA | 622,750 | 133,755 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 3,273 | 13,832 | ||||||
Empresa Nacional de Telecomunicaciones SA | 7,195 | 78,315 | ||||||
Empresas CMPC SA | 48,835 | 116,569 | ||||||
Empresas COPEC SA | 24,157 | 263,438 | ||||||
Enel Americas SA | 1,619,545 | 306,769 | ||||||
Enel Chile SA | 898,435 | 98,396 | ||||||
Enel Generacion Chile SA | 115,936 | 87,241 | ||||||
Itau CorpBanca | 3,102,407 | 27,578 | ||||||
Latam Airlines Group SA | 19,970 | 221,653 | ||||||
SACI Falabella | 34,735 | 285,002 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 3,726 | 123,446 | ||||||
|
| |||||||
2,981,688 | ||||||||
|
| |||||||
China – 6.2% | ||||||||
3SBio, Inc.(b)(d) | 24,500 | 32,514 | ||||||
58.com, Inc. ADR(b) | 5,600 | 247,016 | ||||||
AAC Technologies Holdings, Inc. | 39,500 | 493,848 | ||||||
Agricultural Bank of China, Ltd. Class H | 1,749,000 | 826,728 | ||||||
Air China, Ltd. Class H | 148,000 | 152,617 | ||||||
Alibaba Group Holding, Ltd. ADR(b) | 72,500 | 10,215,250 | ||||||
Alibaba Health Information Technology, Ltd.(a)(b) | 59,500 | 28,353 | ||||||
Aluminum Corp. of China, Ltd. Class H(b) | 188,000 | 96,331 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 77,500 | 269,537 | ||||||
ANTA Sports Products, Ltd. | 38,000 | 125,588 | ||||||
Autohome, Inc. ADR(b) | 3,900 | 176,904 | ||||||
AviChina Industry & Technology Co., Ltd. Class H | 188,000 | 110,299 | ||||||
Baidu, Inc. ADR(b) | 17,700 | 3,165,822 | ||||||
Bank of China, Ltd. Class H | 5,148,000 | 2,525,711 | ||||||
Bank of Communications Co., Ltd. Class H | 472,000 | 333,150 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 110,000 | 155,000 | ||||||
Beijing Enterprises Holdings, Ltd. | 38,000 | 183,272 | ||||||
Beijing Enterprises Water Group, Ltd.(b) | 324,000 | 251,515 | ||||||
Belle International Holdings, Ltd. | 390,000 | 307,746 | ||||||
Brilliance China Automotive Holdings, Ltd. | 170,000 | 309,667 | ||||||
Byd Co., Ltd. Class H(a) | 41,000 | 251,574 | ||||||
CGN Power Co., Ltd. Class H(d) | 401,600 | 112,149 | ||||||
China Cinda Asset Management Co., Ltd. Class H | 317,592 | 118,388 |
See accompanying notes to financial statements.
52
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
China CITIC Bank Corp., Ltd. Class H | 486,000 | $ | 297,585 | |||||
China Coal Energy Co., Ltd. Class H | 30,000 | 14,526 | ||||||
China Communications Construction Co., Ltd. Class H | 246,000 | 317,015 | ||||||
China Communications Services Corp., Ltd. Class H | 28,000 | 16,140 | ||||||
China Conch Venture Holdings, Ltd. | 113,500 | 207,911 | ||||||
China Construction Bank Corp. Class H | 5,420,000 | 4,200,501 | ||||||
China Everbright Bank Co., Ltd. Class H | 42,300 | 19,778 | ||||||
China Everbright International, Ltd. | 92,000 | 114,787 | ||||||
China Everbright, Ltd. | 66,000 | 143,727 | ||||||
China Evergrande Group(a)(b) | 243,000 | 436,416 | ||||||
China Galaxy Securities Co., Ltd. Class H | 114,300 | 102,492 | ||||||
China Huarong Asset Management Co., Ltd.(d) | 231,000 | 89,956 | ||||||
China Huishan Dairy Holdings Co., Ltd.(e) | 66,000 | – | ||||||
China Jinmao Holdings Group, Ltd. | 44,000 | 18,149 | ||||||
China Life Insurance Co., Ltd. Class H | 487,000 | 1,487,866 | ||||||
China Longyuan Power Group Corp., Ltd. Class H | 127,000 | 92,406 | ||||||
China Medical System Holdings, Ltd. | 55,000 | 95,114 | ||||||
China Mengniu Dairy Co., Ltd.(b) | 152,000 | 297,907 | ||||||
China Merchants Bank Co., Ltd. Class H | 261,500 | 788,877 | ||||||
China Merchants Port Holdings Co., Ltd. | 84,478 | 234,287 | ||||||
China Minsheng Banking Corp., Ltd. Class H | 317,500 | 316,831 | ||||||
China Mobile, Ltd. | 395,500 | 4,197,449 | ||||||
China National Building Material Co., Ltd. Class H | 176,000 | 104,611 | ||||||
China Oilfield Services, Ltd. Class H | 86,000 | 68,963 | ||||||
China Overseas Land & Investment, Ltd. | 198,000 | 579,559 | ||||||
China Pacific Insurance Group Co., Ltd. Class H | 136,800 | 559,015 | ||||||
China Petroleum & Chemical Corp. Class H | 1,678,000 | 1,309,048 | ||||||
China Power International Development, Ltd. | 40,000 | 14,193 | ||||||
China Railway Construction Corp., Ltd. Class H | 78,500 | 102,368 | ||||||
China Railway Group, Ltd. Class H | 239,000 | 188,287 | ||||||
China Resources Beer Holdings Co., Ltd. | 64,721 | 163,327 | ||||||
China Resources Gas Group, Ltd. | 34,000 | 116,071 | ||||||
China Resources Land, Ltd. | 149,333 | 435,195 | ||||||
China Resources Power Holdings Co., Ltd. | 126,055 | 247,380 | ||||||
China Shenhua Energy Co., Ltd. Class H | 271,000 | 603,345 | ||||||
China Southern Airlines Co., Ltd. Class H | 162,000 | 136,964 | ||||||
China State Construction International Holdings, Ltd. | 70,000 | 119,798 | ||||||
China Taiping Insurance Holdings Co., Ltd. | 96,400 | 244,259 | ||||||
China Telecom Corp., Ltd. Class H | 746,000 | 354,535 | ||||||
China Unicom Hong Kong, Ltd.(b) | 320,000 | 475,504 | ||||||
China Vanke Co., Ltd. Class H | 47,400 | 134,189 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B | 10,700 | 14,118 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 198,000 | 133,666 | ||||||
CITIC Securities Co., Ltd. Class H | 123,000 | 254,305 | ||||||
CITIC, Ltd. | 341,000 | 512,825 | ||||||
CNOOC, Ltd. | 1,175,000 | 1,286,917 | ||||||
COSCO SHIPPING Ports, Ltd. | 129,008 | 151,377 | ||||||
Country Garden Holdings Co., Ltd. | 329,000 | 381,409 | ||||||
CRRC Corp., Ltd. Class H | 263,350 | 236,819 | ||||||
CSPC Pharmaceutical Group, Ltd. | 240,000 | 350,479 | ||||||
Ctrip.com International, Ltd. ADR(b) | 24,500 | 1,319,570 | ||||||
Dongfeng Motor Group Co., Ltd. Class H | 186,000 | 219,918 | ||||||
ENN Energy Holdings, Ltd. | 48,000 | 289,607 | ||||||
Far East Horizon, Ltd. | 121,000 | 105,555 | ||||||
Fosun International, Ltd. | 168,500 | 263,334 | ||||||
Fuyao Glass Industry Group Co., Ltd. Class H(d) | 23,600 | 90,392 | ||||||
Geely Automobile Holdings, Ltd. | 295,000 | 636,371 | ||||||
GF Securities Co., Ltd. Class H | 93,400 | 187,603 | ||||||
GOME Electrical Appliances Holding, Ltd. | 972,000 | 119,532 | ||||||
Great Wall Motor Co., Ltd. Class H(a) | 201,000 | 248,210 | ||||||
Guangdong Investment, Ltd. | 176,000 | 242,589 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H | 142,000 | 249,204 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 77,600 | 120,678 | ||||||
Haitian International Holdings, Ltd. | 53,000 | 148,685 | ||||||
Haitong Securities Co., Ltd. Class H | 169,200 | 273,531 |
See accompanying notes to financial statements.
53
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
Hengan International Group Co., Ltd. | 40,000 | $ | 295,141 | |||||
Huaneng Power International, Inc. Class H | 166,000 | 115,253 | ||||||
Huaneng Renewables Corp., Ltd. Class H | 418,629 | 129,239 | ||||||
Huatai Securities Co., Ltd. Class H(d) | 115,000 | 220,971 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 4,766,000 | 3,217,445 | ||||||
JD.com, Inc. ADR(b) | 42,800 | 1,678,616 | ||||||
Jiangsu Expressway Co., Ltd. Class H | 98,000 | 138,342 | ||||||
Jiangxi Copper Co., Ltd. Class H | 75,000 | 123,167 | ||||||
Kingsoft Corp., Ltd. | 54,000 | 140,768 | ||||||
Kunlun Energy Co., Ltd. | 130,000 | 110,242 | ||||||
Lenovo Group, Ltd. | 384,000 | 242,507 | ||||||
Longfor Properties Co., Ltd. | 66,500 | 142,942 | ||||||
Minth Group, Ltd. | 48,000 | 203,524 | ||||||
Momo, Inc. ADR(b) | 6,000 | 221,760 | ||||||
NetEase, Inc. ADR | 5,200 | 1,563,276 | ||||||
New China Life Insurance Co., Ltd. Class H | 50,100 | 254,785 | ||||||
New Oriental Education & Technology Group, Inc. ADR(b) | 7,200 | 507,528 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H | 252,000 | 105,882 | ||||||
PetroChina Co., Ltd. Class H | 1,408,000 | 862,138 | ||||||
PICC Property & Casualty Co., Ltd. Class H | 243,800 | 407,247 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H | 338,500 | 2,230,953 | ||||||
Semiconductor Manufacturing International Corp.(a)(b) | 157,300 | 182,358 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 24,000 | 18,846 | ||||||
Shanghai Electric Group Co., Ltd. Class H(b) | 24,000 | 11,529 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 33,500 | 129,813 | ||||||
Shanghai Industrial Holdings, Ltd. | 7,000 | 20,714 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 46,620 | 74,592 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 50,200 | 149,511 | ||||||
Shenzhou International Group Holdings, Ltd. | 33,000 | 216,859 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 136,556 | ||||||
SINA Corp.(b) | 3,100 | 263,407 | ||||||
Sino-Ocean Group Holding, Ltd. | 42,000 | 20,552 | ||||||
Sinopec Engineering Group Co., Ltd. Class H | 15,000 | 13,527 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 210,000 | 112,445 | ||||||
Sinopharm Group Co., Ltd. Class H | 66,400 | 300,254 | ||||||
Sinotrans, Ltd. Class H | 16,000 | 8,198 | ||||||
SOHO China, Ltd.(b) | 46,000 | 22,686 | ||||||
Sunac China Holdings, Ltd.(a) | 92,000 | 192,333 | ||||||
Sunny Optical Technology Group Co., Ltd. | 37,000 | 331,777 | ||||||
TAL Education Group ADR | 2,600 | 318,006 | ||||||
Tencent Holdings, Ltd. | 364,000 | 13,018,568 | ||||||
Tingyi Cayman Islands Holding Corp. | 82,000 | 97,268 | ||||||
TravelSky Technology, Ltd. Class H | 42,000 | 123,744 | ||||||
Tsingtao Brewery Co., Ltd. Class H | 6,000 | 26,555 | ||||||
Vipshop Holdings, Ltd. ADR(b) | 22,900 | 241,595 | ||||||
Want Want China Holdings, Ltd. | 361,000 | 243,705 | ||||||
Weibo Corp. ADR(a)(b) | 1,910 | 126,958 | ||||||
Weichai Power Co., Ltd. Class H | 164,000 | 143,697 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 155,200 | 134,138 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H | 150,000 | 134,504 | ||||||
Yum China Holdings, Inc.(b) | 25,400 | 1,001,522 | ||||||
YY, Inc. ADR(b) | 2,500 | 145,075 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 114,000 | 148,954 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 38,000 | 186,436 | ||||||
Zijin Mining Group Co., Ltd. Class H | 346,000 | 114,352 | ||||||
ZTE Corp. Class H(b) | 62,600 | 149,474 | ||||||
|
| |||||||
79,244,238 | ||||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Bancolombia SA | 13,000 | 135,231 | ||||||
Bancolombia SA ADR | 500 | 22,275 | ||||||
Bancolombia SA Preference Shares | 24,343 | 270,117 | ||||||
Cementos Argos SA | 35,710 | 138,395 | ||||||
Ecopetrol SA | 307,726 | 139,002 | ||||||
Ecopetrol SA ADR(a) | 700 | 6,363 | ||||||
Grupo Argos SA | 22,062 | 149,773 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 302,656 | 124,329 | ||||||
Grupo de Inversiones Suramericana SA | 14,284 | 185,150 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 9,428 | 119,182 | ||||||
Interconexion Electrica SA ESP | 32,243 | 140,790 | ||||||
|
| |||||||
1,430,607 | ||||||||
|
|
See accompanying notes to financial statements.
54
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Czech Republic – 0.0%(f) | ||||||||
CEZ A/S | 11,088 | $ | 192,735 | |||||
Komercni banka A/S | 2,727 | 109,095 | ||||||
Moneta Money Bank A/S(d) | 21,059 | 70,451 | ||||||
O2 Czech Republic A/S | 227 | 2,690 | ||||||
|
| |||||||
374,971 | ||||||||
|
| |||||||
Denmark – 1.3% | ||||||||
AP Moeller – Maersk A/S Class A | 260 | 495,766 | ||||||
AP Moeller – Maersk A/S Class B | 436 | 875,505 | ||||||
Carlsberg A/S Class B | 7,180 | 766,044 | ||||||
Chr Hansen Holding A/S | 6,836 | 496,540 | ||||||
Coloplast A/S Class B | 8,029 | 670,028 | ||||||
Danske Bank A/S | 48,082 | 1,846,925 | ||||||
DONG Energy A/S(d) | 10,235 | 461,445 | ||||||
DSV A/S | 12,741 | 781,800 | ||||||
Genmab A/S(b) | 3,837 | 817,573 | ||||||
H Lundbeck A/S | 4,000 | 224,213 | ||||||
ISS A/S | 11,626 | 456,030 | ||||||
Novo Nordisk A/S Class B | 116,489 | 4,982,072 | ||||||
Novozymes A/S Class B | 15,582 | 681,001 | ||||||
Pandora A/S | 7,497 | 698,660 | ||||||
TDC A/S | 48,200 | 279,937 | ||||||
Tryg A/S | 8,961 | 195,749 | ||||||
Vestas Wind Systems A/S | 14,565 | 1,342,818 | ||||||
William Demant Holding A/S(b) | 9,101 | 235,246 | ||||||
|
| |||||||
16,307,352 | ||||||||
|
| |||||||
Egypt – 0.0%(f) | ||||||||
Commercial International Bank Egypt SAE | 60,651 | 267,507 | ||||||
Global Telecom Holding SAE(b) | 13,479 | 5,096 | ||||||
Talaat Moustafa Group | 8,765 | 3,802 | ||||||
|
| |||||||
276,405 | ||||||||
|
| |||||||
Finland – 0.7% | ||||||||
Elisa Oyj | 8,041 | 311,178 | ||||||
Fortum Oyj | 30,718 | 481,036 | ||||||
Kone Oyj Class B | 22,269 | 1,131,267 | ||||||
Metso Oyj | 7,380 | 255,548 | ||||||
Neste Oyj | 9,149 | 359,899 | ||||||
Nokia Oyj(c) | 365,615 | 2,233,047 | ||||||
Nokia Oyj(c) | 12,886 | 78,880 | ||||||
Nokian Renkaat Oyj | 6,705 | 277,141 | ||||||
Orion Oyj Class B | 7,170 | 457,136 | ||||||
Sampo Oyj Class A | 29,268 | 1,497,833 | ||||||
Stora Enso Oyj Class R | 38,044 | 490,753 | ||||||
UPM-Kymmene Oyj | 35,381 | 1,007,231 | ||||||
Wartsila Oyj Abp | 10,073 | 594,543 | ||||||
|
| |||||||
9,175,492 | ||||||||
|
| |||||||
France – 7.1% | ||||||||
Accor SA | 12,624 | 590,978 | ||||||
Aeroports de Paris | 1,897 | 305,720 | ||||||
Air Liquide SA | 25,125 | 3,100,614 | ||||||
Airbus SE | 37,453 | 3,075,625 | ||||||
Alstom SA(b) | 8,766 | 306,041 | ||||||
Arkema SA | 3,643 | 388,204 | ||||||
Atos SE | 6,290 | 881,692 | ||||||
AXA SA | 125,217 | 3,420,449 | ||||||
BNP Paribas SA | 72,155 | 5,189,610 | ||||||
Bollore SA | 57,415 | 260,694 | ||||||
Bouygues SA | 14,460 | 608,898 | ||||||
Bureau Veritas SA | 14,679 | 324,379 | ||||||
Capgemini SE | 10,620 | 1,095,952 | ||||||
Carrefour SA | 37,690 | 952,169 | ||||||
Casino Guichard Perrachon SA | 3,845 | 227,428 | ||||||
Christian Dior SE(b) | 3,610 | 1,030,787 | ||||||
Cie de Saint-Gobain | 32,601 | 1,739,424 | ||||||
Cie Generale des Etablissements Michelin | 11,198 | 1,486,647 | ||||||
CNP Assurances | 12,637 | 283,290 | ||||||
Credit Agricole SA | 74,996 | 1,204,784 | ||||||
Danone SA | 38,172 | 2,865,175 | ||||||
Dassault Aviation SA | 155 | 216,129 | ||||||
Dassault Systemes SE | 8,626 | 772,215 | ||||||
Edenred | 15,581 | 405,710 | ||||||
Eiffage SA | 5,094 | 462,241 | ||||||
Electricite de France SA | 34,247 | 370,371 | ||||||
Engie SA | 111,253 | 1,676,846 | ||||||
Essilor International SA | 13,537 | 1,719,974 | ||||||
Eurazeo SA | 3,310 | 247,994 | ||||||
Eutelsat Communications SA | 10,404 | 265,330 | ||||||
Fonciere Des Regions | 2,253 | 208,708 | ||||||
Gecina SA REIT | 2,251 | 352,629 | ||||||
Groupe Eurotunnel SE | 26,483 | 282,056 | ||||||
Hermes International | 1,352 | 667,156 | �� | |||||
ICADE REIT | 2,406 | 201,696 | ||||||
Iliad SA | 1,468 | 346,753 | ||||||
Imerys SA | 2,719 | 236,153 | ||||||
Ingenico Group SA | 3,208 | 290,845 | ||||||
Ipsen SA | 2,134 | 291,707 | ||||||
JCDecaux SA | 3,050 | 99,908 | ||||||
Kering | 4,945 | 1,681,854 | ||||||
Klepierre REIT | 14,963 | 612,415 | ||||||
L’Oreal SA | 16,254 | 3,381,422 | ||||||
Lagardere SCA | 7,117 | 224,443 | ||||||
Legrand SA | 17,593 | 1,229,024 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 17,945 | 4,467,983 | ||||||
Natixis SA(a) | 53,114 | 356,024 | ||||||
Orange SA(a) | 129,693 | 2,054,627 | ||||||
Pernod Ricard SA | 13,831 | 1,849,612 | ||||||
Peugeot SA | 32,888 | 655,119 | ||||||
Publicis Groupe SA | 13,184 | 982,067 | ||||||
Remy Cointreau SA | 1,546 | 180,296 | ||||||
Renault SA | 11,740 | 1,061,162 | ||||||
Rexel SA | 16,777 | 274,109 | ||||||
Safran SA | 20,376 | 1,864,765 | ||||||
Sanofi | 74,607 | 7,127,391 | ||||||
Schneider Electric SE(b) | 36,411 | 2,793,627 | ||||||
SCOR SE | 11,972 | 473,953 | ||||||
SEB SA | 1,476 | 264,723 | ||||||
Societe BIC SA | 1,850 | 219,231 | ||||||
Societe Generale SA | 49,666 | 2,668,619 | ||||||
Sodexo SA | 6,176 | 797,385 | ||||||
Suez Environment Co. | 19,835 | 366,829 | ||||||
Thales SA | 7,105 | 763,684 | ||||||
TOTAL SA | 149,531 | 7,382,152 |
See accompanying notes to financial statements.
55
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
France – (continued) | ||||||||
Unibail-Rodamco SE REIT | 6,492 | $ | 1,633,792 | |||||
Valeo SA | 15,820 | 1,064,386 | ||||||
Veolia Environnement SA | 32,325 | 682,063 | ||||||
Vinci SA | 32,441 | 2,765,053 | ||||||
Vivendi SA | 67,367 | 1,497,523 | ||||||
Wendel SA | 1,683 | 248,773 | ||||||
Zodiac Aerospace | 11,499 | 311,486 | ||||||
|
| |||||||
90,388,573 | ||||||||
|
| |||||||
Germany – 6.5% | ||||||||
adidas AG | 12,217 | 2,337,445 | ||||||
Allianz SE | 29,361 | 5,773,277 | ||||||
Axel Springer SE | 1,892 | 113,507 | ||||||
BASF SE | 59,024 | 5,458,964 | ||||||
Bayer AG | 53,058 | 6,850,332 | ||||||
Bayerische Motoren Werke AG | 21,532 | 1,996,100 | ||||||
Bayerische Motoren Werke AG Preference Shares | 3,130 | 257,677 | ||||||
Beiersdorf AG | 6,785 | 712,264 | ||||||
Brenntag AG | 10,515 | 607,799 | ||||||
Commerzbank AG(b) | 71,198 | 846,967 | ||||||
Continental AG | 7,194 | 1,550,357 | ||||||
Covestro AG(d) | 8,331 | 600,616 | ||||||
Daimler AG | 61,972 | 4,479,129 | ||||||
Deutsche Bank AG | 134,177 | 2,375,877 | ||||||
Deutsche Boerse AG | 12,674 | 1,335,962 | ||||||
Deutsche Lufthansa AG | 14,806 | 336,473 | ||||||
Deutsche Post AG | 64,367 | 2,409,440 | ||||||
Deutsche Telekom AG | 211,021 | 3,783,490 | ||||||
Deutsche Wohnen AG | 23,628 | 902,519 | ||||||
E.ON SE | 144,385 | 1,358,267 | ||||||
Evonik Industries AG | 9,133 | 291,510 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 3,084 | 271,899 | ||||||
Fresenius Medical Care AG & Co. KGaA | 14,114 | 1,354,945 | ||||||
Fresenius SE & Co. KGaA | 26,931 | 2,305,554 | ||||||
Fuchs Petrolub SE Preference Shares | 4,276 | 232,511 | ||||||
GEA Group AG | 9,689 | 395,950 | ||||||
Hannover Rueck SE | 3,232 | 386,873 | ||||||
HeidelbergCement AG | 9,889 | 954,759 | ||||||
Henkel AG & Co. KGaA | 6,940 | 838,243 | ||||||
Henkel AG & Co. KGaA Preference Shares | 11,641 | 1,599,896 | ||||||
HOCHTIEF AG | 802 | 146,721 | ||||||
HUGO BOSS AG | 3,854 | 269,455 | ||||||
Infineon Technologies AG | 74,136 | 1,563,014 | ||||||
Innogy SE(d) | 7,933 | 311,839 | ||||||
KS AG | 10,797 | 276,091 | ||||||
Lanxess AG | 4,953 | 374,482 | ||||||
Linde AG | 12,051 | 2,278,883 | ||||||
MAN SE | 2,275 | 243,569 | ||||||
Merck KGaA | 8,558 | 1,032,207 | ||||||
METRO AG | 9,695 | 326,808 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 10,469 | 2,108,081 | ||||||
OSRAM Licht AG | 5,023 | 399,597 | ||||||
Porsche Automobil Holding SE Preference Shares | 10,437 | 585,554 | ||||||
ProSiebenSat.1 Media SE | 15,759 | 658,565 | ||||||
QIAGEN NV(b) | 11,555 | 383,840 | ||||||
RWE AG(b) | 34,931 | 695,018 | ||||||
SAP SE | 63,089 | 6,580,391 | ||||||
Schaeffler AG Preference Shares | 6,635 | 94,897 | ||||||
Siemens AG | 49,100 | 6,739,721 | ||||||
Symrise AG | 8,403 | 594,402 | ||||||
Telefonica Deutschland Holding AG | 44,734 | 223,116 | ||||||
ThyssenKrupp AG | 24,779 | 703,009 | ||||||
TUI AG | 26,523 | 385,518 | ||||||
United Internet AG | 6,893 | 378,507 | ||||||
Volkswagen AG | 1,817 | 281,325 | ||||||
Volkswagen AG Preference Shares | 12,094 | 1,839,405 | ||||||
Vonovia SE | 30,725 | 1,218,284 | ||||||
Zalando SE(b)(d) | 5,202 | 237,385 | ||||||
|
| |||||||
83,648,286 | ||||||||
|
| |||||||
Greece – 0.1% | ||||||||
Alpha Bank AE(b) | 56,803 | 139,939 | ||||||
Eurobank Ergasias SA(b) | 144,579 | 161,602 | ||||||
FF Group(b) | 122 | 2,978 | ||||||
Hellenic Telecommunications Organization SA | 10,111 | 121,548 | ||||||
JUMBO SA | 4,872 | 88,908 | ||||||
National Bank of Greece SA(b) | 418,723 | 159,032 | ||||||
OPAP SA | 10,008 | 113,005 | ||||||
Piraeus Bank SA(b) | 524,473 | 128,610 | ||||||
Titan Cement Co. SA | 393 | 11,103 | ||||||
|
| |||||||
926,725 | ||||||||
|
| |||||||
Hong Kong – 2.5% | ||||||||
AIA Group, Ltd. | 774,800 | 5,662,284 | ||||||
Alibaba Pictures Group, Ltd.(b) | 460,000 | 76,603 | ||||||
ASM Pacific Technology, Ltd. | 19,700 | 266,235 | ||||||
Bank of East Asia, Ltd. | 68,396 | 293,947 | ||||||
BOC Hong Kong Holdings, Ltd. | 244,000 | 1,167,419 | ||||||
Cheung Kong Property Holdings, Ltd. | 174,524 | 1,367,093 | ||||||
China Gas Holdings, Ltd. | 64,000 | 129,206 | ||||||
CK Hutchison Holdings, Ltd. | 175,524 | 2,203,479 | ||||||
CK Infrastructure Holdings, Ltd. | 37,000 | 310,922 | ||||||
CLP Holdings, Ltd. | 108,500 | 1,148,038 | ||||||
First Pacific Co., Ltd. | 180,000 | 132,813 | ||||||
Fullshare Holdings, Ltd.(a)(b) | 270,000 | 107,911 | ||||||
Galaxy Entertainment Group, Ltd. | 156,000 | 947,217 | ||||||
GCL-Poly Energy Holdings, Ltd.(a)(b) | 1,071,000 | 116,615 | ||||||
Haier Electronics Group Co., Ltd.(b) | 56,000 | 145,623 | ||||||
Hanergy Thin Film Power Group, Ltd.(b)(e) | 68,000 | – | ||||||
Hang Lung Group, Ltd. | 53,000 | 219,293 |
See accompanying notes to financial statements.
56
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Hong Kong – (continued) | ||||||||
Hang Lung Properties, Ltd. | 126,000 | $ | 314,740 | |||||
Hang Seng Bank, Ltd. | 50,700 | 1,060,573 | ||||||
Henderson Land Development Co., Ltd. | 65,006 | 362,650 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(d) | 104,164 | 96,072 | ||||||
HKT Trust & HKT, Ltd. | 215,000 | 282,574 | ||||||
Hong Kong & China Gas Co., Ltd. | 555,500 | 1,044,616 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 75,681 | 1,956,386 | ||||||
Hongkong Land Holdings, Ltd. | 80,300 | 591,008 | ||||||
Hysan Development Co., Ltd. | 48,000 | 229,041 | ||||||
Jardine Matheson Holdings, Ltd. | 14,300 | 918,060 | ||||||
Jardine Strategic Holdings, Ltd. | 15,000 | 625,350 | ||||||
Kerry Properties, Ltd. | 30,000 | 101,839 | ||||||
Li & Fung, Ltd. | 208,000 | 75,671 | ||||||
Link REIT | 146,000 | 1,110,928 | ||||||
Melco Resorts & Entertainment, Ltd. ADR | 17,430 | 391,304 | ||||||
MTR Corp., Ltd. | 100,988 | 568,558 | ||||||
New World Development Co., Ltd. | 400,499 | 508,419 | ||||||
Nine Dragons Paper Holdings, Ltd. | 80,000 | 106,579 | ||||||
NWS Holdings, Ltd. | 62,968 | 123,896 | ||||||
PCCW, Ltd. | 337,000 | 191,672 | ||||||
Power Assets Holdings, Ltd. | 93,000 | 821,417 | ||||||
Sands China, Ltd. | 162,800 | 745,550 | ||||||
Shangri-La Asia, Ltd. | 100,000 | 169,603 | ||||||
Shimao Property Holdings, Ltd. | 90,500 | 154,882 | ||||||
Sino Biopharmaceutical, Ltd. | 294,000 | 259,862 | ||||||
Sino Land Co., Ltd. | 174,118 | 285,496 | ||||||
SJM Holdings, Ltd. | 96,000 | 101,209 | ||||||
Sun Art Retail Group, Ltd. | 104,000 | 82,865 | ||||||
Sun Hung Kai Properties, Ltd. | 95,000 | 1,395,833 | ||||||
Swire Pacific, Ltd. Class A | 30,000 | 293,027 | ||||||
Swire Properties, Ltd. | 74,800 | 246,732 | ||||||
Techtronic Industries Co., Ltd. | 76,500 | 351,805 | ||||||
WH Group, Ltd.(d) | 552,500 | 557,706 | ||||||
Wharf Holdings, Ltd. | 70,000 | 580,161 | ||||||
Wheelock & Co., Ltd. | 46,000 | 347,072 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 56,500 | 234,498 | ||||||
|
| |||||||
31,582,352 | ||||||||
|
| |||||||
Hungary – 0.1% | ||||||||
MOL Hungarian Oil & Gas PLC | 2,275 | 178,174 | ||||||
OTP Bank PLC | 12,692 | 423,832 | ||||||
Richter Gedeon Nyrt | 5,326 | 138,884 | ||||||
|
| |||||||
740,890 | ||||||||
|
| |||||||
India – 2.0% | ||||||||
ACC, Ltd. | 889 | 21,591 | ||||||
Adani Ports & Special Economic Zone, Ltd.(b) | 52,116 | 294,212 | ||||||
Ambuja Cements, Ltd. | 25,405 | 96,687 | ||||||
Apollo Hospitals Enterprise, Ltd.(b) | 6,492 | 127,866 | ||||||
Ashok Leyland, Ltd. | 96,463 | 140,133 | ||||||
Asian Paints, Ltd. | 16,754 | 286,415 | ||||||
Aurobindo Pharma, Ltd. | 9,217 | 97,535 | ||||||
Axis Bank, Ltd. | 111,859 | 898,160 | ||||||
Bajaj Auto, Ltd. | 5,404 | 233,257 | ||||||
Bajaj Finance, Ltd. | 6,447 | 136,999 | ||||||
Bajaj Finserv, Ltd.(b) | 1,830 | 116,281 | ||||||
Bharat Forge, Ltd. | 8,168 | 138,257 | ||||||
Bharat Heavy Electricals, Ltd. | 48,675 | 101,887 | ||||||
Bharat Petroleum Corp., Ltd. | 30,292 | 299,042 | ||||||
Bharti Airtel, Ltd. | 83,034 | 489,565 | ||||||
Bharti Infratel, Ltd. | 21,353 | 123,551 | ||||||
Bosch, Ltd. | 277 | 100,172 | ||||||
Cadila Healthcare, Ltd. | 4,054 | 32,902 | ||||||
Cipla, Ltd. | 12,709 | 109,635 | ||||||
Coal India, Ltd. | 23,660 | 89,497 | ||||||
Container Corp. Of India, Ltd. | 151 | 2,680 | ||||||
Dabur India, Ltd. | 21,388 | 96,422 | ||||||
Dr Reddy’s Laboratories, Ltd. | 6,332 | 263,566 | ||||||
Eicher Motors, Ltd.(b) | 760 | 317,580 | ||||||
GAIL India, Ltd. | 14,601 | 81,772 | ||||||
GAIL India, Ltd. GDR | 533 | 17,589 | ||||||
Glenmark Pharmaceuticals, Ltd. | 6,301 | 61,789 | ||||||
Godrej Consumer Products, Ltd.(c) | 4,355 | 65,348 | ||||||
Godrej Consumer Products, Ltd.(c)(g) | 4,355 | 65,227 | ||||||
Grasim Industries, Ltd. | 19,909 | 383,165 | ||||||
Havells India, Ltd. | 19,396 | 138,484 | ||||||
HCL Technologies, Ltd. | 30,038 | 395,658 | ||||||
Hero MotoCorp, Ltd. | 1,988 | 113,349 | ||||||
Hindalco Industries, Ltd. | 79,663 | 235,523 | ||||||
Hindustan Petroleum Corp., Ltd. | 16,902 | 133,255 | ||||||
Hindustan Unilever, Ltd. | 43,689 | 729,981 | ||||||
Housing Development Finance Corp., Ltd. | 97,670 | 2,435,649 | ||||||
ICICI Bank, Ltd. | 151,814 | 681,120 | ||||||
ICICI Bank, Ltd. ADR | 3,934 | 35,284 | ||||||
Idea Cellular, Ltd. | 76,577 | 101,056 | ||||||
IDFC Bank, Ltd. | 72,488 | 61,568 | ||||||
Indiabulls Housing Finance, Ltd. | 18,344 | 307,141 | ||||||
Indian Oil Corp., Ltd. | 33,593 | 199,544 | ||||||
Infosys, Ltd. | 112,331 | 1,623,858 | ||||||
Infosys, Ltd. ADR | 7,300 | 109,646 | ||||||
ITC, Ltd. | 224,736 | 1,123,028 | ||||||
JSW Steel, Ltd. | 50,000 | 157,107 | ||||||
Larsen & Toubro, Ltd. | 14,953 | 390,218 | ||||||
Larsen & Toubro, Ltd. GDR | 2,120 | 54,696 | ||||||
LIC Housing Finance, Ltd. | 11,773 | 135,511 | ||||||
Lupin, Ltd. | 12,371 | 202,520 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 5,284 | 28,367 | ||||||
Mahindra & Mahindra, Ltd. | 18,319 | 384,022 | ||||||
Mahindra & Mahindra, Ltd. GDR | 1,651 | 35,331 | ||||||
Marico, Ltd. | 31,723 | 153,664 |
See accompanying notes to financial statements.
57
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
India – (continued) | ||||||||
Maruti Suzuki India, Ltd. | 7,087 | $ | 789,561 | |||||
Motherson Sumi Systems, Ltd.(b) | 18,799 | 134,367 | ||||||
Nestle India, Ltd. | 936 | 97,731 | ||||||
NTPC, Ltd. | 103,864 | 255,573 | ||||||
Oil & Natural Gas Corp., Ltd. | 84,461 | 205,542 | ||||||
Piramal Enterprises, Ltd.(b) | 5,262 | 227,132 | ||||||
Power Finance Corp., Ltd. | 49,755 | 94,872 | ||||||
Reliance Industries, Ltd.(b) | 77,688 | 1,662,232 | ||||||
Reliance Industries, Ltd. GDR(b)(d) | 3,442 | 145,941 | ||||||
Rural Electrification Corp., Ltd. | 54,149 | 144,090 | ||||||
Shree Cement, Ltd. | 574 | 150,965 | ||||||
Shriram Transport Finance Co., Ltd. | 9,802 | 151,661 | ||||||
Siemens, Ltd. | 6,013 | 124,097 | ||||||
State Bank of India | 108,851 | 460,664 | ||||||
State Bank of India GDR | 1,020 | 43,350 | ||||||
Sun Pharmaceutical Industries, Ltd. | 50,044 | 430,469 | ||||||
Tata Consultancy Services, Ltd. | 31,227 | 1,140,622 | ||||||
Tata Motors, Ltd. | 101,056 | 676,886 | ||||||
Tata Motors, Ltd. ADR | 1,078 | 35,585 | ||||||
Tata Motors, Ltd. Class A | 32,277 | 131,830 | ||||||
Tata Power Co., Ltd. | 19,125 | 23,818 | ||||||
Tata Steel, Ltd. | 11,716 | 98,858 | ||||||
Tata Steel, Ltd. GDR | 1,300 | 10,920 | ||||||
Tech Mahindra, Ltd. | 28,497 | 168,855 | ||||||
Titan Co., Ltd.(b) | 21,038 | 170,875 | ||||||
UltraTech Cement, Ltd. | 5,259 | 321,785 | ||||||
United Spirits, Ltd.(b) | 2,709 | 100,841 | ||||||
UPL, Ltd. | 22,155 | 288,945 | ||||||
Vedanta, Ltd. | 84,137 | 323,727 | ||||||
Vedanta, Ltd. ADR | 1,433 | 22,240 | ||||||
Wipro, Ltd. | 62,848 | 252,121 | ||||||
Wipro, Ltd. ADR | 5,876 | 30,555 | ||||||
Yes Bank, Ltd. | 23,230 | 526,828 | ||||||
Zee Entertainment Enterprises, Ltd. | 33,339 | 253,508 | ||||||
|
| |||||||
24,951,408 | ||||||||
|
| |||||||
Indonesia – 0.4% | ||||||||
Adaro Energy Tbk PT | 619,000 | 73,234 | ||||||
AKR Corporindo Tbk PT | 22,500 | 11,016 | ||||||
Astra International Tbk PT | 1,028,500 | 689,092 | ||||||
Bank Central Asia Tbk PT | 619,500 | 844,885 | ||||||
Bank Danamon Indonesia Tbk PT | 28,500 | 10,914 | ||||||
Bank Mandiri Persero Tbk PT | 491,500 | 471,113 | ||||||
Bank Negara Indonesia Persero Tbk PT | 493,000 | 242,406 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 571,500 | 652,101 | ||||||
Bumi Serpong Damai Tbk PT | 103,500 | 14,191 | ||||||
Charoen Pokphand Indonesia Tbk PT | 573,000 | 136,228 | ||||||
Gudang Garam Tbk PT | 20,500 | 120,542 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 358,500 | 103,293 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 115,500 | 159,617 | ||||||
Indofood CBP Sukses Makmur Tbk PT | 115,000 | 75,995 | ||||||
Indofood Sukses Makmur Tbk PT | 169,000 | 109,120 | ||||||
Jasa Marga Persero Tbk PT | 13,875 | 5,571 | ||||||
Kalbe Farma Tbk PT | 817,000 | 99,457 | ||||||
Lippo Karawaci Tbk PT | 368,500 | 18,244 | ||||||
Matahari Department Store Tbk PT | 78,500 | 83,482 | ||||||
Media Nusantara Citra Tbk PT | 105,000 | 14,475 | ||||||
Pakuwon Jati Tbk PT | 1,357,000 | 62,566 | ||||||
Perusahaan Gas Negara Persero Tbk | 473,000 | 79,777 | ||||||
Semen Indonesia Persero Tbk PT | 112,000 | 83,996 | ||||||
Summarecon Agung Tbk PT | 87,500 | 8,453 | ||||||
Surya Citra Media Tbk PT | 50,000 | 9,717 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 2,529,000 | 858,826 | ||||||
Tower Bersama Infrastructure Tbk PT | 16,500 | 8,373 | ||||||
Unilever Indonesia Tbk PT | 86,500 | 316,729 | ||||||
United Tractors Tbk PT | 64,500 | 132,754 | ||||||
Waskita Karya Persero Tbk PT | 124,000 | 21,548 | ||||||
XL Axiata Tbk PT(b) | 78,125 | 19,983 | ||||||
|
| |||||||
5,537,698 | ||||||||
|
| |||||||
Ireland – 0.4% | ||||||||
Bank of Ireland(b) | 1,455,128 | 381,719 | ||||||
CRH PLC | 53,031 | 1,873,508 | ||||||
Experian PLC | 62,021 | 1,268,854 | ||||||
James Hardie Industries PLC | 30,562 | 480,573 | ||||||
Kerry Group PLC Class A | 8,079 | 694,128 | ||||||
Paddy Power Betfair PLC | 4,156 | 443,059 | ||||||
Ryanair Holdings PLC ADR(b) | 1,263 | 135,911 | ||||||
|
| |||||||
5,277,752 | ||||||||
�� |
|
| ||||||
Israel – 0.4% | ||||||||
Azrieli Group, Ltd. | 2,906 | 161,363 | ||||||
Bank Hapoalim BM | 57,587 | 388,169 | ||||||
Bank Leumi Le-Israel BM | 78,981 | 383,581 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 135,675 | 224,969 | ||||||
Check Point Software Technologies, Ltd.(b) | 7,210 | 786,467 | ||||||
Elbit Systems, Ltd. | 1,528 | 188,413 | ||||||
Frutarom Industries, Ltd. | 2,616 | 182,559 | ||||||
Israel Chemicals, Ltd. | 35,345 | 166,666 | ||||||
Mizrahi Tefahot Bank, Ltd. | 9,263 | 168,356 | ||||||
Mobileye NV(b) | 11,447 | 718,872 | ||||||
Nice, Ltd. | 3,808 | 299,902 | ||||||
Taro Pharmaceutical Industries, Ltd.(b) | 281 | 31,489 | ||||||
Teva Pharmaceutical Industries, Ltd. | 26,075 | 859,384 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 32,053 | 1,064,801 | ||||||
|
| |||||||
5,624,991 | ||||||||
|
|
See accompanying notes to financial statements.
58
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Italy – 1.4% | ||||||||
Assicurazioni Generali SpA | 81,949 | $ | 1,346,858 | |||||
Atlantia SpA | 30,323 | 852,172 | ||||||
Enel SpA | 526,039 | 2,816,277 | ||||||
Eni SpA | 164,838 | 2,474,159 | ||||||
Ferrari NV | 8,270 | 708,841 | ||||||
Intesa Sanpaolo SpA(c) | 821,720 | 2,601,703 | ||||||
Intesa Sanpaolo SpA(c) | 72,222 | 213,840 | ||||||
Leonardo SpA | 28,056 | 465,589 | ||||||
Luxottica Group SpA | 11,461 | 662,089 | ||||||
Mediobanca SpA | 31,711 | 312,491 | ||||||
Poste Italiane SpA(d) | 34,001 | 232,485 | ||||||
Prysmian SpA | 14,439 | 424,061 | ||||||
Recordati SpA | 5,984 | 242,426 | ||||||
Saipem SpA(a)(b) | 48,862 | 180,229 | ||||||
Snam SpA | 153,615 | 668,585 | ||||||
Telecom Italia RSP/Milano | 376,441 | 276,931 | ||||||
Telecom Italia SpA/Milano(b) | 768,458 | 708,183 | ||||||
Terna Rete Elettrica Nazionale SpA | 96,677 | 521,112 | ||||||
UniCredit SpA(b) | 129,739 | 2,419,372 | ||||||
UnipolSai Assicurazioni SpA | 47,138 | 102,742 | ||||||
|
| |||||||
18,230,145 | ||||||||
|
| |||||||
Japan – 16.1% | ||||||||
ABC-Mart, Inc. | 1,500 | 88,243 | ||||||
Acom Co., Ltd.(b) | 18,400 | 84,009 | ||||||
Aeon Co., Ltd. | 41,400 | 628,959 | ||||||
AEON Financial Service Co., Ltd. | 4,900 | 103,704 | ||||||
Aeon Mall Co., Ltd. | 8,700 | 171,274 | ||||||
Air Water, Inc. | 11,600 | 213,087 | ||||||
Aisin Seiki Co., Ltd. | 10,000 | 511,748 | ||||||
Ajinomoto Co., Inc. | 36,400 | 786,086 | ||||||
Alfresa Holdings Corp. | 12,300 | 237,221 | ||||||
Alps Electric Co., Ltd. | 14,000 | 403,702 | ||||||
Amada Holdings Co., Ltd. | 21,700 | 250,682 | ||||||
ANA Holdings, Inc. | 77,000 | 267,540 | ||||||
Aozora Bank, Ltd. | 74,000 | 281,880 | ||||||
Asahi Glass Co., Ltd. | 10,800 | 454,646 | ||||||
Asahi Group Holdings, Ltd. | 25,700 | 967,067 | ||||||
Asahi Kasei Corp. | 84,000 | 902,723 | ||||||
Asics Corp. | 12,400 | 229,769 | ||||||
Astellas Pharma, Inc. | 140,600 | 1,719,960 | ||||||
Bandai Namco Holdings, Inc. | 11,000 | 374,955 | ||||||
Bank of Kyoto, Ltd. | 22,000 | 207,547 | ||||||
Benesse Holdings, Inc. | 3,000 | 113,208 | ||||||
Bridgestone Corp. | 42,400 | 1,826,415 | ||||||
Brother Industries, Ltd. | 13,500 | 311,548 | ||||||
Calbee, Inc. | 6,100 | 239,689 | ||||||
Canon, Inc. | 69,200 | 2,350,189 | ||||||
Casio Computer Co., Ltd. | 8,700 | 133,721 | ||||||
Central Japan Railway Co. | 9,400 | 1,531,808 | ||||||
Chiba Bank, Ltd. | 40,000 | 289,783 | ||||||
Chubu Electric Power Co., Inc. | 44,000 | 584,461 | ||||||
Chugai Pharmaceutical Co., Ltd. | 15,300 | 572,593 | ||||||
Chugoku Bank, Ltd. | 6,900 | 103,168 | ||||||
Chugoku Electric Power Co., Inc. | 17,800 | 196,282 | ||||||
Coca-Cola Bottlers Japan, Inc. | 9,200 | 266,109 | ||||||
Concordia Financial Group, Ltd. | 86,500 | 436,195 | ||||||
Credit Saison Co., Ltd. | 12,000 | 234,318 | ||||||
CYBERDYNE, Inc.(a)(b) | 5,300 | 70,519 | ||||||
Dai Nippon Printing Co., Ltd. | 29,000 | 322,108 | ||||||
Dai-ichi Life Holdings, Inc. | 71,000 | 1,280,540 | ||||||
Daicel Corp. | 16,900 | 210,122 | ||||||
Daiichi Sankyo Co., Ltd. | 37,900 | 892,856 | ||||||
Daikin Industries, Ltd. | 16,300 | 1,663,946 | ||||||
Daito Trust Construction Co., Ltd. | 4,700 | 731,813 | ||||||
Daiwa House Industry Co., Ltd. | 37,300 | 1,274,096 | ||||||
Daiwa House REIT Investment Corp. | 87 | 206,660 | ||||||
Daiwa Securities Group, Inc. | 112,000 | 663,667 | ||||||
DeNA Co., Ltd. | 7,100 | 158,985 | ||||||
Denso Corp. | 31,300 | 1,320,974 | ||||||
Dentsu, Inc. | 14,600 | 697,775 | ||||||
Disco Corp. | 1,600 | 255,180 | ||||||
Don Quijote Holdings Co., Ltd. | 7,400 | 280,562 | ||||||
East Japan Railway Co. | 21,500 | 2,056,048 | ||||||
Eisai Co., Ltd. | 17,700 | 977,470 | ||||||
Electric Power Development Co., Ltd. | 9,100 | 224,989 | ||||||
FamilyMart UNY Holdings Co., Ltd. | 4,500 | 257,520 | ||||||
FANUC Corp. | 12,600 | 2,428,382 | ||||||
Fast Retailing Co., Ltd. | 3,500 | 1,165,628 | ||||||
Fuji Electric Co., Ltd. | 43,000 | 226,557 | ||||||
FUJIFILM Holdings Corp. | 27,300 | 981,595 | ||||||
Fujitsu, Ltd. | 131,000 | 965,128 | ||||||
Fukuoka Financial Group, Inc. | 52,000 | 247,134 | ||||||
Hachijuni Bank, Ltd. | 16,800 | 106,607 | ||||||
Hakuhodo DY Holdings, Inc. | 17,800 | 236,203 | ||||||
Hamamatsu Photonics KK | 9,000 | 276,344 | ||||||
Hankyu Hanshin Holdings, Inc. | 16,500 | 593,272 | ||||||
Hikari Tsushin, Inc. | 1,000 | 105,198 | ||||||
Hino Motors, Ltd. | 19,900 | 220,855 | ||||||
Hirose Electric Co., Ltd. | 2,000 | 285,155 | ||||||
Hiroshima Bank, Ltd. | 21,000 | 93,076 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 4,000 | 191,527 | ||||||
Hitachi Chemical Co., Ltd. | 7,900 | 235,538 | ||||||
Hitachi Construction Machinery Co., Ltd. | 4,400 | 109,922 | ||||||
Hitachi High-Technologies Corp. | 5,400 | 209,541 | ||||||
Hitachi Metals, Ltd. | 16,600 | 230,769 | ||||||
Hitachi, Ltd. | 315,000 | 1,932,725 | ||||||
Honda Motor Co., Ltd. | 111,200 | 3,032,367 | ||||||
Hoshizaki Corp. | 3,000 | 271,271 | ||||||
Hoya Corp. | 25,600 | 1,328,985 | ||||||
Hulic Co., Ltd. | 22,800 | 232,748 | ||||||
Idemitsu Kosan Co., Ltd. | 3,700 | 105,046 | ||||||
IHI Corp.(b) | 86,000 | 292,382 | ||||||
Iida Group Holdings Co., Ltd. | 5,700 | 94,915 | ||||||
Inpex Corp. | 64,600 | 621,508 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 19,600 | 196,419 |
See accompanying notes to financial statements.
59
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Isuzu Motors, Ltd. | 31,300 | $ | 386,096 | |||||
ITOCHU Corp. | 98,100 | 1,457,181 | ||||||
J Front Retailing Co., Ltd. | 15,100 | 231,687 | ||||||
Japan Airlines Co., Ltd. | 7,500 | 231,889 | ||||||
Japan Airport Terminal Co., Ltd. | 2,000 | 76,451 | ||||||
Japan Exchange Group, Inc. | 35,400 | 641,145 | ||||||
Japan Post Bank Co., Ltd. | 22,600 | 289,238 | ||||||
Japan Post Holdings Co., Ltd. | 24,600 | 305,201 | ||||||
Japan Prime Realty Investment Corp. REIT | 53 | 183,726 | ||||||
Japan Real Estate Investment Corp. REIT | 70 | 348,256 | ||||||
Japan Retail Fund Investment Corp. REIT | 141 | 260,391 | ||||||
Japan Tobacco, Inc. | 71,300 | 2,504,638 | ||||||
JFE Holdings, Inc. | 35,600 | 617,994 | ||||||
JGC Corp. | 12,100 | 196,210 | ||||||
JSR Corp. | 14,500 | 249,969 | ||||||
JTEKT Corp. | 14,200 | 207,515 | ||||||
JXTG Holdings, Inc. | 205,400 | 897,025 | ||||||
Kajima Corp. | 62,000 | 523,104 | ||||||
Kakaku.com, Inc. | 5,100 | 73,214 | ||||||
Kamigumi Co., Ltd. | 10,000 | 104,842 | ||||||
Kaneka Corp. | 11,000 | 83,802 | ||||||
Kansai Electric Power Co., Inc. | 47,600 | 655,368 | ||||||
Kansai Paint Co., Ltd. | 12,700 | 292,181 | ||||||
Kao Corp. | 32,200 | 1,912,054 | ||||||
Kawasaki Heavy Industries, Ltd. | 90,000 | 265,931 | ||||||
KDDI Corp. | 118,500 | 3,137,571 | ||||||
Keihan Holdings Co., Ltd. | 35,000 | 222,410 | ||||||
Keikyu Corp. | 26,000 | 313,083 | ||||||
Keio Corp. | 32,000 | 267,711 | ||||||
Keisei Electric Railway Co., Ltd. | 9,100 | 242,969 | ||||||
Keyence Corp. | 6,300 | 2,766,483 | ||||||
Kikkoman Corp. | 9,100 | 290,753 | ||||||
Kintetsu Group Holdings Co., Ltd. | 125,000 | 481,711 | ||||||
Kirin Holdings Co., Ltd. | 57,300 | 1,167,317 | ||||||
Kobe Steel, Ltd.(b) | 23,600 | 242,385 | ||||||
Koito Manufacturing Co., Ltd. | 6,100 | 313,795 | ||||||
Komatsu, Ltd. | 60,500 | 1,536,999 | ||||||
Konami Holdings Corp. | 6,000 | 333,215 | ||||||
Konica Minolta, Inc. | 28,800 | 238,889 | ||||||
Kose Corp. | 2,300 | 251,166 | ||||||
Kubota Corp. | 69,600 | 1,169,188 | ||||||
Kuraray Co., Ltd. | 19,500 | 353,693 | ||||||
Kurita Water Industries, Ltd. | 4,100 | 111,659 | ||||||
Kyocera Corp. | 21,100 | 1,221,757 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 15,300 | 284,186 | ||||||
Kyushu Electric Power Co., Inc. | 24,900 | 302,275 | ||||||
Kyushu Financial Group, Inc. | 14,200 | 89,603 | ||||||
Kyushu Railway Co. | 9,000 | 291,963 | ||||||
Lawson, Inc. | 3,700 | 258,829 | ||||||
LINE Corp.(a)(b) | 2,000 | 68,975 | ||||||
Lion Corp. | 14,000 | 289,818 | ||||||
LIXIL Group Corp. | 14,400 | 360,000 | ||||||
M3, Inc. | 14,800 | 407,672 | ||||||
Mabuchi Motor Co., Ltd. | 1,900 | 94,527 | ||||||
Makita Corp. | 15,300 | 565,784 | ||||||
Marubeni Corp. | 111,300 | 718,953 | ||||||
Marui Group Co., Ltd. | 15,200 | 224,023 | ||||||
Maruichi Steel Tube, Ltd. | 2,600 | 75,552 | ||||||
Mazda Motor Corp. | 39,100 | 545,646 | ||||||
McDonald’s Holdings Co., Japan, Ltd. | 5,000 | 191,794 | ||||||
Mebuki Financial Group, Inc. | 66,600 | 247,764 | ||||||
Medipal Holdings Corp. | 13,000 | 240,424 | ||||||
MEIJI Holdings Co., Ltd. | 8,300 | 672,953 | ||||||
MINEBEA MITSUMI, Inc. | 21,900 | 351,811 | ||||||
Miraca Holdings, Inc. | 2,200 | 98,879 | ||||||
MISUMI Group, Inc. | 15,500 | 353,978 | ||||||
Mitsubishi Chemical Holdings Corp. | 96,000 | 794,674 | ||||||
Mitsubishi Corp. | 98,200 | 2,059,089 | ||||||
Mitsubishi Electric Corp. | 126,000 | 1,811,614 | ||||||
Mitsubishi Estate Co., Ltd. | 81,900 | 1,525,967 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 13,400 | 283,241 | ||||||
Mitsubishi Heavy Industries, Ltd. | 214,000 | 875,732 | ||||||
Mitsubishi Materials Corp. | 8,400 | 254,183 | ||||||
Mitsubishi Motors Corp. | 41,800 | 275,294 | ||||||
Mitsubishi Tanabe Pharma Corp. | 13,000 | 300,356 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 774,400 | 5,202,182 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 19,000 | 103,827 | ||||||
Mitsui & Co., Ltd. | 111,600 | 1,594,640 | ||||||
Mitsui Chemicals, Inc. | 57,000 | 301,842 | ||||||
Mitsui Fudosan Co., Ltd. | 58,600 | 1,397,982 | ||||||
Mitsui OSK Lines, Ltd. | 86,000 | 252,581 | ||||||
Mixi, Inc. | 2,100 | 116,812 | ||||||
Mizuho Financial Group, Inc. | 1,560,200 | 2,852,128 | ||||||
MS&AD Insurance Group Holdings, Inc. | 31,400 | 1,054,678 | ||||||
Murata Manufacturing Co., Ltd. | 12,500 | 1,899,030 | ||||||
Nabtesco Corp.(a) | 8,500 | 246,996 | ||||||
Nagoya Railroad Co., Ltd. | 52,000 | 242,506 | ||||||
NEC Corp. | 181,000 | 480,046 | ||||||
Nexon Co., Ltd.(b) | 13,100 | 258,829 | ||||||
NGK Insulators, Ltd. | 14,500 | 288,942 | ||||||
NGK Spark Plug Co., Ltd. | 11,400 | 242,387 | ||||||
NH Foods, Ltd. | 10,000 | 303,934 | ||||||
Nidec Corp. | 15,600 | 1,598,042 | ||||||
Nikon Corp. | 18,800 | 300,506 | ||||||
Nintendo Co., Ltd. | 7,300 | 2,448,060 | ||||||
Nippon Building Fund, Inc. REIT(a) | 74 | 378,035 | ||||||
Nippon Electric Glass Co., Ltd. | 3,400 | 123,612 | ||||||
Nippon Express Co., Ltd. | 52,000 | 325,347 | ||||||
Nippon Paint Holdings Co., Ltd. | 9,200 | 347,989 | ||||||
Nippon Prologis REIT, Inc. | 106 | 225,849 |
See accompanying notes to financial statements.
60
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 50,200 | $ | 1,133,923 | |||||
Nippon Telegraph & Telephone Corp. | 44,900 | 2,121,921 | ||||||
Nippon Yusen KK(b) | 124,000 | 230,651 | ||||||
Nissan Chemical Industries, Ltd. | 7,000 | 231,132 | ||||||
Nissan Motor Co., Ltd. | 152,000 | 1,512,424 | ||||||
Nisshin Seifun Group, Inc. | 13,600 | 223,318 | ||||||
Nissin Foods Holdings Co., Ltd. | 3,900 | 243,663 | ||||||
Nitori Holdings Co., Ltd. | 5,400 | 722,820 | ||||||
Nitto Denko Corp. | 11,000 | 904,592 | ||||||
NOK Corp. | 4,000 | 84,514 | ||||||
Nomura Holdings, Inc. | 238,100 | 1,426,989 | ||||||
Nomura Real Estate Holdings, Inc. | 5,200 | 102,001 | ||||||
Nomura Real Estate Master Fund, Inc. | 216 | 295,472 | ||||||
Nomura Research Institute, Ltd. | 7,600 | 299,306 | ||||||
NSK, Ltd. | 24,400 | 304,674 | ||||||
NTT Data Corp. | 43,600 | 485,048 | ||||||
NTT DOCOMO, Inc. | 90,000 | 2,124,243 | ||||||
Obayashi Corp. | 44,700 | 525,531 | ||||||
Obic Co., Ltd. | 4,200 | 257,921 | ||||||
Odakyu Electric Railway Co., Ltd. | 16,000 | 322,677 | ||||||
Oji Holdings Corp. | 53,000 | 273,585 | ||||||
Olympus Corp. | 19,600 | 715,201 | ||||||
Omron Corp. | 13,200 | 572,713 | ||||||
Ono Pharmaceutical Co., Ltd. | 28,000 | 610,787 | ||||||
Oracle Corp. Japan | 1,600 | 103,809 | ||||||
Oriental Land Co., Ltd. | 14,500 | 981,808 | ||||||
ORIX Corp. | 86,900 | 1,345,728 | ||||||
Osaka Gas Co., Ltd. | 129,000 | 527,550 | ||||||
Otsuka Corp. | 3,900 | 241,928 | ||||||
Otsuka Holdings Co., Ltd. | 25,800 | 1,099,875 | ||||||
Panasonic Corp. | 143,600 | 1,947,725 | ||||||
Park24 Co., Ltd. | 7,900 | 200,805 | ||||||
Pola Orbis Holdings, Inc. | 4,000 | 105,447 | ||||||
Rakuten, Inc. | 62,600 | 736,536 | ||||||
Recruit Holdings Co., Ltd. | 72,500 | 1,245,973 | ||||||
Resona Holdings, Inc. | 148,000 | 814,685 | ||||||
Ricoh Co., Ltd. | 49,600 | 437,907 | ||||||
Rinnai Corp. | 2,300 | 214,320 | ||||||
Rohm Co., Ltd. | 6,500 | 499,243 | ||||||
Ryohin Keikaku Co., Ltd. | 1,400 | 349,751 | ||||||
Sankyo Co., Ltd. | 3,800 | 128,854 | ||||||
Santen Pharmaceutical Co., Ltd. | 21,100 | 286,191 | ||||||
SBI Holdings, Inc. | 8,500 | 115,139 | ||||||
Secom Co., Ltd. | 13,900 | 1,054,624 | ||||||
Sega Sammy Holdings, Inc. | 7,300 | 98,234 | ||||||
Seibu Holdings, Inc. | 12,700 | 234,762 | ||||||
Seiko Epson Corp. | 15,100 | 335,839 | ||||||
Sekisui Chemical Co., Ltd. | 28,200 | 504,719 | ||||||
Sekisui House, Ltd. | 40,700 | 717,031 | ||||||
Seven & i Holdings Co., Ltd. | 49,000 | 2,018,263 | ||||||
Seven Bank, Ltd. | 42,900 | 153,487 | ||||||
Sharp Corp.(a)(b) | 88,000 | 326,593 | ||||||
Shimadzu Corp. | 15,100 | 287,325 | ||||||
Shimamura Co., Ltd. | 1,700 | 208,188 | ||||||
Shimano, Inc. | 5,000 | 791,207 | ||||||
Shimizu Corp. | 31,000 | 328,596 | ||||||
Shin-Etsu Chemical Co., Ltd. | 25,200 | 2,284,283 | ||||||
Shinsei Bank, Ltd. | 66,000 | 115,130 | ||||||
Shionogi & Co., Ltd. | 19,600 | 1,091,816 | ||||||
Shiseido Co., Ltd. | 25,300 | 899,325 | ||||||
Shizuoka Bank, Ltd. | 33,000 | 298,104 | ||||||
Showa Shell Sekiyu KK | 8,600 | 79,754 | ||||||
SMC Corp. | 3,800 | 1,154,948 | ||||||
SoftBank Group Corp. | 53,200 | 4,307,230 | ||||||
Sohgo Security Services Co., Ltd. | 4,800 | 216,162 | ||||||
Sompo Holdings, Inc. | 23,500 | 907,498 | ||||||
Sony Corp. | 81,600 | 3,112,652 | ||||||
Sony Financial Holdings, Inc. | 13,400 | 228,263 | ||||||
Stanley Electric Co., Ltd. | 9,500 | 286,623 | ||||||
Start Today Co., Ltd. | 11,300 | 278,075 | ||||||
Subaru Corp. | 40,400 | 1,361,289 | ||||||
Sumitomo Chemical Co., Ltd. | 107,000 | 615,183 | ||||||
Sumitomo Corp. | 78,700 | 1,024,025 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 5,700 | 77,769 | ||||||
Sumitomo Electric Industries, Ltd. | 50,600 | 779,085 | ||||||
Sumitomo Heavy Industries, Ltd. | 39,000 | 257,200 | ||||||
Sumitomo Metal Mining Co., Ltd. | 27,000 | 360,569 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 86,700 | 3,378,954 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 22,300 | 797,648 | ||||||
Sumitomo Realty & Development Co., Ltd. | 24,000 | 740,121 | ||||||
Sumitomo Rubber Industries, Ltd.(a) | 14,000 | 236,241 | ||||||
Sundrug Co., Ltd. | 5,700 | 212,558 | ||||||
Suntory Beverage & Food, Ltd. | 7,600 | 353,079 | ||||||
Suruga Bank, Ltd. | 11,300 | 273,750 | ||||||
Suzuken Co., Ltd. | 2,900 | 96,271 | ||||||
Suzuki Motor Corp. | 22,700 | 1,076,816 | ||||||
Sysmex Corp. | 10,600 | 633,019 | ||||||
T&D Holdings, Inc. | 30,400 | 462,520 | ||||||
Taiheiyo Cement Corp. | 76,000 | 276,646 | ||||||
Taisei Corp. | 70,000 | 639,195 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 1,200 | 91,314 | ||||||
Taiyo Nippon Sanso Corp. | 9,900 | 111,106 | ||||||
Takashimaya Co., Ltd. | 23,000 | 218,823 | ||||||
Takeda Pharmaceutical Co., Ltd. | 46,100 | 2,342,336 | ||||||
TDK Corp. | 8,800 | 578,782 | ||||||
Teijin, Ltd. | 12,200 | 234,640 | ||||||
Terumo Corp. | 21,600 | 850,659 | ||||||
THK Co., Ltd. | 9,000 | 254,717 | ||||||
Tobu Railway Co., Ltd. | 54,000 | 294,607 | ||||||
Toho Co., Ltd. | 7,500 | 230,954 | ||||||
Toho Gas Co., Ltd. | 29,000 | 211,125 |
See accompanying notes to financial statements.
61
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Tohoku Electric Power Co., Inc. | 24,700 | $ | 341,834 | |||||
Tokio Marine Holdings, Inc. | 44,400 | 1,837,882 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(b) | 78,400 | 323,062 | ||||||
Tokyo Electron, Ltd. | 10,300 | 1,389,712 | ||||||
Tokyo Gas Co., Ltd. | 132,000 | 686,433 | ||||||
Tokyo Tatemono Co., Ltd. | 8,100 | 106,116 | ||||||
Tokyu Corp. | 73,000 | 556,791 | ||||||
Tokyu Fudosan Holdings Corp. | 35,300 | 208,608 | ||||||
Toppan Printing Co., Ltd. | 29,000 | 317,978 | ||||||
Toray Industries, Inc. | 98,200 | 821,800 | ||||||
Toshiba Corp.(a)(b) | 272,000 | 657,971 | ||||||
Tosoh Corp. | 33,000 | 338,047 | ||||||
TOTO, Ltd. | 7,700 | 293,993 | ||||||
Toyo Seikan Group Holdings, Ltd. | 12,700 | 214,304 | ||||||
Toyo Suisan Kaisha, Ltd. | 5,900 | 226,055 | ||||||
Toyoda Gosei Co., Ltd. | 5,300 | 126,368 | ||||||
Toyota Industries Corp. | 11,100 | 583,847 | ||||||
Toyota Motor Corp. | 167,300 | 8,774,465 | ||||||
Toyota Tsusho Corp. | 11,600 | 347,401 | ||||||
Trend Micro, Inc. | 6,500 | 334,950 | ||||||
Tsuruha Holdings, Inc. | 2,400 | 254,824 | ||||||
Unicharm Corp. | 27,200 | 683,147 | ||||||
United Urban Investment Corp. REIT | 167 | 238,550 | ||||||
USS Co., Ltd. | 14,000 | 278,231 | ||||||
West Japan Railway Co. | 11,000 | 776,931 | ||||||
Yahoo! Japan Corp. | 78,200 | 340,333 | ||||||
Yakult Honsha Co., Ltd. | 5,100 | 347,232 | ||||||
Yamada Denki Co., Ltd.(a) | 47,700 | 236,887 | ||||||
Yamaguchi Financial Group, Inc. | 8,000 | 96,618 | ||||||
Yamaha Corp. | 9,300 | 321,146 | ||||||
Yamaha Motor Co., Ltd. | 19,300 | 497,787 | ||||||
Yamato Holdings Co., Ltd. | 24,200 | 490,741 | ||||||
Yamazaki Baking Co., Ltd. | 10,300 | 205,248 | ||||||
Yaskawa Electric Corp. | 14,600 | 309,386 | ||||||
Yokogawa Electric Corp. | 14,900 | 238,830 | ||||||
Yokohama Rubber Co., Ltd. | 4,700 | 94,326 | ||||||
|
| |||||||
206,193,065 | ||||||||
|
| |||||||
Jordan – 0.0%(f) | ||||||||
Hikma Pharmaceuticals PLC | 9,412 | 179,718 | ||||||
|
| |||||||
Luxembourg – 0.2% | ||||||||
ArcelorMittal(b) | 44,721 | 1,012,990 | ||||||
Eurofins Scientific SE | 616 | 346,477 | ||||||
Millicom International Cellular SA SDR | 4,271 | 251,969 | ||||||
RTL Group SA(b) | 2,437 | 183,754 | ||||||
SES SA | 24,802 | 580,609 | ||||||
Tenaris SA | 32,627 | 507,954 | ||||||
|
| |||||||
2,883,753 | ||||||||
|
| |||||||
Macau – 0.0%(f) | ||||||||
MGM China Holdings, Ltd. | 43,200 | 96,068 | ||||||
Wynn Macau, Ltd. | 116,000 | 271,038 | ||||||
|
| |||||||
367,106 | ||||||||
|
| |||||||
Malaysia – 0.5% | ||||||||
AirAsia Bhd | 140,400 | 106,298 | ||||||
Alliance Financial Group Bhd | 9,200 | 8,251 | ||||||
AMMB Holdings Bhd | 132,400 | 150,516 | ||||||
Astro Malaysia Holdings Bhd | 13,200 | 7,780 | ||||||
Axiata Group Bhd | 180,119 | 202,666 | ||||||
Berjaya Sports Toto Bhd | 2,500 | 1,473 | ||||||
British American Tobacco Malaysia Bhd | 2,800 | 28,322 | ||||||
CIMB Group Holdings Bhd | 196,904 | 301,825 | ||||||
Dialog Group Bhd | 282,300 | 126,266 | ||||||
DiGi.Com Bhd | 221,300 | 257,766 | ||||||
Felda Global Ventures Holdings Bhd | 4,700 | 1,872 | ||||||
Gamuda Bhd | 128,616 | 164,791 | ||||||
Genting Bhd | 128,100 | 280,811 | ||||||
Genting Malaysia Bhd | 188,600 | 241,646 | ||||||
Genting Plantations Bhd | 900 | 2,315 | ||||||
HAP Seng Consolidated Bhd | 9,700 | 20,857 | ||||||
Hartalega Holdings Bhd | 2,400 | 4,126 | ||||||
Hong Leong Bank Bhd | 49,032 | 178,873 | ||||||
Hong Leong Financial Group Bhd | 4,800 | 18,786 | ||||||
IHH Healthcare Bhd | 185,200 | 248,075 | ||||||
IJM Corp. Bhd | 126,600 | 102,043 | ||||||
IOI Corp. Bhd | 149,800 | 155,291 | ||||||
IOI Properties Group Bhd | 38,750 | 19,860 | ||||||
Kuala Lumpur Kepong Bhd | 18,300 | 106,066 | ||||||
Lafarge Malaysia Bhd | 3,500 | 4,525 | ||||||
Malayan Banking Bhd | 194,117 | 435,476 | ||||||
Malaysia Airports Holdings Bhd | 66,124 | 131,858 | ||||||
Maxis Bhd | 73,400 | 94,899 | ||||||
MISC Bhd | 86,500 | 150,324 | ||||||
Petronas Chemicals Group Bhd | 151,900 | 251,241 | ||||||
Petronas Dagangan Bhd | 22,600 | 126,882 | ||||||
Petronas Gas Bhd | 48,700 | 210,336 | ||||||
PPB Group Bhd | 36,900 | 147,509 | ||||||
Public Bank Bhd | 165,200 | 782,003 | ||||||
RHB Capital Bhd | 9,259 | 10,914 | ||||||
Sapura Energy Bhd | 192,900 | 71,450 | ||||||
Sime Darby Bhd | 142,535 | 315,442 | ||||||
Telekom Malaysia Bhd | 91,003 | 140,978 | ||||||
Tenaga Nasional Bhd | 173,900 | 572,827 | ||||||
UMW Holdings Bhd(b) | 4,900 | 6,815 | ||||||
Westports Holdings Bhd | 8,800 | 7,462 | ||||||
YTL Corp. Bhd | 80,400 | 27,345 | ||||||
YTL Power International Bhd | 7,400 | 2,500 | ||||||
|
| |||||||
6,227,361 | ||||||||
|
| |||||||
Mexico – 0.8% | ||||||||
Alfa SAB de CV Class A | 167,200 | 237,871 | ||||||
America Movil SAB de CV Series L | 2,180,600 | 1,754,142 | ||||||
Arca Continental SAB de CV | 16,700 | 125,971 | ||||||
Cemex SAB de CV Series CPO(b) | 970,064 | 915,410 | ||||||
Coca-Cola Femsa SAB de CV Series L | 32,200 | 273,793 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 3,000 | 23,753 |
See accompanying notes to financial statements.
62
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Mexico – (continued) | ||||||||
Fibra Uno Administracion SA de CV REIT | 151,800 | $ | 288,005 | |||||
Fomento Economico Mexicano SAB de CV | 128,100 | 1,264,952 | ||||||
Fresnillo PLC | 13,020 | 251,317 | ||||||
Gentera SAB de CV | 17,100 | 25,735 | ||||||
Gruma SAB de CV Class B | 14,700 | 192,305 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 23,300 | 263,255 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 13,750 | 290,828 | ||||||
Grupo Bimbo SAB de CV Series A | 97,500 | 246,393 | ||||||
Grupo Carso SAB de CV Series A1 | 23,000 | 97,440 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 165,300 | 1,051,633 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 147,800 | 252,897 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 69,000 | 133,885 | ||||||
Grupo Lala SAB de CV | 5,300 | 9,742 | ||||||
Grupo Mexico SAB de CV Series B | 196,000 | 552,164 | ||||||
Grupo Televisa SAB Series CPO | 163,600 | 800,385 | ||||||
Industrias Penoles SAB de CV | 9,730 | 220,670 | ||||||
Infraestructura Energetica Nova SAB de CV | 22,700 | 121,315 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 103,300 | 219,216 | ||||||
Mexichem SAB de CV | 43,357 | 116,443 | ||||||
OHL Mexico SAB de CV | 6,700 | 9,691 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 18,200 | 218,001 | ||||||
Wal-Mart de Mexico SAB de CV | 271,700 | 631,674 | ||||||
|
| |||||||
10,588,886 | ||||||||
|
| |||||||
Netherlands – 3.1% | ||||||||
ABN AMRO Group NV(d) | 25,454 | 673,823 | ||||||
Aegon NV | 120,219 | 613,045 | ||||||
AerCap Holdings NV(b) | 8,523 | 395,723 | ||||||
Akzo Nobel NV | 16,528 | 1,434,373 | ||||||
Altice NV Class A(b) | 26,397 | 608,163 | ||||||
Altice NV Class B(b) | 4,735 | 109,117 | ||||||
ASML Holding NV | 24,112 | 3,137,857 | ||||||
Boskalis Westminster | 6,961 | 225,756 | ||||||
EXOR NV | 7,596 | 410,569 | ||||||
Gemalto NV | 4,546 | 272,469 | ||||||
Heineken Holding NV | 6,844 | 626,425 | ||||||
Heineken NV | 15,095 | 1,465,649 | ||||||
ING Groep NV | 249,757 | 4,301,391 | ||||||
Koninklijke Ahold Delhaize NV | 83,736 | 1,598,755 | ||||||
Koninklijke DSM NV | 12,093 | 877,766 | ||||||
Koninklijke KPN NV | 229,824 | 734,214 | ||||||
Koninklijke Philips NV | 60,382 | 2,141,472 | ||||||
Koninklijke Vopak NV | 4,863 | 225,188 | ||||||
NN Group NV | 20,340 | 721,946 | ||||||
NXP Semiconductors NV(b) | 22,454 | 2,457,590 | ||||||
Randstad Holding NV | 8,264 | 481,832 | ||||||
Royal Dutch Shell PLC Class A | 284,107 | 7,509,976 | ||||||
Royal Dutch Shell PLC Class B | 240,459 | 6,442,096 | ||||||
Steinhoff International Holdings NV | 197,420 | 1,010,266 | ||||||
Wolters Kluwer NV | 20,150 | 851,831 | ||||||
|
| |||||||
39,327,292 | ||||||||
|
| |||||||
New Zealand – 0.1% | ||||||||
Auckland International Airport, Ltd. | 51,728 | 270,050 | ||||||
Contact Energy, Ltd. | 26,423 | 100,797 | ||||||
Fletcher Building, Ltd. | 38,341 | 224,306 | ||||||
Mercury NZ, Ltd. | 58,363 | 141,875 | ||||||
Meridian Energy, Ltd. | 54,880 | 116,933 | ||||||
Ryman Healthcare, Ltd. | 15,168 | 92,069 | ||||||
Spark New Zealand, Ltd. | 103,936 | 287,665 | ||||||
|
| |||||||
1,233,695 | ||||||||
|
| |||||||
Norway – 0.4% | ||||||||
DNB ASA | 64,656 | 1,096,041 | ||||||
Gjensidige Forsikring ASA | 15,042 | 255,888 | ||||||
Marine Harvest ASA(b) | 26,793 | 457,070 | ||||||
Norsk Hydro ASA | 92,762 | 512,499 | ||||||
Orkla ASA | 55,826 | 565,481 | ||||||
Schibsted ASA Class A | 3,525 | 84,836 | ||||||
Schibsted ASA Class B | 3,222 | 70,966 | ||||||
Statoil ASA | 74,582 | 1,232,253 | ||||||
Telenor ASA | 50,215 | 830,258 | ||||||
Yara International ASA | 12,393 | 463,962 | ||||||
|
| |||||||
5,569,254 | ||||||||
|
| |||||||
Pakistan – 0.0%(f) | ||||||||
Habib Bank, Ltd. | 53,000 | 136,065 | ||||||
|
| |||||||
Peru – 0.1% | ||||||||
Cia de Minas Buenaventura SAA ADR | 12,300 | 141,450 | ||||||
Credicorp, Ltd. | 3,500 | 627,865 | ||||||
Southern Copper Corp. | 3,500 | 121,205 | ||||||
|
| |||||||
890,520 | ||||||||
|
| |||||||
Philippines – 0.2% | ||||||||
Aboitiz Equity Ventures, Inc. | 73,760 | 111,312 | ||||||
Aboitiz Power Corp. | 12,500 | 9,636 | ||||||
Alliance Global Group, Inc. | 29,200 | 8,275 | ||||||
Ayala Corp. | 14,580 | 245,601 | ||||||
Ayala Land, Inc. | 410,500 | 323,373 | ||||||
Bank of the Philippine Islands | 60,060 | 123,786 | ||||||
BDO Unibank, Inc. | 113,683 | 279,364 | ||||||
DMCI Holdings, Inc. | 33,730 | 9,425 | ||||||
Energy Development Corp. | 79,600 | 9,544 | ||||||
Globe Telecom, Inc. | 2,995 | 121,557 | ||||||
GT Capital Holdings, Inc. | 5,280 | 126,611 | ||||||
International Container Terminal Services, Inc. | 4,320 | 8,373 | ||||||
JG Summit Holdings, Inc. | 167,600 | 269,037 | ||||||
Jollibee Foods Corp. | 33,510 | 135,474 | ||||||
Megaworld Corp. | 95,000 | 8,096 |
See accompanying notes to financial statements.
63
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Philippines – (continued) | ||||||||
Metro Pacific Investments Corp. | 974,000 | $ | 123,342 | |||||
Metropolitan Bank & Trust Co. | 14,550 | 25,230 | ||||||
PLDT, Inc. | 6,380 | 227,333 | ||||||
Robinsons Land Corp. | 31,800 | 15,282 | ||||||
Security Bank Corp. | 5,920 | 25,459 | ||||||
SM Investments Corp. | 14,785 | 235,283 | ||||||
SM Prime Holdings, Inc. | 462,500 | 302,467 | ||||||
Universal Robina Corp. | 29,180 | 94,202 | ||||||
|
| |||||||
2,838,062 | ||||||||
|
| |||||||
Poland – 0.2% | ||||||||
Alior Bank SA(b) | 7,214 | 120,126 | ||||||
Bank Handlowy w Warszawie SA | 120 | 2,226 | ||||||
Bank Millennium SA(b) | 5,244 | 10,535 | ||||||
Bank Pekao SA | 8,784 | 295,619 | ||||||
Bank Zachodni WBK SA | 1,284 | 118,521 | ||||||
CCC SA | 2,236 | 135,669 | ||||||
Cyfrowy Polsat SA(b) | 19,389 | 128,988 | ||||||
Eurocash SA | 1,382 | 11,553 | ||||||
Grupa Azoty SA | 626 | 10,686 | ||||||
Grupa Lotos SA(b) | 8,131 | 111,825 | ||||||
KGHM Polska Miedz SA | 5,578 | 166,439 | ||||||
LPP SA | 90 | 173,530 | ||||||
mBank SA(b) | 1,215 | 151,404 | ||||||
Orange Polska SA(b) | 5,574 | 7,711 | ||||||
PGE Polska Grupa Energetyczna SA | 36,848 | 120,332 | ||||||
Polski Koncern Naftowy ORLEN SA | 17,200 | 519,019 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 74,980 | 127,787 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA(b) | 47,152 | 438,168 | ||||||
Powszechny Zaklad Ubezpieczen SA | 29,685 | 356,944 | ||||||
Synthos SA | 1,938 | 2,535 | ||||||
Tauron Polska Energia SA(b) | 21,367 | 20,628 | ||||||
|
| |||||||
3,030,245 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
EDP – Energias de Portugal SA | 123,426 | 403,035 | ||||||
Galp Energia SGPS SA | 26,538 | 401,201 | ||||||
Jeronimo Martins SGPS SA | 14,746 | 287,429 | ||||||
|
| |||||||
1,091,665 | ||||||||
|
| |||||||
Qatar – 0.1% | ||||||||
Barwa Real Estate Co. | 826 | 7,284 | ||||||
Commercial Bank QSC(b) | 16,545 | 137,553 | ||||||
Doha Bank QSC | 1,923 | 16,023 | ||||||
Ezdan Holding Group QSC | 52,409 | 180,262 | ||||||
Industries Qatar QSC | 9,460 | 246,183 | ||||||
Masraf Al Rayan QSC | 21,475 | 231,741 | ||||||
Ooredoo QSC | 5,832 | 146,421 | ||||||
Qatar Electricity & Water Co. QSC | 2,273 | 117,922 | ||||||
Qatar Gas Transport Co., Ltd. | 2,813 | 13,095 | ||||||
Qatar Insurance Co. SAQ | 8,467 | 155,905 | ||||||
Qatar Islamic Bank SAQ | 1,177 | 29,743 | ||||||
Qatar National Bank QPSC | 12,014 | 416,834 | ||||||
|
| |||||||
1,698,966 | ||||||||
|
| |||||||
Romania – 0.0%(f) | ||||||||
New Europe Property Investments PLC | 9,383 | 118,490 | ||||||
|
| |||||||
Russia – 0.7% | ||||||||
Alrosa PJSC(b) | 161,438 | 235,747 | ||||||
Gazprom PAO(b) | 678,420 | 1,360,073 | ||||||
Inter RAO UES PJSC(b) | 2,290,000 | 147,481 | ||||||
LUKOIL PJSC(b) | 26,663 | 1,298,763 | ||||||
LUKOIL PJSC ADR | 420 | 20,454 | ||||||
Magnit PJSC GDR | 15,486 | 526,524 | ||||||
MMC Norilsk Nickel PJSC(b) | 2,871 | 390,817 | ||||||
Mobile TeleSystems PJSC ADR | 26,400 | 221,232 | ||||||
Moscow Exchange MICEX-RTS PJSC(b) | 52,245 | 92,610 | ||||||
Novatek PJSC GDR | 4,638 | 516,673 | ||||||
Novolipetsk Steel PJSC | 90,720 | 176,485 | ||||||
PhosAgro PJSC GDR | 2,025 | 26,831 | ||||||
Rosneft Oil Co. PJSC(b) | 61,450 | 336,080 | ||||||
Rostelecom PJSC | 85,360 | 102,659 | ||||||
Rushhydro PJSC | 8,993,000 | 120,245 | ||||||
Sberbank of Russia PJSC(b) | 687,360 | 1,694,256 | ||||||
Severstal PAO(b) | 8,250 | 107,543 | ||||||
Sistema PJSC FC GDR | 2,473 | 10,337 | ||||||
Surgutneftegas OAO(b) | 267,900 | 116,302 | ||||||
Surgutneftegas OJSC Preference Shares(b) | 446,300 | 215,361 | ||||||
Tatneft PAO(b) | 72,740 | 459,620 | ||||||
Transneft PJSC Preference Shares(b) | 86 | 231,728 | ||||||
VTB Bank PJSC | 280,070,000 | 301,355 | ||||||
|
| |||||||
8,709,176 | ||||||||
|
| |||||||
Singapore – 0.9% | ||||||||
Ascendas REIT | 139,575 | 264,583 | ||||||
CapitaLand Commercial Trust | 164,400 | 198,209 | ||||||
CapitaLand Mall Trust REIT | 161,700 | 231,948 | ||||||
CapitaLand, Ltd. | 178,700 | 454,261 | ||||||
City Developments, Ltd. | 31,000 | 241,588 | ||||||
ComfortDelGro Corp., Ltd. | 128,600 | 214,824 | ||||||
DBS Group Holdings, Ltd. | 116,448 | 1,754,099 | ||||||
Genting Singapore PLC | 352,300 | 277,623 | ||||||
Global Logistic Properties, Ltd. | 188,300 | 391,138 | ||||||
Golden Agri-Resources, Ltd. | 309,500 | 84,296 | ||||||
Hutchison Port Holdings Trust | 421,800 | 181,374 | ||||||
Jardine Cycle & Carriage, Ltd. | 6,211 | 200,064 | ||||||
Keppel Corp., Ltd. | 101,200 | 462,322 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 205,650 | 1,611,623 | ||||||
SATS, Ltd. | 53,300 | 197,816 | ||||||
Sembcorp Industries, Ltd. | 66,700 | 149,207 | ||||||
Singapore Airlines, Ltd. | 34,400 | 252,844 | ||||||
Singapore Exchange, Ltd. | 47,300 | 252,157 | ||||||
Singapore Press Holdings, Ltd. | 95,500 | 224,037 | ||||||
Singapore Technologies Engineering, Ltd. | 98,400 | 263,000 |
See accompanying notes to financial statements.
64
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Singapore – (continued) | ||||||||
Singapore Telecommunications, Ltd. | 534,900 | $ | 1,511,247 | |||||
StarHub, Ltd.(a) | 57,700 | 113,988 | ||||||
Suntec Real Estate Investment Trust | 182,700 | 248,138 | ||||||
United Overseas Bank, Ltd. | 86,393 | 1,450,707 | ||||||
UOL Group, Ltd. | 37,533 | 208,267 | ||||||
Wilmar International, Ltd. | 107,500 | 261,557 | ||||||
|
| |||||||
11,700,917 | ||||||||
|
| |||||||
South Africa – 1.5% | ||||||||
Anglo American Platinum, Ltd.(b) | 458 | 10,478 | ||||||
AngloGold Ashanti, Ltd. | 23,021 | 224,895 | ||||||
Aspen Pharmacare Holdings, Ltd. | 26,493 | 580,511 | ||||||
Barclays Africa Group, Ltd. | 57,833 | 634,497 | ||||||
Bid Corp., Ltd. | 18,173 | 415,014 | ||||||
Bidvest Group, Ltd. | 20,421 | 245,598 | ||||||
Brait SE(b) | 12,378 | 57,174 | ||||||
Capitec Bank Holdings, Ltd. | 2,901 | 183,769 | ||||||
Coronation Fund Managers, Ltd. | 1,931 | 9,607 | ||||||
Discovery, Ltd. | 23,630 | 230,700 | ||||||
Exxaro Resources, Ltd. | 13,613 | 96,623 | ||||||
FirstRand, Ltd. | 225,110 | 810,070 | ||||||
Fortress Income Fund, Ltd. | 34,720 | 91,951 | ||||||
Fortress Income Fund, Ltd. Class A | 16,870 | 22,094 | ||||||
Foschini Group, Ltd. | 8,805 | 92,253 | ||||||
Gold Fields, Ltd. | 56,782 | 194,712 | ||||||
Growthpoint Properties, Ltd. REIT | 134,524 | 251,337 | ||||||
Hyprop Investments, Ltd. | 16,182 | 144,190 | ||||||
Impala Platinum Holdings, Ltd.(a)(b) | 24,519 | 68,958 | ||||||
Imperial Holdings, Ltd. | 12,323 | 151,422 | ||||||
Investec PLC | 40,401 | 300,966 | ||||||
Investec, Ltd. | 19,854 | 146,225 | ||||||
Liberty Holdings, Ltd. | 972 | 8,346 | ||||||
Life Healthcare Group Holdings, Ltd. | 49,385 | 96,678 | ||||||
Massmart Holdings, Ltd. | 923 | 7,432 | ||||||
Mediclinic International PLC(a)(c) | 21,434 | 206,446 | ||||||
Mediclinic International PLC(c) | 2,421 | 23,381 | ||||||
MMI Holdings, Ltd. | 83,371 | 128,787 | ||||||
Mondi PLC | 24,890 | 651,143 | ||||||
Mondi, Ltd. | 4,978 | 128,837 | ||||||
Mr. Price Group, Ltd. | 8,235 | 98,047 | ||||||
MTN Group, Ltd. | 112,601 | 980,559 | ||||||
Naspers, Ltd. Class N | 28,165 | 5,470,706 | ||||||
Nedbank Group, Ltd. | 14,950 | 238,230 | ||||||
Netcare, Ltd. | 41,109 | 80,728 | ||||||
Pick n Pay Stores, Ltd. | 16,148 | 72,726 | ||||||
Pioneer Foods Group, Ltd. | 10,377 | 107,275 | ||||||
PSG Group, Ltd. | 6,572 | 120,380 | ||||||
Rand Merchant Investment Holdings, Ltd. | 49,784 | 148,146 | ||||||
Redefine Properties, Ltd. REIT | 287,611 | 230,923 | ||||||
Remgro, Ltd. | 36,115 | 588,369 | ||||||
Resilient REIT, Ltd. REIT | 11,867 | 110,261 | ||||||
RMB Holdings, Ltd. | 53,367 | 239,291 | ||||||
Sanlam, Ltd. | 75,411 | 372,954 | ||||||
Sappi, Ltd. | 37,361 | 248,332 | ||||||
Sasol, Ltd. | 36,674 | 1,025,836 | ||||||
Shoprite Holdings, Ltd. | 23,755 | 361,478 | ||||||
Sibanye Gold, Ltd. | 45,415 | 52,165 | ||||||
SPAR Group, Ltd. | 7,309 | 85,968 | ||||||
Standard Bank Group, Ltd. | 86,049 | 945,964 | ||||||
Telkom SA SOC, Ltd.(a) | 13,170 | 61,867 | ||||||
Tiger Brands, Ltd. | 9,196 | 258,211 | ||||||
Truworths International, Ltd. | 16,502 | 90,051 | ||||||
Tsogo Sun Holdings, Ltd. | 1,344 | 2,299 | ||||||
Vodacom Group, Ltd. | 36,259 | 454,590 | ||||||
Woolworths Holdings, Ltd. | 55,053 | 259,036 | ||||||
|
| |||||||
18,918,486 | ||||||||
|
| |||||||
South Korea – 3.5% | ||||||||
Amorepacific Corp. | 1,684 | 447,438 | ||||||
Amorepacific Corp. Preference Shares | 740 | 120,299 | ||||||
AMOREPACIFIC Group | 1,798 | 204,291 | ||||||
BGF retail Co., Ltd. | 1,440 | 127,116 | ||||||
BNK Financial Group, Inc. | 10,927 | 104,576 | ||||||
Celltrion, Inc.(b) | 4,242 | 426,740 | ||||||
Cheil Worldwide, Inc. | 680 | 10,936 | ||||||
CJ CheilJedang Corp. | 320 | 101,106 | ||||||
CJ Corp. | 610 | 101,031 | ||||||
CJ E&M Corp. | 257 | 17,026 | ||||||
CJ Korea Express Corp.(b) | 100 | 15,776 | ||||||
Coway Co., Ltd. | 3,120 | 283,599 | ||||||
Daelim Industrial Co., Ltd. | 2,118 | 164,753 | ||||||
Daewoo Engineering & Construction Co., Ltd.(b) | 380 | 2,518 | ||||||
DGB Financial Group, Inc. | 13,309 | 137,260 | ||||||
Dongbu Insurance Co., Ltd. | 1,790 | 106,385 | ||||||
Dongsuh Cos., Inc. | 874 | 23,375 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 457 | 8,368 | ||||||
E-MART, Inc. | 1,356 | 277,920 | ||||||
GS Engineering & Construction Corp.(b) | 422 | 11,231 | ||||||
GS Holdings Corp. | 3,356 | 200,043 | ||||||
GS Retail Co., Ltd. | 360 | 16,236 | ||||||
Hana Financial Group, Inc. | 19,869 | 785,799 | ||||||
Hankook Tire Co., Ltd. | 4,760 | 264,595 | ||||||
Hanmi Pharm Co., Ltd.(b) | 435 | 141,813 | ||||||
Hanmi Science Co., Ltd.(b) | 184 | 13,573 | ||||||
Hanon Systems | 8,270 | 74,449 | ||||||
Hanssem Co., Ltd. | 770 | 123,830 | ||||||
Hanwha Chemical Corp. | 6,970 | 183,974 | ||||||
Hanwha Corp. | 3,640 | 150,798 | ||||||
Hanwha Life Insurance Co., Ltd. | 1,840 | 11,193 | ||||||
Hanwha Techwin Co., Ltd.(b) | 2,840 | 110,458 | ||||||
Hotel Shilla Co., Ltd. | 2,730 | 136,243 | ||||||
Hyosung Corp. | 1,344 | 196,757 | ||||||
Hyundai Department Store Co., Ltd. | 1,309 | 126,421 |
See accompanying notes to financial statements.
65
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – (continued) | ||||||||
Hyundai Development Co-Engineering & Construction | 3,730 | $ | 153,060 | |||||
Hyundai Electric & Energy System Co., Ltd.(b) | 1 | 272 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 4,572 | 184,015 | ||||||
Hyundai Glovis Co., Ltd. | 725 | 99,484 | ||||||
Hyundai Heavy Industries Co., Ltd.(b) | 1,750 | 269,960 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 2,670 | 91,828 | ||||||
Hyundai Mobis Co., Ltd. | 4,520 | 987,633 | ||||||
Hyundai Motor Co. | 10,113 | 1,409,801 | ||||||
Hyundai Motor Co. Preference Shares(c) | 2,519 | 256,490 | ||||||
Hyundai Motor Co. Preference Shares(c) | 1,762 | 174,021 | ||||||
Hyundai Robotics Co., Ltd.(b) | 371 | 125,326 | ||||||
Hyundai Steel Co. | 5,155 | 280,244 | ||||||
Hyundai Wia Corp. | 139 | 8,480 | ||||||
Industrial Bank of Korea | 15,890 | 197,905 | ||||||
Kakao Corp. | 2,034 | 180,440 | ||||||
Kangwon Land, Inc. | 7,520 | 229,054 | ||||||
KB Financial Group, Inc. | 26,123 | 1,317,395 | ||||||
KCC Corp. | 458 | 174,730 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 180 | 6,946 | ||||||
Kia Motors Corp. | 17,963 | 599,735 | ||||||
Korea Aerospace Industries, Ltd. | 3,940 | 196,285 | ||||||
Korea Electric Power Corp. | 17,453 | 622,368 | ||||||
Korea Gas Corp.(b) | 340 | 15,809 | ||||||
Korea Investment Holdings Co., Ltd. | 2,958 | 181,231 | ||||||
Korea Zinc Co., Ltd. | 577 | 229,963 | ||||||
Korean Air Lines Co., Ltd.(b) | 4,004 | 135,432 | ||||||
KT Corp. | 110 | 3,134 | ||||||
KT&G Corp. | 7,826 | 800,281 | ||||||
Kumho Petrochemical Co., Ltd. | 118 | 7,580 | ||||||
LG Chem, Ltd. | 3,083 | 784,122 | ||||||
LG Chem, Ltd. Preference Shares | 93 | 16,419 | ||||||
LG Corp. | 5,333 | 360,303 | ||||||
LG Display Co., Ltd. | 12,610 | 408,890 | ||||||
LG Electronics, Inc. | 5,971 | 418,541 | ||||||
LG Household & Health Care, Ltd. | 503 | 436,990 | ||||||
LG Household & Health Care, Ltd. Preference Shares | 50 | 27,182 | ||||||
LG Innotek Co., Ltd. | 1,061 | 153,009 | ||||||
LG Uplus Corp. | 12,590 | 171,659 | ||||||
Lotte Chemical Corp. | 866 | 260,371 | ||||||
Lotte Chilsung Beverage Co., Ltd. | 9 | 13,482 | ||||||
Lotte Confectionery Co., Ltd. | 60 | 10,383 | ||||||
Lotte Shopping Co., Ltd. | 645 | 171,094 | ||||||
Medy-Tox, Inc. | 329 | 161,028 | ||||||
Mirae Asset Daewoo Co., Ltd. | 23,737 | 229,248 | ||||||
NAVER Corp. | 1,839 | 1,346,923 | ||||||
NCSoft Corp. | 1,010 | 335,004 | ||||||
Netmarble Games Corp.(b)(d) | 1,313 | 177,874 | ||||||
NH Investment & Securities Co., Ltd. | 11,490 | 149,129 | ||||||
OCI Co., Ltd. | 142 | 11,133 | ||||||
Orion Corp.(g) | 148 | 103,224 | ||||||
Ottogi Corp. | 17 | 11,738 | ||||||
POSCO | 4,883 | 1,224,858 | ||||||
Posco Daewoo Corp. | 570 | 11,110 | ||||||
S-1 Corp. | 1,546 | 131,068 | ||||||
S-Oil Corp. | 2,869 | 237,715 | ||||||
Samsung Biologics Co., Ltd.(b)(d) | 1,110 | 283,285 | ||||||
Samsung C&T Corp. | 5,143 | 665,266 | ||||||
Samsung Card Co., Ltd. | 501 | 17,099 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 3,673 | 327,445 | ||||||
Samsung Electronics Co., Ltd. | 6,261 | 13,007,383 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 1,154 | 1,878,030 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 1,756 | 432,036 | ||||||
Samsung Heavy Industries Co., Ltd.(b) | 11,059 | 120,338 | ||||||
Samsung Life Insurance Co., Ltd. | 3,760 | 384,495 | ||||||
Samsung SDI Co., Ltd. | 3,068 | 459,872 | ||||||
Samsung SDS Co., Ltd. | 2,060 | 332,185 | ||||||
Samsung Securities Co., Ltd. | 4,928 | 177,884 | ||||||
Shinhan Financial Group Co., Ltd. | 28,110 | 1,211,225 | ||||||
Shinsegae, Inc. | 635 | 127,372 | ||||||
SK Holdings Co., Ltd. | 2,387 | 579,982 | ||||||
SK Hynix, Inc. | 37,819 | 2,227,855 | ||||||
SK Innovation Co., Ltd. | 4,406 | 610,367 | ||||||
SK Networks Co., Ltd. | 410 | 2,240 | ||||||
SK Telecom Co., Ltd. | 1,180 | 274,335 | ||||||
Woori Bank | 19,110 | 308,158 | ||||||
Yuhan Corp. | 653 | 140,399 | ||||||
|
| |||||||
45,096,576 | ||||||||
|
| |||||||
Spain – 2.4% | ||||||||
Abertis Infraestructuras SA | 46,304 | 856,611 | ||||||
ACS Actividades de Construccion y Servicios SA | 16,326 | 629,842 | ||||||
Aena SA(d) | 4,501 | 877,078 | ||||||
Amadeus IT Group SA | 28,645 | 1,710,330 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 431,367 | 3,574,348 | ||||||
Banco de Sabadell SA | 359,083 | 728,593 | ||||||
Banco Santander SA | 936,345 | 6,185,556 | ||||||
Bankia SA | 69,326 | 334,623 | ||||||
Bankinter SA(a) | 37,198 | 342,167 | ||||||
CaixaBank SA | 236,831 | 1,129,092 | ||||||
Distribuidora Internacional de Alimentacion SA(a) | 41,148 | 255,823 | ||||||
Enagas SA | 15,780 | 441,848 | ||||||
Endesa SA(a) | 21,819 | 501,944 | ||||||
Ferrovial SA | 32,574 | 722,055 |
See accompanying notes to financial statements.
