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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 Iron Street, Boston, Massachusetts 02210
(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 c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | 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, 2018
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Item 1. Reports to Shareholders.
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State Street Disciplined Global Equity Fund |
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ASSETS | |
Investment in affiliated State Street Disciplined Global Equity Portfolio | $5,003,643 |
Receivable for investments sold | 4,506 |
Receivable from Adviser | 10,472 |
TOTAL ASSETS | 5,018,621 |
LIABILITIES | |
Advisory fee payable | 3,114 |
Custodian fees payable | 2,573 |
Administration fees payable | 208 |
Trustees’ fees and expenses payable | 1,374 |
Transfer agent fees payable | 622 |
Registration and filing fees payable | 1,905 |
Professional fees payable | 14,219 |
Printing and postage fees payable | 20,790 |
Accrued expenses and other liabilities | 917 |
TOTAL LIABILITIES | 45,722 |
NET ASSETS | $4,972,899 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,235,274 |
Undistributed (distribution in excess of) net investment income (loss) | (18,767) |
Accumulated net realized gain (loss) on investments | 79,717 |
Net unrealized appreciation (depreciation) on: | |
Investment in affiliated State Street Disciplined Global Equity Portfolio | 676,675 |
NET ASSETS | $4,972,899 |
Class I | |
Net Assets | $4,972,899 |
Shares Outstanding | 406,208 |
Net asset value, offering and redemption price per share | $ 12.24 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Disciplined Global Equity Portfolio | $4,326,968 |
Shares of affiliated State Street Disciplined Global Equity Portfolio | 407,463 |
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INVESTMENT INCOME | |
Dividend income from affiliated State Street Disciplined Global Equity Portfolio | $ — |
EXPENSES | |
Advisory fee | 18,765 |
Administration fees | 1,251 |
Custodian fees | 8,187 |
Trustees’ fees and expenses | 10,416 |
Transfer agent fees | 5,427 |
Registration fees | 12,083 |
Professional fees and expenses | 19,926 |
Printing and postage fees | 8,107 |
Insurance expense | 2 |
Miscellaneous expenses | 1,532 |
TOTAL EXPENSES | 85,696 |
Expenses waived/reimbursed by the Adviser | (66,929) |
NET EXPENSES | 18,767 |
NET INVESTMENT INCOME (LOSS) | (18,767) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Disciplined Global Equity Portfolio | 14,304 |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Disciplined Global Equity Portfolio | (90,010) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (75,706) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(94,473) |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (18,767) | $ 118,255 | |
Net realized gain (loss) | 14,304 | 110,655 | |
Net change in unrealized appreciation/depreciation | (90,010) | 579,655 | |
Net increase (decrease) in net assets resulting from operations | (94,473) | 808,565 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | — | (153,255) | |
Net realized gains | — | (17,210) | |
Total distributions to shareholders | — | (170,465) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 114,000 | 1,080,700 | |
Reinvestment of distributions | — | 40,574 | |
Net increase (decrease) in net assets from beneficial interest transactions | 114,000 | 1,121,274 | |
Net increase (decrease) in net assets during the period | 19,527 | 1,759,374 | |
Net assets at beginning of period | 4,953,372 | 3,193,998 | |
NET ASSETS AT END OF PERIOD | $4,972,899 | $4,953,372 | |
Undistributed (distribution in excess of) net investment income (loss) | $ (18,767) | $ — | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 9,236 | 93,710 | |
Reinvestment of distributions | — | 3,262 | |
Net increase (decrease) | 9,236 | 96,972 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 2/19/16* - 12/31/16 | |||
Net asset value, beginning of period | $12.48 | $10.65 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | (0.05) | 0.32 | 0.21 | ||
Net realized and unrealized gain (loss) | (0.19) | 1.94 | 0.77 | ||
Total from investment operations | (0.24) | 2.26 | 0.98 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.39) | (0.31) | ||
Net realized gains | — | (0.04) | (0.02) | ||
Total distributions | — | (0.43) | (0.33) | ||
Net asset value, end of period | $12.24 | $12.48 | $10.65 | ||
Total return (b) | (1.92)% | 21.26% | 9.85% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $4,973 | $4,953 | $3,194 | ||
Ratios to average net assets: | |||||
Total expenses | 3.43%(c) | 4.48% | 5.37%(c) | ||
Net expenses | 0.75%(c) | 0.76% | 0.75%(c) | ||
Net investment income (loss) | (0.75)%(c) | 2.72% | 2.26%(c) | ||
Portfolio turnover rate (d) | 28%(e) | 39% | 38%(e) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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 less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Portfolio turnover rate is from the State Street Disciplined Global Equity Portfolio. |
(e) | Not annualized. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Disciplined Global Equity Fund | Class A Class C Class I Class K | Not commenced Not commenced February 19, 2016 Not commenced | Diversified |
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Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Disciplined Global Equity Fund | 1 | 73.84% |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Disciplined Global Equity Fund | $4,326,968 | $676,675 | $— | $676,675 |
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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 Disciplined Global Equity Fund | |||||||||
Class I(b) | 0.75% | $980.80 | $3.68 | $1,021.10 | $3.76 |
(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. |
(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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• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
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• | Comparisons of the Fund’s performance over the past one-year period ended December 31, 2017, 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 Fund. |
• | 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”). |
• | 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. |
• | 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. |
• | 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; |
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• | 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Disciplined Global Equity Portfolio |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | MSCI World Index | Net Asset Value | Market Value | MSCI World Index | ||||
ONE YEAR | 6.48% | N/A | 11.09% | 6.48% | N/A | 11.09% | |||
SINCE INCEPTION(1) | 32.69% | N/A | 42.06% | 12.69% | N/A | 6.26% | |||
(1) | For the period February 18, 2016 to June 30, 2018. |
(Based on Net Asset Value)
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Description | Market Value | % of Net Assets | ||
Motorola Solutions, Inc. | 79,597 | 1.6% | ||
Baxter International, Inc. | 79,230 | 1.6 | ||
Mitsui & Co., Ltd. | 76,726 | 1.5 | ||
Swedish Match AB | 71,619 | 1.4 | ||
CLP Holdings, Ltd. | 70,009 | 1.4 | ||
TOTAL | 377,181 | 7.5% |
% of Net Assets | |||
Banks | 8.6% | ||
Health Care Providers & Services | 6.1 | ||
Pharmaceuticals | 6.1 | ||
Insurance | 6.0 | ||
Multi-Utilities | 3.7 | ||
Diversified Telecommunication Services | 3.6 | ||
Aerospace & Defense | 3.4 | ||
Trading Companies & Distributors | 3.2 | ||
Electric Utilities | 3.0 | ||
Beverages | 2.9 | ||
Food & Staples Retailing | 2.8 | ||
Construction & Engineering | 2.8 | ||
Oil, Gas & Consumable Fuels | 2.7 | ||
Technology Hardware, Storage & Peripherals | 2.5 | ||
Electronic Equipment, Instruments & Components | 2.5 | ||
Health Care Equipment & Supplies | 2.4 | ||
Communications Equipment | 2.3 | ||
Automobiles | 2.3 | ||
Mortgage Real Estate Investment Trust (REITs) | 2.2 | ||
Hotels, Restaurants & Leisure | 2.2 | ||
IT Services | 2.0 | ||
Semiconductors & Semiconductor Equipment | 1.9 | ||
Real Estate Management & Development | 1.8 | ||
Textiles, Apparel & Luxury Goods | 1.7 | ||
Food Products | 1.5 | ||
Commercial Services & Supplies | 1.5 | ||
Specialty Retail | 1.5 | ||
Airlines | 1.5 | ||
Tobacco | 1.4 | ||
Life Sciences Tools & Services | 1.3 | ||
Software | 1.3 | ||
Real Estate Investment Trusts (REITs) | 1.2 | ||
Metals & Mining | 1.2 | ||
Containers & Packaging | 1.1 | ||
Capital Markets | 1.1 | ||
Industrial Conglomerates | 1.0 | ||
Wireless Telecommunication Services | 1.0 | ||
Household Products | 0.7 | ||
Air Freight & Logistics | 0.7 | ||
Gas Utilities | 0.6 | ||
Consumer Finance | 0.6 | ||
Chemicals | 0.6 | ||
Diversified Consumer Services | 0.1 | ||
Short-Term Investment | 0.7 | ||
Other Assets in Excess of Liabilities | 0.7 | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | |||
COMMON STOCKS — 98.6% | |||||
AUSTRALIA — 2.3% | |||||
Insurance Australia Group, Ltd. | 1,644 | $ 10,361 | |||
Macquarie Group, Ltd. | 61 | 5,573 | |||
Qantas Airways, Ltd. | 6,574 | 29,921 | |||
South32, Ltd. | 16,183 | 43,164 | |||
Woodside Petroleum, Ltd. | 1,043 | 27,326 | |||
116,345 | |||||
BELGIUM — 0.5% | |||||
Ageas | 462 | 23,308 | |||
CANADA — 3.0% | |||||
BCE, Inc. | 859 | 34,766 | |||
Sun Life Financial, Inc. | 592 | 23,775 | |||
TELUS Corp. | 1,279 | 45,406 | |||
Toronto-Dominion Bank | 817 | 47,258 | |||
151,205 | |||||
CHINA — 1.1% | |||||
BOC Hong Kong Holdings, Ltd. | 12,000 | 56,517 | |||
DENMARK — 2.1% | |||||
Danske Bank A/S | 1,803 | 56,437 | |||
Novo Nordisk A/S Class B | 766 | 35,530 | |||
Pandora A/S | 183 | 12,784 | |||
104,751 | |||||
FRANCE — 1.8% | |||||
Peugeot SA | 1,992 | 45,492 | |||
Sanofi | 544 | 43,603 | |||
89,095 | |||||
GERMANY — 0.4% | |||||
Allianz SE | 44 | 9,094 | |||
CECONOMY AG | 1,496 | 12,467 | |||
21,561 | |||||
HONG KONG — 5.4% | |||||
CLP Holdings, Ltd. | 6,500 | 70,009 | |||
Hang Seng Bank, Ltd. | 2,100 | 52,517 | |||
Jardine Matheson Holdings, Ltd. | 400 | 25,240 | |||
Link REIT | 6,500 | 59,362 | |||
Sun Hung Kai Properties, Ltd. | 3,000 | 45,275 | |||
WH Group, Ltd. | 23,000 | 18,733 | |||
271,136 | |||||
ITALY — 1.7% | |||||
Enel SpA | 5,469 | 30,375 | |||
Eni SpA | 2,838 | 52,705 | |||
83,080 | |||||
JAPAN — 15.4% | |||||
Astellas Pharma, Inc. | 4,100 | 62,519 | |||
Canon, Inc. | 300 | 9,834 | |||
Daiwa House Industry Co., Ltd. | 800 | 27,272 | |||
FUJIFILM Holdings Corp. | 900 | 35,150 | |||
Hitachi, Ltd. | 9,000 | 63,507 | |||
Honda Motor Co., Ltd. | 300 | 8,811 | |||
ITOCHU Corp. | 2,300 | 41,685 | |||
Japan Airlines Co., Ltd. | 1,300 | 46,101 | |||
Kajima Corp. | 5,000 | 38,731 |
Security Description | Shares | Value | |||
Kirin Holdings Co., Ltd. | 1,300 | $ 34,775 | |||
Marubeni Corp. | 5,900 | 45,015 | |||
Mitsubishi Materials Corp. | 600 | 16,494 | |||
Mitsui & Co., Ltd. | 4,600 | 76,726 | |||
Mitsui Chemicals, Inc. | 1,200 | 31,960 | |||
Nippon Telegraph & Telephone Corp. | 1,200 | 54,559 | |||
NTT DOCOMO, Inc. | 2,000 | 50,964 | |||
Taisei Corp. | 1,200 | 66,194 | |||
Toyota Motor Corp. | 900 | 58,258 | |||
768,555 | |||||
NETHERLANDS — 0.6% | |||||
Koninklijke Ahold Delhaize NV | 1,333 | 31,913 | |||
NORWAY — 1.1% | |||||
Equinor ASA | 2,169 | 57,589 | |||
SINGAPORE — 0.6% | |||||
Oversea-Chinese Banking Corp., Ltd. | 2,000 | 17,074 | |||
UOL Group, Ltd. | 2,485 | 13,887 | |||
30,961 | |||||
SPAIN — 0.7% | |||||
ACS Actividades de Construccion y Servicios SA | 817 | 33,100 | |||
SWEDEN — 1.4% | |||||
Swedish Match AB | 1,444 | 71,619 | |||
SWITZERLAND — 3.5% | |||||
Swiss Re AG | 495 | 42,722 | |||
Swisscom AG | 98 | 43,742 | |||
TE Connectivity, Ltd. | 663 | 59,710 | |||
Zurich Insurance Group AG | 100 | 29,619 | |||
175,793 | |||||
UNITED KINGDOM — 0.8% | |||||
Direct Line Insurance Group PLC | 8,421 | 38,123 | |||
UNITED STATES — 56.2% | |||||
Aflac, Inc. | 720 | 30,974 | |||
Agilent Technologies, Inc. | 1,021 | 63,139 | |||
AGNC Investment Corp. REIT | 2,977 | 55,343 | |||
Allstate Corp. | 686 | 62,611 | |||
Ameren Corp. | 768 | 46,733 | |||
American Express Co. | 319 | 31,262 | |||
Annaly Capital Management, Inc. REIT | 5,205 | 53,560 | |||
Anthem, Inc. | 235 | 55,937 | |||
Apple, Inc. | 173 | 32,024 | |||
Avery Dennison Corp. | 522 | 53,296 | |||
Bank of New York Mellon Corp. | 951 | 51,287 | |||
Baxter International, Inc. | 1,073 | 79,230 | |||
BB&T Corp. | 1,145 | 57,754 | |||
CA, Inc. | 837 | 29,839 | |||
Carnival Corp. | 849 | 48,656 | |||
CenterPoint Energy, Inc. | 1,662 | 46,054 | |||
Cisco Systems, Inc. | 834 | 35,887 | |||
Coca-Cola Co. | 1,381 | 60,571 | |||
Cognizant Technology Solutions Corp. Class A | 598 | 47,236 | |||
DTE Energy Co. | 492 | 50,986 | |||
Eli Lilly & Co. | 481 | 41,044 | |||
Exelon Corp. | 1,239 | 52,781 |
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Security Description | Shares | Value | |||
H&R Block, Inc. | 193 | $ 4,397 | |||
Harris Corp. | 439 | 63,453 | |||
HCA Healthcare, Inc. | 637 | 65,356 | |||
Home Depot, Inc. | 221 | 43,117 | |||
Honeywell International, Inc. | 172 | 24,777 | |||
HP, Inc. | 2,260 | 51,279 | |||
Humana, Inc. | 181 | 53,871 | |||
IDEXX Laboratories, Inc. (a) | 175 | 38,140 | |||
International Business Machines Corp. | 379 | 52,946 | |||
Johnson & Johnson | 458 | 55,574 | |||
JPMorgan Chase & Co. | 642 | 66,896 | |||
Lockheed Martin Corp. | 184 | 54,359 | |||
Maxim Integrated Products, Inc. | 751 | 44,054 | |||
McDonald's Corp. | 373 | 58,445 | |||
Merck & Co., Inc. | 809 | 49,106 | |||
Motorola Solutions, Inc. | 684 | 79,597 | |||
PepsiCo, Inc. | 473 | 51,496 | |||
Pfizer, Inc. | 404 | 14,657 | |||
PNC Financial Services Group, Inc. | 476 | 64,308 | |||
Procter & Gamble Co. | 421 | 32,863 | |||
Public Service Enterprise Group, Inc. | 846 | 45,803 | |||
PVH Corp. | 466 | 69,770 | |||
Quest Diagnostics, Inc. | 580 | 63,765 | |||
Raytheon Co. | 260 | 50,227 | |||
Republic Services, Inc. | 211 | 14,424 | |||
Synopsys, Inc. (a) | 404 | 34,570 | |||
Sysco Corp. | 659 | 45,003 | |||
Texas Instruments, Inc. | 443 | 48,841 | |||
TJX Cos., Inc. | 305 | 29,030 | |||
Torchmark Corp. | 401 | 32,645 | |||
Tyson Foods, Inc. Class A | 785 | 54,047 | |||
UGI Corp. | 616 | 32,075 | |||
United Parcel Service, Inc. Class B | 318 | 33,781 | |||
UnitedHealth Group, Inc. | 266 | 65,261 | |||
US Bancorp | 469 | 23,459 |
Security Description | Shares | Value | |||
Walmart, Inc. | 654 | $ 56,015 | |||
Waste Management, Inc. | 713 | 57,995 | |||
2,811,606 | |||||
TOTAL COMMON STOCKS (Cost $4,478,347) | 4,936,257 |
RIGHTS — 0.0% (b) | |||
SPAIN — 0.0% (b) | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (a) (Cost $890) | 817 | 841 | |
SHORT-TERM INVESTMENT — 0.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c) (d) (Cost $33,569) | 33,569 | 33,569 | |
TOTAL INVESTMENTS — 99.3% (Cost $4,512,806) | 4,970,667 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7% | 34,026 | ||
NET ASSETS — 100.0% | $ 5,004,693 |
(a) | Non-income producing security. |
(b) | Amount shown represents less than 0.05% of net assets. |
(c) | 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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
REIT | = Real Estate Investment Trust |
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 116,345 | $— | $— | $ 116,345 | ||||
Belgium | 23,308 | — | — | 23,308 | ||||
Canada | 151,205 | — | — | 151,205 | ||||
China | 56,517 | — | — | 56,517 | ||||
Denmark | 104,751 | — | — | 104,751 | ||||
France | 89,095 | — | — | 89,095 | ||||
Germany | 21,561 | — | — | 21,561 | ||||
Hong Kong | 271,136 | — | — | 271,136 | ||||
Italy | 83,080 | — | — | 83,080 | ||||
Japan | 768,555 | — | — | 768,555 | ||||
Netherlands | 31,913 | — | — | 31,913 | ||||
Norway | 57,589 | — | — | 57,589 |
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Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||
Singapore | $ 30,961 | $— | $— | $ 30,961 | ||||
Spain | 33,100 | — | — | 33,100 | ||||
Sweden | 71,619 | — | — | 71,619 | ||||
Switzerland | 175,793 | — | — | 175,793 | ||||
United Kingdom | 38,123 | — | — | 38,123 | ||||
United States | 2,811,606 | — | — | 2,811,606 | ||||
Rights | ||||||||
Spain | 841 | — | — | 841 | ||||
Short-Term Investment | 33,569 | — | — | 33,569 | ||||
TOTAL INVESTMENTS | $4,970,667 | $— | $— | $4,970,667 |
Number of Shares Held at 6/30/17 | Value at 6/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 23,785 | $23,785 | $604,136 | $594,352 | $— | $— | 33,569 | $33,569 | $639 | $— |
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ASSETS | |
Investments in unaffiliated issuers, at value | $4,937,098 |
Investments in affiliated issuers, at value | 33,569 |
Total Investments | 4,970,667 |
Foreign currency, at value | 23,317 |
Dividends receivable — unaffiliated issuers | 8,882 |
Dividends receivable — affiliated issuers | 42 |
Receivable from Adviser | 3,327 |
Receivable for foreign taxes recoverable | 4,009 |
TOTAL ASSETS | 5,010,244 |
LIABILITIES | |
Payable for fund shares repurchased | 4,506 |
Advisory fee payable | 1,045 |
TOTAL LIABILITIES | 5,551 |
NET ASSETS | $5,004,693 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,249,054 |
Undistributed (distribution in excess of) net investment income (loss) | 77,508 |
Accumulated net realized gain (loss) on investments and foreign currency transactions | 220,529 |
Net unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 457,861 |
Foreign currency translations | (259) |
NET ASSETS | $5,004,693 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 12.28 |
Shares outstanding (unlimited amount authorized, no par value) | 407,463 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,479,237 |
Investments in affiliated issuers | 33,569 |
Total cost of investments | $4,512,806 |
Foreign currency, at cost | $ 23,568 |
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INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $175,567 |
Dividend income — affiliated issuers | 639 |
Foreign taxes withheld | (7,922) |
TOTAL INVESTMENT INCOME (LOSS) | 168,284 |
EXPENSES | |
Advisory fee | 12,467 |
Trustees’ fees and expenses | 95 |
Miscellaneous expenses | 2,237 |
TOTAL EXPENSES | 14,799 |
Expenses waived/reimbursed by the Adviser | (14,799) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | 168,284 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 222,624 |
Foreign currency transactions | (562) |
Net realized gain (loss) | 222,062 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (82,180) |
Foreign currency translations | (482) |
Net change in unrealized appreciation/depreciation | (82,662) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 139,400 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $307,684 |
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Year Ended 6/30/18 | Year Ended 6/30/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 168,284 | $ 99,295 | |
Net realized gain (loss) | 222,062 | 73,293 | |
Net change in unrealized appreciation/depreciation | (82,662) | 333,980 | |
Net increase (decrease) in net assets resulting from operations | 307,684 | 506,568 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | (151,316) | (84,310) | |
Net realized gains | (60,447) | (30,762) | |
Total distributions to shareholders | (211,763) | (115,072) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 348,917 | 1,071,399 | |
Reinvestment of distributions | 211,763 | 115,072 | |
Cost of shares redeemed | (282,814) | (217,386) | |
Net increase (decrease) in net assets from beneficial interest transactions | 277,866 | 969,085 | |
Net increase (decrease) in net assets during the period | 373,787 | 1,360,581 | |
Net assets at beginning of period | 4,630,906 | 3,270,325 | |
NET ASSETS AT END OF PERIOD | $5,004,693 | $4,630,906 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 77,508 | $ 60,327 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 27,995 | 93,862 | |
Reinvestment of distributions | 17,050 | 10,805 | |
Shares redeemed | (22,549) | (19,900) | |
Net increase (decrease) | 22,496 | 84,767 |
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State Street Disciplined Global Equity Portfolio | |||||
Year Ended 6/30/18 | Year Ended 6/30/17 | For the Period 2/19/16* - 6/30/16 | |||
Net asset value, beginning of period | $12.03 | $10.89 | $10.00 | ||
Net investment income (loss) (a) | 0.42 | 0.31 | 0.15 | ||
Net realized and unrealized gain (loss) | 0.36 | 1.21 | 0.74 | ||
Total from investment operations | 0.78 | 1.52 | 0.89 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.38) | (0.28) | — | ||
Net realized gains | (0.15) | (0.10) | — | ||
Total distributions | (0.53) | (0.38) | — | ||
Net asset value, end of period | $12.28 | $12.03 | $10.89 | ||
Total return (b) | 6.48% | 14.43% | 8.90%(c) | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $5,005 | $4,631 | $3,270 | ||
Ratios to average net assets: | |||||
Total expenses | 0.30% | 0.33% | 0.27%(d) | ||
Net expenses | —%(e) | —%(e) | —%(d) | ||
Net investment income (loss) | 3.37% | 2.75% | 4.00%(d) | ||
Portfolio turnover rate | 47% | 30% | 21%(c) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Not annualized. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
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Portfolio | Commencement of Operations | Diversification Classification |
State Street Disciplined Global Equity Portfolio | February 19, 2016 | Diversified |
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Purchases | Sales | ||
State Street Disciplined Global Equity Portfolio | $2,473,055 | $2,286,081 |
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Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Disciplined Global Equity Portfolio | $186,089 | $25,674 | $211,763 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Disciplined Global Equity Portfolio | $ 115,072 | $ — | $ 115,072 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses* | Total | ||||||
State Street Disciplined Global Equity Portfolio | 121,582 | — | 186,027 | 448,030 | — | 755,639 |
* The Portfolio has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Disciplined Global Equity Portfolio | $4,522,378 | $618,743 | $170,454 | $448,289 |
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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 Disciplined Global Equity Portfolio | 0.00% | $984.80 | $0.00 | $1,024.80 | $0.00 |
(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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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 | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 127 | None. | |||||
DAVID M. KELLY c/o SSGA Active Trust One Iron Street Boston, MA 02210 1938 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 127 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired). | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 127 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 127 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 127 | The Motley Fool Funds Trust (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). | 196 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
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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 | |||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name, Address 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1978 | Chief Legal Officer | Term: Unlimited Served: since February 2015 | Managing Director 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 100 Summer Street, SUM0703 Boston, MA 02111 1976 | Secretary | Term: Unlimited Served: since August 2017 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007- 2013).** | |||
ESTEFANIA SALOMON State Street Bank and Trust Company 100 Summer Street SUM0703 Boston, MA 02111 1983 | Assistant Secretary | Term:Unlimited Served: since May 2018 | Assistant Vice President and Associate Counsel, State Street Bank and Trust Company (2018 – present); Senior Compliance Consultant, AdvisorAssist, LLC (2017); Attorney, Commonwealth of Massachusetts, Securities Division (2014-2017). |
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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 | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 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. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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 Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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Laundering Officer; Code of Ethics Compliance Officer
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
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State Street Equity 500 Index Fund | |
1 | |
2 | |
3 | |
5 | |
State Street Equity 500 Index II Portfolio | |
11 | |
12 | |
19 | |
20 | |
21 | |
22 | |
23 | |
30 |
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ASSETS | |
Investment in the State Street Equity 500 Index II Portfolio | $826,075,041 |
Receivable for fund shares sold | 3,557,001 |
Receivable from Adviser | 84,738 |
TOTAL ASSETS | 829,716,780 |
LIABILITIES | |
Payable for investments purchased | 3,068,449 |
Payable for fund shares repurchased | 306,446 |
Advisory fee payable | 13,659 |
Custodian fees payable | 2,842 |
Administration fees payable | 30,328 |
Distribution fees payable | 60,772 |
Trustees’ fees and expenses payable | 102 |
Transfer agent fees payable | 6,176 |
Sub-transfer agent fee payable | 18,889 |
Registration and filing fees payable | 6,619 |
Professional fees payable | 18,938 |
Printing and postage fees payable | 7,348 |
TOTAL LIABILITIES | 3,540,568 |
NET ASSETS | $826,176,212 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $623,916,047 |
Undistributed (distribution in excess of) net investment income (loss) | (511,222) |
Accumulated net realized gain (loss) on investments | 21,251,763 |
Net unrealized appreciation (depreciation) on: | |
Investment in the State Street Equity 500 Index II Portfolio | 181,519,624 |
NET ASSETS | $826,176,212 |
Administrative Shares | |
Net Assets | $264,233,645 |
Shares Outstanding | 11,914,017 |
Net asset value, offering and redemption price per share | $ 22.18 |
Service Shares | |
Net Assets | $ 23,133,114 |
Shares Outstanding | 1,044,556 |
Net asset value, offering and redemption price per share | $ 22.15 |
Class R Shares | |
Net Assets | $ 38,637,207 |
Shares Outstanding | 1,747,120 |
Net asset value, offering and redemption price per share | $ 22.11 |
Class A Shares | |
Net Assets | $ 18,296,422 |
Shares Outstanding | 825,730 |
Net asset value, offering and redemption price per share | $ 22.16 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 23.39 |
Class I Shares | |
Net Assets | $ 15,470,975 |
Shares Outstanding | 697,263 |
Net asset value, offering and redemption price per share | $ 22.19 |
Class K Shares | |
Net Assets | $466,404,849 |
Shares Outstanding | 21,008,857 |
Net asset value, offering and redemption price per share | $ 22.20 |
COST OF INVESTMENTS: | |
Investment in State Street Equity 500 Index II Portfolio | $644,555,417 |
Shares of State Street Equity 500 Index II Portfolio | 61,555,517 |
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INVESTMENT INCOME | |
EXPENSES | |
Advisory fee | $ 80,214 |
Administration fees | 200,536 |
Sub-transfer agent fee | |
Class A Shares | 7,970 |
Class I Shares | 10,977 |
Distribution fees | |
Administrative Shares | 201,608 |
Service Shares | 33,891 |
Class R Shares | 121,403 |
Class A Shares | 15,053 |
Custodian fees | 8,233 |
Trustees’ fees and expenses | 9,102 |
Transfer agent fees | 67,905 |
Registration fees | 84,861 |
Professional fees | 18,268 |
Printing and postage fees | 23,452 |
Insurance expense | 150 |
Miscellaneous expenses | 7,183 |
TOTAL EXPENSES | 890,806 |
Expenses waived/reimbursed by the Adviser | (379,584) |
NET EXPENSES | 511,222 |
NET INVESTMENT INCOME (LOSS) | (511,222) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in State Street Equity 500 Index II Portfolio | (683,748) |
Net change in unrealized appreciation/depreciation on: | |
Investment in State Street Equity 500 Index II Portfolio | 21,663,337 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 20,979,589 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $20,468,367 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (511,222) | $ 14,389,310 | |
Net realized gain (loss) | (683,748) | 46,331,207 | |
Net change in unrealized appreciation/depreciation | 21,663,337 | 87,973,268 | |
Net increase (decrease) in net assets resulting from operations | 20,468,367 | 148,693,785 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Administrative Shares | — | (5,550,811) | |
Service Shares | — | (532,802) | |
Class R Shares | — | (666,602) | |
Class A Shares | — | (112,713) | |
Class I Shares | — | (316,450) | |
Class K Shares | — | (8,900,329) | |
Total distributions from net investment income | — | (16,079,707) | |
Net Realized Gains | |||
Administrative Shares | — | (9,485,054) | |
Service Shares | — | (957,979) | |
Class R Shares | — | (1,466,601) | |
Class A Shares | — | (226,287) | |
Class I Shares | — | (554,500) | |
Class K Shares | — | (14,154,877) | |
Total distributions from net realized gains | — | (26,845,298) | |
Total distributions to shareholders | — | (42,925,005) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from sale of shares sold | 6,002,626 | 21,702,778 | |
Reinvestment of distributions | — | 15,035,865 | |
Cost of shares redeemed | (23,264,483) | (77,159,335) | |
Net increase (decrease) from capital share transactions | (17,261,857) | (40,420,692) | |
Service Shares | |||
Proceeds from sale of shares sold | 1,919,866 | 8,657,371 | |
Reinvestment of distributions | — | 1,490,781 | |
Cost of shares redeemed | (7,388,842) | (116,109,796) | |
Net increase (decrease) from capital share transactions | (5,468,976) | (105,961,644) | |
Class R Shares | |||
Proceeds from sale of shares sold | 2,119,085 | 7,402,032 | |
Reinvestment of distributions | — | 2,133,203 | |
Cost of shares redeemed | (6,703,311) | (12,029,952) | |
Net increase (decrease) from capital share transactions | (4,584,226) | (2,494,717) | |
Class A Shares | |||
Proceeds from sale of shares sold | 13,047,665 | 9,184,484 | |
Reinvestment of distributions | — | 338,962 | |
Cost of shares redeemed | (1,261,736) | (12,189,604) | |
Net increase (decrease) from capital share transactions | 11,785,929 | (2,666,158) | |
Class I Shares | |||
Proceeds from sale of shares sold | 5,082,677 | 11,678,715 | |
Reinvestment of distributions | — | 870,951 | |
Cost of shares redeemed | (5,931,939) | (1,515,359) | |
Net increase (decrease) from capital share transactions | (849,262) | 11,034,307 | |
Class K Shares | |||
Proceeds from sale of shares sold | 86,848,211 | 77,397,900 | |
Reinvestment of distributions | — | 22,865,403 | |
Cost of shares redeemed | (44,817,677) | (108,177,288) | |
Net increase (decrease) from capital share transactions | 42,030,534 | (7,913,985) | |
Net increase (decrease) in net assets from beneficial interest transactions | 25,652,142 | (148,422,889) | |
Net increase (decrease) in net assets during the period | 46,120,509 | (42,654,109) | |
Net assets at beginning of period | 780,055,703 | 822,709,812 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
NET ASSETS AT END OF PERIOD | $826,176,212 | $ 780,055,703 | |
Undistributed (distribution in excess of) net investment income (loss) | $ (511,222) | $ — | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 269,402 | 1,076,275 | |
Reinvestment of distributions | — | 692,897 | |
Shares redeemed | (1,059,433) | (3,785,655) | |
Net increase (decrease) from share transactions | (790,031) | (2,016,483) | |
Service Shares | |||
Shares sold | 87,790 | 431,525 | |
Reinvestment of distributions | — | 68,763 | |
Shares redeemed | (333,841) | (5,833,376) | |
Net increase (decrease) from share transactions | (246,051) | (5,333,088) | |
Class R Shares | |||
Shares sold | 95,973 | 365,320 | |
Reinvestment of distributions | — | 98,350 | |
Shares redeemed | (304,358) | (585,557) | |
Net increase (decrease) from share transactions | (208,385) | (121,887) | |
Class A Shares | |||
Shares sold | 592,180 | 433,637 | |
Reinvestment of distributions | — | 15,613 | |
Shares redeemed | (57,426) | (556,990) | |
Net increase (decrease) from share transactions | 534,754 | (107,740) | |
Class I Shares | |||
Shares sold | 229,190 | 540,143 | |
Reinvestment of distributions | — | 40,099 | |
Shares redeemed | (275,468) | (73,960) | |
Net increase (decrease) from share transactions | (46,278) | 506,282 | |
Class K Shares | |||
Shares sold | 3,931,834 | 3,673,546 | |
Reinvestment of distributions | — | 1,053,220 | |
Shares redeemed | (2,017,256) | (5,277,255) | |
Net increase (decrease) from share transactions | 1,914,578 | (550,489) |
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Administrative Shares | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Net asset value, beginning of period | $ 21.62 | $ 18.83 | $ 17.17 | $ 17.27 | $ 15.50 | $ 11.94 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.38 | 0.26 | 0.31 | 0.29 | 0.26 | |||||
Net realized and unrealized gain (loss) | 0.56 | 3.66 | 1.76 | (0.12) | 1.79 | 3.56 | |||||
Total from investment operations | 0.56 | 4.04 | 2.02 | 0.19 | 2.08 | 3.82 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.46) | (0.28) | (0.29) | (0.31) | (0.26) | |||||
Net realized gains | — | (0.79) | (0.08) | — | — | — | |||||
Total distributions | — | (1.25) | (0.36) | (0.29) | (0.31) | (0.26) | |||||
Net asset value, end of period | $ 22.18 | $ 21.62 | $ 18.83 | $ 17.17 | $ 17.27 | $ 15.50 | |||||
Total return (c) | 2.59% | 21.43% | 11.75% | 1.08% | 13.41% | 31.97% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $264,234 | $274,650 | $277,141 | $261,038 | $248,180 | $230,330 | |||||
Ratios to Average Net Assets:(d) | |||||||||||
Total expenses | 0.27%(e)(f) | 0.26%(f) | 0.27%(f) | 0.31%(f) | 0.30%(g) | 0.25% | |||||
Net expenses | 0.18%(e)(f) | 0.18%(f) | 0.18%(f) | 0.18%(f) | 0.23%(g) | 0.25% | |||||
Net investment income (loss) | (0.18)%(e) | 1.83% | 1.48% | 1.76% | 1.78% | 1.84% | |||||
Portfolio turnover rate | 2%(h)(i) | 30%(h) | 5%(h) | 5%(h) | 4%(j) | 4%(k) |
(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) | 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. |
(e) | Annualized. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | 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. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | Not annualized. |
(j) | 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). |
(k) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
Table of Contents
Service Shares | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Net asset value, beginning of period | $ 21.60 | $ 18.81 | $ 17.15 | $ 17.25 | $ 15.49 | $ 11.92 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.15 | 0.26 | 0.22 | 0.28 | 0.24 | |||||
Net realized and unrealized gain (loss) | 0.55 | 3.87 | 1.74 | (0.05) | 1.77 | 3.57 | |||||
Total from investment operations | 0.55 | 4.02 | 2.00 | 0.17 | 2.05 | 3.81 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.44) | (0.26) | (0.27) | (0.29) | (0.24) | |||||
Net realized gains | — | (0.79) | (0.08) | — | — | — | |||||
Total distributions | — | (1.23) | (0.34) | (0.27) | (0.29) | (0.24) | |||||
Net asset value, end of period | $ 22.15 | $ 21.60 | $ 18.81 | $ 17.15 | $ 17.25 | $ 15.49 | |||||
Total return (c) | 2.55% | 21.33% | 11.65% | 0.98% | 13.24% | 31.97% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $23,133 | $27,876 | $124,591 | $104,730 | $126,412 | $124,885 | |||||
Ratios to Average Net Assets:(d) | |||||||||||
Total expenses | 0.37%(e)(f) | 0.36%(f) | 0.37%(f) | 0.41%(f) | 0.40%(g) | 0.35% | |||||
Net expenses | 0.28%(e)(f) | 0.28%(f) | 0.27%(f) | 0.28%(f) | 0.33%(g) | 0.35% | |||||
Net investment income (loss) | (0.28)%(e) | 0.73% | 1.46% | 1.25% | 1.73% | 1.74% | |||||
Portfolio turnover rate | 2%(h)(i) | 30%(h) | 5%(h) | 5%(h) | 4%(j) | 4%(k) |
(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) | 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. |
(e) | Annualized. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | 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. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | Not annualized. |
(j) | 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). |
(k) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
Table of Contents
Class R Shares | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Net asset value, beginning of period | $ 21.61 | $ 18.81 | $ 17.15 | $ 17.26 | $ 15.49 | $ 11.93 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.29 | 0.18 | 0.19 | 0.22 | 0.19 | |||||
Net realized and unrealized gain (loss) | 0.50 | 3.66 | 1.76 | (0.09) | 1.78 | 3.56 | |||||
Total from investment operations | 0.50 | 3.95 | 1.94 | 0.10 | 2.00 | 3.75 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.36) | (0.20) | (0.21) | (0.23) | (0.19) | |||||
Net realized gains | — | (0.79) | (0.08) | — | — | — | |||||
Total distributions | — | (1.15) | (0.28) | (0.21) | (0.23) | (0.19) | |||||
Net asset value, end of period | $ 22.11 | $ 21.61 | $ 18.81 | $ 17.15 | $ 17.26 | $ 15.49 | |||||
Total return (c) | 2.31% | 20.96% | 11.26% | 0.58% | 12.91% | 31.40% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $38,637 | $42,249 | $39,086 | $37,845 | $41,148 | $32,555 | |||||
Ratios to Average Net Assets:(d) | |||||||||||
Total expenses | 0.72%(e)(f) | 0.71%(f) | 0.72%(f) | 0.76%(f) | 0.75%(g) | 0.70% | |||||
Net expenses | 0.63%(e)(f) | 0.63%(f) | 0.63%(f) | 0.63%(f) | 0.68%(g) | 0.70% | |||||
Net investment income (loss) | (0.63)%(e) | 1.41% | 0.99% | 1.09% | 1.37% | 1.40% | |||||
Portfolio turnover rate | 2%(h)(i) | 30%(h) | 5%(h) | 5%(h) | 4%(j) | 4%(k) |
(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) | 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. |
(e) | Annualized. |
(f) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(g) | 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. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(i) | Not annualized. |
(j) | 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). |
(k) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
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Class A Shares | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 21.63 | $18.83 | $17.17 | $17.27 | $17.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.16 | 0.68 | 0.25 | 0.11 | ||||
Net realized and unrealized gain (loss) | 0.53 | 3.82 | 0.29 | (0.11) | 0.45 | ||||
Total from investment operations | 0.53 | 3.98 | 1.97 | 0.14 | 0.56 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.39) | (0.23) | (0.24) | (0.29) | ||||
Net realized gains | — | (0.79) | (0.08) | — | — | ||||
Total distributions | — | (1.18) | (0.31) | (0.24) | (0.29) | ||||
Net asset value, end of period | $ 22.16 | $21.63 | $18.83 | $17.17 | $17.27 | ||||
Total return (c) | 2.45% | 21.12% | 11.42% | 0.78% | 3.28% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $18,296 | $6,293 | $7,509 | $ 60 | $ 51 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.51%(d)(e) | 0.56%(e) | 0.57%(e) | 0.61%(e) | 0.70%(d)(e) | ||||
Net expenses | 0.41%(d)(e) | 0.48%(e) | 0.48%(e) | 0.48%(e) | 0.51%(d)(e) | ||||
Net investment income (loss) | (0.41)%(d) | 0.79% | 3.69% | 1.43% | 2.32%(d) | ||||
Portfolio turnover rate | 2%(f)(g) | 30%(f) | 5%(f) | 5%(f) | 4%(f)(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) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Table of Contents
Class I Shares | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 21.63 | $ 18.84 | $17.17 | $17.27 | $17.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.89 | 2.86 | 0.29 | 0.13 | ||||
Net realized and unrealized gain (loss) | 0.56 | 3.14 | (0.84) | (0.11) | 0.44 | ||||
Total from investment operations | 0.56 | 4.03 | 2.02 | 0.18 | 0.57 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.45) | (0.27) | (0.28) | (0.30) | ||||
Net realized gains | — | (0.79) | (0.08) | — | — | ||||
Total distributions | — | (1.24) | (0.35) | (0.28) | (0.30) | ||||
Net asset value, end of period | $ 22.19 | $ 21.63 | $18.84 | $17.17 | $17.27 | ||||
Total return (c) | 2.59% | 21.35% | 11.75% | 1.03% | 3.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $15,471 | $16,084 | $4,469 | $ 50 | $ 51 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.29%(d)(e) | 0.31%(e) | 0.32%(e) | 0.36%(e) | 0.45%(d)(e) | ||||
Net expenses | 0.19%(d)(e) | 0.23%(e) | 0.23%(e) | 0.23%(e) | 0.26%(d)(e) | ||||
Net investment income (loss) | (0.19)%(d) | 4.21% | 15.53%(f) | 1.66% | 2.57%(d) | ||||
Portfolio turnover rate | 2%(g)(h) | 30%(g) | 5%(g) | 5%(g) | 4%(g)(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. 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) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
Table of Contents
Class K Shares | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 21.62 | $ 18.83 | $ 17.17 | $ 17.27 | $17.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.44 | 0.44 | 1.45 | 0.14 | ||||
Net realized and unrealized gain (loss) | 0.58 | 3.64 | 1.61 | (1.23) | 0.44 | ||||
Total from investment operations | 0.58 | 4.08 | 2.05 | 0.22 | 0.58 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.50) | (0.31) | (0.32) | (0.31) | ||||
Net realized gains | — | (0.79) | (0.08) | — | — | ||||
Total distributions | — | (1.29) | (0.39) | (0.32) | (0.31) | ||||
Net asset value, end of period | $ 22.20 | $ 21.62 | $ 18.83 | $ 17.17 | $17.27 | ||||
Total return (c) | 2.68% | 21.61% | 11.92% | 1.23% | 3.41% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $466,405 | $412,903 | $369,915 | $62,064 | $ 51 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12%(d)(e) | 0.11%(e) | 0.12%(e) | 0.16%(e) | 0.27%(d)(e) | ||||
Net expenses | 0.03%(d)(e) | 0.03%(e) | 0.03%(e) | 0.03%(e) | 0.06%(d)(e) | ||||
Net investment income (loss) | (0.03)%(d) | 2.14% | 2.42% | 8.45%(f) | 2.78%(d) | ||||
Portfolio turnover rate | 2%(g)(h) | 30%(g) | 5%(g) | 5%(g) | 4%(g)(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. 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) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
Table of Contents
% of Net Assets | |||
Common Stocks | 98.5% | ||
Short-Term Investments | 3.1 | ||
Liabilities in Excess of Other Assets | (1.6) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 25.6%% | ||
Health Care | 13.8% | ||
Financials | 13.6% | ||
Consumer Discretionary | 12.7% | ||
Industrials | 9.4% | ||
TOTAL | 75.1% |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 98.5% | |||||
CONSUMER DISCRETIONARY — 12.7% | |||||
Advance Auto Parts, Inc. | 8,700 | $ 1,180,590 | |||
Amazon.com, Inc. (a) | 45,890 | 78,003,822 | |||
Aptiv PLC | 28,919 | 2,649,848 | |||
AutoZone, Inc. (a) | 2,976 | 1,996,688 | |||
Best Buy Co., Inc. | 27,806 | 2,073,771 | |||
Booking Holdings, Inc. (a) | 5,524 | 11,197,645 | |||
BorgWarner, Inc. | 23,177 | 1,000,319 | |||
CarMax, Inc. (a)(b) | 21,603 | 1,574,211 | |||
Carnival Corp. | 44,201 | 2,533,159 | |||
CBS Corp. Class B | 39,405 | 2,215,349 | |||
Charter Communications, Inc. Class A (a) | 20,900 | 6,128,089 | |||
Chipotle Mexican Grill, Inc. (a) | 2,886 | 1,244,934 | |||
Comcast Corp. Class A | 523,766 | 17,184,762 | |||
D.R. Horton, Inc. | 37,297 | 1,529,177 | |||
Darden Restaurants, Inc. | 14,671 | 1,570,677 | |||
Discovery, Inc. Class A (a)(b) | 14,403 | 396,083 | |||
Discovery, Inc. Class C (a) | 43,704 | 1,114,452 | |||
DISH Network Corp. Class A (a) | 27,400 | 920,914 | |||
Dollar General Corp. | 28,313 | 2,791,662 | |||
Dollar Tree, Inc. (a) | 25,726 | 2,186,710 | |||
Expedia Group, Inc. | 13,534 | 1,626,651 | |||
Foot Locker, Inc. | 12,900 | 679,185 | |||
Ford Motor Co. | 441,138 | 4,883,398 | |||
Gap, Inc. | 25,934 | 840,002 | |||
Garmin, Ltd. | 10,940 | 667,340 | |||
General Motors Co. | 142,223 | 5,603,586 | |||
Genuine Parts Co. | 16,889 | 1,550,241 | |||
Goodyear Tire & Rubber Co. | 23,544 | 548,340 | |||
H&R Block, Inc. (b) | 19,664 | 447,946 | |||
Hanesbrands, Inc. (b) | 46,800 | 1,030,536 | |||
Harley-Davidson, Inc. | 16,816 | 707,617 | |||
Hasbro, Inc. | 13,597 | 1,255,139 | |||
Hilton Worldwide Holdings, Inc. | 31,200 | 2,469,792 | |||
Home Depot, Inc. | 130,702 | 25,499,960 | |||
Interpublic Group of Cos., Inc. | 44,966 | 1,054,003 | |||
Kohl's Corp. | 19,545 | 1,424,831 | |||
L Brands, Inc. | 27,121 | 1,000,222 | |||
Leggett & Platt, Inc. | 12,654 | 564,875 | |||
Lennar Corp. Class A | 31,606 | 1,659,315 | |||
LKQ Corp. (a) | 36,500 | 1,164,350 | |||
Lowe's Cos., Inc. | 94,550 | 9,036,143 | |||
Macy's, Inc. | 33,262 | 1,244,997 | |||
Marriott International, Inc. Class A | 34,755 | 4,399,983 | |||
Mattel, Inc. (b) | 32,533 | 534,192 | |||
McDonald's Corp. | 88,910 | 13,931,308 | |||
MGM Resorts International | 55,700 | 1,616,971 | |||
Michael Kors Holdings, Ltd. (a) | 17,814 | 1,186,412 | |||
Mohawk Industries, Inc. (a) | 6,931 | 1,485,105 | |||
Netflix, Inc. (a) | 49,104 | 19,220,779 | |||
Newell Brands, Inc. (b) | 53,741 | 1,385,980 | |||
News Corp. Class A | 50,888 | 788,764 |
Security Description | Shares | Value | |||
News Corp. Class B | 11,400 | $ 180,690 | |||
NIKE, Inc. Class B | 145,506 | 11,593,918 | |||
Nordstrom, Inc. (b) | 11,077 | 573,567 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 24,700 | 1,167,075 | |||
Omnicom Group, Inc. | 25,191 | 1,921,318 | |||
O'Reilly Automotive, Inc. (a) | 9,280 | 2,538,730 | |||
PulteGroup, Inc. | 31,062 | 893,033 | |||
PVH Corp. | 9,249 | 1,384,760 | |||
Ralph Lauren Corp. | 6,279 | 789,396 | |||
Ross Stores, Inc. | 44,756 | 3,793,071 | |||
Royal Caribbean Cruises, Ltd. | 18,700 | 1,937,320 | |||
Starbucks Corp. | 157,630 | 7,700,226 | |||
Tapestry, Inc. | 33,528 | 1,566,093 | |||
Target Corp. | 61,372 | 4,671,637 | |||
Tiffany & Co. | 12,199 | 1,605,388 | |||
TJX Cos., Inc. | 71,137 | 6,770,820 | |||
Tractor Supply Co. | 15,926 | 1,218,180 | |||
TripAdvisor, Inc. (a) | 10,842 | 604,008 | |||
Twenty-First Century Fox, Inc. Class A | 119,000 | 5,913,110 | |||
Twenty-First Century Fox, Inc. Class B | 48,200 | 2,374,814 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 6,400 | 1,494,144 | |||
Under Armour, Inc. Class A (a)(b) | 17,424 | 391,692 | |||
Under Armour, Inc. Class C (a)(b) | 17,575 | 370,481 | |||
VF Corp. | 38,844 | 3,166,563 | |||
Viacom, Inc. Class B | 41,581 | 1,254,083 | |||
Walt Disney Co. | 169,852 | 17,802,188 | |||
Whirlpool Corp. | 8,502 | 1,243,247 | |||
Wynn Resorts, Ltd. | 8,941 | 1,496,187 | |||
Yum! Brands, Inc. | 36,502 | 2,855,186 | |||
338,271,750 | |||||
CONSUMER STAPLES — 6.8% | |||||
Altria Group, Inc. | 217,429 | 12,347,793 | |||
Archer-Daniels-Midland Co. | 66,332 | 3,039,996 | |||
Brown-Forman Corp. Class B | 28,552 | 1,399,334 | |||
Campbell Soup Co. (b) | 23,982 | 972,230 | |||
Church & Dwight Co., Inc. | 27,600 | 1,467,216 | |||
Clorox Co. | 14,064 | 1,902,156 | |||
Coca-Cola Co. | 437,300 | 19,179,978 | |||
Colgate-Palmolive Co. | 98,023 | 6,352,871 | |||
Conagra Brands, Inc. | 44,824 | 1,601,562 | |||
Constellation Brands, Inc. Class A | 19,350 | 4,235,134 | |||
Costco Wholesale Corp. | 50,455 | 10,544,086 | |||
Coty, Inc. Class A (b) | 55,578 | 783,650 | |||
Estee Lauder Cos., Inc. Class A | 25,441 | 3,630,176 | |||
General Mills, Inc. | 67,042 | 2,967,279 | |||
Hershey Co. | 15,467 | 1,439,359 | |||
Hormel Foods Corp. (b) | 31,702 | 1,179,631 | |||
J.M. Smucker Co. | 12,505 | 1,344,037 | |||
Kellogg Co. (b) | 27,228 | 1,902,420 | |||
Kimberly-Clark Corp. | 39,627 | 4,174,308 |
Table of Contents
Security Description | Shares | Value | |||
Kraft Heinz Co. | 67,518 | $ 4,241,481 | |||
Kroger Co. | 96,542 | 2,746,620 | |||
McCormick & Co., Inc. | 14,192 | 1,647,549 | |||
Molson Coors Brewing Co. Class B | 20,253 | 1,378,014 | |||
Mondelez International, Inc. Class A | 166,615 | 6,831,215 | |||
Monster Beverage Corp. (a) | 44,635 | 2,557,586 | |||
PepsiCo, Inc. | 162,216 | 17,660,456 | |||
Philip Morris International, Inc. | 175,712 | 14,186,987 | |||
Procter & Gamble Co. | 284,426 | 22,202,294 | |||
Sysco Corp. | 54,374 | 3,713,200 | |||
Tyson Foods, Inc. Class A | 32,344 | 2,226,884 | |||
Walmart, Inc. | 165,703 | 14,192,462 | |||
Walgreens Boots Alliance, Inc. | 95,805 | 5,749,737 | |||
179,797,701 | |||||
ENERGY — 6.3% | |||||
Anadarko Petroleum Corp. | 59,182 | 4,335,081 | |||
Andeavor | 15,716 | 2,061,625 | |||
Apache Corp. | 41,755 | 1,952,046 | |||
Baker Hughes a GE Co. | 47,179 | 1,558,322 | |||
Cabot Oil & Gas Corp. | 55,078 | 1,310,856 | |||
Chevron Corp. | 218,212 | 27,588,543 | |||
Cimarex Energy Co. | 11,458 | 1,165,737 | |||
Concho Resources, Inc. (a)(b) | 16,200 | 2,241,270 | |||
ConocoPhillips | 131,727 | 9,170,834 | |||
Devon Energy Corp. | 57,201 | 2,514,556 | |||
EOG Resources, Inc. | 66,771 | 8,308,316 | |||
EQT Corp. | 28,957 | 1,597,847 | |||
Exxon Mobil Corp. | 480,875 | 39,782,789 | |||
Halliburton Co. | 98,867 | 4,454,947 | |||
Helmerich & Payne, Inc. | 13,726 | 875,170 | |||
Hess Corp. | 29,757 | 1,990,446 | |||
HollyFrontier Corp. | 20,000 | 1,368,600 | |||
Kinder Morgan, Inc. | 222,650 | 3,934,226 | |||
Marathon Oil Corp. | 93,388 | 1,948,074 | |||
Marathon Petroleum Corp. | 52,774 | 3,702,624 | |||
National Oilwell Varco, Inc. | 44,116 | 1,914,634 | |||
Newfield Exploration Co. (a) | 24,015 | 726,454 | |||
Noble Energy, Inc. | 54,325 | 1,916,586 | |||
Occidental Petroleum Corp. | 86,109 | 7,205,601 | |||
ONEOK, Inc. | 46,596 | 3,253,799 | |||
Phillips 66 | 48,573 | 5,455,234 | |||
Pioneer Natural Resources Co. | 19,276 | 3,647,790 | |||
Schlumberger, Ltd. | 159,050 | 10,661,121 | |||
TechnipFMC PLC | 48,991 | 1,554,974 | |||
Valero Energy Corp. | 48,723 | 5,399,970 | |||
Williams Cos., Inc. | 98,858 | 2,680,040 | |||
166,278,112 | |||||
FINANCIALS — 13.6% | |||||
Affiliated Managers Group, Inc. | 6,624 | 984,790 | |||
Aflac, Inc. | 90,206 | 3,880,662 | |||
Allstate Corp. | 38,739 | 3,535,709 | |||
American Express Co. | 82,112 | 8,046,976 | |||
American International Group, Inc. | 101,401 | 5,376,281 | |||
Ameriprise Financial, Inc. | 16,044 | 2,244,235 |
Security Description | Shares | Value | |||
Aon PLC | 26,965 | $ 3,698,789 | |||
Arthur J Gallagher & Co. | 21,200 | 1,383,936 | |||
Assurant, Inc. | 5,385 | 557,294 | |||
Bank of America Corp. | 1,068,005 | 30,107,061 | |||
Bank of New York Mellon Corp. | 113,594 | 6,126,124 | |||
BB&T Corp. | 89,531 | 4,515,944 | |||
Berkshire Hathaway, Inc. Class B (a) | 218,384 | 40,761,374 | |||
BlackRock, Inc. | 14,116 | 7,044,449 | |||
Brighthouse Financial, Inc. (a) | 16,579 | 664,321 | |||
Capital One Financial Corp. | 54,795 | 5,035,660 | |||
Cboe Global Markets, Inc. | 12,500 | 1,300,875 | |||
Charles Schwab Corp. | 134,604 | 6,878,264 | |||
Chubb, Ltd. | 52,953 | 6,726,090 | |||
Cincinnati Financial Corp. | 17,809 | 1,190,710 | |||
Citigroup, Inc. | 291,027 | 19,475,527 | |||
Citizens Financial Group, Inc. | 53,600 | 2,085,040 | |||
CME Group, Inc. | 38,263 | 6,272,071 | |||
Comerica, Inc. | 19,127 | 1,739,027 | |||
Discover Financial Services | 39,328 | 2,769,084 | |||
E*TRADE Financial Corp. (a) | 31,342 | 1,916,877 | |||
Everest Re Group, Ltd. | 5,000 | 1,152,400 | |||
Fifth Third Bancorp | 76,762 | 2,203,069 | |||
Franklin Resources, Inc. | 37,989 | 1,217,547 | |||
Goldman Sachs Group, Inc. | 39,546 | 8,722,661 | |||
Hartford Financial Services Group, Inc. | 38,867 | 1,987,270 | |||
Huntington Bancshares, Inc. | 118,491 | 1,748,927 | |||
Intercontinental Exchange, Inc. | 65,685 | 4,831,132 | |||
Invesco, Ltd. | 44,711 | 1,187,524 | |||
Jefferies Financial Group, Inc. | 30,827 | 701,006 | |||
JPMorgan Chase & Co. | 388,243 | 40,454,921 | |||
KeyCorp | 116,996 | 2,286,102 | |||
Lincoln National Corp. | 23,982 | 1,492,879 | |||
Loews Corp. | 32,019 | 1,545,877 | |||
M&T Bank Corp. | 16,363 | 2,784,164 | |||
Marsh & McLennan Cos., Inc. | 57,219 | 4,690,241 | |||
MetLife, Inc. | 116,670 | 5,086,812 | |||
Moody's Corp. | 19,432 | 3,314,322 | |||
Morgan Stanley | 158,675 | 7,521,195 | |||
MSCI, Inc. | 9,900 | 1,637,757 | |||
Nasdaq, Inc. | 14,175 | 1,293,752 | |||
Northern Trust Corp. | 23,396 | 2,407,214 | |||
People's United Financial, Inc. | 33,066 | 598,164 | |||
PNC Financial Services Group, Inc. | 54,275 | 7,332,552 | |||
Principal Financial Group, Inc. | 29,265 | 1,549,582 | |||
Progressive Corp. | 65,749 | 3,889,053 | |||
Prudential Financial, Inc. | 47,502 | 4,441,912 | |||
Raymond James Financial, Inc. | 14,200 | 1,268,770 | |||
Regions Financial Corp. | 126,346 | 2,246,432 | |||
S&P Global, Inc. | 28,568 | 5,824,730 | |||
State Street Corp. (c) | 42,478 | 3,954,277 | |||
SunTrust Banks, Inc. | 51,436 | 3,395,805 | |||
SVB Financial Group (a) | 5,800 | 1,674,808 | |||
Synchrony Financial | 79,676 | 2,659,585 | |||
T Rowe Price Group, Inc. | 27,755 | 3,222,078 | |||
Torchmark Corp. | 12,412 | 1,010,461 |
Table of Contents
Security Description | Shares | Value | |||
Travelers Cos., Inc. | 31,406 | $ 3,842,210 | |||
Unum Group | 26,705 | 987,818 | |||
US Bancorp | 178,522 | 8,929,670 | |||
Wells Fargo & Co. | 496,303 | 27,515,038 | |||
Willis Towers Watson PLC | 14,376 | 2,179,402 | |||
XL Group, Ltd. | 30,748 | 1,720,351 | |||
Zions Bancorp | 23,195 | 1,222,145 | |||
362,048,785 | |||||
HEALTH CARE — 13.8% | |||||
Abbott Laboratories | 198,549 | 12,109,503 | |||
AbbVie, Inc. | 171,643 | 15,902,724 | |||
ABIOMED, Inc. (a) | 4,700 | 1,922,535 | |||
Aetna, Inc. | 36,544 | 6,705,824 | |||
Agilent Technologies, Inc. | 34,993 | 2,163,967 | |||
Alexion Pharmaceuticals, Inc. (a) | 26,273 | 3,261,793 | |||
Align Technology, Inc. (a) | 7,900 | 2,702,906 | |||
Allergan PLC | 38,406 | 6,403,048 | |||
AmerisourceBergen Corp. | 17,734 | 1,512,178 | |||
Amgen, Inc. | 76,354 | 14,094,185 | |||
Anthem, Inc. | 28,719 | 6,835,984 | |||
Baxter International, Inc. | 57,679 | 4,259,017 | |||
Becton Dickinson and Co. | 29,956 | 7,176,259 | |||
Biogen, Inc. (a) | 23,784 | 6,903,068 | |||
Boston Scientific Corp. (a) | 155,057 | 5,070,364 | |||
Bristol-Myers Squibb Co. | 187,704 | 10,387,539 | |||
Cardinal Health, Inc. | 34,333 | 1,676,480 | |||
Celgene Corp. (a) | 80,071 | 6,359,239 | |||
Centene Corp. (a) | 23,300 | 2,870,793 | |||
Cerner Corp. (a) | 34,337 | 2,053,009 | |||
Cigna Corp. | 27,985 | 4,756,051 | |||
Cooper Cos., Inc. | 5,800 | 1,365,610 | |||
CVS Health Corp. | 113,905 | 7,329,787 | |||
Danaher Corp. | 68,994 | 6,808,328 | |||
DaVita, Inc. (a) | 15,028 | 1,043,544 | |||
DENTSPLY SIRONA, Inc. | 25,234 | 1,104,492 | |||
Edwards Lifesciences Corp. (a) | 23,910 | 3,480,579 | |||
Eli Lilly & Co. | 109,718 | 9,362,237 | |||
Envision Healthcare Corp. (a) | 11,174 | 491,768 | |||
Express Scripts Holding Co. (a) | 63,567 | 4,908,008 | |||
Gilead Sciences, Inc. | 146,852 | 10,402,996 | |||
HCA Healthcare, Inc. | 30,700 | 3,149,820 | |||
Henry Schein, Inc. (a)(b) | 18,700 | 1,358,368 | |||
Hologic, Inc. (a) | 32,800 | 1,303,800 | |||
Humana, Inc. | 15,390 | 4,580,526 | |||
IDEXX Laboratories, Inc. (a) | 9,700 | 2,114,018 | |||
Illumina, Inc. (a) | 16,600 | 4,636,214 | |||
Incyte Corp. (a) | 19,200 | 1,286,400 | |||
Intuitive Surgical, Inc. (a) | 12,644 | 6,049,901 | |||
IQVIA Holdings, Inc. (a) | 19,600 | 1,956,472 | |||
Johnson & Johnson | 304,508 | 36,949,001 | |||
Laboratory Corp. of America Holdings (a) | 11,175 | 2,006,248 | |||
McKesson Corp. | 22,524 | 3,004,702 | |||
Medtronic PLC | 153,393 | 13,131,975 | |||
Merck & Co., Inc. | 307,072 | 18,639,270 | |||
Mettler-Toledo International, Inc. (a) | 2,800 | 1,620,164 |
Security Description | Shares | Value | |||
Mylan NV (a) | 58,302 | $ 2,107,034 | |||
Nektar Therapeutics (a) | 17,600 | 859,408 | |||
PerkinElmer, Inc. | 12,986 | 950,965 | |||
Perrigo Co. PLC | 15,586 | 1,136,375 | |||
Pfizer, Inc. | 662,533 | 24,036,697 | |||
Quest Diagnostics, Inc. | 15,842 | 1,741,669 | |||
Regeneron Pharmaceuticals, Inc. (a) | 8,742 | 3,015,903 | |||
ResMed, Inc. | 16,500 | 1,709,070 | |||
Stryker Corp. | 36,194 | 6,111,719 | |||
Thermo Fisher Scientific, Inc. | 46,212 | 9,572,354 | |||
UnitedHealth Group, Inc. | 109,374 | 26,833,817 | |||
Universal Health Services, Inc. Class B | 10,500 | 1,170,120 | |||
Varian Medical Systems, Inc. (a) | 11,029 | 1,254,218 | |||
Vertex Pharmaceuticals, Inc. (a) | 28,852 | 4,903,686 | |||
Waters Corp. (a) | 8,750 | 1,693,912 | |||
Zimmer Biomet Holdings, Inc. | 24,225 | 2,699,634 | |||
Zoetis, Inc. | 54,920 | 4,678,635 | |||
367,685,910 | |||||
INDUSTRIALS — 9.4% | |||||
3M Co. | 67,629 | 13,303,977 | |||
Alaska Air Group, Inc. | 15,500 | 936,045 | |||
Allegion PLC | 11,996 | 928,011 | |||
American Airlines Group, Inc. | 46,300 | 1,757,548 | |||
AMETEK, Inc. | 25,299 | 1,825,576 | |||
AO Smith Corp. | 17,500 | 1,035,125 | |||
Arconic, Inc. | 50,186 | 853,664 | |||
Boeing Co. | 62,564 | 20,990,848 | |||
C.H. Robinson Worldwide, Inc. | 16,479 | 1,378,633 | |||
Caterpillar, Inc. | 68,924 | 9,350,919 | |||
Cintas Corp. | 10,066 | 1,862,915 | |||
Copart, Inc. (a) | 22,900 | 1,295,224 | |||
CSX Corp. | 99,855 | 6,368,752 | |||
Cummins, Inc. | 16,914 | 2,249,562 | |||
Deere & Co. | 37,283 | 5,212,163 | |||
Delta Air Lines, Inc. | 75,334 | 3,732,046 | |||
Dover Corp. | 17,050 | 1,248,060 | |||
Eaton Corp. PLC | 49,725 | 3,716,446 | |||
Emerson Electric Co. | 71,579 | 4,948,972 | |||
Equifax, Inc. | 13,888 | 1,737,528 | |||
Expeditors International of Washington, Inc. | 21,176 | 1,547,966 | |||
Fastenal Co. (b) | 31,458 | 1,514,074 | |||
FedEx Corp. | 27,550 | 6,255,503 | |||
Flowserve Corp. (b) | 12,345 | 498,738 | |||
Fluor Corp. | 17,604 | 858,723 | |||
Fortive Corp. | 33,297 | 2,567,532 | |||
Fortune Brands Home & Security, Inc. | 18,000 | 966,420 | |||
General Dynamics Corp. | 30,972 | 5,773,490 | |||
General Electric Co. | 985,888 | 13,417,936 | |||
Harris Corp. | 13,002 | 1,879,309 | |||
Honeywell International, Inc. | 85,978 | 12,385,131 | |||
Huntington Ingalls Industries, Inc. | 5,400 | 1,170,666 | |||
IHS Markit, Ltd. (a) | 39,800 | 2,053,282 | |||
Illinois Tool Works, Inc. | 34,700 | 4,807,338 |
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Security Description | Shares | Value | |||
Ingersoll-Rand PLC | 27,184 | $ 2,439,220 | |||
Jacobs Engineering Group, Inc. | 14,343 | 910,637 | |||
JB Hunt Transport Services, Inc. | 10,000 | 1,215,500 | |||
Johnson Controls International PLC | 104,808 | 3,505,828 | |||
Kansas City Southern | 12,396 | 1,313,480 | |||
L3 Technologies, Inc. | 8,538 | 1,642,028 | |||
Lockheed Martin Corp. | 28,271 | 8,352,101 | |||
Masco Corp. | 34,584 | 1,294,133 | |||
Nielsen Holdings PLC | 39,625 | 1,225,601 | |||
Norfolk Southern Corp. | 32,087 | 4,840,966 | |||
Northrop Grumman Corp. | 20,225 | 6,223,232 | |||
PACCAR, Inc. | 38,139 | 2,363,092 | |||
Parker-Hannifin Corp. | 14,389 | 2,242,526 | |||
Pentair PLC | 19,604 | 824,936 | |||
Quanta Services, Inc. (a) | 14,407 | 481,194 | |||
Raytheon Co. | 32,246 | 6,229,282 | |||
Republic Services, Inc. | 24,889 | 1,701,412 | |||
Robert Half International, Inc. | 15,966 | 1,039,387 | |||
Rockwell Automation, Inc. | 13,926 | 2,314,919 | |||
Rockwell Collins, Inc. | 19,631 | 2,643,903 | |||
Roper Technologies, Inc. | 11,665 | 3,218,490 | |||
Snap-on, Inc. | 6,640 | 1,067,181 | |||
Southwest Airlines Co. | 58,859 | 2,994,746 | |||
Stanley Black & Decker, Inc. | 16,657 | 2,212,216 | |||
Stericycle, Inc. (a) | 8,096 | 528,588 | |||
Textron, Inc. | 28,933 | 1,906,974 | |||
TransDigm Group, Inc. (a) | 5,600 | 1,932,784 | |||
Union Pacific Corp. | 88,198 | 12,495,893 | |||
United Continental Holdings, Inc. (a) | 27,500 | 1,917,575 | |||
United Parcel Service, Inc. Class B | 79,591 | 8,454,952 | |||
United Rentals, Inc. (a) | 9,800 | 1,446,676 | |||
United Technologies Corp. | 85,451 | 10,683,938 | |||
Verisk Analytics, Inc. (a) | 17,100 | 1,840,644 | |||
W.W. Grainger, Inc. | 6,057 | 1,867,979 | |||
Waste Management, Inc. | 45,135 | 3,671,281 | |||
Xylem, Inc. | 21,058 | 1,418,888 | |||
250,890,304 | |||||
INFORMATION TECHNOLOGY — 25.6% | |||||
Accenture PLC Class A | 72,818 | 11,912,297 | |||
Activision Blizzard, Inc. | 85,000 | 6,487,200 | |||
Adobe Systems, Inc. (a) | 56,144 | 13,688,469 | |||
Advanced Micro Devices, Inc. (a)(b) | 96,200 | 1,442,038 | |||
Akamai Technologies, Inc. (a) | 20,090 | 1,471,191 | |||
Alliance Data Systems Corp. | 5,696 | 1,328,307 | |||
Alphabet, Inc. Class A (a) | 33,867 | 38,242,278 | |||
Alphabet, Inc. Class C (a) | 34,587 | 38,586,987 | |||
Amphenol Corp. Class A | 33,120 | 2,886,408 | |||
Analog Devices, Inc. | 41,852 | 4,014,444 | |||
ANSYS, Inc. (a) | 9,900 | 1,724,382 | |||
Apple, Inc. | 559,324 | 103,536,466 | |||
Applied Materials, Inc. | 118,154 | 5,457,533 | |||
Autodesk, Inc. (a) | 25,706 | 3,369,800 | |||
Automatic Data Processing, Inc. | 49,952 | 6,700,561 |
Security Description | Shares | Value | |||
Broadcom, Inc. | 46,691 | $ 11,329,104 | |||
Broadridge Financial Solutions, Inc. | 13,400 | 1,542,340 | |||
CA, Inc. | 37,540 | 1,338,301 | |||
Cadence Design Systems, Inc. (a) | 31,200 | 1,351,272 | |||
Cars.com, Inc. (a) | 1 | 28 | |||
Cisco Systems, Inc. | 532,690 | 22,921,651 | |||
Citrix Systems, Inc. (a) | 14,089 | 1,477,091 | |||
Cognizant Technology Solutions Corp. Class A | 66,241 | 5,232,377 | |||
Corning, Inc. | 94,126 | 2,589,406 | |||
DXC Technology Co. | 33,338 | 2,687,376 | |||
eBay, Inc. (a) | 104,745 | 3,798,054 | |||
Electronic Arts, Inc. (a) | 34,679 | 4,890,433 | |||
F5 Networks, Inc. (a) | 7,741 | 1,334,935 | |||
Facebook, Inc. Class A (a) | 273,293 | 53,106,296 | |||
Fidelity National Information Services, Inc. | 38,491 | 4,081,201 | |||
Fiserv, Inc. (a) | 45,124 | 3,343,237 | |||
FleetCor Technologies, Inc. (a) | 10,100 | 2,127,565 | |||
FLIR Systems, Inc. | 17,761 | 923,039 | |||
Gartner, Inc. (a)(b) | 10,100 | 1,342,290 | |||
Global Payments, Inc. | 17,476 | 1,948,399 | |||
Hewlett Packard Enterprise Co. | 173,353 | 2,532,687 | |||
HP, Inc. | 185,953 | 4,219,274 | |||
Intel Corp. (a) | 528,936 | 26,293,409 | |||
International Business Machines Corp. | 97,795 | 13,661,961 | |||
Intuit, Inc. | 27,637 | 5,646,377 | |||
IPG Photonics Corp. (a) | 4,100 | 904,583 | |||
Juniper Networks, Inc. | 36,149 | 991,206 | |||
KLA-Tencor Corp. | 17,132 | 1,756,544 | |||
Lam Research Corp. | 18,477 | 3,193,749 | |||
Mastercard, Inc. Class A | 104,251 | 20,487,406 | |||
Microchip Technology, Inc. (b) | 25,483 | 2,317,679 | |||
Micron Technology, Inc. (a) | 130,034 | 6,818,983 | |||
Microsoft Corp. | 872,258 | 86,013,361 | |||
Motorola Solutions, Inc. | 17,772 | 2,068,128 | |||
NetApp, Inc. | 29,614 | 2,325,587 | |||
NVIDIA Corp. | 68,544 | 16,238,074 | |||
Oracle Corp. | 337,535 | 14,871,792 | |||
Paychex, Inc. | 34,807 | 2,379,058 | |||
PayPal Holdings, Inc. (a) | 126,545 | 10,537,402 | |||
Qorvo, Inc. (a) | 15,400 | 1,234,618 | |||
QUALCOMM, Inc. | 170,826 | 9,586,755 | |||
Red Hat, Inc. (a) | 20,170 | 2,710,243 | |||
salesforce.com, Inc. (a) | 79,895 | 10,897,678 | |||
Seagate Technology PLC | 32,324 | 1,825,336 | |||
Skyworks Solutions, Inc. | 20,100 | 1,942,665 | |||
Symantec Corp. | 67,760 | 1,399,244 | |||
Synopsys, Inc. (a) | 17,500 | 1,497,475 | |||
Take-Two Interactive Software, Inc. (a) | 12,500 | 1,479,500 | |||
TE Connectivity, Ltd. | 39,751 | 3,579,975 | |||
Texas Instruments, Inc. | 110,193 | 12,148,778 | |||
Total System Services, Inc. | 18,476 | 1,561,591 | |||
Twitter, Inc. (a) | 72,600 | 3,170,442 |
Table of Contents
Security Description | Shares | Value | |||
VeriSign, Inc. (a) | 10,301 | $ 1,415,563 | |||
Visa, Inc. Class A | 203,760 | 26,988,012 | |||
Western Digital Corp. | 33,853 | 2,620,561 | |||
Western Union Co. | 53,945 | 1,096,702 | |||
Xerox Corp. | 25,527 | 612,648 | |||
Xilinx, Inc. | 27,460 | 1,792,040 | |||
679,029,842 | |||||
MATERIALS — 2.6% | |||||
Air Products & Chemicals, Inc. | 24,702 | 3,846,843 | |||
Albemarle Corp. (b) | 12,200 | 1,150,826 | |||
Alcoa Corp. (a) | 1 | 47 | |||
Avery Dennison Corp. | 10,670 | 1,089,407 | |||
Ball Corp. | 41,232 | 1,465,798 | |||
CF Industries Holdings, Inc. | 28,520 | 1,266,288 | |||
DowDuPont, Inc. | 264,346 | 17,425,688 | |||
Eastman Chemical Co. | 15,836 | 1,582,967 | |||
Ecolab, Inc. | 29,301 | 4,111,809 | |||
FMC Corp. | 15,978 | 1,425,397 | |||
Freeport-McMoRan, Inc. | 146,040 | 2,520,650 | |||
International Flavors & Fragrances, Inc. | 9,451 | 1,171,546 | |||
International Paper Co. | 44,803 | 2,333,340 | |||
LyondellBasell Industries NV Class A | 36,548 | 4,014,798 | |||
Martin Marietta Materials, Inc. | 6,945 | 1,551,027 | |||
Mosaic Co. | 40,984 | 1,149,601 | |||
Newmont Mining Corp. | 58,133 | 2,192,196 | |||
Nucor Corp. | 34,648 | 2,165,500 | |||
Packaging Corp. of America | 11,200 | 1,252,048 | |||
PPG Industries, Inc. | 29,854 | 3,096,755 | |||
Praxair, Inc. | 32,511 | 5,141,615 | |||
Sealed Air Corp. | 18,323 | 777,811 | |||
Sherwin-Williams Co. | 9,409 | 3,834,826 | |||
Vulcan Materials Co. (b) | 14,471 | 1,867,627 | |||
WestRock Co. | 27,936 | 1,592,911 | |||
68,027,321 | |||||
REAL ESTATE — 2.8% | |||||
Alexandria Real Estate Equities, Inc. REIT | 11,400 | 1,438,338 | |||
American Tower Corp. REIT | 49,518 | 7,139,010 | |||
Apartment Investment & Management Co. Class A, REIT | 18,787 | 794,690 | |||
AvalonBay Communities, Inc. REIT | 16,469 | 2,830,856 | |||
Boston Properties, Inc. REIT | 16,846 | 2,112,825 | |||
CBRE Group, Inc. Class A (a) | 35,167 | 1,678,873 | |||
Crown Castle International Corp. REIT | 47,758 | 5,149,268 | |||
Digital Realty Trust, Inc. REIT | 24,600 | 2,744,868 | |||
Duke Realty Corp. REIT | 39,000 | 1,132,170 | |||
Equinix, Inc. REIT | 9,043 | 3,887,495 | |||
Equity Residential REIT | 43,919 | 2,797,201 | |||
Essex Property Trust, Inc. REIT | 7,245 | 1,732,062 | |||
Extra Space Storage, Inc. REIT | 15,100 | 1,507,131 | |||
Federal Realty Investment Trust REIT | 8,600 | 1,088,330 |
Security Description | Shares | Value | |||
GGP, Inc. REIT | 68,558 | $ 1,400,640 | |||
HCP, Inc. REIT | 56,023 | 1,446,514 | |||
Host Hotels & Resorts, Inc. REIT | 81,262 | 1,712,190 | |||
Iron Mountain, Inc. REIT | 31,281 | 1,095,148 | |||
Kimco Realty Corp. REIT | 48,153 | 818,120 | |||
Macerich Co. REIT | 10,455 | 594,158 | |||
Mid-America Apartment Communities, Inc. REIT | 13,800 | 1,389,246 | |||
Prologis, Inc. REIT | 60,252 | 3,957,954 | |||
Public Storage REIT | 16,935 | 3,841,874 | |||
Realty Income Corp. REIT | 30,900 | 1,662,111 | |||
Regency Centers Corp. REIT | 16,200 | 1,005,696 | |||
SBA Communications Corp. REIT (a) | 12,800 | 2,113,536 | |||
Simon Property Group, Inc. REIT | 35,080 | 5,970,265 | |||
SL Green Realty Corp. REIT | 9,400 | 944,982 | |||
UDR, Inc. REIT | 31,400 | 1,178,756 | |||
Ventas, Inc. REIT | 38,797 | 2,209,489 | |||
Vornado Realty Trust REIT | 20,468 | 1,512,995 | |||
Welltower, Inc. REIT | 44,419 | 2,784,627 | |||
Weyerhaeuser Co. REIT | 88,487 | 3,226,236 | |||
74,897,654 | |||||
TELECOMMUNICATION SERVICES — 2.0% | |||||
AT&T, Inc. | 829,340 | 26,630,107 | |||
CenturyLink, Inc. | 106,578 | 1,986,614 | |||
Verizon Communications, Inc. | 472,115 | 23,752,106 | |||
52,368,827 | |||||
UTILITIES — 2.9% | |||||
AES Corp. | 77,836 | 1,043,781 | |||
Alliant Energy Corp. | 28,300 | 1,197,656 | |||
Ameren Corp. | 26,704 | 1,624,938 | |||
American Electric Power Co., Inc. | 55,609 | 3,850,923 | |||
American Water Works Co., Inc. | 19,500 | 1,664,910 | |||
CenterPoint Energy, Inc. | 51,176 | 1,418,087 | |||
CMS Energy Corp. | 33,455 | 1,581,752 | |||
Consolidated Edison, Inc. | 36,952 | 2,881,517 | |||
Dominion Energy, Inc. | 74,994 | 5,113,091 | |||
DTE Energy Co. | 19,545 | 2,025,448 | |||
Duke Energy Corp. | 78,592 | 6,215,055 | |||
Edison International | 35,514 | 2,246,971 | |||
Entergy Corp. | 19,798 | 1,599,481 | |||
Evergy, Inc. | 30,499 | 1,712,519 | |||
Eversource Energy | 34,517 | 2,023,041 | |||
Exelon Corp. | 109,884 | 4,681,059 | |||
FirstEnergy Corp. | 51,693 | 1,856,296 | |||
NextEra Energy, Inc. | 53,564 | 8,946,795 | |||
NiSource, Inc. | 42,004 | 1,103,865 | |||
NRG Energy, Inc. | 33,002 | 1,013,161 | |||
PG&E Corp. | 61,614 | 2,622,292 | |||
Pinnacle West Capital Corp. | 12,204 | 983,154 | |||
PPL Corp. (b) | 83,819 | 2,393,033 | |||
Public Service Enterprise Group, Inc. | 59,688 | 3,231,508 |
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Security Description | Shares | Value | |||
SCANA Corp. | 13,599 | $ 523,834 | |||
Sempra Energy | 31,162 | 3,618,220 | |||
Southern Co. | 113,859 | 5,272,810 | |||
WEC Energy Group, Inc. | 34,382 | 2,222,796 | |||
Xcel Energy, Inc. | 60,651 | 2,770,538 | |||
77,438,531 | |||||
TOTAL COMMON STOCKS (Cost $2,057,200,814) | 2,616,734,737 |
SHORT-TERM INVESTMENTS — 3.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (d) (e) | 81,040,262 | 81,040,262 | |
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f) | 550,307 | 550,307 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $81,590,569) | 81,590,569 | ||
TOTAL INVESTMENTS — 101.6% (Cost $2,138,791,383) | 2,698,325,306 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.6)% | (42,660,822) | ||
NET ASSETS — 100.0% | $ 2,655,664,484 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(c) | The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(f) | Investment of cash collateral for securities loaned. |
REIT | =Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
E-Mini S&P 500 Index (long) | 604 | 09/21/2018 | $83,959,780 | $82,192,320 | $(1,767,554) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ 338,271,750 | $— | $— | $ 338,271,750 | ||||
Consumer Staples | 179,797,701 | — | — | 179,797,701 | ||||
Energy | 166,278,112 | — | — | 166,278,112 | ||||
Financials | 362,048,785 | — | — | 362,048,785 | ||||
Health Care | 367,685,910 | — | — | 367,685,910 | ||||
Industrials | 250,890,304 | — | — | 250,890,304 |
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Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Information Technology | 679,029,842 | $— | $— | 679,029,842 | ||||
Materials | 68,027,321 | — | — | 68,027,321 | ||||
Real Estate | 74,897,654 | — | — | 74,897,654 | ||||
Telecommunication Services | 52,368,827 | — | — | 52,368,827 | ||||
Utilities | 77,438,531 | — | — | 77,438,531 | ||||
Short-Term Investments | 81,590,569 | — | — | 81,590,569 | ||||
TOTAL INVESTMENTS | $2,698,325,306 | $— | $— | $2,698,325,306 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (1,767,554) | — | — | (1,767,554) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ (1,767,554) | $— | $— | $ (1,767,554) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Corp | 35,378 | $ 3,453,247 | $ 687,949 | $ — | $— | $(186,919) | 42,478 | $ 3,954,277 | $ 34,631 | $— | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 69,243,442 | 69,243,442 | 496,506,181 | 484,709,361 | — | — | 81,040,262 | 81,040,262 | 507,372 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 1,778,697 | 1,778,697 | 7,290,770 | 8,519,160 | — | — | 550,307 | 550,307 | 4,287 | — | |||||||||
Total | $74,475,386 | $504,484,900 | $493,228,521 | $— | $(186,919) | $85,544,846 | $546,290 | $— |
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ASSETS | |
Investments in unaffiliated issuers, at value* | $2,612,780,460 |
Investments in affiliated issuers, at value | 85,544,846 |
Total Investments | 2,698,325,306 |
Cash at broker | 5,211,903 |
Cash | 441,301 |
Receivable for investments sold | 2,402,166 |
Receivable for fund shares sold | 3,068,449 |
Dividends receivable — unaffiliated issuers | 2,126,941 |
Dividends receivable — affiliated issuers | 127,726 |
Securities lending income receivable — unaffiliated issuers | 2,467 |
Securities lending income receivable — affiliated issuers | 359 |
TOTAL ASSETS | 2,711,706,618 |
LIABILITIES | |
Payable upon return of securities loaned | 550,307 |
Payable for investments purchased | 7,257,635 |
Payable for fund shares repurchased | 46,324,494 |
Payable to broker – variation margin on open futures contracts | 1,766,083 |
Custodian fees payable | 55,919 |
Registration and filing fees payable | 2,584 |
Professional fees payable | 67,286 |
Printing and postage fees payable | 5,639 |
Accrued expenses and other liabilities | 12,187 |
TOTAL LIABILITIES | 56,042,134 |
NET ASSETS | $2,655,664,484 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,027,454,521 |
Undistributed (distribution in excess of) net investment income (loss) | 24,608,109 |
Accumulated net realized gain (loss) on investments and futures contracts | 45,835,485 |
Net unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 558,755,819 |
Investments — affiliated issuers | 778,104 |
Futures contracts | (1,767,554) |
NET ASSETS | $2,655,664,484 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 13.42 |
Shares outstanding (unlimited amount authorized, no par value) | 197,920,160 |
Net Assets | $2,655,664,484 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,054,024,641 |
Investments in affiliated issuers | 84,766,742 |
Total cost of investments | $2,138,791,383 |
* Includes investments in securities on loan, at value | $ 21,807,026 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 8,208 |
Dividend income — unaffiliated issuers | 24,374,397 |
Dividend income — affiliated issuers | 542,003 |
Unaffiliated securities lending income | 14,404 |
Affiliated securities lending income | 4,287 |
TOTAL INVESTMENT INCOME (LOSS) | 24,943,299 |
EXPENSES | |
Administration and custody fees | 149,971 |
Trustees’ fees and expenses | 47,303 |
Registration fees | 26,735 |
Professional fees | 74,216 |
Printing and postage fees | 11,812 |
Insurance expense | 409 |
Miscellaneous expenses | 24,744 |
TOTAL EXPENSES | 335,190 |
NET INVESTMENT INCOME (LOSS) | 24,608,109 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,937,013 |
Futures contracts | 2,538,950 |
Net realized gain (loss) | 10,475,963 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 30,703,767 |
Investments — affiliated issuers | (186,919) |
Futures contracts | (2,338,803) |
Net change in unrealized appreciation/depreciation | 28,178,045 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 38,654,008 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $63,262,117 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 24,608,109 | $ 38,092,113 | |
Net realized gain (loss) | 10,475,963 | 95,301,372 | |
Net change in unrealized appreciation/depreciation | 28,178,045 | 236,604,596 | |
Net increase (decrease) in net assets resulting from operations | 63,262,117 | 369,998,081 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | — | (38,352,420) | |
Net realized gains | — | (59,864,463) | |
Total distributions to shareholders | — | (98,216,883) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 578,818,614 | 1,289,250,676 | |
Reinvestment of distributions | — | 98,216,883 | |
Cost of shares redeemed | (185,597,158) | (687,512,121) | |
Net increase (decrease) in net assets from beneficial interest transactions | 393,221,456 | 699,955,438 | |
Net increase (decrease) in net assets during the period | 456,483,573 | 971,736,636 | |
Net assets at beginning of period | 2,199,180,911 | 1,227,444,275 | |
NET ASSETS AT END OF PERIOD | $2,655,664,484 | $2,199,180,911 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 24,608,109 | $ — | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 43,616,922 | 106,644,618 | |
Reinvestment of distributions | — | 7,508,936 | |
Shares redeemed | (13,901,986) | (54,428,277) | |
Net increase (decrease) | 29,714,936 | 59,725,277 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 13.07 | $ 11.31 | $ 10.32 | $ 10.55 | $ 10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.13 | 0.25 | 0.23 | 0.22 | 0.08 | ||||
Net realized and unrealized gain (loss) | 0.22 | 2.21 | 1.02 | (0.09) | 0.63 | ||||
Total from investment operations | 0.35 | 2.46 | 1.25 | 0.13 | 0.71 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.27) | (0.18) | (0.20) | (0.08) | ||||
Net realized gains | — | (0.43) | (0.08) | (0.16) | (0.08) | ||||
Total distributions | — | (0.70) | (0.26) | (0.36) | (0.16) | ||||
Net asset value, end of period | $ 13.42 | $ 13.07 | $ 11.31 | $ 10.32 | $ 10.55 | ||||
Total return (b) | 2.68% | 21.66% | 12.18% | 1.29% | 7.12% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,655,664 | $2,199,181 | $1,227,444 | $541,335 | $426,710 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.03%(c) | 0.03% | 0.04% | 0.04% | 0.04%(c) | ||||
Net expenses | 0.03%(c) | 0.03% | 0.03% | 0.03% | 0.03%(c) | ||||
Net investment income (loss) | 1.90%(c) | 1.98% | 2.15% | 2.05% | 2.06%(c) | ||||
Portfolio turnover rate | 2%(d) | 30% | 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. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2018 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 31.11% |
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Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(1,766,083) | $— | $(1,766,083) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $2,538,950 | $— | $2,538,950 |
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 | $— | $— | $— | $(2,338,803) | $— | $(2,338,803) |
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Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $461,221,819 | $41,504,310 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $ 645,209,673 | $180,865,368 | $ — | $180,865,368 | |||
State Street Equity 500 Index II Portfolio | 2,153,148,268 | 597,161,355 | 51,984,317 | 545,177,038 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 21,807,026 | $ 550,307 | $ 21,760,466 | $ 22,310,773 |
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* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Equity 500 Index II Portfolio | Common Stocks | $550,307 | $— | $— | $— | $550,307 | $550,307 |
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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 Equity 500 Index Fund(b) | |||||||||
Administrative Shares | 0.18% | $1,025.90 | $0.90 | $1,023.90 | $0.90 | ||||
Service Shares | 0.28 | 1,025.50 | 1.41 | 1,023.40 | 1.40 | ||||
Class R Shares | 0.63 | 1,023.10 | 3.16 | 1,021.70 | 3.16 | ||||
Class A Shares | 0.41 | 1,024.50 | 2.06 | 1,022.80 | 2.06 | ||||
Class I Shares | 0.19 | 1,025.90 | 0.95 | 1,023.90 | 0.95 | ||||
Class K Shares | 0.03 | 1,026.80 | 0.15 | 1,024.60 | 0.15 | ||||
State Street Equity 500 Index II Portfolio | 0.03 | 1,026.80 | 0.15 | 1,024.60 | 0.15 |
(a) | Expenses are equal to the Fund’s/Portfolio’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 respective 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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• | 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-, five- and ten-year periods ended December 31, 2017, 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”). |
• | 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. |
• | 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. |
• | 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”); |
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• | 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, fund accountant, transfer agent 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the
Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Institutional Liquid Reserves Fund |
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1 | |
2 | |
3 | |
5 | |
10 | |
14 |
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ASSETS | |
Investments in corresponding affiliated Portfolio, at value | $12,478,148,441 |
Receivable for fund shares sold | 200 |
Receivable from Adviser | 59,742 |
TOTAL ASSETS | 12,478,208,383 |
LIABILITIES | |
Administration fees payable | 529,499 |
Shareholder servicing fee payable | 203,640 |
Distribution fees payable | 41,142 |
Transfer agent fees payable | 58,270 |
Distribution payable | 3,881,855 |
Registration and filing fees payable | 101,212 |
Professional fees payable | 21,011 |
Printing fees payable | 98,857 |
Accrued expenses and other liabilities | 281,390 |
TOTAL LIABILITIES | 5,216,876 |
NET ASSETS | $12,472,991,507 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $12,471,588,629 |
Undistributed (distribution in excess of) net investment income (loss) | 149,721 |
Accumulated net realized gain (loss) on investments | (25,137) |
Net unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 1,278,294 |
NET ASSETS | $12,472,991,507 |
Administration Class | |
Net Assets | $ 1,117,383,112 |
Shares Outstanding | 1,117,327,963 |
Net asset value, offering and redemption price per share | $ 1.0000 |
Investment Class | |
Net Assets | $ 30,894 |
Shares Outstanding | 30,892 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Investor Class | |
Net Assets | $ 50,765,271 |
Shares Outstanding | 50,763,278 |
Net asset value, offering and redemption price per share | $ 1.0000 |
Premier Class | |
Net Assets | $10,508,992,199 |
Shares Outstanding | 10,508,454,762 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Trust Class | |
Net Assets | $ 795,820,031 |
Shares Outstanding | 795,759,726 |
Net asset value, offering and redemption price per share | $ 1.0001 |
COST OF INVESTMENTS: | |
Investments in corresponding affiliated Portfolio | $12,476,870,147 |
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INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $109,939,499 |
Expenses allocated from affiliated Portfolio | (3,819,715) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 106,119,784 |
EXPENSES | |
Administration fees | |
Administration Class | 235,440 |
Investment Class | 520 |
Investor Class | 14,898 |
Premier Class | 2,475,401 |
Trust Class | 174,214 |
Shareholder servicing fees | |
Administration Class | 941,759 |
Investment Class | 2,600 |
Investor Class | 23,837 |
Trust Class | 202,089 |
Distribution fees | |
Administration Class | 235,440 |
Investment Class | 1,040 |
Custodian fees | 12,455 |
Trustees’ fees and expenses | 9,004 |
Transfer agent fees | 173,152 |
Registration and filing fees | 136,430 |
Professional fees and expenses | 12,528 |
Printing fees | 12,548 |
Insurance expense | 2,062 |
Miscellaneous expenses | 142,528 |
TOTAL EXPENSES | 4,807,945 |
Expenses waived/reimbursed by the Adviser | (259,760) |
NET EXPENSES | 4,548,185 |
NET INVESTMENT INCOME (LOSS) | 101,571,599 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 37,954 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 1,423,883 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,461,837 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $103,033,436 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 101,571,599 | $ 99,873,388 | |
Net realized gain (loss) | 37,954 | (63,091) | |
Net change in unrealized appreciation/depreciation | 1,423,883 | (946,240) | |
Net increase (decrease) in net assets resulting from operations | 103,033,436 | 98,864,057 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Administration Class | (7,144,750) | (7,817,877) | |
Investment Class | (12,223) | (38,959) | |
Investor Class | (516,836) | (160,905) | |
Premier Class | (87,928,681) | (81,989,242) | |
Trust Class | (5,916,852) | (9,868,689) | |
Total distributions from net investment income | (101,519,342) | (99,875,672) | |
Net Realized Gains | |||
Administration Class | — | (26,712) | |
Investment Class | — | (171) | |
Investor Class | — | (1,046) | |
Premier Class | — | (264,306) | |
Trust Class | — | (20,291) | |
Total distributions from net realized gains | — | (312,526) | |
Total distributions to shareholders | (101,519,342) | (100,188,198) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 3,984,951,602 | 10,028,073,072 | |
Reinvestment of distributions | 3,086,771 | 3,652,534 | |
Shares redeemed | (3,702,371,720) | (9,998,462,003) | |
Net increase (decrease) from capital share transactions | 285,666,653 | 33,263,603 | |
Investment Class | |||
Reinvestment of distributions | 41 | 41 | |
Shares redeemed | (5,516,819) | (34,365) | |
Net increase (decrease) from capital share transactions | (5,516,778) | (34,324) | |
Investor Class | |||
Shares sold | 185,790,017 | 243,121,337 | |
Reinvestment of distributions | 514,062 | 161,933 | |
Shares redeemed | (169,907,293) | (208,917,638) | |
Net increase (decrease) from capital share transactions | 16,396,786 | 34,365,632 | |
Premier Class | |||
Shares sold | 50,642,482,291 | 72,726,206,067 | |
Reinvestment of distributions | 77,530,281 | 77,010,563 | |
Shares redeemed | (48,515,550,220) | (70,754,232,506) | |
Net increase (decrease) from capital share transactions | 2,204,462,352 | 2,048,984,124 | |
Trust Class | |||
Shares sold | 3,554,460,255 | 7,144,297,354 | |
Reinvestment of distributions | 4,564,535 | 8,305,870 | |
Shares redeemed | (3,527,682,307) | (7,599,347,737) | |
Net increase (decrease) from capital share transactions | 31,342,483 | (446,744,513) | |
Net increase (decrease) in net assets from beneficial interest transactions | 2,532,351,496 | 1,669,834,522 | |
Net increase (decrease) in net assets during the period | 2,533,865,590 | 1,668,510,381 | |
Net assets at beginning of period | 9,939,125,917 | 8,270,615,536 | |
NET ASSETS AT END OF PERIOD | $ 12,472,991,507 | $ 9,939,125,917 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 149,721 | $ 97,464 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 3,984,952,476 | 10,027,174,596 | |