66
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Spain – (continued) | ||||||||
Gamesa Corp. Tecnologica SA | 13,355 | $ | 284,763 | |||||
Gas Natural SDG SA | 23,940 | 559,475 | ||||||
Grifols SA | 20,358 | 566,203 | ||||||
Iberdrola SA | 375,842 | 2,971,945 | ||||||
Industria de Diseno Textil SA | 70,593 | 2,706,104 | ||||||
Mapfre SA | 65,454 | 228,291 | ||||||
Red Electrica Corp. SA(a) | 29,353 | 612,490 | ||||||
Repsol SA | 79,411 | 1,213,668 | ||||||
Telefonica SA | 293,025 | 3,020,587 | ||||||
|
| |||||||
30,453,436 | ||||||||
|
| |||||||
Sweden – 2.0% | ||||||||
Alfa Laval AB | 16,412 | 335,457 | ||||||
Assa Abloy AB Class B | 65,691 | 1,441,619 | ||||||
Atlas Copco AB Class A | 43,838 | 1,678,771 | ||||||
Atlas Copco AB Class B | 25,989 | 896,953 | ||||||
Boliden AB | 18,846 | 513,684 | ||||||
Electrolux AB Series B | 16,497 | 540,020 | ||||||
Essity AB Class B(b) | 40,214 | 1,098,971 | ||||||
Getinge AB Class B | 12,852 | 251,264 | ||||||
Hennes & Mauritz AB Class B | 62,190 | 1,547,644 | ||||||
Hexagon AB Class B | 17,303 | 821,603 | ||||||
Husqvarna AB Class B | 23,027 | 228,508 | ||||||
ICA Gruppen AB | 6,173 | 229,515 | ||||||
Industrivarden AB Class C | 10,068 | 241,120 | ||||||
Investor AB Class B | 29,852 | 1,436,936 | ||||||
Kinnevik AB Class B | 16,200 | 495,341 | ||||||
L E Lundbergforetagen AB Class B | 2,900 | 228,643 | ||||||
Lundin Petroleum AB(b) | 12,340 | 237,157 | ||||||
Nordea Bank AB | 196,841 | 2,501,776 | ||||||
Sandvik AB | 74,461 | 1,169,722 | ||||||
Securitas AB Class B | 17,559 | 295,615 | ||||||
Skandinaviska Enskilda Banken AB Class A | 100,100 | 1,209,334 | ||||||
Skanska AB Class B | 23,297 | 552,142 | ||||||
SKF AB Class B | 25,941 | 524,999 | ||||||
Svenska Handelsbanken AB Class A | 100,157 | 1,432,078 | ||||||
Swedbank AB Class A | 59,376 | 1,445,233 | ||||||
Swedish Match AB | 13,121 | 461,554 | ||||||
Tele2 AB Class B | 26,718 | 279,390 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 201,133 | 1,436,741 | ||||||
Telia Co. AB | 174,238 | 801,310 | ||||||
Volvo AB Class B | 101,384 | 1,726,084 | ||||||
|
| |||||||
26,059,184 | ||||||||
|
| |||||||
Switzerland – 6.3% | ||||||||
ABB, Ltd. | 128,741 | 3,183,404 | ||||||
Actelion, Ltd.(b) | 539 | 150,699 | ||||||
Adecco Group AG(b) | 10,873 | 827,695 | ||||||
Baloise Holding AG | 3,437 | 531,889 | ||||||
Barry Callebaut AG(b) | 139 | 191,304 | ||||||
Chocoladefabriken Lindt & Spruengli AG(c) | 76 | 441,247 | ||||||
Chocoladefabriken Lindt & Spruengli AG(c) | 6 | 418,838 | ||||||
Cie Financiere Richemont SA | 33,774 | 2,786,139 | ||||||
Coca-Cola HBC AG(b) | 10,544 | 309,258 | ||||||
Credit Suisse Group AG(b) | 152,402 | 2,205,703 | ||||||
Dufry AG(b) | 2,498 | 409,790 | ||||||
EMS-Chemie Holding AG | 469 | 346,247 | ||||||
Geberit AG | 2,445 | 1,141,757 | ||||||
Givaudan SA | 608 | 1,217,714 | ||||||
Glencore PLC(b) | 791,301 | 2,952,014 | ||||||
Julius Baer Group, Ltd.(b) | 14,990 | 789,689 | ||||||
Kuehne + Nagel International AG | 3,676 | 614,170 | ||||||
LafargeHolcim, Ltd.(b)(c) | 28,848 | 1,653,793 | ||||||
LafargeHolcim, Ltd.(b)(c) | 852 | 48,850 | ||||||
Lonza Group AG(b) | 4,929 | 1,066,968 | ||||||
Nestle SA | 199,074 | 17,347,387 | ||||||
Novartis AG | 142,978 | 11,914,211 | ||||||
Pargesa Holding SA | 2,959 | 225,405 | ||||||
Partners Group Holding AG | 1,170 | 726,325 | ||||||
Roche Holding AG | 44,989 | 11,472,160 | ||||||
Schindler Holding AG(c) | 2,775 | 587,947 | ||||||
Schindler Holding AG(c) | 1,281 | 265,925 | ||||||
SGS SA | 365 | 885,010 | ||||||
Sika AG | 146 | 939,132 | ||||||
Sonova Holding AG | 3,569 | 580,268 | ||||||
STMicroelectronics NV(a) | 43,287 | 620,593 | ||||||
Straumann Holding AG | 535 | 304,749 | ||||||
Swatch Group AG(c) | 2,070 | 765,402 | ||||||
Swatch Group AG(c) | 3,666 | 268,160 | ||||||
Swiss Life Holding AG(b) | 2,160 | 729,887 | ||||||
Swiss Prime Site AG(b) | 4,981 | 453,031 | ||||||
Swiss Re AG | 21,096 | 1,930,835 | ||||||
Swisscom AG | 1,732 | 836,836 | ||||||
UBS Group AG(b) | 235,748 | 3,997,857 | ||||||
Vifor Pharma AG | 3,449 | 380,681 | ||||||
Wolseley PLC | 16,760 | 1,026,038 | ||||||
Zurich Insurance Group AG | 9,748 | 2,840,982 | ||||||
|
| |||||||
80,385,989 | ||||||||
|
| |||||||
Taiwan – 2.8% | ||||||||
Acer, Inc.(b) | 255,000 | 133,703 | ||||||
Advanced Semiconductor Engineering, Inc. | 351,650 | 451,411 | ||||||
Advantech Co., Ltd. | 13,199 | 93,504 | ||||||
Asia Cement Corp. | 140,000 | 120,118 | ||||||
Asia Pacific Telecom Co., Ltd.(b) | 7,000 | 2,520 | ||||||
Asustek Computer, Inc. | 38,000 | 359,139 | ||||||
AU Optronics Corp. | 594,000 | 271,420 | ||||||
Catcher Technology Co., Ltd. | 37,000 | 442,127 | ||||||
Cathay Financial Holding Co., Ltd. | 544,000 | 895,937 | ||||||
Chailease Holding Co., Ltd. | 68,480 | 190,898 | ||||||
Chang Hwa Commercial Bank, Ltd. | 195,624 | 112,217 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 124,000 | 263,734 | ||||||
Chicony Electronics Co., Ltd. | 46,030 | 116,664 | ||||||
China Airlines, Ltd. | 23,000 | 6,979 | ||||||
China Development Financial Holding Corp. | 888,000 | 257,759 | ||||||
China Life Insurance Co., Ltd. | 130,376 | 129,862 | ||||||
China Steel Corp. | 850,000 | 691,568 |
See accompanying notes to financial statements.
67
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) | ||||||||
Chunghwa Telecom Co., Ltd. | 253,000 | $ | 898,225 | |||||
Compal Electronics, Inc. | 169,000 | 113,889 | ||||||
CTBC Financial Holding Co., Ltd. | 1,179,009 | 773,216 | ||||||
Delta Electronics, Inc. | 131,630 | 720,460 | ||||||
E.Sun Financial Holding Co., Ltd. | 473,738 | 291,220 | ||||||
Eclat Textile Co., Ltd. | 8,022 | 97,836 | ||||||
Eva Airways Corp. | 16,800 | 8,312 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(b) | 23,170 | 11,768 | ||||||
Far Eastern New Century Corp. | 128,620 | 104,646 | ||||||
Far EasTone Telecommunications Co., Ltd. | 102,000 | 259,862 | ||||||
Feng TAY Enterprise Co., Ltd. | 30,273 | 133,850 | ||||||
First Financial Holding Co., Ltd. | 531,467 | 355,534 | ||||||
Formosa Chemicals & Fibre Corp. | 166,000 | 521,137 | ||||||
Formosa Petrochemical Corp. | 72,000 | 248,521 | ||||||
Formosa Plastics Corp. | 277,000 | 844,112 | ||||||
Formosa Taffeta Co., Ltd. | 3,000 | 3,013 | ||||||
Foxconn Technology Co., Ltd. | 36,180 | 109,182 | ||||||
Fubon Financial Holding Co., Ltd.(b) | 449,000 | 715,123 | ||||||
Giant Manufacturing Co., Ltd. | 23,000 | 131,558 | ||||||
Highwealth Construction Corp. | 72,900 | 120,781 | ||||||
Hiwin Technologies Corp. | 18,070 | 122,071 | ||||||
Hon Hai Precision Industry Co., Ltd. | 1,005,650 | 3,867,885 | ||||||
Hotai Motor Co., Ltd. | 19,000 | 237,968 | ||||||
HTC Corp.(b) | 13,000 | 31,026 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 466,235 | 270,514 | ||||||
Innolux Corp. | 561,000 | 293,225 | ||||||
Inventec Corp. | 197,000 | 160,605 | ||||||
Largan Precision Co., Ltd. | 7,000 | 1,116,042 | ||||||
Lite-On Technology Corp. | 145,419 | 239,019 | ||||||
MediaTek, Inc. | 100,000 | 856,345 | ||||||
Mega Financial Holding Co., Ltd. | 572,601 | 476,226 | ||||||
Merida Industry Co., Ltd. | 2,000 | 10,717 | ||||||
Micro-Star International Co., Ltd. | 33,000 | 76,696 | ||||||
Nan Ya Plastics Corp. | 319,000 | 791,732 | ||||||
Nanya Technology Corp. | 18,000 | 32,426 | ||||||
Nien Made Enterprise Co., Ltd. | 3,000 | 33,284 | ||||||
Novatek Microelectronics Corp. | 24,000 | 97,041 | ||||||
OBI Pharma, Inc.(b) | 1,000 | 7,922 | ||||||
Pegatron Corp. | 108,000 | 338,343 | ||||||
Phison Electronics Corp. | 13,000 | 160,470 | ||||||
Pou Chen Corp. | 80,000 | 110,717 | ||||||
Powertech Technology, Inc.(b) | 51,000 | 157,426 | ||||||
President Chain Store Corp. | 33,000 | 296,696 | ||||||
Quanta Computer, Inc. | 150,000 | 355,030 | ||||||
Realtek Semiconductor Corp. | 34,000 | 122,387 | ||||||
Ruentex Development Co., Ltd.(b) | 8,280 | 9,336 | ||||||
Ruentex Industries, Ltd. | 5,000 | 7,462 | ||||||
Shin Kong Financial Holding Co., Ltd.(b) | 360,551 | 96,005 | ||||||
Siliconware Precision Industries Co., Ltd. | 145,135 | 234,497 | ||||||
SinoPac Financial Holdings Co., Ltd. | 636,641 | 194,634 | ||||||
Standard Foods Corp. | 49,440 | 132,783 | ||||||
Synnex Technology International Corp. | 70,550 | 79,085 | ||||||
TaiMed Biologics, Inc.(b) | 4,000 | 24,260 | ||||||
Taishin Financial Holding Co., Ltd. | 564,899 | 257,194 | ||||||
Taiwan Business Bank | 64,119 | 17,916 | ||||||
Taiwan Cement Corp. | 212,000 | 245,312 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 493,084 | 261,779 | ||||||
Taiwan Fertilizer Co., Ltd. | 7,000 | 9,308 | ||||||
Taiwan High Speed Rail Corp. | 152,000 | 127,166 | ||||||
Taiwan Mobile Co., Ltd.(b) | 89,000 | 334,993 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,578,000 | 10,815,680 | ||||||
Teco Electric and Machinery Co., Ltd. | 90,000 | 86,538 | ||||||
Transcend Information, Inc. | 1,000 | 3,353 | ||||||
Uni-President Enterprises Corp. | 253,880 | 509,095 | ||||||
United Microelectronics Corp. | 686,000 | 332,627 | ||||||
Vanguard International Semiconductor Corp. | 39,000 | 76,923 | ||||||
Wistron Corp. | 107,946 | 109,827 | ||||||
WPG Holdings, Ltd. | 66,000 | 88,087 | ||||||
Yuanta Financial Holding Co., Ltd. | 608,022 | 267,834 | ||||||
Yulon Motor Co., Ltd. | 7,000 | 6,282 | ||||||
Zhen Ding Technology Holding, Ltd. | 3,000 | 7,110 | ||||||
|
| |||||||
35,598,704 | ||||||||
|
| |||||||
Thailand – 0.5% | ||||||||
Advanced Info Service PCL(g) | 59,300 | 309,854 | ||||||
Airports of Thailand PCL(g) | 245,500 | 341,474 | ||||||
Bangkok Bank PCL NVDR | 5,100 | 27,775 | ||||||
Bangkok Dusit Medical Services PCL(g) | 148,200 | 83,763 | ||||||
Bangkok Expressway & Metro PCL(g) | 649,000 | 142,333 | ||||||
BEC World PCL(g) | 4,700 | 2,905 | ||||||
Berli Jucker PCL(g) | 55,900 | 78,576 | ||||||
BTS Group Holdings PCL(g) | 118,600 | 29,676 | ||||||
Bumrungrad Hospital PCL(g) | 16,400 | 82,797 | ||||||
Central Pattana PCL(g) | 56,000 | 114,160 | ||||||
Charoen Pokphand Foods PCL(g) | 108,500 | 79,211 | ||||||
CP ALL PCL(g) | 256,900 | 474,550 | ||||||
Delta Electronics Thailand PCL(g) | 5,400 | 13,790 | ||||||
Energy Absolute PCL(g) | 14,513 | 14,739 | ||||||
Glow Energy PCL(g) | 11,100 | 25,732 | ||||||
Home Product Center PCL(g) | 68,100 | 19,245 | ||||||
Indorama Ventures PCL(g) | 32,500 | 36,356 | ||||||
IRPC PCL(g) | 207,000 | 32,601 |
See accompanying notes to financial statements.
68
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State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Thailand – (continued) | ||||||||
Kasikornbank PCL | 87,100 | $ | 511,523 | |||||
Kasikornbank PCL NVDR | 39,800 | 232,567 | ||||||
Krung Thai Bank PCL(g) | 265,400 | 146,880 | ||||||
Minor International PCL(g) | 94,050 | 111,437 | ||||||
PTT Exploration & Production PCL(g) | 88,800 | 225,464 | ||||||
PTT Global Chemical PCL(g) | 129,000 | 260,127 | ||||||
PTT PCL(g) | 51,300 | 558,758 | ||||||
Robinson PCL(g) | 12,700 | 21,777 | ||||||
Siam Cement PCL | 75,600 | 1,117,198 | ||||||
Siam Commercial Bank PCL(g) | 93,200 | 426,629 | ||||||
Thai Oil PCL(g) | 66,100 | 153,721 | ||||||
Thai Union Group PCL Class F(g) | 43,700 | 27,144 | ||||||
TMB Bank PCL(g) | 63,300 | 4,286 | ||||||
True Corp. PCL(b)(g) | 216,512 | 39,516 | ||||||
|
| |||||||
5,746,564 | ||||||||
|
| |||||||
Turkey – 0.2% | ||||||||
Akbank TAS | 124,014 | 345,016 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 1,760 | 10,912 | ||||||
Arcelik A/S | 4,778 | 35,348 | ||||||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 18,895 | 117,257 | ||||||
BIM Birlesik Magazalar A/S | 13,969 | 258,755 | ||||||
Coca-Cola Icecek A/S | 648 | 7,428 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT(b) | 30,919 | 25,806 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 83,264 | 166,644 | ||||||
Ford Otomotiv Sanayi A/S | 1,307 | 15,940 | ||||||
Haci Omer Sabanci Holding A/S | 58,478 | 181,449 | ||||||
KOC Holding A/S | 51,437 | 236,264 | ||||||
Petkim Petrokimya Holding A/S | 11,722 | 20,166 | ||||||
TAV Havalimanlari Holding A/S | 1,388 | 7,435 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 2,262 | 18,558 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 7,975 | 229,115 | ||||||
Turk Hava Yollari AO(b) | 4,688 | 10,713 | ||||||
Turk Telekomunikasyon A/S(b) | 4,204 | 7,447 | ||||||
Turkcell Iletisim Hizmetleri A/S | 56,047 | 184,249 | ||||||
Turkiye Garanti Bankasi A/S | 129,411 | 359,664 | ||||||
Turkiye Halk Bankasi A/S | 29,437 | 109,891 | ||||||
Turkiye Is Bankasi Class C | 62,875 | 132,977 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 6,184 | 8,076 | ||||||
Turkiye Vakiflar Bankasi TAO Class D | 68,469 | 125,760 | ||||||
Ulker Biskuvi Sanayi A/S | 1,307 | 8,237 | ||||||
Yapi ve Kredi Bankasi A/S(b) | 7,385 | 9,413 | ||||||
|
| |||||||
2,632,520 | ||||||||
|
| |||||||
United Arab Emirates – 0.2% |
| |||||||
Abu Dhabi Commercial Bank PJSC | 114,059 | 216,870 | ||||||
Aldar Properties PJSC | 245,613 | 153,278 | ||||||
DAMAC Properties Dubai Co. PJSC | 160,578 | 137,763 | ||||||
DP World, Ltd. | 10,129 | 211,899 | ||||||
Dubai Islamic Bank PJSC | 85,420 | 132,206 | ||||||
Emaar Malls PJSC | 24,972 | 17,097 | ||||||
Emaar Properties PJSC | 187,326 | 395,164 | ||||||
Emirates Telecommunications Group Co. PJSC | 91,075 | 428,973 | ||||||
First Abu Dhabi Bank PJSC | 115,574 | 330,396 | ||||||
|
| |||||||
2,023,646 | ||||||||
|
| |||||||
United Kingdom – 11.2% | ||||||||
3i Group PLC | 65,293 | 765,431 | ||||||
Aberdeen Asset Management PLC | 60,773 | 238,402 | ||||||
Admiral Group PLC | 11,866 | 308,729 | ||||||
Anglo American PLC(b) | 87,924 | 1,169,498 | ||||||
Ashtead Group PLC | 33,711 | 695,805 | ||||||
Associated British Foods PLC | 23,725 | 904,804 | ||||||
AstraZeneca PLC | 81,321 | 5,424,196 | ||||||
Auto Trader Group PLC(d) | 55,276 | 272,843 | ||||||
Aviva PLC | 264,809 | 1,809,300 | ||||||
Babcock International Group PLC | 17,191 | 196,618 | ||||||
BAE Systems PLC | 207,368 | 1,706,399 | ||||||
Barclays PLC | 1,097,297 | 2,889,863 | ||||||
Barratt Developments PLC | 69,399 | 507,971 | ||||||
Berkeley Group Holdings PLC | 7,388 | 309,684 | ||||||
BP PLC | 1,254,959 | 7,218,207 | ||||||
British American Tobacco PLC | 119,550 | 8,127,846 | ||||||
British Land Co. PLC REIT | 67,293 | 529,269 | ||||||
BT Group PLC | 550,365 | 2,107,157 | ||||||
Bunzl PLC | 22,672 | 673,811 | ||||||
Burberry Group PLC | 29,734 | 641,527 | ||||||
Capita PLC | 38,049 | 341,765 | ||||||
Carnival PLC | 12,627 | 833,213 | ||||||
Centrica PLC | 364,752 | 948,536 | ||||||
CNH Industrial NV | 68,463 | 774,217 | ||||||
Cobham PLC | 152,270 | 256,337 | ||||||
Coca-Cola European Partners PLC | 14,800 | 600,089 | ||||||
Compass Group PLC | 102,694 | 2,160,990 | ||||||
ConvaTec Group PLC(b)(d) | 66,099 | 274,063 | ||||||
Croda International PLC | 7,261 | 366,420 | ||||||
DCC PLC | 6,090 | 552,951 | ||||||
Diageo PLC | 161,962 | 4,772,480 | ||||||
Direct Line Insurance Group PLC | 74,196 | 342,523 | ||||||
Dixons Carphone PLC | 62,166 | 229,008 | ||||||
easyJet PLC | 7,064 | 124,699 | ||||||
Fiat Chrysler Automobiles NV(b) | 71,731 | 755,132 | ||||||
G4S PLC | 88,045 | 373,291 | ||||||
GKN PLC | 118,262 | 500,789 | ||||||
GlaxoSmithKline PLC | 315,189 | 6,695,975 | ||||||
Hammerson PLC REIT | 43,494 | 324,572 | ||||||
Hargreaves Lansdown PLC | 15,373 | 259,993 |
See accompanying notes to financial statements.
69
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) | ||||||||
HSBC Holdings PLC | 1,260,087 | $ | 11,649,028 | |||||
IMI PLC | 17,012 | 264,068 | ||||||
Imperial Brands PLC | 62,024 | 2,778,320 | ||||||
Inmarsat PLC | 26,188 | 261,760 | ||||||
InterContinental Hotels Group PLC | 12,150 | 673,428 | ||||||
International Consolidated Airlines Group SA | 47,696 | 378,023 | ||||||
Intertek Group PLC | 10,977 | 601,284 | ||||||
Intu Properties PLC REIT(a) | 56,723 | 198,274 | ||||||
ITV PLC | 247,262 | 582,622 | ||||||
J Sainsbury PLC | 86,275 | 282,072 | ||||||
Johnson Matthey PLC | 13,358 | 498,158 | ||||||
Kingfisher PLC | 152,628 | 596,156 | ||||||
Land Securities Group PLC REIT | 53,385 | 702,459 | ||||||
Legal & General Group PLC | 391,394 | 1,313,200 | ||||||
Lloyds Banking Group PLC | 4,605,243 | 3,957,078 | ||||||
London Stock Exchange Group PLC | 20,909 | 990,244 | ||||||
Marks & Spencer Group PLC | 112,301 | 486,196 | ||||||
Meggitt PLC | 44,303 | 274,443 | ||||||
Merlin Entertainments PLC(d) | 42,079 | 262,634 | ||||||
National Grid PLC | 222,399 | 2,749,608 | ||||||
Next PLC | 10,128 | 507,286 | ||||||
Old Mutual PLC | 329,539 | 827,857 | ||||||
Pearson PLC | 56,672 | 509,041 | ||||||
Persimmon PLC | 20,982 | 611,047 | ||||||
Petrofac, Ltd. | 10,300 | 59,136 | ||||||
Provident Financial PLC | 8,161 | 257,916 | ||||||
Prudential PLC | 166,389 | 3,806,065 | ||||||
Randgold Resources, Ltd. | 6,420 | 567,486 | ||||||
Reckitt Benckiser Group PLC | 42,825 | 4,330,045 | ||||||
RELX NV | 63,473 | 1,303,094 | ||||||
RELX PLC | 70,719 | 1,524,883 | ||||||
Rio Tinto PLC | 79,912 | 3,365,249 | ||||||
Rio Tinto, Ltd. | 27,888 | 1,353,440 | ||||||
Rolls-Royce Holdings PLC(b) | 108,853 | 1,259,825 | ||||||
Royal Bank of Scotland Group PLC(b) | 238,017 | 764,273 | ||||||
Royal Mail PLC | 49,923 | 273,137 | ||||||
RSA Insurance Group PLC | 69,903 | 558,877 | ||||||
Sage Group PLC | 73,122 | 653,475 | ||||||
Schroders PLC | 7,543 | 304,129 | ||||||
Segro PLC REIT | 56,836 | 361,162 | ||||||
Severn Trent PLC | 12,700 | 359,957 | ||||||
Shire PLC | 58,405 | 3,215,164 | ||||||
Sky PLC | 68,897 | 889,567 | ||||||
Smith & Nephew PLC | 58,028 | 998,724 | ||||||
Smiths Group PLC | 27,065 | 561,442 | ||||||
SSE PLC | 66,563 | 1,256,292 | ||||||
St James’s Place PLC | 36,146 | 554,971 | ||||||
Standard Chartered PLC(b) | 213,497 | 2,155,345 | ||||||
Standard Life PLC | 133,720 | 693,219 | ||||||
Tate & Lyle PLC | 27,005 | 232,217 | ||||||
Taylor Wimpey PLC | 225,131 | 515,268 | ||||||
Tesco PLC(b) | 538,858 | 1,181,514 | ||||||
Travis Perkins PLC | 14,193 | 268,244 | ||||||
Unilever NV | 104,650 | 5,767,405 | ||||||
Unilever PLC | 82,608 | 4,458,465 | ||||||
United Utilities Group PLC | 46,787 | 527,214 | ||||||
Vodafone Group PLC | 1,712,408 | 4,843,481 | ||||||
Weir Group PLC | 12,015 | 270,155 | ||||||
Whitbread PLC | 12,434 | 640,716 | ||||||
Wm Morrison Supermarkets PLC | 119,666 | 374,921 | ||||||
Worldpay Group PLC(d) | 137,024 | 560,304 | ||||||
WPP PLC | 83,532 | 1,751,252 | ||||||
|
| |||||||
142,756,718 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,248,041,864 | ||||||
|
| |||||||
RIGHTS – 0.0%(f) | ||||||||
Spain – 0.0%(f) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(b) | 13,468 | 10,752 | ||||||
Repsol SA | 56,345 | 25,706 | ||||||
|
| |||||||
36,458 | ||||||||
|
| |||||||
TOTAL RIGHTS |
| 36,458 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 3.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(h)(i) | 29,345,087 | 29,345,087 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(h)(j) | 8,269,427 | 8,269,427 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 37,614,514 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.6% |
| 1,285,692,836 | ||||||
Liabilities in Excess of Other Assets – (0.6)% |
| (7,098,431 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,278,594,405 | |||||
|
|
(a) | All or a portion of the shares of the security are on loan at June 30, 2017. |
(b) | Non-income producing security. |
(c) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Portfolio’s net assets. |
(f) | Amount is less than 0.05% of net assets. |
See accompanying notes to financial statements.
70
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
(g) | 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. As of June 30, 2017, total aggregate fair value of securities is $4,025,952 representing 0.3% of net assets. |
(h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(j) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt |
At June 30, 2017, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/15/2017 | 214 | $ | 20,218,720 | $ | (43,577 | ) | |||||||||
Mini MSCI Emerging Markets Index (long) | 09/15/2017 | 357 | 17,998,155 | (57,948 | ) | |||||||||||
|
| |||||||||||||||
Total unrealized depreciation on open futures contracts purchased |
| $ | (101,525 | ) | ||||||||||||
|
|
During the period ended June 30, 2017, average notional value related to futures contracts was $31,207,201 or 2% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 62,176,409 | $ | – | $ | – | $ | 62,176,409 | ||||||||
Austria | 1,883,438 | – | – | 1,883,438 | ||||||||||||
Belgium | 10,238,692 | – | – | 10,238,692 | ||||||||||||
Brazil | 18,991,695 | – | – | 18,991,695 | ||||||||||||
Canada | 85,595,998 | – | – | 85,595,998 | ||||||||||||
Chile | 2,981,688 | – | – | 2,981,688 | ||||||||||||
China | 79,244,238 | – | 0 | (a) | 79,244,238 | |||||||||||
Colombia | 1,430,607 | – | – | 1,430,607 | ||||||||||||
Czech Republic | 374,971 | – | – | 374,971 | ||||||||||||
Denmark | 16,307,352 | – | – | 16,307,352 | ||||||||||||
Egypt | 276,405 | – | – | 276,405 | ||||||||||||
Finland | 9,175,492 | – | – | 9,175,492 | ||||||||||||
France | 90,388,573 | – | – | 90,388,573 | ||||||||||||
Germany | 83,648,286 | – | – | 83,648,286 | ||||||||||||
Greece | 926,725 | – | – | 926,725 | ||||||||||||
Hong Kong | 31,582,352 | – | 0 | (a) | 31,582,352 | |||||||||||
Hungary | 740,890 | – | – | 740,890 | ||||||||||||
India | 24,886,181 | 65,227 | – | 24,951,408 | ||||||||||||
Indonesia | 5,537,698 | – | – | 5,537,698 | ||||||||||||
Ireland | 5,277,752 | – | – | 5,277,752 | ||||||||||||
Israel | 5,624,991 | – | – | 5,624,991 | ||||||||||||
Italy | 18,230,145 | �� | – | – | 18,230,145 | |||||||||||
Japan | 206,193,065 | – | – | 206,193,065 | ||||||||||||
Jordan | 179,718 | – | – | 179,718 | ||||||||||||
Luxembourg | 2,883,753 | – | – | 2,883,753 | ||||||||||||
Macau | 367,106 | – | – | 367,106 | ||||||||||||
Malaysia | 6,227,361 | – | – | 6,227,361 | ||||||||||||
Mexico | 10,588,886 | – | – | 10,588,886 | ||||||||||||
Netherlands | 39,327,292 | – | – | 39,327,292 |
See accompanying notes to financial statements.
71
Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
New Zealand | $ | 1,233,695 | $ | – | $ | – | $ | 1,233,695 | ||||||||
Norway | 5,569,254 | – | – | 5,569,254 | ||||||||||||
Pakistan | 136,065 | – | – | 136,065 | ||||||||||||
Peru | 890,520 | – | – | 890,520 | ||||||||||||
Philippines | 2,838,062 | – | – | 2,838,062 | ||||||||||||
Poland | 3,030,245 | – | – | 3,030,245 | ||||||||||||
Portugal | 1,091,665 | – | – | 1,091,665 | ||||||||||||
Qatar | 1,698,966 | – | – | 1,698,966 | ||||||||||||
Romania | 118,490 | – | – | 118,490 | ||||||||||||
Russia | 8,709,176 | – | – | 8,709,176 | ||||||||||||
Singapore | 11,700,917 | – | – | 11,700,917 | ||||||||||||
South Africa | 18,918,486 | – | – | 18,918,486 | ||||||||||||
South Korea | 44,993,352 | 103,224 | – | 45,096,576 | ||||||||||||
Spain | 30,453,436 | – | – | 30,453,436 | ||||||||||||
Sweden | 26,059,184 | – | – | 26,059,184 | ||||||||||||
Switzerland | 80,385,989 | – | – | 80,385,989 | ||||||||||||
Taiwan | 35,598,704 | – | – | 35,598,704 | ||||||||||||
Thailand | 1,889,063 | 3,857,501 | – | 5,746,564 | ||||||||||||
Turkey | 2,632,520 | – | – | 2,632,520 | ||||||||||||
United Arab Emirates | 2,023,646 | – | – | 2,023,646 | ||||||||||||
United Kingdom | 142,756,718 | – | – | 142,756,718 | ||||||||||||
Rights | ||||||||||||||||
Spain | 36,458 | – | – | 36,458 | ||||||||||||
Short-Term Investments | 37,614,514 | – | – | 37,614,514 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,281,666,884 | $ | 4,025,952 | $ | 0 | $ | 1,285,692,836 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | $ | (101,525 | ) | $ | – | $ | – | $ | (101,525 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (101,525 | ) | $ | – | $ | – | $ | (101,525 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Fund held Level 3 securities that were valued at $0 at June 30, 2017. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 72,172,966 | 42,827,879 | 29,345,087 | $ | 29,345,087 | $ | 36,973 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 16,717,694 | 16,717,694 | 358,390,139 | 375,107,833 | – | – | 51,266 | – | ||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | – | – | 47,449,131 | 39,179,704 | 8,269,427 | 8,269,427 | 42,270 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 16,717,694 | $ | 37,614,514 | $ | 130,509 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
72
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 98.0 | % | ||
Short-Term Investments | 3.5 | |||
Rights | 0.0 | ** | ||
Liabilities in Excess of Other Assets | (1.5 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2017 | |||
Real Estate Investment Trusts (REITs) | 9.0 | % | ||
Banks | 7.1 | |||
Software | 4.5 | |||
Biotechnology | 4.0 | |||
Hotels, Restaurants & Leisure | 4.0 | |||
Total | 28.6 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Less than 0.05% of net assets. |
73
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 98.0% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
AAR Corp. | 2,360 | $ | 82,034 | |||||
Aerojet Rocketdyne Holdings, Inc.(a) | 4,700 | 97,760 | ||||||
Aerovironment, Inc.(a) | 1,400 | 53,480 | ||||||
Astronics Corp.(a) | 1,519 | 46,284 | ||||||
Axon Enterprise, Inc.(a)(b) | 3,692 | 92,817 | ||||||
BWX Technologies, Inc. | 6,790 | 331,012 | ||||||
Cubic Corp. | 1,800 | 83,340 | ||||||
Curtiss-Wright Corp. | 3,170 | 290,943 | ||||||
DigitalGlobe, Inc.(a) | 4,400 | 146,520 | ||||||
Ducommun, Inc.(a) | 900 | 28,422 | ||||||
Engility Holdings, Inc.(a) | 1,300 | 36,920 | ||||||
Esterline Technologies Corp.(a) | 1,800 | 170,640 | ||||||
HEICO Corp. | 1,701 | 122,200 | ||||||
HEICO Corp. Class A | 3,547 | 220,091 | ||||||
Hexcel Corp. | 6,247 | 329,779 | ||||||
Huntington Ingalls Industries, Inc. | 3,107 | 578,399 | ||||||
KeyW Holding Corp.(a) | 3,400 | 31,790 | ||||||
KLX, Inc.(a) | 3,743 | 187,150 | ||||||
Kratos Defense & Security Solutions, Inc.(a) | 4,700 | 55,789 | ||||||
Mercury Systems, Inc.(a) | 3,500 | 147,315 | ||||||
Moog, Inc. Class A(a) | 2,254 | 161,657 | ||||||
National Presto Industries, Inc. | 395 | 43,648 | ||||||
Orbital ATK, Inc. | 3,994 | 392,850 | ||||||
Sparton Corp.(a) | 600 | 13,194 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 8,365 | 484,668 | ||||||
Teledyne Technologies, Inc.(a) | 2,450 | 312,742 | ||||||
Triumph Group, Inc. | 3,645 | 115,182 | ||||||
Vectrus, Inc.(a) | 800 | 25,856 | ||||||
|
| |||||||
4,682,482 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% |
| |||||||
Air Transport Services Group, Inc.(a) | 3,600 | 78,408 | ||||||
Atlas Air Worldwide Holdings, Inc.(a) | 1,682 | 87,716 | ||||||
Echo Global Logistics, Inc.(a) | 2,200 | 43,780 | ||||||
Forward Air Corp. | 2,100 | 111,888 | ||||||
Hub Group, Inc. Class A(a) | 2,417 | 92,692 | ||||||
Park-Ohio Holdings Corp. | 546 | 20,803 | ||||||
Radiant Logistics, Inc.(a) | 2,300 | 12,374 | ||||||
XPO Logistics, Inc.(a) | 7,600 | 491,188 | ||||||
|
| |||||||
938,849 | ||||||||
|
| |||||||
Airlines – 0.5% | ||||||||
Allegiant Travel Co. | 996 | 135,057 | ||||||
Copa Holdings SA Class A | 2,109 | 246,753 | ||||||
Hawaiian Holdings, Inc.(a) | 3,845 | 180,523 | ||||||
JetBlue Airways Corp.(a) | 23,736 | 541,893 | ||||||
SkyWest, Inc. | 3,500 | 122,850 | ||||||
Spirit Airlines, Inc.(a) | 4,758 | 245,751 | ||||||
|
| |||||||
1,472,827 | ||||||||
|
| |||||||
Auto Components – 1.0% | ||||||||
Adient PLC | 6,700 | 438,046 | ||||||
American Axle & Manufacturing Holdings, Inc.(a) | 5,850 | 91,260 | ||||||
Cooper Tire & Rubber Co. | 3,900 | 140,790 | ||||||
Cooper-Standard Holdings, Inc.(a) | 1,190 | 120,035 | ||||||
Dana, Inc. | 9,794 | 218,700 | ||||||
Dorman Products, Inc.(a) | 1,899 | 157,180 | ||||||
Fox Factory Holding Corp.(a) | 2,400 | 85,440 | ||||||
Gentex Corp. | 19,366 | 367,373 | ||||||
Gentherm, Inc.(a) | 2,554 | 99,095 | ||||||
Horizon Global Corp.(a) | 1,674 | 24,039 | ||||||
LCI Industries | 1,739 | 178,074 | ||||||
Lear Corp. | 4,830 | 686,246 | ||||||
Modine Manufacturing Co.(a) | 3,283 | 54,334 | ||||||
Motorcar Parts of America, Inc.(a) | 1,300 | 36,712 | ||||||
Shiloh Industries, Inc.(a) | 600 | 7,044 | ||||||
Spartan Motors, Inc. | 2,000 | 17,700 | ||||||
Standard Motor Products, Inc. | 1,508 | 78,748 | ||||||
Stoneridge, Inc.(a) | 1,882 | 29,002 | ||||||
Superior Industries International, Inc. | 1,888 | 38,798 | ||||||
Tenneco, Inc. | 3,935 | 227,561 | ||||||
Tower International, Inc. | 1,461 | 32,800 | ||||||
Visteon Corp.(a) | 2,137 | 218,102 | ||||||
|
| |||||||
3,347,079 | ||||||||
|
| |||||||
Automobiles – 1.2% | ||||||||
Tesla, Inc.(a) | 9,083 | 3,284,504 | ||||||
Thor Industries, Inc. | 3,508 | 366,656 | ||||||
Winnebago Industries, Inc. | 2,000 | 70,000 | ||||||
|
| |||||||
3,721,160 | ||||||||
|
| |||||||
Banks – 7.1% | ||||||||
1st Source Corp. | 1,100 | 52,734 | ||||||
Access National Corp. | 999 | 26,493 | ||||||
ACNB Corp. | 500 | 15,250 | ||||||
Allegiance Bancshares, Inc.(a) | 700 | 26,810 | ||||||
American National Bankshares, Inc. | 500 | 18,475 | ||||||
Ameris Bancorp | 2,600 | 125,320 | ||||||
Ames National Corp. | 500 | 15,300 | ||||||
Arrow Financial Corp. | 714 | 22,598 | ||||||
Associated Banc-Corp. | 11,000 | 277,200 | ||||||
Atlantic Capital Bancshares, Inc.(a) | 1,500 | 28,500 | ||||||
Banc of California, Inc. | 3,400 | 73,100 | ||||||
BancFirst Corp. | 576 | 55,642 | ||||||
Banco Latinoamericano de Comercio Exterior SA Class E | 2,100 | 57,498 | ||||||
Bancorp, Inc.(a) | 3,000 | 22,740 | ||||||
BancorpSouth, Inc. | 5,755 | 175,528 | ||||||
Bank of Commerce Holdings | 1,100 | 12,155 | ||||||
Bank of Hawaii Corp. | 3,034 | 251,731 | ||||||
Bank of Marin Bancorp | 372 | 22,897 | ||||||
Bank of NT Butterfield & Son, Ltd. | 3,700 | 126,170 | ||||||
Bank of the Ozarks, Inc. | 7,954 | 372,804 | ||||||
BankUnited, Inc. | 7,272 | 245,139 | ||||||
Bankwell Financial Group, Inc. | 300 | 9,369 | ||||||
Banner Corp. | 2,300 | 129,973 | ||||||
Bar Harbor Bankshares | 1,080 | 33,286 | ||||||
BCB Bancorp, Inc. | 700 | 10,710 | ||||||
Berkshire Hills Bancorp, Inc. | 2,300 | 80,845 | ||||||
Blue Hills Bancorp, Inc. | 1,526 | 27,315 |
See accompanying notes to financial statements.
74
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Banks – (continued) |
| |||||||
BOK Financial Corp. | 1,684 | $ | 141,675 | |||||
Boston Private Financial Holdings, Inc. | 5,800 | 89,030 | ||||||
Bridge Bancorp, Inc. | 1,400 | 46,620 | ||||||
Brookline Bancorp, Inc. | 4,800 | 70,080 | ||||||
Bryn Mawr Bank Corp. | 1,200 | 51,000 | ||||||
C&F Financial Corp. | 200 | 9,380 | ||||||
Cadence BanCorp(a) | 600 | 13,128 | ||||||
Camden National Corp. | 982 | 42,138 | ||||||
Canadian Imperial Bank of Commerce | 1 | 51 | ||||||
Capital Bank Financial Corp. Class A | 1,865 | 71,057 | ||||||
Capital City Bank Group, Inc. | 700 | 14,294 | ||||||
Capstar Financial Holdings, Inc.(a) | 600 | 10,644 | ||||||
Carolina Financial Corp. | 1,000 | 32,320 | ||||||
Cathay General Bancorp | 5,454 | 206,979 | ||||||
CenterState Banks, Inc. | 3,400 | 84,524 | ||||||
Central Pacific Financial Corp. | 2,079 | 65,426 | ||||||
Central Valley Community Bancorp | 500 | 11,080 | ||||||
Century Bancorp, Inc. Class A | 236 | 15,010 | ||||||
Chemical Financial Corp. | 4,745 | 229,705 | ||||||
Chemung Financial Corp. | 200 | 8,176 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 800 | 14,776 | ||||||
CIT Group, Inc. | 13,986 | 681,118 | ||||||
Citizens & Northern Corp. | 700 | 16,282 | ||||||
City Holding Co. | 1,149 | 75,685 | ||||||
Civista Bancshares, Inc. | 700 | 14,616 | ||||||
CNB Financial Corp. | 1,000 | 23,970 | ||||||
CoBiz Financial, Inc. | 2,800 | 48,720 | ||||||
Codorus Valley Bancorp, Inc. | 520 | 14,768 | ||||||
Columbia Banking System, Inc. | 4,100 | 163,385 | ||||||
Commerce Bancshares, Inc. | 6,418 | 364,735 | ||||||
Commerce Union Bancshares, Inc. | 500 | 11,935 | ||||||
Community Bank System, Inc. | 3,539 | 197,370 | ||||||
Community Bankers Trust Corp.(a) | 1,500 | 12,375 | ||||||
Community Financial Corp | 300 | 11,550 | ||||||
Community Trust Bancorp, Inc. | 1,100 | 48,125 | ||||||
ConnectOne Bancorp, Inc. | 2,023 | 45,619 | ||||||
County Bancorp, Inc. | 300 | 7,200 | ||||||
CU Bancorp(a) | 1,100 | 39,765 | ||||||
Cullen/Frost Bankers, Inc. | 3,875 | 363,901 | ||||||
Customers Bancorp, Inc.(a) | 1,900 | 53,732 | ||||||
CVB Financial Corp. | 7,100 | 159,253 | ||||||
DNB Financial Corp. | 200 | 6,860 | ||||||
Eagle Bancorp, Inc.(a) | 2,300 | 145,590 | ||||||
East West Bancorp, Inc. | 9,985 | 584,921 | ||||||
Ellington Residential Mortgage REIT REIT | 600 | 8,796 | ||||||
Enterprise Bancorp, Inc. | 578 | 20,542 | ||||||
Enterprise Financial Services Corp. | 1,600 | 65,280 | ||||||
Equity Bancshares, Inc. Class A(a) | 700 | 21,448 | ||||||
Evans Bancorp, Inc. | 300 | 11,985 | ||||||
Farmers Capital Bank Corp. | 449 | 17,309 | ||||||
Farmers National Banc Corp. | 1,500 | 21,750 | ||||||
FB Financial Corp.(a) | 400 | 14,476 | ||||||
FCB Financial Holdings, Inc. Class A(a) | 2,382 | 113,741 | ||||||
Fidelity Southern Corp. | 1,400 | 32,004 | ||||||
Financial Institutions, Inc. | 1,100 | 32,780 | ||||||
First BanCorp(a) | 11,200 | 64,848 | ||||||
First Bancorp, Inc. | 600 | 16,236 | ||||||
First Bancorp/Southern Pines | 1,625 | 50,798 | ||||||
First Bancshares, Inc. | 600 | 16,560 | ||||||
First Busey Corp. | 2,133 | 62,540 | ||||||
First Business Financial Services, Inc. | 500 | 11,540 | ||||||
First Citizens BancShares, Inc. Class A | 539 | 200,885 | ||||||
First Commonwealth Financial Corp. | 6,500 | 82,420 | ||||||
First Community Bancshares, Inc. | 1,100 | 30,085 | ||||||
First Community Financial Partners, Inc.(a) | 800 | 10,320 | ||||||
First Connecticut Bancorp, Inc. | 1,000 | 25,650 | ||||||
First Financial Bancorp | 4,600 | 127,420 | ||||||
First Financial Bankshares, Inc.(b) | 4,251 | 187,894 | ||||||
First Financial Corp. | 800 | 37,840 | ||||||
First Financial Northwest, Inc. | 400 | 6,452 | ||||||
First Foundation, Inc.(a) | 2,000 | 32,860 | ||||||
First Guaranty Bancshares, Inc. | 300 | 8,172 | ||||||
First Hawaiian, Inc. | 3,700 | 113,294 | ||||||
First Horizon National Corp. | 16,915 | 294,659 | ||||||
First Internet Bancorp | 300 | 8,415 | ||||||
First Interstate BancSystem, Inc. Class A | 1,782 | 66,290 | ||||||
First Merchants Corp. | 3,078 | 123,551 | ||||||
First Mid-Illinois Bancshares, Inc. | 700 | 23,968 | ||||||
First Midwest Bancorp, Inc. | 6,700 | 156,177 | ||||||
First Northwest Bancorp(a) | 700 | 11,039 | ||||||
First of Long Island Corp. | 1,650 | 47,190 | ||||||
First Republic Bank | 10,834 | 1,084,483 | ||||||
Flushing Financial Corp. | 2,100 | 59,199 | ||||||
FNB Bancorp | 400 | 10,984 | ||||||
FNB Corp. | 22,833 | 323,315 | ||||||
Franklin Financial Network, Inc.(a) | 755 | 31,144 | ||||||
Fulton Financial Corp. | 11,600 | 220,400 | ||||||
German American Bancorp, Inc. | 1,564 | 53,317 | ||||||
Glacier Bancorp, Inc. | 5,200 | 190,372 | ||||||
Great Southern Bancorp, Inc. | 868 | 46,438 | ||||||
Great Western Bancorp, Inc. | 4,203 | 171,524 | ||||||
Green Bancorp, Inc.(a) | 1,500 | 29,100 | ||||||
Guaranty Bancorp | 1,600 | 43,520 | ||||||
Hancock Holding Co. | 5,700 | 279,300 | ||||||
Hanmi Financial Corp. | 2,200 | 62,590 | ||||||
HarborOne Bancorp, Inc.(a) | 900 | 17,964 | ||||||
Heartland Financial USA, Inc. | 1,600 | 75,360 | ||||||
Heritage Commerce Corp. | 2,500 | 34,450 | ||||||
Heritage Financial Corp. | 2,000 | 53,000 | ||||||
Hilltop Holdings, Inc. | 5,300 | 138,913 | ||||||
Home BancShares, Inc. | 9,000 | 224,100 |
See accompanying notes to financial statements.
75
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Banks – (continued) |
| |||||||
HomeTrust Bancshares, Inc.(a) | 1,200 | $ | 29,280 | |||||
Hope Bancorp, Inc. | 9,188 | 171,356 | ||||||
Horizon Bancorp | 1,400 | 36,890 | ||||||
Howard Bancorp, Inc.(a) | 600 | 11,550 | ||||||
IBERIABANK Corp. | 3,592 | 292,748 | ||||||
Independent Bank Corp.(c) | 1,833 | 122,169 | ||||||
Independent Bank Corp.(c) | 1,600 | 34,800 | ||||||
Independent Bank Group, Inc. | 1,251 | 74,435 | ||||||
International Bancshares Corp. | 4,052 | 142,023 | ||||||
Investar Holding Corp. | 600 | 13,740 | ||||||
Investors Bancorp, Inc. | 17,500 | 233,800 | ||||||
KKR Real Estate Finance Trust, Inc. | 700 | 15,050 | ||||||
Lakeland Bancorp, Inc. | 2,900 | 54,665 | ||||||
Lakeland Financial Corp. | 1,828 | 83,869 | ||||||
LCNB Corp. | 500 | 10,000 | ||||||
LegacyTexas Financial Group, Inc. | 3,348 | 127,659 | ||||||
Live Oak Bancshares, Inc. | 1,400 | 33,880 | ||||||
Macatawa Bank Corp. | 1,600 | 15,264 | ||||||
MainSource Financial Group, Inc. | 1,670 | 55,962 | ||||||
MB Financial, Inc. | 5,600 | 246,624 | ||||||
MBT Financial Corp. | 1,100 | 10,670 | ||||||
Mercantile Bank Corp. | 1,000 | 31,480 | ||||||
Middlefield Banc Corp.(b) | 200 | 10,080 | ||||||
Midland States Bancorp, Inc. | 1,100 | 36,872 | ||||||
MidSouth Bancorp, Inc. | 600 | 7,050 | ||||||
MidWestOne Financial Group, Inc. | 751 | 25,451 | ||||||
MutualFirst Financial, Inc. | 300 | 10,710 | ||||||
National Bank Holdings Corp. Class A | 1,700 | 56,287 | ||||||
National Bankshares, Inc. | 437 | 17,830 | ||||||
National Commerce Corp.(a) | 663 | 26,222 | ||||||
NBT Bancorp, Inc. | 3,000 | 110,850 | ||||||
Nicolet Bankshares, Inc.(a) | 600 | 32,826 | ||||||
Northeast Bancorp | 500 | 10,175 | ||||||
Northrim BanCorp, Inc. | 400 | 12,160 | ||||||
Norwood Financial Corp. | 300 | 12,675 | ||||||
OFG Bancorp | 3,000 | 30,000 | ||||||
Ohio Valley Banc Corp. | 300 | 10,815 | ||||||
Old Line Bancshares, Inc. | 500 | 14,090 | ||||||
Old National Bancorp | 9,361 | 161,477 | ||||||
Old Point Financial Corp. | 300 | 9,864 | ||||||
Old Second Bancorp, Inc. | 1,700 | 19,635 | ||||||
Opus Bank | 1,400 | 33,880 | ||||||
Orrstown Financial Services, Inc. | 400 | 9,140 | ||||||
Pacific Continental Corp. | 1,400 | 35,770 | ||||||
Pacific Mercantile Bancorp(a) | 900 | 7,920 | ||||||
Pacific Premier Bancorp, Inc.(a) | 2,585 | 95,387 | ||||||
PacWest Bancorp | 8,679 | 405,309 | ||||||
Paragon Commercial Corp.(a) | 300 | 15,741 | ||||||
Park National Corp. | 999 | 103,616 | ||||||
Park Sterling Corp. | 4,000 | 47,520 | ||||||
Parke Bancorp, Inc. | 400 | 8,960 | ||||||
Peapack Gladstone Financial Corp. | 1,100 | 34,419 | ||||||
Penns Woods Bancorp, Inc. | 247 | 10,171 | ||||||
People’s United Financial, Inc. | 1,557 | 27,497 | ||||||
People’s Utah Bancorp | 800 | 21,440 | ||||||
Peoples Bancorp of North Carolina, Inc. | 300 | 9,480 | ||||||
Peoples Bancorp, Inc. | 1,300 | 41,769 | ||||||
Peoples Financial Services Corp. | 439 | 19,197 | ||||||
Pinnacle Financial Partners, Inc. | 4,954 | 311,099 | ||||||
Popular, Inc. | 6,900 | 287,799 | ||||||
Preferred Bank | 900 | 48,123 | ||||||
Premier Financial Bancorp, Inc. | 530 | 10,923 | ||||||
Prosperity Bancshares, Inc. | 4,522 | 290,493 | ||||||
QCR Holdings, Inc. | 900 | 42,660 | ||||||
Renasant Corp. | 3,261 | 142,636 | ||||||
Republic Bancorp, Inc. Class A | 600 | 21,420 | ||||||
Republic First Bancorp, Inc.(a) | 3,900 | 36,075 | ||||||
S&T Bancorp, Inc. | 2,353 | 84,379 | ||||||
Sandy Spring Bancorp, Inc. | 1,600 | 65,056 | ||||||
Seacoast Banking Corp. of Florida(a) | 2,400 | 57,840 | ||||||
ServisFirst Bancshares, Inc. | 3,300 | 121,737 | ||||||
Shore Bancshares, Inc. | 800 | 13,160 | ||||||
Sierra Bancorp | 700 | 17,185 | ||||||
Signature Bank(a) | 3,806 | 546,275 | ||||||
Simmons First National Corp. Class A | 2,036 | 107,704 | ||||||
SmartFinancial, Inc.(a) | 500 | 11,940 | ||||||
South State Corp. | 1,885 | 161,545 | ||||||
Southern First Bancshares, Inc.(a) | 500 | 18,525 | ||||||
Southern National Bancorp of Virginia, Inc. | 1,300 | 22,880 | ||||||
Southside Bancshares, Inc. | 2,005 | 70,051 | ||||||
Southwest Bancorp, Inc. | 1,500 | 38,325 | ||||||
State Bank Financial Corp. | 2,500 | 67,800 | ||||||
Sterling Bancorp | 8,966 | 208,460 | ||||||
Stock Yards Bancorp, Inc. | 1,600 | 62,240 | ||||||
Stonegate Bank | 1,000 | 46,180 | ||||||
Summit Financial Group, Inc. | 800 | 17,600 | ||||||
Sun Bancorp, Inc. | 600 | 14,790 | ||||||
Sunshine Bancorp, Inc.(a) | 500 | 10,655 | ||||||
Sutherland Asset Management Corp. REIT | 1,200 | 17,820 | ||||||
SVB Financial Group(a) | 3,630 | 638,118 | ||||||
Synovus Financial Corp. | 8,360 | 369,846 | ||||||
TCF Financial Corp. | 11,100 | 176,934 | ||||||
Texas Capital Bancshares, Inc.(a) | 3,346 | 258,980 | ||||||
Tompkins Financial Corp. | 993 | 78,169 | ||||||
Towne Bank | 3,900 | 120,120 | ||||||
TriCo Bancshares | 1,476 | 51,881 | ||||||
TriState Capital Holdings, Inc.(a) | 1,500 | 37,800 | ||||||
Triumph Bancorp, Inc.(a) | 1,300 | 31,915 | ||||||
Trustmark Corp. | 5,077 | 163,276 | ||||||
Two River Bancorp | 500 | 9,295 | ||||||
UMB Financial Corp. | 3,060 | 229,072 | ||||||
Umpqua Holdings Corp. | 16,087 | 295,357 | ||||||
Union Bankshares Corp. | 3,200 | 108,480 | ||||||
Union Bankshares, Inc./Morrisville | 200 | 9,500 | ||||||
United Bankshares, Inc. | 6,913 | 270,990 | ||||||
United Community Banks, Inc. | 5,061 | 140,696 | ||||||
United Security Bancshares | 900 | 8,325 |
See accompanying notes to financial statements.
76
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Banks – (continued) |
| |||||||
Unity Bancorp, Inc. | 500 | $ | 8,600 | |||||
Univest Corp. of Pennsylvania | 1,744 | 52,233 | ||||||
Valley National Bancorp | 18,400 | 217,304 | ||||||
Veritex Holdings, Inc.(a) | 1,000 | 26,330 | ||||||
Washington Trust Bancorp, Inc. | 1,113 | 57,375 | ||||||
WashingtonFirst Bankshares, Inc. | 715 | 24,689 | ||||||
Webster Financial Corp. | 6,300 | 328,986 | ||||||
WesBanco, Inc. | 3,042 | 120,281 | ||||||
West Bancorp, Inc. | 1,000 | 23,650 | ||||||
Westamerica Bancorporation | 1,885 | 105,635 | ||||||
Western Alliance Bancorp(a) | 6,865 | 337,758 | ||||||
Wintrust Financial Corp. | 3,828 | 292,612 | ||||||
Xenith Bankshares, Inc.(a) | 450 | 13,977 | ||||||
|
| |||||||
22,932,595 | ||||||||
|
| |||||||
Beverages – 0.1% | ||||||||
Boston Beer Co., Inc. Class A(a) | 632 | 83,519 | ||||||
Castle Brands, Inc.(a) | 6,000 | 10,320 | ||||||
Coca-Cola Bottling Co. Consolidated | 284 | 64,999 | ||||||
Craft Brew Alliance, Inc.(a) | 800 | 13,480 | ||||||
MGP Ingredients, Inc. | 900 | 46,053 | ||||||
National Beverage Corp. | 800 | 74,848 | ||||||
Primo Water Corp.(a) | 1,800 | 22,860 | ||||||
|
| |||||||
316,079 | ||||||||
|
| |||||||
Biotechnology – 4.0% | ||||||||
Abeona Therapeutics, Inc.(a) | 1,700 | 10,880 | ||||||
ACADIA Pharmaceuticals, Inc.(a) | 7,209 | 201,059 | ||||||
Acceleron Pharma, Inc.(a) | 1,900 | 57,741 | ||||||
Achillion Pharmaceuticals, Inc.(a) | 8,200 | 37,638 | ||||||
Acorda Therapeutics, Inc.(a) | 3,200 | 63,040 | ||||||
Adamas Pharmaceuticals, Inc.(a) | 1,000 | 17,490 | ||||||
Aduro Biotech, Inc.(a) | 2,654 | 30,256 | ||||||
Advaxis, Inc.(a)(b) | 2,200 | 14,278 | ||||||
Agenus, Inc.(a) | 4,400 | 17,204 | ||||||
Agios Pharmaceuticals, Inc.(a) | 2,868 | 147,559 | ||||||
Aimmune Therapeutics, Inc.(a) | 2,400 | 49,344 | ||||||
Akebia Therapeutics, Inc.(a) | 2,900 | 41,673 | ||||||
Alder Biopharmaceuticals, Inc.(a) | 3,252 | 37,235 | ||||||
Alkermes PLC(a) | 10,562 | 612,279 | ||||||
Alnylam Pharmaceuticals, Inc.(a) | 5,209 | 415,470 | ||||||
AMAG Pharmaceuticals, Inc.(a) | 2,600 | 47,840 | ||||||
Amicus Therapeutics, Inc.(a) | 9,841 | 99,099 | ||||||
AnaptysBio, Inc.(a) | 500 | 11,965 | ||||||
Anavex Life Sciences Corp.(a) | 2,000 | 10,640 | ||||||
Ardelyx, Inc.(a) | 1,900 | 9,690 | ||||||
Arena Pharmaceuticals, Inc.(a) | 2,130 | 35,933 | ||||||
Array BioPharma, Inc.(a) | 11,583 | 96,950 | ||||||
Asterias Biotherapeutics, Inc.(a) | 1,400 | 4,970 | ||||||
Atara Biotherapeutics, Inc.(a) | 1,800 | 25,200 | ||||||
Athersys, Inc.(a) | 4,600 | 6,946 | ||||||
Audentes Therapeutics, Inc.(a) | 1,000 | 19,130 | ||||||
Avexis, Inc.(a) | 1,400 | 115,024 | ||||||
Axovant Sciences, Ltd.(a) | 2,037 | 47,238 | ||||||
Bellicum Pharmaceuticals, Inc.(a)(b) | 1,782 | 20,814 | ||||||
BioCryst Pharmaceuticals, Inc.(a) | 6,000 | 33,360 | ||||||
Biohaven Pharmaceutical Holding Co., Ltd.(a) | 700 | 17,500 | ||||||
BioMarin Pharmaceutical, Inc.(a) | 12,111 | 1,099,921 | ||||||
BioSpecifics Technologies Corp.(a) | 326 | 16,140 | ||||||
BioTime, Inc.(a) | 4,200 | 13,230 | ||||||
Bioverativ, Inc.(a) | 7,500 | 451,275 | ||||||
Bluebird Bio, Inc.(a) | 2,948 | 309,687 | ||||||
Blueprint Medicines Corp.(a) | 2,700 | 136,809 | ||||||
Calithera Biosciences, Inc.(a) | 2,100 | 31,185 | ||||||
Cara Therapeutics, Inc.(a)(b) | 1,700 | 26,163 | ||||||
Cascadian Therapeutics, Inc.(a) | 2,400 | 8,916 | ||||||
Catalyst Pharmaceuticals, Inc.(a) | 5,000 | 13,800 | ||||||
Celldex Therapeutics, Inc.(a) | 8,400 | 20,748 | ||||||
ChemoCentryx, Inc.(a) | 1,400 | 13,104 | ||||||
Chimerix, Inc.(a) | 2,597 | 14,154 | ||||||
Clovis Oncology, Inc.(a) | 2,780 | 260,291 | ||||||
Coherus Biosciences, Inc.(a) | 2,400 | 34,440 | ||||||
Conatus Pharmaceuticals, Inc.(a) | 1,800 | 10,368 | ||||||
Concert Pharmaceuticals, Inc.(a) | 1,000 | 13,950 | ||||||
Corbus Pharmaceuticals Holdings, Inc.(a)(b) | 3,100 | 19,530 | ||||||
Corvus Pharmaceuticals, Inc.(a) | 600 | 7,260 | ||||||
Curis, Inc.(a) | 6,700 | 12,663 | ||||||
Cytokinetics, Inc.(a) | 2,900 | 35,090 | ||||||
CytomX Therapeutics, Inc.(a) | 1,976 | 30,628 | ||||||
Dynavax Technologies Corp.(a) | 3,138 | 30,282 | ||||||
Eagle Pharmaceuticals, Inc.(a)(b) | 605 | 47,729 | ||||||
Edge Therapeutics, Inc.(a) | 1,000 | 10,260 | ||||||
Editas Medicine, Inc.(a)(b) | 2,300 | 38,594 | ||||||
Emergent BioSolutions, Inc.(a) | 2,400 | 81,384 | ||||||
Enanta Pharmaceuticals, Inc.(a) | 1,100 | 39,578 | ||||||
Epizyme, Inc.(a) | 2,738 | 41,344 | ||||||
Esperion Therapeutics, Inc.(a) | 1,000 | 46,280 | ||||||
Exact Sciences Corp.(a) | 7,805 | 276,063 | ||||||
Exelixis, Inc.(a) | 20,180 | 497,033 | ||||||
Fate Therapeutics, Inc.(a) | 2,600 | 8,424 | ||||||
FibroGen, Inc.(a) | 4,400 | 142,120 | ||||||
Five Prime Therapeutics, Inc.(a) | 1,947 | 58,624 | ||||||
Flexion Therapeutics, Inc.(a) | 2,000 | 40,440 | ||||||
Fortress Biotech, Inc.(a)(b) | 2,000 | 9,500 | ||||||
Foundation Medicine, Inc.(a)(b) | 900 | 35,775 | ||||||
Genocea Biosciences, Inc.(a) | 2,000 | 10,440 | ||||||
Genomic Health, Inc.(a) | 1,300 | 42,315 | ||||||
Geron Corp.(a)(b) | 10,583 | 29,315 | ||||||
Global Blood Therapeutics, Inc.(a) | 2,538 | 69,414 | ||||||
Halozyme Therapeutics, Inc.(a) | 8,252 | 105,791 | ||||||
Heron Therapeutics, Inc.(a)(b) | 2,926 | 40,525 | ||||||
Idera Pharmaceuticals, Inc.(a) | 6,200 | 10,664 | ||||||
Ignyta, Inc.(a) | 3,400 | 35,190 | ||||||
Immune Design Corp.(a) | 1,200 | 11,700 | ||||||
ImmunoGen, Inc.(a)(b) | 7,000 | 49,770 | ||||||
Immunomedics, Inc.(a)(b) | 6,772 | 59,797 | ||||||
Infinity Pharmaceuticals, Inc.(a) | 900 | 1,413 | ||||||
Inovio Pharmaceuticals, Inc.(a) | 4,711 | 36,934 | ||||||
Insmed, Inc.(a) | 4,333 | 74,354 | ||||||
Insys Therapeutics, Inc.(a) | 1,453 | 18,380 | ||||||
Intellia Therapeutics, Inc.(a)(b) | 1,000 | 16,000 | ||||||
Intercept Pharmaceuticals, Inc.(a) | 1,192 | 144,315 | ||||||
Intrexon Corp.(a)(b) | 4,241 | 102,166 |
See accompanying notes to financial statements.
77
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Biotechnology – (continued) |
| |||||||
Invitae Corp.(a) | 2,700 | $ | 25,812 | |||||
Ionis Pharmaceuticals, Inc.(a) | 8,873 | 451,370 | ||||||
Iovance Biotherapeutics, Inc.(a) | 3,400 | 24,990 | ||||||
Ironwood Pharmaceuticals, Inc.(a) | 9,700 | 183,136 | ||||||
Jounce Therapeutics, Inc.(a) | 400 | 5,612 | ||||||
Juno Therapeutics, Inc.(a)(b) | 4,502 | 134,565 | ||||||
Karyopharm Therapeutics, Inc.(a) | 2,300 | 20,815 | ||||||
Keryx Biopharmaceuticals, Inc.(a)(b) | 5,503 | 39,787 | ||||||
Kindred Biosciences, Inc.(a) | 1,500 | 12,900 | ||||||
Kite Pharma, Inc.(a) | 3,373 | 349,679 | ||||||
Kura Oncology, Inc.(a) | 1,000 | 9,300 | ||||||
La Jolla Pharmaceutical Co.(a) | 1,200 | 35,724 | ||||||
Lexicon Pharmaceuticals, Inc.(a) | 2,821 | 46,405 | ||||||
Ligand Pharmaceuticals, Inc.(a) | 1,340 | 162,676 | ||||||
Loxo Oncology, Inc.(a) | 1,377 | 110,422 | ||||||
MacroGenics, Inc.(a) | 2,247 | 39,345 | ||||||
Matinas BioPharma Holdings, Inc.(a) | 3,700 | 6,253 | ||||||
MediciNova, Inc.(a) | 1,800 | 9,468 | ||||||
Merrimack Pharmaceuticals, Inc. | 9,405 | 11,662 | ||||||
MiMedx Group, Inc.(a) | 7,293 | 109,176 | ||||||
Minerva Neurosciences, Inc.(a) | 1,580 | 13,983 | ||||||
Miragen Therapeutics, Inc.(a) | 700 | 9,051 | ||||||
Momenta Pharmaceuticals, Inc.(a) | 4,600 | 77,740 | ||||||
Myriad Genetics, Inc.(a) | 4,251 | 109,846 | ||||||
NantKwest, Inc.(a)(b) | 2,100 | 15,939 | ||||||
Natera, Inc.(a) | 2,200 | 23,892 | ||||||
Neurocrine Biosciences, Inc.(a) | 6,385 | 293,710 | ||||||
NewLink Genetics Corp.(a) | 1,558 | 11,451 | ||||||
Novavax, Inc.(a) | 16,200 | 18,630 | ||||||
Novelion Therapeutics, Inc.(a) | 1,100 | 10,153 | ||||||
Nymox Pharmaceutical Corp.(a) | 2,000 | 8,800 | ||||||
OPKO Health, Inc.(a)(b) | 22,680 | 149,234 | ||||||
Organovo Holdings, Inc.(a) | 5,800 | 15,254 | ||||||
Otonomy, Inc.(a) | 2,000 | 37,700 | ||||||
PDL BioPharma, Inc. | 9,955 | 24,589 | ||||||
Pieris Pharmaceuticals, Inc.(a) | 2,400 | 12,144 | ||||||
Portola Pharmaceuticals, Inc.(a) | 3,541 | 198,898 | ||||||
Progenics Pharmaceuticals, Inc.(a) | 4,900 | 33,271 | ||||||
Protagonist Therapeutics, Inc.(a) | 500 | 5,655 | ||||||
Prothena Corp. PLC(a) | 2,700 | 146,124 | ||||||
PTC Therapeutics, Inc.(a) | 2,300 | 42,159 | ||||||
Puma Biotechnology, Inc.(a) | 1,962 | 171,479 | ||||||
Ra Pharmaceuticals, Inc.(a) | 800 | 14,992 | ||||||
Radius Health, Inc.(a) | 2,515 | 113,754 | ||||||
Recro Pharma, Inc.(a) | 900 | 6,327 | ||||||
REGENXBIO, Inc.(a) | 1,900 | 37,525 | ||||||
Repligen Corp.(a) | 2,400 | 99,456 | ||||||
Retrophin, Inc.(a) | 2,800 | 54,292 | ||||||
Rigel Pharmaceuticals, Inc.(a) | 7,800 | 21,294 | ||||||
Sage Therapeutics, Inc.(a) | 2,300 | 183,172 | ||||||
Sangamo Therapeutics, Inc.(a) | 4,800 | 42,240 | ||||||
Sarepta Therapeutics, Inc.(a) | 3,582 | 120,749 | ||||||
Seattle Genetics, Inc.(a) | 6,592 | 341,070 | ||||||
Selecta Biosciences, Inc.(a) | 800 | 15,888 | ||||||
Seres Therapeutics, Inc.(a)(b) | 1,046 | 11,820 | ||||||
Spark Therapeutics, Inc.(a) | 1,642 | 98,093 | ||||||
Spectrum Pharmaceuticals, Inc.(a) | 5,400 | 40,230 | ||||||
Stemline Therapeutics, Inc.(a) | 1,400 | 12,880 | ||||||
Strongbridge Biopharma PLC(a) | 1,500 | 10,725 | ||||||
Syndax Pharmaceuticals, Inc.(a) | 600 | 8,382 | ||||||
Synergy Pharmaceuticals, Inc.(a)(b) | 13,800 | 61,410 | ||||||
Syros Pharmaceuticals, Inc.(a) | 900 | 14,481 | ||||||
TESARO, Inc.(a) | 2,627 | 367,412 | ||||||
TG Therapeutics, Inc.(a)(b) | 3,400 | 34,170 | ||||||
Tocagen, Inc.(a) | 600 | 7,218 | ||||||
Trevena, Inc.(a) | 2,700 | 6,210 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) | 2,865 | 177,945 | ||||||
United Therapeutics Corp.(a) | 3,186 | 413,320 | ||||||
Vanda Pharmaceuticals, Inc.(a) | 3,100 | 50,530 | ||||||
VBI Vaccines, Inc.(a) | 1,500 | 6,525 | ||||||
Versartis, Inc.(a) | 2,400 | 41,880 | ||||||
Voyager Therapeutics, Inc.(a) | 700 | 6,272 | ||||||
vTv Therapeutics, Inc. Class A(a) | 500 | 2,485 | ||||||
XBiotech, Inc.(a)(b) | 1,000 | 4,700 | ||||||
Xencor, Inc.(a) | 2,685 | 56,680 | ||||||
ZIOPHARM Oncology, Inc.(a) | 9,100 | 56,602 | ||||||
|
| |||||||
12,956,238 | ||||||||
|
| |||||||
Building Products – 1.1% | ||||||||
AAON, Inc. | 3,000 | 110,550 | ||||||
Advanced Drainage Systems, Inc. | 2,600 | 52,260 | ||||||
American Woodmark Corp.(a) | 959 | 91,632 | ||||||
AO Smith Corp. | 9,916 | 558,568 | ||||||
Apogee Enterprises, Inc. | 2,009 | 114,192 | ||||||
Armstrong Flooring, Inc.(a) | 1,577 | 28,339 | ||||||
Armstrong World Industries, Inc.(a) | 2,955 | 135,930 | ||||||
Builders FirstSource, Inc.(a) | 6,500 | 99,580 | ||||||
Caesarstone, Ltd.(a) | 1,627 | 57,026 | ||||||
Continental Building Products, Inc.(a) | 2,400 | 55,920 | ||||||
CSW Industrials, Inc.(a) | 937 | 36,215 | ||||||
Gibraltar Industries, Inc.(a) | 2,400 | 85,560 | ||||||
Griffon Corp. | 2,300 | 50,485 | ||||||
Insteel Industries, Inc. | 1,200 | 39,564 | ||||||
JELD-WEN Holding, Inc.(a) | 1,700 | 55,182 | ||||||
Lennox International, Inc. | 2,727 | 500,786 | ||||||
Masonite International Corp.(a) | 1,993 | 150,472 | ||||||
NCI Building Systems, Inc.(a) | 2,728 | 45,558 | ||||||
Owens Corning | 7,636 | 511,001 | ||||||
Patrick Industries, Inc.(a) | 1,100 | 80,135 | ||||||
PGT Innovations, Inc.(a) | 3,300 | 42,240 | ||||||
Ply Gem Holdings, Inc.(a) | 1,500 | 26,925 | ||||||
Quanex Building Products Corp. | 2,368 | 50,083 | ||||||
Simpson Manufacturing Co., Inc. | 3,000 | 131,130 | ||||||
Trex Co., Inc.(a) | 2,100 | 142,086 | ||||||
Universal Forest Products, Inc. | 1,403 | 122,496 | ||||||
USG Corp.(a) | 6,500 | 188,630 | ||||||
|
| |||||||
3,562,545 | ||||||||
|
| |||||||
Capital Markets – 1.5% | ||||||||
Arlington Asset Investment Corp. Class A | 1,400 | 19,138 | ||||||
Artisan Partners Asset Management, Inc. Class A | 3,055 | 93,788 | ||||||
Associated Capital Group, Inc. Class A | 233 | 7,922 |
See accompanying notes to financial statements.
78
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Capital Markets – (continued) |
| |||||||
B. Riley Financial, Inc. | 1,034 | $ | 19,181 | |||||
BGC Partners, Inc. Class A | 16,000 | 202,240 | ||||||
Cohen & Steers, Inc. | 1,409 | 57,121 | ||||||
Cowen, Inc.(a) | 1,550 | 25,187 | ||||||
Diamond Hill Investment Group, Inc. | 202 | 40,279 | ||||||
Donnelley Financial Solutions, Inc.(a) | 2,012 | 46,196 | ||||||
Eaton Vance Corp. | 7,962 | 376,762 | ||||||
Evercore Partners, Inc. Class A | 2,843 | 200,431 | ||||||
Federated Investors, Inc. Class B | 6,700 | 189,275 | ||||||
Fifth Street Asset Management, Inc. | 300 | 1,455 | ||||||
Financial Engines, Inc. | 3,795 | 138,897 | ||||||
GAMCO Investors, Inc. Class A | 233 | 6,897 | ||||||
Greenhill & Co., Inc. | 2,117 | 42,552 | ||||||
Hamilton Lane, Inc. Class A | 1,000 | 21,990 | ||||||
Houlihan Lokey, Inc. | 1,600 | 55,840 | ||||||
Interactive Brokers Group, Inc. Class A | 4,700 | 175,874 | ||||||
INTL. FCStone, Inc.(a) | 1,000 | 37,760 | ||||||
Investment Technology Group, Inc. | 2,300 | 48,852 | ||||||
KCG Holdings, Inc. Class A(a) | 3,100 | 61,814 | ||||||
Ladenburg Thalmann Financial Services, Inc.(a) | 6,100 | 14,884 | ||||||
Lazard, Ltd. Class A | 8,202 | 379,999 | ||||||
Legg Mason, Inc. | 5,900 | 225,144 | ||||||
LPL Financial Holdings, Inc. | 6,350 | 269,621 | ||||||
Medley Management, Inc. Class A | 300 | 1,950 | ||||||
Moelis & Co. Class A | 1,600 | 62,160 | ||||||
OM Asset Management PLC | 3,800 | 56,468 | ||||||
Oppenheimer Holdings, Inc. Class A | 600 | 9,840 | ||||||
Piper Jaffray Cos. | 1,000 | 59,950 | ||||||
PJT Partners, Inc. Class A | 1,169 | 47,017 | ||||||
Pzena Investment Management, Inc. Class A | 900 | 9,144 | ||||||
Safeguard Scientifics, Inc.(a) | 1,200 | 14,280 | ||||||
SEI Investments Co. | 9,325 | 501,498 | ||||||
Silvercrest Asset Management Group, Inc. Class A | 400 | 5,380 | ||||||
Stifel Financial Corp.(a) | 4,754 | 218,589 | ||||||
TD Ameritrade Holding Corp. | 17,984 | 773,132 | ||||||
Virtu Financial, Inc. Class A | 2,100 | 37,065 | ||||||
Virtus Investment Partners, Inc. | 448 | 49,706 | ||||||
Waddell & Reed Financial, Inc. Class A | 5,739 | 108,352 | ||||||
Westwood Holdings Group, Inc. | 580 | 32,880 | ||||||
WisdomTree Investments, Inc.(b) | 8,000 | 81,360 | ||||||
|
| |||||||
4,827,870 | ||||||||
|
| |||||||
Chemicals – 2.5% | ||||||||
A Schulman, Inc. | 1,990 | 63,680 | ||||||
Advanced Emissions Solutions, Inc. | 1,500 | 13,740 | ||||||
AdvanSix, Inc.(a) | 2,100 | 65,604 | ||||||
AgroFresh Solutions, Inc.(a) | 1,500 | 10,770 | ||||||
American Vanguard Corp. | 2,252 | 38,847 | ||||||
Ashland Global Holdings, Inc. | 4,269 | 281,370 | ||||||
Axalta Coating Systems, Ltd.(a) | 14,902 | 477,460 | ||||||
Balchem Corp. | 2,244 | 174,381 | ||||||
Cabot Corp. | 4,488 | 239,794 | ||||||
Calgon Carbon Corp. | 3,800 | 57,380 | ||||||
Celanese Corp. Series A | 9,719 | 922,722 | ||||||
Chase Corp. | 533 | 56,871 | ||||||
Chemours Co. | 13,200 | 500,544 | ||||||
Codexis, Inc.(a) | 2,000 | 10,900 | ||||||
Core Molding Technologies, Inc.(a) | 500 | 10,805 | ||||||
Ferro Corp.(a) | 6,309 | 115,392 | ||||||
Flotek Industries, Inc.(a) | 4,200 | 37,548 | ||||||
FutureFuel Corp. | 1,500 | 22,635 | ||||||
GCP Applied Technologies, Inc.(a) | 5,297 | 161,558 | ||||||
Hawkins, Inc. | 600 | 27,810 | ||||||
HB Fuller Co. | 3,699 | 189,056 | ||||||
Huntsman Corp. | 14,500 | 374,680 | ||||||
Ingevity Corp.(a) | 3,138 | 180,121 | ||||||
Innophos Holdings, Inc. | 1,400 | 61,376 | ||||||
Innospec, Inc. | 1,717 | 112,549 | ||||||
Intrepid Potash, Inc.(a) | 6,600 | 14,916 | ||||||
KMG Chemicals, Inc. | 700 | 34,069 | ||||||
Koppers Holdings, Inc.(a) | 1,400 | 50,610 | ||||||
Kraton Corp.(a) | 2,200 | 75,768 | ||||||
Kronos Worldwide, Inc. | 1,500 | 27,330 | ||||||
LSB Industries, Inc.(a) | 1,200 | 12,396 | ||||||
Minerals Technologies, Inc. | 2,443 | 178,828 | ||||||
NewMarket Corp. | 535 | 246,357 | ||||||
Olin Corp. | 11,900 | 360,332 | ||||||
OMNOVA Solutions, Inc.(a) | 3,000 | 29,250 | ||||||
Platform Specialty Products Corp.(a) | 14,700 | 186,396 | ||||||
PolyOne Corp. | 5,933 | 229,844 | ||||||
Quaker Chemical Corp. | 926 | 134,483 | ||||||
Rayonier Advanced Materials, Inc. | 3,000 | 47,160 | ||||||
RPM International, Inc. | 9,085 | 495,587 | ||||||
Scotts Miracle-Gro Co. | 3,008 | 269,096 | ||||||
Sensient Technologies Corp. | 3,178 | 255,924 | ||||||
Stepan Co. | 1,382 | 120,427 | ||||||
Trecora Resources(a) | 1,200 | 13,500 | ||||||
Tredegar Corp. | 1,807 | 27,557 | ||||||
Trinseo SA | 3,074 | 211,184 | ||||||
Tronox, Ltd. Class A | 4,369 | 66,059 | ||||||
Valhi, Inc. | 1,500 | 4,470 | ||||||
Valvoline, Inc. | 14,794 | 350,914 | ||||||
Westlake Chemical Corp. | 2,680 | 177,443 | ||||||
WR Grace & Co. | 4,676 | 336,719 | ||||||
|
| |||||||
8,164,212 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.5% |
| |||||||
ABM Industries, Inc. | 3,900 | 161,928 | ||||||
ACCO Brands Corp.(a) | 7,516 | 87,561 | ||||||
Advanced Disposal Services, Inc.(a) | 1,600 | 36,368 | ||||||
Aqua Metals, Inc.(a)(b) | 1,200 | 15,060 |
See accompanying notes to financial statements.
79
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Commercial Services & Supplies – (continued) |
| |||||||
ARC Document Solutions, Inc.(a) | 2,500 | $ | 10,400 | |||||
Brady Corp. Class A | 3,200 | 108,480 | ||||||
Brink’s Co. | 3,354 | 224,718 | ||||||
Casella Waste Systems, Inc. Class A(a) | 2,700 | 44,307 | ||||||
CECO Environmental Corp. | 1,756 | 16,120 | ||||||
Clean Harbors, Inc.(a) | 3,844 | 214,611 | ||||||
Copart, Inc.(a) | 13,676 | 434,760 | ||||||
Covanta Holding Corp.(b) | 8,500 | 112,200 | ||||||
Deluxe Corp. | 3,281 | 227,111 | ||||||
Ennis, Inc. | 2,000 | 38,200 | ||||||
Essendant, Inc. | 2,549 | 37,802 | ||||||
Healthcare Services Group, Inc. | 5,065 | 237,194 | ||||||
Heritage-Crystal Clean, Inc.(a) | 800 | 12,720 | ||||||
Herman Miller, Inc. | 4,200 | 127,680 | ||||||
HNI Corp. | 3,189 | 127,145 | ||||||
Hudson Technologies, Inc.(a) | 2,500 | 21,125 | ||||||
InnerWorkings, Inc.(a) | 3,100 | 35,960 | ||||||
Interface, Inc. | 4,000 | 78,600 | ||||||
KAR Auction Services, Inc. | 9,473 | 397,582 | ||||||
Kimball International, Inc. Class B | 2,800 | 46,732 | ||||||
Knoll, Inc. | 3,290 | 65,964 | ||||||
LSC Communications, Inc. | 2,312 | 49,477 | ||||||
Matthews International Corp. Class A | 2,231 | 136,649 | ||||||
McGrath RentCorp | 1,800 | 62,334 | ||||||
Mobile Mini, Inc. | 3,200 | 95,520 | ||||||
MSA Safety, Inc. | 2,279 | 184,986 | ||||||
Multi-Color Corp. | 1,021 | 83,314 | ||||||
NL Industries, Inc.(a) | 300 | 2,115 | ||||||
Pitney Bowes, Inc. | 12,600 | 190,260 | ||||||
Quad/Graphics, Inc. | 2,000 | 45,840 | ||||||
Rollins, Inc. | 6,563 | 267,180 | ||||||
RR Donnelley & Sons Co. | 5,133 | 64,368 | ||||||
SP Plus Corp.(a) | 1,300 | 39,715 | ||||||
Steelcase, Inc. Class A | 6,400 | 89,600 | ||||||
Team, Inc.(a) | 2,200 | 51,590 | ||||||
Tetra Tech, Inc. | 3,800 | 173,850 | ||||||
UniFirst Corp. | 1,108 | 155,896 | ||||||
US Ecology, Inc. | 1,496 | 75,548 | ||||||
Viad Corp. | 1,354 | 63,976 | ||||||
VSE Corp. | 580 | 26,088 | ||||||
West Corp. | 2,973 | 69,330 | ||||||
|
| |||||||
4,847,964 | ||||||||
|
| |||||||
Communications Equipment – 2.0% |
| |||||||
ADTRAN, Inc. | 3,400 | 70,210 | ||||||
Aerohive Networks, Inc.(a) | 1,400 | 7,000 | ||||||
Applied Optoelectronics, Inc.(a)(b) | 1,300 | 80,327 | ||||||
Arista Networks, Inc.(a) | 3,699 | 554,073 | ||||||
ARRIS International PLC(a) | 12,430 | 348,289 | ||||||
Bel Fuse, Inc. Class B | 600 | 14,820 | ||||||
Brocade Communications Systems, Inc. | 28,881 | 364,189 | ||||||
CalAmp Corp.(a) | 2,500 | 50,825 | ||||||
Calix, Inc.(a) | 2,500 | 17,125 | ||||||
Ciena Corp.(a) | 9,899 | 247,673 | ||||||
Clearfield, Inc.(a) | 700 | 9,240 | ||||||
CommScope Holding Co., Inc.(a) | 13,334 | 507,092 | ||||||
Comtech Telecommunications Corp. | 1,400 | 26,558 | ||||||
Digi International, Inc.(a) | 1,600 | 16,240 | ||||||
EchoStar Corp. Class A(a) | 3,221 | 195,515 | ||||||
EMCORE Corp. | 1,600 | 17,040 | ||||||
Extreme Networks, Inc.(a) | 7,700 | 70,994 | ||||||
Finisar Corp.(a) | 8,000 | 207,840 | ||||||
Harmonic, Inc.(a) | 5,400 | 28,350 | ||||||
Infinera Corp.(a) | 9,700 | 103,499 | ||||||
InterDigital, Inc. | 2,538 | 196,187 | ||||||
KVH Industries, Inc.(a) | 866 | 8,227 | ||||||
Lumentum Holdings, Inc.(a) | 4,200 | 239,610 | ||||||
NETGEAR, Inc.(a) | 2,500 | 107,750 | ||||||
NetScout Systems, Inc.(a) | 6,000 | 206,400 | ||||||
Oclaro, Inc.(a) | 11,400 | 106,476 | ||||||
Palo Alto Networks, Inc.(a) | 6,293 | 842,066 | ||||||
Plantronics, Inc. | 2,348 | 122,824 | ||||||
Quantenna Communications, Inc.(a) | 1,400 | 26,600 | ||||||
SBA Communications Corp. REIT(a) | 8,355 | 1,127,090 | ||||||
ShoreTel, Inc.(a) | 4,690 | 27,202 | ||||||
Sonus Networks, Inc.(a) | 2,900 | 21,576 | ||||||
Ubiquiti Networks, Inc.(a) | 1,800 | 93,546 | ||||||
ViaSat, Inc.(a) | 3,811 | 252,288 | ||||||
Viavi Solutions, Inc.(a) | 15,300 | 161,109 | ||||||
|
| |||||||
6,475,850 | ||||||||
|
| |||||||
Construction & Engineering – 0.7% |
| |||||||
AECOM(a) | 11,110 | 359,186 | ||||||
Aegion Corp.(a) | 2,600 | 56,888 | ||||||
Ameresco, Inc. Class A(a) | 1,300 | 10,010 | ||||||
Argan, Inc. | 944 | 56,640 | ||||||
Chicago Bridge & Iron Co. NV | 7,257 | 143,180 | ||||||
Comfort Systems USA, Inc. | 2,543 | 94,345 | ||||||
Dycom Industries, Inc.(a) | 2,238 | 200,346 | ||||||
EMCOR Group, Inc. | 4,007 | 261,978 | ||||||
Granite Construction, Inc. | 2,811 | 135,603 | ||||||
Great Lakes Dredge & Dock Corp.(a) | 3,500 | 15,050 | ||||||
HC2 Holdings, Inc.(a) | 2,800 | 16,464 | ||||||
IES Holdings, Inc.(a) | 500 | 9,075 | ||||||
KBR, Inc. | 10,288 | 156,583 | ||||||
Layne Christensen Co.(a) | 1,100 | 9,669 | ||||||
MasTec, Inc.(a) | 4,900 | 221,235 | ||||||
MYR Group, Inc.(a) | 1,200 | 37,224 | ||||||
Northwest Pipe Co.(a) | 700 | 11,382 | ||||||
NV5 Global, Inc.(a) | 700 | 29,750 | ||||||
Orion Group Holdings, Inc.(a) | 1,600 | 11,952 | ||||||
Primoris Services Corp. | 2,986 | 74,471 | ||||||
Sterling Construction Co., Inc.(a) | 1,800 | 23,526 | ||||||
Tutor Perini Corp.(a) | 2,600 | 74,750 | ||||||
Valmont Industries, Inc. | 1,570 | 234,872 | ||||||
|
| |||||||
2,244,179 | ||||||||
|
| |||||||
Construction Materials – 0.2% | ||||||||
Eagle Materials, Inc. | 3,227 | 298,239 | ||||||
Forterra, Inc.(a)(b) | 1,100 | 9,053 |
See accompanying notes to financial statements.
80
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Construction Materials – (continued) |
| |||||||
Summit Materials, Inc. Class A(a) | 7,234 | $ | 208,846 | |||||
United States Lime & Minerals, Inc. | 100 | 7,847 | ||||||
US Concrete, Inc.(a) | 1,040 | 81,692 | ||||||
|
| |||||||
605,677 | ||||||||
|
| |||||||
Consumer Finance – 0.7% | ||||||||
Ally Financial, Inc. | 32,261 | 674,255 | ||||||
Credit Acceptance Corp.(a)(b) | 784 | 201,598 | ||||||
Elevate Credit, Inc.(a) | 1,000 | 7,920 | ||||||
Encore Capital Group, Inc.(a) | 1,692 | 67,934 | ||||||
Enova International, Inc.(a) | 2,300 | 34,155 | ||||||
EZCORP, Inc. Class A(a) | 3,600 | 27,720 | ||||||
Firstcash, Inc. | 3,478 | 202,767 | ||||||
Green Dot Corp. Class A(a) | 3,200 | 123,296 | ||||||
LendingClub Corp.(a) | 24,133 | 132,973 | ||||||
Nelnet, Inc. Class A | 1,414 | 66,472 | ||||||
OneMain Holdings, Inc.(a) | 4,062 | 99,884 | ||||||
PRA Group, Inc.(a) | 3,314 | 125,601 | ||||||
Regional Management Corp.(a) | 600 | 14,178 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 10,200 | 130,152 | ||||||
SLM Corp.(a) | 31,200 | 358,800 | ||||||
World Acceptance Corp.(a) | 385 | 28,840 | ||||||
|
| |||||||
2,296,545 | ||||||||
|
| |||||||
Containers & Packaging – 1.2% | ||||||||
AptarGroup, Inc. | 4,231 | 367,504 | ||||||
Ardagh Group SA | 1,300 | 29,393 | ||||||
Bemis Co., Inc. | 6,240 | 288,600 | ||||||
Berry Global Group, Inc.(a) | 9,217 | 525,461 | ||||||
Crown Holdings, Inc.(a) | 9,079 | 541,653 | ||||||
Graphic Packaging Holding Co. | 21,142 | 291,337 | ||||||
Greif, Inc. Class A | 1,800 | 100,404 | ||||||
Greif, Inc. Class B | 400 | 24,160 | ||||||
Myers Industries, Inc. | 1,800 | 32,310 | ||||||
Owens-Illinois, Inc.(a) | 11,028 | 263,790 | ||||||
Packaging Corp. of America | 6,497 | 723,701 | ||||||
Silgan Holdings, Inc. | 5,568 | 176,951 | ||||||
Sonoco Products Co. | 6,748 | 346,982 | ||||||
UFP Technologies, Inc.(a) | 400 | 11,320 | ||||||
|
| |||||||
3,723,566 | ||||||||
|
| |||||||
Distributors – 0.1% | ||||||||
Core-Mark Holding Co., Inc. | 3,352 | 110,817 | ||||||
Pool Corp. | 2,767 | 325,316 | ||||||
VOXX International Corp.(a) | 1,400 | 11,480 | ||||||
Weyco Group, Inc. | 343 | 9,563 | ||||||
|
| |||||||
457,176 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.7% |
| |||||||
Adtalem Global Education, Inc. | 4,600 | 174,570 | ||||||
American Public Education, Inc.(a) | 1,100 | 26,015 | ||||||
Ascent Capital Group, Inc. Class A(a) | 600 | 9,216 | ||||||
Bridgepoint Education, Inc.(a) | 1,100 | 16,236 | ||||||
Bright Horizons Family Solutions, Inc.(a) | 3,442 | 265,757 | ||||||
Cambium Learning Group, Inc.(a) | 500 | 2,535 | ||||||
Capella Education Co. | 800 | 68,480 | ||||||
Career Education Corp.(a) | 4,500 | 43,200 | ||||||
Carriage Services, Inc. | 900 | 24,264 | ||||||
Chegg, Inc.(a) | 5,600 | 68,824 | ||||||
Collectors Universe, Inc. | 400 | 9,940 | ||||||
Graham Holdings Co. Class B | 310 | 185,892 | ||||||
Grand Canyon Education, Inc.(a) | 3,206 | 251,382 | ||||||
Houghton Mifflin Harcourt Co.(a) | 6,700 | 82,410 | ||||||
K12, Inc.(a) | 2,600 | 46,592 | ||||||
Laureate Education, Inc. Class A(a) | 2,300 | 40,319 | ||||||
Liberty Tax, Inc. | 400 | 5,180 | ||||||
Regis Corp.(a) | 2,607 | 26,774 | ||||||
Service Corp. International | 12,500 | 418,125 | ||||||
ServiceMaster Global Holdings, Inc.(a) | 9,270 | 363,291 | ||||||
Sotheby’s(a) | 2,486 | 133,424 | ||||||
Strayer Education, Inc. | 714 | 66,559 | ||||||
Weight Watchers International, Inc.(a)(b) | 1,900 | 63,498 | ||||||
|
| |||||||
2,392,483 | ||||||||
|
| |||||||
Diversified Financial Services – 0.7% |
| |||||||
FactSet Research Systems, Inc. | 2,637 | 438,217 | ||||||
FNFV Group(a) | 4,700 | 74,260 | ||||||
GAIN Capital Holdings, Inc. | 2,200 | 13,706 | ||||||
MarketAxess Holdings, Inc. | 2,525 | 507,777 | ||||||
Marlin Business Services Corp. | 500 | 12,575 | ||||||
Morningstar, Inc. | 1,292 | 101,215 | ||||||
MSCI, Inc. | 6,292 | 648,013 | ||||||
NewStar Financial, Inc. | 2,100 | 22,050 | ||||||
On Deck Capital, Inc.(a) | 2,900 | 13,514 | ||||||
PICO Holdings, Inc.(a) | 1,500 | 26,250 | ||||||
Tiptree, Inc. Class A | 1,400 | 9,870 | ||||||
Voya Financial, Inc. | 12,850 | 474,037 | ||||||
|
| |||||||
2,341,484 | ||||||||
|
| |||||||
Diversified Telecommunication Services – 0.5% |
| |||||||
8x8, Inc.(a) | 6,600 | 96,030 | ||||||
ATN International, Inc. | 699 | 47,839 | ||||||
Cincinnati Bell, Inc.(a) | 3,113 | 60,859 | ||||||
Cogent Communications Holdings, Inc. | 2,996 | 120,139 | ||||||
Consolidated Communications Holdings, Inc. | 3,400 | 72,998 | ||||||
FairPoint Communications, Inc.(a) | 1,300 | 20,345 | ||||||
Frontier Communications Corp. | 81,874 | 94,974 | ||||||
General Communication, Inc. Class A(a) | 2,000 | 73,280 | ||||||
Globalstar, Inc.(a)(b) | 27,644 | 58,882 | ||||||
Hawaiian Telcom Holdco, Inc.(a) | 400 | 9,996 | ||||||
IDT Corp. Class B | 1,000 | 14,370 | ||||||
Intelsat SA(a) | 1,847 | 5,652 | ||||||
Iridium Communications, Inc.(a)(b) | 6,119 | 67,615 | ||||||
Lumos Networks Corp.(a) | 1,300 | 23,231 | ||||||
Ooma, Inc.(a) | 1,200 | 9,600 | ||||||
ORBCOMM, Inc.(a) | 4,400 | 49,720 | ||||||
pdvWireless, Inc.(a)(b) | 600 | 13,980 | ||||||
Straight Path Communications, Inc. Class B(a) | 616 | 110,664 |
See accompanying notes to financial statements.