Reinvestment of distributions | 3,086,820 | 3,652,244 | |
Shares redeemed | (3,702,356,377) | (9,997,596,043) | |
Net increase (decrease) from share transactions | 285,682,919 | 33,230,797 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17(a) | ||
Investment Class | |||
Reinvestment of distributions | $ 41 | $ 41 | |
Shares redeemed | (5,516,914) | (34,367) | |
Net increase (decrease) from share transactions | (5,516,873) | (34,326) | |
Investor Class | |||
Shares sold | 185,797,356 | 243,123,369 | |
Reinvestment of distributions | 514,088 | 161,937 | |
Shares redeemed | (169,913,506) | (208,919,966) | |
Net increase (decrease) from share transactions | 16,397,938 | 34,365,340 | |
Premier Class | |||
Shares sold | 50,643,356,065 | 72,720,747,577 | |
Reinvestment of distributions | 77,532,432 | 77,006,282 | |
Shares redeemed | (48,516,188,006) | (70,749,059,693) | |
Net increase (decrease) from share transactions | 2,204,700,491 | 2,048,694,166 | |
Trust Class | |||
Shares sold | 3,554,472,189 | 7,143,802,480 | |
Reinvestment of distributions | 4,564,590 | 8,305,230 | |
Shares redeemed | (3,527,725,028) | (7,598,812,930) | |
Net increase (decrease) from share transactions | 31,311,751 | (446,705,220) |
(a) | For Investor Class shares, data is for the period July 13, 2017 (inception date) through December 31, 2017. |
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Administration Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 8/29/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0075 | 0.0080 | 0.0008 | ||
Net realized and unrealized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||
Total from investment operations | 0.0075 | 0.0080 | 0.0008 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0075) | (0.0080) | (0.0008) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0075) | (0.0080) | (0.0008) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.76% | 0.80% | 0.08% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,117,383 | $831,606 | $798,447 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.37%(d) | 0.37% | 0.38%(d) | ||
Net expenses | 0.37%(d) | 0.37% | 0.38%(d) | ||
Net investment income (loss) | 1.52%(d) | 0.80% | 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. |
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Investment Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0070 | 0.0070 | 0.0010 | 0.0000(b)(c) | 0.0000(b)(c) | 0.0000(b)(c) | |||||
Net realized and unrealized gain (loss) | 0.0002 | (0.0001) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0072 | 0.0069 | 0.0010 | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0070) | (0.0070) | (0.0010) | — | — | (0.0000)(b) | |||||
Net realized gains | — | (0.0000)(b) | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0070) | (0.0070) | (0.0010) | — | — | (0.0000)(b) | |||||
Net asset value, end of period | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.72% | 0.69% | 0.10% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 31 | $ 5,547 | $ 5,582 | $485,292 | $726,910 | $1,013,152 | |||||
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) | 0.47% | 0.46% | 0.24% | 0.19% | 0.22% | |||||
Net investment income (loss) | 1.18%(f) | 0.70% | 0.08% | 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. |
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Investor Class(a) | |||
Six Months Ended 06/30/18 (Unaudited) | For the Period 7/13/17* - 12/31/17 | ||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0083 | 0.0055 | |
Net realized and unrealized gain (loss) | 0.0001 | (0.0001) | |
Total from investment operations | 0.0084 | 0.0054 | |
Voluntary expense reimbursement from Affiliate | — | 0.0000(b) | |
Distributions to shareholders from: | |||
Net investment income | (0.0083) | (0.0055) | |
Net realized gains | — | (0.0000)(b) | |
Total distributions | (0.0083) | (0.0055) | |
Net asset value, end of period | $ 1.0000 | $ 0.9999 | |
Total return (c) | 0.84% | 0.54% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50,765 | $ 34,361 | |
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) | 1.74%(d) | 1.19%(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. |
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Premier Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Net asset value, beginning of period | $ 0.9999 | $ 1.0001 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0087 | 0.0105 | 0.0045 | 0.0012(b) | 0.0008(b) | 0.0010(b) | |||||
Net realized and unrealized gain (loss) | 0.0002 | (0.0002) | 0.0001 | 0.0000(c) | (0.0001) | 0.0000(c) | |||||
Total from investment operations | 0.0089 | 0.0103 | 0.0046 | 0.0012 | 0.0007 | 0.0010 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0087) | (0.0105) | (0.0045) | (0.0012) | (0.0007) | (0.0010) | |||||
Net realized gains | — | (0.0000)(c) | — | — | — | (0.0000)(c) | |||||
Total distributions | (0.0087) | (0.0105) | (0.0045) | (0.0012) | (0.0007) | (0.0010) | |||||
Net asset value, end of period | $ 1.0001 | $ 0.9999 | $ 1.0001 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.88% | 1.05% | 0.45% | 0.12% | 0.07% | 0.10% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $10,508,992 | $8,303,222 | $6,255,384 | $45,207,442 | $37,932,781 | $29,850,029 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(e) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.12%(e) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 1.78%(e) | 1.06% | 0.43% | 0.12% | 0.07% | 0.10% |
(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. |
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Trust Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 8/29/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0084 | 0.0099 | 0.0015 | ||
Net realized and unrealized gain (loss) | 0.0002 | (0.0001) | 0.0000(b) | ||
Total from investment operations | 0.0086 | 0.0098 | 0.0015 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0084) | (0.0099) | (0.0015) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0084) | (0.0099) | (0.0015) | ||
Net asset value, end of period | $ 1.0001 | $ 0.9999 | $ 1.0000 | ||
Total return (c) | 0.86% | 0.99% | 0.15% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $795,820 | $764,391 | $1,211,202 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.18%(d) | 0.18% | 0.19%(d) | ||
Net expenses | 0.18%(d) | 0.18% | 0.19%(d) | ||
Net investment income (loss) | 1.70%(d) | 0.97% | 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. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Liquid Reserves Fund | Premier Class Institutional Class Investment Class Administration Class Investor Class Service Class Trust Class | August 12, 2004 Not commenced October 15, 2007 August 29, 2016 July 13, 2017 Not commenced August 29, 2016 | Diversified |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $12,476,870,147 | $1,278,294 | $— | $1,278,294 |
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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 Institutional Liquid Reserves Fund | |||||||||
Administration Class | 0.37% | $1,007.60 | $1.84 | $1,023.00 | $1.86 | ||||
Investment Class | 0.47 | 1,007.20 | 2.34 | 1,022.50 | 2.36 | ||||
Investor Class | 0.20 | 1,008.40 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,008.80 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.18 | 1,008.60 | 0.90 | 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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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Money Market Portfolio |
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1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
14 |
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% of Net Assets | |||
Certificates of Deposit | 40.6% | ||
Other Notes | 22.4 | ||
Financial Company Commercial Paper | 19.4 | ||
Asset Backed Commercial Paper | 8.9 | ||
Other Repurchase Agreements | 7.8 | ||
Treasury Repurchase Agreements | 0.8 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 53.1% | ||
31 to 60 Days | 15.7 | ||
61 to 90 Days | 6.7 | ||
Over 90 Days | 24.4 | ||
Total | 99.9% | ||
Average days to maturity | 17 | ||
Weighted average life | 61 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—8.9% | ||||||||||
Alpine Sec LLC(a) | 2.340% | 07/31/2018 | 07/31/2018 | $ 150,000,000 | $ 149,719,066 | |||||
Antalis SA(a) | 1.980% | 07/05/2018 | 07/05/2018 | 192,000,000 | 191,937,153 | |||||
Atlantic Asset Securitization LLC(a) | 1.900% | 07/02/2018 | 07/02/2018 | 175,000,000 | 174,971,708 | |||||
Barclays CCP(a) | 2.360% | 08/15/2018 | 08/15/2018 | 60,000,000 | 59,835,892 | |||||
Barclays CCP,(a) | 2.400% | 07/10/2018 | 07/10/2018 | 165,000,000 | 164,903,452 | |||||
Cancara Asset Securitisation LLC(a) | 2.280% | 08/08/2018 | 08/08/2018 | 75,000,000 | 74,824,750 | |||||
Cancara Asset Securitisation LLC(a) | 2.300% | 09/11/2018 | 09/11/2018 | 50,000,000 | 49,767,516 | |||||
Collateralized Commercial Paper Co. LLC(a) | 2.360% | 08/22/2018 | 08/22/2018 | 30,000,000 | 29,903,250 | |||||
Liberty Street Funding Corp(a) | 2.360% | 09/04/2018 | 09/04/2018 | 50,000,000 | 49,794,812 | |||||
LMA Americas LLC(a) | 1.910% | 07/02/2018 | 07/02/2018 | 65,000,000 | 64,989,519 | |||||
Nieuw Amsterdam Receivables Corp.(a) | 2.030% | 07/12/2018 | 07/12/2018 | 100,000,000 | 99,925,431 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 1,110,572,549 | |||||||||
CERTIFICATES OF DEPOSIT—40.6% | ||||||||||
Bank of Montreal(a) | 2.100% | 07/27/2018 | 07/27/2018 | 75,000,000 | 75,001,675 | |||||
Bank of Montreal(a) | 2.250% | 08/24/2018 | 08/24/2018 | 55,000,000 | 55,009,665 | |||||
Bank of Montreal(a) | 2.320% | 10/01/2018 | 10/01/2018 | 150,000,000 | 150,028,692 | |||||
Bank of Montreal, 1 Month USD LIBOR + 0.28%(b) | 2.281% | 07/05/2018 | 03/04/2019 | 125,000,000 | 125,010,541 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.19%(b) | 2.292% | 07/30/2018 | 08/28/2018 | 125,000,000 | 125,035,284 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.20%(b) | 2.538% | 07/10/2018 | 04/10/2019 | 74,500,000 | 74,545,184 | |||||
BNP Paribas(a) | 2.360% | 11/01/2018 | 11/01/2018 | 85,000,000 | 85,009,234 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.19%(b) | 2.284% | 07/31/2018 | 08/31/2018 | 100,000,000 | 100,027,120 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.11%(b) | 2.465% | 07/17/2018 | 01/17/2019 | 135,000,000 | 134,999,706 | |||||
China Construction Bank(a) | 2.350% | 08/20/2018 | 08/20/2018 | 125,000,000 | 125,018,686 | |||||
China Construction Bank(a) | 2.360% | 08/24/2018 | 08/24/2018 | 80,000,000 | 80,011,974 | |||||
Credit Suisse, 3 Month USD LIBOR + 0.17%(b) | 2.532% | 07/18/2018 | 01/18/2019 | 75,000,000 | 75,011,889 | |||||
ING Bank NV, 3 Month USD LIBOR + 0.13%(b) | 2.460% | 08/16/2018 | 11/16/2018 | 125,000,000 | 125,000,000 | |||||
ING Bank NV, 3 Month USD LIBOR + 0.13%(b) | 2.461% | 07/09/2018 | 10/09/2018 | 100,000,000 | 100,000,000 | |||||
KBC Bank NV(a) | 1.920% | 07/03/2018 | 07/03/2018 | 200,000,000 | 200,000,104 | |||||
KBC Bank NV(a) | 2.140% | 08/07/2018 | 08/07/2018 | 125,000,000 | 125,011,121 | |||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.18%(b) | 2.181% | 07/03/2018 | 08/03/2018 | 75,000,000 | 75,015,113 | |||||
Mizuho Bank Ltd.(a) | 1.950% | 07/03/2018 | 07/03/2018 | 150,000,000 | 149,999,778 | |||||
Mizuho Bank Ltd.(a) | 2.340% | 07/09/2018 | 07/09/2018 | 125,000,000 | 125,012,026 | |||||
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.21%(b) | 2.295% | 07/18/2018 | 07/18/2018 | 125,000,000 | 125,017,309 | |||||
MUFG Bank Ltd.(a) | 2.300% | 07/05/2018 | 07/05/2018 | 100,000,000 | 100,005,820 | |||||
MUFG Bank Ltd.(a) | 2.300% | 09/27/2018 | 09/27/2018 | 100,000,000 | 100,008,652 | |||||
MUFG Bank Ltd.(a) | 2.320% | 07/09/2018 | 07/09/2018 | 100,000,000 | 100,009,515 | |||||
MUFG Bank Ltd.(a) | 2.400% | 08/27/2018 | 08/27/2018 | 100,000,000 | 100,044,209 | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.22%(b) | 2.250% | 07/09/2018 | 02/08/2019 | 100,000,000 | 99,992,391 | |||||
Nordea Bank AB, 3 Month USD LIBOR + 0.06%(b) | 2.397% | 09/27/2018 | 03/27/2019 | 60,000,000 | 59,995,528 | |||||
Norinchukin Bank(a) | 1.980% | 07/05/2018 | 07/05/2018 | 200,000,000 | 200,000,646 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 1.910% | 07/02/2018 | 07/02/2018 | 125,000,000 | 125,000,047 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 2.250% | 07/25/2018 | 07/25/2018 | 105,000,000 | 105,022,651 | |||||
Royal Bank of Canada, 1 Month USD LIBOR + 0.44%(b) | 2.525% | 07/17/2018 | 09/17/2018 | 100,000,000 | 100,080,110 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.17%(b) | 2.491% | 07/05/2018 | 01/04/2019 | 77,000,000 | 77,038,739 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.17%(b) | 2.525% | 07/19/2018 | 04/18/2019 | 100,000,000 | 100,015,360 | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.30%(b) | 2.403% | 07/27/2018 | 11/27/2018 | 35,000,000 | 35,018,326 | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.31%(b) | 2.394% | 07/20/2018 | 11/20/2018 | 32,000,000 | 32,017,199 | |||||
Standard Chartered Bank(a) | 2.330% | 07/20/2018 | 07/20/2018 | 35,000,000 | 35,007,033 | |||||
Standard Chartered Bank(a) | 2.330% | 07/24/2018 | 07/24/2018 | 40,000,000 | 40,009,120 | |||||
Standard Chartered Bank(a) | 2.360% | 08/13/2018 | 08/13/2018 | 95,000,000 | 95,033,095 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.21%(b) | 2.211% | 07/02/2018 | 08/02/2018 | 175,000,000 | 175,022,584 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.27%(b) | 2.295% | 07/09/2018 | 11/07/2018 | $ 150,000,000 | $ 150,007,068 | |||||
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.25%(b) | 2.296% | 07/10/2018 | 08/10/2018 | 125,000,000 | 125,019,335 | |||||
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.26%(b) | 2.306% | 07/10/2018 | 09/10/2018 | 65,000,000 | 65,006,020 | |||||
Sumitomo Mitsui Trust Bank, 3 Month USD LIBOR + 0.12%(b) | 2.428% | 07/02/2018 | 10/01/2018 | 55,000,000 | 55,010,913 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.27%(b) | 2.271% | 07/03/2018 | 12/03/2018 | 150,000,000 | 150,055,186 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.19%(b) | 2.528% | 07/10/2018 | 04/10/2019 | 84,000,000 | 84,050,950 | |||||
Swedbank AB(a) | 1.900% | 07/03/2018 | 07/03/2018 | 200,000,000 | 199,999,772 | |||||
Toronto Dominion Bank, 1 Month USD LIBOR + 0.23%(b) | 2.231% | 07/02/2018 | 12/03/2018 | 125,000,000 | 125,026,129 | |||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.17%(b) | 2.171% | 07/05/2018 | 07/05/2018 | 100,000,000 | 100,003,178 | |||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.22%(b) | 2.305% | 07/16/2018 | 11/15/2018 | 100,000,000 | 100,008,979 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 5,063,273,656 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—19.4% | ||||||||||
Australia & New Zealand Banking Group Ltd., 1 Month USD LIBOR + 0.15%(b) | 2.151% | 07/02/2018 | 07/02/2018 | 94,000,000 | 94,001,390 | |||||
BPCE(a) | 2.430% | 08/06/2018 | 08/06/2018 | 100,000,000 | 99,785,511 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.24%(b) | 2.297% | 07/16/2018 | 08/14/2018 | 50,000,000 | 50,015,227 | |||||
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0.19%(b) | 2.215% | 07/09/2018 | 09/07/2018 | 100,000,000 | 100,025,280 | |||||
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0.20%(b) | 2.273% | 07/02/2018 | 11/02/2018 | 75,000,000 | 75,004,965 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.10%(b) | 2.430% | 08/20/2018 | 05/20/2019 | 75,000,000 | 74,999,705 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.10%(b) | 2.431% | 08/16/2018 | 05/16/2019 | 87,000,000 | 86,999,650 | |||||
Credit Suisse(a) | 2.400% | 08/08/2018 | 08/08/2018 | 150,000,000 | 149,663,334 | |||||
DZ Bank AG Deutsche Zentral-Genossenschaftsbank(a) | 1.890% | 07/02/2018 | 07/02/2018 | 200,000,000 | 199,968,334 | |||||
Federation des Caisses Desjardins du Quebec(a) | 1.990% | 07/03/2018 | 07/03/2018 | 125,000,000 | 124,973,445 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.16%(b) | 2.498% | 07/10/2018 | 01/10/2019 | 149,000,000 | 149,038,129 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 2.260% | 09/07/2018 | 09/07/2018 | 50,000,000 | 49,786,111 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 2.260% | 09/10/2018 | 09/10/2018 | 50,000,000 | 49,786,111 | |||||
Toronto Dominion Bank, 1 Month USD LIBOR + 0.25%(b) | 2.334% | 07/23/2018 | 01/22/2019 | 125,000,000 | 125,000,992 | |||||
Toronto-Dominion Bank(a) | 1.960% | 07/03/2018 | 07/03/2018 | 125,000,000 | 124,973,889 | |||||
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.24%(b) | 2.328% | 07/23/2018 | 12/21/2018 | 125,000,000 | 125,026,444 | |||||
UBS AG, 1 Month USD LIBOR + 0.24%(b) | 2.265% | 07/09/2018 | 08/07/2018 | 75,000,000 | 75,020,612 | |||||
UBS AG, 1 Month USD LIBOR + 0.28%(b) | 2.371% | 07/24/2018 | 09/24/2018 | 50,000,000 | 50,022,062 | |||||
UBS AG, 1 Month USD LIBOR + 0.30%(b) | 2.313% | 07/06/2018 | 12/06/2018 | 29,000,000 | 29,006,879 | |||||
UBS AG, 1 Month USD LIBOR + 0.30%(b) | 2.330% | 07/09/2018 | 12/10/2018 | 60,000,000 | 60,009,055 | |||||
UBS AG, 3 Month USD LIBOR + 0.19%(b) | 2.517% | 09/10/2018 | 12/10/2018 | 125,000,000 | 125,043,325 | |||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.15%(b) | 2.197% | 07/13/2018 | 07/13/2018 | 75,000,000 | 75,005,754 | |||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.18%(b) | 2.227% | 07/13/2018 | 08/13/2018 | 50,000,000 | 50,011,181 | |||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.19%(b) | 2.284% | 08/01/2018 | 08/31/2018 | 75,000,000 | 75,020,457 | |||||
Westpac Banking Corp., 1 Month USD LIBOR + 0.23%(b) | 2.255% | 07/09/2018 | 01/07/2019 | 75,000,000 | 75,018,416 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.13%(b) | 2.485% | 07/18/2018 | 01/18/2019 | 125,000,000 | 125,135,865 | |||||
FINANCIAL COMPANY COMMERCIAL PAPER | 2,418,342,123 | |||||||||
OTHER NOTES—22.4% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 1.900% | 07/02/2018 | 07/02/2018 | 125,000,000 | 125,000,000 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.18%(b) | 2.181% | 07/02/2018 | 08/02/2018 | 75,000,000 | 74,998,743 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.18%(b) | 2.210% | 07/09/2018 | 08/08/2018 | 58,000,000 | 57,998,824 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.19%(b) | 2.247% | 07/10/2018 | 09/10/2018 | 50,000,000 | 49,998,101 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.24%(b) | 2.286% | 07/09/2018 | 01/07/2019 | 50,000,000 | 49,997,440 | |||||
Canadian Imperial Bank of Commerce(a) | 1.880% | 07/02/2018 | 07/02/2018 | 225,000,000 | 225,000,000 | |||||
China Construction Bank Corp.(a) | 1.920% | 07/02/2018 | 07/02/2018 | 125,000,000 | 125,000,000 | |||||
Citibank NA(a) | 1.850% | 07/02/2018 | 07/02/2018 | 75,000,000 | 75,000,000 | |||||
DnB Bank ASA(a) | 1.890% | 07/02/2018 | 07/02/2018 | 320,000,000 | 320,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Lloyds Bank PLC(a) | 1.900% | 07/02/2018 | 07/02/2018 | $ 275,000,000 | $ 275,000,000 | |||||
Mizuho Corporate Bank Ltd.(a) | 1.910% | 07/02/2018 | 07/02/2018 | 101,466,000 | 101,466,000 | |||||
National Australia Bank Ltd.(a) | 1.850% | 07/02/2018 | 07/02/2018 | 125,000,000 | 125,000,000 | |||||
National Bank of Canada(a) | 1.920% | 07/03/2018 | 07/03/2018 | 200,000,000 | 200,000,000 | |||||
National Bank of Canada(a) | 1.920% | 07/05/2018 | 07/05/2018 | 100,000,000 | 100,000,000 | |||||
Nordea Bank Finland PLC(a) | 1.900% | 07/02/2018 | 07/02/2018 | 200,000,000 | 200,000,000 | |||||
Royal Bank of Canada(a) | 1.900% | 07/02/2018 | 07/02/2018 | 100,000,000 | 100,000,000 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.900% | 07/02/2018 | 07/02/2018 | 385,000,000 | 385,000,000 | |||||
Svenska Handelsbanken AB(a) | 1.890% | 07/02/2018 | 07/02/2018 | 200,000,000 | 200,000,000 | |||||
TOTAL OTHER NOTES | 2,789,459,108 | |||||||||
TREASURY REPURCHASE AGREEMENTS—0.8% | ||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 2.875% due 11/15/2046, valued at $51,000,090); expected proceeds $50,008,583 | 2.060% | 07/02/2018 | 07/02/2018 | 50,000,000 | 50,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bills, 0.000% due 08/02/2018 – 12/20/2018, U.S. Treasury Bonds, 2.250% – 5.000% due 05/15/2037 – 05/15/2048, a U.S. Treasury Inflation Index Bond, 0.875% due 02/15/2047, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2019, and U.S. Treasury Notes, 1.000% – 2.875% due 08/31/2018 – 05/15/2027, valued at $51,000,062); expected proceeds $50,008,833 | 2.120% | 07/02/2018 | 07/02/2018 | 50,000,000 | 50,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 100,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—7.8% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by various Corporate Bonds, 1.750% – 9.500% due 09/15/2018 – 06/01/2048, valued at $52,976,294); expected proceeds $50,008,583 | 2.060% | 07/02/2018 | 07/02/2018 | 50,000,000 | 50,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 04/30/2018 (collateralized by various Equity Securities, valued at $189,707,753); expected proceeds $176,030,944(c) | 2.410% | 07/02/2018 | 07/27/2018 | 175,000,000 | 175,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by various Equity Securities, valued at $302,400,000); expected proceeds $280,048,067 | 2.060% | 07/02/2018 | 07/02/2018 | 280,000,000 | 280,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 04/20/2018 (collateralized by various Corporate Bonds, 1.750% – 11.750% due 03/30/2019 – 04/20/2055, valued at $107,012,976); expected proceeds $100,615,000(c) | 2.460% | 07/19/2018 | 07/19/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by various Corporate Bonds, 1.625% – 9.950% due 01/26/2019 – 03/15/2072, valued at $132,776,124); expected proceeds $125,051,285 | 2.110% | 07/06/2018 | 07/06/2018 | 125,000,000 | 125,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/25/2018 (collateralized by various Corporate Bonds, 1.550% – 9.000% due 06/30/2018 – 03/01/2068, valued at $162,354,737); expected proceeds $150,123,404(c) | 2.116% | 07/09/2018 | 07/09/2018 | 150,000,000 | 150,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/26/2018 (collateralized by various Corporate Bonds, 2.200% – 8.625% due 02/01/2019 – 04/24/2048, valued at $57,012,671); expected proceeds $50,039,917(c) | 2.211% | 07/09/2018 | 07/09/2018 | $ 50,000,000 | $ 50,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by various Corporate Bonds, 1.750% – 2.375% due 09/14/2022 – 07/07/2027, valued at $51,009,253); expected proceeds $50,008,375 | 2.010% | 07/02/2018 | 07/02/2018 | 50,000,000 | 50,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 980,000,000 | |||||||||
TOTAL INVESTMENTS –99.9%(d) (Cost $12,460,584,163) | 12,461,647,436 | |||||||||
Other Assets in Excess of Liabilities —0.1% | 16,287,862 | |||||||||
NET ASSETS –100.0% | $ 12,477,935,298 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $475,000,000 or 3.8% of net assets as of June 30, 2018. |
(d) | Also represents the cost for federal tax purposes. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 1,110,572,549 | $— | $ 1,110,572,549 | ||||
Certificates of Deposit | — | 5,063,273,656 | — | 5,063,273,656 | ||||
Financial Company Commercial Paper | — | 2,418,342,123 | — | 2,418,342,123 | ||||
Other Notes | — | 2,789,459,108 | — | 2,789,459,108 | ||||
Treasury Repurchase Agreements | — | 100,000,000 | — | 100,000,000 | ||||
Other Repurchase Agreements | — | 980,000,000 | — | 980,000,000 | ||||
Total Investments | $— | $12,461,647,436 | $— | $12,461,647,436 |
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ASSETS | |
Investments in unaffiliated issuers, at value | $11,381,647,436 |
Repurchase agreements, at value | 1,080,000,000 |
Total Investments | 12,461,647,436 |
Cash | 11,018 |
Interest receivable - unaffiliated issuers | 17,410,646 |
TOTAL ASSETS | 12,479,069,100 |
LIABILITIES | |
Advisory and administrator fee payable | 527,577 |
Custody, sub-administration and transfer agent fees payable | 451,247 |
Trustees’ fees and expenses payable | 47,763 |
Professional fees payable | 58,671 |
Printing fees payable | 13,707 |
Accrued expenses and other liabilities | 34,837 |
TOTAL LIABILITIES | 1,133,802 |
NET ASSETS | $12,477,935,298 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $11,380,584,163 |
Repurchase agreements | 1,080,000,000 |
Total cost of investments | $12,460,584,163 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $109,939,507 |
EXPENSES | |
Advisory and administrator fee | 2,900,311 |
Custodian, sub-administrator and transfer agent fees | 734,359 |
Trustees’ fees and expenses | 50,681 |
Professional fees and expenses | 61,643 |
Printing and postage fees | 1,742 |
Insurance expense | 36,752 |
Miscellaneous expenses | 34,227 |
TOTAL EXPENSES | 3,819,715 |
NET INVESTMENT INCOME (LOSS) | 106,119,792 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 37,954 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 1,208,862 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,246,816 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $107,366,608 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 106,119,792 | $ 108,558,844 | |
Net realized gain (loss) | 37,954 | (63,091) | |
Net change in unrealized appreciation/depreciation | 1,208,862 | (946,240) | |
Net increase (decrease) in net assets resulting from operations | 107,366,608 | 107,549,513 | |
CAPITAL TRANSACTIONS | |||
Contributions | 20,203,723,807 | 26,478,211,141 | |
Withdrawals | (17,774,961,063) | (24,916,607,332) | |
Net increase (decrease) in net assets from capital transactions | 2,428,762,744 | 1,561,603,809 | |
Net increase (decrease) in net assets during the period | 2,536,129,352 | 1,669,153,322 | |
Net assets at beginning of period | 9,941,805,946 | 8,272,652,624 | |
NET ASSETS AT END OF PERIOD | $ 12,477,935,298 | $ 9,941,805,946 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Total return (a) | 0.88% | 0.96% | 0.51% | 0.17% | 0.13% | 0.15% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,477,935 | $9,941,806 | $8,272,653 | $47,683,856 | $40,704,468 | $34,053,304 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.06% | 0.07% | 0.07% | 0.07% | 0.06% | |||||
Net investment income (loss) | 1.83%(b) | 1.11% | 0.49% | 0.17% | 0.13% | 0.15% |
(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. |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $12,460,584,163 | $1,260,183 | $196,910 | $1,063,273 |
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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 Money Market Portfolio | 0.07% | $1,008.80 | $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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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Institutional U.S. Government Money Market Fund |
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1 | |
2 | |
3 | |
5 | |
12 | |
16 |
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ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $52,391,979,467 |
Receivable for fund shares sold | 3,601,664 |
TOTAL ASSETS | 52,395,581,131 |
LIABILITIES | |
Payable for fund shares repurchased | 964,316 |
Advisory fee payable | 1,352 |
Administration fees payable | 1,938,874 |
Shareholder servicing fee payable | 462,617 |
Distribution fees payable | 109,551 |
Transfer agent fees payable | 17,800 |
Distribution payable | 14,556,220 |
Registration and filing fees payable | 1,016,000 |
Professional fees payable | 84,148 |
Printing fees payable | 36,069 |
Accrued expenses and other liabilities | 98,692 |
TOTAL LIABILITIES | 19,285,639 |
NET ASSETS | $52,376,295,492 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $52,376,090,184 |
Undistributed (distribution in excess of) net investment income (loss) | 187,312 |
Accumulated net realized gain (loss) on investments | 17,996 |
NET ASSETS | $52,376,295,492 |
Administration Class | |
Net Assets | $ 1,741,190,691 |
Shares Outstanding | 1,741,305,273 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 429,564,342 |
Shares Outstanding | 429,565,874 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 1,119,895,946 |
Shares Outstanding | 1,119,892,054 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 350,858,583 |
Shares Outstanding | 350,857,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $44,165,327,775 |
Shares Outstanding | 44,165,456,524 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 3,680,413,215 |
Shares Outstanding | 3,680,423,714 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class M | |
Net Assets | $ 889,044,940 |
Shares Outstanding | 889,043,593 |
Net asset value, offering and redemption price per share | $ 1.00 |
Table of Contents
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $417,118,251 |
Expenses allocated from affiliated Portfolio | (16,792,926) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 400,325,325 |
EXPENSES | |
Administration fees | |
Administration Class | 508,057 |
Investment Class | 105,765 |
Investor Class | 300,989 |
Institutional Class | 40,758 |
Premier Class | 10,642,582 |
Class G | 192,983 |
Class M | 156,314 |
Shareholder servicing fees | |
Administration Class | 2,032,225 |
Investment Class | 528,826 |
Investor Class | 481,583 |
Institutional Class | 24,454 |
Distribution fees | |
Administration Class | 508,056 |
Investment Class | 211,531 |
Custodian fees | 15,089 |
Trustees’ fees and expenses | 9,063 |
Transfer agent fees | 63,163 |
Registration and filing fees | 51,742 |
Professional fees and expenses | 9,841 |
Printing fees | 32,842 |
Insurance expense | 9,639 |
Miscellaneous expenses | 266,712 |
TOTAL EXPENSES | 16,192,214 |
NET INVESTMENT INCOME (LOSS) | 384,133,111 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 36,754 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $384,169,865 |
Table of Contents
Six Months Ended 6/30/18(a) (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 384,133,111 | $ 361,989,384 | |
Net realized gain (loss) | 36,754 | (18,758) | |
Net increase (decrease) in net assets resulting from operations | 384,169,865 | 361,970,626 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Administration Class | (12,523,754) | (12,907,479) | |
Investment Class | (2,448,416) | (3,054,429) | |
Investor Class | (8,533,060) | (5,308,764) | |
Institutional Class | (1,251,883) | — | |
Premier Class | (322,180,472) | (302,578,793) | |
Class G | (29,228,239) | (27,184,437) | |
Class M | (7,787,518) | (10,947,939) | |
Total distributions from net investment income | (383,953,342) | (361,981,841) | |
Net Realized Gains | |||
Administration Class | — | (3,589) | |
Investment Class | — | (681) | |
Investor Class | — | (1,932) | |
Premier Class | — | (58,826) | |
Class G | — | (9,159) | |
Class M | — | (1,833) | |
Total distributions from net realized gains | — | (76,020) | |
Total distributions to shareholders | (383,953,342) | (362,057,861) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 14,636,517,257 | 32,311,759,839 | |
Reinvestment of distributions | 3,837,544 | 3,690,492 | |
Shares redeemed | (14,808,853,267) | (33,829,431,010) | |
Net increase (decrease) from capital share transactions | (168,498,466) | (1,513,980,679) | |
Investment Class | |||
Shares sold | 1,127,420,194 | 5,435,656,349 | |
Reinvestment of distributions | 274,377 | 802,954 | |
Shares redeemed | (1,130,623,596) | (5,907,021,048) | |
Net increase (decrease) from capital share transactions | (2,929,025) | (470,561,745) | |
Investor Class | |||
Shares sold | 2,348,065,407 | 3,704,507,730 | |
Reinvestment of distributions | 3,571,625 | 2,199,468 | |
Shares redeemed | (2,476,952,261) | (2,691,656,122) | |
Net increase (decrease) from capital share transactions | (125,315,229) | 1,015,051,076 | |
Institutional Class | |||
Shares sold | 1,484,508,458 | — | |
Shares redeemed | (1,133,651,458) | — | |
Net increase (decrease) from capital share transactions | 350,857,000 | — | |
Premier Class | |||
Shares sold | 211,274,936,597 | 316,832,575,689 | |
Reinvestment of distributions | 267,272,927 | 252,324,723 | |
Shares redeemed | (206,298,554,468) | (321,466,064,188) | |
Net increase (decrease) from capital share transactions | 5,243,655,056 | (4,381,163,776) | |
Class G | |||
Shares sold | 8,664,787,669 | 15,382,750,176 | |
Reinvestment of distributions | 29,038,864 | 27,193,853 | |
Shares redeemed | (9,363,266,340) | (11,642,079,959) | |
Net increase (decrease) from capital share transactions | (669,439,807) | 3,767,864,070 | |
Class M | |||
Shares sold | 4,467,285,069 | 8,551,114,227 | |
Reinvestment of distributions | 7,742,498 | 10,949,871 | |
Shares redeemed | (4,677,363,516) | (9,146,425,726) | |
Net increase (decrease) from capital share transactions | (202,335,949) | (584,361,628) | |
Net increase (decrease) in net assets from beneficial interest transactions | 4,425,993,580 | (2,167,152,682) |
Table of Contents
Six Months Ended 6/30/18(a) (Unaudited) | Year Ended 12/31/17 | ||
Net increase (decrease) in net assets during the period | $ 4,426,210,103 | (2,167,239,917) | |
Net assets at beginning of period | 47,950,085,389 | 50,117,325,306 | |
NET ASSETS AT END OF PERIOD | $ 52,376,295,492 | $ 47,950,085,389 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 187,312 | $ 7,543 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 14,636,517,257 | 32,311,759,839 | |
Reinvestment of distributions | 3,837,544 | 3,690,492 | |
Shares redeemed | (14,808,853,267) | (33,829,431,010) | |
Net increase (decrease) from share transactions | (168,498,466) | (1,513,980,679) | |
Investment Class | |||
Shares sold | 1,127,420,194 | 5,435,656,349 | |
Reinvestment of distributions | 274,377 | 802,954 | |
Shares redeemed | (1,130,623,596) | (5,907,021,048) | |
Net increase (decrease) from share transactions | (2,929,025) | (470,561,745) | |
Investor Class | |||
Shares sold | 2,348,065,407 | 3,704,507,730 | |
Reinvestment of distributions | 3,571,625 | 2,199,468 | |
Shares redeemed | (2,476,952,261) | (2,691,656,122) | |
Net increase (decrease) from share transactions | (125,315,229) | 1,015,051,076 | |
Institutional Class | |||
Shares sold | 1,484,508,458 | — | |
Shares redeemed | (1,133,651,458) | — | |
Net increase (decrease) from share transactions | 350,857,000 | — | |
Premier Class | |||
Shares sold | 211,274,936,597 | 316,832,575,689 | |
Reinvestment of distributions | 267,272,927 | 252,324,723 | |
Shares redeemed | (206,298,554,468) | (321,466,064,188) | |
Net increase (decrease) from share transactions | 5,243,655,056 | (4,381,163,776) | |
Class G | |||
Shares sold | 8,664,787,669 | 15,382,750,176 | |
Reinvestment of distributions | 29,038,864 | 27,193,853 | |
Shares redeemed | (9,363,266,340) | (11,642,079,959) | |
Net increase (decrease) from share transactions | (669,439,807) | 3,767,864,070 | |
Class M | |||
Shares sold | 4,467,285,069 | 8,551,114,227 | |
Reinvestment of distributions | 7,742,498 | 10,949,871 | |
Shares redeemed | (4,677,363,516) | (9,146,425,726) | |
Net increase (decrease) from share transactions | (202,335,949) | (584,361,628) |
(a) | For Institutional Class shares, data is for the period January 18, 2018 (inception date) through June 30, 2018. |
Table of Contents
Administration Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 8/23/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0062 | 0.0054 | 0.0001 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0062 | 0.0054 | 0.0001 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0062) | (0.0054) | (0.0001) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0062) | (0.0054) | (0.0001) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.62% | 0.54% | 0.01% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,741,191 | $1,909,670 | $3,423,655 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.37%(d) | 0.37% | 0.37%(d) | ||
Net expenses | 0.37%(d) | 0.37% | 0.37%(d) | ||
Net investment income (loss) | 1.23%(d) | 0.50% | 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. |
Table of Contents
Investment Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0057 | 0.0044 | 0.0000(b) | 0.0000(b)(c) | (0.0000)(b)(c) | 0.0000(b)(c) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | — | — | — | |||||
Total from investment operations | 0.0057 | 0.0044 | 0.0000(b) | 0.0000(b) | (0.0000)(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0057) | (0.0044) | (0.0000)(b) | — | — | — | |||||
Net realized gains | — | (0.0000)(b) | — | — | — | — | |||||
Total distributions | (0.0057) | (0.0044) | (0.0000)(b) | — | — | — | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.57% | 0.44% | 0.00%(e) | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $429,564 | $432,488 | $903,050 | $971,551 | $615,706 | $691,469 | |||||
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) | 0.47% | 0.37% | 0.10% | 0.07% | 0.10% | |||||
Net investment income (loss) | 1.16%(f) | 0.40% | 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. |
Table of Contents
Investor Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 3/21/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0070 | 0.0071 | 0.0014 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0070 | 0.0071 | 0.0014 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0070) | (0.0071) | (0.0014) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0070) | (0.0071) | (0.0014) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.70% | 0.71% | 0.14% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,119,896 | $1,245,204 | $230,156 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.20%(d) | 0.20% | 0.20%(d) | ||
Net expenses | 0.20%(d) | 0.20% | 0.20%(d) | ||
Net investment income (loss) | 1.42%(d) | 0.83% | 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. |
Table of Contents
Institutional Class(a) | |
For the Period 01/18/18* - 06/30/18 (Unaudited) | |
Net asset value, beginning of period | $ 1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0067 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0067 |
Distributions to shareholders from: | |
Net investment income | (0.0067) |
Net asset value, end of period | $ 1.0000 |
Total return (c) | 0.67% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $350,859 |
Ratios to Average Net Assets: | |
Total expenses | 0.15%(d) |
Net expenses | 0.15%(d) |
Net investment income (loss) | 1.54%(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. |
Table of Contents
Premier Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0074 | 0.0079 | 0.0025 | 0.0000(b)(c) | (0.0000)(b)(c) | 0.0001(c) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | 0.0000(b) | — | — | |||||
Total from investment operations | 0.0074 | 0.0079 | 0.0025 | 0.0000(b) | (0.0000)(b) | 0.0001 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0074) | (0.0079) | (0.0025) | (0.0000)(b) | — | (0.0001) | |||||
Net realized gains | — | (0.0000)(b) | — | — | — | — | |||||
Total distributions | (0.0074) | (0.0079) | (0.0025) | (0.0000)(b) | — | (0.0001) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.74% | 0.79% | 0.25% | 0.00%(e) | 0.00%(e) | 0.01% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $44,165,328 | $38,921,503 | $43,302,733 | $13,516,264 | $10,962,800 | $7,189,250 | |||||
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% | 0.12% | 0.09% | 0.07% | 0.09% | |||||
Net investment income (loss) | 1.51%(f) | 0.78% | 0.27% | 0.00%(e) | 0.00%(e) | 0.01% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | 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. |
Table of Contents
Class G(a) | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0076 | 0.0082 | 0.0029 | 0.0002(b) | 0.0000(b)(c) | ||||
Net realized gain (loss) | 0.0000(c) | 0.0001 | 0.0000(c) | 0.0000(c) | 0.0000(c) | ||||
Total from investment operations | 0.0076 | 0.0083 | 0.0029 | 0.0002 | 0.0000(c) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0076) | (0.0083) | (0.0029) | (0.0002) | (0.0000)(c) | ||||
Net realized gains | — | (0.0000)(c) | — | — | — | ||||
Total distributions | (0.0076) | (0.0083) | (0.0029) | (0.0002) | (0.0000)(c) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (d) | 0.76% | 0.83% | 0.29% | 0.02% | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,680,413 | $4,349,842 | $581,991 | $732,938 | $872,335 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.08%(f) | 0.08% | 0.08% | 0.08% | 0.09%(f) | ||||
Net expenses | 0.08%(f) | 0.08% | 0.08% | 0.08% | 0.08%(f) | ||||
Net investment income (loss) | 1.51%(f) | 0.95% | 0.29% | 0.02% | 0.00%(e)(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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period 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. |
Table of Contents
Class M(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 11/30/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0075 | 0.0081 | 0.0003 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||
Total from investment operations | 0.0075 | 0.0081 | 0.0003 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0075) | (0.0081) | (0.0003) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0075) | (0.0081) | (0.0003) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.75% | 0.81% | 0.03% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $889,045 | $1,091,378 | $1,675,741 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.10%(d) | 0.10% | 0.10%(d) | ||
Net expenses | 0.10%(d) | 0.10% | 0.10%(d) | ||
Net investment income (loss) | 1.50%(d) | 0.82% | 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. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional U.S. Government Money Market Fund | Administration Class Investment Class Investor Class Institutional Class Premier Class Service Class Class G Class M | August 23, 2016 October 17, 2007 March 21, 2016 January 18, 2018 October 25, 2007 Not commenced October 5, 2014 November 29, 2016 | Diversified |
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Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional U.S. Government Money Market Fund | |||||||||
Administration Class | 0.37% | $1,006.20 | $ 1.84(a) | $1,023.00 | $1.86 | ||||
Investment Class | 0.47 | 1,005.70 | 2.34(a) | 1,022.50 | 2.36 | ||||
Investor Class | 0.20 | 1,007.00 | 1.00(a) | 1,023.80 | 1.00 | ||||
Institutional Class | 0.15 | 1,006.70 | 0.68(b) | 1,024.10 | 0.75 | ||||
Premier Class | 0.12 | 1,007.40 | 0.60(a) | 1,024.20 | 0.60 | ||||
Class G | 0.08 | 1,007.60 | 0.40(a) | 1,024.40 | 0.40 | ||||
Class M | 0.10 | 1,007.50 | 0.50(a) | 1,024.30 | 0.50 |
(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. |
(b) | Actual period is from commencement of operations on January 18, 2018. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street U.S. Government Money Market Portfolio |
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2 | |
11 | |
12 | |
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15 | |
19 |
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% of Net Assets | |||
Government Agency Debt | 33.8% | ||
Government Agency Repurchase Agreements | 25.2 | ||
Treasury Debt | 21.1 | ||
Treasury Repurchase Agreements | 16.1 | ||
Other Assets in Excess of Liabilities | 3.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 48.8% | ||
31 to 60 Days | 13.9 | ||
61 to 90 Days | 10.2 | ||
Over 90 Days | 23.3 | ||
Total | 96.2% | ||
Average days to maturity | 22 | ||
Weighted average life | 86 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—33.8% | ||||||||||
Federal Farm Credit Bank (a) | 1.760% | 07/09/2018 | 07/09/2018 | $ 20,000,000 | $ 19,993,156 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.13%(b) | 1.846% | 07/02/2018 | 08/30/2018 | 195,000,000 | 194,999,684 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.13%(b) | 1.853% | 07/01/2018 | 04/01/2019 | 290,000,000 | 289,993,446 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.17%(b) | 1.860% | 07/07/2018 | 11/07/2018 | 241,000,000 | 240,997,446 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.17%(b) | 1.881% | 07/09/2018 | 10/09/2018 | 153,200,000 | 153,197,793 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.13%(b) | 1.900% | 07/07/2018 | 06/07/2019 | 184,300,000 | 184,231,187 | |||||
Federal Farm Credit Bank, Federal Reserve Bank Prime Loan Rate - 3.080%(b) | 1.920% | 07/02/2018 | 03/12/2019 | 69,875,000 | 69,826,099 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.15%(b) | 1.946% | 01/29/2019 | 01/29/2019 | 168,100,000 | 168,098,533 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.14%(b) | 1.952% | 07/02/2018 | 07/02/2019 | 168,000,000 | 167,991,566 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.11%(b) | 1.963% | 07/15/2018 | 01/15/2019 | 100,200,000 | 100,200,000 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.12%(b) | 1.971% | 07/25/2018 | 03/25/2019 | 100,000,000 | 100,000,000 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.10%(b) | 1.985% | 07/16/2018 | 04/16/2019 | 199,000,000 | 198,994,725 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.09%(b) | 1.995% | 07/19/2018 | 06/19/2019 | 200,000,000 | 199,860,561 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.12%(b) | 2.029% | 07/02/2018 | 05/08/2019 | 77,250,000 | 77,307,727 | |||||
Federal Home Loan Bank (a) | 1.835% | 07/20/2018 | 07/20/2018 | 503,000,000 | 502,532,278 | |||||
Federal Home Loan Bank (a) | 1.848% | 07/11/2018 | 07/11/2018 | 271,500,000 | 271,374,567 | |||||
Federal Home Loan Bank (a) | 1.852% | 07/27/2018 | 07/27/2018 | 375,000,000 | 374,517,708 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.853% | 07/01/2018 | 03/01/2019 | 290,000,000 | 290,000,670 | |||||
Federal Home Loan Bank (a) | 1.854% | 07/13/2018 | 07/13/2018 | 247,750,000 | 247,609,650 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.858% | 07/01/2018 | 03/01/2019 | 328,700,000 | 328,700,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.12%(b) | 1.863% | 07/01/2018 | 08/01/2018 | 338,100,000 | 338,100,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.11%(b) | 1.873% | 07/01/2018 | 04/01/2019 | 410,000,000 | 410,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.11%(b) | 1.875% | 07/02/2018 | 05/28/2019 | 271,700,000 | 271,666,382 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.876% | 07/02/2018 | 08/02/2019 | 500,000,000 | 500,000,000 | |||||
Federal Home Loan Bank (a) | 1.879% | 08/08/2018 | 08/08/2018 | 250,000,000 | 249,517,201 | |||||
Federal Home Loan Bank (a) | 1.890% | 07/19/2018 | 07/19/2018 | 510,000,000 | 509,544,825 | |||||
Federal Home Loan Bank (a) | 1.890% | 08/10/2018 | 08/10/2018 | 350,000,000 | 349,283,375 | |||||
Federal Home Loan Bank (a) | 1.900% | 08/14/2018 | 08/14/2018 | 298,000,000 | 297,323,706 | |||||
Federal Home Loan Bank (a) | 1.900% | 08/15/2018 | 08/15/2018 | 250,000,000 | 249,419,444 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.14%(b) | 1.906% | 07/12/2018 | 10/12/2018 | 482,000,000 | 482,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.08%(b) | 1.908% | 07/01/2018 | 03/01/2019 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.09%(b) | 1.923% | 07/06/2018 | 04/05/2019 | 298,000,000 | 298,000,000 | |||||
Federal Home Loan Bank (a) | 1.928% | 09/14/2018 | 09/14/2018 | 451,500,000 | 449,710,655 | |||||
Federal Home Loan Bank (a) | 1.929% | 09/19/2018 | 09/19/2018 | 513,750,000 | 511,575,253 | |||||
Federal Home Loan Bank (a) | 1.930% | 09/21/2018 | 09/21/2018 | 116,300,000 | 115,794,967 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.15%(b) | 1.958% | 07/27/2018 | 07/27/2018 | 48,750,000 | 48,750,119 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.959% | 07/24/2018 | 01/24/2019 | 161,000,000 | 161,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.961% | 07/25/2018 | 07/25/2018 | 507,000,000 | 507,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.961% | 07/25/2018 | 01/25/2019 | 513,000,000 | 513,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.12%(b) | 1.970% | 07/17/2018 | 08/17/2018 | 335,300,000 | 335,304,612 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(b) | 1.973% | 07/26/2018 | 07/26/2019 | 99,800,000 | 99,800,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.12%(b) | 1.978% | 07/26/2018 | 10/26/2018 | 850,000,000 | 849,975,073 | |||||
Federal Home Loan Bank, 3 Month USD LIBOR - 0.33%(b) | 1.982% | 07/04/2018 | 01/04/2019 | 495,800,000 | 495,800,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.09%(b) | 1.983% | 07/15/2018 | 04/15/2019 | 500,000,000 | 500,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.12%(b) | 1.983% | 07/26/2018 | 04/26/2019 | 337,000,000 | 337,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.11%(b) | 1.993% | 07/26/2018 | 05/24/2019 | 338,000,000 | 338,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.08%(b) | 2.008% | 07/21/2018 | 09/21/2018 | 261,500,000 | 261,500,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.06%(b) | 2.024% | 07/22/2018 | 12/21/2018 | 320,500,000 | 320,500,000 | |||||
Federal Home Loan Bank, 3 Month USD LIBOR - 0.24%(b) | 2.099% | 09/26/2018 | 09/26/2018 | 363,000,000 | 363,000,000 | |||||
Federal Home Loan Mortgage Corp. (a) | 1.790% | 07/26/2018 | 07/26/2018 | 500,000,000 | 499,403,333 | |||||
Federal Home Loan Mortgage Corp. (a) | 1.820% | 08/02/2018 | 08/02/2018 | 250,000,000 | 249,608,194 | |||||
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR - 0.15%(b) | 1.880% | 07/08/2018 | 02/08/2019 | 177,000,000 | 177,000,000 | |||||
Federal Home Loan Mortgage Corp. (a) | 1.890% | 08/20/2018 | 08/20/2018 | 559,000,000 | 557,561,973 | |||||
Federal Home Loan Mortgage Corp. (a) | 1.895% | 08/10/2018 | 08/10/2018 | 363,000,000 | 362,254,791 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Mortgage Corp. (a) | 1.915% | 09/19/2018 | 09/19/2018 | $ 386,000,000 | $ 384,377,889 | |||||
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR - 0.14%(b) | 1.948% | 07/21/2018 | 11/21/2018 | 348,000,000 | 348,000,000 | |||||
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR - 0.23%(b) | 2.123% | 07/17/2018 | 07/17/2018 | 100,000,000 | 99,999,408 | |||||
Federal National Mortgage Assoc. (a) | 1.760% | 07/02/2018 | 07/02/2018 | 175,000,000 | 175,000,000 | |||||
Federal National Mortgage Assoc. (a) | 1.895% | 09/26/2018 | 09/26/2018 | 324,700,000 | 323,230,101 | |||||
Federal National Mortgage Assoc. (a) | 1.900% | 09/19/2018 | 09/19/2018 | 169,267,000 | 168,561,251 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 17,937,989,348 | |||||||||
TREASURY DEBT—21.1% | ||||||||||
U.S. Treasury Bill (a) | 1.738% | 07/05/2018 | 07/05/2018 | 717,735,000 | 717,631,526 | |||||
U.S. Treasury Bill (a) | 1.760% | 07/19/2018 | 07/19/2018 | 557,000,000 | 556,537,071 | |||||
U.S. Treasury Bill (a) | 1.785% | 08/16/2018 | 08/16/2018 | 1,550,000,000 | 1,546,455,528 | |||||
U.S. Treasury Bill (a) | 1.825% | 07/26/2018 | 07/26/2018 | 490,000,000 | 489,402,770 | |||||
U.S. Treasury Bill (a) | 1.830% | 08/30/2018 | 08/30/2018 | 749,000,000 | 746,753,624 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/02/2018 | 08/02/2018 | 400,000,000 | 399,367,944 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/23/2018 | 08/23/2018 | 1,168,000,000 | 1,164,881,206 | |||||
U.S. Treasury Bill (a) | 1.900% | 09/27/2018 | 09/27/2018 | 400,000,000 | 398,163,333 | |||||
U.S. Treasury Bill (a) | 1.920% | 09/06/2018 | 09/06/2018 | 900,000,000 | 896,841,387 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/06/2018 | 12/06/2018 | 500,000,000 | 495,483,175 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/13/2018 | 12/13/2018 | 500,000,000 | 495,273,611 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.909% | 07/02/2018 | 01/31/2020 | 460,000,000 | 459,919,112 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.942% | 07/02/2018 | 04/30/2020 | 1,182,122,000 | 1,182,097,337 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 1.969% | 07/02/2018 | 07/31/2019 | 475,000,000 | 475,474,649 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.07%(b) | 1.979% | 07/02/2018 | 04/30/2019 | 300,576,200 | 300,659,785 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.049% | 07/02/2018 | 01/31/2019 | 170,000,000 | 170,116,553 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.083% | 07/02/2018 | 07/31/2018 | 678,566,000 | 678,609,706 | |||||
TOTAL TREASURY DEBT | 11,173,668,317 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—25.2% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal National Mortgage Association, 2.257% due 12/25/2044, and Government National Mortgage Associations, 2.500% – 2.733% due 09/20/2046 – 11/20/2066, valued at $124,200,000); expected proceeds $115,020,317 | 2.120% | 07/02/2018 | 07/02/2018 | 115,000,000 | 115,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a Federal National Mortgage Association, 3.000% due 10/01/2042, a Government National Mortgage Association, 6.500% due 05/15/2040, and a U.S. Treasury Note, 3.625% due 02/15/2020, valued at $15,302,691); expected proceeds $15,002,638 | 2.110% | 07/02/2018 | 07/02/2018 | 15,000,000 | 15,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% – 4.500% due 08/01/2026 – 05/01/2048, Federal National Mortgage Associations, 2.500% – 5.500% due 12/01/2023 – 06/01/2048, and Government National Mortgage Associations, 2.000% – 6.500% due 05/15/2040 – 05/20/2048, valued at $1,239,518,943); expected proceeds $1,215,214,650 | 2.120% | 07/02/2018 | 07/02/2018 | 1,215,000,000 | 1,215,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Farm Credit Banks, 3.000% – 3.430% due 09/13/2029 – 10/26/2037, Federal Home Loan Banks, 3.590% – 4.200% due 06/01/2033 – 03/16/2037, Federal Home Loan Mortgage Corporations, 0.000% – 4.125% due 06/28/2022 – 10/11/2033, Federal National Mortgage Associations, 0.000% – 6.250% due 05/15/2022 – 11/15/2030, U.S. Treasury Notes, 1.375% – 1.625% due 01/31/2021 – 04/30/2023, and U.S. Treasury Strips, 0.000% due 11/15/2024 – 05/15/2047, valued at $153,000,000); expected proceeds $150,026,375 | 2.110% | 07/02/2018 | 07/02/2018 | $ 150,000,000 | $ 150,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 7.000% due 06/25/2021 – 07/25/2046, Federal National Mortgage Associations, 2.000% – 7.000% due 08/25/2023 – 02/01/2057, and Government National Mortgage Associations, 1.352% – 4.152% due 02/16/2041 – 04/20/2048, valued at $409,277,846); expected proceeds $400,070,667 | 2.120% | 07/02/2018 | 07/02/2018 | 400,000,000 | 400,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a Federal Farm Credit Bank, 1.210% due 11/12/2020, a Federal Home Loan Bank, 2.300% due 01/26/2021, Federal Home Loan Mortgage Corporations, 2.375% – 2.750% due 02/16/2021 – 06/19/2023, and a Federal National Mortgage Association, 6.625% due 11/15/2030, valued at $428,400,832); expected proceeds $420,162,517 | 1.990% | 07/06/2018 | 07/06/2018 | 420,000,000 | 420,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 3.500% due 09/15/2027 – 12/15/2046, Federal National Mortgage Associations, 3.500% – 4.500% due 03/01/2039 – 02/01/2047, Government National Mortgage Associations, 3.000% – 4.000% due 01/20/2040 – 06/15/2059, U.S. Treasury Bonds, 3.000% – 3.125% due 02/15/2042 – 05/15/2042, U.S. Treasury Notes, 1.125% – 2.000% due 09/30/2019 – 05/31/2023, and a U.S. Treasury Strip, 0.000% due 02/15/2042, valued at $831,300,000); expected proceeds $815,316,944 | 2.000% | 07/06/2018 | 07/06/2018 | 815,000,000 | 815,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by, Federal Home Loan Mortgage Corporations, 0.000% – 11.000% due 04/01/2020 – 04/01/2048, Federal National Mortgage Associations, 0.000% – 8.000% due 01/01/2019 – 02/01/2057, Government National Mortgage Associations, 0.000% – 11.000% due 08/15/2018 – 07/15/2059, U.S. Treasury Bills, 0.000% due 10/04/2018 – 04/25/2019, U.S. Treasury Inflation Index Notes, 0.125% – 0.250% due 04/15/2019 – 01/15/2025, U.S. Treasury Notes, 1.000% – 2.125% due 02/28/2019 – 02/15/2026, and U.S. Treasury Strips, 0.000% due 08/15/2020 – 08/15/2022, valued at $664,153,941); expected proceeds $651,115,010 | 2.120% | 07/02/2018 | 07/02/2018 | 651,000,000 | 651,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/25/2018 (collateralized by a Federal Farm Credit Bank, 3.390% due 11/29/2032, Federal Home Loan Banks, 1.125% – 3.470% due 03/30/2020 – 06/16/2036, Federal Home Loan Mortgage Corporations, 1.125% – 6.750% due 03/27/2019 – 03/15/2031, Federal National Mortgage Associations, 0.875% – 7.125% due 06/20/2019 – 01/15/2030, a U.S. Treasury Bill, 0.000% due 07/19/2018, U.S. Treasury Notes, 1.500% – 2.750% due 12/31/2018 – 05/31/2023, and a Tennessee Valley Authority, 3.500% due 12/15/2042, valued at $306,000,001); expected proceeds $300,112,000 | 1.920% | 07/02/2018 | 07/02/2018 | $ 300,000,000 | $ 300,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/25/2018 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 8.000% due 11/25/2026 – 09/25/2027, Federal National Mortgage Associations, 2.000% – 8.500% due 06/01/2028 – 12/25/2052, and Government National Mortgage Associations, 2.000% – 6.000% due 07/15/2020 – 04/16/2058, valued at $255,000,000); expected proceeds $250,093,333 | 1.920% | 07/02/2018 | 07/02/2018 | 250,000,000 | 250,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/26/2018 (collateralized by Federal Home Loan Mortgage Corporations, 2.811% – 6.500% due 07/01/2023 – 03/15/2048, Federal National Mortgage Associations, 2.000% – 4.000% due 01/25/2028 – 02/25/2048, and Government National Mortgage Associations, 2.250% – 5.500% due 11/16/2033 – 03/16/2050, valued at $652,800,000); expected proceeds $640,236,444 | 1.900% | 07/03/2018 | 07/03/2018 | 640,000,000 | 640,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/27/2018 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 6.000% due 06/01/2024 – 11/01/2047, Federal National Mortgage Associations, 2.500% – 6.500% due 04/01/2026 – 06/01/2048, and a Government National Mortgage Association, 2.000% - 6.000% due 06/20/2036 – 12/16/2056, valued at $510,000,000); expected proceeds $500,212,222 | 1.910% | 07/05/2018 | 07/05/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/28/2018 (collateralized by Federal Farm Credit Banks, 1.400% – 2.670% due 04/13/2020 – 02/28/2025, a Federal Home Loan Discount Note, 0.000% due 08/24/2018, a Federal Home Loan Bank, 3.000% due 09/10/2021, Federal National Mortgage Associations, 1.625% – 2.750% due 01/21/2020 – 06/22/2021, a U.S. Treasury Bill, 0.000% due 07/19/2018, and U.S. Treasury Notes, 1.500% – 2.750% due 02/29/2020 – 08/15/2026, valued at $255,000,001); expected proceeds $250,093,333 | 1.920% | 07/05/2018 | 07/05/2018 | 250,000,000 | 250,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/28/2018 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.500% due 04/01/2033 – 03/01/2041, Federal National Mortgage Associations, 3.000% – 3.500% due 07/01/2033 – 06/01/2048, and Government National Mortgage Associations, 2.300% – 2.600% due 02/16/2053 – 04/16/2059, valued at $204,000,000); expected proceeds $200,074,667 | 1.920% | 07/05/2018 | 07/05/2018 | 200,000,000 | 200,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 1.250% – 6.000% due 09/15/2019 – 08/01/2047, Federal National Mortgage Associations, 2.125% – 6.000% due 01/25/2023 – 06/01/2048, and Government National Mortgage Associations, 2.450% – 3.458% due 04/20/2031 – 01/16/2059, valued at $750,720,000); expected proceeds $736,126,960 | 2.070% | 07/02/2018 | 07/02/2018 | $ 736,000,000 | $ 736,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Banks, 1.375% – 3.315% due 09/13/2019 – 11/13/2035, and a Federal Home Loan Mortgage Corporation, 1.625% due 09/29/2020, valued at $192,781,723); expected proceeds $189,033,233 | 2.110% | 07/02/2018 | 07/02/2018 | 189,000,000 | 189,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by Federal National Mortgage Associations, 3.000% – 6.000% due 09/01/2018 – 06/01/2057, valued at $1,637,111,733); expected proceeds $1,605,283,550 | 2.120% | 07/02/2018 | 07/02/2018 | 1,605,000,000 | 1,605,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/15/2018 (collateralized by various Corporate Bonds, 2.250% – 2.500% due 02/20/2044 – 06/20/2047, Government National Mortgage Associations, 2.335% – 3.000% due 09/20/2043 – 07/20/2047, U.S. Treasury Bonds, 2.500% – 2.750% due 11/15/2023 – 05/15/2024, and U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 01/15/2022 – 01/15/2029, valued at $204,448,355); expected proceeds $201,381,944 (c) | 1.990% | 07/02/2018 | 09/17/2018 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/15/2018 (collateralized by various Corporate Bonds, 2.250% – 2.500% due 02/20/2044 – 06/20/2047, Government National Mortgage Associations, 2.484% – 3.000% due 09/20/2043 – 07/20/2047, and U.S. Treasury Inflation Index Bonds, 0.125% – 0.625% due 01/15/2022 – 02/15/2043, valued at $308,431,690); expected proceeds $302,106,083 (c) | 1.990% | 07/02/2018 | 09/19/2018 | 300,000,000 | 300,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/21/2018 (collateralized by various Corporate Bonds, 2.434% – 3.000% due 11/20/2045 – 06/20/2047, Government National Mortgage Associations, 0.000% – 4.000% due 06/01/2040 – 08/20/2047, U.S. Treasury Bonds, 2.125% – 8.000% due 08/15/2021 – 11/15/2021, and U.S. Treasury Inflation Index Bonds, 0.125% – 2.500% due 01/15/2022 – 02/15/2043, valued at $513,327,735); expected proceeds $502,432,222 (c) | 1.990% | 07/02/2018 | 08/17/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 1.250% – 4.500% due 02/26/2021 – 12/01/2047, Federal National Mortgage Associations, 2.125% – 4.500% due 11/01/2026 – 06/01/2048, a Government National Mortgage Association, 3.000% due 02/20/2046, and U.S. Treasury Notes, 2.125% – 2.250% due 02/29/2024 – 10/31/2024, valued at $408,000,071); expected proceeds $400,062,667 | 1.880% | 07/02/2018 | 07/02/2018 | 400,000,000 | 400,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.500% due 02/01/2026 – 06/01/2048, Federal National Mortgage Associations, 2.346% – 7.000% due 09/01/2019 – 01/01/2057, and Government National Mortgage Associations, 3.000% - 5.500% due 08/20/2042 – 05/20/2048, valued at $867,000,000); expected proceeds $850,150,167 | 2.120% | 07/02/2018 | 07/02/2018 | 850,000,000 | 850,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Farm Credit Banks, 0.000% – 2.870% due 09/25/2019 – 09/01/2026, a Federal Home Loan Mortgage Corporation, 3.500% due 07/01/2046, and a Tennessee Valley Authority, 5.880% due 04/01/2036, valued at $178,500,922); expected proceeds $175,030,917 | 2.120% | 07/02/2018 | 07/02/2018 | $ 175,000,000 | $ 175,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Treasury Bills, 0.000% due 08/02/2018 – 05/23/2019, U.S. Treasury Bonds, 2.750% – 8.125% due 08/15/2019 – 02/15/2048, U.S. Treasury Inflation Index Bonds, 0.750% – 3.875% due 01/15/2028 – 02/15/2044, U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 07/15/2020 – 07/15/2025, and U.S. Treasury Notes, 0.625% – 4.000% due 06/30/2018 – 05/15/2028, valued at $509,114,592); expected proceeds $500,087,500 | 2.100% | 07/02/2018 | 07/02/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by Federal Agricultural Mortgage Corporations, 1.460% – 2.835% due 05/01/2019 – 01/28/2022, a Federal Farm Credit Bank, 2.350% due 02/12/2021, a Federal Home Loan Bank, 3.250% due 06/09/2023, Federal Home Loan Mortgage Corporations, 0.000% – 5.500% due 05/30/2019 – 01/01/2048, Federal National Mortgage Associations, 0.000% – 6.000% due 06/01/2026 – 07/01/2048, Government National Mortgage Associations, 3.500% – 5.000% due 10/20/2045 – 06/20/2048, a Corporate Bond, 0.000% due 10/03/2022, a Resolution Funding Strip, 0.000% due 10/15/2019, and a Tennessee Valley Authority, 5.250% due 09/15/2039, valued at $2,042,239,776); expected proceeds $2,000,353,333 | 2.120% | 07/02/2018 | 07/02/2018 | 2,000,000,000 | 2,000,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 13,376,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—16.1% | ||||||||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 3.000% due 11/15/2044, a U.S. Treasury Inflation Index Note, 1.375% due 07/15/2018, and U.S. Treasury Notes, 1.125% – 1.750% due 08/31/2021 – 02/28/2022, valued at $555,900,071); expected proceeds $545,095,375 | 2.100% | 07/02/2018 | 07/02/2018 | 545,000,000 | 545,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 07/15/2024 – 01/15/2027, valued at $331,500,033); expected proceeds $325,054,167 | 2.000% | 07/02/2018 | 07/02/2018 | 325,000,000 | 325,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/27/2018 (collateralized by U.S. Treasury Bonds, 3.625% – 8.750% due 08/15/2020 – 02/15/2044, and U.S. Treasury Notes, 2.125% – 2.250% due 12/31/2022 – 08/15/2027, valued at $74,460,023); expected proceeds $73,031,147 | 1.920% | 07/05/2018 | 07/05/2018 | 73,000,000 | 73,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.500% – 2.750% due 04/30/2020 – 05/15/2025, and a U.S. Treasury Strip, 0.000% due 05/15/2044, valued at $153,000,039); expected proceeds $150,057,750 | 1.980% | 07/06/2018 | 07/06/2018 | 150,000,000 | 150,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.000% due 08/31/2021, valued at $76,500,088); expected proceeds $75,012,188 | 1.950% | 07/02/2018 | 07/02/2018 | $ 75,000,000 | $ 75,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.750% due 02/15/2028, valued at $153,000,010); expected proceeds $150,025,000 | 2.000% | 07/02/2018 | 07/02/2018 | 150,000,000 | 150,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.500% – 2.500% due 10/31/2019 – 05/15/2024, valued at $170,340,090); expected proceeds $167,029,364 | 2.110% | 07/02/2018 | 07/02/2018 | 167,000,000 | 167,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 2.000% – 2.500% due 05/15/2024 – 05/31/2024, valued at $173,400,045); expected proceeds $170,030,033 | 2.120% | 07/02/2018 | 07/02/2018 | 170,000,000 | 170,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 3.000% – 7.625% due 11/15/2022 – 05/15/2047, valued at $917,133,745); expected proceeds $917,133,729 | 1.750% | 07/02/2018 | 07/02/2018 | 917,000,000 | 917,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2018 – 05/15/2028, valued at $358,020,021); expected proceeds $351,052,650 | 1.800% | 07/02/2018 | 07/02/2018 | 351,000,000 | 351,000,000 | |||||
Agreement with MUFG Securities, dated 06/26/2018 (collateralized by a U.S. Treasury Note, 2.625% due 11/15/2020, valued at $280,438,457); expected proceeds $275,103,736 | 1.940% | 07/03/2018 | 07/03/2018 | 275,000,000 | 275,000,000 | |||||
Agreement with MUFG Securities, dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 3.125% due 05/15/2048, and U.S. Treasury Notes, 1.125% - 3.500% due 09/30/2018 – 02/15/2028, valued at $357,050,634); expected proceeds $350,060,667 | 2.080% | 07/02/2018 | 07/02/2018 | 350,000,000 | 350,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 05/11/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 12/27/2018, a U.S. Treasury Bond, 3.125% due 05/15/2048, a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, and U.S. Treasury Notes, 1.125% – 3.625% due 02/15/2020 – 03/31/2025, valued at $239,700,077); expected proceeds $235,672,622 | 1.840% | 07/06/2018 | 07/06/2018 | 235,000,000 | 235,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/01/2018 (collateralized by U.S. Treasury Bonds, 2.500% – 3.625% due 02/15/2044 – 05/15/2048, and U.S. Treasury Inflation Index Notes, 0.375% – 0.625% due 04/15/2023 – 07/15/2027, and U.S. Treasury Notes, 1.125% – 3.625% due 02/15/2020 – 05/15/2026, valued at $612,000,051); expected proceeds $601,079,167 | 1.850% | 07/06/2018 | 07/06/2018 | 600,000,000 | 600,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a Government National Mortgage Association, 3.500% due 11/20/2047, and a U.S. Treasury Bill, 0.000% due 12/27/2018, valued at $204,000,087); expected proceeds $200,035,167 | 2.110% | 07/02/2018 | 07/02/2018 | 200,000,000 | 200,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 06/20/2019, U.S. Treasury Bonds, 2.750% – 4.500% due 08/15/2039 – 02/15/2048, U.S. Treasury Inflation Index Bonds, 2.000% – 3.875% due 01/15/2025 – 02/15/2041, a U.S. Treasury Inflation Index Note, 1.125% due 01/15/2021, and U.S. Treasury Notes, 1.750% – 2.125% due 12/31/2021 – 12/31/2022, valued at $816,000,094); expected proceeds $800,140,000 | 2.100% | 07/02/2018 | 07/02/2018 | $ 800,000,000 | $ 800,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bills, 0.000% due 07/19/2018 – 12/27/2018, U.S. Treasury Bonds, 2.875% – 3.000% due 11/15/2044 – 02/15/2048, U .S. Treasury Inflation Index Notes, 0.375% – 1.875% due 07/15/2019 – 01/15/2028, and U.S. Treasury Notes, 0.750% – 2.750% due 07/31/2019 – 05/15/2026, valued at $510,000,058); expected proceeds $500,087,500 | 2.100% | 07/02/2018 | 07/02/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/27/2018 (collateralized by U.S. Treasury Notes, 1.125% – 2.250% due 12/31/2019 – 03/31/2020, valued at $255,000,019); expected proceeds $250,107,778 | 1.940% | 07/05/2018 | 07/05/2018 | 250,000,000 | 250,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a Federal Home Loan Bank, 1.750% due 12/14/2018, Federal Home Loan Mortgage Corporations, 1.400% – 6.250% due 01/01/2020 – 11/01/2047, Federal National Mortgage Associations, 2.057% – 4.500% due 11/01/2028 – 01/01/2048, Government National Mortgage Associations, 2.048% – 8.500% due 08/16/2022 – 05/15/2059, a U.S. Treasury Bill, 0.000% due 01/31/2019, U.S. Treasury Notes, 1.000% – 2.625% due 10/31/2018 – 09/30/2023, and Resolution Funding Strips, 0.000% due 01/15/2026 – 01/15/2028, valued at $1,249,317,898); expected proceeds $1,218,464,224 | 2.120% | 07/02/2018 | 07/02/2018 | 1,218,249,000 | 1,218,249,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 3.000% – 4.375% due 11/15/2039 – 05/15/2047, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2022 – 07/15/2022, and U.S. Treasury Notes, 1.125% – 3.125% due 08/31/2018 – 11/15/2026, valued at $765,000,068); expected proceeds $750,132,500 | 2.120% | 07/02/2018 | 07/02/2018 | 750,000,000 | 750,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 0.750% – 1.625% due 10/31/2018 – 04/30/2019, valued at $102,017,916); expected proceeds $100,017,500 | 2.100% | 07/02/2018 | 07/02/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 08/16/2018, and U.S. Treasury Notes, 0.875% – 3.750% due 10/15/2018 – 10/31/2023, valued at $338,640,015); expected proceeds $332,052,567 | 1.900% | 07/02/2018 | 07/02/2018 | 332,000,000 | 332,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 8,533,249,000 | |||||||||
TOTAL INVESTMENTS –96.2% (d)(e) | 51,020,906,665 | |||||||||
Other Assets in Excess of Liabilities —3.8% | 1,998,649,034 | |||||||||
NET ASSETS –100.0% | $ 53,019,555,699 |
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(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $1,000,000,000 or 1.9% of net assets as of June 30, 2018. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
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ASSETS | |
Investments in unaffiliated issuers, at value and cost | $29,111,657,665 |
Repurchase agreements, at value and amortized cost | 21,909,249,000 |
Total Investments | 51,020,906,665 |
Cash | 2,159,907,621 |
Interest receivable - unaffiliated issuers | 28,183,576 |
Other Receivable | 18,249 |
TOTAL ASSETS | 53,209,016,111 |
LIABILITIES | |
Payable for investments purchased | 185,721,543 |
Advisory and administrator fee payable | 2,186,277 |
Custody, sub-administration and transfer agent fees payable | 1,463,032 |
Trustees’ fees and expenses payable | 2,649 |
Professional fees payable | 58,355 |
Printing fees payable | 1,644 |
Accrued expenses and other liabilities | 26,912 |
TOTAL LIABILITIES | 189,460,412 |
NET ASSETS | $53,019,555,699 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $422,481,895 |
EXPENSES | |
Advisory and administrator fee | 12,987,712 |
Custodian, sub-administrator and transfer agent fees | 3,291,086 |
Trustees’ fees and expenses | 443,333 |
Professional fees and expenses | 62,572 |
Printing and postage fees | 16,987 |
Insurance expense | 176,150 |
Miscellaneous expenses | 33,626 |
TOTAL EXPENSES | 17,011,466 |
NET INVESTMENT INCOME (LOSS) | 405,470,429 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 37,263 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $405,507,692 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 405,470,429 | $ 402,421,179 | |
Net realized gain (loss) | 37,263 | (18,966) | |
Net increase (decrease) in net assets resulting from operations | 405,507,692 | 402,402,213 | |
CAPITAL TRANSACTIONS | |||
Contributions | 79,290,719,400 | 104,516,771,308 | |
Withdrawals | (75,341,688,634) | (107,179,383,705) | |
Net increase (decrease) in net assets from capital transactions | 3,949,030,766 | (2,662,612,397) | |
Net increase (decrease) in net assets during the period | 4,354,538,458 | (2,260,210,184) | |
Net assets at beginning of period | 48,665,017,241 | 50,925,227,425 | |
NET ASSETS AT END OF PERIOD | $ 53,019,555,699 | $ 48,665,017,241 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Total return (a) | 0.70% | 0.74% | 0.31% | 0.03% | 0.01% | 0.03% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $53,019,556 | $48,665,017 | $50,925,227 | $16,023,491 | $13,207,868 | $8,712,920 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 1.56%(b) | 0.85% | 0.32% | 0.03% | 0.01% | 0.03% |
(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. |
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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 U.S. Government Money Market Portfolio | 0.07% | $1,007.00 | $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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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Institutional Treasury Money Market Fund |
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1 | |
2 | |
3 | |
4 | |
7 | |
10 |
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ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $11,348,830,318 |
Other Receivable | 10 |
TOTAL ASSETS | 11,348,830,328 |
LIABILITIES | |
Payable for fund shares repurchased | 254,194 |
Advisory fee payable | 9,088 |
Administration fees payable | 438,552 |
Shareholder servicing fee payable | 80,704 |
Distribution fees payable | 27,024 |
Transfer agent fees payable | 8,776 |
Distribution payable | 1,670,178 |
Registration and filing fees payable | 21,357 |
Professional fees payable | 16,884 |
Printing fees payable | 19,875 |
Accrued expenses and other liabilities | 14,246 |
TOTAL LIABILITIES | 2,560,878 |
NET ASSETS | $11,346,269,450 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $11,346,111,035 |
Undistributed (distribution in excess of) net investment income (loss) | 95,484 |
Accumulated net realized gain (loss) on investments | 62,931 |
NET ASSETS | $11,346,269,450 |
Investment Class | |
Net Assets | $ 311,148,640 |
Shares Outstanding | 311,137,596 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 233,099,856 |
Shares Outstanding | 233,099,108 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $10,802,020,954 |
Shares Outstanding | 10,801,975,094 |
Net asset value, offering and redemption price per share | $ 1.00 |
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INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $90,488,489 |
Expenses allocated from affiliated Portfolio | (3,813,239) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 86,675,250 |
EXPENSES | |
Administration fees | 2,845,648 |
Shareholder servicing fees | |
Investment Class | 434,348 |
Investor Class | 45,356 |
Distribution fees | |
Investment Class | 173,739 |
Custodian fees | 11,908 |
Trustees’ fees and expenses | 9,004 |
Transfer agent fees | 26,904 |
Registration and filing fees | 44,246 |
Professional fees | 16,413 |
Printing fees | 8,740 |
Insurance expense | 2,880 |
Miscellaneous expenses | 88,369 |
TOTAL EXPENSES | 3,707,555 |
NET INVESTMENT INCOME (LOSS) | 82,967,695 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (50,642) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $82,917,053 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 82,967,695 | $ 98,021,887 | |
Net realized gain (loss) | (50,642) | 113,573 | |
Net increase (decrease) in net assets resulting from operations | 82,917,053 | 98,135,460 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Investment Class | (1,943,580) | (1,906,983) | |
Investor Class | (858,276) | (158,207) | |
Premier Class | (80,111,622) | (95,956,697) | |
Total distributions from net investment income | (82,913,478) | (98,021,887) | |
Net Realized Gains | |||
Investment Class | — | (8,436) | |
Investor Class | — | (757) | |
Premier Class | — | (282,657) | |
Total distributions from net realized gains | — | (291,850) | |
Total distributions to shareholders | (82,913,478) | (98,313,737) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Investment Class | |||
Shares sold | 565,869,442 | 1,087,056,456 | |
Shares redeemed | (621,086,954) | (1,330,233,190) | |
Net increase (decrease) from capital share transactions | (55,217,512) | (243,176,734) | |
Investor Class | |||
Shares sold | 1,439,688,130 | 158,772,681 | |
Reinvestment of distributions | 847,929 | 142,846 | |
Shares redeemed | (1,237,020,156) | (156,733,971) | |
Net increase (decrease) from capital share transactions | 203,515,903 | 2,181,556 | |
Premier Class | |||
Shares sold | 12,839,236,399 | 23,600,866,008 | |
Reinvestment of distributions | 76,075,999 | 93,464,178 | |
Shares redeemed | (14,236,918,650) | (24,222,314,554) | |
Net increase (decrease) from capital share transactions | (1,321,606,252) | (527,984,368) | |
Net increase (decrease) in net assets from beneficial interest transactions | (1,173,307,861) | (768,979,546) | |
Net increase (decrease) in net assets during the period | (1,173,304,286) | (769,157,823) | |
Net assets at beginning of period | 12,519,573,736 | 13,288,731,559 | |
NET ASSETS AT END OF PERIOD | $ 11,346,269,450 | $ 12,519,573,736 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 95,484 | $ 41,267 | |
SHARES OF BENEFICIAL INTEREST: | |||
Investment Class | |||
Shares sold | 565,869,442 | 1,087,056,456 | |
Shares redeemed | (621,086,954) | (1,330,233,190) | |
Net increase (decrease) from share transactions | (55,217,512) | (243,176,734) | |
Investor Class | |||
Shares sold | 1,439,688,130 | 158,772,681 | |
Reinvestment of distributions | 847,929 | 142,846 | |
Shares redeemed | (1,237,020,156) | (156,733,971) | |
Net increase (decrease) from share transactions | 203,515,903 | 2,181,556 | |
Premier Class | |||
Shares sold | 12,839,236,399 | 23,600,866,009 | |
Reinvestment of distributions | 76,075,999 | 93,464,178 | |
Shares redeemed | (14,236,918,650) | (24,222,314,554) | |
Net increase (decrease) from share transactions | (1,321,606,252) | (527,984,367) |
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Investment Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0056 | 0.0041 | 0.0000(b) | 0.0000(b)(c) | (0.0010)(c) | 0.0000(b)(c) | |||||
Net realized gain (loss) | (0.0000)(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0010 | 0.0000(b) | |||||
Total from investment operations | 0.0056 | 0.0041 | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0056) | (0.0041) | (0.0000)(b) | — | — | (0.0000)(b) | |||||
Net realized gains | — | (0.0000)(b) | — | — | (0.0000)(b) | (0.0000)(b) | |||||
Total distributions | (0.0056) | (0.0041) | (0.0000)(b) | — | (0.0000)(b) | (0.0000)(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.56% | 0.41% | 0.00%(e) | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $311,149 | $366,364 | $609,545 | $724,683 | $741,248 | $1,407,207 | |||||
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) | 0.47% | 0.31% | 0.04% | 0.05% | 0.07% | |||||
Net investment income (loss) | 1.12%(f) | 0.38% | 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. |
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Investor Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 12/22/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0069 | 0.0068 | 0.0001 | ||
Net realized gain (loss) | (0.0000)(b) | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0069 | 0.0068 | 0.0001 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0069) | (0.0068) | (0.0001) | ||
Net realized gains | — | (0.0000) | — | ||
Total distributions | (0.0069) | (0.0068) | (0.0001) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.69% | 0.68% | 0.00%(d) | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $233,100 | $ 29,583 | $ 27,402 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.20%(e) | 0.20% | 0.18%(e) | ||
Net investment income (loss) | 1.52%(e) | 0.71% | 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. |
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Premier Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0073 | 0.0076 | 0.0019 | 0.0000(b)(c) | —(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) | |||||
Total from investment operations | 0.0073 | 0.0076 | 0.0019 | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0073) | (0.0076) | (0.0019) | (0.0000)(b) | — | (0.0000)(b) | |||||
Net realized gains | — | (0.0000)(b) | — | — | (0.0000)(b) | (0.0000)(b) | |||||
Total distributions | (0.0073) | (0.0076) | (0.0019) | (0.0000)(b) | (0.0000)(b) | (0.0000)(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.73% | 0.76% | 0.19% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $10,802,021 | $12,123,627 | $12,651,785 | $10,412,966 | $8,338,818 | $11,949,583 | |||||
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% | 0.12% | 0.04% | 0.04% | 0.07% | |||||
Net investment income (loss) | 1.47%(f) | 0.76% | 0.19% | 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. |
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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 |
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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 Institutional Treasury Money Market Fund | |||||||||
Investment Class | 0.47% | $1,005.60 | $2.34 | $1,022.50 | $2.36 | ||||
Investor Class | 0.20 | 1,006.90 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,007.30 | 0.60 | 1,024.20 | 0.60 |
(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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• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, 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 Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | 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. |
• | 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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• | 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; |
• | 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 Agreements 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Treasury Money Market Portfolio |
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1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
10 |
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% of Net Assets | |||
Treasury Debt | 99.9% | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 53.4% | ||
31 to 60 Days | 22.2 | ||
61 to 90 Days | 11.5 | ||
Over 90 Days | 12.8 | ||
Total | 99.9% | ||
Average days to maturity | 30 | ||
Weighted average life | 77 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—99.9% | ||||||||||
U.S. Treasury Bill (a) | 1.738% | 07/05/2018 | 07/05/2018 | $ 1,618,160,000 | $ 1,617,921,865 | |||||
U.S. Treasury Bill (a) | 1.740% | 07/12/2018 | 07/12/2018 | 1,423,079,000 | 1,422,390,326 | |||||
U.S. Treasury Bill (a) | 1.760% | 07/19/2018 | 07/19/2018 | 2,150,494,000 | 2,148,678,365 | |||||
U.S. Treasury Bill (a) | 1.785% | 08/16/2018 | 08/16/2018 | 450,000,000 | 448,936,378 | |||||
U.S. Treasury Bill (a) | 1.825% | 07/26/2018 | 07/26/2018 | 1,108,724,000 | 1,107,404,968 | |||||
U.S. Treasury Bill (a) | 1.830% | 08/30/2018 | 08/30/2018 | 200,000,000 | 199,400,167 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/02/2018 | 08/02/2018 | 376,000,000 | 375,405,325 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/23/2018 | 08/23/2018 | 530,000,000 | 528,562,532 | |||||
U.S. Treasury Bill (a) | 1.840% | 08/09/2018 | 08/09/2018 | 602,842,000 | 601,669,025 | |||||
U.S. Treasury Bill (a) | 1.900% | 09/27/2018 | 09/27/2018 | 200,000,000 | 199,081,667 | |||||
U.S. Treasury Bill (a) | 1.908% | 09/20/2018 | 09/20/2018 | 350,000,000 | 348,518,956 | |||||
U.S. Treasury Bill (a) | 1.920% | 09/06/2018 | 09/06/2018 | 600,000,000 | 597,896,892 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/06/2018 | 12/06/2018 | 100,000,000 | 99,096,639 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/13/2018 | 12/13/2018 | 100,000,000 | 99,054,722 | |||||
U.S. Treasury Note (a) | 1.845% | 11/15/2018 | 11/15/2018 | 159,000,000 | 158,651,684 | |||||
U.S. Treasury Note (a) | 1.880% | 07/31/2018 | 07/31/2018 | 261,000,000 | 261,073,916 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.909% | 07/02/2018 | 01/31/2020 | 385,000,000 | 384,893,004 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.942% | 07/02/2018 | 04/30/2020 | 235,000,000 | 234,983,085 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.957% | 07/02/2018 | 10/31/2019 | 75,000,000 | 75,052,623 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 1.969% | 07/02/2018 | 07/31/2019 | 150,000,000 | 150,149,889 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.07%(b) | 1.979% | 07/02/2018 | 04/30/2019 | 85,800,000 | 85,823,914 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.049% | 07/02/2018 | 01/31/2019 | 49,000,000 | 49,033,598 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.079% | 07/02/2018 | 10/31/2018 | 185,000,000 | 185,107,923 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.083% | 07/02/2018 | 07/31/2018 | 400,000,000 | 400,033,154 | |||||