81
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Diversified Telecommunication Services – (continued) |
| |||||||
Vonage Holdings Corp.(a) | 14,000 | $ | 91,560 | |||||
Windstream Holdings, Inc. | 14,511 | 56,303 | ||||||
Zayo Group Holdings, Inc.(a) | 12,853 | 397,158 | ||||||
|
| |||||||
1,495,195 | ||||||||
|
| |||||||
Electric Utilities – 1.0% | ||||||||
ALLETE, Inc. | 3,682 | 263,926 | ||||||
Avangrid, Inc. | 4,000 | 176,600 | ||||||
El Paso Electric Co. | 2,863 | 148,017 | ||||||
Genie Energy, Ltd. Class B | 800 | 6,096 | ||||||
Great Plains Energy, Inc. | 14,863 | 435,189 | ||||||
Hawaiian Electric Industries, Inc. | 7,755 | 251,107 | ||||||
IDACORP, Inc. | 3,484 | 297,359 | ||||||
MGE Energy, Inc. | 2,462 | 158,430 | ||||||
OGE Energy Corp. | 13,783 | 479,510 | ||||||
Otter Tail Corp. | 2,676 | 105,970 | ||||||
PNM Resources, Inc. | 5,851 | 223,801 | ||||||
Portland General Electric Co. | 6,083 | 277,932 | ||||||
Spark Energy, Inc. Class A | 600 | 11,280 | ||||||
Westar Energy, Inc. | 9,814 | 520,338 | ||||||
|
| |||||||
3,355,555 | ||||||||
|
| |||||||
Electrical Equipment – 0.7% | ||||||||
Allied Motion Technologies, Inc. | 362 | 9,854 | ||||||
Atkore International Group, Inc.(a) | 2,300 | 51,865 | ||||||
AZZ, Inc. | 1,840 | 102,672 | ||||||
Babcock & Wilcox Enterprises, Inc.(a) | 3,187 | 37,479 | ||||||
Encore Wire Corp. | 1,454 | 62,086 | ||||||
Energous Corp.(a)(b) | 1,300 | 21,138 | ||||||
EnerSys | 3,141 | 227,565 | ||||||
Generac Holdings, Inc.(a) | 4,549 | 164,355 | ||||||
General Cable Corp. | 3,900 | 63,765 | ||||||
Hubbell, Inc. | 3,800 | 430,046 | ||||||
LSI Industries, Inc. | 1,400 | 12,670 | ||||||
Plug Power, Inc.(a) | 15,500 | 31,620 | ||||||
Powell Industries, Inc. | 500 | 15,995 | ||||||
Preformed Line Products Co. | 200 | 9,284 | ||||||
Regal Beloit Corp. | 3,233 | 263,651 | ||||||
Revolution Lighting Technologies, Inc.(a) | 900 | 5,931 | ||||||
Sensata Technologies Holding NV(a) | 11,800 | 504,096 | ||||||
Sunrun, Inc.(a)(b) | 5,800 | 41,296 | ||||||
Thermon Group Holdings, Inc.(a) | 2,400 | 46,008 | ||||||
TPI Composites, Inc.(a) | 700 | 12,936 | ||||||
Vicor Corp.(a) | 970 | 17,363 | ||||||
|
| |||||||
2,131,675 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 2.9% |
| |||||||
Agilysys, Inc.(a) | 957 | 9,685 | ||||||
Akoustis Technologies, Inc.(a) | 600 | 5,244 | ||||||
Anixter International, Inc.(a) | 1,986 | 155,305 | ||||||
Arrow Electronics, Inc.(a) | 6,112 | 479,303 | ||||||
Avnet, Inc. | 8,530 | 331,646 | ||||||
AVX Corp. | 3,500 | 57,190 | ||||||
Badger Meter, Inc. | 1,976 | 78,744 | ||||||
Belden, Inc. | 2,813 | 212,185 | ||||||
Benchmark Electronics, Inc.(a) | 3,480 | 112,404 | ||||||
CDW Corp. | 10,603 | 663,006 | ||||||
Cognex Corp. | 5,868 | 498,193 | ||||||
Coherent, Inc.(a) | 1,700 | 382,483 | ||||||
Control4 Corp.(a) | 1,712 | 33,572 | ||||||
CTS Corp. | 2,400 | 51,840 | ||||||
Daktronics, Inc. | 2,245 | 21,619 | ||||||
Dolby Laboratories, Inc. Class A | 3,779 | 185,020 | ||||||
Electro Scientific Industries, Inc.(a) | 2,200 | 18,128 | ||||||
ePlus, Inc.(a) | 924 | 68,468 | ||||||
Fabrinet(a) | 2,500 | 106,650 | ||||||
FARO Technologies, Inc.(a) | 1,200 | 45,360 | ||||||
Fitbit, Inc. Class A(a)(b) | 12,009 | 63,768 | ||||||
II-VI, Inc.(a) | 4,184 | 143,511 | ||||||
Insight Enterprises, Inc.(a) | 2,652 | 106,053 | ||||||
IPG Photonics Corp.(a) | 2,596 | 376,680 | ||||||
Iteris, Inc.(a) | 1,600 | 9,952 | ||||||
Itron, Inc.(a) | 2,350 | 159,213 | ||||||
Jabil, Inc. | 12,200 | 356,118 | ||||||
KEMET Corp.(a) | 3,200 | 40,960 | ||||||
Keysight Technologies, Inc.(a) | 12,761 | 496,786 | ||||||
Kimball Electronics, Inc.(a) | 1,944 | 35,089 | ||||||
Knowles Corp.(a) | 6,368 | 107,747 | ||||||
Littelfuse, Inc. | 1,632 | 269,280 | ||||||
Maxwell Technologies, Inc.(a) | 1,900 | 11,381 | ||||||
Mesa Laboratories, Inc. | 199 | 28,519 | ||||||
Methode Electronics, Inc. | 2,649 | 109,139 | ||||||
MicroVision, Inc.(a)(b) | 4,700 | 9,964 | ||||||
MTS Systems Corp. | 1,243 | 64,387 | ||||||
Napco Security Technologies, Inc.(a) | 800 | 7,520 | ||||||
National Instruments Corp. | 7,493 | 301,368 | ||||||
Novanta, Inc.(a) | 2,400 | 86,400 | ||||||
OSI Systems, Inc.(a) | 1,275 | 95,816 | ||||||
Park Electrochemical Corp. | 1,200 | 22,104 | ||||||
PC Connection, Inc. | 700 | 18,942 | ||||||
PCM, Inc.(a) | 700 | 13,125 | ||||||
Plexus Corp.(a) | 2,400 | 126,168 | ||||||
Radisys Corp.(a) | 2,100 | 7,896 | ||||||
Rogers Corp.(a) | 1,321 | 143,487 | ||||||
Sanmina Corp.(a) | 5,210 | 198,501 | ||||||
ScanSource, Inc.(a) | 1,709 | 68,873 | ||||||
SYNNEX Corp. | 2,067 | 247,957 | ||||||
Systemax, Inc. | 700 | 13,160 | ||||||
Tech Data Corp.(a) | 2,539 | 256,439 | ||||||
Trimble, Inc.(a) | 17,381 | 619,980 | ||||||
TTM Technologies, Inc.(a) | 6,300 | 109,368 | ||||||
Universal Display Corp. | 2,984 | 326,002 | ||||||
VeriFone Systems, Inc.(a) | 7,728 | 139,877 | ||||||
Vishay Intertechnology, Inc. | 9,600 | 159,360 | ||||||
Vishay Precision Group, Inc.(a) | 700 | 12,110 | ||||||
Zebra Technologies Corp. Class A(a) | 3,578 | 359,661 | ||||||
|
| |||||||
9,238,706 | ||||||||
|
| |||||||
Energy Equipment & Services – 0.9% |
| |||||||
Archrock, Inc. | 4,600 | 52,440 | ||||||
Atwood Oceanics, Inc.(a) | 5,800 | 47,270 | ||||||
Basic Energy Services, Inc.(a) | 1,200 | 29,880 | ||||||
Bristow Group, Inc. | 2,600 | 19,890 |
See accompanying notes to financial statements.
82
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Energy Equipment & Services – (continued) |
| |||||||
C&J Energy Services, Inc.(a) | 1,200 | $ | 41,124 | |||||
CARBO Ceramics, Inc.(a)(b) | 1,331 | 9,117 | ||||||
Diamond Offshore Drilling, Inc.(a)(b) | 4,500 | 48,735 | ||||||
Dril-Quip, Inc.(a) | 2,675 | 130,540 | ||||||
Ensco PLC Class A | 21,600 | 111,456 | ||||||
Era Group, Inc.(a) | 1,200 | 11,352 | ||||||
Exterran Corp.(a) | 2,200 | 58,740 | ||||||
Fairmount Santrol Holdings, Inc.(a) | 10,600 | 41,340 | ||||||
Forum Energy Technologies, Inc.(a) | 4,539 | 70,809 | ||||||
Frank’s International NV | 3,400 | 28,186 | ||||||
Geospace Technologies Corp.(a) | 800 | 11,064 | ||||||
Gulf Island Fabrication, Inc. | 900 | 10,440 | ||||||
Helix Energy Solutions Group, Inc.(a) | 11,109 | 62,655 | ||||||
Independence Contract Drilling, Inc.(a) | 1,800 | 7,002 | ||||||
Keane Group, Inc.(a)(b) | 2,000 | 32,000 | ||||||
Key Energy Services, Inc.(a) | 700 | 13,468 | ||||||
Mammoth Energy Services, Inc.(a) | 500 | 9,300 | ||||||
Matrix Service Co.(a) | 1,600 | 14,960 | ||||||
McDermott International, Inc.(a) | 19,400 | 139,098 | ||||||
Nabors Industries, Ltd. | 20,687 | 168,392 | ||||||
Natural Gas Services Group, Inc.(a) | 900 | 22,365 | ||||||
NCS Multistage Holdings, Inc.(a) | 800 | 20,144 | ||||||
Newpark Resources, Inc.(a) | 6,300 | 46,305 | ||||||
Noble Corp. PLC | 17,800 | 64,436 | ||||||
Oceaneering International, Inc. | 7,281 | 166,298 | ||||||
Oil States International, Inc.(a) | 3,867 | 104,989 | ||||||
Parker Drilling Co.(a) | 7,300 | 9,855 | ||||||
Patterson-UTI Energy, Inc. | 14,500 | 292,755 | ||||||
PHI, Inc. NVDR(a) | 700 | 6,832 | ||||||
Pioneer Energy Services Corp.(a) | 4,500 | 9,225 | ||||||
ProPetro Holding Corp.(a) | 1,800 | 25,128 | ||||||
RigNet, Inc.(a) | 800 | 12,840 | ||||||
Rowan Cos. PLC Class A(a) | 8,912 | 91,259 | ||||||
RPC, Inc.(b) | 4,032 | 81,487 | ||||||
SEACOR Holdings, Inc.(a) | 1,068 | 36,633 | ||||||
SEACOR Marine Holdings, Inc.(a) | 1,073 | 21,846 | ||||||
Smart Sand, Inc.(a) | 1,500 | 13,365 | ||||||
Solaris Oilfield Infrastructure, Inc. Class A(a) | 700 | 8,071 | ||||||
Superior Energy Services, Inc.(a) | 10,700 | 111,601 | ||||||
Tesco Corp.(a) | 2,800 | 12,460 | ||||||
TETRA Technologies, Inc.(a) | 6,918 | 19,301 | ||||||
Unit Corp.(a) | 3,448 | 64,581 | ||||||
US Silica Holdings, Inc. | 5,588 | 198,318 | ||||||
Weatherford International PLC(a) | 60,136 | 232,726 | ||||||
Willbros Group, Inc.(a) | 2,600 | 6,422 | ||||||
|
| |||||||
2,848,500 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (Reits) – 0.5% |
| |||||||
Colony NorthStar, Inc. Class A REIT | 37,118 | 522,993 | ||||||
CoreCivic, Inc. REIT | 8,325 | 229,603 | ||||||
Global Net Lease, Inc. REIT | 4,841 | 107,664 | ||||||
Invitation Homes, Inc. REIT | 6,400 | 138,432 | ||||||
MedEquities Realty Trust, Inc. REIT | 2,000 | 25,240 | ||||||
Park Hotels & Resorts, Inc. REIT | 8,906 | 240,106 | ||||||
Quality Care Properties, Inc. REIT(a) | 6,700 | 122,677 | ||||||
Uniti Group, Inc. REIT(a) | 11,600 | 291,624 | ||||||
|
| |||||||
1,678,339 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.5% | ||||||||
Andersons, Inc. | 1,985 | 67,788 | ||||||
Casey’s General Stores, Inc. | 2,665 | 285,448 | ||||||
Chefs’ Warehouse, Inc.(a) | 1,200 | 15,600 | ||||||
Ingles Markets, Inc. Class A | 900 | 29,970 | ||||||
Natural Grocers by Vitamin Cottage, Inc.(a) | 500 | 4,135 | ||||||
Performance Food Group Co.(a) | 4,957 | 135,822 | ||||||
PriceSmart, Inc. | 1,491 | 130,612 | ||||||
Rite Aid Corp.(a) | 76,010 | 224,229 | ||||||
Smart & Final Stores, Inc.(a) | 1,395 | 12,695 | ||||||
SpartanNash Co. | 2,500 | 64,900 | ||||||
Sprouts Farmers Market, Inc.(a) | 9,675 | 219,332 | ||||||
SUPERVALU, Inc.(a) | 18,500 | 60,865 | ||||||
United Natural Foods, Inc.(a) | 3,548 | 130,212 | ||||||
US Foods Holding Corp.(a) | 9,328 | 253,908 | ||||||
Village Super Market, Inc. Class A | 469 | 12,156 | ||||||
Weis Markets, Inc. | 615 | 29,963 | ||||||
|
| |||||||
1,677,635 | ||||||||
|
| |||||||
Food Products – 1.7% | ||||||||
Alico, Inc. | 200 | 6,260 | ||||||
Amplify Snack Brands, Inc.(a)(b) | 2,347 | 22,625 | ||||||
B&G Foods, Inc. | 4,900 | 174,440 | ||||||
Blue Buffalo Pet Products, Inc.(a) | 6,492 | 148,083 | ||||||
Bunge, Ltd. | 9,734 | 726,156 | ||||||
Cal-Maine Foods, Inc.(a)(b) | 2,400 | 95,040 | ||||||
Calavo Growers, Inc. | 1,142 | 78,855 | ||||||
Darling Ingredients, Inc.(a) | 12,200 | 192,028 | ||||||
Dean Foods Co. | 6,600 | 112,200 | ||||||
Farmer Brothers Co.(a) | 650 | 19,662 | ||||||
Flowers Foods, Inc. | 12,731 | 220,374 | ||||||
Fresh Del Monte Produce, Inc. | 2,334 | 118,824 | ||||||
Freshpet, Inc.(a) | 1,600 | 26,560 | ||||||
Hain Celestial Group, Inc.(a) | 7,379 | 286,453 | ||||||
Hostess Brands, Inc.(a) | 3,300 | 53,130 | ||||||
Ingredion, Inc. | 4,901 | 584,248 | ||||||
J&J Snack Foods Corp. | 1,105 | 145,937 | ||||||
John B Sanfilippo & Son, Inc. | 578 | 36,478 | ||||||
Lamb Weston Holdings, Inc. | 10,100 | 444,804 | ||||||
Lancaster Colony Corp. | 1,332 | 163,330 | ||||||
Landec Corp.(a) | 1,600 | 23,760 | ||||||
Lifeway Foods, Inc.(a) | 200 | 1,868 | ||||||
Limoneira Co. | 700 | 16,541 | ||||||
Omega Protein Corp. | 1,571 | 28,121 | ||||||
Pilgrim’s Pride Corp.(a) | 4,100 | 89,872 | ||||||
Pinnacle Foods, Inc. | 8,200 | 487,080 | ||||||
Post Holdings, Inc.(a) | 4,454 | 345,853 | ||||||
Sanderson Farms, Inc. | 1,473 | 170,352 | ||||||
Seaboard Corp. | 19 | 75,905 |
See accompanying notes to financial statements.
83
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Food Products – (continued) |
| |||||||
Seneca Foods Corp. Class A(a) | 349 | $ | 10,836 | |||||
Snyder’s-Lance, Inc. | 5,872 | 203,289 | ||||||
Tootsie Roll Industries, Inc.(b) | 1,436 | 50,045 | ||||||
TreeHouse Foods, Inc.(a) | 3,739 | 305,439 | ||||||
|
| |||||||
5,464,448 | ||||||||
|
| |||||||
Gas Utilities – 1.0% | ||||||||
Atmos Energy Corp. | 7,298 | 605,369 | ||||||
Chesapeake Utilities Corp. | 1,138 | 85,293 | ||||||
Delta Natural Gas Co., Inc. | 400 | 12,188 | ||||||
National Fuel Gas Co. | 5,563 | 310,638 | ||||||
New Jersey Resources Corp. | 5,803 | 230,379 | ||||||
Northwest Natural Gas Co. | 2,060 | 123,291 | ||||||
ONE Gas, Inc. | 3,587 | 250,409 | ||||||
RGC Resources, Inc. | 500 | 14,165 | ||||||
South Jersey Industries, Inc. | 5,385 | 184,005 | ||||||
Southwest Gas Holdings, Inc. | 3,216 | 234,961 | ||||||
Spire, Inc. | 3,339 | 232,895 | ||||||
UGI Corp. | 11,953 | 578,645 | ||||||
WGL Holdings, Inc. | 3,583 | 298,930 | ||||||
|
| |||||||
3,161,168 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 2.8% |
| |||||||
Abaxis, Inc. | 1,600 | 84,832 | ||||||
ABIOMED, Inc.(a) | 2,902 | 415,857 | ||||||
Accuray, Inc.(a) | 4,800 | 22,800 | ||||||
Alere, Inc.(a) | 5,899 | 296,071 | ||||||
Analogic Corp. | 912 | 66,257 | ||||||
AngioDynamics, Inc.(a) | 2,500 | 40,525 | ||||||
Anika Therapeutics, Inc.(a) | 947 | 46,725 | ||||||
Antares Pharma, Inc.(a) | 10,000 | 32,200 | ||||||
AtriCure, Inc.(a) | 2,200 | 53,350 | ||||||
Atrion Corp. | 108 | 69,476 | ||||||
AxoGen, Inc.(a) | 1,600 | 26,800 | ||||||
Cantel Medical Corp. | 2,589 | 201,709 | ||||||
Cardiovascular Systems, Inc.(a) | 2,350 | 75,740 | ||||||
Cerus Corp.(a) | 6,100 | 15,311 | ||||||
ConforMIS, Inc.(a) | 2,100 | 9,009 | ||||||
CONMED Corp. | 2,001 | 101,931 | ||||||
Corindus Vascular Robotics, Inc.(a)(b) | 5,800 | 10,788 | ||||||
CryoLife, Inc.(a) | 2,200 | 43,890 | ||||||
Cutera, Inc.(a) | 900 | 23,310 | ||||||
DexCom, Inc.(a) | 6,013 | 439,851 | ||||||
Endologix, Inc.(a) | 5,523 | 26,842 | ||||||
Entellus Medical, Inc.(a) | 800 | 13,248 | ||||||
Exactech, Inc.(a) | 700 | 20,860 | ||||||
FONAR Corp.(a) | 400 | 11,100 | ||||||
GenMark Diagnostics, Inc.(a) | 3,000 | 35,490 | ||||||
Glaukos Corp.(a) | 1,968 | 81,613 | ||||||
Globus Medical, Inc. Class A(a) | 5,258 | 174,303 | ||||||
Haemonetics Corp.(a) | 3,666 | 144,770 | ||||||
Halyard Health, Inc.(a) | 3,500 | 137,480 | ||||||
Hill-Rom Holdings, Inc. | 4,558 | 362,862 | ||||||
ICU Medical, Inc.(a) | 1,094 | 188,715 | ||||||
Inogen, Inc.(a) | 1,200 | 114,504 | ||||||
Insulet Corp.(a) | 4,300 | 220,633 | ||||||
Integer Holdings Corp.(a) | 2,383 | 103,065 | ||||||
Integra LifeSciences Holdings Corp.(a) | 4,454 | 242,788 | ||||||
Invacare Corp. | 2,200 | 29,040 | ||||||
InVivo Therapeutics Holdings Corp.(a)(b) | 1,400 | 3,780 | ||||||
iRhythm Technologies, Inc.(a) | 900 | 38,241 | ||||||
K2M Group Holdings, Inc.(a) | 2,800 | 68,208 | ||||||
Lantheus Holdings, Inc.(a) | 1,800 | 31,770 | ||||||
LeMaitre Vascular, Inc. | 900 | 28,098 | ||||||
LivaNova PLC(a) | 3,400 | 208,114 | ||||||
Masimo Corp.(a) | 3,064 | 279,376 | ||||||
Meridian Bioscience, Inc. | 2,900 | 45,675 | ||||||
Merit Medical Systems, Inc.(a) | 3,600 | 137,340 | ||||||
Natus Medical, Inc.(a) | 2,334 | 87,058 | ||||||
Neogen Corp.(a) | 2,741 | 189,430 | ||||||
Nevro Corp.(a) | 1,897 | 141,194 | ||||||
Novocure, Ltd.(a) | 3,955 | 68,421 | ||||||
NuVasive, Inc.(a) | 3,580 | 275,374 | ||||||
NxStage Medical, Inc.(a) | 4,600 | 115,322 | ||||||
Obalon Therapeutics, Inc.(a) | 300 | 2,973 | ||||||
OraSure Technologies, Inc.(a) | 3,800 | 65,588 | ||||||
Orthofix International NV(a) | 1,186 | 55,125 | ||||||
Oxford Immunotec Global PLC(a) | 1,300 | 21,866 | ||||||
Penumbra, Inc.(a) | 1,978 | 173,569 | ||||||
Pulse Biosciences, Inc.(a) | 600 | 20,718 | ||||||
Quidel Corp.(a) | 1,900 | 51,566 | ||||||
Quotient, Ltd.(a) | 1,900 | 13,984 | ||||||
ResMed, Inc. | 9,675 | 753,392 | ||||||
Rockwell Medical, Inc.(a) | 2,900 | 22,997 | ||||||
RTI Surgical, Inc.(a) | 3,400 | 19,890 | ||||||
Sientra, Inc.(a) | 1,000 | 9,720 | ||||||
Spectranetics Corp.(a) | 3,122 | 119,885 | ||||||
STAAR Surgical Co.(a) | 2,800 | 30,240 | ||||||
STERIS PLC | 5,900 | 480,850 | ||||||
Surmodics, Inc.(a) | 800 | 22,520 | ||||||
Tactile Systems Technology, Inc.(a)(b) | 600 | 17,148 | ||||||
Teleflex, Inc. | 3,160 | 656,522 | ||||||
Utah Medical Products, Inc. | 237 | 17,159 | ||||||
Varex Imaging Corp.(a) | 2,700 | 91,260 | ||||||
Veracyte, Inc.(a) | 1,600 | 13,328 | ||||||
ViewRay, Inc.(a) | 2,000 | 12,940 | ||||||
Viveve Medical, Inc.(a)(b) | 1,000 | 7,180 | ||||||
West Pharmaceutical Services, Inc. | 5,187 | 490,275 | ||||||
Wright Medical Group NV(a) | 7,609 | 209,171 | ||||||
|
| |||||||
9,081,012 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.6% |
| |||||||
AAC Holdings, Inc.(a)(b) | 600 | 4,158 | ||||||
Acadia Healthcare Co., Inc.(a) | 5,399 | 266,603 | ||||||
Aceto Corp. | 2,300 | 35,535 | ||||||
Addus HomeCare Corp.(a) | 467 | 17,372 | ||||||
Almost Family, Inc.(a) | 885 | 54,560 | ||||||
Amedisys, Inc.(a) | 2,105 | 132,215 | ||||||
American Renal Associates Holdings, Inc.(a) | 500 | 9,275 | ||||||
AMN Healthcare Services, Inc.(a) | 3,548 | 138,550 | ||||||
BioScrip, Inc.(a)(b) | 10,000 | 27,150 |
See accompanying notes to financial statements.
84
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Health Care Providers & Services – (continued) |
| |||||||
BioTelemetry, Inc.(a) | 1,800 | $ | 60,210 | |||||
Brookdale Senior Living, Inc.(a) | 13,162 | 193,613 | ||||||
Capital Senior Living Corp.(a) | 1,700 | 25,857 | ||||||
Chemed Corp. | 1,143 | 233,778 | ||||||
Civitas Solutions, Inc.(a) | 900 | 15,750 | ||||||
Community Health Systems, Inc.(a) | 7,667 | 76,363 | ||||||
CorVel Corp.(a) | 694 | 32,930 | ||||||
Cross Country Healthcare, Inc.(a) | 2,400 | 30,984 | ||||||
Diplomat Pharmacy, Inc.(a) | 3,063 | 45,332 | ||||||
Ensign Group, Inc. | 3,670 | 79,896 | ||||||
Genesis Healthcare, Inc.(a) | 2,200 | 3,828 | ||||||
HealthEquity, Inc.(a) | 3,463 | 172,561 | ||||||
HealthSouth Corp. | 6,100 | 295,240 | ||||||
Kindred Healthcare, Inc. | 5,700 | 66,405 | ||||||
Landauer, Inc. | 600 | 31,380 | ||||||
LHC Group, Inc.(a) | 1,200 | 81,468 | ||||||
LifePoint Health, Inc.(a) | 2,512 | 168,681 | ||||||
Magellan Health, Inc.(a) | 1,662 | 121,160 | ||||||
MEDNAX, Inc.(a) | 6,279 | 379,063 | ||||||
Molina Healthcare, Inc.(a) | 3,054 | 211,276 | ||||||
National HealthCare Corp. | 800 | 56,112 | ||||||
National Research Corp. Class A | 500 | 13,450 | ||||||
Owens & Minor, Inc. | 4,038 | 129,983 | ||||||
PharMerica Corp.(a) | 2,000 | 52,500 | ||||||
Premier, Inc. Class A(a) | 3,545 | 127,620 | ||||||
Providence Service Corp.(a) | 800 | 40,488 | ||||||
R1 RCM, Inc.(a) | 7,000 | 26,250 | ||||||
RadNet, Inc.(a) | 2,200 | 17,050 | ||||||
Select Medical Holdings Corp.(a) | 7,600 | 116,660 | ||||||
Surgery Partners, Inc.(a) | 1,300 | 29,575 | ||||||
Teladoc, Inc.(a) | 3,692 | 128,112 | ||||||
Tenet Healthcare Corp.(a) | 5,769 | 111,573 | ||||||
Tivity Health, Inc.(a) | 2,500 | 99,625 | ||||||
Triple-S Management Corp. Class B(a) | 1,589 | 26,870 | ||||||
US Physical Therapy, Inc. | 800 | 48,320 | ||||||
VCA, Inc.(a) | 5,391 | 497,643 | ||||||
WellCare Health Plans, Inc.(a) | 3,080 | 553,045 | ||||||
|
| |||||||
5,086,069 | ||||||||
|
| |||||||
Health Care Technology – 0.6% | ||||||||
Allscripts Healthcare Solutions, Inc.(a) | 12,100 | 154,396 | ||||||
athenahealth, Inc.(a) | 2,764 | 388,480 | ||||||
Castlight Health, Inc. Class B(a) | 4,400 | 18,260 | ||||||
Computer Programs & Systems, Inc.(b) | 713 | 23,386 | ||||||
Cotiviti Holdings, Inc.(a) | 1,800 | 66,852 | ||||||
Evolent Health, Inc. Class A(a) | 2,600 | 65,910 | ||||||
HealthStream, Inc.(a) | 1,700 | 44,744 | ||||||
HMS Holdings Corp.(a) | 5,841 | 108,059 | ||||||
Inovalon Holdings, Inc. Class A(a)(b) | 4,500 | 59,175 | ||||||
Medidata Solutions, Inc.(a) | 4,069 | 318,196 | ||||||
NantHealth, Inc.(a)(b) | 200 | 846 | ||||||
Omnicell, Inc.(a) | 2,564 | 110,508 | ||||||
Quality Systems, Inc.(a) | 3,800 | 65,398 | ||||||
Simulations Plus, Inc. | 800 | 9,880 | ||||||
Tabula Rasa HealthCare, Inc.(a) | 600 | 9,030 | ||||||
Veeva Systems, Inc. Class A(a) | 7,421 | 454,982 | ||||||
Vocera Communications, Inc.(a) | 1,934 | 51,096 | ||||||
|
| |||||||
1,949,198 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 4.0% |
| |||||||
Aramark | 16,825 | 689,489 | ||||||
Belmond, Ltd. Class A(a) | 5,700 | 75,810 | ||||||
Biglari Holdings, Inc.(a) | 66 | 26,383 | ||||||
BJ’s Restaurants, Inc.(a) | 1,500 | 55,875 | ||||||
Bloomin’ Brands, Inc. | 6,600 | 140,118 | ||||||
Bob Evans Farms, Inc. | 1,400 | 100,562 | ||||||
Bojangles’, Inc.(a) | 1,200 | 19,500 | ||||||
Boyd Gaming Corp. | 5,900 | 146,379 | ||||||
Brinker International, Inc. | 3,530 | 134,493 | ||||||
Buffalo Wild Wings, Inc.(a) | 1,126 | 142,664 | ||||||
Caesars Acquisition Co. Class A(a) | 3,600 | 68,580 | ||||||
Caesars Entertainment Corp.(a)(b) | 3,900 | 46,800 | ||||||
Carrols Restaurant Group, Inc.(a) | 2,100 | 25,725 | ||||||
Century Casinos, Inc.(a) | 1,300 | 9,581 | ||||||
Cheesecake Factory, Inc. | 3,355 | 168,757 | ||||||
Choice Hotels International, Inc. | 2,349 | 150,923 | ||||||
Churchill Downs, Inc. | 964 | 176,701 | ||||||
Chuy’s Holdings, Inc.(a) | 1,100 | 25,740 | ||||||
ClubCorp Holdings, Inc. | 4,500 | 58,950 | ||||||
Cracker Barrel Old Country Store, Inc.(b) | 1,335 | 223,279 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 2,848 | 189,421 | ||||||
Del Frisco’s Restaurant Group, Inc.(a) | 1,400 | 22,540 | ||||||
Del Taco Restaurants, Inc.(a) | 2,300 | 31,625 | ||||||
Denny’s Corp.(a) | 5,200 | 61,204 | ||||||
DineEquity, Inc. | 1,295 | 57,045 | ||||||
Domino’s Pizza, Inc. | 3,369 | 712,645 | ||||||
Drive Shack, Inc. | 4,300 | 13,545 | ||||||
Dunkin’ Brands Group, Inc. | 6,280 | 346,154 | ||||||
El Pollo Loco Holdings, Inc.(a) | 1,200 | 16,620 | ||||||
Eldorado Resorts, Inc.(a) | 3,100 | 62,000 | ||||||
Empire Resorts, Inc.(a) | 200 | 4,780 | ||||||
Extended Stay America, Inc. | 11,600 | 224,576 | ||||||
Fiesta Restaurant Group, Inc.(a) | 1,999 | 41,279 | ||||||
Fogo De Chao, Inc.(a) | 700 | 9,730 | ||||||
Golden Entertainment, Inc.(a) | 600 | 12,426 | ||||||
Habit Restaurants, Inc. Class A(a) | 1,400 | 22,120 | ||||||
Hilton Grand Vacations, Inc.(a) | 4,041 | 145,718 | ||||||
Hyatt Hotels Corp. Class A(a) | 2,329 | 130,913 | ||||||
ILG, Inc. | 7,199 | 197,901 | ||||||
International Game Technology PLC | 7,200 | 131,760 | ||||||
International Speedway Corp. Class A | 2,006 | 75,325 | ||||||
Intrawest Resorts Holdings, Inc.(a) | 1,000 | 23,740 | ||||||
J Alexander’s Holdings, Inc.(a) | 769 | 9,420 | ||||||
Jack in the Box, Inc. | 2,180 | 214,730 | ||||||
La Quinta Holdings, Inc.(a) | 5,800 | 85,666 | ||||||
Las Vegas Sands Corp. | 25,164 | 1,607,728 | ||||||
Lindblad Expeditions Holdings, Inc.(a) | 1,400 | 14,700 |
See accompanying notes to financial statements.
85
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Hotels, Restaurants & Leisure – (continued) |
| |||||||
Marcus Corp. | 1,400 | $ | 42,280 | |||||
Marriott Vacations Worldwide Corp. | 1,468 | 172,857 | ||||||
MGM Resorts International | 35,395 | 1,107,510 | ||||||
Monarch Casino & Resort, Inc.(a) | 700 | 21,175 | ||||||
Nathan’s Famous, Inc.(a) | 200 | 12,600 | ||||||
Noodles & Co.(a) | 700 | 2,730 | ||||||
Norwegian Cruise Line Holdings, Ltd.(a) | 11,126 | 604,031 | ||||||
Panera Bread Co. Class A(a) | 1,488 | 468,184 | ||||||
Papa John’s International, Inc. | 1,788 | 128,307 | ||||||
Penn National Gaming, Inc.(a) | 5,900 | 126,260 | ||||||
Pinnacle Entertainment, Inc.(a) | 4,000 | 79,040 | ||||||
Planet Fitness, Inc. Class A | 5,900 | 137,706 | ||||||
Potbelly Corp.(a) | 1,400 | 16,100 | ||||||
RCI Hospitality Holdings, Inc. | 600 | 14,304 | ||||||
Red Lion Hotels Corp.(a) | 900 | 6,615 | ||||||
Red Robin Gourmet Burgers, Inc.(a) | 936 | 61,074 | ||||||
Red Rock Resorts, Inc. Class A | 4,686 | 110,355 | ||||||
Ruby Tuesday, Inc.(a) | 3,600 | 7,236 | ||||||
Ruth’s Hospitality Group, Inc. | 2,100 | 45,675 | ||||||
Scientific Games Corp. Class A(a) | 3,600 | 93,960 | ||||||
SeaWorld Entertainment, Inc. | 4,790 | 77,933 | ||||||
Shake Shack, Inc. Class A(a) | 1,530 | 53,366 | ||||||
Six Flags Entertainment Corp. | 4,910 | 292,685 | ||||||
Sonic Corp. | 2,870 | 76,026 | ||||||
Speedway Motorsports, Inc. | 700 | 12,789 | ||||||
Texas Roadhouse, Inc. | 4,555 | 232,077 | ||||||
Vail Resorts, Inc. | 2,798 | 567,518 | ||||||
Wendy’s Co. | 12,527 | 194,294 | ||||||
Wingstop, Inc. | 1,970 | 60,873 | ||||||
Yum China Holdings, Inc.(a) | 25,763 | 1,015,835 | ||||||
Zoe’s Kitchen, Inc.(a) | 1,300 | 15,483 | ||||||
|
| |||||||
12,808,498 | ||||||||
|
| |||||||
Household Durables – 1.1% | ||||||||
Bassett Furniture Industries, Inc. | 600 | 22,770 | ||||||
Beazer Homes USA, Inc.(a) | 2,200 | 30,184 | ||||||
CalAtlantic Group, Inc. | 4,766 | 168,478 | ||||||
Cavco Industries, Inc.(a) | 588 | 76,234 | ||||||
Century Communities, Inc.(a) | 1,100 | 27,280 | ||||||
CSS Industries, Inc. | 500 | 13,080 | ||||||
Ethan Allen Interiors, Inc. | 1,900 | 61,370 | ||||||
Flexsteel Industries, Inc. | 500 | 27,055 | ||||||
GoPro, Inc. Class A(a)(b) | 7,100 | 57,723 | ||||||
Green Brick Partners, Inc.(a) | 1,400 | 16,030 | ||||||
Helen of Troy, Ltd.(a) | 2,026 | 190,647 | ||||||
Hooker Furniture Corp. | 800 | 32,920 | ||||||
Hovnanian Enterprises, Inc. Class A(a) | 7,300 | 20,440 | ||||||
Installed Building Products, Inc.(a) | 1,500 | 79,425 | ||||||
iRobot Corp.(a) | 1,900 | 159,866 | ||||||
KB Home | 5,800 | 139,026 | ||||||
La-Z-Boy, Inc. | 3,433 | 111,572 | ||||||
LGI Homes, Inc.(a)(b) | 1,100 | 44,198 | ||||||
Libbey, Inc. | 1,342 | 10,816 | ||||||
Lifetime Brands, Inc. | 700 | 12,705 | ||||||
M/I Homes, Inc.(a) | 1,600 | 45,680 | ||||||
MDC Holdings, Inc. | 2,965 | 104,753 | ||||||
Meritage Homes Corp.(a) | 2,658 | 112,168 | ||||||
NACCO Industries, Inc. Class A | 241 | 17,075 | ||||||
New Home Co., Inc.(a) | 800 | 9,176 | ||||||
NVR, Inc.(a) | 234 | 564,083 | ||||||
Taylor Morrison Home Corp. Class A(a) | 4,200 | 100,842 | ||||||
Tempur Sealy International, Inc.(a)(b) | 3,449 | 184,142 | ||||||
Toll Brothers, Inc. | 10,383 | 410,232 | ||||||
TopBuild Corp.(a) | 2,752 | 146,049 | ||||||
TRI Pointe Group, Inc.(a) | 10,683 | 140,909 | ||||||
Tupperware Brands Corp. | 3,581 | 251,494 | ||||||
UCP, Inc. Class A(a) | 500 | 5,475 | ||||||
Universal Electronics, Inc.(a) | 1,139 | 76,142 | ||||||
William Lyon Homes Class A(a) | 1,700 | 41,038 | ||||||
ZAGG, Inc.(a) | 1,700 | 14,705 | ||||||
|
| |||||||
3,525,782 | ||||||||
|
| |||||||
Household Products – 0.3% | ||||||||
Central Garden & Pet Co.(a) | 600 | 19,074 | ||||||
Central Garden & Pet Co. Class A(a) | 2,300 | 69,046 | ||||||
Energizer Holdings, Inc. | 4,512 | 216,666 | ||||||
HRG Group, Inc.(a) | 8,300 | 146,993 | ||||||
Oil-Dri Corp. of America | 448 | 18,820 | ||||||
Orchids Paper Products Co. | 560 | 7,252 | ||||||
Spectrum Brands Holdings, Inc. | 1,718 | 214,819 | ||||||
WD-40 Co. | 980 | 108,143 | ||||||
|
| |||||||
800,813 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.4% |
| |||||||
Atlantic Power Corp.(a) | 6,900 | 16,560 | ||||||
Calpine Corp.(a) | 25,754 | 348,452 | ||||||
Dynegy, Inc.(a) | 8,684 | 71,817 | ||||||
NRG Yield, Inc. Class A | 2,400 | 40,944 | ||||||
NRG Yield, Inc. Class C | 4,300 | 75,680 | ||||||
Ormat Technologies, Inc. | 2,742 | 160,900 | ||||||
Pattern Energy Group, Inc. | 5,000 | 119,200 | ||||||
TerraForm Global, Inc. Class A(a) | 6,400 | 32,320 | ||||||
TerraForm Power, Inc. Class A(a) | 6,000 | 72,000 | ||||||
Vistra Energy Corp. | 16,900 | 283,751 | ||||||
Vivint Solar, Inc.(a)(b) | 1,400 | 8,190 | ||||||
|
| |||||||
1,229,814 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
Carlisle Cos., Inc. | 4,393 | 419,092 | ||||||
Raven Industries, Inc. | 2,500 | 83,250 | ||||||
|
| |||||||
502,342 | ||||||||
|
| |||||||
Insurance – 3.9% | ||||||||
Alleghany Corp.(a) | 1,081 | 642,979 | ||||||
Allied World Assurance Co. Holdings AG | 5,869 | 310,470 | ||||||
Ambac Financial Group, Inc.(a) | 3,200 | 55,520 | ||||||
American Equity Investment Life Holding Co. | 6,068 | 159,467 | ||||||
American Financial Group, Inc. | 4,959 | 492,776 | ||||||
American National Insurance Co. | 586 | 68,263 | ||||||
AMERISAFE, Inc. | 1,381 | 78,648 |
See accompanying notes to financial statements.
86
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Insurance – (continued) |
| |||||||
AmTrust Financial Services, Inc. | 6,370 | $ | 96,442 | |||||
Arch Capital Group, Ltd.(a) | 7,946 | 741,282 | ||||||
Argo Group International Holdings, Ltd. | 2,057 | 124,654 | ||||||
Aspen Insurance Holdings, Ltd. | 3,988 | 198,802 | ||||||
Assured Guaranty, Ltd. | 8,219 | 343,061 | ||||||
Athene Holding, Ltd. Class A(a) | 2,900 | 143,869 | ||||||
Atlas Financial Holdings, Inc.(a) | 600 | 8,940 | ||||||
Axis Capital Holdings, Ltd. | 5,716 | 369,596 | ||||||
Baldwin & Lyons, Inc. Class B | 500 | 12,250 | ||||||
Blue Capital Reinsurance Holdings, Ltd. | 400 | 7,320 | ||||||
Brown & Brown, Inc. | 8,466 | 364,631 | ||||||
Citizens, Inc.(a)(b) | 2,800 | 20,664 | ||||||
CNA Financial Corp. | 1,999 | 97,451 | ||||||
CNO Financial Group, Inc. | 11,608 | 242,375 | ||||||
Crawford & Co. Class B | 691 | 6,426 | ||||||
Donegal Group, Inc. Class A | 500 | 7,950 | ||||||
eHealth, Inc.(a) | 1,100 | 20,680 | ||||||
EMC Insurance Group, Inc. | 500 | 13,890 | ||||||
Employers Holdings, Inc. | 2,300 | 97,290 | ||||||
Enstar Group, Ltd.(a) | 783 | 155,543 | ||||||
Erie Indemnity Co. Class A | 1,738 | 217,372 | ||||||
FBL Financial Group, Inc. Class A | 726 | 44,649 | ||||||
Federated National Holding Co. | 800 | 12,800 | ||||||
Fidelity & Guaranty Life | 1,000 | 31,050 | ||||||
First American Financial Corp. | 7,648 | 341,789 | ||||||
FNF Group | 18,122 | 812,409 | ||||||
Genworth Financial, Inc. Class A(a) | 37,100 | 139,867 | ||||||
Global Indemnity, Ltd.(a) | 554 | 21,479 | ||||||
Greenlight Capital Re, Ltd. Class A(a) | 2,000 | 41,800 | ||||||
Hallmark Financial Services, Inc.(a) | 841 | 9,478 | ||||||
Hanover Insurance Group, Inc. | 3,026 | 268,194 | ||||||
HCI Group, Inc. | 545 | 25,604 | ||||||
Health Insurance Innovations, Inc. Class A(a) | 800 | 18,800 | ||||||
Heritage Insurance Holdings, Inc. | 1,600 | 20,832 | ||||||
Horace Mann Educators Corp. | 3,000 | 113,400 | ||||||
Independence Holding Co. | 400 | 8,180 | ||||||
Infinity Property & Casualty Corp. | 767 | 72,098 | ||||||
Investors Title Co. | 86 | 16,636 | ||||||
James River Group Holdings, Ltd. | 1,300 | 51,649 | ||||||
Kemper Corp. | 2,883 | 111,284 | ||||||
Kingstone Cos., Inc. | 600 | 9,180 | ||||||
Kinsale Capital Group, Inc. | 1,000 | 37,310 | ||||||
Maiden Holdings, Ltd. | 5,100 | 56,610 | ||||||
Markel Corp.(a) | 993 | 969,029 | ||||||
MBIA, Inc.(a) | 9,600 | 90,528 | ||||||
Mercury General Corp. | 2,037 | 109,998 | ||||||
National General Holdings Corp. | 3,299 | 69,609 | ||||||
National Western Life Group, Inc. Class A | 177 | 56,573 | ||||||
Navigators Group, Inc. | 1,592 | 87,401 | ||||||
NI Holdings, Inc.(a) | 700 | 12,516 | ||||||
Old Republic International Corp. | 16,722 | 326,581 | ||||||
OneBeacon Insurance Group, Ltd. Class A | 1,200 | 21,876 | ||||||
Patriot National, Inc.(a)(b) | 600 | 1,272 | ||||||
Primerica, Inc. | 3,077 | 233,083 | ||||||
ProAssurance Corp. | 3,742 | 227,514 | ||||||
Reinsurance Group of America, Inc. | 4,478 | 574,930 | ||||||
RenaissanceRe Holdings, Ltd. | 2,813 | 391,148 | ||||||
RLI Corp. | 2,718 | 148,457 | ||||||
Safety Insurance Group, Inc. | 1,138 | 77,725 | ||||||
Selective Insurance Group, Inc. | 4,200 | 210,210 | ||||||
State Auto Financial Corp. | 1,100 | 28,303 | ||||||
State National Cos., Inc. | 2,100 | 38,598 | ||||||
Stewart Information Services Corp. | 1,649 | 74,832 | ||||||
Third Point Reinsurance, Ltd.(a) | 4,900 | 68,110 | ||||||
Trupanion, Inc.(a)(b) | 1,569 | 35,114 | ||||||
United Fire Group, Inc. | 1,498 | 66,002 | ||||||
United Insurance Holdings Corp. | 1,000 | 15,730 | ||||||
Universal Insurance Holdings, Inc. | 2,300 | 57,960 | ||||||
Validus Holdings, Ltd. | 5,492 | 285,419 | ||||||
White Mountains Insurance Group, Ltd. | 308 | 267,538 | ||||||
WMIH Corp.(a) | 12,134 | 15,167 | ||||||
WR Berkley Corp. | 6,567 | 454,239 | ||||||
|
| |||||||
12,379,171 | ||||||||
|
| |||||||
Internet & Catalog Retail – 0.7% |
| |||||||
1-800-Flowers.com, Inc. Class A(a) | 1,600 | 15,600 | ||||||
Duluth Holdings, Inc. Class B(a) | 599 | 10,908 | ||||||
Etsy, Inc.(a) | 7,600 | 114,000 | ||||||
FTD Cos., Inc.(a) | 1,200 | 24,000 | ||||||
Gaia, Inc.(a) | 400 | 4,480 | ||||||
Groupon, Inc.(a) | 26,222 | 100,692 | ||||||
HSN, Inc. | 2,210 | 70,499 | ||||||
Lands’ End, Inc.(a) | 900 | 13,410 | ||||||
Liberty Expedia Holdings, Inc. Class A(a) | 3,787 | 204,574 | ||||||
Liberty Interactive Corp. QVC Group Class A(a) | 28,562 | 700,911 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A(a) | 5,300 | 61,480 | ||||||
Liberty Ventures Series A(a) | 5,780 | 302,236 | ||||||
Nutrisystem, Inc. | 2,051 | 106,755 | ||||||
Overstock.com, Inc.(a) | 1,200 | 19,560 | ||||||
PetMed Express, Inc. | 1,400 | 56,840 | ||||||
Shutterfly, Inc.(a) | 2,551 | 121,173 | ||||||
Travelport Worldwide, Ltd. | 8,400 | 115,584 | ||||||
Wayfair, Inc. Class A(a) | 2,651 | 203,809 | ||||||
|
| |||||||
2,246,511 | ||||||||
|
| |||||||
Internet Software & Services – 2.2% |
| |||||||
2U, Inc.(a) | 3,005 | 140,995 | ||||||
Actua Corp.(a) | 2,200 | 30,910 | ||||||
Alarm.com Holdings, Inc.(a) | 1,400 | 52,682 |
See accompanying notes to financial statements.
87
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Internet Software & Services – (continued) |
| |||||||
Alteryx, Inc. Class A(a) | 600 | $ | 11,712 | |||||
Amber Road, Inc.(a) | 1,100 | 9,427 | ||||||
Angie’s List, Inc.(a) | 3,235 | 41,376 | ||||||
Appfolio, Inc. Class A(a) | 500 | 16,300 | ||||||
Apptio, Inc. Class A(a) | 1,200 | 20,820 | ||||||
Bankrate, Inc.(a) | 3,800 | 48,830 | ||||||
Bazaarvoice, Inc.(a) | 7,000 | 34,650 | ||||||
Benefitfocus, Inc.(a)(b) | 1,041 | 37,840 | ||||||
Blucora, Inc.(a) | 2,700 | 57,240 | ||||||
Box, Inc. Class A(a) | 5,365 | 97,858 | ||||||
Brightcove, Inc.(a) | 1,826 | 11,321 | ||||||
Carbonite, Inc.(a) | 1,700 | 37,060 | ||||||
Care.com, Inc.(a) | 800 | 12,080 | ||||||
Cars.com, Inc.(a) | 5,100 | 135,813 | ||||||
ChannelAdvisor Corp.(a) | 1,400 | 16,170 | ||||||
Cimpress NV(a)(b) | 1,830 | 172,990 | ||||||
Cloudera, Inc.(a) | 1,000 | 16,020 | ||||||
CommerceHub, Inc. Series A(a) | 846 | 14,737 | ||||||
CommerceHub, Inc. Series C(a) | 2,193 | 38,246 | ||||||
Cornerstone OnDemand, Inc.(a) | 3,751 | 134,098 | ||||||
CoStar Group, Inc.(a) | 2,229 | 587,564 | ||||||
Coupa Software, Inc.(a) | 2,100 | 60,858 | ||||||
DHI Group, Inc.(a) | 3,000 | 8,550 | ||||||
Endurance International Group Holdings, Inc.(a) | 4,235 | 35,362 | ||||||
Envestnet, Inc.(a) | 3,152 | 124,819 | ||||||
Five9, Inc.(a) | 3,527 | 75,901 | ||||||
Global Sources, Ltd.(a) | 600 | 12,000 | ||||||
GoDaddy, Inc. Class A(a) | 5,453 | 231,316 | ||||||
Gogo, Inc.(a)(b) | 4,310 | 49,694 | ||||||
GrubHub, Inc.(a) | 5,921 | 258,156 | ||||||
GTT Communications, Inc.(a) | 2,095 | 66,307 | ||||||
Hortonworks, Inc.(a) | 2,978 | 38,357 | ||||||
IAC/InterActiveCorp(a) | 4,811 | 496,688 | ||||||
Instructure, Inc.(a) | 1,500 | 44,250 | ||||||
Internap Corp.(a) | 5,600 | 20,552 | ||||||
j2 Global, Inc. | 3,164 | 269,225 | ||||||
Leaf Group, Ltd.(a) | 800 | 6,240 | ||||||
Limelight Networks, Inc.(a) | 4,300 | 12,427 | ||||||
Liquidity Services, Inc.(a) | 1,500 | 9,525 | ||||||
LivePerson, Inc.(a) | 3,700 | 40,700 | ||||||
LogMeIn, Inc. | 3,560 | 372,020 | ||||||
Match Group, Inc.(a) | 2,600 | 45,188 | ||||||
Meet Group, Inc.(a) | 4,300 | 21,715 | ||||||
MINDBODY, Inc. Class A(a) | 2,500 | 68,000 | ||||||
MuleSoft, Inc. Class A(a) | 1,000 | 24,940 | ||||||
New Relic, Inc.(a) | 2,031 | 87,353 | ||||||
NIC, Inc. | 4,500 | 85,275 | ||||||
Nutanix, Inc. Class A(a)(b) | 2,400 | 48,360 | ||||||
Okta, Inc.(a) | 800 | 18,240 | ||||||
Ominto, Inc.(a) | 731 | 11,148 | ||||||
Pandora Media, Inc.(a)(b) | 16,835 | 150,168 | ||||||
Q2 Holdings, Inc.(a) | 2,000 | 73,900 | ||||||
QuinStreet, Inc.(a) | 2,200 | 9,174 | ||||||
Quotient Technology, Inc.(a) | 4,900 | 56,350 | ||||||
RealNetworks, Inc.(a) | 1,400 | 6,062 | ||||||
Reis, Inc. | 500 | 10,625 | ||||||
Rightside Group, Ltd.(a) | 700 | 7,434 | ||||||
Rocket Fuel, Inc.(a) | 2,500 | 6,875 | ||||||
Shutterstock, Inc.(a) | 1,350 | 59,508 | ||||||
SPS Commerce, Inc.(a) | 1,151 | 73,388 | ||||||
Stamps.com, Inc.(a) | 1,157 | 179,190 | ||||||
TechTarget, Inc.(a) | 1,400 | 14,518 | ||||||
Trade Desk Inc Class A(a) | 1,200 | 60,132 | ||||||
TrueCar, Inc.(a) | 4,266 | 85,021 | ||||||
Tucows, Inc. Class A(a)(b) | 600 | 32,100 | ||||||
Twilio, Inc. Class A(a)(b) | 4,300 | 125,173 | ||||||
Twitter, Inc.(a) | 46,775 | 835,869 | ||||||
Web.com Group, Inc.(a) | 3,200 | 80,960 | ||||||
WebMD Health Corp.(a) | 2,498 | 146,508 | ||||||
Xactly Corp.(a) | 1,800 | 28,170 | ||||||
XO Group, Inc.(a) | 1,811 | 31,910 | ||||||
Yelp, Inc.(a) | 5,158 | 154,843 | ||||||
Yext, Inc.(a) | 800 | 10,664 | ||||||
Zillow Group, Inc. Class A(a) | 3,729 | 182,124 | ||||||
Zillow Group, Inc. Class C(a) | 7,483 | 366,742 | ||||||
|
| |||||||
7,207,313 | ||||||||
|
| |||||||
IT Services – 3.1% | ||||||||
Acxiom Corp.(a) | 5,800 | 150,684 | ||||||
Amdocs, Ltd. | 10,021 | 645,954 | ||||||
Black Knight Financial Services, Inc. Class A(a) | 1,997 | 81,777 | ||||||
Blackhawk Network Holdings, Inc.(a) | 3,853 | 167,991 | ||||||
Booz Allen Hamilton Holding Corp. | 10,200 | 331,908 | ||||||
Broadridge Financial Solutions, Inc. | 8,140 | 615,058 | ||||||
CACI International, Inc. Class A(a) | 1,766 | 220,838 | ||||||
CardConnect Corp.(a)(b) | 1,100 | 16,555 | ||||||
Cardtronics PLC Class A(a) | 3,228 | 106,072 | ||||||
Cass Information Systems, Inc. | 764 | 50,149 | ||||||
Conduent, Inc.(a) | 13,900 | 221,566 | ||||||
Convergys Corp. | 6,442 | 153,191 | ||||||
CoreLogic, Inc.(a) | 6,200 | 268,956 | ||||||
CSG Systems International, Inc. | 2,300 | 93,334 | ||||||
DST Systems, Inc. | 4,188 | 258,400 | ||||||
EPAM Systems, Inc.(a) | 3,474 | 292,129 | ||||||
Euronet Worldwide, Inc.(a) | 3,431 | 299,766 | ||||||
Everi Holdings, Inc.(a) | 4,400 | 32,032 | ||||||
EVERTEC, Inc. | 4,300 | 74,390 | ||||||
ExlService Holdings, Inc.(a) | 2,337 | 129,890 | ||||||
First Data Corp. Class A(a) | 25,747 | 468,595 | ||||||
FleetCor Technologies, Inc.(a) | 6,371 | 918,762 | ||||||
Forrester Research, Inc. | 600 | 23,490 | ||||||
Genpact, Ltd. | 9,160 | 254,923 | ||||||
Hackett Group, Inc. | 1,390 | 21,545 | ||||||
Information Services Group, Inc.(a) | 1,900 | 7,809 | ||||||
Jack Henry & Associates, Inc. | 5,332 | 553,835 | ||||||
Leidos Holdings, Inc. | 9,811 | 507,131 | ||||||
ManTech International Corp. Class A | 1,658 | 68,608 | ||||||
MAXIMUS, Inc. | 4,634 | 290,227 | ||||||
MoneyGram International, Inc.(a) | 2,053 | 35,414 | ||||||
NCI, Inc. Class A(a) | 400 | 8,440 |
See accompanying notes to financial statements.
88
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
IT Services – (continued) |
| |||||||
NeuStar, Inc. Class A(a) | 3,800 | $ | 126,730 | |||||
Perficient, Inc.(a) | 2,400 | 44,736 | ||||||
Planet Payment, Inc.(a) | 2,500 | 8,250 | ||||||
Presidio, Inc.(a) | 1,300 | 18,603 | ||||||
Sabre Corp. | 14,988 | 326,289 | ||||||
Science Applications International Corp. | 3,047 | 211,523 | ||||||
ServiceSource International, Inc.(a) | 5,300 | 20,564 | ||||||
Square, Inc. Class A(a) | 15,541 | 364,592 | ||||||
StarTek, Inc.(a) | 700 | 8,568 | ||||||
Sykes Enterprises, Inc.(a) | 2,653 | 88,955 | ||||||
Syntel, Inc. | 2,200 | 37,312 | ||||||
TeleTech Holdings, Inc. | 1,100 | 44,880 | ||||||
Teradata Corp.(a) | 8,800 | 259,512 | ||||||
Unisys Corp.(a) | 3,800 | 48,640 | ||||||
Vantiv, Inc. Class A(a) | 11,258 | 713,082 | ||||||
Virtusa Corp.(a) | 1,900 | 55,860 | ||||||
WEX, Inc.(a) | 2,841 | 296,231 | ||||||
|
| |||||||
10,043,746 | ||||||||
|
| |||||||
Leisure Equipment & Products – 0.4% |
| |||||||
Acushnet Holdings Corp. | 1,400 | 27,776 | ||||||
American Outdoor Brands Corp.(a) | 4,188 | 92,806 | ||||||
Black Diamond, Inc.(a) | 1,400 | 9,310 | ||||||
Brunswick Corp. | 6,136 | 384,911 | ||||||
Callaway Golf Co. | 6,512 | 83,223 | ||||||
Escalade, Inc. | 600 | 7,860 | ||||||
Johnson Outdoors, Inc. Class A | 300 | 14,463 | ||||||
Malibu Boats, Inc. Class A(a) | 1,300 | 33,631 | ||||||
Marine Products Corp. | 687 | 10,724 | ||||||
MCBC Holdings, Inc.(a) | 1,300 | 25,415 | ||||||
Nautilus, Inc.(a) | 2,400 | 45,960 | ||||||
Polaris Industries, Inc. | 4,086 | 376,852 | ||||||
Sturm Ruger & Co., Inc. | 1,265 | 78,620 | ||||||
Vista Outdoor, Inc.(a) | 4,021 | 90,513 | ||||||
|
| |||||||
1,282,064 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.2% |
| |||||||
Accelerate Diagnostics, Inc.(a)(b) | 1,800 | 49,230 | ||||||
Albany Molecular Research, Inc.(a) | 1,796 | 38,973 | ||||||
Bio-Rad Laboratories, Inc. Class A(a) | 1,491 | 337,428 | ||||||
Bio-Techne Corp. | 2,523 | 296,453 | ||||||
Bruker Corp. | 7,073 | 203,985 | ||||||
Cambrex Corp.(a) | 2,300 | 137,425 | ||||||
Charles River Laboratories International, Inc.(a) | 3,358 | 339,662 | ||||||
Enzo Biochem, Inc.(a) | 2,900 | 32,016 | ||||||
Fluidigm Corp.(a) | 1,744 | 7,046 | ||||||
INC Research Holdings, Inc. Class A(a) | 3,794 | 221,949 | ||||||
Luminex Corp. | 2,800 | 59,136 | ||||||
Medpace Holdings, Inc.(a) | 500 | 14,500 | ||||||
NanoString Technologies, Inc.(a) | 1,200 | 19,848 | ||||||
NeoGenomics, Inc.(a) | 4,500 | 40,320 | ||||||
Pacific Biosciences of California, Inc.(a) | 4,800 | 17,088 | ||||||
PAREXEL International Corp.(a) | 3,425 | 297,667 | ||||||
Patheon NV(a) | 2,400 | 83,712 | ||||||
PRA Health Sciences, Inc.(a) | 2,694 | 202,077 | ||||||
QIAGEN NV(a) | 16,181 | 542,549 | ||||||
Quintiles IMS Holdings, Inc.(a) | 8,827 | 790,016 | ||||||
VWR Corp.(a) | 5,848 | 193,042 | ||||||
|
| |||||||
3,924,122 | ||||||||
|
| |||||||
Machinery – 3.7% | ||||||||
Actuant Corp. Class A | 4,100 | 100,860 | ||||||
AGCO Corp. | 4,588 | 309,185 | ||||||
Alamo Group, Inc. | 692 | 62,841 | ||||||
Albany International Corp. Class A | 2,148 | 114,703 | ||||||
Allison Transmission Holdings, Inc. | 9,157 | 343,479 | ||||||
Altra Industrial Motion Corp. | 1,874 | 74,585 | ||||||
American Railcar Industries, Inc. | 496 | 18,997 | ||||||
Astec Industries, Inc. | 1,340 | 74,383 | ||||||
Barnes Group, Inc. | 3,656 | 213,986 | ||||||
Blue Bird Corp.(a) | 500 | 8,500 | ||||||
Briggs & Stratton Corp. | 2,900 | 69,890 | ||||||
Chart Industries, Inc.(a) | 2,200 | 76,406 | ||||||
CIRCOR International, Inc. | 1,147 | 68,109 | ||||||
Colfax Corp.(a) | 6,038 | 237,716 | ||||||
Columbus McKinnon Corp. | 1,400 | 35,588 | ||||||
Commercial Vehicle Group, Inc.(a) | 1,700 | 14,365 | ||||||
Crane Co. | 3,648 | 289,578 | ||||||
DMC Global, Inc. | 800 | 10,480 | ||||||
Donaldson Co., Inc. | 9,379 | 427,120 | ||||||
Douglas Dynamics, Inc. | 1,677 | 55,173 | ||||||
Eastern Co | 400 | 12,020 | ||||||
Energy Recovery, Inc.(a) | 2,100 | 17,409 | ||||||
EnPro Industries, Inc. | 1,645 | 117,404 | ||||||
ESCO Technologies, Inc. | 1,943 | 115,900 | ||||||
ExOne Co.(a) | 700 | 8,015 | ||||||
Federal Signal Corp. | 4,400 | 76,384 | ||||||
Franklin Electric Co., Inc. | 3,449 | 142,789 | ||||||
FreightCar America, Inc. | 700 | 12,173 | ||||||
Gardner Denver Holdings, Inc.(a) | 2,900 | 62,669 | ||||||
Gencor Industries, Inc.(a) | 500 | 8,100 | ||||||
Global Brass & Copper Holdings, Inc. | 1,600 | 48,880 | ||||||
Gorman-Rupp Co. | 1,100 | 28,017 | ||||||
Graco, Inc. | 3,832 | 418,761 | ||||||
Graham Corp. | 600 | 11,796 | ||||||
Greenbrier Cos., Inc.(b) | 1,994 | 92,223 | ||||||
Hardinge, Inc. | 700 | 8,694 | ||||||
Harsco Corp.(a) | 5,600 | 90,160 | ||||||
Hillenbrand, Inc. | 4,300 | 155,230 | ||||||
Hurco Cos., Inc. | 366 | 12,719 | ||||||
Hyster-Yale Materials Handling, Inc. | 689 | 48,402 | ||||||
IDEX Corp. | 5,342 | 603,699 | ||||||
ITT, Inc. | 6,060 | 243,491 | ||||||
John Bean Technologies Corp. | 2,290 | 224,420 | ||||||
Kadant, Inc. | 800 | 60,160 |
See accompanying notes to financial statements.
89
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Machinery – (continued) |
| |||||||
Kennametal, Inc. | 5,784 | $ | 216,437 | |||||
LB Foster Co. Class A | 600 | 12,870 | ||||||
Lincoln Electric Holdings, Inc. | 4,086 | 376,280 | ||||||
Lindsay Corp. | 752 | 67,116 | ||||||
Lydall, Inc.(a) | 1,300 | 67,210 | ||||||
Manitowoc Co., Inc.(a) | 9,500 | 57,095 | ||||||
Meritor, Inc.(a) | 5,700 | 94,677 | ||||||
Middleby Corp.(a) | 3,873 | 470,608 | ||||||
Milacron Holdings Corp.(a) | 3,100 | 54,529 | ||||||
Miller Industries, Inc. | 700 | 17,395 | ||||||
Mueller Industries, Inc. | 4,084 | 124,358 | ||||||
Mueller Water Products, Inc. Class A | 11,100 | 129,648 | ||||||
Navistar International Corp.(a) | 3,600 | 94,428 | ||||||
NN, Inc. | 1,816 | 49,849 | ||||||
Nordson Corp. | 4,000 | 485,280 | ||||||
Omega Flex, Inc. | 200 | 12,880 | ||||||
Oshkosh Corp. | 5,308 | 365,615 | ||||||
Proto Labs, Inc.(a) | 1,833 | 123,269 | ||||||
RBC Bearings, Inc.(a) | 1,669 | 169,837 | ||||||
REV Group, Inc. | 800 | 22,144 | ||||||
Rexnord Corp.(a) | 7,190 | 167,167 | ||||||
SPX Corp.(a) | 2,800 | 70,448 | ||||||
SPX FLOW, Inc.(a) | 2,800 | 103,264 | ||||||
Standex International Corp. | 915 | 82,991 | ||||||
Sun Hydraulics Corp. | 1,648 | 70,320 | ||||||
Supreme Industries, Inc. Class A | 800 | 13,160 | ||||||
Tennant Co. | 1,376 | 101,549 | ||||||
Terex Corp. | 6,090 | 228,375 | ||||||
Timken Co. | 4,700 | 217,375 | ||||||
Titan International, Inc. | 3,700 | 44,437 | ||||||
Toro Co. | 7,274 | 504,015 | ||||||
TriMas Corp.(a) | 3,100 | 64,635 | ||||||
Trinity Industries, Inc. | 10,969 | 307,461 | ||||||
Twin Disc, Inc.(a) | 600 | 9,684 | ||||||
Wabash National Corp. | 4,300 | 94,514 | ||||||
WABCO Holdings, Inc.(a) | 3,466 | 441,950 | ||||||
Wabtec Corp. | 5,901 | 539,941 | ||||||
Watts Water Technologies, Inc. Class A | 1,983 | 125,326 | ||||||
Welbilt, Inc.(a) | 9,100 | 171,535 | ||||||
Woodward, Inc. | 3,604 | 243,558 | ||||||
|
| |||||||
11,838,689 | ||||||||
|
| |||||||
Marine – 0.1% | ||||||||
Costamare, Inc. | 2,500 | 18,275 | ||||||
Eagle Bulk Shipping, Inc.(a) | 2,700 | 12,771 | ||||||
Genco Shipping & Trading, Ltd.(a) | 500 | 4,735 | ||||||
Kirby Corp.(a) | 3,840 | 256,704 | ||||||
Matson, Inc. | 2,982 | 89,579 | ||||||
Navios Maritime Holdings, Inc.(a) | 6,200 | 8,494 | ||||||
Safe Bulkers, Inc.(a) | 3,300 | 7,557 | ||||||
Scorpio Bulkers, Inc.(a) | 4,033 | 28,635 | ||||||
|
| |||||||
426,750 | ||||||||
|
| |||||||
Media – 2.1% | ||||||||
AMC Entertainment Holdings, Inc. Class A | 3,884 | 88,361 | ||||||
AMC Networks, Inc. Class A(a) | 3,586 | 191,528 | ||||||
Cable One, Inc. | 341 | 242,417 | ||||||
Central European Media Enterprises, Ltd. Class A(a) | 4,600 | 18,400 | ||||||
Cinemark Holdings, Inc. | 7,316 | 284,227 | ||||||
Clear Channel Outdoor Holdings, Inc. Class A | 2,100 | 10,185 | ||||||
Daily Journal Corp.(a) | 67 | 13,821 | ||||||
Emerald Expositions Events, Inc. | 1,100 | 24,090 | ||||||
Entercom Communications Corp. Class A | 1,600 | 16,560 | ||||||
Entravision Communications Corp. Class A | 3,900 | 25,740 | ||||||
Eros International PLC(a) | 1,747 | 20,003 | ||||||
EW Scripps Co. Class A(a) | 4,600 | 81,926 | ||||||
Gannett Co., Inc. | 8,300 | 72,376 | ||||||
Global Eagle Entertainment, Inc.(a) | 2,800 | 9,968 | ||||||
Gray Television, Inc.(a) | 4,500 | 61,650 | ||||||
Hemisphere Media Group, Inc.(a) | 1,100 | 13,035 | ||||||
IMAX Corp.(a) | 4,100 | 90,200 | ||||||
John Wiley & Sons, Inc. Class A | 3,150 | 166,162 | ||||||
Liberty Broadband Corp. Class A(a) | 1,826 | 156,653 | ||||||
Liberty Broadband Corp. Class C(a) | 7,178 | 622,691 | ||||||
Liberty Media Corp.-Liberty Braves Class A(a) | 594 | 14,191 | ||||||
Liberty Media Corp.-Liberty Braves Class C(a) | 2,210 | 52,974 | ||||||
Liberty Media Corp.-Liberty Formula One Class C(a) | 7,450 | 272,819 | ||||||
Liberty Media Corp.-Liberty Formula One Class A(a) | 1,736 | 60,812 | ||||||
Liberty Media Corp.-Liberty SiriusXM Class A(a) | 6,072 | 254,903 | ||||||
Liberty Media Corp.-Liberty SiriusXM Class C(a) | 12,359 | 515,370 | ||||||
Lions Gate Entertainment Corp. Class A | 3,524 | 99,447 | ||||||
Lions Gate Entertainment Corp. Class B(a) | 6,658 | 174,972 | ||||||
Live Nation Entertainment, Inc.(a) | 9,459 | 329,646 | ||||||
Loral Space & Communications, Inc.(a) | 900 | 37,395 | ||||||
Madison Square Garden Co. Class A(a) | 1,275 | 251,047 | ||||||
MDC Partners, Inc. Class A | 4,300 | 42,570 | ||||||
Meredith Corp. | 2,647 | 157,364 | ||||||
MSG Networks, Inc. Class A(a) | 4,321 | 97,006 | ||||||
National CineMedia, Inc. | 4,600 | 34,132 | ||||||
New Media Investment Group, Inc. | 3,500 | 47,180 | ||||||
New York Times Co. Class A | 8,900 | 157,530 | ||||||
Nexstar Media Group, Inc. Class A | 3,211 | 192,018 | ||||||
Reading International, Inc. Class A(a) | 1,000 | 16,130 | ||||||
Regal Entertainment Group Class A | 7,800 | 159,588 |
See accompanying notes to financial statements.
90
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Media – (continued) |
| |||||||
Saga Communications, Inc. Class A | 244 | $ | 11,163 | |||||
Salem Media Group, Inc. | 400 | 2,840 | ||||||
Scholastic Corp. | 1,995 | 86,962 | ||||||
Sinclair Broadcast Group, Inc. Class A | 4,862 | 159,960 | ||||||
Sirius XM Holdings, Inc. | 101,899 | 557,388 | ||||||
TEGNA, Inc. | 14,600 | 210,386 | ||||||
Time, Inc. | 7,300 | 104,755 | ||||||
Townsquare Media, Inc. Class A(a) | 500 | 5,120 | ||||||
Tribune Media Co. Class A | 5,232 | 213,309 | ||||||
tronc, Inc.(a) | 1,600 | 20,624 | ||||||
World Wrestling Entertainment, Inc. Class A | 2,527 | 51,475 | ||||||
|
| |||||||
6,601,069 | ||||||||
|
| |||||||
Metals & Mining – 1.3% | ||||||||
AK Steel Holding Corp.(a) | 22,500 | 147,825 | ||||||
Alcoa Corp. | 12,892 | 420,924 | ||||||
Allegheny Technologies, Inc.(b) | 7,800 | 132,678 | ||||||
Ampco-Pittsburgh Corp. | 500 | 7,375 | ||||||
Carpenter Technology Corp. | 3,455 | 129,321 | ||||||
Century Aluminum Co.(a) | 3,500 | 54,530 | ||||||
Cliffs Natural Resources, Inc.(a) | 19,742 | 136,615 | ||||||
Coeur Mining, Inc.(a) | 12,500 | 107,250 | ||||||
Commercial Metals Co. | 8,200 | 159,326 | ||||||
Compass Minerals International, Inc. | 2,414 | 157,634 | ||||||
Ferroglobe Representation & Warranty Insurance Trust(d) | 2,200 | – | ||||||
Gold Resource Corp. | 3,000 | 12,240 | ||||||
Handy & Harman, Ltd.(a) | 100 | 3,140 | ||||||
Haynes International, Inc. | 800 | 29,048 | ||||||
Hecla Mining Co. | 27,264 | 139,046 | ||||||
Kaiser Aluminum Corp. | 1,311 | 116,050 | ||||||
Klondex Mines, Ltd.(a) | 12,200 | 41,114 | ||||||
Materion Corp. | 1,455 | 54,417 | ||||||
Olympic Steel, Inc. | 600 | 11,688 | ||||||
Reliance Steel & Aluminum Co. | 5,109 | 371,986 | ||||||
Royal Gold, Inc. | 4,458 | 348,482 | ||||||
Ryerson Holding Corp.(a) | 800 | 7,920 | ||||||
Schnitzer Steel Industries, Inc. Class A | 1,872 | 47,174 | ||||||
Southern Copper Corp. | 6,003 | 207,884 | ||||||
Steel Dynamics, Inc. | 16,023 | 573,783 | ||||||
SunCoke Energy, Inc.(a) | 4,900 | 53,410 | ||||||
Tahoe Resources, Inc. | 21,584 | 186,054 | ||||||
TimkenSteel Corp.(a) | 3,000 | 46,110 | ||||||
United States Steel Corp. | 12,000 | 265,680 | ||||||
Warrior Met Coal, Inc. | 1,200 | 20,556 | ||||||
Worthington Industries, Inc. | 3,300 | 165,726 | ||||||
|
| |||||||
4,154,986 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.2% |
| |||||||
AGNC Investment Corp. REIT | 24,493 | 521,456 | ||||||
|
| |||||||
Multi-Utilities – 0.4% | ||||||||
Avista Corp. | 4,700 | 199,562 | ||||||
Black Hills Corp. | 3,793 | 255,914 | ||||||
MDU Resources Group, Inc. | 13,300 | 348,460 | ||||||
NorthWestern Corp. | 3,555 | 216,926 | ||||||
Unitil Corp. | 900 | 43,479 | ||||||
Vectren Corp. | 5,992 | 350,172 | ||||||
|
| |||||||
1,414,513 | ||||||||
|
| |||||||
Multiline Retail – 0.2% | ||||||||
Big Lots, Inc. | 3,120 | 150,696 | ||||||
Dillard’s, Inc. Class A(b) | 1,205 | 69,517 | ||||||
Fred’s, Inc. Class A(b) | 2,800 | 25,844 | ||||||
JC Penney Co., Inc.(a)(b) | 22,000 | 102,300 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 3,302 | 140,665 | ||||||
Sears Holdings Corp.(a)(b) | 700 | 6,202 | ||||||
|
| |||||||
495,224 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.8% |
| |||||||
Abraxas Petroleum Corp.(a) | 9,000 | 14,580 | ||||||
Adams Resources & Energy, Inc. | 66 | 2,711 | ||||||
Alon USA Energy, Inc. | 2,200 | 29,304 | ||||||
Antero Resources Corp.(a) | 16,174 | 349,520 | ||||||
Approach Resources, Inc.(a)(b) | 2,800 | 9,436 | ||||||
Arch Coal, Inc. Class A | 600 | 40,980 | ||||||
Ardmore Shipping Corp. | 1,700 | 13,855 | ||||||
Bill Barrett Corp.(a) | 3,800 | 11,666 | ||||||
Bonanza Creek Energy, Inc.(a) | 1,300 | 41,223 | ||||||
California Resources Corp.(a)(b) | 2,902 | 24,812 | ||||||
Callon Petroleum Co.(a) | 14,004 | 148,582 | ||||||
Carrizo Oil & Gas, Inc.(a) | 4,500 | 78,390 | ||||||
Centennial Resource Development, Inc. Class A(a)(b) | 7,700 | 121,814 | ||||||
Cheniere Energy, Inc.(a) | 14,468 | 704,736 | ||||||
Clean Energy Fuels Corp.(a) | 9,500 | 24,130 | ||||||
Cloud Peak Energy, Inc.(a) | 5,100 | 18,003 | ||||||
Cobalt International Energy, Inc.(a) | – | 1 | ||||||
CONSOL Energy, Inc.(a) | 16,700 | 249,498 | ||||||
Contango Oil & Gas Co.(a) | 1,300 | 8,632 | ||||||
Continental Resources, Inc.(a) | 6,447 | 208,432 | ||||||
CVR Energy, Inc.(b) | 1,100 | 23,936 | ||||||
Delek US Holdings, Inc. | 4,400 | 116,336 | ||||||
Denbury Resources, Inc.(a) | 27,615 | 42,251 | ||||||
DHT Holdings, Inc. | 6,396 | 26,543 | ||||||
Diamondback Energy, Inc.(a) | 6,800 | 603,908 | ||||||
Dorian LPG, Ltd.(a) | 1,500 | 12,270 | ||||||
Earthstone Energy, Inc. Class A(a) | 700 | 7,007 | ||||||
Eclipse Resources Corp.(a) | 6,100 | 17,446 | ||||||
Energen Corp.(a) | 6,612 | 326,434 | ||||||
Energy XXI Gulf Coast, Inc.(a) | 2,100 | 38,997 | ||||||
EP Energy Corp. Class A(a)(b) | 2,300 | 8,418 | ||||||
Evolution Petroleum Corp. | 1,500 | 12,150 | ||||||
Extraction Oil & Gas, Inc.(a) | 8,400 | 112,980 | ||||||
Frontline, Ltd.(b) | 5,320 | 30,484 | ||||||
GasLog, Ltd. | 3,100 | 47,275 | ||||||
Gastar Exploration, Inc.(a) | 12,100 | 11,205 | ||||||
Gener8 Maritime, Inc.(a) | 3,300 | 18,777 | ||||||
Golar LNG, Ltd. | 7,100 | 157,975 | ||||||
Green Plains, Inc. | 2,547 | 52,341 | ||||||
Gulfport Energy Corp.(a) | 12,000 | 177,000 |
See accompanying notes to financial statements.
91
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Oil, Gas & Consumable Fuels – (continued) |
| |||||||
Halcon Resources Corp.(a) | 4,200 | $ | 19,068 | |||||
Hallador Energy Co. | 1,100 | 8,547 | ||||||
HollyFrontier Corp. | 12,255 | 336,645 | ||||||
International Seaways, Inc.(a) | 1,999 | 43,318 | ||||||
Isramco, Inc.(a) | 44 | 5,034 | ||||||
Jagged Peak Energy, Inc.(a) | 2,100 | 28,035 | ||||||
Jones Energy, Inc. Class A(a) | 3,697 | 5,915 | ||||||
Kosmos Energy, Ltd.(a) | 13,100 | 83,971 | ||||||
Laredo Petroleum, Inc.(a) | 11,200 | 117,824 | ||||||
Lilis Energy, Inc.(a) | 3,000 | 14,700 | ||||||
Matador Resources Co.(a) | 6,600 | 141,042 | ||||||
Midstates Petroleum Co., Inc.(a) | 800 | 10,136 | ||||||
Navios Maritime Acquisition Corp. | 4,800 | 7,056 | ||||||
Nordic American Tankers, Ltd.(b) | 7,340 | 46,536 | ||||||
Oasis Petroleum, Inc.(a) | 17,500 | 140,875 | ||||||
Overseas Shipholding Group, Inc. Class A(a) | 2,300 | 6,118 | ||||||
Pacific Ethanol, Inc.(a) | 2,900 | 18,125 | ||||||
Panhandle Oil and Gas, Inc. Class A | 900 | 20,790 | ||||||
Par Pacific Holdings, Inc.(a) | 2,189 | 39,490 | ||||||
Parsley Energy, Inc. Class A(a) | 16,249 | 450,910 | ||||||
PBF Energy, Inc. Class A | 7,349 | 163,589 | ||||||
PDC Energy, Inc.(a) | 4,548 | 196,064 | ||||||
Peabody Energy Corp.(a) | 600 | 14,670 | ||||||
Penn Virginia Corp.(a) | 1,000 | 36,750 | ||||||
QEP Resources, Inc.(a) | 17,823 | 180,012 | ||||||
Renewable Energy Group, Inc.(a) | 2,700 | 34,965 | ||||||
Resolute Energy Corp.(a)(b) | 800 | 23,816 | ||||||
REX American Resources Corp.(a) | 387 | 37,369 | ||||||
Rice Energy, Inc.(a) | 11,742 | 312,689 | ||||||
Ring Energy, Inc.(a) | 2,900 | 37,700 | ||||||
RSP Permian, Inc.(a) | 9,161 | 295,625 | ||||||
Sanchez Energy Corp.(a) | 4,800 | 34,464 | ||||||
SandRidge Energy, Inc.(a) | 2,400 | 41,304 | ||||||
Scorpio Tankers, Inc. | 12,300 | 48,831 | ||||||
SemGroup Corp. Class A | 4,629 | 124,983 | ||||||
Ship Finance International, Ltd.(b) | 4,200 | 57,120 | ||||||
SilverBow Resources, Inc.(a) | 500 | 13,080 | ||||||
SM Energy Co. | 7,356 | 121,595 | ||||||
Southwestern Energy Co.(a) | 36,200 | 220,096 | ||||||
SRC Energy, Inc.(a) | 12,800 | 86,144 | ||||||
Stone Energy Corp.(a) | 1,400 | 25,732 | ||||||
Targa Resources Corp. | 13,510 | 610,652 | ||||||
Teekay Corp.(b) | 3,743 | 24,966 | ||||||
Teekay Tankers, Ltd. Class A | 7,000 | 13,160 | ||||||
Tellurian, Inc.(a) | 3,900 | 39,117 | ||||||
Ultra Petroleum Corp.(a) | 7,800 | 84,630 | ||||||
Uranium Energy Corp.(a)(b) | 9,500 | 15,105 | ||||||
W&T Offshore, Inc.(a)(b) | 6,500 | 12,740 | ||||||
Westmoreland Coal Co.(a) | 1,100 | 5,357 | ||||||
Whiting Petroleum Corp.(a) | 25,200 | 138,852 | ||||||
WildHorse Resource Development Corp.(a) | 1,800 | 22,266 | ||||||
World Fuel Services Corp. | 4,949 | 190,289 | ||||||
WPX Energy, Inc.(a) | 28,200 | 272,412 | ||||||
|
| |||||||
9,024,317 | ||||||||
|
| |||||||
Paper & Forest Products – 0.3% | ||||||||
Boise Cascade Co.(a) | 2,800 | 85,120 | ||||||
Clearwater Paper Corp.(a) | 1,279 | 59,793 | ||||||
Deltic Timber Corp. | 752 | 56,144 | ||||||
Domtar Corp. | 4,414 | 169,586 | ||||||
KapStone Paper and Packaging Corp. | 6,098 | 125,802 | ||||||
Louisiana-Pacific Corp.(a) | 10,526 | 253,782 | ||||||
Neenah Paper, Inc. | 1,146 | 91,966 | ||||||
PH Glatfelter Co. | 3,100 | 60,574 | ||||||
Schweitzer-Mauduit International, Inc. | 2,200 | 81,906 | ||||||
Verso Corp. Class A(a) | 2,300 | 10,787 | ||||||
|
| |||||||
995,460 | ||||||||
|
| |||||||
Personal Products – 0.3% | ||||||||
Edgewell Personal Care Co.(a) | 3,879 | 294,882 | ||||||
elf Beauty, Inc.(a) | 1,400 | 38,094 | ||||||
Herbalife, Ltd.(a) | 4,665 | 332,754 | ||||||
Inter Parfums, Inc. | 1,300 | 47,645 | ||||||
Medifast, Inc. | 800 | 33,176 | ||||||
Natural Health Trends Corp. | 451 | 12,560 | ||||||
Nature’s Sunshine Products, Inc. | 500 | 6,625 | ||||||
Nu Skin Enterprises, Inc. Class A | 3,458 | 217,301 | ||||||
Nutraceutical International Corp. | 500 | 20,825 | ||||||
Revlon, Inc. Class A(a) | 700 | 16,590 | ||||||
USANA Health Sciences, Inc.(a) | 808 | 51,793 | ||||||
|
| |||||||
1,072,245 | ||||||||
|
| |||||||
Pharmaceuticals – 1.0% | ||||||||
AcelRx Pharmaceuticals, Inc.(a) | 1,200 | 2,580 | ||||||
Achaogen, Inc.(a) | 2,000 | 43,460 | ||||||
Aclaris Therapeutics, Inc.(a) | 1,358 | 36,829 | ||||||
Aerie Pharmaceuticals, Inc.(a) | 2,100 | 110,355 | ||||||
Akorn, Inc.(a) | 6,244 | 209,424 | ||||||
Amphastar Pharmaceuticals, Inc.(a) | 2,400 | 42,864 | ||||||
ANI Pharmaceuticals, Inc.(a) | 486 | 22,745 | ||||||
Aratana Therapeutics, Inc.(a) | 2,800 | 20,244 | ||||||
Assembly Biosciences, Inc.(a) | 1,000 | 20,650 | ||||||
Catalent, Inc.(a) | 8,682 | 304,738 | ||||||
Cempra, Inc.(a) | 4,200 | 19,320 | ||||||
Clearside Biomedical, Inc.(a) | 1,400 | 12,754 | ||||||
Collegium Pharmaceutical, Inc.(a)(b) | 1,567 | 19,603 | ||||||
Corcept Therapeutics, Inc.(a) | 5,700 | 67,260 | ||||||
Corium International, Inc.(a) | 1,400 | 10,444 | ||||||
Depomed, Inc.(a) | 4,600 | 49,404 | ||||||
Dermira, Inc.(a) | 2,600 | 75,764 | ||||||
Durect Corp.(a) | 7,600 | 11,856 | ||||||
Endo International PLC(a) | 14,700 | 164,199 | ||||||
Heska Corp.(a) | 402 | 41,032 | ||||||
Horizon Pharma PLC(a) | 12,037 | 142,879 | ||||||
Impax Laboratories, Inc.(a) | 5,066 | 81,563 | ||||||
Innoviva, Inc.(a) | 5,700 | 72,960 | ||||||
Intersect ENT, Inc.(a) | 1,800 | 50,310 | ||||||
Intra-Cellular Therapies, Inc.(a) | 2,056 | 25,535 | ||||||
Lannett Co., Inc.(a)(b) | 1,897 | 38,699 | ||||||
Medicines Co.(a) | 4,959 | 188,492 | ||||||
MyoKardia, Inc.(a) | 1,200 | 15,720 | ||||||
Nektar Therapeutics(a) | 10,500 | 205,275 |
See accompanying notes to financial statements.
92
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Pharmaceuticals – (continued) |
| |||||||
Neos Therapeutics, Inc.(a) | 1,300 | $ | 9,490 | |||||
Ocular Therapeutix, Inc.(a)(b) | 1,100 | 10,197 | ||||||
Omeros Corp.(a) | 3,100 | 61,705 | ||||||
Pacira Pharmaceuticals, Inc.(a) | 2,537 | 121,015 | ||||||
Paratek Pharmaceuticals, Inc.(a) | 1,600 | 38,560 | ||||||
Phibro Animal Health Corp. Class A | 1,300 | 48,165 | ||||||
Prestige Brands Holdings, Inc.(a) | 3,916 | 206,804 | ||||||
Reata Pharmaceuticals, Inc. Class A(a) | 600 | 18,984 | ||||||
Revance Therapeutics, Inc.(a) | 1,400 | 36,960 | ||||||
SciClone Pharmaceuticals, Inc.(a) | 3,800 | 41,800 | ||||||
Sucampo Pharmaceuticals, Inc. Class A(a) | 1,362 | 14,301 | ||||||
Supernus Pharmaceuticals, Inc.(a) | 3,500 | 150,850 | ||||||
Teligent, Inc.(a)(b) | 2,500 | 22,875 | ||||||
Tetraphase Pharmaceuticals, Inc.(a) | 2,200 | 15,686 | ||||||
TherapeuticsMD, Inc.(a) | 10,900 | 57,443 | ||||||
Theravance Biopharma, Inc.(a) | 3,004 | 119,679 | ||||||
Titan Pharmaceuticals, Inc.(a) | 900 | 1,710 | ||||||
WaVe Life Sciences, Ltd.(a) | 600 | 11,160 | ||||||
Zogenix, Inc.(a) | 1,500 | 21,750 | ||||||
Zynerba Pharmaceuticals, Inc.(a) | 800 | 13,576 | ||||||
|
| |||||||
3,129,668 | ||||||||
|
| |||||||
Professional Services – 0.9% | ||||||||
Acacia Research Corp.(a) | 3,000 | 12,300 | ||||||
Advisory Board Co.(a) | 2,728 | 140,492 | ||||||
Barrett Business Services, Inc. | 439 | 25,150 | ||||||
BG Staffing, Inc. | 500 | 8,690 | ||||||
CBIZ, Inc.(a) | 3,400 | 51,000 | ||||||
Cogint, Inc.(a)(b) | 900 | 4,545 | ||||||
CRA International, Inc. | 500 | 18,160 | ||||||
Dun & Bradstreet Corp. | 2,600 | 281,190 | ||||||
Exponent, Inc. | 1,831 | 106,747 | ||||||
Franklin Covey Co.(a) | 583 | 11,252 | ||||||
FTI Consulting, Inc.(a) | 3,100 | 108,376 | ||||||
GP Strategies Corp.(a) | 800 | 21,120 | ||||||
Heidrick & Struggles International, Inc. | 1,500 | 32,625 | ||||||
Hill International, Inc.(a) | 1,900 | 9,880 | ||||||
Huron Consulting Group, Inc.(a) | 1,620 | 69,984 | ||||||
ICF International, Inc.(a) | 1,302 | 61,324 | ||||||
Insperity, Inc. | 1,143 | 81,153 | ||||||
Kelly Services, Inc. Class A | 2,000 | 44,900 | ||||||
Kforce, Inc. | 1,700 | 33,320 | ||||||
Korn/Ferry International | 3,355 | 115,848 | ||||||
ManpowerGroup, Inc. | 4,667 | 521,071 | ||||||
Mistras Group, Inc.(a) | 1,187 | 26,079 | ||||||
Navigant Consulting, Inc.(a) | 3,500 | 69,160 | ||||||
On Assignment, Inc.(a) | 3,760 | 203,604 | ||||||
Pendrell Corp.(a) | 800 | 5,784 | ||||||
Resources Connection, Inc. | 2,100 | 28,770 | ||||||
RPX Corp.(a) | 3,400 | 47,430 | ||||||
TransUnion(a) | 8,926 | 386,585 | ||||||
TriNet Group, Inc.(a) | 2,900 | 94,946 | ||||||
TrueBlue, Inc.(a) | 3,000 | 79,500 | ||||||
WageWorks, Inc.(a) | 2,744 | 184,397 | ||||||
Willdan Group, Inc.(a) | 500 | 15,275 | ||||||
|
| |||||||
2,900,657 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 9.0% |
| |||||||
Acadia Realty Trust REIT | 5,947 | 165,327 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 2,000 | 36,600 | ||||||
Agree Realty Corp. REIT | 1,856 | 85,135 | ||||||
Alexander’s, Inc. REIT | 173 | 72,913 | ||||||
Altisource Residential Corp. REIT | 3,427 | 44,345 | ||||||
American Assets Trust, Inc. REIT | 2,942 | 115,885 | ||||||
American Campus Communities, Inc. REIT | 9,472 | 448,026 | ||||||
American Homes 4 Rent Class A REIT | 15,797 | 356,538 | ||||||
Annaly Capital Management, Inc. REIT | 70,671 | 851,586 | ||||||
Anworth Mortgage Asset Corp. REIT | 6,600 | 39,666 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 5,940 | 110,187 | ||||||
Apple Hospitality REIT, Inc. | 14,600 | 273,166 | ||||||
Ares Commercial Real Estate Corp. REIT | 1,600 | 20,944 | ||||||
Armada Hoffler Properties, Inc. REIT | 2,800 | 36,260 | ||||||
ARMOUR Residential REIT, Inc. | 2,800 | 70,000 | ||||||
Ashford Hospitality Prime, Inc. | 2,423 | 24,933 | ||||||
Ashford Hospitality Trust, Inc. REtT | 6,051 | 36,790 | ||||||
Bluerock Residential Growth REIT, Inc. | 1,400 | 18,046 | ||||||
Brandywine Realty Trust | 12,700 | 222,631 | ||||||
Brixmor Property Group, Inc. REIT | 21,373 | 382,149 | ||||||
Camden Property Trust REIT | 5,952 | 508,956 | ||||||
Capstead Mortgage Corp. REIT | 7,110 | 74,157 | ||||||
Care Capital Properties, Inc. REIT | 5,652 | 150,908 | ||||||
CareTrust REIT, Inc. | 4,900 | 90,846 | ||||||
CatchMark Timber Trust, Inc. Class A, REIT | 3,000 | 34,110 | ||||||
CBL & Associates Properties, Inc. REIT | 12,300 | 103,689 | ||||||
Cedar Realty Trust, Inc. REIT | 6,953 | 33,722 | ||||||
Chatham Lodging Trust REIT | 2,583 | 51,892 | ||||||
Chesapeake Lodging Trust REIT | 4,400 | 107,668 | ||||||
Chimera Investment Corp. REIT | 12,758 | 237,682 | ||||||
City Office REIT, Inc. | 2,100 | 26,670 | ||||||
Clipper Realty, Inc. REIT | 1,000 | 12,340 | ||||||
Colony Starwood Homes | 7,019 | 240,822 | ||||||
Columbia Property Trust, Inc. REIT | 8,308 | 185,933 | ||||||
Community Healthcare Trust, Inc. REIT | 800 | 20,472 | ||||||
CorEnergy Infrastructure Trust, Inc. | 760 | 25,528 | ||||||
CoreSite Realty Corp. REIT | 2,441 | 252,717 |
See accompanying notes to financial statements.
93
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State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Real Estate Investment Trusts (REITs) – (continued) |
| |||||||
Corporate Office Properties Trust REIT | 7,000 | $ | 245,210 | |||||
Cousins Properties, Inc. REIT | 28,665 | 251,965 | ||||||
CubeSmart REIT | 13,042 | 313,530 | ||||||
CyrusOne, Inc. REIT | 5,946 | 331,490 | ||||||
CYS Investments, Inc. REIT | 11,700 | 98,397 | ||||||
DCT Industrial Trust, Inc. REIT | 6,484 | 346,505 | ||||||
DDR Corp. REIT | 22,803 | 206,823 | ||||||
DiamondRock Hospitality Co. REIT | 15,000 | 164,250 | ||||||
Douglas Emmett, Inc. REIT | 10,237 | 391,156 | ||||||
Duke Realty Corp. REIT | 25,141 | 702,691 | ||||||
DuPont Fabros Technology, Inc. REIT | 5,353 | 327,389 | ||||||
Dynex Capital, Inc. REIT | 2,700 | 19,170 | ||||||
Easterly Government Properties, Inc. | 2,600 | 54,470 | ||||||
EastGroup Properties, Inc. REIT | 2,228 | 186,706 | ||||||
Education Realty Trust, Inc. REIT | 5,196 | 201,345 | ||||||
Empire State Realty Trust, Inc. Class A | 9,024 | 187,428 | ||||||
EPR Properties REIT | 4,305 | 309,400 | ||||||
Equity Commonwealth REIT(a) | 8,243 | 260,479 | ||||||
Equity LifeStyle Properties, Inc. REIT | 5,637 | 486,699 | ||||||
Farmland Partners, Inc. REIT(b) | 2,100 | 18,774 | ||||||
FelCor Lodging Trust, Inc. | 10,100 | 72,821 | ||||||
First Industrial Realty Trust, Inc. REIT | 8,473 | 242,497 | ||||||
First Potomac Realty Trust | 4,446 | 49,395 | ||||||
Forest City Realty Trust, Inc. Class A | 16,401 | 396,412 | ||||||
Four Corners Property Trust, Inc. REIT | 4,309 | 108,199 | ||||||
Franklin Street Properties Corp. REIT | 7,461 | 82,668 | ||||||
Gaming and Leisure Properties, Inc. REIT | 13,796 | 519,695 | ||||||
GEO Group, Inc. REIT | 8,900 | 263,173 | ||||||
Getty Realty Corp. REIT | 1,805 | 45,306 | ||||||
Gladstone Commercial Corp. | 2,000 | 43,580 | ||||||
Global Medical REIT, Inc.(b) | 900 | 8,046 | ||||||
Government Properties Income Trust REIT | 5,257 | 96,256 | ||||||
Gramercy Property Trust REIT | 10,280 | 305,419 | ||||||
Great Ajax Corp. REIT | 900 | 12,582 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 3,497 | 79,976 | ||||||
Healthcare Realty Trust, Inc. REIT | 8,354 | 285,289 | ||||||
Healthcare Trust of America, Inc. Class A | 13,766 | 428,260 | ||||||
Hersha Hospitality Trust REIT | 2,800 | 51,828 | ||||||
Highwoods Properties, Inc. REIT | 6,970 | 353,449 | ||||||
Hospitality Properties Trust REIT | 11,600 | 338,140 | ||||||
Hudson Pacific Properties, Inc. REIT | 10,937 | 373,936 | ||||||
Independence Realty Trust, Inc. REIT | 4,873 | 48,097 | ||||||
InfraREIT, Inc.(a) | 3,000 | 57,450 | ||||||
Invesco Mortgage Capital, Inc. REIT | 8,100 | 135,351 | ||||||
Investors Real Estate Trust | 9,100 | 56,511 | ||||||
iStar, Inc.(a) | 5,500 | 66,220 | ||||||
Jernigan Capital, Inc. REIT | 600 | 13,200 | ||||||
Kilroy Realty Corp. REIT | 6,651 | 499,823 | ||||||
Kite Realty Group Trust REIT | 6,183 | 117,044 | ||||||
Ladder Capital Corp. REIT | 4,828 | 64,743 | ||||||
Lamar Advertising Co. Class A, REIT | 5,701 | 419,423 | ||||||
LaSalle Hotel Properties REIT | 7,576 | 225,765 | ||||||
Lexington Realty Trust REIT | 14,400 | 142,704 | ||||||
Liberty Property Trust REIT | 10,127 | 412,270 | ||||||
Life Storage, Inc. REIT | 3,138 | 232,526 | ||||||
LTC Properties, Inc. REIT | 2,654 | 136,389 | ||||||
Mack-Cali Realty Corp. REIT | 6,700 | 181,838 | ||||||
Maui Land & Pineapple Co., Inc.(a) | 500 | 10,150 | ||||||
Medical Properties Trust, Inc. REIT | 25,177 | 324,028 | ||||||
MFA Financial, Inc. REIT | 27,591 | 231,488 | ||||||
Monmouth Real Estate Investment Corp. | 4,879 | 73,429 | ||||||
Monogram Residential Trust, Inc. | 12,200 | 118,462 | ||||||
MTGE Investment Corp. | 3,400 | 63,920 | ||||||
National Health Investors, Inc. REIT | 2,662 | 210,830 | ||||||
National Retail Properties, Inc. REIT | 10,400 | 406,640 | ||||||
National Storage Affiliates Trust REIT | 3,100 | 71,641 | ||||||
New Residential Investment Corp. REIT | 21,400 | 332,984 | ||||||
New Senior Investment Group, Inc. REIT | 5,700 | 57,285 | ||||||
New York Mortgage Trust, Inc. REIT | 8,300 | 51,626 | ||||||
NexPoint Residential Trust, Inc. | 1,500 | 37,335 | ||||||
NorthStar Realty Europe Corp. REIT | 3,700 | 46,916 | ||||||
Omega Healthcare Investors, Inc. REIT | 13,432 | 443,525 | ||||||
One Liberty Properties, Inc. | 1,000 | 23,430 | ||||||
Orchid Island Capital, Inc. | 1,900 | 18,734 | ||||||
Outfront Media, Inc. REIT | 10,067 | 232,749 | ||||||
Owens Realty Mortgage, Inc. REIT | 600 | 10,176 | ||||||
Paramount Group, Inc. REIT | 13,500 | 216,000 | ||||||
Parkway, Inc. REIT | 3,112 | 71,234 | ||||||
Pebblebrook Hotel Trust | 5,119 | 165,037 | ||||||
Pennsylvania Real Estate Investment Trust | 4,692 | 53,113 | ||||||
PennyMac Mortgage Investment Trust REIT | 4,941 | 90,371 | ||||||
Physicians Realty Trust REIT | 11,300 | 227,582 | ||||||
Piedmont Office Realty Trust, Inc. Class A REIT | 10,305 | 217,229 |
See accompanying notes to financial statements.
94
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State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Real Estate Investment Trusts (REITs) – (continued) |
| |||||||
Potlatch Corp. REIT | 2,700 | $ | 123,390 | |||||
Preferred Apartment Communities, Inc. Class A | 2,100 | 33,075 | ||||||
PS Business Parks, Inc. REIT | 1,452 | 192,230 | ||||||
QTS Realty Trust, Inc. Class A, REIT | 3,448 | 180,434 | ||||||
RAIT Financial Trust | 5,493 | 12,030 | ||||||
Ramco-Gershenson Properties Trust REIT | 5,700 | 73,530 | ||||||
Rayonier, Inc. REIT | 9,062 | 260,714 | ||||||
Redwood Trust, Inc. REIT | 5,900 | 100,536 | ||||||
Resource Capital Corp. REIT | 1,775 | 18,052 | ||||||
Retail Opportunity Investments Corp. REIT | 8,100 | 155,439 | ||||||
Retail Properties of America, Inc. Class A REIT | 17,500 | 213,675 | ||||||
Rexford Industrial Realty, Inc. | 5,007 | 137,392 | ||||||
RLJ Lodging Trust REIT | 9,112 | 181,055 | ||||||
Ryman Hospitality Properties, Inc. REIT | 3,227 | 206,560 | ||||||
Sabra Health Care REIT, Inc. | 4,500 | 108,450 | ||||||
Saul Centers, Inc. REIT | 812 | 47,080 | ||||||
Select Income REIT REIT | 4,600 | 110,538 | ||||||
Senior Housing Properties Trust REIT | 16,977 | 347,010 | ||||||
Seritage Growth Properties Class A REIT(b) | 1,838 | 77,104 | ||||||
Spirit Realty Capital, Inc. REIT | 34,777 | 257,698 | ||||||
STAG Industrial, Inc. REIT | 5,900 | 162,840 | ||||||
Starwood Property Trust, Inc. REIT | 18,300 | 409,737 | ||||||
STORE Capital Corp. REIT | 11,647 | 261,475 | ||||||
Summit Hotel Properties, Inc. REIT | 6,600 | 123,090 | ||||||
Sun Communities, Inc. REIT | 4,899 | 429,593 | ||||||
Sunstone Hotel Investors, Inc. REIT | 15,843 | 255,389 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 6,258 | 162,583 | ||||||
Taubman Centers, Inc. REIT | 4,248 | 252,968 | ||||||
Terreno Realty Corp. | 3,500 | 117,810 | ||||||
Tier REIT, Inc. REIT | 3,155 | 58,304 | ||||||
Two Harbors Investment Corp. REIT | 23,600 | 233,876 | ||||||
UMH Properties, Inc. | 2,000 | 34,100 | ||||||
Universal Health Realty Income Trust REIT | 900 | 71,586 | ||||||
Urban Edge Properties REIT | 6,400 | 151,872 | ||||||
Urstadt Biddle Properties, Inc. Class A, REIT | 2,100 | 41,580 | ||||||
VEREIT, Inc. REIT | 67,519 | 549,605 | ||||||
Washington Prime Group, Inc. REIT | 12,900 | 107,973 | ||||||
Washington Real Estate Investment Trust | 5,502 | 175,514 | ||||||
Weingarten Realty Investors REIT | 8,517 | 256,362 | ||||||
Western Asset Mortgage Capital Corp. | 2,500 | 25,750 | ||||||
Whitestone REIT | 2,500 | 30,625 | ||||||
WP Carey, Inc. REIT | 7,302 | 482,005 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 7,400 | 143,338 | ||||||
|
| |||||||
28,819,278 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.5% |
| |||||||
Alexander & Baldwin, Inc. | 3,318 | 137,299 | ||||||
Altisource Portfolio Solutions SA(a)(b) | 700 | 15,274 | ||||||
AV Homes, Inc.(a) | 700 | 14,035 | ||||||
Consolidated-Tomoka Land Co. | 223 | 12,700 | ||||||
Forestar Group, Inc.(a) | 3,200 | 54,880 | ||||||
FRP Holdings, Inc.(a) | 545 | 25,152 | ||||||
HFF, Inc. Class A | 2,446 | 85,047 | ||||||
Howard Hughes Corp.(a) | 2,304 | 283,023 | ||||||
Jones Lang LaSalle, Inc. | 3,105 | 388,125 | ||||||
Kennedy-Wilson Holdings, Inc. | 5,900 | 112,395 | ||||||
Marcus & Millichap, Inc.(a) | 1,100 | 28,996 | ||||||
RE/MAX Holdings, Inc. Class A | 1,300 | 72,865 | ||||||
Realogy Holdings Corp. | 9,325 | 302,596 | ||||||
RMR Group, Inc. Class A | 446 | 21,698 | ||||||
St. Joe Co.(a) | 3,500 | 65,625 | ||||||
Stratus Properties, Inc. | 400 | 11,760 | ||||||
Tejon Ranch Co.(a) | 1,000 | 20,640 | ||||||
Trinity Place Holdings, Inc.(a) | 1,500 | 10,665 | ||||||
|
| |||||||
1,662,775 | ||||||||
|
| |||||||
Road & Rail – 0.7% | ||||||||
AMERCO | 345 | 126,291 | ||||||
ArcBest Corp. | 2,000 | 41,200 | ||||||
Avis Budget Group, Inc.(a) | 4,902 | 133,678 | ||||||
Covenant Transportation Group, Inc. Class A(a) | 700 | 12,271 | ||||||
Daseke, Inc.(a) | 1,400 | 15,582 | ||||||
Genesee & Wyoming, Inc. Class A(a) | 4,166 | 284,913 | ||||||
Heartland Express, Inc. | 3,400 | 70,788 | ||||||
Hertz Global Holdings, Inc.(a) | 4,766 | 54,809 | ||||||
Knight Transportation, Inc. | 5,093 | 188,696 | ||||||
Landstar System, Inc. | 2,883 | 246,785 | ||||||
Marten Transport, Ltd. | 1,593 | 43,648 | ||||||
Old Dominion Freight Line, Inc. | 4,223 | 402,198 | ||||||
Roadrunner Transportation Systems, Inc.(a) | 1,800 | 13,086 | ||||||
Ryder System, Inc. | 3,900 | 280,722 | ||||||
Saia, Inc.(a) | 1,900 | 97,470 | ||||||
Schneider National, Inc. Class B | 100 | 2,237 | ||||||
Swift Transportation Co.(a) | 5,231 | 138,621 | ||||||
Universal Logistics Holdings, Inc. | 500 | 7,500 | ||||||
Werner Enterprises, Inc. | 3,400 | 99,790 | ||||||
YRC Worldwide, Inc.(a) | 2,000 | 22,240 | ||||||
|
| |||||||
2,282,525 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.2% |
| |||||||
Acacia Communications, Inc.(a)(b) | 1,300 | 53,911 | ||||||
Advanced Energy Industries, Inc.(a) | 2,800 | 181,132 |
See accompanying notes to financial statements.
95
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State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Semiconductors & Semiconductor Equipment – (continued) |
| |||||||
Alpha & Omega Semiconductor, Ltd.(a) | 1,387 | $ | 23,121 | |||||
Ambarella, Inc.(a) | 2,300 | 111,665 | ||||||
Amkor Technology, Inc.(a) | 6,952 | 67,921 | ||||||
Axcelis Technologies, Inc.(a) | 1,975 | 41,376 | ||||||
AXT, Inc.(a) | 2,600 | 16,510 | ||||||
Brooks Automation, Inc. | 4,800 | 104,112 | ||||||
Cabot Microelectronics Corp. | 1,681 | 124,108 | ||||||
Cavium, Inc.(a) | 4,701 | 292,073 | ||||||
CEVA, Inc.(a) | 1,400 | 63,630 | ||||||
Cirrus Logic, Inc.(a) | 4,540 | 284,749 | ||||||
Cohu, Inc. | 1,900 | 29,906 | ||||||
Cree, Inc.(a) | 6,500 | 160,225 | ||||||
CyberOptics Corp.(a) | 500 | 10,325 | ||||||
Cypress Semiconductor Corp. | 22,539 | 307,657 | ||||||
Diodes, Inc.(a) | 2,692 | 64,689 | ||||||
DSP Group, Inc.(a) | 1,300 | 15,080 | ||||||
Entegris, Inc.(a) | 9,559 | 209,820 | ||||||
First Solar, Inc.(a) | 5,665 | 225,920 | ||||||
FormFactor, Inc.(a) | 5,065 | 62,806 | ||||||
GSI Technology, Inc.(a) | 1,000 | 7,860 | ||||||
Ichor Holdings, Ltd.(a) | 700 | 14,112 | ||||||
Impinj, Inc.(a)(b) | 1,200 | 58,380 | ||||||
Inphi Corp.(a) | 2,849 | 97,721 | ||||||
Integrated Device Technology, Inc.(a) | 9,711 | 250,447 | ||||||
IXYS Corp. | 1,530 | 25,169 | ||||||
Kopin Corp.(a) | 3,700 | 13,727 | ||||||
Lattice Semiconductor Corp.(a) | 8,480 | 56,477 | ||||||
MACOM Technology Solutions Holdings, Inc.(a) | 2,752 | 153,479 | ||||||
Marvell Technology Group, Ltd. | 27,762 | 458,628 | ||||||
Maxim Integrated Products, Inc. | 19,525 | 876,673 | ||||||
MaxLinear, Inc.(a) | 4,200 | 117,138 | ||||||
Microsemi Corp.(a) | 8,118 | 379,922 | ||||||
MKS Instruments, Inc. | 3,647 | 245,443 | ||||||
Monolithic Power Systems, Inc. | 2,823 | 272,137 | ||||||
Nanometrics, Inc.(a) | 1,600 | 40,464 | ||||||
NeoPhotonics Corp.(a) | 1,800 | 13,896 | ||||||
NVE Corp. | 326 | 25,102 | ||||||
NXP Semiconductors NV(a) | 23,300 | 2,550,185 | ||||||
ON Semiconductor Corp.(a) | 28,707 | 403,046 | ||||||
PDF Solutions, Inc.(a) | 2,100 | 34,545 | ||||||
Photronics, Inc.(a) | 4,900 | 46,060 | ||||||
Pixelworks, Inc.(a) | 2,000 | 9,180 | ||||||
Power Integrations, Inc. | 2,100 | 153,090 | ||||||
Rambus, Inc.(a) | 7,700 | 88,011 | ||||||
Rudolph Technologies, Inc.(a) | 2,153 | 49,196 | ||||||
Semtech Corp.(a) | 4,532 | 162,019 | ||||||
Sigma Designs, Inc.(a) | 2,200 | 12,870 | ||||||
Silicon Laboratories, Inc.(a) | 2,929 | 200,197 | ||||||
SunPower Corp.(a)(b) | 4,055 | 37,874 | ||||||
Synaptics, Inc.(a) | 2,438 | 126,069 | ||||||
Teradyne, Inc. | 13,668 | 410,450 | ||||||
Ultra Clean Holdings, Inc.(a) | 2,200 | 41,250 | ||||||
Veeco Instruments, Inc.(a) | 3,308 | 92,128 | ||||||
Versum Materials, Inc. | 7,500 | 243,750 | ||||||
Xcerra Corp.(a) | 3,700 | 36,149 | ||||||
Xperi Corp. | 3,742 | 111,512 | ||||||
|
| |||||||
10,365,092 | ||||||||
|
| |||||||
Software – 4.5% | ||||||||
A10 Networks, Inc.(a) | 3,100 | 26,164 | ||||||
ACI Worldwide, Inc.(a) | 8,500 | 190,145 | ||||||
American Software, Inc. Class A | 1,500 | 15,435 | ||||||
Aspen Technology, Inc.(a) | 5,055 | 279,339 | ||||||
Atlassian Corp. PLC Class A(a) | 5,100 | 179,418 | ||||||
Barracuda Networks, Inc.(a) | 1,700 | 39,202 | ||||||
Blackbaud, Inc. | 3,443 | 295,237 | ||||||
Blackline, Inc.(a) | 800 | 28,592 | ||||||
Bottomline Technologies de, Inc.(a) | 3,000 | 77,070 | ||||||
BroadSoft, Inc.(a) | 2,212 | 95,227 | ||||||
Cadence Design Systems, Inc.(a) | 19,202 | 643,075 | ||||||
Callidus Software, Inc.(a) | 4,203 | 101,713 | ||||||
CDK Global, Inc. | 9,335 | 579,330 | ||||||
CommVault Systems, Inc.(a) | 2,742 | 154,786 | ||||||
Dell Technologies, Inc. Class V(a) | 14,274 | 872,284 | ||||||
Digimarc Corp.(a)(b) | 640 | 25,696 | ||||||
Ebix, Inc. | 1,900 | 102,410 | ||||||
Ellie Mae, Inc.(a) | 2,358 | 259,168 | ||||||
EnerNOC, Inc.(a) | 1,600 | 12,400 | ||||||
Everbridge, Inc.(a) | 1,200 | 29,232 | ||||||
Exa Corp.(a) | 800 | 11,040 | ||||||
Fair Isaac Corp. | 2,228 | 310,606 | ||||||
FireEye, Inc.(a) | 12,078 | 183,706 | ||||||
Fortinet, Inc.(a) | 10,582 | 396,190 | ||||||
Gigamon, Inc.(a) | 2,300 | 90,505 | ||||||
Glu Mobile, Inc.(a) | 6,200 | 15,500 | ||||||
Guidance Software, Inc.(a) | 1,400 | 9,254 | ||||||
Guidewire Software, Inc.(a) | 5,306 | 364,575 | ||||||
HubSpot, Inc.(a) | 2,275 | 149,581 | ||||||
Imperva, Inc.(a) | 2,273 | 108,763 | ||||||
Manhattan Associates, Inc.(a) | 4,706 | 226,170 | ||||||
MicroStrategy, Inc. Class A(a) | 721 | 138,194 | ||||||
Mitek Systems, Inc.(a) | 1,800 | 15,120 | ||||||
MobileIron, Inc.(a) | 3,804 | 23,014 | ||||||
Model N, Inc.(a) | 1,300 | 17,290 | ||||||
Monotype Imaging Holdings, Inc. | 2,993 | 54,772 | ||||||
Nuance Communications, Inc.(a) | 20,045 | 348,983 | ||||||
Park City Group, Inc.(a)(b) | 800 | 9,720 | ||||||
Paycom Software, Inc.(a) | 3,400 | 232,594 | ||||||
Paylocity Holding Corp.(a) | 1,600 | 72,288 | ||||||
Pegasystems, Inc. | 2,661 | 155,269 | ||||||
Progress Software Corp. | 3,500 | 108,115 | ||||||
Proofpoint, Inc.(a) | 2,950 | 256,149 | ||||||
PROS Holdings, Inc.(a) | 1,700 | 46,563 | ||||||
PTC, Inc.(a) | 7,893 | 435,062 | ||||||
QAD, Inc. Class A | 600 | 19,230 | ||||||
Qualys, Inc.(a) | 1,964 | 80,131 | ||||||
Rapid7, Inc.(a) | 1,200 | 20,196 | ||||||
RealPage, Inc.(a) | 3,884 | 139,630 | ||||||
RingCentral, Inc. Class A(a) | 4,385 | 160,272 | ||||||
Rosetta Stone, Inc.(a) | 1,200 | 12,936 | ||||||
Rubicon Project, Inc.(a) | 3,107 | 15,970 | ||||||
SecureWorks Corp. Class A(a)(b) | 200 | 1,858 | ||||||
ServiceNow, Inc.(a) | 11,673 | 1,237,338 | ||||||
Silver Spring Networks, Inc.(a) | 2,900 | 32,712 | ||||||
Splunk, Inc.(a) | 9,584 | 545,234 | ||||||
SS&C Technologies Holdings, Inc. | 12,252 | 470,599 | ||||||
Synchronoss Technologies, Inc.(a) | 2,797 | 46,011 |
See accompanying notes to financial statements.
96
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Software – (continued) |
| |||||||
Tableau Software, Inc. Class A(a) | 4,085 | $ | 250,288 | |||||
Take-Two Interactive Software, Inc.(a) | 7,050 | 517,329 | ||||||
Telenav, Inc.(a) | 1,952 | 15,811 | ||||||
TiVo Corp. | 8,369 | 156,082 | ||||||
Tyler Technologies, Inc.(a) | 2,419 | 424,946 | ||||||
Ultimate Software Group, Inc.(a) | 1,965 | 412,768 | ||||||
Upland Software, Inc.(a) | 500 | 10,995 | ||||||
Varonis Systems, Inc.(a) | 1,290 | 47,988 | ||||||
VASCO Data Security International, Inc.(a) | 2,100 | 30,135 | ||||||
Verint Systems, Inc.(a) | 4,429 | 180,260 | ||||||
VirnetX Holding Corp.(a)(b) | 2,900 | 13,195 | ||||||
VMware, Inc. Class A(a) | 4,883 | 426,921 | ||||||
Workday, Inc. Class A(a) | 9,097 | 882,409 | ||||||
Workiva, Inc.(a) | 1,500 | 28,575 | ||||||
Zendesk, Inc.(a) | 6,687 | 185,765 | ||||||
Zix Corp.(a) | 3,200 | 18,208 | ||||||
Zynga, Inc. Class A(a) | 51,700 | 188,188 | ||||||
|
| |||||||
14,356,926 | ||||||||
|
| |||||||
Specialty Retail – 1.6% | ||||||||
Aaron’s, Inc. | 4,238 | 164,858 | ||||||
Abercrombie & Fitch Co. Class A | 4,996 | 62,150 | ||||||
America’s Car-Mart, Inc.(a) | 744 | 28,942 | ||||||
American Eagle Outfitters, Inc. | 11,950 | 143,997 | ||||||
Asbury Automotive Group, Inc.(a) | 1,422 | 80,414 | ||||||
Ascena Retail Group, Inc.(a) | 12,963 | 27,870 | ||||||
At Home Group, Inc.(a) | 500 | 11,645 | ||||||
Barnes & Noble Education, Inc.(a) | 2,800 | 29,764 | ||||||
Barnes & Noble, Inc. | 4,254 | 32,330 | ||||||
Big 5 Sporting Goods Corp. | 1,500 | 19,575 | ||||||
Boot Barn Holdings, Inc.(a) | 800 | 5,664 | ||||||
Buckle, Inc. | 1,984 | 35,315 | ||||||
Build-A-Bear Workshop, Inc.(a) | 800 | 8,360 | ||||||
Burlington Stores, Inc.(a) | 4,735 | 435,573 | ||||||
Cabela’s, Inc.(a) | 3,553 | 211,119 | ||||||
Caleres, Inc. | 3,100 | 86,118 | ||||||
Camping World Holdings, Inc. Class A | 800 | 24,680 | ||||||
Carvana Co.(a)(b) | 1,100 | 22,517 | ||||||
Cato Corp. Class A | 1,700 | 29,903 | ||||||
Chico’s FAS, Inc. | 9,400 | 88,548 | ||||||
Children’s Place, Inc. | 1,222 | 124,766 | ||||||
Citi Trends, Inc. | 900 | 19,098 | ||||||
Conn’s, Inc.(a)(b) | 1,243 | 23,741 | ||||||
Container Store Group, Inc.(a) | 1,000 | 5,920 | ||||||
Dick’s Sporting Goods, Inc. | 5,944 | 236,750 | ||||||
DSW, Inc. Class A | 5,200 | 92,040 | ||||||
Express, Inc.(a) | 5,749 | 38,806 | ||||||
Finish Line, Inc. Class A | 2,800 | 39,676 | ||||||
Five Below, Inc.(a) | 3,954 | 195,209 | ||||||
Floor & Decor Holdings, Inc. Class A(a) | 700 | 27,482 | ||||||
Francesca’s Holdings Corp.(a) | 2,975 | 32,547 | ||||||
GameStop Corp. Class A | 7,200 | 155,592 | ||||||
Genesco, Inc.(a) | 1,305 | 44,240 | ||||||
GNC Holdings, Inc. Class A(b) | 5,478 | 46,180 | ||||||
Group 1 Automotive, Inc. | 1,452 | 91,941 | ||||||
Guess?, Inc. | 4,200 | 53,676 | ||||||
Haverty Furniture Cos., Inc. | 1,300 | 32,630 | ||||||
Hibbett Sports, Inc.(a) | 1,434 | 29,756 | ||||||
J. Jill, Inc.(a) | 800 | 9,832 | ||||||
Kirkland’s, Inc.(a) | 900 | 9,252 | ||||||
Lithia Motors, Inc. Class A | 1,685 | 158,778 | ||||||
Lumber Liquidators Holdings, Inc.(a)(b) | 1,876 | 47,013 | ||||||
MarineMax, Inc.(a) | 1,778 | 34,760 | ||||||
Michaels Cos., Inc.(a) | 7,991 | 147,993 | ||||||
Monro Muffler Brake, Inc. | 2,198 | 91,766 | ||||||
Murphy USA, Inc.(a) | 2,294 | 170,008 | ||||||
Office Depot, Inc. | 34,400 | 194,016 | ||||||
Party City Holdco, Inc.(a) | 1,900 | 29,735 | ||||||
Penske Automotive Group, Inc. | 2,677 | 117,547 | ||||||
Pier 1 Imports, Inc. | 5,700 | 29,583 | ||||||
Rent-A-Center, Inc. | 3,600 | 42,192 | ||||||
RH(a)(b) | 2,529 | 163,171 | ||||||
Sally Beauty Holdings, Inc.(a) | 9,307 | 188,467 | ||||||
Select Comfort Corp.(a) | 3,176 | 112,716 | ||||||
Shoe Carnival, Inc. | 800 | 16,704 | ||||||
Sonic Automotive, Inc. Class A | 2,000 | 38,900 | ||||||
Sportsman’s Warehouse Holdings, Inc.(a) | 2,500 | 13,500 | ||||||
Tailored Brands, Inc. | 3,152 | 35,176 | ||||||
Tile Shop Holdings, Inc. | 2,219 | 45,822 | ||||||
Tilly’s, Inc. Class A | 700 | 7,105 | ||||||
Urban Outfitters, Inc.(a) | 6,414 | 118,916 | ||||||
Vitamin Shoppe, Inc.(a) | 1,500 | 17,475 | ||||||
West Marine, Inc. | 1,082 | 13,904 | ||||||
Williams-Sonoma, Inc. | 5,948 | 288,478 | ||||||
Winmark Corp. | 174 | 22,437 | ||||||
Zumiez, Inc.(a) | 1,100 | 13,585 | ||||||
|
| |||||||
5,018,223 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% |
| |||||||
3D Systems Corp.(a) | 8,000 | 149,600 | ||||||
Avid Technology, Inc.(a) | 1,900 | 9,994 | ||||||
CPI Card Group, Inc. | 1,269 | 3,617 | ||||||
Cray, Inc.(a) | 2,766 | 50,894 | ||||||
Diebold Nixdorf, Inc. | 5,151 | 144,228 | ||||||
Eastman Kodak Co.(a) | 1,000 | 9,100 | ||||||
Electronics For Imaging, Inc.(a) | 3,305 | 156,591 | ||||||
Immersion Corp.(a) | 1,735 | 15,754 | ||||||
Intevac, Inc.(a) | 1,400 | 15,540 | ||||||
NCR Corp.(a) | 8,267 | 337,624 | ||||||
Pure Storage, Inc. Class A(a) | 6,400 | 81,984 | ||||||
Quantum Corp.(a) | 1,900 | 14,839 | ||||||
Stratasys, Ltd.(a) | 3,582 | 83,496 | ||||||
Super Micro Computer, Inc.(a) | 2,772 | 68,330 | ||||||
USA Technologies, Inc.(a) | 2,200 | 11,440 | ||||||
|
| |||||||
1,153,031 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.7% |
| |||||||
Carter’s, Inc. | 3,239 | 288,109 | ||||||
Columbia Sportswear Co. | 1,887 | 109,559 | ||||||
Crocs, Inc.(a) | 5,100 | 39,321 | ||||||
Culp, Inc. | 900 | 29,250 | ||||||
Deckers Outdoor Corp.(a) | 2,338 | 159,592 | ||||||
Delta Apparel, Inc.(a) | 400 | 8,872 |
See accompanying notes to financial statements.
97
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Textiles, Apparel & Luxury Goods – (continued) |
| |||||||
Fossil Group, Inc.(a) | 3,100 | $ | 32,085 | |||||
G-III Apparel Group, Ltd.(a) | 3,381 | 84,356 | ||||||
Iconix Brand Group, Inc.(a) | 3,500 | 24,185 | ||||||
Kate Spade & Co.(a) | 9,200 | 170,108 | ||||||
lululemon athletica, Inc.(a) | 6,632 | 395,731 | ||||||
Movado Group, Inc. | 1,400 | 35,350 | ||||||
Oxford Industries, Inc. | 1,130 | 70,614 | ||||||
Perry Ellis International, Inc.(a) | 800 | 15,568 | ||||||
Sequential Brands Group, Inc.(a) | 2,310 | 9,217 | ||||||
Skechers U.S.A., Inc. Class A(a) | 9,447 | 278,687 | ||||||
Steven Madden, Ltd.(a) | 3,900 | 155,805 | ||||||
Superior Uniform Group, Inc. | 500 | 11,175 | ||||||
Unifi, Inc.(a) | 1,100 | 33,880 | ||||||
Vera Bradley, Inc.(a) | 1,200 | 11,736 | ||||||
Wolverine World Wide, Inc. | 6,900 | 193,269 | ||||||
|
| |||||||
2,156,469 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.1% |
| |||||||
ASB Bancorp, Inc.(a) | 200 | 8,790 | ||||||
Astoria Financial Corp. | 6,600 | 132,990 | ||||||
Bank Mutual Corp. | 2,900 | 26,535 | ||||||
BankFinancial Corp. | 900 | 13,428 | ||||||
Bear State Financial, Inc. | 1,100 | 10,406 | ||||||
Beneficial Bancorp, Inc. | 5,100 | 76,500 | ||||||
BofI Holding, Inc.(a)(b) | 4,300 | 101,996 | ||||||
BSB Bancorp, Inc.(a) | 479 | 14,011 | ||||||
Capitol Federal Financial, Inc. | 9,100 | 129,311 | ||||||
Charter Financial Corp. | 800 | 14,400 | ||||||
Clifton Bancorp, Inc. | 1,320 | 21,820 | ||||||
Dime Community Bancshares, Inc. | 2,200 | 43,120 | ||||||
Entegra Financial Corp.(a) | 400 | 9,100 | ||||||
ESSA Bancorp, Inc. | 500 | 7,360 | ||||||
Essent Group, Ltd.(a) | 5,600 | 207,984 | ||||||
Federal Agricultural Mortgage Corp. Class C | 600 | 38,820 | ||||||
First Defiance Financial Corp. | 648 | 34,137 | ||||||
Flagstar Bancorp, Inc.(a) | 1,600 | 49,312 | ||||||
Greene County Bancorp, Inc. | 200 | 5,440 | ||||||
Hingham Institution for Savings | 81 | 14,736 | ||||||
Home Bancorp, Inc. | 400 | 17,008 | ||||||
HomeStreet, Inc.(a) | 1,874 | 51,863 | ||||||
Impac Mortgage Holdings, Inc.(a) | 589 | 8,911 | ||||||
Kearny Financial Corp. | 6,200 | 92,070 | ||||||
LendingTree, Inc.(a) | 510 | 87,822 | ||||||
Malvern Bancorp, Inc.(a) | 400 | 9,580 | ||||||
Meridian Bancorp, Inc. | 3,400 | 57,460 | ||||||
Meta Financial Group, Inc. | 581 | 51,709 | ||||||
MGIC Investment Corp.(a) | 24,900 | 278,880 | ||||||
Nationstar Mortgage Holdings, Inc.(a) | 2,200 | 39,358 | ||||||
New York Community Bancorp, Inc. | 32,723 | 429,653 | ||||||
NMI Holdings, Inc. Class A(a) | 3,800 | 43,510 | ||||||
Northfield Bancorp, Inc. | 3,000 | 51,450 | ||||||
Northwest Bancshares, Inc. | 7,000 | 109,270 | ||||||
OceanFirst Financial Corp. | 2,200 | 59,664 | ||||||
Ocwen Financial Corp.(a) | 6,000 | 16,140 | ||||||
Oritani Financial Corp. | 2,900 | 49,445 | ||||||
PCSB Financial Corp.(a) | 1,300 | 22,178 | ||||||
PennyMac Financial Services, Inc. Class A(a) | 1,100 | 18,370 | ||||||
PHH Corp.(a) | 3,700 | 50,949 | ||||||
Provident Bancorp, Inc.(a) | 200 | 4,500 | ||||||
Provident Financial Holdings, Inc. | 400 | 7,700 | ||||||
Provident Financial Services, Inc. | 4,700 | 119,286 | ||||||
Prudential Bancorp, Inc. | 600 | 10,896 | ||||||
Radian Group, Inc. | 15,700 | 256,695 | ||||||
Riverview Bancorp, Inc. | 1,300 | 8,632 | ||||||
SI Financial Group, Inc. | 700 | 11,270 | ||||||
Southern Missouri Bancorp, Inc. | 400 | 12,904 | ||||||
Territorial Bancorp, Inc. | 455 | 14,191 | ||||||
TFS Financial Corp. | 4,029 | 62,329 | ||||||
Timberland Bancorp, Inc. | 400 | 10,108 | ||||||
TrustCo Bank Corp. NY | 6,900 | 53,475 | ||||||
United Community Financial Corp. | 3,400 | 28,254 | ||||||
United Financial Bancorp, Inc. | 3,600 | 60,084 | ||||||
Walker & Dunlop, Inc.(a) | 1,900 | 92,777 | ||||||
Washington Federal, Inc. | 6,000 | 199,200 | ||||||
Waterstone Financial, Inc. | 1,800 | 33,930 | ||||||
Western New England Bancorp, Inc. | 1,500 | 15,225 | ||||||
WSFS Financial Corp. | 2,100 | 95,235 | ||||||
|
| |||||||
3,602,177 | ||||||||
|
| |||||||
Tobacco – 0.1% | ||||||||
Turning Point Brands, Inc.(a) | 400 | 6,136 | ||||||
Universal Corp. | 1,741 | 112,643 | ||||||
Vector Group, Ltd. | 6,950 | 148,174 | ||||||
|
| |||||||
266,953 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.1% |
| |||||||
Air Lease Corp. | 7,000 | 261,520 | ||||||
Aircastle, Ltd. | 3,300 | 71,775 | ||||||
Applied Industrial Technologies, Inc. | 2,661 | 157,132 | ||||||
Beacon Roofing Supply, Inc.(a) | 4,349 | 213,101 | ||||||
BMC Stock Holdings, Inc.(a) | 4,525 | 98,871 | ||||||
CAI International, Inc.(a) | 1,100 | 25,960 | ||||||
DXP Enterprises, Inc.(a) | 1,200 | 41,400 | ||||||
EnviroStar, Inc.(b) | 200 | 5,410 | ||||||
Foundation Building Materials, Inc.(a) | 1,200 | 15,432 | ||||||
GATX Corp. | 2,885 | 185,419 | ||||||
GMS, Inc.(a) | 1,600 | 44,960 | ||||||
H&E Equipment Services, Inc. | 2,400 | 48,984 | ||||||
HD Supply Holdings, Inc.(a) | 13,930 | 426,676 | ||||||
Herc Holdings, Inc.(a) | 1,738 | 68,338 | ||||||
Huttig Building Products, Inc.(a) | 1,700 | 11,917 | ||||||
Kaman Corp. | 1,999 | 99,690 | ||||||
Lawson Products, Inc.(a) | 400 | 8,860 | ||||||
MRC Global, Inc.(a) | 5,800 | 95,816 | ||||||
MSC Industrial Direct Co., Inc. Class A | 3,005 | 258,310 | ||||||
Neff Corp. Class A(a) | 600 | 11,400 | ||||||
Nexeo Solutions, Inc.(a) | 1,800 | 14,940 | ||||||
NOW, Inc.(a) | 7,700 | 123,816 |
See accompanying notes to financial statements.
98
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Trading Companies & Distributors – (continued) |
| |||||||
Rush Enterprises, Inc. Class A(a) | 2,100 | $ | 78,078 | |||||
Rush Enterprises, Inc. Class B(a) | 400 | 14,564 | ||||||
SiteOne Landscape Supply, Inc.(a) | 2,400 | 124,944 | ||||||
Textainer Group Holdings, Ltd. | 1,900 | 27,550 | ||||||
Titan Machinery, Inc.(a) | 1,100 | 19,778 | ||||||
Triton International, Ltd. | 2,800 | 93,632 | ||||||
Univar, Inc.(a) | 7,201 | 210,269 | ||||||
Veritiv Corp.(a) | 791 | 35,595 | ||||||
Watsco, Inc. | 2,090 | 322,278 | ||||||
WESCO International, Inc.(a) | 3,628 | 207,885 | ||||||
Willis Lease Finance Corp.(a) | 200 | 5,346 | ||||||
|
| |||||||
3,429,646 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.1% |
| |||||||
Macquarie Infrastructure Corp. | 5,520 | 432,768 | ||||||
Wesco Aircraft Holdings, Inc.(a) | 4,200 | 45,570 | ||||||
|
| |||||||
478,338 | ||||||||
|
| |||||||
Water Utilities – 0.3% | ||||||||
American States Water Co. | 2,646 | 125,447 | ||||||
Aqua America, Inc. | 12,215 | 406,759 | ||||||
AquaVenture Holdings, Ltd.(a) | 800 | 12,184 | ||||||
Artesian Resources Corp. Class A | 451 | 16,976 | ||||||
Cadiz, Inc.(a) | 1,500 | 20,250 | ||||||
California Water Service Group | 3,576 | 131,597 | ||||||
Connecticut Water Service, Inc. | 700 | 38,857 | ||||||
Consolidated Water Co., Ltd. | 900 | 11,160 | ||||||
Global Water Resources, Inc. | 300 | 2,970 | ||||||
Middlesex Water Co. | 1,100 | 43,560 | ||||||
Pure Cycle Corp.(a) | 1,200 | 9,300 | ||||||
SJW Group | 1,200 | 59,016 | ||||||
York Water Co. | 800 | 27,880 | ||||||
|
| |||||||
905,956 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.6% |
| |||||||
Boingo Wireless, Inc.(a) | 2,500 | 37,400 | ||||||
Shenandoah Telecommunications Co. | 3,250 | 99,775 | ||||||
Spok Holdings, Inc. | 1,400 | 24,780 | ||||||
Sprint Corp.(a) | 43,174 | 354,459 | ||||||
T-Mobile US, Inc.(a) | 20,483 | 1,241,679 | ||||||
Telephone & Data Systems, Inc. | 7,200 | 199,800 | ||||||
United States Cellular Corp.(a) | 900 | 34,488 | ||||||
|
| |||||||
1,992,381 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 314,489,340 | ||||||
|
| |||||||
RIGHTS – 0.0%(e) | ||||||||
Biotechnology – 0.0%(e) | ||||||||
Dyax Corp. (CVR) (expiring 12/31/19)(a)(f) | 1,009 | 1,120 | ||||||
Tobira Therapeutics, Inc. (CVR) (expiring 12/31/28)(a)(f) | 200 | 2,748 | ||||||
|
| |||||||
3,868 | ||||||||
|
| |||||||
Media – 0.0%(e) | ||||||||
Media General, Inc. (CVR)(a)(f) | 6,500 | 12,350 | ||||||
|
| |||||||
TOTAL RIGHTS |
| 16,218 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 3.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(g)(h) | 7,101,154 | 7,101,154 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(g)(i) | 4,255,844 | 4,255,844 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 11,356,998 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.5% |
| 325,862,556 | ||||||
Liabilities in Excess of Other Assets – (1.5)% |
| (4,835,973 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 321,026,583 | |||||
|
|
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2017. |
(c) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(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 June 30, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Portfolio’s net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | 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. As of June 30, 2017, total aggregate fair value of securities is $16,218 representing less than 0.05% of net assets. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(i) | Investment of cash collateral for securities loaned. |
CVR | Contingent Value Rights | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust |
See accompanying notes to financial statements.
99
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
At June 30, 2017, 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) | 09/15/2017 | 22 | $ | 3,841,420 | $ | (9,994 | ) | |||||||||
Russell 2000 Mini Index (long) | 09/15/2017 | 39 | 2,757,885 | (10,646 | ) | |||||||||||
|
| |||||||||||||||
Total unrealized depreciation on open futures contracts purchased | $ | (20,640 | ) | |||||||||||||
|
|
During the period ended June 30, 2017, average notional value related to futures contracts was $5,187,544 or 2% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 4,682,482 | $ | – | $ | – | $ | 4,682,482 | ||||||||
Air Freight & Logistics | 938,849 | – | – | 938,849 | ||||||||||||
Airlines | 1,472,827 | – | – | 1,472,827 | ||||||||||||
Auto Components | 3,347,079 | – | – | 3,347,079 | ||||||||||||
Automobiles | 3,721,160 | – | – | 3,721,160 | ||||||||||||
Banks | 22,932,595 | – | – | 22,932,595 | ||||||||||||
Beverages | 316,079 | – | – | 316,079 | ||||||||||||
Biotechnology | 12,956,238 | – | – | 12,956,238 | ||||||||||||
Building Products | 3,562,545 | – | – | 3,562,545 | ||||||||||||
Capital Markets | 4,827,870 | – | – | 4,827,870 | ||||||||||||
Chemicals | 8,164,212 | – | – | 8,164,212 | ||||||||||||
Commercial Services & Supplies | 4,847,964 | – | – | 4,847,964 | ||||||||||||
Communications Equipment | 6,475,850 | – | – | 6,475,850 | ||||||||||||
Construction & Engineering | 2,244,179 | – | – | 2,244,179 | ||||||||||||
Construction Materials | 605,677 | – | – | 605,677 | ||||||||||||
Consumer Finance | 2,296,545 | – | – | 2,296,545 | ||||||||||||
Containers & Packaging | 3,723,566 | – | – | 3,723,566 | ||||||||||||
Distributors | 457,176 | – | – | 457,176 | ||||||||||||
Diversified Consumer Services | 2,392,483 | – | – | 2,392,483 | ||||||||||||
Diversified Financial Services | 2,341,484 | – | – | 2,341,484 | ||||||||||||
Diversified Telecommunication Services | 1,495,195 | – | – | 1,495,195 | ||||||||||||
Electric Utilities | 3,355,555 | – | – | 3,355,555 | ||||||||||||
Electrical Equipment | 2,131,675 | – | – | 2,131,675 | ||||||||||||
Electronic Equipment, Instruments & Components | 9,238,706 | – | – | 9,238,706 | ||||||||||||
Energy Equipment & Services | 2,848,500 | – | – | 2,848,500 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 1,678,339 | – | – | 1,678,339 | ||||||||||||
Food & Staples Retailing | 1,677,635 | – | – | 1,677,635 | ||||||||||||
Food Products | 5,464,448 | – | – | 5,464,448 | ||||||||||||
Gas Utilities | 3,161,168 | – | – | 3,161,168 | ||||||||||||
Health Care Equipment & Supplies | 9,081,012 | – | – | 9,081,012 | ||||||||||||
Health Care Providers & Services | 5,086,069 | – | – | 5,086,069 | ||||||||||||
Health Care Technology | 1,949,198 | – | – | 1,949,198 | ||||||||||||
Hotels, Restaurants & Leisure | 12,808,498 | – | – | 12,808,498 | ||||||||||||
Household Durables | 3,525,782 | – | – | 3,525,782 |
See accompanying notes to financial statements.
100
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Household Products | $ | 800,813 | $ | – | $ | – | $ | 800,813 | ||||||||
Independent Power Producers & Energy Traders | 1,229,814 | – | – | 1,229,814 | ||||||||||||
Industrial Conglomerates | 502,342 | – | – | 502,342 | ||||||||||||
Insurance | 12,379,171 | – | – | 12,379,171 | ||||||||||||
Internet & Catalog Retail | 2,246,511 | – | – | 2,246,511 | ||||||||||||
Internet Software & Services | 7,207,313 | – | – | 7,207,313 | ||||||||||||
IT Services | 10,043,746 | – | – | 10,043,746 | ||||||||||||
Leisure Equipment & Products | 1,282,064 | – | – | 1,282,064 | ||||||||||||
Life Sciences Tools & Services | 3,924,122 | – | – | 3,924,122 | ||||||||||||
Machinery | 11,838,689 | – | – | 11,838,689 | ||||||||||||
Marine | 426,750 | – | – | 426,750 | ||||||||||||
Media | 6,601,069 | – | – | 6,601,069 | ||||||||||||
Metals & Mining | 4,154,986 | – | 0 | (a) | 4,154,986 | |||||||||||
Mortgage Real Estate Investment Trusts (REITs) | 521,456 | – | – | 521,456 | ||||||||||||
Multi-Utilities | 1,414,513 | – | – | 1,414,513 | ||||||||||||
Multiline Retail | 495,224 | – | – | 495,224 | ||||||||||||
Oil, Gas & Consumable Fuels | 9,024,317 | – | – | 9,024,317 | ||||||||||||
Paper & Forest Products | 995,460 | – | – | 995,460 | ||||||||||||
Personal Products | 1,072,245 | – | – | 1,072,245 | ||||||||||||
Pharmaceuticals | 3,129,668 | – | – | 3,129,668 | ||||||||||||
Professional Services | 2,900,657 | – | – | 2,900,657 | ||||||||||||
Real Estate Investment Trusts (REITs) | 28,819,278 | – | – | 28,819,278 | ||||||||||||
Real Estate Management & Development | 1,662,775 | – | – | 1,662,775 | ||||||||||||
Road & Rail | 2,282,525 | – | – | 2,282,525 | ||||||||||||
Semiconductors & Semiconductor Equipment | 10,365,092 | – | – | 10,365,092 | ||||||||||||
Software | 14,356,926 | – | – | 14,356,926 | ||||||||||||
Specialty Retail | 5,018,223 | – | – | 5,018,223 | ||||||||||||
Technology Hardware, Storage & Peripherals | 1,153,031 | – | – | 1,153,031 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,156,469 | – | – | 2,156,469 | ||||||||||||
Thrifts & Mortgage Finance | 3,602,177 | – | – | 3,602,177 | ||||||||||||
Tobacco | 266,953 | – | – | 266,953 | ||||||||||||
Trading Companies & Distributors | 3,429,646 | – | – | 3,429,646 | ||||||||||||
Transportation Infrastructure | 478,338 | – | – | 478,338 | ||||||||||||
Water Utilities | 905,956 | – | – | 905,956 | ||||||||||||
Wireless Telecommunication Services | 1,992,381 | – | – | 1,992,381 | ||||||||||||
Rights | ||||||||||||||||
Biotechnology | – | 3,868 | – | 3,868 | ||||||||||||
Media | – | 12,350 | – | 12,350 | ||||||||||||
Short-Term Investments | 11,356,998 | – | – | 11,356,998 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 325,846,338 | $ | 16,218 | $ | 0 | $ | 325,862,556 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | $ | (20,640 | ) | $ | – | $ | – | $ | (20,640 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (20,640 | ) | $ | – | $ | – | $ | (20,640 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Fund held a Level 3 security that was valued at $0 at June 30, 2017. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
101
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 30,689,224 | 23,588,070 | 7,101,154 | $ | 7,101,154 | $ | 8,489 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 3,020,616 | 3,020,616 | 147,489,916 | 150,510,532 | – | – | 14,477 | – | ||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | – | – | 7,201,107 | 2,945,263 | 4,255,844 | 4,255,844 | 22,718 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 3,020,616 | $ | 11,356,998 | $ | 45,682 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
102
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | ||||||||||
Assets |
| |||||||||||
Investments in unaffiliated issuers, at value* (Note 2) | $ | 466,401,667 | $ | 1,248,078,322 | $ | 314,505,558 | ||||||
Investments in affiliated issuers, at value (Notes 2 and 5) | 11,393,878 | 37,614,514 | 11,356,998 | |||||||||
|
|
|
|
|
| |||||||
Total investments | 477,795,545 | 1,285,692,836 | 325,862,556 | |||||||||
Foreign currency, at value | – | 3,634,481 | – | |||||||||
Cash at broker | – | 1,463,000 | 262,650 | |||||||||
Cash | 604 | 1 | 260 | |||||||||
Receivable from broker – variation margin on open futures contracts | – | 406,331 | 4,267 | |||||||||
Receivable for investments sold | – | 12,947 | 20,125 | |||||||||
Receivable for fund shares sold | 12,156,600 | 208,976,742 | 1,350,124 | |||||||||
Dividends receivable – unaffiliated issuers (Note 2) | – | 2,627,313 | 390,088 | |||||||||
Interest receivable – unaffiliated issuers (Note 2) | 2,399,198 | – | – | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 9,461 | 23,179 | 5,613 | |||||||||
Securities lending income receivable – affiliated issuers (Notes 5 and 9) | – | 28,766 | 18,266 | |||||||||
Receivable from Advisor (Note 5) | 19,376 | 9,402 | – | |||||||||
Receivable for foreign taxes recoverable | 342 | 1,089,669 | – | |||||||||
|
|
|
|
|
| |||||||
Total assets | 492,381,126 | 1,503,964,667 | 327,913,949 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payable upon return of securities loaned | – | 8,269,427 | 4,255,844 | |||||||||
Payable for investments purchased | 11,062,261 | 192,674,231 | 765,822 | |||||||||
Payable for fund shares repurchased | 531,959 | 23,844,993 | 1,785,236 | |||||||||
Deferred foreign taxes payable | – | 216,496 | – | |||||||||
Advisory fee payable (Note 5) | 23,095 | 51,094 | 18,618 | |||||||||
Custodian fees payable (Note 5) | – | 247,246 | – | |||||||||
Accrued Trustees’ fees and expenses (Note 6) | – | 1,986 | – | |||||||||
Professional fees payable | 65,970 | 64,789 | 61,846 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 11,683,285 | 225,370,262 | 6,887,366 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 480,697,841 | $ | 1,278,594,405 | $ | 321,026,583 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Paid-in Capital | $ | 482,946,473 | $ | 1,167,228,878 | $ | 291,756,929 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | (320,147 | ) | 16,031,891 | 2,229,035 | ||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (155,814 | ) | (318,818 | ) | 4,715,009 | |||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments** | (1,772,671 | ) | 95,744,187 | 22,346,248 | ||||||||
Foreign currency transactions | – | 9,792 | 2 | |||||||||
Futures contracts | – | (101,525 | ) | (20,640 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 480,697,841 | $ | 1,278,594,405 | $ | 321,026,583 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
103
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | ||||||||||
Net Asset Value per Share |
| |||||||||||
Net asset value per share | $ | 10.01 | $ | 9.97 | $ | 11.43 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 48,021,784 | 128,250,998 | 28,077,950 | |||||||||
|
|
|
|
|
| |||||||
Cost of Investments: |
| |||||||||||
Investments in unaffiliated issuers | $ | 468,174,338 | $ | 1,152,117,639 | $ | 292,159,310 | ||||||
Investments in affiliated issuers | 11,393,878 | 37,614,514 | 11,356,998 | |||||||||
|
|
|
|
|
| |||||||
Total cost of investments | $ | 479,568,216 | $ | 1,189,732,153 | $ | 303,516,308 | ||||||
|
|
|
|
|
| |||||||
Foreign currency, at cost | $ | – | $ | 3,626,751 | $ | – | ||||||
|
|
|
|
|
| |||||||
* Includes investments in securities on loan, at value | $ | – | $ | 15,664,803 | $ | 25,767,635 | ||||||
|
|
|
|
|
| |||||||
** Includes deferred foreign taxes | $ | – | $ | 216,496 | $ | – | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
104
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2017 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | ||||||||||
Investment Income |
| |||||||||||
Interest income – unaffiliated issuers (Note 2) | $ | 4,678,464 | $ | 5,736 | $ | 556 | ||||||
Dividend income – unaffiliated issuers (Note 2) | – | 18,384,987 | 2,221,243 | |||||||||
Dividend income – affiliated issuers (Note 2) | 82,250 | 88,239 | 22,966 | |||||||||
Affiliated securities lending income – net (Notes 5 and 9) | – | 45,816 | 33,815 | |||||||||
Foreign taxes withheld | (9 | ) | (1,751,270 | ) | (3,124 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income (loss) | 4,760,705 | 16,773,508 | 2,275,456 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory fee (Note 4) | 24,775 | 46,189 | 16,671 | |||||||||
Custodian fees (Note 5) | – | 170,672 | – | |||||||||
Trustees’ fees and expenses (Note 6) | 19,516 | 25,393 | 18,395 | |||||||||
Registration and filing fees | 1,014 | – | 260 | |||||||||
Professional fees | 50,482 | 60,680 | 47,088 | |||||||||
Printing and postage fees | 4,404 | 4,934 | 4,184 | |||||||||
Insurance expense | 323 | 546 | 114 | |||||||||
Miscellaneous expenses | 6,362 | 13,178 | 4,610 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 106,876 | 321,592 | 91,322 | |||||||||
Expenses waived/reimbursed by the Adviser (Note 5) | (101,430 | ) | (9,402 | ) | (48,855 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 5,446 | 312,190 | 42,467 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 4,755,259 | 16,461,318 | 2,232,989 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments – unaffiliated issuers* | 130,163 | 612,581 | 4,371,334 | |||||||||
Foreign currency transactions | – | 381,975 | – | |||||||||
Futures contracts | – | 4,012,360 | 231,928 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 130,163 | 5,006,916 | 4,603,262 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments – unaffiliated issuers** | 4,003,039 | 96,320,659 | �� | 11,368,079 | ||||||||
Foreign currency transactions | – | 85,223 | 2 | |||||||||
Futures contracts | – | (25,885 | ) | 17,000 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 4,003,039 | 96,379,997 | 11,385,081 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | 4,133,202 | 101,386,913 | 15,988,343 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 8,888,461 | $ | 117,848,231 | $ | 18,221,332 | ||||||
|
|
|
|
|
| |||||||
* Includes foreign capital gain taxes | $ | – | $ | (602 | ) | $ | – | |||||
|
|
|
|
|
| |||||||
** Includes foreign deferred taxes | $ | – | $ | (216,496 | ) | $ | – | |||||
|
|
|
|
|
|
See accompanying notes to financial statements.
105
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 4,755,259 | $ | 3,485,523 | $ | 16,461,318 | $ | 7,946,745 | ||||||||
Net realized gain (loss) | 130,163 | (287,487 | ) | 5,006,916 | (4,607,168 | ) | ||||||||||
Net change in unrealized appreciation/depreciation | 4,003,039 | (4,935,390 | ) | 96,379,997 | 13,134,706 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 8,888,461 | (1,737,354 | ) | 117,848,231 | 16,474,283 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | (4,948,402 | ) | (3,169,215 | ) | – | (8,017,668 | ) | |||||||||
Net realized gains | – | (287,585 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (4,948,402 | ) | (3,456,800 | ) | – | (8,017,668 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Proceeds from sale of shares sold | 233,701,072 | 189,555,151 | 684,581,394 | 473,015,931 | ||||||||||||
Reinvestment of distributions | 4,948,402 | 3,456,799 | – | 8,017,668 | ||||||||||||
Cost of shares redeemed | (11,797,200 | ) | (21,754,269 | ) | (76,535,064 | ) | (54,251,622 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 226,852,274 | 171,257,681 | 608,046,330 | 426,781,977 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 230,792,333 | 166,063,527 | 725,894,561 | 435,238,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 249,905,508 | 83,841,981 | 552,699,844 | 117,461,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 480,697,841 | $ | 249,905,508 | $ | 1,278,594,405 | $ | 552,699,844 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (320,147 | ) | $ | (127,004 | ) | $ | 16,031,891 | $ | (429,427 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Shares sold | 23,501,273 | 18,529,423 | 72,987,507 | 54,609,188 | ||||||||||||
Reinvestment of distributions | 495,842 | 341,605 | – | 925,828 | ||||||||||||
Shares redeemed | (1,183,843 | ) | (2,139,740 | ) | (8,016,247 | ) | (6,157,992 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 22,813,272 | 16,731,288 | 64,971,260 | 49,377,024 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
106
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 2,232,989 | $ | 1,275,800 | ||||
Net realized gain (loss) | 4,603,262 | 1,442,520 | ||||||
Net change in unrealized appreciation/depreciation | 11,385,081 | 12,658,138 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 18,221,332 | 15,376,458 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | – | (1,296,402 | ) | |||||
Net realized gains | – | (1,204,195 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (2,500,597 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 171,835,314 | 120,269,317 | ||||||
Reinvestment of distributions | – | 2,500,596 | ||||||
Cost of shares redeemed | (11,298,684 | ) | (21,528,449 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 160,536,630 | 101,241,464 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 178,757,962 | 114,117,325 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 142,268,621 | 28,151,296 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 321,026,583 | $ | 142,268,621 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 2,229,035 | $ | (3,954 | ) | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 15,734,046 | 12,187,686 | ||||||
Reinvestment of distributions | – | 233,482 | ||||||
Shares redeemed | (1,015,738 | ) | (2,089,826 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 14,718,308 | 10,331,342 | ||||||
|
|
|
|
See accompanying notes to financial statements.
107
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Portfolio | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 9.91 | $ | 9.89 | $ | 10.14 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.23 | 0.20 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.01 | (0.13 | ) | 0.16 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.21 | 0.24 | 0.07 | 0.20 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Voluntary contribution from Adviser | – | – | 0.00 | (b) | 0.00 | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | (0.11 | ) | (0.21 | ) | (0.19 | ) | (0.04 | ) | ||||||||
Net realized gains | – | (0.01 | ) | (0.11 | ) | (0.02 | ) | |||||||||
Return of capital | – | – | (0.02 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (0.11 | ) | (0.22 | ) | (0.32 | ) | (0.06 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 10.01 | $ | 9.91 | $ | 9.89 | $ | 10.14 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 2.16 | % | 2.39 | % | 0.65 | %(e) | 2.00 | %(e) | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 480,698 | $ | 249,906 | $ | 83,842 | $ | 80,044 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.05 | %(f) | 0.14 | % | 0.17 | % | 0.25 | %(f) | ||||||||
Net expenses | 0.00 | %(f)(g) | 0.01 | % | 0.03 | % | 0.04 | %(f) | ||||||||
Net investment income (loss) | 2.27 | %(f) | 2.24 | % | 2.00 | % | 1.52 | %(f) | ||||||||
Portfolio turnover rate | 78 | %(i) | 194 | % | 62 | %(h) | 16 | %(h)(i) |
* | 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. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | 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%. |
(e) | 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%. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
(i) | Not annualized. |
See accompanying notes to financial statements.
108
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 | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 8.73 | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.16 | 0.22 | 0.25 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 0.20 | (0.79 | ) | (0.82 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 1.24 | 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 | $ | 9.97 | $ | 8.73 | $ | 8.45 | $ | 9.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return(c) | 14.07 | % | 5.06 | % | (5.84 | )%(d) | (7.72 | )%(e) | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,278,594 | $ | 552,700 | $ | 117,461 | $ | 49,460 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Total expenses | 0.07 | %(f) | 0.23 | % | 0.48 | % | 0.73 | %(f) | ||||||||
Net expenses | 0.07 | %(f) | 0.08 | % | 0.08 | % | 0.31 | %(f) | ||||||||
Net investment income (loss) | 3.52 | %(f) | 2.51 | % | 2.73 | % | 1.77 | %(f) | ||||||||
Portfolio turnover rate | 1 | %(g) | 8 | % | 3 | % | 0 | %(g) |
* | 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. Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | 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%. |
(e) | 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%. |
(f) | Annualized. |
(g) | Not annualized. |
See accompanying notes to financial statements.
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Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Portfolio | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | For the Period 8/12/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 9.30 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net investment income (loss)(a) | 0.09 | 0.15 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.69 | 1.38 | (0.69 | ) | ||||||||
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|
|
|
| |||||||
Total from investment operations | 0.78 | 1.53 | (0.63 | ) | ||||||||
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| |||||||
Distributions to Shareholders from: |
| |||||||||||
Net investment income | – | (0.09 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.09 | ) | (0.01 | ) | |||||||
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| |||||||
Total distributions | – | (0.18 | ) | (0.07 | ) | |||||||
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Net asset value, end of period | $ | 11.43 | $ | 10.65 | $ | 9.30 | ||||||
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| |||||||
Total return(b) | 7.32 | % | 16.46 | % | 6.30 | % | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 321,027 | $ | 142,269 | $ | 28,151 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses | 0.07 | %(c) | 0.22 | % | 0.41 | %(c) | ||||||
Net expenses | 0.03 | %(c) | 0.03 | % | 0.03 | %(c) | ||||||
Net investment income (loss) | 1.59 | %(c) | 1.55 | % | 1.61 | %(c) | ||||||
Portfolio turnover rate | 15 | %(d) | 21 | % | 8 | %(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. Total return for periods 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.
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State Street Institutional Investment Trust
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 series (each a “Fund” or “Portfolio” and collectively, the “Funds and Portfolios”):
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Aggregate Bond Index Fund (the “Fund”) | Class A Class I Class K | September 19, 2014 September 19, 2014 September 19, 2014 | Diversified Diversified Diversified | |||
State Street Global Equity ex-U.S. Index Fund (the “Fund”) | Class A Class I Class K | September 17, 2014 September 17, 2014 September 17, 2014 | Diversified Diversified Diversified | |||
State Street Small/Mid Cap Equity Index Fund (the “Fund”) | Class A Class I Class K | October 16, 2015 October 16, 2015 August 12, 2015 | Diversified Diversified Diversified | |||
State Street Aggregate Bond Index Portfolio (the “Portfolio”) | September 19, 2014 | Diversified | ||||
State Street Global Equity ex-U.S. Index Portfolio (the “Portfolio”) | September 17, 2014 | Diversified | ||||
State Street Small/Mid Cap Equity Index Portfolio (the “Portfolio”) | August 12, 2015 | Diversified |
Each Fund is part of a master-feeder structure and invests substantially all of its assets in its respective master portfolio 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. The financial statements of the Portfolios, including their Schedule of Investments are attached to this report and should be used in conjunction with the corresponding Fund’s financial statements.
Feeder Fund | Portfolio Name | Fund Ownership Interest in Portfolio at 6/30/17 | ||
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% |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares 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 each 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 Portfolios. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each Portfolio’s investments by major category are as follows:
• | Equity investments 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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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no 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 (“NAV”) 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 short-term investments) 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 Portfolios’ investments.
The Portfolios value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for an 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 |
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Portfolio’s investments according to the fair value hierarchy as of June 30, 2017, 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.
The Portfolios had no material transfers between levels for the six months ended June 30, 2017.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock, if any, 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 on information provided by the REIT and/or SSGA Funds Management, Inc’s. (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 Funds and 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.
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Foreign Taxes
The Portfolios may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolios invest. These foreign taxes, if any, are paid by the Portfolios and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, 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.
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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
4. | Derivative Financial Instruments |
Futures Contracts
Certain Portfolios may enter into futures contracts to meet the Portfolios’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolios equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolios recognize a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2017, 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, return enhancement and to facilitate daily liquidity | |
State Street Small/Mid Cap Equity Index Portfolio | Cash equitization, return enhancement and to facilitate daily liquidity |
The following tables summarize the value of the Portfolios’ derivative instruments as of June 30, 2017, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Liability Derivatives
Equity Contracts | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio |
| |||||||
Futures Contracts(a) | $ | (101,525 | ) | $ | (101,525 | ) | ||
State Street Small/Mid Cap Equity Index Portfolio |
| |||||||
Futures Contracts(a) | $ | (20,640 | ) | $ | (20,640 | ) |
(a) | Unrealized depreciation on open futures contracts. |
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Net Realized Gain (Loss)
Equity Contracts | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio |
| |||||||
Futures Contracts | $ | 4,012,360 | $ | 4,012,360 | ||||
State Street Small/Mid Cap Equity Index Portfolio |
| |||||||
Futures Contracts | $ | 231,928 | $ | 231,928 |
Net Change in Unrealized Appreciation (Depreciation)
Equity Contracts | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio |
| |||||||
Futures Contracts | $ | (25,885 | ) | $ | (25,885 | ) | ||
State Street Small/Mid Cap Equity Index Portfolio |
| |||||||
Futures Contracts | $ | 17,000 | $ | 17,000 |
5. | Fees and Transactions with Affiliates |
Advisory Fee
The Funds and Portfolios retained SSGA FM as their investment adviser. Each Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:
Fund | ||||
State Street Aggregate Bond Index Fund | 0.03 | % | ||
State Street Global Equity ex-U.S. Index Fund | 0.06 | % | ||
State Street Small/Mid Cap Equity Index Fund | 0.03 | % |
The Portfolios pay no investment advisory fees to SSGA FM.
SSGA FM is contractually obligated until April 30, 2018 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, 2018 except with the approval of the Funds’ Board.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
SSGA FM is contractually obligated until April 30, 2018, to waive its management fee and/or to reimburse State Street Aggregate Bond Index Portfolio and the State Street Global Equity ex-U.S. Index Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and distribution, shareholder servicing and sub-transfer agency expenses) exceed 0.04% and 0.08%, respectively, of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated during the relevant period except with the approval of the Portfolios’ Board.
SSGA FM is contractually obligated until April 30, 2018 to waive its management fee and/or to reimburse 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, administration and sub-transfer agency fees) exceed 0.03% of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated prior to April 30, 2018 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.
For the period ended June 30, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.
Administrator, Sub-Administrator, Custodian, and Transfer Agent 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 attributable to each class of shares of the Fund. 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.
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor” ), an affiliate of the Adviser, serves as the distributor of the Funds. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 SSGA FD 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.
Other Transactions with Affiliates – Securities Lending
State Street, an affiliate of the Funds and Portfolios, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Funds and Portfolios, and 15% payable to State Street.
In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securities lending.
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 June 30, 2017 are disclosed in the applicable Schedules of Investments.
Due to Custodian
In certain circumstances, the Portfolios or Funds may have a 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. The Funds had a cash overdraft related to investment related expenses.
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.
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2017, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 465,327,395 | $ | 314,211,831 | $ | 79,561,001 | $ | 992,411 | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | – | – | 620,730,644 | 6,370,776 | ||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | – | – | 192,155,696 | 40,452,317 |
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 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. As of December 31, 2016, 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.
As of June 30, 2017, 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 | $ | 103,924,459 | $ | – | $ | 752,862 | $ | ($752,862 | ) | |||||||
State Street Global Equity ex-U.S. Index Fund | 428,601,197 | 27,291,902 | – | 27,291,902 | ||||||||||||
State Street Small/Mid Cap Equity Index Fund | 14,594,642 | 1,276,529 | – | 1,276,529 | ||||||||||||
State Street Aggregate Bond Index Portfolio | 479,574,816 | 2,540,278 | 4,319,549 | (1,779,271 | ) |
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | 1,194,185,060 | $ | 113,185,483 | $ | 21,677,707 | $ | 91,507,776 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 303,939,648 | 33,724,954 | 11,802,046 | 21,922,908 |
9. | Securities Lending |
Each Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.
The Portfolios will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolios may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Portfolio will bear the risk of loss of any cash collateral that it may invest. Each Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.
The market value of securities on loan as of June 30, 2017, and the value of the invested cash collateral are disclosed in the Portfolios’ Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolios’ Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolios, and the Portfolios do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolios’ Statements of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Portfolio’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non Cash Collateral Received | Total Collateral Received | ||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | 15,664,803 | $ | 8,269,427 | $ | 8,292,186 | $ | 16,561,613 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 25,767,635 | 4,255,844 | 22,177,930 | 26,433,774 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
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The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2017:
State Street Global Equity ex-U.S. Index Portfolio
Remaining Contractual Maturity of the Agreements As of June 30, 2017 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 8,269,427 | $ | – | $ | – | $ | – | $ | 8,269,427 | ||||||||||
Total Borrowings | $ | 8,269,427 | $ | – | $ | – | $ | – | $ | 8,269,427 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. |
| $ | 8,269,427 |
State Street Small/Mid Cap Equity Index Portfolio
Remaining Contractual Maturity of the Agreements As of June 30, 2017 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 4,255,844 | $ | – | $ | – | $ | – | $ | 4,255,844 | ||||||||||
Total Borrowings | $ | 4,255,844 | $ | – | $ | – | $ | – | $ | 4,255,844 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. |
| $ | 4,255,844 |
10. | 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 October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolios had no outstanding loans as of June 30, 2017.
11. | 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.
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Foreign and Emerging Markets Risk
Investing in foreign markets involves 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.
12. | New Accounting Pronouncements |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In October 2016, the SEC adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Funds and Portfolios and concluded that it will be limited to additional disclosures.
13. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds and Portfolios through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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Expense Example
As a shareholder of a Fund or Portfolio, 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 or Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund or 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 January 1, 2017 to June 30, 2017.
The table below illustrates your Fund’s or 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 Fund’s or Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund or 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 or Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return – This section is intended to help you compare your Fund’s or Portfolio’s costs with those of other mutual funds. It assumes that the Fund or Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s or Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s or 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 Aggregate Bond Index Fund | ||||||||||||||||||||
Class A | 0.45 | % | $ | 1,020.40 | $ | 2.25 | $ | 1,022.60 | $ | 2.26 | ||||||||||
Class I | 0.06 | 1,021.50 | 0.30 | 1,024.50 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,021.50 | 0.30 | 1,024.50 | 0.30 | |||||||||||||||
State Street Global Equity ex-U.S. Index Fund | ||||||||||||||||||||
Class A | 0.54 | 1,139.60 | 2.86 | 1,023.20 | 1.61 | |||||||||||||||
Class I | 0.19 | 1,140.70 | 1.01 | 1,023.90 | 0.95 | |||||||||||||||
Class K | 0.07 | 1,140.70 | 0.37 | 1,024.40 | 0.35 |
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Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Small/Mid Cap Equity Index Fund | ||||||||||||||||||||
Class A | 0.32 | % | $ | 1,071.20 | $ | 1.64 | $ | 1,023.20 | $ | 1.61 | ||||||||||
Class I | 0.16 | 1,073.10 | 0.82 | 1,024.00 | 0.80 | |||||||||||||||
Class K | 0.05 | 1,073.10 | 0.26 | 1,024.50 | 0.25 |
(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 181, then divided by 365. |
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 | 0.00 | %(b) | $ | 1,021.60 | $ | 0.02 | $ | 1,024.80 | $ | 0.02 | ||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 0.07 | 1,140.70 | 0.37 | 1,024.40 | 0.35 | |||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,073.20 | 0.15 | 1,024.60 | 0.15 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Amount is less than 0.005%. |
Proxy Voting Policies and Procedures and Records
The Funds and Portfolios 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’ and Portfolios’ investment adviser to vote proxies relating to the Portfolios’ and Funds’ portfolios 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’ and Portfolios’ website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Funds and 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’ and Portfolios’ 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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Trustee Considerations In Approving Continuation Of
Investment Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Global Equity ex-U.S. Index Fund, State Street Aggregate Bond Index Fund and State Street Small/Mid Cap Equity Index Fund (each, a “Fund” and collectively, the “Funds”) and the State Street Global Equity ex-U.S. Index Portfolio, State Street Aggregate Bond Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio (each, a “Portfolio” and collectively, the “Portfolios”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which are the feeder funds for which the Portfolios serve as the master funds in a master-feeder structure: |
1 | Over the course of many years overseeing the Funds, Portfolios and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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• | Comparisons of the Fund’s performance over the past one-year period ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past one or two calendar years, as applicable; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Funds and Portfolios (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and Portfolios. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and Portfolios, and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds and Portfolios; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
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• | 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 provided to the Funds and Portfolios by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds and Portfolios by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds and Portfolios, and transfer agent of the Portfolios, and the role of the Adviser in managing the Funds’ and the Portfolios’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Funds’ and Portfolios’ Adviser and Administrator, with respect to its operations relating to the Funds and Portfolios and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Funds and Portfolios, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Funds and Portfolios, and transfer agent for the Portfolios, with respect to its operations relating to the Funds and Portfolios; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds and Portfolios (the “Distributor”), with respect to its operations relating to the Funds and Portfolios, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds and Portfolios throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and Portfolios, and the investment strategies used in pursuing each Fund’s and Portfolio’s investment objective.
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The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory 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 each Fund and Portfolio.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreements effective June 1, 2017, for an additional year with respect to the Funds and Portfolios.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund and Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund and Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of a portfolio’s quality distribution and sector and interest rate exposure. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s and Portfolio’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Funds and Portfolios.
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Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. The Board considered each Portfolio’s performance by evaluating the performance of the corresponding Fund. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of each Fund and Portfolio:
State Street Global Equity ex-U.S. Index Fund and State Street Global Equity ex-U.S. Index Portfolio. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
State Street Aggregate Bond Index Fund and State Street Aggregate Bond Index Portfolio. The Board considered that the Fund outperformed the median of its Performance Group and underperformed the median of its Performance Universe and its Lipper Index for the 1-year period. The Board took into account management’s discussion of the Fund’s performance.
State Street Small/Mid Cap Equity Index Fund and State Street Small/Mid Cap Equity Index Portfolio. The Board considered that the Fund outperformed the median of its Performance Universe and its Lipper Index for the 1-year period and underperformed the median of its Performance Group for the 1-year period. The Board took into account management’s discussion of the Fund’s performance and its limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund and Portfolio is satisfactory (a) by comparison to the performance of its Performance Group, Performance Universe or Lipper Index or (b) after considering steps taken by management to improve the performance of certain Funds and the corresponding Portfolios.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. In the case of the Portfolios, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. The Board also considered that the Portfolios do not pay an investment advisory fee to the Adviser. Among other information, the Board considered the following expense information in its evaluation of each Fund and Portfolio:
State Street Global Equity ex-U.S. Index Fund and State Street Global Equity ex-U.S. Index Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense
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Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Aggregate Bond Index Fund and State Street Aggregate Bond Index Portfolio. The Board considered that the Fund’s actual management fee was equal to the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Small/Mid Cap Equity Index Fund and State Street Small/Mid Cap Equity Index Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund and Portfolio compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Funds and Portfolios, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and Portfolios and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ or Portfolios’ investments.
The Board concluded that the profitability of the Adviser with respect to each of the Funds and Portfolios, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds and Portfolios, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds and Portfolios and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Funds or Portfolios or the fund complex taken as a whole. The Board concluded that, in light of the current size of each Fund and Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to each Fund and Portfolio and fund complex over various time periods, and the comparative management fee and expense ratio of the Fund and Portfolio during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds and Portfolios to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Funds or Portfolios at this time.
131
Table of Contents
State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
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 Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of each Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and Portfolio and their respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
132
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 Funds and the Portfolios and Transfer Agent of the Portfolios
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
Transfer Agent of the Funds
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITCORESAR |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2017
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
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
6 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
20 |
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
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Mutual Funds and Exchange Traded Products | 97.9 | % | ||
Short-Term Investment | 2.3 | |||
Liabilities in Excess of Other Assets | (0.2 | ) | ||
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.
1
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUND AND EXCHANGE TRADED PRODUCTS – 97.9% |
| |||||||
United States – 97.9% | ||||||||
State Street International Developed Equity Index Portfolio(a) | $ | 2,465,273,145 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 57,419,753 | 57,419,753 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.2% |
| 2,522,692,898 | ||||||
Liabilities in Excess of Other Assets – (0.2)% |
| (4,616,320 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,518,076,578 | |||||
|
|
(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 June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
At June 30, 2017, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
BNP Paribas SA | USD | 288,549,820 | JPY | 32,421,457,805 | 07/05/2017 | $ | – | |||||||||||||||||
BNP Paribas SA | USD | 75,181,904 | SEK | 634,125,531 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | USD | 44,745,132 | DKK | 291,684,566 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | USD | 32,484,511 | SGD | 44,726,299 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | USD | 16,134,388 | ILS | 56,304,174 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | USD | 15,543,149 | NOK | 130,199,520 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | USD | 4,102,942 | NZD | 5,603,581 | 07/05/2017 | – | ||||||||||||||||||
BNP Paribas SA | AUD | 746,000 | USD | 560,181 | 07/05/2017 | (12,038 | ) | |||||||||||||||||
BNP Paribas SA | NZD | 5,603,581 | USD | 3,974,340 | 07/05/2017 | (128,602 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 127,971,520 | USD | 15,201,948 | 07/05/2017 | (75,223 | ) | |||||||||||||||||
BNP Paribas SA | ILS | 57,670,174 | USD | 16,310,361 | 07/05/2017 | (215,465 | ) | |||||||||||||||||
BNP Paribas SA | SGD | 43,594,299 | USD | 31,519,268 | 07/05/2017 | (143,077 | ) | |||||||||||||||||
BNP Paribas SA | DKK | 282,872,566 | USD | 42,834,817 | 07/05/2017 | (558,532 | ) | |||||||||||||||||
BNP Paribas SA | SEK | 620,992,531 | USD | 71,717,668 | 07/05/2017 | (1,907,188 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 31,065,290,305 | USD | 281,329,889 | 07/05/2017 | 4,849,911 | ||||||||||||||||||
BNP Paribas SA | NZD | 5,603,581 | USD | 4,100,896 | 08/02/2017 | (58 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 130,199,520 | USD | 15,551,504 | 08/02/2017 | (588 | ) | |||||||||||||||||
BNP Paribas SA | SGD | 44,726,299 | USD | 32,495,132 | 08/02/2017 | (3,224 | ) | |||||||||||||||||
BNP Paribas SA | DKK | 291,684,566 | USD | 44,812,501 | 08/02/2017 | (572 | ) | |||||||||||||||||
BNP Paribas SA | SEK | 634,125,531 | USD | 75,293,489 | 08/02/2017 | (5,165 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 32,421,457,805 | USD | 288,877,623 | 08/02/2017 | (9,410 | ) | |||||||||||||||||
BNP Paribas SA | ILS | 56,304,174 | USD | 16,150,123 | 08/03/2017 | (1,354 | ) | |||||||||||||||||
Bank of Montreal | USD | 1,000,513 | GBP | 776,000 | 07/05/2017 | 7,472 | ||||||||||||||||||
Bank of Montreal | HKD | 2,569,000 | USD | 329,612 | 07/05/2017 | 525 | ||||||||||||||||||
Bank of Montreal | AUD | 498,000 | USD | 375,758 | 07/05/2017 | (6,234 | ) | |||||||||||||||||
Bank of Montreal | CHF | 472,000 | USD | 484,766 | 07/05/2017 | (8,107 | ) | |||||||||||||||||
Bank of Montreal | CHF | 483,000 | USD | 495,828 | 07/05/2017 | (8,532 | ) | |||||||||||||||||
Bank of Montreal | CHF | 486,000 | USD | 500,436 | 07/05/2017 | (7,057 | ) | |||||||||||||||||
Bank of Montreal | AUD | 861,000 | USD | 655,687 | 07/05/2017 | (4,744 | ) | |||||||||||||||||
Bank of Montreal | CHF | 816,000 | USD | 845,562 | 07/05/2017 | (6,524 | ) | |||||||||||||||||
Bank of Montreal | GBP | 758,000 | USD | 960,159 | 07/05/2017 | (24,444 | ) | |||||||||||||||||
Bank of Montreal | EUR | 2,724,000 | USD | 3,074,603 | 07/05/2017 | (32,255 | ) |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Capital | USD | 379,132 | AUD | 510,000 | 07/05/2017 | $ | 12,064 | |||||||||||||||||
Barclays Capital | GBP | 1,310,000 | USD | 1,677,936 | 07/05/2017 | (23,688 | ) | |||||||||||||||||
Citibank N.A. | USD | 228,544,114 | GBP | 175,945,274 | 07/05/2017 | (127 | ) | |||||||||||||||||
Citibank N.A. | USD | 87,977,126 | HKD | 686,789,035 | 07/05/2017 | – | ||||||||||||||||||
Citibank N.A. | EUR | 1,577,000 | USD | 1,758,589 | 07/05/2017 | (40,058 | ) | |||||||||||||||||
Citibank N.A. | HKD | 660,557,035 | USD | 84,831,993 | 07/05/2017 | 215,165 | ||||||||||||||||||
Citibank N.A. | GBP | 165,790,773 | USD | 214,247,603 | 07/05/2017 | (1,106,202 | ) | |||||||||||||||||
Citibank N.A. | HKD | 686,789,035 | USD | 88,047,957 | 08/02/2017 | (2,505 | ) | |||||||||||||||||
Citibank N.A. | GBP | 175,945,274 | USD | 228,741,172 | 08/02/2017 | (4,790 | ) | |||||||||||||||||
Credit Suisse International | GBP | 780,000 | USD | 992,378 | 07/05/2017 | (20,803 | ) | |||||||||||||||||
Deutsche Bank AG | CHF | 707,000 | USD | 735,741 | 07/05/2017 | (2,525 | ) | |||||||||||||||||
Deutsche Bank AG | EUR | 1,612,000 | USD | 1,799,468 | 07/05/2017 | (39,099 | ) | |||||||||||||||||
Deutsche Bank AG | JPY | 209,349,000 | USD | 1,914,904 | 07/05/2017 | 51,705 | ||||||||||||||||||
Deutsche Bank AG | EUR | 2,361,000 | USD | 2,664,181 | 07/05/2017 | (28,658 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | USD | 1,821,589 | EUR | 1,614,000 | 07/05/2017 | 19,258 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | GBP | 775,000 | USD | 987,691 | 07/05/2017 | (18,995 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | JPY | 139,838,000 | USD | 1,254,426 | 07/05/2017 | 9,873 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | JPY | 143,771,000 | USD | 1,288,310 | 07/05/2017 | 8,753 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | EUR | 1,621,000 | USD | 1,814,557 | 07/05/2017 | (34,274 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | USD | 177,415,635 | AUD | 231,296,050 | 07/05/2017 | (3 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | NOK | 2,228,000 | USD | 263,439 | 07/05/2017 | (2,538 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | AUD | 512,000 | USD | 388,428 | 07/05/2017 | (4,302 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | DKK | 4,945,000 | USD | 748,804 | 07/05/2017 | (9,771 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | SEK | 10,746,000 | USD | 1,242,111 | 07/05/2017 | (31,934 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | JPY | 241,520,000 | USD | 2,215,406 | 07/05/2017 | 65,887 | ||||||||||||||||||
Morgan Stanley Bank, N.A. | AUD | 237,446,050 | USD | 176,672,921 | 07/05/2017 | (5,460,069 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | AUD | 231,296,050 | USD | 177,353,185 | 08/02/2017 | (1,279 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 417,073,652 | EUR | 365,677,657 | 07/05/2017 | (10 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 9,409,022 | AUD | 12,643,000 | 07/05/2017 | 288,791 | ||||||||||||||||||
Royal Bank of Canada | USD | 656,348 | ILS | 2,320,000 | 07/05/2017 | 8,466 | ||||||||||||||||||
Royal Bank of Canada | SGD | 374,000 | USD | 270,431 | 07/05/2017 | (1,204 | ) | |||||||||||||||||
Royal Bank of Canada | SEK | 2,387,000 | USD | 276,528 | 07/05/2017 | (6,475 | ) | |||||||||||||||||
Royal Bank of Canada | DKK | 3,867,000 | USD | 585,547 | 07/05/2017 | (7,660 | ) | |||||||||||||||||
Royal Bank of Canada | HKD | 9,873,000 | USD | 1,267,907 | 07/05/2017 | 3,183 | ||||||||||||||||||
Royal Bank of Canada | GBP | 1,136,000 | USD | 1,464,967 | 07/05/2017 | (10,639 | ) | |||||||||||||||||
Royal Bank of Canada | EUR | 1,504,000 | USD | 1,694,149 | 07/05/2017 | (21,238 | ) | |||||||||||||||||
Royal Bank of Canada | CHF | 2,953,000 | USD | 3,058,611 | 07/05/2017 | (24,979 | ) | |||||||||||||||||
Royal Bank of Canada | JPY | 891,133,000 | USD | 8,069,772 | 07/05/2017 | 138,720 | ||||||||||||||||||
Royal Bank of Canada | GBP | 10,428,000 | USD | 13,475,427 | 07/05/2017 | (70,017 | ) | |||||||||||||||||
Royal Bank of Canada | EUR | 354,655,657 | USD | 399,512,505 | 07/05/2017 | (4,989,996 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 19,780,309 | EUR | 17,317,000 | 08/02/2017 | (1,050 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 12,158,039 | GBP | 9,351,000 | 08/02/2017 | (830 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 1,493,297 | SEK | 12,575,000 | 08/02/2017 | (90 | ) | |||||||||||||||||
Royal Bank of Canada | NZD | 409,000 | USD | 299,300 | 08/02/2017 | (24 | ) | |||||||||||||||||
Royal Bank of Canada | SGD | 935,000 | USD | 679,269 | 08/02/2017 | (106 | ) | |||||||||||||||||
Royal Bank of Canada | AUD | 3,132,000 | USD | 2,401,458 | 08/02/2017 | (114 | ) | |||||||||||||||||
Royal Bank of Canada | JPY | 1,683,608,000 | USD | 15,000,683 | 08/02/2017 | (879 | ) | |||||||||||||||||
Royal Bank of Canada | EUR | 365,677,657 | USD | 417,667,147 | 08/02/2017 | (5,248 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 15,094,324 | CHF | 14,428,000 | 08/03/2017 | (986 | ) | |||||||||||||||||
Royal Bank of Canada | ILS | 3,542,000 | USD | 1,015,875 | 08/03/2017 | (187 | ) | |||||||||||||||||
Societe Generale | USD | 417,073,652 | EUR | 365,677,657 | 07/05/2017 | (10 | ) | |||||||||||||||||
Societe Generale | CHF | 3,675,000 | USD | 3,812,320 | 07/05/2017 | (25,199 | ) | |||||||||||||||||
Societe Generale | GBP | 5,898,000 | USD | 7,627,624 | 07/05/2017 | (33,579 | ) | |||||||||||||||||
Societe Generale | EUR | 12,259,000 | USD | 13,810,475 | 07/05/2017 | (171,528 | ) | |||||||||||||||||
Societe Generale | EUR | 354,655,657 | USD | 399,505,412 | 07/05/2017 | (4,997,089 | ) | |||||||||||||||||
Societe Generale | EUR | 365,677,657 | USD | 417,658,736 | 08/02/2017 | (13,658 | ) |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Standard Chartered Bank | USD | 1,297,310 | JPY | 143,175,000 | 07/05/2017 | $ | (23,057 | ) | ||||||||||||||||
Standard Chartered Bank | JPY | 142,928,000 | USD | 1,283,055 | 07/05/2017 | 11,001 | ||||||||||||||||||
Toronto Dominion Bank | USD | 228,947,498 | CHF | 219,251,571 | 07/05/2017 | – | ||||||||||||||||||
Toronto Dominion Bank | HKD | 2,227,000 | USD | 285,914 | 07/05/2017 | 637 | ||||||||||||||||||
Toronto Dominion Bank | AUD | 509,000 | USD | 386,578 | 07/05/2017 | (3,850 | ) | |||||||||||||||||
Toronto Dominion Bank | CHF | 210,143,571 | USD | 217,652,811 | 07/05/2017 | (1,783,905 | ) | |||||||||||||||||
Toronto Dominion Bank | CHF | 219,251,571 | USD | 229,345,047 | 08/03/2017 | (17,163 | ) | |||||||||||||||||
UBS AG | USD | 288,549,820 | JPY | 32,421,457,805 | 07/05/2017 | – | ||||||||||||||||||
UBS AG | USD | 502,687 | CHF | 484,000 | 07/05/2017 | 2,716 | ||||||||||||||||||
UBS AG | ILS | 954,000 | USD | 269,264 | 07/05/2017 | (4,112 | ) | |||||||||||||||||
UBS AG | SGD | 758,000 | USD | 548,675 | 07/05/2017 | (1,857 | ) | |||||||||||||||||
UBS AG | HKD | 11,563,000 | USD | 1,484,851 | 07/05/2017 | 3,640 | ||||||||||||||||||
UBS AG | JPY | 1,086,971,000 | USD | 9,846,555 | 07/05/2017 | 172,551 | ||||||||||||||||||
UBS AG | JPY | 31,065,290,305 | USD | 281,326,831 | 07/05/2017 | 4,846,854 | ||||||||||||||||||
UBS AG | JPY | 32,421,457,805 | USD | 288,871,446 | 08/02/2017 | (15,587 | ) | |||||||||||||||||
Westpac Banking Corp. | USD | 228,544,112 | GBP | 175,945,273 | 07/05/2017 | (127 | ) | |||||||||||||||||
Westpac Banking Corp. | AUD | 3,877,000 | USD | 2,898,271 | 07/05/2017 | (75,582 | ) | |||||||||||||||||
Westpac Banking Corp. | GBP | 165,790,774 | USD | 214,251,417 | 07/05/2017 | (1,102,389 | ) | |||||||||||||||||
Westpac Banking Corp. | GBP | 175,945,273 | USD | 228,742,579 | 08/02/2017 | (3,383 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | (12,686,648 | ) | ||||||||||||||||||||
|
|
During the period ended June 30, 2017, average notional value related to foreign currency exchange contracts was $7,020,527,449 or 279% of net assets.
Abbreviations: | ||
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 June 30, 2017, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/15/2017 | 568 | $ | 53,664,640 | $ | (121,403 | ) |
During the period ended June 30, 2017, average notional value related to futures contracts was $55,938,702 or 2% of net assets.
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
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 | $ | 2,465,273,145 | $ | – | $ | – | $ | 2,465,273,145 | ||||||||
Short-Term Investment | 57,419,753 | – | – | 57,419,753 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,522,692,898 | $ | – | $ | – | $ | 2,522,692,898 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 10,717,171 | – | 10,717,171 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 2,522,692,898 | $ | 10,717,171 | $ | – | $ | 2,533,410,069 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (23,403,819 | ) | $ | – | $ | (23,403,819 | ) | ||||||
Futures Contracts(b) | (121,403 | ) | – | – | (121,403 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (121,403 | ) | $ | (23,403,819 | ) | $ | – | $ | (23,525,222 | ) | |||||
|
|
|
|
|
|
|
|
(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 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 97,519,866 | 40,100,113 | 57,419,753 | $ | 57,419,753 | $ | 49,203 | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 90,100,871 | 90,100,871 | 34,380,468 | 124,481,339 | – | – | 99,571 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 90,100,871 | $ | 57,419,753 | $ | 148,774 | ||||||||||||||||||||||
|
|
|
|
|
|
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
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investment in corresponding Portfolio, at value (Note 2) | $ | 2,465,273,145 | ||
Investments in affiliated issuers, at value (Note 2) | 57,419,753 | |||
|
| |||
Total investments | 2,522,692,898 | |||
Foreign currency, at value | 7,154 | |||
Cash at broker | 1,988,000 | |||
Cash | 25 | |||
Receivable from broker – variation margin on open futures contracts | 4,392,473 | |||
Receivable for fund shares sold | 3,449,607 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 10,717,172 | |||
Interest receivable – unaffiliated issuers (Note 2) | 35,921 | |||
Receivable from Adviser (Note 4) | 78,034 | |||
Receivable for foreign taxes recoverable | 1,030,520 | |||
Prepaid expenses and other assets | 227,779 | |||
|
| |||
Total assets | 2,544,619,583 | |||
|
| |||
Liabilities |
| |||
Unrealized depreciation on forward foreign currency exchange contracts | 23,403,820 | |||
Payable for fund shares repurchased | 2,605,142 | |||
Advisory fee payable (Note 4) | 289,903 | |||
Custodian fees payable (Note 4) | 97,058 | |||
Administration fees payable (Note 4) | 103,547 | |||
Transfer agent fees payable (Note 4) | 6,601 | |||
Registration and filing fees payable | 6,898 | |||
Professional fees payable | 30,036 | |||
|
| |||
Total liabilities | 26,543,005 | |||
|
| |||
Net Assets | $ | 2,518,076,578 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 2,287,705,795 | ||
Undistributed (distribution in excess of) net investment income (loss) | 42,329,371 | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions and forward foreign currency exchange contract transactions | (6,356,791 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 207,128,155 | |||
Foreign currency transactions | 12,557 | |||
Forward foreign currency exchange transactions | (12,686,648 | ) | ||
Foreign currency transactions allocated from Portfolio | 165,559 | |||
Futures contracts | (121,403 | ) | ||
Futures contracts allocated from Portfolio | (100,017 | ) | ||
|
| |||
Net Assets | $ | 2,518,076,578 | ||
|
|
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
Statement of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
Class K |
| |||
Net assets | $ | 2,518,076,578 | ||
Shares outstanding | 253,095,824 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.95 | ||
|
| |||
Cost of Investments: |
| |||
Investments in Portfolio | $ | 2,258,079,448 | ||
Investments in affiliated issuers | 57,419,753 | |||
|
| |||
Total cost of investments | $ | 2,315,499,201 | ||
|
| |||
Foreign currency, at cost | $ | 7,205 | ||
|
|
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
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Dividend income allocated from the Portfolio (Note 2) | $ | 50,637,995 | ||
Expenses allocated from Portfolio (Note 2) | (1,587,979 | ) | ||
Dividend Income – unaffiliated issuers (Note 2) | 28,054 | |||
Dividend income – affiliated issuers (Note 2) | 148,774 | |||
Foreign taxes withheld | (4,396,037 | ) | ||
|
| |||
Total investment income (loss) | 44,830,807 | |||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 1,623,090 | |||
Administration fees (Note 4) | 579,675 | |||
Custodian fees (Note 4) | 14,634 | |||
Trustees’ fees and expenses (Note 5) | 16,431 | |||
Transfer agent fees (Note 4) | 7,078 | |||
Registration and filing fees | 23,587 | |||
Professional fees | 19,504 | |||
Printing and postage fees | 20,005 | |||
Insurance expense | 4,020 | |||
Miscellaneous expenses | 35,554 | |||
|
| |||
Total expenses | 2,343,578 | |||
Expenses waived/reimbursed by the Adviser (Note 4) | (1,634,800 | ) | ||
|
| |||
Net expenses | 708,778 | |||
|
| |||
Net Investment Income (Loss) | 44,122,029 | |||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investment transactions allocated from Portfolio | (381,223 | ) | ||
Foreign currency transactions allocated from the Portfolio | 243,026 | |||
Foreign currency transactions and forward foreign currency exchange contract transactions | (83,085,841 | ) | ||
Futures contracts allocated from the Portfolio | 5,768,068 | |||
Futures contracts | 7,824,900 | |||
|
| |||
Net realized gain (loss) | (69,631,070 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions allocated from the Portfolio | 244,560,329 | |||
Foreign currency transactions allocated from the Portfolio | 262,357 | |||
Foreign currency transactions and forward foreign currency exchange contract transactions | (36,225,982 | ) | ||
Futures contracts allocated from the Portfolio | 103,725 | |||
Futures contracts | 377,272 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 209,077,701 | |||
|
| |||
Net realized and unrealized gain (loss) | 139,446,631 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 183,568,660 | ||
|
|
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 Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 44,122,029 | $ | 41,474,167 | ||||
Net realized gain (loss) | (69,631,070 | ) | 85,562,051 | |||||
Net change in unrealized appreciation/depreciation | 209,077,701 | 40,757,308 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 183,568,660 | 167,793,526 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class K | – | (43,018,705 | ) | |||||
Net realized gain on investments | ||||||||
Class K | – | (42,866,234 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (85,884,939 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Shares sold | 425,899,171 | 1,160,698,056 | ||||||
Reinvestment of distributions | – | 82,901,472 | ||||||
Shares redeemed | (204,785,420 | ) | (170,657,622 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 221,113,751 | – | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 221,113,751 | 1,072,941,906 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 404,682,411 | 1,154,850,493 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 2,113,394,167 | 958,543,674 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,518,076,578 | $ | 2,113,394,167 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 42,329,371 | $ | (1,622,041 | ) | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 43,935,766 | 134,135,836 | ||||||
Reinvestment of distributions | – | 9,040,510 | ||||||
Shares redeemed | (21,016,630 | ) | (19,448,178 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 22,919,136 | 123,728,168 | ||||||
|
|
|
|
(a) | Effective April 29, 2016, the fund substantially invested its assets in the State Street International Developed Equity Portfolio (Note 1). |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
9
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Selected data for a share outstanding throughout each period
Class K | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | For the Period 5/29/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 9.18 | $ | 9.00 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: |
| |||||||||||
Net investment income (loss)(b) | 0.18 | 0.24 | 0.09 | |||||||||
Net realized and unrealized gain (loss) | 0.59 | 0.34 | (1.00 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.77 | 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 | $ | 9.95 | $ | 9.18 | $ | 9.00 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.39 | % | 6.27 | % | (9.01 | )% | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 2,518,077 | $ | 2,113,394 | $ | 958,544 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses | 0.34 | %(d) | 0.34 | % | 0.38 | %(d) | ||||||
Net expenses | 0.20 | %(d) | 0.20 | % | 0.20 | %(d) | ||||||
Net investment income (loss) | 3.81 | %(d) | 2.79 | % | 1.60 | %(d) | ||||||
Portfolio turnover rate | 3 | %(e)(f) | 1 | %(e) | 1 | %(f) |
* | 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. |
(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 is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the Portfolio. |
(f) | Not annualized. |
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
June 30, 2017 (Unaudited)
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 June 30, 2017, the Trust consists of thirty-three (33) series (and corresponding classes, each of which has 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 series (the “Fund”):
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 June 30, 2017). 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 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.
11
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to 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 summary of the inputs used for the Portfolio, as of June 30, 2017, 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.
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 (“NAV”) 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 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.
Various inputs are used in determining the value of the Portfolio’s investments.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability; |
12
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017 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 June 30, 2017.
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 from investment in the Portfolio consist of the Fund’s share of the Portfolio’s realized gains and losses and investment income consists of the Fund’s share of the net investment income of the Portfolio. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined 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 Fund 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 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
13
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, 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 June 30, 2017, 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
14
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2017, the Fund entered into futures contracts for cash equitization, return enhancement and to facilitate daily liquidity.
The following summarizes the value of the Fund’s derivative instruments as of June 30, 2017 and the related location in the accompanying Statement of Assets, 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) | $ | – | $ | 10,717,171 | $ | – | $ | – | $ | – | $ | 10,717,171 |
(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) | $ | – | $ | 23,403,819 | $ | – | $ | – | $ | – | $ | 23,403,819 | ||||||||||||
Futures Contracts(b) | $ | – | $ | – | $ | – | $ | (121,403 | ) | $ | – | $ | (121,403 | ) |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
(b) | Unrealized depreciation on open futures contracts. |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | (36,301,743 | ) | $ | – | $ | – | $ | – | $ | (36,301,743 | ) | ||||||||||
Futures Contracts | $ | – | $ | – | $ | – | $ | 377,272 | $ | – | $ | 377,272 |
15
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on its Statement of Assets and Liabilities. The following tables set forth the Fund’s net exposure to derivative assets and liabilities available for offset and net of collateral at June 30, 2017.
State Street Hedged International Developed Equity Index 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 | ||||||||||||
Bank of Montreal | $ | 7,997 | (7,997 | ) | $ | – | $ | – | ||||||||
Barclays Capital | 12,064 | (12,064 | ) | – | – | |||||||||||
BNP Paribas SA | 4,849,911 | (3,060,496 | ) | – | 1,789,415 | |||||||||||
Citibank N.A. | 215,165 | (215,165 | ) | – | – | |||||||||||
Deutsche Bank AG | 51,705 | (51,705 | ) | – | – | |||||||||||
JP Morgan Chase Bank, N.A. | 37,884 | (37,884 | ) | – | – | |||||||||||
Morgan Stanley Bank, N.A. | 65,887 | (65,887 | ) | – | – | |||||||||||
Royal Bank of Canada | 439,160 | (439,160 | ) | – | – | |||||||||||
Standard Chartered Bank | 11,001 | (11,001 | ) | – | – | |||||||||||
Toronto Dominion Bank | 637 | (637 | ) | – | – | |||||||||||
UBS AG | 5,025,761 | (21,556 | ) | – | 5,004,205 | |||||||||||
$ | 10,717,172 | $ | (3,923,552 | ) | $ | – | $ | 6,793,620 |
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 Montreal | $ | (97,897 | ) | $ | 7,997 | $ | – | $ | (89,900 | ) | ||||||
Barclays Capital | (23,688 | ) | 12,064 | – | (11,624 | ) | ||||||||||
BNP Paribas SA | (3,060,496 | ) | 3,060,496 | – | – | |||||||||||
Citibank N.A. | (1,153,682 | ) | 215,165 | – | (938,517 | ) | ||||||||||
Credit Suisse International | (20,803 | ) | – | – | (20,803 | ) | ||||||||||
Deutsche Bank AG | (70,282 | ) | 51,705 | – | (18,577 | ) | ||||||||||
JP Morgan Chase Bank, N.A. | (53,269 | ) | 37,884 | – | (15,385 | ) |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
Morgan Stanley Bank, N.A. | $ | (5,509,896 | ) | $ | 65,887 | $ | – | $ | (5,444,009 | ) | ||||||
Royal Bank of Canada | (5,141,732 | ) | 439,160 | – | (4,702,572 | ) | ||||||||||
Societe Generale | (5,241,063 | ) | – | – | (5,241,063 | ) | ||||||||||
Standard Chartered Bank | (23,057 | ) | 11,001 | – | (12,056 | ) | ||||||||||
Toronto Dominion Bank | (1,804,918 | ) | 637 | – | (1,804,281 | ) | ||||||||||
UBS AG | (21,556 | ) | 21,556 | – | – | |||||||||||
Westpac Banking Corp. | (1,181,481 | ) | – | – | (1,181,481 | ) | ||||||||||
$ | (23,403,820 | ) | $ | 3,923,552 | $ | – | $ | (19,480,268 | ) |
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, 2018, 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 six months ended June 30, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the Statement of Operations.