TOTAL INVESTMENTS –99.9% (c)(d) | 11,778,820,617 | |||||||||
Other Assets in Excess of Liabilities —0.1% | 7,110,931 | |||||||||
NET ASSETS –100.0% | $ 11,785,931,548 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Also represents the cost for federal tax purposes. |
(d) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
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ASSETS | |
Investments in unaffiliated issuers, at value and cost | $11,778,820,617 |
Interest receivable - unaffiliated issuers | 8,146,762 |
TOTAL ASSETS | 11,786,967,379 |
LIABILITIES | |
Due to custodian | 1,633 |
Advisory and administrator fee payable | 485,281 |
Custody, sub-administration and transfer agent fees payable | 476,033 |
Trustees’ fees and expenses payable | 1,855 |
Professional fees payable | 58,095 |
Accrued expenses and other liabilities | 12,934 |
TOTAL LIABILITIES | 1,035,831 |
NET ASSETS | $11,785,931,548 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $94,123,912 |
EXPENSES | |
Advisory and administrator fee | 2,959,736 |
Custodian, sub-administrator and transfer agent fees | 749,997 |
Trustees’ fees and expenses | 121,146 |
Professional fees | 62,086 |
Printing and postage fees | 6,612 |
Insurance expense | 54,068 |
Miscellaneous expenses | 12,585 |
TOTAL EXPENSES | 3,966,230 |
NET INVESTMENT INCOME (LOSS) | 90,157,682 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (52,975) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $90,104,707 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 90,157,682 | $ 111,706,631 | |
Net realized gain (loss) | (52,975) | 117,892 | |
Net increase (decrease) in net assets resulting from operations | 90,104,707 | 111,824,523 | |
CAPITAL TRANSACTIONS | |||
Contributions | 15,968,455,448 | 20,311,832,604 | |
Withdrawals | (17,278,230,712) | (21,422,356,261) | |
Net increase (decrease) in net assets from capital transactions | (1,309,775,264) | (1,110,523,657) | |
Net increase (decrease) in net assets during the period | (1,219,670,557) | (998,699,134) | |
Net assets at beginning of period | 13,005,602,105 | 14,004,301,239 | |
NET ASSETS AT END OF PERIOD | $ 11,785,931,548 | $ 13,005,602,105 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Total return (a) | 0.73% | 0.73% | 0.25% | (0.04)% | (0.02)% | 0.00%(b) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $11,785,932 | $13,005,602 | $14,004,301 | $11,837,128 | $10,247,460 | $14,558,022 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(c) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 1.52%(c) | 0.81% | 0.25% | (0.03)% | (0.02)% | 0.00%(b) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Amount is less than 0.005%. |
(c) | Annualized. |
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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 Treasury Money Market Portfolio | 0.07% | $965.60 | $0.34 | $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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• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, 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”). |
• | 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. |
• | 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 |
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• | Information regarding the Adviser’s risk management processes. |
• | 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; |
• | 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Institutional Treasury Plus Money Market Fund |
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1 | |
2 | |
3 | |
5 | |
9 | |
13 |
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ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $10,468,988,814 |
Receivable for fund shares sold | 300 |
TOTAL ASSETS | 10,468,989,114 |
LIABILITIES | |
Payable for fund shares repurchased | 8,740 |
Advisory fee payable | 1,506 |
Administration fees payable | 432,085 |
Shareholder servicing fee payable | 257,662 |
Distribution fees payable | 1,445 |
Transfer agent fees payable | 13,674 |
Distribution payable | 2,000,958 |
Registration and filing fees payable | 186,979 |
Professional fees payable | 99,817 |
Printing fees payable | 19,439 |
Accrued expenses and other liabilities | 3,729 |
TOTAL LIABILITIES | 3,026,034 |
NET ASSETS | $10,465,963,080 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $10,465,922,118 |
Undistributed (distribution in excess of) net investment income (loss) | 37,317 |
Accumulated net realized gain (loss) on investments | 3,645 |
NET ASSETS | $10,465,963,080 |
Investment Class | |
Net Assets | $ 16,933,304 |
Shares Outstanding | 16,940,587 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 194,969,800 |
Shares Outstanding | 194,969,339 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $ 4,792,584,176 |
Shares Outstanding | 4,792,709,261 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 5,461,475,800 |
Shares Outstanding | 5,461,769,694 |
Net asset value, offering and redemption price per share | $ 1.00 |
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INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $81,877,885 |
Expenses allocated from affiliated Portfolio | (3,365,184) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 78,512,701 |
EXPENSES | |
Administration fees | 2,543,590 |
Shareholder servicing fees | |
Investment Class | 22,858 |
Investor Class | 94,870 |
Trust Class | 1,610,378 |
Distribution fees | |
Investment Class | 9,143 |
Custodian fees | 12,950 |
Trustees’ fees and expenses | 9,002 |
Transfer agent fees | 32,595 |
Registration and filing fees | 62,412 |
Professional fees | 10,021 |
Printing fees | 11,760 |
Insurance expense | 2,387 |
Miscellaneous expenses | 60,053 |
TOTAL EXPENSES | 4,482,019 |
Expenses waived/reimbursed by the Adviser | (5,404) |
NET EXPENSES | 4,476,615 |
NET INVESTMENT INCOME (LOSS) | 74,036,086 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 3,763 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $74,039,849 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 74,036,086 | $ 75,245,620 | |
Net realized gain (loss) | 3,763 | (118) | |
Net increase (decrease) in net assets resulting from operations | 74,039,849 | 75,245,502 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Investment Class | (103,760) | (124,234) | |
Investor Class | (1,637,107) | (3,102,891) | |
Premier Class | (31,495,489) | (24,817,816) | |
Trust Class | (40,759,690) | (47,203,402) | |
Total distributions from net investment income | (73,996,046) | (75,248,343) | |
Net Realized Gains | |||
Investment Class | — | (41) | |
Investor Class | — | (710) | |
Premier Class | — | (7,108) | |
Trust Class | — | (12,780) | |
Total distributions from net realized gains | — | (20,639) | |
Total distributions to shareholders | (73,996,046) | (75,268,982) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Investment Class | |||
Shares sold | 19,900,755 | 122,773,989 | |
Reinvestment of distributions | 54,942 | 42,332 | |
Shares redeemed | (22,264,359) | (151,744,767) | |
Net increase (decrease) from capital share transactions | (2,308,662) | (28,928,446) | |
Investor Class | |||
Shares sold | 623,388,607 | 1,733,648,542 | |
Reinvestment of distributions | 1,627,801 | 3,103,594 | |
Shares redeemed | (758,811,507) | (1,509,448,701) | |
Net increase (decrease) from capital share transactions | (133,795,099) | 227,303,435 | |
Premier Class | |||
Shares sold | 19,432,983,624 | 18,083,659,927 | |
Reinvestment of distributions | 27,887,251 | 23,475,784 | |
Shares redeemed | (18,668,784,466) | (16,621,895,835) | |
Net increase (decrease) from capital share transactions | 792,086,409 | 1,485,239,876 | |
Trust Class | |||
Shares sold | 11,382,697,004 | 19,763,733,419 | |
Reinvestment of distributions | 36,493,685 | 43,867,549 | |
Shares redeemed | (12,861,005,021) | (20,867,141,421) | |
Net increase (decrease) from capital share transactions | (1,441,814,332) | (1,059,540,453) | |
Net increase (decrease) in net assets from beneficial interest transactions | (785,831,684) | 624,074,412 | |
Net increase (decrease) in net assets during the period | (785,787,881) | 624,050,932 | |
Net assets at beginning of period | 11,251,750,961 | 10,627,700,029 | |
NET ASSETS AT END OF PERIOD | $ 10,465,963,080 | $ 11,251,750,961 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 37,317 | $ (2,723) | |
SHARES OF BENEFICIAL INTEREST: | |||
Investment Class | |||
Shares sold | 19,900,755 | 122,773,989 | |
Reinvestment of distributions | 54,942 | 42,332 | |
Shares redeemed | (22,264,359) | (151,744,767) | |
Net increase (decrease) from share transactions | (2,308,662) | (28,928,446) | |
Investor Class | |||
Shares sold | 623,388,607 | 1,733,648,542 | |
Reinvestment of distributions | 1,627,801 | 3,103,594 | |
Shares redeemed | (758,811,507) | (1,509,448,701) | |
Net increase (decrease) from share transactions | (133,795,099) | 227,303,435 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
Premier Class | |||
Shares sold | 19,432,983,624 | $ 18,083,659,927 | |
Reinvestment of distributions | 27,887,251 | 23,475,784 | |
Shares redeemed | (18,668,784,466) | (16,621,895,835) | |
Net increase (decrease) from share transactions | 792,086,409 | 1,485,239,876 | |
Trust Class | |||
Shares sold | 11,382,697,004 | 19,763,733,419 | |
Reinvestment of distributions | 36,493,685 | 43,867,549 | |
Shares redeemed | (12,861,005,021) | (20,867,141,421) | |
Net increase (decrease) from share transactions | (1,441,814,332) | (1,059,540,453) |
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Investment Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0056 | 0.0042 | 0.0000(b) | 0.0000(b)(c) | 0.0000(b)(c) | (0.0001)(c) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0001 | |||||
Total from investment operations | 0.0056 | 0.0042 | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0056) | (0.0042) | (0.0000)(b) | — | — | — | |||||
Net realized gains | — | (0.0000)(b) | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0056) | (0.0042) | (0.0000)(b) | — | — | (0.0000)(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $1.0000 | $1.0000 | $ 1.0000 | |||||
Total return (d) | 0.56% | 0.42% | 0.00%(e) | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 16,933 | $ 19,242 | $ 48,170 | $60,041 | $74,781 | $ 73,449 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.49% | 0.49% | 0.48% | 0.48% | |||||
Net expenses | 0.47%(f) | 0.47% | 0.31% | 0.06% | 0.05% | 0.08% | |||||
Net investment income (loss) | 1.14%(f) | 0.36% | 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. |
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Investor Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 10/14/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0070 | 0.0069 | 0.0004 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||
Total from investment operations | 0.0070 | 0.0069 | 0.0004 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0070) | (0.0069) | (0.0004) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0070) | (0.0069) | (0.0004) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.70% | 0.69% | 0.04% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $194,970 | $328,764 | $101,461 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.20%(d) | 0.20% | 0.20%(d) | ||
Net expenses | 0.20%(d) | 0.20% | 0.20%(d) | ||
Net investment income (loss) | 1.38%(d) | 0.70% | 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. |
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Premier Class(a) | |||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
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) | 0.0074 | 0.0077 | 0.0019 | 0.0000(b)(c) | 0.0000(b)(c) | (0.0001)(c) | |||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0001 | |||||
Total from investment operations | 0.0074 | 0.0077 | 0.0019 | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0074) | (0.0077) | (0.0019) | (0.0000)(b) | — | (0.0000)(b) | |||||
Net realized gains | — | (0.0000)(b) | — | — | — | (0.0000)(b) | |||||
Total distributions | (0.0074) | (0.0077) | (0.0019) | (0.0000)(b) | — | (0.0000)(b) | |||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.74% | 0.77% | 0.19% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,792,584 | $4,000,478 | $2,515,246 | $1,684,652 | $2,690,959 | $2,679,596 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.14% | 0.14% | 0.13% | 0.13% | |||||
Net expenses | 0.12%(f) | 0.12% | 0.12% | 0.06% | 0.05% | 0.08% | |||||
Net investment income (loss) | 1.51%(f) | 0.81% | 0.20% | 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. |
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Trust Class(a) | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 8/29/16* - 12/31/16 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0071 | 0.0071 | 0.0007 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||
Total from investment operations | 0.0071 | 0.0071 | 0.0007 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0071) | (0.0071) | (0.0007) | ||
Net realized gains | — | (0.0000)(b) | — | ||
Total distributions | (0.0071) | (0.0071) | (0.0007) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.71% | 0.71% | 0.07% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $5,461,476 | $6,903,267 | $7,962,822 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.18%(d) | 0.18% | 0.18%(d) | ||
Net expenses | 0.18%(d) | 0.18% | 0.18%(d) | ||
Net investment income (loss) | 1.42%(d) | 0.70% | 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. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Plus Money Market Fund | Premier Class Institutional Class Investment Class Administration Class Investor Class Service Class Trust Class | October 24, 2007 Not commenced October 24, 2007 Not commenced October 14, 2016 Not commenced August 29, 2016 | Diversified |
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Expiration Date | Amount | |
12/31/2018 | $1,116,105 | |
12/31/2019 | $ 366,047 |
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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 Institutional Treasury Plus Money Market Fund | |||||||||
Investment Class | 0.47% | $1,005.60 | $2.34 | $1,022.50 | $2.36 | ||||
Investor Class | 0.20 | 1,007.00 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,007.40 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.18 | 1,007.10 | 0.90 | 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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• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, 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 Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | 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. |
• | 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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• | Information regarding the Adviser’s risk management processes. |
• | 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; |
• | 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, 2017; 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, ; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Treasury Plus Money Market Portfolio |
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1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
14 |
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% of Net Assets | |||
Treasury Repurchase Agreements | 50.3% | ||
Treasury Debt | 46.9 | ||
Other Assets in Excess of Liabilities | 2.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 52.2% | ||
31 to 60 Days | 19.0 | ||
61 to 90 Days | 10.6 | ||
Over 90 Days | 15.4 | ||
Total | 97.2% | ||
Average days to maturity | 22 | ||
Weighted average life | 82 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—46.9% | ||||||||||
U.S. Treasury Bill (a) | 1.738% | 07/05/2018 | 07/05/2018 | $ 250,000,000 | $ 249,963,767 | |||||
U.S. Treasury Bill (a) | 1.760% | 07/19/2018 | 07/19/2018 | 300,000,000 | 299,750,667 | |||||
U.S. Treasury Bill (a) | 1.785% | 08/16/2018 | 08/16/2018 | 750,000,000 | 748,267,003 | |||||
U.S. Treasury Bill (a) | 1.825% | 07/26/2018 | 07/26/2018 | 150,000,000 | 149,817,173 | |||||
U.S. Treasury Bill (a) | 1.830% | 08/30/2018 | 08/30/2018 | 200,000,000 | 199,400,167 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/02/2018 | 08/02/2018 | 300,000,000 | 299,525,958 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/23/2018 | 08/23/2018 | 660,000,000 | 658,219,953 | |||||
U.S. Treasury Bill (a) | 1.840% | 08/09/2018 | 08/09/2018 | 450,000,000 | 449,119,667 | |||||
U.S. Treasury Bill (a) | 1.900% | 09/27/2018 | 09/27/2018 | 350,000,000 | 348,392,917 | |||||
U.S. Treasury Bill (a) | 1.908% | 09/20/2018 | 09/20/2018 | 200,000,000 | 199,153,689 | |||||
U.S. Treasury Bill (a) | 1.920% | 09/06/2018 | 09/06/2018 | 550,000,000 | 548,069,720 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/06/2018 | 12/06/2018 | 125,000,000 | 123,870,799 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/13/2018 | 12/13/2018 | 135,000,000 | 133,723,875 | |||||
U.S. Treasury Note (a) | 1.845% | 11/15/2018 | 11/15/2018 | 159,000,000 | 158,651,684 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.909% | 07/02/2018 | 01/31/2020 | 465,000,000 | 464,830,983 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.942% | 07/02/2018 | 04/30/2020 | 420,000,000 | 419,986,663 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.957% | 07/02/2018 | 10/31/2019 | 199,000,000 | 199,156,423 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 1.969% | 07/02/2018 | 07/31/2019 | 150,000,000 | 150,149,889 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.07%(b) | 1.979% | 07/02/2018 | 04/30/2019 | 64,398,000 | 64,416,230 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.049% | 07/02/2018 | 01/31/2019 | 305,000,000 | 305,248,410 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.079% | 07/02/2018 | 10/31/2018 | 130,000,000 | 130,075,838 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.083% | 07/02/2018 | 07/31/2018 | 245,000,000 | 245,020,640 | |||||
TOTAL TREASURY DEBT | 6,544,812,115 | |||||||||
TREASURY REPURCHASE AGREEMENTS—50.3% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Inflation Index Notes, 0.625% due 04/15/2023, valued at $98,746,351); expected proceeds $96,826,942 | 2.100% | 07/02/2018 | 07/02/2018 | 96,810,000 | 96,810,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $22,443,933); expected proceeds $22,003,850 | 2.100% | 07/02/2018 | 07/02/2018 | 22,000,000 | 22,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 06/20/2019, a U.S. Treasury Bond, 7.250% due 08/15/2022, and a U.S. Treasury Note, 1.125% due 08/31/2021, valued at $510,000,068); expected proceeds $500,087,500 | 2.100% | 07/02/2018 | 07/02/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 7.250% due 08/15/2022, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.375% – 0.500% due 07/15/2023 – 01/15/2028, and a U.S. Treasury Note, 2.625% due 02/28/2023, valued at $178,500,036); expected proceeds $175,029,167 | 2.000% | 07/02/2018 | 07/02/2018 | 175,000,000 | 175,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/27/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 09/13/2018, U.S. Treasury Bonds, 3.375% – 7.250% due 08/15/2022 – 05/15/2044, U.S. Treasury Inflation Index Bonds, 1.375% – 2.125% due 02/15/2040 – 02/15/2044, and U.S. Treasury Notes, 1.750% – 2.375% due 10/31/2020 – 08/15/2027, valued at $129,540,035); expected proceeds $127,054,187 | 1.980% | 07/05/2018 | 07/05/2018 | 127,000,000 | 127,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 08/16/2018, a U.S. Treasury Bond, 3.750% due 11/15/2043, U.S. Treasury Inflation Index Bonds, 2.500% – 3.625% due 04/15/2028 – 01/15/2029, U.S. Treasury Notes, 2.000% – 2.875% due 08/15/2020 – 08/15/2027, and U.S. Treasury Strips, 0.000% due 11/15/2019 – 08/15/2027, valued at $204,000,005); expected proceeds $200,031,667 | 1.920% | 07/02/2018 | 07/05/2018 | $ 200,000,000 | $ 200,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.500% – 6.000% due 02/15/2026 – 08/15/2047, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2046, U.S. Treasury Notes, 1.750% – 2.125% due 02/15/2022 – 11/30/2023, and U.S. Treasury Strips, 0.000% due 08/15/2018 – 02/15/2027, valued at $245,820,000); expected proceeds $241,042,175 | 2.100% | 07/02/2018 | 07/02/2018 | 241,000,000 | 241,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.375% – 2.500% due 06/30/2019 – 06/30/2023, valued at $102,000,090); expected proceeds $100,038,500 | 1.980% | 07/06/2018 | 07/06/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.000% due 01/15/2021, valued at $104,040,083); expected proceeds $102,017,850 | 2.100% | 07/02/2018 | 07/02/2018 | 102,000,000 | 102,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 0.875% – 2.000% due 10/15/2018 – 07/31/2022, valued at $459,000,060); expected proceeds $450,173,250 | 1.980% | 07/06/2018 | 07/06/2018 | 450,000,000 | 450,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 1.750% due 02/28/2022, valued at $63,240,019); expected proceeds $62,010,850 | 2.100% | 07/02/2018 | 07/02/2018 | 62,000,000 | 62,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2047, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $253,036,986); expected proceeds $253,036,896 | 1.750% | 07/02/2018 | 07/02/2018 | 253,000,000 | 253,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Strip, 0.000% due 02/15/2022, valued at $189,720,000); expected proceeds $186,027,900 | 1.800% | 07/02/2018 | 07/02/2018 | 186,000,000 | 186,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2022 – 05/15/2027, valued at $92,820,000); expected proceeds $91,014,408 | 1.900% | 07/02/2018 | 07/02/2018 | 91,000,000 | 91,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/26/2018 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2027, valued at $159,123,675); expected proceeds $156,057,633 | 1.900% | 07/03/2018 | 07/03/2018 | 156,000,000 | 156,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2019 – 02/15/2028, valued at $969,006,743); expected proceeds $950,166,250 | 2.100% | 07/02/2018 | 07/02/2018 | 950,000,000 | 950,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.875% – 8.000% due 11/15/2021 – 05/15/2048, and U.S. Treasury Notes, 0.000% – 2.250% due 02/28/2019 – 05/15/2023, valued at $473,282,730); expected proceeds $464,081,200 | 2.100% | 07/02/2018 | 07/02/2018 | $ 464,000,000 | $ 464,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.500% – 2.000% due 12/31/2019 – 10/31/2022, and a U.S. Treasury Bond, 3.000% due 11/15/2044, valued at $204,003,525); expected proceeds $200,031,667 | 1.900% | 07/02/2018 | 07/02/2018 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/15/2018 (collateralized by a U.S. Treasury Note, 2.625% due 11/15/2020, valued at $188,775,723); expected proceeds $201,381,944 (c) | 1.990% | 07/02/2018 | 09/17/2018 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/21/2018 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, valued at $271,462,482); expected proceeds $251,229,931 (c) | 1.990% | 07/02/2018 | 08/17/2018 | 250,000,000 | 250,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 05/11/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 12/27/2018, U.S. Treasury Bonds, 2.500% – 5.500% due 08/15/2028 – 05/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2019 – 01/15/2028, and U.S. Treasury Notes, 1.125% – 2.250% due 08/31/2018 – 05/15/2025, valued at $66,300,001); expected proceeds $65,202,656 | 1.840% | 07/06/2018 | 07/06/2018 | 65,000,000 | 65,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/01/2018 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2020 – 04/15/2022, and U.S. Treasury Notes, 1.125% – 3.625% due 02/15/2020 – 05/15/2022, valued at $510,000,034); expected proceeds $500,899,306 | 1.850% | 07/06/2018 | 07/06/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.500% – 1.875% due 07/15/2019 – 01/15/2028, and U.S. Treasury Notes, 1.750% – 2.125% due 10/31/2020 – 05/15/2025, valued at $102,000,043); expected proceeds $100,017,500 | 2.100% | 07/02/2018 | 07/02/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.750% – 7.625% due 02/15/2025 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.875% – 1.000% due 02/15/2047 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2021 – 07/15/2022, and U.S. Treasury Notes, 1.000% – 3.625% due 05/31/2019 – 05/15/2028, valued at $816,000,077); expected proceeds $800,140,000 | 2.100% | 07/02/2018 | 07/02/2018 | 800,000,000 | 800,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 12/31/2019 – 11/15/2025, valued at $79,560,086); expected proceeds $78,013,650 | 2.100% | 07/02/2018 | 07/02/2018 | 78,000,000 | 78,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.500% – 6.250% due 08/15/2023 – 02/15/2046, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, and U.S. Treasury Notes, 0.875% – 4.000% due 06/30/2018 – 11/15/2026, valued at $663,116,120); expected proceeds $650,113,750 | 2.100% | 07/02/2018 | 07/02/2018 | $650,000,000 | $ 650,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,018,810,000 | |||||||||
TOTAL INVESTMENTS –97.2% (d)(e) | 13,563,622,115 | |||||||||
Other Assets in Excess of Liabilities —2.8% | 392,806,866 | |||||||||
NET ASSETS –100.0% | $ 13,956,428,981 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $450,000,000 or 3.2% of net assets as of June 30, 2018. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
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ASSETS | |
Investments in unaffiliated issuers, at value and cost | $ 6,544,812,115 |
Repurchase agreements, at value and amortized cost | 7,018,810,000 |
Total Investments | 13,563,622,115 |
Cash | 383,415,516 |
Interest receivable - unaffiliated issuers | 10,129,490 |
Other Receivable | 8,852 |
TOTAL ASSETS | 13,957,175,973 |
LIABILITIES | |
Advisory and administrator fee payable | 567,072 |
Custody, sub-administration and transfer agent fees payable | 95,569 |
Trustees’ fees and expenses payable | 1,038 |
Professional fees payable | 57,867 |
Printing fees payable | 3,077 |
Accrued expenses and other liabilities | 22,369 |
TOTAL LIABILITIES | 746,992 |
NET ASSETS | $13,956,428,981 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $109,248,916 |
EXPENSES | |
Advisory and administrator fee | 3,384,985 |
Custodian, sub-administrator and transfer agent fees | 861,140 |
Trustees’ fees and expenses | 122,005 |
Professional fees | 62,170 |
Printing and postage fees | 4,180 |
Insurance expense | 42,497 |
Miscellaneous expenses | 1,484 |
TOTAL EXPENSES | 4,478,461 |
NET INVESTMENT INCOME (LOSS) | 104,770,455 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,453 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $104,775,908 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 104,770,455 | $ 89,426,187 | |
Net realized gain (loss) | 5,453 | (118) | |
Net increase (decrease) in net assets resulting from operations | 104,775,908 | 89,426,069 | |
CAPITAL TRANSACTIONS | |||
Contributions | 21,433,887,701 | 28,396,151,811 | |
Withdrawals | (21,762,515,150) | (24,934,249,332) | |
Net increase (decrease) in net assets from capital transactions | (328,627,449) | 3,461,902,479 | |
Net increase (decrease) in net assets during the period | (223,851,541) | 3,551,328,548 | |
Net assets at beginning of period | 14,180,280,522 | 10,628,951,974 | |
NET ASSETS AT END OF PERIOD | $ 13,956,428,981 | $ 14,180,280,522 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Total return (a) | 0.78% | 0.82% | 0.23% | (0.01)% | (0.02)% | 0.00%(b) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $13,956,429 | $14,180,281 | $10,628,952 | $1,744,814 | $2,765,530 | $2,753,017 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(c) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 1.55%(c) | 0.84% | 0.27% | (0.01)% | (0.02)% | 0.00%(b) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Amount is less than 0.005%. |
(c) | Annualized. |
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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 Treasury Plus Money Market Portfolio | 0.07% | $997.20 | $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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• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, 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”). |
• | 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. |
• | 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 |
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• | Information regarding the Adviser’s risk management processes. |
• | 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; |
• | 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 Agreements 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: |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Treasury Obligations Money Market Fund |
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3 | |
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5 | |
8 |
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ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $3,487,439,124 |
Receivable from Adviser | 171,941 |
TOTAL ASSETS | 3,487,611,065 |
LIABILITIES | |
Administration fees payable | 144,080 |
Transfer agent fees payable | 32,950 |
Distribution payable | 192,195 |
Registration and filing fees payable | 72 |
Professional fees payable | 19,671 |
Printing fees payable | 187 |
Accrued expenses and other liabilities | 14,400 |
TOTAL LIABILITIES | 403,555 |
NET ASSETS | $3,487,207,510 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,487,205,820 |
Accumulated net realized gain (loss) on investments | 1,690 |
NET ASSETS | $3,487,207,510 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 3,487,205,820 |
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INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 27,371,023 |
Expenses allocated from affiliated Portfolio | (1,113,278) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 26,257,745 |
EXPENSES | |
Administration fees | 840,764 |
Custodian fees | 11,457 |
Trustees’ fees and expenses | 9,003 |
Transfer agent fees | 6,148 |
Registration and filing fees | 142,700 |
Professional fees and expenses | 13,068 |
Printing fees | 10,939 |
Miscellaneous expenses | 17,264 |
TOTAL EXPENSES | 1,051,343 |
Expenses waived/reimbursed by the Adviser | (819,399) |
NET EXPENSES | 231,944 |
NET INVESTMENT INCOME (LOSS) | 26,025,801 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 1,690 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $26,027,491 |
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Six Months Ended 6/30/18 (Unaudited) | For the Period 10/5/17 * - 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 26,025,801 | $ 4,483,301 | |
Net realized gain (loss) | 1,690 | — | |
Net increase (decrease) in net assets resulting from operations | 26,027,491 | 4,483,301 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | (26,025,801) | (4,483,301) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 3,991,794,894 | 3,047,322,418 | |
Reinvestment of distributions | 25,630,155 | 4,437,486 | |
Cost of shares redeemed | (3,456,581,634) | (125,397,499) | |
Net increase (decrease) from share transactions | 560,843,415 | 2,926,362,405 | |
Net increase (decrease) in net assets during the period | 560,845,105 | 2,926,362,405 | |
Net assets at beginning of period | 2,926,362,405 | — | |
NET ASSETS AT END OF PERIOD | $ 3,487,207,510 | $2,926,362,405 | |
Undistributed (distribution in excess of) net investment income (loss) | $ — | $ — | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 3,991,794,894 | 3,047,322,418 | |
Reinvestment of distributions | 25,630,155 | 4,437,486 | |
Shares redeemed | (3,456,581,634) | (125,397,499) | |
Net increase (decrease) from share transactions | 560,843,415 | 2,926,362,405 |
* | Inception date. |
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Six Months Ended 6/30/18 (Unaudited) | For the Period 10/5/17 * - 12/31/17(a) | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0078 | 0.0025 | |
Net realized and unrealized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0078 | 0.0025 | |
Distributions to shareholders from: | |||
Net investment income | (0.0078) | (0.0025) | |
Total distributions | (0.0078) | (0.0025) | |
Net asset value, end of period | $ 1.0000 | $ 1.0000 | |
Total return (c) | 0.76% | 0.25% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $3,487,208 | $2,926,362 | |
Ratios to average net assets: | |||
Total expenses | 0.13%(d) | 0.16%(d) | |
Net expenses | 0.08%(d) | 0.08%(d) | |
Net investment income (loss) | 1.55%(d) | 1.08%(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. |
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Fund | Commencement of Operations | Diversification Classification |
State Street Treasury Obligations Money Market Fund | October 5, 2017 | Diversified |
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Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Obligations Money Market Fund | 0.08% | $1,007.60 | $0.40 | $1,024.40 | $0.40 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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• | 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 since-inception period ended December 31, 2017, 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; 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”). |
• | 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. |
• | 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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• | Information regarding the Adviser’s risk management processes. |
• | 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Treasury Plus Money Market Portfolio |
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10 | |
14 |
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% of Net Assets | |||
Treasury Repurchase Agreements | 50.3% | ||
Treasury Debt | 46.9 | ||
Other Assets in Excess of Liabilities | 2.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 52.2% | ||
31 to 60 Days | 19.0 | ||
61 to 90 Days | 10.6 | ||
Over 90 Days | 15.4 | ||
Total | 97.2% | ||
Average days to maturity | 22 | ||
Weighted average life | 82 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—46.9% | ||||||||||
U.S. Treasury Bill (a) | 1.738% | 07/05/2018 | 07/05/2018 | $ 250,000,000 | $ 249,963,767 | |||||
U.S. Treasury Bill (a) | 1.760% | 07/19/2018 | 07/19/2018 | 300,000,000 | 299,750,667 | |||||
U.S. Treasury Bill (a) | 1.785% | 08/16/2018 | 08/16/2018 | 750,000,000 | 748,267,003 | |||||
U.S. Treasury Bill (a) | 1.825% | 07/26/2018 | 07/26/2018 | 150,000,000 | 149,817,173 | |||||
U.S. Treasury Bill (a) | 1.830% | 08/30/2018 | 08/30/2018 | 200,000,000 | 199,400,167 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/02/2018 | 08/02/2018 | 300,000,000 | 299,525,958 | |||||
U.S. Treasury Bill (a) | 1.835% | 08/23/2018 | 08/23/2018 | 660,000,000 | 658,219,953 | |||||
U.S. Treasury Bill (a) | 1.840% | 08/09/2018 | 08/09/2018 | 450,000,000 | 449,119,667 | |||||
U.S. Treasury Bill (a) | 1.900% | 09/27/2018 | 09/27/2018 | 350,000,000 | 348,392,917 | |||||
U.S. Treasury Bill (a) | 1.908% | 09/20/2018 | 09/20/2018 | 200,000,000 | 199,153,689 | |||||
U.S. Treasury Bill (a) | 1.920% | 09/06/2018 | 09/06/2018 | 550,000,000 | 548,069,720 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/06/2018 | 12/06/2018 | 125,000,000 | 123,870,799 | |||||
U.S. Treasury Bill (a) | 2.075% | 12/13/2018 | 12/13/2018 | 135,000,000 | 133,723,875 | |||||
U.S. Treasury Note (a) | 1.845% | 11/15/2018 | 11/15/2018 | 159,000,000 | 158,651,684 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.909% | 07/02/2018 | 01/31/2020 | 465,000,000 | 464,830,983 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.942% | 07/02/2018 | 04/30/2020 | 420,000,000 | 419,986,663 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.957% | 07/02/2018 | 10/31/2019 | 199,000,000 | 199,156,423 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 1.969% | 07/02/2018 | 07/31/2019 | 150,000,000 | 150,149,889 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.07%(b) | 1.979% | 07/02/2018 | 04/30/2019 | 64,398,000 | 64,416,230 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.049% | 07/02/2018 | 01/31/2019 | 305,000,000 | 305,248,410 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.079% | 07/02/2018 | 10/31/2018 | 130,000,000 | 130,075,838 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.17%(b) | 2.083% | 07/02/2018 | 07/31/2018 | 245,000,000 | 245,020,640 | |||||
TOTAL TREASURY DEBT | 6,544,812,115 | |||||||||
TREASURY REPURCHASE AGREEMENTS—50.3% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Inflation Index Notes, 0.625% due 04/15/2023, valued at $98,746,351); expected proceeds $96,826,942 | 2.100% | 07/02/2018 | 07/02/2018 | 96,810,000 | 96,810,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $22,443,933); expected proceeds $22,003,850 | 2.100% | 07/02/2018 | 07/02/2018 | 22,000,000 | 22,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 06/20/2019, a U.S. Treasury Bond, 7.250% due 08/15/2022, and a U.S. Treasury Note, 1.125% due 08/31/2021, valued at $510,000,068); expected proceeds $500,087,500 | 2.100% | 07/02/2018 | 07/02/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 7.250% due 08/15/2022, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.375% – 0.500% due 07/15/2023 – 01/15/2028, and a U.S. Treasury Note, 2.625% due 02/28/2023, valued at $178,500,036); expected proceeds $175,029,167 | 2.000% | 07/02/2018 | 07/02/2018 | 175,000,000 | 175,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/27/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 09/13/2018, U.S. Treasury Bonds, 3.375% – 7.250% due 08/15/2022 – 05/15/2044, U.S. Treasury Inflation Index Bonds, 1.375% – 2.125% due 02/15/2040 – 02/15/2044, and U.S. Treasury Notes, 1.750% – 2.375% due 10/31/2020 – 08/15/2027, valued at $129,540,035); expected proceeds $127,054,187 | 1.980% | 07/05/2018 | 07/05/2018 | 127,000,000 | 127,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 08/16/2018, a U.S. Treasury Bond, 3.750% due 11/15/2043, U.S. Treasury Inflation Index Bonds, 2.500% – 3.625% due 04/15/2028 – 01/15/2029, U.S. Treasury Notes, 2.000% – 2.875% due 08/15/2020 – 08/15/2027, and U.S. Treasury Strips, 0.000% due 11/15/2019 – 08/15/2027, valued at $204,000,005); expected proceeds $200,031,667 | 1.920% | 07/02/2018 | 07/05/2018 | $ 200,000,000 | $ 200,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.500% – 6.000% due 02/15/2026 – 08/15/2047, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2046, U.S. Treasury Notes, 1.750% – 2.125% due 02/15/2022 – 11/30/2023, and U.S. Treasury Strips, 0.000% due 08/15/2018 – 02/15/2027, valued at $245,820,000); expected proceeds $241,042,175 | 2.100% | 07/02/2018 | 07/02/2018 | 241,000,000 | 241,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.375% – 2.500% due 06/30/2019 – 06/30/2023, valued at $102,000,090); expected proceeds $100,038,500 | 1.980% | 07/06/2018 | 07/06/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 2.000% due 01/15/2021, valued at $104,040,083); expected proceeds $102,017,850 | 2.100% | 07/02/2018 | 07/02/2018 | 102,000,000 | 102,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 0.875% – 2.000% due 10/15/2018 – 07/31/2022, valued at $459,000,060); expected proceeds $450,173,250 | 1.980% | 07/06/2018 | 07/06/2018 | 450,000,000 | 450,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Note, 1.750% due 02/28/2022, valued at $63,240,019); expected proceeds $62,010,850 | 2.100% | 07/02/2018 | 07/02/2018 | 62,000,000 | 62,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2047, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $253,036,986); expected proceeds $253,036,896 | 1.750% | 07/02/2018 | 07/02/2018 | 253,000,000 | 253,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Strip, 0.000% due 02/15/2022, valued at $189,720,000); expected proceeds $186,027,900 | 1.800% | 07/02/2018 | 07/02/2018 | 186,000,000 | 186,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2022 – 05/15/2027, valued at $92,820,000); expected proceeds $91,014,408 | 1.900% | 07/02/2018 | 07/02/2018 | 91,000,000 | 91,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/26/2018 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2027, valued at $159,123,675); expected proceeds $156,057,633 | 1.900% | 07/03/2018 | 07/03/2018 | 156,000,000 | 156,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2019 – 02/15/2028, valued at $969,006,743); expected proceeds $950,166,250 | 2.100% | 07/02/2018 | 07/02/2018 | 950,000,000 | 950,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.875% – 8.000% due 11/15/2021 – 05/15/2048, and U.S. Treasury Notes, 0.000% – 2.250% due 02/28/2019 – 05/15/2023, valued at $473,282,730); expected proceeds $464,081,200 | 2.100% | 07/02/2018 | 07/02/2018 | $ 464,000,000 | $ 464,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.500% – 2.000% due 12/31/2019 – 10/31/2022, and a U.S. Treasury Bond, 3.000% due 11/15/2044, valued at $204,003,525); expected proceeds $200,031,667 | 1.900% | 07/02/2018 | 07/02/2018 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/15/2018 (collateralized by a U.S. Treasury Note, 2.625% due 11/15/2020, valued at $188,775,723); expected proceeds $201,381,944 (c) | 1.990% | 07/02/2018 | 09/17/2018 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/21/2018 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, valued at $271,462,482); expected proceeds $251,229,931 (c) | 1.990% | 07/02/2018 | 08/17/2018 | 250,000,000 | 250,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 05/11/2018 (collateralized by a U.S. Treasury Bill, 0.000% due 12/27/2018, U.S. Treasury Bonds, 2.500% – 5.500% due 08/15/2028 – 05/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2019 – 01/15/2028, and U.S. Treasury Notes, 1.125% – 2.250% due 08/31/2018 – 05/15/2025, valued at $66,300,001); expected proceeds $65,202,656 | 1.840% | 07/06/2018 | 07/06/2018 | 65,000,000 | 65,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/01/2018 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2020 – 04/15/2022, and U.S. Treasury Notes, 1.125% – 3.625% due 02/15/2020 – 05/15/2022, valued at $510,000,034); expected proceeds $500,899,306 | 1.850% | 07/06/2018 | 07/06/2018 | 500,000,000 | 500,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 0.500% – 1.875% due 07/15/2019 – 01/15/2028, and U.S. Treasury Notes, 1.750% – 2.125% due 10/31/2020 – 05/15/2025, valued at $102,000,043); expected proceeds $100,017,500 | 2.100% | 07/02/2018 | 07/02/2018 | 100,000,000 | 100,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.750% – 7.625% due 02/15/2025 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.875% – 1.000% due 02/15/2047 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2021 – 07/15/2022, and U.S. Treasury Notes, 1.000% – 3.625% due 05/31/2019 – 05/15/2028, valued at $816,000,077); expected proceeds $800,140,000 | 2.100% | 07/02/2018 | 07/02/2018 | 800,000,000 | 800,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 12/31/2019 – 11/15/2025, valued at $79,560,086); expected proceeds $78,013,650 | 2.100% | 07/02/2018 | 07/02/2018 | 78,000,000 | 78,000,000 |
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Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2018 (collateralized by U.S. Treasury Bonds, 2.500% – 6.250% due 08/15/2023 – 02/15/2046, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, and U.S. Treasury Notes, 0.875% – 4.000% due 06/30/2018 – 11/15/2026, valued at $663,116,120); expected proceeds $650,113,750 | 2.100% | 07/02/2018 | 07/02/2018 | $650,000,000 | $ 650,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,018,810,000 | |||||||||
TOTAL INVESTMENTS –97.2% (d)(e) | 13,563,622,115 | |||||||||
Other Assets in Excess of Liabilities —2.8% | 392,806,866 | |||||||||
NET ASSETS –100.0% | $ 13,956,428,981 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Illiquid security. These securities represent $450,000,000 or 3.2% of net assets as of June 30, 2018. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2). |
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ASSETS | |
Investments in unaffiliated issuers, at value and cost | $ 6,544,812,115 |
Repurchase agreements, at value and amortized cost | 7,018,810,000 |
Total Investments | 13,563,622,115 |
Cash | 383,415,516 |
Interest receivable - unaffiliated issuers | 10,129,490 |
Other Receivable | 8,852 |
TOTAL ASSETS | 13,957,175,973 |
LIABILITIES | |
Advisory and administrator fee payable | 567,072 |
Custody, sub-administration and transfer agent fees payable | 95,569 |
Trustees’ fees and expenses payable | 1,038 |
Professional fees payable | 57,867 |
Printing fees payable | 3,077 |
Accrued expenses and other liabilities | 22,369 |
TOTAL LIABILITIES | 746,992 |
NET ASSETS | $13,956,428,981 |
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INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $109,248,916 |
EXPENSES | |
Advisory and administrator fee | 3,384,985 |
Custodian, sub-administrator and transfer agent fees | 861,140 |
Trustees’ fees and expenses | 122,005 |
Professional fees | 62,170 |
Printing and postage fees | 4,180 |
Insurance expense | 42,497 |
Miscellaneous expenses | 1,484 |
TOTAL EXPENSES | 4,478,461 |
NET INVESTMENT INCOME (LOSS) | 104,770,455 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,453 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $104,775,908 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 104,770,455 | $ 89,426,187 | |
Net realized gain (loss) | 5,453 | (118) | |
Net increase (decrease) in net assets resulting from operations | 104,775,908 | 89,426,069 | |
CAPITAL TRANSACTIONS | |||
Contributions | 21,433,887,701 | 28,396,151,811 | |
Withdrawals | (21,762,515,150) | (24,934,249,332) | |
Net increase (decrease) in net assets from capital transactions | (328,627,449) | 3,461,902,479 | |
Net increase (decrease) in net assets during the period | (223,851,541) | 3,551,328,548 | |
Net assets at beginning of period | 14,180,280,522 | 10,628,951,974 | |
NET ASSETS AT END OF PERIOD | $ 13,956,428,981 | $ 14,180,280,522 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | ||||||
Total return (a) | 0.78% | 0.82% | 0.23% | (0.01)% | (0.02)% | 0.00%(b) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $13,956,429 | $14,180,281 | $10,628,952 | $1,744,814 | $2,765,530 | $2,753,017 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(c) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 1.55%(c) | 0.84% | 0.27% | (0.01)% | (0.02)% | 0.00%(b) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Amount is less than 0.005%. |
(c) | Annualized. |
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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 Treasury Plus Money Market Portfolio | 0.07% | $997.20 | $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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• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, 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”). |
• | 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. |
• | 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 |
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• | Information regarding the Adviser’s risk management processes. |
• | 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; |
• | 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 Agreements 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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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 |
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1 | |
5 | |
Portfolio Statistics (Unaudited) | |
14 | |
15 | |
16 | |
Schedules of Investments (Unaudited) | |
17 | |
56 | |
80 | |
108 | |
114 | |
124 |
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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 affiliated Portfolio, at value* | $113,273,221 | $463,881,264 | $32,506,204 | ||
Cash | 20 | — | — | ||
Receivable for fund shares sold | 160,959 | 2,693,570 | 1,069,087 | ||
Receivable from Adviser | 39,940 | 55,996 | 27,291 | ||
Prepaid expenses and other assets | 1 | — | — | ||
TOTAL ASSETS | 113,474,141 | 466,630,830 | 33,602,582 | ||
LIABILITIES | |||||
Payable for investments purchased | 137,463 | 2,048,699 | 1,064,587 | ||
Payable for fund shares repurchased | 17 | 640,370 | — | ||
Advisory fee payable | 2,776 | 23,309 | 767 | ||
Custodian fees payable | 2,838 | 2,866 | 2,854 | ||
Administration fees payable | 4,627 | 19,425 | 1,278 | ||
Distribution fees payable | 109 | 436 | 810 | ||
Accrued Trustees' fees and expenses | 11 | 11 | 14 | ||
Transfer agent fees payable | 1,549 | 1,564 | 1,933 | ||
Sub-transfer agent fee payable | 334 | 201 | 18 | ||
Registration and filing fees payable | 589 | — | 4,497 | ||
Professional fees payable | 20,982 | 20,983 | 18,454 | ||
Printing and postage fees payable | 6,976 | 3,707 | 6,465 | ||
TOTAL LIABILITIES | 178,271 | 2,761,571 | 1,101,677 | ||
NET ASSETS | $113,295,870 | $463,869,259 | $32,500,905 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $117,537,129 | $423,495,862 | $28,382,138 | ||
Undistributed (distribution in excess of) net investment income (loss) | (6,339) | (215,199) | (11,226) | ||
Accumulated net realized gain (loss) on investments | (443,491) | 14,729,406 | 746,481 | ||
Net unrealized appreciation (depreciation) on: | |||||
Investments — unaffiliated issuers | (3,791,429) | 25,859,190 | 3,383,512 | ||
NET ASSETS | $113,295,870 | $463,869,259 | $32,500,905 | ||
Class A | |||||
Net Assets | $ 542,329 | $ 2,542,185 | $ 4,942,843 | ||
Shares Outstanding | 56,819 | 247,997 | 390,542 | ||
Net asset value, offering and redemption price per share | $ 9.54 | $ 10.25 | $ 12.66 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 9.91 | $ 10.82 | $ 13.36 | ||
Class I | |||||
Net Assets | $ 10,654,653 | $ 980,179 | $ 5,518,971 | ||
Shares Outstanding | 1,113,955 | 95,491 | 435,415 | ||
Net asset value, offering and redemption price per share | $ 9.56 | $ 10.26 | $ 12.68 | ||
Class K | |||||
Net Assets | $102,098,888 | $460,346,895 | $22,039,091 | ||
Shares Outstanding | 10,681,696 | 44,734,579 | 1,738,126 | ||
Net asset value, offering and redemption price per share | $ 9.56 | $ 10.29 | $ 12.68 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $117,064,650 | $438,022,074 | $29,122,692 |
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State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||
INVESTMENT INCOME | |||||
Dividend income from corresponding affiliated Portfolio | $ 1,286,382 | $ — | $ — | ||
Interest income — unaffiliated issuers | 167 | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 1,286,549 | — | — | ||
EXPENSES | |||||
Advisory fee | 16,896 | 141,301 | 4,070 | ||
Administration fees | 32,719 | 149,810 | 11,058 | ||
Sub-transfer agent fee | |||||
Class A | 105 | 2,574 | 204 | ||
Class I | 22 | 1,583 | 999 | ||
Distribution fees | |||||
Class A | 504 | 2,047 | 3,239 | ||
Custodian fees | 8,233 | 8,213 | 8,212 | ||
Trustees’ fees and expenses | 9,009 | 9,009 | 9,008 | ||
Transfer agent fees | 30,976 | 31,542 | 16,720 | ||
Registration fees | 40,161 | 43,151 | 31,599 | ||
Professional fees and expenses | 20,276 | 20,277 | 20,843 | ||
Printing and postage fees | 2,836 | 2,927 | 2,995 | ||
Insurance expense | 22 | 89 | 4 | ||
TOTAL EXPENSES | 161,759 | 412,523 | 108,951 | ||
Expenses waived/reimbursed by the Adviser | (127,335) | (197,324) | (97,725) | ||
NET EXPENSES | 34,424 | 215,199 | 11,226 | ||
NET INVESTMENT INCOME (LOSS) | 1,252,125 | (215,199) | (11,226) | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | (359,878) | 4,610,994 | 317,851 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | (2,824,754) | (22,582,105) | 1,286,948 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,184,632) | (17,971,111) | 1,604,799 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(1,932,507) | $(18,186,310) | $1,593,573 |
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State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 1,252,125 | $ 2,421,571 | $ (215,199) | $ 10,952,537 | $ (11,226) | $ 274,447 | |||||
Net realized gain (loss) | (359,878) | (123,311) | 4,610,994 | 20,186,716 | 317,851 | 1,367,126 | |||||
Net change in unrealized appreciation/depreciation | (2,824,754) | 847,638 | (22,582,105) | 50,094,878 | 1,286,948 | 1,339,927 | |||||
Net increase (decrease) in net assets resulting from operations | (1,932,507) | 3,145,898 | (18,186,310) | 81,234,131 | 1,593,573 | 2,981,500 | |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||
Net Investment Income | |||||||||||
Class A | (3,972) | (2,944) | — | (22,917) | — | (19,983) | |||||
Class I | (114,769) | (270,047) | — | (26,359) | — | (93,439) | |||||
Class K | (1,141,381) | (2,146,127) | — | (12,035,422) | — | (425,860) | |||||
Total distributions from net investment income | (1,260,122) | (2,419,118) | — | (12,084,698) | — | (539,282) | |||||
Net Realized Gains | |||||||||||
Class A | — | (269) | — | (12,480) | — | (29,525) | |||||
Class I | — | (9,292) | — | (12,975) | — | (122,787) | |||||
Class K | — | (83,519) | — | (5,924,470) | — | (559,618) | |||||
Total distributions from net realized gains | — | (93,080) | — | (5,949,925) | — | (711,930) | |||||
Total distributions to shareholders | (1,260,122) | (2,512,198) | — | (18,034,623) | — | (1,251,212) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 289,005 | 279,238 | 1,751,694 | 964,577 | 4,048,508 | 985,177 | |||||
Reinvestment of distributions | 3,787 | 2,143 | — | 35,397 | — | 42,820 | |||||
Cost of shares redeemed | (81,301) | (153,080) | (37,304) | (2,022,178) | (256,392) | (145,350) | |||||
Net increase (decrease) from capital share transactions | 211,491 | 128,301 | 1,714,390 | (1,022,204) | 3,792,116 | 882,647 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 618,353 | 2,050,309 | 22,101 | 676,051 | 1,226,455 | 4,032,197 | |||||
Reinvestment of distributions | 38,950 | 85,288 | — | 39,333 | — | 216,225 | |||||
Cost of shares redeemed | (506,075) | (3,817,467) | (1,800) | (413,077) | (87,539) | (440,293) | |||||
Net increase (decrease) from capital share transactions | 151,228 | (1,681,870) | 20,301 | 302,307 | 1,138,916 | 3,808,129 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 15,444,992 | 39,320,634 | 49,158,027 | 299,071,533 | 3,568,045 | 8,509,161 | |||||
Reinvestment of distributions | 1,141,381 | 2,209,176 | — | 16,548,709 | — | 940,462 | |||||
Cost of shares redeemed | (8,926,111) | (21,154,747) | (27,329,738) | (143,968,371) | (1,463,686) | (6,508,163) | |||||
Net increase (decrease) from capital share transactions | 7,660,262 | 20,375,063 | 21,828,289 | 171,651,871 | 2,104,359 | 2,941,460 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 8,022,981 | 18,821,494 | 23,562,980 | 170,931,974 | 7,035,391 | 7,632,236 | |||||
Net increase (decrease) in net assets during the period | 4,830,352 | 19,455,194 | 5,376,670 | 234,131,482 | 8,628,964 | 9,362,524 | |||||
Net assets at beginning of period | 108,465,518 | 89,010,324 | 458,492,589 | 224,361,107 | 23,871,941 | 14,509,417 | |||||
NET ASSETS AT END OF PERIOD | $113,295,870 | $108,465,518 | $463,869,259 | $ 458,492,589 | $32,500,905 | $23,871,941 | |||||
Undistributed (distribution in excess of) net investment income (loss) | $ (6,339) | $ 1,658 | $ (215,199) | $ — | $ (11,226) | $ — |
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State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | $ 30,308 | $ 28,379 | $ 164,569 | $ 92,268 | $ 328,404 | $ 80,265 | |||||
Reinvestment of distributions | 397 | 218 | — | 3,355 | — | 3,574 | |||||
Shares redeemed | (8,476) | (15,694) | (3,430) | (187,618) | (20,540) | (11,836) | |||||
Net increase (decrease) | 22,229 | 12,903 | 161,139 | (91,995) | 307,864 | 72,003 | |||||
Class I | |||||||||||
Shares sold | 64,475 | 208,151 | 2,014 | 71,898 | 96,690 | 337,993 | |||||
Reinvestment of distributions | 4,071 | 8,660 | — | 3,728 | — | 18,049 | |||||
Shares redeemed | (52,763) | (385,999) | (169) | (39,309) | (7,285) | (37,895) | |||||
Net increase (decrease) | 15,783 | (169,188) | 1,845 | 36,317 | 89,405 | 318,147 | |||||
Class K | |||||||||||
Shares sold | 1,595,279 | 3,978,064 | 4,539,267 | 29,446,359 | 289,004 | 751,517 | |||||
Reinvestment of distributions | 119,320 | 224,438 | — | 1,567,113 | — | 78,503 | |||||
Shares redeemed | (928,756) | (2,142,554) | (2,553,103) | (13,697,753) | (119,640) | (582,563) | |||||
Net increase (decrease) | 785,843 | 2,059,948 | 1,986,164 | 17,315,719 | 169,364 | 247,457 |
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Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 9.82 | $ 9.75 | $ 9.75 | $10.14 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.09 | 0.21 | 0.16 | 0.21 | 0.02 | ||||
Net realized and unrealized gain (loss) | (0.28) | 0.08 | 0.03 | (0.18) | 0.16 | ||||
Total from investment operations | (0.19) | 0.29 | 0.19 | 0.03 | 0.18 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.21) | (0.18) | (0.26) | (0.04) | ||||
Net realized gains | — | (0.01) | (0.01) | (0.14) | — | ||||
Return of Capital | — | — | — | (0.02) | — | ||||
Total distributions | (0.09) | (0.22) | (0.19) | (0.42) | (0.04) | ||||
Net asset value, end of period | $ 9.54 | $ 9.82 | $ 9.75 | $ 9.75 | $10.14 | ||||
Total return (b) | (1.88)% | 2.93% | 1.91% | 0.35% | 1.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 542 | $ 340 | $ 211 | $ 184 | $ 51 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.59%(d) | 0.58% | 0.67% | 0.66% | 0.91%(d) | ||||
Net expenses (c) | 0.36%(d) | 0.40% | 0.40% | 0.31% | 0.52%(d) | ||||
Net investment income (loss) | 1.87%(d) | 2.11% | 1.65% | 2.11% | 0.58%(d) | ||||
Portfolio turnover rate (e) | 65%(f) | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
(g) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
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Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 9.84 | $ 9.76 | $ 9.74 | $10.13 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.10 | 0.23 | 0.18 | 0.20 | 0.08 | ||||
Net realized and unrealized gain (loss) | (0.27) | 0.09 | 0.06 | (0.14) | 0.09 | ||||
Total from investment operations | (0.17) | 0.32 | 0.24 | 0.06 | 0.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.23) | (0.21) | (0.29) | (0.04) | ||||
Net realized gains | — | (0.01) | (0.01) | (0.14) | — | ||||
Return of Capital | — | — | — | (0.02) | — | ||||
Total distributions | (0.11) | (0.24) | (0.22) | (0.45) | (0.04) | ||||
Net asset value, end of period | $ 9.56 | $ 9.84 | $ 9.76 | $ 9.74 | $10.13 | ||||
Total return (b) | (1.77)% | 3.29% | 2.37% | 0.60% | 1.82% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $10,655 | $10,807 | $12,370 | $4,508 | $4,484 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.29%(d) | 0.26% | 0.33% | 0.41% | 0.88%(d) | ||||
Net expenses (c) | 0.06%(d) | 0.08% | 0.06% | 0.06% | 0.28%(d) | ||||
Net investment income (loss) | 2.20%(d) | 2.30% | 1.83% | 1.95% | 2.91%(d) | ||||
Portfolio turnover rate (e) | 65%(f) | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
(g) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 9.83 | $ 9.75 | $ 9.74 | $ 10.14 | $ 10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.11 | 0.23 | 0.20 | 0.20 | 0.04 | ||||
Net realized and unrealized gain (loss) | (0.27) | 0.09 | 0.03 | (0.15) | 0.15 | ||||
Total from investment operations | (0.16) | 0.32 | 0.23 | 0.05 | �� | 0.19 | |||
Distributions to shareholders from: | |||||||||
Net investment income | (0.11) | (0.23) | (0.21) | (0.29) | (0.05) | ||||
Net realized gains | — | (0.01) | (0.01) | (0.14) | — | ||||
Return of Capital | — | — | — | (0.02) | — | ||||
Total distributions | (0.11) | (0.24) | (0.22) | (0.45) | (0.05) | ||||
Net asset value, end of period | $ 9.56 | $ 9.83 | $ 9.75 | $ 9.74 | $ 10.14 | ||||
Total return (b) | (1.67)% | 3.30% | 2.27% | 0.54% | 1.97% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $102,099 | $97,318 | $76,429 | $49,641 | $70,950 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.29%(d) | 0.26% | 0.33% | 0.41% | 0.50%(d) | ||||
Net expenses (c) | 0.06%(d) | 0.08% | 0.06% | 0.06% | 0.09%(d) | ||||
Net investment income (loss) | 2.23%(d) | 2.37% | 1.98% | 1.88% | 1.33%(d) | ||||
Portfolio turnover rate (e) | 65%(f) | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
(g) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.67 | $ 8.74 | $ 8.45 | $ 9.17 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.13) | 0.08 | 0.31 | 0.15 | 0.04 | ||||
Net realized and unrealized gain (loss) | (0.29) | 2.25 | 0.09 | (0.71) | (0.83) | ||||
Total from investment operations | (0.42) | 2.33 | 0.40 | (0.56) | (0.79) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.26) | (0.11) | (0.16) | (0.04) | ||||
Net realized gains | — | (0.14) | — | — | — | ||||
Total distributions | — | (0.40) | (0.11) | (0.16) | (0.04) | ||||
Net asset value, end of period | $10.25 | $10.67 | $ 8.74 | $ 8.45 | $ 9.17 | ||||
Total return (b) | (3.94)% | 26.68% | 4.75% | (6.17)% | (7.88)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,542 | $ 927 | $1,564 | $ 42 | $ 46 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.74%(d) | 0.53% | 0.58% | 0.70% | 1.17%(d) | ||||
Net expenses (c) | 0.65%(d) | 0.44% | 0.42% | 0.32% | 0.60%(d) | ||||
Net investment income (loss) | (0.65)%(d) | 0.79% | 3.51% | 1.64% | 1.55%(d) | ||||
Portfolio turnover rate (e) | 3%(f) | 2% | 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 of 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.67 | $ 8.74 | $ 8.45 | $ 9.17 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.21 | 0.17 | 0.18 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.41) | 2.14 | 0.25 | (0.72) | (0.83) | ||||
Total from investment operations | (0.41) | 2.35 | 0.42 | (0.54) | (0.78) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.28) | (0.13) | (0.18) | (0.05) | ||||
Net realized gains | — | (0.14) | — | — | — | ||||
Total distributions | — | (0.42) | (0.13) | (0.18) | (0.05) | ||||
Net asset value, end of period | $10.26 | $10.67 | $ 8.74 | $ 8.45 | $ 9.17 | ||||
Total return (c) | (3.84)% | 27.00% | 5.02% | (5.94)% | (7.81)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 980 | $ 999 | $ 501 | $ 42 | $ 46 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.48%(e) | 0.23% | 0.32% | 0.45% | 0.92%(e) | ||||
Net expenses (d) | 0.40%(e) | 0.15% | 0.16% | 0.06% | 0.35%(e) | ||||
Net investment income (loss) | (0.40)%(e) | 2.12% | 2.01% | 1.89% | 1.81%(e) | ||||
Portfolio turnover rate (f) | 3%(g) | 2% | 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 of 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 10.68 | $ 8.74 | $ 8.45 | $ 9.17 | $ 10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.02) | 0.32 | 0.20 | 0.24 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.37) | 2.04 | 0.22 | (0.78) | (0.83) | ||||
Total from investment operations | (0.39) | 2.36 | 0.42 | (0.54) | (0.78) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.28) | (0.13) | (0.18) | (0.05) | ||||
Net realized gains | — | (0.14) | — | — | — | ||||
Total distributions | — | (0.42) | (0.13) | (0.18) | (0.05) | ||||
Net asset value, end of period | $ 10.29 | $ 10.68 | $ 8.74 | $ 8.45 | $ 9.17 | ||||
Total return (b) | (3.65)% | 27.11% | 5.02% | (5.94)% | (7.76)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $460,347 | $456,567 | $222,297 | $57,219 | $40,800 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.17%(d) | 0.18% | 0.23% | 0.45% | 0.73%(d) | ||||
Net expenses (c) | 0.09%(d) | 0.10% | 0.07% | 0.06% | 0.15%(d) | ||||
Net investment income (loss) | (0.09)%(d) | 3.16% | 2.28% | 2.59% | 2.00%(d) | ||||
Portfolio turnover rate (e) | 3%(f) | 2% | 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 of 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. |
Table of Contents
Class A | |||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 10/16/15* - 12/31/15 | ||||
Net asset value, beginning of period | $11.95 | $10.67 | $ 9.30 | $10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | (0.02) | 0.53 | 0.07 | 0.05 | |||
Net realized and unrealized gain (loss) | 0.73 | 1.37 | 1.41 | (0.69) | |||
Total from investment operations | 0.71 | 1.90 | 1.48 | (0.64) | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.25) | (0.11) | (0.06) | |||
Net realized gains | — | (0.37) | (0.00)(b) | — | |||
Total distributions | — | (0.62) | (0.11) | (0.06) | |||
Net asset value, end of period | $12.66 | $11.95 | $10.67 | $ 9.30 | |||
Total return (c) | 5.94% | 17.87% | 15.67% | (6.27)% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $4,943 | $ 988 | $ 114 | $ 97 | |||
Ratios to Average Net Assets: | |||||||
Total expenses (d) | 1.04%(e) | 1.10% | 2.48% | 5.08%(e) | |||
Net expenses (d) | 0.32%(e) | 0.35% | 0.30% | 0.30%(e) | |||
Net investment income (loss) | (0.32)%(e) | 4.60% | 0.69% | 2.55%(e) | |||
Portfolio turnover rate (f) | 11%(g) | 21% | 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 of 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. |
Table of Contents
Class I | |||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 10/16/15* - 12/31/15 | ||||
Net asset value, beginning of period | $11.95 | $10.67 | $ 9.30 | $10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | (0.01) | 0.40 | 0.14 | 0.06 | |||
Net realized and unrealized gain (loss) | 0.74 | 1.53 | 1.37 | (0.70) | |||
Total from investment operations | 0.73 | 1.93 | 1.51 | (0.64) | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.28) | (0.14) | (0.06) | |||
Net realized gains | — | (0.37) | (0.00)(b) | — | |||
Total distributions | — | (0.65) | (0.14) | (0.06) | |||
Net asset value, end of period | $12.68 | $11.95 | $10.67 | $ 9.30 | |||
Total return (c) | 6.11% | 18.16% | 15.96% | (6.18)% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $5,519 | $4,135 | $ 297 | $ 97 | |||
Ratios to Average Net Assets: | |||||||
Total expenses (d) | 0.81%(e) | 0.90% | 2.22% | 4.83%(e) | |||
Net expenses (d) | 0.09%(e) | 0.11% | 0.05% | 0.05%(e) | |||
Net investment income (loss) | (0.09)%(e) | 3.42% | 1.42% | 2.80%(e) | |||
Portfolio turnover rate (f) | 11%(g) | 21% | 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 of 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. |
Table of Contents
Class K | |||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 8/12/15* - 12/31/15 | ||||
Net asset value, beginning of period | $ 11.95 | $ 10.67 | $ 9.30 | $10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | (0.00)(b) | 0.15 | 0.15 | 0.06 | |||
Net realized and unrealized gain (loss) | 0.73 | 1.78 | 1.36 | (0.70) | |||
Total from investment operations | 0.73 | 1.93 | 1.51 | (0.64) | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.28) | (0.14) | (0.06) | |||
Net realized gains | — | (0.37) | (0.00)(b) | — | |||
Total distributions | — | (0.65) | (0.14) | (0.06) | |||
Net asset value, end of period | $ 12.68 | $ 11.95 | $ 10.67 | $ 9.30 | |||
Total return (c) | 6.11% | 18.16% | 16.21% | (6.38)% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $22,039 | $18,750 | $14,098 | $3,930 | |||
Ratios to Average Net Assets: | |||||||
Total expenses (d) | 0.77%(e) | 0.96% | 2.21% | 4.71%(e) | |||
Net expenses (d) | 0.05%(e) | 0.05% | 0.05% | 0.05%(e) | |||
Net investment income (loss) | (0.05)%(e) | 1.29% | 1.51% | 1.49%(e) | |||
Portfolio turnover rate (f) | 11%(g) | 21% | 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 of 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. |
Table of Contents
% of Net Assets | |||
U.S. Treasury Obligations | 36.7% | ||
U.S. Government Agency Obligations | 29.8 | ||
Corporate Bonds & Notes | 24.9 | ||
Foreign Government Obligations | 3.9 | ||
Mortgage-Backed Securities | 1.1 | ||
Asset-Backed Securities | 0.6 | ||
Municipal Bonds & Notes | 0.5 | ||
Short-Term Investment | 3.5 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.7% | ||
Oil & Gas | 1.6 | ||
Electric | 1.6 | ||
Pharmaceuticals | 1.4 | ||
Telecommunications | 1.2 | ||
TOTAL | 11.5% |
Table of Contents
% of Net Assets | |||
Common Stocks | 93.8% | ||
Rights | 0.0 * | ||
Short-Term Investments | 3.6 | ||
Other Assets in Excess of Liabilities | 2.6 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Banks | 13.7% | ||
Oil & Gas | 6.3 | ||
Pharmaceuticals | 5.5 | ||
Insurance | 4.8 | ||
Telecommunications | 3.7 | ||
TOTAL | 34.0% |
Table of Contents
% of Net Assets | |||
Common Stocks | 103.4% | ||
Rights | 0.0 * | ||
Short-Term Investments | 4.0 | ||
Liabilities in Excess of Other Assets | (7.4) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Real Estate Investment Trusts | 9.2% | ||
Banks | 7.0 | ||
Software | 6.6 | ||
Commercial Services | 6.0 | ||
Retail | 3.7 | ||
TOTAL | 32.5% |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 24.9% | |||||
ADVERTISING — 0.0% (a) | |||||
Interpublic Group of Cos., Inc. 4.20%, 4/15/2024 | $ 25,000 | $ 25,156 | |||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 95,619 | |||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 24,368 | |||
145,143 | |||||
AEROSPACE & DEFENSE — 0.5% | |||||
Boeing Co.: | |||||
2.60%, 10/30/2025 | 35,000 | 32,966 | |||
2.80%, 3/1/2023 | 25,000 | 24,474 | |||
3.25%, 3/1/2028 | 25,000 | 24,389 | |||
3.38%, 6/15/2046 | 25,000 | 22,583 | |||
3.55%, 3/1/2038 | 165,000 | 158,933 | |||
3.65%, 3/1/2047 | 100,000 | 94,514 | |||
Embraer Netherlands Finance B.V. 5.05%, 6/15/2025 | 50,000 | 50,656 | |||
General Dynamics Corp.: | |||||
2.25%, 11/15/2022 | 25,000 | 23,945 | |||
2.38%, 11/15/2024 | 250,000 | 234,585 | |||
2.88%, 5/11/2020 | 100,000 | 99,900 | |||
Harris Corp.: | |||||
3.83%, 4/27/2025 | 50,000 | 49,053 | |||
4.40%, 6/15/2028 | 100,000 | 100,785 | |||
L3 Technologies, Inc.: | |||||
3.85%, 6/15/2023 | 70,000 | 69,860 | |||
3.85%, 12/15/2026 | 50,000 | 48,213 | |||
4.95%, 2/15/2021 | 25,000 | 25,719 | |||
Lockheed Martin Corp.: | |||||
2.50%, 11/23/2020 | 300,000 | 296,118 | |||
3.55%, 1/15/2026 | 100,000 | 98,410 | |||
3.60%, 3/1/2035 | 50,000 | 46,686 | |||
4.70%, 5/15/2046 | 110,000 | 116,416 | |||
Northrop Grumman Corp.: | |||||
2.55%, 10/15/2022 | 150,000 | 144,610 | |||
2.93%, 1/15/2025 | 150,000 | 142,395 | |||
3.25%, 8/1/2023 | 200,000 | 197,960 | |||
3.25%, 1/15/2028 | 150,000 | 141,211 | |||
4.03%, 10/15/2047 | 200,000 | 187,210 | |||
4.75%, 6/1/2043 | 25,000 | 26,106 | |||
Raytheon Co.: | |||||
3.13%, 10/15/2020 | 25,000 | 25,108 | |||
4.20%, 12/15/2044 | 25,000 | 26,064 | |||
Rockwell Collins, Inc.: | |||||
2.80%, 3/15/2022 | 200,000 | 195,016 | |||
3.50%, 3/15/2027 | 136,000 | 129,475 | |||
4.35%, 4/15/2047 | 100,000 | 95,595 | |||
United Technologies Corp.: | |||||
1.90%, 5/4/2020 | 300,000 | 294,138 | |||
1.95%, 11/1/2021 | 150,000 | 143,583 | |||
2.65%, 11/1/2026 | 50,000 | 45,104 | |||
2.80%, 5/4/2024 | 250,000 | 237,260 |
Security Description | Principal Amount | Value | |||
3.13%, 5/4/2027 | $ 200,000 | $ 186,116 | |||
4.50%, 6/1/2042 | 250,000 | 246,160 | |||
6.13%, 7/15/2038 | 50,000 | 58,692 | |||
4,140,008 | |||||
AGRICULTURE — 0.3% | |||||
Altria Group, Inc.: | |||||
2.63%, 1/14/2020 | 150,000 | 149,085 | |||
2.85%, 8/9/2022 | 200,000 | 195,594 | |||
3.88%, 9/16/2046 | 100,000 | 88,046 | |||
4.00%, 1/31/2024 | 25,000 | 25,314 | |||
4.50%, 5/2/2043 | 25,000 | 24,063 | |||
Archer-Daniels-Midland Co.: | |||||
3.75%, 9/15/2047 | 50,000 | 46,489 | |||
4.02%, 4/16/2043 | 50,000 | 48,724 | |||
BAT Capital Corp.: | |||||
2.76%, 8/15/2022 (b) | 300,000 | 287,646 | |||
3.22%, 8/15/2024 (b) | 50,000 | 47,377 | |||
3.56%, 8/15/2027 (b) | 100,000 | 93,123 | |||
4.39%, 8/15/2037 (b) | 285,000 | 266,714 | |||
4.54%, 8/15/2047 (b) | 105,000 | 98,223 | |||
Bunge, Ltd. Finance Corp. 3.75%, 9/25/2027 | 30,000 | 28,221 | |||
Philip Morris International, Inc.: | |||||
2.00%, 2/21/2020 | 150,000 | 147,633 | |||
2.13%, 5/10/2023 | 75,000 | 70,308 | |||
2.63%, 2/18/2022 | 25,000 | 24,371 | |||
2.75%, 2/25/2026 | 125,000 | 116,157 | |||
3.13%, 3/2/2028 | 200,000 | 189,368 | |||
4.13%, 3/4/2043 | 25,000 | 23,184 | |||
4.50%, 3/26/2020 | 25,000 | 25,599 | |||
4.50%, 3/20/2042 | 50,000 | 49,088 | |||
Reynolds American, Inc.: | |||||
4.00%, 6/12/2022 | 50,000 | 50,320 | |||
5.70%, 8/15/2035 | 25,000 | 26,895 | |||
5.85%, 8/15/2045 | 175,000 | 191,692 | |||
2,313,234 | |||||
AIRLINES — 0.1% | |||||
American Airlines 2014-1 Pass Through Trust, Class A Series A, 3.70%, 4/1/2028 | 20,100 | 19,638 | |||
American Airlines 2017-2 Pass Through Trust, Class AA Series AA, 3.35%, 4/15/2031 | 100,000 | 95,629 | |||
Delta Air Lines, Inc.: | |||||
2.60%, 12/4/2020 | 250,000 | 244,668 | |||
2.88%, 3/13/2020 | 100,000 | 99,435 | |||
3.63%, 3/15/2022 | 250,000 | 247,115 | |||
Southwest Airlines Co. 2.75%, 11/6/2019 | 25,000 | 24,905 | |||
United Airlines 2016-1 Pass Through Trust, Class AA Series AA, 3.10%, 1/7/2030 | 48,681 | 45,942 | |||
United Airlines 2018-1 Pass Through Trust, Class AA Series AA, 3.50%, 9/1/2031 | 115,000 | 111,081 | |||
888,413 |
Table of Contents
Security Description | Principal Amount | Value | |||
APPAREL — 0.0% (a) | |||||
NIKE, Inc.: | |||||
2.38%, 11/1/2026 | $ 50,000 | $ 45,503 | |||
3.88%, 11/1/2045 | 30,000 | 29,039 | |||
74,542 | |||||
AUTO MANUFACTURERS — 0.5% | |||||
American Honda Finance Corp.: | |||||
Series MTN, 1.95%, 7/20/2020 | 25,000 | 24,459 | |||
Series MTN, 2.00%, 11/13/2019 | 250,000 | 247,143 | |||
Series MTN, 2.25%, 8/15/2019 | 25,000 | 24,856 | |||
Series MTN, 2.45%, 9/24/2020 | 75,000 | 74,014 | |||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 48,421 | |||
Ford Motor Co.: | |||||
4.35%, 12/8/2026 | 100,000 | 97,892 | |||
4.75%, 1/15/2043 | 50,000 | 43,226 | |||
5.29%, 12/8/2046 | 100,000 | 92,649 | |||
Ford Motor Credit Co. LLC: | |||||
2.34%, 11/2/2020 | 250,000 | 243,465 | |||
2.68%, 1/9/2020 | 300,000 | 297,228 | |||
2.98%, 8/3/2022 | 200,000 | 192,318 | |||
3.10%, 5/4/2023 | 100,000 | 95,336 | |||
3.34%, 3/18/2021 | 150,000 | 148,590 | |||
3.82%, 11/2/2027 | 250,000 | 231,525 | |||
Series GMTN, 4.39%, 1/8/2026 | 100,000 | 98,300 | |||
General Motors Co.: | |||||
5.15%, 4/1/2038 | 200,000 | 189,778 | |||
6.60%, 4/1/2036 | 100,000 | 109,223 | |||
6.75%, 4/1/2046 | 25,000 | 27,543 | |||
General Motors Financial Co., Inc.: | |||||
3.15%, 1/15/2020 | 35,000 | 34,945 | |||
3.15%, 6/30/2022 | 250,000 | 242,822 | |||
3.20%, 7/13/2020 | 25,000 | 24,864 | |||
3.20%, 7/6/2021 | 100,000 | 98,558 | |||
3.45%, 1/14/2022 | 50,000 | 49,336 | |||
3.70%, 5/9/2023 | 100,000 | 98,210 | |||
3.95%, 4/13/2024 | 150,000 | 146,880 | |||
4.00%, 1/15/2025 | 35,000 | 34,075 | |||
4.15%, 6/19/2023 | 200,000 | 200,088 | |||
4.35%, 1/17/2027 | 185,000 | 179,431 | |||
5.25%, 3/1/2026 | 100,000 | 103,409 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 48,292 | |||
Series MTN, 3.10%, 5/10/2021 | 40,000 | 40,079 | |||
Toyota Motor Credit Corp.: | |||||
1.95%, 4/17/2020 | 100,000 | 98,300 | |||
Series GMTN, 1.90%, 4/8/2021 | 275,000 | 266,538 | |||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 24,572 | |||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 47,443 | |||
Series MTN, 2.15%, 9/8/2022 | 50,000 | 47,739 | |||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 48,433 | |||
Series MTN, 2.95%, 4/13/2021 | 50,000 | 49,808 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.40%, 4/14/2025 | $ 100,000 | $ 98,882 | |||
4,268,670 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (a) | |||||
Aptiv PLC: | |||||
4.25%, 1/15/2026 | 25,000 | 24,958 | |||
4.40%, 10/1/2046 | 30,000 | 27,984 | |||
Lear Corp. 5.25%, 1/15/2025 | 20,000 | 20,550 | |||
73,492 | |||||
BANKS — 5.7% | |||||
Australia & New Zealand Banking Group, Ltd.: | |||||
2.63%, 5/19/2022 | 250,000 | 242,007 | |||
Series MTN, 2.30%, 6/1/2021 | 100,000 | 97,174 | |||
Banco Bilbao Vizcaya Argentaria SA 3.00%, 10/20/2020 | 25,000 | 24,784 | |||
Banco Santander SA: | |||||
3.13%, 2/23/2023 | 200,000 | 189,702 | |||
4.38%, 4/12/2028 | 200,000 | 190,898 | |||
Bank of America Corp.: | |||||
6.11%, 1/29/2037 | 75,000 | 86,286 | |||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (c) | 250,000 | 247,245 | |||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (c) | 96,000 | 93,129 | |||
3 Month USD LIBOR + 1.02%, 2.88%, 4/24/2023 (c) | 234,000 | 227,556 | |||
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (c) | 360,000 | 339,293 | |||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 194,062 | |||
Series GMTN, 2.63%, 4/19/2021 | 600,000 | 589,356 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 125,718 | |||
Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021 (c) | 250,000 | 244,990 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 238,755 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 48,964 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 47,893 | |||
Series MTN, 3.25%, 10/21/2027 | 400,000 | 372,712 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 50,452 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 25,401 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 50,247 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 52,304 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 105,842 | |||
Series MTN, 3 Month USD LIBOR + 0.63%, 3.50%, 5/17/2022 (c) | 200,000 | 200,078 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | $ 500,000 | $ 476,830 | |||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (c) | 200,000 | 196,634 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 147,003 | |||
Bank of Montreal: | |||||
Series D, 3.10%, 4/13/2021 | 60,000 | 59,755 | |||
Series MTN, 1.90%, 8/27/2021 | 300,000 | 287,418 | |||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 28,945 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 2.15%, 2/24/2020 | 325,000 | 321,097 | |||
Series G, 3.00%, 2/24/2025 | 100,000 | 96,385 | |||
Series MTN, 2.05%, 5/3/2021 | 50,000 | 48,442 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 187,692 | |||
Series MTN, 2.60%, 2/7/2022 | 275,000 | 268,958 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 96,423 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 232,567 | |||
Bank of Nova Scotia: | |||||
2.35%, 10/21/2020 | 100,000 | 98,119 | |||
2.70%, 3/7/2022 | 100,000 | 97,700 | |||
3 Month USD LIBOR + 1.65%, 4.65%, 10/12/2022 (c) | 250,000 | 226,347 | |||
Series BKNT, 2.45%, 3/22/2021 | 200,000 | 195,582 | |||
Series BKNT, 2.50%, 1/8/2021 | 250,000 | 245,457 | |||
Barclays Bank PLC 5.14%, 10/14/2020 | 100,000 | 102,410 | |||
Barclays PLC: | |||||
2.65%, 1/11/2021 | 200,000 | 195,488 | |||
3.20%, 8/10/2021 | 200,000 | 195,992 | |||
3.68%, 1/10/2023 | 200,000 | 194,458 | |||
4.38%, 1/12/2026 | 50,000 | 48,644 | |||
5.25%, 8/17/2045 | 25,000 | 24,368 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | 200,000 | 198,110 | |||
BB&T Corp.: | |||||
Series MTN, 2.15%, 2/1/2021 | 275,000 | 268,106 | |||
Series MTN, 2.63%, 6/29/2020 | 50,000 | 49,478 | |||
BNP Paribas SA: | |||||
Series BKNT, 5.00%, 1/15/2021 | 100,000 | 103,918 | |||
Series MTN, 4.25%, 10/15/2024 | 250,000 | 246,505 | |||
BPCE SA Series MTN, 2.50%, 7/15/2019 | 100,000 | 99,393 | |||
Branch Banking & Trust Co.: | |||||
2.10%, 1/15/2020 | 250,000 | 246,315 | |||
3.63%, 9/16/2025 | 25,000 | 24,619 | |||
Canadian Imperial Bank of Commerce: | |||||
2.55%, 6/16/2022 | 50,000 | 48,351 | |||
2.70%, 2/2/2021 | 85,000 | 83,679 | |||
Capital One Financial Corp.: | |||||
2.50%, 5/12/2020 | 500,000 | 492,485 |
Security Description | Principal Amount | Value | |||
3.30%, 10/30/2024 | $ 100,000 | $ 95,389 | |||
3.75%, 7/28/2026 | 125,000 | 116,256 | |||
Capital One NA: | |||||
Series BKNT, 1.85%, 9/13/2019 | 250,000 | 246,362 | |||
Series BKNT, 2.95%, 7/23/2021 | 75,000 | 73,680 | |||
Citibank NA: | |||||
Series BKNT, 2.10%, 6/12/2020 | 250,000 | 244,813 | |||
Series BKNT, 2.13%, 10/20/2020 | 275,000 | 267,787 | |||
Citigroup, Inc.: | |||||
2.35%, 8/2/2021 | 50,000 | 48,313 | |||
2.45%, 1/10/2020 | 300,000 | 296,676 | |||
2.70%, 3/30/2021 | 175,000 | 171,589 | |||
2.70%, 10/27/2022 | 250,000 | 240,107 | |||
2.75%, 4/25/2022 | 300,000 | 290,310 | |||
2.90%, 12/8/2021 | 250,000 | 244,872 | |||
3.20%, 10/21/2026 | 300,000 | 278,889 | |||
3.75%, 6/16/2024 | 25,000 | 24,803 | |||
4.13%, 7/25/2028 | 70,000 | 67,035 | |||
4.30%, 11/20/2026 | 50,000 | 48,929 | |||
4.40%, 6/10/2025 | 250,000 | 249,057 | |||
4.45%, 9/29/2027 | 150,000 | 147,414 | |||
4.65%, 7/30/2045 | 25,000 | 24,875 | |||
5.30%, 5/6/2044 | 50,000 | 51,447 | |||
6.68%, 9/13/2043 | 175,000 | 211,902 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (c) | 100,000 | 96,432 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 95,229 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | 250,000 | 242,227 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (c) | 150,000 | 142,426 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 234,547 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 10/30/2020 | 250,000 | 243,500 | |||
Commonwealth Bank of Australia Series GMTN, 2.55%, 3/15/2021 | 100,000 | 97,999 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 240,692 | |||
3.88%, 2/8/2022 | 50,000 | 50,689 | |||
4.38%, 8/4/2025 | 250,000 | 245,177 | |||
4.50%, 1/11/2021 | 50,000 | 51,413 | |||
5.75%, 12/1/2043 | 50,000 | 55,803 | |||
Series GMTN, 2.50%, 1/19/2021 | 300,000 | 294,081 | |||
Credit Suisse AG 5.30%, 8/13/2019 | 100,000 | 102,595 | |||
Credit Suisse Group Funding Guernsey, Ltd.: | |||||
2.75%, 3/26/2020 | 300,000 | 296,688 | |||
3.13%, 12/10/2020 | 450,000 | 446,872 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.80%, 6/9/2023 | $ 150,000 | $ 148,329 | |||
Deutsche Bank AG: | |||||
2.70%, 7/13/2020 | 275,000 | 267,806 | |||
2.95%, 8/20/2020 | 50,000 | 48,581 | |||
3.30%, 11/16/2022 | 250,000 | 234,375 | |||
3.70%, 5/30/2024 | 50,000 | 46,413 | |||
4.25%, 10/14/2021 | 200,000 | 197,044 | |||
Discover Bank: | |||||
3.35%, 2/6/2023 | 250,000 | 243,870 | |||
3.45%, 7/27/2026 | 25,000 | 23,206 | |||
Fifth Third Bancorp 3.95%, 3/14/2028 | 100,000 | 98,684 | |||
Fifth Third Bank: | |||||
Series BKNT, 2.25%, 6/14/2021 | 50,000 | 48,698 | |||
Series BKNT, 3.85%, 3/15/2026 | 225,000 | 221,220 | |||
Goldman Sachs Group, Inc.: | |||||
2.30%, 12/13/2019 | 350,000 | 346,122 | |||
2.35%, 11/15/2021 | 175,000 | 168,472 | |||
2.55%, 10/23/2019 | 25,000 | 24,849 | |||
2.60%, 12/27/2020 | 250,000 | 245,610 | |||
2.63%, 4/25/2021 | 150,000 | 146,659 | |||
2.75%, 9/15/2020 | 250,000 | 247,222 | |||
2.88%, 2/25/2021 | 25,000 | 24,660 | |||
3.00%, 4/26/2022 | 250,000 | 244,130 | |||
3.50%, 1/23/2025 | 50,000 | 48,281 | |||
3.50%, 11/16/2026 | 250,000 | 235,212 | |||
3.63%, 1/22/2023 | 25,000 | 24,852 | |||
3.75%, 2/25/2026 | 50,000 | 48,475 | |||
4.00%, 3/3/2024 | 50,000 | 50,075 | |||
4.75%, 10/21/2045 | 50,000 | 49,407 | |||
5.15%, 5/22/2045 | 250,000 | 247,905 | |||
5.95%, 1/15/2027 | 50,000 | 54,427 | |||
6.25%, 2/1/2041 | 200,000 | 234,226 | |||
6.75%, 10/1/2037 | 150,000 | 177,826 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (c) | 250,000 | 240,965 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 181,946 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 336,816 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 237,192 | |||
3 Month USD LIBOR + 0.82%, 2.88%, 10/31/2022 (c) | 275,000 | 268,504 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 308,574 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 49,858 | |||
HSBC Holdings PLC: | |||||
2.65%, 1/5/2022 | 325,000 | 314,619 | |||
2.95%, 5/25/2021 | 250,000 | 246,452 | |||
3.40%, 3/8/2021 | 275,000 | 274,763 | |||
3.60%, 5/25/2023 | 250,000 | 247,602 | |||
4.30%, 3/8/2026 | 250,000 | 251,002 | |||
5.10%, 4/5/2021 | 50,000 | 52,239 | |||
5.25%, 3/14/2044 | 200,000 | 203,300 | |||
6.50%, 9/15/2037 | 200,000 | 234,598 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | $ 250,000 | $ 243,145 | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (c) | 250,000 | 241,170 | |||
Huntington Bancshares, Inc.: | |||||
2.30%, 1/14/2022 | 25,000 | 24,002 | |||
4.00%, 5/15/2025 | 100,000 | 100,379 | |||
Industrial & Commercial Bank of China, Ltd. Series MTN, 3.23%, 11/13/2019 | 50,000 | 49,885 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 48,989 | |||
JPMorgan Chase & Co.: | |||||
2.20%, 10/22/2019 | 300,000 | 297,090 | |||
2.25%, 1/23/2020 | 150,000 | 148,063 | |||
2.40%, 6/7/2021 | 550,000 | 535,650 | |||
2.55%, 3/1/2021 | 250,000 | 245,007 | |||
2.70%, 5/18/2023 | 125,000 | 119,935 | |||
2.95%, 10/1/2026 | 350,000 | 325,265 | |||
2.97%, 1/15/2023 | 50,000 | 48,680 | |||
3.38%, 5/1/2023 | 75,000 | 73,234 | |||
3.88%, 2/1/2024 | 50,000 | 50,464 | |||
4.13%, 12/15/2026 | 50,000 | 49,403 | |||
4.25%, 10/1/2027 | 80,000 | 79,305 | |||
4.85%, 2/1/2044 | 50,000 | 52,156 | |||
4.95%, 6/1/2045 | 50,000 | 50,853 | |||
5.40%, 1/6/2042 | 50,000 | 55,470 | |||