Administrator, Sub-Administrator Fees and Custodian 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 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)
June 30, 2017 (Unaudited)
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Fund. Effective May 1, 2017, the Distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 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. | Income Tax Information |
The Fund has qualified and intends to continue to qualify for as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. 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 December 31, 2016 SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
As of June 30, 2017, 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 | $ | 2,319,313,202 | $ | 203,379,696 | $ | – | $ | 203,379,696 |
7. | 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.
Foreign and Emerging Markets Risk
Investing in foreign markets involves 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 a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
8. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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 Hedged International Developed Equity Index Fund
June 30, 2017 (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 other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Hedged International Developed Equity Index Fund | ||||||||||||||||||||
Class K | 0.20 | % | $ | 1,083.90 | $ | 1.03 | $ | 1,023.80 | $ | 1.00 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (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 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 Funds’ website at www.ssgafunds.com.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Hedged International Developed Equity Index Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the one-year period ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past two calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement,
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the one-year period.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below or near the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Micheal 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 02119
Transfer Agent
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2017
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.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Semi-Annual Report
June 30, 2017 (Unaudited)
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18 | ||||
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 Master Funds
State Street International Developed Equity Index Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2017
Description | Market Value | % of Net Assets | ||||||
Nestle SA | $ | 48,066,555 | 2.0 | % | ||||
Novartis AG | 32,995,527 | 1.3 | ||||||
HSBC Holdings PLC | 32,160,080 | 1.3 | ||||||
Roche Holding AG | 31,767,802 | 1.3 | ||||||
Toyota Motor Corp. | 24,209,761 | 1.0 |
(The ten 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)* | June 30, 2017 | |||
Banks | 13.1 | % | ||
Pharmaceuticals | 8.3 | |||
Insurance | 5.5 | |||
Telecommunications | 4.5 | |||
Food | 4.5 | |||
Total | 35.9 | % |
* | 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 International Developed Equity Index Portfolio
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.9% |
| |||||||
Australia – 7.0% |
| |||||||
AGL Energy, Ltd. | 118,543 | $ | 2,318,674 | |||||
Alumina, Ltd. | 419,565 | 617,908 | ||||||
Amcor, Ltd. | 202,130 | 2,513,260 | ||||||
AMP, Ltd. | 532,462 | 2,119,726 | ||||||
APA Group | 191,268 | 1,345,350 | ||||||
Aristocrat Leisure, Ltd. | 98,993 | 1,713,039 | ||||||
ASX, Ltd. | 34,158 | 1,404,630 | ||||||
Aurizon Holdings, Ltd. | 353,698 | 1,454,190 | ||||||
AusNet Services | 348,352 | 463,598 | ||||||
Australia & New Zealand Banking Group, Ltd. | 519,187 | 11,437,521 | ||||||
Bank of Queensland, Ltd. | 68,403 | 600,765 | ||||||
Bendigo & Adelaide Bank, Ltd. | 79,115 | 672,392 | ||||||
BHP Billiton PLC | 378,677 | 5,784,535 | ||||||
BHP Billiton, Ltd. | 568,453 | 10,150,822 | ||||||
BlueScope Steel, Ltd. | 91,385 | 925,980 | ||||||
Boral, Ltd. | 205,051 | 1,093,126 | ||||||
Brambles, Ltd. | 288,250 | 2,151,324 | ||||||
Caltex Australia, Ltd. | 45,538 | 1,104,135 | ||||||
Challenger, Ltd. | 108,660 | 1,111,858 | ||||||
CIMIC Group, Ltd. | 18,465 | 550,113 | ||||||
Coca-Cola Amatil, Ltd. | 110,525 | 782,503 | ||||||
Cochlear, Ltd. | 10,235 | 1,220,400 | ||||||
Commonwealth Bank of Australia | 303,858 | 19,300,881 | ||||||
Computershare, Ltd. | 77,865 | 844,530 | ||||||
Crown Resorts, Ltd. | 72,799 | 685,721 | ||||||
CSL, Ltd. | 80,679 | 8,541,962 | ||||||
Dexus REIT | 167,364 | 1,217,010 | ||||||
Domino’s Pizza Enterprises, Ltd. | 10,034 | 400,838 | ||||||
Flight Centre Travel Group, Ltd. | 12,119 | 356,032 | ||||||
Fortescue Metals Group, Ltd. | 278,858 | 1,116,548 | ||||||
Goodman Group REIT | 316,961 | 1,913,393 | ||||||
GPT Group REIT | 317,230 | 1,165,557 | ||||||
Harvey Norman Holdings, Ltd.(a) | 107,605 | 315,297 | ||||||
Healthscope, Ltd. | 281,376 | 476,983 | ||||||
Incitec Pivot, Ltd. | 297,683 | 778,632 | ||||||
Insurance Australia Group, Ltd. | 411,703 | 2,141,102 | ||||||
LendLease Group | 98,023 | 1,251,889 | ||||||
Macquarie Group, Ltd. | 57,262 | 3,887,169 | ||||||
Medibank Pvt, Ltd. | 489,758 | 1,051,873 | ||||||
Mirvac Group REIT | 650,968 | 1,063,562 | ||||||
National Australia Bank, Ltd. | 473,223 | 10,740,747 | ||||||
Newcrest Mining, Ltd. | 138,138 | 2,136,128 | ||||||
Oil Search, Ltd. | 241,796 | 1,264,903 | ||||||
Orica, Ltd. | 67,209 | 1,066,109 | ||||||
Origin Energy, Ltd.(b) | 319,729 | 1,682,402 | ||||||
Qantas Airways, Ltd. | 81,530 | 357,715 | ||||||
QBE Insurance Group, Ltd. | 247,370 | 2,240,890 | ||||||
Ramsay Health Care, Ltd. | 24,959 | 1,409,057 | ||||||
REA Group, Ltd. | 9,620 | 489,967 | ||||||
Santos, Ltd.(b) | 314,465 | 730,867 | ||||||
Scentre Group REIT | 929,908 | 2,888,808 | ||||||
SEEK, Ltd. | 54,873 | 711,748 | ||||||
Sonic Healthcare, Ltd. | 68,047 | 1,264,174 | ||||||
South32, Ltd. | 965,547 | 1,984,869 | ||||||
Stockland REIT(a) | 424,343 | 1,425,656 | ||||||
Suncorp Group, Ltd. | 224,319 | 2,549,987 | ||||||
Sydney Airport | 197,974 | 1,076,659 | ||||||
Tabcorp Holdings, Ltd. | 144,764 | 485,250 | ||||||
Tatts Group, Ltd. | 259,104 | 830,757 | ||||||
Telstra Corp., Ltd. | 737,554 | 2,432,685 | ||||||
TPG Telecom, Ltd.(a) | 56,237 | 245,879 | ||||||
Transurban Group Stapled Security | 362,178 | 3,292,032 | ||||||
Treasury Wine Estates, Ltd. | 134,469 | 1,357,381 | ||||||
Vicinity Centres REIT | 576,936 | 1,137,325 | ||||||
Wesfarmers, Ltd. | 200,216 | 6,161,456 | ||||||
Westfield Corp. REIT | 355,897 | 2,192,116 | ||||||
Westpac Banking Corp. | 581,907 | 13,618,192 | ||||||
Woodside Petroleum, Ltd. | 132,221 | 3,029,419 | ||||||
Woolworths, Ltd. | 226,901 | 4,445,094 | ||||||
|
| |||||||
171,293,100 | ||||||||
|
| |||||||
Austria – 0.2% | ||||||||
ANDRITZ AG | 14,225 | 855,671 | ||||||
Erste Group Bank AG(b) | 54,596 | 2,087,584 | ||||||
OMV AG | 24,339 | 1,261,269 | ||||||
Raiffeisen Bank International AG(b) | 23,935 | 603,309 | ||||||
Voestalpine AG | 21,677 | 1,008,727 | ||||||
|
| |||||||
5,816,560 | ||||||||
|
| |||||||
Belgium – 1.1% | ||||||||
Ageas | 35,808 | 1,440,047 | ||||||
Anheuser-Busch InBev SA | 134,471 | 14,832,499 | ||||||
Colruyt SA | 11,037 | 580,633 | ||||||
Groupe Bruxelles Lambert SA | 14,003 | 1,346,206 | ||||||
KBC Group NV | 44,207 | 3,348,412 | ||||||
Proximus SADP | 27,216 | 950,792 | ||||||
Solvay SA | 13,514 | 1,811,074 | ||||||
Telenet Group Holding NV(b) | 9,109 | 572,968 | ||||||
UCB SA | 22,934 | 1,575,459 | ||||||
Umicore SA | 16,732 | 1,162,196 | ||||||
|
| |||||||
27,620,286 | ||||||||
|
| |||||||
Chile – 0.0%(c) | ||||||||
Antofagasta PLC | 67,870 | 704,837 | ||||||
|
| |||||||
China – 0.0%(c) | ||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 386,100 | 333,703 | ||||||
|
| |||||||
Denmark – 1.8% | ||||||||
AP Moeller – Maersk A/S Class A | 701 | 1,336,662 | ||||||
AP Moeller – Maersk A/S Class B | 1,116 | 2,240,971 | ||||||
Carlsberg A/S Class B | 18,366 | 1,959,494 | ||||||
Chr Hansen Holding A/S | 17,535 | 1,273,673 | ||||||
Coloplast A/S Class B | 20,207 | 1,686,293 | ||||||
Danske Bank A/S | 132,079 | 5,073,416 | ||||||
DONG Energy A/S(d) | 26,007 | 1,172,525 | ||||||
DSV A/S | 33,781 | 2,072,835 | ||||||
Genmab A/S(b) | 9,759 | 2,079,409 | ||||||
H Lundbeck A/S | 13,897 | 778,972 | ||||||
ISS A/S | 29,588 | 1,160,590 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Denmark – (continued) |
| |||||||
Novo Nordisk A/S Class B | 320,246 | $ | 13,696,476 | |||||
Novozymes A/S Class B | 41,998 | 1,835,496 | ||||||
Pandora A/S | 19,146 | 1,784,254 | ||||||
TDC A/S | 156,700 | 910,085 | ||||||
Tryg A/S | 20,264 | 442,657 | ||||||
Vestas Wind Systems A/S | 39,042 | 3,599,473 | ||||||
William Demant Holding A/S(b) | 21,003 | 542,892 | ||||||
|
| |||||||
43,646,173 | ||||||||
|
| |||||||
Finland – 1.0% | ||||||||
Elisa Oyj | 25,700 | 994,561 | ||||||
Fortum Oyj | 75,813 | 1,187,213 | ||||||
Kone Oyj Class B | 60,477 | 3,072,237 | ||||||
Metso Oyj | 21,684 | 750,854 | ||||||
Neste Oyj | 23,194 | 912,396 | ||||||
Nokia Oyj | 1,027,133 | 6,273,364 | ||||||
Nokian Renkaat Oyj | 20,335 | 840,517 | ||||||
Orion Oyj Class B | 18,821 | 1,199,966 | ||||||
Sampo Oyj Class A | 78,781 | 4,031,734 | ||||||
Stora Enso Oyj Class R | 94,838 | 1,223,374 | ||||||
UPM-Kymmene Oyj | 90,876 | 2,587,069 | ||||||
Wartsila Oyj Abp | 25,644 | 1,513,598 | ||||||
|
| |||||||
24,586,883 | ||||||||
|
| |||||||
France – 10.0% | ||||||||
Accor SA | 32,025 | 1,499,214 | ||||||
Aeroports de Paris | 5,090 | 820,303 | ||||||
Air Liquide SA | 68,694 | 8,477,355 | ||||||
Airbus SE | 101,946 | 8,371,764 | ||||||
Alstom SA(b) | 24,765 | 864,601 | ||||||
Arkema SA | 11,794 | 1,256,787 | ||||||
Atos SE | 16,883 | 2,366,551 | ||||||
AXA SA | 342,303 | 9,350,408 | ||||||
BNP Paribas SA | 197,328 | 14,192,438 | ||||||
Bollore SA | 145,930 | 662,599 | ||||||
Bouygues SA | 35,739 | 1,504,937 | ||||||
Bureau Veritas SA | 49,249 | 1,088,312 | ||||||
Capgemini SE | 28,341 | 2,924,705 | ||||||
Carrefour SA | 98,517 | 2,488,853 | ||||||
Casino Guichard Perrachon SA | 9,801 | 579,719 | ||||||
Christian Dior SE | 9,822 | 2,804,541 | ||||||
Cie de Saint-Gobain | 89,119 | 4,754,938 | ||||||
Cie Generale des Etablissements Michelin | 30,581 | 4,059,934 | ||||||
CNP Assurances | 29,292 | 656,654 | ||||||
Credit Agricole SA | 195,157 | 3,135,128 | ||||||
Danone SA | 104,344 | 7,832,018 | ||||||
Dassault Aviation SA | 387 | 539,625 | ||||||
Dassault Systemes SE | 23,023 | 2,061,060 | ||||||
Edenred | 40,723 | 1,060,376 | ||||||
Eiffage SA | 13,560 | 1,230,464 | ||||||
Electricite de France SA | 88,916 | 961,599 | ||||||
Engie SA | 300,737 | 4,532,819 | ||||||
Essilor International SA | 36,799 | 4,675,580 | ||||||
Eurazeo SA | 7,558 | 566,266 | ||||||
Eutelsat Communications SA | 29,017 | 740,012 | ||||||
Fonciere Des Regions | 5,920 | 548,402 | ||||||
Gecina SA REIT | 7,428 | 1,163,630 | ||||||
Groupe Eurotunnel SE | 75,339 | 802,395 | ||||||
Hermes International | 3,535 | 1,744,377 | ||||||
ICADE REIT | 6,016 | 504,324 | ||||||
Iliad SA | 4,881 | 1,152,931 | ||||||
Imerys SA | 6,262 | 543,873 | ||||||
Ingenico Group SA | 9,998 | 906,442 | ||||||
Ipsen SA | 7,077 | 967,390 | ||||||
JCDecaux SA | 12,680 | 415,354 | ||||||
Kering | 13,519 | 4,597,974 | ||||||
Klepierre REIT | 37,613 | 1,539,449 | ||||||
L’Oreal SA | 44,434 | 9,243,886 | ||||||
Lagardere SCA | 20,176 | 636,274 | ||||||
Legrand SA | 47,237 | 3,299,915 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 49,061 | 12,215,309 | ||||||
Natixis SA(a) | 153,539 | 1,029,174 | ||||||
Orange SA(a) | 349,807 | 5,541,726 | ||||||
Pernod Ricard SA | 37,780 | 5,052,300 | ||||||
Peugeot SA | 88,239 | 1,757,695 | ||||||
Publicis Groupe SA | 36,351 | 2,707,761 | ||||||
Remy Cointreau SA | 4,070 | 474,648 | ||||||
Renault SA | 30,172 | 2,727,204 | ||||||
Rexel SA | 57,244 | 935,274 | ||||||
Safran SA | 55,732 | 5,100,466 | ||||||
Sanofi | 206,385 | 19,716,468 | ||||||
Schneider Electric SE(b) | 99,553 | 7,638,184 | ||||||
SCOR SE | 30,300 | 1,199,531 | ||||||
SEB SA | 3,738 | 670,416 | ||||||
Societe BIC SA | 4,605 | 545,707 | ||||||
Societe Generale SA | 136,173 | 7,316,754 | ||||||
Sodexo SA | 16,316 | 2,106,563 | ||||||
Suez Environment Co. | 69,418 | 1,283,818 | ||||||
Thales SA | 18,723 | 2,012,450 | ||||||
TOTAL SA | 412,482 | 20,363,702 | ||||||
Unibail-Rodamco SE REIT | 17,738 | 4,463,987 | ||||||
Valeo SA | 42,633 | 2,868,393 | ||||||
Veolia Environnement SA | 83,809 | 1,768,384 | ||||||
Vinci SA | 88,645 | 7,555,506 | ||||||
Vivendi SA | 179,432 | 3,988,651 | ||||||
Wendel SA | 4,850 | 716,904 | ||||||
Zodiac Aerospace | 35,769 | 968,913 | ||||||
|
| |||||||
246,852,064 | ||||||||
|
| |||||||
Germany – 9.3% | ||||||||
adidas AG | 32,799 | 6,275,343 | ||||||
Allianz SE | 81,162 | 15,958,950 | ||||||
Axel Springer SE | 8,400 | 503,941 | ||||||
BASF SE | 163,126 | 15,087,067 | ||||||
Bayer AG | 146,772 | 18,949,771 | ||||||
Bayerische Motoren Werke AG | 58,931 | 5,463,134 | ||||||
Bayerische Motoren Werke AG Preference Shares | 8,795 | 724,047 | ||||||
Beiersdorf AG | 17,230 | 1,808,740 | ||||||
Brenntag AG | 28,112 | 1,624,960 | ||||||
Commerzbank AG(b) | 193,105 | 2,297,165 | ||||||
Continental AG | 19,649 | 4,234,495 | ||||||
Covestro AG(d) | 20,724 | 1,494,079 | ||||||
Daimler AG | 169,095 | 12,221,620 | ||||||
Deutsche Bank AG | 367,661 | 6,510,187 | ||||||
Deutsche Boerse AG | 33,629 | 3,544,820 | ||||||
Deutsche Lufthansa AG | 40,148 | 912,382 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Germany – (continued) |
| |||||||
Deutsche Post AG | 177,538 | $ | 6,645,753 | |||||
Deutsche Telekom AG | 576,800 | 10,341,704 | ||||||
Deutsche Wohnen AG | 61,166 | 2,336,359 | ||||||
E.ON SE | 391,093 | 3,679,112 | ||||||
Evonik Industries AG | 27,051 | 863,422 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 6,934 | 611,333 | ||||||
Fresenius Medical Care AG & Co. KGaA | 38,517 | 3,697,635 | ||||||
Fresenius SE & Co. KGaA | 73,565 | 6,297,876 | ||||||
Fuchs Petrolub SE Preference Shares | 11,891 | 646,582 | ||||||
GEA Group AG | 30,765 | 1,257,240 | ||||||
Hannover Rueck SE | 10,426 | 1,248,000 | ||||||
HeidelbergCement AG | 25,834 | 2,494,210 | ||||||
Henkel AG & Co. KGaA | 17,691 | 2,136,794 | ||||||
Henkel AG & Co. KGaA Preference Shares | 31,784 | 4,368,274 | ||||||
HOCHTIEF AG | 3,385 | 619,266 | ||||||
HUGO BOSS AG | 10,084 | 705,030 | ||||||
Infineon Technologies AG | 202,483 | 4,268,962 | ||||||
Innogy SE(d) | 24,532 | 964,330 | ||||||
KS AG | 35,264 | 901,740 | ||||||
Lanxess AG | 16,645 | 1,258,479 | ||||||
Linde AG | 32,911 | 6,223,575 | ||||||
MAN SE | 5,739 | 614,437 | ||||||
Merck KGaA | 23,098 | 2,785,923 | ||||||
METRO AG | 33,622 | 1,133,362 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 28,604 | 5,759,819 | ||||||
OSRAM Licht AG | 15,483 | 1,231,725 | ||||||
Porsche Automobil Holding SE Preference Shares | 26,200 | 1,469,916 | ||||||
ProSiebenSat.1 Media SE | 39,704 | 1,659,220 | ||||||
RWE AG(b) | 93,356 | 1,857,494 | ||||||
SAP SE | 174,466 | 18,197,379 | ||||||
Schaeffler AG Preference Shares | 27,293 | 390,358 | ||||||
Siemens AG | 135,796 | 18,640,064 | ||||||
Symrise AG | 20,503 | 1,450,319 | ||||||
Telefonica Deutschland Holding AG | 123,988 | 618,406 | ||||||
ThyssenKrupp AG | 65,285 | 1,852,212 | ||||||
TUI AG | 71,954 | 1,045,869 | ||||||
United Internet AG | 23,007 | 1,263,355 | ||||||
Volkswagen AG | 5,948 | 920,927 | ||||||
Volkswagen AG Preference Shares | 32,620 | 4,961,252 | ||||||
Vonovia SE | 83,908 | 3,327,055 | ||||||
Zalando SE(b)(d) | 20,797 | 949,038 | ||||||
|
| |||||||
229,304,507 | ||||||||
|
| |||||||
Hong Kong – 3.4% | ||||||||
AIA Group, Ltd. | 2,127,400 | 15,547,166 | ||||||
ASM Pacific Technology, Ltd. | 41,900 | 566,256 | ||||||
Bank of East Asia, Ltd. | 215,545 | 926,354 | ||||||
BOC Hong Kong Holdings, Ltd. | 652,000 | 3,119,497 | ||||||
Cheung Kong Property Holdings, Ltd. | 470,179 | 3,683,037 | ||||||
CK Hutchison Holdings, Ltd. | 477,000 | 5,988,125 | ||||||
CK Infrastructure Holdings, Ltd. | 115,000 | 966,380 | ||||||
CLP Holdings, Ltd. | 287,500 | 3,042,036 | ||||||
First Pacific Co., Ltd. | 314,000 | 231,685 | ||||||
Galaxy Entertainment Group, Ltd. | 398,000 | 2,416,617 | ||||||
Hang Lung Group, Ltd. | 145,000 | 599,953 | ||||||
Hang Lung Properties, Ltd. | 325,000 | 811,829 | ||||||
Hang Seng Bank, Ltd. | 136,400 | 2,853,297 | ||||||
Henderson Land Development Co., Ltd. | 213,254 | 1,189,684 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(a)(d) | 455,490 | 420,105 | ||||||
HKT Trust & HKT, Ltd. | 679,000 | 892,408 | ||||||
Hong Kong & China Gas Co., Ltd. | 1,479,500 | 2,782,194 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 207,664 | 5,368,201 | ||||||
Hongkong Land Holdings, Ltd. | 207,000 | 1,523,520 | ||||||
Hysan Development Co., Ltd. | 105,000 | 501,028 | ||||||
Jardine Matheson Holdings, Ltd. | 36,400 | 2,336,880 | ||||||
Jardine Strategic Holdings, Ltd. | 38,500 | 1,605,065 | ||||||
Kerry Properties, Ltd. | 118,000 | 400,566 | ||||||
Li & Fung, Ltd. | 1,090,000 | 396,544 | ||||||
Link REIT | 400,000 | 3,043,637 | ||||||
Melco Resorts & Entertainment, Ltd. ADR | 45,923 | 1,030,971 | ||||||
MTR Corp., Ltd. | 272,645 | 1,534,980 | ||||||
New World Development Co., Ltd. | 979,221 | 1,243,085 | ||||||
NWS Holdings, Ltd. | 274,810 | 540,717 | ||||||
PCCW, Ltd. | 748,000 | 425,433 | ||||||
Power Assets Holdings, Ltd. | 252,000 | 2,225,775 | ||||||
Sands China, Ltd. | 414,000 | 1,895,932 | ||||||
Shangri-La Asia, Ltd. | 264,000 | 447,753 | ||||||
Sino Land Co., Ltd. | 578,256 | 948,149 | ||||||
SJM Holdings, Ltd. | 434,000 | 457,547 | ||||||
Sun Hung Kai Properties, Ltd. | 252,000 | 3,702,631 | ||||||
Swire Pacific, Ltd. Class A | 79,500 | 776,521 | ||||||
Swire Properties, Ltd. | 193,600 | 638,600 | ||||||
Techtronic Industries Co., Ltd. | 258,000 | 1,186,481 | ||||||
WH Group, Ltd.(d) | 1,383,309 | 1,396,342 | ||||||
Wharf Holdings, Ltd. | 203,000 | 1,682,468 | ||||||
Wheelock & Co., Ltd. | 151,000 | 1,139,302 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 111,000 | 460,696 | ||||||
|
| |||||||
82,945,447 | ||||||||
|
| |||||||
Ireland – 0.6% | ||||||||
Bank of Ireland(b) | 5,121,610 | 1,343,534 | ||||||
CRH PLC | 146,705 | 5,182,873 | ||||||
Experian PLC | 167,229 | 3,421,246 | ||||||
James Hardie Industries PLC | 75,134 | 1,181,446 | ||||||
Kerry Group PLC Class A | 27,239 | 2,340,310 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Ireland – (continued) | ||||||||
Paddy Power Betfair PLC | 14,637 | $ | 1,560,410 | |||||
Ryanair Holdings PLC ADR(b) | 4,490 | 483,169 | ||||||
|
| |||||||
15,512,988 | ||||||||
|
| |||||||
Israel – 0.6% | ||||||||
Azrieli Group, Ltd. | 7,782 | 432,116 | ||||||
Bank Hapoalim BM | 186,339 | 1,256,029 | ||||||
Bank Leumi Le-Israel BM | 253,799 | 1,232,607 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 319,597 | 529,939 | ||||||
Check Point Software Technologies, Ltd.(b) | 22,510 | 2,455,391 | ||||||
Elbit Systems, Ltd. | 3,969 | 489,405 | ||||||
Frutarom Industries, Ltd. | 6,562 | 457,933 | ||||||
Israel Chemicals, Ltd. | 90,984 | 429,027 | ||||||
Mizrahi Tefahot Bank, Ltd. | 25,993 | 472,427 | ||||||
Nice, Ltd. | 10,564 | 831,975 | ||||||
Teva Pharmaceutical Industries, Ltd. | 129,045 | 4,253,086 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 32,428 | 1,077,258 | ||||||
|
| |||||||
13,917,193 | ||||||||
|
| |||||||
Italy – 2.0% | ||||||||
Assicurazioni Generali SpA | 221,359 | 3,638,107 | ||||||
Atlantia SpA | 81,362 | 2,286,529 | ||||||
Enel SpA | 1,441,611 | 7,718,013 | ||||||
Eni SpA | 443,638 | 6,658,846 | ||||||
Ferrari NV | 20,902 | 1,791,559 | ||||||
Intesa Sanpaolo SpA(e) | 2,234,876 | 7,075,990 | ||||||
Intesa Sanpaolo SpA(e) | 196,041 | 580,451 | ||||||
Leonardo SpA | 71,372 | 1,184,418 | ||||||
Luxottica Group SpA | 29,864 | 1,725,209 | ||||||
Mediobanca SpA | 91,509 | 901,762 | ||||||
Poste Italiane SpA(d) | 85,106 | 581,920 | ||||||
Prysmian SpA | 37,010 | 1,086,953 | ||||||
Recordati SpA | 19,949 | 808,181 | ||||||
Saipem SpA(a)(b) | 109,611 | 404,304 | ||||||
Snam SpA | 411,255 | 1,789,921 | ||||||
Telecom Italia RSP/Milano | 963,350 | 708,693 | ||||||
Telecom Italia SpA/Milano(b) | 1,980,406 | 1,825,072 | ||||||
Terna Rete Elettrica Nazionale SpA | 257,268 | 1,386,736 | ||||||
UniCredit SpA(b) | 351,751 | 6,559,450 | ||||||
UnipolSai Assicurazioni SpA | 194,056 | 422,963 | ||||||
|
| |||||||
49,135,077 | ||||||||
|
| |||||||
Japan – 22.9% | ||||||||
ABC-Mart, Inc. | 5,800 | 341,207 | ||||||
Acom Co., Ltd.(b) | 91,400 | 417,303 | ||||||
Aeon Co., Ltd. | 101,600 | 1,543,532 | ||||||
AEON Financial Service Co., Ltd. | 20,500 | 433,864 | ||||||
Aeon Mall Co., Ltd. | 16,200 | 318,925 | ||||||
Air Water, Inc. | 25,000 | 459,238 | ||||||
Aisin Seiki Co., Ltd. | 29,400 | 1,504,539 | ||||||
Ajinomoto Co., Inc. | 95,100 | 2,053,757 | ||||||
Alfresa Holdings Corp. | 29,300 | 565,086 | ||||||
Alps Electric Co., Ltd. | 34,700 | 1,000,605 | ||||||
Amada Holdings Co., Ltd. | 56,400 | 651,541 | ||||||
ANA Holdings, Inc. | 198,000 | 687,960 | ||||||
Aozora Bank, Ltd. | 228,000 | 868,494 | ||||||
Asahi Glass Co., Ltd. | 35,000 | 1,473,389 | ||||||
Asahi Group Holdings, Ltd. | 68,000 | 2,558,775 | ||||||
Asahi Kasei Corp. | 222,000 | 2,385,769 | ||||||
Asics Corp. | 27,100 | 502,156 | ||||||
Astellas Pharma, Inc. | 381,800 | 4,670,560 | ||||||
Bandai Namco Holdings, Inc. | 36,000 | 1,227,127 | ||||||
Bank of Kyoto, Ltd. | 63,000 | 594,340 | ||||||
Benesse Holdings, Inc. | 13,600 | 513,208 | ||||||
Bridgestone Corp. | 115,500 | 4,975,258 | ||||||
Brother Industries, Ltd. | 38,300 | 883,872 | ||||||
Calbee, Inc. | 15,100 | 593,329 | ||||||
Canon, Inc. | 188,700 | 6,408,679 | ||||||
Casio Computer Co., Ltd. | 37,900 | 582,532 | ||||||
Central Japan Railway Co. | 25,800 | 4,204,325 | ||||||
Chiba Bank, Ltd. | 134,000 | 970,773 | ||||||
Chubu Electric Power Co., Inc. | 117,800 | 1,564,761 | ||||||
Chugai Pharmaceutical Co., Ltd. | 39,000 | 1,459,550 | ||||||
Chugoku Bank, Ltd. | 30,400 | 454,539 | ||||||
Chugoku Electric Power Co., Inc. | 44,000 | 485,190 | ||||||
Coca-Cola Bottlers Japan, Inc. | 24,100 | 697,090 | ||||||
Concordia Financial Group, Ltd. | 206,100 | 1,039,305 | ||||||
Credit Saison Co., Ltd. | 28,200 | 550,648 | ||||||
CYBERDYNE, Inc.(a)(b) | 22,800 | 303,364 | ||||||
Dai Nippon Printing Co., Ltd. | 100,000 | 1,110,716 | ||||||
Dai-ichi Life Holdings, Inc. | 187,300 | 3,378,101 | ||||||
Daicel Corp. | 51,500 | 640,312 | ||||||
Daiichi Sankyo Co., Ltd. | 95,600 | 2,252,164 | ||||||
Daikin Industries, Ltd. | 44,400 | 4,532,467 | ||||||
Daito Trust Construction Co., Ltd. | 12,200 | 1,899,600 | ||||||
Daiwa House Industry Co., Ltd. | 100,200 | 3,422,638 | ||||||
Daiwa House REIT Investment Corp. | 270 | 641,358 | ||||||
Daiwa Securities Group, Inc. | 285,000 | 1,688,795 | ||||||
DeNA Co., Ltd. | 17,400 | 389,626 | ||||||
Denso Corp. | 84,000 | 3,545,105 | ||||||
Dentsu, Inc. | 37,900 | 1,811,347 | ||||||
Disco Corp. | 4,600 | 733,642 | ||||||
Don Quijote Holdings Co., Ltd. | 19,000 | 720,363 | ||||||
East Japan Railway Co. | 58,000 | 5,546,547 | ||||||
Eisai Co., Ltd. | 45,400 | 2,507,182 | ||||||
Electric Power Development Co., Ltd. | 23,900 | 590,906 | ||||||
FamilyMart UNY Holdings Co., Ltd. | 14,500 | 829,788 | ||||||
FANUC Corp. | 34,200 | 6,591,323 | ||||||
Fast Retailing Co., Ltd. | 9,400 | 3,130,545 | ||||||
Fuji Electric Co., Ltd. | 96,000 | 505,803 | ||||||
FUJIFILM Holdings Corp. | 69,800 | 2,509,719 | ||||||
Fujitsu, Ltd. | 356,000 | 2,622,791 | ||||||
Fukuoka Financial Group, Inc. | 134,000 | 636,846 | ||||||
Hachijuni Bank, Ltd. | 78,600 | 498,770 | ||||||
Hakuhodo DY Holdings, Inc. | 41,000 | 544,064 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Hamamatsu Photonics KK | 27,400 | $ | 841,314 | |||||
Hankyu Hanshin Holdings, Inc. | 42,700 | 1,535,315 | ||||||
Hikari Tsushin, Inc. | 3,900 | 410,271 | ||||||
Hino Motors, Ltd. | 49,600 | 550,473 | ||||||
Hirose Electric Co., Ltd. | 5,100 | 727,145 | ||||||
Hiroshima Bank, Ltd. | 90,000 | 398,896 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 10,400 | 497,971 | ||||||
Hitachi Chemical Co., Ltd. | 19,900 | 593,316 | ||||||
Hitachi Construction Machinery Co., Ltd. | 19,300 | 482,156 | ||||||
Hitachi High-Technologies Corp. | 11,800 | 457,885 | ||||||
Hitachi Metals, Ltd. | 40,500 | 563,021 | ||||||
Hitachi, Ltd. | 858,000 | 5,264,375 | ||||||
Honda Motor Co., Ltd. | 301,400 | 8,219,025 | ||||||
Hoshizaki Corp. | 9,900 | 895,194 | ||||||
Hoya Corp. | 69,900 | 3,628,753 | ||||||
Hulic Co., Ltd. | 50,000 | 510,413 | ||||||
Idemitsu Kosan Co., Ltd. | 17,100 | 485,484 | ||||||
IHI Corp.(b) | 259,000 | 880,545 | ||||||
Iida Group Holdings Co., Ltd. | 26,200 | 436,278 | ||||||
Inpex Corp. | 165,400 | 1,591,291 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 55,600 | 557,188 | ||||||
Isuzu Motors, Ltd. | 90,300 | 1,113,882 | ||||||
ITOCHU Corp. | 263,900 | 3,919,981 | ||||||
J Front Retailing Co., Ltd. | 40,200 | 616,810 | ||||||
Japan Airlines Co., Ltd. | 19,600 | 606,002 | ||||||
Japan Airport Terminal Co., Ltd. | 8,200 | 313,448 | ||||||
Japan Exchange Group, Inc. | 87,300 | 1,581,128 | ||||||
Japan Post Bank Co., Ltd. | 75,600 | 967,540 | ||||||
Japan Post Holdings Co., Ltd. | 80,000 | 992,524 | ||||||
Japan Prime Realty Investment Corp. REIT | 138 | 478,382 | ||||||
Japan Real Estate Investment Corp. REIT | 220 | 1,094,518 | ||||||
Japan Retail Fund Investment Corp. REIT | 455 | 840,268 | ||||||
Japan Tobacco, Inc. | 195,200 | 6,857,017 | ||||||
JFE Holdings, Inc. | 86,700 | 1,505,058 | ||||||
JGC Corp. | 34,100 | 552,957 | ||||||
JSR Corp. | 33,300 | 574,066 | ||||||
JTEKT Corp. | 38,300 | 559,706 | ||||||
JXTG Holdings, Inc. | 552,000 | 2,410,701 | ||||||
Kajima Corp. | 160,000 | 1,349,947 | ||||||
Kakaku.com, Inc. | 26,600 | 381,860 | ||||||
Kamigumi Co., Ltd. | 40,000 | 419,366 | ||||||
Kaneka Corp. | 49,000 | 373,300 | ||||||
Kansai Electric Power Co., Inc. | 121,200 | 1,668,711 | ||||||
Kansai Paint Co., Ltd. | 32,200 | 740,806 | ||||||
Kao Corp. | 88,100 | 5,231,428 | ||||||
Kawasaki Heavy Industries, Ltd. | 268,000 | 791,883 | ||||||
KDDI Corp. | 323,800 | 8,573,380 | ||||||
Keihan Holdings Co., Ltd. | 84,000 | 533,784 | ||||||
Keikyu Corp. | 87,000 | 1,047,624 | ||||||
Keio Corp. | 105,000 | 878,426 | ||||||
Keisei Electric Railway Co., Ltd. | 23,000 | 614,098 | ||||||
Keyence Corp. | 17,200 | 7,552,937 | ||||||
Kikkoman Corp. | 28,000 | 894,624 | ||||||
Kintetsu Group Holdings Co., Ltd. | 314,000 | 1,210,057 | ||||||
Kirin Holdings Co., Ltd. | 155,600 | 3,169,886 | ||||||
Kobe Steel, Ltd.(b) | 53,600 | 550,502 | ||||||
Koito Manufacturing Co., Ltd. | 20,100 | 1,033,980 | ||||||
Komatsu, Ltd. | 165,100 | 4,194,357 | ||||||
Konami Holdings Corp. | 15,400 | 855,251 | ||||||
Konica Minolta, Inc. | 73,400 | 608,836 | ||||||
Kose Corp. | 5,500 | 600,614 | ||||||
Kubota Corp. | 189,700 | 3,186,710 | ||||||
Kuraray Co., Ltd. | 66,900 | 1,213,441 | ||||||
Kurita Water Industries, Ltd. | 17,800 | 484,763 | ||||||
Kyocera Corp. | 56,100 | 3,248,368 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 50,400 | 936,141 | ||||||
Kyushu Electric Power Co., Inc. | 69,300 | 841,271 | ||||||
Kyushu Financial Group, Inc. | 61,500 | 388,070 | ||||||
Kyushu Railway Co. | 26,000 | 843,450 | ||||||
Lawson, Inc. | 9,100 | 636,579 | ||||||
LINE Corp.(a)(b) | 8,000 | 275,899 | ||||||
Lion Corp. | 39,000 | 807,351 | ||||||
LIXIL Group Corp. | 48,600 | 1,215,000 | ||||||
M3, Inc. | 34,600 | 953,070 | ||||||
Mabuchi Motor Co., Ltd. | 9,600 | 477,608 | ||||||
Makita Corp. | 37,600 | 1,390,424 | ||||||
Marubeni Corp. | 286,000 | 1,847,444 | ||||||
Marui Group Co., Ltd. | 39,800 | 586,586 | ||||||
Maruichi Steel Tube, Ltd. | 10,400 | 302,207 | ||||||
Mazda Motor Corp. | 100,900 | 1,408,074 | ||||||
McDonald’s Holdings Co., Japan, Ltd. | 13,200 | 506,337 | ||||||
Mebuki Financial Group, Inc. | 181,300 | 674,470 | ||||||
Medipal Holdings Corp. | 28,900 | 534,480 | ||||||
MEIJI Holdings Co., Ltd. | 22,400 | 1,816,162 | ||||||
MINEBEA MITSUMI, Inc. | 69,000 | 1,108,446 | ||||||
Miraca Holdings, Inc. | 9,700 | 435,965 | ||||||
MISUMI Group, Inc. | 48,400 | 1,105,326 | ||||||
Mitsubishi Chemical Holdings Corp. | 257,600 | 2,132,376 | ||||||
Mitsubishi Corp. | 268,900 | 5,638,380 | ||||||
Mitsubishi Electric Corp. | 344,100 | 4,947,433 | ||||||
Mitsubishi Estate Co., Ltd. | 222,500 | 4,145,637 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 30,000 | 634,122 | ||||||
Mitsubishi Heavy Industries, Ltd. | 579,000 | 2,369,386 | ||||||
Mitsubishi Materials Corp. | 21,600 | 653,613 | ||||||
Mitsubishi Motors Corp. | 116,800 | 769,242 | ||||||
Mitsubishi Tanabe Pharma Corp. | 39,600 | 914,931 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,117,500 | 14,224,715 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 81,700 | 446,456 | ||||||
Mitsui & Co., Ltd. | 303,400 | 4,335,250 | ||||||
Mitsui Chemicals, Inc. | 173,000 | 916,118 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Mitsui Fudosan Co., Ltd. | 155,000 | $ | 3,697,735 | |||||
Mitsui OSK Lines, Ltd. | 202,000 | 593,272 | ||||||
Mixi, Inc. | 8,800 | 489,498 | ||||||
Mizuho Financial Group, Inc. | 4,255,400 | 7,779,095 | ||||||
MS&AD Insurance Group Holdings, Inc. | 80,700 | 2,710,589 | ||||||
Murata Manufacturing Co., Ltd. | 34,100 | 5,180,554 | ||||||
Nabtesco Corp.(a) | 18,700 | 543,392 | ||||||
Nagoya Railroad Co., Ltd. | 146,000 | 680,883 | ||||||
NEC Corp. | 451,000 | 1,196,137 | ||||||
Nexon Co., Ltd.(b) | 38,900 | 768,583 | ||||||
NGK Insulators, Ltd. | 45,900 | 914,650 | ||||||
NGK Spark Plug Co., Ltd. | 29,600 | 629,356 | ||||||
NH Foods, Ltd. | 33,000 | 1,002,982 | ||||||
Nidec Corp. | 42,600 | 4,363,884 | ||||||
Nikon Corp. | 60,100 | 960,659 | ||||||
Nintendo Co., Ltd. | 20,000 | 6,707,013 | ||||||
Nippon Building Fund, Inc. REIT(a) | 236 | 1,205,625 | ||||||
Nippon Electric Glass Co., Ltd. | 15,200 | 552,617 | ||||||
Nippon Express Co., Ltd. | 134,000 | 838,394 | ||||||
Nippon Paint Holdings Co., Ltd. | 30,200 | 1,142,310 | ||||||
Nippon Prologis REIT, Inc. | 256 | 545,447 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 129,200 | 2,918,384 | ||||||
Nippon Telegraph & Telephone Corp. | 121,200 | 5,727,768 | ||||||
Nippon Yusen KK(b) | 268,000 | 498,505 | ||||||
Nissan Chemical Industries, Ltd. | 20,000 | 660,377 | ||||||
Nissan Motor Co., Ltd. | 418,900 | 4,168,122 | ||||||
Nisshin Seifun Group, Inc. | 33,100 | 543,516 | ||||||
Nissin Foods Holdings Co., Ltd. | 9,400 | 587,291 | ||||||
Nitori Holdings Co., Ltd. | 13,500 | 1,807,049 | ||||||
Nitto Denko Corp. | 29,200 | 2,401,282 | ||||||
NOK Corp. | 19,900 | 420,457 | ||||||
Nomura Holdings, Inc. | 630,900 | 3,781,133 | ||||||
Nomura Real Estate Holdings, Inc. | 22,600 | 443,311 | ||||||
Nomura Real Estate Master Fund, Inc. | 666 | 911,038 | ||||||
Nomura Research Institute, Ltd. | 21,800 | 858,535 | ||||||
NSK, Ltd. | 61,300 | 765,432 | ||||||
NTT Data Corp. | 112,500 | 1,251,558 | ||||||
NTT DOCOMO, Inc. | 245,400 | 5,792,104 | ||||||
Obayashi Corp. | 112,400 | 1,321,470 | ||||||
Obic Co., Ltd. | 10,900 | 669,366 | ||||||
Odakyu Electric Railway Co., Ltd. | 52,500 | 1,058,784 | ||||||
Oji Holdings Corp. | 169,000 | 872,375 | ||||||
Olympus Corp. | 49,900 | 1,820,844 | ||||||
Omron Corp. | 33,200 | 1,440,459 | ||||||
Ono Pharmaceutical Co., Ltd. | 73,200 | 1,596,771 | ||||||
Oracle Corp. Japan | 7,400 | 480,117 | ||||||
Oriental Land Co., Ltd. | 38,600 | 2,613,642 | ||||||
ORIX Corp. | 230,200 | 3,564,863 | ||||||
Osaka Gas Co., Ltd. | 311,000 | 1,271,845 | ||||||
Otsuka Corp. | 9,100 | 564,498 | ||||||
Otsuka Holdings Co., Ltd. | 69,700 | 2,971,369 | ||||||
Panasonic Corp. | 391,900 | 5,315,554 | ||||||
Park24 Co., Ltd. | 18,200 | 462,613 | ||||||
Pola Orbis Holdings, Inc. | 16,800 | 442,876 | ||||||
Rakuten, Inc. | 165,700 | 1,949,585 | ||||||
Recruit Holdings Co., Ltd. | 196,800 | 3,382,172 | ||||||
Resona Holdings, Inc. | 378,200 | 2,081,850 | ||||||
Ricoh Co., Ltd. | 119,300 | 1,053,272 | ||||||
Rinnai Corp. | 5,600 | 521,823 | ||||||
Rohm Co., Ltd. | 17,300 | 1,328,756 | ||||||
Ryohin Keikaku Co., Ltd. | 4,500 | 1,124,199 | ||||||
Sankyo Co., Ltd. | 9,200 | 311,962 | ||||||
Santen Pharmaceutical Co., Ltd. | 70,000 | 949,448 | ||||||
SBI Holdings, Inc. | 38,100 | 516,093 | ||||||
Secom Co., Ltd. | 37,100 | 2,814,859 | ||||||
Sega Sammy Holdings, Inc. | 32,200 | 433,307 | ||||||
Seibu Holdings, Inc. | 28,800 | 532,375 | ||||||
Seiko Epson Corp. | 49,600 | 1,103,154 | ||||||
Sekisui Chemical Co., Ltd. | 72,200 | 1,292,223 | ||||||
Sekisui House, Ltd. | 106,600 | 1,878,023 | ||||||
Seven & i Holdings Co., Ltd. | 132,000 | 5,436,953 | ||||||
Seven Bank, Ltd. | 126,400 | 452,232 | ||||||
Sharp Corp.(a)(b) | 285,000 | 1,057,716 | ||||||
Shimadzu Corp. | 41,700 | 793,473 | ||||||
Shimamura Co., Ltd. | 3,700 | 453,115 | ||||||
Shimano, Inc. | 13,100 | 2,072,962 | ||||||
Shimizu Corp. | 89,000 | 943,387 | ||||||
Shin-Etsu Chemical Co., Ltd. | 69,000 | 6,254,583 | ||||||
Shinsei Bank, Ltd. | 309,000 | 539,017 | ||||||
Shionogi & Co., Ltd. | 53,200 | 2,963,499 | ||||||
Shiseido Co., Ltd. | 67,100 | 2,385,167 | ||||||
Shizuoka Bank, Ltd. | 86,000 | 776,878 | ||||||
Showa Shell Sekiyu KK | 34,700 | 321,800 | ||||||
SMC Corp. | 9,800 | 2,978,551 | ||||||
SoftBank Group Corp. | 145,300 | 11,763,920 | ||||||
Sohgo Security Services Co., Ltd. | 11,200 | 504,379 | ||||||
Sompo Holdings, Inc. | 62,400 | 2,409,697 | ||||||
Sony Corp. | 222,800 | 8,498,761 | ||||||
Sony Financial Holdings, Inc. | 33,200 | 565,546 | ||||||
Stanley Electric Co., Ltd. | 22,300 | 672,811 | ||||||
Start Today Co., Ltd. | 37,400 | 920,354 | ||||||
Subaru Corp. | 111,300 | 3,750,283 | ||||||
Sumitomo Chemical Co., Ltd. | 269,000 | 1,546,582 | ||||||
Sumitomo Corp. | 211,300 | 2,749,382 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 26,900 | 367,014 | ||||||
Sumitomo Electric Industries, Ltd. | 129,100 | 1,987,745 | ||||||
Sumitomo Heavy Industries, Ltd. | 94,000 | 619,918 | ||||||
Sumitomo Metal Mining Co., Ltd. | 86,000 | 1,148,478 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 237,100 | 9,240,485 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 58,500 | 2,092,484 | ||||||
Sumitomo Realty & Development Co., Ltd. | 62,000 | 1,911,979 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Sumitomo Rubber Industries, Ltd.(a) | 29,600 | $ | 499,480 | |||||
Sundrug Co., Ltd. | 12,400 | 462,407 | ||||||
Suntory Beverage & Food, Ltd. | 24,700 | 1,147,508 | ||||||
Suruga Bank, Ltd. | 34,400 | 833,364 | ||||||
Suzuken Co., Ltd. | 13,600 | 451,477 | ||||||
Suzuki Motor Corp. | 62,600 | 2,969,544 | ||||||
Sysmex Corp. | 27,800 | 1,660,182 | ||||||
T&D Holdings, Inc. | 100,000 | 1,521,449 | ||||||
Taiheiyo Cement Corp. | 200,000 | 728,017 | ||||||
Taisei Corp. | 177,000 | 1,616,251 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,900 | 448,959 | ||||||
Taiyo Nippon Sanso Corp. | 23,300 | 261,493 | ||||||
Takashimaya Co., Ltd. | 53,000 | 504,245 | ||||||
Takeda Pharmaceutical Co., Ltd. | 126,100 | 6,407,128 | ||||||
TDK Corp. | 23,600 | 1,552,189 | ||||||
Teijin, Ltd. | 31,200 | 600,064 | ||||||
Terumo Corp. | 54,500 | 2,146,338 | ||||||
THK Co., Ltd. | 21,300 | 602,830 | ||||||
Tobu Railway Co., Ltd. | 184,000 | 1,003,845 | ||||||
Toho Co., Ltd. | 18,800 | 578,925 | ||||||
Toho Gas Co., Ltd. | 63,000 | 458,651 | ||||||
Tohoku Electric Power Co., Inc. | 79,000 | 1,093,316 | ||||||
Tokio Marine Holdings, Inc. | 120,900 | 5,004,503 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(b) | 268,100 | 1,104,755 | ||||||
Tokyo Electron, Ltd. | 27,800 | 3,750,872 | ||||||
Tokyo Gas Co., Ltd. | 334,000 | 1,736,883 | ||||||
Tokyo Tatemono Co., Ltd. | 36,300 | 475,557 | ||||||
Tokyu Corp. | 188,000 | 1,433,927 | ||||||
Tokyu Fudosan Holdings Corp. | 90,400 | 534,226 | ||||||
Toppan Printing Co., Ltd. | 94,000 | 1,030,687 | ||||||
Toray Industries, Inc. | 266,000 | 2,226,057 | ||||||
Toshiba Corp.(a)(b) | 741,000 | 1,792,487 | ||||||
Tosoh Corp. | 94,000 | 962,923 | ||||||
TOTO, Ltd. | 26,700 | 1,019,429 | ||||||
Toyo Seikan Group Holdings, Ltd. | 28,500 | 480,918 | ||||||
Toyo Suisan Kaisha, Ltd. | 14,500 | 555,558 | ||||||
Toyoda Gosei Co., Ltd. | 9,700 | 231,277 | ||||||
Toyota Industries Corp. | 28,700 | 1,509,585 | ||||||
Toyota Motor Corp. | 461,600 | 24,209,761 | ||||||
Toyota Tsusho Corp. | 37,100 | 1,111,085 | ||||||
Trend Micro, Inc. | 19,800 | 1,020,310 | ||||||
Tsuruha Holdings, Inc. | 6,500 | 690,148 | ||||||
Unicharm Corp. | 71,000 | 1,783,215 | ||||||
United Urban Investment Corp. REIT | 568 | 811,356 | ||||||
USS Co., Ltd. | 36,100 | 717,438 | ||||||
West Japan Railway Co. | 28,200 | 1,991,769 | ||||||
Yahoo! Japan Corp. | 252,500 | 1,098,901 | ||||||
Yakult Honsha Co., Ltd. | 14,300 | 973,612 | ||||||
Yamada Denki Co., Ltd.(a) | 100,200 | 497,611 | ||||||
Yamaguchi Financial Group, Inc. | 39,000 | 471,013 | ||||||
Yamaha Corp. | 30,500 | 1,053,222 | ||||||
Yamaha Motor Co., Ltd. | 49,600 | 1,279,288 | ||||||
Yamato Holdings Co., Ltd. | 60,500 | 1,226,853 | ||||||
Yamazaki Baking Co., Ltd. | 22,000 | 438,394 | ||||||
Yaskawa Electric Corp. | 44,800 | 949,349 | ||||||
Yokogawa Electric Corp. | 38,300 | 613,904 | ||||||
Yokohama Rubber Co., Ltd. | 20,700 | 415,437 | ||||||
|
| |||||||
565,070,570 | ||||||||
|
| |||||||
Jordan – 0.0%(c) | ||||||||
Hikma Pharmaceuticals PLC | 23,594 | 450,517 | ||||||
|
| |||||||
Luxembourg – 0.3% | ||||||||
ArcelorMittal(b) | 118,841 | 2,691,906 | ||||||
Eurofins Scientific SE | 1,931 | 1,086,114 | ||||||
Millicom International Cellular SA SDR | 10,834 | 639,157 | ||||||
RTL Group SA(b) | 6,365 | 479,932 | ||||||
SES SA | 60,931 | 1,426,382 | ||||||
Tenaris SA | 86,893 | 1,352,794 | ||||||
|
| |||||||
7,676,285 | ||||||||
|
| |||||||
Macau – 0.0%(c) | ||||||||
MGM China Holdings, Ltd. | 169,200 | 376,267 | ||||||
Wynn Macau, Ltd. | 272,400 | 636,471 | ||||||
|
| |||||||
1,012,738 | ||||||||
|
| |||||||
Mexico – 0.0%(c) | ||||||||
Fresnillo PLC | 41,967 | 810,063 | ||||||
|
| |||||||
Netherlands – 4.2% | ||||||||
ABN AMRO Group NV(d) | 52,960 | 1,401,966 | ||||||
Aegon NV | 335,936 | 1,713,072 | ||||||
AerCap Holdings NV(b) | 28,214 | 1,309,976 | ||||||
Akzo Nobel NV | 45,133 | 3,916,843 | ||||||
Altice NV Class A(b) | 71,703 | 1,651,973 | ||||||
Altice NV Class B(b) | 19,053 | 439,073 | ||||||
ASML Holding NV | 65,925 | 8,579,265 | ||||||
Boskalis Westminster | 17,863 | 579,325 | ||||||
EXOR NV | 20,181 | 1,090,796 | ||||||
Gemalto NV | 15,050 | 902,035 | ||||||
Heineken Holding NV | 18,480 | 1,691,458 | ||||||
Heineken NV | 41,210 | 4,001,286 | ||||||
ING Groep NV | 682,838 | 11,760,044 | ||||||
Koninklijke Ahold Delhaize NV | 226,628 | 4,326,965 | ||||||
Koninklijke DSM NV | 32,508 | 2,359,580 | ||||||
Koninklijke KPN NV | 625,355 | 1,997,809 | ||||||
Koninklijke Philips NV | 164,134 | 5,821,078 | ||||||
Koninklijke Vopak NV | 14,298 | 662,088 | ||||||
NN Group NV | 56,825 | 2,016,942 | ||||||
NXP Semiconductors NV(b) | 47,872 | 5,239,590 | ||||||
Randstad Holding NV | 22,428 | 1,307,663 | ||||||
Royal Dutch Shell PLC Class A | 783,828 | 20,719,410 | ||||||
Royal Dutch Shell PLC Class B | 664,985 | 17,815,499 | ||||||
Wolters Kluwer NV | 54,922 | 2,321,799 | ||||||
|
| |||||||
103,625,535 | ||||||||
|
| |||||||
New Zealand – 0.2% | ||||||||
Auckland International Airport, Ltd. | 174,607 | 911,551 | ||||||
Contact Energy, Ltd. | 116,874 | 445,847 | ||||||
Fletcher Building, Ltd. | 125,286 | 732,958 | ||||||
Mercury NZ, Ltd. | 144,564 | 351,421 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
New Zealand – (continued) | ||||||||
Meridian Energy, Ltd. | 192,725 | $ | 410,640 | |||||
Ryman Healthcare, Ltd. | 72,076 | 437,497 | ||||||
Spark New Zealand, Ltd. | 345,222 | 955,476 | ||||||
|
| |||||||
4,245,390 | ||||||||
|
| |||||||
Norway – 0.6% | ||||||||
DNB ASA | 167,297 | 2,835,999 | ||||||
Gjensidige Forsikring ASA | 32,985 | 561,127 | ||||||
Marine Harvest ASA(b) | 67,620 | 1,153,552 | ||||||
Norsk Hydro ASA | 230,317 | 1,272,474 | ||||||
Orkla ASA | 135,099 | 1,368,465 | ||||||
Schibsted ASA Class A | 13,202 | 317,731 | ||||||
Schibsted ASA Class B | 15,363 | 338,378 | ||||||
Statoil ASA | 198,372 | 3,277,525 | ||||||
Telenor ASA | 132,641 | 2,193,094 | ||||||
Yara International ASA | 32,889 | 1,231,279 | ||||||
|
| |||||||
14,549,624 | ||||||||
|
| |||||||
Portugal – 0.2% | ||||||||
EDP – Energias de Portugal SA | 433,534 | 1,415,659 | ||||||
Galp Energia SGPS SA | 90,821 | 1,373,031 | ||||||
Jeronimo Martins SGPS SA | 45,284 | 882,676 | ||||||
|
| |||||||
3,671,366 | ||||||||
|
| |||||||
Singapore – 1.3% | ||||||||
Ascendas REIT | 402,050 | 762,139 | ||||||
CapitaLand Commercial Trust | 343,000 | 413,538 | ||||||
CapitaLand Mall Trust REIT | 390,000 | 559,429 | ||||||
CapitaLand, Ltd. | 470,700 | 1,196,535 | ||||||
City Developments, Ltd. | 72,400 | 564,224 | ||||||
ComfortDelGro Corp., Ltd. | 335,000 | 559,611 | ||||||
DBS Group Holdings, Ltd. | 318,313 | 4,794,866 | ||||||
Genting Singapore PLC | 1,167,800 | 920,262 | ||||||
Global Logistic Properties, Ltd. | 497,500 | 1,033,410 | ||||||
Golden Agri-Resources, Ltd. | 1,326,600 | 361,314 | ||||||
Hutchison Port Holdings Trust | 935,800 | 402,394 | ||||||
Jardine Cycle & Carriage, Ltd. | 17,233 | 555,096 | ||||||
Keppel Corp., Ltd. | 265,300 | 1,211,996 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 557,026 | 4,365,262 | ||||||
SATS, Ltd. | 114,700 | 425,694 | ||||||
Sembcorp Industries, Ltd. | 177,900 | 397,960 | ||||||
Singapore Airlines, Ltd. | 91,100 | 669,595 | ||||||
Singapore Exchange, Ltd. | 152,600 | 813,512 | ||||||
Singapore Press Holdings, Ltd. | 306,400 | 718,794 | ||||||
Singapore Technologies Engineering, Ltd. | 247,000 | 660,174 | ||||||
Singapore Telecommunications, Ltd. | 1,445,000 | 4,082,543 | ||||||
StarHub, Ltd.(a) | 120,500 | 238,051 | ||||||
Suntec Real Estate Investment Trust | 417,500 | 567,037 | ||||||
United Overseas Bank, Ltd. | 237,890 | 3,994,638 | ||||||
UOL Group, Ltd. | 89,832 | 498,469 | ||||||
Wilmar International, Ltd. | 251,600 | 612,165 | ||||||
|
| |||||||
31,378,708 | ||||||||
|
| |||||||
South Africa – 0.1% | ||||||||
Investec PLC | 119,452 | 889,855 | ||||||
Mediclinic International PLC(a) | 60,148 | 579,328 | ||||||
Mondi PLC | 61,229 | 1,601,802 | ||||||
|
| |||||||
3,070,985 | ||||||||
|
| |||||||
Spain – 3.4% | ||||||||
Abertis Infraestructuras SA | 124,284 | 2,299,219 | ||||||
ACS Actividades de Construccion y Servicios SA | 42,964 | 1,657,513 | ||||||
Aena SA(d) | 11,655 | 2,271,128 | ||||||
Amadeus IT Group SA | 77,377 | 4,620,010 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,183,601 | 9,807,431 | ||||||
Banco de Sabadell SA | 899,353 | 1,824,822 | ||||||
Banco Santander SA | 2,572,452 | 16,993,786 | ||||||
Bankia SA | 187,877 | 906,846 | ||||||
Bankinter SA(a) | 127,076 | 1,168,913 | ||||||
CaixaBank SA | 632,456 | 3,015,233 | ||||||
Distribuidora Internacional de Alimentacion SA | 112,631 | 700,243 | ||||||
Enagas SA | 40,604 | 1,136,932 | ||||||
Endesa SA(a) | 54,326 | 1,249,764 | ||||||
Ferrovial SA | 82,623 | 1,831,470 | ||||||
Gamesa Corp. Tecnologica SA | 38,407 | 818,936 | ||||||
Gas Natural SDG SA | 63,126 | 1,475,246 | ||||||
Grifols SA | 52,762 | 1,467,433 | ||||||
Iberdrola SA | 1,030,212 | 8,146,332 | ||||||
Industria de Diseno Textil SA | 192,142 | 7,365,549 | ||||||
Mapfre SA | 194,652 | 678,908 | ||||||
Red Electrica Corp. SA(a) | 75,662 | 1,578,791 | ||||||
Repsol SA | 212,186 | 3,242,917 | ||||||
Telefonica SA | 793,040 | 8,174,887 | ||||||
|
| |||||||
82,432,309 | ||||||||
|
| |||||||
Sweden – 2.8% | ||||||||
Alfa Laval AB | 52,525 | 1,073,597 | ||||||
Assa Abloy AB Class B | 174,478 | 3,828,998 | ||||||
Atlas Copco AB Class A | 117,510 | 4,500,030 | ||||||
Atlas Copco AB Class B | 70,388 | 2,429,288 | ||||||
Boliden AB | 47,714 | 1,300,538 | ||||||
Electrolux AB Series B | 42,614 | 1,394,944 | ||||||
Essity AB Class B(b) | 104,016 | 2,842,557 | ||||||
Getinge AB Class B | 35,024 | 684,738 | ||||||
Hennes & Mauritz AB Class B | 167,508 | 4,168,560 | ||||||
Hexagon AB Class B | 46,996 | 2,231,524 | ||||||
Husqvarna AB Class B | 80,679 | 800,616 | ||||||
ICA Gruppen AB | 13,522 | 502,753 | ||||||
Industrivarden AB Class C | 27,746 | 664,492 | ||||||
Investor AB Class B | 81,515 | 3,923,753 | ||||||
Kinnevik AB Class B | 41,542 | 1,270,214 | ||||||
L E Lundbergforetagen AB Class B | 6,443 | 507,981 | ||||||
Lundin Petroleum AB(b) | 30,763 | 591,221 | ||||||
Nordea Bank AB | 539,305 | 6,854,366 | ||||||
Sandvik AB | 200,656 | 3,152,144 | ||||||
Securitas AB Class B | 56,568 | 952,352 | ||||||
Skandinaviska Enskilda Banken AB Class A | 264,876 | 3,200,036 | ||||||
Skanska AB Class B | 59,507 | 1,410,324 | ||||||
SKF AB Class B | 69,664 | 1,409,873 | ||||||
Svenska Handelsbanken AB Class A | 265,339 | 3,793,905 | ||||||
Swedbank AB Class A | 158,474 | 3,857,315 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Sweden – (continued) | ||||||||
Swedish Match AB | 35,442 | $ | 1,246,734 | |||||
Tele2 AB Class B | 66,816 | 698,694 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 544,886 | 3,892,251 | ||||||
Telia Co. AB | 471,238 | 2,167,196 | ||||||
Volvo AB Class B | 273,440 | 4,655,374 | ||||||
|
| |||||||
70,006,368 | ||||||||
|
| |||||||
Switzerland – 8.9% | ||||||||
ABB, Ltd. | 353,330 | 8,736,860 | ||||||
Adecco Group AG(b) | 29,333 | 2,232,941 | ||||||
Baloise Holding AG | 8,886 | 1,375,142 | ||||||
Barry Callebaut AG(b) | 370 | 509,226 | ||||||
Chocoladefabriken Lindt & Spruengli AG(e) | 176 | 1,021,835 | ||||||
Chocoladefabriken Lindt & Spruengli AG(e) | 18 | 1,256,513 | ||||||
Cie Financiere Richemont SA | 92,566 | 7,636,103 | ||||||
Coca-Cola HBC AG(b) | 29,579 | 867,560 | ||||||
Credit Suisse Group AG(b) | 417,346 | 6,040,219 | ||||||
Dufry AG(b) | 6,194 | 1,016,110 | ||||||
EMS-Chemie Holding AG | 1,508 | 1,113,304 | ||||||
Geberit AG | 6,593 | 3,078,776 | ||||||
Givaudan SA | 1,608 | 3,220,534 | ||||||
Glencore PLC(b) | 2,171,884 | 8,102,392 | ||||||
Julius Baer Group, Ltd.(b) | 40,401 | 2,128,367 | ||||||
Kuehne + Nagel International AG | 9,666 | 1,614,953 | ||||||
LafargeHolcim, Ltd.(b) | 81,213 | 4,655,765 | ||||||
Lonza Group AG(b) | 13,569 | 2,937,246 | ||||||
Nestle SA | 551,599 | 48,066,555 | ||||||
Novartis AG | 395,967 | 32,995,527 | ||||||
Pargesa Holding SA | 7,650 | 582,747 | ||||||
Partners Group Holding AG | 2,977 | 1,848,093 | ||||||
Roche Holding AG | 124,580 | 31,767,802 | ||||||
Schindler Holding AG(e) | 7,268 | 1,539,892 | ||||||
Schindler Holding AG(e) | 3,944 | 818,741 | ||||||
SGS SA | 968 | 2,347,095 | ||||||
Sika AG | 377 | 2,425,020 | ||||||
Sonova Holding AG | 9,633 | 1,566,186 | ||||||
STMicroelectronics NV(a) | 113,126 | 1,621,855 | ||||||
Straumann Holding AG | 1,786 | 1,017,348 | ||||||
Swatch Group AG(e) | 5,182 | 1,916,093 | ||||||
Swatch Group AG(e) | 10,693 | 782,170 | ||||||
Swiss Life Holding AG(b) | 5,368 | 1,813,904 | ||||||
Swiss Prime Site AG(b) | 13,273 | 1,207,203 | ||||||
Swiss Re AG | 57,319 | 5,246,186 | ||||||
Swisscom AG | 4,460 | 2,154,902 | ||||||
UBS Group AG(b) | 647,456 | 10,979,675 | ||||||
Vifor Pharma AG | 9,106 | 1,005,069 | ||||||
Wolseley PLC | 44,561 | 2,728,001 | ||||||
Zurich Insurance Group AG | 26,742 | 7,793,758 | ||||||
|
| |||||||
219,767,668 | ||||||||
|
| |||||||
United Kingdom – 15.4% | ||||||||
3i Group PLC | 175,202 | 2,053,896 | ||||||
Aberdeen Asset Management PLC | 149,307 | 585,706 | ||||||
Admiral Group PLC | 38,319 | 996,982 | ||||||
Anglo American PLC(b) | 226,888 | 3,017,892 | ||||||
Ashtead Group PLC | 86,365 | 1,782,600 | ||||||
Associated British Foods PLC | 64,314 | 2,452,753 | ||||||
AstraZeneca PLC | 224,733 | 14,989,926 | ||||||
Auto Trader Group PLC(d) | 186,149 | 918,833 | ||||||
Aviva PLC | 720,370 | 4,921,909 | ||||||
Babcock International Group PLC | 40,052 | 458,085 | ||||||
BAE Systems PLC | 563,918 | 4,640,393 | ||||||
Barclays PLC | 3,011,640 | 7,931,514 | ||||||
Barratt Developments PLC | 177,650 | 1,300,323 | ||||||
Berkeley Group Holdings PLC | 24,323 | 1,019,549 | ||||||
BP PLC | 3,462,174 | 19,913,550 | ||||||
British American Tobacco PLC | 329,794 | 22,421,706 | ||||||
British Land Co. PLC REIT | 181,550 | 1,427,916 | ||||||
BT Group PLC | 1,518,355 | 5,813,254 | ||||||
Bunzl PLC | 59,591 | 1,771,042 | ||||||
Burberry Group PLC | 77,992 | 1,682,720 | ||||||
Capita PLC | 108,576 | 975,255 | ||||||
Centrica PLC | 1,011,695 | 2,630,909 | ||||||
CNH Industrial NV | 172,154 | 1,946,813 | ||||||
Cobham PLC | 394,650 | 664,369 | ||||||
Coca-Cola European Partners PLC | 40,293 | 1,633,742 | ||||||
Compass Group PLC | 276,871 | 5,826,194 | ||||||
ConvaTec Group PLC(b)(d) | 220,763 | 915,338 | ||||||
Croda International PLC | 23,514 | 1,186,615 | ||||||
DCC PLC | 15,020 | 1,363,764 | ||||||
Diageo PLC | 442,754 | 13,046,484 | ||||||
Direct Line Insurance Group PLC | 242,834 | 1,121,035 | ||||||
Dixons Carphone PLC | 153,548 | 565,643 | ||||||
easyJet PLC | 28,875 | 509,722 | ||||||
Fiat Chrysler Automobiles NV(b) | 192,744 | 2,029,069 | ||||||
G4S PLC | 281,805 | 1,194,789 | ||||||
GKN PLC | 298,523 | 1,264,118 | ||||||
GlaxoSmithKline PLC | 871,688 | 18,518,415 | ||||||
Hammerson PLC REIT | 141,199 | 1,053,692 | ||||||
Hargreaves Lansdown PLC | 41,443 | 700,897 | ||||||
HSBC Holdings PLC | 3,478,788 | 32,160,080 | ||||||
IMI PLC | 44,363 | 688,622 | ||||||
Imperial Brands PLC | 170,002 | 7,615,115 | ||||||
Inmarsat PLC | 87,430 | 873,899 | ||||||
InterContinental Hotels Group PLC | 32,572 | 1,805,341 | ||||||
International Consolidated Airlines Group SA | 120,036 | 951,367 | ||||||
Intertek Group PLC | 27,259 | 1,493,158 | ||||||
Intu Properties PLC REIT | 156,211 | 546,031 | ||||||
ITV PLC | 648,668 | 1,528,453 | ||||||
J Sainsbury PLC | 294,197 | 961,864 | ||||||
Johnson Matthey PLC | 35,957 | 1,340,938 | ||||||
Kingfisher PLC | 382,427 | 1,493,737 | ||||||
Land Securities Group PLC REIT | 143,120 | 1,883,224 | ||||||
Legal & General Group PLC | 1,060,029 | 3,556,594 | ||||||
Lloyds Banking Group PLC | 12,586,228 | 10,814,779 | ||||||
London Stock Exchange Group PLC | 56,826 | 2,691,262 |
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)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) | ||||||||
Marks & Spencer Group PLC | 273,085 | $ | 1,182,294 | |||||
Meggitt PLC | 143,867 | 891,211 | ||||||
Merlin Entertainments PLC(d) | 113,142 | 706,170 | ||||||
National Grid PLC | 609,358 | 7,533,736 | ||||||
Next PLC | 24,538 | 1,229,047 | ||||||
Old Mutual PLC | 890,102 | 2,236,086 | ||||||
Pearson PLC | 147,939 | 1,328,823 | ||||||
Persimmon PLC | 54,546 | 1,588,513 | ||||||
Petrofac, Ltd. | 44,356 | 254,664 | ||||||
Provident Financial PLC | 26,726 | 844,633 | ||||||
Prudential PLC | 454,863 | 10,404,762 | ||||||
Randgold Resources, Ltd. | 16,737 | 1,479,442 | ||||||
Reckitt Benckiser Group PLC | 117,068 | 11,836,770 | ||||||
RELX NV | 173,255 | 3,556,908 | ||||||
RELX PLC | 191,204 | 4,122,847 | ||||||
Rio Tinto PLC | 218,475 | 9,200,405 | ||||||
Rio Tinto, Ltd. | 74,844 | 3,632,273 | ||||||
Rolls-Royce Holdings PLC(b) | 297,109 | 3,438,632 | ||||||
Royal Bank of Scotland Group PLC(b) | 596,872 | 1,916,558 | ||||||
Royal Mail PLC | 163,901 | 896,731 | ||||||
RSA Insurance Group PLC | 177,620 | 1,420,078 | ||||||
Sage Group PLC | 187,691 | 1,677,352 | ||||||
Schroders PLC | 19,899 | 802,315 | ||||||
Segro PLC REIT | 176,027 | 1,118,557 | ||||||
Severn Trent PLC | 39,903 | 1,130,974 | ||||||
Sky PLC | 185,923 | 2,400,555 | ||||||
Smith & Nephew PLC | 154,134 | 2,652,812 | ||||||
Smiths Group PLC | 68,772 | 1,426,622 | ||||||
SSE PLC | 178,690 | 3,372,547 | ||||||
St James’s Place PLC | 92,071 | 1,413,620 | ||||||
Standard Chartered PLC(b) | 575,954 | 5,814,505 | ||||||
Standard Life PLC | 350,606 | 1,817,579 | ||||||
Tate & Lyle PLC | 75,937 | 652,986 | ||||||
Taylor Wimpey PLC | 560,962 | 1,283,901 | ||||||
Tesco PLC(b) | 1,423,757 | 3,121,767 | ||||||
Travis Perkins PLC | 47,042 | 889,080 | ||||||
Unilever NV | 289,287 | 15,943,004 | ||||||
Unilever PLC | 225,840 | 12,188,888 | ||||||
United Utilities Group PLC | 124,075 | 1,398,125 | ||||||
Vodafone Group PLC | 4,681,237 | 13,240,701 | ||||||
Weir Group PLC | 41,494 | 932,985 | ||||||
Whitbread PLC | 32,926 | 1,696,654 | ||||||
Wm Morrison Supermarkets PLC | 391,659 | 1,227,093 | ||||||
Worldpay Group PLC(d) | 365,813 | 1,495,843 | ||||||
WPP PLC | 225,588 | 4,729,462 | ||||||
|
| |||||||
379,780,386 | ||||||||
|
| |||||||
United States – 0.6% | ||||||||
Carnival PLC | 31,788 | 2,097,583 | ||||||
Mobileye NV(b) | 30,377 | 1,907,675 | ||||||
QIAGEN NV(b) | 37,149 | 1,234,035 | ||||||
Shire PLC | 133,677 | 7,358,848 | ||||||
Shire PLC ADR | 8,899 | 1,470,738 | ||||||
Taro Pharmaceutical Industries, Ltd.(b) | 2,744 | 307,493 | ||||||
|
| |||||||
14,376,372 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,413,593,702 | |||||||
|
| |||||||
RIGHTS – 0.0%(c) | ||||||||
Spain – 0.0%(c) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(b) | 42,964 | 34,302 | ||||||
Repsol SA (expiring 6/30/17)(b) | 212,186 | 96,803 | ||||||
|
| |||||||
131,105 | ||||||||
|
| |||||||
TOTAL RIGHTS | 131,105 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(f)(g) | 37,493,347 | 37,493,347 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 11,533,636 | 11,533,636 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 49,026,983 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.9% |
| 2,462,751,790 | ||||||
Other Assets in Excess of Liabilities – 0.1% |
| 2,532,857 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,465,284,647 | ||||||
|
|
(a) | All or a portion of the shares of the security are on loan at June 30, 2017. |
(b) | Non-income producing security. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2017. |
ADR | American Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt |
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)
June 30, 2017 (Unaudited)
At June 30, 2017, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/15/2017 | 482 | $ | 45,539,360 | $ | (101,133 | ) |
During the period ended June 30, 2017, average notional value related to futures contracts was $45,674,929 or 1.9% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 171,293,100 | $ | – | $ | – | $ | 171,293,100 | ||||||||
Austria | 5,816,560 | – | – | 5,816,560 | ||||||||||||
Belgium | 27,620,286 | – | – | 27,620,286 | ||||||||||||
Chile | 704,837 | – | – | 704,837 | ||||||||||||
China | 333,703 | – | – | 333,703 | ||||||||||||
Denmark | 43,646,173 | – | – | 43,646,173 | ||||||||||||
Finland | 24,586,883 | – | – | 24,586,883 | ||||||||||||
France | 246,852,064 | – | – | 246,852,064 | ||||||||||||
Germany | 229,304,507 | – | – | 229,304,507 | ||||||||||||
Hong Kong | 82,945,447 | – | – | 82,945,447 | ||||||||||||
Ireland | 15,512,988 | – | – | 15,512,988 | ||||||||||||
Israel | 13,917,193 | – | – | 13,917,193 | ||||||||||||
Italy | 49,135,077 | – | – | 49,135,077 | ||||||||||||
Japan | 565,070,570 | – | – | 565,070,570 | ||||||||||||
Jordan | 450,517 | – | – | 450,517 | ||||||||||||
Luxembourg | 7,676,285 | – | – | 7,676,285 | ||||||||||||
Macau | 1,012,738 | – | – | 1,012,738 | ||||||||||||
Mexico | 810,063 | – | – | 810,063 | ||||||||||||
Netherlands | 103,625,535 | – | – | 103,625,535 | ||||||||||||
New Zealand | 4,245,390 | – | – | 4,245,390 | ||||||||||||
Norway | 14,549,624 | – | – | 14,549,624 | ||||||||||||
Portugal | 3,671,366 | – | – | 3,671,366 | ||||||||||||
Singapore | 31,378,708 | – | – | 31,378,708 | ||||||||||||
South Africa | 3,070,985 | – | – | 3,070,985 | ||||||||||||
Spain | 82,432,309 | – | – | 82,432,309 | ||||||||||||
Sweden | 70,006,368 | – | – | 70,006,368 | ||||||||||||
Switzerland | 219,767,668 | – | – | 219,767,668 | ||||||||||||
United Kingdom | 379,780,386 | – | – | 379,780,386 | ||||||||||||
United States | 14,376,372 | – | – | 14,376,372 | ||||||||||||
Rights | ||||||||||||||||
Spain | 131,105 | – | – | 131,105 | ||||||||||||
Short-Term Investments | 49,026,983 | – | – | 49,026,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,462,751,790 | $ | – | $ | – | $ | 2,462,751,790 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(a) | $ | (101,133 | ) | $ | – | $ | – | $ | (101,133 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (101,133 | ) | $ | – | $ | – | $ | (101,133 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares purchased | Shares sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 122,312,188 | 84,818,841 | 37,493,347 | $ | 37,493,347 | $ | 33,236 | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 39,019,139 | 39,019,139 | 142,528,365 | 181,547,504 | – | – | 74,812 | |||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | – | – | 153,691,123 | 142,157,487 | 11,533,636 | 11,533,636 | – | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 39,019,139 | $ | 49,026,983 | $ | 108,048 | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investments in unaffiliated issuers, at value* (Note 2) | $ | 2,413,724,807 | ||
Investments in affiliated issuers, at value (Note 2) | 49,026,983 | |||
|
| |||
Total investments | 2,462,751,790 | |||
Foreign currency, at value | 3,501,699 | |||
Cash at broker | 1,687,000 | |||
Cash | 5 | |||
Receivable from broker – variation margin on open futures contracts | 322,915 | |||
Receivable for investments sold | 29,932 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 4,754,113 | |||
Dividends receivable – affiliated issuers (Note 2) | 22,260 | |||
Securities lending income receivable – affiliated issuers | 77,748 | |||
Receivable for foreign taxes recoverable | 4,181,009 | |||
|
| |||
Total assets | 2,477,328,471 | |||
|
| |||
Liabilities |
| |||
Payable upon return of securities loaned | 11,533,636 | |||
Payable for investments purchased | 357 | |||
Advisory fee payable (Note 4) | 221,855 | |||
Custodian fees payable (Note 4) | 124,907 | |||
Trustees’ fees and expenses payable (Note 5) | 132,449 | |||
Professional fees payable | 28,258 | |||
Printing and postage fees payable | 2,362 | |||
|
| |||
Total liabilities | 12,043,824 | |||
|
| |||
Net Assets | $ | 2,465,284,647 | ||
|
| |||
Cost of Investments: |
| |||
Investments in unaffiliated issuers | $ | 2,206,595,796 | ||
Investments in affiliated issuers | 49,026,983 | |||
|
| |||
Total cost of investments | $ | 2,255,622,779 | ||
|
| |||
Foreign currency, at cost | $ | 3,497,787 | ||
|
| |||
* Includes investments in securities on loan, at value | $ | 19,290,291 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
For the Period Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Interest income | $ | 8,586 | ||
Dividend income – unaffiliated issuers (Note 2) | 50,373,178 | |||
Dividend income – affiliated issuers (Note 2) | 108,048 | |||
Affiliated securities lending income – net (Note 9) | 157,001 | |||
Foreign taxes withheld | (4,395,670 | ) | ||
|
| |||
Total investment income (loss) | 46,251,143 | |||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 1,242,989 | |||
Administration and custody fees | 133,824 | |||
Trustees’ fees and expenses (Note 5) | 168,812 | |||
Professional fees | 38,529 | |||
Printing and postage fees | 856 | |||
Insurance expense | 181 | |||
Miscellaneous expenses | 2,795 | |||
|
| |||
Total expenses | 1,587,986 | |||
|
| |||
Net expenses | 1,587,986 | |||
|
| |||
Net Investment Income (Loss) | 44,663,157 | |||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments – unaffiliated issuers | (375,947 | ) | ||
Foreign currency transactions | 243,027 | |||
Futures contracts | 5,762,817 | |||
|
| |||
Net realized gain (loss) | 5,629,897 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments – unaffiliated issuers | 244,574,097 | |||
Foreign currency transactions | 262,359 | |||
Futures contracts | 103,725 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 244,940,181 | |||
|
| |||
Net realized and unrealized gain (loss) | 250,570,078 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 295,233,235 | ||
|
|
See accompanying notes to financial statements.
15
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Statement of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | For the Period 4/29/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 44,663,157 | $ | 27,767,161 | ||||
Net realized gain (loss) | 5,629,897 | (3,801,537 | ) | |||||
Net change in unrealized appreciation/depreciation | 244,940,181 | (37,745,625 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 295,233,235 | (13,780,001 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 319,534,547 | 1,989,271,659 | ||||||
In-kind subscriptions (Note 1) | – | 31,466,206 | ||||||
Withdrawals | (130,547,813 | ) | (25,893,186 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | 188,986,734 | 1,994,844,679 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 484,219,969 | 1,981,064,678 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,981,064,678 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,465,284,647 | $ | 1,981,064,678 | ||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
The following table includes selected supplemental data and ratios to average net assets:
Six Months Ended 6/30/17 (Unaudited) | For the Period 4/29/16* - 12/31/16 | |||||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 2,465,285 | $ | 1,981,065 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.14 | %(a) | 0.15 | %(a) | ||||
Net investment income (loss) | 3.95 | %(a) | 2.57 | %(a) | ||||
Total return(b) | 13.96 | % | 1.00 | % | ||||
Portfolio turnover rate | 3 | %(c) | 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 is not indicative of future results. |
(c) | Not annualized. |
See accompanying notes to financial statements.
17
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 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 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 Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 (“NAV”) 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 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.
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 an 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 |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Portfolio’s Schedule of Investments.
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
The Portfolio had no material transfers between levels for the six months ended June 30, 2017.
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 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 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 Portfolio within the Trust.
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
3. | Derivative Financial Instruments |
Futures Contracts
The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2017, the Portfolio entered into futures contracts for cash equitization, return enhancement and to facilitate daily liquidity.
The following summarizes the value of the Portfolio’s derivative instruments as of June 30, 2017 and the related location in the accompanying Statement of Assets, 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) | $ | – | $ | – | $ | – | $ | (101,133 | ) | $ | – | $ | (101,133 | ) |
(a) | Unrealized depreciation on open futures contracts. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Futures Contracts | $ | – | $ | – | $ | – | $ | 5,762,817 | $ | – | $ | 5,762,817 |
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 | $ | – | $ | – | $ | – | $ | 103,725 | $ | – | $ | 103,725 |
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, Sub-Administrator and Custodian 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 | $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 – Securities Lending
State Street, an affiliate of the Portfolio, acts as the securities lending agent for the Portfolio, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.
In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested person” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars. The Portfolio has not made any payments to the Independent Trustees during the period ended June 30, 2017.
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2017, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street International Developed Equity Index Portfolio | $ | 307,330,550 | $ | 73,759,830 |
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 respective 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. As of December 31, 2017, 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.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
As of June 30, 2017, 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 International Developed Equity Index Portfolio | $ | 2,248,427,650 | $ | 265,857,871 | $ | 63,067,367 | $ | 202,790,504 |
8. | Securities Lending |
The Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.
The Portfolio will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolio may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Portfolio will bear the risk of loss of any cash collateral that it may invest. The Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.
The market value of securities on loan as of June 30, 2017, and the value of the invested cash collateral are disclosed in the Portfolio’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio, and the Portfolio does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolio’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:
State Street International Developed Equity Index Portfolio
Remaining Contractual Maturity of the Agreements As of June 30, 2017 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 11,533,636 | $ | – | $ | – | $ | – | $ | 11,533,636 | ||||||||||
Total Borrowings | $ | 11,533,636 | $ | – | $ | – | $ | – | $ | 11,533,636 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. |
| $ | 11,533,636 |
9. | 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 October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of June 30, 2017.
10. | Risks |
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
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.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
11. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Portfolio, 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 January 1, 2017 to June 30, 2017.
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 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 International Developed Equity Index Portfolio | 0.14 | % | $ | 1,139.60 | $ | 0.74 | $ | 1,024.10 | $ | 0.70 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (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. 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.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street International Developed Equity Index Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes: |
• | Comparisons of the State Street Hedged International Developed Equity Index Fund’s (the “HIDE Fund”) performance over the one-year period ended December 31, 2016, to the |
1 | Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the State Street International Developed Equity Index Fund’s (the “Feeder Fund”, and together with the HIDE Fund, the “Funds”) 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”); |
• | A chart showing the HIDE Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past two calendar years; and |
• | Comparisons of the Feeder Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the HIDE Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
• | 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 provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent, fund accountant and securities lending agent of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, transfer agent and securities lending agent for the Portfolio, with respect to its operations relating to the Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
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 Portfolio.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Portfolio’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.
Portfolio Performance
The Board considered the Portfolio’s performance by evaluating the performance of the HIDE Fund. The Board compared the HIDE Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge.
The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Feeder Fund, net of waivers. As part of its review, the Board considered the Feeder Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Feeder Fund. The Board also considered the comparability of the fees charged and the services provided to the Feeder Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Portfolio to limit the total expenses borne by shareholders of the Feeder Fund. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:
The Board considered the investment advisory fee for the State Street International Developed Equity Index Portfolio in the context of its overall master-feeder arrangement with the State Street International Developed Equity Index Fund. The Board considered that the actual management fee for the State Street International Developed Equity Index Fund was below the median of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Feeder Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Feeder Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio 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 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 Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
Michael F. Holland
Michael A. Jessee
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator and Transfer Agent of the Portfolio
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02119
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
SSIITHIDESAR |
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
3 | ||||
4 | ||||
6 | ||||
10 | ||||
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 Liquid Reserves Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 2) | $ | 10,236,294,210 | ||
Receivable for fund shares sold | 100 | |||
|
| |||
Total assets | 10,236,294,310 | |||
|
| |||
Liabilities | ||||
Due to custodian (Note 3) | 550 | |||
Administration fees payable (Note 3) | 422,516 | |||
Shareholder servicing fee payable (Note 3) | 215,057 | |||
Distribution fees payable (Note 3) | 40,039 | |||
Transfer agent fees payable (Note 3) | 326,241 | |||
Distribution payable | 1,060,635 | |||
Registration and filing fees payable | 26,669 | |||
Professional fees payable | 18,310 | |||
Printing fees payable | 86,817 | |||
Accrued expenses and other liabilities | 312,307 | |||
|
| |||
Total liabilities | 2,509,141 | |||
|
| |||
Net Assets | $ | 10,233,785,169 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 10,232,565,123 | ||
Undistributed (distribution in excess of) net investment income (loss) | 99,748 | |||
Accumulated net realized gain (loss) on investments | 331,452 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 788,846 | |||
|
| |||
Net Assets | $ | 10,233,785,169 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Statement of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
Premier Class | ||||
Net assets | $ | 7,960,367,106 | ||
Shares outstanding | 7,959,948,160 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0001 | ||
|
| |||
Investment Class | ||||
Net assets | $ | 5,577,314 | ||
Shares outstanding | 5,577,316 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0000 | ||
|
| |||
Administration Class | ||||
Net assets | $ | 1,185,896,108 | ||
Shares outstanding | 1,185,824,457 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0001 | ||
|
| |||
Trust Class | ||||
Net assets | $ | 1,081,944,641 | ||
Shares outstanding | 1,081,880,534 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0001 | ||
|
| |||
Cost of Investments: | ||||
Investments in corresponding Portfolio | $ | 10,235,505,364 | ||
|
|
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 Operations
For the Six Months Ended June 30, 2017 (Unaudited)
Income and Expenses Allocated from Portfolio |
| |||
Interest income allocated from Portfolio (Note 2) | $ | 48,226,131 | ||
Expenses allocated from Portfolio (Note 2) | (2,954,477 | ) | ||
|
| |||
Total investment income (loss) allocated from Portfolio | 45,271,654 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | ||||
Premier Class | 1,861,277 | |||
Investment Class | 1,385 | |||
Administration Class | 231,856 | |||
Trust Class | 283,150 | |||
Shareholder servicing fees – (Note 3) | ||||
Investment Class | 6,920 | |||
Administration Class | 927,423 | |||
Trust Class | 328,454 | |||
Distribution fees (Note 3) | ||||
Investment Class | 2,767 | |||
Administration Class | 231,856 | |||
Custodian fees (Note 3) | 8,565 | |||
Transfer agent fees (Note 3) | 192,965 | |||
Registration and filing fees | 37,032 | |||
Professional fees | 15,707 | |||
Printing fees | 49,150 | |||
Insurance expense | 158,199 | |||
Miscellaneous expenses | 104,039 | |||
|
| |||
Total expenses | 4,440,745 | |||
|
| |||
Net Investment Income (Loss) | 40,830,909 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | 18,926 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments allocated from Portfolio | (11,805 | ) | ||
|
| |||
Net Realized and Unrealized Gain (Loss) | 7,121 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 40,838,030 | ||
|
|
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
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 40,830,909 | $ | 153,171,976 | ||||
Net realized gain (loss) | 18,926 | 312,526 | ||||||
Net change in unrealized appreciation/depreciation | (11,805 | ) | 800,651 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 40,838,030 | 154,285,153 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (33,147,035 | ) | (143,145,124 | ) | ||||
Investment Class | (14,892 | ) | (158,048 | ) | ||||
Class M(b) | – | (5,299,279 | ) | |||||
Administration Class | (2,961,686 | ) | (1,022,962 | ) | ||||
Trust Class | (4,707,296 | ) | (3,546,563 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (40,830,909 | ) | (153,171,976 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 36,696,317,308 | 251,473,026,109 | ||||||
Reinvestment of distributions | 30,106,807 | 120,231,866 | ||||||
Shares redeemed | (35,021,426,257 | ) | (290,546,116,225 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 1,704,997,858 | (38,952,858,250 | ) | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | – | 516,566,534 | ||||||
Reinvestment of distributions | 15 | 36,115 | ||||||
Shares redeemed | (4,790 | ) | (996,313,730 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (4,775 | ) | (479,711,081 | ) | ||||
|
|
|
| |||||
Class M(b) | ||||||||
Shares sold | – | 8,968,030,576 | ||||||
Reinvestment of distributions | – | 5,299,141 | ||||||
Shares redeemed | – | (10,428,845,893 | ) | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | – | (1,455,516,176 | ) | |||||
|
|
|
| |||||
Administration Class | ||||||||
Shares sold | 4,856,617,277 | 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 | 1,436,863 | 485,658 | ||||||
Shares redeemed | (4,470,615,113 | ) | (5,628,620,190 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 387,439,027 | 798,358,406 | ||||||
|
|
|
| |||||
Trust Class | ||||||||
Shares sold | 3,560,754,980 | 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 | 4,073,520 | 3,491,765 | ||||||
Shares redeemed | (3,694,098,098 | ) | (7,459,166,451 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (129,269,598 | ) | 1,210,981,580 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 1,963,162,512 | (38,878,745,521 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 1,963,169,633 | (38,877,632,344 | ) | |||||
|
|
|
| |||||
Net Assets at Beginning of Period | 8,270,615,536 | 47,148,247,880 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 10,233,785,169 | $ | 8,270,615,536 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 99,748 | $ | 99,748 | ||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Statements of Changes in Net Assets — (continued)
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 36,692,611,224 | 251,471,826,468 | ||||||
Reinvestment of distributions | 30,103,797 | 120,231,263 | ||||||
Shares redeemed | (35,017,826,966 | ) | (290,544,374,626 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 1,704,888,055 | (38,952,316,895 | ) | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | – | 516,587,780 | ||||||
Reinvestment of distributions | 15 | 36,115 | ||||||
Shares redeemed | (4,790 | ) | (996,313,195 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (4,775 | ) | (479,689,300 | ) | ||||
|
|
|
| |||||
Class M(b) | ||||||||
Shares sold | – | 8,968,049,339 | ||||||
Reinvestment of distributions | – | 5,299,142 | ||||||
Shares redeemed | – | (10,428,845,893 | ) | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | – | (1,455,497,412 | ) | |||||
|
|
|
| |||||
Administration Class | ||||||||
Shares sold | 4,856,161,777 | 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 | 1,436,719 | 485,647 | ||||||
Shares redeemed | (4,470,188,286 | ) | (5,628,732,238 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 387,410,210 | 798,414,247 | ||||||
|
|
|
| |||||
Trust Class | ||||||||
Shares sold | 3,560,372,740 | 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 | 4,073,041 | 3,491,629 | ||||||
Shares redeemed | (3,693,718,442 | ) | (7,458,856,600 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (129,272,661 | ) | 1,211,153,195 | |||||
|
|
|
|
(a) | For Administration Class and Trust Class shares, data is for the period August 29, 2016 (inception date) through December 31, 2016. |
(b) | Class M Shares liquidated on September 30, 2016. |
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)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0044 | 0.0045 | 0.0012 | (b) | 0.0008 | (b) | 0.0010 | (b) | 0.0020 | (b) | ||||||||||||||
Net realized gain (loss) | – | 0.0001 | 0.0000 | (c) | (0.0001 | ) | 0.0000 | (c) | 0.0000 | (c) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.0044 | 0.0046 | 0.0012 | 0.0007 | 0.0010 | 0.0020 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (0.0044 | ) | (0.0045 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | ||||||||||||
Net realized gains | – | – | – | – | (0.0000 | )(c) | (0.0000 | )(c) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.0044 | ) | (0.0045 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 1.0001 | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 0.45 | % | 0.45 | % | 0.12 | % | 0.07 | % | 0.10 | % | 0.20 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 7,960,367 | $ | 6,255,384 | $ | 45,207,442 | $ | 37,932,781 | $ | 29,850,029 | $ | 24,408,802 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Total expenses | 0.12 | %(e) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||||
Net investment income (loss) | 0.89 | %(e) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss) | 0.0027 | 0.0010 | 0.0000 | (b)(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | ||||||||||||||
Net realized gain (loss) | – | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.0027 | 0.0010 | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (0.0027 | ) | (0.0010 | ) | – | – | (0.0000 | )(c) | (0.0000 | )(c) | ||||||||||||||
Net realized gains | – | – | – | – | (0.0000 | )(c) | (0.0000 | )(c) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | (0.0027 | ) | (0.0010 | ) | – | – | (0.0000 | )(c) | (0.0000 | )(c) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(d) | 0.27 | % | 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) | $ | 5,577 | $ | 5,582 | $ | 485,292 | $ | 726,910 | $ | 1,013,152 | $ | 961,168 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.47 | %(f) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Net expenses | 0.47 | %(f) | 0.46 | % | 0.24 | % | 0.19 | % | 0.22 | % | 0.32 | % | ||||||||||||
Net investment income (loss) | 0.54 | %(f) | 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) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | 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)
Administration Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 8/29/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
|
|
|
| |||||
Income (Loss) From Investment Operations: | ||||||||
Net investment income (loss) | 0.0032 | 0.0008 | ||||||
Net realized gain (loss) | 0.0001 | 0.0000 | (b) | |||||
|
|
|
| |||||
Total from investment operations | 0.0033 | 0.0008 | ||||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Net investment income | (0.0032 | ) | (0.0008 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 1.0001 | $ | 1.0000 | ||||
|
|
|
| |||||
Total return(c) | 0.33 | % | 0.08 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 1,185,896 | $ | 798,447 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.37 | %(d) | 0.38 | %(d) | ||||
Net investment income (loss) | 0.64 | %(d) | 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 is 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
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Trust Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 8/29/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
|
|
|
| |||||
Income (Loss) From Investment Operations: | ||||||||
Net investment income (loss) | 0.0041 | 0.0015 | ||||||
Net realized and unrealized gain (loss) | 0.0001 | 0.0000 | (b) | |||||
|
|
|
| |||||
Total from investment operations | 0.0042 | 0.0015 | ||||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Net investment income | (0.0041 | ) | (0.0015 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 1.0001 | $ | 1.0000 | ||||
|
|
|
| |||||
Total return(c) | 0.42 | % | 0.15 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 1,081,945 | $ | 1,211,202 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.18 | %(d) | 0.19 | %(d) | ||||
Net investment income (loss) | 0.83 | %(d) | 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 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 is 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.
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 only the following series (the “Fund”):
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Institutional Liquid Reserves Fund | Administration Class Premier Class Service Class Institutional Class Investment Class Investor Class Trust Class | August 29, 2016 August 12, 2004 Not commenced Not commenced October 15, 2007 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 Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (100.00% at June 30, 2017). 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.
The Fund uses a floating rate 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 has permitted to impose a liquidity fee of no more than 2% on the value redeemed and/or temporarily 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 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.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 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 summary of the inputs used for the Portfolio, as of June 30, 2017, 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.
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
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 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 may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended June 30, 2017, 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 June 30, 2017, 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 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.
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State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.