5.50%, 10/15/2040 | 150,000 | 168,173 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (c) | 75,000 | 74,302 | |||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (c) | 338,000 | 327,755 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | 185,000 | 175,065 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 96,465 | |||
3 Month USD LIBOR + 1.22%, 3.90%, 1/23/2049 (c) | 200,000 | 180,042 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 244,107 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 184,462 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 191,382 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 89,861 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 45,595 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 94,586 | |||
JPMorgan Chase Bank NA: | |||||
3 Month USD LIBOR + 0.28%, 2.60%, 2/1/2021 (c) | 250,000 | 247,790 | |||
Series BKNT, 3 Month USD LIBOR + 0.35%, 3.09%, 4/26/2021 (c) | 350,000 | 349,286 | |||
KeyBank NA: |
Table of Contents
Security Description | Principal Amount | Value | |||
Series BKNT, 2.30%, 9/14/2022 | $ 250,000 | $ 238,290 | |||
Series MTN, 3.40%, 5/20/2026 | 25,000 | 23,768 | |||
KeyCorp. Series MTN, 2.90%, 9/15/2020 | 100,000 | 99,180 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 23,532 | |||
2.25%, 10/1/2021 | 50,000 | 49,109 | |||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 45,432 | |||
Lloyds Banking Group PLC: | |||||
3.00%, 1/11/2022 | 200,000 | 194,706 | |||
3.75%, 1/11/2027 | 300,000 | 283,896 | |||
4.34%, 1/9/2048 | 200,000 | 171,652 | |||
4.65%, 3/24/2026 | 100,000 | 98,478 | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (c) | 200,000 | 190,466 | |||
Manufacturers & Traders Trust Co. Series BKNT, 2.63%, 1/25/2021 | 250,000 | 246,015 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
2.19%, 9/13/2021 | 50,000 | 48,075 | |||
2.67%, 7/25/2022 | 300,000 | 289,389 | |||
2.76%, 9/13/2026 | 25,000 | 22,984 | |||
3.00%, 2/22/2022 | 50,000 | 49,087 | |||
3.29%, 7/25/2027 | 50,000 | 47,617 | |||
3.46%, 3/2/2023 | 50,000 | 49,544 | |||
3.68%, 2/22/2027 | 50,000 | 49,120 | |||
3.78%, 3/2/2025 | 50,000 | 49,824 | |||
3.85%, 3/1/2026 | 25,000 | 24,888 | |||
3.96%, 3/2/2028 | 50,000 | 50,205 | |||
Mizuho Financial Group, Inc.: | |||||
2.95%, 2/28/2022 | 200,000 | 195,172 | |||
4.02%, 3/5/2028 | 200,000 | 200,496 | |||
Morgan Stanley: | |||||
2.75%, 5/19/2022 | 450,000 | 436,324 | |||
2.80%, 6/16/2020 | 350,000 | 347,123 | |||
3.63%, 1/20/2027 | 100,000 | 96,207 | |||
3.95%, 4/23/2027 | 25,000 | 23,868 | |||
4.30%, 1/27/2045 | 50,000 | 47,254 | |||
4.38%, 1/22/2047 | 100,000 | 95,329 | |||
6.38%, 7/24/2042 | 65,000 | 79,585 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | 100,000 | 95,051 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 92,180 | |||
Series GMTN, 2.38%, 7/23/2019 | 50,000 | 49,730 | |||
Series GMTN, 2.50%, 4/21/2021 | 225,000 | 219,672 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 292,572 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 50,067 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 123,032 |
Security Description | Principal Amount | Value | |||
Series GMTN, 4.00%, 7/23/2025 | $ 500,000 | $ 498,470 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 49,335 | |||
Series GMTN, 3 Month USD LIBOR + 1.14%, 3.77%, 1/24/2029 (c) | 250,000 | 241,060 | |||
Series MTN, 2.63%, 11/17/2021 | 250,000 | 243,160 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 209,412 | |||
MUFG Americas Holdings Corp. 2.25%, 2/10/2020 | 25,000 | 24,612 | |||
National Australia Bank, Ltd.: | |||||
1.38%, 7/12/2019 | 50,000 | 49,250 | |||
1.88%, 7/12/2021 | 250,000 | 238,817 | |||
2.50%, 7/12/2026 | 50,000 | 45,235 | |||
2.88%, 4/12/2023 | 250,000 | 241,770 | |||
Northern Trust Corp. 3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 59,053 | |||
PNC Bank NA: | |||||
3.25%, 1/22/2028 | 250,000 | 239,125 | |||
Series BKNT, 2.15%, 4/29/2021 | 250,000 | 242,607 | |||
Series BKNT, 2.40%, 10/18/2019 | 200,000 | 198,638 | |||
Series BKNT, 2.63%, 2/17/2022 | 250,000 | 243,697 | |||
PNC Financial Services Group, Inc.: | |||||
3.15%, 5/19/2027 | 100,000 | 95,120 | |||
3.30%, 3/8/2022 | 50,000 | 49,808 | |||
3.90%, 4/29/2024 | 50,000 | 50,087 | |||
Regions Bank 2.75%, 4/1/2021 | 250,000 | 245,897 | |||
Regions Financial Corp. 3.20%, 2/8/2021 | 25,000 | 24,883 | |||
Royal Bank of Canada: | |||||
1.88%, 2/5/2020 | 250,000 | 246,012 | |||
2.30%, 3/22/2021 | 125,000 | 122,469 | |||
Series GMTN, 2.13%, 3/2/2020 | 100,000 | 98,514 | |||
Series GMTN, 2.50%, 1/19/2021 | 100,000 | 98,216 | |||
Series GMTN, 3.20%, 4/30/2021 | 75,000 | 74,972 | |||
Series GMTN, 4.65%, 1/27/2026 | 100,000 | 101,578 | |||
Royal Bank of Scotland Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 72,911 | |||
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (c) | 250,000 | 242,337 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 48,349 | |||
3.70%, 3/28/2022 | 60,000 | 59,150 | |||
4.40%, 7/13/2027 | 50,000 | 47,843 | |||
4.50%, 7/17/2025 | 50,000 | 49,094 | |||
Santander UK Group Holdings PLC: |
Table of Contents
Security Description | Principal Amount | Value | |||
2.88%, 10/16/2020 | $ 100,000 | $ 98,747 | |||
3.57%, 1/10/2023 | 250,000 | 242,838 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) | 200,000 | 183,724 | |||
Skandinaviska Enskilda Banken AB 1.88%, 9/13/2021 | 50,000 | 47,804 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
2.44%, 10/19/2021 | 70,000 | 67,689 | |||
2.78%, 7/12/2022 | 350,000 | 338,789 | |||
2.78%, 10/18/2022 | 100,000 | 96,619 | |||
2.85%, 1/11/2022 | 250,000 | 243,560 | |||
2.93%, 3/9/2021 | 100,000 | 98,821 | |||
3.01%, 10/19/2026 | 50,000 | 46,823 | |||
3.10%, 1/17/2023 | 200,000 | 195,488 | |||
3.36%, 7/12/2027 | 50,000 | 47,907 | |||
3.78%, 3/9/2026 | 30,000 | 29,757 | |||
SunTrust Bank: | |||||
Series BKNT, 2.25%, 1/31/2020 | 50,000 | 49,367 | |||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 48,119 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 97,819 | |||
SunTrust Banks, Inc.: | |||||
2.70%, 1/27/2022 | 50,000 | 48,674 | |||
4.00%, 5/1/2025 | 100,000 | 100,501 | |||
Svenska Handelsbanken AB: | |||||
1.95%, 9/8/2020 | 168,000 | 163,536 | |||
Series GMTN, 2.40%, 10/1/2020 | 75,000 | 73,639 | |||
Synchrony Bank 3.00%, 6/15/2022 | 250,000 | 240,678 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 14,363 | |||
Toronto-Dominion Bank: | |||||
1.45%, 8/13/2019 | 325,000 | 320,232 | |||
Series GMTN, 2.50%, 12/14/2020 | 50,000 | 49,196 | |||
Series GMTN, 2.55%, 1/25/2021 | 100,000 | 98,459 | |||
Series MTN, 3.25%, 6/11/2021 | 100,000 | 100,098 | |||
UBS AG Series GMTN, 2.35%, 3/26/2020 | 100,000 | 98,862 | |||
US Bancorp: | |||||
Series MTN, 2.35%, 1/29/2021 | 100,000 | 98,074 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 47,238 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 24,732 | |||
Series V, 2.63%, 1/24/2022 | 300,000 | 293,781 | |||
US Bank NA Series BKNT, 3.15%, 4/26/2021 | 350,000 | 350,430 | |||
Wells Fargo & Co.: | |||||
2.10%, 7/26/2021 | 300,000 | 288,162 | |||
2.50%, 3/4/2021 | 50,000 | 48,898 | |||
3.00%, 4/22/2026 | 250,000 | 229,570 | |||
3.00%, 10/23/2026 | 250,000 | 230,867 | |||
3.07%, 1/24/2023 | 250,000 | 242,947 |
Security Description | Principal Amount | Value | |||
4.13%, 8/15/2023 | $ 25,000 | $ 25,123 | |||
4.48%, 1/16/2024 | 25,000 | 25,511 | |||
5.38%, 11/2/2043 | 150,000 | 156,123 | |||
5.61%, 1/15/2044 | 325,000 | 348,250 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 49,314 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 149,130 | |||
Series MTN, 2.63%, 7/22/2022 | 365,000 | 351,035 | |||
Series MTN, 3.00%, 1/22/2021 | 50,000 | 49,625 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 145,078 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 48,585 | |||
Series MTN, 4.75%, 12/7/2046 | 150,000 | 144,782 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 334,796 | |||
Wells Fargo Bank NA: | |||||
Series BKNT, 2.15%, 12/6/2019 | 300,000 | 296,541 | |||
Series BKNT, 2.60%, 1/15/2021 | 250,000 | 246,035 | |||
Wells Fargo Capital 5.95%, 12/1/2086 | 25,000 | 26,902 | |||
Westpac Banking Corp.: | |||||
2.15%, 3/6/2020 | 200,000 | 196,922 | |||
2.65%, 1/25/2021 | 100,000 | 98,565 | |||
2.80%, 1/11/2022 | 100,000 | 97,774 | |||
2.85%, 5/13/2026 | 50,000 | 46,358 | |||
3.05%, 5/15/2020 | 100,000 | 99,886 | |||
3.35%, 3/8/2027 | 150,000 | 143,661 | |||
3.40%, 1/25/2028 | 100,000 | 95,657 | |||
3.65%, 5/15/2023 | 100,000 | 99,967 | |||
47,060,306 | |||||
BEVERAGES — 0.7% | |||||
Anheuser-Busch InBev Finance, Inc.: | |||||
2.65%, 2/1/2021 | 455,000 | 448,525 | |||
3.30%, 2/1/2023 | 350,000 | 347,011 | |||
3.65%, 2/1/2026 | 250,000 | 244,795 | |||
4.70%, 2/1/2036 | 425,000 | 430,100 | |||
4.90%, 2/1/2046 | 475,000 | 488,580 | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||||
2.50%, 7/15/2022 | 50,000 | 48,304 | |||
3.50%, 1/12/2024 | 100,000 | 99,447 | |||
3.75%, 1/15/2022 | 200,000 | 202,906 | |||
3.75%, 7/15/2042 | 50,000 | 43,930 | |||
4.00%, 4/13/2028 | 80,000 | 79,774 | |||
4.38%, 4/15/2038 | 215,000 | 209,158 | |||
4.60%, 4/15/2048 | 35,000 | 34,461 | |||
4.75%, 4/15/2058 | 25,000 | 24,563 | |||
4.95%, 1/15/2042 | 250,000 | 260,310 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 49,680 | |||
4.00%, 4/15/2038 | 50,000 | 49,834 | |||
Coca-Cola Co.: | |||||
1.55%, 9/1/2021 | 200,000 | 191,308 |
Table of Contents
Security Description | Principal Amount | Value | |||
2.20%, 5/25/2022 | $ 200,000 | $ 194,122 | |||
2.25%, 9/1/2026 | 25,000 | 22,636 | |||
2.88%, 10/27/2025 | 25,000 | 23,970 | |||
3.20%, 11/1/2023 | 25,000 | 24,967 | |||
Constellation Brands, Inc.: | |||||
2.25%, 11/6/2020 | 250,000 | 244,105 | |||
2.70%, 5/9/2022 | 50,000 | 48,372 | |||
3.75%, 5/1/2021 | 5,000 | 5,047 | |||
3.88%, 11/15/2019 | 5,000 | 5,053 | |||
4.25%, 5/1/2023 | 25,000 | 25,390 | |||
4.50%, 5/9/2047 | 50,000 | 47,817 | |||
Diageo Capital PLC: | |||||
2.63%, 4/29/2023 | 75,000 | 72,565 | |||
3.88%, 5/18/2028 | 200,000 | 201,684 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 25,543 | |||
Dr Pepper Snapple Group, Inc. 3.13%, 12/15/2023 | 50,000 | 47,803 | |||
Maple Escrow Subsidiary, Inc.: | |||||
4.06%, 5/25/2023 (b) | 50,000 | 50,176 | |||
5.09%, 5/25/2048 (b) | 25,000 | 25,190 | |||
Molson Coors Brewing Co.: | |||||
2.10%, 7/15/2021 | 250,000 | 239,720 | |||
2.25%, 3/15/2020 | 50,000 | 49,196 | |||
3.00%, 7/15/2026 | 50,000 | 45,493 | |||
4.20%, 7/15/2046 | 30,000 | 26,861 | |||
PepsiCo, Inc.: | |||||
1.70%, 10/6/2021 | 150,000 | 143,545 | |||
1.85%, 4/30/2020 | 25,000 | 24,560 | |||
2.00%, 4/15/2021 | 250,000 | 243,470 | |||
2.15%, 10/14/2020 | 50,000 | 49,183 | |||
2.25%, 5/2/2022 | 300,000 | 290,316 | |||
2.85%, 2/24/2026 | 85,000 | 80,815 | |||
3.45%, 10/6/2046 | 150,000 | 133,965 | |||
3.60%, 3/1/2024 | 25,000 | 25,281 | |||
4.45%, 4/14/2046 | 75,000 | 78,724 | |||
4.60%, 7/17/2045 | 25,000 | 26,927 | |||
5,775,182 | |||||
BIOTECHNOLOGY — 0.4% | |||||
Amgen, Inc.: | |||||
1.85%, 8/19/2021 | 200,000 | 191,224 | |||
2.65%, 5/11/2022 | 150,000 | 145,497 | |||
3.20%, 11/2/2027 | 250,000 | 234,100 | |||
3.63%, 5/22/2024 | 100,000 | 99,565 | |||
4.40%, 5/1/2045 | 50,000 | 47,794 | |||
4.56%, 6/15/2048 | 200,000 | 195,890 | |||
4.66%, 6/15/2051 | 225,000 | 222,332 | |||
6.38%, 6/1/2037 | 50,000 | 59,888 | |||
Baxalta, Inc.: | |||||
2.88%, 6/23/2020 | 25,000 | 24,715 | |||
4.00%, 6/23/2025 | 25,000 | 24,474 | |||
Biogen, Inc.: | |||||
2.90%, 9/15/2020 | 25,000 | 24,867 | |||
4.05%, 9/15/2025 | 50,000 | 50,224 | |||
5.20%, 9/15/2045 | 25,000 | 26,445 | |||
Celgene Corp.: | |||||
2.88%, 8/15/2020 | 225,000 | 223,177 |
Security Description | Principal Amount | Value | |||
2.88%, 2/19/2021 | $ 25,000 | $ 24,739 | |||
3.25%, 2/20/2023 | 50,000 | 48,835 | |||
3.63%, 5/15/2024 | 25,000 | 24,400 | |||
3.88%, 8/15/2025 | 25,000 | 24,306 | |||
3.90%, 2/20/2028 | 100,000 | 94,974 | |||
4.35%, 11/15/2047 | 225,000 | 198,538 | |||
4.55%, 2/20/2048 | 100,000 | 91,199 | |||
4.63%, 5/15/2044 | 50,000 | 46,450 | |||
Gilead Sciences, Inc.: | |||||
1.95%, 3/1/2022 | 5,000 | 4,774 | |||
2.55%, 9/1/2020 | 250,000 | 246,972 | |||
2.95%, 3/1/2027 | 25,000 | 23,373 | |||
3.25%, 9/1/2022 | 250,000 | 248,402 | |||
3.65%, 3/1/2026 | 85,000 | 83,919 | |||
4.15%, 3/1/2047 | 120,000 | 114,684 | |||
4.40%, 12/1/2021 | 25,000 | 25,840 | |||
4.50%, 2/1/2045 | 25,000 | 24,985 | |||
4.60%, 9/1/2035 | 100,000 | 102,963 | |||
4.75%, 3/1/2046 | 175,000 | 180,766 | |||
4.80%, 4/1/2044 | 25,000 | 25,959 | |||
3,206,270 | |||||
BUILDING MATERIALS — 0.1% | |||||
Johnson Controls International PLC: | |||||
4.50%, 2/15/2047 | 320,000 | 308,569 | |||
3.63%, 7/2/2024 (d) | 25,000 | 24,643 | |||
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | 100,000 | 86,350 | |||
Masco Corp.: | |||||
3.50%, 4/1/2021 | 30,000 | 29,945 | |||
4.38%, 4/1/2026 | 170,000 | 169,237 | |||
Owens Corning 4.30%, 7/15/2047 | 100,000 | 82,159 | |||
Vulcan Materials Co. 4.70%, 3/1/2048 (b) | 100,000 | 93,606 | |||
794,509 | |||||
CHEMICALS — 0.4% | |||||
Celanese US Holdings LLC: | |||||
4.63%, 11/15/2022 | 10,000 | 10,296 | |||
5.88%, 6/15/2021 | 10,000 | 10,599 | |||
Dow Chemical Co.: | |||||
3.00%, 11/15/2022 | 275,000 | 267,899 | |||
4.25%, 11/15/2020 | 25,000 | 25,549 | |||
4.25%, 10/1/2034 | 50,000 | 48,299 | |||
4.38%, 11/15/2042 | 50,000 | 47,315 | |||
Eastman Chemical Co. 3.80%, 3/15/2025 | 25,000 | 24,749 | |||
EI du Pont de Nemours & Co.: | |||||
2.20%, 5/1/2020 | 183,000 | 180,409 | |||
3.63%, 1/15/2021 | 25,000 | 25,290 | |||
4.63%, 1/15/2020 | 50,000 | 51,330 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 24,860 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 | 250,000 | 235,005 |
Table of Contents
Security Description | Principal Amount | Value | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | $ 25,000 | $ 23,118 | |||
5.75%, 4/15/2024 | 100,000 | 108,007 | |||
Monsanto Co.: | |||||
2.13%, 7/15/2019 | 200,000 | 198,046 | |||
2.75%, 7/15/2021 | 50,000 | 48,862 | |||
4.70%, 7/15/2064 | 25,000 | 21,941 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 243,633 | |||
4.05%, 11/15/2027 | 250,000 | 238,652 | |||
5.63%, 11/15/2043 | 25,000 | 25,153 | |||
Nutrien, Ltd.: | |||||
3.00%, 4/1/2025 | 50,000 | 45,928 | |||
4.00%, 12/15/2026 | 50,000 | 48,302 | |||
4.13%, 3/15/2035 | 25,000 | 23,265 | |||
PPG Industries, Inc. 2.30%, 11/15/2019 | 25,000 | 24,786 | |||
Praxair, Inc.: | |||||
3.20%, 1/30/2026 | 25,000 | 24,443 | |||
3.55%, 11/7/2042 | 25,000 | 23,431 | |||
RPM International, Inc.: | |||||
3.75%, 3/15/2027 | 50,000 | 47,766 | |||
4.25%, 1/15/2048 | 200,000 | 180,826 | |||
5.25%, 6/1/2045 | 25,000 | 26,384 | |||
Sherwin-Williams Co.: | |||||
2.25%, 5/15/2020 | 300,000 | 295,371 | |||
2.75%, 6/1/2022 | 200,000 | 193,732 | |||
3.45%, 6/1/2027 | 30,000 | 28,399 | |||
4.50%, 6/1/2047 | 150,000 | 143,455 | |||
Westlake Chemical Corp.: | |||||
4.38%, 11/15/2047 | 150,000 | 138,382 | |||
5.00%, 8/15/2046 | 100,000 | 101,154 | |||
3,204,636 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
Automatic Data Processing, Inc. 2.25%, 9/15/2020 | 20,000 | 19,729 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 144,537 | |||
2.70%, 11/1/2026 | 150,000 | 138,919 | |||
4.35%, 12/8/2021 | 20,000 | 20,658 | |||
Equifax, Inc. 3.95%, 6/15/2023 | 40,000 | 39,720 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 101,561 | |||
Massachusetts Institute of Technology 3.96%, 7/1/2038 | 50,000 | 51,736 | |||
Moody's Corp.: | |||||
2.63%, 1/15/2023 | 250,000 | 239,112 | |||
2.75%, 7/15/2019 | 50,000 | 49,874 | |||
2.75%, 12/15/2021 | 200,000 | 195,426 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 143,542 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 200,117 |
Security Description | Principal Amount | Value | |||
S&P Global, Inc.: | |||||
3.30%, 8/14/2020 | $ 50,000 | $ 50,083 | |||
4.50%, 5/15/2048 | 50,000 | 50,623 | |||
Total System Services, Inc. 4.45%, 6/1/2028 | 100,000 | 99,721 | |||
University of Southern California 3.03%, 10/1/2039 | 25,000 | 22,739 | |||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 99,764 | |||
1,667,861 | |||||
COMPUTERS — 0.7% | |||||
Apple, Inc.: | |||||
1.55%, 2/7/2020 | 25,000 | 24,543 | |||
1.55%, 8/4/2021 | 50,000 | 47,937 | |||
1.80%, 11/13/2019 | 250,000 | 247,315 | |||
2.00%, 11/13/2020 | 300,000 | 294,348 | |||
2.25%, 2/23/2021 | 200,000 | 196,398 | |||
2.40%, 1/13/2023 | 200,000 | 193,302 | |||
2.40%, 5/3/2023 | 25,000 | 24,075 | |||
2.45%, 8/4/2026 | 200,000 | 183,674 | |||
2.50%, 2/9/2022 | 100,000 | 98,073 | |||
2.75%, 1/13/2025 | 200,000 | 191,044 | |||
2.85%, 5/6/2021 | 25,000 | 24,940 | |||
2.85%, 2/23/2023 | 250,000 | 246,195 | |||
2.85%, 5/11/2024 | 200,000 | 193,496 | |||
3.00%, 2/9/2024 | 100,000 | 97,991 | |||
3.00%, 11/13/2027 | 100,000 | 94,968 | |||
3.20%, 5/11/2027 | 250,000 | 241,197 | |||
3.25%, 2/23/2026 | 150,000 | 146,298 | |||
3.75%, 9/12/2047 | 150,000 | 140,823 | |||
3.75%, 11/13/2047 | 200,000 | 188,288 | |||
3.85%, 5/4/2043 | 25,000 | 23,912 | |||
3.85%, 8/4/2046 | 150,000 | 142,681 | |||
4.38%, 5/13/2045 | 75,000 | 77,189 | |||
4.50%, 2/23/2036 | 100,000 | 107,451 | |||
4.65%, 2/23/2046 | 75,000 | 80,707 | |||
Dell International LLC/EMC Corp.: | |||||
4.42%, 6/15/2021 (b) | 50,000 | 50,733 | |||
5.45%, 6/15/2023 (b) | 325,000 | 340,086 | |||
6.02%, 6/15/2026 (b) | 20,000 | 21,016 | |||
8.35%, 7/15/2046 (b) | 270,000 | 325,779 | |||
Hewlett Packard Enterprise Co.: | |||||
3.60%, 10/15/2020 | 210,000 | 211,090 | |||
4.40%, 10/15/2022 | 200,000 | 205,116 | |||
4.90%, 10/15/2025 | 70,000 | 71,471 | |||
6.20%, 10/15/2035 | 10,000 | 10,213 | |||
6.35%, 10/15/2045 | 10,000 | 9,929 | |||
HP, Inc. 4.05%, 9/15/2022 | 25,000 | 25,347 | |||
IBM Credit LLC 2.20%, 9/8/2022 | 100,000 | 95,622 | |||
International Business Machines Corp.: | |||||
1.90%, 1/27/2020 | 500,000 | 492,940 | |||
2.25%, 2/19/2021 | 200,000 | 195,900 | |||
2.88%, 11/9/2022 | 100,000 | 98,161 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.63%, 2/12/2024 | $ 50,000 | $ 50,426 | |||
4.70%, 2/19/2046 | 25,000 | 27,275 | |||
5.88%, 11/29/2032 | 25,000 | 30,383 | |||
Seagate HDD Cayman: | |||||
4.25%, 3/1/2022 | 150,000 | 148,027 | |||
4.75%, 6/1/2023 | 50,000 | 49,468 | |||
5,765,827 | |||||
COSMETICS/PERSONAL CARE — 0.2% | |||||
Colgate-Palmolive Co.: | |||||
Series GMTN, 2.25%, 11/15/2022 | 30,000 | 29,029 | |||
Series MTN, 3.70%, 8/1/2047 | 55,000 | 51,420 | |||
Estee Lauder Cos., Inc. 1.80%, 2/7/2020 | 100,000 | 98,333 | |||
Procter & Gamble Co.: | |||||
1.70%, 11/3/2021 | 100,000 | 96,167 | |||
1.85%, 2/2/2021 | 50,000 | 48,696 | |||
1.90%, 10/23/2020 | 250,000 | 244,865 | |||
2.15%, 8/11/2022 | 150,000 | 144,855 | |||
2.45%, 11/3/2026 | 150,000 | 138,533 | |||
3.50%, 10/25/2047 | 100,000 | 91,651 | |||
Unilever Capital Corp.: | |||||
1.38%, 7/28/2021 | 100,000 | 95,041 | |||
2.00%, 7/28/2026 | 100,000 | 89,164 | |||
2.60%, 5/5/2024 | 250,000 | 239,215 | |||
2.90%, 5/5/2027 | 150,000 | 142,171 | |||
3.10%, 7/30/2025 | 50,000 | 48,760 | |||
1,557,900 | |||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | |||||
WW Grainger, Inc. 4.60%, 6/15/2045 | 50,000 | 51,465 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.7% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||||
3.50%, 5/26/2022 | 150,000 | 146,794 | |||
3.65%, 7/21/2027 | 150,000 | 136,696 | |||
3.95%, 2/1/2022 | 150,000 | 149,446 | |||
4.50%, 5/15/2021 | 300,000 | 305,053 | |||
Air Lease Corp.: | |||||
2.75%, 1/15/2023 | 50,000 | 47,558 | |||
3.00%, 9/15/2023 | 25,000 | 23,689 | |||
3.25%, 3/1/2025 | 100,000 | 92,936 | |||
3.63%, 4/1/2027 | 70,000 | 64,269 | |||
3.88%, 7/3/2023 | 50,000 | 49,549 | |||
4.25%, 9/15/2024 | 25,000 | 24,833 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 23,938 | |||
5.00%, 4/1/2023 | 25,000 | 25,094 | |||
5.13%, 3/15/2021 | 25,000 | 25,563 | |||
5.50%, 2/15/2022 | 25,000 | 25,625 | |||
6.25%, 12/1/2019 | 25,000 | 25,858 | |||
7.63%, 4/15/2020 | 15,000 | 15,863 |
Security Description | Principal Amount | Value | |||
American Express Co.: | |||||
2.20%, 10/30/2020 | $ 60,000 | $ 58,615 | |||
2.50%, 8/1/2022 | 250,000 | 239,883 | |||
3.00%, 10/30/2024 | 100,000 | 95,688 | |||
3.40%, 2/27/2023 | 200,000 | 197,856 | |||
American Express Credit Corp.: | |||||
Series GMTN, 2.25%, 8/15/2019 | 50,000 | 49,683 | |||
Series MTN, 2.25%, 5/5/2021 | 350,000 | 340,630 | |||
Ameriprise Financial, Inc. 3.70%, 10/15/2024 | 50,000 | 49,889 | |||
BlackRock, Inc.: | |||||
3.20%, 3/15/2027 | 56,000 | 54,144 | |||
3.50%, 3/18/2024 | 25,000 | 25,177 | |||
Brookfield Finance, Inc.: | |||||
3.90%, 1/25/2028 | 50,000 | 47,261 | |||
4.70%, 9/20/2047 | 50,000 | 47,418 | |||
Charles Schwab Corp.: | |||||
2.65%, 1/25/2023 | 100,000 | 97,211 | |||
3.20%, 1/25/2028 | 50,000 | 47,746 | |||
3.45%, 2/13/2026 | 50,000 | 49,307 | |||
CME Group, Inc. 3.75%, 6/15/2028 | 100,000 | 100,893 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 62,914 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 49,779 | |||
4.10%, 2/9/2027 | 75,000 | 72,033 | |||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 169,887 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 145,921 | |||
GE Capital International Funding Co. 2.34%, 11/15/2020 | 200,000 | 195,468 | |||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 550,000 | 532,581 | |||
Intercontinental Exchange, Inc.: | |||||
2.75%, 12/1/2020 | 50,000 | 49,582 | |||
3.10%, 9/15/2027 | 100,000 | 93,531 | |||
3.75%, 12/1/2025 | 180,000 | 179,442 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 49,461 | |||
Jefferies Group LLC 6.50%, 1/20/2043 | 50,000 | 51,818 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 44,184 | |||
4.85%, 1/15/2027 | 90,000 | 87,491 | |||
Mastercard, Inc.: | |||||
3.50%, 2/26/2028 | 30,000 | 29,728 | |||
3.95%, 2/26/2048 | 30,000 | 30,005 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
2.95%, 2/7/2024 | 100,000 | 96,592 | |||
3.40%, 2/7/2028 | 50,000 | 48,634 | |||
4.02%, 11/1/2032 | 50,000 | 50,182 |
Table of Contents
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c) | $ 75,000 | $ 75,844 | |||
Series MTN, 2.90%, 3/15/2021 | 50,000 | 49,636 | |||
ORIX Corp.: | |||||
2.90%, 7/18/2022 | 30,000 | 29,109 | |||
3.70%, 7/18/2027 | 50,000 | 48,486 | |||
Synchrony Financial 4.50%, 7/23/2025 | 50,000 | 49,125 | |||
TD Ameritrade Holding Corp.: | |||||
2.95%, 4/1/2022 | 150,000 | 147,262 | |||
5.60%, 12/1/2019 | 25,000 | 25,879 | |||
Visa, Inc.: | |||||
2.15%, 9/15/2022 | 250,000 | 239,787 | |||
2.80%, 12/14/2022 | 75,000 | 73,666 | |||
3.15%, 12/14/2025 | 250,000 | 241,795 | |||
3.65%, 9/15/2047 | 200,000 | 187,628 | |||
4.15%, 12/14/2035 | 50,000 | 51,835 | |||
4.30%, 12/14/2045 | 50,000 | 51,889 | |||
5,995,339 | |||||
ELECTRIC — 1.6% | |||||
AEP Texas, Inc.: | |||||
2.40%, 10/1/2022 | 150,000 | 143,592 | |||
3.80%, 10/1/2047 | 25,000 | 23,368 | |||
AEP Transmission Co. LLC 3.75%, 12/1/2047 | 100,000 | 92,655 | |||
Alabama Power Co.: | |||||
3.85%, 12/1/2042 | 75,000 | 71,073 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 66,351 | |||
Ameren Corp. 3.65%, 2/15/2026 | 50,000 | 48,559 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 46,885 | |||
3.80%, 5/15/2028 | 25,000 | 25,234 | |||
4.15%, 3/15/2046 | 50,000 | 50,338 | |||
American Electric Power Co., Inc. Series F, 2.95%, 12/15/2022 | 50,000 | 48,678 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 25,246 | |||
7.00%, 4/1/2038 | 25,000 | 33,183 | |||
Arizona Public Service Co.: | |||||
3.75%, 5/15/2046 | 25,000 | 23,467 | |||
4.35%, 11/15/2045 | 50,000 | 51,540 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 47,988 | |||
Baltimore Gas & Electric Co. 6.35%, 10/1/2036 | 50,000 | 63,515 | |||
Berkshire Hathaway Energy Co.: | |||||
2.40%, 2/1/2020 | 230,000 | 228,001 | |||
2.80%, 1/15/2023 | 40,000 | 38,971 | |||
3.25%, 4/15/2028 | 30,000 | 28,589 | |||
3.75%, 11/15/2023 | 350,000 | 354,109 | |||
4.50%, 2/1/2045 | 50,000 | 51,227 | |||
5.15%, 11/15/2043 | 150,000 | 167,676 | |||
Black Hills Corp. 3.15%, 1/15/2027 | 25,000 | 23,141 | |||
CenterPoint Energy Houston Electric LLC: |
Security Description | Principal Amount | Value | |||
3.95%, 3/1/2048 | $ 50,000 | $ 49,009 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 94,768 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 45,673 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 19,551 | |||
CMS Energy Corp. 3.45%, 8/15/2027 | 50,000 | 47,729 | |||
Commonwealth Edison Co.: | |||||
4.00%, 8/1/2020 | 100,000 | 101,766 | |||
4.00%, 3/1/2048 | 125,000 | 122,252 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 140,425 | |||
Connecticut Light & Power Co.: | |||||
Series A, 3.20%, 3/15/2027 | 150,000 | 144,883 | |||
Series A, 4.15%, 6/1/2045 | 100,000 | 101,933 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.85%, 6/15/2046 | 50,000 | 46,890 | |||
4.45%, 3/15/2044 | 75,000 | 76,713 | |||
4.50%, 5/15/2058 | 100,000 | 100,243 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 31,026 | |||
Consolidated Edison, Inc. 2.00%, 5/15/2021 | 180,000 | 173,693 | |||
Consumers Energy Co.: | |||||
3.25%, 8/15/2046 | 50,000 | 43,743 | |||
4.05%, 5/15/2048 | 100,000 | 100,046 | |||
Dominion Energy, Inc.: | |||||
2.58%, 7/1/2020 | 300,000 | 295,716 | |||
4.10%, 4/1/2021 (d) | 150,000 | 152,122 | |||
4.70%, 12/1/2044 | 130,000 | 131,033 | |||
Series B, 2.75%, 1/15/2022 | 150,000 | 145,914 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 22,713 | |||
DTE Electric Co. 3.70%, 6/1/2046 | 75,000 | 70,852 | |||
DTE Energy Co.: | |||||
2.40%, 12/1/2019 | 25,000 | 24,724 | |||
Series B, 3.30%, 6/15/2022 | 175,000 | 172,959 | |||
Duke Energy Carolinas LLC: | |||||
3.88%, 3/15/2046 | 150,000 | 143,755 | |||
4.25%, 12/15/2041 | 130,000 | 132,734 | |||
Duke Energy Corp.: | |||||
2.40%, 8/15/2022 | 200,000 | 192,274 | |||
2.65%, 9/1/2026 | 50,000 | 45,113 | |||
3.15%, 8/15/2027 | 100,000 | 93,030 | |||
3.75%, 9/1/2046 | 150,000 | 132,655 | |||
3.95%, 8/15/2047 | 150,000 | 137,140 | |||
Duke Energy Florida LLC: | |||||
3.20%, 1/15/2027 | 250,000 | 240,690 | |||
6.40%, 6/15/2038 | 50,000 | 64,561 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 26,082 | |||
Duke Energy Progress LLC: | |||||
2.80%, 5/15/2022 | 100,000 | 98,585 | |||
3.60%, 9/15/2047 | 50,000 | 45,332 | |||
4.20%, 8/15/2045 | 150,000 | 150,344 | |||
Edison International: | |||||
2.95%, 3/15/2023 | 50,000 | 48,080 | |||
4.13%, 3/15/2028 | 50,000 | 49,232 |
Table of Contents
Security Description | Principal Amount | Value | |||
Emera US Finance L.P. 4.75%, 6/15/2046 | $ 130,000 | $ 128,153 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 50,406 | |||
Entergy Corp.: | |||||
2.95%, 9/1/2026 | 50,000 | 45,777 | |||
4.00%, 7/15/2022 | 50,000 | 50,653 | |||
Entergy Louisiana LLC: | |||||
3.05%, 6/1/2031 | 25,000 | 22,794 | |||
3.25%, 4/1/2028 | 200,000 | 190,972 | |||
Entergy Mississippi, Inc. 2.85%, 6/1/2028 | 25,000 | 22,907 | |||
Eversource Energy: | |||||
Series K, 2.75%, 3/15/2022 | 50,000 | 48,862 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 237,390 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 95,193 | |||
3.50%, 6/1/2022 | 200,000 | 197,892 | |||
3.95%, 6/15/2025 | 50,000 | 49,706 | |||
5.10%, 6/15/2045 | 330,000 | 350,242 | |||
Exelon Generation Co. LLC 3.40%, 3/15/2022 | 250,000 | 248,430 | |||
FirstEnergy Corp.: | |||||
Series B, 3.90%, 7/15/2027 | 280,000 | 271,950 | |||
Series B, 4.25%, 3/15/2023 | 10,000 | 10,148 | |||
Series C, 4.85%, 7/15/2047 | 50,000 | 51,209 | |||
Series C, 7.38%, 11/15/2031 | 20,000 | 25,928 | |||
Florida Power & Light Co.: | |||||
3.25%, 6/1/2024 | 25,000 | 24,791 | |||
3.95%, 3/1/2048 | 85,000 | 83,623 | |||
4.05%, 10/1/2044 | 50,000 | 49,981 | |||
4.13%, 6/1/2048 | 100,000 | 100,903 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 45,645 | |||
Interstate Power & Light Co. 3.70%, 9/15/2046 | 50,000 | 46,223 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 46,797 | |||
Kansas City Power & Light Co.: | |||||
4.20%, 6/15/2047 | 25,000 | 24,920 | |||
4.20%, 3/15/2048 | 50,000 | 49,131 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 145,897 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
2.80%, 1/15/2023 | 150,000 | 145,024 | |||
3.55%, 5/1/2027 | 100,000 | 96,130 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (c) | 25,000 | 23,324 | |||
Northern States Power Co. 3.60%, 9/15/2047 | 50,000 | 46,160 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 47,980 | |||
Oncor Electric Delivery Co. LLC: | |||||
3.80%, 9/30/2047 | 100,000 | 95,554 | |||
7.50%, 9/1/2038 | 50,000 | 70,580 | |||
Pacific Gas & Electric Co.: | |||||
2.95%, 3/1/2026 | 50,000 | 44,553 |
Security Description | Principal Amount | Value | |||
3.25%, 6/15/2023 | $ 50,000 | $ 47,663 | |||
3.30%, 3/15/2027 | 150,000 | 135,376 | |||
3.95%, 12/1/2047 | 200,000 | 170,974 | |||
4.75%, 2/15/2044 | 50,000 | 47,436 | |||
6.05%, 3/1/2034 | 50,000 | 53,947 | |||
PECO Energy Co. 3.90%, 3/1/2048 | 125,000 | 122,974 | |||
PPL Capital Funding, Inc.: | |||||
3.50%, 12/1/2022 | 75,000 | 74,129 | |||
4.00%, 9/15/2047 | 250,000 | 229,002 | |||
5.00%, 3/15/2044 | 50,000 | 52,700 | |||
PPL Electric Utilities Corp. 3.95%, 6/1/2047 | 50,000 | 48,810 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 49,856 | |||
Public Service Co. of Colorado: | |||||
3.20%, 11/15/2020 | 25,000 | 25,060 | |||
3.80%, 6/15/2047 | 150,000 | 142,830 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 1.90%, 3/15/2021 | 50,000 | 48,512 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 92,073 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 46,925 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 50,250 | |||
Public Service Enterprise Group, Inc. 2.65%, 11/15/2022 | 100,000 | 96,242 | |||
Puget Sound Energy, Inc.: | |||||
4.22%, 6/15/2048 | 65,000 | 66,212 | |||
5.80%, 3/15/2040 | 50,000 | 61,231 | |||
San Diego Gas & Electric Co. Series RRR, 3.75%, 6/1/2047 | 50,000 | 47,595 | |||
Sempra Energy: | |||||
2.40%, 2/1/2020 | 220,000 | 217,136 | |||
2.90%, 2/1/2023 | 15,000 | 14,502 | |||
3.25%, 6/15/2027 | 50,000 | 46,588 | |||
3.40%, 2/1/2028 | 30,000 | 28,135 | |||
3.80%, 2/1/2038 | 50,000 | 45,386 | |||
4.00%, 2/1/2048 | 30,000 | 26,998 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 46,197 | |||
South Carolina Electric & Gas Co.: | |||||
4.10%, 6/15/2046 | 50,000 | 45,477 | |||
4.50%, 6/1/2064 | 35,000 | 31,976 | |||
Southern California Edison Co.: | |||||
4.00%, 4/1/2047 | 191,000 | 178,218 | |||
4.50%, 9/1/2040 | 25,000 | 25,111 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 45,912 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 98,411 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 43,564 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 49,794 | |||
Southern Co.: | |||||
1.85%, 7/1/2019 | 250,000 | 247,630 | |||
2.35%, 7/1/2021 | 75,000 | 72,950 | |||
3.25%, 7/1/2026 | 50,000 | 46,957 | |||
4.25%, 7/1/2036 | 250,000 | 244,472 | |||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (c) | 50,000 | 51,543 |
Table of Contents
Security Description | Principal Amount | Value | |||
Southern Power Co. Series F, 4.95%, 12/15/2046 | $ 150,000 | $ 149,790 | |||
Southwestern Electric Power Co. Series K, 2.75%, 10/1/2026 | 50,000 | 45,849 | |||
Southwestern Public Service Co. 3.30%, 6/15/2024 | 50,000 | 49,054 | |||
Tampa Electric Co. 4.30%, 6/15/2048 | 50,000 | 49,701 | |||
Union Electric Co. 4.00%, 4/1/2048 | 50,000 | 49,170 | |||
Virginia Electric & Power Co.: | |||||
3.45%, 2/15/2024 | 50,000 | 49,627 | |||
8.88%, 11/15/2038 | 50,000 | 77,615 | |||
Series B, 2.95%, 11/15/2026 | 30,000 | 28,260 | |||
WEC Energy Group, Inc.: | |||||
3.38%, 6/15/2021 | 65,000 | 65,253 | |||
3.55%, 6/15/2025 | 25,000 | 24,597 | |||
Westar Energy, Inc. 4.13%, 3/1/2042 | 30,000 | 29,835 | |||
Xcel Energy, Inc.: | |||||
2.60%, 3/15/2022 | 200,000 | 194,198 | |||
4.00%, 6/15/2028 | 50,000 | 50,122 | |||
13,275,022 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a) | |||||
Emerson Electric Co.: | |||||
2.63%, 12/1/2021 | 50,000 | 49,090 | |||
2.63%, 2/15/2023 | 25,000 | 24,197 | |||
Hubbell, Inc. 3.35%, 3/1/2026 | 50,000 | 47,943 | |||
121,230 | |||||
ELECTRONICS — 0.1% | |||||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 46,349 | |||
Arrow Electronics, Inc.: | |||||
3.25%, 9/8/2024 | 50,000 | 46,757 | |||
3.88%, 1/12/2028 | 25,000 | 23,655 | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | 25,000 | 21,986 | |||
5.75%, 8/15/2040 | 25,000 | 28,800 | |||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 46,461 | |||
Honeywell International, Inc.: | |||||
1.40%, 10/30/2019 | 150,000 | 147,420 | |||
2.50%, 11/1/2026 | 150,000 | 138,556 | |||
3.35%, 12/1/2023 | 50,000 | 50,398 | |||
Jabil, Inc. 3.95%, 1/12/2028 | 25,000 | 23,874 | |||
Keysight Technologies, Inc. 4.60%, 4/6/2027 | 30,000 | 30,194 | |||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 49,985 | |||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 49,352 | |||
703,787 |
Security Description | Principal Amount | Value | |||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Republic Services, Inc.: | |||||
2.90%, 7/1/2026 | $ 45,000 | $ 41,693 | |||
3.38%, 11/15/2027 | 60,000 | 56,864 | |||
3.55%, 6/1/2022 | 25,000 | 25,098 | |||
3.95%, 5/15/2028 | 150,000 | 148,380 | |||
Waste Management, Inc.: | |||||
2.40%, 5/15/2023 | 150,000 | 142,813 | |||
3.15%, 11/15/2027 | 200,000 | 188,462 | |||
3.50%, 5/15/2024 | 25,000 | 24,755 | |||
3.90%, 3/1/2035 | 50,000 | 48,757 | |||
676,822 | |||||
FOOD — 0.5% | |||||
Campbell Soup Co.: | |||||
3.30%, 3/15/2021 | 35,000 | 34,852 | |||
3.65%, 3/15/2023 | 50,000 | 49,071 | |||
3.95%, 3/15/2025 | 100,000 | 96,530 | |||
4.15%, 3/15/2028 | 50,000 | 47,623 | |||
4.80%, 3/15/2048 | 20,000 | 18,070 | |||
General Mills, Inc.: | |||||
2.20%, 10/21/2019 | 25,000 | 24,727 | |||
3.20%, 4/16/2021 | 10,000 | 9,951 | |||
3.20%, 2/10/2027 | 100,000 | 91,570 | |||
3.65%, 2/15/2024 | 50,000 | 49,302 | |||
3.70%, 10/17/2023 | 20,000 | 19,789 | |||
4.20%, 4/17/2028 | 25,000 | 24,435 | |||
4.55%, 4/17/2038 | 10,000 | 9,567 | |||
4.70%, 4/17/2048 | 20,000 | 19,036 | |||
Hershey Co.: | |||||
3.20%, 8/21/2025 | 25,000 | 24,388 | |||
3.38%, 5/15/2023 | 50,000 | 50,075 | |||
JM Smucker Co.: | |||||
2.20%, 12/6/2019 | 100,000 | 98,931 | |||
2.50%, 3/15/2020 | 25,000 | 24,706 | |||
3.38%, 12/15/2027 | 100,000 | 92,975 | |||
4.25%, 3/15/2035 | 50,000 | 47,446 | |||
Kellogg Co.: | |||||
4.15%, 11/15/2019 | 25,000 | 25,349 | |||
4.30%, 5/15/2028 | 100,000 | 98,719 | |||
4.50%, 4/1/2046 | 100,000 | 94,623 | |||
Kraft Heinz Foods Co.: | |||||
2.80%, 7/2/2020 | 100,000 | 99,233 | |||
3.00%, 6/1/2026 | 150,000 | 135,307 | |||
3.50%, 7/15/2022 | 50,000 | 49,405 | |||
3.95%, 7/15/2025 | 50,000 | 48,706 | |||
4.38%, 6/1/2046 | 50,000 | 43,314 | |||
5.00%, 7/15/2035 | 250,000 | 246,623 | |||
5.20%, 7/15/2045 | 200,000 | 194,914 | |||
6.88%, 1/26/2039 | 50,000 | 58,922 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 | 50,000 | 44,457 | |||
2.80%, 8/1/2022 | 200,000 | 193,884 | |||
3.70%, 8/1/2027 | 35,000 | 33,429 | |||
3.85%, 8/1/2023 | 75,000 | 75,409 | |||
4.45%, 2/1/2047 | 100,000 | 91,741 | |||
4.65%, 1/15/2048 | 100,000 | 94,453 |
Table of Contents
Security Description | Principal Amount | Value | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | $ 200,000 | $ 193,020 | |||
3.40%, 8/15/2027 | 250,000 | 236,485 | |||
Mondelez International, Inc. 4.00%, 2/1/2024 | 100,000 | 100,894 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027 | 50,000 | 46,878 | |||
3.30%, 7/15/2026 | 100,000 | 94,930 | |||
3.55%, 3/15/2025 | 50,000 | 49,050 | |||
3.75%, 10/1/2025 | 5,000 | 4,941 | |||
4.45%, 3/15/2048 | 50,000 | 48,456 | |||
4.85%, 10/1/2045 | 5,000 | 5,078 | |||
Tyson Foods, Inc.: | |||||
3.55%, 6/2/2027 | 150,000 | 141,817 | |||
4.50%, 6/15/2022 | 30,000 | 30,863 | |||
4.55%, 6/2/2047 | 285,000 | 272,850 | |||
3,686,794 | |||||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Celulosa Arauco y Constitucion SA: | |||||
3.88%, 11/2/2027 | 200,000 | 186,510 | |||
4.50%, 8/1/2024 | 50,000 | 49,949 | |||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 | 25,000 | 24,823 | |||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 33,483 | |||
International Paper Co.: | |||||
3.00%, 2/15/2027 | 150,000 | 135,891 | |||
3.65%, 6/15/2024 | 25,000 | 24,674 | |||
4.35%, 8/15/2048 | 150,000 | 135,463 | |||
4.40%, 8/15/2047 | 50,000 | 45,669 | |||
5.00%, 9/15/2035 | 100,000 | 101,421 | |||
737,883 | |||||
GAS — 0.1% | |||||
Atmos Energy Corp.: | |||||
3.00%, 6/15/2027 | 150,000 | 142,048 | |||
4.15%, 1/15/2043 | 25,000 | 24,891 | |||
CenterPoint Energy Resources Corp. 3.55%, 4/1/2023 | 100,000 | 98,872 | |||
Dominion Energy Gas Holdings LLC: | |||||
2.80%, 11/15/2020 | 50,000 | 49,401 | |||
3.60%, 12/15/2024 | 50,000 | 49,418 | |||
4.80%, 11/1/2043 | 25,000 | 26,112 | |||
National Fuel Gas Co. 3.95%, 9/15/2027 | 50,000 | 47,341 | |||
NiSource Finance Corp. 4.80%, 2/15/2044 | 30,000 | 31,220 | |||
NiSource, Inc.: | |||||
3.49%, 5/15/2027 | 50,000 | 47,894 | |||
3.65%, 6/15/2023 (b) | 25,000 | 25,036 | |||
4.38%, 5/15/2047 | 150,000 | 146,916 | |||
Southern California Gas Co.: | |||||
3.15%, 9/15/2024 | 25,000 | 24,486 |
Security Description | Principal Amount | Value | |||
3.20%, 6/15/2025 | $ 50,000 | $ 48,791 | |||
3.75%, 9/15/2042 | 30,000 | 28,290 | |||
5.13%, 11/15/2040 | 25,000 | 28,431 | |||
Southern Co. Gas Capital Corp.: | |||||
4.40%, 5/30/2047 | 150,000 | 148,861 | |||
5.25%, 8/15/2019 | 25,000 | 25,569 | |||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 24,781 | |||
1,018,358 | |||||
HAND & MACHINE TOOLS — 0.0% (a) | |||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 49,897 | |||
HEALTH CARE PRODUCTS — 0.5% | |||||
Abbott Laboratories: | |||||
2.35%, 11/22/2019 | 50,000 | 49,707 | |||
2.90%, 11/30/2021 | 50,000 | 49,217 | |||
2.95%, 3/15/2025 | 75,000 | 71,053 | |||
3.40%, 11/30/2023 | 50,000 | 49,343 | |||
3.75%, 11/30/2026 | 150,000 | 147,367 | |||
4.75%, 11/30/2036 | 250,000 | 263,223 | |||
4.75%, 4/15/2043 | 25,000 | 26,109 | |||
4.90%, 11/30/2046 | 50,000 | 53,828 | |||
Baxter International, Inc. 3.50%, 8/15/2046 | 50,000 | 42,913 | |||
Becton Dickinson and Co.: | |||||
2.40%, 6/5/2020 | 20,000 | 19,628 | |||
2.68%, 12/15/2019 | 44,000 | 43,688 | |||
2.89%, 6/6/2022 | 235,000 | 226,610 | |||
3.36%, 6/6/2024 | 50,000 | 48,013 | |||
3.70%, 6/6/2027 | 250,000 | 236,850 | |||
3.73%, 12/15/2024 | 50,000 | 48,828 | |||
4.67%, 6/6/2047 | 210,000 | 203,967 | |||
4.69%, 12/15/2044 | 25,000 | 24,213 | |||
Boston Scientific Corp.: | |||||
3.38%, 5/15/2022 | 50,000 | 49,440 | |||
4.00%, 3/1/2028 | 150,000 | 146,715 | |||
Covidien International Finance SA 3.20%, 6/15/2022 | 50,000 | 49,669 | |||
Danaher Corp. 2.40%, 9/15/2020 | 45,000 | 44,442 | |||
Medtronic, Inc.: | |||||
2.50%, 3/15/2020 | 250,000 | 248,183 | |||
3.15%, 3/15/2022 | 150,000 | 148,810 | |||
3.50%, 3/15/2025 | 150,000 | 148,240 | |||
4.38%, 3/15/2035 | 75,000 | 77,539 | |||
4.63%, 3/15/2045 | 175,000 | 185,589 | |||
5.55%, 3/15/2040 | 25,000 | 29,153 | |||
Stryker Corp.: | |||||
3.38%, 11/1/2025 | 25,000 | 24,066 | |||
3.50%, 3/15/2026 | 25,000 | 24,279 | |||
3.65%, 3/7/2028 | 50,000 | 48,788 | |||
4.63%, 3/15/2046 | 25,000 | 25,485 | |||
Thermo Fisher Scientific, Inc.: | |||||
3.00%, 4/15/2023 | 250,000 | 243,335 | |||
3.30%, 2/15/2022 | 50,000 | 49,739 |
Table of Contents
Security Description | Principal Amount | Value | |||
4.10%, 8/15/2047 | $ 350,000 | $ 331,334 | |||
4.15%, 2/1/2024 | 25,000 | 25,403 | |||
Zimmer Biomet Holdings, Inc.: | |||||
2.70%, 4/1/2020 | 250,000 | 247,652 | |||
3.55%, 4/1/2025 | 100,000 | 95,535 | |||
3,847,953 | |||||
HEALTH CARE SERVICES — 0.4% | |||||
Aetna, Inc.: | |||||
2.80%, 6/15/2023 | 200,000 | 190,680 | |||
3.88%, 8/15/2047 | 100,000 | 88,883 | |||
4.13%, 11/15/2042 | 25,000 | 23,127 | |||
Anthem, Inc.: | |||||
2.25%, 8/15/2019 | 50,000 | 49,581 | |||
2.50%, 11/21/2020 | 15,000 | 14,743 | |||
2.95%, 12/1/2022 | 50,000 | 48,590 | |||
3.30%, 1/15/2023 | 50,000 | 48,721 | |||
3.35%, 12/1/2024 | 50,000 | 48,267 | |||
3.50%, 8/15/2024 | 25,000 | 24,383 | |||
3.65%, 12/1/2027 | 130,000 | 123,120 | |||
4.10%, 3/1/2028 | 100,000 | 97,879 | |||
4.38%, 12/1/2047 | 130,000 | 120,518 | |||
4.55%, 3/1/2048 | 50,000 | 47,879 | |||
4.65%, 1/15/2043 | 50,000 | 48,402 | |||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 147,526 | |||
Catholic Health Initiatives 4.35%, 11/1/2042 | 25,000 | 23,666 | |||
Cigna Corp. 3.05%, 10/15/2027 | 50,000 | 45,001 | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 49,109 | |||
Howard Hughes Medical Institute 3.50%, 9/1/2023 | 25,000 | 25,265 | |||
Humana, Inc.: | |||||
2.50%, 12/15/2020 | 25,000 | 24,547 | |||
2.63%, 10/1/2019 | 50,000 | 49,721 | |||
2.90%, 12/15/2022 | 150,000 | 145,857 | |||
4.80%, 3/15/2047 | 100,000 | 102,882 | |||
4.95%, 10/1/2044 | 50,000 | 52,207 | |||
Kaiser Foundation Hospitals 3.50%, 4/1/2022 | 50,000 | 50,334 | |||
Laboratory Corp. of America Holdings: | |||||
2.63%, 2/1/2020 | 25,000 | 24,804 | |||
3.25%, 9/1/2024 | 100,000 | 96,494 | |||
4.70%, 2/1/2045 | 25,000 | 24,454 | |||
Memorial Sloan-Kettering Cancer Center 4.13%, 7/1/2052 | 25,000 | 25,214 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 47,798 | |||
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 91,381 | |||
Quest Diagnostics, Inc. 4.70%, 3/30/2045 | 25,000 | 24,946 |
Security Description | Principal Amount | Value | |||
UnitedHealth Group, Inc.: | |||||
1.95%, 10/15/2020 | $ 200,000 | $ 195,266 | |||
2.13%, 3/15/2021 | 150,000 | 146,221 | |||
2.38%, 10/15/2022 | 100,000 | 95,995 | |||
2.70%, 7/15/2020 | 105,000 | 104,385 | |||
2.88%, 3/15/2022 | 25,000 | 24,654 | |||
3.10%, 3/15/2026 | 50,000 | 47,760 | |||
3.38%, 4/15/2027 | 100,000 | 96,884 | |||
3.75%, 7/15/2025 | 5,000 | 4,999 | |||
3.75%, 10/15/2047 | 50,000 | 46,077 | |||
4.25%, 4/15/2047 | 100,000 | 99,537 | |||
4.63%, 7/15/2035 | 200,000 | 211,104 | |||
4.75%, 7/15/2045 | 230,000 | 246,571 | |||
6.88%, 2/15/2038 | 25,000 | 33,212 | |||
3,378,644 | |||||
HOME BUILDERS — 0.0% (a) | |||||
DR Horton, Inc.: | |||||
2.55%, 12/1/2020 | 25,000 | 24,485 | |||
4.00%, 2/15/2020 | 15,000 | 15,195 | |||
39,680 | |||||
HOME FURNISHINGS — 0.0% (a) | |||||
Whirlpool Corp. 4.50%, 6/1/2046 | 25,000 | 23,275 | |||
HOUSEHOLD PRODUCTS & WARES — 0.0% (a) | |||||
Clorox Co.: | |||||
3.10%, 10/1/2027 | 50,000 | 46,980 | |||
3.90%, 5/15/2028 | 50,000 | 49,655 | |||
Kimberly-Clark Corp.: | |||||
2.75%, 2/15/2026 | 25,000 | 23,535 | |||
3.90%, 5/4/2047 | 50,000 | 48,961 | |||
169,131 | |||||
HOUSEWARES — 0.0% (a) | |||||
Newell Brands, Inc.: | |||||
3.15%, 4/1/2021 | 50,000 | 49,549 | |||
3.85%, 4/1/2023 | 50,000 | 49,258 | |||
4.20%, 4/1/2026 | 50,000 | 48,330 | |||
5.38%, 4/1/2036 | 150,000 | 147,916 | |||
5.50%, 4/1/2046 | 50,000 | 48,955 | |||
344,008 | |||||
INSURANCE — 0.8% | |||||
Aflac, Inc. 3.63%, 6/15/2023 | 50,000 | 50,156 | |||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 50,830 | |||
Allstate Corp.: | |||||
4.20%, 12/15/2046 | 50,000 | 49,104 | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | 25,000 | 25,720 | |||
American Financial Group, Inc.: | |||||
3.50%, 8/15/2026 | 15,000 | 14,086 | |||
4.50%, 6/15/2047 | 100,000 | 93,845 |
Table of Contents
Security Description | Principal Amount | Value | |||
American International Group, Inc.: | |||||
2.30%, 7/16/2019 | $ 50,000 | $ 49,670 | |||
3.30%, 3/1/2021 | 300,000 | 299,772 | |||
3.88%, 1/15/2035 | 200,000 | 177,966 | |||
3.90%, 4/1/2026 | 30,000 | 29,022 | |||
4.50%, 7/16/2044 | 50,000 | 46,627 | |||
4.88%, 6/1/2022 | 50,000 | 52,352 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 98,103 | |||
Aon PLC: | |||||
3.50%, 6/14/2024 | 50,000 | 48,751 | |||
3.88%, 12/15/2025 | 150,000 | 148,023 | |||
Assurant, Inc.: | |||||
4.20%, 9/27/2023 | 100,000 | 100,043 | |||
4.90%, 3/27/2028 | 50,000 | 49,968 | |||
Athene Holding, Ltd. 4.13%, 1/12/2028 | 100,000 | 92,148 | |||
AXA Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 (b) | 150,000 | 148,749 | |||
4.35%, 4/20/2028 (b) | 150,000 | 143,386 | |||
5.00%, 4/20/2048 (b) | 100,000 | 92,349 | |||
Berkshire Hathaway, Inc.: | |||||
2.20%, 3/15/2021 | 155,000 | 152,526 | |||
2.75%, 3/15/2023 | 50,000 | 48,913 | |||
3.00%, 2/11/2023 | 25,000 | 24,802 | |||
3.13%, 3/15/2026 | 55,000 | 52,969 | |||
4.50%, 2/11/2043 | 180,000 | 187,124 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 | 150,000 | 133,519 | |||
4.70%, 6/22/2047 | 150,000 | 123,981 | |||
Chubb INA Holdings, Inc.: | |||||
2.30%, 11/3/2020 | 200,000 | 196,482 | |||
2.88%, 11/3/2022 | 50,000 | 49,138 | |||
3.35%, 5/3/2026 | 250,000 | 242,605 | |||
4.15%, 3/13/2043 | 25,000 | 24,766 | |||
4.35%, 11/3/2045 | 125,000 | 127,664 | |||
CNA Financial Corp.: | |||||
3.45%, 8/15/2027 | 100,000 | 93,138 | |||
4.50%, 3/1/2026 | 25,000 | 25,457 | |||
Fairfax Financial Holdings, Ltd. 4.85%, 4/17/2028 (b) | 100,000 | 98,908 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 25,235 | |||
Hartford Financial Services Group, Inc.: | |||||
4.40%, 3/15/2048 | 100,000 | 96,205 | |||
5.13%, 4/15/2022 | 25,000 | 26,386 | |||
Lincoln National Corp.: | |||||
3.80%, 3/1/2028 | 35,000 | 33,391 | |||
4.00%, 9/1/2023 | 15,000 | 15,179 | |||
4.35%, 3/1/2048 | 50,000 | 46,285 | |||
6.30%, 10/9/2037 | 50,000 | 59,487 | |||
Loews Corp. 3.75%, 4/1/2026 | 50,000 | 49,168 |
Security Description | Principal Amount | Value | |||
Manulife Financial Corp. USD 5 Year Swap Rate + 1.65%, 4.06%, 2/24/2032 (c) | $ 50,000 | $ 47,556 | |||
Markel Corp. 3.50%, 11/1/2027 | 50,000 | 46,531 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.75%, 1/30/2022 | 30,000 | 29,335 | |||
3.30%, 3/14/2023 | 150,000 | 147,766 | |||
3.75%, 3/14/2026 | 25,000 | 24,761 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 48,658 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 297,681 | |||
4.05%, 3/1/2045 | 150,000 | 139,525 | |||
4.88%, 11/13/2043 | 200,000 | 210,122 | |||
6.40%, 12/15/2066 | 100,000 | 106,161 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 51,784 | |||
Principal Financial Group, Inc. 3 Month USD LIBOR + 3.04%, 4.70%, 5/15/2055 (c) | 75,000 | 75,364 | |||
Progressive Corp.: | |||||
3.75%, 8/23/2021 | 50,000 | 50,615 | |||
4.20%, 3/15/2048 | 100,000 | 98,738 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 90,106 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 198,774 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 80,000 | 83,066 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (c) | 170,000 | 156,067 | |||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 49,750 | |||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 75,768 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 31,338 | |||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 28,300 | |||
Travelers Cos., Inc.: | |||||
3.75%, 5/15/2046 | 10,000 | 9,195 | |||
4.00%, 5/30/2047 | 80,000 | 77,027 | |||
4.05%, 3/7/2048 | 100,000 | 96,798 | |||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 31,152 | |||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 25,919 | |||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 47,259 | |||
Willis North America, Inc. 3.60%, 5/15/2024 | 50,000 | 48,415 | |||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 129,734 | |||
6,347,263 | |||||
INTERNET — 0.3% | |||||
Alibaba Group Holding, Ltd.: | |||||
2.50%, 11/28/2019 | 200,000 | 198,630 | |||
3.13%, 11/28/2021 | 25,000 | 24,761 | |||
3.40%, 12/6/2027 | 200,000 | 186,210 | |||
3.60%, 11/28/2024 | 75,000 | 73,455 | |||
4.20%, 12/6/2047 | 60,000 | 54,914 |
Table of Contents
Security Description | Principal Amount | Value | |||
Alphabet, Inc.: | |||||
2.00%, 8/15/2026 | $ 250,000 | $ 223,630 | |||
3.63%, 5/19/2021 | 50,000 | 51,130 | |||
Amazon.com, Inc.: | |||||
1.90%, 8/21/2020 | 165,000 | 161,614 | |||
2.40%, 2/22/2023 | 200,000 | 192,360 | |||
2.50%, 11/29/2022 | 25,000 | 24,298 | |||
2.60%, 12/5/2019 | 75,000 | 75,016 | |||
2.80%, 8/22/2024 | 100,000 | 96,373 | |||
3.15%, 8/22/2027 | 100,000 | 95,930 | |||
3.30%, 12/5/2021 | 200,000 | 201,638 | |||
3.80%, 12/5/2024 | 30,000 | 30,611 | |||
3.88%, 8/22/2037 | 125,000 | 122,136 | |||
4.05%, 8/22/2047 | 125,000 | 121,886 | |||
4.25%, 8/22/2057 | 135,000 | 133,037 | |||
4.95%, 12/5/2044 | 125,000 | 139,215 | |||
5.20%, 12/3/2025 | 50,000 | 54,977 | |||
Baidu, Inc. 2.88%, 7/6/2022 | 250,000 | 240,825 | |||
eBay, Inc.: | |||||
2.75%, 1/30/2023 | 150,000 | 144,516 | |||
3.45%, 8/1/2024 | 25,000 | 24,249 | |||
3.80%, 3/9/2022 | 50,000 | 50,496 | |||
Expedia Group, Inc. 3.80%, 2/15/2028 | 50,000 | 45,910 | |||
2,767,817 | |||||
INVESTMENT COMPANY SECURITY — 0.0% (a) | |||||
Ares Capital Corp.: | |||||
3.50%, 2/10/2023 | 50,000 | 47,677 | |||
4.25%, 3/1/2025 | 50,000 | 48,096 | |||
Prospect Capital Corp. 5.88%, 3/15/2023 | 25,000 | 25,447 | |||
121,220 | |||||
IRON/STEEL — 0.1% | |||||
ArcelorMittal: | |||||
5.25%, 8/5/2020 | 35,000 | 36,050 | |||
5.50%, 3/1/2021 | 30,000 | 31,200 | |||
6.13%, 6/1/2025 | 20,000 | 21,632 | |||
6.25%, 2/25/2022 | 30,000 | 31,986 | |||
6.75%, 3/1/2041 | 25,000 | 28,179 | |||
7.00%, 10/15/2039 | 45,000 | 51,498 | |||
Nucor Corp.: | |||||
4.00%, 8/1/2023 | 25,000 | 25,478 | |||
5.20%, 8/1/2043 | 50,000 | 56,069 | |||
Vale Overseas, Ltd.: | |||||
4.38%, 1/11/2022 | 8,000 | 8,120 | |||
6.25%, 8/10/2026 | 150,000 | 162,759 | |||
8.25%, 1/17/2034 | 25,000 | 31,185 | |||
484,156 | |||||
LEISURE TIME — 0.0% (a) | |||||
Royal Caribbean Cruises, Ltd. 3.70%, 3/15/2028 | 150,000 | 138,874 | |||
LODGING — 0.0% (a) | |||||
Marriott International, Inc.: |
Security Description | Principal Amount | Value | |||
2.30%, 1/15/2022 | $ 150,000 | $ 143,989 | |||
2.88%, 3/1/2021 | 50,000 | 49,320 | |||
3.75%, 3/15/2025 | 25,000 | 24,549 | |||
217,858 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
ABB Finance USA, Inc.: | |||||
2.88%, 5/8/2022 | 50,000 | 49,068 | |||
3.80%, 4/3/2028 | 100,000 | 100,810 | |||
Caterpillar Financial Services Corp.: | |||||
1.70%, 8/9/2021 | 150,000 | 143,583 | |||
Series GMTN, 1.85%, 9/4/2020 | 150,000 | 146,218 | |||
Series MTN, 2.10%, 1/10/2020 | 300,000 | 296,916 | |||
Series MTN, 2.40%, 6/6/2022 | 150,000 | 145,237 | |||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 25,393 | |||
Caterpillar, Inc.: | |||||
3.80%, 8/15/2042 | 125,000 | 119,429 | |||
4.75%, 5/15/2064 | 25,000 | 26,086 | |||
1,052,740 | |||||
MACHINERY-DIVERSIFIED — 0.1% | |||||
CNH Industrial Capital LLC: | |||||
3.38%, 7/15/2019 | 15,000 | 14,972 | |||
3.88%, 10/15/2021 | 10,000 | 9,875 | |||
4.38%, 11/6/2020 | 15,000 | 15,178 | |||
4.38%, 4/5/2022 | 15,000 | 15,047 | |||
4.88%, 4/1/2021 | 15,000 | 15,394 | |||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 14,008 | |||
Deere & Co.: | |||||
2.60%, 6/8/2022 | 25,000 | 24,399 | |||
3.90%, 6/9/2042 | 225,000 | 221,368 | |||
John Deere Capital Corp.: | |||||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 25,078 | |||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 143,145 | |||
Series MTN, 2.38%, 7/14/2020 | 25,000 | 24,694 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 146,476 | |||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 24,710 | |||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 99,423 | |||
Nvent Finance Sarl 4.55%, 4/15/2028 (b) | 50,000 | 49,186 | |||
Roper Technologies, Inc.: | |||||
2.80%, 12/15/2021 | 50,000 | 48,873 | |||
3.80%, 12/15/2026 | 30,000 | 29,240 | |||
921,066 | |||||
MEDIA — 0.9% | |||||
21st Century Fox America, Inc.: | |||||
3.38%, 11/15/2026 | 100,000 | 95,834 | |||
3.70%, 10/15/2025 | 100,000 | 98,507 | |||
4.00%, 10/1/2023 | 100,000 | 101,691 | |||
5.40%, 10/1/2043 | 75,000 | 82,438 | |||
CBS Corp.: |
Table of Contents
Security Description | Principal Amount | Value | |||
2.30%, 8/15/2019 | $ 75,000 | $ 74,416 | |||
2.50%, 2/15/2023 | 50,000 | 46,989 | |||
2.90%, 1/15/2027 | 125,000 | 111,300 | |||
3.70%, 6/1/2028 (b) | 50,000 | 46,576 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||||
3.58%, 7/23/2020 | 65,000 | 64,915 | |||
4.20%, 3/15/2028 | 250,000 | 234,503 | |||
4.46%, 7/23/2022 | 150,000 | 151,770 | |||
4.50%, 2/1/2024 | 100,000 | 100,195 | |||
4.91%, 7/23/2025 | 50,000 | 50,489 | |||
5.38%, 5/1/2047 | 150,000 | 137,890 | |||
6.48%, 10/23/2045 | 185,000 | 195,149 | |||
Comcast Corp.: | |||||
2.75%, 3/1/2023 | 175,000 | 168,268 | |||
3.00%, 2/1/2024 | 350,000 | 334,551 | |||
3.15%, 3/1/2026 | 225,000 | 211,167 | |||
3.15%, 2/15/2028 | 200,000 | 184,790 | |||
3.20%, 7/15/2036 | 250,000 | 208,820 | |||
3.30%, 2/1/2027 | 150,000 | 141,189 | |||
3.40%, 7/15/2046 | 100,000 | 81,160 | |||
3.60%, 3/1/2024 | 25,000 | 24,641 | |||
3.90%, 3/1/2038 | 150,000 | 136,333 | |||
3.97%, 11/1/2047 | 250,000 | 220,080 | |||
4.00%, 11/1/2049 | 69,000 | 60,390 | |||
4.05%, 11/1/2052 | 150,000 | 130,182 | |||
4.20%, 8/15/2034 | 100,000 | 95,430 | |||
4.25%, 1/15/2033 | 50,000 | 48,799 | |||
4.65%, 7/15/2042 | 75,000 | 72,667 | |||
Discovery Communications LLC: | |||||
2.95%, 3/20/2023 | 275,000 | 263,117 | |||
3.25%, 4/1/2023 | 25,000 | 24,218 | |||
3.80%, 3/13/2024 | 100,000 | 98,155 | |||
3.95%, 3/20/2028 | 30,000 | 28,426 | |||
4.95%, 5/15/2042 | 50,000 | 46,774 | |||
5.00%, 9/20/2037 | 170,000 | 164,257 | |||
5.20%, 9/20/2047 | 280,000 | 270,698 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 44,101 | |||
6.13%, 1/31/2046 | 100,000 | 103,234 | |||
NBCUniversal Media LLC 5.15%, 4/30/2020 | 50,000 | 51,650 | |||
RELX Capital, Inc. 3.50%, 3/16/2023 | 30,000 | 29,789 | |||
Thomson Reuters Corp.: | |||||
3.35%, 5/15/2026 | 50,000 | 46,225 | |||
3.85%, 9/29/2024 | 25,000 | 24,655 | |||
Time Warner Cable LLC: | |||||
4.00%, 9/1/2021 | 25,000 | 25,065 | |||
4.50%, 9/15/2042 | 100,000 | 82,724 | |||
5.00%, 2/1/2020 | 100,000 | 102,089 | |||
5.50%, 9/1/2041 | 175,000 | 164,127 | |||
5.88%, 11/15/2040 | 50,000 | 49,200 | |||
6.75%, 6/15/2039 | 50,000 | 53,995 | |||
Viacom, Inc.: |
Security Description | Principal Amount | Value | |||
4.25%, 9/1/2023 | $ 100,000 | $ 99,258 | |||
4.38%, 3/15/2043 | 25,000 | 20,964 | |||
5.85%, 9/1/2043 | 200,000 | 199,870 | |||
Walt Disney Co.: | |||||
2.30%, 2/12/2021 | 200,000 | 194,922 | |||
3.00%, 2/13/2026 | 50,000 | 47,724 | |||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 24,254 | |||
Series MTN, 0.88%, 7/12/2019 | 25,000 | 24,530 | |||
Series MTN, 1.80%, 6/5/2020 | 250,000 | 244,328 | |||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 59,926 | |||
Warner Media LLC: | |||||
2.95%, 7/15/2026 | 200,000 | 179,742 | |||
3.55%, 6/1/2024 | 25,000 | 24,131 | |||
3.60%, 7/15/2025 | 300,000 | 285,330 | |||
3.80%, 2/15/2027 | 150,000 | 141,787 | |||
4.65%, 6/1/2044 | 25,000 | 22,095 | |||
4.85%, 7/15/2045 | 50,000 | 45,610 | |||
6.50%, 11/15/2036 | 50,000 | 56,188 | |||
7,054,287 | |||||
METAL FABRICATE & HARDWARE — 0.0% (a) | |||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 72,541 | |||
MINING — 0.1% | |||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 26,018 | |||
Barrick North America Finance LLC 4.40%, 5/30/2021 | 7,000 | 7,307 | |||
BHP Billiton Finance USA, Ltd.: | |||||
4.13%, 2/24/2042 | 125,000 | 124,741 | |||
5.00%, 9/30/2043 | 50,000 | 56,054 | |||
Goldcorp, Inc. 3.70%, 3/15/2023 | 50,000 | 49,298 | |||
Newmont Mining Corp.: | |||||
3.50%, 3/15/2022 | 25,000 | 24,875 | |||
4.88%, 3/15/2042 | 50,000 | 50,002 | |||
Rio Tinto Finance USA PLC: | |||||
4.13%, 8/21/2042 | 25,000 | 24,618 | |||
4.75%, 3/22/2042 | 150,000 | 160,900 | |||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 | 250,000 | 251,427 | |||
Southern Copper Corp. 5.88%, 4/23/2045 | 357,000 | 380,491 | |||
1,155,731 | |||||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
3M Co.: | |||||
2.88%, 10/15/2027 | 225,000 | 212,715 | |||
Series MTN, 2.00%, 8/7/2020 | 100,000 | 98,337 | |||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 23,689 | |||
Eaton Corp.: | |||||
3.10%, 9/15/2027 | 100,000 | 93,472 | |||
4.15%, 11/2/2042 | 25,000 | 24,186 |
Table of Contents
Security Description | Principal Amount | Value | |||
General Electric Co.: | |||||
2.70%, 10/9/2022 | $ 500,000 | $ 483,560 | |||
4.13%, 10/9/2042 | 225,000 | 208,800 | |||
4.50%, 3/11/2044 | 250,000 | 245,050 | |||
5.30%, 2/11/2021 | 25,000 | 26,140 | |||
Series GMTN, 2.20%, 1/9/2020 | 200,000 | 197,560 | |||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 49,050 | |||
Series MTN, 4.65%, 10/17/2021 | 50,000 | 51,980 | |||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 56,754 | |||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 25,000 | 24,510 | |||
Ingersoll-Rand Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 28,919 | |||
Parker-Hannifin Corp. Series MTN, 3.30%, 11/21/2024 | 50,000 | 49,267 | |||
Textron, Inc. 4.00%, 3/15/2026 | 50,000 | 49,441 | |||
1,923,430 | |||||
OFFICE & BUSINESS EQUIPMENT — 0.0% (a) | |||||
Xerox Corp.: | |||||
3.50%, 8/20/2020 | 50,000 | 49,786 | |||
3.63%, 3/15/2023 | 50,000 | 47,951 | |||
97,737 | |||||
OIL & GAS — 1.6% | |||||
Anadarko Petroleum Corp.: | |||||
3.45%, 7/15/2024 | 50,000 | 48,140 | |||
6.20%, 3/15/2040 | 25,000 | 28,138 | |||
6.60%, 3/15/2046 | 300,000 | 361,524 | |||
Andeavor: | |||||
3.80%, 4/1/2028 | 30,000 | 28,352 | |||
4.50%, 4/1/2048 | 25,000 | 22,972 | |||
5.13%, 12/15/2026 | 150,000 | 157,090 | |||
Apache Corp.: | |||||
4.75%, 4/15/2043 | 275,000 | 261,052 | |||
6.00%, 1/15/2037 | 50,000 | 54,526 | |||
BP Capital Markets PLC: | |||||
2.32%, 2/13/2020 | 50,000 | 49,509 | |||
2.52%, 9/19/2022 | 250,000 | 241,105 | |||
3.02%, 1/16/2027 | 200,000 | 189,074 | |||
3.06%, 3/17/2022 | 200,000 | 198,542 | |||
3.22%, 4/14/2024 | 200,000 | 196,054 | |||
3.59%, 4/14/2027 | 250,000 | 246,772 | |||
3.81%, 2/10/2024 | 150,000 | 151,740 | |||
Canadian Natural Resources, Ltd.: | |||||
2.95%, 1/15/2023 | 250,000 | 241,235 | |||
3.45%, 11/15/2021 | 25,000 | 24,963 | |||
3.85%, 6/1/2027 | 50,000 | 48,756 | |||
3.90%, 2/1/2025 | 25,000 | 24,721 | |||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 104,122 | |||
Cenovus Energy, Inc.: | |||||
3.00%, 8/15/2022 | 20,000 | 19,133 |
Security Description | Principal Amount | Value | |||
4.25%, 4/15/2027 | $ 50,000 | $ 48,192 | |||
4.45%, 9/15/2042 | 45,000 | 38,760 | |||
5.25%, 6/15/2037 | 100,000 | 98,716 | |||
5.40%, 6/15/2047 | 50,000 | 49,119 | |||
5.70%, 10/15/2019 | 30,000 | 30,788 | |||
Chevron Corp.: | |||||
1.96%, 3/3/2020 | 250,000 | 246,807 | |||
1.99%, 3/3/2020 | 250,000 | 246,860 | |||
2.10%, 5/16/2021 | 250,000 | 244,112 | |||
2.42%, 11/17/2020 | 75,000 | 74,152 | |||
2.90%, 3/3/2024 | 150,000 | 145,740 | |||
2.95%, 5/16/2026 | 50,000 | 47,960 | |||
3.19%, 6/24/2023 | 25,000 | 24,860 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 | 250,000 | 240,545 | |||
CNOOC Finance 2015 Australia Pty, Ltd. 2.63%, 5/5/2020 | 50,000 | 49,342 | |||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 300,000 | 289,407 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 105,354 | |||
Concho Resources, Inc. 3.75%, 10/1/2027 | 300,000 | 288,525 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 215,708 | |||
5.95%, 3/15/2046 | 200,000 | 249,450 | |||
6.50%, 2/1/2039 | 75,000 | 95,756 | |||
ConocoPhillips Holding Co. 6.95%, 4/15/2029 | 50,000 | 61,631 | |||
Continental Resources, Inc.: | |||||
3.80%, 6/1/2024 | 40,000 | 39,032 | |||
4.38%, 1/15/2028 | 40,000 | 39,787 | |||
4.50%, 4/15/2023 | 60,000 | 60,858 | |||
4.90%, 6/1/2044 | 30,000 | 29,538 | |||
5.00%, 9/15/2022 | 80,000 | 81,040 | |||
Devon Energy Corp.: | |||||
3.25%, 5/15/2022 | 50,000 | 49,164 | |||
5.00%, 6/15/2045 | 25,000 | 25,400 | |||
5.85%, 12/15/2025 | 50,000 | 55,068 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 | 100,000 | 96,788 | |||
5.88%, 5/28/2045 | 25,000 | 23,633 | |||
7.38%, 9/18/2043 | 50,000 | 54,955 | |||
Encana Corp. 3.90%, 11/15/2021 | 25,000 | 25,175 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 96,004 | |||
3.90%, 4/1/2035 | 25,000 | 24,316 | |||
EQT Corp.: | |||||
2.50%, 10/1/2020 | 250,000 | 244,673 | |||
3.00%, 10/1/2022 | 250,000 | 240,952 | |||
3.90%, 10/1/2027 | 100,000 | 93,300 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 72,166 | |||
3.70%, 3/1/2024 | 300,000 | 302,739 | |||
3.95%, 5/15/2043 | 50,000 | 47,661 | |||
4.80%, 11/8/2043 | 30,000 | 32,333 |
Table of Contents
Security Description | Principal Amount | Value | |||
Exxon Mobil Corp.: | |||||
2.22%, 3/1/2021 | $ 200,000 | $ 194,822 | |||
2.73%, 3/1/2023 | 150,000 | 147,213 | |||
3.04%, 3/1/2026 | 250,000 | 243,377 | |||
4.11%, 3/1/2046 | 125,000 | 126,813 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 75,852 | |||
5.80%, 4/1/2047 | 250,000 | 258,870 | |||
Marathon Oil Corp.: | |||||
2.80%, 11/1/2022 | 25,000 | 23,979 | |||
4.40%, 7/15/2027 | 50,000 | 50,352 | |||
5.20%, 6/1/2045 | 50,000 | 52,888 | |||
Marathon Petroleum Corp. 3.63%, 9/15/2024 | 50,000 | 48,893 | |||
Nexen Energy ULC 5.88%, 3/10/2035 | 100,000 | 115,722 | |||
Noble Energy, Inc.: | |||||
4.95%, 8/15/2047 | 250,000 | 249,818 | |||
5.25%, 11/15/2043 | 50,000 | 51,050 | |||
Occidental Petroleum Corp.: | |||||
2.60%, 4/15/2022 | 100,000 | 97,582 | |||
4.20%, 3/15/2048 | 150,000 | 149,361 | |||
4.40%, 4/15/2046 | 125,000 | 127,254 | |||
Series 1, 4.10%, 2/1/2021 | 25,000 | 25,579 | |||
Petro-Canada 5.35%, 7/15/2033 | 25,000 | 27,508 | |||
Petroleos Mexicanos: | |||||
2.46%, 12/15/2025 | 18,750 | 17,649 | |||
3.50%, 7/23/2020 | 225,000 | 224,010 | |||
3.50%, 1/30/2023 | 25,000 | 23,671 | |||
4.25%, 1/15/2025 | 25,000 | 23,374 | |||
4.50%, 1/23/2026 | 75,000 | 70,010 | |||
4.63%, 9/21/2023 | 75,000 | 73,855 | |||
5.38%, 3/13/2022 | 50,000 | 51,222 | |||
6.35%, 2/12/2048 (b) | 150,000 | 135,154 | |||
6.38%, 2/4/2021 | 250,000 | 262,667 | |||
6.38%, 1/23/2045 | 250,000 | 229,492 | |||
6.50%, 3/13/2027 | 250,000 | 255,890 | |||
6.75%, 9/21/2047 | 598,000 | 564,237 | |||
6.88%, 8/4/2026 | 250,000 | 262,342 | |||
Phillips 66: | |||||
3.90%, 3/15/2028 | 50,000 | 49,020 | |||
4.30%, 4/1/2022 | 35,000 | 36,110 | |||
4.88%, 11/15/2044 | 95,000 | 98,254 | |||
Pioneer Natural Resources Co. 4.45%, 1/15/2026 | 50,000 | 51,424 | |||
Shell International Finance B.V.: | |||||
1.88%, 5/10/2021 | 250,000 | 242,348 | |||
2.13%, 5/11/2020 | 100,000 | 98,678 | |||
2.25%, 11/10/2020 | 200,000 | 196,764 | |||
2.50%, 9/12/2026 | 150,000 | 138,672 | |||
3.25%, 5/11/2025 | 100,000 | 97,977 | |||
4.00%, 5/10/2046 | 50,000 | 48,414 | |||
4.13%, 5/11/2035 | 75,000 | 76,088 | |||
4.30%, 9/22/2019 | 25,000 | 25,456 | |||
4.38%, 5/11/2045 | 250,000 | 255,080 | |||
5.50%, 3/25/2040 | 25,000 | 29,374 |
Security Description | Principal Amount | Value | |||
Suncor Energy, Inc.: | |||||
3.60%, 12/1/2024 | $ 25,000 | $ 24,717 | |||
4.00%, 11/15/2047 | 70,000 | 65,880 | |||
6.50%, 6/15/2038 | 50,000 | 61,949 | |||
Total Capital International SA 3.75%, 4/10/2024 | 25,000 | 25,253 | |||
Valero Energy Corp.: | |||||
3.40%, 9/15/2026 | 50,000 | 47,477 | |||
6.13%, 2/1/2020 | 25,000 | 26,105 | |||
6.63%, 6/15/2037 | 250,000 | 300,330 | |||
13,579,762 | |||||
OIL & GAS SERVICES — 0.1% | |||||
Baker Hughes a GE Co. LLC 3.20%, 8/15/2021 | 8,000 | 7,995 | |||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | |||||
2.77%, 12/15/2022 | 200,000 | 194,200 | |||
3.34%, 12/15/2027 | 50,000 | 46,653 | |||
4.08%, 12/15/2047 | 150,000 | 134,695 | |||
Halliburton Co.: | |||||
4.85%, 11/15/2035 | 150,000 | 155,393 | |||
5.00%, 11/15/2045 | 35,000 | 37,260 | |||
7.45%, 9/15/2039 | 25,000 | 32,885 | |||
National Oilwell Varco, Inc. 2.60%, 12/1/2022 | 75,000 | 71,449 | |||
680,530 | |||||
PACKAGING & CONTAINERS — 0.0% (a) | |||||
Bemis Co., Inc. 3.10%, 9/15/2026 | 50,000 | 45,986 | |||
Packaging Corp. of America: | |||||
2.45%, 12/15/2020 | 35,000 | 34,345 | |||
3.40%, 12/15/2027 | 35,000 | 33,041 | |||
WestRock Co.: | |||||
3.38%, 9/15/2027 (b) | 100,000 | 93,899 | |||
3.75%, 3/15/2025 (b) | 100,000 | 98,277 | |||
305,548 | |||||
PHARMACEUTICALS — 1.4% | |||||
AbbVie, Inc.: | |||||
2.30%, 5/14/2021 | 325,000 | 315,598 | |||
2.50%, 5/14/2020 | 275,000 | 269,640 | |||
2.90%, 11/6/2022 | 25,000 | 24,244 | |||
3.20%, 5/14/2026 | 200,000 | 186,906 | |||
4.30%, 5/14/2036 | 50,000 | 47,807 | |||
4.40%, 11/6/2042 | 50,000 | 47,479 | |||
4.45%, 5/14/2046 | 150,000 | 143,376 | |||
4.50%, 5/14/2035 | 50,000 | 48,887 | |||
Allergan Funding SCS: | |||||
3.00%, 3/12/2020 | 75,000 | 74,632 | |||
3.45%, 3/15/2022 | 200,000 | 196,854 | |||
3.80%, 3/15/2025 | 75,000 | 72,955 | |||
3.85%, 6/15/2024 | 50,000 | 49,070 | |||
4.55%, 3/15/2035 | 100,000 | 94,939 | |||
4.75%, 3/15/2045 | 75,000 | 71,592 |
Table of Contents
Security Description | Principal Amount | Value | |||
AmerisourceBergen Corp. 3.45%, 12/15/2027 | $ 50,000 | $ 46,111 | |||
AstraZeneca PLC: | |||||
2.38%, 6/12/2022 | 400,000 | 384,716 | |||
3.38%, 11/16/2025 | 35,000 | 33,852 | |||
4.00%, 9/18/2042 | 25,000 | 23,497 | |||
6.45%, 9/15/2037 | 25,000 | 30,957 | |||
Bristol-Myers Squibb Co.: | |||||
3.25%, 2/27/2027 | 250,000 | 242,742 | |||
3.25%, 8/1/2042 | 50,000 | 44,168 | |||
Cardinal Health, Inc.: | |||||
2.40%, 11/15/2019 | 50,000 | 49,484 | |||
2.62%, 6/15/2022 | 150,000 | 143,761 | |||
3.08%, 6/15/2024 | 250,000 | 235,812 | |||
3.41%, 6/15/2027 | 300,000 | 275,256 | |||
4.90%, 9/15/2045 | 25,000 | 23,868 | |||
CVS Health Corp.: | |||||
2.13%, 6/1/2021 | 100,000 | 96,147 | |||
2.80%, 7/20/2020 | 20,000 | 19,825 | |||
2.88%, 6/1/2026 | 210,000 | 191,398 | |||
3.13%, 3/9/2020 | 220,000 | 219,822 | |||
3.35%, 3/9/2021 | 95,000 | 94,910 | |||
3.38%, 8/12/2024 | 25,000 | 24,140 | |||
3.50%, 7/20/2022 | 200,000 | 198,244 | |||
3.70%, 3/9/2023 | 235,000 | 233,284 | |||
3.88%, 7/20/2025 | 20,000 | 19,543 | |||
4.00%, 12/5/2023 | 25,000 | 25,118 | |||
4.10%, 3/25/2025 | 250,000 | 248,745 | |||
4.30%, 3/25/2028 | 110,000 | 108,489 | |||
4.78%, 3/25/2038 | 475,000 | 469,029 | |||
4.88%, 7/20/2035 | 45,000 | 45,136 | |||
5.05%, 3/25/2048 | 290,000 | 294,707 | |||
5.13%, 7/20/2045 | 185,000 | 188,829 | |||
Eli Lilly & Co.: | |||||
2.35%, 5/15/2022 | 300,000 | 291,825 | |||
3.10%, 5/15/2027 | 24,000 | 22,976 | |||
3.95%, 5/15/2047 | 250,000 | 247,357 | |||
5.55%, 3/15/2037 | 25,000 | 30,065 | |||
Express Scripts Holding Co.: | |||||
3.00%, 7/15/2023 | 150,000 | 142,380 | |||
3.30%, 2/25/2021 | 25,000 | 24,861 | |||
4.50%, 2/25/2026 | 75,000 | 74,820 | |||
4.80%, 7/15/2046 | 150,000 | 142,846 | |||
6.13%, 11/15/2041 | 25,000 | 28,148 | |||
GlaxoSmithKline Capital PLC 3.13%, 5/14/2021 | 70,000 | 70,062 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 24,376 | |||
3.38%, 5/15/2023 | 100,000 | 99,978 | |||
3.63%, 5/15/2025 | 55,000 | 54,981 | |||
3.88%, 5/15/2028 | 100,000 | 100,895 | |||
4.20%, 3/18/2043 | 25,000 | 25,218 | |||
6.38%, 5/15/2038 | 50,000 | 64,175 | |||
Johnson & Johnson: | |||||
1.65%, 3/1/2021 | 50,000 | 48,561 | |||
2.25%, 3/3/2022 | 250,000 | 244,382 | |||
2.45%, 3/1/2026 | 30,000 | 28,079 |
Security Description | Principal Amount | Value | |||
2.90%, 1/15/2028 | $ 250,000 | $ 238,915 | |||
3.38%, 12/5/2023 | 25,000 | 25,255 | |||
3.40%, 1/15/2038 | 250,000 | 236,243 | |||
3.55%, 3/1/2036 | 150,000 | 145,332 | |||
3.63%, 3/3/2037 | 200,000 | 195,612 | |||
3.70%, 3/1/2046 | 50,000 | 48,393 | |||
3.75%, 3/3/2047 | 100,000 | 97,381 | |||
4.50%, 12/5/2043 | 50,000 | 54,178 | |||
McKesson Corp.: | |||||
2.85%, 3/15/2023 | 25,000 | 23,921 | |||
3.95%, 2/16/2028 | 60,000 | 58,128 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 25,999 | |||
Merck & Co., Inc.: | |||||
2.35%, 2/10/2022 | 50,000 | 48,780 | |||
2.40%, 9/15/2022 | 25,000 | 24,245 | |||
2.75%, 2/10/2025 | 325,000 | 310,677 | |||
3.60%, 9/15/2042 | 25,000 | 23,596 | |||
3.70%, 2/10/2045 | 50,000 | 47,557 | |||
Mylan NV: | |||||
3.15%, 6/15/2021 | 380,000 | 375,881 | |||
5.25%, 6/15/2046 | 250,000 | 242,870 | |||
Novartis Capital Corp.: | |||||
1.80%, 2/14/2020 | 175,000 | 172,263 | |||
2.40%, 5/17/2022 | 300,000 | 291,720 | |||
3.00%, 11/20/2025 | 25,000 | 24,101 | |||
3.10%, 5/17/2027 | 30,000 | 28,862 | |||
3.40%, 5/6/2024 | 25,000 | 24,955 | |||
4.00%, 11/20/2045 | 50,000 | 50,247 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 48,954 | |||
Pfizer, Inc.: | |||||
2.20%, 12/15/2021 | 200,000 | 194,806 | |||
3.00%, 12/15/2026 | 150,000 | 144,213 | |||
3.40%, 5/15/2024 | 25,000 | 25,080 | |||
4.00%, 12/15/2036 | 150,000 | 150,655 | |||
7.20%, 3/15/2039 | 75,000 | 103,913 | |||
Sanofi: | |||||
3.63%, 6/19/2028 | 100,000 | 99,710 | |||
4.00%, 3/29/2021 | 25,000 | 25,609 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
1.90%, 9/23/2019 | 150,000 | 147,669 | |||
2.40%, 9/23/2021 | 300,000 | 287,206 | |||
2.88%, 9/23/2023 | 100,000 | 94,139 | |||
3.20%, 9/23/2026 | 30,000 | 27,440 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 30,738 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 46,310 | |||
4.70%, 2/1/2043 | 25,000 | 25,820 | |||
11,688,927 | |||||
PIPELINES — 0.9% | |||||
Andeavor Logistics L.P./Tesoro Logistics Finance Corp.: | |||||
3.50%, 12/1/2022 | 75,000 | 73,290 | |||
5.20%, 12/1/2047 | 100,000 | 97,029 |
Table of Contents
Security Description | Principal Amount | Value | |||
Buckeye Partners L.P.: | |||||
4.13%, 12/1/2027 | $ 50,000 | $ 45,465 | |||
4.88%, 2/1/2021 | 25,000 | 25,456 | |||
Columbia Pipeline Group, Inc. 3.30%, 6/1/2020 | 150,000 | 149,275 | |||
Enable Midstream Partners L.P.: | |||||
4.40%, 3/15/2027 | 50,000 | 47,455 | |||
4.95%, 5/15/2028 | 30,000 | 29,289 | |||
Enbridge Energy Partners L.P. 4.20%, 9/15/2021 | 25,000 | 25,283 | |||
Enbridge, Inc.: | |||||
2.90%, 7/15/2022 | 50,000 | 48,562 | |||
3.70%, 7/15/2027 | 50,000 | 47,548 | |||
4.25%, 12/1/2026 | 50,000 | 49,613 | |||
Energy Transfer L.P. 5.15%, 2/1/2043 | 25,000 | 22,324 | |||
Energy Transfer Partners L.P.: | |||||
4.20%, 4/15/2027 | 50,000 | 47,411 | |||
4.75%, 1/15/2026 | 225,000 | 223,911 | |||
5.15%, 3/15/2045 | 225,000 | 199,364 | |||
5.20%, 2/1/2022 | 100,000 | 103,847 | |||
5.30%, 4/15/2047 | 250,000 | 227,620 | |||
EnLink Midstream Partners L.P.: | |||||
4.85%, 7/15/2026 | 25,000 | 23,813 | |||
5.45%, 6/1/2047 | 50,000 | 42,835 | |||
Enterprise Products Operating LLC: | |||||
2.85%, 4/15/2021 | 75,000 | 74,095 | |||
3.75%, 2/15/2025 | 75,000 | 74,287 | |||
3.95%, 2/15/2027 | 200,000 | 198,614 | |||
4.85%, 3/15/2044 | 50,000 | 49,794 | |||
4.90%, 5/15/2046 | 50,000 | 50,316 | |||
5.10%, 2/15/2045 | 200,000 | 206,226 | |||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (c) | 250,000 | 236,077 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | 150,000 | 139,471 | |||
EQT Midstream Partners L.P.: | |||||
Series 10Y, 5.50%, 7/15/2028 | 15,000 | 15,040 | |||
Series 30Y, 6.50%, 7/15/2048 | 25,000 | 25,208 | |||
Series 5Y, 4.75%, 7/15/2023 | 50,000 | 49,961 | |||
Kinder Morgan Energy Partners L.P.: | |||||
3.50%, 3/1/2021 | 275,000 | 274,439 | |||
5.40%, 9/1/2044 | 25,000 | 24,308 | |||
Kinder Morgan, Inc.: | |||||
3.05%, 12/1/2019 | 225,000 | 224,568 | |||
3.15%, 1/15/2023 | 200,000 | 192,894 | |||
4.30%, 6/1/2025 | 300,000 | 299,082 | |||
5.05%, 2/15/2046 | 50,000 | 47,275 | |||
5.30%, 12/1/2034 | 200,000 | 196,582 | |||
5.55%, 6/1/2045 | 150,000 | 151,156 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 45,862 | |||
5.00%, 3/1/2026 | 50,000 | 52,818 | |||
MPLX L.P.: |
Security Description | Principal Amount | Value | |||
4.00%, 3/15/2028 | $ 35,000 | $ 33,304 | |||
4.50%, 4/15/2038 | 180,000 | 166,565 | |||
4.70%, 4/15/2048 | 25,000 | 23,210 | |||
4.88%, 6/1/2025 | 50,000 | 51,548 | |||
4.90%, 4/15/2058 | 25,000 | 22,336 | |||
5.20%, 3/1/2047 | 100,000 | 98,483 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 24,678 | |||
ONEOK, Inc.: | |||||
4.00%, 7/13/2027 | 30,000 | 29,123 | |||
4.55%, 7/15/2028 | 50,000 | 50,499 | |||
4.95%, 7/13/2047 | 150,000 | 147,013 | |||
5.20%, 7/15/2048 | 25,000 | 25,476 | |||
Phillips 66 Partners L.P.: | |||||
3.55%, 10/1/2026 | 10,000 | 9,349 | |||
4.90%, 10/1/2046 | 10,000 | 9,663 | |||
3.75%, 3/1/2028 | 25,000 | 23,395 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 23,708 | |||
4.50%, 12/15/2026 | 50,000 | 49,201 | |||
4.65%, 10/15/2025 | 50,000 | 49,875 | |||
4.70%, 6/15/2044 | 25,000 | 22,002 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 | 100,000 | 96,431 | |||
5.63%, 2/1/2021 | 95,000 | 99,376 | |||
5.63%, 3/1/2025 | 200,000 | 212,687 | |||
5.75%, 5/15/2024 | 75,000 | 79,979 | |||
5.88%, 6/30/2026 | 250,000 | 270,952 | |||
Sunoco Logistics Partners Operations L.P.: | |||||
4.00%, 10/1/2027 | 50,000 | 46,673 | |||
5.30%, 4/1/2044 | 25,000 | 22,575 | |||
5.35%, 5/15/2045 | 25,000 | 22,757 | |||
5.40%, 10/1/2047 | 150,000 | 138,298 | |||
TransCanada PipeLines, Ltd.: | |||||
2.50%, 8/1/2022 | 100,000 | 96,117 | |||
4.63%, 3/1/2034 | 250,000 | 249,155 | |||
4.75%, 5/15/2038 | 100,000 | 100,627 | |||
7.63%, 1/15/2039 | 25,000 | 33,043 | |||
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026 | 200,000 | 243,054 | |||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 49,182 | |||
Western Gas Partners L.P.: | |||||
4.50%, 3/1/2028 | 20,000 | 19,255 | |||
5.30%, 3/1/2048 | 50,000 | 46,560 | |||
5.45%, 4/1/2044 | 25,000 | 23,657 | |||
Williams Partners L.P.: | |||||
3.60%, 3/15/2022 | 100,000 | 99,532 | |||
3.75%, 6/15/2027 | 200,000 | 188,982 | |||
3.90%, 1/15/2025 | 50,000 | 48,748 | |||
5.10%, 9/15/2045 | 125,000 | 123,451 | |||
5.25%, 3/15/2020 | 25,000 | 25,765 | |||
7,353,747 |
Table of Contents
Security Description | Principal Amount | Value | |||
REAL ESTATE — 0.0% (a) | |||||
CBRE Services, Inc. 4.88%, 3/1/2026 | $ 50,000 | $ 52,055 | |||
Prologis L.P.: | |||||
3.75%, 11/1/2025 | 50,000 | 50,006 | |||
4.25%, 8/15/2023 | 150,000 | 154,506 | |||
256,567 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.8% | |||||
Alexandria Real Estate Equities, Inc.: | |||||
3.45%, 4/30/2025 | 100,000 | 95,823 | |||
4.70%, 7/1/2030 | 35,000 | 35,377 | |||
American Campus Communities Operating Partnership L.P. 3.63%, 11/15/2027 | 30,000 | 28,107 | |||
American Tower Corp.: | |||||
2.25%, 1/15/2022 | 100,000 | 95,365 | |||
3.00%, 6/15/2023 | 250,000 | 239,592 | |||
3.13%, 1/15/2027 | 100,000 | 90,646 | |||
3.38%, 10/15/2026 | 75,000 | 69,622 | |||
3.50%, 1/31/2023 | 50,000 | 49,209 | |||
AvalonBay Communities, Inc.: | |||||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 24,472 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 46,764 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 37,679 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 46,490 | |||
Boston Properties L.P.: | |||||
2.75%, 10/1/2026 | 150,000 | 135,363 | |||
3.65%, 2/1/2026 | 100,000 | 96,588 | |||
3.85%, 2/1/2023 | 75,000 | 75,522 | |||
Brixmor Operating Partnership L.P.: | |||||
3.65%, 6/15/2024 | 50,000 | 48,229 | |||
4.13%, 6/15/2026 | 50,000 | 48,732 | |||
Crown Castle International Corp.: | |||||
3.20%, 9/1/2024 | 250,000 | 236,227 | |||
3.65%, 9/1/2027 | 250,000 | 232,582 | |||
3.70%, 6/15/2026 | 15,000 | 14,159 | |||
4.00%, 3/1/2027 | 20,000 | 19,241 | |||
4.75%, 5/15/2047 | 100,000 | 94,667 | |||
5.25%, 1/15/2023 | 100,000 | 104,819 | |||
Digital Realty Trust L.P.: | |||||
2.75%, 2/1/2023 | 125,000 | 119,016 | |||
3.70%, 8/15/2027 | 150,000 | 142,413 | |||
3.95%, 7/1/2022 | 25,000 | 25,256 | |||
EPR Properties: | |||||
4.50%, 6/1/2027 | 50,000 | 47,595 | |||
4.95%, 4/15/2028 | 50,000 | 48,793 | |||
ERP Operating L.P.: | |||||
2.38%, 7/1/2019 | 50,000 | 49,676 | |||
3.50%, 3/1/2028 | 100,000 | 96,525 | |||
4.00%, 8/1/2047 | 50,000 | 46,694 | |||
Essex Portfolio L.P.: |
Security Description | Principal Amount | Value | |||
3.63%, 5/1/2027 | $ 50,000 | $ 47,792 | |||
4.50%, 3/15/2048 | 50,000 | 48,641 | |||
Federal Realty Investment Trust 3.25%, 7/15/2027 | 50,000 | 46,836 | |||
HCP, Inc.: | |||||
2.63%, 2/1/2020 | 25,000 | 24,694 | |||
3.88%, 8/15/2024 | 50,000 | 48,892 | |||
4.00%, 12/1/2022 | 200,000 | 200,922 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.95%, 7/1/2022 | 175,000 | 169,715 | |||
3.50%, 8/1/2026 | 25,000 | 23,486 | |||
Highwoods Realty L.P. 3.88%, 3/1/2027 | 50,000 | 48,228 | |||
Hospitality Properties Trust: | |||||
4.38%, 2/15/2030 | 50,000 | 46,281 | |||
4.50%, 6/15/2023 | 25,000 | 25,197 | |||
4.95%, 2/15/2027 | 70,000 | 69,172 | |||
Host Hotels & Resorts L.P. 3.88%, 4/1/2024 | 50,000 | 48,757 | |||
Kilroy Realty L.P. 3.45%, 12/15/2024 | 50,000 | 48,013 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 | 50,000 | 44,395 | |||
3.30%, 2/1/2025 | 40,000 | 37,941 | |||
3.80%, 4/1/2027 | 25,000 | 23,788 | |||
Mid-America Apartments L.P. 3.60%, 6/1/2027 | 50,000 | 47,935 | |||
National Retail Properties, Inc. 3.60%, 12/15/2026 | 50,000 | 47,361 | |||
Omega Healthcare Investors, Inc. 4.38%, 8/1/2023 | 150,000 | 148,280 | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | 100,000 | 93,537 | |||
Public Storage 2.37%, 9/15/2022 | 125,000 | 120,021 | |||
Realty Income Corp.: | |||||
3.65%, 1/15/2028 | 100,000 | 95,936 | |||
3.88%, 4/15/2025 | 100,000 | 98,636 | |||
4.13%, 10/15/2026 | 50,000 | 49,764 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 49,432 | |||
4.40%, 2/1/2047 | 150,000 | 142,863 | |||
Sabra Health Care L.P. 5.13%, 8/15/2026 | 25,000 | 23,981 | |||
Select Income REIT 4.25%, 5/15/2024 | 50,000 | 47,779 | |||
Senior Housing Properties Trust 4.75%, 2/15/2028 | 100,000 | 96,898 | |||
Simon Property Group L.P.: | |||||
2.50%, 7/15/2021 | 350,000 | 341,971 | |||
2.63%, 6/15/2022 | 100,000 | 96,988 | |||
2.75%, 6/1/2023 | 200,000 | 192,780 | |||
4.25%, 11/30/2046 | 50,000 | 48,706 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 48,995 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 | 50,000 | 47,072 |
Table of Contents
Security Description | Principal Amount | Value | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | $ 150,000 | $ 141,316 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 22,905 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 47,448 | |||
Ventas Realty L.P.: | |||||
3.10%, 1/15/2023 | 50,000 | 48,596 | |||
3.85%, 4/1/2027 | 100,000 | 96,018 | |||
4.00%, 3/1/2028 | 100,000 | 96,649 | |||
4.38%, 2/1/2045 | 75,000 | 68,974 | |||
VEREIT Operating Partnership L.P.: | |||||
3.95%, 8/15/2027 | 40,000 | 37,338 | |||
4.13%, 6/1/2021 | 5,000 | 5,069 | |||
4.60%, 2/6/2024 | 5,000 | 4,999 | |||
4.88%, 6/1/2026 | 10,000 | 9,983 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 47,992 | |||
Welltower, Inc.: | |||||
4.00%, 6/1/2025 | 175,000 | 171,794 | |||
5.25%, 1/15/2022 | 50,000 | 52,423 | |||
Weyerhaeuser Co. 4.63%, 9/15/2023 | 25,000 | 26,017 | |||
6,260,449 | |||||
RETAIL — 0.7% | |||||
AutoNation, Inc. 3.35%, 1/15/2021 | 25,000 | 24,928 | |||
AutoZone, Inc. 3.75%, 6/1/2027 | 100,000 | 96,401 | |||
Costco Wholesale Corp. 2.30%, 5/18/2022 | 150,000 | 145,530 | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 | 15,000 | 14,458 | |||
4.55%, 2/15/2048 | 15,000 | 13,899 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 | 70,000 | 68,613 | |||
4.15%, 11/1/2025 | 25,000 | 25,022 | |||
Dollar Tree, Inc.: | |||||
3.70%, 5/15/2023 | 45,000 | 44,589 | |||
4.00%, 5/15/2025 | 100,000 | 97,788 | |||
4.20%, 5/15/2028 | 45,000 | 43,426 | |||
Home Depot, Inc.: | |||||
2.00%, 4/1/2021 | 100,000 | 97,506 | |||
2.13%, 9/15/2026 | 150,000 | 133,872 | |||
2.63%, 6/1/2022 | 150,000 | 147,291 | |||
2.80%, 9/14/2027 | 250,000 | 229,455 | |||
3.00%, 4/1/2026 | 50,000 | 47,775 | |||
3.75%, 2/15/2024 | 25,000 | 25,522 | |||
3.90%, 6/15/2047 | 200,000 | 191,662 | |||
4.25%, 4/1/2046 | 35,000 | 35,341 | |||
5.95%, 4/1/2041 | 50,000 | 61,878 | |||
Kohl's Corp. 5.55%, 7/17/2045 | 20,000 | 19,425 | |||
Lowe's Cos., Inc.: | |||||
2.50%, 4/15/2026 | 50,000 | 45,754 | |||
3.10%, 5/3/2027 | 200,000 | 189,526 | |||
3.38%, 9/15/2025 | 25,000 | 24,508 |
Security Description | Principal Amount | Value | |||
3.70%, 4/15/2046 | $ 50,000 | $ 44,859 | |||
4.05%, 5/3/2047 | 300,000 | 284,427 | |||
4.25%, 9/15/2044 | 25,000 | 24,474 | |||
4.38%, 9/15/2045 | 25,000 | 24,919 | |||
4.65%, 4/15/2042 | 25,000 | 25,950 | |||
Macy's Retail Holdings, Inc.: | |||||
3.63%, 6/1/2024 | 25,000 | 24,150 | |||
4.50%, 12/15/2034 | 50,000 | 42,788 | |||
McDonald's Corp.: | |||||
Series MTN, 2.75%, 12/9/2020 | 25,000 | 24,833 | |||
Series MTN, 3.35%, 4/1/2023 | 30,000 | 29,901 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 48,800 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 74,503 | |||
Series MTN, 3.80%, 4/1/2028 | 50,000 | 49,756 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 123,792 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 157,164 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 104,845 | |||
O'Reilly Automotive, Inc.: | |||||
3.60%, 9/1/2027 | 50,000 | 47,213 | |||
4.35%, 6/1/2028 | 100,000 | 99,473 | |||
QVC, Inc. 5.45%, 8/15/2034 | 50,000 | 46,281 | |||
Starbucks Corp.: | |||||
2.20%, 11/22/2020 | 200,000 | 195,482 | |||
3.85%, 10/1/2023 | 25,000 | 25,264 | |||
Target Corp.: | |||||
2.50%, 4/15/2026 | 50,000 | 45,976 | |||
3.90%, 11/15/2047 | 250,000 | 231,895 | |||
4.00%, 7/1/2042 | 50,000 | 47,611 | |||
TJX Cos., Inc. 2.25%, 9/15/2026 | 50,000 | 44,625 | |||
Walgreen Co. 3.10%, 9/15/2022 | 25,000 | 24,491 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.30%, 11/18/2021 | 200,000 | 198,934 | |||
3.45%, 6/1/2026 | 250,000 | 233,040 | |||
4.50%, 11/18/2034 | 25,000 | 23,618 | |||
4.65%, 6/1/2046 | 25,000 | 23,066 | |||
Walmart, Inc.: | |||||
1.75%, 10/9/2019 | 250,000 | 247,287 | |||
1.90%, 12/15/2020 | 250,000 | 244,900 | |||
2.35%, 12/15/2022 | 250,000 | 241,232 | |||
2.65%, 12/15/2024 | 150,000 | 143,667 | |||
3.30%, 4/22/2024 | 325,000 | 323,528 | |||
3.63%, 12/15/2047 | 250,000 | 233,057 | |||
3.70%, 6/26/2028 | 100,000 | 100,951 | |||
3.95%, 6/28/2038 | 225,000 | 225,909 | |||
4.05%, 6/29/2048 | 35,000 | 35,270 | |||
5,992,100 | |||||
SEMICONDUCTORS — 0.4% | |||||
Analog Devices, Inc.: | |||||
2.85%, 3/12/2020 | 20,000 | 19,917 | |||
2.95%, 1/12/2021 | 50,000 | 49,622 | |||
Applied Materials, Inc.: | |||||
3.90%, 10/1/2025 | 25,000 | 25,414 | |||
4.35%, 4/1/2047 | 100,000 | 99,998 | |||
5.10%, 10/1/2035 | 50,000 | 55,610 |
Table of Contents
Security Description | Principal Amount | Value | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd.: | |||||
2.38%, 1/15/2020 | $ 100,000 | $ 98,684 | |||
2.65%, 1/15/2023 | 200,000 | 188,606 | |||
3.00%, 1/15/2022 | 100,000 | 97,254 | |||
3.63%, 1/15/2024 | 350,000 | 338,786 | |||
3.88%, 1/15/2027 | 350,000 | 331,527 | |||
Intel Corp.: | |||||
1.85%, 5/11/2020 | 200,000 | 196,654 | |||
2.35%, 5/11/2022 | 50,000 | 48,604 | |||
2.45%, 7/29/2020 | 100,000 | 99,334 | |||
2.60%, 5/19/2026 | 225,000 | 209,943 | |||
2.88%, 5/11/2024 | 200,000 | 193,760 | |||
3.15%, 5/11/2027 | 200,000 | 193,838 | |||
3.30%, 10/1/2021 | 25,000 | 25,199 | |||
4.10%, 5/19/2046 | 20,000 | 20,045 | |||
4.10%, 5/11/2047 | 200,000 | 199,658 | |||
Lam Research Corp. 2.75%, 3/15/2020 | 25,000 | 24,849 | |||
NVIDIA Corp. 3.20%, 9/16/2026 | 50,000 | 48,167 | |||
QUALCOMM, Inc.: | |||||
2.10%, 5/20/2020 | 15,000 | 14,855 | |||
2.25%, 5/20/2020 | 150,000 | 147,622 | |||
2.60%, 1/30/2023 | 200,000 | 191,072 | |||
2.90%, 5/20/2024 | 200,000 | 188,924 | |||
3.25%, 5/20/2027 | 50,000 | 46,609 | |||
3.45%, 5/20/2025 | 50,000 | 48,153 | |||
4.30%, 5/20/2047 | 50,000 | 46,624 | |||
4.80%, 5/20/2045 | 25,000 | 25,010 | |||
Texas Instruments, Inc.: | |||||
2.90%, 11/3/2027 | 70,000 | 66,204 | |||
4.15%, 5/15/2048 | 150,000 | 152,259 | |||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 47,509 | |||
3,540,310 | |||||
SOFTWARE — 0.8% | |||||
Activision Blizzard, Inc.: | |||||
2.30%, 9/15/2021 | 250,000 | 241,620 | |||
4.50%, 6/15/2047 | 150,000 | 144,745 | |||
Adobe Systems, Inc. 3.25%, 2/1/2025 | 25,000 | 24,519 | |||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 46,713 | |||
Electronic Arts, Inc. 3.70%, 3/1/2021 | 25,000 | 25,231 | |||
Fidelity National Information Services, Inc.: | |||||
3.00%, 8/15/2026 | 200,000 | 184,124 | |||
3.63%, 10/15/2020 | 28,000 | 28,196 | |||
3.88%, 6/5/2024 | 7,000 | 6,988 | |||
Series 30Y, 4.75%, 5/15/2048 | 50,000 | 48,239 | |||
Fiserv, Inc. 2.70%, 6/1/2020 | 100,000 | 99,014 | |||
Microsoft Corp.: | |||||
1.10%, 8/8/2019 | 100,000 | 98,405 | |||
1.55%, 8/8/2021 | 200,000 | 191,850 |
Security Description | Principal Amount | Value | |||
1.85%, 2/6/2020 | $ 250,000 | $ 246,800 | |||
2.00%, 11/3/2020 | 150,000 | 147,459 | |||
2.00%, 8/8/2023 | 50,000 | 47,183 | |||
2.40%, 2/6/2022 | 300,000 | 293,544 | |||
2.40%, 8/8/2026 | 200,000 | 184,896 | |||
3.13%, 11/3/2025 | 50,000 | 49,072 | |||
3.30%, 2/6/2027 | 280,000 | 276,032 | |||
3.45%, 8/8/2036 | 50,000 | 47,994 | |||
3.63%, 12/15/2023 | 25,000 | 25,525 | |||
3.70%, 8/8/2046 | 200,000 | 194,042 | |||
3.95%, 8/8/2056 | 75,000 | 73,674 | |||
4.00%, 2/12/2055 | 75,000 | 74,812 | |||
4.10%, 2/6/2037 | 250,000 | 259,827 | |||
4.20%, 11/3/2035 | 65,000 | 68,525 | |||
4.45%, 11/3/2045 | 25,000 | 27,100 | |||
4.50%, 2/6/2057 | 250,000 | 271,127 | |||
5.20%, 6/1/2039 | 50,000 | 58,842 | |||
Series 30Y, 4.25%, 2/6/2047 | 150,000 | 158,851 | |||
Oracle Corp.: | |||||
1.90%, 9/15/2021 | 200,000 | 192,340 | |||
2.25%, 10/8/2019 | 75,000 | 74,560 | |||
2.40%, 9/15/2023 | 200,000 | 189,750 | |||
2.50%, 5/15/2022 | 50,000 | 48,674 | |||
2.63%, 2/15/2023 | 235,000 | 227,590 | |||
2.65%, 7/15/2026 | 45,000 | 41,538 | |||
2.80%, 7/8/2021 | 250,000 | 248,505 | |||
2.95%, 11/15/2024 | 200,000 | 192,778 | |||
2.95%, 5/15/2025 | 10,000 | 9,546 | |||
3.25%, 11/15/2027 | 50,000 | 47,878 | |||
3.80%, 11/15/2037 | 180,000 | 170,235 | |||
3.85%, 7/15/2036 | 150,000 | 143,743 | |||
3.90%, 5/15/2035 | 5,000 | 4,850 | |||
4.00%, 7/15/2046 | 180,000 | 169,985 | |||
4.00%, 11/15/2047 | 285,000 | 268,886 | |||
4.30%, 7/8/2034 | 200,000 | 203,794 | |||
4.38%, 5/15/2055 | 10,000 | 9,799 | |||
salesforce.com, Inc.: | |||||
3.25%, 4/11/2023 | 25,000 | 24,862 | |||
3.70%, 4/11/2028 | 25,000 | 24,801 | |||
VMware, Inc.: | |||||
2.30%, 8/21/2020 | 150,000 | 146,678 | |||
3.90%, 8/21/2027 | 150,000 | 138,795 | |||
6,224,536 | |||||
TELECOMMUNICATIONS — 1.2% | |||||
America Movil SAB de CV: | |||||
3.13%, 7/16/2022 | 100,000 | 98,290 | |||
4.38%, 7/16/2042 | 50,000 | 48,770 | |||
6.13%, 3/30/2040 | 100,000 | 117,074 | |||
AT&T, Inc.: | |||||
2.45%, 6/30/2020 | 500,000 | 492,175 | |||
3.20%, 3/1/2022 | 250,000 | 244,985 | |||
3.90%, 3/11/2024 | 25,000 | 24,676 | |||
4.10%, 2/15/2028 (b) | 584,000 | 557,819 | |||
4.13%, 2/17/2026 | 350,000 | 341,750 | |||
4.30%, 2/15/2030 (b) | 130,000 | 122,869 | |||
4.45%, 4/1/2024 | 25,000 | 25,285 |
Table of Contents
Security Description | Principal Amount | Value | |||
4.50%, 5/15/2035 | $ 300,000 | $ 277,194 | |||
4.55%, 3/9/2049 | 208,000 | 179,668 | |||
4.75%, 5/15/2046 | 30,000 | 26,764 | |||
4.80%, 6/15/2044 | 50,000 | 45,277 | |||
5.15%, 11/15/2046 (b) | 50,000 | 47,187 | |||
5.25%, 3/1/2037 | 400,000 | 394,292 | |||
5.45%, 3/1/2047 | 250,000 | 244,995 | |||
5.65%, 2/15/2047 | 150,000 | 151,446 | |||
Cisco Systems, Inc.: | |||||
1.40%, 9/20/2019 | 200,000 | 196,972 | |||
1.85%, 9/20/2021 | 200,000 | 192,596 | |||
2.20%, 2/28/2021 | 100,000 | 98,051 | |||
2.45%, 6/15/2020 | 300,000 | 298,143 | |||
3.00%, 6/15/2022 | 25,000 | 24,917 | |||
3.50%, 6/15/2025 | 25,000 | 25,163 | |||
3.63%, 3/4/2024 | 25,000 | 25,280 | |||
5.50%, 1/15/2040 | 300,000 | 356,439 | |||
Deutsche Telekom International Finance B.V. 6.00%, 7/8/2019 | 100,000 | 102,988 | |||
Motorola Solutions, Inc.: | |||||
4.00%, 9/1/2024 | 25,000 | 24,423 | |||
4.60%, 2/23/2028 | 75,000 | 74,557 | |||
Orange SA: | |||||
1.63%, 11/3/2019 | 150,000 | 147,312 | |||
5.38%, 7/8/2019 | 100,000 | 102,463 | |||
5.50%, 2/6/2044 | 50,000 | 55,468 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 | 30,000 | 29,284 | |||
4.30%, 2/15/2048 | 40,000 | 38,212 | |||
5.00%, 3/15/2044 | 50,000 | 51,981 | |||
Telefonica Emisiones SAU: | |||||
4.67%, 3/6/2038 | 150,000 | 141,654 | |||
5.21%, 3/8/2047 | 300,000 | 288,939 | |||
7.05%, 6/20/2036 | 25,000 | 30,196 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 32,482 | |||
Telefonos de Mexico SAB de CV 5.50%, 11/15/2019 | 100,000 | 103,084 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 147,157 | |||
Verizon Communications, Inc.: | |||||
2.63%, 8/15/2026 | 50,000 | 44,504 | |||
3.38%, 2/15/2025 | 250,000 | 239,827 | |||
3.50%, 11/1/2024 | 50,000 | 47,962 | |||
4.27%, 1/15/2036 | 28,000 | 25,835 | |||
4.33%, 9/21/2028 (b) | 835,000 | 829,030 | |||
4.40%, 11/1/2034 | 250,000 | 235,650 | |||
4.50%, 8/10/2033 | 250,000 | 242,070 | |||
4.52%, 9/15/2048 | 25,000 | 22,829 | |||
4.67%, 3/15/2055 | 250,000 | 221,730 | |||
4.81%, 3/15/2039 | 100,000 | 96,866 | |||
4.86%, 8/21/2046 | 250,000 | 234,102 | |||
5.01%, 4/15/2049 | 203,000 | 197,673 | |||
5.25%, 3/16/2037 | 150,000 | 154,170 | |||
5.50%, 3/16/2047 | 350,000 | 367,300 | |||
Vodafone Group PLC: |
Security Description | Principal Amount | Value | |||
2.50%, 9/26/2022 | $ 50,000 | $ 47,799 | |||
2.95%, 2/19/2023 | 125,000 | 120,680 | |||
3.75%, 1/16/2024 | 170,000 | 168,470 | |||
4.13%, 5/30/2025 | 50,000 | 49,823 | |||
4.38%, 5/30/2028 | 55,000 | 54,344 | |||
4.38%, 2/19/2043 | 75,000 | 67,312 | |||
5.00%, 5/30/2038 | 190,000 | 187,692 | |||
5.25%, 5/30/2048 | 75,000 | 74,674 | |||
9,758,619 | |||||
TEXTILES — 0.0% (a) | |||||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 147,189 | |||
TOYS/GAMES/HOBBIES — 0.0% (a) | |||||
Hasbro, Inc. 3.50%, 9/15/2027 | 30,000 | 27,808 | |||
TRANSPORTATION — 0.5% | |||||
Burlington Northern Santa Fe LLC: | |||||
3.40%, 9/1/2024 | 100,000 | 98,891 | |||
3.75%, 4/1/2024 | 25,000 | 25,316 | |||
3.90%, 8/1/2046 | 100,000 | 94,412 | |||
4.05%, 6/15/2048 | 155,000 | 149,790 | |||
4.13%, 6/15/2047 | 150,000 | 147,082 | |||
4.45%, 3/15/2043 | 50,000 | 51,053 | |||
4.55%, 9/1/2044 | 50,000 | 51,895 | |||
4.90%, 4/1/2044 | 125,000 | 135,481 | |||
Canadian National Railway Co.: | |||||
2.75%, 3/1/2026 | 100,000 | 94,476 | |||
2.95%, 11/21/2024 | 50,000 | 48,660 | |||
3.20%, 8/2/2046 | 25,000 | 21,612 | |||
3.65%, 2/3/2048 | 50,000 | 46,637 | |||
Canadian Pacific Railway Co.: | |||||
4.00%, 6/1/2028 | 100,000 | 101,074 | |||
4.80%, 9/15/2035 | 30,000 | 32,105 | |||
CSX Corp.: | |||||
3.25%, 6/1/2027 | 50,000 | 47,021 | |||
3.40%, 8/1/2024 | 25,000 | 24,591 | |||
3.80%, 3/1/2028 | 50,000 | 48,810 | |||
3.80%, 11/1/2046 | 100,000 | 88,750 | |||
4.10%, 3/15/2044 | 75,000 | 70,153 | |||
4.30%, 3/1/2048 | 50,000 | 47,662 | |||
4.65%, 3/1/2068 | 50,000 | 46,545 | |||
FedEx Corp.: | |||||
3.40%, 2/15/2028 | 50,000 | 47,562 | |||
3.90%, 2/1/2035 | 200,000 | 186,836 | |||
4.00%, 1/15/2024 | 25,000 | 25,464 | |||
4.05%, 2/15/2048 | 50,000 | 45,035 | |||
4.55%, 4/1/2046 | 100,000 | 96,742 | |||
4.75%, 11/15/2045 | 25,000 | 24,947 | |||
Kansas City Southern 4.70%, 5/1/2048 | 50,000 | 48,481 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 140,259 | |||
3.00%, 4/1/2022 | 25,000 | 24,709 | |||
3.15%, 6/1/2027 | 50,000 | 46,962 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.94%, 11/1/2047 | $ 265,000 | $ 245,152 | |||
4.45%, 6/15/2045 | 19,000 | 19,028 | |||
Ryder System, Inc.: | |||||
Series MTN, 2.45%, 9/3/2019 | 25,000 | 24,841 | |||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 97,596 | |||
Series MTN, 3.45%, 11/15/2021 | 100,000 | 99,888 | |||
Union Pacific Corp.: | |||||
2.75%, 3/1/2026 | 50,000 | 46,499 | |||
3.20%, 6/8/2021 | 35,000 | 35,078 | |||
3.50%, 6/8/2023 | 50,000 | 50,064 | |||
3.80%, 10/1/2051 | 52,000 | 45,812 | |||
3.95%, 9/10/2028 | 30,000 | 30,169 | |||
4.05%, 3/1/2046 | 175,000 | 165,648 | |||
4.10%, 9/15/2067 | 15,000 | 13,162 | |||
4.38%, 9/10/2038 | 110,000 | 111,512 | |||
4.50%, 9/10/2048 | 130,000 | 132,548 | |||
United Parcel Service, Inc.: | |||||
2.05%, 4/1/2021 | 150,000 | 146,415 | |||
2.35%, 5/16/2022 | 50,000 | 48,599 | |||
2.40%, 11/15/2026 | 30,000 | 27,339 | |||
2.45%, 10/1/2022 | 125,000 | 121,046 | |||
2.50%, 4/1/2023 | 150,000 | 144,877 | |||
3.05%, 11/15/2027 | 200,000 | 190,618 | |||
3.75%, 11/15/2047 | 175,000 | 160,977 | |||
4,115,881 | |||||
TRUCKING & LEASING — 0.0% (a) | |||||
GATX Corp.: | |||||
3.85%, 3/30/2027 | 50,000 | 47,809 | |||
4.55%, 11/7/2028 | 50,000 | 49,756 | |||
97,565 | |||||
WATER — 0.0% (a) | |||||
American Water Capital Corp.: | |||||
2.95%, 9/1/2027 | 121,000 | 113,717 | |||
3.40%, 3/1/2025 | 25,000 | 24,663 | |||
3.75%, 9/1/2047 | 100,000 | 92,228 | |||
4.30%, 12/1/2042 | 25,000 | 25,244 | |||
255,852 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $216,492,477) | 207,695,391 | ||||
ASSET-BACKED SECURITIES — 0.6% | |||||
AUTOMOBILE — 0.3% | |||||
Ally Master Owner Trust Series 2018-1, Class A2, 2.70%, 1/17/2023 | 100,000 | 99,042 | |||
AmeriCredit Automobile Receivables Trust 2017-2 Series 2017-2, Class B, 2.40%, 5/18/2022 | 200,000 | 196,655 | |||
CarMax Auto Owner Trust 2017-2 Series 2017-2, Class B, 2.41%, 12/15/2022 | 200,000 | 196,192 |
Security Description | Principal Amount | Value | |||
Ford Credit Auto Owner Trust 2016-C Series 2016-C, Class A4, 1.40%, 2/15/2022 | $ 200,000 | $ 194,027 | |||
Ford Credit Floorplan Master Owner Trust A Series 2017-2, Class A1, 2.16%, 9/15/2022 | 150,000 | 147,237 | |||
Honda Auto Receivables Owner Trust Series 2018-1I, Class A3, 2.60%, 2/15/2022 | 225,000 | 223,784 | |||
Nissan Auto Lease Trust 2017-B Series 2017-B, Class A3, 2.05%, 9/15/2020 | 300,000 | 297,072 | |||
Santander Drive Auto Receivables Trust: | |||||
Series 2018-2, Class B, 3.03%, 9/15/2022 | 60,000 | 59,632 | |||
Series 2018-1, Class D, 3.32%, 3/15/2024 | 85,000 | 83,560 | |||
Toyota Auto Receivables 2016-B Owner Trust Series 2016-B, Class A4, 1.52%, 8/16/2021 | 300,000 | 295,079 | |||
Toyota Auto Receivables 2017-B Owner Trust Series 2017-B, Class A3, 1.76%, 7/15/2021 | 200,000 | 197,477 | |||
1,989,757 | |||||
CREDIT CARD — 0.3% | |||||
American Express Credit Account Master Trust Series 2017-7, Class A, 2.35%, 5/15/2025 | 300,000 | 291,371 | |||
BA Credit Card Trust Series 2018-A2, Class A2, 3.00%, 9/15/2023 | 300,000 | 300,043 | |||
Capital One Multi-Asset Execution Trust: | |||||
Series 2016-A5, Class A5, 1.66%, 6/17/2024 | 200,000 | 191,776 | |||
Series 2017-A4, Class A4, 1.99%, 7/17/2023 | 300,000 | 293,940 | |||
Chase Issuance Trust Series 2016-A5, Class A5, 1.27%, 7/15/2021 | 300,000 | 295,610 | |||
Citibank Credit Card Issuance Trust: | |||||
Series 2016-A1, Class A1, 1.75%, 11/19/2021 | 300,000 | 295,587 | |||
Series 2017-A3, Class A3, 1.92%, 4/7/2022 | 300,000 | 294,871 | |||
Series 2014-A1, Class A1, 2.88%, 1/23/2023 | 100,000 | 99,745 |
Table of Contents
Security Description | Principal Amount | Value | |||
Discover Card Execution Note Trust Series 2015-A2, Class A, 1.90%, 10/17/2022 | $ 300,000 | $ 294,741 | |||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A, 2.21%, 5/15/2024 | 400,000 | 389,913 | |||
2,747,597 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $4,803,868) | 4,737,354 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.9% | |||||
AUSTRIA — 0.1% | |||||
Oesterreichische Kontrollbank AG: | |||||
1.75%, 01/24/2020 | 200,000 | 197,250 | |||
1.88%, 01/20/2021 | 100,000 | 97,722 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 99,604 | |||
394,576 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond 2.00%, 11/15/2022 | 275,000 | 265,966 | |||
Export Development Canada: | |||||
1.00%, 09/13/2019 | 150,000 | 147,276 | |||
1.38%, 10/21/2021 | 50,000 | 47,708 | |||
1.50%, 05/26/2021 | 50,000 | 48,192 | |||
2.00%, 05/17/2022 | 50,000 | 48,373 | |||
2.50%, 01/24/2023 | 200,000 | 196,564 | |||
Province of Alberta Canada: | |||||
1.90%, 12/06/2019 | 50,000 | 49,442 | |||
2.20%, 07/26/2022 | 50,000 | 48,329 | |||
3.30%, 03/15/2028 | 150,000 | 149,597 | |||
Province of British Columbia Canada: | |||||
2.25%, 06/02/2026 | 150,000 | 140,135 | |||
2.65%, 09/22/2021 | 50,000 | 49,566 | |||
Province of Manitoba Canada 2.13%, 6/22/2026 | 250,000 | 228,987 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 50,923 | |||
Province of Ontario Canada: | |||||
1.88%, 05/21/2020 | 250,000 | 245,662 | |||
2.20%, 10/03/2022 | 250,000 | 240,895 | |||
2.40%, 02/08/2022 | 350,000 | 341,820 | |||
2.50%, 09/10/2021 | 25,000 | 24,596 | |||
2.50%, 04/27/2026 | 350,000 | 331,971 | |||
2.55%, 02/12/2021 | 200,000 | 198,014 | |||
4.40%, 04/14/2020 | 50,000 | 51,381 | |||
Province of Quebec Canada: | |||||
2.38%, 01/31/2022 | 200,000 | 195,652 | |||
2.50%, 04/20/2026 | 250,000 | 237,752 | |||
2.63%, 02/13/2023 | 250,000 | 245,050 |
Security Description | Principal Amount | Value | |||
2.75%, 08/25/2021 | $ 50,000 | $ 49,644 | |||
2.75%, 04/12/2027 | 200,000 | 192,424 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 197,014 | |||
4,022,933 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
3.13%, 01/21/2026 | 50,000 | 47,951 | |||
3.24%, 02/06/2028 | 200,000 | 191,476 | |||
3.86%, 06/21/2047 | 300,000 | 285,696 | |||
525,123 | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond: | |||||
3.88%, 04/25/2027 | 200,000 | 194,050 | |||
4.00%, 02/26/2024 | 275,000 | 274,717 | |||
4.50%, 01/28/2026 | 250,000 | 254,880 | |||
5.00%, 06/15/2045 | 200,000 | 196,148 | |||
5.63%, 02/26/2044 | 200,000 | 212,326 | |||
1,132,121 | |||||
GERMANY — 0.6% | |||||
FMS Wertmanagement Series MTN, 1.00%, 8/16/2019 | 200,000 | 196,544 | |||
FMS Wertmanagement AoeR 1.75%, 1/24/2020 | 200,000 | 197,220 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
Zero Coupon, 06/29/2037 | 100,000 | 55,531 | |||
1.00%, 07/15/2019 | 100,000 | 98,466 | |||
1.25%, 09/30/2019 | 200,000 | 196,798 | |||
1.50%, 09/09/2019 | 250,000 | 246,925 | |||
1.50%, 06/15/2021 | 700,000 | 674,394 | |||
1.63%, 05/29/2020 | 250,000 | 245,070 | |||
1.75%, 03/31/2020 | 500,000 | 492,110 | |||
1.88%, 12/15/2020 | 350,000 | 342,751 | |||
2.00%, 05/02/2025 | 100,000 | 93,828 | |||
2.13%, 03/07/2022 | 250,000 | 243,547 | |||
2.13%, 06/15/2022 | 250,000 | 243,022 | |||
2.13%, 01/17/2023 | 100,000 | 96,662 | |||
2.25%, 11/05/2019 | 500,000 | 497,680 | |||
2.38%, 12/29/2022 | 250,000 | 244,435 | |||
2.50%, 11/20/2024 | 300,000 | 291,363 | |||
2.63%, 04/12/2021 | 300,000 | 298,635 | |||
2.63%, 01/25/2022 | 50,000 | 49,599 | |||
2.88%, 04/03/2028 | 240,000 | 237,346 | |||
Landwirtschaftliche Rentenbank: | |||||
Series 36, 2.00%, 12/06/2021 | 150,000 | 145,844 | |||
Series 37, 2.50%, 11/15/2027 | 50,000 | 47,836 | |||
5,235,606 | |||||
HUNGARY — 0.1% | |||||
Hungary Government International Bond: | |||||
5.38%, 03/25/2024 | 350,000 | 372,732 | |||
6.38%, 03/29/2021 | 150,000 | 160,383 | |||
533,115 |
Table of Contents
Security Description | Principal Amount | Value | |||
INDONESIA — 0.0% (a) | |||||
Indonesia Government International Bond 2.95%, 1/11/2023 | $ 275,000 | $ 261,151 | |||
ISRAEL — 0.0% (a) | |||||
Israel Government International Bond: | |||||
2.88%, 03/16/2026 | 100,000 | 95,066 | |||
3.25%, 01/17/2028 | 100,000 | 96,688 | |||
4.00%, 06/30/2022 | 50,000 | 51,357 | |||
4.13%, 01/17/2048 | 100,000 | 94,396 | |||
337,507 | |||||
ITALY — 0.0% (a) | |||||
Republic of Italy Government International Bond 5.38%, 6/15/2033 | 50,000 | 53,944 | |||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
1.50%, 07/21/2021 | 25,000 | 23,857 | |||
2.13%, 07/21/2020 | 200,000 | 196,844 | |||
2.25%, 02/24/2020 | 250,000 | 247,460 | |||
2.50%, 06/01/2022 | 200,000 | 195,020 | |||
2.75%, 11/16/2027 | 200,000 | 191,652 | |||
2.88%, 07/21/2027 | 100,000 | 96,937 | |||
Series DTC, 1.88%, 04/20/2021 | 225,000 | 218,106 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 188,174 | |||
1,358,050 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
3.63%, 03/15/2022 | 100,000 | 99,755 | |||
3.75%, 01/11/2028 | 100,000 | 94,475 | |||
4.00%, 10/02/2023 | 80,000 | 80,324 | |||
4.13%, 01/21/2026 | 125,000 | 123,986 | |||
4.15%, 03/28/2027 | 400,000 | 393,412 | |||
4.60%, 02/10/2048 | 400,000 | 367,896 | |||
5.55%, 01/21/2045 | 300,000 | 313,968 | |||
6.05%, 01/11/2040 | 30,000 | 33,011 | |||
Series GMTN, 3.50%, 01/21/2021 | 200,000 | 199,830 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 93,979 | |||
1,800,636 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
3.75%, 03/16/2025 | 150,000 | 148,593 | |||
3.88%, 03/17/2028 | 200,000 | 196,832 | |||
4.50%, 05/15/2047 | 50,000 | 48,738 | |||
6.70%, 01/26/2036 | 50,000 | 61,118 | |||
455,281 |
Security Description | Principal Amount | Value | |||
PERU — 0.0% (a) | |||||
Peruvian Government International Bond: | |||||
4.13%, 08/25/2027 | $ 150,000 | $ 153,804 | |||
5.63%, 11/18/2050 | 150,000 | 174,644 | |||
6.55%, 03/14/2037 | 25,000 | 31,242 | |||
359,690 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
3.70%, 03/01/2041 | 200,000 | 184,232 | |||
3.70%, 02/02/2042 | 100,000 | 91,910 | |||
3.95%, 01/20/2040 | 200,000 | 191,862 | |||
4.00%, 01/15/2021 | 100,000 | 101,122 | |||
4.20%, 01/21/2024 | 300,000 | 305,982 | |||
5.00%, 01/13/2037 | 150,000 | 160,315 | |||
7.75%, 01/14/2031 | 100,000 | 131,609 | |||
1,167,032 | |||||
POLAND — 0.1% | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | 50,000 | 48,853 | |||
4.00%, 01/22/2024 | 150,000 | 152,416 | |||
5.00%, 03/23/2022 | 50,000 | 52,732 | |||
Republic of Poland Government International Bond 3.25%, 4/6/2026 | 175,000 | 169,015 | |||
423,016 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
2.13%, 02/11/2021 | 100,000 | 96,533 | |||
2.38%, 04/21/2027 | 25,000 | 22,189 | |||
3.00%, 11/01/2022 | 250,000 | 243,382 | |||
3.25%, 11/10/2025 | 150,000 | 144,135 | |||
5.13%, 06/29/2020 | 100,000 | 103,377 | |||
Korea Development Bank: | |||||
2.50%, 01/13/2021 | 100,000 | 97,673 | |||
2.75%, 03/19/2023 | 200,000 | 191,940 | |||
3.00%, 01/13/2026 | 100,000 | 94,692 | |||
993,921 | |||||
SUPRANATIONAL — 1.5% | |||||
African Development Bank: | |||||
Series GDIC, 1.88%, 03/16/2020 | 200,000 | 197,374 | |||
Series GDIF, 1.25%, 07/26/2021 | 25,000 | 23,847 | |||
Series GDIF, 2.63%, 03/22/2021 | 100,000 | 99,579 | |||
Asian Development Bank: | |||||
Series GMTN, 1.63%, 05/05/2020 | 250,000 | 245,327 | |||
Series GMTN, 1.63%, 03/16/2021 | 150,000 | 145,529 | |||
Series GMTN, 1.75%, 01/10/2020 | 250,000 | 246,777 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series GMTN, 1.75%, 06/08/2021 | $ 100,000 | $ 97,053 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 238,933 | |||
Series GMTN, 2.00%, 02/16/2022 | 150,000 | 145,611 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 93,061 | |||
Series GMTN, 2.13%, 11/24/2021 | 75,000 | 73,288 | |||
Series GMTN, 2.25%, 01/20/2021 | 300,000 | 296,340 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 47,501 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 95,851 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 48,552 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 84,465 | |||
Corp. Andina de Fomento: | |||||
2.13%, 09/27/2021 | 50,000 | 48,117 | |||
2.20%, 07/18/2020 | 250,000 | 245,392 | |||
2.75%, 01/06/2023 | 100,000 | 96,943 | |||
Council Of Europe Development Bank: | |||||
1.63%, 03/16/2021 | 50,000 | 48,466 | |||
1.88%, 01/27/2020 | 100,000 | 98,805 | |||
2.63%, 02/13/2023 | 60,000 | 59,202 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 1.13%, 08/24/2020 | 100,000 | 96,726 | |||
Series GMTN, 1.63%, 05/05/2020 | 250,000 | 245,317 | |||
Series GMTN, 1.88%, 02/23/2022 | 75,000 | 72,421 | |||
Series GMTN, 2.00%, 02/01/2021 | 250,000 | 245,195 | |||
Series GMTN, 2.75%, 04/26/2021 | 150,000 | 149,817 | |||
European Investment Bank: | |||||
1.25%, 12/16/2019 | 375,000 | 367,789 | |||
1.63%, 08/14/2020 | 250,000 | 244,515 | |||
1.63%, 06/15/2021 | 150,000 | 144,930 | |||
1.75%, 05/15/2020 | 400,000 | 393,292 | |||
1.88%, 02/10/2025 | 100,000 | 93,254 | |||
2.00%, 03/15/2021 | 225,000 | 220,365 | |||
2.00%, 12/15/2022 | 250,000 | 240,588 | |||
2.13%, 10/15/2021 | 50,000 | 48,860 | |||
2.13%, 04/13/2026 | 100,000 | 93,803 | |||
2.25%, 03/15/2022 | 250,000 | 244,442 | |||
2.38%, 06/15/2022 | 350,000 | 343,220 | |||
2.38%, 05/24/2027 | 100,000 | 94,913 | |||
2.50%, 04/15/2021 | 50,000 | 49,593 | |||
2.50%, 03/15/2023 | 145,000 | 142,248 | |||
2.50%, 10/15/2024 | 25,000 | 24,332 | |||
Series DIP, 1.38%, 09/15/2021 | 200,000 | 191,050 |
Security Description | Principal Amount | Value | |||
Series GMTN, 2.38%, 05/13/2021 | $ 250,000 | $ 247,027 | |||
Inter-American Development Bank: | |||||
1.88%, 03/15/2021 | 250,000 | 244,305 | |||
2.13%, 11/09/2020 | 25,000 | 24,662 | |||
2.38%, 07/07/2027 | 100,000 | 95,034 | |||
2.50%, 01/18/2023 | 100,000 | 98,362 | |||
3.00%, 02/21/2024 | 100,000 | 100,262 | |||
4.38%, 01/24/2044 | 75,000 | 89,879 | |||
Series GDP, 1.25%, 10/15/2019 | 100,000 | 98,357 | |||
Series GMTN, 1.63%, 05/12/2020 | 200,000 | 196,270 | |||
Series GMTN, 1.75%, 09/14/2022 | 350,000 | 334,572 | |||
Series GMTN, 1.88%, 06/16/2020 | 135,000 | 132,952 | |||
Series GMTN, 2.13%, 01/18/2022 | 350,000 | 341,414 | |||
Series GMTN, 2.63%, 04/19/2021 | 190,000 | 189,308 | |||
International Bank for Reconstruction & Development: | |||||
2.00%, 01/26/2022 | 300,000 | 291,450 | |||
2.13%, 11/01/2020 | 25,000 | 24,680 | |||
Series GDIF, 1.13%, 11/27/2019 | 50,000 | 49,003 | |||
Series GDIF, 1.25%, 07/26/2019 | 350,000 | 345,499 | |||
Series GDIF, 1.38%, 05/24/2021 | 275,000 | 264,517 | |||
Series GDIF, 1.38%, 09/20/2021 | 300,000 | 287,193 | |||
Series GDIF, 1.63%, 09/04/2020 | 250,000 | 244,522 | |||
Series GDIF, 1.88%, 04/21/2020 | 200,000 | 197,320 | |||
Series GDIF, 2.13%, 12/13/2021 | 400,000 | 391,068 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 292,221 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 194,158 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 239,728 | |||
Series GMTN, 0.88%, 08/15/2019 | 50,000 | 49,106 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 30,565 | |||
International Finance Corp.: | |||||
1.75%, 09/16/2019 | 25,000 | 24,766 | |||
Series GMTN, 1.13%, 07/20/2021 | 125,000 | 118,966 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 94,090 | |||
Series GMTN, 2.25%, 01/25/2021 | 300,000 | 296,445 | |||
Nordic Investment Bank: |
Table of Contents
Security Description | Principal Amount | Value | |||
2.13%, 02/01/2022 | $ 200,000 | $ 194,898 | |||
2.25%, 02/01/2021 | 300,000 | 296,202 | |||
12,641,484 | |||||
SWEDEN — 0.0% (a) | |||||
Svensk Exportkredit AB: | |||||
2.00%, 08/30/2022 | 200,000 | 192,526 | |||
Series MTN, 1.13%, 08/28/2019 | 150,000 | 147,479 | |||
340,005 | |||||
UNITED STATES — 0.0% (a) | |||||
Iraq Government AID Bond 2.15%, 1/18/2022 | 200,000 | 195,282 | |||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 227,709 | |||
5.10%, 06/18/2050 | 175,000 | 172,246 | |||
399,955 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $33,562,196) | 32,630,428 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.8% | |||||
Federal Farm Credit Banks: | |||||
1.55%, 1/10/2020 | 300,000 | 295,380 | |||
3.50%, 12/20/2023 | 50,000 | 51,485 | |||
1.50%, 12/19/2019 | 50,000 | 49,235 | |||
Federal Home Loan Bank: | |||||
1.13%, 7/14/2021 | 400,000 | 382,268 | |||
1.38%, 11/15/2019 | 750,000 | 738,832 | |||
1.38%, 2/18/2021 | 100,000 | 96,804 | |||
1.50%, 10/21/2019 | 350,000 | 345,576 | |||
1.88%, 11/29/2021 | 700,000 | 680,834 | |||
2.15%, 9/26/2022 | 50,000 | 48,386 | |||
2.38%, 3/30/2020 | 500,000 | 498,495 | |||
2.88%, 9/13/2024 | 50,000 | 49,817 | |||
5.50%, 7/15/2036 | 135,000 | 176,591 | |||
1.38%, 9/28/2020 | 500,000 | 486,515 | |||
2.13%, 2/11/2020 | 250,000 | 248,065 | |||
2.25%, 6/11/2021 | 75,000 | 74,057 | |||
2.30%, 7/19/2022 | 100,000 | 97,502 | |||
Federal Home Loan Mortgage Corp.: | |||||
0.88%, 7/19/2019 | 50,000 | 49,198 | |||
1.25%, 8/1/2019 | 100,000 | 98,737 | |||
1.25%, 10/2/2019 | 75,000 | 73,855 | |||
1.38%, 8/15/2019 | 500,000 | 494,135 | |||
1.50%, 1/17/2020 | 325,000 | 319,732 | |||
1.63%, 10/25/2019 | 50,000 | 49,436 | |||
1.63%, 9/29/2020 | 500,000 | 489,070 | |||
2.38%, 2/16/2021 | 250,000 | 247,880 | |||
2.38%, 1/13/2022 | 325,000 | 320,915 | |||
2.50%, 10/1/2029 | 52,424 | 51,286 | |||
2.50%, 1/1/2031 | 104,012 | 101,576 |
Security Description | Principal Amount | Value | |||
2.50%, 5/1/2031 | $ 170,285 | $ 165,596 | |||
2.50%, 6/1/2031 | 309,626 | 301,100 | |||
2.50%, 10/1/2031 | 284,465 | 276,632 | |||
2.50%, 12/1/2031 | 328,719 | 319,667 | |||
2.50%, 12/1/2032 | 1,447,262 | 1,406,431 | |||
2.50%, 2/1/2033 | 1,729,067 | 1,680,286 | |||
2.75%, 1/30/2023 | 150,000 | 148,165 | |||
3.00%, 12/1/2030 | 134,505 | 133,954 | |||
3.00%, 5/1/2031 | 106,909 | 106,470 | |||
3.00%, 12/1/2031 | 525,338 | 523,184 | |||
3.00% 2/1/2032 | 2,121,405 | 2,112,706 | |||
3.00%, 5/1/2032 | 846,493 | 841,216 | |||
3.00%, 7/1/2032 | 263,270 | 261,629 | |||
3.00%, 1/1/2033 | 1,092,661 | 1,085,850 | |||
3.00%, 5/1/2035 | 73,817 | 72,816 | |||
3.00%, 6/1/2036 | 323,921 | 319,060 | |||
3.00%, 2/1/2038 | 1,274,111 | 1,250,911 | |||
3.00%, 6/1/2045 | 112,149 | 109,046 | |||
3.00% 8/1/2045 | 619,150 | 603,774 | |||
3.00%, 4/1/2046 | 502,712 | 487,138 | |||
3.00%, 6/1/2046 | 169,303 | 164,058 | |||
3.00%, 8/1/2046 | 864,169 | 837,397 | |||
3.00%, 9/1/2046 | 283,028 | 274,260 | |||
3.00%, 10/1/2046 | 483,100 | 468,134 | |||
3.00% 11/1/2046 | 1,541,408 | 1,493,655 | |||
3.00% 12/1/2046 | 1,334,732 | 1,293,381 | |||
3.00%, 1/1/2047 | 998,204 | 967,279 | |||
3.00% 2/1/2047 | 1,856,769 | 1,799,246 | |||
3.00%, 11/1/2047 | 971,590 | 940,962 | |||
3.00%, 1/1/2048 | 1,516,404 | 1,468,601 | |||
3.00%, 2/1/2048 | 1,954,600 | 1,892,984 | |||
3.50%, 4/1/2032 | 489,431 | 495,624 | |||
3.50%, 11/1/2034 | 316,960 | 319,713 | |||
3.50%, 3/1/2037 | 434,445 | 436,564 | |||
3.50%, 4/1/2042 | 348,935 | 350,351 | |||
3.50%, 8/1/2043 | 732,666 | 734,424 | |||
3.50%, 11/1/2044 | 62,415 | 62,312 | |||
3.50%, 1/1/2045 | 81,235 | 81,101 | |||
3.50% 7/1/2045 | 139,343 | 139,076 | |||
3.50%, 10/1/2045 | 82,688 | 82,530 | |||
3.50% 12/1/2045 | 938,285 | 936,488 | |||
3.50%, 1/1/2046 | 121,551 | 121,318 | |||
3.50%, 3/1/2046 | 253,074 | 252,366 | |||
3.50%, 4/1/2046 | 372,389 | 371,348 | |||
3.50%, 6/1/2046 | 429,751 | 428,549 | |||
3.50%, 8/1/2046 | 4,526,135 | 4,517,470 | |||
3.50%, 12/1/2046 | 1,268,266 | 1,264,721 | |||
3.50%, 2/1/2047 | 875,710 | 873,262 | |||
3.50%, 3/1/2047 | 885,558 | 881,410 | |||
3.50%, 4/1/2047 | 579,321 | 576,607 | |||
3.50%, 6/1/2047 | 615,950 | 613,065 | |||
3.50% 10/1/2047 | 935,401 | 931,020 | |||
3.50%, 11/1/2047 | 240,473 | 239,347 | |||
3.50%, 12/1/2047 | 479,189 | 476,944 | |||
3.50%, 1/1/2048 | 2,436,398 | 2,424,985 | |||
3.50%, 2/1/2048 | 3,077,369 | 3,062,952 | |||
4.00%, 4/1/2025 | 37,232 | 38,183 |
Table of Contents
Security Description | Principal Amount | Value | |||
4.00%, 4/1/2042 | $ 46,238 | $ 47,535 | |||
4.00%, 6/1/2042 | 119,798 | 123,118 | |||
4.00%, 7/1/2042 | 2,290,137 | 2,354,351 | |||
4.00%, 12/1/2044 | 57,436 | 58,884 | |||
4.00%, 4/1/2045 | 48,445 | 49,558 | |||
4.00%, 10/1/2045 | 115,886 | 118,549 | |||
4.00%, 12/1/2045 | 190,042 | 194,409 | |||
4.00%, 1/1/2046 | 786,111 | 804,172 | |||
4.00%, 2/1/2046 | 297,838 | 304,681 | |||
4.00%, 7/1/2046 | 1,259,374 | 1,286,133 | |||
4.00%, 1/1/2047 | 809,655 | 826,559 | |||
4.00%, 2/1/2047 | 405,877 | 414,351 | |||
4.00%, 6/1/2047 | 878,362 | 895,913 | |||
4.00%, 9/1/2047 | 1,004,373 | 1,024,442 | |||
4.00%, 11/1/2047 | 756,817 | 771,939 | |||
4.00%, 1/1/2048 | 1,992,947 | 2,032,768 | |||
4.50%, 5/1/2042 | 1,043,052 | 1,095,463 | |||
4.50%, 5/1/2044 | 164,350 | 172,515 | |||
4.50%, 12/1/2045 | 677,290 | 710,937 | |||
4.50%, 9/1/2046 | 518,551 | 544,162 | |||
4.50%, 4/1/2047 | 468,806 | 488,506 | |||
4.50%, 10/1/2047 | 631,636 | 658,179 | |||
4.50%, 12/1/2047 | 279,470 | 291,214 | |||
5.00%, 7/1/2041 | 194,719 | 207,948 | |||
5.50%, 8/1/2038 | 593,296 | 637,605 | |||
6.00%, 7/1/2040 | 215,375 | 235,384 | |||
6.25%, 7/15/2032 | 460,000 | 615,710 | |||
Series GMTN, 1.88%, 11/17/2020 | 300,000 | 294,399 | |||
Series K005, Class A2, 4.32%, 11/25/2019 | 200,000 | 202,302 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 122,934 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 100,131 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 403,320 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 575,561 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 196,591 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 481,937 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 400,330 | |||
Series K716, Class A2, 3.13%, 6/25/2021 | 250,000 | 250,303 | |||
Series K718, Class A2, 2.79%, 1/25/2022 | 500,000 | 494,893 | |||
Series K724, Class A2, 3.06%, 11/25/2023 (c) | 500,000 | 497,039 | |||
Series K730, Class A2, 3.59%, 1/25/2025 | 250,000 | 254,872 | |||
TBA, 3.50%, 7/1/2033 (e) | 2,200,000 | 2,223,547 | |||
TBA, 4.50%, 7/1/2048 (e) | 600,000 | 624,469 | |||
TBA, 1.25%, 7/26/2019 | 250,000 | 246,747 | |||
TBA, 1.70%, 9/29/2020 | 100,000 | 97,705 | |||
TBA, 1.75%, 6/29/2020 | 50,000 | 49,137 |
Security Description | Principal Amount | Value | |||
Federal National Mortgage Association: | |||||
1.00%, 10/24/2019 | $ 200,000 | $ 196,192 | |||
1.25%, 5/6/2021 | 275,000 | 264,668 | |||
1.38%, 10/7/2021 | 325,000 | 311,516 | |||
1.50%, 6/22/2020 | 100,000 | 97,949 | |||
1.50%, 7/30/2020 | 500,000 | 488,825 | |||
1.75%, 9/12/2019 | 75,000 | 74,374 | |||
1.88%, 4/5/2022 | 500,000 | 484,430 | |||
1.88%, 9/24/2026 | 500,000 | 455,865 | |||
2.00%, 1/5/2022 | 150,000 | 146,235 | |||
2.00%, 10/5/2022 | 250,000 | 242,182 | |||
2.00%, 11/1/2031 | 168,849 | 160,008 | |||
2.13%, 4/24/2026 | 200,000 | 187,698 | |||
2.50%, 3/1/2029 | 303,215 | 298,231 | |||
2.50%, 2/1/2031 | 162,494 | 158,802 | |||
2.50%, 10/1/2031 | 271,266 | 264,009 | |||
2.50%, 12/1/2031 | 479,879 | 467,041 | |||
2.50%, 1/1/2032 | 161,315 | 156,999 | |||
2.50%, 4/1/2032 | 1,650,434 | 1,606,280 | |||
2.50%, 10/1/2032 | 686,296 | 667,531 | |||
2.50%, 12/1/2032 | 1,408,397 | 1,369,888 | |||
2.50%, 1/1/2033 | 763,678 | 742,797 | |||
2.63%, 9/6/2024 | 250,000 | 246,077 | |||
3.00%, 10/1/2028 | 107,039 | 107,174 | |||
3.00%, 8/1/2029 | 53,597 | 53,588 | |||
3.00%, 5/1/2030 | 338,660 | 339,281 | |||
3.00%, 6/1/2030 | 68,303 | 68,093 | |||
3.00%, 9/1/2030 | 58,031 | 57,852 | |||
3.00%, 11/1/2030 | 117,556 | 117,193 | |||
3.00%, 12/1/2030 | 87,227 | 86,958 | |||
3.00%, 4/1/2031 | 318,392 | 317,400 | |||
3.00%, 12/1/2031 | 468,444 | 466,984 | |||
3.00% 2/1/2032 | 1,907,593 | 1,901,644 | |||
3.00%, 5/1/2032 | 768,231 | 764,249 | |||
3.00%, 8/1/2032 | 266,329 | 264,949 | |||
3.00%, 10/1/2032 | 457,975 | 455,602 | |||
3.00%, 2/1/2033 | 1,434,644 | 1,427,209 | |||
3.00%, 6/1/2036 | 98,226 | 96,812 | |||
3.00%, 8/1/2036 | 491,950 | 484,866 | |||
3.00%, 10/1/2036 | 254,491 | 250,827 | |||
3.00%, 12/1/2036 | 440,245 | 433,906 | |||
3.00%, 6/1/2043 | 325,243 | 317,914 | |||
3.00%, 7/1/2043 | 96,145 | 93,959 | |||
3.00%, 2/1/2044 | 824,382 | 805,643 | |||
3.00%, 1/1/2045 | 1,376,649 | 1,345,357 | |||
3.00%, 5/1/2045 | 1,134,476 | 1,108,688 | |||
3.00%, 9/1/2045 | 95,175 | 92,601 | |||
3.00% 11/1/2045 | 740,187 | 720,168 | |||
3.00%, 12/1/2045 | 131,113 | 127,567 | |||
3.00%, 5/1/2046 | 928,161 | 899,982 | |||
3.00%, 7/1/2046 | 1,068,605 | 1,036,162 | |||
3.00%, 10/1/2046 | 266,066 | 257,988 | |||
3.00%, 11/1/2046 | 1,334,923 | 1,294,395 | |||
3.00% 12/1/2046 | 1,064,340 | 1,032,027 | |||
3.00% 1/1/2047 | 2,918,710 | 2,830,098 | |||
3.00%, 2/1/2047 | 915,179 | 887,395 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.00%, 5/1/2047 | $ 920,946 | $ 892,470 | |||
3.00%, 11/1/2047 | 683,529 | 662,394 | |||
3.00%, 2/1/2048 | 5,118,763 | 4,964,788 | |||
3.50%, 11/1/2025 | 48,992 | 49,704 | |||
3.50%, 1/1/2027 | 55,790 | 56,600 | |||
3.50%, 5/1/2029 | 61,060 | 61,917 | |||
3.50%, 10/1/2029 | 49,270 | 49,963 | |||
3.50%, 2/1/2031 | 603,024 | 612,107 | |||
3.50%, 3/1/2032 | 433,439 | 439,191 | |||
3.50%, 4/1/2032 | 620,466 | 628,699 | |||
3.50%, 2/1/2033 | 1,204,509 | 1,220,493 | |||
3.50%, 12/1/2035 | 66,065 | 66,707 | |||
3.50%, 1/1/2037 | 424,791 | 428,751 | |||
3.50%, 2/1/2037 | 650,974 | 657,042 | |||
3.50%, 7/1/2037 | 363,322 | 365,300 | |||
3.50%, 4/1/2038 | 789,903 | 794,114 | |||
3.50%, 2/1/2041 | 136,946 | 137,580 | |||
3.50%, 10/1/2044 | 50,861 | 50,806 | |||
3.50% 1/1/2045 | 145,251 | 145,093 | |||
3.50%, 2/1/2045 | 4,634,861 | 4,651,350 | |||
3.50%, 5/1/2045 | 61,707 | 61,624 | |||
3.50% 8/1/2045 | 202,188 | 201,917 | |||
3.50%, 11/1/2045 | 82,320 | 82,210 | |||
3.50% 12/1/2045 | 1,026,329 | 1,024,951 | |||
3.50%, 1/1/2046 | 779,047 | 778,002 | |||
3.50% 2/1/2046 | 889,115 | 887,922 | |||
3.50% 4/1/2046 | 604,320 | 602,942 | |||
3.50% 5/1/2046 | 942,794 | 940,643 | |||
3.50%, 6/1/2046 | 253,082 | 252,505 | |||
3.50%, 7/1/2046 | 565,519 | 564,229 | |||
3.50%, 1/1/2047 | 825,203 | 823,320 | |||
3.50%, 2/1/2047 | 832,311 | 830,412 | |||
3.50%, 3/1/2047 | 880,542 | 878,533 | |||
3.50%, 4/1/2047 | 1,781,011 | 1,773,668 | |||
3.50%, 5/1/2047 | 664,542 | 663,026 | |||
3.50%, 6/1/2047 | 908,573 | 904,828 | |||
3.50%, 7/1/2047 | 1,440,055 | 1,444,321 | |||
3.50%, 9/1/2047 | 759,224 | 756,094 | |||
3.50%, 10/1/2047 | 903,296 | 899,572 | |||
3.50%, 11/1/2047 | 191,903 | 191,112 | |||
3.50%, 12/1/2047 | 1,352,656 | 1,347,079 | |||
3.50%, 1/1/2048 | 388,929 | 387,325 | |||
3.50% 2/1/2048 | 4,211,089 | 4,197,443 | |||
3.50%, 6/1/2048 | 1,420,045 | 1,414,171 | |||
4.00%, 8/1/2018 | 1,328 | 1,362 | |||
4.00%, 1/1/2019 | 2,043 | 2,097 | |||
4.00%, 9/1/2019 | 22,533 | 23,127 | |||
4.00%, 3/1/2021 | 27,198 | 27,915 | |||
4.00%, 10/1/2033 | 199,617 | 206,259 | |||
4.00%, 12/1/2040 | 78,553 | 80,770 | |||
4.00%, 2/1/2043 | 443,608 | 456,128 | |||
4.00% 10/1/2043 | 1,079,335 | 1,109,713 | |||
4.00%, 11/1/2043 | 355,934 | 365,324 | |||
4.00%, 12/1/2043 | 315,051 | 323,363 | |||
4.00% 10/1/2044 | 78,067 | 80,049 | |||
4.00%, 1/1/2045 | 1,066,765 | 1,094,907 | |||
4.00%, 3/1/2045 | 65,224 | 66,738 |
Security Description | Principal Amount | Value | |||
4.00%, 7/1/2045 | $ 71,996 | $ 73,667 | |||
4.00% 9/1/2045 | 303,592 | 310,639 | |||
4.00% 12/1/2045 | 143,541 | 146,873 | |||
4.00%, 4/1/2046 | 350,761 | 358,148 | |||
4.00%, 7/1/2046 | 457,372 | 467,004 | |||
4.00%, 11/1/2046 | 766,851 | 783,000 | |||
4.00%, 12/1/2046 | 803,811 | 820,738 | |||
4.00%, 4/1/2047 | 880,287 | 898,017 | |||
4.00%, 7/1/2047 | 978,143 | 997,844 | |||
4.00%, 8/1/2047 | 844,479 | 861,488 | |||
4.00%, 9/1/2047 | 807,540 | 823,804 | |||
4.00%, 12/1/2047 | 1,052,505 | 1,073,703 | |||
4.00%, 2/1/2048 | 2,432,431 | 2,481,423 | |||
4.50%, 5/1/2020 | 3,279 | 3,303 | |||
4.50%, 12/1/2040 | 184,930 | 194,416 | |||
4.50%, 1/1/2042 | 86,354 | 90,692 | |||
4.50% 9/1/2043 | 166,552 | 175,058 | |||
4.50%, 11/1/2043 | 97,469 | 102,370 | |||
4.50%, 5/1/2044 | 339,130 | 356,185 | |||
4.50%, 6/1/2044 | 98,275 | 103,217 | |||
4.50%, 2/1/2046 | 331,841 | 348,861 | |||
4.50%, 3/1/2046 | 1,126,774 | 1,183,438 | |||
4.50%, 7/1/2046 | 413,140 | 430,727 | |||
4.50%, 11/1/2047 | 1,351,810 | 1,409,100 | |||
4.50%, 4/1/2048 | 738,786 | 769,869 | |||
5.00%, 1/1/2039 | 710,006 | 758,194 | |||
5.00%, 6/1/2040 | 353,276 | 377,176 | |||
5.00%, 7/1/2041 | 61,284 | 65,430 | |||
5.00%, 5/1/2042 | 67,309 | 71,862 | |||
5.00%, 11/1/2044 | 898,077 | 956,451 | |||
5.00%, 1/1/2045 | 72,083 | 76,486 | |||
5.50%, 2/1/2037 | 37,362 | 40,240 | |||
5.50%, 4/1/2038 | 177,134 | 190,774 | |||
5.50%, 9/1/2040 | 53,489 | 58,507 | |||
5.50%, 9/1/2041 | 85,900 | 92,514 | |||
5.50% 5/1/2044 | 1,005,042 | 1,089,935 | |||
5.63%, 7/15/2037 | 80,000 | 107,021 | |||
6.63%, 11/15/2030 | 365,000 | 490,286 | |||
7.25%, 5/15/2030 | 75,000 | 104,822 | |||
Series 2011-M5, Class A2, 2.94%, 7/25/2021 | 129,373 | 128,784 | |||
Series 2013-M12, Class APT, 2.47%, 3/25/2023 (c) | 35,483 | 34,492 | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (c) | 150,000 | 145,905 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 750,000 | 740,092 | |||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (c) | 50,000 | 50,779 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 250,000 | 244,602 | |||
Series 2017-M12, Class A2, 3.18%, 6/25/2027 (c) | 400,000 | 389,346 | |||
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (c) | 250,000 | 239,192 | |||
TBA, 3.50%, 7/1/2048 (e) | 500,000 | 497,648 | |||
TBA, 4.00%, 7/1/2048 (e) | 6,400,000 | 6,525,500 | |||
TBA, 4.50%, 7/1/2048 (e) | 1,000,000 | 1,041,328 |
Table of Contents
Security Description | Principal Amount | Value | |||
TBA, 5.00%, 7/1/2048 (e) | $ 3,000,000 | $ 3,178,359 | |||
TBA, 1.00%, 8/28/2019 | 200,000 | 196,740 | |||
TBA, 1.50%, 2/28/2020 | 500,000 | 491,630 | |||
Government National Mortgage Association: | |||||
3.00%, 1/20/2043 | 705,714 | 697,606 | |||
3.00%, 5/20/2043 | 356,172 | 351,160 | |||
3.00%, 12/20/2044 | 78,024 | 76,795 | |||
3.00%, 3/20/2045 | 43,188 | 42,459 | |||
3.00%, 4/20/2045 | 126,163 | 124,034 | |||
3.00%, 6/20/2045 | 64,186 | 63,102 | |||
3.00%, 7/20/2045 | 117,123 | 115,146 | |||
3.00%, 8/20/2045 | 105,545 | 103,763 | |||
3.00%, 4/20/2046 | 109,348 | 107,261 | |||
3.00%, 5/20/2046 | 189,719 | 186,098 | |||
3.00%, 7/20/2046 | 121,089 | 118,777 | |||
3.00%, 8/20/2046 | 391,894 | 384,414 | |||
3.00%, 9/20/2046 | 274,078 | 268,847 | |||
3.00%, 10/20/2046 | 277,258 | 271,966 | |||
3.00%, 11/20/2046 | 495,252 | 485,799 | |||
3.00%, 12/20/2046 | 1,939,548 | 1,902,527 | |||
3.00%, 2/20/2047 | 923,399 | 905,774 | |||
3.00%, 4/20/2047 | 1,320,696 | 1,292,836 | |||
3.00%, 5/20/2047 | 974,498 | 953,942 | |||
3.00%, 6/20/2047 | 456,051 | 446,431 | |||
3.00%, 7/20/2047 | 910,930 | 891,715 | |||
3.00%, 8/20/2047 | 451,136 | 441,620 | |||
3.00%, 10/20/2047 | 676,282 | 662,016 | |||
3.00%, 1/20/2048 | 2,460,472 | 2,408,569 | |||
3.00%, 2/20/2048 | 1,482,321 | 1,451,052 | |||
3.00%, 3/20/2048 | 2,577,763 | 2,523,386 | |||
3.50%, 10/20/2042 | 567,281 | 574,280 | |||
3.50%, 5/20/2043 | 84,367 | 85,250 | |||
3.50%, 9/20/2043 | 58,509 | 59,122 | |||
3.50%, 11/20/2043 | 459,489 | 464,298 | |||
3.50%, 10/20/2044 | 62,597 | 63,108 | |||
3.50%, 12/20/2044 | 42,981 | 43,333 | |||
3.50%, 3/20/2045 | 40,038 | 40,324 | |||
3.50%, 4/20/2045 | 121,785 | 122,653 | |||
3.50%, 6/20/2045 | 81,393 | 81,973 | |||
3.50%, 10/20/2045 | 3,480,856 | 3,505,669 | |||
3.50%, 1/20/2046 | 1,312,305 | 1,321,660 | |||
3.50%, 3/20/2046 | 287,460 | 289,291 | |||
3.50%, 4/20/2046 | 153,408 | 154,385 | |||
3.50%, 5/20/2046 | 159,621 | 160,637 | |||
3.50%, 6/20/2046 | 351,111 | 353,347 | |||
3.50%, 7/20/2046 | 394,464 | 396,977 | |||
3.50%, 10/20/2046 | 747,581 | 752,343 | |||
3.50%, 11/20/2046 | 480,916 | 483,979 | |||
3.50%, 1/20/2047 | 1,139,917 | 1,147,178 | |||
3.50%, 3/20/2047 | 1,708,495 | 1,715,872 | |||
3.50%, 5/20/2047 | 1,326,123 | 1,331,848 | |||
3.50%, 6/20/2047 | 908,260 | 912,182 | |||
3.50%, 7/20/2047 | 696,693 | 699,701 | |||
3.50%, 8/20/2047 | 1,107,923 | 1,112,706 | |||
3.50%, 9/20/2047 | 477,178 | 479,238 | |||
3.50%, 10/20/2047 | 458,046 | 460,024 |
Security Description | Principal Amount | Value | |||
3.50%, 1/20/2048 | $ 4,133,833 | $ 4,151,681 | |||
3.50%, 2/20/2048 | 1,926,612 | 1,934,930 | |||
3.50%, 6/20/2048 | 1,250,000 | 1,255,434 | |||
4.00%, 4/15/2040 | 66,806 | 68,977 | |||
4.00%, 2/20/2042 | 27,913 | 28,859 | |||
4.00%, 7/20/2042 | 18,988 | 19,621 | |||
4.00%, 7/15/2044 | 64,635 | 66,718 | |||
4.00%, 8/20/2044 | 39,860 | 41,133 | |||
4.00%, 10/20/2044 | 356,616 | 368,003 | |||
4.00%, 5/15/2045 | 70,431 | 72,565 | |||
4.00%, 6/15/2045 | 144,886 | 149,277 | |||
4.00%, 8/20/2045 | 43,416 | 44,769 | |||
4.00%, 11/20/2045 | 525,332 | 541,703 | |||
4.00%, 2/20/2046 | 407,972 | 420,685 | |||
4.00%, 5/20/2046 | 433,865 | 445,729 | |||
4.00%, 6/20/2046 | 290,758 | 298,709 | |||
4.00%, 1/20/2047 | 955,768 | 981,902 | |||
4.00%, 3/20/2047 | 477,171 | 490,218 | |||
4.00%, 4/20/2047 | 910,486 | 934,105 | |||
4.00%, 5/20/2047 | 622,681 | 638,834 | |||
4.00%, 6/20/2047 | 4,058,074 | 4,163,346 | |||
4.00%, 7/20/2047 | 641,839 | 658,490 | |||
4.00%, 8/20/2047 | 265,671 | 272,563 | |||
4.00%, 1/20/2048 | 488,497 | 501,169 | |||
4.50%, 1/20/2044 | 170,955 | 179,543 | |||
4.50%, 11/20/2044 | 52,649 | 55,076 | |||
4.50%, 12/20/2044 | 42,346 | 44,298 | |||
4.50%, 4/20/2046 | 262,871 | 274,990 | |||
4.50%, 6/20/2046 | 190,215 | 198,985 | |||
4.50%, 7/20/2046 | 238,301 | 249,287 | |||
4.50%, 4/20/2047 | 953,902 | 993,880 | |||
4.50%, 8/20/2047 | 305,532 | 317,777 | |||
4.50%, 11/20/2047 | 3,020,754 | 3,141,816 | |||
4.50%, 12/20/2047 | 192,274 | 199,980 | |||
5.00%, 6/15/2040 | 54,225 | 57,462 | |||
5.00%, 10/15/2041 | 93,826 | 98,667 | |||
5.00%, 3/20/2044 | 74,897 | 79,089 | |||
5.00%, 12/20/2045 | 275,252 | 293,267 | |||
5.00%, 5/20/2048 | 773,246 | 813,182 | |||
5.50%, 10/20/2043 | 66,685 | 72,408 | |||
5.50%, 5/20/2045 | 813,426 | 878,022 | |||
TBA, 3.50%, 7/1/2048 (e) | 3,100,000 | 3,110,898 | |||
TBA, 4.00%, 7/1/2048 (e) | 1,650,000 | 1,690,863 | |||
TBA, 5.00%, 7/1/2048 (e) | 725,000 | 761,023 | |||
Tennessee Valley Authority: | |||||
2.25%, 3/15/2020 | 200,000 | 198,784 | |||
2.88%, 9/15/2024 | 100,000 | 99,362 | |||
3.50%, 12/15/2042 | 175,000 | 175,483 | |||
4.25%, 9/15/2065 | 50,000 | 56,558 | |||
5.25%, 9/15/2039 | 150,000 | 188,976 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 146,713 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $254,411,288) | 248,588,941 |
Table of Contents
Security Description | Principal Amount | Value | |||
U.S. TREASURY OBLIGATIONS — 36.7% | |||||
Treasury Bonds: | |||||
2.25%, 8/15/2046 | $ 1,425,000 | $ 1,226,683 | |||
2.50%, 2/15/2045 | 840,000 | 765,618 | |||
2.50%, 2/15/2046 | 1,400,000 | 1,272,530 | |||
2.50%, 5/15/2046 | 1,100,000 | 999,240 | |||
2.75%, 8/15/2042 | 400,000 | 384,680 | |||
2.75%, 11/15/2042 | 500,000 | 480,555 | |||
2.75%, 8/15/2047 | 700,000 | 667,926 | |||
2.75%, 11/15/2047 | 2,150,000 | 2,051,487 | |||
2.88%, 5/15/2043 | 1,200,000 | 1,178,352 | |||
2.88%, 8/15/2045 | 1,480,000 | 1,450,134 | |||
2.88%, 11/15/2046 | 450,000 | 440,631 | |||
3.00%, 5/15/2042 | 325,000 | 326,804 | |||
3.00%, 11/15/2044 | 1,175,000 | 1,179,206 | |||
3.00%, 5/15/2045 | 1,875,000 | 1,881,656 | |||
3.00%, 11/15/2045 | 2,400,000 | 2,408,328 | |||
3.00%, 2/15/2047 | 700,000 | 702,464 | |||
3.00%, 5/15/2047 | 700,000 | 702,114 | |||
3.00%, 2/15/2048 | 1,700,000 | 1,705,814 | |||
3.13%, 11/15/2041 | 800,000 | 821,576 | |||
3.13%, 2/15/2042 | 475,000 | 487,720 | |||
3.13%, 2/15/2043 | 2,425,000 | 2,487,420 | |||
3.13%, 8/15/2044 | 1,250,000 | 1,282,862 | |||
3.13%, 5/15/2048 | 1,375,000 | 1,413,418 | |||
3.38%, 5/15/2044 | 1,350,000 | 1,445,783 | |||
3.50%, 2/15/2039 | 2,500,000 | 2,723,000 | |||
3.63%, 8/15/2043 | 850,000 | 946,790 | |||
3.63%, 2/15/2044 | 1,225,000 | 1,365,887 | |||
3.75%, 8/15/2041 | 700,000 | 792,113 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,619,441 | |||
3.88%, 8/15/2040 | 750,000 | 862,620 | |||
4.25%, 5/15/2039 | 2,500,000 | 3,014,875 | |||
4.25%, 11/15/2040 | 1,650,000 | 1,999,701 | |||
4.38%, 2/15/2038 | 775,000 | 944,493 | |||
4.38%, 11/15/2039 | 350,000 | 429,723 | |||
4.38%, 5/15/2040 | 575,000 | 707,313 | |||
4.38%, 5/15/2041 | 300,000 | 370,374 | |||
4.50%, 2/15/2036 | 2,500,000 | 3,057,150 | |||
4.50%, 8/15/2039 | 650,000 | 810,270 | |||
4.63%, 2/15/2040 | 1,190,000 | 1,509,955 | |||
4.75%, 2/15/2037 | 2,600,000 | 3,295,188 | |||
4.75%, 2/15/2041 | 650,000 | 842,094 | |||
5.25%, 11/15/2028 | 450,000 | 546,070 | |||
Treasury Notes: | |||||
0.75%, 7/15/2019 | 2,250,000 | 2,212,740 | |||
0.88%, 9/15/2019 | 825,000 | 809,886 | |||
1.00%, 8/31/2019 | 500,000 | 491,915 | |||
1.00%, 9/30/2019 | 750,000 | 736,935 | |||
1.00%, 10/15/2019 | 1,000,000 | 981,840 | |||
1.13%, 4/30/2020 | 100,000 | 97,521 | |||
1.13%, 2/28/2021 | 850,000 | 817,887 | |||
1.13%, 6/30/2021 | 2,250,000 | 2,153,070 | |||
1.13%, 7/31/2021 | 1,175,000 | 1,122,901 | |||
1.13%, 8/31/2021 | 2,350,000 | 2,242,253 | |||
1.13%, 9/30/2021 | 1,300,000 | 1,238,692 |
Security Description | Principal Amount | Value | |||
1.25%, 8/31/2019 | $ 4,150,000 | $ 4,094,846 | |||
1.25%, 1/31/2020 | 5,250,000 | 5,149,935 | |||
1.25%, 3/31/2021 | 200,000 | 192,846 | |||
1.25%, 10/31/2021 | 1,400,000 | 1,337,644 | |||
1.38%, 7/31/2019 | 3,500,000 | 3,462,130 | |||
1.38%, 9/30/2019 | 7,500,000 | 7,402,950 | |||
1.38%, 12/15/2019 | 6,000,000 | 5,906,340 | |||
1.38%, 2/29/2020 | 500,000 | 490,825 | |||
1.38%, 4/30/2020 | 350,000 | 342,857 | |||
1.38%, 5/31/2020 | 500,000 | 489,190 | |||
1.38%, 8/31/2020 | 3,200,000 | 3,121,024 | |||
1.38%, 9/15/2020 | 1,500,000 | 1,462,200 | |||
1.38%, 9/30/2020 | 550,000 | 535,783 | |||
1.38%, 10/31/2020 | 1,100,000 | 1,070,146 | |||
1.38%, 1/31/2021 | 5,500,000 | 5,332,415 | |||
1.38%, 4/30/2021 | 525,000 | 507,413 | |||
1.38%, 5/31/2021 | 5,775,000 | 5,573,972 | |||
1.38%, 6/30/2023 | 2,500,000 | 2,341,675 | |||
1.38%, 9/30/2023 | 550,000 | 513,106 | |||
1.50%, 10/31/2019 | 2,250,000 | 2,222,212 | |||
1.50%, 5/31/2020 | 300,000 | 294,225 | |||
1.50%, 1/31/2022 | 450,000 | 432,022 | |||
1.50%, 2/28/2023 | 5,000,000 | 4,733,700 | |||
1.50%, 8/15/2026 | 1,850,000 | 1,671,050 | |||
1.63%, 8/31/2019 | 800,000 | 792,776 | |||
1.63%, 12/31/2019 | 750,000 | 740,700 | |||
1.63%, 3/15/2020 | 3,500,000 | 3,448,445 | |||
1.63%, 6/30/2020 | 75,000 | 73,679 | |||
1.63%, 7/31/2020 | 5,600,000 | 5,495,056 | |||
1.63%, 10/15/2020 | 1,150,000 | 1,125,919 | |||
1.63%, 8/31/2022 | 1,150,000 | 1,101,390 | |||
1.63%, 4/30/2023 | 2,500,000 | 2,375,425 | |||
1.63%, 5/31/2023 | 1,250,000 | 1,186,837 | |||
1.63%, 2/15/2026 | 1,925,000 | 1,766,534 | |||
1.63%, 5/15/2026 | 2,350,000 | 2,150,085 | |||
1.75%, 11/30/2019 | 2,500,000 | 2,475,100 | |||
1.75%, 10/31/2020 | 650,000 | 637,858 | |||
1.75%, 11/15/2020 | 1,350,000 | 1,324,350 | |||
1.75%, 12/31/2020 | 5,500,000 | 5,388,735 | |||
1.75%, 11/30/2021 | 1,500,000 | 1,455,750 | |||
1.75%, 2/28/2022 | 300,000 | 290,304 | |||
1.75%, 3/31/2022 | 250,000 | 241,738 | |||
1.75%, 4/30/2022 | 300,000 | 289,749 | |||
1.75%, 5/31/2022 | 1,000,000 | 965,120 | |||
1.75%, 6/30/2022 | 3,750,000 | 3,616,013 | |||
1.75%, 1/31/2023 | 2,925,000 | 2,803,144 | |||
1.75%, 5/15/2023 | 250,000 | 238,870 | |||
1.88%, 12/31/2019 | 3,500,000 | 3,468,990 | |||
1.88%, 12/15/2020 | 5,000,000 | 4,916,200 | |||
1.88%, 2/28/2022 | 5,500,000 | 5,347,155 | |||
1.88%, 3/31/2022 | 5,500,000 | 5,342,370 | |||
1.88%, 4/30/2022 | 6,000,000 | 5,822,640 | |||
1.88%, 5/31/2022 | 100,000 | 96,978 | |||
1.88%, 7/31/2022 | 1,000,000 | 968,180 | |||
1.88%, 8/31/2022 | 150,000 | 145,125 | |||
1.88%, 9/30/2022 | 500,000 | 483,395 | |||
1.88%, 8/31/2024 | 1,850,000 | 1,755,169 |
Table of Contents
Security Description | Principal Amount | Value | |||
2.00%, 2/28/2021 | $ 750,000 | $ 738,367 | |||
2.00%, 5/31/2021 | 350,000 | 343,963 | |||
2.00%, 10/31/2021 | 6,000,000 | 5,875,080 | |||
2.00%, 11/15/2021 | 500,000 | 489,520 | |||
2.00%, 12/31/2021 | 3,000,000 | 2,933,550 | |||
2.00%, 7/31/2022 | 100,000 | 97,299 | |||
2.00%, 10/31/2022 | 5,000,000 | 4,855,150 | |||
2.00%, 11/30/2022 | 2,000,000 | 1,941,440 | |||
2.00%, 2/15/2023 | 500,000 | 484,460 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,675,293 | |||
2.00%, 6/30/2024 | 350,000 | 334,796 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,259,314 | |||
2.00%, 8/15/2025 | 1,500,000 | 1,421,250 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,109,082 | |||
2.13%, 8/31/2020 | 1,650,000 | 1,635,035 | |||
2.13%, 8/15/2021 | 5,500,000 | 5,415,410 | |||
2.13%, 6/30/2022 | 4,500,000 | 4,403,115 | |||
2.13%, 12/31/2022 | 3,900,000 | 3,802,227 | |||
2.13%, 11/30/2023 | 1,000,000 | 968,090 | |||
2.13%, 3/31/2024 | 975,000 | 941,226 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,442,235 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,200,400 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,249,115 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,703,922 | |||
2.25%, 1/31/2024 | 1,000,000 | 973,060 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,210,163 | |||
2.25%, 11/15/2024 | 1,675,000 | 1,620,998 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,209,037 | |||
2.25%, 11/15/2025 | 1,975,000 | 1,899,930 | |||
2.25%, 2/15/2027 | 2,000,000 | 1,909,140 | |||
2.25%, 8/15/2027 | 2,000,000 | 1,903,820 | |||
2.25%, 11/15/2027 | 4,000,000 | 3,802,720 | |||
2.38%, 3/15/2021 | 1,000,000 | 994,040 | |||
2.38%, 4/15/2021 | 750,000 | 745,252 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,477,740 | |||
2.38%, 8/15/2024 | 1,950,000 | 1,904,038 | |||
2.38%, 5/15/2027 | 3,900,000 | 3,756,246 | |||
2.50%, 6/30/2020 | 2,500,000 | 2,498,437 | |||
2.50%, 3/31/2023 | 1,250,000 | 1,237,687 | |||
2.50%, 5/15/2024 | 5,000,000 | 4,922,250 | |||
2.50%, 1/31/2025 | 1,000,000 | 981,820 | |||
2.63%, 8/15/2020 | 150,000 | 150,209 | |||
2.63%, 11/15/2020 | 250,000 | 250,243 | |||
2.63%, 6/15/2021 | 1,350,000 | 1,350,158 | |||
2.63%, 2/28/2023 | 2,000,000 | 1,992,040 | |||
2.63%, 6/30/2023 | 1,350,000 | 1,343,408 | |||
2.63%, 3/31/2025 | 1,000,000 | 988,720 | |||
2.75%, 4/30/2023 | 3,250,000 | 3,253,315 | |||
2.75%, 5/31/2023 | 1,500,000 | 1,501,950 | |||
2.75%, 11/15/2023 | 1,500,000 | 1,499,775 | |||
2.75%, 2/15/2024 | 100,000 | 99,885 | |||
2.75%, 2/28/2025 | 2,250,000 | 2,242,282 | |||
2.75%, 6/30/2025 | 2,750,000 | 2,737,969 | |||
2.88%, 4/30/2025 | 1,250,000 | 1,255,075 | |||
2.88%, 5/31/2025 | 3,900,000 | 3,915,366 | |||
3.63%, 2/15/2020 | 1,350,000 | 1,373,909 | |||
3.63%, 2/15/2021 | 1,600,000 | 1,640,896 |
Security Description | Principal Amount | Value | ||||
U.S. Treasury Notes: | ||||||
1.25%, 7/31/2023 | $ 250,000 | $ 232,368 | ||||
1.88%, 1/31/2022 | 1,850,000 | 1,799,902 | ||||
2.00%, 8/31/2021 | 300,000 | 294,165 | ||||
2.75%, 2/15/2028 | 1,750,000 | 1,734,967 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $313,125,857) | 305,538,302 | |||||
MUNICIPAL BONDS & NOTES — 0.5% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | 25,000 | 36,554 | ||||
California, State General Obligation: | ||||||
7.30%, 10/1/2039 | 125,000 | 177,100 | ||||
7.50%, 4/1/2034 | 100,000 | 140,449 | ||||
7.55%, 4/1/2039 | 100,000 | 147,464 | ||||
California, State University Series B, 3.90%, 11/1/2047 | 100,000 | 100,363 | ||||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 123,883 | ||||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 30,311 | ||||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 67,239 | ||||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 263,128 | ||||
State of California 7.60%, 11/1/2040 | 250,000 | 375,992 | ||||
University of California Series AX, 3.06%, 7/1/2025 | 300,000 | 291,945 | ||||
1,754,428 | ||||||
FLORIDA — 0.0% (a) | ||||||
State Board of Administration Finance Corp.: | ||||||
Series A, 2.64%, 7/1/2021 | 150,000 | 148,599 | ||||
Series A, 3.00%, 7/1/2020 | 100,000 | 100,282 | ||||
248,881 | ||||||
GEORGIA — 0.0% (a) | ||||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 165,000 | 206,489 | ||||
ILLINOIS — 0.1% | ||||||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 261,352 | ||||
State of Illinois: | ||||||
5.10%, 6/1/2033 | 50,000 | 47,318 | ||||
6.63%, 2/1/2035 | 200,000 | 211,922 | ||||
7.35%, 7/1/2035 | 100,000 | 111,661 | ||||
632,253 |
Table of Contents
Security Description | Principal Amount | Value | ||||
MASSACHUSETTS — 0.0% (a) | ||||||
Commonwealth of Massachusetts Series E, 4.20%, 12/1/2021 | $ 100,000 | $ 103,150 | ||||
MISSOURI — 0.0% (a) | ||||||
Health & Educational Facilities Authority of the State of Missouri 3.65%, 8/15/2057 | 100,000 | 94,502 | ||||
NEW JERSEY — 0.0% (a) | ||||||
New Jersey Turnpike Authority Revenue 7.10%, 1/1/2041 | 100,000 | 140,744 | ||||
NEW YORK — 0.1% | ||||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 30,680 | ||||
Port Authority of New York & New Jersey: | ||||||
4.46%, 10/1/2062 | 250,000 | 265,517 | ||||
5.65%, 11/1/2040 | 100,000 | 123,872 | ||||
Series 192, 4.81%, 10/15/2065 | 25,000 | 28,136 | ||||
448,205 | ||||||
OHIO — 0.0% (a) | ||||||
American Municipal Power Inc. 7.83%, 2/15/2041 | 150,000 | 225,739 | ||||
PENNSYLVANIA — 0.0% (a) | ||||||
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038 | 125,000 | 126,059 | ||||
TEXAS — 0.1% | ||||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 117,371 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 138,903 | ||||
256,274 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 49,891 | ||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $4,380,799) | 4,286,615 | |||||
MORTGAGE-BACKED SECURITIES — 1.1% | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | 100,000 | 100,344 | ||||
BANK 2017-BNK8: | ||||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 88,116 | ||||
Series 2017-BNK8, Class B, 3.93%, 11/15/2050 (c) | 50,000 | 49,592 | ||||
BENCHMARK Mortgage Trust Series 2018-B2, Class A5, 3.88%, 2/15/2051 | 130,000 | 131,277 |
Security Description | Principal Amount | Value | |||
CD Mortgage Trust Series 2017-CD6, Class A5, 3.46%, 11/13/2050 | $ 100,000 | $ 97,774 | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 302,528 | |||
Citigroup Commercial Mortgage Trust Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 605,149 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 74,238 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 244,441 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 102,780 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 411,043 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 100,111 | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 50,179 | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 300,000 | 302,361 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR8, Class A4, 3.33%, 6/10/2046 | 65,000 | 65,104 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 103,428 | |||
Commercial Mortgage Pass Through Certificates Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 409,442 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 149,458 | |||
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | 250,000 | 244,843 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.18%, 7/10/2046 (c) | 80,000 | 82,795 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 100,000 | 103,681 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 147,725 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 187,986 |
Table of Contents
Security Description | Principal Amount | Value | |||
GS Mortgage Securities Trust 2017-GS5 Series 2017-GS5, Class A2, 3.22%, 3/10/2050 | $ 300,000 | $ 299,124 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 62,070 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 51,497 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C29 Series 2015-C29, Class A4, 3.61%, 5/15/2048 | 100,000 | 99,887 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 100,607 | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.90%, 3/15/2049 (c) | 300,000 | 314,937 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 489,619 | |||
JPMDB Commercial Mortgage Securities Trust 2017-C5 Series 2017-C5, Class A2, 3.33%, 3/15/2050 | 300,000 | 299,918 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 196,018 | |||
Series 2016-C29, Class A2, 2.79%, 5/15/2049 | 200,000 | 197,829 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 Series 2012-C6, Class A4, 2.86%, 11/15/2045 | 200,000 | 196,411 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 294,518 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 218,434 | |||
UBS Commercial Mortgage Trust Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 404,932 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 173,326 | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 225,000 | 224,266 |
Security Description | Principal Amount | Value | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | $ 100,000 | $ 98,700 | |||
Wells Fargo Commercial Mortgage Trust 2015-P2 Series 2015-P2, Class A3, 3.54%, 12/15/2048 | 300,000 | 297,919 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 286,480 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 248,044 | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 214,566 | |||
WFRBS Commercial Mortgage Trust 2014-C19: | |||||
Series 2014-C19, Class A3, 3.66%, 3/15/2047 | 75,000 | 75,693 | |||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 111,873 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 102,662 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $9,603,741) | 9,213,725 |
Shares | |||
SHORT-TERM INVESTMENT — 3.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (f) (g) (Cost $29,124,312) | 29,124,312 | 29,124,312 | |
TOTAL INVESTMENTS — 101.0% (Cost $865,504,538) | 841,815,068 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)% | (7,927,489) | ||
NET ASSETS — 100.0% | $ 833,887,579 |
Table of Contents
(a) | Amount is less than 0.05% of net assets. |
(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, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Variable Rate Security - Interest rate shown is the rate in effect at June 30, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2018. Maturity date shown is the final maturity. |
(e) | When-issued security. |
(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, 2018 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2018. |
BKNT | = Bank Notes |
GMTN | = Global Medium Term Note |
LIBOR | = London Interbank Offered Rate |
MTN | = Medium Term Note |
REIT | = Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | ||||||||
Advertising | $ — | $ 145,143 | $— | $ 145,143 | ||||
Aerospace & Defense | — | 4,140,008 | — | 4,140,008 | ||||
Agriculture | — | 2,313,234 | — | 2,313,234 | ||||
Airlines | — | 888,413 | — | 888,413 | ||||
Apparel | — | 74,542 | — | 74,542 | ||||
Auto Manufacturers | — | 4,268,670 | — | 4,268,670 | ||||
Auto Parts & Equipment | — | 73,492 | — | 73,492 | ||||
Banks | — | 47,060,306 | — | 47,060,306 | ||||
Beverages | — | 5,775,182 | — | 5,775,182 | ||||
Biotechnology | — | 3,206,270 | — | 3,206,270 | ||||
Building Materials | — | 794,509 | — | 794,509 | ||||
Chemicals | — | 3,204,636 | — | 3,204,636 | ||||
Commercial Services | — | 1,667,861 | — | 1,667,861 | ||||
Computers | — | 5,765,827 | — | 5,765,827 | ||||
Cosmetics/Personal Care | — | 1,557,900 | — | 1,557,900 | ||||
Distribution & Wholesale | — | 51,465 | — | 51,465 | ||||
Diversified Financial Services | — | 5,995,339 | — | 5,995,339 | ||||
Electric | — | 13,275,022 | — | 13,275,022 | ||||
Electrical Components & Equipment | — | 121,230 | — | 121,230 | ||||
Electronics | — | 703,787 | — | 703,787 | ||||
Environmental Control | — | 676,822 | — | 676,822 | ||||
Food | — | 3,686,794 | — | 3,686,794 | ||||
Forest Products & Paper | — | 737,883 | — | 737,883 | ||||
Gas | — | 1,018,358 | — | 1,018,358 | ||||
Hand & Machine Tools | — | 49,897 | — | 49,897 | ||||
Health Care Products | — | 3,847,953 | — | 3,847,953 | ||||
Health Care Services | — | 3,378,644 | — | 3,378,644 | ||||
Home Builders | — | 39,680 | — | 39,680 | ||||
Home Furnishings | — | 23,275 | — | 23,275 | ||||
Household Products & Wares | — | 169,131 | — | 169,131 | ||||
Housewares | — | 344,008 | — | 344,008 | ||||
Insurance | — | 6,347,263 | — | 6,347,263 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Internet | $ — | $ 2,767,817 | $— | 2,767,817 | ||||
Investment Company Security | — | 121,220 | — | 121,220 | ||||
Iron/Steel | — | 484,156 | — | 484,156 | ||||
Leisure Time | — | 138,874 | — | 138,874 | ||||
Lodging | — | 217,858 | — | 217,858 | ||||
Machinery, Construction & Mining | — | 1,052,740 | — | 1,052,740 | ||||
Machinery-Diversified | — | 921,066 | — | 921,066 | ||||
Media | — | 7,054,287 | — | 7,054,287 | ||||
Metal Fabricate & Hardware | — | 72,541 | — | 72,541 | ||||
Mining | — | 1,155,731 | — | 1,155,731 | ||||
Miscellaneous Manufacturer | — | 1,923,430 | — | 1,923,430 | ||||
Office & Business Equipment | — | 97,737 | — | 97,737 | ||||
Oil & Gas | — | 13,579,762 | — | 13,579,762 | ||||
Oil & Gas Services | — | 680,530 | — | 680,530 | ||||
Packaging & Containers | — | 305,548 | — | 305,548 | ||||
Pharmaceuticals | — | 11,688,927 | — | 11,688,927 | ||||
Pipelines | — | 7,353,747 | — | 7,353,747 | ||||
Real Estate | — | 256,567 | — | 256,567 | ||||
Real Estate Investment Trusts | — | 6,260,449 | — | 6,260,449 | ||||
Retail | — | 5,992,100 | — | 5,992,100 | ||||
Semiconductors | — | 3,540,310 | — | 3,540,310 | ||||
Software | — | 6,224,536 | — | 6,224,536 | ||||
Telecommunications | — | 9,758,619 | — | 9,758,619 | ||||
Textiles | — | 147,189 | — | 147,189 | ||||
Toys/Games/Hobbies | — | 27,808 | — | 27,808 | ||||
Transportation | — | 4,115,881 | — | 4,115,881 | ||||
Trucking & Leasing | — | 97,565 | — | 97,565 | ||||
Water | — | 255,852 | — | 255,852 | ||||
Asset-Backed Securities | ||||||||
Automobile | — | 1,989,757 | — | 1,989,757 | ||||
Credit Card | — | 2,747,597 | — | 2,747,597 | ||||
Foreign Government Obligations | — | 32,630,428 | — | 32,630,428 | ||||
U.S. Government Agency Obligations | — | 248,588,941 | — | 248,588,941 | ||||
U.S. Treasury Obligations | — | 305,538,302 | — | 305,538,302 | ||||
Municipal Bonds & Notes | — | 4,286,615 | — | 4,286,615 | ||||
Mortgage-Backed Securities | — | 9,213,725 | — | 9,213,725 | ||||
Short-Term Investment | 29,124,312 | — | — | 29,124,312 | ||||
TOTAL INVESTMENTS | $29,124,312 | $812,690,756 | $— | $841,815,068 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 47,567,027 | $47,567,027 | $158,395,563 | $176,838,278 | $— | $— | 29,124,312 | $29,124,312 | $309,391 | $— |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 93.8% | |||||
AUSTRALIA — 4.5% | |||||
AGL Energy, Ltd. | 60,629 | $ 1,007,008 | |||
Alumina, Ltd. | 181,849 | 376,205 | |||
Amcor, Ltd. | 104,784 | 1,115,617 | |||
AMP, Ltd. | 271,033 | 712,900 | |||
APA Group | 115,276 | 838,941 | |||
Aristocrat Leisure, Ltd. | 51,132 | 1,167,367 | |||
ASX, Ltd. | 18,612 | 885,457 | |||
Aurizon Holdings, Ltd. | 198,442 | 634,860 | |||
AusNet Services | 166,782 | 197,779 | |||
Australia & New Zealand Banking Group, Ltd. | 255,443 | 5,329,849 | |||
Bank of Queensland, Ltd. | 30,202 | 227,387 | |||
Bendigo & Adelaide Bank, Ltd. | 50,810 | 406,944 | |||
BHP Billiton PLC | 183,393 | 4,130,647 | |||
BHP Billiton, Ltd. | 286,712 | 7,183,397 | |||
BlueScope Steel, Ltd. | 45,657 | 582,243 | |||
Boral, Ltd. | 94,366 | 455,287 | |||
Brambles, Ltd. | 139,052 | 912,318 | |||
Caltex Australia, Ltd. | 21,064 | 506,424 | |||
Challenger, Ltd. | 47,153 | 412,145 | |||
CIMIC Group, Ltd. | 8,408 | 262,778 | |||
Coca-Cola Amatil, Ltd. | 47,457 | 322,585 | |||
Cochlear, Ltd. | 4,589 | 678,693 | |||
Commonwealth Bank of Australia | 156,347 | 8,417,721 | |||
Computershare, Ltd. | 38,022 | 517,746 | |||
Crown Resorts, Ltd. | 39,227 | 391,269 | |||
CSL, Ltd. | 39,527 | 5,625,374 | |||
Dexus REIT | 98,660 | 707,810 | |||
Domino's Pizza Enterprises, Ltd. | 4,890 | 188,670 | |||
Flight Centre Travel Group, Ltd. | 4,796 | 225,545 | |||
Fortescue Metals Group, Ltd. (a) | 127,518 | 413,611 | |||
Goodman Group REIT | 157,383 | 1,118,637 | |||
GPT Group REIT | 176,292 | 659,082 | |||
Harvey Norman Holdings, Ltd. (a) | 23,187 | 56,877 | |||
Healthscope, Ltd. | 133,386 | 217,800 | |||
Incitec Pivot, Ltd. | 140,506 | 376,841 | |||
Insurance Australia Group, Ltd. | 218,612 | 1,377,778 | |||
LendLease Group | 55,710 | 815,406 | |||
Macquarie Group, Ltd. | 28,692 | 2,621,266 | |||
Medibank Pvt, Ltd. | 221,790 | 478,499 | |||
Mirvac Group REIT | 298,378 | 478,391 | |||
National Australia Bank, Ltd. | 243,744 | 4,936,273 | |||
Newcrest Mining, Ltd. | 67,073 | 1,080,340 | |||
Oil Search, Ltd. | 131,880 | 867,212 | |||
Orica, Ltd. | 31,202 | 409,201 | |||
Origin Energy, Ltd. (b) | 161,772 | 1,198,838 | |||
QBE Insurance Group, Ltd. | 127,329 | 916,310 | |||
Ramsay Health Care, Ltd. | 13,734 | 547,755 | |||
REA Group, Ltd. | 4,706 | 315,957 | |||
Santos, Ltd. (b) | 150,423 | 696,848 | |||
Scentre Group REIT | 480,964 | 1,560,031 | |||
SEEK, Ltd. | 31,999 | 515,642 | |||
Sonic Healthcare, Ltd. | 32,085 | 581,508 |
Security Description | Shares | Value | |||
South32, Ltd. (c) | 10,757 | $ 28,915 | |||
South32, Ltd. (c) | 467,268 | 1,246,320 | |||
Stockland REIT | 232,182 | 681,044 | |||
Suncorp Group, Ltd. | 118,443 | 1,276,794 | |||
Sydney Airport (a) | 89,714 | 474,602 | |||
Tabcorp Holdings, Ltd. | 183,580 | 604,946 | |||
Telstra Corp., Ltd. | 363,806 | 704,251 | |||
TPG Telecom, Ltd. (a) | 37,112 | 141,762 | |||
Transurban Group Stapled Security | 198,430 | 1,754,921 | |||
Treasury Wine Estates, Ltd. | 58,287 | 748,906 | |||
Vicinity Centres REIT | 329,774 | 631,062 | |||
Wesfarmers, Ltd. | 99,075 | 3,613,228 | |||
Westpac Banking Corp. | 301,294 | 6,522,503 | |||
Woodside Petroleum, Ltd. | 83,583 | 2,189,842 | |||
Woolworths Group, Ltd. | 114,584 | 2,583,834 | |||
89,863,999 | |||||
AUSTRIA — 0.2% | |||||
ANDRITZ AG | 6,363 | 337,728 | |||
Erste Group Bank AG (b) | 26,647 | 1,112,244 | |||
OMV AG | 11,628 | 659,400 | |||
Raiffeisen Bank International AG | 12,937 | 397,100 | |||
Voestalpine AG | 9,270 | 426,975 | |||
2,933,447 | |||||
BELGIUM — 0.7% | |||||
Ageas | 16,471 | 830,959 | |||
Anheuser-Busch InBev SA | 66,593 | 6,725,435 | |||
Colruyt SA | 4,570 | 260,756 | |||
Groupe Bruxelles Lambert SA | 7,722 | 814,309 | |||
KBC Group NV | 22,424 | 1,731,098 | |||
Proximus SADP | 12,663 | 285,492 | |||
Solvay SA | 6,969 | 879,980 | |||
Telenet Group Holding NV (b) | 3,963 | 185,080 | |||
UCB SA | 11,921 | 937,263 | |||
Umicore SA | 18,145 | 1,041,253 | |||
13,691,625 | |||||
BRAZIL — 1.3% | |||||
Ambev SA | 415,367 | 1,941,129 | |||
Atacadao Distribuicao Comercio e Industria Ltda | 39,400 | 155,044 | |||
B3 SA - Brasil Bolsa Balcao | 188,601 | 1,002,467 | |||
Banco Bradesco SA Preference Shares | 295,656 | 2,067,148 | |||
Banco Bradesco SA | 79,843 | 505,945 | |||
Banco do Brasil SA | 68,900 | 513,070 | |||
Banco Santander Brasil SA | 36,000 | 274,159 | |||
BB Seguridade Participacoes SA | 57,100 | 363,016 | |||
BR Malls Participacoes SA | 53,082 | 133,829 | |||
Braskem SA Class A, Preference Shares | 12,900 | 170,194 | |||
BRF SA (b) | 31,600 | 147,840 | |||
CCR SA | 99,100 | 260,667 | |||
Centrais Eletricas Brasileiras SA (b) | 16,300 | 51,644 |
Table of Contents
Security Description | Shares | Value | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares (b) | 28,700 | $ 101,077 | |||
Cia Brasileira de Distribuicao Preference Shares | 16,500 | 334,040 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 25,900 | 156,784 | |||
Cia Energetica de Minas Gerais Preference Shares | 75,264 | 142,805 | |||
Cia Paranaense de Energia Preference Shares | 1,300 | 7,407 | |||
Cia Siderurgica Nacional SA (b) | 41,500 | 84,782 | |||
Cielo SA | 117,039 | 502,543 | |||
Cosan SA Industria e Comercio | 10,500 | 96,010 | |||
EDP - Energias do Brasil SA | 41,174 | 148,434 | |||
Embraer SA | 58,200 | 366,983 | |||
Engie Brasil Energia SA | 12,853 | 114,352 | |||
Equatorial Energia SA | 15,000 | 221,370 | |||
Fibria Celulose SA | 24,300 | 458,349 | |||
Gerdau SA Preference Shares | 95,600 | 345,635 | |||
Hypera SA | 30,200 | 216,724 | |||
IRB Brasil Resseguros S/A | 9,600 | 120,643 | |||
Itau Unibanco Holding SA Preference Shares | 282,369 | 2,960,640 | |||
Itausa - Investimentos Itau SA Preference Shares | 385,265 | 919,253 | |||
JBS SA | 45,600 | 110,225 | |||
Klabin SA | 61,328 | 312,426 | |||
Kroton Educacional SA | 110,800 | 268,404 | |||
Localiza Rent a Car SA | 34,020 | 209,829 | |||
Lojas Americanas SA Preference Shares | 74,181 | 321,411 | |||
Lojas Renner SA | 57,110 | 435,962 | |||
M Dias Branco SA | 7,900 | 76,795 | |||
Magazine Luiza SA | 6,700 | 222,886 | |||
Multiplan Empreendimentos Imobiliarios SA | 5,238 | 77,602 | |||
Natura Cosmeticos SA | 13,800 | 108,574 | |||
Odontoprev SA | 29,800 | 101,234 | |||
Petrobras Distribuidora SA | 30,600 | 145,468 | |||
Petroleo Brasileiro SA Preference Shares | 352,500 | 1,574,953 | |||
Petroleo Brasileiro SA | 271,300 | 1,369,404 | |||
Porto Seguro SA | 12,800 | 135,339 | |||
Raia Drogasil SA | 18,800 | 324,458 | |||
Rumo SA (b) | 100,787 | 369,365 | |||
Sul America SA | 17,891 | 85,005 | |||
Suzano Papel e Celulose SA | 42,900 | 501,433 | |||
Telefonica Brasil SA Preference Shares | 35,985 | 427,809 | |||
TIM Participacoes SA | 56,500 | 193,552 | |||
Transmissora Alianca de Energia Eletrica SA | 11,700 | 56,867 | |||
Ultrapar Participacoes SA | 34,800 | 415,621 | |||
Vale SA | 277,106 | 3,571,681 | |||
WEG SA | 75,970 | 320,869 | |||
26,621,155 |
Security Description | Shares | Value | |||
CANADA — 6.2% | |||||
Agnico Eagle Mines, Ltd. | 21,800 | $ 998,811 | |||
Alimentation Couche-Tard, Inc. Class B | 37,500 | 1,628,055 | |||
AltaGas, Ltd. (a) | 12,300 | 253,864 | |||
ARC Resources, Ltd. | 25,500 | 263,248 | |||
Atco, Ltd. Class I | 4,900 | 151,159 | |||
Bank of Montreal | 56,700 | 4,380,139 | |||
Bank of Nova Scotia (a) | 104,800 | 5,930,527 | |||
Barrick Gold Corp. | 105,600 | 1,386,379 | |||
BCE, Inc. | 14,979 | 606,243 | |||
BlackBerry, Ltd. (b) | 49,800 | 480,036 | |||
Bombardier, Inc. Class B (b) | 183,600 | 725,774 | |||
Brookfield Asset Management, Inc. Class A | 73,550 | 2,981,810 | |||
CAE, Inc. | 19,300 | 400,686 | |||
Cameco Corp. | 33,200 | 373,278 | |||
Canadian Imperial Bank of Commerce | 39,000 | 3,390,505 | |||
Canadian National Railway Co. (a) | 65,200 | 5,329,702 | |||
Canadian Natural Resources, Ltd. | 106,200 | 3,830,773 | |||
Canadian Pacific Railway, Ltd. | 12,900 | 2,362,589 | |||
Canadian Tire Corp., Ltd. Class A | 6,200 | 808,788 | |||
Canadian Utilities, Ltd. Class A | 9,200 | 232,194 | |||
CCL Industries, Inc. Class B | 11,800 | 578,137 | |||
Cenovus Energy, Inc. | 91,300 | 947,391 | |||
CGI Group, Inc. Class A (b) | 22,600 | 1,431,302 | |||
CI Financial Corp. | 26,300 | 472,438 | |||
Constellation Software, Inc. | 1,800 | 1,395,104 | |||
Crescent Point Energy Corp. (a) | 39,500 | 290,068 | |||
Dollarama, Inc. | 27,000 | 1,045,969 | |||
Emera, Inc. | 4,400 | 143,160 | |||
Empire Co., Ltd. Class A | 13,400 | 268,825 | |||
Enbridge, Inc. | 149,000 | 5,323,653 | |||
Encana Corp. | 89,700 | 1,170,815 | |||
Fairfax Financial Holdings, Ltd. | 2,400 | 1,344,015 | |||
Finning International, Inc. | 15,500 | 382,360 | |||
First Capital Realty, Inc. (a) | 10,500 | 164,909 | |||
First Quantum Minerals, Ltd. | 64,600 | 951,235 | |||
Fortis, Inc. | 38,100 | 1,217,045 | |||
Franco-Nevada Corp. | 16,900 | 1,232,700 | |||
George Weston, Ltd. | 3,700 | 301,693 | |||
Gildan Activewear, Inc. | 18,900 | 532,036 | |||
Goldcorp, Inc. | 75,800 | 1,040,093 | |||
Great-West Lifeco, Inc. | 28,600 | 702,689 | |||
H&R Real Estate Investment Trust | 7,500 | 114,714 | |||
Husky Energy, Inc. | 25,655 | 399,613 | |||
Hydro One, Ltd. (d) | 28,800 | 438,749 | |||
IGM Financial, Inc. (a) | 6,600 | 191,209 | |||
Imperial Oil, Ltd. | 28,100 | 933,498 | |||
Industrial Alliance Insurance & Financial Services, Inc. | 7,700 | 297,066 | |||
Intact Financial Corp. | 12,200 | 864,837 | |||
Inter Pipeline, Ltd. (a) | 36,400 | 681,817 | |||
Keyera Corp. (a) | 18,300 | 508,886 |
Table of Contents
Security Description | Shares | Value | |||
Kinross Gold Corp. (b) | 88,700 | $ 333,775 | |||
Linamar Corp. | 3,900 | 171,393 | |||
Loblaw Cos., Ltd. | 20,200 | 1,038,063 | |||
Lundin Mining Corp. | 55,000 | 305,637 | |||
Magna International, Inc. | 31,500 | 1,830,925 | |||
Manulife Financial Corp. | 172,900 | 3,104,563 | |||
Methanex Corp. | 8,900 | 628,944 | |||
Metro, Inc. | 23,057 | 783,319 | |||
National Bank of Canada (a) | 30,900 | 1,482,693 | |||
Nutrien, Ltd. | 55,818 | 3,034,782 | |||
Onex Corp. | 6,800 | 498,789 | |||
Open Text Corp. (a) | 25,100 | 882,874 | |||
Pembina Pipeline Corp. (a) | 45,336 | 1,569,157 | |||
Power Corp. of Canada | 33,600 | 751,974 | |||
Power Financial Corp. | 21,000 | 490,897 | |||
PrairieSky Royalty, Ltd. (a) | 15,294 | 301,706 | |||
Restaurant Brands International, Inc. | 21,546 | 1,298,869 | |||
RioCan Real Estate Investment Trust | 12,200 | 223,977 | |||
Rogers Communications, Inc. Class B | 32,600 | 1,547,413 | |||
Royal Bank of Canada | 127,400 | 9,587,081 | |||
Saputo, Inc. | 20,400 | 676,924 | |||
Seven Generations Energy, Ltd. Class A (b) | 17,900 | 197,173 | |||
Shaw Communications, Inc. Class B | 40,100 | 816,358 | |||
Shopify, Inc. Class A (b) | 7,800 | 1,136,750 | |||
SmartCentres Real Estate Investment Trust | 5,700 | 132,290 | |||
SNC-Lavalin Group, Inc. | 14,000 | 617,918 | |||
Sun Life Financial, Inc. | 54,400 | 2,184,767 | |||
Suncor Energy, Inc. | 144,664 | 5,883,556 | |||
Teck Resources, Ltd. Class B | 52,000 | 1,323,866 | |||
TELUS Corp. | 19,100 | 678,072 | |||
Thomson Reuters Corp. | 24,900 | 1,004,177 | |||
Toronto-Dominion Bank | 161,600 | 9,347,481 | |||
Tourmaline Oil Corp. | 22,600 | 403,568 | |||
TransCanada Corp. (a) | 78,000 | 3,372,717 | |||
Turquoise Hill Resources, Ltd. (b) | 78,900 | 223,124 | |||
Valeant Pharmaceuticals International, Inc. (b) | 27,800 | 646,684 | |||
Vermilion Energy, Inc. (a) | 12,300 | 443,303 | |||
West Fraser Timber Co., Ltd. | 5,700 | 392,104 | |||
Wheaton Precious Metals Corp. | 41,800 | 922,145 | |||
WSP Global, Inc. (a) | 9,000 | 473,587 | |||
122,623,981 | |||||
CHILE — 0.3% | |||||
AES Gener SA | 22,037 | 5,414 | |||
Aguas Andinas SA Class A | 220,856 | 121,015 | |||
Antofagasta PLC | 28,888 | 377,580 | |||
Banco de Chile | 2,172,797 | 336,009 | |||
Banco de Credito e Inversiones SA | 4,013 | 267,971 | |||
Banco Santander Chile | 6,282,882 | 494,779 | |||
Cencosud SA | 153,516 | 379,684 |
Security Description | Shares | Value | |||
Cia Cervecerias Unidas SA | 7,183 | $ 90,205 | |||
Colbun SA | 622,750 | 129,123 | |||
Embotelladora Andina SA Class B, Preference Shares | 22,750 | 88,527 | |||
Empresa Nacional de Telecomunicaciones SA | 7,195 | 66,878 | |||
Empresas CMPC SA | 107,700 | 397,635 | |||
Empresas COPEC SA | 37,051 | 571,832 | |||
Enel Americas SA | 2,355,987 | 415,038 | |||
Enel Chile SA | 2,451,823 | 242,868 | |||
Itau CorpBanca | 13,434,953 | 131,781 | |||
Latam Airlines Group SA | 26,499 | 263,840 | |||
SACI Falabella | 71,485 | 658,122 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 9,754 | 470,991 | |||
5,509,292 | |||||
CHINA — 7.3% | |||||
3SBio, Inc. (d) | 100,500 | 228,274 | |||
51job, Inc. ADR (b) | 2,200 | 214,808 | |||
58.com, Inc. ADR (b) | 7,400 | 513,116 | |||
AAC Technologies Holdings, Inc. | 68,000 | 957,753 | |||
Agile Group Holdings, Ltd. | 148,000 | 252,029 | |||
Agricultural Bank of China, Ltd. Class H | 2,567,000 | 1,200,809 | |||
Air China, Ltd. Class H | 148,000 | 142,992 | |||
Alibaba Group Holding, Ltd. ADR (b) | 102,700 | 19,053,931 | |||
Alibaba Health Information Technology, Ltd. (a)(b) | 341,500 | 329,510 | |||
Aluminum Corp. of China, Ltd. Class H (b) | 344,000 | 151,711 | |||
Angang Steel Co., Ltd. Class H (a) | 150,000 | 135,365 | |||
Anhui Conch Cement Co., Ltd. Class H | 125,000 | 716,976 | |||
ANTA Sports Products, Ltd. | 108,000 | 571,975 | |||
Autohome, Inc. ADR | 5,200 | 525,200 | |||
AviChina Industry & Technology Co., Ltd. Class H | 188,000 | 111,907 | |||
BAIC Motor Corp., Ltd. Class H (d) | 155,000 | 148,175 | |||
Baidu, Inc. ADR (b) | 24,700 | 6,002,100 | |||
Bank of China, Ltd. Class H | 6,943,000 | 3,442,539 | |||
Bank of Communications Co., Ltd. Class H | 708,000 | 542,363 | |||
Beijing Capital International Airport Co., Ltd. Class H | 110,000 | 115,953 | |||
Beijing Enterprises Holdings, Ltd. | 38,000 | 185,024 | |||
Beijing Enterprises Water Group, Ltd. (b) | 484,000 | 264,041 | |||
BOC Hong Kong Holdings, Ltd. | 333,000 | 1,568,342 | |||
Brilliance China Automotive Holdings, Ltd. | 242,000 | 436,778 | |||
BYD Co., Ltd. Class H (a) | 65,000 | 393,954 |
Table of Contents
Security Description | Shares | Value | |||
BYD Electronic International Co., Ltd. (a) | 72,000 | $ 98,564 | |||
CGN Power Co., Ltd. Class H (d) | 958,600 | 248,037 | |||
China Cinda Asset Management Co., Ltd. Class H | 563,592 | 181,029 | |||
China CITIC Bank Corp., Ltd. Class H | 732,000 | 458,115 | |||
China Communications Construction Co., Ltd. Class H | 369,000 | 356,515 | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 158,372 | |||
China Conch Venture Holdings, Ltd. | 161,500 | 590,795 | |||
China Construction Bank Corp. Class H | 8,574,000 | 7,923,255 | |||
China Eastern Airlines Corp., Ltd. Class H | 192,000 | 129,950 | |||
China Everbright Bank Co., Ltd. Class H | 221,300 | 95,059 | |||
China Everbright International, Ltd. | 158,000 | 204,210 | |||
China Everbright, Ltd. | 66,000 | 121,140 | |||
China Evergrande Group (a)(b) | 287,000 | 731,634 | |||
China Galaxy Securities Co., Ltd. Class H | 212,300 | 109,053 | |||
China Huarong Asset Management Co., Ltd. Class H (d) | 841,000 | 243,335 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(b)(e) | 66,000 | — | |||
China International Capital Corp., Ltd. Class H (a)(d) | 91,200 | 162,512 | |||
China Jinmao Holdings Group, Ltd. | 592,000 | 297,304 | |||
China Life Insurance Co., Ltd. Class H | 662,000 | 1,708,697 | |||
China Literature, Ltd. (a)(b)(d) | 16,000 | 150,304 | |||
China Longyuan Power Group Corp., Ltd. Class H | 379,000 | 305,308 | |||
China Medical System Holdings, Ltd. | 122,000 | 243,830 | |||
China Mengniu Dairy Co., Ltd. (b) | 220,000 | 745,910 | |||
China Merchants Bank Co., Ltd. Class H | 355,500 | 1,311,808 | |||
China Merchants Port Holdings Co., Ltd. | 92,776 | 188,498 | |||
China Minsheng Banking Corp., Ltd. Class H (a) | 546,600 | 390,854 | |||
China Mobile, Ltd. | 537,000 | 4,770,778 | |||
China Molybdenum Co., Ltd. Class H (a) | 354,000 | 171,462 | |||
China National Building Material Co., Ltd. Class H | 338,000 | 334,749 | |||
China Oilfield Services, Ltd. Class H | 86,000 | 81,227 | |||
China Overseas Land & Investment, Ltd. | 346,000 | 1,140,037 |
Security Description | Shares | Value | |||
China Pacific Insurance Group Co., Ltd. Class H | 230,400 | $ 891,299 | |||
China Petroleum & Chemical Corp. Class H | 2,296,000 | 2,051,502 | |||
China Power International Development, Ltd. | 606,000 | 139,808 | |||
China Railway Construction Corp., Ltd. Class H | 187,000 | 189,492 | |||
China Railway Group, Ltd. Class H | 423,000 | 319,186 | |||
China Railway Signal & Communication Corp., Ltd. Class H (d) | 210,000 | 149,093 | |||
China Reinsurance Group Corp. Class H | 499,000 | 109,398 | |||
China Resources Beer Holdings Co., Ltd. | 164,721 | 799,938 | |||
China Resources Gas Group, Ltd. | 78,000 | 338,030 | |||
China Resources Land, Ltd. | 259,333 | 874,310 | |||
China Resources Pharmaceutical Group, Ltd. (d) | 177,000 | 245,011 | |||
China Resources Power Holdings Co., Ltd. | 126,055 | 222,050 | |||
China Shenhua Energy Co., Ltd. Class H | 269,500 | 639,618 | |||
China Southern Airlines Co., Ltd. Class H | 162,000 | 127,404 | |||
China State Construction International Holdings, Ltd. | 184,750 | 189,567 | |||
China Taiping Insurance Holdings Co., Ltd. | 132,000 | 413,055 | |||
China Telecom Corp., Ltd. Class H | 1,120,000 | 523,922 | |||
China Unicom Hong Kong, Ltd. | 484,000 | 604,580 | |||
China Vanke Co., Ltd. Class H | 100,200 | 350,584 | |||
Chong Sing Holdings FinTech Group (a)(b) | 1,484,000 | 174,022 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 198,000 | 117,859 | |||
CIFI Holdings Group Co., Ltd. | 288,000 | 183,179 | |||
CITIC Securities Co., Ltd. Class H | 190,500 | 380,735 | |||
CITIC, Ltd. | 462,000 | 651,297 | |||
CNOOC, Ltd. | 1,583,000 | 2,732,006 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (b) | 227,000 | 104,162 | |||
COSCO SHIPPING Ports, Ltd. | 131,698 | 109,784 | |||
Country Garden Holdings Co., Ltd. | 666,000 | 1,171,482 | |||
CRRC Corp., Ltd. Class H | 430,350 | 334,058 | |||
CSPC Pharmaceutical Group, Ltd. | 410,000 | 1,238,552 | |||
Ctrip.com International, Ltd. ADR (b) | 35,500 | 1,690,865 | |||
Dali Foods Group Co., Ltd. (d) | 180,500 | 139,192 | |||
Dongfeng Motor Group Co., Ltd. Class H | 186,000 | 196,776 | |||
ENN Energy Holdings, Ltd. | 78,000 | 767,031 |
Table of Contents
Security Description | Shares | Value | |||
Far East Horizon, Ltd. | 121,000 | $ 117,369 | |||
Fosun International, Ltd. | 260,500 | 490,090 | |||
Future Land Development Holdings, Ltd. (b) | 156,000 | 141,177 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (d) | 23,600 | 79,715 | |||
GDS Holdings, Ltd. ADR (b) | 5,200 | 208,468 | |||
Geely Automobile Holdings, Ltd. | 446,000 | 1,156,862 | |||
Genscript Biotech Corp. | 68,000 | 188,084 | |||
GF Securities Co., Ltd. Class H | 93,400 | 136,193 | |||
GOME Retail Holdings, Ltd. (a)(b) | 972,000 | 99,115 | |||
Great Wall Motor Co., Ltd. Class H (a) | 201,000 | 153,720 | |||
Greentown China Holdings, Ltd. | 76,000 | 101,909 | |||
Guangdong Investment, Ltd. | 284,000 | 451,044 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 198,800 | 194,354 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 77,600 | 156,675 | |||
Guotai Junan Securities Co., Ltd. Class H (d) | 52,600 | 111,831 | |||
Haitian International Holdings, Ltd. | 53,000 | 125,112 | |||
Haitong Securities Co., Ltd. Class H | 271,200 | 274,123 | |||
Hengan International Group Co., Ltd. | 58,000 | 558,158 | |||
Huaneng Power International, Inc. Class H | 388,000 | 257,168 | |||
Huaneng Renewables Corp., Ltd. Class H | 418,629 | 139,268 | |||
Huatai Securities Co., Ltd. Class H (d) | 115,000 | 182,934 | |||
Huazhu Group, Ltd. ADR | 11,600 | 487,084 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,105,000 | 4,567,788 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 93,400 | 127,398 | |||
JD.com, Inc. ADR (a)(b) | 63,500 | 2,473,325 | |||
Jiangsu Expressway Co., Ltd. Class H | 98,000 | 116,794 | |||
Jiangxi Copper Co., Ltd. Class H | 75,000 | 95,597 | |||
Kaisa Group Holdings, Ltd. | 292,000 | 124,684 | |||
Kingdee International Software Group Co., Ltd. | 174,000 | 178,093 | |||
Kingsoft Corp., Ltd. | 54,000 | 163,815 | |||
Kunlun Energy Co., Ltd. | 290,000 | 253,943 | |||
KWG Property Holding, Ltd. | 111,000 | 139,503 | |||
Lenovo Group, Ltd. (a) | 620,000 | 335,863 | |||
Logan Property Holdings Co., Ltd. | 120,000 | 162,438 | |||
Longfor Properties Co., Ltd. | 128,000 | 345,066 | |||
Luye Pharma Group, Ltd. (a) | 154,500 | 158,528 | |||
Meitu, Inc. (a)(b)(d) | 130,000 | 113,505 | |||
Minth Group, Ltd. | 48,000 | 202,818 | |||
MMG, Ltd. (b) | 212,000 | 148,351 |
Security Description | Shares | Value | |||
Momo, Inc. ADR (b) | 10,400 | $ 452,400 | |||
NetEase, Inc. ADR | 7,000 | 1,768,690 | |||
New China Life Insurance Co., Ltd. Class H | 72,300 | 300,887 | |||
New Oriental Education & Technology Group, Inc. ADR | 13,200 | 1,249,512 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 124,199 | |||
Noah Holdings, Ltd. ADR (a)(b) | 2,500 | 130,375 | |||
People's Insurance Co. Group of China, Ltd. Class H | 770,000 | 362,159 | |||
PetroChina Co., Ltd. Class H | 1,926,000 | 1,465,591 | |||
PICC Property & Casualty Co., Ltd. Class H | 545,700 | 589,141 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 455,500 | 4,191,869 | |||
Postal Savings Bank of China Co., Ltd. Class H (d) | 244,000 | 158,925 | |||
Semiconductor Manufacturing International Corp. (a)(b) | 249,300 | 324,119 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 204,000 | 144,313 | |||
Shanghai Electric Group Co., Ltd. Class H (b) | 24,000 | 8,076 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 33,500 | 183,823 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 123,491 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 46,620 | 66,573 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 50,200 | 138,530 | |||
Shenzhen Investment, Ltd. | 284,000 | 103,530 | |||
Shenzhou International Group Holdings, Ltd. | 74,000 | 913,510 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 72,717 | |||
SINA Corp. (b) | 5,800 | 491,202 | |||
Sino-Ocean Group Holding, Ltd. | 192,000 | 111,596 | |||
Sinopec Engineering Group Co., Ltd. Class H | 115,500 | 120,720 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 210,000 | 127,947 | |||
Sinopharm Group Co., Ltd. Class H | 100,000 | 402,144 | |||
Sinotrans, Ltd. Class H | 286,000 | 150,921 | |||
Sinotruk Hong Kong, Ltd. | 97,000 | 159,741 | |||
SOHO China, Ltd. | 46,000 | 21,870 | |||
Sunac China Holdings, Ltd. | 223,000 | 780,242 | |||
Sunny Optical Technology Group Co., Ltd. | 62,300 | 1,159,373 | |||
TAL Education Group ADR (b) | 30,600 | 1,126,080 | |||
Tencent Holdings, Ltd. | 505,900 | 25,393,498 | |||
Tingyi Cayman Islands Holding Corp. | 170,000 | 394,369 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 311,639 |
Table of Contents
Security Description | Shares | Value | |||
Tsingtao Brewery Co., Ltd. Class H | 38,000 | $ 208,758 | |||
Uni-President China Holdings, Ltd. | 114,000 | 146,470 | |||
Vipshop Holdings, Ltd. ADR (b) | 36,600 | 397,110 | |||
Want Want China Holdings, Ltd. | 361,000 | 321,177 | |||
Weibo Corp. ADR (b) | 4,210 | 373,680 | |||
Weichai Power Co., Ltd. Class H | 164,000 | 226,180 | |||
Wuxi Biologics Cayman, Inc. (b)(d) | 43,000 | 478,755 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 155,200 | 103,011 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 150,000 | 196,165 | |||
Yum China Holdings, Inc. | 34,900 | 1,342,254 | |||
Yuzhou Properties Co., Ltd. | 230,000 | 135,148 | |||
YY, Inc. ADR (b) | 4,500 | 452,115 | |||
Zhejiang Expressway Co., Ltd. Class H | 114,000 | 101,715 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(d) | 23,300 | 147,157 | |||
Zhongsheng Group Holdings, Ltd. | 50,000 | 150,087 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 38,000 | 180,665 | |||
Zijin Mining Group Co., Ltd. Class H | 346,000 | 132,306 | |||
ZTE Corp. Class H (b) | 45,800 | 69,586 | |||
145,330,886 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA ADR | 500 | 23,890 | |||
Bancolombia SA | 25,059 | 301,357 | |||
Bancolombia SA Preference Shares | 45,715 | 555,991 | |||
Cementos Argos SA | 35,710 | 119,155 | |||
Ecopetrol SA ADR (a) | 700 | 14,385 | |||
Ecopetrol SA | 462,200 | 476,050 | |||
Grupo Argos SA | 22,062 | 149,184 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 302,656 | 126,751 | |||
Grupo de Inversiones Suramericana SA Preference Shares | 9,428 | 114,729 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 317,354 | |||
Interconexion Electrica SA ESP | 32,243 | 159,185 | |||
2,358,031 | |||||
CZECH REPUBLIC — 0.0% (f) | |||||
CEZ A/S (a) | 11,088 | 262,250 | |||
Komercni banka A/S | 4,855 | 203,838 | |||
Moneta Money Bank A/S (d) | 21,059 | 72,113 | |||
O2 Czech Republic A/S | 227 | 2,603 | |||
540,804 | |||||
DENMARK — 1.1% | |||||
AP Moller - Maersk A/S Class A | 329 | 390,531 | |||
AP Moller - Maersk A/S Class B | 572 | 712,412 |
Security Description | Shares | Value | |||
Carlsberg A/S Class B | 9,349 | $ 1,101,106 | |||
Chr. Hansen Holding A/S | 9,405 | 868,653 | |||
Coloplast A/S Class B | 11,270 | 1,126,382 | |||
Danske Bank A/S | 66,114 | 2,069,462 | |||
DSV A/S | 17,345 | 1,401,407 | |||
Genmab A/S (b) | 5,496 | 848,149 | |||
H Lundbeck A/S | 7,583 | 532,824 | |||
ISS A/S | 14,604 | 501,866 | |||
Novo Nordisk A/S Class B | 155,291 | 7,203,030 | |||
Novozymes A/S Class B | 20,865 | 1,058,372 | |||
Orsted A/S (d) | 16,533 | 1,000,037 | |||
Pandora A/S | 9,949 | 695,019 | |||
Tryg A/S | 8,961 | 210,351 | |||
Vestas Wind Systems A/S | 19,657 | 1,216,723 | |||
William Demant Holding A/S (b) | 9,101 | 366,236 | |||
21,302,560 | |||||
EGYPT — 0.0% (f) | |||||
Commercial International Bank Egypt SAE | 110,237 | 521,300 | |||
Eastern Tobacco | 15,009 | 149,385 | |||