Distribution Fees
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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 services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
During the period ended June 30, 2017, the Fund paid $234,623 to SSGA FD under the Plan.
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 June 30, 2017, SSGA FD paid $9,678 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 Investment Class shares, Administration Class shares and Trust Class shares, respectively. During the period ended June 30, 2017, the Fund’s Investment Class shares, Administration Class shares and Trust Class shares paid SSGA FD $6,920, $927,423 and $328,454, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.
Due to Custodian
In certain circumstances, the Fund 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 Fund. The State Street Institutional Liquid Reserves Fund had cash overdraft related to expense payments.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems Inc., and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
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State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. As of December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2017, 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 | $ | 10,235,505,364 | $ | 788,846 | $ | – | $ | 788,846 |
6. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to counterparty risk in the event that an issuer
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State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 Combination | |||||||||||||
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 |
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.
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State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. | New Accounting Pronouncement |
In October 2016, the SEC adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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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Other Information
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Institutional Liquid Reserves Fund | ||||||||||||||||||||
Premier Class | 0.12 | 1,004.50 | 0.60 | 1,024.20 | 0.60 | |||||||||||||||
Investment Class | 0.47 | 1,002.70 | 2.33 | 1,022.50 | 2.36 | |||||||||||||||
Administration Class | 0.37 | 1,003.30 | 1.84 | 1,023.00 | 1.86 | |||||||||||||||
Trust Class | 0.18 | 1,004.20 | 0.89 | 1,023.90 | 0.90 |
(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 181, then divided by 365. |
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Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
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. 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 Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Institutional Liquid Reserves Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
(the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and shareholder servicer for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory
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State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
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State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
Money Market Funds, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Liquid Reserves Fund. The Board considered that the Fund (a) equaled the median of its Performance Group for the 1-, 3- and 10-year periods and its Lipper Index for the 1-year period, and (b) outperformed the median of its Performance Group for the 5-year period, its Lipper Index for the 3-, 5- and 10-year periods and the median of it Performance Universe for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
State Street Institutional Liquid Reserves Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
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State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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.
24
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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 Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Master Funds
State Street Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
12 | ||||
18 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Certificates of Deposit | 32.2 | % | ||
Other Notes | 27.1 | |||
Financial Company Commercial Paper | 17.0 | |||
Asset Backed Commercial Paper | 13.1 | |||
Treasury Repurchase Agreements | 5.6 | |||
Government Agency Repurchase Agreements | 4.2 | |||
Other Commercial Paper | 0.8 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2017 | |||
2 to 30 Days | 53.9 | % | ||
31 to 60 Days | 9.4 | |||
61 to 90 Days | 13.6 | |||
Over 90 Days | 23.1 | |||
Total | 100.0 | % | ||
Average days to maturity | 26 | |||
Weighted average life | 56 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Amount is less than 0.05% of net assets. |
1
Table of Contents
State Street Money Market Portfolio
Schedule of Investments
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
ASSET BACKED COMMERCIAL PAPER – 13.1% | ||||||||||||||||||||
Alpine Securitization Ltd.(a) | 1.220 | % | 08/01/2017 | 08/01/2017 | $ | 50,000,000 | $ | 49,944,844 | ||||||||||||
Alpine Securitization Ltd.(a) | 1.250 | % | 08/31/2017 | 08/31/2017 | 50,000,000 | 49,891,328 | ||||||||||||||
Antalis SA(a) | 1.200 | % | 07/07/2017 | 07/07/2017 | 65,000,000 | 64,984,960 | ||||||||||||||
Antalis SA(a) | 1.250 | % | 09/06/2017 | 09/06/2017 | 40,000,000 | 39,904,196 | ||||||||||||||
Atlantic Asset Securitization LLC(a) | 1.040 | % | 07/03/2017 | 07/03/2017 | 100,000,000 | 99,990,042 | ||||||||||||||
Bennington Stark Capital Co. LLC(a) | 1.250 | % | 07/17/2017 | 07/17/2017 | 75,000,000 | 74,957,323 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(a) | 1.250 | % | 09/06/2017 | 09/06/2017 | 85,000,000 | 84,796,416 | ||||||||||||||
Collateralized Commercial Paper Co. LLC, 1 Month USD LIBOR + 0.31%(b) | 1.526 | % | 07/26/2017 | 10/26/2017 | 100,000,000 | 100,077,388 | ||||||||||||||
Collateralized Commercial Paper Co. LLC, 1 Month USD LIBOR + 0.47%(b) | 1.556 | % | 07/06/2017 | 07/06/2017 | 100,000,000 | 100,006,606 | ||||||||||||||
Crown Point Cap Co.(a) | 1.320 | % | 09/27/2017 | 09/27/2017 | 75,000,000 | 74,760,998 | ||||||||||||||
Kells Funding LLC(a) | 1.120 | % | 07/24/2017 | 07/24/2017 | 75,000,000 | 74,940,300 | ||||||||||||||
Kells Funding LLC(a) | 1.200 | % | 09/08/2017 | 09/08/2017 | 50,000,000 | 49,879,444 | ||||||||||||||
Liberty Funding LLC(a) | 1.240 | % | 09/21/2017 | 09/21/2017 | 45,000,000 | 44,866,889 | ||||||||||||||
Liberty Funding LLC(a) | 1.250 | % | 09/27/2017 | 09/27/2017 | 48,500,000 | 48,345,446 | ||||||||||||||
LMA SA(a) | 1.040 | % | 07/03/2017 | 07/03/2017 | 100,000,000 | 99,990,125 | ||||||||||||||
LMA SA(a) | 1.350 | % | 10/03/2017 | 10/03/2017 | 50,000,000 | 49,828,604 | ||||||||||||||
Matchpoint Finance PLC(a) | 1.210 | % | 09/01/2017 | 09/01/2017 | 50,000,000 | 49,882,487 | ||||||||||||||
Nieuw Amsterdam Receivables Corp.(a) | 1.270 | % | 09/15/2017 | 09/15/2017 | 85,000,000 | 84,764,198 | ||||||||||||||
Victory Receivables Corp.(a) | 1.330 | % | 09/15/2017 | 09/15/2017 | 100,000,000 | 99,684,086 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL ASSET BACKED COMMERCIAL PAPER |
| 1,341,495,680 | ||||||||||||||||||
|
| |||||||||||||||||||
CERTIFICATES OF DEPOSIT – 32.2% | ||||||||||||||||||||
Bank of Montreal(a) | 1.220 | % | 09/15/2017 | 09/15/2017 | 50,000,000 | 49,993,820 | ||||||||||||||
Bank of Montreal(a) | 1.110 | % | 08/09/2017 | 08/09/2017 | 50,000,000 | 49,992,122 | ||||||||||||||
Bank of Montreal, 1 Month USD LIBOR + 0.13%(b) | 1.206 | % | 07/03/2017 | 11/03/2017 | 75,000,000 | 75,009,199 | ||||||||||||||
Bank of Montreal(a) | 1.310 | % | 10/02/2017 | 10/02/2017 | 42,000,000 | 42,002,837 | ||||||||||||||
Bank of Montreal, 3 Month USD LIBOR + 0.17%(b) | 1.356 | % | 08/23/2017 | 05/23/2018 | 80,000,000 | 80,039,110 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 1.130 | % | 07/05/2017 | 07/05/2017 | 50,000,000 | 49,999,610 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 1.240 | % | 09/11/2017 | 09/11/2017 | 75,000,000 | 75,000,119 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 1.250 | % | 09/21/2017 | 09/21/2017 | 100,000,000 | 99,999,271 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 1.260 | % | 10/10/2017 | 10/10/2017 | 50,000,000 | 49,997,032 | ||||||||||||||
BNP Paribas(a) | 1.280 | % | 10/02/2017 | 10/02/2017 | 100,000,000 | 100,007,970 | ||||||||||||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.29%(b) | 1.341 | % | 07/03/2017 | 12/01/2017 | 50,000,000 | 50,047,977 | ||||||||||||||
Citibank NA(a) | 1.220 | % | 09/15/2017 | 09/15/2017 | 75,000,000 | 74,993,293 | ||||||||||||||
Citibank NA(a) | 1.240 | % | 10/06/2017 | 10/06/2017 | 50,000,000 | 49,991,587 | ||||||||||||||
Citibank NA(a) | 1.300 | % | 10/03/2017 | 10/03/2017 | 75,000,000 | 75,000,555 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
CERTIFICATES OF DEPOSIT – (continued) | ||||||||||||||||||||
Citibank NA(a) | 1.300 | % | 10/12/2017 | 10/12/2017 | $ | 50,000,000 | $ | 49,998,610 | ||||||||||||
Credit Agricole Corporate & Investment | 1.000 | % | 07/05/2017 | 07/05/2017 | 100,000,000 | 99,997,307 | ||||||||||||||
Credit Agricole Corporate & Investment | 1.240 | % | 09/21/2017 | 09/21/2017 | 75,000,000 | 74,998,354 | ||||||||||||||
Credit Suisse(a) | 1.150 | % | 07/19/2017 | 07/19/2017 | 33,000,000 | 32,999,400 | ||||||||||||||
Credit Suisse(a) | 1.150 | % | 07/27/2017 | 07/27/2017 | 34,000,000 | 33,998,790 | ||||||||||||||
Credit Suisse(a) | 1.150 | % | 07/28/2017 | 07/28/2017 | 33,000,000 | 32,998,731 | ||||||||||||||
ING Bank NV(a) | 1.210 | % | 07/06/2017 | 07/06/2017 | 55,000,000 | 55,000,000 | ||||||||||||||
ING Bank NV(a) | 1.230 | % | 08/07/2017 | 08/07/2017 | 115,000,000 | 115,000,000 | ||||||||||||||
ING Bank NV, 1 Month USD LIBOR + 0.23%(b) | 1.306 | % | 07/04/2017 | 11/06/2017 | 53,000,000 | 53,000,000 | ||||||||||||||
ING Bank NV, 1 Month USD LIBOR + 0.26%(b) | 1.474 | % | 07/21/2017 | 10/16/2017 | 51,000,000 | 51,000,000 | ||||||||||||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.15%(b) | 1.226 | % | 07/03/2017 | 11/03/2017 | 75,000,000 | 75,016,117 | ||||||||||||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.45%(b) | 1.662 | % | 07/20/2017 | 07/20/2017 | 75,000,000 | 75,020,148 | ||||||||||||||
Mizuho Bank Ltd.(a) | 1.120 | % | 07/05/2017 | 07/05/2017 | 75,000,000 | 74,999,415 | ||||||||||||||
Nordea Bank AB(a) | 0.990 | % | 07/03/2017 | 07/03/2017 | 75,000,000 | 74,998,799 | ||||||||||||||
Norinchukin Bank(a) | 1.200 | % | 08/02/2017 | 08/02/2017 | 115,000,000 | 115,000,834 | ||||||||||||||
Norinchukin Bank(a) | 1.220 | % | 09/20/2017 | 09/20/2017 | 75,000,000 | 74,995,228 | ||||||||||||||
Rabobank Nederland NV(a) | 1.240 | % | 10/05/2017 | 10/05/2017 | 18,000,000 | 17,998,884 | ||||||||||||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.13%(b) | 1.358 | % | 09/12/2017 | 06/12/2018 | 75,000,000 | 74,996,988 | ||||||||||||||
Royal Bank of Canada, 1 Month USD LIBOR + 0.35%(b) | 1.434 | % | 07/07/2017 | 03/07/2018 | 100,000,000 | 100,120,132 | ||||||||||||||
Royal Bank of Canada, 1 Month USD LIBOR + 0.24%(b) | 1.449 | % | 07/19/2017 | 04/19/2018 | 72,000,000 | 72,029,648 | ||||||||||||||
Royal Bank of Canada, 1 Month USD LIBOR + 0.44%(b) | 1.516 | % | 07/05/2017 | 08/04/2017 | 100,000,000 | 100,042,593 | ||||||||||||||
Royal Bank of Canada, 1 Month USD LIBOR + 0.46%(b) | 1.676 | % | 07/24/2017 | 10/24/2017 | 48,000,000 | 48,058,190 | ||||||||||||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.26%(b) | 1.387 | % | 07/13/2017 | 10/13/2017 | 50,000,000 | 50,017,964 | ||||||||||||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.12%(b) | 1.279 | % | 07/17/2017 | 12/15/2017 | 50,000,000 | 50,004,190 | ||||||||||||||
Swedbank AB(a) | 1.110 | % | 07/05/2017 | 07/05/2017 | 100,000,000 | 99,999,416 | ||||||||||||||
Toronto-Dominion Bank(a) | 1.300 | % | 09/28/2017 | 09/28/2017 | 100,000,000 | 100,014,719 | ||||||||||||||
Toronto-Dominion Bank(a) | 1.300 | % | 09/28/2017 | 09/28/2017 | 75,000,000 | 75,011,065 | ||||||||||||||
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.34%(b) | 1.416 | % | 07/03/2017 | 03/05/2018 | 50,000,000 | 50,058,407 | ||||||||||||||
UBS AG(a) | 1.200 | % | 09/06/2017 | 09/06/2017 | 75,000,000 | 74,987,101 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
CERTIFICATES OF DEPOSIT – (continued) | ||||||||||||||||||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.10%(b) | 1.189 | % | 07/10/2017 | 11/09/2017 | $ | 50,000,000 | $ | 50,004,136 | ||||||||||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.12%(b) | 1.329 | % | 07/18/2017 | 10/18/2017 | 67,500,000 | 67,512,439 | ||||||||||||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.46%(b) | 1.546 | % | 07/06/2017 | 08/07/2017 | 150,000,000 | 150,072,748 | ||||||||||||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.46%(b) | 1.577 | % | 07/10/2017 | 08/10/2017 | 104,000,000 | 104,053,435 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT |
| 3,296,078,290 | ||||||||||||||||||
|
| |||||||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – 17.0% | ||||||||||||||||||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.28%(b) | 1.331 | % | 07/03/2017 | 12/01/2017 | 75,000,000 | 75,052,771 | ||||||||||||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.20%(b) | 1.372 | % | 08/21/2017 | 02/21/2018 | 49,000,000 | 49,026,898 | ||||||||||||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.20%(b) | 1.386 | % | 08/23/2017 | 02/23/2018 | 32,000,000 | 32,017,823 | ||||||||||||||
BNP Paribas(a) | 1.150 | % | 07/05/2017 | 07/05/2017 | 125,000,000 | 124,979,445 | ||||||||||||||
Caisse des Depots et Consignations(a) | 1.100 | % | 07/03/2017 | 07/03/2017 | 100,000,000 | 99,991,758 | ||||||||||||||
Caisse des Depots et Consignations(a) | 1.130 | % | 07/25/2017 | 07/25/2017 | 50,000,000 | 49,963,368 | ||||||||||||||
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0.17%(b) | 1.256 | % | 07/03/2017 | 06/01/2018 | 75,000,000 | 75,026,962 | ||||||||||||||
DBS Bank Ltd.(a) | 1.120 | % | 08/01/2017 | 08/01/2017 | 85,000,000 | 84,910,769 | ||||||||||||||
DBS Bank Ltd.(a) | 1.170 | % | 08/24/2017 | 08/24/2017 | 84,038,000 | 83,884,316 | ||||||||||||||
DBS Bank Ltd.(a) | 1.310 | % | 10/10/2017 | 10/10/2017 | 100,000,000 | 99,648,100 | ||||||||||||||
DBS Bank Ltd.(a) | 1.310 | % | 10/12/2017 | 10/12/2017 | 100,000,000 | 99,640,622 | ||||||||||||||
Erste Abwicklungsanstalt(a) | 1.140 | % | 08/16/2017 | 08/16/2017 | 65,000,000 | 64,901,476 | ||||||||||||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.14%(b) | 1.290 | % | 07/07/2017 | 04/06/2018 | 50,000,000 | 50,020,035 | ||||||||||||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.37%(b) | 1.586 | % | 07/24/2017 | 10/23/2017 | 75,000,000 | 75,069,097 | ||||||||||||||
Nordea Bank AB(a) | 1.215 | % | 09/12/2017 | 09/12/2017 | 80,000,000 | 79,800,365 | ||||||||||||||
NRW.BANK(a) | 1.045 | % | 07/10/2017 | 07/10/2017 | 100,000,000 | 99,967,944 | ||||||||||||||
NRW.BANK(a) | 1.070 | % | 07/20/2017 | 07/20/2017 | 50,000,000 | 49,967,556 | ||||||||||||||
NRW.BANK(a) | 1.090 | % | 07/18/2017 | 07/18/2017 | 75,000,000 | 74,956,312 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 1.150 | % | 07/28/2017 | 07/28/2017 | 75,000,000 | 74,929,591 | ||||||||||||||
Toronto-Dominion Bank(a) | 1.030 | % | 07/11/2017 | 07/11/2017 | 75,000,000 | 74,972,408 | ||||||||||||||
Toronto-Dominion Bank(a) | 1.110 | % | 07/06/2017 | 07/06/2017 | 125,000,000 | 124,974,959 | ||||||||||||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.23%(b) | 1.439 | % | 07/13/2017 | 04/13/2018 | 53,000,000 | 53,034,858 | ||||||||||||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.36%(b) | 1.572 | % | 07/20/2017 | 08/18/2017 | 40,000,000 | 40,019,739 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER |
| 1,736,757,172 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
4
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
OTHER COMMERCIAL PAPER – 0.8% | ||||||||||||||||||||
General Electric Co.(a) | 1.080 | % | 07/03/2017 | 07/03/2017 | $ | 50,000,000 | $ | 49,995,584 | ||||||||||||
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.15%(b) | 1.239 | % | 07/10/2017 | 03/05/2018 | 33,000,000 | 32,987,901 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER COMMERCIAL PAPER |
| 82,983,485 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER NOTES – 27.1% | ||||||||||||||||||||
Bank of America NA, 1 Month USD LIBOR + 0.14%(b) | 1.191 | % | 07/03/2017 | 01/02/2018 | 74,000,000 | 73,992,748 | ||||||||||||||
Bank of America NA, 1 Month USD LIBOR + 0.14%(b) | 1.200 | % | 07/05/2017 | 01/04/2018 | 50,000,000 | 49,997,523 | ||||||||||||||
Bank of America NA, 1 Month USD LIBOR + 0.12%(b) | 1.329 | % | 07/17/2017 | 11/17/2017 | 50,000,000 | 49,998,180 | ||||||||||||||
Bank of America NA, 1 Month USD LIBOR + 0.38%(b) | 1.497 | % | 07/05/2017 | 07/05/2017 | 75,000,000 | 75,000,000 | ||||||||||||||
Bank of Nova Scotia(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 225,000,000 | 225,000,000 | ||||||||||||||
BNP Paribas(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 190,000,000 | 190,000,000 | ||||||||||||||
Credit Agricole Corporate & Investment Bank(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 47,425,000 | 47,425,000 | ||||||||||||||
Lloyds Bank PLC(a) | 1.050 | % | 07/03/2017 | 07/03/2017 | 325,000,000 | 325,000,000 | ||||||||||||||
National Australia Bank Ltd(a) | 1.050 | % | 07/03/2017 | 07/03/2017 | 150,000,000 | 150,000,000 | ||||||||||||||
National Bank of Canada(a) | 1.050 | % | 07/03/2017 | 07/03/2017 | 200,000,000 | 200,000,000 | ||||||||||||||
National Bank of Canada(a) | 1.130 | % | 07/06/2017 | 07/06/2017 | 150,000,000 | 150,000,000 | ||||||||||||||
Natixis North America LLC(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 400,000,000 | 400,000,000 | ||||||||||||||
Nordea Bank Finland PLC(a) | 1.070 | % | 07/03/2017 | 07/03/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 189,000,000 | 189,000,000 | ||||||||||||||
Svenska Handelsbanken AB(a) | 1.060 | % | 07/03/2017 | 07/03/2017 | 350,000,000 | 350,000,000 | ||||||||||||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.25%(b) | 1.468 | % | 09/05/2017 | 12/05/2017 | 50,000,000 | 50,042,262 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER NOTES |
| 2,775,455,713 | ||||||||||||||||||
|
| |||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 4.2% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 7.125% due 01/15/2030, a U.S. Treasury Inflation Index Note, 0.250% due 01/15/2025, and U.S. Treasury Strips, 0.000% due 11/15/2017 – 02/15/2026, valued at $82,620,011); expected proceeds $81,007,358 | 1.090 | % | 07/03/2017 | 07/03/2017 | 81,000,000 | 81,000,000 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
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 06/30/2017 (collateralized by Federal National Mortgage Associations, 3.000% – 5.000% due 05/05/2029 – 06/01/2047, valued at $19,380,001); expected proceeds $19,001,678 | 1.060 | % | 07/03/2017 | 07/03/2017 | $ | 19,000,000 | $ | 19,000,000 | ||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by Federal National Mortgage Associations, 2.000% – 10.000% due 10/01/2017 – 04/01/2050, a Government National Mortgage Association, 4.000% due 02/20/2047, U.S. Treasury Bills, 0.000% due 07/13/2017 – 08/31/2017, and a U.S. Treasury Bond, 2.500% due 05/15/2046, valued at $67,322,592); expected proceeds $66,006,160 | 1.120 | % | 07/03/2017 | 07/03/2017 | 66,000,000 | 66,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 1.000% due 05/21/2018, a U.S. Treasury Bill, 0.000% due 11/09/2017, U.S. Treasury Bonds, 3.375% – 3.625% due 02/15/2044 – 05/15/2044, and a U.S. Treasury Strip, 0.000% due 05/15/2023, valued at $9,180,000); expected proceeds $9,000,840 | 1.120 | % | 07/03/2017 | 07/03/2017 | 9,000,000 | 9,000,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Banks, 1.000% – 1.690% due 09/26/2019 – 06/29/2020, a Federal Home Loan Discount Note, 0.000% due 04/10/2018, a U.S. Treasury Bill, 0.000% due 07/20/2017, a U.S. Treasury Bond, 3.000% due 05/15/2045, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, U.S. Treasury Inflation Index Notes, 0.375% – 0.625% due 07/15/2021 – 07/15/2025, and U.S. Treasury Notes, 1.075% – 1.081% due 10/31/2017 – 07/31/2018, valued at $255,023,870); expected proceeds $250,023,333 | 1.120 | % | 07/03/2017 | 07/03/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 425,000,000 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
6
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 5.6% | ||||||||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 1.125% due 05/31/2019, valued at $55,080,057); expected proceeds $54,004,860 | 1.080 | % | 07/03/2017 | 07/03/2017 | $ | 54,000,000 | $ | 54,000,000 | ||||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 4.375% due 05/15/2041, valued at $521,043,430); expected proceeds $521,043,417 | 1.000 | % | 07/03/2017 | 07/03/2017 | 521,000,000 | 521,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 575,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 100.0%(c) |
| 10,232,770,340 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0%(d) |
| 3,525,732 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 10,236,296,072 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017. |
(c) | Also represents the cost for federal tax purposes. |
(d) | Amount is less than 0.05% of net assets. |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Asset Backed Commercial Paper | $ | – | $ | 1,341,495,680 | $ | – | $ | 1,341,495,680 | ||||||||
Certificates of Deposit | – | 3,296,078,290 | – | 3,296,078,290 | ||||||||||||
Financial Company Commercial Paper | – | 1,736,757,172 | – | 1,736,757,172 | ||||||||||||
Other Commercial Paper | – | 82,983,485 | – | 82,983,485 | ||||||||||||
Other Notes | – | 2,775,455,713 | – | 2,775,455,713 | ||||||||||||
Government Agency Repurchase Agreements | – | 425,000,000 | – | 425,000,000 | ||||||||||||
Treasury Repurchase Agreements | 575,000,000 | 575,000,000 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 10,232,770,340 | $ | – | $ | 10,232,770,340 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
Table of Contents
State Street Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investments in securities, at value (Note 2) | $ | 9,232,770,340 | ||
Repurchase agreements, at value | 1,000,000,000 | |||
|
| |||
Total investments | 10,232,770,340 | |||
Cash | 368 | |||
Interest receivable (Note 2) | 4,886,413 | |||
|
| |||
Total assets | 10,237,657,121 | |||
|
| |||
Liabilities |
| |||
Advisory fee payable (Note 4) | 415,300 | |||
Administration, custody and transfer agent fees payable (Note 4) | 688,097 | |||
Trustees’ fees and expenses (Note 5) | 47,142 | |||
Professional fees payable | 96,442 | |||
Printing fees payable | 20,534 | |||
Accrued expenses and other liabilities | 93,534 | |||
|
| |||
Total liabilities | 1,361,049 | |||
|
| |||
Net Assets | $ | 10,236,296,072 | ||
|
| |||
Cost of Investments: |
| |||
Investments in securities | $ | 9,231,981,494 | ||
Repurchase agreements | 1,000,000,000 | |||
|
| |||
Total cost of investments | $ | 10,231,981,494 | ||
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Money Market Portfolio
Statement of Operations
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Interest income | $ | 48,226,138 | ||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 2,377,235 | |||
Administration, custodian and transfer agent fees (Note 4) | 483,632 | |||
Professional fees | 61,531 | |||
Printing fees | 11,251 | |||
Insurance expense | 6,468 | |||
Miscellaneous expenses | 14,360 | |||
|
| |||
Total expenses | 2,954,477 | |||
|
| |||
Net Investment Income (Loss) | 45,271,661 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments | 18,924 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (11,805 | ) | ||
|
| |||
Net realized and unrealized gain (loss) | 7,119 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 45,278,780 | ||
|
|
See accompanying notes to financial statements.
9
Table of Contents
State Street Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 45,271,661 | $ | 176,501,548 | ||||
Net realized gain (loss) | 18,924 | 313,218 | ||||||
Net change in unrealized appreciation/depreciation | (11,805 | ) | 800,651 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 45,278,780 | 177,615,417 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 11,492,155,298 | 62,887,835,691 | ||||||
Proceeds in connection with Reorganization (Note 8) | – | 8,420,969,389 | ||||||
Withdrawals | (9,573,790,630 | ) | (110,897,624,155 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | 1,918,364,668 | (39,588,819,075 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 1,963,643,448 | (39,411,203,658 | ) | |||||
|
|
|
| |||||
Net Assets at Beginning of period | 8,272,652,624 | 47,683,856,282 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 10,236,296,072 | $ | 8,272,652,624 | ||||
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
State Street Money Market Portfolio
Financial Highlights
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/17 (Unaudited) | 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) | 0.47 | % | 0.51 | % | 0.17 | % | 0.13 | % | 0.15 | % | 0.26 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 10,236,296 | $ | 8,272,653 | $ | 47,683,856 | $ | 40,704,468 | $ | 34,053,304 | $ | 27,508,762 | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Total expenses | 0.06 | %(b) | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | ||||||||||||
Net investment income (loss) | 0.95 | %(b) | 0.49 | % | 0.17 | % | 0.13 | % | 0.15 | % | 0.25 | % |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
11
Table of Contents
State Street Money Market Portfolio
Notes to Financial Statements
June 30, 2017 (Unaudited)
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 June 30, 2017, the Trust consists of six (6) series 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 State Street Money Market Portfolio (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 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 Portfolio’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 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 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.
12
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 an 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 period ended June 30, 2017.
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. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
13
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio.
3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $1,000,000,000 and associated collateral equal to $1,009,649,960.
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.
14
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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.
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 are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the respective 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. As of December 31, 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.
15
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
As of June 30, 2017, 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 Appreciation (Depreciation) | |||||||||||||
State Street Money Market Portfolio | $ | 10,231,981,494 | $ | 1,045,179 | $ | (256,333 | ) | $ | 788,846 |
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, a 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. | 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 received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.
16
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
9. | New Accounting Pronouncement |
In October 2016, the SEC adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
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.
17
Table of Contents
State Street Money Market Portfolio
Other Information
June 30, 2017 (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 January 1, 2017 to June 30, 2017.
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 Money Market Portfolio | 0.06 | % | $ | 1,004.70 | $ | 0.30 | $ | 1,024.50 | $ | 0.30 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
18
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (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 its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. 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.
19
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund (the “Fund”) for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
20
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
21
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.
22
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.
Portfolio Performance
The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:
Money Market Funds and Portfolios, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers,
23
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Liquid Reserves Fund and State Street Money Market Portfolio. The Board considered that the Fund (a) equaled the median of its Performance Group for the 1-, 3- and 10-year periods and its Lipper Index for the 1-year period, and (b) outperformed the median of its Performance Group for the 5-year period, its Lipper Index for the 3-, 5- and 10-year periods and the median of it Performance Universe for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:
State Street Institutional Liquid Reserves Fund and State Street Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their
24
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio 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 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 Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITILRMMSAR |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
3 | ||||
4 | ||||
6 | ||||
12 | ||||
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 U.S. Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investment in corresponding Portfolio, at value (Note 1) | $ | 45,392,931,865 | ||
Receivable for fund shares sold | 175,610 | |||
Receivable from Adviser (Note 3) | 4,087 | |||
|
| |||
Total assets | 45,393,111,562 | |||
|
| |||
Liabilities |
| |||
Payable for fund shares repurchased | 646,670 | |||
Administration fees payable (Note 3) | 1,804,542 | |||
Shareholder servicing fee payable (Note 3) | 611,606 | |||
Distribution fees payable (Note 3) | 171,217 | |||
Transfer agent fees payable (Note 3) | 54,273 | |||
Insurance fees payable | 58 | |||
Distribution payable | 4,445,983 | |||
Registration and filing fees payable | 4,859 | |||
Professional fees payable | 13,825 | |||
Printing fees payable | 2 | |||
Accrued expenses and other liabilities | 201,117 | |||
|
| |||
Total liabilities | 7,954,152 | |||
|
| |||
Net Assets | $ | 45,385,157,410 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 45,385,065,985 | ||
Accumulated net realized gain (loss) on investments | 91,425 | |||
|
| |||
Net Assets | $ | 45,385,157,410 | ||
|
| |||
Premier Class |
| |||
Net assets | $ | 36,483,042,483 | ||
Shares outstanding | 36,483,261,581 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class |
| |||
Net assets | $ | 656,209,654 | ||
Shares outstanding | 656,216,025 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Class M |
| |||
Net assets | $ | 1,517,169,673 | ||
Shares outstanding | 1,517,169,069 | |||
|
| |||
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
Statement of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
Administration Class |
| |||
Net assets | $ | 2,604,320,033 | ||
Shares outstanding | 2,604,448,847 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class |
| |||
Net assets | $ | 273,048,406 | ||
Shares outstanding | 273,048,724 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Class G |
| |||
Net assets | $ | 3,851,367,161 | ||
Shares outstanding | 3,851,375,589 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
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
For the Six Months Ended June 30, 2017 (Unaudited)
Income and Expenses Allocated from Portfolio |
| |||
Interest income allocated from Portfolio (Note 2) | $ | 164,488,195 | ||
Expenses allocated from Portfolio (Note 2) | (14,562,680 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 149,925,515 | |||
|
| |||
Expenses |
| |||
Administration fees (Note 3) | ||||
Premier Class | 9,700,286 | |||
Investment Class | 229,532 | |||
Class M | 187,567 | |||
Administration Class | 733,165 | |||
Investor Class | 60,441 | |||
Class G | 67,169 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 1,147,659 | |||
Administration Class | 2,932,659 | |||
Investor Class | 96,706 | |||
Distribution fees (Note 3) | ||||
Investment Class | 459,064 | |||
Administration Class | 733,165 | |||
Custodian fees (Note 3) | 8,767 | |||
Trustees’ fees and expenses (Note 4) | 8,256 | |||
Transfer agent fees (Note 3) | 65,422 | |||
Registration and filing fees | 740,490 | |||
Professional fees | 10,225 | |||
Insurance expense | 52,143 | |||
Miscellaneous expenses | 108,118 | |||
|
| |||
Total Expenses | 17,340,834 | |||
|
| |||
Net Investment Income (Loss) | 132,584,681 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investment transactions allocated from Portfolio | 15,405 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 132,600,086 | ||
|
|
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
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 132,584,681 | $ | 64,849,745 | ||||
Net realized gain (loss) | 15,405 | 76,020 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 132,600,086 | 64,925,765 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (116,706,031 | ) | (61,763,962 | ) | ||||
Investment Class | (1,150,790 | ) | (24,335 | ) | ||||
Class M | (3,902,816 | ) | (489,149 | ) | ||||
Administration Class | (5,080,222 | ) | (431,978 | ) | ||||
Investor Class | (650,461 | ) | (109,902 | ) | ||||
Class G | (5,094,361 | ) | (2,030,419 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (132,584,681 | ) | (64,849,745 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 150,955,246,370 | 173,548,501,157 | ||||||
Reinvestment of distributions | 102,264,361 | 53,971,307 | ||||||
Shares redeemed | (157,877,214,394 | ) | (143,816,071,101 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (6,819,703,663 | ) | 29,786,401,363 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 3,692,146,473 | 4,647,547,163 | ||||||
Reinvestment of distributions | 286,596 | 5,800 | ||||||
Shares redeemed | (3,939,273,689 | ) | (4,716,057,103 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (246,840,620 | ) | (68,504,140 | ) | ||||
|
|
|
| |||||
Class M | ||||||||
Shares sold | 4,029,237,868 | 2,447,727,590 | ||||||
Reinvestment of distributions | 3,902,848 | 489,155 | ||||||
Shares redeemed | (4,191,712,817 | ) | (772,475,575 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (158,572,101 | ) | 1,675,741,170 | |||||
|
|
|
| |||||
Administration Class | ||||||||
Shares sold | 17,372,308,837 | 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 | 1,292,395 | 112,178 | ||||||
Shares redeemed | (18,192,936,804 | ) | (9,923,026,350 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (819,335,572 | ) | 3,423,652,236 | |||||
|
|
|
| |||||
Investor Class | ||||||||
Shares sold | 905,548,675 | 431,820,425 | ||||||
Reinvestment of distributions | 529,514 | 61,257 | ||||||
Shares redeemed | (863,185,672 | ) | (201,726,040 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 42,892,517 | 230,155,642 | ||||||
|
|
|
|
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
Statements of Changes in Net Assets — (continued)
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Class G | ||||||||
Shares sold | 6,510,079,205 | 1,988,575,206 | ||||||
Reinvestment of distributions | 5,094,388 | 2,030,422 | ||||||
Shares redeemed | (3,245,797,455 | ) | (2,141,555,405 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | 3,269,376,138 | (150,949,777 | ) | |||||
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Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | (4,732,183,301 | ) | 34,896,496,494 | |||||
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Net Increase (Decrease) in Net Assets During the Period | (4,732,167,896 | ) | 34,896,572,514 | |||||
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Net Assets at Beginning of Period | 50,117,325,306 | 15,220,752,792 | ||||||
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Net Assets at End of Period | $ | 45,385,157,410 | $ | 50,117,325,306 | ||||
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Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 150,955,246,370 | 173,548,537,300 | ||||||
Reinvestment of distributions | 102,264,361 | 53,971,307 | ||||||
Shares redeemed | (157,877,214,394 | ) | (143,816,071,101 | ) | ||||
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Net increase (decrease) from share transactions | (6,819,703,663 | ) | 29,786,437,506 | |||||
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Investment Class | ||||||||
Shares sold | 3,692,146,473 | 4,647,491,417 | ||||||
Reinvestment of distributions | 286,596 | 5,800 | ||||||
Shares redeemed | (3,939,273,689 | ) | (4,716,057,102 | ) | ||||
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Net increase (decrease) from share transactions | (246,840,620 | ) | (68,559,885 | ) | ||||
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Class M | ||||||||
Shares sold | 4,029,237,868 | 2,447,727,590 | ||||||
Reinvestment of distributions | 3,902,848 | 489,155 | ||||||
Shares redeemed | (4,191,712,817 | ) | (772,475,575 | ) | ||||
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Net increase (decrease) from share transactions | (158,572,101 | ) | 1,675,741,170 | |||||
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Administration Class | ||||||||
Shares sold | 17,372,308,837 | 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 | 1,292,395 | 112,178 | ||||||
Shares redeemed | (18,192,936,804 | ) | (9,923,148,056 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | (819,335,572 | ) | 3,423,784,418 | |||||
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Investor Class | ||||||||
Shares sold | 905,548,675 | 431,820,990 | ||||||
Reinvestment of distributions | 529,514 | 61,257 | ||||||
Shares redeemed | (863,185,672 | ) | (201,726,040 | ) | ||||
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Net increase (decrease) from share transactions | 42,892,517 | 230,156,207 | ||||||
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Class G | ||||||||
Shares sold | 6,510,079,205 | 1,988,594,244 | ||||||
Reinvestment of distributions | 5,094,388 | 2,030,422 | ||||||
Shares redeemed | (3,245,797,455 | ) | (2,141,555,405 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | 3,269,376,138 | (150,930,739 | ) | |||||
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(a) | For Class M, Administration Class and Investor Class, data is for period November 30, 2016, August 23, 2016 and March 21, 2016, respectively, (inception date) through December 31, 2016. |
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
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0030 | 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) | |||||||||||||||
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Total from investment operations | 0.0030 | 0.0025 | 0.0000 | (c) | (0.0000 | )(c) | 0.0001 | 0.0003 | ||||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0030 | ) | (0.0025 | ) | (0.0000 | )(c) | – | (0.0001 | ) | (0.0003 | ) | |||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total return(d) | 0.30 | % | 0.25 | % | 0.00 | %(e) | 0.00 | %(e) | 0.01 | % | 0.03 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 36,483,042 | $ | 43,302,733 | $ | 13,516,264 | $ | 10,962,800 | $ | 7,189,250 | $ | 7,114,213 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.12 | %(f) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.13 | % | ||||||||||||
Net expenses | 0.12 | %(f) | 0.12 | % | 0.09 | % | 0.07 | % | 0.09 | % | 0.12 | % | ||||||||||||
Net investment income (loss) | 0.60 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0013 | 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) | ||||||||||||||||
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Total from investment operations | 0.0013 | 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 | (0.0013 | ) | 0.0000 | (b) | – | – | – | – | ||||||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total return(d) | 0.13 | % | 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) | $ | 656,210 | $ | 903,050 | $ | 971,551 | $ | 615,706 | $ | 691,469 | $ | 654,978 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.47 | %(f) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Net expenses | 0.47 | %(f) | 0.37 | % | 0.10 | % | 0.07 | % | 0.10 | % | 0.14 | % | ||||||||||||
Net investment income (loss) | 0.25 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | 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)
Class M | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 11/30/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations: | ||||||||
Net investment income (loss) | 0.0031 | 0.0003 | ||||||
Net realized gains | – | 0.0000 | (b) | |||||
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Total from investment operations | 0.0031 | 0.0003 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0031 | ) | (0.0003 | ) | ||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | ||||
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Total return(c) | 0.31 | % | 0.03 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 1,517,170 | $ | 1,675,741 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.10 | %(d) | 0.10 | %(d) | ||||
Net expenses | 0.10 | %(d) | 0.10 | %(d) | ||||
Net investment income (loss) | 0.62 | %(d) | 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 is 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)
Administration Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 8/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations: | ||||||||
Net investment income (loss) | 0.0018 | 0.0001 | ||||||
Net realized gains | – | (0.0000 | )(b) | |||||
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Total from investment operations | 0.0018 | 0.0001 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0018 | ) | (0.0001 | ) | ||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | ||||
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Total return(c) | 0.18 | % | 0.01 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 2,604,320 | $ | 3,423,655 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.37 | %(d) | 0.37 | %(d) | ||||
Net expenses | 0.37 | %(d) | 0.37 | %(d) | ||||
Net investment income (loss) | 0.35 | %(d) | 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 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 is 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.
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)
Investor Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 3/21/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations: | ||||||||
Net investment income (loss) | 0.0026 | (0.0014 | ) | |||||
Net realized gain (loss) | – | (0.0000 | )(b) | |||||
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Total from investment operations | 0.0026 | 0.0014 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0026 | ) | (0.0014 | ) | ||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | ||||
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Total return(c) | 0.26 | % | 0.14 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 273,048 | $ | 230,156 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.20 | %(d) | 0.20 | %(d) | ||||
Net investment income (loss) | 0.54 | %(d) | 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 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 is 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.
10
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 | ||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||
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Income (Loss) from Investment Operations: |
| |||||||||||||||
Net investment income (loss) | 0.0032 | 0.0029 | 0.0002 | (b) | 0.0000 | (b)(c) | ||||||||||
Net realized gain (loss) | – | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | |||||||||
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Total from investment operations | 0.0032 | 0.0029 | 0.0002 | 0.0000 | (c) | |||||||||||
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Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | (0.0032 | ) | (0.0029 | ) | (0.0002 | ) | (0.0000 | )(c) | ||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||
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Total return(e) | 0.32 | % | 0.29 | % | 0.02 | % | 0.00 | %(d) | ||||||||
Ratios and Supplemental Data: |
| |||||||||||||||
Net assets, end of period (in 000s) | $ | 3,851,367 | $ | 581,991 | $ | 732,938 | $ | 872,335 | ||||||||
Ratios to average net assets: |
| |||||||||||||||
Total expenses | 0.08 | %(f) | 0.08 | % | 0.08 | % | 0.09 | %(f) | ||||||||
Net expenses | 0.08 | %(f) | 0.08 | % | 0.08 | % | 0.08 | %(f) | ||||||||
Net investment income (loss) | 0.76 | %(f) | 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 is 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.
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 only the following series (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 29, 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, (98.37% at June 30, 2017). 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
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 June 30, 2017, 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.
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. 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 distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 period ended June 30, 2017, 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 June 30, 2017, 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 |
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 and G 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. Class G shares pay a fee at an annual rate of 0.01% of the average daily net assets of such class 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 Advisors Funds Distributors, LLC ( “SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
During the period ended June 30, 2017, the Fund paid $1,192,229 to SSGA FD under the Plan.
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 June 30, 2017, SSGA FD paid $1,234,719 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 Investor Class shares made payments for these services at an annual rate up to 0.25%, 0.20% and 0.08%, respectively, of the eligible average daily net assets of the Investment Class shares, Administration Class shares and Investor Class shares, respectively. During the period ended June 30, 2017, the Fund’s Investment Class shares, Administration Class shares and Investor Class shares paid SSGA FD $1,147,659, $2,932,659 and $96,706, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems Inc., and State Street Corporation. 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.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. As of December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as 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, a 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.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 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. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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 U.S. Government Money Market Fund
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Institutional U.S. |
| |||||||||||||||||||
Premier Class | 0.12 | 1,003.00 | 0.60 | 1,024.20 | 0.60 | |||||||||||||||
Investment Class | 0.47 | 1,001.30 | 2.33 | 1,022.50 | 2.36 | |||||||||||||||
Class M | 0.10 | 1,003.10 | 0.50 | 1,024.30 | 0.50 | |||||||||||||||
Administration Class | 0.37 | 1,001.80 | 1.84 | 1,023.00 | 1.86 | |||||||||||||||
Investor Class | 0.20 | 1,002.60 | 0.99 | 1,023.80 | 1.00 | |||||||||||||||
Class G | 0.08 | 1,003.20 | 0.40 | 1,024.40 | 0.40 |
(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 181, then divided by 365. |
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
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. 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 U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Institutional U.S. Government Money Market Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and shareholder servicer for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
Money Market Funds, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers,
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional U.S. Government Money Market Fund. The Board considered that the Fund outperformed the median of its Performance Universe and its Lipper Index for the 1-, 3- and 5-year periods and underperformed the median of its Performance Group for the 1-, 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
State Street Institutional U.S. Government Money Market Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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 Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Master Funds
State Street U.S. Government Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
13 | ||||
14 | ||||
15 | ||||
16 | ||||
17 | ||||
22 |
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* | June 30, 2017 | |||
Government Agency Debt | 42.5 | % | ||
Treasury Repurchase Agreements | 35.9 | |||
Treasury Debt | 13.8 | |||
Government Agency Repurchase Agreements | 9.3 | |||
Liabilities in Excess of Other Assets | (1.5 | ) | ||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2017 | |||
2 to 30 Days | 52.1 | % | ||
31 to 60 Days | 10.7 | |||
61 to 90 Days | 10.5 | |||
Over 90 Days | 28.2 | |||
Total | 101.5 | % | ||
Average days to maturity | 25 | |||
Weighted average life | 73 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
1
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – 42.5% | ||||||||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.15%(a) | 0.915 | % | 07/02/2017 | 04/02/2018 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.12%(a) | 0.956 | % | 07/03/2017 | 10/03/2017 | 98,200,000 | 98,197,439 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.07%(a) | 1.149 | % | 07/07/2017 | 11/07/2017 | 150,000,000 | 149,997,863 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.05%(a) | 1.176 | % | 07/30/2017 | 08/30/2017 | 124,900,000 | 124,897,921 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.04%(a) | 1.186 | % | 07/30/2017 | 11/30/2017 | 150,000,000 | 149,992,114 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.04%(a) | 1.191 | % | 07/30/2017 | 10/30/2017 | 125,000,000 | 124,998,743 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.18%(a) | 0.880 | % | 07/02/2017 | 03/02/2018 | 115,000,000 | 115,000,000 | ||||||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.13%(a) | 1.206 | % | 07/04/2017 | 12/04/2017 | 125,000,000 | 125,076,214 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.29%(a) | 0.858 | % | 07/03/2017 | 10/03/2017 | 73,900,000 | 73,900,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.09%(a) | 1.132 | % | 09/08/2017 | 09/08/2017 | 275,000,000 | 275,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.05%(a) | 1.134 | % | 08/08/2017 | 08/08/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.28%(a) | 0.966 | % | 09/15/2017 | 12/15/2017 | 200,000,000 | 200,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%(a) | 1.059 | % | 07/14/2017 | 12/14/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.08%(a) | 1.090 | % | 08/01/2017 | 11/01/2017 | 50,000,000 | 50,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR + 0.01%(a) | 1.232 | % | 07/31/2017 | 11/28/2017 | 250,000,000 | 249,994,782 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.11%(a) | 0.974 | % | 07/07/2017 | 07/07/2017 | 403,600,000 | 403,600,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.42%(a) | 0.733 | % | 07/24/2017 | 07/24/2017 | 156,000,000 | 156,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.18%(a) | 1.002 | % | 08/15/2017 | 11/15/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.01%(a) | 1.050 | % | 07/02/2017 | 10/02/2017 | 275,000,000 | 275,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%(a) | 1.047 | % | 07/13/2017 | 12/13/2017 | 148,300,000 | 148,300,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.02%(a) | 1.207 | % | 07/28/2017 | 08/28/2017 | 188,500,000 | 188,500,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.18%(a) | 1.001 | % | 08/13/2017 | 11/13/2017 | 125,000,000 | 125,000,000 |
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)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.02%(a) | 1.069 | % | 07/07/2017 | 09/07/2017 | $ | 181,000,000 | $ | 181,000,000 | ||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%(a) | 1.079 | % | 07/15/2017 | 12/15/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.05%(a) | 1.108 | % | 07/10/2017 | 07/10/2017 | 175,000,000 | 174,999,893 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR + 0.01%(a) | 1.096 | % | 07/06/2017 | 04/06/2018 | 90,000,000 | 89,999,887 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.40%(a) | 0.755 | % | 07/17/2017 | 07/17/2017 | 135,700,000 | 135,700,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.800 | % | 07/05/2017 | 07/05/2017 | 325,000,000 | 324,971,111 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.35%(a) | 0.803 | % | 07/22/2017 | 01/22/2018 | 171,400,000 | 171,400,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.854 | % | 07/21/2017 | 07/21/2017 | 252,500,000 | 252,380,203 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.13%(a) | 0.966 | % | 07/09/2017 | 01/09/2018 | 185,700,000 | 185,700,000 | ||||||||||||||
Federal Home Loan Bank(b) | 1.024 | % | 08/23/2017 | 08/23/2017 | 311,000,000 | 310,531,150 | ||||||||||||||
Federal Home Loan Bank(b) | 1.027 | % | 08/18/2017 | 08/18/2017 | 270,000,000 | 269,630,280 | ||||||||||||||
Federal Home Loan Bank(b) | 1.030 | % | 08/09/2017 | 08/09/2017 | 77,500,000 | 77,413,523 | ||||||||||||||
Federal Home Loan Bank(b) | 1.030 | % | 08/14/2017 | 08/14/2017 | 355,800,000 | 355,352,087 | ||||||||||||||
Federal Home Loan Bank(b) | 1.032 | % | 08/11/2017 | 08/11/2017 | 250,000,000 | 249,706,167 | ||||||||||||||
Federal Home Loan Bank(b) | 1.032 | % | 08/16/2017 | 08/16/2017 | 347,750,000 | 347,291,434 | ||||||||||||||
Federal Home Loan Bank(b) | 1.039 | % | 09/27/2017 | 09/27/2017 | 411,500,000 | 410,454,881 | ||||||||||||||
Federal Home Loan Bank(b) | 1.045 | % | 09/20/2017 | 09/20/2017 | 821,000,000 | 819,069,624 | ||||||||||||||
Federal Home Loan Bank(b) | 1.048 | % | 09/15/2017 | 09/15/2017 | 444,500,000 | 443,516,568 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.15%(a) | 1.071 | % | 07/25/2017 | 01/25/2018 | 211,000,000 | 211,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.17%(a) | 0.881 | % | 07/01/2017 | 02/01/2018 | 100,000,000 | 100,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.16%(a) | 1.049 | % | 07/18/2017 | 10/18/2017 | 234,400,000 | 234,400,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.15%(a) | 1.064 | % | 07/18/2017 | 01/18/2018 | 105,500,000 | 105,500,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%(a) | 1.179 | % | 07/17/2017 | 08/17/2017 | 221,800,000 | 221,800,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.39%(a) | 0.782 | % | 07/26/2017 | 01/26/2018 | 413,000,000 | 413,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.09%(a) | 1.027 | % | 07/11/2017 | 08/11/2017 | 67,300,000 | 67,300,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.19%(a) | 1.105 | % | 09/28/2017 | 06/28/2018 | 398,550,000 | 398,550,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.13%(a) | 0.946 | % | 07/05/2017 | 01/05/2018 | 701,200,000 | 701,200,000 |
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)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%(a) | 1.139 | % | 07/16/2017 | 08/16/2017 | $ | 95,000,000 | $ | 95,000,000 | ||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.32%(a) | 0.828 | % | 07/03/2017 | 04/03/2018 | 243,000,000 | 243,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.32%(a) | 0.975 | % | 09/28/2017 | 03/28/2018 | 81,000,000 | 81,000,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.43%(a) | 0.745 | % | 07/27/2017 | 07/27/2017 | 102,000,000 | 101,991,994 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.41%(a) | 0.745 | % | 07/13/2017 | 07/13/2017 | 387,000,000 | 387,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.16%(a) | 0.931 | % | 07/06/2017 | 10/06/2017 | 210,400,000 | 210,400,000 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR –0.28%(a) | 0.956 | % | 09/13/2017 | 12/13/2017 | 94,900,000 | 94,900,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%(a) | 1.142 | % | 07/16/2017 | 08/16/2017 | 158,500,000 | 158,500,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%(a) | 1.177 | % | 07/17/2017 | 08/17/2017 | 95,000,000 | 95,000,000 | ||||||||||||||
Federal Home Loan Bank, 1 Month USD LIBOR + 0.08%(a) | 1.169 | % | 07/08/2017 | 01/08/2018 | 50,000,000 | 50,051,922 | ||||||||||||||
Federal Home Loan Bank, 3 Month USD LIBOR – 0.40%(a) | 0.756 | % | 07/12/2017 | 07/12/2017 | 339,300,000 | 339,300,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.770 | % | 07/05/2017 | 07/05/2017 | 358,073,000 | 358,042,365 | ||||||||||||||
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.34%(a) | 0.818 | % | 07/11/2017 | 01/11/2018 | 376,500,000 | 376,500,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.830 | % | 08/04/2017 | 08/04/2017 | 336,800,000 | 336,535,986 | ||||||||||||||
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.16%(a) | 0.957 | % | 07/11/2017 | 05/11/2018 | 631,400,000 | 631,400,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 1.015 | % | 10/06/2017 | 10/06/2017 | 446,400,000 | 445,179,158 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 1.020 | % | 09/11/2017 | 09/11/2017 | 241,650,000 | 241,157,034 | ||||||||||||||
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.15%(a) | 1.064 | % | 07/21/2017 | 06/21/2018 | 646,400,000 | 646,400,000 | ||||||||||||||
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.08%(a) | 1.200 | % | 09/21/2017 | 12/21/2017 | 75,000,000 | 75,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR + 0.04%(a) | 1.167 | % | 07/13/2017 | 11/13/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.919 | % | 08/15/2017 | 08/15/2017 | 217,500,000 | 217,250,147 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 1.020 | % | 09/19/2017 | 09/19/2017 | 338,101,000 | 337,334,638 | ||||||||||||||
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.35%(a) | 0.937 | % | 09/22/2017 | 12/22/2017 | 395,000,000 | 395,000,000 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.800 | % | 07/12/2017 | 07/12/2017 | 265,000,000 | 264,935,222 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.819 | % | 07/05/2017 | 07/05/2017 | 281,000,000 | 280,974,429 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 1.015 | % | 09/13/2017 | 09/13/2017 | 186,600,000 | 186,210,680 |
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)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal National Mortgage Assoc.(b) | 1.040 | % | 10/10/2017 | 10/10/2017 | $ | 250,000,000 | $ | 249,270,556 | ||||||||||||
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%(a) | 1.086 | % | 07/05/2017 | 10/05/2017 | 75,000,000 | 74,992,302 | ||||||||||||||
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.03%(a) | 1.128 | % | 07/11/2017 | 01/11/2018 | 125,000,000 | 125,000,000 | ||||||||||||||
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%(a) | 1.182 | % | 07/16/2017 | 08/16/2017 | 300,000,000 | 299,996,190 | ||||||||||||||
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.05%(a) | 1.230 | % | 09/21/2017 | 03/21/2018 | 250,000,000 | 250,306,679 | ||||||||||||||
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%(a) | 1.099 | % | 07/08/2017 | 09/08/2017 | 220,000,000 | 219,987,458 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT |
| 19,602,938,644 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY DEBT – 13.8% | ||||||||||||||||||||
U.S. Treasury Bill(b) | 0.825 | % | 07/13/2017 | 07/13/2017 | 250,000,000 | 249,931,250 | ||||||||||||||
U.S. Treasury Bill(b) | 0.908 | % | 08/10/2017 | 08/10/2017 | 250,000,000 | 249,748,400 | ||||||||||||||
U.S. Treasury Bill(b) | 0.910 | % | 09/14/2017 | 09/14/2017 | 803,250,000 | 801,642,886 | ||||||||||||||
U.S. Treasury Bill(b) | 0.928 | % | 08/24/2017 | 08/24/2017 | 450,000,000 | 449,377,515 | ||||||||||||||
U.S. Treasury Bill(b) | 0.980 | % | 09/07/2017 | 09/07/2017 | 200,000,000 | 199,629,778 | ||||||||||||||
U.S. Treasury Bill(b) | 1.013 | % | 09/21/2017 | 09/21/2017 | 585,000,000 | 583,652,655 | ||||||||||||||
U.S. Treasury Bill(b) | 1.060 | % | 11/30/2017 | 11/30/2017 | 200,000,000 | 199,104,889 | ||||||||||||||
U.S. Treasury Bill(b) | 1.070 | % | 12/07/2017 | 12/07/2017 | 150,000,000 | 149,291,125 | ||||||||||||||
U.S. Treasury Bill(b) | 1.100 | % | 12/14/2017 | 12/14/2017 | 150,000,000 | 149,236,746 | ||||||||||||||
U.S. Treasury Bill(b) | 1.120 | % | 12/21/2017 | 12/21/2017 | 452,750,000 | 450,313,199 | ||||||||||||||
U.S. Treasury Note(b) | 0.820 | % | 07/31/2017 | 07/31/2017 | 111,000,000 | 111,142,425 | ||||||||||||||
U.S. Treasury Note(b) | 0.825 | % | 07/31/2017 | 07/31/2017 | 110,000,000 | 109,981,806 | ||||||||||||||
U.S. Treasury Note(b) | 1.066 | % | 09/30/2017 | 09/30/2017 | 106,500,000 | 106,383,351 | ||||||||||||||
U.S. Treasury Note(b) | 1.073 | % | 10/31/2017 | 10/31/2017 | 250,000,000 | 249,732,651 | ||||||||||||||
U.S. Treasury Note(b) | 1.076 | % | 10/15/2017 | 10/15/2017 | 49,900,000 | 49,870,880 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.08%(a) | 1.080 | % | 07/01/2017 | 07/31/2017 | 229,000,000 | 228,994,617 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(a) | 1.171 | % | 07/01/2017 | 10/31/2017 | 298,900,000 | 298,951,569 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(a) | 1.177 | % | 07/01/2017 | 07/31/2018 | 678,566,000 | 679,161,309 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.19%(a) | 1.193 | % | 07/04/2017 | 04/30/2018 | 650,500,000 | 651,104,622 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.27%(a) | 1.275 | % | 07/01/2017 | 01/31/2018 | 382,000,000 | 382,702,700 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT |
| 6,349,954,373 | ||||||||||||||||||
|
|
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)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 9.3% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 7.125% due 01/15/2030, a U.S. Treasury Bond, 3.750% due 11/15/2043, a U.S. Treasury Inflation Index Note, 0.250% due 01/15/2025, and a U.S. Treasury Note, 1.250% due 11/15/2018, valued at $34,680,018); expected proceeds $34,003,088 | 1.090 | % | 07/03/2017 | 07/03/2017 | $ | 34,000,000 | $ | 34,000,000 | ||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal Home Loan Bank, 0.875% due 03/19/2018, Federal Home Loan Mortgage Corporations, 1.800% – 6.750% due 04/28/2020 –03/15/2031, and Federal National Mortgage Associations, 1.500% –1.950% due 02/28/2020 – 01/27/2021, valued at $357,000,113); expected proceeds $350,072,819 | 1.070 | % | 07/07/2017 | 07/07/2017 | 350,000,000 | 350,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% –11.500% due 07/15/2017 –07/01/2047, Federal National Mortgage Associations, 2.000% –11.000% due 08/01/2017 – 09/01/2047, and a U.S. Treasury Note, 1.125% due 09/30/2021, valued at $765,018,644); expected proceeds $750,157,500 | 1.080 | % | 07/07/2017 | 07/07/2017 | 750,000,000 | 750,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/26/2017 (collateralized by a Federal Home Loan Bank, 5.500% due 07/15/2036, and Federal Home Loan Discount Notes, 0.000% due 07/28/2017 – 12/01/2017, valued at $229,500,814); expected proceeds $225,045,500 | 1.040 | % | 07/03/2017 | 07/03/2017 | 225,000,000 | 225,000,000 |
See accompanying notes to financial statements.
6
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
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 06/29/2017 (collateralized by a Federal Home Loan Bank, 1.000% due 09/26/2019, a Federal Home Loan Discount Note, 0.000% due 09/29/2017, a Federal Home Loan Mortgage Corporation, 1.800% due 04/13/2020, Federal National Mortgage Associations, 1.650% – 1.900% due 01/17/2020 – 10/27/2020, a Financing Corp., 9.650% due 11/02/2018, and a Resolution Funding Strip, 0.000% due 11/15/2020, valued at $408,000,028); expected proceeds $400,081,667 | 1.050 | % | 07/06/2017 | 07/06/2017 | $ | 400,000,000 | $ | 400,000,000 | ||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/27/2017 (collateralized by a Federal Farm Credit Bank, 3.180% due 06/26/2029, Federal Home Loan Mortgage Corporations, 0.875% – 1.500% due 10/12/2018 – 08/12/2021, Federal National Mortgage Associations, 1.250% – 2.250% due 09/27/2018 – 04/27/2022, a U.S. Treasury Bill, 0.000% due 07/20/2017, a U.S. Treasury Bond, 3.000% due 05/15/2045, and a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, valued at $102,018,093); expected proceeds $100,023,556 | 1.060 | % | 07/05/2017 | 07/05/2017 | 100,000,000 | 100,000,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 0.750% – 6.750% due 07/28/2017 – 07/15/2032, Federal National Mortgage Associations, 0.875% – 2.125% due 08/28/2017 – 04/24/2026, valued at $204,019,552); expected proceeds $200,018,333 | 1.100 | % | 07/03/2017 | 07/03/2017 | 200,000,000 | 200,000,000 |
See accompanying notes to financial statements.
7
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 01/01/2025 – 06/01/2047, and Federal National Mortgage Associations, 1.620% – 4.500% due 08/01/2021 – 06/01/2056, valued at $2,295,210,375); expected proceeds $2,250,206,250 | 1.100 | % | 07/03/2017 | 07/03/2017 | $ | 2,250,000,000 | $ | 2,250,000,000 | ||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 4,309,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 35.9% | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2047, and a U.S. Treasury Note, 1.500% due 05/15/2020, valued at $94,868,722); expected proceeds $93,008,525 | 1.100 | % | 07/03/2017 | 07/03/2017 | 93,000,000 | 93,000,000 | ||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.000% – 8.125% due 08/15/2019 – 11/15/2045, and U.S. Treasury Notes, 1.125% – 2.250% due 07/31/2021 – 11/15/2022, valued at $168,315,452); expected proceeds $165,015,125 | 1.100 | % | 07/03/2017 | 07/03/2017 | 165,000,000 | 165,000,000 | ||||||||||||||
Agreement with Barclays Bank PLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 2.875% – 3.125% due 08/15/2044 – 11/15/2046, U.S. Treasury Inflation Index Bonds, 1.375% – 2.125% due 02/15/2041 – 02/15/2044, and U.S. Treasury Notes, 0.625% – 3.125% due 08/15/2017 – 05/15/2025, valued at $2,105,280,005); expected proceeds $2,064,185,760 | 1.080 | % | 07/03/2017 | 07/03/2017 | 2,064,000,000 | 2,064,000,000 |
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)
June 30, 2017 (Unaudited)
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 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 02/15/2044, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, and U.S. Treasury Notes 1.500% – 3.625% due 11/30/2019 – 11/15/2026, valued at $162,180,057); expected proceeds $159,014,310 | 1.080 | % | 07/03/2017 | 07/03/2017 | $ | 159,000,000 | $ | 159,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 6.625% due 02/15/2027, and a U.S. Treasury Note 2.250% due 01/31/2024, valued at $81,600,012); expected proceeds $80,006,667 | 1.000 | % | 07/03/2017 | 07/03/2017 | 80,000,000 | 80,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 7.625% due 11/15/2022, and a U.S. Treasury Note 2.250% due 02/15/2027, valued at $193,800,011); expected proceeds $190,039,161 | 1.060 | % | 07/07/2017 | 07/07/2017 | 190,000,000 | 190,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 0.875% – 3.750% due 09/15/2017 – 10/31/2023, valued at $95,880,043); expected proceeds $94,008,538 | 1.090 | % | 07/03/2017 | 07/03/2017 | 94,000,000 | 94,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2017 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 11/30/2020 – 05/31/2023, valued at $510,000,028); expected proceeds $500,102,083 | 1.050 | % | 07/06/2017 | 07/06/2017 | 500,000,000 | 500,000,000 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Inflation Index Note, 1.125% due 01/15/2021, and U.S. Treasury Notes, 2.500% – 2.750% due 08/15/2023 – 02/15/2024, valued at $372,300,004); expected proceeds $365,150,461(c) | 1.060 | % | 07/14/2017 | 07/14/2017 | $ | 365,000,000 | $ | 365,000,000 | ||||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 4.625% due 05/15/2038 – 02/15/2043, and U.S. Treasury Notes, 1.625% – 2.000% due 11/15/2022 – 02/15/2023, valued at $8,200,683,377); expected proceeds $8,200,683,333 | 1.000 | % | 07/03/2017 | 07/03/2017 | 8,200,000,000 | 8,200,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 0.875% – 1.500% due 07/15/2018 – 03/31/2019, valued at $135,469,004); expected proceeds $132,819,731 | 1.060 | % | 07/03/2017 | 07/03/2017 | 132,808,000 | 132,808,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 2.875% – 4.250% due 11/15/2040 – 05/15/2043, a U.S. Treasury Note, 1.750% due 05/15/2023, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 08/15/2026, valued at $1,020,002,271); expected proceeds $1,000,204,167 | 1.050 | % | 07/05/2017 | 07/05/2017 | 1,000,000,000 | 1,000,000,000 | ||||||||||||||
Agreement with Lloyds Bank PLC, dated 05/16/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 0.625% – 2.250% due 09/30/2017 – 04/30/2021, valued at $230,450,344); expected proceeds $225,575,000(c) | 1.000 | % | 07/03/2017 | 08/16/2017 | 225,000,000 | 225,000,000 |
See accompanying notes to financial statements.
10
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Lloyds Bank PLC, dated 06/01/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 1.125% – 1.500% due 08/31/2018 – 08/31/2021, valued at $767,162,693); expected proceeds $750,620,000 | 0.930 | % | 07/03/2017 | 07/03/2017 | $ | 750,000,000 | $ | 750,000,000 | ||||||||||||
Agreement with Lloyds Bank PLC, dated 06/28/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2020 – 07/15/2025, and U.S. Treasury Notes, 1.250% – 3.750% due 06/30/2018 – 08/15/2025, valued at $1,023,599,037); expected proceeds $1,000,200,278 | 1.030 | % | 07/05/2017 | 07/05/2017 | 1,000,000,000 | 1,000,000,000 | ||||||||||||||
Agreement with Lloyds Bank PLC, dated 06/29/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 01/15/2022 – 01/15/2029, and U.S. Treasury Notes, 1.000% – 1.750% due 06/30/2018 – 02/28/2022, valued at $512,231,355); expected proceeds $500,100,139 | 1.030 | % | 07/06/2017 | 07/06/2017 | 500,000,000 | 500,000,000 | ||||||||||||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bills, 0.000% due 08/31/2017 – 11/02/2017, U.S. Treasury Bonds, 3.000% – 8.875% due 02/15/2019 – 11/15/2044, and U.S. Treasury Notes, 1.375% – 2.500% due 06/30/2023 – 08/15/2023, valued at $306,027,309); expected proceeds $300,026,750 | 1.070 | % | 07/03/2017 | 07/03/2017 | 300,000,000 | 300,000,000 | ||||||||||||||
Agreement with MUFG Securities, dated 06/28/2017 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Notes, 1.750% – 2.625% due 08/15/2020 – 02/15/2025, valued at $306,005,362); expected proceeds $300,062,417 | 1.070 | % | 07/05/2017 | 07/05/2017 | 300,000,000 | 300,000,000 | ||||||||||||||
Agreement with MUFG Securities, dated 06/30/2017 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 02/28/2019 – 02/15/2027, valued at $433,489,797); expected proceeds $425,038,958 | 1.100 | % | 07/03/2017 | 07/03/2017 | 425,000,000 | 425,000,000 |
See accompanying notes to financial statements.
11
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
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 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.750% due 11/15/2043, valued at $36,720,069); expected proceeds $36,003,360 | 1.120 | % | 07/03/2017 | 07/03/2017 | $ | 36,000,000 | $ | 36,000,000 | ||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 16,578,808,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 101.5%(d)(e) |
| 46,840,701,017 | ||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.5)% |
| (697,398,603 | ) | |||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 46,143,302,414 | |||||||||||||||||
|
|
(a) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017. |
(b) | Rate represents annualized yield at date of purchase. |
(c) | Illiquid security. These securities represent $590,000,000 or 1.3% of net assets as of June 30, 2017. |
(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.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investments in securities, at value and cost (Note 2) | $ | 25,952,893,017 | ||
Repurchase agreements, at amortized cost | 20,887,808,000 | |||
|
| |||
Total Investments | 46,840,701,017 | |||
Interest receivable (Note 2) | 18,196,730 | |||
Other Receivable | 99,656 | |||
|
| |||
Total assets | 46,858,997,403 | |||
|
| |||
Liabilities |
| |||
Due to custodian (Note 4) | 710,923,224 | |||
Advisory fee payable (Note 4) | 1,876,635 | |||
Administration, custody and transfer agent fees payable (Note 4) | 2,821,341 | |||
Professional fees payable | 57,467 | |||
Printing fees payable | 8,729 | |||
Accrued expenses and other liabilities | 7,593 | |||
|
| |||
Total liabilities | 715,694,989 | |||
|
| |||
Net Assets | $ | 46,143,302,414 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Interest income | $ | 167,355,727 | ||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 11,572,324 | |||
Administration, custodian and transfer agent fees (Note 4) | 2,932,427 | |||
Trustees’ fees and expenses (Note 5) | 273,640 | |||
Professional fees | 36,084 | |||
Insurance expense | 2,226 | |||
|
| |||
Total expenses | 14,816,701 | |||
|
| |||
Net Investment Income (Loss) | 152,539,026 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments | 15,680 | |||
|
| |||
Net realized gain (loss) | 15,680 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 152,554,706 | ||
|
|
See accompanying notes to financial statements.
14
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 152,539,026 | $ | 85,259,568 | ||||
Net realized gain (loss) | 15,680 | 79,284 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 152,554,706 | 85,338,852 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 52,624,587,908 | 97,658,772,208 | ||||||
Proceeds in connection with Reorganization (Note 8) | – | 2,551,626,959 | ||||||
Withdrawals | (57,559,067,625 | ) | (65,394,001,185 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | (4,934,479,717 | ) | 34,816,397,982 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | (4,781,925,011 | ) | 34,901,736,834 | |||||
|
|
|
| |||||
Net Assets at Beginning of Period | 50,925,227,425 | 16,023,490,591 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 46,143,302,414 | $ | 50,925,227,425 | ||||
|
|
|
|
See accompanying notes to financial statements.
15
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/17 (Unaudited) | 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) | 0.33 | % | 0.31 | % | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period | $ | 46,143,302 | $ | 50,925,227 | $ | 16,023,491 | $ | 13,207,868 | $ | 8,712,920 | $ | 8,621,186 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.06 | %(b) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net investment income (loss) | 0.66 | %(b) | 0.32 | % | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized. |
(b) | Annualized. |
See accompanying notes to financial statements.
16
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
June 30, 2017 (Unaudited)
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 June 30, 2017, 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. 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)
June 30, 2017 (Unaudited)
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 an 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 period ended June 30, 2017.
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. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 Portfolio within the Trust.
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Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $20,887,808,000, and associated collateral equal to $21,151,512,587.
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 U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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.
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. The Due to Custodian represents amount payable to State Street for capital activity as of period ended June 30, 2017.
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. As of December 31, 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.
At June 30, 2017, 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.
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State Street U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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, a 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. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
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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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 January 1, 2017 to June 30, 2017.
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 | 0.06 | % | $ | 1,003.30 | $ | 0.30 | $ | 1,024.50 | $ | 0.30 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Other Information — (continued)
June 30, 2017 (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 its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. 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 U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street U.S. Government Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund (the “Fund”) for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.
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State Street U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.
Portfolio Performance
The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:
Money Market Funds and Portfolios, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional U.S. Government Money Market Fund and State Street U.S. Government Money Market Portfolio. The Board considered that the Fund outperformed the median of its Performance Universe and its Lipper Index for the 1-, 3- and 5-year periods and underperformed the median of its Performance Group for the 1-, 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:
State Street Institutional U.S. Government Money Market Fund and State Street U.S. Government Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The
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State Street U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio 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 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 Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
Michael F. Holland
Michael A. Jessee
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITUSGOVMMSAR |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
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12 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 13,569,730,825 | ||
Receivable for fund shares sold | 9,126 | |||
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Total assets | 13,569,739,951 | |||
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Liabilities | ||||
Administration fees payable (Note 3) | 528,064 | |||
Shareholder servicing fee payable (Note 3) | 101,609 | |||
Distribution fees payable (Note 3) | 40,244 | |||
Transfer agent fees payable (Note 3) | 25,818 | |||
Distribution payable | 371,210 | |||
Registration and filing fees payable | 16,587 | |||
Professional fees payable | 19,158 | |||
Printing fees payable | 10,555 | |||
Accrued expenses and other liabilities | 13,665 | |||
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Total liabilities | 1,126,910 | |||
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Net Assets | $ | 13,568,613,041 | ||
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Net Assets Consist of: | ||||
Paid-in Capital | $ | 13,568,268,493 | ||
Undistributed net investment income | 41,597 | |||
Accumulated net realized gain (loss) on investments | 302,951 | |||
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Net Assets | $ | 13,568,613,041 | ||
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Premier Class | ||||
Net assets | $ | 13,056,847,565 | ||
Shares outstanding | 13,056,620,055 | |||
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Net asset value, offering and redemption price per share | $ | 1.00 | ||
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Investment Class | ||||
Net assets | $ | 491,800,341 | ||
Shares outstanding | 491,784,267 | |||
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Net asset value, offering and redemption price per share | $ | 1.00 | ||
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Investor Class | ||||
Net assets | $ | 19,965,135 | ||
Shares outstanding | 19,964,933 | |||
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Net asset value, offering and redemption price per share | $ | 1.00 | ||
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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 Treasury Money Market Fund
For the Six Months Ended June 30, 2017 (Unaudited)
Income and Expenses Allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 43,966,516 | ||
Expenses allocated from Portfolio (Note 2) | (4,159,649 | ) | ||
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Total investment income (loss) allocated from portfolio | 39,806,867 | |||
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Expenses | ||||
Administration fees (Note 3) | 3,231,878 | |||
Shareholder servicing fees – (Note 3) | ||||
Investment Class | 677,965 | |||
Investor Class | 7,005 | |||
Distribution fees (Note 3) | ||||
Investment Class | 271,186 | |||
Custodian fees (Note 3) | 8,317 | |||
Trustees’ fees and expenses (Note 4) | 11,753 | |||
Transfer agent fees (Note 3) | 22,554 | |||
Registration and filing fees | 33,729 | |||
Professional fees | 15,359 | |||
Printing fees | 15,558 | |||
Insurance expense | 39,320 | |||
Miscellaneous expenses | 57,062 | |||
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Total Expenses | 4,391,686 | |||
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Net Investment Income (Loss) | 35,415,181 | |||
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Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | 11,101 | |||
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Net Increase (Decrease) in Net Assets from Operations | $ | 35,426,282 | ||
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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 Treasury Money Market Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 35,415,181 | $ | 21,696,799 | ||||
Net realized gain (loss) | 11,101 | 291,850 | ||||||
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Net increase (decrease) in net assets resulting from operations | 35,426,282 | 21,988,649 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (34,829,710 | ) | (21,685,174 | ) | ||||
Investment Class | (545,072 | ) | (9,269 | ) | ||||
Investor Class | (40,069 | ) | (2,356 | ) | ||||
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Total distributions from net investment income | (35,414,851 | ) | (21,696,799 | ) | ||||
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Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 12,731,598,984 | 27,604,079,644 | ||||||
Reinvestment of distributions | 33,750,453 | 20,452,809 | ||||||
Shares redeemed | (12,360,295,095 | ) | (25,385,988,943 | ) | ||||
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Net increase (decrease) from capital share transactions | 405,054,342 | 2,238,543,510 | ||||||
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Investment Class | ||||||||
Shares sold | 620,934,834 | 1,316,642,508 | ||||||
Shares redeemed | (738,682,409 | ) | (1,431,796,980 | ) | ||||
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Net increase (decrease) from capital share transactions | (117,747,575 | ) | (115,154,472 | ) | ||||
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Investor Class | ||||||||
Shares sold | 41,912,431 | 27,400,040 | ||||||
Reinvestment of distributions | 36,164 | 1,649 | ||||||
Shares redeemed | (49,385,311 | ) | (40 | ) | ||||
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Net increase (decrease) from capital share transactions | (7,436,716 | ) | 27,401,649 | |||||
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Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 279,870,051 | 2,150,790,687 | ||||||
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Net Increase (Decrease) in Net Assets During the Period | 279,881,482 | 2,151,082,537 | ||||||
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Net Assets at Beginning of Period | 13,288,731,559 | 11,137,649,022 | ||||||
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Net Assets at End of Period | $ | 13,568,613,041 | $ | 13,288,731,559 | ||||
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Undistributed net investment income | $ | 41,597 | $ | 41,267 | ||||
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Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 12,731,598,984 | 27,604,060,177 | ||||||
Reinvestment of distributions | 33,750,453 | 20,452,809 | ||||||
Shares redeemed | (12,360,295,095 | ) | (25,385,988,943 | ) | ||||
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Net increase (decrease) from share transactions | 405,054,342 | 2,238,524,043 | ||||||
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Investment Class | ||||||||
Shares sold | 620,934,834 | 1,316,661,975 | ||||||
Shares redeemed | (738,682,409 | ) | (1,431,796,980 | ) | ||||
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Net increase (decrease) from share transactions | (117,747,575 | ) | (115,135,005 | ) | ||||
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Investor Class | ||||||||
Shares sold | 41,912,431 | 27,400,040 | ||||||
Reinvestment of distributions | 36,164 | 1,649 | ||||||
Shares redeemed | (49,385,311 | ) | (40 | ) | ||||
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Net increase (decrease) from share transactions | (7,436,716 | ) | 27,401,649 | |||||
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(a) | For Investor Class, data is 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.
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0028 | 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) | 0.0000 | (b) | ||||||||||||
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Total from investment operations | 0.0028 | 0.0019 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0028 | ) | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | – | ||||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | |||||||||||||||
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Total distributions | (0.0028 | ) | (0.0019 | ) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(d) | 0.28 | % | 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) | $ | 13,056,848 | $ | 12,651,785 | $ | 10,412,966 | $ | 8,338,818 | $ | 11,949,583 | $ | 10,151,078 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.12 | %(f) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||||
Net expenses | 0.12 | %(f) | 0.12 | % | 0.04 | % | 0.04 | % | 0.07 | % | 0.08 | % | ||||||||||||
Net investment income (loss) | 0.56 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
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 Treasury Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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Income (Loss) from Investment Operations | ||||||||||||||||||||||||
Net investment income (loss) | 0.0011 | 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) | 0.0000 | (b) | 0.0010 | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Total from investment operations | 0.0011 | 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 | (0.0011 | ) | (0.0000 | )(b) | – | – | (0.0000 | )(b) | – | |||||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | |||||||||||||||
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Total distributions | (0.0011 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | |||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(d) | 0.11 | % | 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) | $ | 491,800 | $ | 609,545 | $ | 724,683 | $ | 741,248 | $ | 1,407,207 | $ | 1,475,932 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.47 | %(f) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Net expenses | 0.47 | %(f) | 0.31 | % | 0.04 | % | 0.05 | % | 0.07 | % | 0.08 | % | ||||||||||||
Net investment income (loss) | 0.20 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
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 Treasury Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investor Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 12/22/16* - 12/31/16 | |||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations | ||||||||
Net investment income (loss) | 0.0024 | 0.0001 | ||||||
Net realized gain (loss) | 0.0000 | (b) | (0.0000 | )(b) | ||||
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Total from investment operations | 0.0024 | 0.0001 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0024 | ) | (0.0001 | ) | ||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | ||||
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Total Return(c) | 0.24 | % | 0.00 | %(d) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 19,965 | $ | 27,402 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.20 | %(e) | 0.18 | %(e) | ||||
Net investment income (loss) | 0.46 | %(e) | 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 is 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
Notes to Financial Statements
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 series (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, (94.99% at June 30, 2017). 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 reported amounts and disclosures in the financial statements. Actual results could differ from those
7
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 the 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)
June 30, 2017 (Unaudited)
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 period ended June 30, 2017, 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 June 30, 2017, 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
During the period ended June 30, 2017, the Fund paid $271,186 to SSGA FD under the Plan.
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 June 30, 2017, SSGA FD paid $949,125 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 and Investor Class shares made payments for theses services 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 June 30, 2017, the Fund’s Investment Class shares and Investor Class shares paid SSGA FD $677,965 and $7,005, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems Inc., and State Street Corporation. 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
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
for an additional year depending upon jurisdiction. As of December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as 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, a 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. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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 Institutional Treasury Money Market Fund
Other Information
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Institutional Treasury Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | 1,002.80 | 0.60 | 1,024.20 | 0.60 | |||||||||||||||
Investment Class | 0.47 | 1,001.10 | 2.33 | 1,022.50 | 2.36 | |||||||||||||||
Investor Class | 0.20 | 1,002.40 | 0.99 | 1,023.80 | 1.00 |
(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 181, then divided by 365. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
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. 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)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Institutional Treasury Money Market Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and shareholder servicer for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Money Market Funds, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Treasury Money Market Fund. The Board considered that the Fund (a) underperformed the median of its Performance Group for the 1-, 3- and 5-year periods, (b) outperformed the median of its Performance Universe for the 1-, 3- and 5-year periods and the Lipper Index for the 1-year period, and (c) equaled the performance of the Lipper Index for the 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
State Street Institutional Treasury Money Market Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
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 Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Master Funds
State Street Treasury Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
11 |
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* | June 30, 2017 | |||
Treasury Debt | 100.0 | % | ||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2017 | |||
2 to 30 Days | 46.1 | % | ||
31 to 60 Days | 14.2 | |||
61 to 90 Days | 20.7 | |||
Over 90 Days | 19.0 | |||
Total | 100.0 | % | ||
Average days to maturity | 37 | |||
Weighted average life | 78 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Amount is less than 0.05% of net assets. |
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State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 100.0% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.820 | % | 07/20/2017 | 07/20/2017 | $ | 2,263,609,000 | $ | 2,262,608,436 | ||||||||||||
U.S. Treasury Bill(a) | 0.820 | % | 07/27/2017 | 07/27/2017 | 1,206,000,000 | 1,205,254,675 | ||||||||||||||
U.S. Treasury Bill(a) | 0.825 | % | 07/13/2017 | 07/13/2017 | 1,726,500,000 | 1,726,003,255 | ||||||||||||||
U.S. Treasury Bill(a) | 0.845 | % | 08/03/2017 | 08/03/2017 | 200,000,000 | 199,845,083 | ||||||||||||||
U.S. Treasury Bill(a) | 0.850 | % | 07/06/2017 | 07/06/2017 | 1,242,834,000 | 1,242,697,236 | ||||||||||||||
U.S. Treasury Bill(a) | 0.890 | % | 09/21/2017 | 09/21/2017 | 835,000,000 | 833,104,354 | ||||||||||||||
U.S. Treasury Bill(a) | 0.905 | % | 08/17/2017 | 08/17/2017 | 400,000,000 | 399,541,750 | ||||||||||||||
U.S. Treasury Bill(a) | 0.908 | % | 08/10/2017 | 08/10/2017 | 450,000,000 | 449,547,120 | ||||||||||||||
U.S. Treasury Bill(a) | 0.910 | % | 09/14/2017 | 09/14/2017 | 830,000,000 | 828,302,710 | ||||||||||||||
U.S. Treasury Bill(a) | 0.928 | % | 08/24/2017 | 08/24/2017 | 450,000,000 | 449,377,493 | ||||||||||||||
U.S. Treasury Bill(a) | 0.960 | % | 08/31/2017 | 08/31/2017 | 301,000,000 | 300,510,373 | ||||||||||||||
U.S. Treasury Bill(a) | 0.980 | % | 09/07/2017 | 09/07/2017 | 500,000,000 | 499,070,667 | ||||||||||||||
U.S. Treasury Bill(a) | 1.000 | % | 09/28/2017 | 09/28/2017 | 495,000,000 | 493,776,250 | ||||||||||||||
U.S. Treasury Bill(a) | 1.060 | % | 11/30/2017 | 11/30/2017 | 125,000,000 | 124,440,556 | ||||||||||||||
U.S. Treasury Bill(a) | 1.070 | % | 12/07/2017 | 12/07/2017 | 75,000,000 | 74,645,563 | ||||||||||||||
U.S. Treasury Bill(a) | 1.100 | % | 12/14/2017 | 12/14/2017 | 100,000,000 | 99,491,049 | ||||||||||||||
U.S. Treasury Bill(a) | 1.120 | % | 12/21/2017 | 12/21/2017 | 200,000,000 | 198,923,556 | ||||||||||||||
U.S. Treasury Note(a) | 0.820 | % | 07/31/2017 | 07/31/2017 | 32,000,000 | 32,041,059 | ||||||||||||||
U.S. Treasury Note(a) | 0.825 | % | 07/31/2017 | 07/31/2017 | 132,000,000 | 131,966,351 | ||||||||||||||
U.S. Treasury Note(a) | 0.926 | % | 07/15/2017 | 07/15/2017 | 150,000,000 | 149,996,842 | ||||||||||||||
U.S. Treasury Note(a) | 1.066 | % | 09/30/2017 | 09/30/2017 | 33,600,000 | 33,563,198 | ||||||||||||||
U.S. Treasury Note(a) | 1.073 | % | 10/31/2017 | 10/31/2017 | 133,500,000 | 133,357,235 | ||||||||||||||
U.S. Treasury Note(a) | 1.076 | % | 10/15/2017 | 10/15/2017 | 15,600,000 | 15,590,896 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.08%(b) | 1.080 | % | 07/01/2017 | 07/31/2017 | 358,500,000 | 358,491,839 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 1.171 | % | 07/01/2017 | 10/31/2017 | 225,500,000 | 225,515,650 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 1.173 | % | 07/01/2017 | 10/31/2018 | 185,000,000 | 185,434,369 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 1.177 | % | 07/01/2017 | 07/31/2018 | 400,000,000 | 400,451,586 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.19%(b) | 1.193 | % | 07/04/2017 | 04/30/2018 | 536,820,000 | 537,161,634 | ||||||||||||||
U.S. Treasury Note, 3 Month USD MMY + 0.27%(b) | 1.275 | % | 07/01/2017 | 01/31/2018 | 689,000,000 | 689,997,295 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 100.0%(c)(d) | 14,280,708,080 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0%(e) |
| 4,656,864 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 14,285,364,944 | ||||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017. |
(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
June 30, 2017 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 14,280,708,080 | ||
Cash | 378 | |||
Interest receivable (Note 2) | 6,234,410 | |||
|
| |||
Total assets | 14,286,942,868 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 3) | 582,204 | |||
Administration, custody and transfer agent fees payable (Note 3) | 909,296 | |||
Professional fees payable | 29,036 | |||
Printing fees payable | 17,067 | |||
Accrued expenses and other liabilities | 40,321 | |||
|
| |||
Total liabilities | 1,577,924 | |||
|
| |||
Net Assets | $ | 14,285,364,944 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income | ||||
Interest income | $ | 46,435,172 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 3,413,386 | |||
Administration, custodian and transfer agent fees (Note 3) | 864,952 | |||
Trustees’ fees and expenses (Note 4) | 92,680 | |||
Professional fees | 8,942 | |||
Printing fees | 7,245 | |||
Insurance expense | 1,691 | |||
Miscellaneous expenses | 4,661 | |||
|
| |||
Total expenses | 4,393,557 | |||
|
| |||
Net Investment Income (Loss) | 42,041,615 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | 11,664 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 42,053,279 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 42,041,615 | $ | 31,200,504 | ||||
Net realized gain (loss) | 11,664 | 309,711 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 42,053,279 | 31,510,215 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 11,151,054,024 | 24,797,217,848 | ||||||
Withdrawals | (10,912,043,598 | ) | (22,661,554,484 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | 239,010,426 | 2,135,663,364 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 281,063,705 | 2,167,173,579 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 14,004,301,239 | 11,837,127,660 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 14,285,364,944 | $ | 14,004,301,239 | ||||
|
|
|
|
See accompanying notes to financial statements.
5
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Selected data for a share outstanding throughout each period:
Six Months Ended 6/30/17 (Unaudited) | 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 | % | 0.25 | % | (0.04 | )% | (0.02 | )% | 0.00 | %(b) | 0.02 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 14,285,365 | $ | 14,004,301 | $ | 11,837,128 | $ | 10,247,460 | $ | 14,558,022 | $ | 12,712,060 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.06 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net investment income (loss) | 0.62 | %(c) | 0.25 | % | (0.03 | )% | (0.02 | )% | 0.00 | %(b) | 0.02 | % |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized. |
(b) | Amount is less than 0.005%. |
(c) | Annualized. |
See accompanying notes to financial statements.
6
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 authorize 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 Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 an 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 period ended June 30, 2017.
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. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 Portfolio within the Trust.
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), 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.
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.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 December 31, 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.
At June 30, 2017, 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, a Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).
Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.
7. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
10
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2017 (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 January 1, 2017 to June 30, 2017.
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 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 | 0.06 | % | $ | 1,003.10 | $ | 0.30 | $ | 1,024.50 | $ | 0.30 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (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 its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. 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.
12
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Treasury Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund (the “Fund”) for which the Portfolio serves as the master fund in a master-feeder structure: |
1 | Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
14
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
• | 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 provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement,
15
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
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 Portfolio.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.
Portfolio Performance
The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group,
16
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:
Money Market Funds and Portfolios, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Treasury Money Market Fund and State Street Treasury Money Market Portfolio. The Board considered that the Fund (a) underperformed the median of its Performance Group for the 1-, 3- and 5-year periods, (b) outperformed the median of its Performance Universe for the 1-, 3- and 5-year periods and the Lipper Index for the 1-year period, and (c) equaled the performance of the Lipper Index for the 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:
State Street Institutional Treasury Money Market Fund and State Street Treasury Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.
17
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio 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 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 Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
18
Table of Contents
Trustees
Michael F. Holland
Michael A. Jessee
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator, and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITTRMMSAR |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
5 | ||||
9 | ||||
16 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 11,471,186,519 | ||
Receivable from Adviser (Note 3) | 95,333 | |||
|
| |||
Total assets | 11,471,281,852 | |||
|
| |||
Liabilities | ||||
Due to custodian (Note 3) | 550 | |||
Payable for fund shares repurchased | 9,161 | |||
Administration fees payable (Note 3) | 426,470 | |||
Shareholder servicing fee payable (Note 3) | 351,660 | |||
Distribution fees payable (Note 3) | 2,883 | |||
Transfer agent fees payable (Note 3) | 10,657 | |||
Distribution payable | 331,596 | |||
Registration and filing fees payable | 4,848 | |||
Professional fees payable | 19,404 | |||
Printing fees payable | 11,141 | |||
Accrued expenses and other liabilities | 127,038 | |||
|
| |||
Total liabilities | 1,295,408 | |||
|
| |||
Net Assets | $ | 11,469,986,444 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 11,469,966,972 | ||
Accumulated net realized gain (loss) on investments | 19,472 | |||
|
| |||
Net Assets | $ | 11,469,986,444 | ||
|
| |||
Premier Class | ||||
Net Assets | $ | 4,626,612,421 | ||
Shares outstanding | 4,626,749,261 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net Assets | $ | 33,489,091 | ||
Shares outstanding | 33,496,552 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class | ||||
Net Assets | $ | 458,222,142 | ||
Shares outstanding | 458,221,922 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Trust Class | ||||
Net Assets | $ | 6,351,662,790 | ||
Shares outstanding | 6,351,966,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
For the Six Months Ended June 30, 2017 (Unaudited)
Income and Expenses Allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 33,832,671 | ||
Expenses allocated from Portfolio (Note 2) | (3,197,598 | ) | ||
|
| |||
Total Investment Income (loss) Allocated from Portfolio | 30,635,073 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | 2,446,688 | |||
Shareholder servicing fees – (Note 3) | ||||
Investment Class | 51,666 | |||
Investor Class | 168,124 | |||
Trust Class | 1,940,442 | |||
Distribution fees (Note 3) | ||||
Investment Class | 20,666 | |||
Custodian fees (Note 3) | 8,329 | |||
Trustees’ fees and expenses (Note 4) | 10,909 | |||
Transfer agent fees (Note 3) | 16,902 | |||
Registration and filing fees | 225,046 | |||
Professional fees | 15,258 | |||
Printing fees | 18,388 | |||
Insurance expense | 5,805 | |||
Miscellaneous expenses | 39,020 | |||
|
| |||
Total expenses | 4,967,243 | |||
Expenses waived/reimbursed by the Adviser (Note 3) | (168,111 | ) | ||
|
| |||
Net expenses | 4,799,132 | |||
|
| |||
Net Investment Income (loss) | 25,835,941 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | (1,167 | ) | ||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 25,834,774 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 25,835,941 | $ | 8,454,097 | ||||
Net realized gain (loss) | (1,167 | ) | 21,479 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 25,834,774 | 8,475,576 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (6,982,936 | ) | (3,353,545 | ) | ||||
Investment Class | (42,018 | ) | (595 | ) | ||||
Investor Class | (1,073,545 | ) | (48,938 | ) | ||||
Trust Class | (17,737,442 | ) | (5,051,019 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (25,835,941 | ) | (8,454,097 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 6,165,155,110 | 7,753,184,699 | ||||||
Reinvestment of distributions | 6,585,568 | 2,911,753 | ||||||
Shares redeemed | (4,060,374,393 | ) | (6,925,506,261 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,111,366,285 | 830,590,191 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 97,217,523 | 226,954,326 | ||||||
Reinvestment of distributions | 11,511 | 127 | ||||||
Shares redeemed | (111,910,177 | ) | (238,825,342 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (14,681,143 | ) | (11,870,889 | ) | ||||
|
|
|
| |||||
Investor Class | ||||||||
Shares sold | 1,210,196,523 | 195,611,352 | ||||||
Reinvestment of distributions | 1,073,547 | 48,938 | ||||||
Shares redeemed | (854,509,151 | ) | (94,199,287 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 356,760,919 | 101,461,003 | ||||||
|
|
|
| |||||
Trust Class | ||||||||
Shares sold | 11,338,083,649 | 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 | 16,552,810 | 4,709,007 | ||||||
Shares redeemed | (12,965,794,938 | ) | (8,456,591,527 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (1,611,158,479 | ) | 7,962,805,639 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 842,287,582 | 8,882,985,944 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 842,286,415 | 8,883,007,423 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 10,627,700,029 | 1,744,692,606 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 11,469,986,444 | $ | 10,627,700,029 | ||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statements of Changes in Net Assets — (continued)
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16(a) | |||||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 6,165,155,110 | 7,753,201,302 | ||||||
Reinvestment of distributions | 6,585,568 | 2,911,753 | ||||||
Shares redeemed | (4,060,374,393 | ) | (6,925,506,261 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 2,111,366,285 | 830,606,794 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 97,217,523 | 226,937,723 | ||||||
Reinvestment of distributions | 11,511 | 127 | ||||||
Shares redeemed | (111,910,177 | ) | (238,825,342 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (14,681,143 | ) | (11,887,492 | ) | ||||
|
|
|
| |||||
Investor Class | ||||||||
Shares sold | 1,210,196,523 | 195,611,352 | ||||||
Reinvestment of distributions | 1,073,547 | 48,938 | ||||||
Shares redeemed | (854,509,151 | ) | (94,199,287 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 356,760,919 | 101,461,003 | ||||||
|
|
|
| |||||
Trust Class | ||||||||
Shares sold | 11,338,083,649 | 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 | 16,552,810 | 4,709,007 | ||||||
Shares redeemed | (12,965,794,938 | ) | (8,456,591,527 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (1,611,158,479 | ) | 7,963,124,479 | |||||
|
|
|
|
(a) | For Investor Class and Trust Class, data is for period October 14, 2016 and August 29, 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 Treasury Plus Money Market Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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|
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|
|
|
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|
|
|
| |||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0028 | 0.0019 | 0.0000 | (b)(c) | 0.0000 | (b)(c) | (0.0001 | )(c) | 0.0002 | (c) | ||||||||||||||
Net realized gain (loss) | (0.0000 | )(b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | |||||||||||||
Total from investment operations | 0.0028 | 0.0019 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0002 | |||||||||||||||
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|
| |||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0028 | ) | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0002 | ) | |||||||||||||
Net realized gains | – | – | – | – | (0.0000 | )(b) | – | |||||||||||||||||
Total distributions | (0.0028 | ) | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0002 | ) | |||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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| |||||||||||||
Total return(d) | 0.28 | % | 0.19 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.02 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period | $ | 4,626,612 | $ | 2,515,246 | $ | 1,684,652 | $ | 2,690,959 | $ | 2,679,596 | $ | 2,203,141 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.12 | %(f) | 0.14 | % | 0.14 | % | 0.13 | % | 0.13 | % | 0.14 | % | ||||||||||||
Net expenses | 0.12 | %(f) | 0.12 | % | 0.06 | % | 0.05 | % | 0.08 | % | 0.11 | % | ||||||||||||
Net investment income (loss) | 0.58 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | 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 | $ | 1.0000 | ||||||||||||
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Income (Loss) from Investment Operations | ||||||||||||||||||||||||
Net investment income (loss) | 0.0011 | 0.0000 | (b) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | (0.0001 | )(c) | 0.0000 | (b)(c) | |||||||||||||
Net realized gain (loss) | (0.0000 | )(b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | |||||||||||||
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Total from investment operations | 0.0011 | 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 | (0.0011 | ) | (0.0000 | )(b) | – | – | – | – | ||||||||||||||||
Net realized gains | – | – | – | – | (0.0000 | )(b) | – | |||||||||||||||||
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Total distributions | (0.0011 | ) | (0.0000 | )(b) | – | – | (0.0000 | )(b) | – | |||||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total return(d) | 0.11 | % | 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) | $ | 33,489 | $ | 48,170 | $ | 60,041 | $ | 74,781 | $ | 73,449 | $ | 95,222 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.47 | %(f) | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.49 | % | ||||||||||||
Net expenses | 0.47 | %(f) | 0.31 | % | 0.06 | % | 0.05 | % | 0.08 | % | 0.13 | % | ||||||||||||
Net investment income (loss) | 0.20 | %(f) | 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. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | 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 Plus Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investor Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 10/14/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations | ||||||||
Net investment income (loss) | 0.0024 | 0.0004 | ||||||
Net realized gain (loss) | (0.0000 | )(b) | 0.0000 | (b) | ||||
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Total from investment operations | 0.0024 | 0.0004 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0024 | ) | (0.0004 | ) | ||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | ||||
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Total return(c) | 0.24 | % | 0.04 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 458,222 | $ | 101,461 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.20 | %(d) | 0.20 | %(d) | ||||
Net expenses | 0.20 | %(d) | 0.20 | %(d) | ||||
Net investment income (loss) | 0.51 | %(d) | 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 is 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 Treasury Plus Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Trust Class | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 8/29/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | ||||
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Income (Loss) from Investment Operations | ||||||||
Net investment income (loss) | 0.0026 | 0.0007 | ||||||
Net realized gain (loss) | (0.0000 | )(b) | 0.0000 | (b) | ||||
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Total from investment operations | 0.0026 | 0.0007 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | (0.0026 | ) | (0.0007 | ) | ||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | ||||
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Total return(c) | 0.26 | % | 0.07 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 6,351,663 | $ | 7,962,822 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.18 | %(d) | 0.18 | %(d) | ||||
Net expenses | 0.17 | %(d) | 0.18 | %(d) | ||||
Net investment income (loss) | 0.51 | %(d) | 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 is 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 Treasury Plus Money Market Fund
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 only the following series (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 June 30, 2017). 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
9
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 June 30, 2017, 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.
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. 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.
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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, 2018, to waive up to the full amount of the advisory fee payable by the Fund and/or to reimburse the Fund for expenses to the extent that total annual fund operating expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and any class – specific expenses such as distribution, shareholder servicing, administration and sub-transfer agency fees, as measured on an annualized basis) exceed 0.07% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2018 except with approval of the Board. For the period ended June 30, 2017, the Adviser waived fees in the amount of $168,111.
Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended June 30, 2017, 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 June 30, 2017, 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 | $ | 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
11
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
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 services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
During the period ended June 30, 2017, the Fund paid $20,666 to SSGA FD under the Plan.
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 June 30, 2017, SSGA FD paid $43,121 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 June 30, 2017, the Fund’s Investment Class shares, Investor Class shares and Trust Class shares paid SSGA FD $51,666, $168,124 and $1,940,442, respectively, for these services which SSGA FD subsequently paid in part to financial intermediaries.
Due to Custodian
In certain circumstances, the Fund 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 Fund. The State Street Institutional Treasury Plus Money Market Fund had cash overdraft related to expense payments.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems Inc., and State Street Corporation. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. As of December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as 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, a 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
13
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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.
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 the Fund Immediately After the Combination | |||||||||||||
SSGA U.S. Treasury Money | 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. New Accounting Pronouncement
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
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.
15
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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.
Annualized Expense Ratio | Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||||||||||||
Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||||||||||||||
State Street Institutional Treasury Plus Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | 1,002.80 | 0.60 | 1,024.20 | 0.60 | |||||||||||||||
Investment Class | 0.47 | 1,001.10 | 2.33 | 1,022.50 | 2.36 | |||||||||||||||
Investor Class | 0.20 | 1,002.40 | 0.99 | 1,023.80 | 1.00 | |||||||||||||||
Trust Class | 0.17 | 1,002.60 | 0.84 | 1,024.00 | 0.85 |
(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 181, then divided by 365. |
16
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
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. 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.
17
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Institutional Treasury Plus Money Market Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
18
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and shareholder servicer for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any
20
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
Money Market Funds, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of
21
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund (a) outperformed the medians of its Performance Group and Performance Universe for the 1-, 3- and 5-year periods and its Lipper Index for the 1-year period, and (b) equaled its Lipper Index for the 3- and 5-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory by comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund’s actual management fee was above the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the
22
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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 Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2017
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
10 | ||||
15 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Treasury Repurchase Agreements | 47.2 | % | ||
Treasury Debt | 45.3 | |||
Other Assets in Excess of Liabilities | 7.5 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2017 | |||
2 to 30 Days | 55.9 | % | ||
31 to 60 Days | 8.0 | |||
61 to 90 Days | 11.3 | |||
Over 90 Days | 17.3 | |||
Total | 92.5 | % | ||
Average days to maturity | 21 | |||
Weighted average life | 57 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
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Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 45.3% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.790 | % | 07/06/2017 | 07/06/2017 | $ | 400,000,000 | $ | 399,954,979 | ||||||||||||
U.S. Treasury Bill(a) | 0.820 | % | 07/20/2017 | 07/20/2017 | 200,000,000 | 199,913,444 | ||||||||||||||
U.S. Treasury Bill(a) | 0.820 | % | 07/27/2017 | 07/27/2017 | 150,000,000 | 149,911,167 | ||||||||||||||
U.S. Treasury Bill(a) | 0.825 | % | 07/13/2017 | 07/13/2017 | 250,000,000 | 249,931,250 | ||||||||||||||
U.S. Treasury Bill(a) | 0.845 | % | 08/03/2017 | 08/03/2017 | 100,000,000 | 99,922,542 | ||||||||||||||
U.S. Treasury Bill(a) | 0.890 | % | 09/21/2017 | 09/21/2017 | 575,000,000 | 573,696,342 | ||||||||||||||
U.S. Treasury Bill(a) | 0.905 | % | 08/17/2017 | 08/17/2017 | 100,000,000 | 99,881,847 | ||||||||||||||
U.S. Treasury Bill(a) | 0.908 | % | 08/10/2017 | 08/10/2017 | 100,000,000 | 99,899,361 | ||||||||||||||
U.S. Treasury Bill(a) | 0.910 | % | 09/14/2017 | 09/14/2017 | 625,000,000 | 623,721,870 | ||||||||||||||
U.S. Treasury Bill(a) | 0.928 | % | 08/24/2017 | 08/24/2017 | 250,000,000 | 249,654,167 | ||||||||||||||
U.S. Treasury Bill(a) | 0.980 | % | 09/07/2017 | 09/07/2017 | 100,000,000 | 99,814,889 | ||||||||||||||
U.S. Treasury Bill(a) | 1.060 | % | 11/30/2017 | 11/30/2017 | 100,000,000 | 99,552,444 | ||||||||||||||
U.S. Treasury Bill(a) | 1.070 | % | 12/07/2017 | 12/07/2017 | 75,000,000 | 74,645,563 | ||||||||||||||
U.S. Treasury Bill(a) | 1.100 | % | 12/14/2017 | 12/14/2017 | 50,000,000 | 49,745,524 | ||||||||||||||
U.S. Treasury Bill(a) | 1.120 | % | 12/21/2017 | 12/21/2017 | 150,000,000 | 149,192,667 | ||||||||||||||
U.S. Treasury Note(a) | 0.820 | % | 07/31/2017 | 07/31/2017 | 24,000,000 | 24,030,795 | ||||||||||||||
U.S. Treasury Note(a) | 0.825 | % | 07/31/2017 | 07/31/2017 | 24,000,000 | 23,996,030 | ||||||||||||||
U.S. Treasury Note(a) | 1.066 | % | 09/30/2017 | 09/30/2017 | 23,200,000 | 23,174,589 | ||||||||||||||
U.S. Treasury Note(a) | 1.073 | % | 10/31/2017 | 10/31/2017 | 100,000,000 | 99,893,060 | ||||||||||||||
U.S. Treasury Note(a) | 1.076 | % | 10/15/2017 | 10/15/2017 | 10,700,000 | 10,693,756 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.080 | % | 07/01/2017 | 07/31/2017 | 309,500,000 | 309,493,959 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.171 | % | 07/01/2017 | 10/31/2017 | 285,900,000 | 285,869,339 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.173 | % | 07/01/2017 | 10/31/2018 | 130,000,000 | 130,305,231 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.177 | % | 07/01/2017 | 07/31/2018 | 245,000,000 | 245,281,132 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.193 | % | 07/04/2017 | 04/30/2018 | 333,836,000 | 334,031,634 | ||||||||||||||
U.S. Treasury Note, 3 Month USD | 1.275 | % | 07/01/2017 | 01/31/2018 | 489,750,000 | 490,449,914 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 5,196,657,495 | |||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 47.2% | ||||||||||||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 2.125% due 08/15/2021, valued at $10,307,146); expected proceeds $10,105,909 | 1.080 | % | 07/03/2017 | 07/03/2017 | 10,105,000 | 10,105,000 |
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)
June 30, 2017 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.625% – 6.125% due 02/15/2029 – 02/15/2044, and a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, valued at $102,009,370); expected proceeds $100,009,167 | 1.100 | % | 07/03/2017 | 07/03/2017 | $ | 100,000,000 | $ | 100,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 08/15/2043, U.S. Treasury Inflation Index Notes, 0.375% – 1.625% due 01/15/2018 – 07/15/2023, and U.S. Treasury Notes, 1.250% – 2.000% due 11/15/2018 – 11/30/2020 valued at $51,000,011); expected proceeds $50,004,167 | 1.000 | % | 07/03/2017 | 07/03/2017 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 6.625% due 02/15/2027 – 08/15/2044, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, U.S. Treasury Notes, 1.125% – 1.250% due 12/31/2018 – 02/28/2021, and U.S. Treasury Strips, 0.000% due 08/15/2017 – 02/15/2027, valued at $264,966,420); expected proceeds $259,794,379 | 1.080 | % | 07/03/2017 | 07/03/2017 | 259,771,000 | 259,771,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 1.625% due 08/31/2019 – 06/30/2020, valued at $67,320,082); expected proceeds $66,005,940 | 1.080 | % | 07/03/2017 | 07/03/2017 | 66,000,000 | 66,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate & Investment Bank, and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 1.875% due 02/28/2022, valued at $3,739,350); expected proceeds $3,666,324 | 1.060 | % | 07/03/2017 | 07/03/2017 | 3,666,000 | 3,666,000 | ||||||||||||||
Agreement with Credit Agricole Corporate & Investment Bank, and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 2.000% due 12/31/2021, valued at $35,700,059); expected proceeds $35,014,428(c) | 1.060 | % | 07/14/2017 | 07/14/2017 | 35,000,000 | 35,000,000 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
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 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 8.000% due 11/15/2021 – 11/15/2041, and U.S. Treasury Notes, 1.625% – 2.750% due 11/15/2022 – 02/15/2024 valued at $4,519,376,613); expected proceeds $4,519,376,583 | 1.000 | % | 07/03/2017 | 07/03/2017 | $ | 4,519,000,000 | $ | 4,519,000,000 | ||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/27/2017 (collateralized by a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $43,863,915); expected proceeds $43,010,033 | 1.050 | % | 07/05/2017 | 07/05/2017 | 43,000,000 | 43,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $30,709,613); expected proceeds $30,107,659 | 1.060 | % | 07/03/2017 | 07/03/2017 | 30,105,000 | 30,105,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bills, 0.000% due 12/21/2017 – 01/04/2018, U.S. Treasury Bonds, 2.875% – 9.125% due 05/15/2018 – 11/15/2045, U.S. Treasury Inflation Index Bonds 0.750% – 3.875% due 01/15/2027 – 02/15/2045, U.S. Treasury Inflation Index Notes 0.125% – 1.375% due 01/15/2020 – 04/15/2022, and U.S. Treasury Notes, 0.500% – 4.750% due 07/31/2017 – 08/15/2026 valued at $59,733,314); expected proceeds $58,567,368 | 1.100 | % | 07/03/2017 | 07/03/2017 | 58,562,000 | 58,562,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 07/20/2017, and U.S. Treasury Bonds, 3.125% – 4.500% due 05/15/2038 – 08/15/2044, valued at $244,822,461); expected proceeds $240,022,000 | 1.100 | % | 07/03/2017 | 07/03/2017 | 240,000,000 | 240,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 5,415,209,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 92.5%(d)(e) |
| 10,611,866,495 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 7.5% |
| 859,321,054 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 11,471,187,549 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017. |
(c) | Illiquid security. This security represents $35,000,000 or 0.3% of net assets as of June 30, 2017. |
(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.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 5,196,657,495 | ||
Repurchase agreements, at amortized cost | 5,415,209,000 | |||
|
| |||
Total investments | 10,611,866,495 | |||
Cash | 856,291,671 | |||
Interest receivable (Note 2) | 4,118,100 | |||
Other receivable | 20,213 | |||
|
| |||
Total assets | 11,472,296,479 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 4) | 418,659 | |||
Administration, custodian and transfer agent fees payable (Note 4) | 588,799 | |||
Professional fees payable | 35,336 | |||
Printing fees payable | 11,573 | |||
Accrued expenses and other liabilities | 54,563 | |||
|
| |||
Total liabilities | 1,108,930 | |||
|
| |||
Net Assets | $ | 11,471,187,549 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income | ||||
Interest income | $ | 33,832,675 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 2,446,761 | |||
Administration, custodian and transfer agent fees (Note 4) | 622,456 | |||
Trustees’ fees and expenses (Note 5) | 105,833 | |||
Professional fees | 19,397 | |||
Insurance expense | 254 | |||
Miscellaneous expenses | 2,897 | |||
|
| |||
Total expenses | 3,197,598 | |||
|
| |||
Net Investment Income (Loss) | 30,635,077 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | (1,167 | ) | ||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 30,633,910 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Statement of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 30,635,077 | $ | 12,173,416 | ||||
Net realized gain (loss) | (1,167 | ) | 21,479 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 30,633,910 | 12,194,895 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 11,874,492,726 | 12,712,264,167 | ||||||
Proceeds in connection with Reorganization (Note 8) | – | 7,471,889,450 | ||||||
Withdrawals | (11,062,891,061 | ) | (11,312,210,340 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | 811,601,665 | 8,871,943,277 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 842,235,575 | 8,884,138,172 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 10,628,951,974 | 1,744,813,802 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 11,471,187,549 | $ | 10,628,951,974 | ||||
|
|
|
|
See accompanying notes to financial statements.
8
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/17 (Unaudited) | 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 | % | 0.23 | % | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 11,471,188 | $ | 10,628,952 | $ | 1,744,814 | $ | 2,765,530 | $ | 2,753,017 | $ | 2,298,541 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.07 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.08 | % | ||||||||||||
Net investment income (loss) | 0.63 | %(c) | 0.27 | % | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized. |
(b) | Amount is less than 0.005%. |
(c) | Annualized. |
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
June 30, 2017 (Unaudited)
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 June 30, 2017, 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)
June 30, 2017 (Unaudited)
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 an 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 period ended June 30, 2017.
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. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 Portfolio within the Trust.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $5,415,209,000 and associated collateral equal to $5,433,548,354.
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 minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for 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. As of December 31, 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.
At June 30, 2017, 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, a 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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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.
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 Master Funds
State Street Treasury Plus Money Market Portfolio
June 30, 2017 (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 January 1, 2017 to June 30, 2017.
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 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 | % | $ | 1,003.10 | $ | 0.35 | $ | 1,024.40 | $ | 0.35 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (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 its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. 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 Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Treasury Plus Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund (the “Fund”) for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
18
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.
19
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.
Portfolio Performance
The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:
Money Market Funds and Portfolios, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe
20
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.
State Street Institutional Treasury Plus Money Market Fund and State Street Treasury Plus Money Market Portfolio. The Board considered that the Fund (a) outperformed the medians of its Performance Group and Performance Universe for the 1-, 3- and 5-year periods and its Lipper Index for the 1-year period, and (b) equaled its Lipper Index for the 3- and 5-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:
State Street Institutional Treasury Plus Money Market Fund and State Street Treasury Plus Money Market Portfolio. The Board considered that the Fund’s actual management fee was above the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and
21
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2017 (Unaudited)
entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.
The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio 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 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 Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
22
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 | SSITTRPLMMSAR |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2017
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.
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Semi-Annual Report
June 30, 2017 (Unaudited)
1 | ||||
2 | ||||
14 | ||||
16 | ||||
17 | ||||
18 | ||||
19 | ||||
30 |
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
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 97.9 | % | ||
Short-Term Investments | 2.6 | |||
Liabilities in Excess of Other Assets | (0.5 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2017 | |||
Banks | 16.0 | % | ||
Internet Software & Services | 10.0 | |||
Oil, Gas & Consumable Fuels | 6.6 | |||
Technology Hardware, Storage & Peripherals | 6.0 | |||
Semiconductors & Semiconductor Equipment | 5.3 | |||
Total | 43.9 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
1
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.9% |
| |||||||
Brazil – 6.5% | ||||||||
Ambev SA | 474,285 | $ | 2,621,039 | |||||
Banco Bradesco SA | 91,868 | 765,278 | ||||||
Banco Bradesco SA Preference Shares | 307,289 | 2,610,786 | ||||||
Banco do Brasil SA | 86,198 | 697,233 | ||||||
Banco Santander Brasil SA | 41,700 | 314,646 | ||||||
BB Seguridade Participacoes SA | 70,337 | 608,211 | ||||||
BM&FBovespa SA | 208,292 | 1,241,611 | ||||||
BR Malls Participacoes SA | 83,303 | 300,451 | ||||||
Braskem SA Class A, Preference Shares | 17,900 | 184,767 | ||||||
BRF SA | 45,223 | 535,046 | ||||||
CCR SA | 121,169 | 618,051 | ||||||
Centrais Eletricas Brasileiras SA(a) | 21,100 | 79,286 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 23,300 | 115,401 | ||||||
Cia Brasileira de Distribuicao Preference Shares(a) | 16,000 | 314,616 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 34,600 | 330,623 | ||||||
Cia Energetica de Minas Gerais Preference Shares | 72,800 | 177,537 | ||||||
Cia Paranaense de Energia Preference Shares | 9,900 | 73,296 | ||||||
Cia Siderurgica Nacional SA(a) | 60,600 | 131,324 | ||||||
Cielo SA | 121,957 | 905,497 | ||||||
Cosan SA Industria e Comercio | 15,700 | 163,859 | ||||||
CPFL Energia SA | 24,586 | 196,718 | ||||||
Duratex SA | 28,078 | 69,236 | ||||||
EDP – Energias do Brasil SA | 28,850 | 123,559 | ||||||
Embraer SA | 65,917 | 301,011 | ||||||
Engie Brasil Energia SA | 16,270 | 166,567 | ||||||
Equatorial Energia SA | 20,300 | 331,956 | ||||||
Fibria Celulose SA | 24,735 | 252,408 | ||||||
Gerdau SA Preference Shares | 94,000 | 291,653 | ||||||
Hypermarcas SA | 37,100 | 311,289 | ||||||
Itau Unibanco Holding SA Preference Shares | 324,741 | 3,601,971 | ||||||
Itausa – Investimentos Itau SA | 248 | 646 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 399,105 | 1,086,524 | ||||||
JBS SA | 81,000 | 159,641 | ||||||
Klabin SA | 60,007 | 293,945 | ||||||
Kroton Educacional SA | 139,621 | 626,625 | ||||||
Localiza Rent a Car SA | 16,695 | 227,504 | ||||||
Lojas Americanas SA | 17,298 | 63,433 | ||||||
Lojas Americanas SA Preference Shares | 72,273 | 305,387 | ||||||
Lojas Renner SA | 70,192 | 580,052 | ||||||
M Dias Branco SA | 10,600 | 157,724 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 8,818 | 173,845 | ||||||
Natura Cosmeticos SA | 17,400 | 134,967 | ||||||
Odontoprev SA | 25,600 | 90,014 | ||||||
Petroleo Brasileiro SA(a) | 297,714 | 1,186,094 | ||||||
Petroleo Brasileiro SA Preference Shares(a) | 393,498 | 1,469,123 | ||||||
Porto Seguro SA | 10,900 | 100,701 | ||||||
Qualicorp SA | 22,136 | 191,746 | ||||||
Raia Drogasil SA | 23,300 | 493,039 | ||||||
Rumo SA(a) | 78,023 | 203,697 | ||||||
Sul America SA | 19,433 | 103,815 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 41,400 | 178,183 | ||||||
Telefonica Brasil SA Preference Shares | 44,955 | 609,214 | ||||||
Tim Participacoes SA | 83,100 | 245,544 | ||||||
Transmissora Alianca de Energia Eletrica SA | 17,600 | 117,077 | ||||||
Ultrapar Participacoes SA | 36,282 | 848,889 | ||||||
Vale SA | 129,433 | 1,132,893 | ||||||
Vale SA Preference Shares | 193,329 | 1,570,205 | ||||||
WEG SA | 57,400 | 306,642 | ||||||
|
| |||||||
31,092,095 | ||||||||
|
| |||||||
Chile – 1.1% | ||||||||
AES Gener SA | 291,284 | 102,517 | ||||||
Aguas Andinas SA Class A | 263,499 | 154,177 | ||||||
Banco de Chile | 2,486,398 | 322,505 | ||||||
Banco de Credito e Inversiones | 3,725 | 207,891 | ||||||
Banco Santander Chile | 6,524,741 | 414,615 | ||||||
Cencosud SA | 140,774 | 373,407 | ||||||
Cia Cervecerias Unidas SA | 14,676 | 192,223 | ||||||
Colbun SA | 799,220 | 171,657 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 25,379 | 107,251 | ||||||
Empresa Nacional de Telecomunicaciones SA | 14,611 | 159,036 | ||||||
Empresas CMPC SA | 127,183 | 303,586 | ||||||
Empresas COPEC SA | 45,851 | 500,017 | ||||||
Enel Americas SA | 2,913,085 | 551,787 | ||||||
Enel Chile SA | 1,949,784 | 213,538 | ||||||
Enel Generacion Chile SA | 320,424 | 241,116 | ||||||
Itau CorpBanca | 14,637,944 | 130,122 | ||||||
Latam Airlines Group SA | 30,555 | 339,140 | ||||||
SACI Falabella | 60,156 | 493,583 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 9,722 | 322,099 | ||||||
|
| |||||||
5,300,267 | ||||||||
|
| |||||||
China – 26.5% | ||||||||
3SBio, Inc.(a)(b) | 106,300 | 141,072 | ||||||
58.com, Inc. ADR(a) | 9,200 | 405,812 | ||||||
AAC Technologies Holdings, Inc. | 74,000 | 925,184 | ||||||
Agricultural Bank of China, Ltd. Class H | 2,625,000 | 1,240,801 | ||||||
Air China, Ltd. Class H | 184,000 | 189,741 | ||||||
Alibaba Group Holding, Ltd. ADR(a) | 113,582 | 16,003,704 | ||||||
Alibaba Health Information Technology, Ltd.(a)(c) | 332,500 | 158,446 | ||||||
Aluminum Corp. of China, Ltd. Class H(a) | 384,000 | 196,760 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 123,500 | 429,520 | ||||||
ANTA Sports Products, Ltd. | 107,000 | 353,631 | ||||||
Autohome, Inc. ADR(a)(c) | 5,100 | 231,336 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
AviChina Industry & Technology Co., Ltd. Class H | 212,000 | $ | 124,379 | |||||
Baidu, Inc. ADR(a) | 27,500 | 4,918,650 | ||||||
Bank of China, Ltd. Class H | 7,985,000 | 3,917,600 | ||||||
Bank of Communications Co., Ltd. Class H | 880,000 | 621,127 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 150,000 | 211,364 | ||||||
Beijing Enterprises Holdings, Ltd. | 50,000 | 241,147 | ||||||
Beijing Enterprises Water Group, Ltd.(a) | 476,000 | 369,510 | ||||||
Belle International Holdings, Ltd. | 641,000 | 505,807 | ||||||
Brilliance China Automotive Holdings, Ltd. | 306,000 | 557,401 | ||||||
Byd Co., Ltd. Class H(c) | 63,500 | 389,633 | ||||||
CGN Power Co., Ltd. Class H(b) | 1,071,700 | 299,279 | ||||||
China Cinda Asset Management Co., Ltd. Class H | 881,481 | 328,588 | ||||||
China CITIC Bank Corp., Ltd. Class H | 904,000 | 553,532 | ||||||
China Coal Energy Co., Ltd. Class H | 193,000 | 93,453 | ||||||
China Communications Construction Co., Ltd. Class H | 448,000 | 577,328 | ||||||
China Communications Services Corp., Ltd. Class H | 240,000 | 138,347 | ||||||
China Conch Venture Holdings, Ltd. | 165,500 | 303,166 | ||||||
China Construction Bank Corp. Class H | 8,454,000 | 6,551,851 | ||||||
China Everbright Bank Co., Ltd. Class H | 262,000 | 122,501 | ||||||
China Everbright International, Ltd. | 248,000 | 309,426 | ||||||
China Everbright, Ltd. | 94,000 | 204,702 | ||||||
China Evergrande Group(a)(c) | 410,000 | 736,340 | ||||||
China Galaxy Securities Co., Ltd. Class H | 328,500 | 294,564 | ||||||
China Huarong Asset Management Co., Ltd.(b) | 635,500 | 247,477 | ||||||
China Huishan Dairy Holdings Co., Ltd.(d) | 406,100 | – | ||||||
China Jinmao Holdings Group, Ltd. | 388,000 | 160,042 | ||||||
China Life Insurance Co., Ltd. Class H | 749,000 | 2,288,319 | ||||||
China Longyuan Power Group Corp., Ltd. Class H | 308,000 | 224,102 | ||||||
China Medical System Holdings, Ltd. | 123,000 | 212,709 | ||||||
China Mengniu Dairy Co., Ltd.(a) | 273,000 | 535,058 | ||||||
China Merchants Bank Co., Ltd. Class H | 392,500 | 1,184,069 | ||||||
China Merchants Port Holdings Co., Ltd. | 129,146 | 358,167 | ||||||
China Minsheng Banking Corp., Ltd. Class H | 561,000 | 559,818 | ||||||
China Mobile, Ltd. | 617,000 | 6,548,233 | ||||||
China National Building Material Co., Ltd. Class H | 282,000 | 167,615 | ||||||
China Oilfield Services, Ltd. Class H | 180,000 | 144,342 | ||||||
China Overseas Land & Investment, Ltd. | 386,000 | 1,129,848 | ||||||
China Pacific Insurance Group Co., Ltd. Class H | 266,000 | 1,086,973 | ||||||
China Petroleum & Chemical Corp. Class H | 2,568,000 | 2,003,359 | ||||||
China Power International Development, Ltd. | 338,000 | 119,934 | ||||||
China Railway Construction Corp., Ltd. Class H | 201,500 | 262,766 | ||||||
China Railway Group, Ltd. Class H | 401,000 | 315,912 | ||||||
China Resources Beer Holdings Co., Ltd. | 163,333 | 412,180 | ||||||
China Resources Gas Group, Ltd. | 88,000 | 300,418 | ||||||
China Resources Land, Ltd. | 280,000 | 815,992 | ||||||
China Resources Power Holdings Co., Ltd. | 194,000 | 380,721 | ||||||
China Shenhua Energy Co., Ltd. Class H | 339,500 | 755,851 | ||||||
China Southern Airlines Co., Ltd. Class H | 178,000 | 150,491 | ||||||
China State Construction International Holdings, Ltd. | 176,000 | 301,207 | ||||||
China Taiping Insurance Holdings Co., Ltd. | 161,800 | 409,969 | ||||||
China Telecom Corp., Ltd. Class H | 1,380,000 | 655,842 | ||||||
China Unicom Hong Kong, Ltd.(a) | 604,000 | 897,514 | ||||||
China Vanke Co., Ltd. Class H | 120,500 | 341,135 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B | 89,300 | 117,824 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 249,000 | 168,096 | ||||||
CITIC Securities Co., Ltd. Class H | 230,000 | 475,530 | ||||||
CITIC, Ltd. | 586,000 | 881,276 | ||||||
CNOOC, Ltd. | 1,797,000 | 1,968,161 | ||||||
COSCO SHIPPING Ports, Ltd. | 165,272 | 193,928 | ||||||
Country Garden Holdings Co., Ltd. | 540,000 | 626,021 | ||||||
CRRC Corp., Ltd. Class H | 409,000 | 367,796 | ||||||
CSPC Pharmaceutical Group, Ltd. | 422,000 | 616,260 | ||||||
Ctrip.com International, Ltd. ADR(a) | 37,567 | 2,023,359 | ||||||
Dongfeng Motor Group Co., Ltd. Class H | 278,000 | 328,695 | ||||||
ENN Energy Holdings, Ltd. | 77,000 | 464,577 | ||||||
Far East Horizon, Ltd. | 200,000 | 174,471 | ||||||
Fosun International, Ltd. | 255,000 | 398,517 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
Fuyao Glass Industry Group Co., Ltd. Class H(b) | 52,056 | $ | 199,383 | |||||
Geely Automobile Holdings, Ltd. | 490,000 | 1,057,023 | ||||||
GF Securities Co., Ltd. Class H | 138,600 | 278,391 | ||||||
GOME Electrical Appliances Holding, Ltd. | 1,146,000 | 140,930 | ||||||
Great Wall Motor Co., Ltd. Class H(c) | 311,000 | 384,047 | ||||||
Guangdong Investment, Ltd. | 278,000 | 383,181 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H | 214,000 | 375,561 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 98,800 | 153,646 | ||||||
Haitian International Holdings, Ltd. | 65,000 | 182,349 | ||||||
Haitong Securities Co., Ltd. Class H | 320,400 | 517,962 | ||||||
Hengan International Group Co., Ltd. | 72,000 | 531,253 | ||||||
Huaneng Power International, Inc. Class H | 430,000 | 298,548 | ||||||
Huaneng Renewables Corp., Ltd. Class H | 498,000 | 153,742 | ||||||
Huatai Securities Co., Ltd. Class H(b) | 161,500 | 310,320 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 7,414,000 | 5,005,064 | ||||||
JD.com, Inc. ADR(a) | 65,967 | 2,587,226 | ||||||
Jiangsu Expressway Co., Ltd. Class H | 122,000 | 172,222 | ||||||
Jiangxi Copper Co., Ltd. Class H | 129,000 | 211,848 | ||||||
Kingsoft Corp., Ltd. | 79,000 | 205,939 | ||||||
Kunlun Energy Co., Ltd. | 330,000 | 279,845 | ||||||
Lenovo Group, Ltd. | 734,000 | 463,542 | ||||||
Longfor Properties Co., Ltd. | 144,500 | 310,603 | ||||||
Minth Group, Ltd. | 70,000 | 296,806 | ||||||
Momo, Inc. ADR(a) | 8,600 | 317,856 | ||||||
NetEase, Inc. ADR | 7,973 | 2,396,923 | ||||||
New China Life Insurance Co., Ltd. Class H | 77,700 | 395,146 | ||||||
New Oriental Education & Technology Group, Inc. ADR(a) | 13,500 | 951,615 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H | 715,000 | 300,418 | ||||||
PetroChina Co., Ltd. Class H | 2,108,000 | 1,290,758 | ||||||
PICC Property & Casualty Co., Ltd. Class H | 464,000 | 775,072 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H | 524,000 | 3,453,529 | ||||||
Semiconductor Manufacturing International Corp.(a)(c) | 273,300 | 316,836 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 196,000 | 153,909 | ||||||
Shanghai Electric Group Co., Ltd. Class H(a) | 268,000 | 128,740 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 50,000 | 193,750 | ||||||
Shanghai Industrial Holdings, Ltd. | 51,000 | 150,914 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 94,960 | 151,936 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 68,300 | 203,418 | ||||||
Shenzhou International Group Holdings, Ltd. | 56,000 | 368,003 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd. | 365,000 | 152,893 | ||||||
SINA Corp.(a) | 5,600 | 475,832 | ||||||
Sino-Ocean Group Holding, Ltd. | 313,000 | 153,163 | ||||||
Sinopec Engineering Group Co., Ltd. Class H | 127,200 | 114,711 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 338,000 | 180,984 | ||||||
Sinopharm Group Co., Ltd. Class H | 120,800 | 546,246 | ||||||
SOHO China, Ltd.(a) | 208,500 | 102,828 | ||||||
Sunac China Holdings, Ltd.(c) | 190,700 | 398,673 | ||||||
Sunny Optical Technology Group Co., Ltd. | 72,100 | 646,517 | ||||||
TAL Education Group ADR | 4,600 | 562,626 | ||||||
Tencent Holdings, Ltd. | 571,000 | 20,421,984 | ||||||
Tingyi Cayman Islands Holding Corp. | 194,000 | 230,123 | ||||||
TravelSky Technology, Ltd. Class H | 93,000 | 274,004 | ||||||
Tsingtao Brewery Co., Ltd. Class H | 36,000 | 159,330 | ||||||
Vipshop Holdings, Ltd. ADR(a) | 40,088 | 422,928 | ||||||
Want Want China Holdings, Ltd. | 510,000 | 344,292 | ||||||
Weibo Corp. ADR(a)(c) | 3,160 | 210,045 | ||||||
Weichai Power Co., Ltd. Class H | 186,000 | 162,973 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H | 192,000 | 172,165 | ||||||
YY, Inc. ADR(a) | 3,100 | 179,893 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 144,000 | 188,152 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 55,000 | 269,841 | ||||||
Zijin Mining Group Co., Ltd. Class H | 572,000 | 189,044 | ||||||
ZTE Corp. Class H(a) | 73,600 | 175,740 | ||||||
|
| |||||||
127,203,517 | ||||||||
|
| |||||||
Colombia – 0.4% | ||||||||
Bancolombia SA | 22,268 | 231,640 | ||||||
Bancolombia SA Preference Shares | 45,829 | 508,533 | ||||||
Cementos Argos SA | 45,261 | 175,410 | ||||||
Ecopetrol SA | 485,772 | 219,427 | ||||||
Grupo Argos SA | 29,085 | 197,450 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 366,121 | 150,400 |
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Colombia – (continued) | ||||||||
Grupo de Inversiones Suramericana SA | 23,723 | $ | 307,499 | |||||
Grupo de Inversiones Suramericana SA Preference Shares | 11,829 | 149,534 | ||||||
Interconexion Electrica SA ESP | 39,028 | 170,416 | ||||||
|
| |||||||
2,110,309 | ||||||||
|
| |||||||
Czech Republic – 0.2% | ||||||||
CEZ A/S | 16,532 | 287,364 | ||||||
Komercni banka A/S | 7,777 | 311,123 | ||||||
Moneta Money Bank A/S(b) | 48,304 | 161,598 | ||||||
O2 Czech Republic A/S | 6,222 | 73,723 | ||||||
|
| |||||||
833,808 | ||||||||
|
| |||||||
Egypt – 0.1% | ||||||||
Commercial International Bank Egypt SAE | 103,377 | 455,954 | ||||||
Egyptian Financial Group-Hermes Holding Co. | 45,677 | 60,667 | ||||||
Global Telecom Holding SAE(a) | 216,036 | 81,669 | ||||||
|
| |||||||
598,290 | ||||||||
|
| |||||||
Greece – 0.4% | ||||||||
Alpha Bank AE(a) | 140,999 | 347,364 | ||||||
Eurobank Ergasias SA(a) | 179,074 | 200,158 | ||||||
FF Group(a) | 3,021 | 73,736 | ||||||
Hellenic Telecommunications Organization SA | 24,268 | 291,735 | ||||||
JUMBO SA | 10,278 | 187,561 | ||||||
National Bank of Greece SA(a) | 567,689 | 215,610 | ||||||
OPAP SA | 21,919 | 247,497 | ||||||
Piraeus Bank SA(a) | 544,624 | 133,552 | ||||||
Titan Cement Co. SA | 4,442 | 125,493 | ||||||
|
| |||||||
1,822,706 | ||||||||
|
| |||||||
Hong Kong – 0.5% | ||||||||
Alibaba Pictures Group, Ltd.(a)(c) | 1,295,900 | 215,805 | ||||||
China Gas Holdings, Ltd. | 178,000 | 359,354 | ||||||
Fullshare Holdings, Ltd.(a)(c) | 696,100 | 278,210 | ||||||
GCL-Poly Energy Holdings, Ltd.(a)(c) | 1,318,000 | 143,509 | ||||||
Haier Electronics Group Co., Ltd.(a) | 125,000 | 325,052 | ||||||
Nine Dragons Paper Holdings, Ltd. | 158,000 | 210,493 | ||||||
Shimao Property Holdings, Ltd. | 122,500 | 209,647 | ||||||
Sino Biopharmaceutical, Ltd. | 444,000 | 392,445 | ||||||
Sun Art Retail Group, Ltd. | 231,500 | 184,454 | ||||||
|
| |||||||
2,318,969 | ||||||||
|
| |||||||
Hungary – 0.3% | ||||||||
MOL Hungarian Oil & Gas PLC | 4,693 | 367,548 | ||||||
OTP Bank PLC | 23,799 | 794,735 | ||||||
Richter Gedeon Nyrt | 14,113 | 368,018 | ||||||
|
| |||||||
1,530,301 | ||||||||
|
| |||||||
India – 8.6% | ||||||||
ACC, Ltd. | 4,283 | 104,021 | ||||||
Adani Ports & Special Economic Zone, Ltd.(a) | 73,599 | 415,491 | ||||||
Ambuja Cements, Ltd. | 60,715 | 231,072 | ||||||
Apollo Hospitals Enterprise, Ltd.(a) | 8,640 | 170,173 | ||||||
Ashok Leyland, Ltd. | 110,799 | 160,960 | ||||||
Asian Paints, Ltd. | 29,165 | 498,586 | ||||||
Aurobindo Pharma, Ltd. | 26,013 | 275,272 | ||||||
Axis Bank, Ltd. | 168,126 | 1,349,950 | ||||||
Bajaj Auto, Ltd. | 8,548 | 368,964 | ||||||
Bajaj Finance, Ltd. | 16,509 | 350,817 | ||||||
Bajaj Finserv, Ltd.(a) | 3,921 | 249,145 | ||||||
Bharat Forge, Ltd. | 10,392 | 175,902 | ||||||
Bharat Heavy Electricals, Ltd. | 61,253 | 128,216 | ||||||
Bharat Petroleum Corp., Ltd. | 50,945 | 502,928 | ||||||
Bharti Airtel, Ltd. | 121,004 | 713,435 | ||||||
Bharti Infratel, Ltd. | 55,606 | 321,743 | ||||||
Bosch, Ltd. | 730 | 263,991 | ||||||
Cadila Healthcare, Ltd. | 21,302 | 172,888 | ||||||
Cipla, Ltd. | 34,458 | 297,254 | ||||||
Coal India, Ltd. | 67,903 | 256,852 | ||||||
Container Corp. Of India, Ltd. | 4,453 | 79,019 | ||||||
Dabur India, Ltd. | 54,100 | 243,895 | ||||||
Dr Reddy’s Laboratories, Ltd. | 9,803 | 408,044 | ||||||
Dr Reddy’s Laboratories, Ltd. ADR | 1,788 | 75,346 | ||||||
Eicher Motors, Ltd.(a) | 1,347 | 562,869 | ||||||
GAIL India, Ltd. | 40,682 | 227,838 | ||||||
GAIL India, Ltd. GDR | 1,917 | 63,261 | ||||||
Glenmark Pharmaceuticals, Ltd. | 13,519 | 132,570 | ||||||
Godrej Consumer Products, Ltd.(e)(f) | 11,940 | 178,830 | ||||||
Godrej Consumer Products, Ltd.(e) | 11,940 | 179,162 | ||||||
Grasim Industries, Ltd. | 28,377 | 546,138 | ||||||
Havells India, Ltd. | 25,088 | 179,124 | ||||||
HCL Technologies, Ltd. | 56,686 | 746,663 | ||||||
Hero MotoCorp, Ltd. | 5,105 | 291,069 | ||||||
Hindalco Industries, Ltd. | 118,714 | 350,977 | ||||||
Hindustan Petroleum Corp., Ltd. | 41,028 | 323,463 | ||||||
Hindustan Unilever, Ltd. | 64,739 | 1,081,696 | ||||||
Housing Development Finance Corp., Ltd. | 151,441 | 3,776,565 | ||||||
ICICI Bank, Ltd. | 210,901 | 946,221 | ||||||
ICICI Bank, Ltd. ADR | 14,015 | 125,715 | ||||||
Idea Cellular, Ltd. | 142,653 | 188,255 | ||||||
IDFC Bank, Ltd. | 136,601 | 116,022 | ||||||
Indiabulls Housing Finance, Ltd. | 31,441 | 526,428 | ||||||
Indian Oil Corp., Ltd. | 59,291 | 352,192 | ||||||
Infosys, Ltd. | 175,344 | 2,534,774 | ||||||
Infosys, Ltd. ADR | 9,457 | 142,044 | ||||||
ITC, Ltd. | 341,966 | 1,708,838 | ||||||
JSW Steel, Ltd. | 86,387 | 271,440 | ||||||
Larsen & Toubro, Ltd. | 25,310 | 660,497 | ||||||
Larsen & Toubro, Ltd. GDR | 6,479 | 167,158 | ||||||
LIC Housing Finance, Ltd. | 29,949 | 344,723 | ||||||
Lupin, Ltd. | 22,476 | 367,944 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 27,519 | 147,733 | ||||||
Mahindra & Mahindra, Ltd. | 29,807 | 624,846 | ||||||
Mahindra & Mahindra, Ltd. GDR | 7,826 | 167,476 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
India – (continued) | ||||||||
Marico, Ltd. | 44,298 | $ | 214,577 | |||||
Maruti Suzuki India, Ltd. | 10,622 | 1,183,395 | ||||||
Motherson Sumi Systems, Ltd.(a) | 42,119 | 301,048 | ||||||
Nestle India, Ltd. | 2,245 | 234,407 | ||||||
NTPC, Ltd. | 163,483 | 402,274 | ||||||
Oil & Natural Gas Corp., Ltd. | 130,746 | 318,180 | ||||||
Piramal Enterprises, Ltd.(a) | 7,896 | 340,827 | ||||||
Power Finance Corp., Ltd. | 65,689 | 125,255 | ||||||
Reliance Industries, Ltd.(a) | 119,331 | 2,553,236 | ||||||
Reliance Industries, Ltd. GDR(a)(b) | 5,573 | 236,295 | ||||||
Rural Electrification Corp., Ltd. | 67,129 | 178,630 | ||||||
Shree Cement, Ltd. | 819 | 215,401 | ||||||
Shriram Transport Finance Co., Ltd. | 14,367 | 222,293 | ||||||
Siemens, Ltd. | 7,109 | 146,717 | ||||||
State Bank of India | 140,171 | 593,213 | ||||||
State Bank of India GDR | 3,420 | 145,350 | ||||||
Sun Pharmaceutical Industries, Ltd. | 96,698 | 831,779 | ||||||
Tata Consultancy Services, Ltd. | 47,605 | 1,738,858 | ||||||
Tata Motors, Ltd. | 146,108 | 978,650 | ||||||
Tata Motors, Ltd. ADR | 2,430 | 80,214 | ||||||
Tata Motors, Ltd. Class A | 36,991 | 151,083 | ||||||
Tata Power Co., Ltd. | 115,506 | 143,852 | ||||||
Tata Steel, Ltd. | 18,685 | 157,661 | ||||||
Tata Steel, Ltd. GDR | 10,534 | 88,486 | ||||||
Tech Mahindra, Ltd. | 46,780 | 277,188 | ||||||
Titan Co., Ltd.(a) | 30,217 | 245,429 | ||||||
UltraTech Cement, Ltd. | 8,841 | 540,958 | ||||||
United Spirits, Ltd.(a) | 5,615 | 209,016 | ||||||
UPL, Ltd. | 35,338 | 460,877 | ||||||
Vedanta, Ltd. | 136,840 | 526,507 | ||||||
Vedanta, Ltd. ADR | 3,228 | 50,099 | ||||||
Wipro, Ltd. | 93,290 | 374,242 | ||||||
Wipro, Ltd. ADR | 24,096 | 125,299 | ||||||
Yes Bank, Ltd. | 33,623 | 762,529 | ||||||
Zee Entertainment Enterprises, Ltd. | 53,628 | 407,784 | ||||||
|
| |||||||
41,408,104 | ||||||||
|
| |||||||
Indonesia – 2.4% | ||||||||
Adaro Energy Tbk PT | 1,370,000 | 162,084 | ||||||
AKR Corporindo Tbk PT | 174,500 | 85,433 | ||||||
Astra International Tbk PT | 2,032,300 | 1,361,635 | ||||||
Bank Central Asia Tbk PT | 990,200 | 1,350,452 | ||||||
Bank Danamon Indonesia Tbk PT | 325,500 | 124,651 | ||||||
Bank Mandiri Persero Tbk PT | 939,600 | 900,626 | ||||||
Bank Negara Indonesia Persero Tbk PT | 752,600 | 370,051 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 1,115,100 | 1,272,367 | ||||||
Bumi Serpong Damai Tbk PT | 811,500 | 111,268 | ||||||
Charoen Pokphand Indonesia Tbk PT | 744,000 | 176,882 | ||||||
Gudang Garam Tbk PT | 47,500 | 279,304 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 905,000 | 260,754 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 179,000 | 247,373 | ||||||
Indofood CBP Sukses Makmur Tbk PT | 244,000 | 161,241 | ||||||
Indofood Sukses Makmur Tbk PT | 427,000 | 275,704 | ||||||
Jasa Marga Persero Tbk PT | 196,389 | 78,850 | ||||||
Kalbe Farma Tbk PT | 2,074,000 | 252,477 | ||||||
Lippo Karawaci Tbk PT | 1,287,000 | 63,717 | ||||||
Matahari Department Store Tbk PT | 250,300 | 266,187 | ||||||
Media Nusantara Citra Tbk PT | 536,000 | 73,892 | ||||||
Pakuwon Jati Tbk PT | 2,041,500 | 94,125 | ||||||
Perusahaan Gas Negara Persero Tbk | 1,079,000 | 181,987 | ||||||
Semen Indonesia Persero Tbk PT | 294,000 | 220,489 | ||||||
Summarecon Agung Tbk PT | 1,065,000 | 102,889 | ||||||
Surya Citra Media Tbk PT | 558,000 | 108,442 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 5,055,000 | 1,716,634 | ||||||
Tower Bersama Infrastructure Tbk PT | 224,500 | 113,928 | ||||||
Unilever Indonesia Tbk PT | 153,600 | 562,422 | ||||||
United Tractors Tbk PT | 171,500 | 352,982 | ||||||
Waskita Karya Persero Tbk PT | 428,500 | 74,461 | ||||||
XL Axiata Tbk PT (a) | 351,500 | 89,908 | ||||||
|
| |||||||
11,493,215 | ||||||||
|
| |||||||
Malaysia – 2.3% | ||||||||
AirAsia Bhd | 151,400 | 114,626 | ||||||
Alliance Financial Group Bhd | 98,800 | 88,612 | ||||||
AMMB Holdings Bhd | 160,600 | 182,574 | ||||||
Astro Malaysia Holdings Bhd | 146,400 | 86,285 | ||||||
Axiata Group Bhd | 270,610 | 304,485 | ||||||
British American Tobacco Malaysia Bhd | 14,300 | 144,644 | ||||||
CIMB Group Holdings Bhd | 358,698 | 549,831 | ||||||
Dialog Group Bhd | 286,100 | 127,966 | ||||||
DiGi.Com Bhd | 316,300 | 368,420 | ||||||
Felda Global Ventures Holdings Bhd | 158,000 | 62,940 | ||||||
Gamuda Bhd | 168,800 | 216,277 | ||||||
Genting Bhd | 228,100 | 500,022 | ||||||
Genting Malaysia Bhd | 297,300 | 380,919 | ||||||
Genting Plantations Bhd | 23,600 | 60,695 | ||||||
HAP Seng Consolidated Bhd | 63,800 | 137,182 | ||||||
Hartalega Holdings Bhd | 70,000 | 120,345 | ||||||
Hong Leong Bank Bhd | 64,800 | 236,397 | ||||||
Hong Leong Financial Group Bhd | 23,900 | 93,537 | ||||||
IHH Healthcare Bhd | 210,000 | 281,295 | ||||||
IJM Corp. Bhd | 281,600 | 226,978 | ||||||
IOI Corp. Bhd | 222,300 | 230,449 | ||||||
IOI Properties Group Bhd | 154,925 | 79,400 | ||||||
Kuala Lumpur Kepong Bhd | 47,500 | 275,308 | ||||||
Malayan Banking Bhd | 359,393 | 806,251 | ||||||
Malaysia Airports Holdings Bhd | 85,800 | 171,094 | ||||||
Maxis Bhd | 192,300 | 248,626 | ||||||
MISC Bhd | 130,100 | 226,095 | ||||||
Petronas Chemicals Group Bhd | 237,400 | 392,657 |
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Malaysia – (continued) | ||||||||
Petronas Dagangan Bhd | 24,600 | $ | 138,110 | |||||
Petronas Gas Bhd | 69,500 | 300,171 | ||||||
PPB Group Bhd | 47,800 | 191,082 | ||||||
Public Bank Bhd | 292,300 | 1,383,653 | ||||||
RHB Capital Bhd | 81,910 | 96,552 | ||||||
Sapura Energy Bhd | 400,000 | 148,160 | ||||||
Sime Darby Bhd | 240,869 | 533,064 | ||||||
Telekom Malaysia Bhd | 114,500 | 177,379 | ||||||
Tenaga Nasional Bhd | 341,900 | 1,126,219 | ||||||
UMW Holdings Bhd (a) | 50,300 | 69,955 | ||||||
Westports Holdings Bhd | 109,900 | 93,191 | ||||||
YTL Corp. Bhd | 444,800 | 151,284 | ||||||
YTL Power International Bhd | 182,800 | 61,747 | ||||||
|
| |||||||
11,184,477 | ||||||||
|
| |||||||
Mexico – 3.6% | ||||||||
Alfa SAB de CV Class A | 303,240 | 431,411 | ||||||
America Movil SAB de CV Series L | 3,361,321 | 2,703,951 | ||||||
Arca Continental SAB de CV | 44,800 | 337,935 | ||||||
Cemex SAB de CV Series CPO(a) | 1,467,317 | 1,384,648 | ||||||
Coca-Cola Femsa SAB de CV Series L | 49,400 | 420,042 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 19,300 | 152,813 | ||||||
Fibra Uno Administracion SA de CV REIT | 262,158 | 497,383 | ||||||
Fomento Economico Mexicano SAB de CV | 195,780 | 1,933,273 | ||||||
Gentera SAB de CV | 99,300 | 149,446 | ||||||
Gruma SAB de CV Class B | 21,900 | 286,495 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 36,300 | 410,136 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 20,900 | 442,058 | ||||||
Grupo Bimbo SAB de CV Series A | 162,815 | 411,451 | ||||||
Grupo Carso SAB de CV Series A1 | 43,800 | 185,560 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 250,403 | 1,593,055 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 230,626 | 394,618 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 185,491 | 359,919 | ||||||
Grupo Lala SAB de CV | 64,600 | 118,744 | ||||||
Grupo Mexico SAB de CV Series B | 381,836 | 1,075,695 | ||||||
Grupo Televisa SAB Series CPO | 246,429 | 1,205,613 | ||||||
Industrias Penoles SAB de CV | 14,050 | 318,644 | ||||||
Infraestructura Energetica Nova SAB de CV | 55,200 | 295,004 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 154,189 | 327,209 | ||||||
Mexichem SAB de CV | 105,510 | 283,365 | ||||||
OHL Mexico SAB de CV | 78,200 | 113,111 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 23,300 | 279,089 | ||||||
Wal-Mart de Mexico SAB de CV | 527,894 | 1,227,298 | ||||||
|
| |||||||
17,337,966 | ||||||||
|
| |||||||
Netherlands – 0.3% | ||||||||
Steinhoff International Holdings NV | 298,772 | 1,528,919 | ||||||
|
| |||||||
Pakistan – 0.1% | ||||||||
Engro Corp., Ltd. | 25,900 | 80,518 | ||||||
Habib Bank, Ltd. | 58,100 | 149,158 | ||||||
Lucky Cement, Ltd. | 12,800 | 102,104 | ||||||
MCB Bank, Ltd. | 38,600 | 77,480 | ||||||
Oil & Gas Development Co., Ltd. | 63,900 | 85,755 | ||||||
United Bank, Ltd. | 48,500 | 108,959 | ||||||
|
| |||||||
603,974 | ||||||||
|
| |||||||
Peru – 0.4% | ||||||||
Cia de Minas Buenaventura SAA ADR | 18,500 | 212,750 | ||||||
Credicorp, Ltd. | 6,800 | 1,219,852 | ||||||
Southern Copper Corp. | 8,667 | 300,138 | ||||||
|
| |||||||
1,732,740 | ||||||||
|
| |||||||
Philippines – 1.2% | ||||||||
Aboitiz Equity Ventures, Inc. | 198,450 | 299,484 | ||||||
Aboitiz Power Corp. | 150,600 | 116,099 | ||||||
Alliance Global Group, Inc. | 391,800 | 111,033 | ||||||
Ayala Corp. | 24,530 | 413,208 | ||||||
Ayala Land, Inc. | 730,500 | 575,453 | ||||||
Bank of the Philippine Islands | 81,790 | 168,572 | ||||||
BDO Unibank, Inc. | 199,239 | 489,608 | ||||||
DMCI Holdings, Inc. | 374,330 | 104,599 | ||||||
Energy Development Corp. | 910,900 | 109,214 | ||||||
Globe Telecom, Inc. | 3,395 | 137,792 | ||||||
GT Capital Holdings, Inc. | 8,950 | 214,616 | ||||||
International Container Terminal Services, Inc. | 53,670 | 104,022 | ||||||
JG Summit Holdings, Inc. | 290,540 | 466,384 | ||||||
Jollibee Foods Corp. | 43,030 | 173,962 | ||||||
Megaworld Corp. | 1,060,000 | 90,329 | ||||||
Metro Pacific Investments Corp. | 1,365,000 | 172,857 | ||||||
Metropolitan Bank & Trust Co. | 59,490 | 103,158 | ||||||
PLDT, Inc. | 8,806 | 313,777 | ||||||
Robinsons Land Corp. | 158,300 | 76,076 | ||||||
Security Bank Corp. | 10,160 | 43,692 | ||||||
SM Investments Corp. | 24,170 | 384,632 | ||||||
SM Prime Holdings, Inc. | 871,600 | 570,012 | ||||||
Universal Robina Corp. | 88,730 | 286,447 | ||||||
|
| |||||||
5,525,026 | ||||||||
|
| |||||||
Poland – 1.3% | ||||||||
Alior Bank SA(a) | 8,745 | 145,620 | ||||||
Bank Handlowy w Warszawie SA | 2,948 | 54,678 | ||||||
Bank Millennium SA(a) | 63,394 | 127,359 | ||||||
Bank Pekao SA | 15,641 | 526,386 | ||||||
Bank Zachodni WBK SA | 3,490 | 322,149 | ||||||
CCC SA | 2,835 | 172,013 |
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Poland – (continued) | ||||||||
Cyfrowy Polsat SA(a) | 22,142 | $ | 147,303 | |||||
Eurocash SA | 6,893 | 57,623 | ||||||
Grupa Azoty SA | 4,738 | 80,877 | ||||||
Grupa Lotos SA(a) | 9,438 | 129,800 | ||||||
Jastrzebska Spolka Weglowa SA(a) | 5,438 | 108,472 | ||||||
KGHM Polska Miedz SA | 13,826 | 412,547 | ||||||
LPP SA | 129 | 248,726 | ||||||
mBank SA(a) | 1,490 | 185,672 | ||||||
Orange Polska SA(a) | 63,322 | 87,599 | ||||||
PGE Polska Grupa Energetyczna SA | 82,701 | 270,072 | ||||||
Polski Koncern Naftowy ORLEN SA | 30,132 | 909,250 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 180,425 | 307,496 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA(a) | 94,380 | 877,042 | ||||||
Powszechny Zaklad Ubezpieczen SA | 60,962 | 733,030 | ||||||
Synthos SA | 53,096 | 69,443 | ||||||
Tauron Polska Energia SA(a) | 109,548 | 105,758 | ||||||
|
| |||||||
6,078,915 | ||||||||
|
| |||||||
Qatar – 0.6% | ||||||||
Barwa Real Estate Co. | 9,242 | 81,497 | ||||||
Commercial Bank QSC(a) | 19,581 | 162,794 | ||||||
Doha Bank QSC | 15,068 | 125,553 | ||||||
Ezdan Holding Group QSC | 79,145 | 272,220 | ||||||
Industries Qatar QSC | 15,374 | 400,086 | ||||||
Masraf Al Rayan QSC | 36,165 | 390,263 | ||||||
Ooredoo QSC | 7,871 | 197,614 | ||||||
Qatar Electricity & Water Co. QSC | 2,730 | 141,631 | ||||||
Qatar Gas Transport Co., Ltd. | 27,940 | 130,067 | ||||||
Qatar Insurance Co. SAQ | 13,384 | 246,443 | ||||||
Qatar Islamic Bank SAQ | 5,877 | 148,515 | ||||||
Qatar National Bank QPSC | 23,029 | 799,006 | ||||||
|
| |||||||
3,095,689 | ||||||||
|
| |||||||
Romania – 0.1% | ||||||||
New Europe Property Investments PLC | 22,957 | 289,904 | ||||||
|
| |||||||
Russia – 3.1% | ||||||||
Alrosa PJSC(a) | 253,545 | 370,251 | ||||||
Gazprom PAO(a) | 1,071,858 | 2,148,824 | ||||||
Inter RAO UES PJSC(a) | 3,310,928 | 213,230 | ||||||
LUKOIL PJSC(a) | 42,796 | 2,084,607 | ||||||
Magnit PJSC(a) | 6,106 | 945,435 | ||||||
Magnit PJSC GDR | 2,000 | 68,000 | ||||||
MMC Norilsk Nickel PJSC(a) | 5,527 | 752,367 | ||||||
Mobile TeleSystems OJSC | 3,400 | 13,513 | ||||||
Mobile TeleSystems PJSC ADR | 48,370 | 405,341 | ||||||
Moscow Exchange MICEX-RTS PJSC(a) | 151,001 | 267,665 | ||||||
Novatek OAO | 90,050 | 980,893 | ||||||
Novolipetsk Steel PJSC | 116,343 | 226,331 | ||||||
PhosAgro PJSC GDR | 12,128 | 160,696 | ||||||
Rosneft Oil Co. PJSC(a) | 117,201 | 640,990 | ||||||
Rostelecom PJSC | 84,040 | 101,071 | ||||||
Rushhydro PJSC | 9,250,000 | 123,682 | ||||||
Sberbank of Russia PJSC(a) | 1,085,544 | 2,675,729 | ||||||
Severstal PAO(a) | 16,240 | 211,697 | ||||||
Sistema JSFC | 262,100 | 54,106 | ||||||
Sistema PJSC FC GDR | 16,136 | 67,448 | ||||||
Surgutneftegas OAO(a) | 708,200 | 307,447 | ||||||
Surgutneftegas OJSC Preference Shares(a) | 685,800 | 330,931 | ||||||
Tatneft PAO(a) | 153,446 | 969,576 | ||||||
Transneft PJSC Preference Shares(a) | 45 | 121,253 | ||||||
VTB Bank PJSC | 524,830,000 | 564,717 | ||||||
|
| |||||||
14,805,800 | ||||||||
|
| |||||||
South Africa – 6.1% | ||||||||
Anglo American Platinum, Ltd.(a) | 5,520 | 126,283 | ||||||
AngloGold Ashanti, Ltd. | 40,314 | 393,833 | ||||||
Aspen Pharmacare Holdings, Ltd. | 39,071 | 856,118 | ||||||
Barclays Africa Group, Ltd. | 68,509 | 751,625 | ||||||
Bid Corp., Ltd. | 33,882 | 773,759 | ||||||
Bidvest Group, Ltd. | 33,901 | 407,718 | ||||||
Brait SE(a) | 37,646 | 173,886 | ||||||
Capitec Bank Holdings, Ltd. | 4,140 | 262,255 | ||||||
Coronation Fund Managers, Ltd. | 23,914 | 118,981 | ||||||
Discovery, Ltd. | 35,716 | 348,696 | ||||||
Exxaro Resources, Ltd. | 21,226 | 150,660 | ||||||
FirstRand, Ltd. | 338,045 | 1,216,472 | ||||||
Fortress Income Fund, Ltd. | 80,580 | 213,404 | ||||||
Fortress Income Fund, Ltd. Class A | 110,128 | 144,232 | ||||||
Foschini Group, Ltd. | 20,607 | 215,908 | ||||||
Gold Fields, Ltd. | 80,497 | 276,034 | ||||||
Growthpoint Properties, Ltd. REIT | 215,538 | 402,699 | ||||||
Hyprop Investments, Ltd. | 24,119 | 214,913 | ||||||
Impala Platinum Holdings, Ltd.(a)(c) | 62,155 | 174,807 | ||||||
Imperial Holdings, Ltd. | 15,193 | 186,687 | ||||||
Investec, Ltd. | 27,881 | 205,344 | ||||||
Liberty Holdings, Ltd. | 13,571 | 116,523 | ||||||
Life Healthcare Group Holdings, Ltd. | 130,114 | 254,717 | ||||||
Massmart Holdings, Ltd. | 10,646 | 85,720 | ||||||
MMI Holdings, Ltd. | 90,771 | 140,218 | ||||||
Mondi, Ltd. | 11,590 | 299,964 | ||||||
Mr. Price Group, Ltd. | 24,694 | 294,010 | ||||||
MTN Group, Ltd. | 170,186 | 1,482,024 | ||||||
Naspers, Ltd. Class N | 44,022 | 8,550,734 | ||||||
Nedbank Group, Ltd. | 22,073 | 351,736 | ||||||
Netcare, Ltd. | 105,390 | 206,959 | ||||||
Pick n Pay Stores, Ltd. | 37,454 | 168,682 | ||||||
Pioneer Foods Group, Ltd. | 12,727 | 131,568 | ||||||
PSG Group, Ltd. | 9,555 | 175,020 | ||||||
Rand Merchant Investment Holdings, Ltd. | 66,416 | 197,639 | ||||||
Redefine Properties, Ltd. REIT | 509,166 | 408,809 | ||||||
Remgro, Ltd. | 52,796 | 860,129 | ||||||
Resilient REIT, Ltd. REIT | 28,699 | 266,653 |
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Africa – (continued) | ||||||||
RMB Holdings, Ltd. | 71,332 | $ | 319,844 | |||||
Sanlam, Ltd. | 140,673 | 695,715 | ||||||
Sappi, Ltd. | 56,607 | 376,257 | ||||||
Sasol, Ltd. | 55,547 | 1,553,747 | ||||||
Shoprite Holdings, Ltd. | 43,290 | 658,741 | ||||||
Sibanye Gold, Ltd. | 171,291 | 196,751 | ||||||
SPAR Group, Ltd. | 19,454 | 228,816 | ||||||
Standard Bank Group, Ltd. | 129,375 | 1,422,261 | ||||||
Telkom SA SOC, Ltd.(c) | 26,589 | 124,904 | ||||||
Tiger Brands, Ltd. | 16,467 | 462,370 | ||||||
Truworths International, Ltd. | 43,916 | 239,648 | ||||||
Vodacom Group, Ltd. | 52,558 | 658,935 | ||||||
Woolworths Holdings, Ltd. | 100,227 | 471,589 | ||||||
|
| |||||||
29,014,997 | ||||||||
|
| |||||||
South Korea – 15.3% | ||||||||
Amorepacific Corp. | 3,236 | 859,803 | ||||||
Amorepacific Corp. Preference Shares | 920 | 149,561 | ||||||
AMOREPACIFIC Group | 2,936 | 333,593 | ||||||
BGF retail Co., Ltd. | 2,210 | 195,088 | ||||||
BNK Financial Group, Inc. | 25,400 | 243,089 | ||||||
Celltrion, Inc.(a) | 8,036 | 808,411 | ||||||
Cheil Worldwide, Inc. | 7,200 | 115,789 | ||||||
CJ CheilJedang Corp. | 770 | 243,285 | ||||||
CJ Corp. | 1,437 | 238,003 | ||||||
CJ E&M Corp. | 1,843 | 122,099 | ||||||
CJ Korea Express Corp.(a) | 835 | 131,729 | ||||||
Coway Co., Ltd. | 5,297 | 481,482 | ||||||
Daelim Industrial Co., Ltd. | 2,772 | 215,626 | ||||||
Daewoo Engineering & Construction Co., Ltd.(a) | 11,250 | 74,531 | ||||||
DGB Financial Group, Inc. | 17,554 | 181,040 | ||||||
Dongbu Insurance Co., Ltd. | 5,042 | 299,660 | ||||||
Dongsuh Cos., Inc. | 3,452 | 92,323 | ||||||
Doosan Bobcat, Inc. | 3,340 | 103,923 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 5,080 | 93,018 | ||||||
E-MART, Inc. | 2,068 | 423,848 | ||||||
GS Engineering & Construction Corp.(a) | 4,736 | 126,042 | ||||||
GS Holdings Corp. | 5,021 | 299,290 | ||||||
GS Retail Co., Ltd. | 2,570 | 115,904 | ||||||
Hana Financial Group, Inc. | 29,752 | 1,176,662 | ||||||
Hankook Tire Co., Ltd. | 7,360 | 409,121 | ||||||
Hanmi Pharm Co., Ltd.(a) | 629 | 205,058 | ||||||
Hanmi Science Co., Ltd.(a) | 1,333 | 98,331 | ||||||
Hanon Systems | 18,870 | 169,874 | ||||||
Hanssem Co., Ltd. | 1,040 | 167,251 | ||||||
Hanwha Chemical Corp. | 10,972 | 289,607 | ||||||
Hanwha Corp. | 4,540 | 188,084 | ||||||
Hanwha Life Insurance Co., Ltd. | 20,860 | 126,894 | ||||||
Hanwha Techwin Co., Ltd.(a) | 3,668 | 142,661 | ||||||
Hotel Shilla Co., Ltd. | 3,030 | 151,215 | ||||||
Hyosung Corp. | 2,070 | 303,042 | ||||||
Hyundai Construction Equipment Co., Ltd.(a) | 1 | 301 | ||||||
Hyundai Department Store Co., Ltd. | 1,344 | 129,801 | ||||||
Hyundai Development Co-Engineering & Construction | 6,159 | 252,734 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 7,922 | 318,846 | ||||||
Hyundai Glovis Co., Ltd. | 1,824 | 250,289 | ||||||
Hyundai Heavy Industries Co., Ltd.(a) | 3,141 | 484,540 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 6,210 | 213,576 | ||||||
Hyundai Mobis Co., Ltd. | 6,836 | 1,493,685 | ||||||
Hyundai Motor Co. | 15,513 | 2,162,587 | ||||||
Hyundai Motor Co. Preference Shares(e) | 3,800 | 386,925 | ||||||
Hyundai Motor Co. Preference Shares(e) | 2,440 | 240,982 | ||||||
Hyundai Robotics Co., Ltd.(a) | 641 | 216,533 | ||||||
Hyundai Steel Co. | 8,130 | 441,975 | ||||||
Hyundai Wia Corp. | 1,548 | 94,437 | ||||||
Industrial Bank of Korea | 25,680 | 319,836 | ||||||
Kakao Corp. | 3,349 | 297,097 | ||||||
Kangwon Land, Inc. | 11,649 | 354,820 | ||||||
KB Financial Group, Inc. | 39,974 | 2,015,907 | ||||||
KCC Corp. | 586 | 223,562 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 2,320 | 89,523 | ||||||
Kia Motors Corp. | 26,303 | 878,184 | ||||||
Korea Aerospace Industries, Ltd. | 6,812 | 339,365 | ||||||
Korea Electric Power Corp. | 25,587 | 912,424 | ||||||
Korea Gas Corp.(a) | 2,660 | 123,683 | ||||||
Korea Investment Holdings Co., Ltd. | 3,900 | 238,946 | ||||||
Korea Zinc Co., Ltd. | 850 | 338,767 | ||||||
Korean Air Lines Co., Ltd.(a) | 4,311 | 145,816 | ||||||
KT Corp. | 3,240 | 92,317 | ||||||
KT&G Corp. | 11,762 | 1,202,774 | ||||||
Kumho Petrochemical Co., Ltd. | 1,752 | 112,548 | ||||||
LG Chem, Ltd. | 4,625 | 1,176,310 | ||||||
LG Chem, Ltd. Preference Shares | 732 | 129,235 | ||||||
LG Corp. | 9,414 | 636,020 | ||||||
LG Display Co., Ltd. | 23,441 | 760,094 | ||||||
LG Electronics, Inc. | 10,641 | 745,888 | ||||||
LG Household & Health Care, Ltd. | 946 | 821,854 | ||||||
LG Household & Health Care, Ltd. Preference Shares | 200 | 108,727 | ||||||
LG Innotek Co., Ltd. | 1,379 | 198,868 | ||||||
LG Uplus Corp. | 11,279 | 153,784 | ||||||
Lotte Chemical Corp. | 1,556 | 467,827 | ||||||
Lotte Chilsung Beverage Co., Ltd. | 59 | 88,385 | ||||||
Lotte Confectionery Co., Ltd. | 537 | 92,930 | ||||||
Lotte Shopping Co., Ltd. | 1,282 | 340,066 | ||||||
Medy-Tox, Inc. | 410 | 200,673 | ||||||
Mirae Asset Daewoo Co., Ltd. | 36,120 | 348,841 | ||||||
NAVER Corp. | 2,819 | 2,064,696 | ||||||
NCSoft Corp. | 1,772 | 587,750 | ||||||
Netmarble Games Corp.(a)(b) | 1,736 | 235,179 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – (continued) |
| |||||||
NH Investment & Securities Co., Ltd. | 14,499 | $ | 188,183 | |||||
OCI Co., Ltd. | 1,714 | 134,376 | ||||||
Orion Corp.(f) | 355 | 247,599 | ||||||
Ottogi Corp. | 123 | 84,928 | ||||||
Pan Ocean Co., Ltd.(a) | 20,200 | 93,219 | ||||||
POSCO | 7,460 | 1,871,276 | ||||||
Posco Daewoo Corp. | 3,450 | 67,242 | ||||||
S-1 Corp. | 1,643 | 139,292 | ||||||
S-Oil Corp. | 4,507 | 373,433 | ||||||
Samsung Biologics Co., Ltd.(a)(b) | 1,630 | 415,994 | ||||||
Samsung C&T Corp. | 7,574 | 979,725 | ||||||
Samsung Card Co., Ltd. | 2,744 | 93,653 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 5,705 | 508,596 | ||||||
Samsung Electronics Co., Ltd. | 9,841 | 20,444,922 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 1,781 | 2,898,415 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 3,103 | 763,444 | ||||||
Samsung Heavy Industries Co., Ltd.(a) | 24,903 | 270,980 | ||||||
Samsung Life Insurance Co., Ltd. | 7,034 | 719,292 | ||||||
Samsung SDI Co., Ltd. | 5,501 | 824,561 | ||||||
Samsung SDS Co., Ltd. | 3,526 | 568,585 | ||||||
Samsung Securities Co., Ltd. | 6,308 | 227,698 | ||||||
Shinhan Financial Group Co., Ltd. | 42,956 | 1,850,921 | ||||||
Shinsegae, Inc. | 775 | 155,454 | ||||||
SK Holdings Co., Ltd. | 3,192 | 775,577 | ||||||
SK Hynix, Inc. | 58,552 | 3,449,202 | ||||||
SK Innovation Co., Ltd. | 6,452 | 893,801 | ||||||
SK Networks Co., Ltd. | 14,664 | 80,103 | ||||||
SK Telecom Co., Ltd. | 2,047 | 475,901 | ||||||
Woori Bank | 30,340 | 489,248 | ||||||
Yuhan Corp. | 831 | 178,671 | ||||||
|
| |||||||
73,169,135 | ||||||||
|
| |||||||
Taiwan – 12.2% | ||||||||
Acer, Inc.(a) | 305,000 | 159,919 | ||||||
Advanced Semiconductor Engineering, Inc. | 653,615 | 839,042 | ||||||
Advantech Co., Ltd. | 34,098 | 241,556 | ||||||
Asia Cement Corp. | 231,000 | 198,195 | ||||||
Asia Pacific Telecom Co., Ltd.(a) | 190,000 | 68,393 | ||||||
Asustek Computer, Inc. | 70,000 | 661,571 | ||||||
AU Optronics Corp. | 869,000 | 397,078 | ||||||
Catcher Technology Co., Ltd. | 66,000 | 788,659 | ||||||
Cathay Financial Holding Co., Ltd. | 823,000 | 1,355,434 | ||||||
Chailease Holding Co., Ltd. | 105,000 | 292,702 | ||||||
Chang Hwa Commercial Bank, Ltd. | 436,560 | 250,426 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 198,000 | 421,124 | ||||||
Chicony Electronics Co., Ltd. | 54,205 | 137,383 | ||||||
China Airlines, Ltd. | 279,000 | 84,654 | ||||||
China Development Financial Holding Corp. | 1,358,000 | 394,186 | ||||||
China Life Insurance Co., Ltd. | 351,200 | 349,815 | ||||||
China Steel Corp. | 1,266,000 | 1,030,030 | ||||||
Chunghwa Telecom Co., Ltd. | 383,000 | 1,359,763 | ||||||
Compal Electronics, Inc. | 414,000 | 278,994 | ||||||
CTBC Financial Holding Co., Ltd. | 1,763,040 | 1,156,234 | ||||||
Delta Electronics, Inc. | 196,000 | 1,072,781 | ||||||
E.Sun Financial Holding Co., Ltd. | 846,952 | 520,644 | ||||||
Eclat Textile Co., Ltd. | 17,206 | 209,843 | ||||||
Eva Airways Corp. | 197,950 | 97,934 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(a) | 182,000 | 92,436 | ||||||
Far Eastern New Century Corp. | 330,000 | 268,491 | ||||||
Far EasTone Telecommunications Co., Ltd. | 158,000 | 402,531 | ||||||
Feng TAY Enterprise Co., Ltd. | 33,880 | 149,798 | ||||||
First Financial Holding Co., Ltd. | 908,350 | 607,657 | ||||||
Formosa Chemicals & Fibre Corp. | 295,000 | 926,118 | ||||||
Formosa Petrochemical Corp. | 135,000 | 465,976 | ||||||
Formosa Plastics Corp. | 417,000 | 1,270,740 | ||||||
Formosa Taffeta Co., Ltd. | 68,000 | 68,291 | ||||||
Foxconn Technology Co., Ltd. | 93,830 | 283,156 | ||||||
Fubon Financial Holding Co., Ltd.(a) | 669,000 | 1,065,518 | ||||||
Giant Manufacturing Co., Ltd. | 29,000 | 165,878 | ||||||
Globalwafers Co., Ltd. | 14,000 | 97,797 | ||||||
Highwealth Construction Corp. | 82,000 | 135,858 | ||||||
Hiwin Technologies Corp. | 21,380 | 144,431 | ||||||
Hon Hai Precision Industry Co., Ltd. | 1,567,000 | 6,026,923 | ||||||
Hotai Motor Co., Ltd. | 27,000 | 338,166 | ||||||
HTC Corp.(a) | 67,000 | 159,901 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 695,060 | 403,281 | ||||||
Innolux Corp. | 892,000 | 466,233 | ||||||
Inventec Corp. | 253,000 | 206,259 | ||||||
Largan Precision Co., Ltd. | 10,000 | 1,594,346 | ||||||
Lite-On Technology Corp. | 211,958 | 348,386 | ||||||
MediaTek, Inc. | 150,000 | 1,284,517 | ||||||
Mega Financial Holding Co., Ltd. | 1,091,000 | 907,373 | ||||||
Merida Industry Co., Ltd. | 22,000 | 117,883 | ||||||
Micro-Star International Co., Ltd. | 66,000 | 153,392 | ||||||
Nan Ya Plastics Corp. | 480,000 | 1,191,321 | ||||||
Nanya Technology Corp. | 72,000 | 129,704 | ||||||
Nien Made Enterprise Co., Ltd. | 14,000 | 155,325 | ||||||
Novatek Microelectronics Corp. | 57,000 | 230,473 | ||||||
OBI Pharma, Inc.(a) | 12,000 | 95,069 | ||||||
Pegatron Corp. | 193,000 | 604,632 | ||||||
Phison Electronics Corp. | 15,000 | 185,158 | ||||||
Pou Chen Corp. | 225,000 | 311,391 | ||||||
Powertech Technology, Inc.(a) | 72,000 | 222,249 | ||||||
President Chain Store Corp. | 58,000 | 521,466 | ||||||
Quanta Computer, Inc. | 273,000 | 646,154 | ||||||
Realtek Semiconductor Corp. | 47,000 | 169,181 |
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) |
| |||||||
Ruentex Development Co., Ltd.(a) | 72,000 | $ | 81,183 | |||||
Ruentex Industries, Ltd. | 57,000 | 85,069 | ||||||
Shin Kong Financial Holding Co., Ltd.(a) | 791,000 | 210,621 | ||||||
Siliconware Precision Industries Co., Ltd. | 206,000 | 332,837 | ||||||
SinoPac Financial Holdings Co., Ltd. | 1,026,050 | 313,684 | ||||||
Standard Foods Corp. | 55,300 | 148,521 | ||||||
Synnex Technology International Corp. | 147,700 | 165,568 | ||||||
TaiMed Biologics, Inc.(a) | 19,000 | 115,237 | ||||||
Taishin Financial Holding Co., Ltd. | 914,535 | 416,381 | ||||||
Taiwan Business Bank | 377,200 | 105,398 | ||||||
Taiwan Cement Corp. | 329,000 | 380,697 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 770,850 | 409,245 | ||||||
Taiwan Fertilizer Co., Ltd. | 78,000 | 103,718 | ||||||
Taiwan High Speed Rail Corp. | 161,000 | 134,696 | ||||||
Taiwan Mobile Co., Ltd.(a) | 161,000 | 605,999 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,474,000 | 16,956,903 | ||||||
Teco Electric and Machinery Co., Ltd. | 189,000 | 181,731 | ||||||
Transcend Information, Inc. | 20,000 | 67,061 | ||||||
Uni-President Enterprises Corp. | 484,000 | 970,546 | ||||||
United Microelectronics Corp. | 1,217,000 | 590,097 | ||||||
Vanguard International Semiconductor Corp. | 92,000 | 181,460 | ||||||
Wistron Corp. | 248,863 | 253,199 | ||||||
WPG Holdings, Ltd. | 160,000 | 213,544 | ||||||
Yuanta Financial Holding Co., Ltd. | 1,009,000 | 444,464 | ||||||
Yulon Motor Co., Ltd. | 89,000 | 79,872 | ||||||
Zhen Ding Technology Holding, Ltd. | 47,000 | 111,397 | ||||||
|
| |||||||
58,638,947 | ||||||||
|
| |||||||
Thailand – 2.1% | ||||||||
Advanced Info Service PCL(f) | 104,900 | 548,123 | ||||||
Airports of Thailand PCL(f) | 425,700 | 592,120 | ||||||
Bangkok Bank PCL | 12,400 | 71,910 | ||||||
Bangkok Bank PCL NVDR | 14,000 | 76,244 | ||||||
Bangkok Dusit Medical Services PCL(f) | 381,200 | 215,456 | ||||||
Bangkok Expressway & Metro PCL(f) | 694,199 | 152,246 | ||||||
Bangkok Expressway & Metro PCL NVDR | 86,400 | 18,948 | ||||||
Banpu PCL(f) | 197,400 | 96,463 | ||||||
BEC World PCL(f) | 97,800 | 60,459 | ||||||
Berli Jucker PCL(f) | 115,400 | 162,212 | ||||||
BTS Group Holdings PCL(f) | 589,384 | 147,476 | ||||||
Bumrungrad Hospital PCL(f) | 36,000 | 181,749 | ||||||
Central Pattana PCL(f) | 131,800 | 268,683 | ||||||
Charoen Pokphand Foods PCL(f) | 268,500 | 196,020 | ||||||
CP ALL PCL(f) | 492,900 | 910,494 | ||||||
Delta Electronics Thailand PCL(f) | 47,200 | 120,536 | ||||||
Electricity Generating PCL(f) | 11,900 | 74,966 | ||||||
Electricity Generating PCL NVDR | 2,100 | 13,229 | ||||||
Energy Absolute PCL(f) | 117,800 | 119,638 | ||||||
Glow Energy PCL(f) | 49,000 | 113,593 | ||||||
Home Product Center PCL(f) | 378,600 | 106,993 | ||||||
Indorama Ventures PCL(f) | 149,200 | 166,900 | ||||||
IRPC PCL(f) | 950,200 | 149,649 | ||||||
IRPC PCL NVDR | 86,000 | 13,544 | ||||||
Kasikornbank PCL | 155,100 | 910,876 | ||||||
Kasikornbank PCL NVDR | 16,300 | 95,247 | ||||||
KCE Electronics PCL(f) | 29,100 | 92,945 | ||||||
Krung Thai Bank PCL(f) | 355,800 | 196,910 | ||||||
Minor International PCL(f) | 213,200 | 252,614 | ||||||
PTT Exploration & Production PCL(f) | 137,700 | 349,621 | ||||||
PTT Global Chemical PCL(f) | 218,600 | 440,804 | ||||||
PTT PCL(f) | 106,200 | 1,156,727 | ||||||
Robinson PCL(f) | 47,300 | 81,108 | ||||||
Siam Cement PCL | 40,750 | 602,193 | ||||||
Siam Commercial Bank PCL(f) | 175,300 | 802,448 | ||||||
Siam Commercial Bank PCL NVDR | 3,000 | 13,733 | ||||||
Thai Oil PCL(f) | 78,800 | 183,256 | ||||||
Thai Union Group PCL Class F(f) | 182,700 | 113,482 | ||||||
TMB Bank PCL(f) | 1,184,300 | 80,185 | ||||||
TMB Bank PCL NVDR | 204,500 | 13,846 | ||||||
True Corp. PCL(a)(f) | 992,737 | 181,188 | ||||||
|
| |||||||
10,144,834 | ||||||||
|
| |||||||
Turkey – 1.2% | ||||||||
Akbank TAS | 218,303 | 607,335 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 21,564 | 133,698 | ||||||
Arcelik A/S | 23,890 | 176,739 | ||||||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 19,042 | 118,170 | ||||||
BIM Birlesik Magazalar A/S | 21,263 | 393,865 | ||||||
Coca-Cola Icecek A/S | 8,063 | 92,428 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT(a) | 195,088 | 162,825 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 138,482 | 277,157 | ||||||
Ford Otomotiv Sanayi A/S | 7,319 | 89,260 | ||||||
Haci Omer Sabanci Holding A/S | 93,964 | 291,558 | ||||||
KOC Holding A/S | 77,113 | 354,200 | ||||||
Petkim Petrokimya Holding A/S | 71,953 | 123,784 | ||||||
TAV Havalimanlari Holding A/S | 17,198 | 92,128 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 12,158 | 99,748 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 12,727 | 365,636 | ||||||
Turk Hava Yollari AO(a) | 53,467 | 122,187 | ||||||
Turk Telekomunikasyon A/S(a) | 54,130 | 95,888 | ||||||
Turkcell Iletisim Hizmetleri A/S | 89,027 | 292,667 | ||||||
Turkiye Garanti Bankasi A/S | 229,015 | 636,487 | ||||||
Turkiye Halk Bankasi A/S | 62,296 | 232,557 |
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Turkey – (continued) |
| |||||||
Turkiye Is Bankasi Class C | 160,725 | $ | 339,925 | |||||
Turkiye Sise ve Cam Fabrikalari A/S | 72,284 | 94,394 | ||||||
Turkiye Vakiflar Bankasi TAO Class D | 71,797 | 131,872 | ||||||
Ulker Biskuvi Sanayi A/S | 14,465 | 91,162 | ||||||
Yapi ve Kredi Bankasi A/S(a) | 83,552 | 106,499 | ||||||
|
| |||||||
5,522,169 | ||||||||
|
| |||||||
United Arab Emirates – 0.7% |
| |||||||
Abu Dhabi Commercial Bank PJSC | 205,680 | 391,076 | ||||||
Aldar Properties PJSC | 312,074 | 194,753 | ||||||
DAMAC Properties Dubai Co. PJSC | 173,998 | 149,276 | ||||||
DP World, Ltd. | 16,760 | 350,619 | ||||||
Dubai Islamic Bank PJSC | 120,202 | 186,039 | ||||||
DXB Entertainments PJSC(a) | 334,886 | 68,733 | ||||||
Emaar Malls PJSC | 196,771 | 134,722 | ||||||
Emaar Properties PJSC | 350,733 | 739,872 | ||||||
Emirates Telecommunications Group Co. PJSC | 173,602 | 817,685 | ||||||
First Abu Dhabi Bank PJSC | 143,871 | 411,290 | ||||||
|
| |||||||
3,444,065 | ||||||||
|
| |||||||
United States – 0.3% | ||||||||
Yum China Holdings, Inc.(a) | 38,300 | 1,510,169 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 469,339,307 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(g)(h) | 9,873,658 | 9,873,658 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio(g)(i) | 2,439,782 | 2,439,782 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS |
| 12,313,440 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.5% |
| 481,652,747 | ||||||
Liabilities In Excess of Other Assets – (0.5)% |
| (2,528,338 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 479,124,409 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.5% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2017. |
(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 June 30, 2017, total aggregate fair value of the security is $0, representing 0.0% of the Fund’s net assets. |
(e) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(f) | 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. As of June 30, 2017, total aggregate fair value of securities is $8,741,493 representing 1.8% of net assets. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(i) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust |
At June 30, 2017, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI Emerging Markets Index (long) | 09/15/2017 | 289 | $ | 14,569,935 | $ | (46,910 | ) |
During the period ended June 30, 2017, average notional value related to futures contracts was $14,199,787 or 3% of net assets.
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 31,092,095 | $ | – | $ | – | $ | 31,092,095 | ||||||||
Chile | 5,300,267 | – | – | 5,300,267 | ||||||||||||
China | 127,203,517 | – | 0 | (a) | 127,203,517 | |||||||||||
Colombia | 2,110,309 | – | – | 2,110,309 | ||||||||||||
Czech Republic | 833,808 | – | – | 833,808 | ||||||||||||
Egypt | 598,290 | – | – | 598,290 | ||||||||||||
Greece | 1,822,706 | – | – | 1,822,706 | ||||||||||||
Hong Kong | 2,318,969 | – | – | 2,318,969 | ||||||||||||
Hungary | 1,530,301 | – | – | 1,530,301 | ||||||||||||
India | 41,229,274 | 178,830 | – | 41,408,104 | ||||||||||||
Indonesia | 11,493,215 | – | – | 11,493,215 | ||||||||||||
Malaysia | 11,184,477 | – | – | 11,184,477 | ||||||||||||
Mexico | 17,337,966 | – | – | 17,337,966 | ||||||||||||
Netherlands | 1,528,919 | – | – | 1,528,919 | ||||||||||||
Pakistan | 603,974 | – | – | 603,974 | ||||||||||||
Peru | 1,732,740 | – | – | 1,732,740 | ||||||||||||
Philippines | 5,525,026 | – | – | 5,525,026 | ||||||||||||
Poland | 6,078,915 | – | – | 6,078,915 | ||||||||||||
Qatar | 3,095,689 | – | – | 3,095,689 | ||||||||||||
Romania | 289,904 | – | – | 289,904 | ||||||||||||
Russia | 14,805,800 | – | – | 14,805,800 | ||||||||||||
South Africa | 29,014,997 | – | – | 29,014,997 | ||||||||||||
South Korea | 72,921,536 | 247,599 | – | 73,169,135 | ||||||||||||
Taiwan | 58,638,947 | – | – | 58,638,947 | ||||||||||||
Thailand | 1,829,770 | 8,315,064 | – | 10,144,834 | ||||||||||||
Turkey | 5,522,169 | – | – | 5,522,169 | ||||||||||||
United Arab Emirates | 3,444,065 | – | – | 3,444,065 | ||||||||||||
United States | 1,510,169 | – | – | 1,510,169 | ||||||||||||
Short-Term Investments | 12,313,440 | – | – | 12,313,440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 472,911,254 | $ | 8,741,493 | $ | – | $ | 481,652,747 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | $ | (46,910 | ) | $ | – | $ | – | $ | (46,910 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (46,910 | ) | $ | – | $ | – | $ | (46,910 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Fund held a Level 3 security that was valued at $0 at June 30, 2017. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares Held at 12/31/16 | Value At 12/31/16 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 25,601,994 | 15,728,336 | 9,873,658 | $ | 9,873,658 | $ | 14,551 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 7,130,539 | 7,130,539 | 30,663,347 | 37,793,886 | – | – | 23,577 | – | ||||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | – | – | 4,684,769 | 2,244,987 | 2,439,782 | 2,439,782 | 6,506 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 7,130,539 | $ | 12,313,440 | $ | 44,634 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
June 30, 2017 (Unaudited)
Assets |
| |||
Investments in unaffiliated issuers, at value (Note 2) | $ | 469,339,307 | ||
Investments in affiliated issuers, at value (Notes 2 and 4)* | 12,313,440 | |||
|
| |||
Total investments | 481,652,747 | |||
Foreign currency, at value | 2,143,108 | |||
Cash at broker for futures contracts | 578,000 | |||
Receivable from broker – variation margin on open futures contracts | 207,469 | |||
Receivable for fund shares sold | 1,768,050 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 1,945,547 | |||
Dividends receivable – affiliated issuers (Notes 2 and 4) | 7,900 | |||
Securities lending income receivable – affiliated issuers (Notes 4 and 8) | 9,095 | |||
Receivable from Adviser (Note 4) | 82,877 | |||
Receivable for foreign taxes recoverable | 45,319 | |||
Prepaid expenses and other assets | 5,725 | |||
|
| |||
Total assets | 488,445,837 | |||
|
| |||
Liabilities |
| |||
Due to custodian (Note 4) | 5,708 | |||
Payable upon return of securities loaned | 2,439,782 | |||
Payable for investments purchased | 263,337 | |||
Payable for fund shares repurchased | 5,388,261 | |||
Deferred foreign taxes payable | 732,191 | |||
Advisory fee payable (Note 4) | 55,184 | |||
Custodian fees payable (Note 4) | 393,046 | |||
Administration fees payable (Note 4) | 19,710 | |||
Trustees’ fees and expenses payable (Note 5) | 2,480 | |||
Transfer agent fees payable (Note 4) | 4,914 | |||
Registration and filing fees payable | 177 | |||
Professional fees payable | 15,800 | |||
Accrued expenses and other liabilities | 838 | |||
|
| |||
Total liabilities | 9,321,428 | |||
|
| |||
Net Assets | $ | 479,124,409 | ||
|
| |||
Net Assets Consist Of: |
| |||
Paid-in capital | $ | 387,483,219 | ||
Undistributed (distribution in excess of) net investment income (loss) | 4,965,190 | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts | (1,897,928 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments** | 88,633,608 | |||
Foreign currency transactions | (12,770 | ) | ||
Futures contracts | (46,910 | ) | ||
|
| |||
Net Assets | $ | 479,124,409 | ||
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statement of Assets and Liabilities — (continued)
June 30, 2017 (Unaudited)
Class K |
| |||
Net assets | $ | 479,124,409 | ||
Shares outstanding | 37,407,917 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 12.81 | ||
|
| |||
Cost of Investments: |
| |||
Investments in unaffiliated issuers | $ | 379,975,264 | ||
Investments in affiliated issuers | 12,313,440 | |||
|
| |||
Total cost of investments | $ | 392,288,704 | ||
|
| |||
Foreign currency, at cost | $ | 2,149,784 | ||
|
| |||
* Includes investments in securities on loan, at value | $ | 3,346,057 | ||
|
| |||
** Includes deferred foreign taxes | $ | 732,191 | ||
|
|
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
For the Six Months Ended June 30, 2017 (Unaudited)
Investment Income |
| |||
Dividend income – unaffiliated issuers (Note 2) | $ | 6,141,013 | ||
Dividend income – affiliated issuers (Notes 2 and 4) | 38,128 | |||
Affiliated securities lending income – net (Notes 4 and 8) | 13,130 | |||
Foreign taxes withheld | (740,340 | ) | ||
|
| |||
Total investment income (loss) | 5,451,931 | |||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 305,540 | |||
Administration fees (Note 4) | 109,122 | |||
Custodian fees (Note 4) | 341,213 | |||
Trustees’ fees and expenses (Note 5) | 22,778 | |||
Transfer agent fees (Note 4) | 5,498 | |||
Registration and filing fees | 22,141 | |||
Professional fees | 23,385 | |||
Printing and postage fees | 8,585 | |||
Insurance expense | 795 | |||
Miscellaneous expenses | 9,579 | |||
|
| |||
Total expenses | 848,636 | |||
Expenses waived/reimbursed by the Adviser (Note 4) | (476,827 | ) | ||
|
| |||
Net expenses | 371,809 | |||
|
| |||
Net Investment Income (Loss) | 5,080,122 | |||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments transactions – unaffiliated issuers* | 836,159 | |||
Foreign currency transactions | 88,876 | |||
Futures contracts | 2,299,719 | |||
|
| |||
Net realized gain (loss) | 3,224,754 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments – unaffiliated issuers** | 63,409,540 | |||
Foreign currency transactions | (4,858 | ) | ||
Futures contracts | 107,448 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 63,512,130 | |||
|
| |||
Net realized and unrealized gain (loss) | 66,736,884 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 71,817,006 | ||
|
| |||
* Includes foreign capital gain taxes | $ | (7,037 | ) | |
|
| |||
** Includes foreign deferred taxes | $ | (730,435 | ) | |
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 5,080,122 | $ | 5,953,466 | ||||
Net realized gain (loss) | 3,224,754 | (2,698,919 | ) | |||||
Net change in unrealized appreciation/depreciation | 63,512,130 | 25,062,251 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 71,817,006 | 28,316,798 | ||||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Class K | ||||||||
Net investment income | – | (7,284,652 | ) | |||||
Net realized gains | – | (1,121,498 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (8,406,150 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Proceeds from sale of shares sold | 72,248,395 | 261,800,037 | ||||||
Reinvestment of distributions | – | 8,406,150 | ||||||
Cost of shares redeemed | (39,749,173 | ) | (81,116,142 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 32,499,222 | 189,090,045 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 104,316,228 | 209,000,693 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 374,808,181 | 165,807,488 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 479,124,409 | $ | 374,808,181 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 4,965,190 | $ | (114,932 | ) | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 6,002,663 | 25,354,524 | ||||||
Reinvestment of distributions | – | 782,695 | ||||||
Shares redeemed | (3,238,627 | ) | (8,082,733 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 2,764,036 | 18,054,486 | ||||||
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Selected data for a share outstanding throughout each period
Class K | ||||||||||||
Six Months Ended 6/30/17 (Unaudited) | Year Ended 12/31/16 | For the Period 12/21/15* - 12/31/15 | ||||||||||
Net asset value, beginning of period | $ | 10.82 | $ | 9.99 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations | ||||||||||||
Net investment income (loss)(a) | 0.14 | 0.21 | 0.02 | |||||||||
Net realized and unrealized gain (loss) | 1.85 | 0.87 | (0.01 | ) | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 1.99 | 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 | $ | 12.81 | $ | 10.82 | $ | 9.99 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 18.39 | % | 10.81 | % | 0.14 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 479,124 | $ | 374,808 | $ | 165,807 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.39 | %(c) | 0.56 | % | 0.83 | %(c) | ||||||
Net expenses | 0.17 | %(c) | 0.18 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 2.33 | %(c) | 1.98 | % | 8.03 | %(c) | ||||||
Portfolio turnover rate | 2 | %(d) | 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. 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. |
(e) | Amount is less than 0.5%. |
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
June 30, 2017 (Unaudited)
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 June 30 2017, 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 at no par value. The financial statements herein relate only to the following series (the “Fund”):
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Emerging Markets Equity Index Fund | Class A | Not commenced | Diversified | |||
Class I | Not commenced | Diversified | ||||
Class K | December 21, 2015 | Diversified |
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. 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 Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Board. The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) 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 Fund’s investments.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for an 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. |
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State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Fund’s Schedule of Investments.
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
The Fund had no transfers between levels for the period ended June 30, 2017.
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 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 Fund 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 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 June 30, 2017, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
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State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 June 30, 2017, the Fund entered into futures contracts for cash equitization, for enhancement and to facilitate daily liquidity.
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.
The Fund entered into forward foreign currency exchange contracts during the period ended June 30, 2017, however, there were none outstanding as of June 30, 2017.
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State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 a Fund’s basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty (“CCP”), with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin if any, are designated on the Schedule of Investments and cash deposited is segregated and recorded on the Statement of Assets and Liabilities as due from broker. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations. For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination.
Total Return Swaps
The Fund enters into total return swaps to obtain investment exposures that the Adviser expects to correlate closely with the Index or a portion of the Index. Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments on the total return (coupon plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment or make a payment to the counterparty.
As of June 30, 2017, the Fund held no total return swap agreements.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The following tables summarize the value of the Portfolio’s derivative instruments as of June 30, 2017 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) | $ | – | $ | – | $ | – | $ | (46,910 | ) | $ | – | $ | (46,910 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statement of Assets and Liabilities only reflects the net variation margin as of June 30, 2 017. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Currency Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Futures Contracts(a) | $ | – | $ | – | $ | – | $ | 2,299,719 | $ | – | $ | 2,299,719 |
(a) | Net realized gain (loss) on futures contracts. |
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) | $ | – | $ | – | $ | – | $ | 107,448 | $ | – | $ | 107,448 |
(a) | Net change in unrealized appreciation (depreciation) on futures 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, 2018, 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
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
April 30, 2018 except with the approval of the Board. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $476,827.
Administrator, Sub-Administrator and Custodian 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 attributable to each class of shares of the Fund. 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 wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Fund. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. 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 Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor to the Fund. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to shareholders in that class (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. As of June 30, 2017, the Fund’s Class A shares have not commenced operations. In addition to payments under the Plan, the Fund may reimburse SSGA FD 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.
Other Transactions with Affiliates – Securities Lending
State Street, an affiliate of the Fund, acts as the securities lending agent for the Fund, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017. Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.
In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.
Due to Custodian
In certain circumstances, the Fund 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 Fund. The State Street Emerging Markets Equity Index Fund had a cash overdraft related to the payment of expenses by the Fund.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding short term investments and derivative contracts) for the period ended June 30, 2017, were $48,982,767 and $7,874,650, 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. As of December 31, 2016, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
As of June 30, 2017, 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 | $ | 395,379,935 | $ | 95,306,576 | $ | 9,033,764 | $ | 86,272,812 |
8. | Securities Lending |
The Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.
The Fund will regain ownership of loaned securities to exercise certain beneficial rights; however, the Fund may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a Fund will bear the risk of loss of any cash collateral that it may invest. The Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.
The market value of securities on loan as of June 30, 2017, and the value of the invested cash collateral are disclosed in the Fund’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Fund’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Fund and the Fund does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Fund’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of the Fund’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non Cash Collateral Received* | Total Collateral Received | ||||||||||||
State Street Emerging Markets Equity Index Fund | $ | 3,346,057 | $ | 2,439,782 | $ | 1,128,537 | $ | 3,568,319 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2017:
State Street Emerging Markets Equity Index Fund
Remaining Contractual Maturity of the Agreements As of June 30, 2017 | ||||||||||||||||||||
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 2,439,782 | $ | – | $ | – | $ | – | $ | 2,439,782 | ||||||||||
Total Borrowings | $ | 2,439,782 | $ | – | $ | – | $ | – | $ | 2,439,782 | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. |
| $ | 2,439,782 |
9. | Line of Credit |
The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of June 30, 2017.
10. | 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.