Global Telecom Holding SAE (b) | 13,479 | 3,518 | |||
674,203 | |||||
FINLAND — 0.7% | |||||
Elisa Oyj | 11,697 | 541,767 | |||
Fortum Oyj | 42,506 | 1,014,394 | |||
Kone Oyj Class B | 30,491 | 1,554,287 | |||
Metso Oyj | 9,855 | 330,228 | |||
Neste Oyj | 12,340 | 968,189 | |||
Nokia Oyj (c) | 441,665 | 2,542,234 | |||
Nokia Oyj (c) | 74,340 | 428,597 | |||
Nokian Renkaat Oyj | 9,752 | 385,301 | |||
Orion Oyj Class B | 7,170 | 193,294 | |||
Sampo Oyj Class A | 39,713 | 1,938,138 | |||
Stora Enso Oyj Class R | 52,686 | 1,030,967 | |||
UPM-Kymmene Oyj | 48,349 | 1,728,496 | |||
Wartsila Oyj Abp | 42,147 | 828,183 | |||
13,484,075 | |||||
FRANCE — 6.9% | |||||
Accor SA | 17,781 | 872,344 | |||
Aeroports de Paris | 3,014 | 681,630 | |||
Air Liquide SA | 37,425 | 4,706,014 | |||
Airbus SE | 51,941 | 6,080,141 | |||
Alstom SA | 12,537 | 576,135 | |||
Amundi SA (d) | 6,238 | 432,184 | |||
Arkema SA | 5,410 | 640,488 | |||
Atos SE | 8,831 | 1,205,829 | |||
AXA SA | 169,658 | 4,162,741 | |||
BioMerieux | 3,590 | 323,165 | |||
BNP Paribas SA | 98,199 | 6,098,355 | |||
Bollore SA | 77,292 | 359,525 | |||
Bouygues SA | 20,033 | 863,308 | |||
Bureau Veritas SA | 21,307 | 568,688 | |||
Capgemini SE | 14,450 | 1,943,551 | |||
Carrefour SA | 50,779 | 822,311 |
Table of Contents
Security Description | Shares | Value | |||
Casino Guichard Perrachon SA | 3,845 | $ 149,267 | |||
Cie de Saint-Gobain | 44,555 | 1,990,814 | |||
Cie Generale des Etablissements Michelin SCA | 15,206 | 1,851,719 | |||
CNP Assurances | 12,637 | 287,562 | |||
Covivio REIT | 3,869 | 402,487 | |||
Credit Agricole SA | 102,409 | 1,367,256 | |||
Danone SA | 54,509 | 4,001,173 | |||
Dassault Aviation SA | 263 | 501,131 | |||
Dassault Systemes SE | 11,708 | 1,640,362 | |||
Edenred | 21,292 | 672,698 | |||
Eiffage SA | 7,102 | 772,643 | |||
Electricite de France SA (a) | 47,508 | 653,413 | |||
Engie SA | 160,706 | 2,463,613 | |||
Essilor International Cie Generale d'Optique SA | 18,320 | 2,585,994 | |||
Eurazeo SA | 3,475 | 263,518 | |||
Eutelsat Communications SA | 15,258 | 316,474 | |||
Faurecia SA | 7,635 | 544,839 | |||
Gecina SA REIT | 4,273 | 714,916 | |||
Getlink | 38,208 | 523,942 | |||
Hermes International | 2,867 | 1,753,351 | |||
ICADE REIT | 2,406 | 225,573 | |||
Iliad SA (a) | 2,145 | 338,970 | |||
Imerys SA | 2,719 | 219,839 | |||
Ingenico Group SA | 4,951 | 445,102 | |||
Ipsen SA | 3,193 | 500,855 | |||
JCDecaux SA | 6,672 | 223,258 | |||
Kering SA | 6,640 | 3,749,126 | |||
Klepierre SA REIT | 20,838 | 784,624 | |||
Legrand SA | 23,827 | 1,749,829 | |||
L'Oreal SA | 22,020 | 5,437,551 | |||
LVMH Moet Hennessy Louis Vuitton SE | 24,861 | 8,278,350 | |||
Natixis SA | 75,431 | 535,286 | |||
Orange SA | 174,999 | 2,930,973 | |||
Pernod Ricard SA | 18,646 | 3,045,644 | |||
Peugeot SA | 54,152 | 1,236,685 | |||
Publicis Groupe SA | 19,002 | 1,307,631 | |||
Remy Cointreau SA | 1,573 | 203,858 | |||
Renault SA | 17,274 | 1,468,855 | |||
Rexel SA | 24,964 | 358,942 | |||
Safran SA | 29,266 | 3,555,340 | |||
Sanofi | 100,740 | 8,074,547 | |||
Schneider Electric SE | 49,539 | 4,130,882 | |||
SCOR SE | 16,986 | 631,055 | |||
SEB SA | 1,973 | 344,615 | |||
Societe BIC SA | 1,850 | 171,502 | |||
Societe Generale SA | 67,063 | 2,827,784 | |||
Sodexo SA | 8,391 | 838,812 | |||
Suez | 29,711 | 385,222 | |||
Teleperformance | 4,591 | 811,002 | |||
Thales SA | 9,869 | 1,271,514 | |||
TOTAL SA | 214,771 | 13,091,970 | |||
Ubisoft Entertainment SA (b) | 7,288 | 799,686 | |||
Unibail-Rodamco-Westfield (b) | 66,520 | 721,005 | |||
Unibail-Rodamco-Westfield | 8,859 | 1,950,235 | |||
Valeo SA | 21,629 | 1,182,343 |
Security Description | Shares | Value | |||
Veolia Environnement SA | 47,054 | $ 1,007,012 | |||
Vinci SA | 44,334 | 4,263,134 | |||
Vivendi SA | 91,292 | 2,238,348 | |||
Wendel SA | 2,944 | 405,598 | |||
135,536,138 | |||||
GERMANY — 6.2% | |||||
1&1 Drillisch AG | 4,635 | 263,869 | |||
adidas AG | 16,472 | 3,595,402 | |||
Allianz SE | 38,988 | 8,058,032 | |||
Axel Springer SE | 4,179 | 302,266 | |||
BASF SE | 81,358 | 7,780,596 | |||
Bayer AG | 79,601 | 8,768,718 | |||
Bayerische Motoren Werke AG | 29,045 | 2,632,550 | |||
Bayerische Motoren Werke AG Preference Shares | 4,642 | 370,170 | |||
Beiersdorf AG | 8,810 | 1,000,222 | |||
Brenntag AG | 14,599 | 813,391 | |||
Commerzbank AG (b) | 96,730 | 927,327 | |||
Continental AG | 9,697 | 2,213,966 | |||
Covestro AG (d) | 16,814 | 1,500,216 | |||
Daimler AG | 79,949 | 5,146,082 | |||
Delivery Hero AG (b)(d) | 8,039 | 427,811 | |||
Deutsche Bank AG | 179,590 | 1,933,673 | |||
Deutsche Boerse AG | 17,217 | 2,294,611 | |||
Deutsche Lufthansa AG | 19,111 | 459,649 | |||
Deutsche Post AG | 88,690 | 2,896,295 | |||
Deutsche Telekom AG (b) | 291,298 | 4,513,195 | |||
Deutsche Wohnen SE | 32,289 | 1,560,740 | |||
E.ON SE | 195,723 | 2,091,840 | |||
Evonik Industries AG | 13,289 | 455,072 | |||
Fraport AG Frankfurt Airport Services Worldwide | 3,084 | 297,492 | |||
Fresenius Medical Care AG & Co. KGaA | 19,212 | 1,937,588 | |||
Fresenius SE & Co. KGaA | 36,546 | 2,935,648 | |||
Fuchs Petrolub SE Preference Shares | 6,074 | 299,554 | |||
GEA Group AG | 14,475 | 488,250 | |||
Hannover Rueck SE | 4,812 | 600,029 | |||
HeidelbergCement AG | 13,510 | 1,136,962 | |||
Henkel AG & Co. KGaA Preference Shares | 15,854 | 2,026,883 | |||
Henkel AG & Co. KGaA | 9,407 | 1,046,145 | |||
HOCHTIEF AG | 1,698 | 306,891 | |||
HUGO BOSS AG | 6,469 | 587,312 | |||
Infineon Technologies AG | 99,950 | 2,547,488 | |||
Innogy SE (d) | 11,409 | 488,732 | |||
KION Group AG | 7,102 | 511,115 | |||
KS AG | 16,198 | 399,988 | |||
Lanxess AG | 7,361 | 574,102 | |||
Linde AG | 16,117 | 3,846,279 | |||
MAN SE | 3,080 | 348,638 | |||
Merck KGaA | 11,996 | 1,171,176 | |||
METRO AG | 15,737 | 194,486 | |||
MTU Aero Engines AG | 4,909 | 943,406 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 13,631 | 2,881,389 |
Table of Contents
Security Description | Shares | Value | |||
OSRAM Licht AG | 7,883 | $ 322,133 | |||
Porsche Automobil Holding SE Preference Shares | 14,130 | 900,103 | |||
ProSiebenSat.1 Media SE | 22,536 | 571,758 | |||
Puma SE | 553 | 323,473 | |||
QIAGEN NV (b) | 21,785 | 793,575 | |||
RWE AG | 48,660 | 1,109,274 | |||
SAP SE | 87,535 | 10,112,842 | |||
Sartorius AG Preference Shares | 3,102 | 463,945 | |||
Schaeffler AG Preference Shares | 15,093 | 196,484 | |||
Siemens AG | 67,754 | 8,956,406 | |||
Siemens Healthineers AG (b)(d) | 15,157 | 625,662 | |||
Symrise AG | 11,575 | 1,014,931 | |||
Telefonica Deutschland Holding AG | 64,992 | 256,176 | |||
ThyssenKrupp AG | 38,085 | 925,785 | |||
TUI AG | 41,302 | 906,544 | |||
Uniper SE | 20,158 | 601,096 | |||
United Internet AG | 9,750 | 558,480 | |||
Volkswagen AG | 2,628 | 434,168 | |||
Volkswagen AG Preference Shares | 16,244 | 2,697,301 | |||
Vonovia SE | 44,653 | 2,125,008 | |||
Wirecard AG | 10,791 | 1,738,037 | |||
Zalando SE (b) | 11,226 | 627,428 | |||
121,835,855 | |||||
GREECE — 0.1% | |||||
Alpha Bank AE (b) | 126,379 | 282,566 | |||
Eurobank Ergasias SA (b) | 144,579 | 151,079 | |||
FF Group (b)(g) | 122 | 684 | |||
Hellenic Telecommunications Organization SA | 21,711 | 268,696 | |||
JUMBO SA | 4,872 | 80,319 | |||
National Bank of Greece SA (b) | 418,723 | 128,575 | |||
OPAP SA | 26,292 | 297,149 | |||
Piraeus Bank SA (b) | 26,223 | 89,401 | |||
Titan Cement Co. SA | 4,041 | 102,382 | |||
1,400,851 | |||||
HONG KONG — 2.5% | |||||
AIA Group, Ltd. | 1,075,800 | 9,406,711 | |||
Alibaba Pictures Group, Ltd. (b) | 1,680,000 | 184,158 | |||
ASM Pacific Technology, Ltd. | 26,700 | 337,602 | |||
Bank of East Asia, Ltd. | 103,299 | 412,777 | |||
China First Capital Group, Ltd. (b) | 278,000 | 177,173 | |||
China Gas Holdings, Ltd. | 163,000 | 655,495 | |||
China Resources Cement Holdings, Ltd. | 172,000 | 174,292 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 200,000 | 173,094 | |||
CK Asset Holdings, Ltd. | 230,524 | 1,830,570 | |||
CK Hutchison Holdings, Ltd. | 237,024 | 2,513,609 | |||
CK Infrastructure Holdings, Ltd. | 54,500 | 403,951 | |||
CLP Holdings, Ltd. | 148,500 | 1,599,430 | |||
Dairy Farm International Holdings, Ltd. | 29,600 | 260,184 | |||
Fullshare Holdings, Ltd. (a)(b) | 625,000 | 309,096 |
Security Description | Shares | Value | |||
Galaxy Entertainment Group, Ltd. | 212,000 | $ 1,641,588 | |||
GCL-Poly Energy Holdings, Ltd. (a)(b) | 1,071,000 | 101,019 | |||
Haier Electronics Group Co., Ltd. | 110,000 | 376,460 | |||
Hanergy Thin Film Power Group, Ltd. (b)(e) | 68,000 | — | |||
Hang Lung Group, Ltd. | 53,000 | 148,621 | |||
Hang Lung Properties, Ltd. | 195,000 | 402,157 | |||
Hang Seng Bank, Ltd. | 68,800 | 1,720,559 | |||
Henderson Land Development Co., Ltd. | 105,606 | 558,623 | |||
HK Electric Investments & HK Electric Investments, Ltd. (d) | 246,664 | 235,803 | |||
HKT Trust & HKT, Ltd. | 318,000 | 407,762 | |||
Hong Kong & China Gas Co., Ltd. | 836,550 | 1,601,563 | |||
Hong Kong Exchanges & Clearing, Ltd. | 104,032 | 3,129,400 | |||
Hongkong Land Holdings, Ltd. | 113,200 | 809,380 | |||
Hysan Development Co., Ltd. | 48,000 | 267,977 | |||
Jardine Matheson Holdings, Ltd. | 19,400 | 1,224,140 | |||
Jardine Strategic Holdings, Ltd. | 21,200 | 773,376 | |||
Jiayuan International Group, Ltd. (a) | 86,000 | 149,080 | |||
Kerry Properties, Ltd. | 75,500 | 361,359 | |||
Kingboard Chemical Holdings, Ltd. | 56,000 | 204,858 | |||
Kingboard Laminates Holdings, Ltd. | 95,000 | 117,336 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 157,880 | |||
Li & Fung, Ltd. | 530,000 | 194,559 | |||
Link REIT | 197,500 | 1,803,705 | |||
Melco Resorts & Entertainment, Ltd. ADR | 23,130 | 647,640 | |||
MTR Corp., Ltd. | 143,488 | 793,757 | |||
New World Development Co., Ltd. | 570,324 | 802,551 | |||
Nine Dragons Paper Holdings, Ltd. | 143,000 | 182,271 | |||
NWS Holdings, Ltd. | 140,968 | 244,007 | |||
PCCW, Ltd. | 337,000 | 189,860 | |||
Power Assets Holdings, Ltd. | 121,000 | 845,949 | |||
Sands China, Ltd. | 218,400 | 1,167,795 | |||
Shangri-La Asia, Ltd. | 100,000 | 188,135 | |||
Shenzhen International Holdings, Ltd. | 80,500 | 166,634 | |||
Shimao Property Holdings, Ltd. | 90,500 | 237,628 | |||
Sino Biopharmaceutical, Ltd. | 648,000 | 994,452 | |||
Sino Land Co., Ltd. | 259,273 | 421,687 | |||
SJM Holdings, Ltd. | 218,000 | 271,199 | |||
SSY Group, Ltd. | 132,000 | 146,546 | |||
Sun Art Retail Group, Ltd. | 251,500 | 328,903 | |||
Sun Hung Kai Properties, Ltd. | 140,000 | 2,112,817 | |||
Swire Pacific, Ltd. Class A | 52,500 | 556,087 | |||
Swire Properties, Ltd. | 102,200 | 377,773 | |||
Techtronic Industries Co., Ltd. | 109,000 | 607,836 |
Table of Contents
Security Description | Shares | Value | |||
WH Group, Ltd. | 829,000 | $ 675,208 | |||
Wharf Holdings, Ltd. | 130,000 | 417,567 | |||
Wharf Real Estate Investment Co., Ltd. | 96,000 | 683,403 | |||
Wheelock & Co., Ltd. | 67,000 | 466,710 | |||
Yue Yuen Industrial Holdings, Ltd. | 56,500 | 159,516 | |||
Yuexiu Property Co., Ltd. | 600,000 | 114,716 | |||
48,625,994 | |||||
HUNGARY — 0.1% | |||||
MOL Hungarian Oil & Gas PLC | 31,397 | 303,173 | |||
OTP Bank Nyrt | 20,801 | 753,398 | |||
Richter Gedeon Nyrt | 8,926 | 163,072 | |||
1,219,643 | |||||
INDIA — 2.0% | |||||
Adani Ports & Special Economic Zone, Ltd. | 52,116 | 283,000 | |||
Ambuja Cements, Ltd. | 52,062 | 158,051 | |||
Ashok Leyland, Ltd. | 96,463 | 177,397 | |||
Asian Paints, Ltd. | 24,080 | 444,240 | |||
Aurobindo Pharma, Ltd. | 16,816 | 148,550 | |||
Avenue Supermarts, Ltd. (b)(d) | 10,923 | 237,065 | |||
Axis Bank, Ltd. | 153,591 | 1,139,127 | |||
Bajaj Auto, Ltd. | 8,686 | 356,099 | |||
Bajaj Finance, Ltd. | 16,741 | 561,739 | |||
Bajaj Finserv, Ltd. | 3,439 | 292,627 | |||
Bharat Forge, Ltd. | 16,336 | 146,396 | |||
Bharat Heavy Electricals, Ltd. | 73,012 | 76,566 | |||
Bharat Petroleum Corp., Ltd. | 61,945 | 339,041 | |||
Bharti Airtel, Ltd. | 113,174 | 630,002 | |||
Bharti Infratel, Ltd. | 71,218 | 312,355 | |||
Bosch, Ltd. | 698 | 178,651 | |||
Britannia Industries, Ltd. | 2,757 | 251,094 | |||
Cadila Healthcare, Ltd. (b) | 27,349 | 150,846 | |||
Cipla, Ltd. | 30,767 | 277,516 | |||
Coal India, Ltd. | 61,898 | 238,594 | |||
Container Corp. Of India, Ltd. | 14,570 | 138,119 | |||
Dabur India, Ltd. | 47,756 | 271,487 | |||
Dr Reddy's Laboratories, Ltd. | 12,175 | 396,800 | |||
Eicher Motors, Ltd. | 1,089 | 456,573 | |||
GAIL India, Ltd. | 65,126 | 323,420 | |||
GAIL India, Ltd. GDR | 711 | 20,832 | |||
Glenmark Pharmaceuticals, Ltd. | 6,301 | 53,800 | |||
Godrej Consumer Products, Ltd. | 20,841 | 371,406 | |||
Grasim Industries, Ltd. | 33,219 | 487,752 | |||
Havells India, Ltd. | 19,396 | 153,818 | |||
HCL Technologies, Ltd. | 54,123 | 732,199 | |||
Hero MotoCorp, Ltd. | 4,570 | 231,298 | |||
Hindalco Industries, Ltd. | 79,663 | 267,656 | |||
Hindustan Petroleum Corp., Ltd. | 38,951 | 147,129 | |||
Hindustan Unilever, Ltd. | 59,911 | 1,430,729 | |||
Housing Development Finance Corp., Ltd. | 138,972 | 3,870,283 | |||
ICICI Bank, Ltd. ADR | 3,933 | 31,582 | |||
ICICI Bank, Ltd. | 212,837 | 853,336 | |||
Idea Cellular, Ltd. (b) | 210,934 | 181,487 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 432,659 |
Security Description | Shares | Value | |||
Indian Oil Corp., Ltd. | 126,248 | $ 287,451 | |||
Infosys, Ltd. ADR | 7,300 | 141,839 | |||
Infosys, Ltd. | 154,708 | 2,959,469 | |||
InterGlobe Aviation, Ltd. (d) | 8,111 | 129,037 | |||
ITC, Ltd. | 314,781 | 1,217,499 | |||
JSW Steel, Ltd. | 84,590 | 403,350 | |||
Larsen & Toubro, Ltd., GDR (c) | 3,180 | 58,322 | |||
Larsen & Toubro, Ltd. | 41,476 | 771,830 | |||
LIC Housing Finance, Ltd. | 27,542 | 188,209 | |||
Lupin, Ltd. | 24,227 | 320,363 | |||
Mahindra & Mahindra Financial Services, Ltd. | 27,266 | 187,836 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 43,091 | |||
Mahindra & Mahindra, Ltd. | 55,908 | 731,622 | |||
Marico, Ltd. | 31,723 | 153,279 | |||
Maruti Suzuki India, Ltd. | 9,608 | 1,236,188 | |||
Motherson Sumi Systems, Ltd. | 54,804 | 226,767 | |||
Nestle India, Ltd. | 2,089 | 299,256 | |||
NTPC, Ltd. | 144,127 | 335,206 | |||
Oil & Natural Gas Corp., Ltd. | 147,556 | 340,274 | |||
Petronet LNG, Ltd. | 45,619 | 146,481 | |||
Pidilite Industries, Ltd. | 10,715 | 166,468 | |||
Piramal Enterprises, Ltd. | 5,490 | 202,733 | |||
Power Grid Corp. of India, Ltd. | 137,352 | 375,881 | |||
Reliance Industries, Ltd., GDR (c)(d) | 6,884 | 193,440 | |||
Reliance Industries, Ltd. | 235,322 | 3,342,558 | |||
Rural Electrification Corp., Ltd. | 54,149 | 83,379 | |||
Shree Cement, Ltd. | 574 | 129,357 | |||
Shriram Transport Finance Co., Ltd. | 9,802 | 185,217 | |||
Siemens, Ltd. | 6,013 | 85,923 | |||
State Bank of India (b) | 155,901 | 589,791 | |||
State Bank of India GDR | 1,020 | 38,250 | |||
Sun Pharmaceutical Industries, Ltd. | 77,071 | 634,094 | |||
Tata Consultancy Services, Ltd. | 82,662 | 2,225,896 | |||
Tata Motors, Ltd. ADR | 1,078 | 21,075 | |||
Tata Motors, Ltd. (b) | 143,863 | 564,617 | |||
Tata Power Co., Ltd. | 115,538 | 124,197 | |||
Tata Steel, Ltd. | 25,361 | 209,876 | |||
Tata Steel, Ltd. GDR | 1,300 | 10,738 | |||
Tech Mahindra, Ltd. | 49,927 | 476,024 | |||
Titan Co., Ltd. | 27,157 | 347,474 | |||
UltraTech Cement, Ltd. | 7,230 | 400,834 | |||
United Spirits, Ltd. (b) | 25,960 | 251,605 | |||
UPL, Ltd. | 31,100 | 280,701 | |||
Vakrangee, Ltd. | 39,392 | 38,435 | |||
Vedanta, Ltd. | 114,419 | 394,450 | |||
Vedanta, Ltd. ADR | 1,433 | 19,489 | |||
Wipro, Ltd. ADR | 5,876 | 28,146 | |||
Wipro, Ltd. | 79,046 | 300,944 | |||
Yes Bank, Ltd. | 163,001 | 806,976 | |||
Zee Entertainment Enterprises, Ltd. | 51,854 | 411,714 | |||
40,368,972 |
Table of Contents
Security Description | Shares | Value | |||
INDONESIA — 0.4% | |||||
Adaro Energy Tbk PT | 1,258,000 | $ 157,140 | |||
AKR Corporindo Tbk PT | 22,500 | 6,752 | |||
Astra International Tbk PT | 1,769,100 | 814,798 | |||
Bank Central Asia Tbk PT | 896,000 | 1,342,750 | |||
Bank Danamon Indonesia Tbk PT | 361,600 | 160,865 | |||
Bank Mandiri Persero Tbk PT | 1,631,400 | 779,839 | |||
Bank Negara Indonesia Persero Tbk PT | 651,900 | 320,719 | |||
Bank Rakyat Indonesia Persero Tbk PT | 5,066,600 | 1,004,127 | |||
Bank Tabungan Negara Persero Tbk PT | 370,200 | 63,293 | |||
Bumi Serpong Damai Tbk PT | 103,500 | 11,303 | |||
Charoen Pokphand Indonesia Tbk PT | 573,000 | 147,149 | |||
Gudang Garam Tbk PT | 43,700 | 205,082 | |||
Hanjaya Mandala Sampoerna Tbk PT | 833,400 | 208,205 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 239,400 | 310,736 | |||
Indocement Tunggal Prakarsa Tbk PT | 115,500 | 110,019 | |||
Indofood CBP Sukses Makmur Tbk PT | 115,000 | 71,022 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 190,033 | |||
Jasa Marga Persero Tbk PT | 13,875 | 4,047 | |||
Kalbe Farma Tbk PT | 1,941,600 | 165,300 | |||
Matahari Department Store Tbk PT | 247,100 | 151,743 | |||
Pakuwon Jati Tbk PT | 1,357,000 | 50,189 | |||
Perusahaan Gas Negara Persero Tbk | 473,000 | 65,850 | |||
Semen Indonesia Persero Tbk PT | 331,000 | 164,576 | |||
Surya Citra Media Tbk PT | 511,200 | 73,487 | |||
Telekomunikasi Indonesia Persero Tbk PT | 4,572,400 | 1,196,546 | |||
Tower Bersama Infrastructure Tbk PT | 16,500 | 5,746 | |||
Unilever Indonesia Tbk PT | 125,000 | 402,128 | |||
United Tractors Tbk PT | 146,700 | 323,498 | |||
Waskita Karya Persero Tbk PT | 124,000 | 16,657 | |||
8,523,599 | |||||
IRELAND — 0.4% | |||||
AerCap Holdings NV (b) | 11,123 | 602,310 | |||
AIB Group PLC | 83,592 | 453,830 | |||
Bank of Ireland Group PLC | 92,401 | 721,197 | |||
CRH PLC | 75,015 | 2,658,168 | |||
James Hardie Industries PLC | 42,756 | 716,467 | |||
Kerry Group PLC Class A | 14,306 | 1,496,587 | |||
Paddy Power Betfair PLC | 7,402 | 821,010 | |||
Ryanair Holdings PLC ADR (b) | 2,363 | 269,926 | |||
Smurfit Kappa Group PLC | 19,652 | 796,181 | |||
8,535,676 |
Security Description | Shares | Value | |||
ISRAEL — 0.3% | |||||
Azrieli Group, Ltd. | 2,906 | $ 144,008 | |||
Bank Hapoalim BM | 85,636 | 579,009 | |||
Bank Leumi Le-Israel BM | 115,266 | 680,156 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. | 135,675 | 152,556 | |||
Check Point Software Technologies, Ltd. (a)(b) | 11,810 | 1,153,601 | |||
Elbit Systems, Ltd. | 1,528 | 179,200 | |||
Frutarom Industries, Ltd. | 2,616 | 256,201 | |||
Israel Chemicals, Ltd. | 73,453 | 335,104 | |||
Mizrahi Tefahot Bank, Ltd. | 9,263 | 169,973 | |||
Nice, Ltd. (b) | 6,158 | 635,222 | |||
Teva Pharmaceutical Industries, Ltd. ADR | 46,753 | 1,137,033 | |||
Teva Pharmaceutical Industries, Ltd. | 35,775 | 848,600 | |||
6,270,663 | |||||
ITALY — 1.3% | |||||
Assicurazioni Generali SpA | 111,294 | 1,867,257 | |||
Atlantia SpA | 41,521 | 1,227,460 | |||
Davide Campari-Milano SpA | 50,761 | 417,529 | |||
Enel SpA | 703,948 | 3,909,754 | |||
Eni SpA | 220,818 | 4,100,824 | |||
Ferrari NV | 10,897 | 1,482,206 | |||
Intesa Sanpaolo SpA (c) | 1,178,193 | 3,420,429 | |||
Intesa Sanpaolo SpA (c) | 72,222 | 219,071 | |||
Leonardo SpA | 40,572 | 401,033 | |||
Luxottica Group SpA | 15,945 | 1,028,753 | |||
Mediobanca Banca di Credito Finanziario SpA | 54,081 | 502,739 | |||
Moncler SpA | 15,605 | 710,565 | |||
Pirelli & C SpA (b)(d) | 34,961 | 291,936 | |||
Poste Italiane SpA (d) | 45,660 | 382,235 | |||
Prysmian SpA | 17,995 | 448,145 | |||
Recordati SpA | 8,823 | 350,862 | |||
Snam SpA | 212,451 | 887,017 | |||
Telecom Italia SpA/Milano (b) | 1,076,175 | 800,886 | |||
Telecom Italia SpA/Milano | 579,163 | 378,403 | |||
Terna Rete Elettrica Nazionale SpA | 135,410 | 732,310 | |||
UniCredit SpA | 175,728 | 2,933,129 | |||
26,492,543 | |||||
JAPAN — 15.7% | |||||
ABC-Mart, Inc. | 2,900 | 158,660 | |||
Acom Co., Ltd. | 18,400 | 70,766 | |||
Aeon Co., Ltd. | 57,400 | 1,228,168 | |||
AEON Financial Service Co., Ltd. | 10,500 | 224,096 | |||
Aeon Mall Co., Ltd. | 8,700 | 156,304 | |||
Air Water, Inc. | 11,600 | 213,013 | |||
Aisin Seiki Co., Ltd. | 16,600 | 756,828 | |||
Ajinomoto Co., Inc. | 51,100 | 966,962 | |||
Alfresa Holdings Corp. | 16,400 | 385,699 | |||
Alps Electric Co., Ltd. | 14,000 | 359,717 | |||
Amada Holdings Co., Ltd. | 29,700 | 285,564 |
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Security Description | Shares | Value | |||
ANA Holdings, Inc. | 10,100 | $ 371,028 | |||
Aozora Bank, Ltd. | 11,600 | 441,421 | |||
Asahi Glass Co., Ltd. (a) | 15,900 | 619,406 | |||
Asahi Group Holdings, Ltd. | 34,800 | 1,782,021 | |||
Asahi Kasei Corp. | 114,500 | 1,455,478 | |||
Asics Corp. (a) | 12,400 | 209,680 | |||
Astellas Pharma, Inc. | 183,300 | 2,795,050 | |||
Bandai Namco Holdings, Inc. | 16,200 | 668,388 | |||
Bank of Kyoto, Ltd. | 4,400 | 203,783 | |||
Benesse Holdings, Inc. | 6,600 | 234,171 | |||
Bridgestone Corp. | 57,300 | 2,241,510 | |||
Brother Industries, Ltd. | 19,300 | 381,243 | |||
Calbee, Inc. | 6,100 | 229,373 | |||
Canon, Inc. (a) | 92,800 | 3,042,087 | |||
Casio Computer Co., Ltd. (a) | 17,500 | 284,702 | |||
Central Japan Railway Co. | 12,800 | 2,653,257 | |||
Chiba Bank, Ltd. | 57,000 | 402,934 | |||
Chubu Electric Power Co., Inc. | 62,400 | 935,732 | |||
Chugai Pharmaceutical Co., Ltd. | 20,900 | 1,096,276 | |||
Chugoku Electric Power Co., Inc. | 17,800 | 230,123 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (a) | 13,200 | 527,333 | |||
Concordia Financial Group, Ltd. | 106,900 | 544,320 | |||
Credit Saison Co., Ltd. | 12,000 | 188,941 | |||
CyberAgent, Inc. | 8,900 | 535,133 | |||
CYBERDYNE, Inc. (a)(b) | 5,300 | 62,108 | |||
Dai Nippon Printing Co., Ltd. | 21,300 | 476,709 | |||
Daicel Corp. | 24,500 | 271,178 | |||
Daifuku Co., Ltd. | 10,100 | 442,698 | |||
Dai-ichi Life Holdings, Inc. | 96,100 | 1,714,383 | |||
Daiichi Sankyo Co., Ltd. | 51,800 | 1,981,462 | |||
Daikin Industries, Ltd. | 22,000 | 2,635,670 | |||
Daito Trust Construction Co., Ltd. | 6,300 | 1,024,358 | |||
Daiwa House Industry Co., Ltd. | 50,500 | 1,721,555 | |||
Daiwa House REIT Investment Corp. | 169 | 401,120 | |||
Daiwa Securities Group, Inc. | 141,000 | 818,899 | |||
DeNA Co., Ltd. | 7,100 | 133,135 | |||
Denso Corp. | 42,100 | 2,057,014 | |||
Dentsu, Inc. | 20,600 | 976,391 | |||
Disco Corp. | 2,300 | 392,660 | |||
Don Quijote Holdings Co., Ltd. | 11,900 | 571,552 | |||
East Japan Railway Co. | 28,800 | 2,760,005 | |||
Eisai Co., Ltd. | 24,400 | 1,719,113 | |||
Electric Power Development Co., Ltd. | 12,800 | 330,501 | |||
FamilyMart UNY Holdings Co., Ltd. | 6,700 | 705,295 | |||
FANUC Corp. | 17,300 | 3,436,884 | |||
Fast Retailing Co., Ltd. | 5,100 | 2,344,071 | |||
Fuji Electric Co., Ltd. | 43,000 | 327,649 | |||
FUJIFILM Holdings Corp. | 37,300 | 1,456,776 | |||
Fujitsu, Ltd. | 180,000 | 1,091,717 | |||
Fukuoka Financial Group, Inc. | 79,000 | 397,264 | |||
Hakuhodo DY Holdings, Inc. | 17,800 | 285,726 | |||
Hamamatsu Photonics KK | 14,400 | 618,824 |
Security Description | Shares | Value | |||
Hankyu Hanshin Holdings, Inc. | 22,800 | $ 917,023 | |||
Hikari Tsushin, Inc. | 1,900 | 333,977 | |||
Hino Motors, Ltd. | 19,900 | 212,537 | |||
Hirose Electric Co., Ltd. | 2,800 | 347,077 | |||
Hisamitsu Pharmaceutical Co., Inc. | 5,400 | 455,830 | |||
Hitachi Chemical Co., Ltd. | 7,900 | 159,405 | |||
Hitachi Construction Machinery Co., Ltd. | 9,300 | 302,262 | |||
Hitachi High-Technologies Corp. | 5,400 | 220,358 | |||
Hitachi Metals, Ltd. | 16,600 | 172,347 | |||
Hitachi, Ltd. | 423,000 | 2,984,849 | |||
Honda Motor Co., Ltd. | 149,700 | 4,396,462 | |||
Hoshizaki Corp. | 4,500 | 455,424 | |||
Hoya Corp. | 35,000 | 1,990,385 | |||
Hulic Co., Ltd. (a) | 22,800 | 243,510 | |||
Idemitsu Kosan Co., Ltd. | 13,800 | 492,123 | |||
IHI Corp. | 12,900 | 449,546 | |||
Iida Group Holdings Co., Ltd. | 13,400 | 258,527 | |||
Inpex Corp. | 88,200 | 915,324 | |||
Isetan Mitsukoshi Holdings, Ltd. | 29,400 | 367,351 | |||
Isuzu Motors, Ltd. | 43,600 | 579,221 | |||
ITOCHU Corp. | 132,300 | 2,397,799 | |||
J Front Retailing Co., Ltd. | 21,300 | 324,408 | |||
Japan Airlines Co., Ltd. | 10,200 | 361,717 | |||
Japan Airport Terminal Co., Ltd. | 5,500 | 257,708 | |||
Japan Exchange Group, Inc. | 49,600 | 922,010 | |||
Japan Post Bank Co., Ltd. | 33,400 | 388,986 | |||
Japan Post Holdings Co., Ltd. | 142,100 | 1,556,153 | |||
Japan Prime Realty Investment Corp. REIT | 53 | 192,592 | |||
Japan Real Estate Investment Corp. REIT | 101 | 534,338 | |||
Japan Retail Fund Investment Corp. REIT | 222 | 400,047 | |||
Japan Tobacco, Inc. | 96,400 | 2,693,613 | |||
JFE Holdings, Inc. | 48,300 | 913,978 | |||
JGC Corp. | 20,200 | 407,228 | |||
JSR Corp. | 14,500 | 246,892 | |||
JTEKT Corp. | 23,200 | 315,854 | |||
JXTG Holdings, Inc. | 276,600 | 1,923,327 | |||
Kajima Corp. | 86,000 | 666,167 | |||
Kakaku.com, Inc. | 13,300 | 300,425 | |||
Kamigumi Co., Ltd. | 10,700 | 222,472 | |||
Kaneka Corp. | 26,000 | 233,088 | |||
Kansai Electric Power Co., Inc. | 67,600 | 986,247 | |||
Kansai Paint Co., Ltd. | 20,900 | 434,359 | |||
Kao Corp. | 43,500 | 3,318,512 | |||
Kawasaki Heavy Industries, Ltd. | 15,500 | 456,891 | |||
KDDI Corp. | 158,300 | 4,331,759 | |||
Keihan Holdings Co., Ltd. | 7,000 | 251,207 | |||
Keikyu Corp. | 19,700 | 322,983 | |||
Keio Corp. | 9,600 | 464,551 | |||
Keisei Electric Railway Co., Ltd. | 12,100 | 415,659 | |||
Keyence Corp. | 8,500 | 4,800,794 | |||
Kikkoman Corp. | 14,800 | 746,915 |
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Security Description | Shares | Value | |||
Kintetsu Group Holdings Co., Ltd. | 17,800 | $ 726,367 | |||
Kirin Holdings Co., Ltd. | 77,500 | 2,073,150 | |||
Kobayashi Pharmaceutical Co., Ltd. | 4,300 | 371,516 | |||
Kobe Steel, Ltd. | 23,600 | 216,047 | |||
Koito Manufacturing Co., Ltd. | 9,000 | 594,773 | |||
Komatsu, Ltd. | 81,100 | 2,319,549 | |||
Konami Holdings Corp. | 8,200 | 417,533 | |||
Konica Minolta, Inc. | 50,300 | 467,284 | |||
Kose Corp. | 2,300 | 495,653 | |||
Kubota Corp. | 94,500 | 1,487,054 | |||
Kuraray Co., Ltd. | 28,700 | 395,397 | |||
Kurita Water Industries, Ltd. | 8,800 | 251,054 | |||
Kyocera Corp. | 28,700 | 1,618,642 | |||
Kyowa Hakko Kirin Co., Ltd. | 26,900 | 542,299 | |||
Kyushu Electric Power Co., Inc. | 45,300 | 505,492 | |||
Kyushu Railway Co. | 13,300 | 407,051 | |||
Lawson, Inc. | 3,700 | 231,156 | |||
LINE Corp. (a)(b) | 6,300 | 262,488 | |||
Lion Corp. | 23,500 | 430,687 | |||
LIXIL Group Corp. | 21,400 | 428,135 | |||
M3, Inc. | 20,000 | 797,183 | |||
Mabuchi Motor Co., Ltd. | 4,500 | 214,102 | |||
Makita Corp. | 21,300 | 954,765 | |||
Marubeni Corp. | 153,300 | 1,169,628 | |||
Marui Group Co., Ltd. | 15,200 | 320,289 | |||
Maruichi Steel Tube, Ltd. | 2,600 | 88,142 | |||
Mazda Motor Corp. | 55,300 | 678,987 | |||
McDonald's Holdings Co. Japan, Ltd. | 5,000 | 255,044 | |||
Mebuki Financial Group, Inc. | 66,600 | 223,674 | |||
Medipal Holdings Corp. | 13,000 | 261,491 | |||
MEIJI Holdings Co., Ltd. | 11,500 | 969,711 | |||
MINEBEA MITSUMI, Inc. | 30,600 | 517,712 | |||
MISUMI Group, Inc. | 22,400 | 653,203 | |||
Mitsubishi Chemical Holdings Corp. | 130,100 | 1,089,286 | |||
Mitsubishi Corp. | 118,800 | 3,301,281 | |||
Mitsubishi Electric Corp. | 169,900 | 2,261,703 | |||
Mitsubishi Estate Co., Ltd. | 111,800 | 1,955,100 | |||
Mitsubishi Gas Chemical Co., Inc. | 13,400 | 303,652 | |||
Mitsubishi Heavy Industries, Ltd. | 28,000 | 1,018,986 | |||
Mitsubishi Materials Corp. | 8,400 | 230,921 | |||
Mitsubishi Motors Corp. | 64,600 | 514,980 | |||
Mitsubishi Tanabe Pharma Corp. | 18,900 | 326,589 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,042,100 | 5,937,519 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 40,900 | 251,459 | |||
Mitsui & Co., Ltd. | 150,900 | 2,516,930 | |||
Mitsui Chemicals, Inc. | 18,500 | 492,710 | |||
Mitsui Fudosan Co., Ltd. | 80,000 | 1,931,296 | |||
Mitsui OSK Lines, Ltd. | 8,600 | 207,148 | |||
Mizuho Financial Group, Inc. | 2,108,000 | 3,549,334 | |||
MS&AD Insurance Group Holdings, Inc. | 43,100 | 1,340,102 |
Security Description | Shares | Value | |||
Murata Manufacturing Co., Ltd. | 17,000 | $ 2,857,762 | |||
Nabtesco Corp. | 8,500 | 261,680 | |||
Nagoya Railroad Co., Ltd. | 15,500 | 400,217 | |||
NEC Corp. | 25,100 | 688,882 | |||
Nexon Co., Ltd. (b) | 39,000 | 566,524 | |||
NGK Insulators, Ltd. | 21,900 | 390,093 | |||
NGK Spark Plug Co., Ltd. | 11,400 | 325,229 | |||
NH Foods, Ltd. | 7,500 | 303,006 | |||
Nidec Corp. | 20,900 | 3,136,934 | |||
Nikon Corp. | 27,400 | 436,114 | |||
Nintendo Co., Ltd. | 9,900 | 3,235,499 | |||
Nippon Building Fund, Inc. REIT | 108 | 623,049 | |||
Nippon Electric Glass Co., Ltd. (a) | 7,500 | 208,550 | |||
Nippon Express Co., Ltd. | 8,100 | 587,947 | |||
Nippon Paint Holdings Co., Ltd. (a) | 13,500 | 581,366 | |||
Nippon Prologis REIT, Inc. | 152 | 315,349 | |||
Nippon Steel & Sumitomo Metal Corp. | 68,300 | 1,341,458 | |||
Nippon Telegraph & Telephone Corp. | 60,800 | 2,764,310 | |||
Nippon Yusen KK | 12,400 | 246,175 | |||
Nissan Chemical Industries, Ltd. | 12,600 | 588,110 | |||
Nissan Motor Co., Ltd. | 206,700 | 2,011,670 | |||
Nisshin Seifun Group, Inc. | 13,600 | 287,925 | |||
Nissin Foods Holdings Co., Ltd. | 5,100 | 368,808 | |||
Nitori Holdings Co., Ltd. | 7,400 | 1,154,444 | |||
Nitto Denko Corp. | 15,100 | 1,142,810 | |||
NOK Corp. | 8,300 | 160,657 | |||
Nomura Holdings, Inc. | 324,500 | 1,576,725 | |||
Nomura Real Estate Holdings, Inc. | 11,300 | 250,760 | |||
Nomura Real Estate Master Fund, Inc. | 317 | 447,317 | |||
Nomura Research Institute, Ltd. | 10,800 | 523,595 | |||
NSK, Ltd. | 38,700 | 399,351 | |||
NTT Data Corp. | 61,400 | 707,321 | |||
NTT DOCOMO, Inc. | 120,000 | 3,057,825 | |||
Obayashi Corp. | 62,900 | 654,753 | |||
Obic Co., Ltd. | 6,600 | 546,400 | |||
Odakyu Electric Railway Co., Ltd. | 23,900 | 513,106 | |||
Oji Holdings Corp. | 87,000 | 539,602 | |||
Olympus Corp. | 27,200 | 1,019,094 | |||
Omron Corp. | 17,900 | 835,490 | |||
Ono Pharmaceutical Co., Ltd. | 39,100 | 916,740 | |||
Oracle Corp. Japan | 3,300 | 269,625 | |||
Oriental Land Co., Ltd. | 19,600 | 2,057,058 | |||
ORIX Corp. | 118,100 | 1,868,020 | |||
Osaka Gas Co., Ltd. | 36,700 | 759,579 | |||
Otsuka Corp. | 7,800 | 305,972 | |||
Otsuka Holdings Co., Ltd. | 35,300 | 1,709,468 | |||
Panasonic Corp. | 194,100 | 2,617,148 | |||
Park24 Co., Ltd. | 7,900 | 215,036 | |||
Pola Orbis Holdings, Inc. | 8,100 | 356,498 | |||
Rakuten, Inc. | 89,400 | 604,851 | |||
Recruit Holdings Co., Ltd. | 97,400 | 2,696,054 |
Table of Contents
Security Description | Shares | Value | |||
Renesas Electronics Corp. (b) | 78,800 | $ 772,598 | |||
Resona Holdings, Inc. | 193,000 | 1,032,563 | |||
Ricoh Co., Ltd. | 69,700 | 639,328 | |||
Rinnai Corp. | 2,300 | 202,871 | |||
Rohm Co., Ltd. | 8,900 | 747,258 | |||
Ryohin Keikaku Co., Ltd. | 1,900 | 668,984 | |||
Sankyo Co., Ltd. | 3,800 | 148,720 | |||
Santen Pharmaceutical Co., Ltd. | 29,700 | 517,769 | |||
SBI Holdings, Inc. | 17,300 | 445,756 | |||
Secom Co., Ltd. | 19,100 | 1,466,923 | |||
Sega Sammy Holdings, Inc. | 18,200 | 311,864 | |||
Seibu Holdings, Inc. | 23,900 | 403,062 | |||
Seiko Epson Corp. | 22,600 | 392,972 | |||
Sekisui Chemical Co., Ltd. | 32,100 | 547,148 | |||
Sekisui House, Ltd. | 51,300 | 907,760 | |||
Seven & i Holdings Co., Ltd. | 66,300 | 2,891,665 | |||
Seven Bank, Ltd. | 42,900 | 131,297 | |||
SG Holdings Co., Ltd. | 8,400 | 184,282 | |||
Sharp Corp. (a) | 15,400 | 375,389 | |||
Shimadzu Corp. | 20,800 | 629,080 | |||
Shimamura Co., Ltd. | 1,700 | 149,641 | |||
Shimano, Inc. | 7,000 | 1,027,581 | |||
Shimizu Corp. | 45,000 | 466,799 | |||
Shin-Etsu Chemical Co., Ltd. | 33,800 | 3,012,751 | |||
Shinsei Bank, Ltd. | 14,900 | 229,489 | |||
Shionogi & Co., Ltd. | 26,900 | 1,382,096 | |||
Shiseido Co., Ltd. | 34,200 | 2,716,486 | |||
Shizuoka Bank, Ltd. | 53,000 | 478,969 | |||
Showa Shell Sekiyu KK | 16,500 | 246,238 | |||
SMC Corp. | 5,100 | 1,870,744 | |||
SoftBank Group Corp. | 72,100 | 5,189,846 | |||
Sohgo Security Services Co., Ltd. | 4,800 | 226,209 | |||
Sompo Holdings, Inc. | 31,400 | 1,270,004 | |||
Sony Corp. | 113,300 | 5,793,628 | |||
Sony Financial Holdings, Inc. (a) | 13,400 | 255,987 | |||
Stanley Electric Co., Ltd. | 12,300 | 419,754 | |||
Start Today Co., Ltd. | 19,400 | 703,209 | |||
Subaru Corp. | 55,300 | 1,610,098 | |||
SUMCO Corp. (a) | 23,600 | 476,623 | |||
Sumitomo Chemical Co., Ltd. | 147,000 | 833,440 | |||
Sumitomo Corp. | 106,500 | 1,749,921 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 15,000 | 317,564 | |||
Sumitomo Electric Industries, Ltd. | 65,900 | 981,673 | |||
Sumitomo Heavy Industries, Ltd. | 10,200 | 344,405 | |||
Sumitomo Metal Mining Co., Ltd. | 21,600 | 826,442 | |||
Sumitomo Mitsui Financial Group, Inc. | 117,400 | 4,563,936 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 30,700 | 1,217,579 | |||
Sumitomo Realty & Development Co., Ltd. | 31,000 | 1,144,396 | |||
Sumitomo Rubber Industries, Ltd. (a) | 14,000 | 222,453 |
Security Description | Shares | Value | |||
Sundrug Co., Ltd. | 5,700 | $ 231,057 | |||
Suntory Beverage & Food, Ltd. | 11,300 | 482,544 | |||
Suruga Bank, Ltd. | 11,300 | 101,100 | |||
Suzuken Co., Ltd. | 6,500 | 275,222 | |||
Suzuki Motor Corp. | 30,800 | 1,701,209 | |||
Sysmex Corp. | 14,500 | 1,353,586 | |||
T&D Holdings, Inc. | 48,900 | 734,835 | |||
Taiheiyo Cement Corp. | 12,400 | 408,053 | |||
Taisei Corp. | 19,400 | 1,070,139 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 2,900 | 339,575 | |||
Taiyo Nippon Sanso Corp. | 9,900 | 141,933 | |||
Takashimaya Co., Ltd. | 23,000 | 196,849 | |||
Takeda Pharmaceutical Co., Ltd. (a) | 62,000 | 2,618,481 | |||
TDK Corp. | 12,200 | 1,246,820 | |||
Teijin, Ltd. | 12,200 | 223,811 | |||
Temp Holdings Co., Ltd. (a) | 17,000 | 379,244 | |||
Terumo Corp. | 29,400 | 1,685,460 | |||
THK Co., Ltd. | 9,000 | 257,979 | |||
Tobu Railway Co., Ltd. | 15,700 | 480,504 | |||
Toho Co., Ltd. | 7,500 | 251,546 | |||
Toho Gas Co., Ltd. | 5,800 | 200,813 | |||
Tohoku Electric Power Co., Inc. | 37,000 | 451,957 | |||
Tokio Marine Holdings, Inc. | 59,700 | 2,798,918 | |||
Tokyo Century Corp. | 3,700 | 209,777 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 118,200 | 550,636 | |||
Tokyo Electron, Ltd. | 13,900 | 2,386,837 | |||
Tokyo Gas Co., Ltd. | 37,200 | 987,556 | |||
Tokyo Tatemono Co., Ltd. | 18,500 | 254,038 | |||
Tokyu Corp. | 51,000 | 878,509 | |||
Tokyu Fudosan Holdings Corp. | 35,300 | 249,218 | |||
Toppan Printing Co., Ltd. | 44,000 | 344,802 | |||
Toray Industries, Inc. | 130,600 | 1,030,510 | |||
Toshiba Corp. (b) | 589,000 | 1,770,749 | |||
Tosoh Corp. | 23,700 | 367,380 | |||
TOTO, Ltd. | 11,300 | 524,371 | |||
Toyo Seikan Group Holdings, Ltd. | 12,700 | 223,123 | |||
Toyo Suisan Kaisha, Ltd. | 5,900 | 210,134 | |||
Toyoda Gosei Co., Ltd. | 5,300 | 134,408 | |||
Toyota Industries Corp. | 15,300 | 857,789 | |||
Toyota Motor Corp. | 203,200 | 13,153,469 | |||
Toyota Tsusho Corp. | 16,900 | 566,054 | |||
Trend Micro, Inc. | 9,600 | 547,754 | |||
Tsuruha Holdings, Inc. | 3,600 | 451,442 | |||
Unicharm Corp. | 37,900 | 1,140,439 | |||
United Urban Investment Corp. REIT | 258 | 400,399 | |||
USS Co., Ltd. | 19,200 | 365,401 | |||
West Japan Railway Co. | 14,400 | 1,061,361 | |||
Yahoo! Japan Corp. (a) | 115,300 | 383,067 | |||
Yakult Honsha Co., Ltd. | 10,700 | 714,847 | |||
Yamada Denki Co., Ltd. | 47,700 | 237,283 | |||
Yamaguchi Financial Group, Inc. | 19,000 | 214,075 | |||
Yamaha Corp. | 13,700 | 712,427 |
Table of Contents
Security Description | Shares | Value | |||
Yamaha Motor Co., Ltd. (a) | 26,700 | $ 671,568 | |||
Yamato Holdings Co., Ltd. (a) | 34,300 | 1,010,745 | |||
Yamazaki Baking Co., Ltd. | 10,300 | 269,670 | |||
Yaskawa Electric Corp. | 22,100 | 781,127 | |||
Yokogawa Electric Corp. | 20,000 | 356,069 | |||
Yokohama Rubber Co., Ltd. (a) | 10,800 | 224,551 | |||
310,100,781 | |||||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal | 59,334 | 1,739,506 | |||
Eurofins Scientific SE | 893 | 496,706 | |||
Millicom International Cellular SA SDR | 5,780 | 341,786 | |||
Reinet Investments SCA (b) | 12,844 | 226,448 | |||
RTL Group SA | 2,437 | 165,313 | |||
SES SA | 31,838 | 583,236 | |||
Tenaris SA | 46,006 | 844,121 | |||
4,397,116 | |||||
MACAU — 0.0% (f) | |||||
MGM China Holdings, Ltd. (a) | 85,200 | 197,648 | |||
Wynn Macau, Ltd. | 116,000 | 373,338 | |||
570,986 | |||||
MALAYSIA — 0.5% | |||||
AirAsia Group Bhd | 140,400 | 103,923 | |||
Alliance Bank Malaysia Bhd | 140,600 | 140,617 | |||
AMMB Holdings Bhd | 132,400 | 122,911 | |||
Astro Malaysia Holdings Bhd | 13,200 | 5,196 | |||
Axiata Group Bhd | 183,225 | 172,362 | |||
British American Tobacco Malaysia Bhd | 2,800 | 24,108 | |||
CIMB Group Holdings Bhd | 371,505 | 501,226 | |||
Dialog Group Bhd | 282,300 | 215,944 | |||
DiGi.Com Bhd | 221,300 | 227,354 | |||
Felda Global Ventures Holdings Bhd | 4,700 | 1,757 | |||
Fraser & Neave Holdings Bhd | 17,600 | 170,009 | |||
Gamuda Bhd | 128,616 | 104,115 | |||
Genting Bhd | 190,200 | 395,985 | |||
Genting Malaysia Bhd | 259,500 | 313,494 | |||
Genting Plantations Bhd | 900 | 2,106 | |||
HAP Seng Consolidated Bhd | 66,200 | 160,604 | |||
Hartalega Holdings Bhd | 138,200 | 204,931 | |||
Hong Leong Bank Bhd | 49,032 | 220,914 | |||
Hong Leong Financial Group Bhd | 4,800 | 21,389 | |||
IHH Healthcare Bhd | 185,200 | 279,668 | |||
IJM Corp. Bhd | 331,300 | 146,807 | |||
IOI Corp. Bhd | 149,800 | 168,360 | |||
IOI Properties Group Bhd | 38,750 | 15,348 | |||
Kuala Lumpur Kepong Bhd | 43,300 | 258,975 | |||
Malayan Banking Bhd | 391,599 | 872,482 | |||
Malaysia Airports Holdings Bhd | 66,124 | 144,050 | |||
Maxis Bhd | 176,500 | 238,567 | |||
MISC Bhd | 86,500 | 126,768 | |||
Nestle Malaysia Bhd | 6,300 | 230,041 | |||
Petronas Chemicals Group Bhd | 247,800 | 515,905 | |||
Petronas Dagangan Bhd | 22,600 | 138,750 |
Security Description | Shares | Value | |||
Petronas Gas Bhd | 48,700 | $ 208,568 | |||
PPB Group Bhd | 36,900 | 179,773 | |||
Press Metal Aluminium Holdings Bhd | 136,100 | 146,898 | |||
Public Bank Bhd | 265,700 | 1,536,515 | |||
RHB Capital Bhd | 128,959 | 174,308 | |||
Sime Darby Bhd | 142,535 | 86,449 | |||
Sime Darby Plantation Bhd | 208,035 | 274,496 | |||
Sime Darby Property Bhd | 142,535 | 42,342 | |||
SP Setia Bhd Group | 131,200 | 100,686 | |||
Telekom Malaysia Bhd | 91,003 | 70,063 | |||
Tenaga Nasional Bhd | 313,600 | 1,136,553 | |||
Top Glove Corp. Bhd | 61,800 | 185,729 | |||
UMW Holdings Bhd | 4,900 | 7,242 | |||
Westports Holdings Bhd | 8,800 | 7,385 | |||
YTL Corp. Bhd | 529,608 | 148,151 | |||
10,549,824 | |||||
MEXICO — 0.7% | |||||
Alfa SAB de CV Class A | 286,700 | 336,355 | |||
Alsea SAB de CV | 44,000 | 153,160 | |||
America Movil SAB de CV Series L | 2,968,700 | 2,504,155 | |||
Arca Continental SAB de CV | 28,000 | 173,720 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B | 116,000 | 157,808 | |||
Cemex SAB de CV Series CPO (b) | 1,373,964 | 913,611 | |||
Coca-Cola Femsa SAB de CV Series L | 32,200 | 183,527 | |||
El Puerto de Liverpool SAB de CV Series C1 (a) | 13,000 | 84,042 | |||
Fibra Uno Administracion SA de CV REIT | 252,200 | 371,453 | |||
Fomento Economico Mexicano SAB de CV | 175,500 | 1,558,413 | |||
Fresnillo PLC | 22,113 | 333,841 | |||
Gruma SAB de CV Class B | 14,700 | 181,404 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 37,000 | 346,927 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 13,750 | 220,705 | |||
Grupo Bimbo SAB de CV Class A | 153,500 | 302,303 | |||
Grupo Carso SAB de CV Series A1 | 23,000 | 78,622 | |||
Grupo Financiero Banorte SAB de CV Series O | 215,700 | 1,281,531 | |||
Grupo Financiero Inbursa SAB de CV Series O | 215,700 | 306,172 | |||
Grupo Mexico SAB de CV Class B | 331,400 | 949,061 | |||
Grupo Televisa SAB Series CPO | 232,800 | 892,198 | |||
Industrias Penoles SAB de CV | 9,730 | 176,519 | |||
Infraestructura Energetica Nova SAB de CV | 48,600 | 220,082 |
Table of Contents
Security Description | Shares | Value | |||
Kimberly-Clark de Mexico SAB de CV Class A (a) | 103,300 | $ 176,426 | |||
Mexichem SAB de CV | 73,357 | 214,147 | |||
Promotora y Operadora de Infraestructura SAB de CV | 18,200 | 164,595 | |||
Wal-Mart de Mexico SAB de CV | 455,300 | 1,214,241 | |||
13,495,018 | |||||
NETHERLANDS — 3.1% | |||||
ABN AMRO Group NV (d) | 38,236 | 991,955 | |||
Aegon NV | 165,335 | 991,438 | |||
Akzo Nobel NV | 23,064 | 1,974,389 | |||
ASML Holding NV | 36,582 | 7,248,113 | |||
EXOR NV | 9,998 | 673,542 | |||
Heineken Holding NV | 10,069 | 965,173 | |||
Heineken NV | 22,931 | 2,303,022 | |||
ING Groep NV | 339,595 | 4,887,982 | |||
Koninklijke Ahold Delhaize NV | 113,184 | 2,709,695 | |||
Koninklijke DSM NV | 16,619 | 1,671,031 | |||
Koninklijke KPN NV | 314,328 | 855,096 | |||
Koninklijke Philips NV | 84,313 | 3,585,666 | |||
Koninklijke Vopak NV | 4,863 | 224,670 | |||
NN Group NV | 29,115 | 1,184,324 | |||
NXP Semiconductors NV (b) | 29,854 | 3,262,147 | |||
Randstad NV | 11,642 | 685,340 | |||
Royal Dutch Shell PLC Class A | 408,840 | 14,190,586 | |||
Royal Dutch Shell PLC Class B | 333,346 | 11,942,120 | |||
Wolters Kluwer NV | 27,445 | 1,546,416 | |||
61,892,705 | |||||
NEW ZEALAND — 0.1% | |||||
a2 Milk Co., Ltd. | 64,020 | 496,731 | |||
Auckland International Airport, Ltd. | 82,110 | 376,918 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 57,800 | 582,698 | |||
Fletcher Building, Ltd. | 93,438 | 439,672 | |||
Meridian Energy, Ltd. | 118,222 | 249,732 | |||
Ryman Healthcare, Ltd. | 36,039 | 292,070 | |||
Spark New Zealand, Ltd. | 154,370 | 389,845 | |||
2,827,666 | |||||
NORWAY — 0.5% | |||||
Aker BP ASA | 9,455 | 348,948 | |||
DNB ASA | 88,095 | 1,721,822 | |||
Equinor ASA | 102,950 | 2,733,409 | |||
Gjensidige Forsikring ASA | 15,042 | 246,566 | |||
Marine Harvest ASA | 40,936 | 814,662 | |||
Norsk Hydro ASA | 126,562 | 757,627 | |||
Orkla ASA | 78,119 | 684,346 | |||
Schibsted ASA Class B | 9,073 | 256,035 | |||
Telenor ASA | 68,136 | 1,397,346 | |||
Yara International ASA | 17,107 | 709,433 | |||
9,670,194 | |||||
PAKISTAN — 0.0% (f) | |||||
Habib Bank, Ltd. | 53,000 | 72,633 |
Security Description | Shares | Value | |||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR | 12,300 | $ 167,649 | |||
Credicorp, Ltd. | 6,200 | 1,395,744 | |||
Southern Copper Corp. | 7,400 | 346,838 | |||
1,910,231 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 184,044 | |||
Aboitiz Power Corp. | 208,000 | 135,438 | |||
Alliance Global Group, Inc. (b) | 450,900 | 98,177 | |||
Ayala Corp. | 25,640 | 442,007 | |||
Ayala Land, Inc. | 596,600 | 423,688 | |||
Bank of the Philippine Islands | 68,567 | 113,706 | |||
BDO Unibank, Inc. | 160,333 | 377,042 | |||
DMCI Holdings, Inc. | 33,730 | 6,636 | |||
Globe Telecom, Inc. | 2,995 | 86,425 | |||
GT Capital Holdings, Inc. | 5,280 | 90,032 | |||
International Container Terminal Services, Inc. | 4,320 | 6,257 | |||
JG Summit Holdings, Inc. | 250,410 | 234,609 | |||
Jollibee Foods Corp. | 33,510 | 165,140 | |||
Manila Electric Co. | 24,040 | 160,184 | |||
Megaworld Corp. | 95,000 | 7,619 | |||
Metro Pacific Investments Corp. | 974,000 | 83,954 | |||
Metropolitan Bank & Trust Co. | 105,149 | 144,619 | |||
PLDT, Inc. | 6,380 | 154,217 | |||
Robinsons Land Corp. | 40,344 | 14,061 | |||
Security Bank Corp. | 5,920 | 22,186 | |||
SM Investments Corp. | 25,175 | 412,763 | |||
SM Prime Holdings, Inc. | 888,700 | 598,656 | |||
Universal Robina Corp. | 80,890 | 183,402 | |||
4,144,862 | |||||
POLAND — 0.3% | |||||
Alior Bank SA (b) | 7,214 | 128,906 | |||
Bank Handlowy w Warszawie SA | 120 | 2,269 | |||
Bank Millennium SA (b) | 64,815 | 138,842 | |||
Bank Polska Kasa Opieki SA | 12,925 | 390,103 | |||
Bank Zachodni WBK SA | 3,603 | 321,041 | |||
CCC SA | 2,236 | 123,627 | |||
CD Projekt SA | 6,706 | 289,809 | |||
Cyfrowy Polsat SA | 19,389 | 119,836 | |||
Dino Polska SA (b)(d) | 7,708 | 214,114 | |||
Grupa Azoty SA | 626 | 7,206 | |||
Grupa Lotos SA | 8,131 | 123,617 | |||
Jastrzebska Spolka Weglowa SA (b) | 3,376 | 69,162 | |||
KGHM Polska Miedz SA | 14,475 | 340,229 | |||
LPP SA | 90 | 203,969 | |||
mBank SA | 1,215 | 129,744 | |||
Orange Polska SA (b) | 5,574 | 6,908 | |||
PGE Polska Grupa Energetyczna SA (b) | 75,453 | 188,232 | |||
PLAY Communications SA (d) | 13,499 | 92,302 | |||
Polski Koncern Naftowy ORLEN SA | 23,663 | 531,287 |
Table of Contents
Security Description | Shares | Value | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 155,896 | $ 237,761 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (b) | 81,935 | 809,513 | |||
Powszechny Zaklad Ubezpieczen SA | 59,122 | 615,547 | |||
Tauron Polska Energia SA (b) | 21,367 | 13,069 | |||
5,097,093 | |||||
PORTUGAL — 0.1% | |||||
EDP - Energias de Portugal SA | 223,963 | 889,060 | |||
Galp Energia SGPS SA | 47,099 | 898,269 | |||
Jeronimo Martins SGPS SA | 26,225 | 378,757 | |||
2,166,086 | |||||
QATAR — 0.2% | |||||
Barwa Real Estate Co. | 826 | 7,759 | |||
Commercial Bank PQSC | 16,545 | 173,084 | |||
Doha Bank QPSC | 21,118 | 155,151 | |||
Ezdan Holding Group QSC (b) | 52,409 | 118,032 | |||
Industries Qatar QSC | 14,813 | 435,318 | |||
Masraf Al Rayan QSC | 32,119 | 308,134 | |||
Ooredoo QSC | 5,832 | 116,464 | |||
Qatar Electricity & Water Co. QSC | 4,352 | 224,676 | |||
Qatar Insurance Co. SAQ | 9,737 | 94,936 | |||
Qatar Islamic Bank SAQ | 8,342 | 265,771 | |||
Qatar National Bank QPSC | 39,601 | 1,653,214 | |||
3,552,539 | |||||
ROMANIA — 0.0% (f) | |||||
NEPI Rockcastle PLC | 27,380 | 244,630 | |||
RUSSIA — 0.8% | |||||
Alrosa PJSC | 223,022 | 355,149 | |||
Gazprom PJSC | 946,910 | 2,123,440 | |||
Inter RAO UES PJSC | 2,290,000 | 148,662 | |||
LUKOIL PJSC ADR | 420 | 28,720 | |||
LUKOIL PJSC | 37,380 | 2,584,602 | |||
Magnit PJSC GDR | 27,829 | 500,922 | |||
Magnitogorsk Iron & Steel Works PJSC | 226,900 | 154,481 | |||
MMC Norilsk Nickel PJSC | 5,532 | 1,001,896 | |||
Mobile TeleSystems PJSC ADR | 26,400 | 233,112 | |||
Mobile TeleSystems PJSC | 31,200 | 138,703 | |||
Moscow Exchange MICEX-RTS PJSC (b) | 132,585 | 230,460 | |||
Novatek PJSC GDR | 7,961 | 1,180,616 | |||
Novolipetsk Steel PJSC | 90,720 | 219,673 | |||
PhosAgro PJSC GDR | 11,644 | 149,625 | |||
Polyus PJSC | 2,617 | 172,498 | |||
Rosneft Oil Co. PJSC | 95,170 | 600,367 | |||
RushHydro PJSC | 8,993,000 | 97,025 | |||
Sberbank of Russia PJSC | 929,630 | 3,223,775 | |||
Severstal PJSC | 18,520 | 274,186 | |||
Surgutneftegas OJSC Preference Shares | 446,300 | 223,248 | |||
Surgutneftegas OJSC | 456,700 | 207,145 | |||
Tatneft PJSC | 134,820 | 1,448,128 |
Security Description | Shares | Value | |||
Transneft PJSC Preference Shares | 30 | $ 79,949 | |||
VTB Bank PJSC | 437,390,000 | 336,353 | |||
15,712,735 | |||||
SINGAPORE — 0.8% | |||||
Ascendas Real Estate Investment Trust | 206,875 | 400,550 | |||
BOC Aviation, Ltd. (d) | 18,300 | 113,712 | |||
CapitaLand Commercial Trust | 191,690 | 233,374 | |||
CapitaLand Mall Trust REIT | 254,800 | 386,825 | |||
CapitaLand, Ltd. | 253,200 | 586,807 | |||
City Developments, Ltd. | 31,000 | 248,500 | |||
ComfortDelGro Corp., Ltd. | 189,100 | 325,915 | |||
DBS Group Holdings, Ltd. | 157,448 | 3,072,748 | |||
Genting Singapore, Ltd. | 493,100 | 441,204 | |||
Golden Agri-Resources, Ltd. | 309,500 | 69,232 | |||
Hutchison Port Holdings Trust (a) | 421,800 | 118,104 | |||
Jardine Cycle & Carriage, Ltd. | 6,211 | 144,946 | |||
Keppel Corp., Ltd. | 140,600 | 737,286 | |||
Oversea-Chinese Banking Corp., Ltd. | 277,450 | 2,368,550 | |||
SATS, Ltd. | 53,300 | 195,453 | |||
Sembcorp Industries, Ltd. | 66,700 | 134,525 | |||
Singapore Airlines, Ltd. | 47,200 | 370,054 | |||
Singapore Exchange, Ltd. | 85,100 | 447,501 | |||
Singapore Press Holdings, Ltd. | 139,900 | 266,769 | |||
Singapore Technologies Engineering, Ltd. | 136,400 | 329,121 | |||
Singapore Telecommunications, Ltd. | 728,700 | 1,646,055 | |||
Suntec Real Estate Investment Trust | 182,700 | 231,809 | |||
United Overseas Bank, Ltd. | 118,293 | 2,321,614 | |||
UOL Group, Ltd. | 37,533 | 209,755 | |||
Venture Corp., Ltd. | 23,900 | 312,707 | |||
Wilmar International, Ltd. | 168,900 | 379,050 | |||
16,092,166 | |||||
SOUTH AFRICA — 1.5% | |||||
Anglo American Platinum, Ltd. | 5,854 | 153,330 | |||
AngloGold Ashanti, Ltd. | 43,902 | 359,128 | |||
Aspen Pharmacare Holdings, Ltd. | 37,164 | 700,154 | |||
Barclays Africa Group, Ltd. | 64,498 | 752,871 | |||
Bid Corp., Ltd. | 26,882 | 539,964 | |||
Bidvest Group, Ltd. | 33,867 | 486,795 | |||
Capitec Bank Holdings, Ltd. | 2,901 | 183,717 | |||
Clicks Group, Ltd. | 22,224 | 318,664 | |||
Coronation Fund Managers, Ltd. | 32,439 | 138,004 | |||
Discovery, Ltd. | 31,093 | 334,608 | |||
Exxaro Resources, Ltd. | 13,613 | 124,845 | |||
FirstRand, Ltd. | 303,595 | 1,415,171 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 129,737 | |||
Fortress REIT, Ltd. Class B (a) | 96,108 | 105,530 | |||
Foschini Group, Ltd. | 20,758 | 263,521 | |||
Gold Fields, Ltd. | 56,782 | 203,825 |
Table of Contents
Security Description | Shares | Value | |||
Growthpoint Properties, Ltd. REIT | 226,098 | $ 440,278 | |||
Hyprop Investments, Ltd. | 16,182 | 120,826 | |||
Imperial Holdings, Ltd. | 12,323 | 176,121 | |||
Investec PLC | 69,626 | 494,550 | |||
Investec, Ltd. | 19,854 | 139,146 | |||
Kumba Iron Ore, Ltd. (a) | 6,528 | 140,388 | |||
Liberty Holdings, Ltd. | 15,761 | 133,758 | |||
Life Healthcare Group Holdings, Ltd. (a) | 124,734 | 226,421 | |||
Mediclinic International PLC (c) | 2,421 | 16,849 | |||
Mediclinic International PLC (c) | 21,434 | 149,019 | |||
MMI Holdings, Ltd. | 83,371 | 107,481 | |||
Mondi, Ltd. | 10,770 | 291,985 | |||
Mr. Price Group, Ltd. | 20,604 | 340,127 | |||
MTN Group, Ltd. | 152,685 | 1,201,985 | |||
Naspers, Ltd. Class N | 39,082 | 9,937,129 | |||
Nedbank Group, Ltd. | 19,590 | 356,718 | |||
Netcare, Ltd. (a) | 112,609 | 226,923 | |||
Old Mutual, Ltd. (b) | 450,111 | 893,766 | |||
Pick n Pay Stores, Ltd. | 32,017 | 174,682 | |||
Pioneer Foods Group, Ltd. (a) | 10,377 | 84,727 | |||
PSG Group, Ltd. | 17,508 | 276,168 | |||
Rand Merchant Investment Holdings, Ltd. | 51,099 | 139,619 | |||
Redefine Properties, Ltd. REIT | 560,779 | 429,189 | |||
Remgro, Ltd. | 49,948 | 744,469 | |||
Resilient REIT, Ltd. | 26,491 | 108,718 | |||
RMB Holdings, Ltd. | 53,367 | 295,098 | |||
Sanlam, Ltd. | 151,482 | 774,416 | |||
Sappi, Ltd. | 37,361 | 249,414 | |||
Sasol, Ltd. | 49,815 | 1,827,631 | |||
Shoprite Holdings, Ltd. | 36,097 | 581,002 | |||
SPAR Group, Ltd. | 17,539 | 237,270 | |||
Standard Bank Group, Ltd. | 116,009 | 1,623,978 | |||
Steinhoff International Holdings NV (a)(b) | 197,420 | 18,581 | |||
Telkom SA SOC, Ltd. (a) | 13,170 | 47,121 | |||
Tiger Brands, Ltd. (a) | 13,544 | 327,477 | |||
Truworths International, Ltd. | 40,455 | 228,009 | |||
Vodacom Group, Ltd. (a) | 48,980 | 438,796 | |||
Woolworths Holdings, Ltd. | 85,060 | 344,119 | |||
30,553,818 | |||||
SOUTH KOREA — 3.4% | |||||
Amorepacific Corp. | 2,810 | 813,122 | |||
Amorepacific Corp. Preference Shares | 740 | 102,916 | |||
AMOREPACIFIC Group | 2,522 | 279,468 | |||
BGF retail Co., Ltd. | 502 | 87,833 | |||
BNK Financial Group, Inc. | 27,622 | 231,732 | |||
Celltrion Healthcare Co., Ltd. (b) | 3,133 | 311,754 | |||
Celltrion Pharm, Inc. (b) | 1,347 | 109,621 | |||
Celltrion, Inc. (a)(b) | 7,363 | 2,005,088 | |||
Cheil Worldwide, Inc. | 7,506 | 139,075 | |||
CJ CheilJedang Corp. | 711 | 224,879 | |||
CJ Corp. | 1,354 | 172,515 | |||
CJ E&M Corp. | 1,969 | 174,728 |
Security Description | Shares | Value | |||
CJ Logistics Corp. (b) | 1,096 | $ 165,211 | |||
Coway Co., Ltd. | 5,471 | 425,113 | |||
Daelim Industrial Co., Ltd. | 2,118 | 145,381 | |||
Daewoo Engineering & Construction Co., Ltd. (b) | 24,328 | 128,134 | |||
DB Insurance Co., Ltd. | 3,165 | 167,550 | |||
DGB Financial Group, Inc. | 13,309 | 122,402 | |||
Dongsuh Cos., Inc. | 874 | 20,507 | |||
Doosan Bobcat, Inc. (b) | 4,079 | 117,118 | |||
Doosan Heavy Industries & Construction Co., Ltd. (b) | 457 | 6,417 | |||
E-MART, Inc. | 2,133 | 487,078 | |||
GS Engineering & Construction Corp. | 5,552 | 229,154 | |||
GS Holdings Corp. | 3,356 | 163,810 | |||
GS Retail Co., Ltd. | 360 | 14,197 | |||
Hana Financial Group, Inc. | 25,870 | 994,643 | |||
Hankook Tire Co., Ltd. | 4,760 | 179,808 | |||
Hanmi Pharm Co., Ltd. | 444 | 167,720 | |||
Hanmi Science Co., Ltd. | 188 | 10,897 | |||
Hanon Systems | 8,270 | 78,656 | |||
Hanssem Co., Ltd. | 770 | 72,544 | |||
Hanwha Chemical Corp. | 6,970 | 136,648 | |||
Hanwha Corp. | 3,640 | 103,044 | |||
Hanwha Life Insurance Co., Ltd. | 16,650 | 79,179 | |||
HDC Hyundai Development Co-Engineering & Construction (b) | 2,174 | 105,140 | |||
HLB, Inc. (b) | 2,711 | 237,167 | |||
Hotel Shilla Co., Ltd. | 2,730 | 302,517 | |||
Hyosung Corp. (g) | 1,344 | 161,594 | |||
Hyundai Department Store Co., Ltd. | 1,309 | 135,657 | |||
Hyundai Engineering & Construction Co., Ltd. | 6,813 | 351,501 | |||
Hyundai Glovis Co., Ltd. | 1,744 | 180,738 | |||
Hyundai Heavy Industries Co., Ltd. (b) | 3,817 | 349,335 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (b) | 1,006 | 319,086 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,728 | 173,202 | |||
Hyundai Mobis Co., Ltd. | 6,172 | 1,174,037 | |||
Hyundai Motor Co. | 13,748 | 1,548,115 | |||
Hyundai Motor Co. Preference Shares (c) | 3,845 | 313,258 | |||
Hyundai Motor Co. Preference Shares (c) | 1,762 | 130,114 | |||
Hyundai Steel Co. | 6,998 | 330,278 | |||
Hyundai Wia Corp. | 139 | 5,082 | |||
Industrial Bank of Korea | 22,023 | 304,311 | |||
ING Life Insurance Korea, Ltd. (b)(d) | 3,399 | 127,634 | |||
Kakao Corp. | 3,852 | 395,742 | |||
Kangwon Land, Inc. | 7,520 | 176,445 | |||
KB Financial Group, Inc. | 35,342 | 1,674,345 | |||
KCC Corp. | 458 | 134,790 | |||
KEPCO Plant Service & Engineering Co., Ltd. | 3,195 | 102,200 |
Table of Contents
Security Description | Shares | Value | |||
Kia Motors Corp. | 25,372 | $ 702,312 | |||
Korea Aerospace Industries, Ltd. (b) | 3,940 | 145,651 | |||
Korea Electric Power Corp. | 24,440 | 701,732 | |||
Korea Gas Corp. (b) | 2,420 | 139,402 | |||
Korea Investment Holdings Co., Ltd. | 2,958 | 223,210 | |||
Korea Zinc Co., Ltd. | 577 | 199,840 | |||
Korean Air Lines Co., Ltd. | 4,004 | 101,492 | |||
KT Corp. | 110 | 2,704 | |||
KT&G Corp. | 10,199 | 979,177 | |||
Kumho Petrochemical Co., Ltd. | 1,926 | 201,327 | |||
LG Chem, Ltd. | 4,147 | 1,240,937 | |||
LG Chem, Ltd. Preference Shares | 491 | 88,772 | |||
LG Corp. | 7,582 | 490,500 | |||
LG Display Co., Ltd. | 18,859 | 309,663 | |||
LG Electronics, Inc. | 9,962 | 741,899 | |||
LG Household & Health Care, Ltd. | 819 | 1,025,863 | |||
LG Household & Health Care, Ltd. Preference Shares | 184 | 120,520 | |||
LG Innotek Co., Ltd. | 1,061 | 137,563 | |||
Lotte Chemical Corp. | 1,278 | 399,052 | |||
Lotte Corp. (b) | 2,576 | 132,440 | |||
Lotte Shopping Co., Ltd. | 983 | 185,222 | |||
Medy-Tox, Inc. | 329 | 226,507 | |||
Mirae Asset Daewoo Co., Ltd. | 23,737 | 181,462 | |||
NAVER Corp. | 2,497 | 1,709,476 | |||
NCSoft Corp. | 1,398 | 465,373 | |||
Netmarble Corp. (d) | 2,574 | 352,207 | |||
NH Investment & Securities Co., Ltd. | 11,490 | 154,128 | |||
OCI Co., Ltd. | 1,629 | 150,549 | |||
Orion Corp/Republic of Korea | 2,349 | 314,043 | |||
Ottogi Corp. | 17 | 13,103 | |||
Pan Ocean Co., Ltd. (b) | 24,680 | 108,176 | |||
POSCO | 6,600 | 1,948,318 | |||
Posco Daewoo Corp. | 570 | 10,945 | |||
S-1 Corp. | 1,546 | 134,278 | |||
Samsung Biologics Co., Ltd. (b)(d) | 1,624 | 607,634 | |||
Samsung C&T Corp. | 7,241 | 756,910 | |||
Samsung Card Co., Ltd. | 501 | 17,217 | |||
Samsung Electro-Mechanics Co., Ltd. | 5,729 | 763,353 | |||
Samsung Electronics Co., Ltd. Preference Shares | 76,750 | 2,592,766 | |||
Samsung Electronics Co., Ltd. | 423,100 | 17,709,839 | |||
Samsung Engineering Co., Ltd. (b) | 13,722 | 192,687 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 2,462 | 583,192 | |||
Samsung Heavy Industries Co., Ltd. (b) | 40,454 | 259,167 | |||
Samsung Life Insurance Co., Ltd. | 5,568 | 491,603 | |||
Samsung SDI Co., Ltd. | 5,175 | 993,674 | |||
Samsung SDS Co., Ltd. | 2,824 | 508,041 |
Security Description | Shares | Value | |||
Samsung Securities Co., Ltd. | 4,928 | $ 153,655 | |||
Shinhan Financial Group Co., Ltd. | 38,301 | 1,488,051 | |||
Shinsegae, Inc. | 635 | 228,760 | |||
SillaJen, Inc. (b) | 5,434 | 357,391 | |||
SK Holdings Co., Ltd. (b) | 2,767 | 643,026 | |||
SK Hynix, Inc. | 50,901 | 3,914,056 | |||
SK Innovation Co., Ltd. | 5,990 | 1,085,671 | |||
SK Networks Co., Ltd. | 410 | 1,655 | |||
SK Telecom Co., Ltd. | 1,684 | 352,061 | |||
S-Oil Corp. | 4,401 | 432,400 | |||
ViroMed Co., Ltd. (b) | 1,187 | 250,926 | |||
Woori Bank | 39,892 | 583,436 | |||
Yuhan Corp. | 685 | 133,681 | |||
66,538,925 | |||||
SPAIN — 2.0% | |||||
ACS Actividades de Construccion y Servicios SA | 23,183 | 939,236 | |||
Aena SME SA (d) | 6,218 | 1,128,904 | |||
Amadeus IT Group SA | 38,596 | 3,046,244 | |||
Banco Bilbao Vizcaya Argentaria SA | 582,758 | 4,132,746 | |||
Banco de Sabadell SA | 500,553 | 838,936 | |||
Banco Santander SA | 1,439,434 | 7,717,370 | |||
Bankia SA | 104,029 | 389,519 | |||
Bankinter SA | 54,743 | 533,181 | |||
CaixaBank SA | 325,089 | 1,406,641 | |||
Enagas SA (a) | 21,503 | 628,650 | |||
Endesa SA (a) | 29,553 | 651,965 | |||
Ferrovial SA | 46,695 | 958,172 | |||
Gas Natural SDG SA (a) | 33,822 | 895,608 | |||
Grifols SA (a) | 28,519 | 858,406 | |||
Iberdrola SA | 504,265 | 3,899,912 | |||
Industria de Diseno Textil SA | 95,418 | 3,259,720 | |||
Mapfre SA | 94,201 | 284,310 | |||
Red Electrica Corp. SA (a) | 41,004 | 834,927 | |||
Repsol SA | 120,023 | 2,349,328 | |||
Siemens Gamesa Renewable Energy SA (a) | 23,620 | 317,280 | |||
Telefonica SA | 408,402 | 3,470,845 | |||
38,541,900 | |||||
SWEDEN — 1.7% | |||||
Alfa Laval AB | 23,706 | 563,368 | |||
Assa Abloy AB Class B | 89,694 | 1,913,993 | |||
Atlas Copco AB Class A | 59,244 | 1,727,122 | |||
Atlas Copco AB Class B | 35,597 | 933,695 | |||
Boliden AB | 25,975 | 843,766 | |||
Electrolux AB Class B | 23,322 | 531,823 | |||
Epiroc AB Class A (b) | 59,244 | 622,439 | |||
Epiroc AB Class B (b) | 35,597 | 326,286 | |||
Essity AB Class B | 54,801 | 1,355,017 | |||
Hennes & Mauritz AB Class B (a) | 85,223 | 1,271,772 | |||
Hexagon AB Class B | 22,911 | 1,279,236 | |||
Husqvarna AB Class B | 45,065 | 428,284 | |||
ICA Gruppen AB (a) | 6,173 | 189,551 | |||
Industrivarden AB Class C | 14,598 | 283,442 |
Table of Contents
Security Description | Shares | Value | |||
Investor AB Class B | 40,769 | $ 1,662,934 | |||
Kinnevik AB Class B | 22,708 | 779,017 | |||
L E Lundbergforetagen AB Class B | 5,800 | 178,422 | |||
Lundin Petroleum AB | 16,362 | 522,538 | |||
Nordea Bank AB | 265,953 | 2,564,993 | |||
Sandvik AB | 101,297 | 1,800,383 | |||
Securitas AB Class B | 25,819 | 425,555 | |||
Skandinaviska Enskilda Banken AB Class A | 137,067 | 1,304,787 | |||
Skanska AB Class B | 33,422 | 608,216 | |||
SKF AB Class B | 36,322 | 676,825 | |||
Svenska Handelsbanken AB Class A | 136,638 | 1,520,644 | |||
Swedbank AB Class A | 80,843 | 1,733,254 | |||
Swedish Match AB | 17,569 | 871,380 | |||
Tele2 AB Class B | 26,718 | 314,487 | |||
Telefonaktiebolaget LM Ericsson Class B | 275,407 | 2,132,203 | |||
Telia Co. AB | 237,276 | 1,086,388 | |||
Volvo AB Class B | 137,443 | 2,200,071 | |||
32,651,891 | |||||
SWITZERLAND — 5.4% | |||||
ABB, Ltd. | 159,845 | 3,494,874 | |||
Adecco Group AG | 14,211 | 840,967 | |||
Baloise Holding AG | 4,784 | 695,233 | |||
Barry Callebaut AG | 192 | 344,187 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 104 | 673,468 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 8 | 607,483 | |||
Cie Financiere Richemont SA | 45,622 | 3,864,971 | |||
Clariant AG (b) | 23,031 | 552,494 | |||
Coca-Cola HBC AG (b) | 19,565 | 653,775 | |||
Credit Suisse Group AG | 223,399 | 3,363,528 | |||
Dufry AG (b) | 2,498 | 317,989 | |||
EMS-Chemie Holding AG | 674 | 432,047 | |||
Ferguson PLC | 21,624 | 1,755,770 | |||
Geberit AG | 3,362 | 1,442,042 | |||
Givaudan SA | 826 | 1,873,359 | |||
Glencore PLC | 1,014,558 | 4,848,884 | |||
Julius Baer Group, Ltd. (b) | 20,699 | 1,214,903 | |||
Kuehne + Nagel International AG | 5,122 | 769,628 | |||
LafargeHolcim, Ltd. (b)(c) | 41,835 | 2,038,348 | |||
LafargeHolcim, Ltd. (b)(c) | 852 | 41,312 | |||
Lonza Group AG (b) | 6,681 | 1,772,943 | |||
Nestle SA | 274,540 | 21,262,023 | |||
Novartis AG | 196,433 | 14,892,468 | |||
Pargesa Holding SA | 2,959 | 250,619 | |||
Partners Group Holding AG | 1,517 | 1,111,453 | |||
Roche Holding AG | 62,068 | 13,786,291 | |||
Schindler Holding AG (c) | 3,865 | 831,426 | |||
Schindler Holding AG (c) | 1,759 | 369,887 | |||
SGS SA | 491 | 1,306,432 | |||
Sika AG | 11,700 | 1,618,994 | |||
Sonova Holding AG | 5,048 | 904,161 | |||
STMicroelectronics NV | 62,787 | 1,400,897 |
Security Description | Shares | Value | |||
Straumann Holding AG | 827 | $ 628,818 | |||
Swatch Group AG (c) | 2,777 | 1,317,533 | |||
Swatch Group AG (c) | 4,879 | 421,836 | |||
Swiss Life Holding AG (b) | 2,843 | 987,799 | |||
Swiss Prime Site AG (b) | 6,748 | 619,447 | |||
Swiss Re AG | 27,744 | 2,394,542 | |||
Swisscom AG (a) | 2,348 | 1,048,022 | |||
Temenos AG (b) | 5,252 | 793,393 | |||
UBS Group AG (b) | 336,831 | 5,198,585 | |||
Vifor Pharma AG | 4,758 | 760,216 | |||
Zurich Insurance Group AG | 13,227 | 3,917,680 | |||
107,420,727 | |||||
TAIWAN — 2.7% | |||||
Acer, Inc. (b) | 255,000 | 208,259 | |||
Advantech Co., Ltd. | 33,199 | 218,869 | |||
Airtac International Group | 12,000 | 170,622 | |||
ASE Technology Holding Co., Ltd. | 328,325 | 771,047 | |||
Asia Cement Corp. | 140,000 | 153,828 | |||
Asia Pacific Telecom Co., Ltd. (b) | 7,000 | 1,837 | |||
Asustek Computer, Inc. | 57,000 | 520,672 | |||
AU Optronics Corp. | 594,000 | 251,328 | |||
Catcher Technology Co., Ltd. | 53,000 | 592,781 | |||
Cathay Financial Holding Co., Ltd. | 746,000 | 1,316,391 | |||
Chailease Holding Co., Ltd. | 117,480 | 385,326 | |||
Chang Hwa Commercial Bank, Ltd. | 435,405 | 252,773 | |||
Cheng Shin Rubber Industry Co., Ltd. | 124,000 | 186,477 | |||
Chicony Electronics Co., Ltd. | 46,260 | 104,238 | |||
China Airlines, Ltd. (b) | 23,000 | 7,182 | |||
China Development Financial Holding Corp. | 1,178,000 | 430,808 | |||
China Life Insurance Co., Ltd. | 175,899 | 185,196 | |||
China Steel Corp. | 1,182,000 | 918,819 | |||
Chunghwa Telecom Co., Ltd. | 337,000 | 1,215,868 | |||
Compal Electronics, Inc. | 378,000 | 238,044 | |||
CTBC Financial Holding Co., Ltd. | 1,534,009 | 1,104,400 | |||
Delta Electronics, Inc. | 185,630 | 666,693 | |||
E.Sun Financial Holding Co., Ltd. | 750,834 | 523,319 | |||
Eclat Textile Co., Ltd. | 15,182 | 180,510 | |||
Eva Airways Corp. | 283,304 | 137,059 | |||
Evergreen Marine Corp. Taiwan, Ltd. (b) | 25,808 | 11,004 | |||
Far Eastern New Century Corp. | 292,620 | 277,374 | |||
Far EasTone Telecommunications Co., Ltd. | 140,000 | 361,841 | |||
Feng TAY Enterprise Co., Ltd. | 30,273 | 151,919 | |||
First Financial Holding Co., Ltd. | 749,096 | 506,138 | |||
Formosa Chemicals & Fibre Corp. | 309,000 | 1,231,399 | |||
Formosa Petrochemical Corp. | 111,000 | 445,988 | |||
Formosa Plastics Corp. | 411,000 | 1,516,555 | |||
Formosa Taffeta Co., Ltd. | 3,000 | 3,282 |
Table of Contents
Security Description | Shares | Value | |||
Foxconn Technology Co., Ltd. | 84,180 | $ 205,974 | |||
Fubon Financial Holding Co., Ltd. | 620,000 | 1,039,146 | |||
General Interface Solution Holding, Ltd. | 11,000 | 71,437 | |||
Giant Manufacturing Co., Ltd. | 23,000 | 97,315 | |||
Globalwafers Co., Ltd. | 23,000 | 382,472 | |||
Highwealth Construction Corp. | 72,900 | 108,196 | |||
Hiwin Technologies Corp. | 18,431 | 217,628 | |||
Hon Hai Precision Industry Co., Ltd. | 1,440,650 | 3,931,387 | |||
Hotai Motor Co., Ltd. | 19,000 | 167,325 | |||
HTC Corp. (b) | 57,000 | 106,378 | |||
Hua Nan Financial Holdings Co., Ltd. | 726,546 | 422,985 | |||
Innolux Corp. | 942,000 | 338,321 | |||
Inventec Corp. | 197,000 | 154,752 | |||
Largan Precision Co., Ltd. | 9,000 | 1,325,418 | |||
Lite-On Technology Corp. | 145,419 | 176,000 | |||
Macronix International (b) | 166,000 | 236,299 | |||
MediaTek, Inc. | 137,000 | 1,348,049 | |||
Mega Financial Holding Co., Ltd. | 1,022,601 | 902,241 | |||
Micro-Star International Co., Ltd. | 59,000 | 182,292 | |||
Nan Ya Plastics Corp. | 429,000 | 1,226,981 | |||
Nanya Technology Corp. | 69,000 | 188,294 | |||
Nien Made Enterprise Co., Ltd. | 13,000 | 111,075 | |||
Novatek Microelectronics Corp. | 61,000 | 275,104 | |||
Pegatron Corp. | 165,000 | 339,325 | |||
Phison Electronics Corp. | 13,000 | 102,760 | |||
Pou Chen Corp. | 201,000 | 233,380 | |||
Powertech Technology, Inc. | 51,000 | 148,039 | |||
President Chain Store Corp. | 47,000 | 532,611 | |||
Quanta Computer, Inc. | 222,000 | 389,557 | |||
Realtek Semiconductor Corp. | 34,000 | 123,784 | |||
Ruentex Development Co., Ltd. (b) | 128,936 | 148,861 | |||
Ruentex Industries, Ltd. (b) | 79,000 | 161,169 | |||
Shin Kong Financial Holding Co., Ltd. | 736,551 | 283,860 | |||
SinoPac Financial Holdings Co., Ltd. | 917,923 | 331,179 | |||
Standard Foods Corp. | 51,417 | 104,053 | |||
Synnex Technology International Corp. | 70,550 | 106,443 | |||
TaiMed Biologics, Inc. (b) | 15,000 | 153,500 | |||
Taishin Financial Holding Co., Ltd. | 931,170 | 439,800 | |||
Taiwan Business Bank | 66,042 | 20,383 | |||
Taiwan Cement Corp. | 383,000 | 532,006 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 692,876 | 405,656 | |||
Taiwan High Speed Rail Corp. | 152,000 | 119,153 | |||
Taiwan Mobile Co., Ltd. | 132,000 | 478,410 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,175,000 | 15,444,758 | |||
Teco Electric and Machinery Co., Ltd. | 90,000 | 67,599 |
Security Description | Shares | Value | |||
Uni-President Enterprises Corp. | 421,880 | $ 1,071,011 | |||
United Microelectronics Corp. | 979,000 | 544,272 | |||
Vanguard International Semiconductor Corp. | 105,000 | 240,386 | |||
Walsin Technology Corp. | 28,000 | 382,964 | |||
Win Semiconductors Corp. | 30,000 | 215,983 | |||
Winbond Electronics Corp. | 274,000 | 175,246 | |||
Wistron Corp. | 228,142 | 169,487 | |||
WPG Holdings, Ltd. | 144,000 | 204,038 | |||
Yageo Corp. (b) | 20,000 | 737,983 | |||
Yuanta Financial Holding Co., Ltd. | 1,068,022 | 486,921 | |||
Zhen Ding Technology Holding, Ltd. | 3,000 | 6,632 | |||
53,364,124 | |||||
THAILAND — 0.5% | |||||
Advanced Info Service PCL (g) | 84,900 | 474,087 | |||
Airports of Thailand PCL (g) | 340,200 | 646,924 | |||
Bangkok Bank PCL NVDR | 30,800 | 181,751 | |||
Bangkok Dusit Medical Services PCL (g) | 357,100 | 269,469 | |||
Bangkok Expressway & Metro PCL (g) | 649,000 | 145,942 | |||
Banpu PCL (g) | 243,400 | 143,263 | |||
Berli Jucker PCL (g) | 104,700 | 159,594 | |||
BTS Group Holdings PCL (g) | 619,900 | 164,658 | |||
Bumrungrad Hospital PCL (g) | 31,200 | 156,800 | |||
Central Pattana PCL (g) | 118,200 | 248,851 | |||
Charoen Pokphand Foods PCL (g) | 285,300 | 208,399 | |||
CP ALL PCL (g) | 445,300 | 987,913 | |||
Delta Electronics Thailand PCL (g) | 55,900 | 98,707 | |||
Energy Absolute PCL (g) | 112,813 | 111,519 | |||
Glow Energy PCL (g) | 44,700 | 127,839 | |||
Home Product Center PCL (g) | 417,200 | 168,744 | |||
Indorama Ventures PCL (g) | 143,700 | 237,476 | |||
IRPC PCL (g) | 971,500 | 170,078 | |||
Kasikornbank PCL | 112,400 | 678,539 | |||
Kasikornbank PCL NVDR | 58,700 | 343,731 | |||
Krung Thai Bank PCL (g) | 265,400 | 133,781 | |||
Minor International PCL (g) | 196,350 | 192,616 | |||
PTT Exploration & Production PCL (g) | 132,600 | 562,339 | |||
PTT Global Chemical PCL (g) | 184,800 | 407,196 | |||
PTT PCL (g) | 968,000 | 1,402,475 | |||
Robinson PCL (g) | 12,700 | 21,467 | |||
Siam Cement PCL | 33,765 | 419,897 | |||
Siam Commercial Bank PCL (g) | 145,200 | 519,354 | |||
Thai Oil PCL (g) | 98,100 | 230,223 | |||
Thai Union Group PCL Class F (g) | 43,700 | 20,841 | |||
TMB Bank PCL (g) | 1,483,700 | 103,004 | |||
True Corp. PCL (g) | 1,001,312 | 160,186 | |||
9,897,663 | |||||
TURKEY — 0.1% | |||||
Akbank Turk A/S | 181,543 | 298,001 |
Table of Contents
Security Description | Shares | Value | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | $ 118,587 | |||
Arcelik A/S | 4,778 | 15,905 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 18,895 | 95,440 | |||
BIM Birlesik Magazalar A/S | 13,969 | 204,754 | |||
Coca-Cola Icecek A/S | 648 | 4,798 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 30,919 | 13,701 | |||
Eregli Demir ve Celik Fabrikalari TAS | 122,357 | 272,427 | |||
Ford Otomotiv Sanayi A/S | 1,307 | 17,489 | |||
Haci Omer Sabanci Holding A/S | 58,478 | 112,713 | |||
KOC Holding A/S | 51,437 | 159,660 | |||
Petkim Petrokimya Holding A/S | 11,722 | 12,384 | |||
TAV Havalimanlari Holding A/S | 1,388 | 6,799 | |||
Tofas Turk Otomobil Fabrikasi A/S | 2,262 | 11,880 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 7,975 | 188,007 | |||
Turk Hava Yollari AO (b) | 53,950 | 159,452 | |||
Turkcell Iletisim Hizmetleri A/S | 92,714 | 246,296 | |||
Turkiye Garanti Bankasi A/S | 188,439 | 344,695 | |||
Turkiye Halk Bankasi A/S | 29,437 | 47,549 | |||
Turkiye Is Bankasi A/S Class C | 144,348 | 179,600 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 6,787 | 6,267 | |||
Turkiye Vakiflar Bankasi TAO | 68,469 | 73,383 | |||
Ulker Biskuvi Sanayi A/S (b) | 1,307 | 5,144 | |||
Yapi ve Kredi Bankasi A/S (b) | 14,270 | 7,725 | |||
2,602,656 | |||||
UNITED ARAB EMIRATES — 0.2% | |||||
Abu Dhabi Commercial Bank PJSC | 226,966 | 436,241 | |||
Aldar Properties PJSC | 245,613 | 135,072 | |||
DAMAC Properties Dubai Co. PJSC | 160,578 | 89,619 | |||
DP World, Ltd. | 14,508 | 333,684 | |||
Dubai Investments PJSC | 282,063 | 145,902 | |||
Dubai Islamic Bank PJSC | 113,893 | 151,004 | |||
Emaar Development PJSC (b) | 109,796 | 151,251 | |||
Emaar Malls PJSC | 267,179 | 155,660 | |||
Emaar Properties PJSC | 347,458 | 465,403 | |||
Emirates Telecommunications Group Co. PJSC | 139,059 | 611,411 | |||
First Abu Dhabi Bank PJSC | 115,574 | 382,294 | |||
NMC Health PLC | 9,069 | 428,885 | |||
3,486,426 | |||||
UNITED KINGDOM — 10.4% | |||||
3i Group PLC | 85,027 | 1,010,986 | |||
Admiral Group PLC | 20,501 | 516,293 | |||
Anglo American PLC (a) | 92,618 | 2,072,384 | |||
Ashtead Group PLC | 46,048 | 1,381,868 | |||
Associated British Foods PLC | 33,045 | 1,194,526 | |||
AstraZeneca PLC | 112,195 | 7,781,033 |
Security Description | Shares | Value | |||
Auto Trader Group PLC (d) | 101,929 | $ 573,141 | |||
Aviva PLC | 356,588 | 2,372,759 | |||
Babcock International Group PLC | 17,191 | 185,611 | |||
BAE Systems PLC | 282,980 | 2,416,474 | |||
Barclays PLC | 1,489,646 | 3,717,074 | |||
Barratt Developments PLC | 96,507 | 656,689 | |||
Berkeley Group Holdings PLC | 10,402 | 519,803 | |||
BP PLC | 1,771,686 | 13,526,838 | |||
British American Tobacco PLC ADR | 19,881 | 1,002,996 | |||
British American Tobacco PLC | 184,357 | 9,322,121 | |||
British Land Co. PLC REIT | 92,767 | 823,282 | |||
BT Group PLC | 742,640 | 2,135,465 | |||
Bunzl PLC | 31,917 | 967,077 | |||
Burberry Group PLC | 40,488 | 1,154,613 | |||
Carnival PLC | 16,166 | 927,788 | |||
Centrica PLC | 489,422 | 1,018,671 | |||
CNH Industrial NV | 92,714 | 984,626 | |||
Coca-Cola European Partners PLC | 6,100 | 247,904 | |||
Coca-Cola European Partners PLC | 14,800 | 600,990 | |||
Compass Group PLC | 138,848 | 2,966,939 | |||
ConvaTec Group PLC (d) | 119,350 | 334,683 | |||
Croda International PLC | 10,510 | 666,317 | |||
DCC PLC | 8,501 | 773,857 | |||
Diageo PLC | 218,064 | 7,836,614 | |||
Direct Line Insurance Group PLC | 111,078 | 502,866 | |||
easyJet PLC | 14,188 | 313,382 | |||
Experian PLC | 83,422 | 2,064,536 | |||
Fiat Chrysler Automobiles NV | 96,615 | 1,842,522 | |||
G4S PLC | 128,363 | 453,675 | |||
GlaxoSmithKline PLC | 435,596 | 8,797,816 | |||
GVC Holdings PLC | 50,400 | 699,342 | |||
Hammerson PLC REIT | 65,172 | 449,663 | |||
Hargreaves Lansdown PLC | 27,383 | 712,745 | |||
HSBC Holdings PLC | 1,764,843 | 16,559,558 | |||
Imperial Brands PLC | 82,744 | 3,082,832 | |||
Informa PLC | 110,482 | 1,217,964 | |||
InterContinental Hotels Group PLC | 16,813 | 1,047,716 | |||
International Consolidated Airlines Group SA | 63,121 | 554,348 | |||
Intertek Group PLC | 15,066 | 1,136,964 | |||
ITV PLC | 350,088 | 804,235 | |||
J Sainsbury PLC | 135,851 | 576,096 | |||
John Wood Group PLC | 68,018 | 563,769 | |||
Johnson Matthey PLC | 18,692 | 893,101 | |||
Kingfisher PLC | 205,613 | 806,238 | |||
Land Securities Group PLC REIT | 69,898 | 883,055 | |||
Legal & General Group PLC | 532,026 | 1,868,404 | |||
Lloyds Banking Group PLC | 6,453,756 | 5,372,222 | |||
London Stock Exchange Group PLC | 28,423 | 1,677,764 | |||
Marks & Spencer Group PLC | 141,999 | 553,237 | |||
Meggitt PLC | 64,415 | 419,522 |
Table of Contents
Security Description | Shares | Value | |||
Melrose Industries PLC | 423,332 | $ 1,188,789 | |||
Merlin Entertainments PLC (d) | 62,376 | 318,455 | |||
Micro Focus International PLC | 11,785 | 205,925 | |||
Micro Focus International PLC ADR | 28,000 | 483,560 | |||
Mondi PLC | 34,839 | 943,382 | |||
National Grid PLC | 298,642 | 3,305,662 | |||
Next PLC | 14,025 | 1,120,249 | |||
Pearson PLC | 79,412 | 927,867 | |||
Persimmon PLC | 28,765 | 961,958 | |||
Prudential PLC | 231,484 | 5,300,925 | |||
Randgold Resources, Ltd. | 8,956 | 688,166 | |||
Reckitt Benckiser Group PLC | 59,958 | 4,938,766 | |||
RELX NV | 86,182 | 1,837,858 | |||
RELX PLC | 94,709 | 2,028,768 | |||
Rio Tinto PLC | 105,590 | 5,856,415 | |||
Rio Tinto, Ltd. | 37,660 | 2,321,725 | |||
Rolls-Royce Holdings PLC (b) | 149,016 | 1,944,169 | |||
Royal Bank of Scotland Group PLC (b) | 440,015 | 1,487,762 | |||
Royal Mail PLC | 74,250 | 495,437 | |||
RSA Insurance Group PLC | 98,017 | 879,191 | |||
Sage Group PLC | 100,648 | 835,287 | |||
Schroders PLC | 12,534 | 522,586 | |||
Segro PLC REIT | 81,160 | 717,272 | |||
Severn Trent PLC | 19,097 | 499,088 | |||
Shire PLC | 79,033 | 4,450,244 | |||
Sky PLC | 86,951 | 1,677,760 | |||
Smith & Nephew PLC | 79,791 | 1,472,711 | |||
Smiths Group PLC | 38,270 | 857,931 | |||
SSE PLC | 90,112 | 1,612,049 | |||
St James's Place PLC | 50,631 | 767,053 | |||
Standard Chartered PLC | 246,370 | 2,252,821 | |||
Standard Life Aberdeen PLC | 243,870 | 1,048,655 | |||
Taylor Wimpey PLC | 311,601 | 735,979 | |||
Tesco PLC | 850,293 | 2,881,714 | |||
Travis Perkins PLC | 20,759 | 389,866 | |||
Unilever NV | 135,680 | 7,569,777 | |||
Unilever PLC | 110,149 | 6,096,186 | |||
United Utilities Group PLC | 66,393 | 668,986 | |||
Vodafone Group PLC | 2,331,229 | 5,657,624 | |||
Weir Group PLC | 21,300 | 562,427 | |||
Whitbread PLC | 17,340 | 906,340 | |||
Wm Morrison Supermarkets PLC | 181,224 | 602,938 | |||
WPP PLC | 113,183 | 1,782,699 | |||
205,346,016 | |||||
UNITED STATES — 0.0% (f) | |||||
Altice USA, Inc. Class A | 18,452 | 314,785 | |||
TOTAL COMMON STOCKS (Cost $1,724,123,323) | 1,856,960,188 |
RIGHTS — 0.0% (f) | |||
ITALY — 0.0% (f) | |||
Intesa Sanpaolo SpA (expiring 7/17/18) (b) (g) | 1,250,415 | — |
Security Description | Shares | Value | ||||
SPAIN — 0.0% (f) | ||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (b) | 23,183 | $ 23,873 | ||||
Repsol SA (expiring 7/6/18) (b) | 120,023 | 68,119 | ||||
91,992 | ||||||
TOTAL RIGHTS (Cost $92,878) | 91,992 | |||||
SHORT-TERM INVESTMENTS — 3.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (h) (i) | 47,796,436 | 47,796,436 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (h) (j) | 23,248,817 | 23,248,817 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $71,045,253) | 71,045,253 | |||||
TOTAL INVESTMENTS — 97.4% (Cost $1,795,261,454) | 1,928,097,433 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.6% | 51,221,892 | |||||
NET ASSETS — 100.0% | $ 1,979,319,325 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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 0.7% of net assets as of June 30, 2018, 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, 2018, total aggregate fair value of the security is $0, representing 0.0% of the Fund's net assets. |
(f) | Amount is less than 0.05% of net assets. |
(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, 2018, total aggregate fair value of securities is $8,436,023 representing 0.4% of net assets. |
(h) | 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, 2018 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(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 |
Table of Contents
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets | 470 | 09/21/2018 | $26,862,183 | $24,987,550 | $(1,874,632) | |||||
Mini MSCI EAFE (long) | 409 | 09/21/2018 | 41,187,979 | 39,987,930 | $(1,200,049) | |||||
S&P/TSX 60 Index Future | 30 | 09/20/2018 | 4,327,517 | 4,393,782 | $ 30,570 | |||||
Total unrealized depreciation on open futures contracts purchased | $(3,044,111) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 89,863,999 | $ — | $ — | $ 89,863,999 | ||||
Austria | 2,933,447 | — | — | 2,933,447 | ||||
Belgium | 13,691,625 | — | — | 13,691,625 | ||||
Brazil | 26,621,155 | — | — | 26,621,155 | ||||
Canada | 122,623,981 | — | — | 122,623,981 | ||||
Chile | 5,509,292 | — | — | 5,509,292 | ||||
China | 145,330,886 | — | 0(a) | 145,330,886 | ||||
Colombia | 2,358,031 | — | — | 2,358,031 | ||||
Czech Republic | 540,804 | — | — | 540,804 | ||||
Denmark | 21,302,560 | — | — | 21,302,560 | ||||
Egypt | 674,203 | — | — | 674,203 | ||||
Finland | 13,484,075 | — | — | 13,484,075 | ||||
France | 135,536,138 | — | — | 135,536,138 | ||||
Germany | 121,835,855 | — | — | 121,835,855 | ||||
Greece | 1,400,167 | 684 | — | 1,400,851 | ||||
Hong Kong | 48,625,994 | — | 0(a) | 48,625,994 | ||||
Hungary | 1,219,643 | — | — | 1,219,643 | ||||
India | 40,368,972 | — | — | 40,368,972 | ||||
Indonesia | 8,523,599 | — | — | 8,523,599 | ||||
Ireland | 8,535,676 | — | — | 8,535,676 | ||||
Israel | 6,270,663 | — | — | 6,270,663 | ||||
Italy | 26,492,543 | — | — | 26,492,543 | ||||
Japan | 310,100,781 | — | — | 310,100,781 | ||||
Luxembourg | 4,397,116 | — | — | 4,397,116 | ||||
Macau | 570,986 | — | — | 570,986 | ||||
Malaysia | 10,549,824 | — | — | 10,549,824 | ||||
Mexico | 13,495,018 | — | — | 13,495,018 | ||||
Netherlands | 61,892,705 | — | — | 61,892,705 | ||||
New Zealand | 2,827,666 | — | — | 2,827,666 | ||||
Norway | 9,670,194 | — | — | 9,670,194 | ||||
Pakistan | 72,633 | — | — | 72,633 | ||||
Peru | 1,910,231 | — | — | 1,910,231 | ||||
Philippines | 4,144,862 | — | — | 4,144,862 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Poland | $ 5,097,093 | $ — | $ — | $ 5,097,093 | ||||
Portugal | 2,166,086 | — | — | 2,166,086 | ||||
Qatar | 3,552,539 | — | — | 3,552,539 | ||||
Romania | 244,630 | — | — | 244,630 | ||||
Russia | 15,712,735 | — | — | 15,712,735 | ||||
Singapore | 16,092,166 | — | — | 16,092,166 | ||||
South Africa | 30,553,818 | — | — | 30,553,818 | ||||
South Korea | 66,377,331 | 161,594 | — | 66,538,925 | ||||
Spain | 38,541,900 | — | — | 38,541,900 | ||||
Sweden | 32,651,891 | — | — | 32,651,891 | ||||
Switzerland | 107,420,727 | — | — | 107,420,727 | ||||
Taiwan | 53,364,124 | — | — | 53,364,124 | ||||
Thailand | 525,482 | 9,372,181 | — | 9,897,663 | ||||
Turkey | 2,602,656 | — | — | 2,602,656 | ||||
United Arab Emirates | 3,486,426 | — | — | 3,486,426 | ||||
United Kingdom | 205,346,016 | — | — | 205,346,016 | ||||
United States | 314,785 | — | — | 314,785 | ||||
Rights | ||||||||
Italy | — | 0(b) | — | 0 | ||||
Spain | 91,992 | — | — | 91,992 | ||||
Short-Term Investments | 71,045,253 | — | — | 71,045,253 | ||||
TOTAL INVESTMENTS | $1,918,562,974 | $9,534,459 | $ 0 | $1,928,097,433 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(c) | 30,570 | — | — | 30,570 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,915,518,863 | $9,534,459 | $ — | $1,925,053,322 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(c) | (3,044,111) | — | — | (3,044,111) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (3,044,111) | $ — | $ — | $ (3,044,111) |
(a) | Fund held Level 3 securities that were valued at $0 at June 30, 2018. |
(b) | Fund held a Level 2 security that was valued at $0 at June 30, 2018. |
(c) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 20,078,160 | $20,078,160 | $374,674,788 | $346,956,512 | $— | $— | 47,796,436 | $47,796,436 | $416,299 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 10,302,133 | 10,302,133 | 261,017,459 | 248,070,775 | — | — | 23,248,817 | 23,248,817 | 289,263 | — | |||||||||
Total | $30,380,293 | $635,692,247 | $595,027,287 | $— | $— | $71,045,253 | $705,562 | $— |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 103.4% | ||||||
AEROSPACE & DEFENSE — 1.4% | ||||||
AAR Corp. | 4,060 | $ 188,749 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) | 8,900 | 262,461 | ||||
Aerovironment, Inc. (a) (b) | 2,600 | 185,718 | ||||
Astronics Corp. (a) | 2,519 | 90,608 | ||||
Axon Enterprise, Inc. (a) | 6,592 | 416,483 | ||||
BWX Technologies, Inc. | 12,390 | 772,145 | ||||
Cubic Corp. | 3,200 | 205,440 | ||||
Curtiss-Wright Corp. | 5,540 | 659,371 | ||||
Ducommun, Inc. (a) | 1,300 | 43,017 | ||||
Engility Holdings, Inc. (a) | 2,200 | 67,408 | ||||
Esterline Technologies Corp. (a) | 3,300 | 243,540 | ||||
HEICO Corp. | 4,782 | 348,788 | ||||
HEICO Corp. Class A | 9,579 | 583,825 | ||||
Hexcel Corp. | 11,111 | 737,548 | ||||
KeyW Holding Corp. (a) (b) | 5,900 | 51,566 | ||||
KLX, Inc. (a) | 6,343 | 456,062 | ||||
Kratos Defense & Security Solutions, Inc. (a) (b) | 10,400 | 119,704 | ||||
Maxar Technologies, Ltd. | 6,900 | 348,588 | ||||
Mercury Systems, Inc. (a) | 5,900 | 224,554 | ||||
Moog, Inc. Class A | 3,954 | 308,254 | ||||
National Presto Industries, Inc. | 595 | 73,780 | ||||
Sparton Corp. (a) | 1,100 | 20,889 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 13,923 | 1,196,125 | ||||
Teledyne Technologies, Inc. (a) | 4,423 | 880,442 | ||||
Triumph Group, Inc. (b) | 5,945 | 116,522 | ||||
Vectrus, Inc. (a) | 1,300 | 40,066 | ||||
Wesco Aircraft Holdings, Inc. (a) | 6,800 | 76,500 | ||||
8,718,153 | ||||||
AIR FREIGHT & LOGISTICS — 0.4% | ||||||
Air Transport Services Group, Inc. (a) | 7,700 | 173,943 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 2,882 | 206,639 | ||||
Echo Global Logistics, Inc. (a) | 3,200 | 93,600 | ||||
Forward Air Corp. | 3,700 | 218,596 | ||||
Hub Group, Inc. Class A (a) | 4,017 | 200,047 | ||||
Radiant Logistics, Inc. (a) | 4,600 | 17,986 | ||||
XPO Logistics, Inc. (a) (b) | 14,759 | 1,478,557 | ||||
2,389,368 | ||||||
AIRLINES — 0.4% | ||||||
Allegiant Travel Co. | 1,576 | 218,985 | ||||
Copa Holdings SA Class A | 3,946 | 373,371 | ||||
Hawaiian Holdings, Inc. | 6,545 | 235,293 | ||||
JetBlue Airways Corp. (a) | 39,336 | 746,597 | ||||
SkyWest, Inc. | 6,500 | 337,350 | ||||
Spirit Airlines, Inc. (a) (b) | 8,790 | 319,516 | ||||
2,231,112 | ||||||
AUTO COMPONENTS — 1.0% | ||||||
Adient PLC (b) | 11,600 | 570,604 | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 12,450 | 193,722 |
Security Description | Shares | Value | ||||
Cooper Tire & Rubber Co. (b) | 6,300 | $ 165,690 | ||||
Cooper-Standard Holdings, Inc. (a) | 2,190 | 286,167 | ||||
Dana, Inc. | 18,447 | 372,445 | ||||
Dorman Products, Inc. (a) | 3,399 | 232,186 | ||||
Fox Factory Holding Corp. (a) | 4,600 | 214,130 | ||||
Gentex Corp. | 34,066 | 784,199 | ||||
Gentherm, Inc. (a) | 4,554 | 178,972 | ||||
LCI Industries | 3,098 | 279,285 | ||||
Lear Corp. | 8,087 | 1,502,645 | ||||
Modine Manufacturing Co. (a) | 5,983 | 109,190 | ||||
Motorcar Parts of America, Inc. (a) (b) | 2,300 | 43,033 | ||||
Shiloh Industries, Inc. (a) | 1,700 | 14,790 | ||||
Standard Motor Products, Inc. | 2,708 | 130,905 | ||||
Stoneridge, Inc. (a) | 3,282 | 115,330 | ||||
Superior Industries International, Inc. | 2,988 | 53,485 | ||||
Tenneco, Inc. | 6,368 | 279,937 | ||||
Tower International, Inc. | 2,461 | 78,260 | ||||
Visteon Corp. | 3,637 | 470,046 | ||||
6,075,021 | ||||||
AUTOMOBILES — 1.1% | ||||||
Tesla, Inc. (a) | 16,775 | 5,752,986 | ||||
Thor Industries, Inc. | 6,308 | 614,336 | ||||
Winnebago Industries, Inc. | 3,900 | 158,340 | ||||
6,525,662 | ||||||
BANKS — 7.3% | ||||||
1st Constitution Bancorp | 900 | 20,610 | ||||
1st Source Corp. | 2,000 | 106,860 | ||||
Access National Corp. | 1,799 | 51,451 | ||||
ACNB Corp. | 800 | 27,240 | ||||
Allegiance Bancshares, Inc. (a) | 1,400 | 60,690 | ||||
American National Bankshares, Inc. | 1,000 | 40,000 | ||||
Ameris Bancorp | 4,944 | 263,762 | ||||
Ames National Corp. | 1,000 | 30,850 | ||||
Arrow Financial Corp. | 1,438 | 52,343 | ||||
Associated Banc-Corp. | 21,030 | 574,119 | ||||
Atlantic Capital Bancshares, Inc. (a) | 2,600 | 51,090 | ||||
Auburn National Bancorp, Inc. | 300 | 14,883 | ||||
Banc of California, Inc. | 5,300 | 103,615 | ||||
BancFirst Corp. | 2,052 | 121,478 | ||||
Bancorp, Inc. (a) | 6,000 | 62,760 | ||||
BancorpSouth Bank | 11,955 | 393,917 | ||||
Bank of Commerce Holdings | 1,900 | 24,225 | ||||
Bank of Hawaii Corp. | 5,134 | 428,278 | ||||
Bank of Marin Bancorp | 872 | 70,501 | ||||
Bank of NT Butterfield & Son, Ltd. | 6,700 | 306,324 | ||||
Bank of Princeton (a) | 700 | 23,275 | ||||
Bank of the Ozarks, Inc. (b) | 15,154 | 682,536 | ||||
BankUnited, Inc. | 12,927 | 528,068 | ||||
Bankwell Financial Group, Inc. | 700 | 22,505 | ||||
Banner Corp. | 4,100 | 246,533 | ||||
Bar Harbor Bankshares | 1,780 | 53,916 | ||||
Baycom Corp. (a) | 1,300 | 32,175 | ||||
BCB Bancorp, Inc. | 1,500 | 22,500 | ||||
Berkshire Hills Bancorp, Inc. | 5,000 | 203,000 | ||||
Blue Hills Bancorp, Inc. | 2,826 | 62,737 | ||||
BOK Financial Corp. | 3,209 | 301,678 |
Table of Contents
Security Description | Shares | Value | |||
Boston Private Financial Holdings, Inc. | 10,500 | $ 166,950 | |||