Foreign and Emerging Markets Risk
Investing in foreign markets involves 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.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Market and Credit Risk
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
11. | New Accounting Pronouncement |
In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Fund and concluded that it will be limited to additional disclosures.
12. | 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 Emerging Markets Equity Index Fund
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Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Emerging Markets Equity Index Fund | 0.17 | % | $ | 1,183.90 | $ | 0.92 | $ | 1,024.00 | $ | 0.85 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
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 1-800-997-7327, (ii) on the Fund’s website at www.ssgafunds.com, (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 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 1-800-997-7327 (toll free), or (2) on the website of the 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 Fund’s website at www.ssgafunds.com, 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).
31
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Emerging Markets Equity Index Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the one-year period ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, |
1 | Over the course of many years overseeing the Fund and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past calendar year, since the Fund’s inception; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
33
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any
34
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the 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 provided to the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund:
35
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
The Board considered that the Fund outperformed the median of its Performance Universe and underperformed the median of its Performance Group and its Lipper Index for the one-year period. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory while noting the Fund’s limited performance history.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Fund to limit the total expenses borne by shareholders of the Fund. Among other information, the Board considered the following expense information in its evaluation of your Fund:
The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Fund, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Fund’s investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
36
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2017 (Unaudited)
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the 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 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 Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
37
Table of Contents
Trustees
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 Advisors Funds Distributors, 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 | SSIITEMMKTSSAR |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2017
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
Semi-Annual Report
June 30, 2017 (Unaudited)
State Street Disciplined International Equity Fund | ||||
1 | ||||
3 | ||||
State Street Disciplined U.S. Equity Fund | ||||
6 | ||||
8 | ||||
State Street Disciplined International Equity Fund | ||||
State Street Disciplined U.S. Equity Fund | ||||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
16 | ||||
23 |
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
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 101.2 | % | ||
Short-Term Investment | 0.4 | |||
Rights | 0.0 | ** | ||
Liabilities in Excess of Other Assets | (1.6 | ) | ||
Total | 100.0 | % |
Sector Breakdown* | June 30, 2017 | |||
Pharmaceuticals | 11.3 | % | ||
Banks | 7.9 | |||
Chemicals | 6.3 | |||
Diversified Telecommunication Services | 5.4 | |||
Real Estate Management & Development | 5.4 | |||
Construction & Engineering | 4.9 | |||
Health Care Equipment & Supplies | 4.8 | |||
Real Estate Investment Trusts (REITs) | 4.7 | |||
Food Products | 3.8 | |||
Food & Staples Retailing | 3.7 | |||
Health Care Providers & Services | 3.6 | |||
Electric Utilities | 3.4 | |||
Insurance | 2.8 | |||
Paper & Forest Products | 2.7 | |||
Airlines | 2.6 | |||
Auto Components | 2.4 | |||
Road & Rail | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Multi-Utilities | 2.0 | |||
Electrical Equipment | 1.8 | |||
Air Freight & Logistics | 1.4 | |||
Automobiles | 1.4 | |||
Professional Services | 1.4 | |||
IT Services | 1.3 | |||
Life Sciences Tools & Services | 1.3 | |||
Building Products | 1.2 | |||
Electronic Equipment, Instruments & Components | 1.2 | |||
Transportation Infrastructure | 1.2 |
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Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Portfolio Statistics (Unaudited) — (continued)
Sector Breakdown* – (continued) | June 30, 2017 | |||
Tobacco | 1.1 | % | ||
Trading Companies & Distributors | 1.1 | |||
Wireless Telecommunication Services | 1.1 | |||
Media | 0.9 | |||
Software | 0.8 | |||
Industrial Conglomerates | 0.7 | |||
Specialty Retail | 0.7 | |||
Oil, Gas & Consumable Fuels | 0.3 | |||
Short-Term Investment | 0.4 | |||
Liabilities in Excess of Other Assets | (1.6 | ) | ||
Total | 100.0 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
** | Amount shown represents less than 0.05% of net assets. |
2
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 101.2% | ||||||||
Australia – 7.8% | ||||||||
AGL Energy, Ltd. | 1,913 | $ | 37,418 | |||||
CIMIC Group, Ltd. | 1,241 | 36,972 | ||||||
Cochlear, Ltd. | 337 | 40,183 | ||||||
Mirvac Group REIT | 24,763 | 40,458 | ||||||
Qantas Airways, Ltd. | 10,558 | 46,324 | ||||||
Stockland REIT | 11,792 | 39,617 | ||||||
Telstra Corp., Ltd. | 9,913 | 32,696 | ||||||
|
| |||||||
273,668 | ||||||||
|
| |||||||
Belgium – 2.2% | ||||||||
Colruyt SA | 693 | 36,457 | ||||||
Proximus SADP | 1,114 | 38,918 | ||||||
|
| |||||||
75,375 | ||||||||
|
| |||||||
Denmark – 1.3% | ||||||||
Danske Bank A/S | 1,149 | 44,135 | ||||||
|
| |||||||
Finland – 2.7% | ||||||||
Orion Oyj Class B | 760 | 48,455 | ||||||
Stora Enso Oyj Class R | 3,503 | 45,188 | ||||||
|
| |||||||
93,643 | ||||||||
|
| |||||||
France – 4.5% | ||||||||
Eutelsat Communications SA | 1,178 | 30,042 | ||||||
Gecina SA REIT | 201 | 31,488 | ||||||
Sanofi | 493 | 47,097 | ||||||
Vinci SA | 549 | 46,793 | ||||||
|
| |||||||
155,420 | ||||||||
|
| |||||||
Germany – 7.2% | ||||||||
Deutsche Post AG | 1,259 | 47,128 | ||||||
Fresenius Medical Care AG & Co. KGaA | 445 | 42,720 | ||||||
Fresenius SE & Co. KGaA | 538 | 46,058 | ||||||
METRO AG | 1,312 | 44,226 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 138 | 27,788 | ||||||
OSRAM Licht AG | 539 | 42,880 | ||||||
|
| |||||||
250,800 | ||||||||
|
| |||||||
Hong Kong – 12.7% | ||||||||
AIA Group, Ltd. | 5,000 | 36,540 | ||||||
BOC Hong Kong Holdings, Ltd. | 10,000 | 47,845 | ||||||
CLP Holdings, Ltd. | 3,500 | 37,034 | ||||||
Hang Seng Bank, Ltd. | 2,200 | 46,021 | ||||||
Jardine Matheson Holdings, Ltd. | 400 | 25,680 | ||||||
Link REIT | 5,500 | 41,850 | ||||||
New World Development Co., Ltd. | 24,335 | 30,892 | ||||||
Sun Hung Kai Properties, Ltd. | 3,000 | 44,079 | ||||||
Swire Pacific, Ltd. Class A | 4,000 | 39,070 | ||||||
WH Group, Ltd.(a) | 50,500 | 50,976 | ||||||
Wharf Holdings, Ltd. | 5,000 | 41,440 | ||||||
|
| |||||||
441,427 | ||||||||
|
| |||||||
Japan – 30.9% | ||||||||
Asahi Glass Co., Ltd. | 1,000 | 42,097 | ||||||
Asahi Kasei Corp. | 3,000 | 32,240 | ||||||
Astellas Pharma, Inc. | 2,700 | 33,029 | ||||||
Bridgestone Corp. | 1,100 | 47,383 | ||||||
Canon, Inc. | 1,300 | 44,151 | ||||||
Central Japan Railway Co. | 200 | 32,592 | ||||||
Chubu Electric Power Co., Inc. | 2,900 | 38,521 | ||||||
Daiichi Sankyo Co., Ltd. | 1,700 | 40,049 | ||||||
Daito Trust Construction Co., Ltd. | 200 | 31,141 | ||||||
Fujitsu, Ltd. | 6,000 | 44,204 | ||||||
Hitachi, Ltd. | 7,000 | 42,950 | ||||||
Hoya Corp. | 1,000 | 51,914 | ||||||
Japan Airlines Co., Ltd. | 300 | 9,276 | ||||||
JXTG Holdings, Inc. | 2,550 | 11,136 | ||||||
Konami Holdings Corp. | 500 | 27,768 | ||||||
Kuraray Co., Ltd. | 1,600 | 29,021 | ||||||
Marubeni Corp. | 6,200 | 40,050 | ||||||
Mitsubishi Chemical Holdings Corp. | 3,200 | 26,489 | ||||||
Mitsubishi Tanabe Pharma Corp. | 2,100 | 48,519 | ||||||
Mitsui Chemicals, Inc. | 7,000 | 37,068 | ||||||
Nippon Telegraph & Telephone Corp. | 900 | 42,533 | ||||||
NTT DOCOMO, Inc. | 1,600 | 37,764 | ||||||
Seiko Epson Corp. | 1,400 | 31,137 | ||||||
Shionogi & Co., Ltd. | 700 | 38,993 | ||||||
Sumitomo Chemical Co., Ltd. | 7,000 | 40,246 | ||||||
Sumitomo Electric Industries, Ltd. | 2,300 | 35,413 | ||||||
Suzuken Co., Ltd. | 1,200 | 39,836 | ||||||
Suzuki Motor Corp. | 1,000 | 47,437 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 30,438 | ||||||
Tokyu Corp. | 3,000 | 22,882 | ||||||
|
| |||||||
1,076,277 | ||||||||
|
| |||||||
Norway – 2.4% | ||||||||
Orkla ASA | 4,606 | 46,656 | ||||||
Telenor ASA | 2,336 | 38,623 | ||||||
|
| |||||||
85,279 | ||||||||
|
| |||||||
Singapore – 4.9% | ||||||||
CapitaLand Commercial Trust | 9,800 | 11,815 | ||||||
ComfortDelGro Corp., Ltd. | 17,500 | 29,233 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 4,700 | 36,833 | ||||||
Singapore Airlines, Ltd. | 4,700 | 34,546 | ||||||
United Overseas Bank, Ltd. | 1,526 | 25,625 | ||||||
Wilmar International, Ltd. | 14,000 | 34,063 | ||||||
|
| |||||||
172,115 | ||||||||
|
| |||||||
South Africa – 1.4% | ||||||||
Mondi PLC | 1,925 | 50,360 | ||||||
|
| |||||||
Spain – 3.8% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,268 | 48,918 | ||||||
Aena SA(a) | 221 | 43,065 | ||||||
Endesa SA | 1,796 | 41,317 | ||||||
|
| |||||||
133,300 | ||||||||
|
| |||||||
Sweden – 3.0% | ||||||||
Nordea Bank AB | 2,159 | 27,440 | ||||||
Skanska AB Class B | 1,579 | 37,422 | ||||||
Swedish Match AB | 1,085 | 38,167 | ||||||
|
| |||||||
103,029 | ||||||||
|
| |||||||
Switzerland – 9.2% | ||||||||
ABB, Ltd. | 828 | 20,474 | ||||||
Adecco Group AG(b) | 641 | 48,795 | ||||||
Lonza Group AG(b) | 207 | 44,809 | ||||||
Novartis AG | 404 | 33,665 | ||||||
Roche Holding AG | 150 | 38,250 | ||||||
Sika AG | 8 | 51,459 | ||||||
Sonova Holding AG | 276 | 44,874 | ||||||
Swisscom AG | 78 | 37,687 | ||||||
|
| |||||||
320,013 | ||||||||
|
|
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
United Kingdom – 7.2% | ||||||||
Centrica PLC | 5,584 | $ | 14,521 | |||||
Direct Line Insurance Group PLC | 7,160 | 33,054 | ||||||
GlaxoSmithKline PLC | 1,848 | 39,259 | ||||||
Kingfisher PLC | 6,474 | 25,287 | ||||||
Lloyds Banking Group PLC | 51,550 | 44,295 | ||||||
National Grid PLC | 1,291 | 15,961 | ||||||
Smith & Nephew PLC | 1,877 | 32,305 | ||||||
Wm Morrison Supermarkets PLC | 14,697 | 46,047 | ||||||
|
| |||||||
250,729 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| |||||||
(Cost $3,120,804) |
| 3,525,570 | ||||||
|
| |||||||
RIGHTS – 0.0%(c) | ||||||||
Spain – 0.0%(c) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(b) | ||||||||
(Cost $1,067) | 1,268 | 1,012 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.4% | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(d)(e) | ||||||||
(Cost $15,479) | 15,479 | 15,479 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.6% |
| |||||||
(Cost $3,137,350) |
| 3,542,061 | ||||||
Liabilities in Excess of Other Assets – (1.6)% |
| (56,773 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 3,485,288 | |||||
|
|
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.7% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | Amount is less than 0.05% of net assets. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2017. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 273,668 | $ | – | $ | – | $ | 273,668 | ||||||||
Belgium | 75,375 | – | – | 75,375 | ||||||||||||
Denmark | 44,135 | – | – | 44,135 | ||||||||||||
Finland | 93,643 | – | – | 93,643 | ||||||||||||
France | 155,420 | – | – | 155,420 | ||||||||||||
Germany | 250,800 | – | – | 250,800 | ||||||||||||
Hong Kong | 441,427 | – | – | 441,427 | ||||||||||||
Japan | 1,076,277 | – | – | 1,076,277 | ||||||||||||
Norway | 85,279 | – | – | 85,279 | ||||||||||||
Singapore | 172,115 | – | – | 172,115 | ||||||||||||
South Africa | 50,360 | – | – | 50,360 | ||||||||||||
Spain | 133,300 | – | – | 133,300 | ||||||||||||
Sweden | 103,029 | – | – | 103,029 | ||||||||||||
Switzerland | 320,013 | – | – | 320,013 | ||||||||||||
United Kingdom | 250,729 | – | – | 250,729 | ||||||||||||
Rights | ||||||||||||||||
Spain | 1,012 | – | – | 1,012 | ||||||||||||
Short-Term Investment | 15,479 | – | – | 15,479 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,542,061 | $ | – | $ | – | $ | 3,542,061 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of Shares Held at 12/31/16 | Value At 12/31/16 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 72,507 | 57,028 | 15,479 | $ | 15,479 | $ | 36 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 110,555 | 110,555 | – | – | 33 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
TOTAL | $ | – | $ | 15,479 | $ | 69 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 100.5 | % | ||
Short-Term Investment | 1.3 | |||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
Sector Breakdown* | June 30, 2017 | |||
Electric Utilities | 8.0 | % | ||
Aerospace & Defense | 7.0 | |||
Banks | 6.4 | |||
Health Care Providers & Services | 6.0 | |||
Health Care Equipment & Supplies | 5.8 | |||
Insurance | 5.8 | |||
Pharmaceuticals | 5.2 | |||
Hotels, Restaurants & Leisure | 3.9 | |||
Multi-Utilities | 3.8 | |||
Commercial Services & Supplies | 3.6 | |||
Real Estate Investment Trusts (REITs) | 3.4 | |||
Specialty Retail | 3.2 | |||
Household Products | 2.9 | |||
Life Sciences Tools & Services | 2.9 | |||
Tobacco | 2.9 | |||
Media | 2.8 | |||
Semiconductors & Semiconductor Equipment | 2.8 | |||
Technology Hardware, Storage & Peripherals | 2.7 | |||
Communications Equipment | 2.2 | |||
Electronic Equipment, Instruments & Components | 2.2 | |||
IT Services | 2.2 | |||
Food & Staples Retailing | 1.6 | |||
Software | 1.4 | |||
Beverages | 1.3 | |||
Electrical Equipment | 1.3 | |||
Food Products | 1.3 | |||
Airlines | 1.2 | |||
Biotechnology | 1.2 | |||
Industrial Conglomerates | 1.1 |
6
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Portfolio Statistics (Unaudited) — (continued)
Sector Breakdown* – (continued) | June 30, 2017 | |||
Consumer Finance | 1.0 | % | ||
Road & Rail | 1.0 | |||
Diversified Telecommunication Services | 0.9 | |||
Machinery | 0.8 | |||
Capital Markets | 0.7 | |||
Short-Term Investment | 1.3 | |||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
* | As a percentage of net assets of the date indicated. The Fund’s composition will vary over time. |
7
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 100.5% |
| |||||||
Aerospace & Defense – 7.0% |
| |||||||
General Dynamics Corp. | 308 | $ | 61,015 | |||||
Huntington Ingalls Industries, Inc. | 207 | 38,535 | ||||||
Northrop Grumman Corp. | 140 | 35,939 | ||||||
Raytheon Co. | 226 | 36,495 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 960 | 55,622 | ||||||
United Technologies Corp. | 238 | 29,062 | ||||||
|
| |||||||
256,668 | ||||||||
|
| |||||||
Airlines – 1.2% | ||||||||
Delta Air Lines, Inc. | 828 | 44,497 | ||||||
|
| |||||||
Banks – 6.4% | ||||||||
Bank of America Corp. | 1,402 | 34,012 | ||||||
Citigroup, Inc. | 546 | 36,516 | ||||||
JPMorgan Chase & Co. | 719 | 65,717 | ||||||
PNC Financial Services Group, Inc. | 406 | 50,697 | ||||||
US Bancorp | 943 | 48,961 | ||||||
|
| |||||||
235,903 | ||||||||
|
| |||||||
Beverages – 1.3% | ||||||||
PepsiCo, Inc. | 407 | 47,004 | ||||||
|
| |||||||
Biotechnology – 1.2% | ||||||||
Amgen, Inc. | 252 | 43,402 | ||||||
|
| |||||||
Capital Markets – 0.7% | ||||||||
Morgan Stanley | 589 | 26,246 | ||||||
|
| |||||||
Commercial Services & Supplies – 3.6% |
| |||||||
KAR Auction Services, Inc. | 750 | 31,478 | ||||||
Republic Services, Inc. | 763 | 48,626 | ||||||
Waste Management, Inc. | 738 | 54,132 | ||||||
|
| |||||||
134,236 | ||||||||
|
| |||||||
Communications Equipment – 2.2% |
| |||||||
Cisco Systems, Inc. | 1,675 | 52,427 | ||||||
Motorola Solutions, Inc. | 316 | 27,410 | ||||||
|
| |||||||
79,837 | ||||||||
|
| |||||||
Consumer Finance – 1.0% |
| |||||||
American Express Co. | 448 | 37,740 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.9% |
| |||||||
AT&T, Inc. | 834 | 31,467 | ||||||
|
| |||||||
Electric Utilities – 8.0% |
| |||||||
American Electric Power Co., Inc. | 667 | 46,337 | ||||||
Edison International | 654 | 51,136 | ||||||
Exelon Corp. | 1,400 | 50,498 | ||||||
PG&E Corp. | 746 | 49,512 | ||||||
Pinnacle West Capital Corp. | 607 | 51,692 | ||||||
PPL Corp. | 1,157 | 44,730 | ||||||
|
| |||||||
293,905 | ||||||||
|
| |||||||
Electrical Equipment – 1.3% |
| |||||||
Eaton Corp. PLC | 629 | 48,955 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 2.2% |
| |||||||
Corning, Inc. | 1,083 | 32,544 | ||||||
TE Connectivity, Ltd. | 601 | 47,287 | ||||||
|
| |||||||
79,831 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.6% |
| |||||||
Wal-Mart Stores, Inc. | 781 | 59,106 | ||||||
|
| |||||||
Food Products – 1.3% | ||||||||
Tyson Foods, Inc. Class A | 754 | 47,223 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 5.8% |
| |||||||
Abbott Laboratories | 809 | 39,326 | ||||||
Baxter International, Inc. | 1,087 | 65,807 | ||||||
C.R. Bard, Inc. | 181 | 57,216 | ||||||
Hologic, Inc.(a) | 1,132 | 51,370 | ||||||
|
| |||||||
213,719 | ||||||||
|
| |||||||
Health Care Providers & Services – 6.0% |
| |||||||
Cardinal Health, Inc. | 437 | 34,051 | ||||||
Express Scripts Holding Co.(a) | 489 | 31,218 | ||||||
HCA Healthcare, Inc.(a) | 558 | 48,657 | ||||||
McKesson Corp. | 120 | 19,745 | ||||||
Quest Diagnostics, Inc. | 298 | 33,126 | ||||||
UnitedHealth Group, Inc. | 289 | 53,586 | ||||||
|
| |||||||
220,383 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 3.9% |
| |||||||
Carnival Corp. | 775 | 50,817 | ||||||
Darden Restaurants, Inc. | 603 | 54,535 | ||||||
McDonald’s Corp. | 250 | 38,290 | ||||||
|
| |||||||
143,642 | ||||||||
|
| |||||||
Household Products – 2.9% |
| |||||||
Kimberly-Clark Corp. | 362 | 46,738 | ||||||
Procter & Gamble Co. | 671 | 58,478 | ||||||
|
| |||||||
105,216 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.1% |
| |||||||
3M Co. | 202 | 42,054 | ||||||
|
| |||||||
Insurance – 5.8% | ||||||||
Allstate Corp. | 767 | 67,833 | ||||||
Everest Re Group, Ltd. | 226 | 57,537 | ||||||
Principal Financial Group, Inc. | 289 | 18,516 | ||||||
Prudential Financial, Inc. | 247 | 26,711 | ||||||
Travelers Cos., Inc. | 337 | 42,641 | ||||||
|
| |||||||
213,238 | ||||||||
|
| |||||||
IT Services – 2.2% | ||||||||
Accenture PLC Class A | 271 | 33,517 | ||||||
International Business Machines Corp. | 313 | 48,149 | ||||||
|
| |||||||
81,666 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.9% |
| |||||||
Agilent Technologies, Inc. | 1,093 | 64,826 | ||||||
Thermo Fisher Scientific, Inc. | 230 | 40,128 | ||||||
|
| |||||||
104,954 | ||||||||
|
| |||||||
Machinery – 0.8% | ||||||||
Illinois Tool Works, Inc. | 203 | 29,080 | ||||||
|
| |||||||
Media – 2.8% | ||||||||
Comcast Corp. Class A | 1,412 | 54,955 | ||||||
Time Warner, Inc. | 470 | 47,193 | ||||||
|
| |||||||
102,148 | ||||||||
|
| |||||||
Multi-Utilities – 3.8% | ||||||||
CenterPoint Energy, Inc. | 1,738 | 47,587 | ||||||
DTE Energy Co. | 461 | 48,769 | ||||||
Public Service Enterprise Group, Inc. | 984 | 42,322 | ||||||
|
| |||||||
138,678 | ||||||||
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Pharmaceuticals – 5.2% | ||||||||
Eli Lilly & Co. | 560 | $ | 46,088 | |||||
Johnson & Johnson | 472 | 62,441 | ||||||
Merck & Co., Inc. | 754 | 48,324 | ||||||
Pfizer, Inc. | 1,040 | 34,933 | ||||||
|
| |||||||
191,786 | ||||||||
|
| |||||||
Real Estate Investment Trusts (Reits) – 3.4% |
| |||||||
AGNC Investment Corp. REIT | 1,646 | 35,043 | ||||||
Annaly Capital Management, Inc. REIT | 4,417 | 53,225 | ||||||
Gaming and Leisure Properties, Inc. REIT | 940 | 35,410 | ||||||
|
| |||||||
123,678 | ||||||||
|
| |||||||
Road & Rail – 1.0% | ||||||||
Union Pacific Corp. | 329 | 35,831 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.8% |
| |||||||
Intel Corp. | 1,296 | 43,727 | ||||||
Texas Instruments, Inc. | 769 | 59,159 | ||||||
|
| |||||||
102,886 | ||||||||
|
| |||||||
Software – 1.4% | ||||||||
Microsoft Corp. | 760 | 52,387 | ||||||
|
| |||||||
Specialty Retail – 3.2% | ||||||||
Best Buy Co., Inc. | 642 | 36,806 | ||||||
Home Depot, Inc. | 244 | 37,429 | ||||||
Lowe’s Cos., Inc. | 554 | 42,952 | ||||||
|
| |||||||
117,187 | ||||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
Apple, Inc. | 499 | 71,866 | ||||||
HP, Inc. | 1,613 | 28,195 | ||||||
|
| |||||||
100,061 | ||||||||
|
| |||||||
Tobacco – 2.9% | ||||||||
Altria Group, Inc. | 866 | 64,491 | ||||||
Reynolds American, Inc. | 630 | 40,975 | ||||||
|
| |||||||
105,466 | ||||||||
|
| |||||||
Total Common Stocks |
| |||||||
(Cost $3,198,007) |
| 3,690,080 | ||||||
|
| |||||||
Short-Term Investment – 1.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 48,097 | 48,097 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.8% (Cost $3,246,104) |
| 3,738,177 | ||||||
Liabilities in Excess of Other Assets – (1.8)% |
| (66,252 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 3,671,925 | |||||
|
|
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 256,668 | $ | – | $ | – | $ | 256,668 | ||||||||
Airlines | 44,497 | – | – | 44,497 | ||||||||||||
Banks | 235,903 | – | – | 235,903 | ||||||||||||
Beverages | 47,004 | – | – | 47,004 | ||||||||||||
Biotechnology | 43,402 | – | – | 43,402 | ||||||||||||
Capital Markets | 26,246 | – | – | 26,246 | ||||||||||||
Commercial Services & Supplies | 134,236 | – | – | 134,236 | ||||||||||||
Communications Equipment | 79,837 | – | – | 79,837 | ||||||||||||
Consumer Finance | 37,740 | – | – | 37,740 | ||||||||||||
Diversified Telecommunication Services | 31,467 | – | – | 31,467 | ||||||||||||
Electric Utilities | 293,905 | – | – | 293,905 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Electrical Equipment | $ | 48,955 | $ | – | $ | – | $ | 48,955 | ||||||||
Electronic Equipment, Instruments & Components | 79,831 | – | – | 79,831 | ||||||||||||
Food & Staples Retailing | 59,106 | – | – | 59,106 | ||||||||||||
Food Products | 47,223 | – | – | 47,223 | ||||||||||||
Health Care Equipment & Supplies | 213,719 | – | – | 213,719 | ||||||||||||
Health Care Providers & Services | 220,383 | – | – | 220,383 | ||||||||||||
Hotels, Restaurants & Leisure | 143,642 | – | – | 143,642 | ||||||||||||
Household Products | 105,216 | – | – | 105,216 | ||||||||||||
Industrial Conglomerates | 42,054 | – | – | 42,054 | ||||||||||||
Insurance | 213,238 | – | – | 213,238 | ||||||||||||
IT Services | 81,666 | – | – | 81,666 | ||||||||||||
Life Sciences Tools & Services | 104,954 | – | – | 104,954 | ||||||||||||
Machinery | 29,080 | – | – | 29,080 | ||||||||||||
Media | 102,148 | – | – | 102,148 | ||||||||||||
Multi-Utilities | 138,678 | – | – | 138,678 | ||||||||||||
Pharmaceuticals | 191,786 | – | – | 191,786 | ||||||||||||
Real Estate Investment Trusts (REITs) | 123,678 | – | – | 123,678 | ||||||||||||
Road & Rail | 35,831 | – | – | 35,831 | ||||||||||||
Semiconductors & Semiconductor Equipment | 102,886 | – | – | 102,886 | ||||||||||||
Software | 52,387 | – | – | 52,387 | ||||||||||||
Specialty Retail | 117,187 | – | – | 117,187 | ||||||||||||
Technology Hardware, Storage & Peripherals | 100,061 | – | – | 100,061 | ||||||||||||
Tobacco | 105,466 | – | – | 105,466 | ||||||||||||
Short-Term Investment | 48,097 | – | – | 48,097 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,738,177 | $ | – | $ | – | $ | 3,738,177 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/16 | Value At 12/31/16 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 89,370 | 41,273 | 48,097 | $ | 48,097 | $ | 58 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 20,233 | 20,233 | 90,472 | 110,705 | – | – | 58 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 20,233 | $ | 48,097 | $ | 116 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Assets |
| |||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 3,526,582 | $ | 3,690,080 | ||||
Investments in affiliated issuers, at value (Note 2) | 15,479 | 48,097 | ||||||
|
|
|
| |||||
Total investments | 3,542,061 | 3,738,177 | ||||||
Foreign currency, at value | 12,470 | – | ||||||
Dividends receivable – unaffiliated issuers (Note 2) | 8,100 | 7,427 | ||||||
Dividends receivable – affiliated issuers (Note 2) | 26 | 39 | ||||||
Receivable from Adviser (Note 3) | 16,943 | 14,648 | ||||||
Receivable for foreign taxes recoverable | 6,502 | – | ||||||
|
|
|
| |||||
Total assets | 3,586,102 | 3,760,291 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Advisory fee payable (Note 3) | 2,436 | 1,966 | ||||||
Custodian fees payable (Note 3) | 19,657 | 9,182 | ||||||
Administration fees payable (Note 3) | 143 | 151 | ||||||
Trustees’ fees and expenses payable (Note 4) | 48,103 | 48,103 | ||||||
Transfer agent fees payable (Note 3) | 5,481 | 5,473 | ||||||
Registration and filing fees payable | 23 | 23 | ||||||
Professional fees payable | 21,800 | 21,056 | ||||||
Printing and postage fees payable | 1,386 | 762 | ||||||
Accrued expenses and other liabilities | 1,785 | 1,650 | ||||||
|
|
|
| |||||
Total liabilities | 100,814 | 88,366 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,485,288 | $ | 3,671,925 | ||||
|
|
|
| |||||
Net Assets Consist of: |
| |||||||
Paid-in Capital | $ | 2,998,996 | $ | 3,000,000 | ||||
Undistributed (distribution in excess of) net investment income (loss) | 45,201 | 35,108 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 35,968 | 144,744 | ||||||
Net unrealized appreciation (depreciation) on: | ||||||||
Investments | 404,711 | 492,073 | ||||||
Foreign currency transactions | 412 | – | ||||||
|
|
|
| |||||
Net Assets | $ | 3,485,288 | $ | 3,671,925 | ||||
|
|
|
| |||||
Class I |
| |||||||
Net assets | $ | 3,485,288 | $ | 3,671,925 | ||||
Shares outstanding | 300,000 | 300,000 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.62 | $ | 12.24 | ||||
|
|
|
| |||||
Cost of Investments: |
| |||||||
Investments in unaffiliated issuers | $ | 3,121,871 | $ | 3,198,007 | ||||
Investments in affiliated issuers | 15,479 | 48,097 | ||||||
|
|
|
| |||||
Total cost of investments | $ | 3,137,350 | $ | 3,246,104 | ||||
|
|
|
| |||||
Foreign currency, at cost | $ | 12,254 | $ | – | ||||
|
|
|
|
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
Statements of Operations
For the Period Ended June 30, 2017 (Unaudited)
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Investment Income |
| |||||||
Dividend income – unaffiliated issuers (Note 2) | $ | 70,118 | $ | 46,419 | ||||
Dividend income – affiliated issuers (Note 2) | 69 | 116 | ||||||
Foreign taxes withheld | (7,188 | ) | – | |||||
|
|
|
| |||||
Total investment income (loss) | 62,999 | 46,535 | ||||||
|
|
|
| |||||
Expenses |
| |||||||
Advisory fee (Note 3) | 13,694 | 11,410 | ||||||
Administration fees (Note 3) | 805 | 878 | ||||||
Custodian fees (Note 3) | 20,332 | 9,500 | ||||||
Trustees’ fees and expenses (Note 4) | 64,431 | 64,434 | ||||||
Transfer agent fees (Note 3) | 2,362 | 2,345 | ||||||
Registration and filing fees | 17,585 | 17,581 | ||||||
Professional fees | 23,070 | 22,457 | ||||||
Printing and postage fees | 7,938 | 8,226 | ||||||
Insurance expense | 11 | 11 | ||||||
Miscellaneous expenses | 4,200 | 4,313 | ||||||
|
|
|
| |||||
Total expenses | 154,428 | 141,155 | ||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (140,711 | ) | (129,728 | ) | ||||
|
|
|
| |||||
Net expenses | 13,717 | 11,427 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 49,282 | 35,108 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) |
| |||||||
Net realized gain (loss) on: | ||||||||
Investments – unaffiliated issuers | 53,806 | 77,395 | ||||||
Foreign currency transactions | (196 | ) | – | |||||
|
|
|
| |||||
Net realized gain (loss) | 53,610 | 77,395 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments – unaffiliated issuers | 388,175 | 210,924 | ||||||
Foreign currency transactions | 502 | – | ||||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation | 388,677 | 210,924 | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 442,287 | 288,319 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Operations | $ | 491,569 | $ | 323,427 | ||||
|
|
|
|
See accompanying notes to financial statements.
12
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 | |||||||||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 2/18/16* - 12/31/16 | Six Months Ended 6/30/17 (Unaudited) | For the Period 2/18/16* - 12/31/16 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 49,282 | $ | 67,478 | $ | 35,108 | $ | 53,904 | ||||||||
Net realized gain (loss) | 53,610 | 16,509 | 77,395 | 88,325 | ||||||||||||
Net change in unrealized appreciation/depreciation | 388,677 | 16,446 | 210,924 | 281,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 491,569 | 100,433 | 323,427 | 423,378 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | – | (71,409 | ) | – | (52,500 | ) | ||||||||||
Net realized gains | – | (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 | ||||||||||||
Shares redeemed | (391 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (391 | ) | 3,000,400 | – | 3,000,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | (391 | ) | 3,000,400 | – | 3,000,000 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets During the Period | 491,178 | 2,994,110 | 323,427 | 3,348,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 2,994,110 | – | 3,348,498 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 3,485,288 | $ | 2,994,110 | $ | 3,671,925 | $ | 3,348,498 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 45,201 | $ | (4,081 | ) | $ | 35,108 | $ | – | |||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: |
| |||||||||||||||
Class I | ||||||||||||||||
Shares sold | – | 300,038 | – | 300,000 | ||||||||||||
Shares redeemed | (38 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (38 | ) | 300,038 | – | 300,000 | |||||||||||
|
|
|
|
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Disciplined International Equity Fund | ||||||||
Class I | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 2/19/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 9.98 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations | ||||||||
Net investment income (loss)(a) | 0.16 | 0.22 | ||||||
Net realized and unrealized gain (loss) | 1.48 | 0.12 | ||||||
|
|
|
| |||||
Total from investment operations | 1.64 | 0.34 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | �� | (0.24 | ) | |||||
Net realized gains | – | (0.12 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.36 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 11.62 | $ | 9.98 | ||||
|
|
|
| |||||
Total return(b) | 16.43 | % | 3.39 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 3,485 | $ | 2,994 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 9.59 | %(c) | 5.69 | %(c) | ||||
Net expenses | 0.85 | %(c) | 0.85 | %(c) | ||||
Net investment income (loss) | 3.06 | %(c) | 2.48 | %(c) | ||||
Portfolio turnover rate | 20 | %(d) | 35 | %(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. Total returns 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.
14
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Disciplined U.S. Equity Fund | ||||||||
Class I | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 2/19/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 11.16 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations | ||||||||
Net investment income (loss)(a) | 0.12 | 0.18 | ||||||
Net realized and unrealized gain (loss) | 0.96 | 1.23 | ||||||
|
|
|
| |||||
Total from investment operations | 1.08 | 1.41 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | – | (0.18 | ) | |||||
Net realized gains | – | (0.07 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.25 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 12.24 | $ | 11.16 | ||||
|
|
|
| |||||
Total return(b) | 9.68 | % | 14.07 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 3,672 | $ | 3,348 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 8.04 | %(c) | 4.73 | %(c) | ||||
Net expenses | 0.65 | %(c) | 0.65 | %(c) | ||||
Net investment income (loss) | 2.00 | %(c) | 1.90 | %(c) | ||||
Portfolio turnover rate | 29 | %(d) | 33 | %(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. Total returns 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.
15
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements
June 30, 2017 (Unaudited)
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 June 30, 2017, 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 series (each a “Fund” and collectively, the “Funds”):
Fund | Class | Commencement of Operations | Diversification Classification | |||
State Street Disciplined International Equity Fund | Class A Class I Class K | Not commenced February 19, 2016 Not commenced | Diversified | |||
State Street Disciplined U.S. Equity Fund | Class A Class I Class K | Not commenced February 19, 2016 Not commenced | Diversified |
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this 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
16
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (NAV) per share or unit. |
• | 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. |
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 an 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 June 30, 2017, is disclosed in each Fund’s respective Schedule of Investments.
17
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
The Funds had no transfers between levels for the period ended June 30, 2017.
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 Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
18
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Distributions
Distributions from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Funds have entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, 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, 2018, to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.85% 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, 2018 except with the approval of the Board. For the period ended June 30, 2017, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $140,711 and $129,728 for the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund, respectively.
Administrator, Sub-Administrator and Custodian 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 attributable to each class of shares of the Fund. 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 wholly owned entity of DST Systems, Inc., serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. For these services, the Funds pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
Distribution Fees
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the Distributor of the Funds. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC.
19
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
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 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 SSGA FD 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.
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 June 30, 2017, 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 June 30, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||||||||
State Street Disciplined International Equity Fund | 1 | 100.00 | % | |||||||
State Street Disciplined U.S. Equity Fund | 1 | 100.00 | % |
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 June 30, 2017, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street Disciplined International Equity Fund | $ | – | $ | – | $ | 693,377 | $ | 657,006 | ||||||||
State Street Disciplined U.S. Equity Fund | 1,038,251 | 1,026,171 | – | – |
20
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
6. | Income Tax Information |
The Funds intend to qualify as a regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. The Funds will not be subject to federal income taxes to the extent they distributes their taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. 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 December 31, 2016, SSGA FM has analyzed the Funds’ tax positions taken and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2017, 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 International Equity Fund | $ | 3,148,844 | $ | 463,484 | $ | 70,267 | $ | 393,217 | ||||||||
State Street Disciplined U.S. Equity Fund | 3,196,474 | 553,548 | 11,845 | 541,703 |
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. The agreement expires October 12, 2017 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate plus 1%.
The Funds had no outstanding loans as of the period ended June 30, 2017.
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.
21
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017 (Unaudited)
Foreign and Emerging Markets Risks
Investing in foreign markets involves 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.
9. | New Accounting Pronouncements |
In October 2016, the SEC adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Funds and concluded that it will be limited to additional disclosures.
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
Other Information
June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 | % | $ | 1,164.30 | $ | 4.56 | $ | 1,020.60 | $ | 4.26 | ||||||||||
State Street Disciplined U.S. Equity Fund Class I | 0.65 | 1,096.80 | 3.38 | 1,021.60 | 3.26 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the 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)
June 30, 2017 (Unaudited)
Trustee Considerations In Approving Continuation Of
Investment Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
1 | Over the course of many years overseeing the Funds and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the period since the Fund’s inception through December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past calendar year, since the Fund’s inception; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
• | 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 provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Funds, with respect to its operations relating to the Funds; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreements,
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
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 each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreements effective June 1, 2017, for an additional year with respect to the Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the period since each Fund’s inception through December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
28
Table of Contents
State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
State Street Disciplined U.S. Equity Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on February 19, 2016. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
State Street Disciplined International Equity Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on February 19, 2016. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory while noting the Funds’ limited performance history.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Funds to limit the total expenses borne by shareholders of the Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Disciplined U.S. Equity Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Disciplined International Equity Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Funds, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various
29
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Funds or the fund complex taken as a whole. The Board concluded that, in light of the current size of each Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to each Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory 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 Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of each Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
30
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 of the Funds
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITDISCEQTYSAR |
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
30 June 2017
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
Semi-Annual Report
June 30, 2017 (Unaudited)
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43 |
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)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 94.3 | % | ||
Short-Term Investment | 4.8 | |||
Rights | 0.1 | |||
Other Assets in Excess of Liabilities | 0.8 | |||
Total | 100.0 | % |
Sector Breakdown as of June 30, 2017* | June 30, 2017 | |||
Banks | 13.2 | % | ||
Health Care Providers & Services | 8.7 | |||
Insurance | 8.5 | |||
Oil, Gas & Consumable Fuels | 8.4 | |||
Capital Markets | 5.6 | |||
Chemicals | 5.3 | |||
Airlines | 4.9 | |||
Machinery | 4.9 | |||
Food Products | 3.1 | |||
Tobacco | 3.0 | |||
Containers & Packaging | 2.9 | |||
Construction & Engineering | 2.8 | |||
Aerospace & Defense | 2.7 | |||
Communications Equipment | 2.7 | |||
Software | 2.7 | |||
Specialty Retail | 2.7 | |||
Household Durables | 2.6 | |||
Pharmaceuticals | 2.6 | |||
Auto Components | 2.4 | |||
Wireless Telecommunication Services | 2.4 | |||
Electrical Equipment | 2.3 | |||
Short-Term Investment | 4.8 | |||
Other Assets in Excess of Liabilities | 0.8 | |||
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.
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State Street Institutional Investment Trust
State Street Global Value Spotlight Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 94.3% | ||||||||
Australia – 2.6% | ||||||||
Woodside Petroleum, Ltd. | 2,710 | $ | 62,091 | |||||
|
| |||||||
China – 2.1% | ||||||||
China Construction Bank Corp. Class H | 66,000 | 51,150 | ||||||
|
| |||||||
France – 2.7% | ||||||||
Vallourec SA(a) | 10,551 | 64,009 | ||||||
|
| |||||||
Germany – 2.4% | ||||||||
Schaeffler AG Preference Shares | 4,070 | 58,211 | ||||||
|
| |||||||
Hong Kong – 3.1% | ||||||||
WH Group, Ltd.(b) | 72,500 | 73,183 | ||||||
|
| |||||||
Hungary – 2.6% | ||||||||
Richter Gedeon Nyrt | 2,404 | 62,688 | ||||||
|
| |||||||
Italy – 2.6% | ||||||||
Eni SpA | 4,196 | 62,980 | ||||||
|
| |||||||
Japan – 8.4% | ||||||||
Alfresa Holdings Corp. | 3,800 | 73,288 | ||||||
KDDI Corp. | 2,200 | 58,250 | ||||||
Sony Financial Holdings, Inc. | 4,100 | 69,842 | ||||||
|
| |||||||
201,380 | ||||||||
|
| |||||||
Netherlands – 2.7% | ||||||||
Koninklijke DSM NV | 906 | 65,762 | ||||||
|
| |||||||
Panama – 2.0% | ||||||||
Copa Holdings SA Class A | 400 | 46,800 | ||||||
|
| |||||||
South Korea – 5.7% | ||||||||
KT&G Corp. | 712 | 72,809 | ||||||
Samsung Life Insurance Co., Ltd. | 619 | 63,298 | ||||||
|
| |||||||
136,107 | ||||||||
|
| |||||||
Spain – 2.7% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,660 | 64,041 | ||||||
|
| |||||||
Sweden – 2.7% | ||||||||
Telefonaktiebolaget LM Ericsson Class B | 9,127 | 65,196 | ||||||
|
| |||||||
Switzerland – 5.5% | ||||||||
ABB, Ltd. | 2,221 | 54,919 | ||||||
Credit Suisse Group AG(a) | 5,242 | 75,867 | ||||||
|
| |||||||
130,786 | ||||||||
|
| |||||||
Thailand – 3.0% | ||||||||
Bangkok Bank PCL | 12,200 | 70,751 | ||||||
|
| |||||||
United Kingdom – 8.3% | ||||||||
Barclays PLC | 24,822 | 65,372 | ||||||
easyJet PLC | 3,998 | 70,575 | ||||||
Standard Chartered PLC(a) | 6,325 | 63,854 | ||||||
|
| |||||||
199,801 | ||||||||
|
| |||||||
United States – 35.2% | ||||||||
Affiliated Managers Group, Inc. | 344 | 57,056 | ||||||
AGCO Corp. | 774 | 52,160 | ||||||
Cigna Corp. | 390 | 65,282 | ||||||
Citigroup, Inc. | 958 | 64,071 | ||||||
EQT Corp. | 1,293 | 75,757 | ||||||
McKesson Corp. | 420 | 69,107 | ||||||
MetLife, Inc. | 1,257 | 69,060 | ||||||
Michaels Cos., Inc.(a) | 3,455 | 63,987 | ||||||
Mosaic Co. | 2,744 | 62,645 | ||||||
Oracle Corp. | 1,295 | 64,931 | ||||||
Owens-Illinois, Inc.(a) | 2,935 | 70,205 | ||||||
Tempur Sealy International, Inc.(a) | 1,154 | 61,612 | ||||||
United Technologies Corp. | 538 | 65,695 | ||||||
|
| |||||||
841,568 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,256,504 | ||||||
|
| |||||||
RIGHTS – 0.1% | ||||||||
Spain – 0.1% | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(a) (Cost $1,397) | 1,660 | 1,325 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 4.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(c)(d) | 116,203 | 116,203 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.2% |
| 2,374,032 | ||||||
Other Assets in Excess of Liabilities – 0.8% |
| 18,602 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,392,634 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 3.1% of net assets as of June 30, 2017, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
At June 30, 2017, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Barclays Capital | SEK | 138,365 | USD | 16,000 | 08/31/2017 | $ | (456 | ) | ||||||||||||||||
Barclays Capital | EUR | 20,464 | USD | 23,000 | 08/31/2017 | (408 | ) | |||||||||||||||||
HSBC Bank plc | SEK | 138,343 | USD | 16,000 | 08/31/2017 | (454 | ) |
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)
June 30, 2017 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
HSBC Bank plc | EUR | 20,463 | USD | 23,000 | 08/31/2017 | $ | (408 | ) | ||||||||||||||||
JP Morgan Chase Bank, N.A. | SEK | 138,341 | USD | 16,000 | 08/31/2017 | (454 | ) | |||||||||||||||||
Royal Bank of Canada | CHF | 22,256 | USD | 23,000 | 08/31/2017 | (323 | ) | |||||||||||||||||
Societe Generale | CHF | 22,256 | USD | 23,000 | 08/31/2017 | (323 | ) | |||||||||||||||||
UBS AG | CHF | 24,189 | USD | 25,000 | 08/31/2017 | (348 | ) | |||||||||||||||||
Westpac Banking Corp. | EUR | 22,242 | USD | 25,000 | 08/31/2017 | (443 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (3,617 | ) | |||||||||||||||||||||
|
|
During the period ended June 30, 2017, average notional value related to foreign currency exchange contracts was $233,333 or 10% of net assets.
CHF | Swiss Franc | |
EUR | Euro | |
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 June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 62,091 | $ | – | $ | – | $ | 62,091 | ||||||||
China | 51,150 | – | – | 51,150 | ||||||||||||
France | 64,009 | – | – | 64,009 | ||||||||||||
Germany | 58,211 | – | – | 58,211 | ||||||||||||
Hong Kong | 73,183 | – | – | 73,183 | ||||||||||||
Hungary | 62,688 | – | – | 62,688 | ||||||||||||
Italy | 62,980 | – | – | 62,980 | ||||||||||||
Japan | 201,380 | – | – | 201,380 | ||||||||||||
Netherlands | 65,762 | – | – | 65,762 | ||||||||||||
Panama | 46,800 | – | – | 46,800 | ||||||||||||
South Korea | 136,107 | – | – | 136,107 | ||||||||||||
Spain | 64,041 | – | – | 64,041 | ||||||||||||
Sweden | 65,196 | – | – | 65,196 | ||||||||||||
Switzerland | 130,786 | – | – | 130,786 | ||||||||||||
Thailand | 70,751 | – | – | 70,751 | ||||||||||||
United Kingdom | 199,801 | – | – | 199,801 | ||||||||||||
United States | 841,568 | – | – | 841,568 | ||||||||||||
Rights | ||||||||||||||||
Spain | 1,325 | – | – | 1,325 | ||||||||||||
Short-Term Investment | 116,203 | – | – | 116,203 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,374,032 | $ | – | $ | – | $ | 2,374,032 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (3,617 | ) | $ | – | $ | (3,617 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | – | $ | (3,617 | ) | $ | – | $ | (3,617 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Global Value Spotlight Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Affiliate Table
Number of shares held at 12/31/16 | Value at 12/31/16 | Shares Purchased | Shares Sold | Number of shares held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 222,218 | 106,015 | 116,203 | $ | 116,203 | $ | 121 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 120,334 | 120,334 | 212,831 | 333,165 | – | – | 198 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 120,334 | $ | 116,203 | $ | 319 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 93.7 | % | ||
Short-Term Investment | 5.6 | |||
Rights | 0.1 | |||
Other Assets in Excess of Liabilities | 0.6 | |||
Total | 100.0 | % |
Sector Breakdown as of June 30, 2017* | June 30, 2017 | |||
Banks | 14.1 | % | ||
Insurance | 8.7 | |||
Chemicals | 8.1 | |||
Pharmaceuticals | 7.9 | |||
Oil, Gas & Consumable Fuels | 7.4 | |||
Electrical Equipment | 6.0 | |||
Capital Markets | 5.9 | |||
Machinery | 5.9 | |||
Auto Components | 5.5 | |||
Communications Equipment | 3.4 | |||
Construction & Engineering | 3.3 | |||
Food Products | 3.3 | |||
Airlines | 3.2 | |||
Wireless Telecommunication Services | 3.0 | |||
Health Care Providers & Services | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.7 | |||
Industrial Conglomerates | 2.5 | |||
Short-Term Investment | 5.6 | |||
Other Assets in Excess of Liabilities | 0.6 | |||
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.
5
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 93.7% | ||||||||
Australia – 5.2% | ||||||||
Incitec Pivot, Ltd. | 24,807 | $ | 64,886 | |||||
Woodside Petroleum, Ltd. | 2,992 | 68,552 | ||||||
|
| |||||||
133,438 | ||||||||
|
| |||||||
China – 7.4% | ||||||||
China Construction Bank Corp. Class H | 91,000 | 70,525 | ||||||
PetroChina Co., Ltd. Class H | 90,000 | 55,108 | ||||||
Shanghai Industrial Holdings, Ltd. | 22,000 | 65,100 | ||||||
|
| |||||||
190,733 | ||||||||
|
| |||||||
France – 9.1% | ||||||||
Alstom SA(a) | 2,482 | 86,652 | ||||||
Sanofi | 775 | 74,038 | ||||||
Vallourec SA(a) | 12,360 | 74,983 | ||||||
|
| |||||||
235,673 | ||||||||
|
| |||||||
Germany – 5.7% | ||||||||
Deutsche Bank AG | 4,489 | 79,487 | ||||||
Schaeffler AG Preference Shares | 4,818 | 68,909 | ||||||
|
| |||||||
148,396 | ||||||||
|
| |||||||
Hong Kong – 3.3% | ||||||||
WH Group, Ltd.(b) | 84,500 | 85,296 | ||||||
|
| |||||||
Hungary – 2.8% | ||||||||
Richter Gedeon Nyrt | 2,742 | 71,502 | ||||||
|
| |||||||
Israel – 2.2% | ||||||||
Teva Pharmaceutical Industries, Ltd. ADR | 1,704 | 56,607 | ||||||
|
| |||||||
Italy – 5.6% | ||||||||
Assicurazioni Generali SpA | 4,910 | 80,698 | ||||||
Eni SpA | 4,282 | 64,271 | ||||||
|
| |||||||
144,969 | ||||||||
|
| |||||||
Japan – 16.4% | ||||||||
Alfresa Holdings Corp. | 3,900 | 75,216 | ||||||
Hirose Electric Co., Ltd. | 500 | 71,289 | ||||||
KDDI Corp. | 2,900 | 76,785 | ||||||
Sony Financial Holdings, Inc. | 4,000 | 68,138 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 70,151 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,800 | 64,384 | ||||||
|
| |||||||
425,963 | ||||||||
|
| |||||||
Netherlands – 2.6% | ||||||||
Koninklijke DSM NV | 932 | 67,649 | ||||||
|
| |||||||
Norway – 3.0% | ||||||||
Yara International ASA | 2,046 | 76,597 | ||||||
|
| |||||||
South Korea – 5.9% | ||||||||
Hankook Tire Co., Ltd. | 1,356 | 75,376 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 312 | 76,763 | ||||||
|
| |||||||
152,139 | ||||||||
|
| |||||||
Spain – 3.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 2,182 | 84,179 | ||||||
|
| |||||||
Sweden – 3.4% | ||||||||
Telefonaktiebolaget LM Ericsson Class B | 12,360 | 88,290 | ||||||
|
| |||||||
Switzerland – 5.5% | ||||||||
ABB, Ltd. | 2,793 | 69,063 | ||||||
Credit Suisse Group AG(a) | 5,112 | 73,986 | ||||||
|
| |||||||
143,049 | ||||||||
|
| |||||||
Thailand – 3.3% | ||||||||
Bangkok Bank PCL | 14,800 | 85,829 | ||||||
|
| |||||||
United Kingdom – 9.1% | ||||||||
CNH Industrial NV | 6,900 | 78,029 | ||||||
easyJet PLC | 4,668 | 82,403 | ||||||
Standard Chartered PLC(a) | 7,461 | 75,322 | ||||||
|
| |||||||
235,754 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,426,063 | ||||||
|
| |||||||
RIGHTS – 0.1% | ||||||||
Spain – 0.1% | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(a) (Cost $1,835) | 2,182 | 1,742 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 5.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(c)(d) | 146,807 | 146,807 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.4% |
| 2,574,612 | ||||||
Other Assets in Excess of Liabilities – 0.6% |
| 14,863 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,589,475 | |||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 3.3% of net assets as of June 30, 2017, 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 June 30, 2017 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
ADR | American Depositary Receipt |
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 133,438 | $ | – | $ | – | $ | 133,438 | ||||||||
China | 190,733 | – | – | 190,733 | ||||||||||||
France | 235,673 | – | – | 235,673 | ||||||||||||
Germany | 148,396 | – | – | 148,396 | ||||||||||||
Hong Kong | 85,296 | – | – | 85,296 | ||||||||||||
Hungary | 71,502 | – | – | 71,502 | ||||||||||||
Israel | 56,607 | – | – | 56,607 | ||||||||||||
Italy | 144,969 | – | – | 144,969 | ||||||||||||
Japan | 425,963 | – | – | 425,963 | ||||||||||||
Netherlands | 67,649 | – | – | 67,649 | ||||||||||||
Norway | 76,597 | – | – | 76,597 | ||||||||||||
South Korea | 152,139 | – | – | 152,139 | ||||||||||||
Spain | 84,179 | – | – | 84,179 | ||||||||||||
Sweden | 88,290 | – | – | 88,290 | ||||||||||||
Switzerland | 143,049 | – | – | 143,049 | ||||||||||||
Thailand | 85,829 | – | – | 85,829 | ||||||||||||
United Kingdom | 235,754 | – | – | 235,754 | ||||||||||||
Rights | ||||||||||||||||
Spain | 1,742 | – | – | 1,742 | ||||||||||||
Short-Term Investment | 146,807 | – | – | 146,807 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,574,612 | $ | – | $ | – | $ | 2,574,612 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares held at 12/31/16 | Value at 12/31/16 | Shares Purchased | Shares Sold | Number of Shares held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 244,806 | 97,999 | 146,807 | $ | 146,807 | $ | 165 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 41,185 | 41,185 | 276,675 | 317,860 | – | – | 184 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 41,185 | $ | 146,807 | $ | 349 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 90.8 | % | ||
Short-Term Investment | 8.0 | |||
Rights | 0.1 | |||
Other Assets in Excess of Liabilities | 1.1 | |||
Total | 100.0 | % |
Sector Breakdown as of June 30, 2017* | June 30, 2017 | |||
Pharmaceuticals | 12.7 | % | ||
Banks | 12.2 | |||
Machinery | 8.4 | |||
Chemicals | 8.3 | |||
Capital Markets | 7.2 | |||
Insurance | 7.1 | |||
Oil, Gas & Consumable Fuels | 6.0 | |||
Electrical Equipment | 5.5 | |||
Auto Components | 4.4 | |||
Construction & Engineering | 3.5 | |||
Airlines | 3.4 | |||
Communications Equipment | 3.1 | |||
Textiles, Apparel & Luxury Goods | 3.0 | |||
Diversified Financial Services | 2.6 | |||
Construction Materials | 2.5 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Short-Term Investment | 8.0 | |||
Other Assets in Excess of Liabilities | 1.1 | |||
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.
8
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 90.8% | ||||||||
Austria – 3.2% | ||||||||
ANDRITZ AG | 639 | $ | 38,437 | |||||
|
| |||||||
France – 18.3% | ||||||||
Alstom SA(a) | 1,138 | 39,730 | ||||||
AXA SA | 1,577 | 43,078 | ||||||
BNP Paribas SA | 359 | 25,820 | ||||||
Sanofi | 418 | 39,933 | ||||||
TOTAL SA | 722 | 35,644 | ||||||
Vallourec SA(a) | 5,800 | 35,186 | ||||||
|
| |||||||
219,391 | ||||||||
|
| |||||||
Germany – 10.1% | ||||||||
Continental AG | 120 | 25,861 | ||||||
Deutsche Bank AG | 2,181 | 38,619 | ||||||
HeidelbergCement AG | 304 | 29,350 | ||||||
Schaeffler AG Preference Shares | 1,850 | 26,460 | ||||||
|
| |||||||
120,290 | ||||||||
|
| |||||||
Hungary – 3.1% | ||||||||
Richter Gedeon Nyrt | 1,445 | 37,681 | ||||||
|
| |||||||
Ireland – 3.2% | ||||||||
Bank of Ireland(a) | 145,358 | 38,131 | ||||||
|
| |||||||
Italy – 6.5% | ||||||||
Assicurazioni Generali SpA | 2,552 | 41,943 | ||||||
Eni SpA | 2,390 | 35,873 | ||||||
|
| |||||||
77,816 | ||||||||
|
| |||||||
Netherlands – 9.4% | ||||||||
Akzo Nobel NV | �� | 431 | 37,404 | |||||
ASM International NV | 207 | 12,038 | ||||||
Euronext NV(b) | 599 | 31,051 | ||||||
Koninklijke DSM NV | 443 | 32,155 | ||||||
|
| |||||||
112,648 | ||||||||
|
| |||||||
Norway – 2.5% | ||||||||
Yara International ASA | 795 | 29,763 | ||||||
|
| |||||||
Spain – 3.4% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,054 | 40,662 | ||||||
|
| |||||||
Sweden – 3.1% | ||||||||
Telefonaktiebolaget LM Ericsson Class B | 5,268 | 37,631 | ||||||
|
| |||||||
Switzerland – 15.5% | ||||||||
ABB, Ltd. | 1,039 | 25,691 | ||||||
Credit Suisse Group AG(a) | 3,334 | 48,253 | ||||||
Novartis AG | 504 | 41,998 | ||||||
Roche Holding AG | 133 | 33,915 | ||||||
Swatch Group AG | 95 | 35,127 | ||||||
|
| |||||||
184,984 | ||||||||
|
| |||||||
United Kingdom – 12.5% | ||||||||
Barclays PLC | 15,413 | 40,592 | ||||||
CNH Industrial NV | 2,445 | 27,650 | ||||||
easyJet PLC | 2,266 | 40,001 | ||||||
Standard Chartered PLC(a) | 4,078 | 41,169 | ||||||
|
| |||||||
149,412 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,086,846 | ||||||
|
| |||||||
RIGHTS – 0.1% | ||||||||
Spain – 0.1% | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)(a) (Cost $886) | 1,054 | 841 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 8.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(c)(d) | 96,534 | 96,534 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.9% |
| 1,184,221 | ||||||
Other Assets in Excess of Liabilities – 1.1% |
| 12,769 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,196,990 | |||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 2.6% of net assets as of June 30, 2017, 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 June 30, 2017 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2017. |
At June 30, 2017, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
HSBC Bank plc | EUR | 11,442 | GBP | 10,000 | 08/31/2017 | $ | (206 | ) | ||||||||||||||||
HSBC Bank plc | EUR | 11,442 | GBP | 10,000 | 08/31/2017 | 130 | ||||||||||||||||||
UBS AG | EUR | 10,300 | GBP | 9,000 | 08/31/2017 | (188 | ) | |||||||||||||||||
UBS AG | EUR | 10,300 | GBP | 9,000 | 08/31/2017 | 117 | ||||||||||||||||||
Westpac Banking Corp. | EUR | 11,444 | GBP | 10,000 | 08/31/2017 | (208 | ) | |||||||||||||||||
Westpac Banking Corp. | EUR | 11,444 | GBP | 10,000 | 08/31/2017 | 129 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (226 | ) | ||||||||||||||||||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
During the period ended June 30, 2017, average notional value related to foreign currency exchange contracts was $37,359 or 3% of net assets.
Abbreviations: | ||
EUR | Euro | |
GBP | British Pound |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | 38,437 | $ | – | $ | – | $ | 38,437 | ||||||||
France | 219,391 | – | – | 219,391 | ||||||||||||
Germany | 120,290 | – | – | 120,290 | ||||||||||||
Hungary | 37,681 | – | – | 37,681 | ||||||||||||
Ireland | 38,131 | – | – | 38,131 | ||||||||||||
Italy | 77,816 | – | – | 77,816 | ||||||||||||
Netherlands | 112,648 | – | – | 112,648 | ||||||||||||
Norway | 29,763 | – | – | 29,763 | ||||||||||||
Spain | 40,662 | – | – | 40,662 | ||||||||||||
Sweden | 37,631 | – | – | 37,631 | ||||||||||||
Switzerland | 184,984 | – | – | 184,984 | ||||||||||||
United Kingdom | 149,412 | – | – | 149,412 | ||||||||||||
Rights | ||||||||||||||||
Spain | 841 | – | – | 841 | ||||||||||||
Short-Term Investment | 96,534 | – | – | 96,534 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,184,221 | $ | – | $ | – | $ | 1,184,221 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (226 | ) | $ | – | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | – | $ | (226 | ) | $ | – | $ | (226 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares held at 12/31/16 | Value at 12/31/16 | Shares Purchased | Shares Sold | Number of Shares held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 154,861 | 58,327 | 96,534 | $ | 96,534 | $ | 118 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 41,566 | 41,566 | 222,020 | 263,586 | – | – | 156 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 41,566 | $ | 96,534 | $ | 274 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 93.8 | % | ||
Short-Term Investment | 5.2 | |||
Other Assets in Excess of Liabilities | 1.0 | |||
Total | 100.0 | % |
Sector Breakdown as of June 30, 2017* | June 30, 2017 | |||
Banks | 21.4 | % | ||
Machinery | 7.1 | |||
Insurance | 5.2 | |||
Wireless Telecommunication Services | 5.2 | |||
Food Products | 5.1 | |||
Oil, Gas & Consumable Fuels | 5.1 | |||
Health Care Providers & Services | 4.2 | |||
Technology Hardware, Storage & Peripherals | 4.0 | |||
Semiconductors & Semiconductor Equipment | 3.6 | |||
Tobacco | 3.6 | |||
Trading Companies & Distributors | 3.6 | |||
Construction & Engineering | 3.3 | |||
Electronic Equipment, Instruments & Components | 3.2 | |||
Auto Components | 3.1 | |||
Household Durables | 3.1 | |||
Textiles, Apparel & Luxury Goods | 3.0 | |||
Chemicals | 2.8 | |||
Automobiles | 2.6 | |||
Software | 2.6 | |||
Industrial Conglomerates | 2.0 | |||
Short-Term Investment | 5.2 | |||
Other Assets in Excess of Liabilities | 1.0 | |||
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.
11
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 93.8% | ||||||||
Australia – 3.0% | ||||||||
Woodside Petroleum, Ltd. | 2,896 | $ | 66,352 | |||||
|
| |||||||
China – 14.7% | ||||||||
ANTA Sports Products, Ltd. | 20,000 | 66,099 | ||||||
China Construction Bank Corp. Class H | 80,000 | 62,000 | ||||||
China Mobile, Ltd. | 5,000 | 53,065 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 79,000 | 53,332 | ||||||
PetroChina Co., Ltd. Class H | 76,000 | 46,536 | ||||||
Shanghai Industrial Holdings, Ltd. | 15,000 | 44,386 | ||||||
|
| |||||||
325,418 | ||||||||
|
| |||||||
Hong Kong – 8.2% | ||||||||
Techtronic Industries Co., Ltd. | 15,000 | 68,981 | ||||||
WH Group, Ltd.(a) | 110,500 | 111,541 | ||||||
|
| |||||||
180,522 | ||||||||
|
| |||||||
Japan – 41.3% | ||||||||
Alfresa Holdings Corp. | 4,800 | 92,574 | ||||||
Hirose Electric Co., Ltd. | 500 | 71,289 | ||||||
ITOCHU Corp. | 5,300 | 78,727 | ||||||
Kansai Paint Co., Ltd. | 2,700 | 62,117 | ||||||
KDDI Corp. | 2,300 | 60,898 | ||||||
Kinden Corp. | 4,600 | 74,101 | ||||||
Komatsu, Ltd. | 2,100 | 53,350 | ||||||
Kurita Water Industries, Ltd. | 1,600 | 43,574 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 8,000 | 53,742 | ||||||
SMC Corp. | 200 | 60,787 | ||||||
Sony Financial Holdings, Inc. | 4,600 | 78,359 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 70,151 | ||||||
Toyota Motor Corp. | 1,100 | 57,692 | ||||||
Trend Micro, Inc. | 1,100 | 56,684 | ||||||
|
| |||||||
914,045 | ||||||||
|
| |||||||
Singapore – 2.6% | ||||||||
United Overseas Bank, Ltd. | 3,461 | 58,117 | ||||||
|
| |||||||
South Korea – 15.5% | ||||||||
Hankook Tire Co., Ltd. | 1,216 | 67,594 | ||||||
KT&G Corp. | 780 | 79,762 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 55 | 89,508 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 156 | 38,381 | ||||||
Shinhan Financial Group Co., Ltd. | 1,599 | 68,899 | ||||||
|
| |||||||
344,144 | ||||||||
|
| |||||||
Taiwan – 3.6% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,277 | 79,604 | ||||||
|
| |||||||
Thailand – 2.5% | ||||||||
Bangkok Bank PCL NVDR | 10,200 | 55,549 | ||||||
|
| |||||||
United Kingdom – 2.4% | ||||||||
Standard Chartered PLC(b) | 5,200 | 52,357 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,076,108 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 5.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(c)(d) | 114,576 | 114,576 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.0% |
| 2,190,684 | ||||||
Other Assets in Excess of Liabilities – 1.0% |
| 22,457 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,213,141 | |||||
|
|
(a) | Security purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. This security, which represents 5.0% of net assets as of June 30, 2017, 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 June 30, 2017. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
ADR | American Depositary Receipt | |
NVDR | Non Voting Depositary Receipt |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 66,352 | $ | – | $ | – | $ | 66,352 | ||||||||
China | 325,418 | – | – | 325,418 | ||||||||||||
Hong Kong | 180,522 | – | – | 180,522 | ||||||||||||
Japan | 914,045 | – | – | 914,045 | ||||||||||||
Singapore | 58,117 | – | – | 58,117 | ||||||||||||
South Korea | 344,144 | – | – | 344,144 |
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Taiwan | $ | 79,604 | $ | – | $ | – | $ | 79,604 | ||||||||
Thailand | 55,549 | – | – | 55,549 | ||||||||||||
United Kingdom | 52,357 | – | – | 52,357 | ||||||||||||
Short-Term Investment | 114,576 | – | – | 114,576 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,190,684 | $ | – | $ | – | $ | 2,190,684 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares held at 12/31/16 | Value at 12/31/16 | Shares Purchased | Shares Sold | Number of Shares held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 188,337 | 73,761 | 114,576 | $ | 114,576 | $ | 125 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 100,447 | 100,447 | 276,660 | 377,107 | – | – | 198 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 100,447 | $ | 114,576 | $ | 323 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2017 | |||
Common Stocks | 90.7 | % | ||
Short-Term Investment | 8.1 | |||
Other Assets in Excess of Liabilities | 1.2 | |||
Total | 100.0 | % |
Sector Breakdown as of June 30, 2017* | June 30, 2017 | |||
Oil, Gas & Consumable Fuels | 10.0 | % | ||
Banks | 8.5 | |||
Pharmaceuticals | 7.6 | |||
Software | 7.5 | |||
Health Care Providers & Services | 6.4 | |||
Insurance | 6.4 | |||
Communications Equipment | 4.6 | |||
Machinery | 3.7 | |||
Containers & Packaging | 3.4 | |||
Household Durables | 3.4 | |||
Capital Markets | 3.3 | |||
Aerospace & Defense | 3.1 | |||
Chemicals | 3.0 | |||
Specialty Retail | 2.8 | |||
Energy Equipment & Services | 2.7 | |||
Airlines | 2.6 | |||
Multiline Retail | 2.6 | |||
Construction & Engineering | 2.5 | |||
Electric Utilities | 2.4 | |||
Food & Staples Retailing | 2.3 | |||
Electronic Equipment, Instruments & Components | 1.9 | |||
Short-Term Investment | 8.1 | |||
Other Assets in Excess of Liabilities | 1.2 | |||
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.
14
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
June 30, 2017 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 90.7% | ||||||||
Aerospace & Defense – 3.1% | ||||||||
United Technologies Corp. | 277 | $ | 33,825 | |||||
|
| |||||||
Airlines – 2.6% | ||||||||
Copa Holdings SA Class A | 249 | 29,133 | ||||||
|
| |||||||
Banks – 8.5% | ||||||||
Citigroup, Inc. | 598 | 39,994 | ||||||
PNC Financial Services Group, Inc. | 177 | 22,102 | ||||||
Wells Fargo & Co. | 566 | 31,362 | ||||||
|
| |||||||
93,458 | ||||||||
|
| |||||||
Capital Markets – 3.3% | ||||||||
Affiliated Managers Group, Inc. | 219 | 36,323 | ||||||
|
| |||||||
Chemicals – 3.0% | ||||||||
Mosaic Co. | 1,422 | 32,464 | ||||||
|
| |||||||
Communications Equipment – 4.6% | ||||||||
Cisco Systems, Inc. | 907 | 28,389 | ||||||
F5 Networks, Inc.(a) | 179 | 22,744 | ||||||
|
| |||||||
51,133 | ||||||||
|
| |||||||
Construction & Engineering – 2.5% | ||||||||
Chicago Bridge & Iron Co. NV | 1,366 | 26,951 | ||||||
|
| |||||||
Containers & Packaging – 3.4% | ||||||||
Owens-Illinois, Inc.(a) | 1,582 | 37,842 | ||||||
|
| |||||||
Electric Utilities – 2.4% | ||||||||
Exelon Corp. | 745 | 26,872 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 1.9% |
| |||||||
Jabil, Inc. | 734 | 21,426 | ||||||
|
| |||||||
Energy Equipment & Services – 2.7% |
| |||||||
National Oilwell Varco, Inc. | 896 | 29,514 | ||||||
|
| |||||||
Food & Staples Retailing – 2.3% | ||||||||
Wal-Mart Stores, Inc. | 328 | 24,823 | ||||||
|
| |||||||
Health Care Providers & Services – 6.4% |
| |||||||
Cigna Corp. | 189 | 31,637 | ||||||
McKesson Corp. | 236 | 38,831 | ||||||
|
| |||||||
70,468 | ||||||||
|
| |||||||
Household Durables – 3.4% | ||||||||
Tempur Sealy International, Inc.(a) | 693 | 36,999 | ||||||
|
| |||||||
Insurance – 6.4% | ||||||||
Hartford Financial Services Group, Inc. | 698 | 36,694 | ||||||
MetLife, Inc. | 620 | 34,063 | ||||||
|
| |||||||
70,757 | ||||||||
|
| |||||||
Machinery – 3.7% | ||||||||
AGCO Corp. | 601 | 40,501 | ||||||
|
| |||||||
Multiline Retail – 2.6% | ||||||||
Nordstrom, Inc. | 602 | 28,794 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 10.0% | ||||||||
Chevron Corp. | 262 | 27,334 | ||||||
ConocoPhillips | 533 | 23,431 | ||||||
EQT Corp. | 635 | 37,205 | ||||||
Occidental Petroleum Corp. | 369 | 22,092 | ||||||
|
| |||||||
110,062 | ||||||||
|
| |||||||
Pharmaceuticals – 7.6% | ||||||||
Eli Lilly & Co. | 352 | 28,970 | ||||||
Johnson & Johnson | 200 | 26,458 | ||||||
Merck & Co., Inc. | 445 | 28,520 | ||||||
|
| |||||||
83,948 | ||||||||
|
| |||||||
Software – 7.5% | ||||||||
CA, Inc. | 561 | 19,338 | ||||||
Microsoft Corp. | 387 | 26,676 | ||||||
Oracle Corp. | 725 | 36,351 | ||||||
|
| |||||||
82,365 | ||||||||
|
| |||||||
Specialty Retail – 2.8% | ||||||||
Michaels Cos., Inc.(a) | 1,668 | 30,891 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 998,549 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 8.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%(b)(c) | 89,182 | 89,182 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.8% |
| 1,087,731 | ||||||
Other Assets in Excess of Liabilities – 1.2% |
| 13,496 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,101,227 | |||||
|
|
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2017. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 33,825 | $ | – | $ | – | $ | 33,825 | ||||||||
Airlines | 29,133 | – | – | 29,133 |
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
Schedule of Investments — (continued)
June 30, 2017 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Banks | $ | 93,458 | $ | – | $ | – | $ | 93,458 | ||||||||
Capital Markets | 36,323 | – | – | 36,323 | ||||||||||||
Chemicals | 32,464 | – | – | 32,464 | ||||||||||||
Communications Equipment | 51,133 | – | – | 51,133 | ||||||||||||
Construction & Engineering | 26,951 | – | – | 26,951 | ||||||||||||
Containers & Packaging | 37,842 | – | – | 37,842 | ||||||||||||
Electric Utilities | 26,872 | – | – | 26,872 | ||||||||||||
Electronic Equipment, Instruments & Components | 21,426 | – | – | 21,426 | ||||||||||||
Energy Equipment & Services | 29,514 | – | – | 29,514 | ||||||||||||
Food & Staples Retailing | 24,823 | – | – | 24,823 | ||||||||||||
Health Care Providers & Services | 70,468 | – | – | 70,468 | ||||||||||||
Household Durables | 36,999 | – | – | 36,999 | ||||||||||||
Insurance | 70,757 | – | – | 70,757 | ||||||||||||
Machinery | 40,501 | – | – | 40,501 | ||||||||||||
Multiline Retail | 28,794 | – | – | 28,794 | ||||||||||||
Oil, Gas & Consumable Fuels | 110,062 | – | – | 110,062 | ||||||||||||
Pharmaceuticals | 83,948 | – | – | 83,948 | ||||||||||||
Software | 82,365 | – | – | 82,365 | ||||||||||||
Specialty Retail | 30,891 | – | – | 30,891 | ||||||||||||
Short-Term Investment | 89,182 | – | – | 89,182 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,087,731 | $ | – | $ | – | $ | 1,087,731 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/16 | Value at 12/31/16 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/17 | Value at 6/30/17 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | – | $ | – | 104,295 | 15,113 | 89,182 | $ | 89,182 | $ | 97 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 101,767 | 101,767 | 59,098 | 160,865 | – | – | 168 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 101,767 | $ | 89,182 | $ | 265 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2017 (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 | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 2,257,829 | $ | 2,427,805 | $ | 1,087,687 | $ | 2,076,108 | $ | 998,549 | ||||||||||
Investments in affiliated issuers, at value (Note 2) | 116,203 | 146,807 | 96,534 | 114,576 | 89,182 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investments | 2,374,032 | 2,574,612 | 1,184,221 | 2,190,684 | 1,087,731 | |||||||||||||||
Foreign currency, at value | 8,920 | 16,339 | 3,315 | 4,726 | – | |||||||||||||||
Receivable for investments sold | – | – | – | – | 27,057 | |||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | – | – | 376 | – | – | |||||||||||||||
Dividends receivable – unaffiliated issuers (Note 2) | 2,590 | 4,660 | 903 | 5,440 | 716 | |||||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 77 | 102 | 72 | 76 | 60 | |||||||||||||||
Receivable from Adviser (Note 4) | 43,670 | 34,265 | 44,921 | 42,727 | 41,154 | |||||||||||||||
Receivable for foreign taxes recoverable (Note 2) | 761 | 2,445 | 2,312 | 724 | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 2,430,050 | 2,632,423 | 1,236,120 | 2,244,377 | 1,156,718 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities |
| |||||||||||||||||||
Payable for investments purchased | – | – | 4,711 | – | 28,461 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 3,617 | – | 602 | – | – | |||||||||||||||
Deferred foreign taxes payable | 1,743 | 1,709 | – | 92 | – | |||||||||||||||
Advisory fee payable (Note 4) | 1,462 | 1,596 | 741 | 1,356 | 580 | |||||||||||||||
Custodian fees payable (Note 4) | 10,372 | 13,816 | 12,918 | 9,553 | 6,660 | |||||||||||||||
Administration fees payable (Note 4) | 97 | 106 | 49 | 90 | 45 | |||||||||||||||
Transfer agent fees payable (Note 4) | 6,918 | 9,420 | 6,917 | 6,918 | 6,917 | |||||||||||||||
Registration and filing fees payable | 29 | 24 | 15 | 29 | 15 | |||||||||||||||
Professional fees payable | 13,176 | 14,030 | 13,176 | 13,176 | 12,803 | |||||||||||||||
Printing and postage fees payable | – | 2,245 | – | – | – | |||||||||||||||
Accrued expenses and other liabilities | 2 | 2 | 1 | 22 | 10 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 37,416 | 42,948 | 39,130 | 31,236 | 55,491 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 2,392,634 | $ | 2,589,475 | $ | 1,196,990 | $ | 2,213,141 | $ | 1,101,227 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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) | 25,543 | 40,515 | 20,078 | 23,727 | 5,900 | |||||||||||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and forward foreign currency exchange contracts | 124,681 | 198,882 | 38,399 | 40,297 | 19,079 | |||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments** | 245,874 | 349,785 | 138,563 | 149,109 | 76,248 | |||||||||||||||
Foreign currency transactions and forward foreign currency exchange contracts | (3,464 | ) | 293 | (50 | ) | 8 | – | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 2,392,634 | $ | 2,589,475 | $ | 1,196,990 | $ | 2,213,141 | $ | 1,101,227 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2017 (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 | ||||||||||||||||
Net Asset Value Per Share |
| |||||||||||||||||||
Class K |
| |||||||||||||||||||
Net assets | $ | 2,392,634 | $ | 2,589,475 | $ | 1,196,990 | $ | 2,213,141 | $ | 1,101,227 | ||||||||||
Shares outstanding | 200,000 | 200,000 | 100,000 | 200,000 | 100,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | 11.96 | $ | 12.95 | $ | 11.97 | $ | 11.07 | $ | 11.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Cost of Investments: |
| |||||||||||||||||||
Investments in unaffiliated issuers | $ | 2,010,212 | $ | 2,076,311 | $ | 949,124 | $ | 1,926,907 | $ | 922,301 | ||||||||||
Investments in affiliated issuers | 116,203 | 146,807 | 96,534 | 114,576 | 89,182 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total cost of investments | $ | 2,126,415 | $ | 2,223,118 | $ | 1,045,658 | $ | 2,041,483 | $ | 1,011,483 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Foreign currency, at cost | $ | 8,816 | $ | 16,127 | $ | 3,236 | $ | 4,715 | $ | – | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
** Includes deferred foreign taxes | $ | 1,743 | $ | 1,709 | $ | – | $ | 92 | $ | – | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2017 (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 | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividend income – unaffiliated issuers (Note 2) | $ | 33,491 | $ | 55,021 | $ | 25,478 | $ | 34,828 | $ | 9,090 | ||||||||||
Dividend income – affiliated issuers (Note 2) | 319 | 349 | 274 | 323 | 265 | |||||||||||||||
Foreign taxes withheld (Note 2) | (2,309 | ) | (5,729 | ) | (3,016 | ) | (3,655 | ) | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investment income (loss) | 31,501 | 49,641 | 22,736 | 31,496 | 9,355 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Advisory fees (Note 4) | 8,382 | 9,118 | 4,216 | 7,769 | 3,455 | |||||||||||||||
Administration fees (Note 4) | 559 | 608 | 281 | 518 | 266 | |||||||||||||||
Custodian fees (Note 4) | 14,526 | 16,955 | 16,320 | 12,776 | 7,679 | |||||||||||||||
Trustees’ fees and expenses (Note 5) | 16,318 | 16,319 | 16,307 | 16,317 | 16,307 | |||||||||||||||
Transfer agent fees (Note 4) | 8,729 | 6,643 | 8,729 | 8,729 | 8,729 | |||||||||||||||
Registration and filing fees | 6,564 | 6,575 | 6,564 | 6,564 | 6,564 | |||||||||||||||
Professional fees | 26,220 | 27,505 | 26,220 | 26,220 | 24,847 | |||||||||||||||
Printing and postage fees | 5,441 | 3,804 | 5,441 | 5,441 | 5,484 | |||||||||||||||
Miscellaneous expenses | 2,683 | 2,416 | 2,667 | 2,683 | 2,666 | |||||||||||||||
Total expenses | 89,422 | 89,943 | 86,745 | 87,017 | 75,997 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses waived/reimbursed by the Adviser (Note 4) | (81,039 | ) | (80,817 | ) | (82,529 | ) | (79,248 | ) | (72,542 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses | 8,383 | 9,126 | 4,216 | 7,769 | 3,455 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 23,118 | 40,515 | 18,520 | 23,727 | 5,900 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments – unaffiliated issuers* | 108,088 | 151,125 | 35,283 | 29,222 | 10,733 | |||||||||||||||
Foreign currency transactions and forward foreign currency exchange contract transactions | (6,413 | ) | 1,051 | 234 | 198 | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized gain (loss) | 101,675 | 152,176 | 35,517 | 29,420 | 10,733 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||||||
Investments – unaffiliated issuers** | 183,581 | 146,173 | 98,849 | 230,335 | 39,249 | |||||||||||||||
Foreign currency transactions and forward foreign currency exchange contract transactions | (2,516 | ) | 415 | (98 | ) | 39 | – | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation/depreciation | 181,065 | 146,588 | 98,751 | 230,374 | 39,249 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized and unrealized gain (loss) | 282,740 | 298,764 | 134,268 | 259,794 | 49,982 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 305,858 | $ | 339,279 | $ | 152,788 | $ | 283,521 | $ | 55,882 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
* Includes foreign capital gain taxes | $ | (156 | ) | $ | (5 | ) | $ | – | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
** Includes foreign deferred taxes | $ | (1,743 | ) | $ | (1,709 | ) | $ | – | $ | (92 | ) | $ | – | |||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Global Value Spotlight Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/22/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 23,118 | $ | 1,857 | ||||
Net realized gain (loss) | 101,675 | 32,174 | ||||||
Net change in unrealized appreciation/depreciation | 181,065 | 61,345 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 305,858 | 95,376 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (8,100 | ) | |||||
Net realized gains | – | (500 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (8,600 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: |
| |||||||
Proceeds from sale of shares sold | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 305,858 | 2,086,776 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 2,086,776 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,392,634 | $ | 2,086,776 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 25,543 | $ | 2,425 | ||||
|
|
|
| |||||
Shares of Beneficial Interest: |
| |||||||
Shares sold | – | 200,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | – | 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 International Value Spotlight Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 7/13/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 40,515 | $ | 4,463 | ||||
Net realized gain (loss) | 152,176 | 83,583 | ||||||
Net change in unrealized appreciation/depreciation | 146,588 | 203,490 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 339,279 | 291,536 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (3,800 | ) | |||||
Net realized gains | – | (37,540 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (41,340 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: |
| |||||||
Proceeds from sale of shares sold | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 339,279 | 2,250,196 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 2,250,196 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,589,475 | $ | 2,250,196 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 40,515 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: |
| |||||||
Shares sold | – | 200,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | – | 200,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street European Value Spotlight Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/22/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 18,520 | $ | (889 | ) | |||
Net realized gain (loss) | 35,517 | 6,209 | ||||||
Net change in unrealized appreciation/depreciation | 98,751 | 39,762 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 152,788 | 45,082 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | – | (840 | ) | |||||
Net realized gains | – | (40 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (880 | ) | |||||
|
|
|
| |||||
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 | 152,788 | 1,044,202 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,044,202 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,196,990 | $ | 1,044,202 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 20,078 | $ | 1,558 | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | – | 100,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | – | 100,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Asia Pacific Value Spotlight Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/22/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 23,727 | $ | 7,095 | ||||
Net realized gain (loss) | 29,420 | 7,262 | ||||||
Net change in unrealized appreciation/depreciation | 230,374 | (81,257 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 283,521 | (66,900 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (3,480 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: |
| |||||||
Proceeds from sale of shares sold | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | – | 2,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 283,521 | 1,929,620 | ||||||
|
|
|
| |||||
Net Assets at Beginning of period | 1,929,620 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,213,141 | $ | 1,929,620 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 23,727 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: |
| |||||||
Shares sold | – | 200,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | – | 200,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street U.S. Value Spotlight Fund | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/22/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 5,900 | $ | 3,534 | ||||
Net realized gain (loss) | 10,733 | 9,052 | ||||||
Net change in unrealized appreciation/depreciation | 39,249 | 36,999 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 55,882 | 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 | 55,882 | 1,045,345 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,045,345 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,101,227 | $ | 1,045,345 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 5,900 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: |
| |||||||
Shares sold | – | 100,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | – | 100,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
24
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Global Value Spotlight Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.43 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations |
| |||||||
Net investment income (loss)(a) | 0.12 | 0.01 | ||||||
Net realized and unrealized gain (loss) | 1.41 | 0.46 | ||||||
|
|
|
| |||||
Total from investment operations | 1.53 | 0.47 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (0.04 | ) | |||||
Net realized gains | – | (0.00 | )(b) | |||||
|
|
|
| |||||
Total distributions | – | (0.04 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 11.96 | $ | 10.43 | ||||
|
|
|
| |||||
Total return(c) | 14.67 | % | 4.73 | % | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 2,393 | $ | 2,087 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 8.00 | %(d) | 9.46 | %(d) | ||||
Net expenses | 0.75 | %(d) | 0.75 | %(d) | ||||
Net investment income (loss) | 2.07 | %(d) | 0.34 | %(d) | ||||
Portfolio turnover rate | 28 | %(e) | 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 of 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. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
25
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street International Value Spotlight Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 7/14/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 11.25 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations |
| |||||||
Net investment income (loss)(a) | 0.20 | 0.02 | ||||||
Net realized and unrealized gain (loss) | 1.50 | 1.44 | ||||||
|
|
|
| |||||
Total from investment operations | 1.70 | 1.46 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (0.02 | ) | |||||
Net realized gains | – | (0.19 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.21 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 12.95 | $ | 11.25 | ||||
|
|
|
| |||||
Total return(b) | 15.11 | % | 14.57 | % | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 2,589 | $ | 2,250 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 7.40 | %(c) | 7.76 | %(c) | ||||
Net expenses | 0.75 | %(c) | 0.75 | %(c) | ||||
Net investment income (loss) | 3.33 | %(c) | 0.44 | %(c) | ||||
Portfolio turnover rate | 25 | %(d) | 26 | %(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 are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
26
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street European Value Spotlight Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.44 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations |
| |||||||
Net investment income (loss)(a) | 0.19 | (0.01 | ) | |||||
Net realized and unrealized gain (loss) | 1.34 | 0.46 | ||||||
|
|
|
| |||||
Total from investment operations | 1.53 | 0.45 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (0.01 | ) | |||||
Net realized gains | – | (0.00 | )(b) | |||||
|
|
|
| |||||
Total distributions | – | (0.01 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 11.97 | $ | 10.44 | ||||
|
|
|
| |||||
Total return(c) | 14.66 | % | 4.49 | % | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 1,197 | $ | 1,044 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 15.43 | %(d) | 19.10 | %(d) | ||||
Net expenses | 0.75 | %(d) | 0.75 | %(d) | ||||
Net investment income (loss) | 3.29 | %(d) | (0.33 | )%(d) | ||||
Portfolio turnover rate | 31 | %(e) | 28 | %(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 of 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. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Asia Pacific Value Spotlight Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 9.65 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations |
| |||||||
Net investment income (loss)(a) | 0.12 | 0.04 | ||||||
Net realized and unrealized gain (loss) | 1.30 | (0.37 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.42 | (0.33 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (0.02 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 11.07 | $ | 9.65 | ||||
|
|
|
| |||||
Total return(b) | 14.72 | % | (3.33 | )% | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 2,213 | $ | 1,930 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 8.40 | %(c) | 9.48 | %(c) | ||||
Net expenses | 0.75 | %(c) | 0.75 | %(c) | ||||
Net investment income (loss) | 2.29 | %(c) | 1.33 | %(c) | ||||
Portfolio turnover rate | 19 | %(d) | 8 | %(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 are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street U.S. Value Spotlight Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/17 (Unaudited) | For the Period 9/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.45 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations |
| |||||||
Net investment income (loss)(a) | 0.06 | 0.04 | ||||||
Net realized and unrealized gain (loss) | 0.50 | 0.46 | ||||||
|
|
|
| |||||
Total from investment operations | 0.56 | 0.50 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | – | (0.04 | ) | |||||
Net realized gains | – | (0.01 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.05 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 11.01 | $ | 10.45 | ||||
|
|
|
| |||||
Total return(b) | 5.36 | % | 4.92 | % | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 1,101 | $ | 1,045 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 14.30 | %(c) | 14.28 | %(c) | ||||
Net expenses | 0.65 | %(c) | 0.65 | %(c) | ||||
Net investment income (loss) | 1.11 | %(c) | 1.27 | %(c) | ||||
Portfolio turnover rate | 15 | %(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 are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
29
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State Street Institutional Investment Trust
June 30, 2017
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 June 30, 2017, 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 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 series (each a “ Fund” and collectively the “ Funds”).
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Global Value Spotlight Fund | Class A | Not commenced | Non-diversified | |||
Class I | Not commenced | |||||
Class K | September 23, 2016 | |||||
State Street International Value Spotlight Fund | Class A | Not commenced | Non-diversified | |||
Class I | Not commenced | |||||
Class K | September 23, 2016 | |||||
State Street European Value Spotlight Fund | Class A | Not commenced | Non-diversified | |||
Class I | Not commenced | |||||
Class K | September 23, 2016 | |||||
State Street Asia Pacific Value Spotlight Fund | Class A | Not commenced | Non-diversified | |||
Class I | Not commenced | |||||
Class K | July 14, 2016 | |||||
State Street U.S. Value Spotlight Fund | Class A | Not commenced | Non-diversified | |||
Class I | Not commenced | |||||
Class K | September 23, 2016 |
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 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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 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 (“NAV”) per share or unit. |
• | 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. |
• | 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 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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 an 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 June 30, 2017, is disclosed in each Fund’s respective Schedule of Investments.
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.
The Funds had no transfers between levels for the period ended June 30, 2017.
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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, 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 a Fund as an unrealized gain or loss. When the contract is closed, a 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, a Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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 June 30, 2017, the following Funds entered into forward foreign currency exchange contracts for the strategies listed below:
Funds | Strategies | |
State Street Global Value Spotlight Fund | Offsetting Fund’s exposure to the component currencies | |
State Street European Value Spotlight Fund | Offsetting 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 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 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
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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 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 Funds’ derivative instruments as of June 30, 2017, and the related location in the accompanying Statements of Assets and Liabilities and Statements 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 | |||||||||||||||||||
State Street European Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 376 | $ | – | $ | – | $ | – | $ | 376 |
(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 | |||||||||||||||||||
State Street Global Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 3,617 | $ | – | $ | – | $ | – | $ | 3,617 | ||||||||||||
State Street European Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 602 | – | – | – | 602 |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Global Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | 7,025 | $ | – | $ | – | $ | – | $ | 7,025 |
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 Global Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | (2,728 | ) | $ | – | $ | – | $ | – | $ | (2,728 | ) | ||||||||||
State Street European Value Spotlight Fund | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | – | (226 | ) | – | – | – | (226 | ) |
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 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 June 30, 2017:
State Street European 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 | ||||||||||||
HSBC Bank plc | $ | 130 | $ | (130 | ) | $ | – | $ | – | |||||||
UBS AG | 117 | (117 | ) | – | – | |||||||||||
Westpac Banking Corp. | 129 | (129 | ) | – | – | |||||||||||
$ | 376 | $ | (376 | ) | $ | – | $ | – |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
Offsetting of Financial Liabilities and Derivative Liabilities
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
HSBC Bank plc | $ | (206 | ) | $ | 130 | $ | – | $ | (76 | ) | ||||||
UBS AG | (188 | ) | 117 | – | (71 | ) | ||||||||||
Westpac Banking Corp. | (208 | ) | 129 | – | (79 | ) | ||||||||||
$ | (602 | ) | $ | 376 | $ | – | $ | (226 | ) |
State Street Global Value Spotlight Fund
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 | ||||||||||||
Barclays Capital | $ | (864 | ) | $ | – | $ | – | $ | (864 | ) | ||||||
HSBC Bank plc | (862 | ) | – | – | (862 | ) | ||||||||||
JP Morgan Chase Bank, N.A. | (454 | ) | – | – | (454 | ) | ||||||||||
Royal Bank of Canada | (323 | ) | – | – | (323 | ) | ||||||||||
Societe Generale | (323 | ) | – | – | (323 | ) | ||||||||||
UBS AG | (348 | ) | – | – | (348 | ) | ||||||||||
Westpac Banking Corp. | (443 | ) | – | – | (443 | ) | ||||||||||
$ | (3,617 | ) | $ | – | $ | – | $ | (3,617 | ) |
Amounts presented on the Schedules of Investments and Statements of Assets and Liabilities are not net settlement amounts but gross.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust, on behalf of the 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 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)
June 30, 2017
The Adviser has 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 any 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 up to the full amount of its advisory fee payable and/or to reimburse the Funds for expenses to the extent that total annual operating expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency fees, and administration 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 | % |
The waiver and or reimbursement may not be terminated prior to April 30, 2018 except with the approval of the Board.
For the period ended June 30, 2017, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.
Administrator, Sub-Administrator Fees and Custodian 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, the Funds pay SSGA FM a fee at an annual rate of 0.05% of their average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Funds pay 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 wholly owned entity of DST Systems, Inc. serves as transfer agent and dividend disbursing agent to the Funds. Prior to March 31, 2017, BFDS was a joint venture of DST Systems, Inc. and State Street Corporation. 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 Advisors Funds Distributors, LLC (the “Distributor” or “SSGA FD”), an affiliate of the Adviser, serves as the Distributor of the Funds. Effective May 1, 2017, the distributor’s name changed from State Street Global Markets, LLC to State Street Global Advisors Funds Distributors, LLC. The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Funds may compensate the Distributor (or others) for services in connection with the distribution of the
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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. The Funds’ Class A shares have not commenced operations. In addition to payments under the Plan, the Funds may reimburse SSGA FD 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.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017, 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 June 30, 2017, 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 Asia Pacific Value Spotlight Fund | 1 | 100% | ||
State Street European Value Spotlight Fund | 1 | 100% | ||
State Street Global Value Spotlight Fund | 1 | 100% | ||
State Street International 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)
June 30, 2017
6. Investment Transactions
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Global Value Spotlight Fund | $ | 590,569 | $ | 593,085 | ||||
State Street International Value Spotlight Fund | 576,846 | 657,393 | ||||||
State Street European Value Spotlight Fund | 323,452 | 368,948 | ||||||
State Street Asia Pacific Value Spotlight Fund | 379,730 | 397,742 | ||||||
State Street U.S. Value Spotlight Fund | 142,491 | 152,082 |
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. As of December 31, 2016, SSGA FM has analyzed the Funds’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2017, 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 | $ | 2,126,447 | $ | 282,065 | $ | 34,480 | $ | 247,585 | ||||||||
State Street International Value Spotlight Fund | 2,223,450 | 397,779 | 46,617 | 351,162 | ||||||||||||
State Street European Value Spotlight Fund | 1,045,906 | 141,879 | 3,564 | 138,315 | ||||||||||||
State Street Asia Pacific Value Spotlight Fund | 2,041,483 | 201,492 | 52,291 | 149,201 | ||||||||||||
State Street U.S. Value Spotlight Fund | 1,011,374 | 105,310 | 28,953 | 76,357 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
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. The agreement expires October 12, 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. The Funds had no outstanding loans as of June 30, 2017.
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 involves 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. | New Accounting Pronouncements |
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Funds and concluded that it will be limited to additional disclosures.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2017
11. | 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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June 30, 2017 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.
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 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 Global Value Spotlight Fund | 0.75 | % | $ | 1,146.70 | $ | 3.99 | $ | 1,021.10 | $ | 3.76 | ||||||||||
State Street International Value Spotlight Fund | 0.75 | 1,151.10 | 4.00 | 1,021.10 | 3.76 | |||||||||||||||
State Street European Value Spotlight Fund | 0.75 | 1,146.60 | 3.99 | 1,021.10 | 3.76 | |||||||||||||||
State Street Asia Pacific Value Spotlight Fund | 0.75 | 1,147.20 | 3.99 | 1,021.10 | 3.76 | |||||||||||||||
State Street U.S. Value Spotlight Fund | 0.65 | 1,053.60 | 3.31 | 1,021.60 | 3.26 |
(a) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-1-800-997-7327 (toll free) or (ii) on the SEC website, 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)
June 30, 2017 (Unaudited)
Trustee Considerations in Approving Continuation of
Investment Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the 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 (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the period since the Fund’s inception through December 31, 2016, to the performance of an appropriate benchmark constructed by |
1 | Over the course of many years overseeing the Funds and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past calendar year, since the Fund’s inception; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Funds, with respect to its operations relating to the Funds; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory 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 each Fund.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreements effective June 1, 2017, for an additional year with respect to the Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the period since each Fund’s inception through December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Global Value Spotlight Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 23, 2016.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
State Street International Value Spotlight Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on July 14, 2016.
State Street European Value Spotlight Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 23, 2016.
State Street Asia Pacific Value Spotlight Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 23, 2016. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
State Street U.S. Value Spotlight Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 23, 2016.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory (a) by comparison to the performance of its Performance Group, Performance Universe or Lipper Index or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Funds to limit the total expenses borne by shareholders of the Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Global Value Spotlight Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street International Value Spotlight Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street European Value Spotlight Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
State Street Asia Pacific Value Spotlight Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street U.S. Value Spotlight Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Funds, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Funds or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Funds and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Funds and the fund complex over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreements, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2017 (Unaudited)
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 respective Advisory Agreement.
Further, based upon its review of each Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
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 Advisors Funds Distributors, 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 | SSIITSPOTSAR |
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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Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedule of Investments is included as part of Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
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
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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.
(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 have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable; this Form N-CSR is a Semi-Annual Report.
(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto.
(a)(3) Not applicable to the Registrant.
(b) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | September 5, 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: | September 5, 2017 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 5, 2017 |