Bridge Bancorp, Inc. | 2,300 | 82,685 | |||
Brookline Bancorp, Inc. | 9,800 | 182,280 | |||
Bryn Mawr Bank Corp. | 2,300 | 106,490 | |||
Business First Bancshares, Inc. (b) | 1,200 | 31,620 | |||
Byline Bancorp, Inc. (a) | 2,000 | 44,680 | |||
C&F Financial Corp. | 400 | 25,020 | |||
Cadence BanCorp (b) | 6,000 | 173,220 | |||
Cambridge Bancorp (b) | 500 | 43,270 | |||
Camden National Corp. | 1,882 | 86,026 | |||
Capital City Bank Group, Inc. | 1,300 | 30,719 | |||
Capstar Financial Holdings, Inc. (a) | 1,000 | 18,530 | |||
Carolina Financial Corp. | 2,300 | 98,716 | |||
Cathay General Bancorp | 9,654 | 390,891 | |||
CB Financial Services, Inc. | 600 | 20,640 | |||
CBTX, Inc. (b) | 2,500 | 82,625 | |||
CenterState Bank Corp. | 10,234 | 305,178 | |||
Central Pacific Financial Corp. | 3,579 | 102,538 | |||
Central Valley Community Bancorp | 1,200 | 25,392 | |||
Century Bancorp, Inc. Class A | 336 | 25,670 | |||
Chemical Financial Corp. | 8,945 | 497,968 | |||
Chemung Financial Corp. | 400 | 20,044 | |||
CIT Group, Inc. | 15,786 | 795,772 | |||
Citizens & Northern Corp. | 1,400 | 36,204 | |||
City Holding Co. | 1,849 | 139,100 | |||
Civista Bancshares, Inc. | 1,200 | 29,088 | |||
CNB Financial Corp. | 1,800 | 54,108 | |||
CoBiz Financial, Inc. | 4,700 | 100,956 | |||
Codorus Valley Bancorp, Inc. | 1,051 | 32,245 | |||
Columbia Banking System, Inc. | 9,158 | 374,562 | |||
Commerce Bancshares, Inc. | 11,858 | 767,331 | |||
Community Bank System, Inc. (b) | 6,139 | 362,631 | |||
Community Bankers Trust Corp. (a) | 2,500 | 22,375 | |||
Community Financial Corp. | 500 | 17,680 | |||
Community Trust Bancorp, Inc. | 2,013 | 100,549 | |||
ConnectOne Bancorp, Inc. | 3,723 | 92,703 | |||
County Bancorp, Inc. | 500 | 13,750 | |||
Cullen/Frost Bankers, Inc. | 7,156 | 774,565 | |||
Customers Bancorp, Inc. (a) | 3,500 | 99,330 | |||
CVB Financial Corp. | 12,800 | 286,976 | |||
Eagle Bancorp, Inc. (a) | 4,000 | 245,200 | |||
East West Bancorp, Inc. | 17,971 | 1,171,709 | |||
Enterprise Bancorp, Inc. | 1,178 | 47,627 | |||
Enterprise Financial Services Corp. | 2,700 | 145,665 | |||
Equity Bancshares, Inc. Class A (a) | 1,300 | 53,924 | |||
Esquire Financial Holdings, Inc. (a) | 700 | 18,473 | |||
Evans Bancorp, Inc. | 600 | 27,660 | |||
Farmers & Merchants Bancorp, Inc. | 1,100 | 44,385 | |||
Farmers Capital Bank Corp. | 949 | 49,443 | |||
Farmers National Banc Corp. | 3,200 | 51,040 | |||
FB Financial Corp. | 1,600 | 65,152 | |||
FCB Financial Holdings, Inc. Class A (a) | 5,182 | 304,702 | |||
Fidelity D&D Bancorp, Inc. (b) | 100 | 6,199 | |||
Fidelity Southern Corp. | 2,800 | 71,148 | |||
Financial Institutions, Inc. | 1,800 | 59,220 | |||
First BanCorp (a) | 24,000 | 183,600 |
Security Description | Shares | Value | |||
First Bancorp, Inc. | 1,200 | $ 33,864 | |||
First Bancorp/Southern Pines | 3,513 | 143,717 | |||
First Bancshares, Inc. | 1,300 | 46,735 | |||
First Bank/Hamilton | 2,500 | 34,750 | |||
First Busey Corp. | 5,149 | 163,326 | |||
First Business Financial Services, Inc. | 1,000 | 26,000 | |||
First Choice Bancorp | 700 | 21,392 | |||
First Citizens BancShares, Inc. Class A | 928 | 374,262 | |||
First Commonwealth Financial Corp. | 12,200 | 189,222 | |||
First Community Bancshares, Inc. | 2,000 | 63,720 | |||
First Community Corp. | 900 | 22,590 | |||
First Connecticut Bancorp, Inc. | 1,700 | 52,020 | |||
First Financial Bancorp | 12,182 | 373,378 | |||
First Financial Bankshares, Inc. (b) | 8,151 | 414,886 | |||
First Financial Corp. | 1,300 | 58,955 | |||
First Financial Northwest, Inc. | 1,000 | 19,520 | |||
First Foundation, Inc. (a) | 3,700 | 68,598 | |||
First Guaranty Bancshares, Inc. | 530 | 13,791 | |||
First Hawaiian, Inc. | 8,900 | 258,278 | |||
First Horizon National Corp. | 40,019 | 713,939 | |||
First Internet Bancorp | 1,000 | 34,100 | |||
First Interstate BancSystem, Inc. Class A | 3,982 | 168,040 | |||
First Merchants Corp. | 6,078 | 282,019 | |||
First Mid-Illinois Bancshares, Inc. | 1,200 | 47,160 | |||
First Midwest Bancorp, Inc. | 13,034 | 331,976 | |||
First Northwest Bancorp (a) | 1,200 | 19,164 | |||
First of Long Island Corp. | 2,950 | 73,308 | |||
First Republic Bank | 19,734 | 1,910,054 | |||
First Savings Financial Group, Inc. (b) | 100 | 7,349 | |||
First United Corp. | 800 | 16,360 | |||
Flushing Financial Corp. | 3,400 | 88,740 | |||
FNB Bancorp | 700 | 25,669 | |||
FNB Corp. | 40,533 | 543,953 | |||
Franklin Financial Network, Inc. (a) | 1,455 | 54,708 | |||
Fulton Financial Corp. | 21,800 | 359,700 | |||
German American Bancorp, Inc. | 2,564 | 91,919 | |||
Glacier Bancorp, Inc. | 9,900 | 382,932 | |||
Great Southern Bancorp, Inc. | 1,368 | 78,250 | |||
Great Western Bancorp, Inc. | 7,315 | 307,157 | |||
Green Bancorp, Inc. | 3,000 | 64,800 | |||
Guaranty Bancorp | 3,000 | 89,400 | |||
Guaranty Bancshares, Inc. | 1,000 | 32,940 | |||
Hancock Whitney Corp. | 10,686 | 498,502 | |||
Hanmi Financial Corp. | 3,900 | 110,565 | |||
HarborOne Bancorp, Inc. (a) | 1,600 | 30,304 | |||
Heartland Financial USA, Inc. | 3,700 | 202,945 | |||
Heritage Commerce Corp. | 4,500 | 76,455 | |||
Heritage Financial Corp. | 3,600 | 125,460 | |||
Hilltop Holdings, Inc. | 9,200 | 203,044 | |||
Home BancShares, Inc. | 19,714 | 444,748 | |||
HomeTrust Bancshares, Inc. (a) | 2,000 | 56,300 | |||
Hope Bancorp, Inc. | 16,221 | 289,220 | |||
Horizon Bancorp, Inc. | 4,200 | 86,898 | |||
Howard Bancorp, Inc. (a) | 1,000 | 18,000 |
Table of Contents
Security Description | Shares | Value | |||
IBERIABANK Corp. | 6,992 | $ 529,994 | |||
Independent Bank Corp. | 2,430 | 61,965 | |||
Independent Bank Corp./MA | 3,433 | 269,147 | |||
Independent Bank Group, Inc. | 2,451 | 163,727 | |||
International Bancshares Corp. | 6,990 | 299,172 | |||
Investar Holding Corp. | 1,000 | 27,650 | |||
Investors Bancorp, Inc. | 30,914 | 395,390 | |||
KKR Real Estate Finance Trust, Inc. (b) | 1,900 | 37,582 | |||
Lakeland Bancorp, Inc. | 5,500 | 109,175 | |||
Lakeland Financial Corp. | 3,028 | 145,919 | |||
LCNB Corp. | 1,100 | 21,670 | |||
LegacyTexas Financial Group, Inc. | 6,048 | 235,993 | |||
Level One Bancorp, Inc. | 200 | 5,436 | |||
Live Oak Bancshares, Inc. | 2,800 | 85,820 | |||
Macatawa Bank Corp. | 3,200 | 38,848 | |||
MB Financial, Inc. | 10,200 | 476,340 | |||
MBT Financial Corp. | 2,100 | 22,365 | |||
Mercantile Bank Corp. | 2,000 | 73,920 | |||
Metropolitan Bank Holding Corp. (a) | 400 | 20,992 | |||
Mid Penn Bancorp, Inc. | 100 | 3,490 | |||
Middlefield Banc Corp. | 300 | 15,210 | |||
Midland States Bancorp, Inc. | 2,800 | 95,928 | |||
MidSouth Bancorp, Inc. | 1,700 | 22,525 | |||
MidWestOne Financial Group, Inc. | 1,351 | 45,637 | |||
MutualFirst Financial, Inc. | 700 | 26,425 | |||
MVB Financial Corp. | 100 | 1,805 | |||
National Bank Holdings Corp. Class A | 3,100 | 119,629 | |||
National Bankshares, Inc. | 837 | 38,837 | |||
National Commerce Corp. (a) | 1,463 | 67,737 | |||
NBT Bancorp, Inc. | 5,300 | 202,195 | |||
Nicolet Bankshares, Inc. (a) | 1,100 | 60,621 | |||
Northeast Bancorp | 900 | 19,620 | |||
Northrim BanCorp, Inc. | 800 | 31,640 | |||
Norwood Financial Corp. | 650 | 23,413 | |||
Oak Valley Bancorp | 200 | 4,574 | |||
OFG Bancorp | 5,300 | 74,465 | |||
Ohio Valley Banc Corp. | 500 | 26,225 | |||
Old Line Bancshares, Inc. | 1,900 | 66,329 | |||
Old National Bancorp | 18,861 | 350,815 | |||
Old Second Bancorp, Inc. | 3,600 | 51,840 | |||
Opus Bank | 2,400 | 68,880 | |||
Origin Bancorp, Inc. | 2,000 | 81,880 | |||
Orrstown Financial Services, Inc. | 900 | 23,400 | |||
Pacific Mercantile Bancorp (a) | 1,800 | 17,550 | |||
Pacific Premier Bancorp, Inc. (a) (b) | 5,751 | 219,401 | |||
PacWest Bancorp | 15,615 | 771,693 | |||
Park National Corp. | 1,699 | 189,303 | |||
Parke Bancorp, Inc. | 1,320 | 31,218 | |||
Peapack Gladstone Financial Corp. | 2,200 | 76,098 | |||
Penns Woods Bancorp, Inc. | 547 | 24,495 | |||
Peoples Bancorp of North Carolina, Inc. | 530 | 16,976 | |||
Peoples Bancorp, Inc. | 2,000 | 75,560 | |||
Peoples Financial Services Corp. | 839 | 39,450 | |||
People's Utah Bancorp | 1,900 | 67,830 | |||
Pinnacle Financial Partners, Inc. | 8,939 | 548,408 |
Security Description | Shares | Value | |||
Popular, Inc. | 12,510 | $ 565,577 | |||
Preferred Bank | 1,700 | 104,482 | |||
Premier Financial Bancorp, Inc. | 1,412 | 26,362 | |||
Prosperity Bancshares, Inc. | 8,422 | 575,728 | |||
QCR Holdings, Inc. | 1,500 | 71,175 | |||
RBB Bancorp | 1,900 | 61,028 | |||
Reliant Bancorp, Inc. | 800 | 22,440 | |||
Renasant Corp. | 5,661 | 257,689 | |||
Republic Bancorp, Inc. Class A | 1,200 | 54,360 | |||
Republic First Bancorp, Inc. (a) | 6,000 | 47,100 | |||
S&T Bancorp, Inc. | 4,253 | 183,900 | |||
Sandy Spring Bancorp, Inc. | 3,997 | 163,917 | |||
SB One Bancorp | 900 | 26,730 | |||
Seacoast Banking Corp. of Florida (a) | 5,300 | 167,374 | |||
Select Bancorp, Inc. (a) | 200 | 2,694 | |||
ServisFirst Bancshares, Inc. | 5,800 | 242,034 | |||
Shore Bancshares, Inc. | 1,500 | 28,530 | |||
Sierra Bancorp | 1,600 | 45,184 | |||
Signature Bank (a) | 6,774 | 866,259 | |||
Simmons First National Corp. Class A | 10,486 | 313,531 | |||
SmartFinancial, Inc. (a) | 900 | 23,184 | |||
South State Corp. | 4,545 | 392,006 | |||
Southern First Bancshares, Inc. (a) | 800 | 35,360 | |||
Southern National Bancorp of Virginia, Inc. | 2,600 | 46,384 | |||
Southside Bancshares, Inc. | 4,304 | 144,959 | |||
Spirit of Texas Bancshares, Inc. (a) | 300 | 6,180 | |||
State Bank Financial Corp. | 4,600 | 153,640 | |||
Sterling Bancorp | 26,916 | 632,526 | |||
Stock Yards Bancorp, Inc. | 2,700 | 103,005 | |||
Summit Financial Group, Inc. | 1,300 | 34,892 | |||
Synovus Financial Corp. | 14,571 | 769,786 | |||
TCF Financial Corp. | 20,300 | 499,786 | |||
Texas Capital Bancshares, Inc. (a) | 6,248 | 571,692 | |||
Tompkins Financial Corp. | 1,793 | 153,983 | |||
Towne Bank | 7,990 | 256,479 | |||
TriCo Bancshares | 2,476 | 92,726 | |||
TriState Capital Holdings, Inc. (a) | 2,700 | 70,470 | |||
Triumph Bancorp, Inc. (a) | 2,900 | 118,175 | |||
Trustmark Corp. | 8,477 | 276,605 | |||
UMB Financial Corp. | 5,689 | 433,673 | |||
Umpqua Holdings Corp. | 27,287 | 616,413 | |||
Union Bankshares Corp. | 8,020 | 311,818 | |||
Union Bankshares, Inc./Morrisville | 500 | 25,950 | |||
United Bankshares, Inc. | 12,500 | 455,000 | |||
United Community Banks, Inc. | 9,361 | 287,102 | |||
United Security Bancshares | 1,500 | 16,800 | |||
Unity Bancorp, Inc. | 900 | 20,475 | |||
Univest Corp. of Pennsylvania | 3,444 | 94,710 | |||
Valley National Bancorp (b) | 39,900 | 485,184 | |||
Veritex Holdings, Inc. (a) | 3,100 | 96,317 | |||
Washington Trust Bancorp, Inc. | 1,813 | 105,335 | |||
Webster Financial Corp. | 11,357 | 723,441 | |||
WesBanco, Inc. | 5,242 | 236,100 | |||
West Bancorp, Inc. | 1,900 | 47,785 | |||
Westamerica Bancorporation (b) | 3,185 | 179,984 |
Table of Contents
Security Description | Shares | Value | ||||
Western Alliance Bancorp (a) | 12,365 | $ 699,983 | ||||
Wintrust Financial Corp. | 7,028 | 611,787 | ||||
44,713,221 | ||||||
BEVERAGES — 0.6% | ||||||
Boston Beer Co., Inc. Class A (a) (b) | 1,032 | 309,290 | ||||
Castle Brands, Inc. (a) (b) | 10,900 | 12,971 | ||||
Celsius Holdings, Inc. (a) (b) | 2,800 | 12,880 | ||||
Coca-Cola Bottling Co. Consolidated | 584 | 78,916 | ||||
Craft Brew Alliance, Inc. (a) | 1,500 | 30,975 | ||||
Dr. Pepper Snapple Group, Inc. | 22,100 | 2,696,200 | ||||
MGP Ingredients, Inc. | 1,600 | 142,096 | ||||
National Beverage Corp. (a) (b) | 1,500 | 160,350 | ||||
Primo Water Corp. (a) | 3,100 | 54,219 | ||||
3,497,897 | ||||||
BIOTECHNOLOGY — 5.0% | ||||||
Abeona Therapeutics, Inc. (a) (b) | 3,500 | 56,000 | ||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 12,709 | 194,066 | ||||
Acceleron Pharma, Inc. (a) (b) | 4,600 | 223,192 | ||||
Achaogen, Inc. (a) (b) | 4,200 | 36,372 | ||||
Achillion Pharmaceuticals, Inc. (a) | 16,200 | 45,846 | ||||
Acorda Therapeutics, Inc. (a) | 5,700 | 163,590 | ||||
Adamas Pharmaceuticals, Inc. (a) (b) | 2,100 | 54,243 | ||||
ADMA Biologics, Inc. (a) | 2,300 | 10,373 | ||||
Aduro Biotech, Inc. (a) (b) | 5,554 | 38,878 | ||||
Adverum Biotechnologies, Inc. (a) | 6,700 | 35,510 | ||||
Aeglea BioTherapeutics, Inc. (a) | 2,000 | 21,160 | ||||
Agenus, Inc. (a) (b) | 9,400 | 21,338 | ||||
Agios Pharmaceuticals, Inc. (a) (b) | 6,268 | 527,954 | ||||
Aimmune Therapeutics, Inc. (a) (b) | 5,600 | 150,584 | ||||
Akebia Therapeutics, Inc. (a) | 5,500 | 54,890 | ||||
Albireo Pharma, Inc. (a) | 1,100 | 39,050 | ||||
Alder Biopharmaceuticals, Inc. (a) (b) | 7,752 | 122,482 | ||||
Aldeyra Therapeutics, Inc. (a) | 2,000 | 15,900 | ||||
Alkermes PLC (a) (b) | 19,262 | 792,824 | ||||
Allena Pharmaceuticals, Inc. (a) (b) | 700 | 9,121 | ||||
Alnylam Pharmaceuticals, Inc. (a) | 11,069 | 1,090,186 | ||||
AMAG Pharmaceuticals, Inc. (a) | 4,300 | 83,850 | ||||
Amicus Therapeutics, Inc. (a) (b) | 23,841 | 372,396 | ||||
AnaptysBio, Inc. (a) | 2,200 | 156,288 | ||||
Apellis Pharmaceuticals, Inc. (a) | 4,700 | 103,400 | ||||
Arbutus Biopharma Corp. (a) | 4,300 | 31,390 | ||||
Arcus Biosciences, Inc. (a) | 600 | 7,344 | ||||
Ardelyx, Inc. (a) | 3,900 | 14,430 | ||||
Arena Pharmaceuticals, Inc. (a) | 6,130 | 267,268 | ||||
ArQule, Inc. (a) | 10,600 | 58,618 | ||||
Array BioPharma, Inc. (a) (b) | 25,283 | 424,249 | ||||
Arrowhead Pharmaceuticals, Inc. (a) (b) | 10,600 | 144,160 | ||||
Arsanis, Inc. (a) (b) | 891 | 3,234 | ||||
Atara Biotherapeutics, Inc. (a) (b) | 5,000 | 183,750 | ||||
Athenex, Inc. (a) (b) | 5,500 | 102,630 | ||||
Athersys, Inc. (a) (b) | 11,900 | 23,443 | ||||
Audentes Therapeutics, Inc. (a) | 4,100 | 156,661 | ||||
AVEO Pharmaceuticals, Inc. (a) (b) | 12,500 | 28,250 | ||||
Avid Bioservices, Inc. (a) | 6,200 | 24,304 |
Security Description | Shares | Value | |||
Bellicum Pharmaceuticals, Inc. (a) (b) | 3,182 | $ 23,483 | |||
BioCryst Pharmaceuticals, Inc. (a) (b) | 12,000 | 68,760 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) (b) | 3,400 | 134,368 | |||
BioMarin Pharmaceutical, Inc. (a) | 21,911 | 2,064,016 | |||
BioSpecifics Technologies Corp. (a) | 726 | 32,568 | |||
BioTime, Inc. (a) (b) | 10,100 | 20,806 | |||
Bluebird Bio, Inc. (a) (b) | 6,219 | 976,072 | |||
Blueprint Medicines Corp. (a) | 5,142 | 326,414 | |||
Calithera Biosciences, Inc. (a) | 3,600 | 18,000 | |||
Calyxt, Inc. (a) (b) | 800 | 14,936 | |||
Cara Therapeutics, Inc. (a) (b) | 3,300 | 63,195 | |||
CareDx, Inc. (a) | 3,900 | 47,736 | |||
CASI Pharmaceuticals, Inc. (a) (b) | 5,100 | 41,973 | |||
Catalyst Biosciences, Inc. (a) | 1,500 | 17,505 | |||
Catalyst Pharmaceuticals, Inc. (a) | 10,500 | 32,760 | |||
Celcuity, Inc. (a) (b) | 1,000 | 24,820 | |||
Cellular Biomedicine Group, Inc. (a) | 1,400 | 27,370 | |||
ChemoCentryx, Inc. (a) | 2,900 | 38,193 | |||
Chimerix, Inc. (a) | 5,397 | 25,690 | |||
Clovis Oncology, Inc. (a) (b) | 5,480 | 249,176 | |||
Cohbar, Inc. (a) | 2,700 | 17,685 | |||
Coherus Biosciences, Inc. (a) (b) | 4,800 | 67,200 | |||
Concert Pharmaceuticals, Inc. (a) | 2,100 | 35,343 | |||
Corbus Pharmaceuticals Holdings, Inc. (a) (b) | 5,700 | 28,785 | |||
Corvus Pharmaceuticals, Inc. (a) (b) | 1,000 | 10,980 | |||
CTI BioPharma Corp. (a) | 6,300 | 31,374 | |||
Cue Biopharma, Inc. (a) (b) | 1,100 | 13,046 | |||
Cytokinetics, Inc. (a) | 5,800 | 48,140 | |||
CytomX Therapeutics, Inc. (a) | 4,976 | 113,751 | |||
Deciphera Pharmaceuticals, Inc. (a) | 1,000 | 39,350 | |||
Denali Therapeutics, Inc. (a) (b) | 1,900 | 28,975 | |||
Dicerna Pharmaceuticals, Inc. (a) | 5,400 | 66,150 | |||
Dynavax Technologies Corp. (a) | 7,438 | 113,430 | |||
Eagle Pharmaceuticals, Inc. (a) (b) | 1,005 | 76,038 | |||
Editas Medicine, Inc. (a) (b) | 5,600 | 200,648 | |||
Emergent BioSolutions, Inc. (a) | 5,500 | 277,695 | |||
Enanta Pharmaceuticals, Inc. (a) | 2,000 | 231,800 | |||
Epizyme, Inc. (a) (b) | 6,038 | 81,815 | |||
Esperion Therapeutics, Inc. (a) | 3,000 | 117,570 | |||
Evelo Biosciences, Inc. (a) (b) | 700 | 8,260 | |||
Exact Sciences Corp. (a) (b) | 14,822 | 886,207 | |||
Exelixis, Inc. (a) | 36,485 | 785,157 | |||
Fate Therapeutics, Inc. (a) (b) | 5,800 | 65,772 | |||
Fennec Pharmaceuticals, Inc. (a) | 1,400 | 14,616 | |||
FibroGen, Inc. (a) | 9,300 | 582,180 | |||
Five Prime Therapeutics, Inc. (a) | 3,947 | 62,402 | |||
Flexion Therapeutics, Inc. (a) (b) | 4,000 | 103,400 | |||
Fortress Biotech, Inc. (a) | 3,800 | 11,324 | |||
Foundation Medicine, Inc. (a) | 1,800 | 246,060 | |||
G1 Therapeutics, Inc. (a) | 2,500 | 108,650 | |||
Genomic Health, Inc. (a) | 2,500 | 126,000 | |||
Geron Corp. (a) | 17,883 | 61,339 | |||
Global Blood Therapeutics, Inc. (a) | 6,238 | 281,958 | |||
GlycoMimetics, Inc. (a) | 4,100 | 66,133 |
Table of Contents
Security Description | Shares | Value | |||
GTx, Inc. (a) (b) | 600 | $ 9,186 | |||
Halozyme Therapeutics, Inc. (a) | 15,252 | 257,301 | |||
Heron Therapeutics, Inc. (a) (b) | 7,826 | 304,040 | |||
Homology Medicines, Inc. (a) (b) | 1,300 | 26,520 | |||
Idera Pharmaceuticals, Inc. (a) (b) | 16,400 | 21,648 | |||
Immune Design Corp. (a) | 4,300 | 19,565 | |||
ImmunoGen, Inc. (a) | 15,700 | 152,761 | |||
Immunomedics, Inc. (a) (b) | 16,372 | 387,525 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 9,711 | 38,067 | |||
Insmed, Inc. (a) (b) | 9,733 | 230,185 | |||
Insys Therapeutics, Inc. (a) (b) | 2,753 | 19,932 | |||
Intellia Therapeutics, Inc. (a) (b) | 4,300 | 117,648 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 2,717 | 227,983 | |||
Intrexon Corp. (a) (b) | 7,941 | 110,698 | |||
Invitae Corp. (a) (b) | 5,000 | 36,750 | |||
Ionis Pharmaceuticals, Inc. (a) (b) | 15,673 | 653,094 | |||
Iovance Biotherapeutics, Inc. (a) (b) | 9,000 | 115,200 | |||
Ironwood Pharmaceuticals, Inc. (a) (b) | 17,200 | 328,864 | |||
Jounce Therapeutics, Inc. (a) (b) | 1,700 | 13,022 | |||
Kadmon Holdings, Inc. (a) | 8,500 | 33,915 | |||
Karyopharm Therapeutics, Inc. (a) | 6,300 | 107,037 | |||
Keryx Biopharmaceuticals, Inc. (a) (b) | 11,003 | 41,371 | |||
Kindred Biosciences, Inc. (a) | 2,900 | 30,885 | |||
Kura Oncology, Inc. (a) (b) | 2,600 | 47,320 | |||
La Jolla Pharmaceutical Co. (a) (b) | 2,100 | 61,257 | |||
Lexicon Pharmaceuticals, Inc. (a) (b) | 5,321 | 63,852 | |||
Ligand Pharmaceuticals, Inc. (a) (b) | 2,579 | 534,291 | |||
Loxo Oncology, Inc. (a) (b) | 3,277 | 568,494 | |||
MacroGenics, Inc. (a) (b) | 4,147 | 85,636 | |||
Madrigal Pharmaceuticals, Inc. (a) | 700 | 195,783 | |||
MannKind Corp. (a) (b) | 17,200 | 32,680 | |||
MediciNova, Inc. (a) (b) | 4,700 | 37,412 | |||
Mersana Therapeutics, Inc. (a) (b) | 1,300 | 23,218 | |||
MiMedx Group, Inc. (a) (b) | 12,693 | 81,108 | |||
Minerva Neurosciences, Inc. (a) | 3,080 | 25,410 | |||
Miragen Therapeutics, Inc. (a) | 2,100 | 13,461 | |||
Mirati Therapeutics, Inc. (a) (b) | 2,200 | 108,460 | |||
Molecular Templates, Inc. (a) | 1,100 | 5,753 | |||
Momenta Pharmaceuticals, Inc. (a) | 9,487 | 194,009 | |||
Mustang Bio, Inc. (a) | 2,000 | 13,780 | |||
Myriad Genetics, Inc. (a) | 8,151 | 304,603 | |||
NantKwest, Inc. (a) (b) | 3,400 | 10,404 | |||
Natera, Inc. (a) | 3,900 | 73,398 | |||
Neurocrine Biosciences, Inc. (a) (b) | 11,171 | 1,097,439 | |||
NewLink Genetics Corp. (a) | 3,458 | 16,460 | |||
Novavax, Inc. (a) (b) | 38,400 | 51,456 | |||
Nymox Pharmaceutical Corp. (a) | 3,700 | 12,432 | |||
OPKO Health, Inc. (a) (b) | 41,780 | 196,366 | |||
Organovo Holdings, Inc. (a) (b) | 11,700 | 16,380 | |||
Ovid therapeutics, Inc. (a) | 1,500 | 11,700 | |||
Palatin Technologies, Inc. (a) | 24,100 | 23,372 | |||
PDL BioPharma, Inc. (a) | 18,655 | 43,653 | |||
Pfenex, Inc. (a) | 2,600 | 14,066 | |||
Pieris Pharmaceuticals, Inc. (a) (b) | 4,900 | 24,843 | |||
PolarityTE, Inc. (a) (b) | 1,100 | 25,894 |
Security Description | Shares | Value | |||
Portola Pharmaceuticals, Inc. (a) (b) | 7,941 | $ 299,932 | |||
Progenics Pharmaceuticals, Inc. (a) (b) | 8,700 | 69,948 | |||
Proteostasis Therapeutics, Inc. (a) | 3,100 | 8,649 | |||
Prothena Corp. PLC (a) (b) | 4,700 | 68,526 | |||
PTC Therapeutics, Inc. (a) | 5,000 | 168,650 | |||
Puma Biotechnology, Inc. (a) (b) | 3,607 | 213,354 | |||
Ra Pharmaceuticals, Inc. (a) (b) | 2,000 | 19,900 | |||
Radius Health, Inc. (a) (b) | 4,815 | 141,898 | |||
Recro Pharma, Inc. (a) | 1,600 | 8,032 | |||
REGENXBIO, Inc. (a) | 3,500 | 251,125 | |||
Repligen Corp. (a) (b) | 4,700 | 221,088 | |||
Retrophin, Inc. (a) | 4,800 | 130,848 | |||
Rhythm Pharmaceuticals, Inc. (a) | 1,000 | 31,260 | |||
Rigel Pharmaceuticals, Inc. (a) | 18,100 | 51,223 | |||
Rocket Pharmaceuticals, Inc. (a) | 2,500 | 49,075 | |||
Sage Therapeutics, Inc. (a) | 5,577 | 872,968 | |||
Sangamo Therapeutics, Inc. (a) (b) | 12,900 | 183,180 | |||
Sarepta Therapeutics, Inc. (a) (b) | 7,683 | 1,015,539 | |||
Savara, Inc. (a) | 3,000 | 33,960 | |||
Seattle Genetics, Inc. (a) (b) | 13,320 | 884,315 | |||
Selecta Biosciences, Inc. (a) | 1,600 | 21,200 | |||
Seres Therapeutics, Inc. (a) (b) | 2,346 | 20,176 | |||
Solid Biosciences, Inc. (a) (b) | 1,100 | 39,193 | |||
Sorrento Therapeutics, Inc. (a) (b) | 10,600 | 76,320 | |||
Spark Therapeutics, Inc. (a) (b) | 3,842 | 317,964 | |||
Spectrum Pharmaceuticals, Inc. (a) | 12,462 | 261,204 | |||
Spero Therapeutics, Inc. (a) | 600 | 8,802 | |||
Spring Bank Pharmaceuticals, Inc. (a) | 200 | 2,370 | |||
Stemline Therapeutics, Inc. (a) (b) | 3,200 | 51,360 | |||
Surface Oncology, Inc. (a) | 900 | 14,679 | |||
Syndax Pharmaceuticals, Inc. (a) (b) | 1,400 | 9,828 | |||
Synergy Pharmaceuticals, Inc. (a) (b) | 30,418 | 52,927 | |||
Synlogic, Inc. (a) | 1,900 | 18,677 | |||
Syros Pharmaceuticals, Inc. (a) | 1,900 | 19,399 | |||
T2 Biosystems, Inc. (a) | 3,100 | 23,994 | |||
TESARO, Inc. (a) (b) | 4,652 | 206,874 | |||
TG Therapeutics, Inc. (a) (b) | 6,300 | 82,845 | |||
Tocagen, Inc. (a) | 2,100 | 19,614 | |||
Tyme Technologies, Inc. (a) | 5,200 | 16,432 | |||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 5,665 | 435,469 | |||
United Therapeutics Corp. (a) | 5,429 | 614,291 | |||
UNITY Biotechnology, Inc. (a) (b) | 600 | 9,036 | |||
Unum Therapeutics, Inc. (a) (b) | 400 | 5,740 | |||
Vanda Pharmaceuticals, Inc. (a) | 5,400 | 102,870 | |||
Veracyte, Inc. (a) | 2,900 | 27,086 | |||
Verastem, Inc. (a) | 6,400 | 44,032 | |||
Vericel Corp. (a) | 4,500 | 43,650 | |||
Viking Therapeutics, Inc. (a) | 5,300 | 50,297 | |||
Vital Therapies, Inc. (a) | 3,700 | 25,345 | |||
Voyager Therapeutics, Inc. (a) | 2,000 | 39,080 | |||
Xencor, Inc. (a) | 5,685 | 210,402 | |||
XOMA Corp. (a) | 700 | 14,616 | |||
Zafgen, Inc. (a) | 2,800 | 28,644 | |||
ZIOPHARM Oncology, Inc. (a) (b) | 16,100 | 48,622 | |||
30,130,393 |
Table of Contents
Security Description | Shares | Value | ||||
BUILDING PRODUCTS — 1.0% | ||||||
AAON, Inc. | 5,100 | $ 169,575 | ||||
Advanced Drainage Systems, Inc. | 5,700 | 162,735 | ||||
American Woodmark Corp. (a) | 1,759 | 161,036 | ||||
Apogee Enterprises, Inc. | 3,409 | 164,211 | ||||
Armstrong Flooring, Inc. (a) | 2,577 | 36,181 | ||||
Armstrong World Industries, Inc. (a) | 5,555 | 351,076 | ||||
Builders FirstSource, Inc. (a) | 13,800 | 252,402 | ||||
Caesarstone, Ltd. (b) | 2,827 | 42,688 | ||||
Continental Building Products, Inc. (a) | 4,800 | 151,440 | ||||
CSW Industrials, Inc. (a) | 1,737 | 91,800 | ||||
Gibraltar Industries, Inc. (a) | 3,900 | 146,250 | ||||
Griffon Corp. | 3,600 | 64,080 | ||||
Insteel Industries, Inc. | 2,200 | 73,480 | ||||
JELD-WEN Holding, Inc. (a) | 8,700 | 248,733 | ||||
Lennox International, Inc. | 4,538 | 908,281 | ||||
Masonite International Corp. (a) | 3,393 | 243,787 | ||||
NCI Building Systems, Inc. (a) | 5,228 | 109,788 | ||||
Owens Corning | 13,616 | 862,846 | ||||
Patrick Industries, Inc. (a) | 3,000 | 170,550 | ||||
PGT Innovations, Inc. (a) | 5,900 | 123,015 | ||||
Quanex Building Products Corp. | 4,268 | 76,611 | ||||
Simpson Manufacturing Co., Inc. | 5,200 | 323,388 | ||||
Trex Co., Inc. (a) | 7,398 | 463,041 | ||||
Universal Forest Products, Inc. | 7,709 | 282,304 | ||||
USG Corp. (a) | 10,109 | 435,900 | ||||
6,115,198 | ||||||
CAPITAL MARKETS — 2.1% | ||||||
Arlington Asset Investment Corp. Class A (b) | 3,200 | 32,992 | ||||
Artisan Partners Asset Management, Inc. Class A | 5,755 | 173,513 | ||||
Ashford, Inc. (a) | 100 | 6,480 | ||||
Associated Capital Group, Inc. Class A (b) | 500 | 18,975 | ||||
B. Riley Financial, Inc. (b) | 2,534 | 57,142 | ||||
BGC Partners, Inc. Class A | 32,900 | 372,428 | ||||
BrightSphere Investment Group PLC | 9,200 | 131,192 | ||||
Cohen & Steers, Inc. | 2,609 | 108,821 | ||||
Cowen, Inc. (a) (b) | 3,050 | 42,243 | ||||
Diamond Hill Investment Group, Inc. | 403 | 78,355 | ||||
Donnelley Financial Solutions, Inc. (a) | 4,412 | 76,636 | ||||
Eaton Vance Corp. | 14,356 | 749,240 | ||||
Evercore, Inc. Class A | 4,843 | 510,694 | ||||
FactSet Research Systems, Inc. | 4,699 | 930,872 | ||||
Federated Investors, Inc. Class B | 12,100 | 282,172 | ||||
Financial Engines, Inc. | 7,995 | 358,975 | ||||
GAIN Capital Holdings, Inc. (b) | 4,000 | 30,200 | ||||
GAMCO Investors, Inc. Class A | 551 | 14,745 | ||||
Greenhill & Co., Inc. (b) | 3,017 | 85,683 | ||||
Hamilton Lane, Inc. Class A | 1,700 | 81,549 | ||||
Houlihan Lokey, Inc. | 3,300 | 169,026 | ||||
Interactive Brokers Group, Inc. Class A | 8,819 | 568,032 | ||||
INTL. FCStone, Inc. (a) | 1,900 | 98,249 | ||||
Investment Technology Group, Inc. | 4,000 | 83,680 |
Security Description | Shares | Value | ||||
Ladenburg Thalmann Financial Services, Inc. | 12,600 | $ 42,840 | ||||
Lazard, Ltd. Class A | 14,502 | 709,293 | ||||
Legg Mason, Inc. | 10,700 | 371,611 | ||||
LPL Financial Holdings, Inc. | 11,007 | 721,399 | ||||
MarketAxess Holdings, Inc. | 4,541 | 898,482 | ||||
Moelis & Co. Class A | 4,900 | 287,385 | ||||
Morningstar, Inc. | 2,292 | 293,949 | ||||
Oppenheimer Holdings, Inc. Class A | 1,200 | 33,600 | ||||
Piper Jaffray Cos. | 1,800 | 138,330 | ||||
PJT Partners, Inc. Class A | 2,269 | 121,142 | ||||
Pzena Investment Management, Inc. Class A | 2,000 | 18,420 | ||||
Safeguard Scientifics, Inc. (a) | 2,400 | 30,720 | ||||
SEI Investments Co. | 16,587 | 1,037,019 | ||||
Siebert Financial Corp. (a) (b) | 900 | 9,378 | ||||
Silvercrest Asset Management Group, Inc. Class A | 800 | 13,040 | ||||
Stifel Financial Corp. | 8,354 | 436,496 | ||||
TD Ameritrade Holding Corp. | 34,584 | 1,894,166 | ||||
Value Line, Inc. | 100 | 2,370 | ||||
Virtu Financial, Inc. Class A | 4,300 | 114,165 | ||||
Virtus Investment Partners, Inc. | 846 | 108,246 | ||||
Waddell & Reed Financial, Inc. Class A | 9,939 | 178,604 | ||||
Westwood Holdings Group, Inc. | 1,005 | 59,838 | ||||
WisdomTree Investments, Inc. | 14,100 | 128,028 | ||||
12,710,415 | ||||||
CHEMICALS — 2.6% | ||||||
A Schulman, Inc. | 3,490 | 155,305 | ||||
Advanced Emissions Solutions, Inc. (b) | 2,300 | 26,128 | ||||
AdvanSix, Inc. (a) | 3,700 | 135,531 | ||||
AgroFresh Solutions, Inc. (a) | 2,600 | 18,226 | ||||
American Vanguard Corp. | 3,552 | 81,518 | ||||
Ashland Global Holdings, Inc. | 7,831 | 612,228 | ||||
Axalta Coating Systems, Ltd. (a) | 27,102 | 821,462 | ||||
Balchem Corp. | 3,995 | 392,069 | ||||
Cabot Corp. | 7,698 | 475,505 | ||||
Celanese Corp. Series A | 16,667 | 1,851,037 | ||||
Chase Corp. | 933 | 109,394 | ||||
Chemours Co. | 21,843 | 968,956 | ||||
Codexis, Inc. (a) (b) | 5,000 | 72,000 | ||||
Ferro Corp. (a) | 10,509 | 219,113 | ||||
Flotek Industries, Inc. (a) (b) | 6,500 | 20,995 | ||||
FutureFuel Corp. | 3,100 | 43,431 | ||||
GCP Applied Technologies, Inc. (a) | 8,997 | 260,463 | ||||
Hawkins, Inc. | 1,200 | 42,420 | ||||
HB Fuller Co. | 6,299 | 338,130 | ||||
Huntsman Corp. | 26,834 | 783,553 | ||||
Ingevity Corp. (a) | 5,238 | 423,545 | ||||
Innophos Holdings, Inc. | 2,400 | 114,240 | ||||
Innospec, Inc. | 3,117 | 238,606 | ||||
Intrepid Potash, Inc. (a) | 11,700 | 47,970 | ||||
KMG Chemicals, Inc. | 1,600 | 118,048 | ||||
Koppers Holdings, Inc. (a) | 2,500 | 95,875 | ||||
Kraton Corp. (a) | 3,700 | 170,718 | ||||
Kronos Worldwide, Inc. | 2,800 | 63,084 |
Table of Contents
Security Description | Shares | Value | ||||
LSB Industries, Inc. (a) | 2,700 | $ 14,310 | ||||
Marrone Bio Innovations, Inc. (a) | 6,700 | 12,328 | ||||
Minerals Technologies, Inc. | 4,443 | 334,780 | ||||
NewMarket Corp. | 929 | 375,781 | ||||
Olin Corp. | 20,800 | 597,376 | ||||
OMNOVA Solutions, Inc. (a) | 5,300 | 55,120 | ||||
Platform Specialty Products Corp. (a) | 28,300 | 328,280 | ||||
PolyOne Corp. | 10,133 | 437,948 | ||||
PQ Group Holdings, Inc. (a) | 3,600 | 64,800 | ||||
Quaker Chemical Corp. | 1,630 | 252,438 | ||||
Rayonier Advanced Materials, Inc. | 6,300 | 107,667 | ||||
RPM International, Inc. | 16,285 | 949,741 | ||||
Scotts Miracle-Gro Co. (b) | 5,033 | 418,544 | ||||
Sensient Technologies Corp. | 5,419 | 387,729 | ||||
Stepan Co. | 2,482 | 193,621 | ||||
Trecora Resources (a) | 2,300 | 34,155 | ||||
Tredegar Corp. | 3,207 | 75,365 | ||||
Trinseo SA | 5,374 | 381,285 | ||||
Tronox, Ltd. Class A | 11,269 | 221,774 | ||||
Valhi, Inc. | 3,700 | 17,612 | ||||
Valvoline, Inc. | 24,294 | 524,022 | ||||
Westlake Chemical Corp. | 4,496 | 483,904 | ||||
WR Grace & Co. | 8,276 | 606,714 | ||||
15,574,844 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.4% | ||||||
ABM Industries, Inc. | 8,100 | 236,358 | ||||
ACCO Brands Corp. | 12,916 | 178,887 | ||||
ADT, Inc. (b) | 13,000 | 112,450 | ||||
Advanced Disposal Services, Inc. (a) | 9,200 | 227,976 | ||||
Brady Corp. Class A | 5,800 | 223,590 | ||||
Brink's Co. | 6,114 | 487,591 | ||||
Casella Waste Systems, Inc. Class A (a) | 4,800 | 122,928 | ||||
CECO Environmental Corp. | 3,456 | 21,220 | ||||
Clean Harbors, Inc. (a) | 6,611 | 367,241 | ||||
CompX International, Inc. | 200 | 2,640 | ||||
Covanta Holding Corp. | 14,700 | 242,550 | ||||
Deluxe Corp. | 6,076 | 402,292 | ||||
Ennis, Inc. | 3,100 | 63,085 | ||||
Essendant, Inc. | 4,549 | 60,138 | ||||
Healthcare Services Group, Inc. (b) | 8,865 | 382,879 | ||||
Heritage-Crystal Clean, Inc. (a) | 1,800 | 36,180 | ||||
Herman Miller, Inc. | 7,500 | 254,250 | ||||
HNI Corp. | 5,389 | 200,471 | ||||
Interface, Inc. | 7,500 | 172,125 | ||||
KAR Auction Services, Inc. | 16,765 | 918,722 | ||||
Kimball International, Inc. Class B | 4,400 | 71,104 | ||||
Knoll, Inc. | 5,890 | 122,571 | ||||
LSC Communications, Inc. | 4,212 | 65,960 | ||||
Matthews International Corp. Class A | 3,931 | 231,143 | ||||
McGrath RentCorp | 2,900 | 183,483 | ||||
Mobile Mini, Inc. | 5,500 | 257,950 | ||||
MSA Safety, Inc. | 4,221 | 406,651 | ||||
Multi-Color Corp. | 1,721 | 111,263 | ||||
NL Industries, Inc. (a) | 1,000 | 8,700 |
Security Description | Shares | Value | ||||
Pitney Bowes, Inc. | 23,364 | $ 200,229 | ||||
Quad/Graphics, Inc. | 4,100 | 85,403 | ||||
Rollins, Inc. | 12,063 | 634,273 | ||||
RR Donnelley & Sons Co. | 8,533 | 49,150 | ||||
SP Plus Corp. (a) | 2,900 | 107,880 | ||||
Steelcase, Inc. Class A | 10,300 | 139,050 | ||||
Team, Inc. (a) (b) | 3,600 | 83,160 | ||||
Tetra Tech, Inc. | 6,880 | 402,480 | ||||
UniFirst Corp. | 1,908 | 337,525 | ||||
US Ecology, Inc. | 2,696 | 171,735 | ||||
Viad Corp. | 2,554 | 138,555 | ||||
VSE Corp. | 1,080 | 51,602 | ||||
8,573,440 | ||||||
COMMUNICATIONS EQUIPMENT — 1.7% | ||||||
Acacia Communications, Inc. (a) (b) | 3,400 | 118,354 | ||||
ADTRAN, Inc. | 5,900 | 87,615 | ||||
Aerohive Networks, Inc. (a) | 3,900 | 15,483 | ||||
Applied Optoelectronics, Inc. (a) (b) | 2,300 | 103,270 | ||||
Arista Networks, Inc. (a) | 6,969 | 1,794,448 | ||||
ARRIS International PLC (a) | 21,653 | 529,308 | ||||
CalAmp Corp. (a) | 4,200 | 98,406 | ||||
Calix, Inc. (a) | 5,300 | 41,340 | ||||
Casa Systems, Inc. (a) | 800 | 13,064 | ||||
Ciena Corp. (a) | 17,891 | 474,290 | ||||
Clearfield, Inc. (a) (b) | 1,400 | 15,470 | ||||
CommScope Holding Co., Inc. (a) | 23,934 | 698,993 | ||||
Comtech Telecommunications Corp. | 2,800 | 89,264 | ||||
DASAN Zhone Solutions, Inc. (a) | 700 | 6,832 | ||||
Digi International, Inc. (a) | 3,270 | 43,164 | ||||
EchoStar Corp. Class A (a) | 5,938 | 263,647 | ||||
Extreme Networks, Inc. (a) | 14,000 | 111,440 | ||||
Finisar Corp. (a) (b) | 14,600 | 262,800 | ||||
Harmonic, Inc. (a) | 9,800 | 41,650 | ||||
Infinera Corp. (a) (b) | 18,500 | 183,705 | ||||
InterDigital, Inc. (a) | 4,238 | 342,854 | ||||
KVH Industries, Inc. (a) | 1,866 | 25,004 | ||||
Lumentum Holdings, Inc. (a) | 7,700 | 445,830 | ||||
NETGEAR, Inc. (a) | 4,000 | 250,000 | ||||
NetScout Systems, Inc. (a) | 10,807 | 320,968 | ||||
Oclaro, Inc. (a) | 21,000 | 187,530 | ||||
Palo Alto Networks, Inc. (a) | 10,911 | 2,241,883 | ||||
Plantronics, Inc. | 4,148 | 316,285 | ||||
Quantenna Communications, Inc. (a) | 2,700 | 41,958 | ||||
Ribbon Communications, Inc. (a) | 5,500 | 39,160 | ||||
Ubiquiti Networks, Inc. (a) (b) | 2,356 | 199,600 | ||||
ViaSat, Inc. (a) (b) | 6,911 | 454,191 | ||||
Viavi Solutions, Inc. (a) | 29,300 | 300,032 | ||||
10,157,838 | ||||||
CONSTRUCTION & ENGINEERING — 0.7% | ||||||
AECOM (a) | 19,959 | 659,246 | ||||
Aegion Corp. (a) | 4,200 | 108,150 | ||||
Ameresco, Inc. Class A (a) | 2,200 | 26,400 | ||||
Argan, Inc. | 1,744 | 71,417 | ||||
Comfort Systems USA, Inc. | 4,543 | 208,069 | ||||
Dycom Industries, Inc. (a) | 3,752 | 354,601 | ||||
EMCOR Group, Inc. | 7,153 | 544,916 | ||||
Granite Construction, Inc. (b) | 5,479 | 304,961 |
Table of Contents
Security Description | Shares | Value | ||||
Great Lakes Dredge & Dock Corp. (a) | 6,600 | $ 34,650 | ||||
HC2 Holdings, Inc. (a) (b) | 4,800 | 28,080 | ||||
IES Holdings, Inc. (a) | 1,000 | 16,750 | ||||
Infrastructure and Energy Alternatives, Inc. (a) | 2,100 | 19,551 | ||||
KBR, Inc. | 17,888 | 320,553 | ||||
MasTec, Inc. (a) | 7,976 | 404,782 | ||||
MYR Group, Inc. (a) | 2,000 | 70,920 | ||||
Northwest Pipe Co. (a) | 1,100 | 21,307 | ||||
NV5 Global, Inc. (a) | 1,000 | 69,300 | ||||
Orion Group Holdings, Inc. (a) | 3,200 | 26,432 | ||||
Primoris Services Corp. | 4,986 | 135,769 | ||||
Sterling Construction Co., Inc. (a) | 3,200 | 41,696 | ||||
Tutor Perini Corp. (a) | 4,600 | 84,870 | ||||
Valmont Industries, Inc. | 2,770 | 417,577 | ||||
Willscot Corp. (a) (b) | 4,000 | 59,200 | ||||
4,029,197 | ||||||
CONSTRUCTION MATERIALS — 0.2% | ||||||
Eagle Materials, Inc. | 5,978 | 627,511 | ||||
Forterra, Inc. (a) (b) | 2,300 | 22,379 | ||||
Summit Materials, Inc. Class A (a) | 14,212 | 373,065 | ||||
United States Lime & Minerals, Inc. | 221 | 18,542 | ||||
US Concrete, Inc. (a) (b) | 1,940 | 101,850 | ||||
1,143,347 | ||||||
CONSUMER FINANCE — 0.9% | ||||||
Ally Financial, Inc. | 52,875 | 1,389,026 | ||||
Credit Acceptance Corp. (a) | 1,407 | 497,234 | ||||
Curo Group Holdings Corp. (a) | 900 | 22,455 | ||||
Elevate Credit, Inc. (a) (b) | 2,100 | 17,766 | ||||
Encore Capital Group, Inc. (a) | 2,992 | 109,507 | ||||
Enova International, Inc. (a) | 4,200 | 153,510 | ||||
EZCORP, Inc. Class A (a) (b) | 6,100 | 73,505 | ||||
FirstCash, Inc. | 5,478 | 492,198 | ||||
Green Dot Corp. Class A (a) | 5,900 | 433,001 | ||||
LendingClub Corp. (a) | 40,933 | 155,136 | ||||
Navient Corp. | 33,200 | 432,596 | ||||
Nelnet, Inc. Class A | 2,414 | 141,002 | ||||
OneMain Holdings, Inc. (a) | 9,262 | 308,332 | ||||
PRA Group, Inc. (a) (b) | 5,714 | 220,275 | ||||
Regional Management Corp. (a) | 1,200 | 42,024 | ||||
Santander Consumer USA Holdings, Inc. | 14,216 | 271,384 | ||||
SLM Corp. (a) | 54,900 | 628,605 | ||||
World Acceptance Corp. (a) | 731 | 81,148 | ||||
5,468,704 | ||||||
CONTAINERS & PACKAGING — 0.8% | ||||||
AptarGroup, Inc. | 7,743 | 723,041 | ||||
Ardagh Group SA | 2,200 | 36,564 | ||||
Bemis Co., Inc. | 11,355 | 479,295 | ||||
Berry Global Group, Inc. (a) | 16,586 | 761,961 | ||||
Crown Holdings, Inc. (a) | 16,079 | 719,696 | ||||
Graphic Packaging Holding Co. | 38,442 | 557,793 | ||||
Greif, Inc. Class A | 3,200 | 169,248 | ||||
Greif, Inc. Class B | 700 | 40,320 | ||||
Myers Industries, Inc. | 2,900 | 55,680 |
Security Description | Shares | Value | ||||
Owens-Illinois, Inc. (a) | 20,128 | $ 338,352 | ||||
Silgan Holdings, Inc. | 9,568 | 256,709 | ||||
Sonoco Products Co. | 12,191 | 640,028 | ||||
UFP Technologies, Inc. (a) | 800 | 24,680 | ||||
4,803,367 | ||||||
DISTRIBUTORS — 0.2% | ||||||
Core-Mark Holding Co., Inc. | 5,552 | 126,030 | ||||
Funko, Inc. Class A (a) | 1,600 | 20,080 | ||||
Pool Corp. | 4,957 | 750,986 | ||||
Weyco Group, Inc. | 743 | 27,045 | ||||
924,141 | ||||||
DIVERSIFIED CONSUMER SERVICES — 1.0% | ||||||
Adtalem Global Education, Inc. (a) | 7,600 | 365,560 | ||||
American Public Education, Inc. (a) | 1,900 | 79,990 | ||||
Bright Horizons Family Solutions, Inc. (a) | 7,124 | 730,353 | ||||
Cambium Learning Group, Inc. (a) | 1,600 | 17,840 | ||||
Capella Education Co. | 1,400 | 138,180 | ||||
Career Education Corp. (a) | 8,300 | 134,211 | ||||
Carriage Services, Inc. | 1,800 | 44,190 | ||||
Chegg, Inc. (a) (b) | 12,400 | 344,596 | ||||
Graham Holdings Co. Class B | 543 | 318,252 | ||||
Grand Canyon Education, Inc. (a) | 5,969 | 666,200 | ||||
Houghton Mifflin Harcourt Co. (a) | 12,600 | 96,390 | ||||
K12, Inc. (a) | 4,700 | 76,939 | ||||
Laureate Education, Inc. Class A (a) | 6,700 | 96,011 | ||||
Regis Corp. (a) | 4,307 | 71,238 | ||||
Service Corp. International | 22,000 | 787,380 | ||||
ServiceMaster Global Holdings, Inc. (a) | 16,912 | 1,005,757 | ||||
Sotheby's (a) | 4,609 | 250,453 | ||||
Strayer Education, Inc. | 1,314 | 148,495 | ||||
Weight Watchers International, Inc. (a) | 4,800 | 485,280 | ||||
5,857,315 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | ||||||
AXA Equitable Holdings, Inc. (a) | 16,900 | 348,309 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 3,700 | 91,057 | ||||
Cannae Holdings, Inc. (a) | 7,700 | 142,835 | ||||
FGL Holdings (a) | 17,300 | 145,147 | ||||
Marlin Business Services Corp. | 1,100 | 32,835 | ||||
On Deck Capital, Inc. (a) | 6,100 | 42,700 | ||||
Voya Financial, Inc. | 20,650 | 970,550 | ||||
1,773,433 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4% | ||||||
ATN International, Inc. | 1,299 | 68,548 | ||||
Cincinnati Bell, Inc. (a) | 5,513 | 86,554 | ||||
Cogent Communications Holdings, Inc. | 5,396 | 288,146 | ||||
Consolidated Communications Holdings, Inc. | 7,949 | 98,250 | ||||
Frontier Communications Corp. (b) | 9,557 | 51,226 | ||||
Hawaiian Telcom Holdco, Inc. (a) | 700 | 20,244 | ||||
Intelsat SA (a) (b) | 4,447 | 74,087 |
Table of Contents
Security Description | Shares | Value | ||||
Iridium Communications, Inc. (a) (b) | 10,519 | $ 169,356 | ||||
Ooma, Inc. (a) | 2,000 | 28,300 | ||||
ORBCOMM, Inc. (a) | 8,300 | 83,830 | ||||
pdvWireless, Inc. (a) (b) | 1,100 | 27,445 | ||||
Vonage Holdings Corp. (a) | 26,300 | 339,007 | ||||
Windstream Holdings, Inc. (b) | 4,262 | 22,461 | ||||
Zayo Group Holdings, Inc. (a) | 24,524 | 894,635 | ||||
2,252,089 | ||||||
ELECTRIC UTILITIES — 0.7% | ||||||
ALLETE, Inc. | 6,422 | 497,127 | ||||
Avangrid, Inc. | 7,200 | 381,096 | ||||
El Paso Electric Co. | 5,063 | 299,223 | ||||
Hawaiian Electric Industries, Inc. | 13,583 | 465,897 | ||||
IDACORP, Inc. | 6,199 | 571,796 | ||||
MGE Energy, Inc. | 4,462 | 281,329 | ||||
OGE Energy Corp. | 24,783 | 872,609 | ||||
Otter Tail Corp. | 4,876 | 232,098 | ||||
PNM Resources, Inc. | 9,851 | 383,204 | ||||
Portland General Electric Co. | 11,321 | 484,086 | ||||
Spark Energy, Inc. Class A | 1,400 | 13,650 | ||||
4,482,115 | ||||||
ELECTRICAL EQUIPMENT — 0.8% | ||||||
Acuity Brands, Inc. | 5,100 | 590,937 | ||||
Allied Motion Technologies, Inc. | 862 | 41,273 | ||||
Atkore International Group, Inc. (a) | 4,100 | 85,157 | ||||
AZZ, Inc. | 3,240 | 140,778 | ||||
Babcock & Wilcox Enterprises, Inc. (a) | 3,910 | 9,306 | ||||
Encore Wire Corp. | 2,554 | 121,187 | ||||
Energous Corp. (a) | 2,200 | 32,626 | ||||
EnerSys | 5,341 | 398,652 | ||||
Enphase Energy, Inc. (a) | 10,500 | 70,665 | ||||
FuelCell Energy, Inc. (a) | 10,000 | 13,200 | ||||
Generac Holdings, Inc. (a) | 7,449 | 385,337 | ||||
GrafTech International, Ltd. | 4,700 | 84,553 | ||||
Hubbell, Inc. | 6,829 | 722,098 | ||||
nVent Electric PLC (a) | 20,000 | 502,000 | ||||
Plug Power, Inc. (a) (b) | 28,000 | 56,560 | ||||
Powell Industries, Inc. | 1,100 | 38,313 | ||||
Preformed Line Products Co. | 400 | 35,512 | ||||
Regal Beloit Corp. | 5,576 | 456,117 | ||||
Sensata Technologies Holding PLC (a) | 21,067 | 1,002,368 | ||||
Sunrun, Inc. (a) (b) | 11,300 | 148,595 | ||||
Thermon Group Holdings, Inc. (a) | 3,900 | 89,193 | ||||
TPI Composites, Inc. (a) | 1,300 | 38,012 | ||||
Vicor Corp. (a) | 2,070 | 90,148 | ||||
Vivint Solar, Inc. (a) (b) | 3,300 | 16,335 | ||||
5,168,922 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.7% | ||||||
Anixter International, Inc. (a) | 3,586 | 226,994 | ||||
Arrow Electronics, Inc. (a) | 10,810 | 813,777 | ||||
Avnet, Inc. | 14,530 | 623,192 | ||||
AVX Corp. | 5,600 | 87,752 | ||||
Badger Meter, Inc. | 3,476 | 155,377 |
Security Description | Shares | Value | ||||
Bel Fuse, Inc. Class B | 1,100 | $ 22,990 | ||||
Belden, Inc. (b) | 4,963 | 303,338 | ||||
Benchmark Electronics, Inc. | 6,280 | 183,062 | ||||
CDW Corp. | 18,387 | 1,485,486 | ||||
Cognex Corp. | 20,561 | 917,226 | ||||
Coherent, Inc. (a) | 3,067 | 479,740 | ||||
Control4 Corp. (a) | 3,112 | 75,653 | ||||
CTS Corp. | 3,900 | 140,400 | ||||
Daktronics, Inc. | 4,345 | 36,976 | ||||
Dolby Laboratories, Inc. Class A | 7,379 | 455,210 | ||||
Electro Scientific Industries, Inc. (a) | 3,992 | 62,954 | ||||
ePlus, Inc. (a) | 1,660 | 156,206 | ||||
Fabrinet (a) | 4,500 | 166,005 | ||||
FARO Technologies, Inc. (a) | 2,100 | 114,135 | ||||
Fitbit, Inc. Class A (a) | 24,309 | 158,738 | ||||
II-VI, Inc. (a) | 7,484 | 325,180 | ||||
Insight Enterprises, Inc. (a) | 4,452 | 217,836 | ||||
Iteris, Inc. (a) | 3,100 | 15,004 | ||||
Itron, Inc. (a) | 4,299 | 258,155 | ||||
Jabil, Inc. | 20,800 | 575,328 | ||||
KEMET Corp. (a) | 6,800 | 164,220 | ||||
Keysight Technologies, Inc. (a) | 23,261 | 1,373,097 | ||||
Kimball Electronics, Inc. (a) | 3,144 | 57,535 | ||||
Knowles Corp. (a) | 11,268 | 172,400 | ||||
Littelfuse, Inc. | 2,964 | 676,325 | ||||
Maxwell Technologies, Inc. (a) (b) | 4,200 | 21,840 | ||||
Mesa Laboratories, Inc. | 382 | 80,633 | ||||
Methode Electronics, Inc. | 4,449 | 179,295 | ||||
MTS Systems Corp. | 2,243 | 118,094 | ||||
Napco Security Technologies, Inc. (a) | 1,400 | 20,510 | ||||
National Instruments Corp. | 13,493 | 566,436 | ||||
nLight, Inc. (a) | 900 | 29,754 | ||||
Novanta, Inc. (a) | 4,100 | 255,430 | ||||
OSI Systems, Inc. (a) | 2,197 | 169,894 | ||||
PAR Technology Corp. (a) | 1,400 | 24,752 | ||||
Park Electrochemical Corp. | 2,400 | 55,656 | ||||
PC Connection, Inc. | 1,400 | 46,480 | ||||
Plexus Corp. (a) | 4,200 | 250,068 | ||||
Rogers Corp. (a) | 2,321 | 258,699 | ||||
Sanmina Corp. (a) | 8,410 | 246,413 | ||||
ScanSource, Inc. (a) | 3,109 | 125,293 | ||||
SYNNEX Corp. | 3,649 | 352,165 | ||||
Tech Data Corp. (a) | 4,439 | 364,531 | ||||
Trimble, Inc. (a) | 31,381 | 1,030,552 | ||||
TTM Technologies, Inc. (a) | 11,600 | 204,508 | ||||
VeriFone Systems, Inc. (a) | 13,728 | 313,273 | ||||
Vishay Intertechnology, Inc. (b) | 16,845 | 390,804 | ||||
Vishay Precision Group, Inc. (a) | 1,200 | 45,780 | ||||
Zebra Technologies Corp. Class A (a) | 6,566 | 940,579 | ||||
16,591,730 | ||||||
ENERGY EQUIPMENT & SERVICES — 1.2% | ||||||
Apergy Corp. (a) | 9,900 | 413,325 | ||||
Archrock, Inc. | 16,700 | 200,400 | ||||
Basic Energy Services, Inc. (a) | 2,000 | 22,220 | ||||
Bristow Group, Inc. | 4,000 | 56,440 | ||||
C&J Energy Services, Inc. (a) | 7,883 | 186,039 | ||||
Cactus, Inc. Class A (a) | 2,800 | 94,612 |
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Security Description | Shares | Value | |||
CARBO Ceramics, Inc. (a) (b) | 2,831 | $ 25,960 | |||
Covia Holdings Corp. (a) (b) | 3,780 | 70,157 | |||
Dawson Geophysical Co. (a) | 2,600 | 20,540 | |||
Diamond Offshore Drilling, Inc. (a) (b) | 8,100 | 168,966 | |||
Dril-Quip, Inc. (a) | 4,675 | 240,295 | |||
Era Group, Inc. (a) | 2,300 | 29,785 | |||
Exterran Corp. (a) | 3,900 | 97,656 | |||
Forum Energy Technologies, Inc. (a) | 9,839 | 121,512 | |||
Frank's International NV | 9,800 | 76,440 | |||
FTS International, Inc. (a) | 2,700 | 38,448 | |||
Gulfmark Offshore, Inc. (a) | 500 | 16,750 | |||
Helix Energy Solutions Group, Inc. (a) | 17,209 | 143,351 | |||
Independence Contract Drilling, Inc. (a) | 4,000 | 16,480 | |||
ION Geophysical Corp. (a) | 1,300 | 31,590 | |||
Keane Group, Inc. (a) (b) | 6,900 | 94,323 | |||
Key Energy Services, Inc. (a) | 1,200 | 19,488 | |||
Liberty Oilfield Services, Inc. Class A (a) (b) | 1,800 | 33,696 | |||
Mammoth Energy Services, Inc. (a) | 1,000 | 33,960 | |||
Matrix Service Co. (a) | 3,200 | 58,720 | |||
McDermott International, Inc. (a) (b) | 22,432 | 440,789 | |||
Nabors Industries, Ltd. | 43,099 | 276,264 | |||
Natural Gas Services Group, Inc. (a) | 1,500 | 35,400 | |||
NCS Multistage Holdings, Inc. (a) (b) | 1,200 | 17,436 | |||
Newpark Resources, Inc. (a) | 10,300 | 111,755 | |||
Nine Energy Service, Inc. (a) | 1,000 | 33,120 | |||
Noble Corp. PLC (a) | 30,600 | 193,698 | |||
Nuverra Environmental Solutions, Inc. (a) | 200 | 2,400 | |||
Ocean Rig UDW, Inc. Class A (a) | 6,700 | 197,516 | |||
Oceaneering International, Inc. | 12,581 | 320,312 | |||
Oil States International, Inc. (a) | 7,467 | 239,691 | |||
Patterson-UTI Energy, Inc. | 26,700 | 480,600 | |||
PHI, Inc. NVDR (a) | 1,400 | 14,238 | |||
Pioneer Energy Services Corp. (a) | 9,400 | 54,990 | |||
Profire Energy, Inc. (a) | 2,900 | 9,802 | |||
ProPetro Holding Corp. (a) | 9,100 | 142,688 | |||
Quintana Energy Services, Inc. (a) | 700 | 5,929 | |||
RigNet, Inc. (a) | 1,600 | 16,480 | |||
Rowan Cos. PLC Class A (a) | 14,612 | 237,007 | |||
RPC, Inc. (b) | 7,132 | 103,913 | |||
SEACOR Holdings, Inc. (a) | 2,068 | 118,434 | |||
SEACOR Marine Holdings, Inc. (a) | 1,973 | 45,556 | |||
Select Energy Services, Inc. Class A (a) | 5,500 | 79,915 | |||
Smart Sand, Inc. (a) (b) | 2,600 | 13,806 | |||
Solaris Oilfield Infrastructure, Inc. Class A (a) (b) | 2,300 | 32,867 | |||
Superior Energy Services, Inc. (a) | 19,100 | 186,034 | |||
TETRA Technologies, Inc. (a) | 14,118 | 62,825 | |||
Tidewater, Inc. (a) (b) | 2,900 | 83,897 | |||
Transocean, Ltd. (a) (b) | 53,300 | 716,352 | |||
Unit Corp. (a) | 6,348 | 162,255 | |||
US Silica Holdings, Inc. (b) | 9,688 | 248,885 |
Security Description | Shares | Value | ||||
Weatherford International PLC (a) (b) | 124,937 | $ 411,043 | ||||
7,407,050 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 8.1% | ||||||
Acadia Realty Trust REIT | 10,347 | 283,197 | ||||
Agree Realty Corp. REIT | 3,556 | 187,650 | ||||
Alexander & Baldwin, Inc. | 8,538 | 200,643 | ||||
Alexander's, Inc. REIT | 304 | 116,320 | ||||
American Assets Trust, Inc. REIT | 5,042 | 193,058 | ||||
American Campus Communities, Inc. REIT | 16,972 | 727,759 | ||||
American Homes 4 Rent Class A REIT | 32,197 | 714,129 | ||||
Americold Realty Trust REIT | 6,500 | 143,130 | ||||
Apple Hospitality REIT, Inc. | 26,700 | 477,396 | ||||
Armada Hoffler Properties, Inc. REIT | 5,500 | 81,950 | ||||
Ashford Hospitality Trust, Inc. REIT | 9,451 | 76,553 | ||||
Bluerock Residential Growth REIT, Inc. (b) | 2,700 | 24,084 | ||||
Braemar Hotels & Resorts, Inc. REIT | 3,123 | 35,665 | ||||
Brandywine Realty Trust REIT | 22,300 | 376,424 | ||||
Brixmor Property Group, Inc. REIT | 37,539 | 654,305 | ||||
BRT Apartments Corp. | 1,000 | 12,750 | ||||
Camden Property Trust REIT | 11,052 | 1,007,169 | ||||
CareTrust REIT, Inc. | 9,900 | 165,231 | ||||
CatchMark Timber Trust, Inc. Class A REIT | 5,300 | 67,469 | ||||
CBL & Associates Properties, Inc. REIT (b) | 20,600 | 114,742 | ||||
Cedar Realty Trust, Inc. REIT | 10,853 | 51,226 | ||||
Chatham Lodging Trust REIT | 5,483 | 116,349 | ||||
Chesapeake Lodging Trust REIT | 7,600 | 240,464 | ||||
City Office REIT, Inc. | 4,200 | 53,886 | ||||
Clipper Realty, Inc. REIT | 2,600 | 22,204 | ||||
Colony Capital, Inc. REIT (b) | 60,518 | 377,632 | ||||
Columbia Property Trust, Inc. REIT | 15,172 | 344,556 | ||||
Community Healthcare Trust, Inc. REIT | 2,100 | 62,727 | ||||
CoreCivic, Inc. REIT | 15,225 | 363,725 | ||||
CorEnergy Infrastructure Trust, Inc. REIT | 1,460 | 54,896 | ||||
CorePoint Lodging, Inc. REIT (a) | 4,988 | 129,189 | ||||
CoreSite Realty Corp. REIT | 4,288 | 475,196 | ||||
Corporate Office Properties Trust REIT | 12,600 | 365,274 | ||||
Cousins Properties, Inc. REIT | 52,365 | 507,417 | ||||
CubeSmart REIT | 22,842 | 735,969 | ||||
CyrusOne, Inc. REIT | 12,115 | 707,031 | ||||
DCT Industrial Trust, Inc. REIT | 11,784 | 786,346 | ||||
DDR Corp. REIT | 19,001 | 340,118 | ||||
DiamondRock Hospitality Co. REIT | 25,500 | 313,140 | ||||
Douglas Emmett, Inc. REIT | 20,037 | 805,087 | ||||
Easterly Government Properties, Inc. REIT | 5,100 | 100,776 | ||||
EastGroup Properties, Inc. REIT | 4,328 | 413,584 | ||||
Education Realty Trust, Inc. REIT | 9,696 | 402,384 |
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Security Description | Shares | Value | |||
Empire State Realty Trust, Inc. Class A REIT | 16,524 | $ 282,560 | |||
EPR Properties REIT | 9,149 | 592,764 | |||
Equity Commonwealth REIT (a) | 14,581 | 459,301 | |||
Equity LifeStyle Properties, Inc. REIT | 10,489 | 963,939 | |||
Farmland Partners, Inc. REIT (b) | 3,700 | 32,560 | |||
First Industrial Realty Trust, Inc. REIT | 15,173 | 505,868 | |||
Forest City Realty Trust, Inc. Class A REIT | 26,101 | 595,364 | |||
Four Corners Property Trust, Inc. REIT | 7,709 | 189,873 | |||
Franklin Street Properties Corp. REIT | 12,861 | 110,090 | |||
Gaming and Leisure Properties, Inc. REIT | 25,033 | 896,181 | |||
GEO Group, Inc. REIT | 15,300 | 421,362 | |||
Getty Realty Corp. REIT | 3,805 | 107,187 | |||
Gladstone Commercial Corp. REIT | 3,400 | 65,348 | |||
Gladstone Land Corp. REIT | 1,600 | 20,272 | |||
Global Medical REIT, Inc. | 2,100 | 18,606 | |||
Global Net Lease, Inc. REIT (b) | 8,541 | 174,493 | |||
Government Properties Income Trust REIT (b) | 12,057 | 191,103 | |||
Gramercy Property Trust REIT | 19,980 | 545,854 | |||
Healthcare Realty Trust, Inc. REIT | 15,382 | 447,309 | |||
Healthcare Trust of America, Inc. Class A REIT | 25,366 | 683,867 | |||
Hersha Hospitality Trust REIT | 4,700 | 100,815 | |||
Highwoods Properties, Inc. REIT | 12,670 | 642,749 | |||
Hospitality Properties Trust REIT | 20,400 | 583,644 | |||
Hudson Pacific Properties, Inc. REIT | 19,137 | 678,024 | |||
Independence Realty Trust, Inc. REIT | 10,273 | 105,915 | |||
Industrial Logistics Properties Trust REIT | 2,400 | 53,640 | |||
InfraREIT, Inc. (a) | 5,200 | 115,284 | |||
Innovative Industrial Properties, Inc. REIT | 800 | 29,296 | |||
Investors Real Estate Trust REIT | 15,800 | 87,374 | |||
Invitation Homes, Inc. REIT | 36,963 | 852,367 | |||
iStar, Inc. REIT (a) (b) | 8,000 | 86,320 | |||
JBG SMITH Properties REIT | 12,721 | 463,935 | |||
Jernigan Capital, Inc. REIT (b) | 1,600 | 30,496 | |||
Kilroy Realty Corp. REIT | 12,040 | 910,706 | |||
Kite Realty Group Trust REIT | 10,383 | 177,342 | |||
Lamar Advertising Co. Class A REIT | 10,467 | 715,001 | |||
LaSalle Hotel Properties REIT | 13,737 | 470,218 | |||
Lexington Realty Trust REIT | 27,200 | 237,456 | |||
Liberty Property Trust REIT | 18,597 | 824,405 | |||
Life Storage, Inc. REIT | 5,665 | 551,261 | |||
LTC Properties, Inc. REIT | 4,854 | 207,460 | |||
Mack-Cali Realty Corp. REIT | 11,400 | 231,192 | |||
MedEquities Realty Trust, Inc. REIT | 3,500 | 38,570 | |||
Medical Properties Trust, Inc. REIT | 45,977 | 645,517 | |||
Monmouth Real Estate Investment Corp. REIT | 9,279 | 153,382 | |||
National Health Investors, Inc. REIT | 5,100 | 375,768 |
Security Description | Shares | Value | |||
National Retail Properties, Inc. REIT | 19,000 | $ 835,240 | |||
National Storage Affiliates Trust REIT | 6,300 | 194,166 | |||
New Senior Investment Group, Inc. REIT | 10,000 | 75,700 | |||
NexPoint Residential Trust, Inc. REIT | 2,100 | 59,745 | |||
NorthStar Realty Europe Corp. REIT | 6,600 | 95,634 | |||
Omega Healthcare Investors, Inc. REIT | 24,332 | 754,292 | |||
One Liberty Properties, Inc. REIT | 1,800 | 47,538 | |||
Outfront Media, Inc. REIT | 17,567 | 341,678 | |||
Paramount Group, Inc. REIT | 26,300 | 405,020 | |||
Park Hotels & Resorts, Inc. REIT | 24,806 | 759,808 | |||
Pebblebrook Hotel Trust REIT (b) | 8,719 | 338,297 | |||
Pennsylvania Real Estate Investment Trust | 8,392 | 92,228 | |||
Physicians Realty Trust REIT | 22,517 | 358,921 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 15,805 | 314,994 | |||
PotlatchDeltic Corp. REIT | 7,595 | 386,206 | |||
Preferred Apartment Communities, Inc. Class A REIT | 4,700 | 79,853 | |||
PS Business Parks, Inc. REIT | 2,452 | 315,082 | |||
QTS Realty Trust, Inc. Class A REIT | 6,148 | 242,846 | |||
Quality Care Properties, Inc. REIT (a) | 12,100 | 260,271 | |||
Ramco-Gershenson Properties Trust REIT | 9,600 | 126,816 | |||
Rayonier, Inc. REIT | 16,309 | 630,995 | |||
Retail Opportunity Investments Corp. REIT | 13,900 | 266,324 | |||
Retail Properties of America, Inc. Class A REIT | 27,203 | 347,654 | |||
Rexford Industrial Realty, Inc. REIT | 10,007 | 314,120 | |||
RLJ Lodging Trust REIT | 21,268 | 468,959 | |||
Ryman Hospitality Properties, Inc. REIT | 5,627 | 467,885 | |||
Sabra Health Care REIT, Inc. (b) | 22,040 | 478,929 | |||
Safety Income and Growth, Inc. REIT | 1,200 | 22,764 | |||
Saul Centers, Inc. REIT | 1,412 | 75,655 | |||
Select Income REIT | 7,900 | 177,513 | |||
Senior Housing Properties Trust REIT | 29,577 | 535,048 | |||
Seritage Growth Properties Class A REIT (b) | 3,938 | 167,089 | |||
Spirit MTA REIT (a) | 5,787 | 59,606 | |||
Spirit Realty Capital, Inc. REIT | 53,177 | 427,011 | |||
STAG Industrial, Inc. REIT | 12,050 | 328,122 | |||
STORE Capital Corp. REIT | 21,495 | 588,963 | |||
Summit Hotel Properties, Inc. REIT | 12,800 | 183,168 | |||
Sun Communities, Inc. REIT | 9,693 | 948,751 | |||
Sunstone Hotel Investors, Inc. REIT | 28,219 | 469,000 | |||
Tanger Factory Outlet Centers, Inc. REIT (b) | 11,887 | 279,226 | |||
Taubman Centers, Inc. REIT | 7,495 | 440,406 | |||
Terreno Realty Corp. REIT | 6,771 | 255,064 | |||
Tier REIT, Inc. | 5,955 | 141,610 |
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Security Description | Shares | Value | ||||
UMH Properties, Inc. REIT | 3,800 | $ 58,330 | ||||
Uniti Group, Inc. REIT (a) | 20,470 | 410,014 | ||||
Universal Health Realty Income Trust REIT | 1,600 | 102,368 | ||||
Urban Edge Properties REIT | 13,200 | 301,884 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 3,942 | 89,207 | ||||
VEREIT, Inc. REIT | 120,594 | 897,219 | ||||
VICI Properties, Inc. REIT | 33,900 | 699,696 | ||||
Washington Prime Group, Inc. REIT (b) | 23,400 | 189,774 | ||||
Washington Real Estate Investment Trust | 10,102 | 306,394 | ||||
Weingarten Realty Investors REIT | 15,148 | 466,710 | ||||
Whitestone REIT | 4,600 | 57,408 | ||||
WP Carey, Inc. REIT | 13,302 | 882,588 | ||||
Xenia Hotels & Resorts, Inc. REIT | 13,600 | 331,296 | ||||
49,051,923 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Andersons, Inc. | 3,285 | 112,347 | ||||
Casey's General Stores, Inc. | 4,718 | 495,767 | ||||
Chefs' Warehouse, Inc. (a) | 2,600 | 74,100 | ||||
Ingles Markets, Inc. Class A | 1,700 | 54,060 | ||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,100 | 14,014 | ||||
Performance Food Group Co. (a) | 12,789 | 469,356 | ||||
PriceSmart, Inc. | 2,791 | 252,586 | ||||
Rite Aid Corp. (a) (b) | 134,710 | 233,048 | ||||
Smart & Final Stores, Inc. (a) | 2,695 | 14,957 | ||||
SpartanNash Co. | 4,500 | 114,840 | ||||
Sprouts Farmers Market, Inc. (a) | 16,675 | 368,017 | ||||
SUPERVALU, Inc. (a) (b) | 4,642 | 95,254 | ||||
United Natural Foods, Inc. (a) | 6,348 | 270,806 | ||||
US Foods Holding Corp. (a) | 26,828 | 1,014,635 | ||||
Village Super Market, Inc. Class A | 969 | 28,547 | ||||
Weis Markets, Inc. | 1,215 | 64,808 | ||||
3,677,142 | ||||||
FOOD PRODUCTS — 1.6% | ||||||
Alico, Inc. | 400 | 12,680 | ||||
B&G Foods, Inc. (b) | 8,500 | 254,150 | ||||
Bunge, Ltd. | 17,463 | 1,217,346 | ||||
Calavo Growers, Inc. (b) | 2,042 | 196,338 | ||||
Cal-Maine Foods, Inc. (a) | 3,600 | 165,060 | ||||
Darling Ingredients, Inc. (a) | 20,900 | 415,492 | ||||
Dean Foods Co. | 11,100 | 116,661 | ||||
Farmer Brothers Co. (a) | 1,050 | 32,077 | ||||
Flowers Foods, Inc. | 22,731 | 473,487 | ||||
Fresh Del Monte Produce, Inc. | 4,034 | 179,715 | ||||
Freshpet, Inc. (a) (b) | 3,000 | 82,350 | ||||
Hain Celestial Group, Inc. (a) | 11,801 | 351,670 | ||||
Hostess Brands, Inc. (a) | 12,100 | 164,560 | ||||
Ingredion, Inc. | 9,052 | 1,002,056 | ||||
J&J Snack Foods Corp. | 1,940 | 295,792 | ||||
John B Sanfilippo & Son, Inc. | 1,078 | 80,257 | ||||
Lamb Weston Holdings, Inc. | 18,200 | 1,246,882 | ||||
Lancaster Colony Corp. | 2,413 | 334,007 | ||||
Landec Corp. (a) | 3,300 | 49,170 |
Security Description | Shares | Value | ||||
Limoneira Co. | 1,400 | $ 34,454 | ||||
Pilgrim's Pride Corp. (a) | 6,600 | 132,858 | ||||
Pinnacle Foods, Inc. | 14,910 | 970,045 | ||||
Post Holdings, Inc. (a) | 8,177 | 703,386 | ||||
Sanderson Farms, Inc. | 2,573 | 270,551 | ||||
Seaboard Corp. | 32 | 126,808 | ||||
Seneca Foods Corp. Class A (a) | 849 | 22,923 | ||||
Simply Good Foods Co. (a) | 7,400 | 106,856 | ||||
Tootsie Roll Industries, Inc. (b) | 2,093 | 64,569 | ||||
TreeHouse Foods, Inc. (a) | 6,781 | 356,070 | ||||
9,458,270 | ||||||
GAS UTILITIES — 1.0% | ||||||
Atmos Energy Corp. | 13,569 | 1,223,110 | ||||
Chesapeake Utilities Corp. | 1,938 | 154,943 | ||||
National Fuel Gas Co. (b) | 10,263 | 543,529 | ||||
New Jersey Resources Corp. | 11,015 | 492,921 | ||||
Northwest Natural Gas Co. | 3,560 | 227,128 | ||||
ONE Gas, Inc. | 6,587 | 492,312 | ||||
RGC Resources, Inc. | 800 | 23,344 | ||||
South Jersey Industries, Inc. (b) | 10,162 | 340,122 | ||||
Southwest Gas Holdings, Inc. | 6,039 | 460,595 | ||||
Spire, Inc. | 5,939 | 419,590 | ||||
UGI Corp. | 21,532 | 1,121,171 | ||||
WGL Holdings, Inc. | 6,383 | 566,491 | ||||
6,065,256 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.9% | ||||||
Abaxis, Inc. | 2,800 | 232,428 | ||||
Accuray, Inc. (a) | 10,200 | 41,820 | ||||
AngioDynamics, Inc. (a) | 4,500 | 100,080 | ||||
Anika Therapeutics, Inc. (a) | 1,747 | 55,904 | ||||
Antares Pharma, Inc. (a) (b) | 17,500 | 45,150 | ||||
AtriCure, Inc. (a) | 3,900 | 105,495 | ||||
Atrion Corp. | 186 | 111,488 | ||||
Avanos Medical, Inc. (a) | 6,000 | 343,500 | ||||
AxoGen, Inc. (a) | 4,200 | 211,050 | ||||
Cantel Medical Corp. | 4,589 | 451,374 | ||||
Cardiovascular Systems, Inc. (a) | 3,950 | 127,743 | ||||
Cerus Corp. (a) | 15,600 | 104,052 | ||||
CONMED Corp. | 3,101 | 226,993 | ||||
CryoLife, Inc. (a) | 3,900 | 108,615 | ||||
CryoPort, Inc. (a) | 3,000 | 47,340 | ||||
Cutera, Inc. (a) | 1,600 | 64,480 | ||||
CytoSorbents Corp. (a) | 3,500 | 39,900 | ||||
DexCom, Inc. (a) (b) | 10,813 | 1,027,019 | ||||
Endologix, Inc. (a) (b) | 10,123 | 57,296 | ||||
FONAR Corp. (a) | 800 | 21,240 | ||||
GenMark Diagnostics, Inc. (a) (b) | 6,200 | 39,556 | ||||
Glaukos Corp. (a) (b) | 3,568 | 145,004 | ||||
Globus Medical, Inc. Class A (a) | 8,951 | 451,667 | ||||
Haemonetics Corp. (a) | 6,690 | 599,959 | ||||
Helius Medical Technologies, Inc. (a) (b) | 2,000 | 19,040 | ||||
Heska Corp. (a) | 802 | 83,240 | ||||
Hill-Rom Holdings, Inc. | 8,176 | 714,092 | ||||
ICU Medical, Inc. (a) | 1,938 | 569,094 | ||||
Inogen, Inc. (a) | 2,151 | 400,796 |
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Security Description | Shares | Value | ||||
Insulet Corp. (a) | 7,300 | $ 625,610 | ||||
Integer Holdings Corp. (a) | 3,892 | 251,618 | ||||
Integra LifeSciences Holdings Corp. (a) | 9,014 | 580,592 | ||||
IntriCon Corp. (a) | 800 | 32,240 | ||||
Invacare Corp. (b) | 4,000 | 74,400 | ||||
iRadimed Corp. (a) | 400 | 8,300 | ||||
iRhythm Technologies, Inc. (a) | 3,000 | 243,390 | ||||
K2M Group Holdings, Inc. (a) | 5,000 | 112,500 | ||||
Lantheus Holdings, Inc. (a) | 3,600 | 52,380 | ||||
LeMaitre Vascular, Inc. | 1,900 | 63,612 | ||||
LivaNova PLC (a) | 6,050 | 603,911 | ||||
Masimo Corp. (a) | 5,630 | 549,769 | ||||
Meridian Bioscience, Inc. | 5,100 | 81,090 | ||||
Merit Medical Systems, Inc. (a) | 6,100 | 312,320 | ||||
Natus Medical, Inc. (a) | 3,734 | 128,823 | ||||
Neogen Corp. (a) | 6,310 | 505,999 | ||||
Nevro Corp. (a) | 3,497 | 279,235 | ||||
Novocure, Ltd. (a) | 8,955 | 280,291 | ||||
NuVasive, Inc. (a) | 6,580 | 342,950 | ||||
Nuvectra Corp. (a) | 1,700 | 34,901 | ||||
NxStage Medical, Inc. (a) | 8,200 | 228,780 | ||||
OraSure Technologies, Inc. (a) | 6,900 | 113,643 | ||||
Orthofix International NV (a) | 2,186 | 124,209 | ||||
OrthoPediatrics Corp. (a) | 600 | 15,984 | ||||
Oxford Immunotec Global PLC (a) | 3,000 | 38,670 | ||||
Penumbra, Inc. (a) | 3,687 | 509,359 | ||||
Pulse Biosciences, Inc. (a) (b) | 1,100 | 16,654 | ||||
Quidel Corp. (a) | 3,700 | 246,050 | ||||
Rockwell Medical, Inc. (a) (b) | 5,900 | 29,087 | ||||
RTI Surgical, Inc. (a) | 6,400 | 29,440 | ||||
SeaSpine Holdings Corp. (a) | 1,400 | 17,668 | ||||
Senseonics Holdings, Inc. (a) | 8,200 | 33,702 | ||||
Sientra, Inc. (a) | 1,800 | 35,118 | ||||
STAAR Surgical Co. (a) | 5,000 | 155,000 | ||||
STERIS PLC | 10,421 | 1,094,309 | ||||
Surmodics, Inc. (a) | 1,600 | 88,320 | ||||
Tactile Systems Technology, Inc. (a) (b) | 2,300 | 119,600 | ||||
Tandem Diabetes Care, Inc. (a) | 5,400 | 118,908 | ||||
Teleflex, Inc. | 5,662 | 1,518,605 | ||||
TransEnterix, Inc. (a) (b) | 19,000 | 82,840 | ||||
Utah Medical Products, Inc. | 437 | 48,136 | ||||
Varex Imaging Corp. (a) | 4,700 | 174,323 | ||||
ViewRay, Inc. (a) (b) | 3,600 | 24,912 | ||||
West Pharmaceutical Services, Inc. | 9,074 | 900,957 | ||||
Wright Medical Group NV (a) (b) | 13,109 | 340,310 | ||||
17,813,930 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.7% | ||||||
AAC Holdings, Inc. (a) (b) | 1,900 | 17,803 | ||||
Acadia Healthcare Co., Inc. (a) (b) | 10,882 | 445,183 | ||||
Addus HomeCare Corp. (a) | 967 | 55,361 | ||||
Amedisys, Inc. (a) | 3,605 | 308,083 | ||||
American Renal Associates Holdings, Inc. (a) | 1,100 | 17,347 | ||||
AMN Healthcare Services, Inc. (a) (b) | 5,848 | 342,693 |
Security Description | Shares | Value | ||||
Apollo Medical Holdings, Inc. (a) (b) | 900 | $ 23,274 | ||||
BioScrip, Inc. (a) | 14,200 | 41,606 | ||||
BioTelemetry, Inc. (a) | 3,900 | 175,500 | ||||
Brookdale Senior Living, Inc. (a) | 23,962 | 217,815 | ||||
Capital Senior Living Corp. (a) | 2,900 | 30,943 | ||||
Chemed Corp. | 1,931 | 621,415 | ||||
Civitas Solutions, Inc. (a) | 1,900 | 31,160 | ||||
Community Health Systems, Inc. (a) (b) | 11,667 | 38,734 | ||||
CorVel Corp. (a) | 1,094 | 59,076 | ||||
Cross Country Healthcare, Inc. (a) | 4,200 | 47,250 | ||||
Diplomat Pharmacy, Inc. (a) (b) | 7,163 | 183,086 | ||||
Encompass Health Corp. | 12,212 | 826,997 | ||||
Ensign Group, Inc. | 6,070 | 217,427 | ||||
Genesis Healthcare, Inc. (a) | 5,300 | 12,137 | ||||
HealthEquity, Inc. (a) (b) | 6,363 | 477,861 | ||||
Kindred Healthcare, Inc. (a) | 10,400 | 93,600 | ||||
LHC Group, Inc. (a) | 3,858 | 330,206 | ||||
LifePoint Health, Inc. (a) | 4,412 | 215,306 | ||||
Magellan Health, Inc. (a) | 2,985 | 286,411 | ||||
MEDNAX, Inc. (a) | 11,574 | 500,923 | ||||
Molina Healthcare, Inc. (a) | 7,641 | 748,360 | ||||
National HealthCare Corp. | 1,358 | 95,576 | ||||
National Research Corp. Class A | 1,300 | 48,620 | ||||
Owens & Minor, Inc. (b) | 7,438 | 124,289 | ||||
Patterson Cos., Inc. | 10,200 | 231,234 | ||||
PetIQ, Inc. (a) (b) | 900 | 24,174 | ||||
Premier, Inc. Class A (a) (b) | 6,745 | 245,383 | ||||
Providence Service Corp. (a) | 1,400 | 109,970 | ||||
Quorum Health Corp. (a) | 3,500 | 17,500 | ||||
R1 RCM, Inc. (a) | 12,600 | 109,368 | ||||
RadNet, Inc. (a) | 4,480 | 67,200 | ||||
Select Medical Holdings Corp. (a) | 13,400 | 243,210 | ||||
Surgery Partners, Inc. (a) | 2,200 | 32,780 | ||||
Teladoc, Inc. (a) (b) | 7,492 | 434,911 | ||||
Tenet Healthcare Corp. (a) | 10,369 | 348,087 | ||||
Tivity Health, Inc. (a) | 4,600 | 161,920 | ||||
Triple-S Management Corp. Class B (a) | 2,789 | 108,938 | ||||
US Physical Therapy, Inc. | 1,500 | 144,000 | ||||
WellCare Health Plans, Inc. (a) | 5,548 | 1,366,139 | ||||
10,278,856 | ||||||
HEALTH CARE TECHNOLOGY — 0.7% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 21,945 | 263,340 | ||||
athenahealth, Inc. (a) | 5,004 | 796,336 | ||||
Castlight Health, Inc. Class B (a) | 7,500 | 31,875 | ||||
Computer Programs & Systems, Inc. | 1,423 | 46,817 | ||||
Cotiviti Holdings, Inc. (a) | 4,800 | 211,824 | ||||
Evolent Health, Inc. Class A (a) (b) | 7,500 | 157,875 | ||||
HealthStream, Inc. | 3,100 | 84,661 | ||||
HMS Holdings Corp. (a) | 10,441 | 225,734 | ||||
Inovalon Holdings, Inc. Class A (a) (b) | 7,800 | 77,415 | ||||
Inspire Medical Systems, Inc. (a) | 1,000 | 35,660 | ||||
Medidata Solutions, Inc. (a) | 7,069 | 569,479 | ||||
NantHealth, Inc. (a) (b) | 2,000 | 6,620 | ||||
Omnicell, Inc. (a) | 4,764 | 249,872 |
Table of Contents
Security Description | Shares | Value | ||||
Quality Systems, Inc. (a) | 6,500 | $ 126,750 | ||||
Simulations Plus, Inc. | 1,300 | 28,925 | ||||
Tabula Rasa HealthCare, Inc. (a) | 2,100 | 134,043 | ||||
Veeva Systems, Inc. Class A (a) | 14,821 | 1,139,142 | ||||
Vocera Communications, Inc. (a) | 3,534 | 105,631 | ||||
4,291,999 | ||||||
HOTELS, RESTAURANTS & LEISURE — 3.8% | ||||||
Aramark | 30,651 | 1,137,152 | ||||
BBX Capital Corp. | 8,000 | 72,240 | ||||
Belmond, Ltd. Class A (a) | 10,900 | 121,535 | ||||
Biglari Holdings, Inc. Class A (a) | 12 | 11,400 | ||||
Biglari Holdings, Inc. Class B (a) | 126 | 23,120 | ||||
BJ's Restaurants, Inc. | 2,506 | 150,360 | ||||
Bloomin' Brands, Inc. | 10,400 | 209,040 | ||||
Bluegreen Vacations Corp. (b) | 900 | 21,420 | ||||
Bojangles', Inc. (a) | 2,200 | 31,680 | ||||
Boyd Gaming Corp. | 10,198 | 353,463 | ||||
Brinker International, Inc. (b) | 5,430 | 258,468 | ||||
Caesars Entertainment Corp. (a) (b) | 72,850 | 779,495 | ||||
Carrols Restaurant Group, Inc. (a) | 4,200 | 62,370 | ||||
Century Casinos, Inc. (a) | 3,100 | 27,125 | ||||
Cheesecake Factory, Inc. | 5,355 | 294,846 | ||||
Choice Hotels International, Inc. | 4,249 | 321,224 | ||||
Churchill Downs, Inc. | 1,454 | 431,111 | ||||
Chuy's Holdings, Inc. (a) | 2,000 | 61,400 | ||||
Cracker Barrel Old Country Store, Inc. (b) | 2,364 | 369,281 | ||||
Dave & Buster's Entertainment, Inc. (a) (b) | 4,948 | 235,525 | ||||
Del Frisco's Restaurant Group, Inc. (a) | 2,500 | 31,500 | ||||
Del Taco Restaurants, Inc. (a) | 4,100 | 58,138 | ||||
Denny's Corp. (a) | 7,900 | 125,847 | ||||
Dine Brands Global, Inc. (b) | 2,195 | 164,186 | ||||
Domino's Pizza, Inc. | 5,218 | 1,472,363 | ||||
Drive Shack, Inc. (a) | 7,700 | 59,444 | ||||
Dunkin' Brands Group, Inc. | 10,146 | 700,784 | ||||
El Pollo Loco Holdings, Inc. (a) | 2,400 | 27,360 | ||||
Eldorado Resorts, Inc. (a) (b) | 8,200 | 320,620 | ||||
Empire Resorts, Inc. (a) (b) | 400 | 7,920 | ||||
Extended Stay America, Inc. | 23,500 | 507,835 | ||||
Fiesta Restaurant Group, Inc. (a) | 3,199 | 91,811 | ||||
Golden Entertainment, Inc. (a) | 2,200 | 59,378 | ||||
Habit Restaurants, Inc. Class A (a) | 2,400 | 24,000 | ||||
Hilton Grand Vacations, Inc. (a) | 11,741 | 407,413 | ||||
Hyatt Hotels Corp. Class A | 5,629 | 434,277 | ||||
ILG, Inc. | 13,299 | 439,266 | ||||
International Game Technology PLC | 12,301 | 285,875 | ||||
International Speedway Corp. Class A | 3,006 | 134,368 | ||||
J Alexander's Holdings, Inc. (a) | 1,569 | 17,494 | ||||
Jack in the Box, Inc. | 3,780 | 321,754 | ||||
Las Vegas Sands Corp. | 44,317 | 3,384,046 | ||||
Lindblad Expeditions Holdings, Inc. (a) | 2,300 | 30,475 | ||||
Marriott Vacations Worldwide Corp. (b) | 2,677 | 302,394 | ||||
Monarch Casino & Resort, Inc. (a) | 1,300 | 57,265 |
Security Description | Shares | Value | ||||
Nathan's Famous, Inc. | 400 | $ 37,640 | ||||
Noodles & Co. (a) (b) | 1,400 | 17,220 | ||||
Papa John's International, Inc. | 2,810 | 142,523 | ||||
Penn National Gaming, Inc. (a) | 10,800 | 362,772 | ||||
Pinnacle Entertainment, Inc. (a) | 6,600 | 222,618 | ||||
Planet Fitness, Inc. Class A (a) | 10,785 | 473,893 | ||||
PlayAGS, Inc. (a) | 1,200 | 32,484 | ||||
Potbelly Corp. (a) | 2,700 | 34,965 | ||||
RCI Hospitality Holdings, Inc. | 1,200 | 37,980 | ||||
Red Lion Hotels Corp. (a) | 1,900 | 22,135 | ||||
Red Robin Gourmet Burgers, Inc. (a) (b) | 1,536 | 71,578 | ||||
Red Rock Resorts, Inc. Class A | 8,886 | 297,681 | ||||
Ruth's Hospitality Group, Inc. | 3,600 | 100,980 | ||||
Scientific Games Corp. Class A (a) | 6,800 | 334,220 | ||||
SeaWorld Entertainment, Inc. (a) | 6,790 | 148,158 | ||||
Shake Shack, Inc. Class A (a) | 2,830 | 187,289 | ||||
Six Flags Entertainment Corp. (b) | 8,810 | 617,141 | ||||
Sonic Corp. (b) | 4,570 | 157,299 | ||||
Speedway Motorsports, Inc. | 1,400 | 24,304 | ||||
Texas Roadhouse, Inc. | 8,504 | 557,097 | ||||
Town Sports International Holdings, Inc. (a) | 1,800 | 26,190 | ||||
Vail Resorts, Inc. | 4,955 | 1,358,612 | ||||
Wendy's Co. | 23,458 | 403,009 | ||||
Wingstop, Inc. | 3,570 | 186,068 | ||||
Wyndham Destinations, Inc. | 12,200 | 540,094 | ||||
Wyndham Hotels & Resorts, Inc. | 12,200 | 717,726 | ||||
Yum China Holdings, Inc. | 46,024 | 1,770,083 | ||||
Zoe's Kitchen, Inc. (a) (b) | 2,400 | 23,424 | ||||
23,343,251 | ||||||
HOUSEHOLD DURABLES — 1.1% | ||||||
AV Homes, Inc. (a) | 1,400 | 29,960 | ||||
Bassett Furniture Industries, Inc. | 1,200 | 33,060 | ||||
Beazer Homes USA, Inc. (a) | 3,800 | 56,050 | ||||
Cavco Industries, Inc. (a) | 1,095 | 227,377 | ||||
Century Communities, Inc. (a) | 2,515 | 79,348 | ||||
Ethan Allen Interiors, Inc. | 3,000 | 73,500 | ||||
Flexsteel Industries, Inc. | 900 | 35,910 | ||||
GoPro, Inc. Class A (a) (b) | 13,400 | 86,296 | ||||
Green Brick Partners, Inc. (a) | 2,900 | 28,420 | ||||
Hamilton Beach Brands Holding Co. Class A | 282 | 8,192 | ||||
Helen of Troy, Ltd. (a) | 3,344 | 329,217 | ||||
Hooker Furniture Corp. | 1,400 | 65,660 | ||||
Hovnanian Enterprises, Inc. Class A (a) (b) | 15,200 | 24,776 | ||||
Installed Building Products, Inc. (a) | 2,700 | 152,685 | ||||
iRobot Corp. (a) (b) | 3,400 | 257,618 | ||||
KB Home | 10,600 | 288,744 | ||||
La-Z-Boy, Inc. | 5,833 | 178,490 | ||||
LGI Homes, Inc. (a) (b) | 2,100 | 121,233 | ||||
Lifetime Brands, Inc. | 1,200 | 15,180 | ||||
M/I Homes, Inc. (a) | 3,200 | 84,736 | ||||
MDC Holdings, Inc. | 5,518 | 169,789 | ||||
Meritage Homes Corp. (a) | 4,758 | 209,114 | ||||
New Home Co., Inc. (a) | 1,500 | 14,955 | ||||
NVR, Inc. (a) | 390 | 1,158,437 |
Table of Contents
Security Description | Shares | Value | ||||
PICO Holdings, Inc. (a) | 2,700 | $ 31,455 | ||||
Purple Innovation, Inc. (a) | 500 | 4,250 | ||||
Roku, Inc. (a) (b) | 5,300 | 225,886 | ||||
Skyline Champion Corp. (b) | 800 | 28,032 | ||||
Taylor Morrison Home Corp. Class A (a) | 14,200 | 295,076 | ||||
Tempur Sealy International, Inc. (a) (b) | 5,849 | 281,044 | ||||
Toll Brothers, Inc. | 17,483 | 646,696 | ||||
TopBuild Corp. (a) | 4,352 | 340,936 | ||||
TRI Pointe Group, Inc. (a) (b) | 19,283 | 315,470 | ||||
Tupperware Brands Corp. | 6,381 | 263,152 | ||||
Turtle Beach Corp. (a) | 1,000 | 20,320 | ||||
Universal Electronics, Inc. (a) | 1,739 | 57,474 | ||||
Vuzix Corp. (a) (b) | 2,900 | 21,605 | ||||
William Lyon Homes Class A (a) | 3,900 | 90,480 | ||||
ZAGG, Inc. (a) | 3,300 | 57,090 | ||||
6,407,713 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 1,300 | 56,524 | ||||
Central Garden & Pet Co. Class A (a) | 4,400 | 178,068 | ||||
Energizer Holdings, Inc. | 7,412 | 466,660 | ||||
HRG Group, Inc. (a) | 14,600 | 191,114 | ||||
Oil-Dri Corp. of America | 648 | 27,307 | ||||
Spectrum Brands Holdings, Inc. (b) | 2,718 | 221,843 | ||||
WD-40 Co. (b) | 1,710 | 250,087 | ||||
1,391,603 | ||||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.3% | ||||||
Atlantic Power Corp. (a) (b) | 13,400 | 29,480 | ||||
NRG Yield, Inc. Class A | 4,300 | 73,315 | ||||
NRG Yield, Inc. Class C | 8,000 | 137,600 | ||||
Ormat Technologies, Inc. | 5,042 | 268,184 | ||||
Pattern Energy Group, Inc. Class A | 9,900 | 185,625 | ||||
TerraForm Power, Inc. Class A | 8,959 | 104,820 | ||||
Vistra Energy Corp. (a) | 50,265 | 1,189,270 | ||||
1,988,294 | ||||||
INDUSTRIAL CONGLOMERATES — 0.2% | ||||||
Carlisle Cos., Inc. | 7,381 | 799,436 | ||||
Raven Industries, Inc. | 4,500 | 173,025 | ||||
972,461 | ||||||
INSURANCE — 3.7% | ||||||
Alleghany Corp. | 1,869 | 1,074,619 | ||||
Ambac Financial Group, Inc. (a) | 5,500 | 109,175 | ||||
American Equity Investment Life Holding Co. | 11,072 | 398,592 | ||||
American Financial Group, Inc. | 8,901 | 955,344 | ||||
American National Insurance Co. | 986 | 117,916 | ||||
AMERISAFE, Inc. | 2,481 | 143,278 | ||||
AmTrust Financial Services, Inc. | 13,970 | 203,543 | ||||
Arch Capital Group, Ltd. (a) | 47,669 | 1,261,322 | ||||
Argo Group International Holdings, Ltd. | 4,060 | 236,089 | ||||
Aspen Insurance Holdings, Ltd. | 7,388 | 300,692 | ||||
Assured Guaranty, Ltd. | 13,719 | 490,180 | ||||
Athene Holding, Ltd. Class A (a) | 19,500 | 854,880 |
Security Description | Shares | Value | |||
Axis Capital Holdings, Ltd. | 10,316 | $ 573,776 | |||
Baldwin & Lyons, Inc. Class B | 1,100 | 26,840 | |||
Brown & Brown, Inc. | 28,588 | 792,745 | |||
Citizens, Inc. (a) (b) | 5,700 | 44,403 | |||
CNA Financial Corp. | 3,391 | 154,901 | |||
CNO Financial Group, Inc. | 20,779 | 395,632 | |||
Crawford & Co. Class B | 1,391 | 12,032 | |||
Donegal Group, Inc. Class A | 1,000 | 13,610 | |||
eHealth, Inc. (a) | 2,200 | 48,620 | |||
EMC Insurance Group, Inc. | 1,000 | 27,780 | |||
Employers Holdings, Inc. | 3,900 | 156,780 | |||
Enstar Group, Ltd. (a) | 1,451 | 300,792 | |||
Erie Indemnity Co. Class A | 3,138 | 367,962 | |||
FBL Financial Group, Inc. Class A | 1,226 | 96,548 | |||
FedNat Holding Co. | 1,400 | 32,298 | |||
First American Financial Corp. | 13,648 | 705,875 | |||
FNF Group | 33,122 | 1,246,050 | |||
Genworth Financial, Inc. Class A (a) | 62,800 | 282,600 | |||
Global Indemnity, Ltd. | 1,054 | 41,085 | |||
Goosehead Insurance, Inc. Class A (a) (b) | 1,200 | 29,952 | |||
Greenlight Capital Re, Ltd. Class A (a) | 3,700 | 52,540 | |||
Hallmark Financial Services, Inc. (a) | 1,541 | 15,379 | |||
Hanover Insurance Group, Inc. | 5,354 | 640,124 | |||
HCI Group, Inc. | 945 | 39,284 | |||
Health Insurance Innovations, Inc. Class A (a) | 1,400 | 45,290 | |||
Heritage Insurance Holdings, Inc. (b) | 2,700 | 45,009 | |||
Horace Mann Educators Corp. | 5,100 | 227,460 | |||
Independence Holding Co. | 700 | 23,275 | |||
Infinity Property & Casualty Corp. | 1,367 | 194,592 | |||
Investors Title Co. | 142 | 26,222 | |||
James River Group Holdings, Ltd. | 3,100 | 121,799 | |||
Kemper Corp. | 4,983 | 376,964 | |||
Kingstone Cos., Inc. | 1,100 | 18,590 | |||
Kinsale Capital Group, Inc. | 2,400 | 131,664 | |||
Maiden Holdings, Ltd. | 8,500 | 65,875 | |||
Markel Corp. (a) | 1,666 | 1,806,527 | |||
MBIA, Inc. (a) | 10,800 | 97,632 | |||
Mercury General Corp. | 3,437 | 156,590 | |||
National General Holdings Corp. | 7,499 | 197,449 | |||
National Western Life Group, Inc. Class A | 277 | 85,111 | |||
Navigators Group, Inc. | 2,592 | 147,744 | |||
NI Holdings, Inc. (a) | 1,200 | 20,340 | |||
Old Republic International Corp. | 35,062 | 698,084 | |||
Primerica, Inc. | 5,357 | 533,557 | |||
ProAssurance Corp. | 6,531 | 231,524 | |||
Reinsurance Group of America, Inc. | 7,981 | 1,065,304 | |||
RenaissanceRe Holdings, Ltd. | 4,988 | 600,156 | |||
RLI Corp. | 4,918 | 325,522 | |||
Safety Insurance Group, Inc. | 1,838 | 156,965 | |||
Selective Insurance Group, Inc. | 7,200 | 396,000 | |||
State Auto Financial Corp. | 1,900 | 56,829 | |||
Stewart Information Services Corp. | 2,549 | 109,785 | |||
Third Point Reinsurance, Ltd. (a) | 10,000 | 125,000 | |||
Tiptree, Inc. | 2,900 | 19,720 |
Table of Contents
Security Description | Shares | Value | ||||
Trupanion, Inc. (a) (b) | 2,769 | $ 106,883 | ||||
United Fire Group, Inc. | 2,598 | 141,617 | ||||
United Insurance Holdings Corp. | 2,500 | 48,950 | ||||
Universal Insurance Holdings, Inc. | 3,800 | 133,380 | ||||
Validus Holdings, Ltd. | 9,592 | 648,419 | ||||
White Mountains Insurance Group, Ltd. | 349 | 316,407 | ||||
WMIH Corp. (a) | 22,734 | 30,464 | ||||
WR Berkley Corp. | 11,767 | 852,048 | ||||
22,627,985 | ||||||
INTERNET & CATALOG RETAIL — 0.6% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 3,300 | 41,415 | ||||
Duluth Holdings, Inc. Class B (a) | 1,099 | 26,145 | ||||
Gaia, Inc. (a) | 1,000 | 20,250 | ||||
Groupon, Inc. (a) | 55,122 | 237,025 | ||||
Lands' End, Inc. (a) | 1,600 | 44,640 | ||||
Liberty Expedia Holdings, Inc. Class A (a) | 6,787 | 298,221 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 8,900 | 143,290 | ||||
Nutrisystem, Inc. | 3,651 | 140,563 | ||||
Overstock.com, Inc. (a) (b) | 2,100 | 70,665 | ||||
PetMed Express, Inc. | 2,400 | 105,720 | ||||
Qurate Retail, Inc. (a) | 53,416 | 1,133,488 | ||||
Shutterfly, Inc. (a) | 4,177 | 376,055 | ||||
Wayfair, Inc. Class A (a) (b) | 6,851 | 813,625 | ||||
3,451,102 | ||||||
INTERNET SOFTWARE & SERVICES — 3.0% | ||||||
2U, Inc. (a) | 6,705 | 560,270 | ||||
Alarm.com Holdings, Inc. (a) (b) | 3,900 | 157,482 | ||||
Alteryx, Inc. Class A (a) (b) | 2,900 | 110,664 | ||||
Amber Road, Inc. (a) | 2,300 | 21,643 | ||||
Appfolio, Inc. Class A (a) | 1,785 | 109,153 | ||||
Apptio, Inc. Class A (a) | 4,300 | 155,660 | ||||
Benefitfocus, Inc. (a) (b) | 1,941 | 65,218 | ||||
Blucora, Inc. (a) | 5,500 | 203,500 | ||||
Box, Inc. Class A (a) | 15,565 | 388,969 | ||||
Brightcove, Inc. (a) | 4,226 | 40,781 | ||||
Carbonite, Inc. (a) | 3,100 | 108,190 | ||||
Cardlytics, Inc. (a) (b) | 700 | 15,232 | ||||
Care.com, Inc. (a) | 1,600 | 33,408 | ||||
Cargurus, Inc. (a) | 6,000 | 208,440 | ||||
Cars.com, Inc. (a) | 9,000 | 255,510 | ||||
ChannelAdvisor Corp. (a) | 3,000 | 42,150 | ||||
Cimpress NV (a) | 2,721 | 394,436 | ||||
Cision, Ltd. (a) | 4,800 | 71,760 | ||||
Cloudera, Inc. (a) | 12,400 | 169,136 | ||||
Cornerstone OnDemand, Inc. (a) | 6,775 | 321,338 | ||||
Coupa Software, Inc. (a) | 6,500 | 404,560 | ||||
DocuSign, Inc. (a) | 3,100 | 164,145 | ||||
eGain Corp. (a) | 2,200 | 33,220 | ||||
Endurance International Group Holdings, Inc. (a) | 7,035 | 69,998 | ||||
Envestnet, Inc. (a) | 5,452 | 299,587 | ||||
Etsy, Inc. (a) | 14,720 | 621,037 | ||||
Five9, Inc. (a) | 6,627 | 229,095 | ||||
Fusion Connect, Inc. (a) (b) | 2,600 | 10,244 |
Security Description | Shares | Value | ||||
GoDaddy, Inc. Class A (a) | 18,422 | $ 1,300,593 | ||||
Gogo, Inc. (a) (b) | 7,610 | 36,985 | ||||
GrubHub, Inc. (a) | 11,264 | 1,181,706 | ||||
GTT Communications, Inc. (a) (b) | 3,895 | 175,275 | ||||
Hortonworks, Inc. (a) | 8,378 | 152,647 | ||||
IAC/InterActiveCorp (a) | 9,131 | 1,392,386 | ||||
Instructure, Inc. (a) | 4,000 | 170,200 | ||||
Internap Corp. (a) (b) | 2,399 | 24,998 | ||||
j2 Global, Inc. | 5,869 | 508,314 | ||||
Leaf Group, Ltd. (a) | 1,800 | 19,530 | ||||
Limelight Networks, Inc. (a) | 11,000 | 49,170 | ||||
Liquidity Services, Inc. (a) | 3,000 | 19,650 | ||||
LivePerson, Inc. (a) | 6,900 | 145,590 | ||||
LogMeIn, Inc. | 6,383 | 659,045 | ||||
Match Group, Inc. (a) | 6,500 | 251,810 | ||||
Meet Group, Inc. (a) | 7,800 | 34,944 | ||||
MINDBODY, Inc. Class A (a) | 5,300 | 204,580 | ||||
New Relic, Inc. (a) | 5,431 | 546,304 | ||||
NIC, Inc. | 7,800 | 121,290 | ||||
Nutanix, Inc. Class A (a) | 13,200 | 680,724 | ||||
Okta, Inc. (a) | 10,500 | 528,885 | ||||
Pandora Media, Inc. (a) (b) | 30,335 | 239,040 | ||||
Q2 Holdings, Inc. (a) | 4,600 | 262,430 | ||||
QuinStreet, Inc. (a) | 4,600 | 58,420 | ||||
Quotient Technology, Inc. (a) | 9,200 | 120,520 | ||||
Reis, Inc. | 1,100 | 23,980 | ||||
Remark Holdings, Inc. (a) | 3,400 | 13,294 | ||||
SendGrid, Inc. (a) | 1,000 | 26,520 | ||||
ShotSpotter, Inc. (a) | 900 | 34,137 | ||||
Shutterstock, Inc. (a) | 2,250 | 106,785 | ||||
SPS Commerce, Inc. (a) | 2,151 | 158,056 | ||||
Stamps.com, Inc. (a) | 2,057 | 520,524 | ||||
TechTarget, Inc. (a) | 2,400 | 68,160 | ||||
Telaria, Inc. (a) | 5,400 | 21,816 | ||||
Trade Desk, Inc. Class A (a) | 3,900 | 365,820 | ||||
Travelzoo (a) | 600 | 10,260 | ||||
TrueCar, Inc. (a) | 11,866 | 119,728 | ||||
Tucows, Inc. Class A (a) (b) | 1,100 | 66,715 | ||||
Twilio, Inc. Class A (a) | 8,900 | 498,578 | ||||
Veritone, Inc. (a) (b) | 400 | 6,728 | ||||
Web.com Group, Inc. (a) | 4,700 | 121,495 | ||||
XO Group, Inc. (a) | 3,011 | 96,352 | ||||
Yelp, Inc. (a) | 10,091 | 395,365 | ||||
Yext, Inc. (a) (b) | 9,900 | 191,466 | ||||
Zillow Group, Inc. (a) (b) | 14,183 | 837,648 | ||||
Zillow Group, Inc. Class A (a) | 6,883 | 411,259 | ||||
18,244,548 | ||||||
IT SERVICES — 3.5% | ||||||
Acxiom Corp. (a) | 10,070 | 301,597 | ||||
Amdocs, Ltd. | 17,883 | 1,183,676 | ||||
Black Knight, Inc. (a) | 17,846 | 955,653 | ||||
Booz Allen Hamilton Holding Corp. | 17,600 | 769,648 | ||||
CACI International, Inc. Class A (a) | 3,058 | 515,426 | ||||
Cardtronics PLC Class A (a) | 4,928 | 119,159 | ||||
Cass Information Systems, Inc. | 1,450 | 99,789 | ||||
Conduent, Inc. (a) | 23,900 | 434,263 | ||||
ConvergeOne Holdings, Inc. | 3,000 | 28,170 |
Table of Contents
Security Description | Shares | Value | ||||
Convergys Corp. | 11,742 | $ 286,974 | ||||
CoreLogic, Inc. (a) | 10,100 | 524,190 | ||||
CSG Systems International, Inc. | 4,200 | 171,654 | ||||
EPAM Systems, Inc. (a) | 6,316 | 785,268 | ||||
Euronet Worldwide, Inc. (a) | 6,106 | 511,500 | ||||
Everi Holdings, Inc. (a) | 8,000 | 57,600 | ||||
EVERTEC, Inc. | 7,900 | 172,615 | ||||
Exela Technologies, Inc. (a) | 5,800 | 27,550 | ||||
ExlService Holdings, Inc. (a) | 4,237 | 239,857 | ||||
First Data Corp. Class A (a) | 59,705 | 1,249,626 | ||||
Genpact, Ltd. | 18,260 | 528,262 | ||||
Hackett Group, Inc. | 2,890 | 46,442 | ||||
Information Services Group, Inc. (a) | 3,800 | 15,580 | ||||
Jack Henry & Associates, Inc. | 9,553 | 1,245,329 | ||||
Leidos Holdings, Inc. | 17,811 | 1,050,849 | ||||
ManTech International Corp. Class A | 3,158 | 169,395 | ||||
MAXIMUS, Inc. | 8,207 | 509,737 | ||||
MoneyGram International, Inc. (a) | 3,353 | 22,432 | ||||
Perficient, Inc. (a) | 4,200 | 110,754 | ||||
Perspecta, Inc. | 17,800 | 365,790 | ||||
PFSweb, Inc. (a) | 1,900 | 18,468 | ||||
Presidio, Inc. (a) (b) | 3,900 | 51,090 | ||||
PRGX Global, Inc. (a) | 400 | 3,880 | ||||
Sabre Corp. | 29,688 | 731,512 | ||||
Science Applications International Corp. | 5,247 | 424,640 | ||||
ServiceSource International, Inc. (a) | 9,400 | 37,036 | ||||
Square, Inc. Class A (a) | 35,160 | 2,167,262 | ||||
Switch, Inc. Class A (b) | 4,800 | 58,416 | ||||
Sykes Enterprises, Inc. (a) | 4,953 | 142,547 | ||||
Syntel, Inc. (a) | 4,100 | 131,569 | ||||
Teradata Corp. (a) | 15,201 | 610,320 | ||||
Travelport Worldwide, Ltd. | 15,500 | 287,370 | ||||
TTEC Holdings, Inc. | 1,700 | 58,735 | ||||
Unisys Corp. (a) (b) | 6,200 | 79,980 | ||||
Virtusa Corp. (a) | 3,400 | 165,512 | ||||
WEX, Inc. (a) | 4,985 | 949,543 | ||||
Worldpay, Inc. Class A (a) | 36,467 | 2,982,271 | ||||
21,398,936 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.4% | ||||||
Acushnet Holdings Corp. | 3,800 | 92,948 | ||||
American Outdoor Brands Corp. (a) | 6,588 | 79,254 | ||||
Brunswick Corp. | 10,738 | 692,386 | ||||
Callaway Golf Co. | 11,712 | 222,176 | ||||
Clarus Corp. (a) | 2,500 | 20,625 | ||||
Escalade, Inc. | 1,200 | 16,920 | ||||
Johnson Outdoors, Inc. Class A | 600 | 50,718 | ||||
Malibu Boats, Inc. Class A (a) | 2,500 | 104,850 | ||||
Marine Products Corp. | 987 | 17,549 | ||||
MCBC Holdings, Inc. (a) | 2,200 | 63,690 | ||||
Nautilus, Inc. (a) | 3,700 | 58,090 | ||||
Polaris Industries, Inc. | 7,415 | 905,965 | ||||
Sturm Ruger & Co., Inc. | 2,065 | 115,640 | ||||
Vista Outdoor, Inc. (a) | 7,021 | 108,755 | ||||
2,549,566 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 0.8% | ||||||
Accelerate Diagnostics, Inc. (a) | 3,200 | 71,360 |
Security Description | Shares | Value | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 2,623 | $ 756,840 | ||||
Bio-Techne Corp. | 4,657 | 689,003 | ||||
Bruker Corp. | 12,441 | 361,287 | ||||
Cambrex Corp. (a) | 4,000 | 209,200 | ||||
Charles River Laboratories International, Inc. (a) | 5,937 | 666,488 | ||||
ChromaDex Corp. (a) | 4,700 | 17,437 | ||||
Enzo Biochem, Inc. (a) | 5,400 | 28,026 | ||||
Fluidigm Corp. (a) | 4,544 | 27,082 | ||||
Harvard Bioscience, Inc. (a) | 4,300 | 23,005 | ||||
Luminex Corp. | 5,000 | 147,650 | ||||
Medpace Holdings, Inc. (a) | 1,200 | 51,600 | ||||
NanoString Technologies, Inc. (a) | 2,400 | 32,832 | ||||
NeoGenomics, Inc. (a) (b) | 6,900 | 90,459 | ||||
Pacific Biosciences of California, Inc. (a) (b) | 14,100 | 50,055 | ||||
PRA Health Sciences, Inc. (a) | 6,294 | 587,608 | ||||
QIAGEN NV (a) | 27,581 | 997,329 | ||||
Quanterix Corp. (a) | 600 | 8,616 | ||||
Syneos Health, Inc. (a) | 6,794 | 318,638 | ||||
5,134,515 | ||||||
MACHINERY — 3.8% | ||||||
Actuant Corp. Class A | 7,500 | 220,125 | ||||
AGCO Corp. | 8,475 | 514,602 | ||||
Alamo Group, Inc. | 1,192 | 107,709 | ||||
Albany International Corp. Class A | 3,548 | 213,412 | ||||
Allison Transmission Holdings, Inc. | 15,057 | 609,658 | ||||
Altra Industrial Motion Corp. | 3,574 | 154,039 | ||||
American Railcar Industries, Inc. | 896 | 35,374 | ||||
Astec Industries, Inc. | 2,640 | 157,872 | ||||
Barnes Group, Inc. | 6,114 | 360,115 | ||||
Blue Bird Corp. (a) | 1,400 | 31,290 | ||||
Briggs & Stratton Corp. | 5,100 | 89,811 | ||||
Chart Industries, Inc. (a) | 3,800 | 234,384 | ||||
CIRCOR International, Inc. | 2,047 | 75,657 | ||||
Colfax Corp. (a) | 11,127 | 341,043 | ||||
Columbus McKinnon Corp. | 2,900 | 125,744 | ||||
Commercial Vehicle Group, Inc. (a) | 3,100 | 22,754 | ||||
Crane Co. | 6,348 | 508,665 | ||||
DMC Global, Inc. | 1,900 | 85,310 | ||||
Donaldson Co., Inc. | 16,379 | 739,020 | ||||
Douglas Dynamics, Inc. | 2,777 | 133,296 | ||||
Eastern Co. | 700 | 19,635 | ||||
Energy Recovery, Inc. (a) (b) | 4,500 | 36,360 | ||||
EnPro Industries, Inc. | 2,645 | 185,018 | ||||
ESCO Technologies, Inc. | 3,143 | 181,351 | ||||
Federal Signal Corp. | 7,400 | 172,346 | ||||
Franklin Electric Co., Inc. | 5,949 | 268,300 | ||||
FreightCar America, Inc. | 1,400 | 23,506 | ||||
Gardner Denver Holdings, Inc. (a) | 12,800 | 376,192 | ||||
Gates Industrial Corp. PLC (a) | 5,400 | 87,858 | ||||
Gencor Industries, Inc. (a) | 1,100 | 17,765 | ||||
Global Brass & Copper Holdings, Inc. | 2,700 | 84,645 | ||||
Gorman-Rupp Co. | 2,200 | 77,000 | ||||
Graco, Inc. | 20,613 | 932,120 | ||||
Graham Corp. | 1,100 | 28,391 |
Table of Contents
Security Description | Shares | Value | ||||
Greenbrier Cos., Inc. (b) | 3,994 | $ 210,684 | ||||
Harsco Corp. (a) | 10,091 | 223,011 | ||||
Hillenbrand, Inc. | 7,899 | 372,438 | ||||
Hurco Cos., Inc. | 766 | 34,279 | ||||
Hyster-Yale Materials Handling, Inc. | 1,289 | 82,818 | ||||
IDEX Corp. | 9,526 | 1,300,108 | ||||
ITT, Inc. | 10,888 | 569,116 | ||||
John Bean Technologies Corp. | 3,990 | 354,711 | ||||
Kadant, Inc. | 1,400 | 134,610 | ||||
Kennametal, Inc. | 10,317 | 370,380 | ||||
LB Foster Co. Class A (a) | 1,000 | 22,950 | ||||
Lincoln Electric Holdings, Inc. | 7,856 | 689,443 | ||||
Lindsay Corp. | 1,370 | 132,876 | ||||
Lydall, Inc. (a) | 2,100 | 91,665 | ||||
Manitex International, Inc. (a) | 1,800 | 22,464 | ||||
Manitowoc Co., Inc (a) | 3,875 | 100,208 | ||||
Meritor, Inc. (a) | 10,500 | 215,985 | ||||
Middleby Corp. (a) (b) | 6,770 | 706,923 | ||||
Milacron Holdings Corp. (a) | 8,400 | 159,012 | ||||
Miller Industries, Inc. | 1,300 | 33,215 | ||||
Mueller Industries, Inc. | 7,184 | 212,000 | ||||
Mueller Water Products, Inc. Class A | 19,400 | 227,368 | ||||
Navistar International Corp. (a) | 6,200 | 252,464 | ||||
NN, Inc. | 3,316 | 62,672 | ||||
Nordson Corp. | 7,203 | 924,937 | ||||
Omega Flex, Inc. | 400 | 31,644 | ||||
Oshkosh Corp. | 9,108 | 640,475 | ||||
Park-Ohio Holdings Corp. | 1,046 | 39,016 | ||||
Proto Labs, Inc. (a) | 3,403 | 404,787 | ||||
RBC Bearings, Inc. (a) | 2,969 | 382,437 | ||||
REV Group, Inc. (b) | 3,800 | 64,638 | ||||
Rexnord Corp. (a) | 13,090 | 380,395 | ||||
Spartan Motors, Inc. | 4,100 | 61,910 | ||||
SPX Corp. (a) | 5,400 | 189,270 | ||||
SPX FLOW, Inc. (a) | 5,400 | 236,358 | ||||
Standex International Corp. | 1,615 | 165,053 | ||||
Sun Hydraulics Corp. | 3,448 | 166,159 | ||||
Tennant Co. | 2,176 | 171,904 | ||||
Terex Corp. (b) | 8,490 | 358,193 | ||||
Timken Co. | 8,692 | 378,537 | ||||
Titan International, Inc. | 6,100 | 65,453 | ||||
Toro Co. | 13,093 | 788,853 | ||||
TriMas Corp. (a) | 5,600 | 164,640 | ||||
Trinity Industries, Inc. | 18,269 | 625,896 | ||||
Twin Disc, Inc. (a) | 1,000 | 24,820 | ||||
Wabash National Corp. | 7,300 | 136,218 | ||||
WABCO Holdings, Inc. (a) | 6,461 | 756,066 | ||||
Wabtec Corp. (b) | 10,701 | 1,054,905 | ||||
Watts Water Technologies, Inc. Class A | 3,583 | 280,907 | ||||
Welbilt, Inc. (a) | 16,500 | 368,115 | ||||
Woodward, Inc. | 6,750 | 518,805 | ||||
23,212,158 | ||||||
MARINE — 0.2% | ||||||
Costamare, Inc. | 6,200 | 49,476 | ||||
Eagle Bulk Shipping, Inc. (a) | 4,500 | 24,480 | ||||
Genco Shipping & Trading, Ltd. (a) | 900 | 13,950 | ||||
Kirby Corp. (a) | 7,340 | 613,624 |
Security Description | Shares | Value | ||||
Matson, Inc. | 5,482 | $ 210,399 | ||||
Safe Bulkers, Inc. (a) | 5,800 | 19,720 | ||||
Scorpio Bulkers, Inc. | 7,374 | 52,356 | ||||
984,005 | ||||||
MEDIA — 2.2% | ||||||
AMC Entertainment Holdings, Inc. Class A | 6,484 | 103,096 | ||||
AMC Networks, Inc. Class A (a) (b) | 5,486 | 341,229 | ||||
Beasley Broadcast Group, Inc. Class A | 600 | 6,720 | ||||
Boston Omaha Corp. Class A (a) | 600 | 12,642 | ||||
Cable One, Inc. | 491 | 360,045 | ||||
Central European Media Enterprises, Ltd. Class A (a) | 9,600 | 39,840 | ||||
Cinemark Holdings, Inc. (b) | 13,516 | 474,141 | ||||
Clear Channel Outdoor Holdings, Inc. Class A | 4,300 | 18,490 | ||||
Daily Journal Corp. (a) (b) | 159 | 36,602 | ||||
Emerald Expositions Events, Inc. | 2,200 | 45,320 | ||||
Entercom Communications Corp. Class A (b) | 15,500 | 117,025 | ||||
Entravision Communications Corp. Class A | 7,700 | 38,500 | ||||
Eros International PLC (a) (b) | 3,647 | 47,411 | ||||
EW Scripps Co. Class A | 5,600 | 74,984 | ||||
Fluent, Inc. (a) | 2,700 | 6,615 | ||||
Gannett Co., Inc. | 13,700 | 146,590 | ||||
GCI Liberty, Inc. Class A (a) | 12,096 | 545,288 | ||||
Gray Television, Inc. (a) | 9,800 | 154,840 | ||||
Hemisphere Media Group, Inc. (a) | 1,700 | 22,270 | ||||
IMAX Corp. (a) | 7,000 | 155,050 | ||||
John Wiley & Sons, Inc. Class A | 5,650 | 352,560 | ||||
Liberty Broadband Corp. Class A (a) | 3,244 | 245,376 | ||||
Liberty Broadband Corp. Class C (a) (b) | 12,960 | 981,331 | ||||
Liberty Latin America, Ltd. Class A (a) | 5,300 | 101,336 | ||||
Liberty Latin America, Ltd. Class C (a) | 13,900 | 269,382 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) | 1,194 | 30,698 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) (b) | 4,210 | 108,871 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) (b) | 3,036 | 107,201 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) (b) | 24,550 | 911,541 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 10,504 | 473,205 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 20,859 | 946,164 | ||||
Lions Gate Entertainment Corp. Class A | 6,124 | 151,998 | ||||
Lions Gate Entertainment Corp. Class B | 11,979 | 281,027 | ||||
Live Nation Entertainment, Inc. (a) | 16,959 | 823,699 | ||||
LiveXLive Media, Inc. (a) | 700 | 4,039 |
Table of Contents
Security Description | Shares | Value | ||||
Loral Space & Communications, Inc. (a) | 1,600 | $ 60,160 | ||||
Madison Square Garden Co. Class A (a) | 2,337 | 724,914 | ||||
Marcus Corp. | 2,300 | 74,750 | ||||
MDC Partners, Inc. Class A (a) | 7,000 | 32,200 | ||||
Meredith Corp. (b) | 5,101 | 260,151 | ||||
MSG Networks, Inc. Class A (a) | 7,321 | 175,338 | ||||
National CineMedia, Inc. | 7,500 | 63,000 | ||||
New Media Investment Group, Inc. | 6,200 | 114,576 | ||||
New York Times Co. Class A | 16,000 | 414,400 | ||||
Nexstar Media Group, Inc. Class A | 5,511 | 404,507 | ||||
Reading International, Inc. Class A (a) | 2,000 | 31,900 | ||||
Saga Communications, Inc. Class A | 444 | 17,094 | ||||
Scholastic Corp. | 3,495 | 154,863 | ||||
Sinclair Broadcast Group, Inc. Class A | 9,162 | 294,558 | ||||
Sirius XM Holdings, Inc. (b) | 157,802 | 1,068,320 | ||||
TEGNA, Inc. | 27,583 | 299,276 | ||||
Tribune Media Co. Class A | 11,032 | 422,195 | ||||
tronc, Inc. (a) | 2,400 | 41,472 | ||||
WideOpenWest, Inc. (a) (b) | 3,500 | 33,810 | ||||
World Wrestling Entertainment, Inc. Class A | 5,227 | 380,630 | ||||
13,603,240 | ||||||
METALS & MINING — 1.4% | ||||||
AK Steel Holding Corp. (a) (b) | 38,800 | 168,392 | ||||
Alcoa Corp. (a) | 23,421 | 1,097,977 | ||||
Allegheny Technologies, Inc. (a) | 15,937 | 400,337 | ||||
Carpenter Technology Corp. | 5,955 | 313,054 | ||||
Century Aluminum Co. (a) | 6,100 | 96,075 | ||||
Cleveland-Cliffs, Inc. (a) (b) | 38,042 | 320,694 | ||||
Coeur Mining, Inc. (a) | 23,200 | 176,320 | ||||
Commercial Metals Co. | 14,447 | 304,976 | ||||
Compass Minerals International, Inc. (b) | 4,214 | 277,071 | ||||
Ferroglobe Representation & Warranty Insurance Trust (c) | 2,200 | — | ||||
Gold Resource Corp. | 6,100 | 40,199 | ||||
Haynes International, Inc. | 1,500 | 55,110 | ||||
Hecla Mining Co. | 51,264 | 178,399 | ||||
Kaiser Aluminum Corp. | 2,111 | 219,776 | ||||
Klondex Mines, Ltd. (a) | 16,600 | 38,346 | ||||
Materion Corp. | 2,455 | 132,938 | ||||
Olympic Steel, Inc. | 1,100 | 22,451 | ||||
Ramaco Resources, Inc. (a) | 500 | 3,480 | ||||
Reliance Steel & Aluminum Co. | 8,677 | 759,585 | ||||
Royal Gold, Inc. | 8,058 | 748,105 | ||||
Ryerson Holding Corp. (a) | 1,900 | 21,185 | ||||
Schnitzer Steel Industries, Inc. Class A | 3,272 | 110,266 | ||||
Southern Copper Corp. | 10,469 | 490,682 | ||||
Steel Dynamics, Inc. | 28,106 | 1,291,471 | ||||
SunCoke Energy, Inc. (a) | 7,900 | 105,860 | ||||
Synalloy Corp. | 1,000 | 19,950 | ||||
Tahoe Resources, Inc. | 40,284 | 198,197 | ||||
TimkenSteel Corp. (a) (b) | 4,800 | 78,480 |
Security Description | Shares | Value | ||||
United States Steel Corp. (b) | 22,199 | $ 771,415 | ||||
Universal Stainless & Alloy Products, Inc. (a) | 900 | 21,303 | ||||
Warrior Met Coal, Inc. | 4,300 | 118,551 | ||||
Worthington Industries, Inc. | 5,300 | 222,441 | ||||
8,803,086 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 1.3% | ||||||
AG Mortgage Investment Trust, Inc. REIT | 3,400 | 63,886 | ||||
AGNC Investment Corp. REIT | 52,293 | 972,127 | ||||
Annaly Capital Management, Inc. REIT | 143,979 | 1,481,544 | ||||
Anworth Mortgage Asset Corp. REIT | 11,900 | 59,143 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT (b) | 15,140 | 276,759 | ||||
Arbor Realty Trust, Inc. REIT (b) | 6,600 | 68,838 | ||||
Ares Commercial Real Estate Corp. REIT | 3,300 | 45,573 | ||||
ARMOUR Residential REIT, Inc. (b) | 5,100 | 116,331 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT (b) | 12,500 | 392,875 | ||||
Capstead Mortgage Corp. REIT | 11,610 | 103,909 | ||||
Cherry Hill Mortgage Investment Corp. REIT | 1,400 | 25,004 | ||||
Chimera Investment Corp. REIT | 23,626 | 431,883 | ||||
Colony Credit Real Estate, Inc. REIT (b) | 10,200 | 211,446 | ||||
CYS Investments, Inc. REIT | 18,900 | 141,750 | ||||
Dynex Capital, Inc. REIT | 6,400 | 41,792 | ||||
Exantas Capital Corp. REIT | 3,675 | 37,411 | ||||
Granite Point Mortgage Trust, Inc. REIT | 5,282 | 96,925 | ||||
Great Ajax Corp. REIT | 1,800 | 23,544 | ||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 6,197 | 122,391 | ||||
Invesco Mortgage Capital, Inc. REIT | 14,000 | 222,600 | ||||
Ladder Capital Corp. REIT | 10,328 | 161,323 | ||||
MFA Financial, Inc. REIT | 50,436 | 382,305 | ||||
MTGE Investment Corp. REIT | 5,600 | 109,760 | ||||
New Residential Investment Corp. REIT | 42,100 | 736,329 | ||||
New York Mortgage Trust, Inc. REIT (b) | 13,600 | 81,736 | ||||
Orchid Island Capital, Inc. REIT (b) | 6,100 | 45,872 | ||||
PennyMac Mortgage Investment Trust REIT | 7,541 | 143,204 | ||||
Redwood Trust, Inc. REIT | 9,400 | 154,818 | ||||
Starwood Property Trust, Inc. REIT | 31,748 | 689,249 | ||||
Sutherland Asset Management Corp. REIT | 2,200 | 35,750 | ||||
TPG RE Finance Trust, Inc. REIT (b) | 4,200 | 85,344 | ||||
Two Harbors Investment Corp. REIT | 21,712 | 343,050 | ||||
Western Asset Mortgage Capital Corp. REIT | 5,000 | 52,100 | ||||
7,956,571 |
Table of Contents
Security Description | Shares | Value | ||||
MULTI-UTILITIES — 0.4% | ||||||
Avista Corp. | 8,100 | $ 426,546 | ||||
Black Hills Corp. (b) | 6,693 | 409,679 | ||||
MDU Resources Group, Inc. | 24,100 | 691,188 | ||||
NorthWestern Corp. | 6,355 | 363,824 | ||||
Unitil Corp. | 1,800 | 91,872 | ||||
Vectren Corp. | 10,392 | 742,508 | ||||
2,725,617 | ||||||
MULTILINE RETAIL — 0.1% | ||||||
Big Lots, Inc. | 5,320 | 222,270 | ||||
Dillard's, Inc. Class A | 1,505 | 142,222 | ||||
JC Penney Co., Inc. (a) (b) | 38,000 | 88,920 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) | 6,002 | 435,145 | ||||
Sears Holdings Corp. (a) (b) | 1,500 | 3,555 | ||||
892,112 | ||||||
OIL, GAS & CONSUMABLE FUELS — 3.7% | ||||||
Abraxas Petroleum Corp. (a) | 18,700 | 54,043 | ||||
Adams Resources & Energy, Inc. | 266 | 11,438 | ||||
Alta Mesa Resources, Inc. (a) | 11,700 | 79,677 | ||||
Amyris, Inc. (a) | 3,000 | 19,170 | ||||
Antero Resources Corp. (a) | 29,274 | 625,000 | ||||
Approach Resources, Inc. (a) (b) | 5,000 | 12,200 | ||||
Arch Coal, Inc. Class A | 2,396 | 187,918 | ||||
Ardmore Shipping Corp. (a) | 3,900 | 31,980 | ||||
Bonanza Creek Energy, Inc. (a) | 2,500 | 94,675 | ||||
California Resources Corp. (a) (b) | 5,302 | 240,923 | ||||
Callon Petroleum Co. (a) (b) | 28,904 | 310,429 | ||||
Carrizo Oil & Gas, Inc. (a) | 9,600 | 267,360 | ||||
Centennial Resource Development, Inc. Class A (a) | 22,864 | 412,924 | ||||
Cheniere Energy, Inc. (a) | 25,947 | 1,691,485 | ||||
Chesapeake Energy Corp. (a) (b) | 111,800 | 585,832 | ||||
Clean Energy Fuels Corp. (a) | 16,800 | 61,992 | ||||
Cloud Peak Energy, Inc. (a) | 8,600 | 30,014 | ||||
CNX Resources Corp. (a) | 26,700 | 474,726 | ||||
CONSOL Energy, Inc. (a) | 3,450 | 132,308 | ||||
Continental Resources, Inc. (a) (b) | 10,847 | 702,452 | ||||
CVR Energy, Inc. (b) | 1,900 | 70,281 | ||||
Delek US Holdings, Inc. | 10,108 | 507,118 | ||||
Denbury Resources, Inc. (a) | 49,715 | 239,129 | ||||
DHT Holdings, Inc. | 9,996 | 46,881 | ||||
Diamondback Energy, Inc. | 12,248 | 1,611,469 | ||||
Dorian LPG, Ltd. (a) | 2,658 | 20,307 | ||||
Earthstone Energy, Inc. Class A (a) | 2,700 | 23,895 | ||||
Eclipse Resources Corp. (a) | 10,200 | 16,320 | ||||
Energen Corp. (a) | 10,712 | 780,048 | ||||
Energy Fuels, Inc. (a) | 9,000 | 20,430 | ||||
Energy XXI Gulf Coast, Inc. (a) | 3,500 | 30,940 | ||||
EP Energy Corp. Class A (a) | 4,500 | 13,500 | ||||
Evolution Petroleum Corp. | 3,000 | 29,550 | ||||
Extraction Oil & Gas, Inc. (a) | 13,800 | 202,722 | ||||
Frontline, Ltd. (b) | 9,420 | 55,013 | ||||
GasLog, Ltd. | 5,300 | 101,230 | ||||
Golar LNG, Ltd. (b) | 11,998 | 353,461 | ||||
Goodrich Petroleum Corp. (a) | 1,100 | 13,607 | ||||
Green Plains, Inc. (b) | 4,747 | 86,870 |
Security Description | Shares | Value | |||
Gulfport Energy Corp. (a) | 20,100 | $ 252,657 | |||
Halcon Resources Corp. (a) (b) | 16,900 | 74,191 | |||
Hallador Energy Co. | 1,900 | 13,566 | |||
HighPoint Resources Corp. (a) (b) | 12,000 | 72,960 | |||
International Seaways, Inc. (a) | 2,699 | 62,455 | |||
Isramco, Inc. (a) | 59 | 7,251 | |||
Jagged Peak Energy, Inc. (a) (b) | 7,000 | 91,140 | |||
Kosmos Energy, Ltd. (a) (b) | 29,200 | 241,484 | |||
Laredo Petroleum, Inc. (a) (b) | 20,400 | 196,248 | |||
Lilis Energy, Inc. (a) | 5,200 | 27,040 | |||
Matador Resources Co. (a) (b) | 12,400 | 372,620 | |||
Midstates Petroleum Co., Inc. (a) | 1,400 | 19,054 | |||
Murphy Oil Corp. (b) | 20,400 | 688,908 | |||
NACCO Industries, Inc. Class A | 441 | 14,884 | |||
NextDecade Corp. (a) | 900 | 6,156 | |||
Nordic American Tankers, Ltd. | 16,240 | 43,523 | |||
Northern Oil and Gas, Inc. (a) | 13,300 | 41,895 | |||
Oasis Petroleum, Inc. (a) | 33,500 | 434,495 | |||
Overseas Shipholding Group, Inc. Class A (a) | 5,300 | 20,564 | |||
Panhandle Oil and Gas, Inc. Class A | 1,900 | 36,290 | |||
Par Pacific Holdings, Inc. (a) | 3,889 | 67,591 | |||
Parsley Energy, Inc. Class A (a) | 31,949 | 967,416 | |||
PBF Energy, Inc. Class A | 13,852 | 580,814 | |||
PDC Energy, Inc. (a) | 8,312 | 502,460 | |||
Peabody Energy Corp. | 10,003 | 454,936 | |||
Penn Virginia Corp. (a) | 1,500 | 127,335 | |||
QEP Resources, Inc. (a) | 29,423 | 360,726 | |||
Range Resources Corp. | 26,200 | 438,326 | |||
Renewable Energy Group, Inc. (a) (b) | 4,700 | 83,895 | |||
Resolute Energy Corp. (a) (b) | 2,700 | 84,240 | |||
REX American Resources Corp. (a) | 725 | 58,703 | |||
Ring Energy, Inc. (a) | 6,100 | 76,982 | |||
Rosehill Resources, Inc. (a) | 300 | 2,436 | |||
RSP Permian, Inc. (a) | 18,161 | 799,447 | |||
Sanchez Energy Corp. (a) (b) | 8,900 | 40,228 | |||
SandRidge Energy, Inc. (a) | 4,300 | 76,282 | |||
Scorpio Tankers, Inc. (b) | 33,000 | 92,730 | |||
SemGroup Corp. Class A | 9,729 | 247,117 | |||
Ship Finance International, Ltd. (b) | 10,600 | 158,470 | |||
SilverBow Resources, Inc. (a) | 900 | 25,992 | |||
SM Energy Co. (b) | 13,956 | 358,530 | |||
Southwestern Energy Co. (a) | 73,700 | 390,610 | |||
SRC Energy, Inc. (a) (b) | 30,900 | 340,518 | |||
Talos Energy, Inc. (a) | 2,400 | 77,112 | |||
Targa Resources Corp. | 26,818 | 1,327,223 | |||
Teekay Corp. (b) | 7,543 | 58,458 | |||
Teekay Tankers, Ltd. Class A | 23,700 | 27,729 | |||
Tellurian, Inc. (a) (b) | 8,000 | 66,560 | |||
Ultra Petroleum Corp. (a) | 23,822 | 55,029 | |||
Uranium Energy Corp. (a) (b) | 15,900 | 25,599 | |||
W&T Offshore, Inc. (a) | 11,400 | 81,510 | |||
Whiting Petroleum Corp. (a) | 11,200 | 590,464 | |||
WildHorse Resource Development Corp. (a) | 3,300 | 83,688 | |||
World Fuel Services Corp. | 8,349 | 170,403 | |||
WPX Energy, Inc. (a) | 49,400 | 890,682 |
Table of Contents
Security Description | Shares | Value | ||||
Zion Oil & Gas, Inc. (a) | 5,200 | $ 21,086 | ||||
22,778,025 | ||||||
PAPER & FOREST PRODUCTS — 0.3% | ||||||
Boise Cascade Co. | 5,000 | 223,500 | ||||
Clearwater Paper Corp. (a) | 1,979 | 45,715 | ||||
Domtar Corp. | 7,813 | 372,993 | ||||
KapStone Paper and Packaging Corp. | 10,898 | 375,981 | ||||
Louisiana-Pacific Corp. | 18,202 | 495,458 | ||||
Neenah, Inc. | 2,046 | 173,603 | ||||
PH Glatfelter Co. | 5,300 | 103,827 | ||||
Schweitzer-Mauduit International, Inc. | 3,800 | 166,136 | ||||
Verso Corp. Class A (a) | 4,159 | 90,500 | ||||
2,047,713 | ||||||
PERSONAL PRODUCTS — 0.4% | ||||||
Edgewell Personal Care Co. (a) | 6,779 | 342,068 | ||||
elf Beauty, Inc. (a) | 2,600 | 39,624 | ||||
Herbalife Nutrition, Ltd. (a) | 14,130 | 759,064 | ||||
Inter Parfums, Inc. | 2,100 | 112,350 | ||||
Medifast, Inc. | 1,400 | 224,224 | ||||
Natural Health Trends Corp. (b) | 851 | 21,292 | ||||
Nature's Sunshine Products, Inc. (a) | 1,300 | 12,155 | ||||
Nu Skin Enterprises, Inc. Class A | 6,558 | 512,770 | ||||
Revlon, Inc. Class A (a) | 1,400 | 24,570 | ||||
USANA Health Sciences, Inc. (a) | 1,408 | 162,342 | ||||
2,210,459 | ||||||
PHARMACEUTICALS — 1.2% | ||||||
Aclaris Therapeutics, Inc. (a) (b) | 2,758 | 55,077 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 4,400 | 297,220 | ||||
Akcea Therapeutics, Inc. (a) (b) | 1,800 | 42,678 | ||||
Akorn, Inc. (a) | 11,144 | 184,879 | ||||
Amneal Pharmaceuticals, Inc. (a) | 9,590 | 157,372 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 4,400 | 67,144 | ||||
Ampio Pharmaceuticals, Inc. (a) (b) | 8,400 | 18,480 | ||||
ANI Pharmaceuticals, Inc. (a) | 986 | 65,865 | ||||
Aratana Therapeutics, Inc. (a) | 4,800 | 20,400 | ||||
Assembly Biosciences, Inc. (a) | 2,000 | 78,420 | ||||
Catalent, Inc. (a) | 16,482 | 690,431 | ||||
Clearside Biomedical, Inc. (a) (b) | 2,400 | 25,656 | ||||
Collegium Pharmaceutical, Inc. (a) (b) | 3,067 | 73,148 | ||||
Corcept Therapeutics, Inc. (a) (b) | 11,400 | 179,208 | ||||
Corium International, Inc. (a) (b) | 2,800 | 22,428 | ||||
Cymabay Therapeutics, Inc. (a) | 7,200 | 96,624 | ||||
Depomed, Inc. (a) | 6,800 | 45,356 | ||||
Dermira, Inc. (a) | 4,700 | 43,240 | ||||
Dova Pharmaceuticals, Inc. (a) | 800 | 23,936 | ||||
Durect Corp. (a) | 16,700 | 26,052 | ||||
Eloxx Pharmaceuticals, Inc. (a) | 2,600 | 44,382 | ||||
Endo International PLC (a) | 28,100 | 264,983 | ||||
Endocyte, Inc. (a) | 7,900 | 109,020 | ||||
Evolus, Inc. (a) | 600 | 16,794 | ||||
Horizon Pharma PLC (a) | 20,737 | 343,405 | ||||
Innovate Biopharmaceuticals, Inc. (a) (b) | 1,200 | 28,284 | ||||
Innoviva, Inc. (a) | 9,200 | 126,960 |
Security Description | Shares | Value | ||||
Intersect ENT, Inc. (a) | 3,300 | $ 123,585 | ||||
Intra-Cellular Therapies, Inc. (a) | 5,156 | 91,107 | ||||
Jazz Pharmaceuticals PLC (a) | 7,200 | 1,240,560 | ||||
Kala Pharmaceuticals, Inc. (a) | 1,700 | 23,341 | ||||
Lannett Co., Inc. (a) (b) | 3,497 | 47,559 | ||||
Mallinckrodt PLC (a) | 10,200 | 190,332 | ||||
Marinus Pharmaceuticals, Inc. (a) | 4,500 | 31,815 | ||||
Medicines Co. (a) (b) | 8,659 | 317,785 | ||||
Melinta Therapeutics, Inc. (a) | 1,840 | 11,684 | ||||
Menlo Therapeutics, Inc. (a) | 800 | 6,496 | ||||
MyoKardia, Inc. (a) (b) | 3,800 | 188,670 | ||||
Neos Therapeutics, Inc. (a) (b) | 2,900 | 18,125 | ||||
Ocular Therapeutix, Inc. (a) (b) | 3,500 | 23,625 | ||||
Odonate Therapeutics, Inc. (a) (b) | 800 | 17,664 | ||||
Omeros Corp. (a) (b) | 5,600 | 101,584 | ||||
Optinose, Inc. (a) (b) | 2,000 | 55,960 | ||||
Pacira Pharmaceuticals, Inc. (a) | 4,937 | 158,231 | ||||
Paratek Pharmaceuticals, Inc. (a) (b) | 3,200 | 32,640 | ||||
Phibro Animal Health Corp. Class A | 2,400 | 110,520 | ||||
Prestige Brands Holdings, Inc. (a) (b) | 6,616 | 253,922 | ||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 1,400 | 48,958 | ||||
resTORbio, Inc. (a) (b) | 800 | 7,320 | ||||
Revance Therapeutics, Inc. (a) | 3,300 | 90,585 | ||||
scPharmaceuticals, Inc. (a) | 900 | 5,094 | ||||
Sienna Biopharmaceuticals, Inc. (a) (b) | 1,800 | 27,342 | ||||
SIGA Technologies, Inc. (a) | 6,300 | 37,422 | ||||
Supernus Pharmaceuticals, Inc. (a) | 6,100 | 365,085 | ||||
Teligent, Inc. (a) (b) | 4,800 | 16,608 | ||||
Tetraphase Pharmaceuticals, Inc. (a) | 6,300 | 22,491 | ||||
TherapeuticsMD, Inc. (a) (b) | 20,200 | 126,048 | ||||
Theravance Biopharma, Inc. (a) (b) | 5,204 | 118,027 | ||||
WaVe Life Sciences, Ltd. (a) | 2,310 | 88,357 | ||||
Zogenix, Inc. (a) | 4,269 | 188,690 | ||||
Zomedica Pharmaceuticals Corp. (a) (b) | 400 | 900 | ||||
7,335,574 | ||||||
PROFESSIONAL SERVICES — 1.4% | ||||||
Acacia Research Corp. (a) | 5,800 | 24,070 | ||||
ASGN, Inc. (a) | 6,292 | 491,971 | ||||
Barrett Business Services, Inc. | 839 | 81,022 | ||||
BG Staffing, Inc. | 900 | 20,925 | ||||
CBIZ, Inc. (a) | 6,400 | 147,200 | ||||
CoStar Group, Inc. (a) | 4,479 | 1,848,170 | ||||
CRA International, Inc. | 1,000 | 50,890 | ||||
Dun & Bradstreet Corp. | 4,700 | 576,455 | ||||
Exponent, Inc. | 6,550 | 316,365 | ||||
Forrester Research, Inc. | 1,300 | 54,535 | ||||
Franklin Covey Co. (a) | 1,183 | 29,043 | ||||
Front Yard Residential Corp. REIT | 6,127 | 63,843 | ||||
FTI Consulting, Inc. (a) | 4,600 | 278,208 | ||||
GP Strategies Corp. (a) | 1,500 | 26,400 | ||||
Heidrick & Struggles International, Inc. | 2,300 | 80,500 | ||||
Hill International, Inc. (a) | 4,000 | 23,600 | ||||
Huron Consulting Group, Inc. (a) | 2,720 | 111,248 | ||||
ICF International, Inc. | 2,202 | 156,452 |
Table of Contents
Security Description | Shares | Value | ||||
InnerWorkings, Inc. (a) | 5,600 | $ 48,664 | ||||
Insperity, Inc. | 4,550 | 433,388 | ||||
Kelly Services, Inc. Class A | 3,700 | 83,065 | ||||
Kforce, Inc. | 2,800 | 96,040 | ||||
Korn/Ferry International | 6,655 | 412,144 | ||||
ManpowerGroup, Inc. | 8,116 | 698,463 | ||||
Mistras Group, Inc. (a) | 2,087 | 39,403 | ||||
Navigant Consulting, Inc. (a) | 5,600 | 123,984 | ||||
Resources Connection, Inc. | 3,700 | 62,530 | ||||
TransUnion | 22,864 | 1,637,977 | ||||
TriNet Group, Inc. (a) | 5,200 | 290,888 | ||||
TrueBlue, Inc. (a) | 5,000 | 134,750 | ||||
WageWorks, Inc. (a) | 5,144 | 257,200 | ||||
Willdan Group, Inc. (a) (b) | 900 | 27,873 | ||||
8,727,266 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% | ||||||
Altisource Portfolio Solutions SA (a) (b) | 1,300 | 37,921 | ||||
American Realty Investors, Inc. (a) | 300 | 4,743 | ||||
Consolidated-Tomoka Land Co. | 523 | 32,170 | ||||
Forestar Group, Inc. (a) | 1,251 | 25,958 | ||||
FRP Holdings, Inc. (a) | 845 | 54,714 | ||||
Griffin Industrial Realty, Inc. | 100 | 4,399 | ||||
HFF, Inc. Class A | 4,546 | 156,155 | ||||
Howard Hughes Corp. (a) | 4,641 | 614,932 | ||||
Jones Lang LaSalle, Inc. | 5,685 | 943,653 | ||||
Kennedy-Wilson Holdings, Inc. | 15,642 | 330,828 | ||||
Marcus & Millichap, Inc. (a) | 2,000 | 78,020 | ||||
Maui Land & Pineapple Co., Inc. (a) | 700 | 7,840 | ||||
Newmark Group, Inc. Class A | 2,800 | 39,844 | ||||
RE/MAX Holdings, Inc. Class A | 2,200 | 115,390 | ||||
Realogy Holdings Corp. (b) | 15,761 | 359,351 | ||||
Redfin Corp. (a) (b) | 9,100 | 210,119 | ||||
RMR Group, Inc. Class A | 846 | 66,369 | ||||
St. Joe Co. (a) (b) | 4,600 | 82,570 | ||||
Stratus Properties, Inc. (a) | 700 | 21,385 | ||||
Tejon Ranch Co. (a) | 2,200 | 53,460 | ||||
Transcontinental Realty Investors, Inc. (a) | 207 | 6,924 | ||||
Trinity Place Holdings, Inc. (a) | 2,100 | 13,755 | ||||
3,260,500 | ||||||
ROAD & RAIL — 0.9% | ||||||
AMERCO | 820 | 292,043 | ||||
ArcBest Corp. | 3,200 | 146,240 | ||||
Avis Budget Group, Inc. (a) | 8,502 | 276,315 | ||||
Covenant Transportation Group, Inc. Class A (a) | 1,400 | 44,100 | ||||
Daseke, Inc. (a) | 3,900 | 38,727 | ||||
Genesee & Wyoming, Inc. Class A (a) | 7,424 | 603,720 | ||||
Heartland Express, Inc. | 5,800 | 107,590 | ||||
Hertz Global Holdings, Inc. (a) | 6,666 | 102,256 | ||||
Knight-Swift Transportation Holdings, Inc. | 15,859 | 605,972 | ||||
Landstar System, Inc. | 5,283 | 576,904 | ||||
Marten Transport, Ltd. | 4,755 | 111,505 |
Security Description | Shares | Value | ||||
Old Dominion Freight Line, Inc. | 8,143 | $ 1,212,981 | ||||
PAM Transportation Services, Inc. (a) | 300 | 14,091 | ||||
Ryder System, Inc. | 6,645 | 477,510 | ||||
Saia, Inc. (a) | 3,200 | 258,720 | ||||
Schneider National, Inc. Class B | 5,100 | 140,301 | ||||
Universal Logistics Holdings, Inc. | 1,000 | 26,250 | ||||
USA Truck, Inc. (a) | 1,000 | 23,470 | ||||
Werner Enterprises, Inc. | 6,000 | 225,300 | ||||
YRC Worldwide, Inc. (a) | 3,900 | 39,195 | ||||
5,323,190 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.4% | ||||||
ACM Research, Inc. Class A (a) | 1,000 | 10,780 | ||||
Adesto Technologies Corp. (a) | 2,200 | 18,480 | ||||
Advanced Energy Industries, Inc. (a) | 5,000 | 290,450 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 2,487 | 35,415 | ||||
Ambarella, Inc. (a) (b) | 3,980 | 153,668 | ||||
Amkor Technology, Inc. (a) | 12,452 | 106,963 | ||||
Aquantia Corp. (a) | 1,100 | 12,738 | ||||
Axcelis Technologies, Inc. (a) | 3,675 | 72,765 | ||||
AXT, Inc. (a) | 4,300 | 30,315 | ||||
Brooks Automation, Inc. | 8,900 | 290,318 | ||||
Cabot Microelectronics Corp. | 3,181 | 342,148 | ||||
Cavium, Inc. (a) | 8,501 | 735,337 | ||||
CEVA, Inc. (a) | 2,700 | 81,540 | ||||
Cirrus Logic, Inc. (a) | 8,040 | 308,173 | ||||
Cohu, Inc. | 3,400 | 83,334 | ||||
Cree, Inc. (a) | 12,315 | 511,935 | ||||
Cypress Semiconductor Corp. (b) | 44,133 | 687,592 | ||||
Diodes, Inc. (a) | 4,792 | 165,180 | ||||
Entegris, Inc. | 17,798 | 603,352 | ||||
First Solar, Inc. (a) (b) | 10,265 | 540,555 | ||||
FormFactor, Inc. (a) | 8,765 | 116,575 | ||||
Ichor Holdings, Ltd. (a) (b) | 2,300 | 48,806 | ||||
Impinj, Inc. (a) (b) | 2,200 | 48,642 | ||||
Inphi Corp. (a) (b) | 5,449 | 177,692 | ||||
Integrated Device Technology, Inc. (a) | 16,411 | 523,183 | ||||
Kopin Corp. (a) (b) | 7,200 | 20,592 | ||||
Lattice Semiconductor Corp. (a) | 14,980 | 98,269 | ||||
MACOM Technology Solutions Holdings, Inc. (a) (b) | 4,952 | 114,094 | ||||
Marvell Technology Group, Ltd. | 49,562 | 1,062,609 | ||||
Maxim Integrated Products, Inc. | 34,205 | 2,006,465 | ||||
MaxLinear, Inc. (a) | 7,500 | 116,925 | ||||
MKS Instruments, Inc. | 6,749 | 645,879 | ||||
Monolithic Power Systems, Inc. | 5,023 | 671,424 | ||||
Nanometrics, Inc. (a) | 3,000 | 106,230 | ||||
NeoPhotonics Corp. (a) (b) | 3,900 | 24,297 | ||||
NVE Corp. | 626 | 76,234 | ||||
NXP Semiconductors NV (a) | 41,550 | 4,540,168 | ||||
ON Semiconductor Corp. (a) | 52,721 | 1,172,251 | ||||
PDF Solutions, Inc. (a) (b) | 3,300 | 39,534 | ||||
Photronics, Inc. (a) | 8,200 | 65,395 | ||||
Power Integrations, Inc. | 3,700 | 270,285 | ||||
Rambus, Inc. (a) | 13,700 | 171,798 |
Table of Contents
Security Description | Shares | Value | ||||
Rudolph Technologies, Inc. (a) | 3,853 | $ 114,049 | ||||
Semtech Corp. (a) | 8,032 | 377,906 | ||||
Sigma Designs, Inc. (a) | 4,400 | 26,840 | ||||
Silicon Laboratories, Inc. (a) | 5,269 | 524,792 | ||||
SMART Global Holdings, Inc. (a) (b) | 1,200 | 38,244 | ||||
SunPower Corp. (a) (b) | 7,355 | 56,413 | ||||
Synaptics, Inc. (a) (b) | 4,338 | 218,505 | ||||
Teradyne, Inc. | 23,823 | 906,942 | ||||
Ultra Clean Holdings, Inc. (a) | 4,600 | 76,360 | ||||
Universal Display Corp. (b) | 5,249 | 451,414 | ||||
Veeco Instruments, Inc. (a) | 5,808 | 82,764 | ||||
Versum Materials, Inc. | 13,693 | 508,695 | ||||
Xcerra Corp. (a) | 6,600 | 92,202 | ||||
Xperi Corp. | 5,942 | 95,666 | ||||
20,769,177 | ||||||
SOFTWARE — 5.6% | ||||||
8x8, Inc. (a) | 11,200 | 224,560 | ||||
A10 Networks, Inc. (a) | 6,200 | 38,626 | ||||
ACI Worldwide, Inc. (a) | 14,166 | 349,475 | ||||
Agilysys, Inc. (a) | 1,757 | 27,234 | ||||
Altair Engineering, Inc. Class A (a) | 3,000 | 102,540 | ||||
American Software, Inc. Class A | 3,300 | 48,081 | ||||
Aspen Technology, Inc. (a) | 8,855 | 821,213 | ||||
Asure Software, Inc. (a) | 1,200 | 19,140 | ||||
Atlassian Corp. PLC Class A (a) | 11,600 | 725,232 | ||||
Avaya Holdings Corp. (a) | 12,800 | 257,024 | ||||
Blackbaud, Inc. | 5,990 | 613,675 | ||||
Blackline, Inc. (a) | 3,500 | 152,005 | ||||
Bottomline Technologies de, Inc. (a) | 5,000 | 249,150 | ||||
Carbon Black, Inc. (a) | 1,000 | 26,000 | ||||
CDK Global, Inc. | 15,962 | 1,038,328 | ||||
Ceridian HCM Holding, Inc. (a) | 2,900 | 96,251 | ||||
CommVault Systems, Inc. (a) | 4,842 | 318,846 | ||||
Dell Technologies, Inc. Class V (a) | 24,559 | 2,077,200 | ||||
Digimarc Corp. (a) | 1,240 | 33,232 | ||||
Ebix, Inc. (b) | 3,000 | 228,750 | ||||
Ellie Mae, Inc. (a) (b) | 4,256 | 441,943 | ||||
Everbridge, Inc. (a) | 3,300 | 156,486 | ||||
Fair Isaac Corp. (a) | 3,654 | 706,391 | ||||
FireEye, Inc. (a) (b) | 22,847 | 351,615 | ||||
ForeScout Technologies, Inc. (a) | 3,700 | 126,762 | ||||
Fortinet, Inc. (a) | 17,082 | 1,066,429 | ||||
Glu Mobile, Inc. (a) | 12,900 | 82,689 | ||||
Guidewire Software, Inc. (a) | 9,936 | 882,118 | ||||
HubSpot, Inc. (a) | 4,375 | 548,625 | ||||
Imperva, Inc. (a) | 4,273 | 206,172 | ||||
Majesco (a) | 600 | 3,690 | ||||
Manhattan Associates, Inc. (a) | 8,232 | 386,986 | ||||
MicroStrategy, Inc. Class A (a) | 1,221 | 155,983 | ||||
Mitek Systems, Inc. (a) | 4,000 | 35,600 | ||||
MobileIron, Inc. (a) | 6,704 | 29,833 | ||||
Model N, Inc. (a) | 2,800 | 52,080 | ||||
Monotype Imaging Holdings, Inc. | 5,093 | 103,388 | ||||
Nuance Communications, Inc. (a) | 36,516 | 507,025 | ||||
OneSpan, Inc. (a) | 3,700 | 72,705 | ||||
Park City Group, Inc. (a) (b) | 1,600 | 12,640 | ||||
Paycom Software, Inc. (a) | 6,249 | 617,589 |
Security Description | Shares | Value | ||||
Paylocity Holding Corp. (a) | 3,374 | $ 198,594 | ||||
Pegasystems, Inc. | 4,661 | 255,423 | ||||
Progress Software Corp. | 5,700 | 221,274 | ||||
Proofpoint, Inc. (a) | 6,191 | 713,884 | ||||
PROS Holdings, Inc. (a) (b) | 3,300 | 120,681 | ||||
PTC, Inc. (a) | 14,270 | 1,338,669 | ||||
QAD, Inc. Class A | 1,200 | 60,180 | ||||
Qualys, Inc. (a) | 4,073 | 343,354 | ||||
Rapid7, Inc. (a) | 4,700 | 132,634 | ||||
RealPage, Inc. (a) | 8,696 | 479,150 | ||||
Rimini Street, Inc. (a) (b) | 1,200 | 7,860 | ||||
RingCentral, Inc. Class A (a) | 8,185 | 575,815 | ||||
Rosetta Stone, Inc. (a) | 2,000 | 32,060 | ||||
SailPoint Technologies Holding, Inc. (a) | 5,000 | 122,700 | ||||
SecureWorks Corp. Class A (a) | 1,000 | 12,450 | ||||
ServiceNow, Inc. (a) | 21,559 | 3,718,281 | ||||
Splunk, Inc. (a) | 17,913 | 1,775,357 | ||||
SS&C Technologies Holdings, Inc. | 25,408 | 1,318,675 | ||||
Tableau Software, Inc. Class A (a) | 8,157 | 797,347 | ||||
Telenav, Inc. (a) | 3,352 | 18,771 | ||||
TiVo Corp. | 15,069 | 202,678 | ||||
Tyler Technologies, Inc. (a) | 4,614 | 1,024,769 | ||||
Ultimate Software Group, Inc. (a) | 3,635 | 935,322 | ||||
Upland Software, Inc. (a) | 2,100 | 72,177 | ||||
Varonis Systems, Inc. (a) | 3,490 | 260,005 | ||||
Verint Systems, Inc. (a) | 7,929 | 351,651 | ||||
VirnetX Holding Corp. (a) (b) | 6,000 | 20,400 | ||||
VMware, Inc. Class A (a) | 8,535 | 1,254,389 | ||||
Workday, Inc. Class A (a) | 17,884 | 2,166,110 | ||||
Workiva, Inc. (a) | 3,100 | 75,640 | ||||
Zendesk, Inc. (a) | 12,587 | 685,866 | ||||
Zix Corp. (a) | 6,700 | 36,113 | ||||
Zscaler, Inc. (a) (b) | 1,700 | 60,775 | ||||
Zynga, Inc. Class A (a) | 98,132 | 399,397 | ||||
33,781,762 | ||||||
SPECIALTY RETAIL — 1.9% | ||||||
Aaron's, Inc. | 8,838 | 384,011 | ||||
Abercrombie & Fitch Co. Class A | 8,796 | 215,326 | ||||
American Eagle Outfitters, Inc. | 20,366 | 473,509 | ||||
America's Car-Mart, Inc. (a) | 844 | 52,244 | ||||
Asbury Automotive Group, Inc. (a) | 2,322 | 159,173 | ||||
Ascena Retail Group, Inc. (a) | 21,063 | 83,936 | ||||
At Home Group, Inc. (a) | 3,400 | 133,110 | ||||
AutoNation, Inc. (a) | 6,869 | 333,696 | ||||
Barnes & Noble Education, Inc. (a) | 4,700 | 26,508 | ||||
Barnes & Noble, Inc. | 6,954 | 44,158 | ||||
Bed Bath & Beyond, Inc. (b) | 16,658 | 331,911 | ||||
Big 5 Sporting Goods Corp. | 2,400 | 18,240 | ||||
Boot Barn Holdings, Inc. (a) | 2,400 | 49,800 | ||||
Buckle, Inc. (b) | 3,584 | 96,410 | ||||
Burlington Stores, Inc. (a) | 8,252 | 1,242,174 | ||||
Caleres, Inc. | 5,300 | 182,267 | ||||
Camping World Holdings, Inc. Class A (b) | 3,900 | 97,422 | ||||
Carvana Co. (a) (b) | 3,300 | 137,280 | ||||
Cato Corp. Class A | 2,800 | 68,936 | ||||
Chico's FAS, Inc. | 15,500 | 126,170 |
Table of Contents
Security Description | Shares | Value | ||||
Children's Place, Inc. (b) | 1,962 | $ 237,010 | ||||
Citi Trends, Inc. | 1,600 | 43,904 | ||||
Conn's, Inc. (a) (b) | 2,343 | 77,319 | ||||
Container Store Group, Inc. (a) | 1,900 | 15,979 | ||||
Dick's Sporting Goods, Inc. | 9,644 | 339,951 | ||||
DSW, Inc. Class A | 8,200 | 211,724 | ||||
Express, Inc. (a) | 9,449 | 86,458 | ||||
Five Below, Inc. (a) | 6,854 | 669,704 | ||||
Floor & Decor Holdings, Inc. Class A (a) (b) | 4,800 | 236,784 | ||||
Francesca's Holdings Corp. (a) | 4,275 | 32,276 | ||||
GameStop Corp. Class A (b) | 12,365 | 180,158 | ||||
Genesco, Inc. (a) | 2,405 | 95,478 | ||||
GNC Holdings, Inc. Class A (a) (b) | 8,378 | 29,491 | ||||
Group 1 Automotive, Inc. | 2,452 | 154,476 | ||||
Guess?, Inc. | 7,500 | 160,500 | ||||
Haverty Furniture Cos., Inc. | 2,300 | 49,680 | ||||
Hibbett Sports, Inc. (a) (b) | 2,434 | 55,739 | ||||
Hudson, Ltd. Class A (a) | 4,800 | 83,952 | ||||
J. Jill, Inc. (a) | 1,400 | 13,076 | ||||
Kirkland's, Inc. (a) | 1,900 | 22,116 | ||||
Lithia Motors, Inc. Class A (b) | 3,014 | 285,034 | ||||
Lumber Liquidators Holdings, Inc. (a) (b) | 3,476 | 84,641 | ||||
MarineMax, Inc. (a) | 2,678 | 50,748 | ||||
Michaels Cos., Inc. (a) | 13,485 | 258,507 | ||||
Monro, Inc. (b) | 3,998 | 232,284 | ||||
Murphy USA, Inc. (a) | 3,986 | 296,120 | ||||
National Vision Holdings, Inc. (a) | 3,800 | 138,966 | ||||
New York & Co., Inc. (a) | 3,600 | 18,432 | ||||
Office Depot, Inc. | 64,198 | 163,705 | ||||
Party City Holdco, Inc. (a) (b) | 4,200 | 64,050 | ||||
Penske Automotive Group, Inc. | 4,477 | 209,747 | ||||
Pier 1 Imports, Inc. | 9,300 | 22,134 | ||||
Rent-A-Center, Inc. | 5,200 | 76,544 | ||||
RH (a) (b) | 2,429 | 339,331 | ||||
Sally Beauty Holdings, Inc. (a) (b) | 15,707 | 251,783 | ||||
Shoe Carnival, Inc. | 1,400 | 45,430 | ||||
Signet Jewelers, Ltd. | 7,300 | 406,975 | ||||
Sleep Number Corp. (a) | 4,876 | 141,502 | ||||
Sonic Automotive, Inc. Class A | 3,100 | 63,860 | ||||
Sportsman's Warehouse Holdings, Inc. (a) | 4,300 | 22,016 | ||||
Tailored Brands, Inc. | 6,052 | 154,447 | ||||
Tile Shop Holdings, Inc. | 4,919 | 37,876 | ||||
Tilly's, Inc. Class A | 1,600 | 24,240 | ||||
Urban Outfitters, Inc. (a) | 9,214 | 410,484 | ||||
Williams-Sonoma, Inc. (b) | 10,348 | 635,160 | ||||
Winmark Corp. | 274 | 40,675 | ||||
Zumiez, Inc. (a) | 2,200 | 55,110 | ||||
11,581,857 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.3% | ||||||
3D Systems Corp. (a) (b) | 13,700 | 189,197 | ||||
Avid Technology, Inc. (a) | 4,100 | 21,320 | ||||
Cray, Inc. (a) | 5,066 | 124,624 | ||||
Diebold Nixdorf, Inc. (b) | 9,251 | 110,549 | ||||
Eastman Kodak Co. (a) (b) | 1,900 | 7,220 |
Security Description | Shares | Value | ||||
Electronics For Imaging, Inc. (a) | 5,605 | $ 182,499 | ||||
Immersion Corp. (a) | 3,435 | 53,036 | ||||
NCR Corp. (a) | 14,667 | 439,717 | ||||
Pure Storage, Inc. Class A (a) | 20,200 | 482,376 | ||||
Stratasys, Ltd. (a) | 6,382 | 122,151 | ||||
Super Micro Computer, Inc. (a) | 5,072 | 119,953 | ||||
USA Technologies, Inc. (a) | 5,875 | 82,250 | ||||
1,934,892 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 0.9% | ||||||
Carter's, Inc. | 5,777 | 626,169 | ||||
Columbia Sportswear Co. | 3,765 | 344,385 | ||||
Crocs, Inc. (a) | 8,400 | 147,924 | ||||
Culp, Inc. | 1,300 | 31,915 | ||||
Deckers Outdoor Corp. (a) | 3,988 | 450,205 | ||||
Fossil Group, Inc. (a) (b) | 5,600 | 150,472 | ||||
G-III Apparel Group, Ltd. (a) | 5,581 | 247,796 | ||||
Lululemon Athletica, Inc. (a) | 12,132 | 1,514,680 | ||||
Movado Group, Inc. | 1,900 | 91,770 | ||||
Oxford Industries, Inc. | 2,030 | 168,449 | ||||
Perry Ellis International, Inc. (a) | 1,600 | 43,472 | ||||
Rocky Brands, Inc. | 800 | 24,000 | ||||
Skechers U.S.A., Inc. Class A (a) | 16,747 | 502,578 | ||||
Steven Madden, Ltd. | 7,142 | 379,240 | ||||
Superior Group of Cos., Inc. | 1,000 | 20,710 | ||||
Unifi, Inc. (a) | 1,900 | 60,230 | ||||
Vera Bradley, Inc. (a) | 2,300 | 32,292 | ||||
Wolverine World Wide, Inc. | 11,380 | 395,683 | ||||
5,231,970 | ||||||
THRIFTS & MORTGAGE FINANCE — 1.1% | ||||||
BankFinancial Corp. | 1,700 | 30,005 | ||||
Beneficial Bancorp, Inc. | 8,300 | 134,460 | ||||
BofI Holding, Inc. (a) | 7,600 | 310,916 | ||||
Bridgewater Bancshares, Inc. (a) | 600 | 7,632 | ||||
BSB Bancorp, Inc. (a) | 979 | 33,678 | ||||
Capitol Federal Financial, Inc. | 16,700 | 219,772 | ||||
Charter Financial Corp. | 1,500 | 36,225 | ||||
Columbia Financial, Inc. (a) (b) | 6,100 | 100,955 | ||||
Dime Community Bancshares, Inc. | 4,200 | 81,900 | ||||
Entegra Financial Corp. (a) | 800 | 23,440 | ||||
ESSA Bancorp, Inc. | 1,000 | 15,830 | ||||
Essent Group, Ltd. (a) | 11,900 | 426,258 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,145 | 102,455 | ||||
First Defiance Financial Corp. | 1,248 | 83,691 | ||||
Flagstar Bancorp, Inc. (a) | 3,700 | 126,762 | ||||
FS Bancorp, Inc. | 400 | 25,300 | ||||
Greene County Bancorp, Inc. (b) | 400 | 13,560 | ||||
Hingham Institution for Savings | 197 | 43,281 | ||||
Home Bancorp, Inc. | 800 | 37,240 | ||||
HomeStreet, Inc. (a) | 3,274 | 88,234 | ||||
Impac Mortgage Holdings, Inc. (a) (b) | 1,089 | 10,378 | ||||
Kearny Financial Corp. | 12,624 | 169,793 | ||||
LendingTree, Inc. (a) (b) | 991 | 211,876 | ||||
Luther Burbank Corp. | 1,700 | 19,558 | ||||
Malvern Bancorp, Inc. (a) | 800 | 19,480 |
Table of Contents
Security Description | Shares | Value | ||||
Merchants Bancorp (b) | 2,000 | $ 57,060 | ||||
Meridian Bancorp, Inc. | 5,800 | 111,070 | ||||
Meta Financial Group, Inc. | 1,181 | 115,029 | ||||
MGIC Investment Corp. (a) | 46,900 | 502,768 | ||||
Nationstar Mortgage Holdings, Inc. (a) | 3,600 | 63,108 | ||||
New York Community Bancorp, Inc. | 59,223 | 653,822 | ||||
NMI Holdings, Inc. Class A (a) | 7,000 | 114,100 | ||||
Northfield Bancorp, Inc. | 5,300 | 88,086 | ||||
Northwest Bancshares, Inc. | 11,900 | 206,941 | ||||
OceanFirst Financial Corp. | 6,007 | 179,970 | ||||
Oconee Federal Financial Corp. | 100 | 2,894 | ||||
Ocwen Financial Corp. (a) (b) | 13,000 | 51,480 | ||||
OP Bancorp (a) | 1,500 | 19,080 | ||||
Oritani Financial Corp. | 4,800 | 77,760 | ||||
PCSB Financial Corp. | 2,200 | 43,714 | ||||
PennyMac Financial Services, Inc. Class A (a) | 1,900 | 37,335 | ||||
PHH Corp. (a) | 3,900 | 42,354 | ||||
Ponce de Leon Federal Bank (a) (b) | 200 | 3,142 | ||||
Provident Bancorp, Inc. (a) | 500 | 13,100 | ||||
Provident Financial Services, Inc. | 7,700 | 211,981 | ||||
Prudential Bancorp, Inc. | 900 | 17,370 | ||||
Radian Group, Inc. | 27,100 | 439,562 | ||||
Riverview Bancorp, Inc. | 2,500 | 21,100 | ||||
SI Financial Group, Inc. | 1,300 | 19,175 | ||||
Southern Missouri Bancorp, Inc. | 1,100 | 42,922 | ||||
Sterling Bancorp, Inc. | 2,100 | 28,056 | ||||
Territorial Bancorp, Inc. | 955 | 29,605 | ||||
TFS Financial Corp. | 6,529 | 102,962 | ||||
Timberland Bancorp, Inc. | 700 | 26,138 | ||||
TrustCo Bank Corp. NY | 11,300 | 100,570 | ||||
United Community Financial Corp. | 6,000 | 65,940 | ||||
United Financial Bancorp, Inc. | 6,200 | 108,624 | ||||
Walker & Dunlop, Inc. | 3,500 | 194,775 | ||||
Washington Federal, Inc. | 10,417 | 340,636 | ||||
Waterstone Financial, Inc. | 3,100 | 52,855 | ||||
Western New England Bancorp, Inc. | 3,400 | 37,400 | ||||
WSFS Financial Corp. | 3,800 | 202,540 | ||||
6,797,703 | ||||||
TOBACCO — 0.1% | ||||||
22nd Century Group, Inc. (a) | 14,300 | 35,178 | ||||
Alliance One International, Inc. (a) | 1,000 | 15,850 | ||||
Turning Point Brands, Inc. | 600 | 19,140 | ||||
Universal Corp. | 3,241 | 214,068 | ||||
Vector Group, Ltd. (b) | 12,297 | 234,627 | ||||
518,863 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.2% | ||||||
Air Lease Corp. | 12,240 | 513,713 | ||||
Aircastle, Ltd. | 5,800 | 118,900 | ||||
Applied Industrial Technologies, Inc. | 4,815 | 337,772 | ||||
Beacon Roofing Supply, Inc. (a) | 8,649 | 368,620 | ||||
BlueLinx Holdings, Inc. (a) | 1,100 | 41,283 | ||||
BMC Stock Holdings, Inc. (a) | 8,225 | 171,491 | ||||
CAI International, Inc. (a) | 2,000 | 46,480 | ||||
DXP Enterprises, Inc. (a) | 1,900 | 72,580 |
Security Description | Shares | Value | ||||
EnviroStar, Inc. | 700 | $ 28,210 | ||||
Foundation Building Materials, Inc. (a) | 1,700 | 26,146 | ||||
GATX Corp. | 4,685 | 347,768 | ||||
General Finance Corp. (a) | 1,200 | 16,260 | ||||
GMS, Inc. (a) | 4,000 | 108,360 | ||||
H&E Equipment Services, Inc. | 3,900 | 146,679 | ||||
HD Supply Holdings, Inc. (a) | 23,030 | 987,757 | ||||
Herc Holdings, Inc. (a) | 3,038 | 171,161 | ||||
Kaman Corp. | 3,499 | 243,845 | ||||
Lawson Products, Inc. (a) | 800 | 19,480 | ||||
MRC Global, Inc. (a) | 10,400 | 225,368 | ||||
MSC Industrial Direct Co., Inc. Class A | 5,643 | 478,809 | ||||
Nexeo Solutions, Inc. (a) | 3,100 | 28,303 | ||||
NOW, Inc. (a) (b) | 13,400 | 178,622 | ||||
Rush Enterprises, Inc. Class A (a) | 3,800 | 164,844 | ||||
Rush Enterprises, Inc. Class B (a) | 600 | 26,340 | ||||
SiteOne Landscape Supply, Inc. (a) (b) | 4,900 | 411,453 | ||||
Systemax, Inc. | 1,400 | 48,062 | ||||
Textainer Group Holdings, Ltd. (a) | 3,300 | 52,470 | ||||
Titan Machinery, Inc. (a) | 2,300 | 35,765 | ||||
Triton International, Ltd. | 5,800 | 177,828 | ||||
Univar, Inc. (a) | 14,501 | 380,506 | ||||
Veritiv Corp. (a) | 1,391 | 55,431 | ||||
Watsco, Inc. | 3,836 | 683,882 | ||||
WESCO International, Inc. (a) | 5,928 | 338,489 | ||||
Willis Lease Finance Corp. (a) | 400 | 12,636 | ||||
7,065,313 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.1% | ||||||
Macquarie Infrastructure Corp. | 9,920 | 418,624 | ||||
WATER UTILITIES — 0.3% | ||||||
American States Water Co. | 4,546 | 259,849 | ||||
Aqua America, Inc. | 22,164 | 779,730 | ||||
AquaVenture Holdings, Ltd. (a) | 1,400 | 21,812 | ||||
Artesian Resources Corp. Class A | 951 | 36,870 | ||||
Cadiz, Inc. (a) (b) | 2,600 | 34,060 | ||||
California Water Service Group | 5,976 | 232,765 | ||||
Connecticut Water Service, Inc. | 1,500 | 97,980 | ||||
Consolidated Water Co., Ltd. | 1,700 | 21,930 | ||||
Evoqua Water Technologies Corp. (a) | 9,500 | 194,750 | ||||
Global Water Resources, Inc. | 1,200 | 11,280 | ||||
Middlesex Water Co. | 2,000 | 84,340 | ||||
Pure Cycle Corp. (a) | 2,000 | 19,100 | ||||
SJW Group | 2,000 | 132,440 | ||||
York Water Co. | 1,600 | 50,880 | ||||
1,977,786 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.6% | ||||||
Boingo Wireless, Inc. (a) | 4,600 | 103,914 | ||||
NII Holdings, Inc. (a) | 10,900 | 42,510 | ||||
Shenandoah Telecommunications Co. | 5,850 | 191,295 | ||||
Spok Holdings, Inc. | 2,400 | 36,120 | ||||
Sprint Corp. (a) (b) | 79,174 | 430,707 | ||||
Telephone & Data Systems, Inc. | 12,400 | 340,008 |
Table of Contents
Security Description | Shares | Value | ||||
T-Mobile US, Inc. (a) | 38,395 | $ 2,294,101 | ||||
United States Cellular Corp. (a) | 1,700 | 62,968 | ||||
3,501,623 | ||||||
TOTAL COMMON STOCKS (Cost $564,079,676) | 628,900,408 | |||||
RIGHTS — 0.0% (d) | ||||||
BIOTECHNOLOGY — 0.0% (d) | ||||||
Dyax Corp. (CVR) (expiring 12/31/19) (a) (e) | 1,009 | 2,472 | ||||
Tobira Therapeutics, Inc. (CVR) (expiring 12/31/28) (a) (e) | 200 | 2,354 | ||||
4,826 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) | ||||||
NewStar Financial, Inc. (CVR) (a) (e) | 2,400 | 1,181 | ||||
MEDIA — 0.0% (d) | ||||||
Media General, Inc. (CVR) (a) (e) | 6,500 | 650 | ||||
TOTAL RIGHTS (Cost $2,314) | 6,657 | |||||
SHORT-TERM INVESTMENTS — 4.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (f) (g) | 12,224,741 | 12,224,741 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (f) (h) | 12,077,967 | 12,077,967 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,302,709) | 24,302,708 | |||||
TOTAL INVESTMENTS — 107.4% (Cost $588,384,699) | 653,209,773 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)% | (44,922,879) | |||||
NET ASSETS — 100.0% | $ 608,286,894 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(c) | 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, 2018, total aggregate fair value of the security is $0, representing 0.0% of the Fund's net assets. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of June 30, 2018, total aggregate fair value of securities is $6,657, representing less than 0.05% of net assets. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(h) | Investment of cash collateral for securities loaned. |
CVR | = Contingent Value Rights |
NVDR | = Non Voting Depositary Receipt |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
E-mini S&P MidCap 400 Index (long) | 29 | 09/21/2018 | $5,805,566 | $5,672,690 | $(132,876) | |||||
E-mini Russell 2000 Index (long) | 54 | 09/21/2018 | 4,526,133 | 4,448,250 | $ (77,872) | |||||
Total unrealized depreciation on open futures contracts purchased | $(210,748) |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Aerospace & Defense | $ 8,718,153 | $ — | $ — | $ 8,718,153 | ||||
Air Freight & Logistics | 2,389,368 | — | — | 2,389,368 | ||||
Airlines | 2,231,112 | — | — | 2,231,112 | ||||
Auto Components | 6,075,021 | — | — | 6,075,021 | ||||
Automobiles | 6,525,662 | — | — | 6,525,662 | ||||
Banks | 44,713,221 | — | — | 44,713,221 | ||||
Beverages | 3,497,897 | — | — | 3,497,897 | ||||
Biotechnology | 30,130,393 | — | — | 30,130,393 | ||||
Building Products | 6,115,198 | — | — | 6,115,198 | ||||
Capital Markets | 12,710,415 | — | — | 12,710,415 | ||||
Chemicals | 15,574,844 | — | — | 15,574,844 | ||||
Commercial Services & Supplies | 8,573,440 | — | — | 8,573,440 | ||||
Communications Equipment | 10,157,838 | — | — | 10,157,838 | ||||
Construction & Engineering | 4,029,197 | — | — | 4,029,197 | ||||
Construction Materials | 1,143,347 | — | — | 1,143,347 | ||||
Consumer Finance | 5,468,704 | — | — | 5,468,704 | ||||
Containers & Packaging | 4,803,367 | — | — | 4,803,367 | ||||
Distributors | 924,141 | — | — | 924,141 | ||||
Diversified Consumer Services | 5,857,315 | — | — | 5,857,315 | ||||
Diversified Financial Services | 1,773,433 | — | — | 1,773,433 | ||||
Diversified Telecommunication Services | 2,252,089 | — | — | 2,252,089 | ||||
Electric Utilities | 4,482,115 | — | — | 4,482,115 | ||||
Electrical Equipment | 5,168,922 | — | — | 5,168,922 | ||||
Electronic Equipment, Instruments & Components | 16,591,730 | — | — | 16,591,730 | ||||
Energy Equipment & Services | 7,407,050 | — | — | 7,407,050 | ||||
Equity Real Estate Investment Trusts (REITS) | 49,051,923 | — | — | 49,051,923 | ||||
Food & Staples Retailing | 3,677,142 | — | — | 3,677,142 | ||||
Food Products | 9,458,270 | — | — | 9,458,270 | ||||
Gas Utilities | 6,065,256 | — | — | 6,065,256 | ||||
Health Care Equipment & Supplies | 17,813,930 | — | — | 17,813,930 | ||||
Health Care Providers & Services | 10,278,856 | — | — | 10,278,856 | ||||
Health Care Technology | 4,291,999 | — | — | 4,291,999 | ||||
Hotels, Restaurants & Leisure | 23,343,251 | — | — | 23,343,251 | ||||
Household Durables | 6,407,713 | — | — | 6,407,713 | ||||
Household Products | 1,391,603 | — | — | 1,391,603 | ||||
Independent Power Producers & Energy Traders | 1,988,294 | — | — | 1,988,294 | ||||
Industrial Conglomerates | 972,461 | — | — | 972,461 | ||||
Insurance | 22,627,985 | — | — | 22,627,985 | ||||
Internet & Catalog Retail | 3,451,102 | — | — | 3,451,102 | ||||
Internet Software & Services | 18,244,548 | — | — | 18,244,548 | ||||
IT Services | 21,398,936 | — | — | 21,398,936 | ||||
Leisure Equipment & Products | 2,549,566 | — | — | 2,549,566 | ||||
Life Sciences Tools & Services | 5,134,515 | — | — | 5,134,515 | ||||
Machinery | 23,212,158 | — | — | 23,212,158 | ||||
Marine | 984,005 | — | — | 984,005 | ||||
Media | 13,603,240 | — | — | 13,603,240 | ||||
Metals & Mining | 8,803,086 | — | 0(a) | 8,803,086 | ||||
Mortgage Real Estate Investment Trust (REITs) | 7,956,571 | — | — | 7,956,571 | ||||
Multi-Utilities | 2,725,617 | — | — | 2,725,617 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Multiline Retail | $ 892,112 | $ — | $ — | $ 892,112 | ||||
Oil, Gas & Consumable Fuels | 22,778,025 | — | — | 22,778,025 | ||||
Paper & Forest Products | 2,047,713 | — | — | 2,047,713 | ||||
Personal Products | 2,210,459 | — | — | 2,210,459 | ||||
Pharmaceuticals | 7,335,574 | — | — | 7,335,574 | ||||
Professional Services | 8,727,266 | — | — | 8,727,266 | ||||
Real Estate Management & Development | 3,260,500 | — | — | 3,260,500 | ||||
Road & Rail | 5,323,190 | — | — | 5,323,190 | ||||
Semiconductors & Semiconductor Equipment | 20,769,177 | — | — | 20,769,177 | ||||
Software | 33,781,762 | — | — | 33,781,762 | ||||
Specialty Retail | 11,581,857 | — | — | 11,581,857 | ||||
Technology Hardware, Storage & Peripherals | 1,934,892 | — | — | 1,934,892 | ||||
Textiles, Apparel & Luxury Goods | 5,231,970 | — | — | 5,231,970 | ||||
Thrifts & Mortgage Finance | 6,797,703 | — | — | 6,797,703 | ||||
Tobacco | 518,863 | — | — | 518,863 | ||||
Trading Companies & Distributors | 7,065,313 | — | — | 7,065,313 | ||||
Transportation Infrastructure | 418,624 | — | — | 418,624 | ||||
Water Utilities | 1,977,786 | — | — | 1,977,786 | ||||
Wireless Telecommunication Services | 3,501,623 | — | — | 3,501,623 | ||||
Rights | ||||||||
Biotechnology | — | 4,826 | — | 4,826 | ||||
Diversified Financial Services | — | 1,181 | — | 1,181 | ||||
Media | — | 650 | — | 650 | ||||
Short-Term Investments | 24,302,708 | — | — | 24,302,708 | ||||
TOTAL INVESTMENTS | $653,203,116 | $6,657 | $ 0 | $653,209,773 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (210,748) | — | — | (210,748) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ (210,748) | $ — | $ — | $ (210,748) |
(a) | 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, 2018, total aggregate fair value of the security is $0, representing 0.0% of the Fund's net assets. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 8,226,262 | $ 8,226,262 | $169,466,597 | $165,468,118 | $— | $— | 12,224,741 | $12,224,741 | $ 84,123 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 7,878,272 | 7,878,272 | 49,101,728 | 44,902,033 | — | — | 12,077,967 | 12,077,967 | 140,537 | — | |||||||||
Total | $16,104,534 | $218,568,325 | $210,370,151 | $— | $— | $24,302,708 | $224,660 | $— |
Table of Contents
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* | $812,690,756 | $1,857,052,180 | $628,907,064 | ||
Investments in affiliated issuers, at value | 29,124,312 | 71,045,253 | 24,302,709 | ||
Total Investments | 841,815,068 | 1,928,097,433 | 653,209,773 | ||
Foreign currency, at value | — | 13,454,192 | — | ||
Cash at broker | — | 7,018,519 | 670,774 | ||
Cash | 8 | — | — | ||
Receivable for investments sold | — | 14,102 | 1,422,714 | ||
Receivable for fund shares sold | 15,907,463 | 51,302,051 | 1,064,587 | ||
Dividends receivable — unaffiliated issuers | — | 4,568,760 | 713,349 | ||
Dividends receivable — affiliated issuers | 32,009 | 62,448 | 18,512 | ||
Interest receivable - unaffiliated issuers | 4,854,568 | 20 | — | ||
Securities lending income receivable — unaffiliated issuers | — | 26,973 | 15,275 | ||
Securities lending income receivable — affiliated issuers | — | 43,897 | 20,537 | ||
Receivable from Adviser | 5,007 | — | 6,358 | ||
Receivable for foreign taxes recoverable | 145 | 1,945,864 | — | ||
Prepaid expenses and other assets | — | — | 1 | ||
TOTAL ASSETS | 862,614,268 | 2,006,534,259 | 657,141,880 | ||
LIABILITIES | |||||
Due to custodian | — | 39 | 579 | ||
Payable upon return of securities loaned | — | 23,248,817 | 12,077,967 | ||
Payable for investments purchased | 28,376,130 | — | 4,568,590 | ||
Payable for fund shares repurchased | 230,000 | — | 31,903,000 | ||
Payable to broker – variation margin on open futures contracts | — | 3,040,914 | 210,570 | ||
Deferred foreign taxes payable | — | 375,543 | — | ||
Custodian, sub-administration and transfer agent fees payable | 16,438 | 95,425 | 5,902 | ||
Registration and filing fees payable | 28,210 | 49,327 | 19,981 | ||
Professional fees payable | 69,951 | 68,456 | 63,301 | ||
Printing and postage fees payable | 3,191 | 430 | 3,527 | ||
Accrued expenses and other liabilities | 2,769 | 335,983 | 1,569 | ||
TOTAL LIABILITIES | 28,726,689 | 27,214,934 | 48,854,986 | ||
NET ASSETS | $833,887,579 | $1,979,319,325 | $608,286,894 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $859,235,020 | $1,828,146,320 | $524,482,823 | ||
Undistributed (distribution in excess of) net investment income (loss) | 1,407,942 | 30,667,733 | 4,492,263 | ||
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts | (3,065,913) | (8,719,096) | 14,697,482 | ||
Net unrealized appreciation (depreciation) on: | |||||
Investments — unaffiliated issuers** | (23,689,470) | 132,460,436 | 64,825,074 | ||
Foreign currency translations | — | (191,957) | — | ||
Futures contracts | — | (3,044,111) | (210,748) | ||
NET ASSETS | $833,887,579 | $1,979,319,325 | $608,286,894 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 9.72 | $ 10.42 | $ 12.84 | ||
Shares of beneficial interest | 85,824,566 | 189,898,683 | 47,362,239 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $836,380,226 | $1,724,216,201 | $564,081,990 | ||
Investments in affiliated issuers | 29,124,312 | 71,045,253 | 24,302,709 | ||
Total cost of investments | $865,504,538 | $1,795,261,454 | $588,384,699 | ||
Foreign currency, at cost | $ — | $ 13,623,196 | $ — | ||
* Includes investments in securities on loan, at value | $ — | $ 49,416,959 | $ 57,377,038 | ||
** Includes deferred foreign taxes | $ — | $ 375,543 | $ — |
Table of Contents
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 | $ 10,088,529 | $ 263 | $ 1,387 | ||
Dividend income — unaffiliated issuers | — | 37,595,316 | 4,216,442 | ||
Dividend income — affiliated issuers | 309,391 | 416,299 | 84,123 | ||
Unaffiliated securities lending income | — | 88,047 | 91,832 | ||
Affiliated securities lending income | — | 289,263 | 140,537 | ||
Foreign taxes withheld | (388) | (3,790,712) | (1,427) | ||
TOTAL INVESTMENT INCOME (LOSS) | 10,397,532 | 34,598,476 | 4,532,894 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 45,736 | 347,392 | 34,262 | ||
Trustees’ fees and expenses | 19,497 | 35,582 | 16,434 | ||
Registration fees | 11,570 | 23,274 | 8,516 | ||
Professional fees and expenses | 74,513 | 74,410 | 72,636 | ||
Printing and postage fees | 4,203 | 14,787 | 3,601 | ||
Insurance expense | 103 | 270 | 69 | ||
Miscellaneous expenses | 5,596 | 31,778 | 4,013 | ||
TOTAL EXPENSES | 161,218 | 527,493 | 139,531 | ||
Expenses waived/reimbursed by the Adviser | (35,060) | — | (50,766) | ||
NET EXPENSES | 126,158 | 527,493 | 88,765 | ||
NET INVESTMENT INCOME (LOSS) | 10,271,374 | 34,070,983 | 4,444,129 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers* | (1,917,400) | (2,109,514) | 13,730,984 | ||
Foreign currency transactions | — | (145,964) | — | ||
Futures contracts | — | (1,601,007) | 728,316 | ||
Net realized gain (loss) | (1,917,400) | (3,856,485) | 14,459,300 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (21,499,277) | (100,053,634) | 15,960,508 | ||
Foreign currency translations | — | (336,603) | — | ||
Futures contracts | — | (4,109,985) | (261,270) | ||
Net change in unrealized appreciation/depreciation | (21,499,277) | (104,500,222) | 15,699,238 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (23,416,677) | (108,356,707) | 30,158,538 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(13,145,303) | $ (74,285,724) | $34,602,667 | ||
* Includes foreign capital gain taxes | $ — | $ (1) | $ — | ||
** Includes foreign deferred taxes | $ — | $ 159,129 | $ — |
Table of Contents
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 10,271,374 | $ 10,784,139 | $ 34,070,983 | $ 30,038,817 | $ 4,444,129 | $ 4,653,380 | |||||
Net realized gain (loss) | (1,917,400) | 1,917 | (3,856,485) | 6,786,312 | 14,459,300 | 10,200,046 | |||||
Net change in unrealized appreciation/depreciation | (21,499,277) | 3,585,517 | (104,500,222) | 234,452,133 | 15,699,238 | 37,974,559 | |||||
Net increase (decrease) in net assets resulting from operations | (13,145,303) | 14,371,573 | (74,285,724) | 271,277,262 | 34,602,667 | 52,827,985 | |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||
Net investment income | (8,955,926) | (11,429,095) | — | (33,180,975) | — | (4,609,816) | |||||
Net realized gains | — | — | — | (6,154,854) | — | (10,070,162) | |||||
Total distributions to shareholders | (8,955,926) | (11,429,095) | — | (39,335,829) | — | (14,679,978) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from sale of shares sold | 203,580,890 | 469,604,095 | 503,971,113 | 1,063,226,907 | 173,960,214 | 298,451,424 | |||||
Reinvestment of distributions | 8,955,926 | 11,429,095 | — | 39,335,829 | — | 14,679,978 | |||||
Cost of shares redeemed | (44,088,554) | (46,340,630) | (105,626,891) | (231,943,186) | (65,146,578) | (28,678,286) | |||||
Other capital | — | — | — | — | 847 | — | |||||
Net increase (decrease) in net assets from capital transactions | 168,448,262 | 434,692,560 | 398,344,222 | 870,619,550 | 108,814,483 | 284,453,116 | |||||
Net increase (decrease) in net assets during the period | 146,347,033 | 437,635,038 | 324,058,498 | 1,102,560,983 | 143,417,150 | 322,601,123 | |||||
Net assets at beginning of period | 687,540,546 | 249,905,508 | 1,655,260,827 | 552,699,844 | 464,869,744 | 142,268,621 | |||||
NET ASSETS AT END OF PERIOD | $833,887,579 | $687,540,546 | $1,979,319,325 | $1,655,260,827 | $608,286,894 | $464,869,744 | |||||
Undistributed (distribution in excess of) net investment income (loss) | $ 1,407,942 | $ 92,494 | $ 30,667,733 | $ (3,403,250) | $ 4,492,263 | $ 48,134 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 20,614,653 | 47,044,095 | 46,380,182 | 108,794,238 | 14,149,333 | 26,285,610 | |||||
Reinvestment of distributions | 918,944 | 1,142,265 | — | 3,735,596 | — | 1,222,313 | |||||
Shares redeemed | (4,476,932) | (4,626,971) | (9,632,751) | (22,658,320) | (5,191,971) | (2,462,688) | |||||
Net increase (decrease) | 17,056,665 | 43,559,389 | 36,747,431 | 89,871,514 | 8,957,362 | 25,045,235 |
Table of Contents
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 10.00 | $ 9.91 | $ 9.89 | $ 10.14 | $ 10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.13 | 0.23 | 0.23 | 0.20 | 0.04 | ||||
Net realized and unrealized gain (loss) | (0.30) | 0.10 | 0.01 | (0.13) | 0.16 | ||||
Total from investment operations | (0.17) | 0.33 | 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) | (0.24) | (0.21) | (0.19) | (0.04) | ||||
Net realized gains | — | — | (0.01) | (0.11) | (0.02) | ||||
Return of Capital | — | — | — | (0.02) | — | ||||
Total distributions | — | (0.24) | (0.22) | (0.32) | (0.06) | ||||
Net asset value, end of period | $ 9.72 | $ 10.00 | $ 9.91 | $ 9.89 | $ 10.14 | ||||
Total return (c) | (1.71)% | 3.38% | 2.39% | 0.65%(d) | 2.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $833,888 | $687,541 | $249,906 | $83,842 | $80,044 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.04%(f) | 0.06% | 0.14% | 0.17% | 0.25%(f) | ||||
Net expenses | 0.03%(f) | 0.03% | 0.01% | 0.03% | 0.04%(f) | ||||
Net investment income (loss) | 2.61%(f) | 2.31% | 2.24% | 2.00% | 1.52%(f) | ||||
Portfolio turnover rate | 65%(g) | 99% | 194% | 62%(h) | 16%(g)(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of 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. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Table of Contents
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 10.81 | $ 8.73 | $ 8.45 | $ 9.17 | $ 10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.19 | 0.26 | 0.22 | 0.25 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.58) | 2.12 | 0.20 | (0.79) | (0.82) | ||||
Total from investment operations | (0.39) | 2.38 | 0.42 | (0.54) | (0.77) | ||||
Voluntary contribution from Adviser | — | — | — | 0.00(b) | 0.00(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.25) | (0.14) | (0.18) | (0.06) | ||||
Net realized gains | — | (0.05) | — | — | — | ||||
Total distributions | — | (0.30) | (0.14) | (0.18) | (0.06) | ||||
Net asset value, end of period | $ 10.42 | $ 10.81 | $ 8.73 | $ 8.45 | $ 9.17 | ||||
Total return (c) | (3.61)% | 27.20% | 5.06% | (5.84)%(d) | (7.72)%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,979,319 | $1,655,261 | $552,700 | $117,461 | $49,460 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05%(f) | 0.06% | 0.23% | 0.48% | 0.73%(f) | ||||
Net expenses | 0.05%(f) | 0.06% | 0.08% | 0.08% | 0.31%(f) | ||||
Net investment income (loss) | 3.53%(f) | 2.59% | 2.51% | 2.73% | 1.77%(f) | ||||
Portfolio turnover rate | 3%(g) | 2% | 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 of 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. |
Table of Contents
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 8/12/15* - 12/31/15 | ||||
Net asset value, beginning of period | $ 12.10 | $ 10.65 | $ 9.30 | $ 10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.09 | 0.17 | 0.15 | 0.06 | |||
Net realized and unrealized gain (loss) | 0.65 | 1.76 | 1.38 | (0.69) | |||
Total from investment operations | 0.74 | 1.93 | 1.53 | (0.63) | |||
Other capital | 0.00(b) | — | — | — | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.15) | (0.09) | (0.06) | |||
Net realized gains | — | (0.33) | (0.09) | (0.01) | |||
Total distributions | — | (0.48) | (0.18) | (0.07) | |||
Net asset value, end of period | $ 12.84 | $ 12.10 | $ 10.65 | $ 9.30 | |||
Total return (c) | 6.12% | 18.20% | 16.46% | 6.30% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $608,287 | $464,870 | $142,269 | $28,151 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.05%(d) | 0.07% | 0.22% | 0.41%(d) | |||
Net expenses | 0.03%(d) | 0.03% | 0.03% | 0.03%(d) | |||
Net investment income (loss) | 1.50%(d) | 1.46% | 1.55% | 1.61%(d) | |||
Portfolio turnover rate | 11%(e) | 21% | 21% | 8%(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
Table of Contents
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 |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2018 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 13.58% | ||
State Street Global Equity ex-U.S. Index Fund | State Street Global Equity ex-U.S. Index Portfolio | 23.44% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 5.35% |
Table of Contents
Table of Contents
Table of Contents
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 |
Table of Contents
Portfolios | Strategies |
State Street Global Equity ex-U.S. Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
State Street Small/Mid Cap Equity Index Portfolio | Cash equitization, reduce tracking error and to facilitate daily liquidity |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Global Equity ex-U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $(3,040,914) | $— | $(3,040,914) |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $(210,570) | $— | $(210,570) |
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 Equity ex-U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $(1,601,007) | $— | $(1,601,007) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $728,316 | $— | $728,316 |
Table of Contents
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 Equity ex-U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $(4,109,985) | $— | $(4,109,985) |
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 Small/Mid Cap Equity Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $(261,270) | $— | $(261,270) |
Annual Rate | |
State Street Aggregate Bond Index Fund | 0.03% |
State Street Global Equity ex-U.S. Index Fund | 0.06 |
State Street Small/Mid Cap Equity Index Fund | 0.03 |
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U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
State Street Aggregate Bond Index Portfolio | $623,482,094 | $488,317,325 | $ 70,493,247 | $15,084,799 | |||
State Street Global Equity ex-U.S. Index Portfolio | — | — | 328,726,790 | 52,077,664 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 200,014,116 | 63,941,275 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 117,096,757 | $ — | $ 3,823,536 | $ (3,823,536) | |||
State Street Global Equity ex-U.S. Index Fund | 441,197,565 | 22,683,699 | — | 22,683,699 | |||
State Street Small/Mid Cap Equity Index Fund | 29,122,983 | 3,383,221 | — | 3,383,221 | |||
State Street Aggregate Bond Index Portfolio | 865,621,586 | 438,678 | 24,245,196 | (23,806,518) | |||
State Street Global Equity ex-U.S. Index Portfolio | 1,803,863,645 | 211,206,001 | 90,031,486 | 121,174,515 | |||
State Street Small/Mid Cap Equity Index Portfolio | 589,903,237 | 88,953,222 | 25,858,433 | 63,094,789 |
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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 | $ 49,416,959 | $ 23,248,817 | $ 28,248,548 | $ 51,497,365 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 57,377,038 | 12,077,967 | 46,709,147 | 58,787,114 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Global Equity ex-U.S. Index Portfolio | Common Stocks | $23,248,817 | $— | $— | $— | $23,248,817 | $23,248,817 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 12,077,967 | — | — | — | 12,077,967 | 12,077,967 |
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Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period | |||||
State Street Aggregate Bond Index Fund | |||||||||
Class A | 0.36% | $ 981.20 | $ 1.77(a) | $1,023.00 | $ 1.81(a) | ||||
Class I | 0.06 | 982.30 | 0.29(a) | 1,024.50 | 0.30(a) | ||||
Class K | 0.06 | 983.30 | 0.30(a) | 1,024.50 | 0.30(a) | ||||
State Street Global Equity ex-U.S. Index Fund | |||||||||
Class A | 0.65 | 960.60 | 3.16(a) | 1,021.60 | 3.26(a) | ||||
Class I | 0.40 | 961.60 | 1.95(a) | 1,022.80 | 2.01(a) | ||||
Class K | 0.09 | 963.50 | 0.44(a) | 1,024.30 | 0.45(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.32 | 1,059.40 | 1.63(a) | 1,023.20 | 1.61(a) | ||||
Class I | 0.09 | 1,061.10 | 0.46(a) | 1,024.30 | 0.45(a) | ||||
Class K | 0.05 | 1,061.10 | 0.26(a) | 1,024.50 | 0.25(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.03 | 982.90 | 0.15(b) | 1,024.60 | 0.15(b) | ||||
State Street Global Equity ex-U.S. Index Portfolio | 0.05 | 963.90 | 0.24(b) | 1,024.50 | 0.25(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,061.20 | 0.15(b) | 1,024.60 | 0.15(b) |
(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. |
(b) | 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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• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which are feeder funds for which the Portfolios serve as the master funds in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one- and three-year periods ended December 31, 2017, as applicable, 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”). |
• | 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. |
• | 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; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds and Portfolios by SSGA FM in its capacity as the Funds’ Administrator; |
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• | 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds and Portfolios; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
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One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Iron Street
Boston, MA 02210
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Emerging Markets Equity Index Fund |
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1 | |
2 | |
15 | |
16 | |
17 | |
18 | |
19 | |
26 |
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% of Net Assets | |||
Common Stocks | 94.2% | ||
Warrants | 0.3 | ||
Short-Term Investments | 5.3 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 26.1%% | ||
Financials | 21.6% | ||
Consumer Discretionary | 9.4% | ||
Materials | 7.4% | ||
Energy | 7.1% | ||
TOTAL | 71.6% |
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Security Description | Shares | Value | |||
COMMON STOCKS — 94.2% | |||||
BRAZIL — 5.6% | |||||
Ambev SA | 521,085 | 2,435,179 | |||
Atacadao Distribuicao Comercio e Industria Ltda | 45,000 | 177,081 | |||
B3 SA - Brasil Bolsa Balcao | 224,292 | 1,192,174 | |||
Banco Bradesco SA Preference Shares | 371,247 | 2,595,660 | |||
Banco Bradesco SA | 112,324 | 711,769 | |||
Banco do Brasil SA | 95,798 | 713,368 | |||
Banco Santander Brasil SA | 45,800 | 348,791 | |||
BB Seguridade Participacoes SA | 78,137 | 496,759 | |||
BR Malls Participacoes SA | 93,003 | 234,478 | |||
Braskem SA Class A, Preference Shares | 19,200 | 253,312 | |||
BRF SA (a) | 55,623 | 260,231 | |||
CCR SA | 137,569 | 361,854 | |||
Centrais Eletricas Brasileiras SA (a) | 24,000 | 76,041 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares (a) | 25,600 | 90,160 | |||
Cia Brasileira de Distribuicao Preference Shares | 17,700 | 358,334 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 39,000 | 236,084 | |||
Cia Energetica de Minas Gerais Preference Shares | 99,526 | 188,839 | |||
Cia Siderurgica Nacional SA (a) | 68,800 | 140,554 | |||
Cielo SA | 136,656 | 586,775 | |||
Cosan SA Industria e Comercio | 17,700 | 161,846 | |||
EDP - Energias do Brasil SA | 33,550 | 120,949 | |||
Embraer SA | 73,317 | 462,305 | |||
Engie Brasil Energia SA | 17,870 | 158,988 | |||
Equatorial Energia SA | 17,800 | 262,693 | |||
Fibria Celulose SA | 27,435 | 517,481 | |||
Gerdau SA Preference Shares | 113,900 | 411,797 | |||
Hypera SA | 38,400 | 275,569 | |||
IRB Brasil Resseguros S/A | 11,300 | 142,006 | |||
Itau Unibanco Holding SA Preference Shares | 356,641 | 3,739,382 | |||
Itausa - Investimentos Itau SA Preference Shares | 486,862 | 1,161,667 | |||
Itausa - Investimentos Itau SA | 253 | 651 | |||
JBS SA | 104,000 | 251,391 | |||
Klabin SA | 74,507 | 379,565 | |||
Kroton Educacional SA | 153,221 | 371,165 | |||
Localiza Rent a Car SA | 56,085 | 345,921 | |||
Lojas Americanas SA Preference Shares | 84,073 | 364,271 | |||
Lojas Renner SA | 79,692 | 608,347 | |||
M Dias Branco SA | 11,300 | 109,846 | |||
Magazine Luiza SA | 8,000 | 266,133 | |||
Multiplan Empreendimentos Imobiliarios SA | 9,418 | 139,530 | |||
Natura Cosmeticos SA | 22,400 | 176,235 | |||
Odontoprev SA | 29,500 | 100,214 | |||
Petrobras Distribuidora SA | 36,400 | 173,040 |
Security Description | Shares | Value | |||
Petroleo Brasileiro SA Preference Shares | 433,798 | 1,938,189 | |||
Petroleo Brasileiro SA | 329,614 | 1,663,748 | |||
Porto Seguro SA | 9,900 | 104,676 | |||
Raia Drogasil SA | 25,700 | 443,541 | |||
Rumo SA (a) | 119,322 | 437,293 | |||
Sul America SA | 23,033 | 109,436 | |||
Suzano Papel e Celulose SA | 49,500 | 578,576 | |||
Telefonica Brasil SA Preference Shares | 49,255 | 585,570 | |||
TIM Participacoes SA | 94,700 | 324,413 | |||
Ultrapar Participacoes SA | 40,582 | 484,676 | |||
Vale SA | 349,884 | 4,509,733 | |||
WEG SA | 91,430 | 386,167 | |||
33,724,453 | |||||
CHILE — 1.1% | |||||
Aguas Andinas SA Class A | 287,699 | 157,640 | |||
Banco de Chile | 2,785,694 | 430,790 | |||
Banco de Credito e Inversiones SA | 4,880 | 325,865 | |||
Banco Santander Chile | 7,256,551 | 571,456 | |||
Cencosud SA | 161,790 | 400,148 | |||
Cia Cervecerias Unidas SA | 16,265 | 204,258 | |||
Colbun SA | 865,407 | 179,437 | |||
Embotelladora Andina SA Class B, Preference Shares | 28,953 | 112,664 | |||
Empresa Nacional de Telecomunicaciones SA | 16,785 | 156,018 | |||
Empresas CMPC SA | 139,818 | 516,217 | |||
Empresas COPEC SA | 43,505 | 671,441 | |||
Enel Americas SA | 3,157,924 | 556,309 | |||
Enel Chile SA | 3,167,582 | 313,768 | |||
Itau CorpBanca | 16,977,943 | 166,534 | |||
Latam Airlines Group SA | 33,769 | 336,225 | |||
SACI Falabella | 81,145 | 747,056 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 13,110 | 633,042 | |||
6,478,868 | |||||
CHINA — 29.5% | |||||
3SBio, Inc. (b) | 142,300 | 323,217 | |||
51job, Inc. ADR (a) | 2,600 | 253,864 | |||
58.com, Inc. ADR (a) | 9,800 | 679,532 | |||
AAC Technologies Holdings, Inc. | 80,500 | 1,133,810 | |||
Agile Group Holdings, Ltd. | 174,000 | 296,304 | |||
Agricultural Bank of China, Ltd. Class H | 3,205,500 | 1,499,491 | |||
Air China, Ltd. Class H | 206,000 | 199,030 | |||
Alibaba Group Holding, Ltd. ADR (a) | 126,282 | 23,429,099 | |||
Alibaba Health Information Technology, Ltd. (a)(c) | 368,500 | 355,562 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 426,000 | 187,875 | |||
Angang Steel Co., Ltd. Class H (c) | 110,000 | 99,268 | |||
Anhui Conch Cement Co., Ltd. Class H | 131,500 | 754,259 |
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Security Description | Shares | Value | |||
ANTA Sports Products, Ltd. | 114,000 | 603,751 | |||
Autohome, Inc. ADR | 6,500 | 656,500 | |||
AviChina Industry & Technology Co., Ltd. Class H | 245,000 | 145,836 | |||
BAIC Motor Corp., Ltd. Class H (b) | 183,000 | 174,942 | |||
Baidu, Inc. ADR (a) | 30,100 | 7,314,300 | |||
Bank of China, Ltd. Class H | 8,690,000 | 4,308,752 | |||
Bank of Communications Co., Ltd. Class H | 931,000 | 713,192 | |||
BBMG Corp. Class H | 238,000 | 87,975 | |||
Beijing Capital International Airport Co., Ltd. Class H | 184,000 | 193,957 | |||
Beijing Enterprises Holdings, Ltd. | 54,500 | 265,364 | |||
Beijing Enterprises Water Group, Ltd. (a) | 604,000 | 329,506 | |||
Brilliance China Automotive Holdings, Ltd. | 332,000 | 599,216 | |||
BYD Co., Ltd. Class H (c) | 71,500 | 433,350 | |||
BYD Electronic International Co., Ltd. (c) | 76,500 | 104,724 | |||
CAR, Inc. (a) | 74,000 | 73,949 | |||
CGN Power Co., Ltd. Class H (b) | 1,153,700 | 298,518 | |||
China Agri-Industries Holdings, Ltd. | 212,000 | 81,066 | |||
China Cinda Asset Management Co., Ltd. Class H | 972,481 | 312,366 | |||
China CITIC Bank Corp., Ltd. Class H | 949,000 | 593,923 | |||
China Coal Energy Co., Ltd. Class H | 206,000 | 85,336 | |||
China Communications Construction Co., Ltd. Class H | 495,000 | 478,252 | |||
China Communications Services Corp., Ltd. Class H | 272,000 | 172,309 | |||
China Conch Venture Holdings, Ltd. | 181,500 | 663,958 | |||
China Construction Bank Corp. Class H | 10,507,500 | 9,710,007 | |||
China Eastern Airlines Corp., Ltd. Class H | 142,000 | 96,109 | |||
China Everbright Bank Co., Ltd. Class H | 301,000 | 129,294 | |||
China Everbright International, Ltd. | 276,000 | 356,721 | |||
China Everbright, Ltd. | 104,000 | 190,888 | |||
China Evergrande Group (a)(c) | 281,000 | 716,339 | |||
China Galaxy Securities Co., Ltd. Class H | 356,000 | 182,868 | |||
China Huarong Asset Management Co., Ltd. Class H (b) | 1,117,500 | 323,337 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(c)(d) | 406,100 | — | |||
China International Capital Corp., Ltd. Class H (b)(c) | 108,000 | 192,448 | |||
China International Marine Containers Group Co., Ltd. Class H | 42,600 | 55,819 |
Security Description | Shares | Value | |||
China Jinmao Holdings Group, Ltd. | 568,000 | 285,251 | |||
China Life Insurance Co., Ltd. Class H | 816,000 | 2,106,189 | |||
China Literature, Ltd. (a)(b)(c) | 18,800 | 176,607 | |||
China Longyuan Power Group Corp., Ltd. Class H | 343,000 | 276,308 | |||
China Medical System Holdings, Ltd. | 152,000 | 303,789 | |||
China Mengniu Dairy Co., Ltd. (a) | 303,000 | 1,027,322 | |||
China Merchants Bank Co., Ltd. Class H | 428,500 | 1,581,181 | |||
China Merchants Port Holdings Co., Ltd. | 148,360 | 301,431 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 661,200 | 472,800 | |||
China Mobile, Ltd. | 671,500 | 5,965,693 | |||
China Molybdenum Co., Ltd. Class H (c) | 417,000 | 201,977 | |||
China National Building Material Co., Ltd. Class H | 410,000 | 406,057 | |||
China Oilfield Services, Ltd. Class H | 206,000 | 194,566 | |||
China Overseas Land & Investment, Ltd. | 422,000 | 1,390,449 | |||
China Pacific Insurance Group Co., Ltd. Class H | 290,000 | 1,121,860 | |||
China Petroleum & Chemical Corp. Class H | 2,794,000 | 2,496,471 | |||
China Power International Development, Ltd. | 452,000 | 104,280 | |||
China Railway Construction Corp., Ltd. Class H | 220,000 | 222,932 | |||
China Railway Group, Ltd. Class H | 399,000 | 301,076 | |||
China Railway Signal & Communication Corp., Ltd. Class H (b) | 151,000 | 107,205 | |||
China Reinsurance Group Corp. Class H | 582,000 | 127,595 | |||
China Resources Beer Holdings Co., Ltd. | 155,333 | 754,346 | |||
China Resources Gas Group, Ltd. | 94,000 | 407,370 | |||
China Resources Land, Ltd. | 306,000 | 1,031,643 | |||
China Resources Pharmaceutical Group, Ltd. (b) | 164,500 | 227,708 | |||
China Resources Power Holdings Co., Ltd. | 212,000 | 373,444 | |||
China Shenhua Energy Co., Ltd. Class H | 374,500 | 888,820 | |||
China Southern Airlines Co., Ltd. Class H | 206,000 | 162,007 | |||
China State Construction International Holdings, Ltd. | 224,000 | 229,840 | |||
China Taiping Insurance Holdings Co., Ltd. | 177,800 | 556,372 | |||
China Telecom Corp., Ltd. Class H | 1,526,000 | 713,843 |
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Security Description | Shares | Value | |||
China Travel International Investment Hong Kong, Ltd. | 220,000 | 85,808 | |||
China Unicom Hong Kong, Ltd. | 652,000 | 814,434 | |||
China Vanke Co., Ltd. Class H | 131,600 | 460,448 | |||
China Zhongwang Holdings, Ltd. | 164,800 | 87,174 | |||
Chong Sing Holdings FinTech Group (a)(c) | 1,768,000 | 207,325 | |||
Chongqing Changan Automobile Co., Ltd. Class B | 71,700 | 72,473 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 277,000 | 164,884 | |||
CIFI Holdings Group Co., Ltd. | 372,000 | 236,606 | |||
CITIC Securities Co., Ltd. Class H | 250,500 | 500,652 | |||
CITIC, Ltd. | 620,000 | 874,035 | |||
CNOOC, Ltd. | 1,955,000 | 3,374,019 | |||
COSCO SHIPPING Development Co., Ltd. Class H (a) | 372,000 | 62,115 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 120,000 | 57,817 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 266,250 | 122,173 | |||
COSCO SHIPPING Ports, Ltd. | 184,719 | 153,983 | |||
Country Garden Holdings Co., Ltd. | 835,500 | 1,469,629 | |||
CRRC Corp., Ltd. Class H | 458,000 | 355,521 | |||
CSPC Pharmaceutical Group, Ltd. | 514,000 | 1,552,722 | |||
Ctrip.com International, Ltd. ADR (a) | 42,767 | 2,036,992 | |||
Dali Foods Group Co., Ltd. (b) | 212,300 | 163,715 | |||
Datang International Power Generation Co., Ltd. Class H (a) | 310,000 | 94,832 | |||
Dongfeng Motor Group Co., Ltd. Class H | 294,000 | 311,034 | |||
ENN Energy Holdings, Ltd. | 81,000 | 796,532 | |||
Fang Holdings, Ltd. ADR (a)(c) | 21,300 | 82,644 | |||
Far East Horizon, Ltd. | 223,000 | 216,308 | |||
Fosun International, Ltd. | 283,000 | 532,421 | |||
Future Land Development Holdings, Ltd. (a) | 184,000 | 166,517 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (b) | 57,256 | 193,397 | |||
GDS Holdings, Ltd. ADR (a)(c) | 6,100 | 244,549 | |||
Geely Automobile Holdings, Ltd. | 542,000 | 1,405,872 | |||
Genscript Biotech Corp. | 80,000 | 221,275 | |||
GF Securities Co., Ltd. Class H | 148,000 | 215,809 | |||
GOME Retail Holdings, Ltd. (a)(c) | 1,146,000 | 116,858 | |||
Great Wall Motor Co., Ltd. Class H (c) | 344,500 | 263,465 | |||
Greentown China Holdings, Ltd. (c) | 89,000 | 119,341 | |||
Guangdong Investment, Ltd. | 326,000 | 517,747 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 324,800 | 317,536 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 107,200 | 216,437 |
Security Description | Shares | Value | |||
Guotai Junan Securities Co., Ltd. Class H (b) | 61,600 | 130,966 | |||
Haitian International Holdings, Ltd. | 72,000 | 169,963 | |||
Haitong Securities Co., Ltd. Class H | 356,400 | 360,241 | |||
Hengan International Group Co., Ltd. | 79,500 | 765,061 | |||
HengTen Networks Group, Ltd. (a) | 2,256,000 | 80,515 | |||
Huadian Power International Corp., Ltd. Class H | 160,000 | 63,221 | |||
Huaneng Power International, Inc. Class H | 460,000 | 304,890 | |||
Huaneng Renewables Corp., Ltd. Class H | 532,000 | 176,984 | |||
Huatai Securities Co., Ltd. Class H (b) | 179,900 | 286,172 | |||
Huazhu Group, Ltd. ADR | 14,000 | 587,860 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 7,591,000 | 5,679,619 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 109,400 | 149,222 | |||
JD.com, Inc. ADR (a)(c) | 78,667 | 3,064,080 | |||
Jiangsu Expressway Co., Ltd. Class H | 134,000 | 159,698 | |||
Jiangxi Copper Co., Ltd. Class H | 141,000 | 179,722 | |||
Kaisa Group Holdings, Ltd. | 217,000 | 92,659 | |||
Kingdee International Software Group Co., Ltd. | 208,000 | 212,893 | |||
Kingsoft Corp., Ltd. | 87,000 | 263,924 | |||
Kunlun Energy Co., Ltd. | 350,000 | 306,483 | |||
KWG Property Holding, Ltd. | 131,250 | 164,952 | |||
Legend Holdings Corp. Class H (b) | 33,800 | 102,967 | |||
Lenovo Group, Ltd. (c) | 794,000 | 430,122 | |||
Logan Property Holdings Co., Ltd. | 144,000 | 194,926 | |||
Longfor Properties Co., Ltd. | 162,500 | 438,072 | |||
Luye Pharma Group, Ltd. (c) | 118,000 | 121,077 | |||
Meitu, Inc. (a)(b) | 178,000 | 155,415 | |||
Metallurgical Corp. of China, Ltd. Class H | 288,000 | 85,165 | |||
MMG, Ltd. (a) | 250,000 | 174,942 | |||
Momo, Inc. ADR (a) | 12,700 | 552,450 | |||
NetEase, Inc. ADR | 8,673 | 2,191,407 | |||
New China Life Insurance Co., Ltd. Class H | 90,000 | 374,548 | |||
New Oriental Education & Technology Group, Inc. ADR | 15,500 | 1,467,230 | |||
Nexteer Automotive Group, Ltd. | 99,000 | 146,378 | |||
Noah Holdings, Ltd. ADR (a)(c) | 3,000 | 156,450 | |||
People's Insurance Co. Group of China, Ltd. Class H | 828,000 | 389,438 | |||
PetroChina Co., Ltd. Class H | 2,316,000 | 1,762,362 | |||
PICC Property & Casualty Co., Ltd. Class H | 735,000 | 793,511 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 570,000 | 5,245,588 |
Table of Contents
Security Description | Shares | Value | |||
Postal Savings Bank of China Co., Ltd. Class H (b) | 290,000 | 188,887 | |||
Semiconductor Manufacturing International Corp. (a)(c) | 321,300 | 417,727 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 196,000 | 138,654 | |||
Shanghai Electric Group Co., Ltd. Class H (a) | 318,000 | 107,007 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 54,000 | 296,312 | |||
Shanghai Industrial Holdings, Ltd. | 51,000 | 118,831 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 105,660 | 150,882 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 95,300 | 262,986 | |||
Shenzhen Investment, Ltd. | 332,000 | 121,028 | |||
Shenzhou International Group Holdings, Ltd. | 83,000 | 1,024,613 | |||
Shui On Land, Ltd. | 368,300 | 93,419 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 423,000 | 94,354 | |||
SINA Corp. (a) | 6,800 | 575,892 | |||
Sino-Ocean Group Holding, Ltd. | 336,500 | 195,583 | |||
Sinopec Engineering Group Co., Ltd. Class H | 135,000 | 141,101 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 380,000 | 231,523 | |||
Sinopharm Group Co., Ltd. Class H | 133,200 | 535,656 | |||
Sinotrans, Ltd. Class H | 208,500 | 110,024 | |||
Sinotruk Hong Kong, Ltd. | 70,000 | 115,277 | |||
SOHO China, Ltd. | 241,000 | 114,580 | |||
Sunac China Holdings, Ltd. | 266,700 | 933,141 | |||
Sunny Optical Technology Group Co., Ltd. | 78,300 | 1,457,125 | |||
TAL Education Group ADR (a) | 36,300 | 1,335,840 | |||
Tencent Holdings, Ltd. | 622,400 | 31,241,181 | |||
Tingyi Cayman Islands Holding Corp. | 220,000 | 510,360 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 56,500 | 89,732 | |||
Towngas China Co., Ltd. (a) | 98,000 | 95,059 | |||
TravelSky Technology, Ltd. Class H | 101,000 | 294,164 | |||
Tsingtao Brewery Co., Ltd. Class H | 40,000 | 219,745 | |||
Uni-President China Holdings, Ltd. | 133,000 | 170,881 | |||
Vipshop Holdings, Ltd. ADR (a) | 45,288 | 491,375 | |||
Want Want China Holdings, Ltd. | 528,000 | 469,755 | |||
Weibo Corp. ADR (a)(c) | 5,160 | 458,002 | |||
Weichai Power Co., Ltd. Class H | 211,000 | 290,999 | |||
Wuxi Biologics Cayman, Inc. (a)(b) | 52,000 | 578,960 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 62,800 | 76,444 | |||
Xinyi Solar Holdings, Ltd. (c) | 306,000 | 93,998 |
Security Description | Shares | Value | |||
Yanzhou Coal Mining Co., Ltd. Class H | 210,000 | 274,631 | |||
Yum China Holdings, Inc. | 39,900 | 1,534,554 | |||
Yuzhou Properties Co., Ltd. | 170,500 | 100,186 | |||
YY, Inc. ADR (a) | 4,900 | 492,303 | |||
Zhaojin Mining Industry Co., Ltd. Class H (c) | 105,000 | 80,167 | |||
Zhejiang Expressway Co., Ltd. Class H | 162,000 | 144,542 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 16,700 | 105,473 | |||
Zhongsheng Group Holdings, Ltd. | 59,000 | 177,103 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 59,600 | 283,359 | |||
Zijin Mining Group Co., Ltd. Class H | 630,000 | 240,904 | |||
ZTE Corp. Class H (a) | 80,000 | 121,548 | |||
178,634,754 | |||||
COLOMBIA — 0.4% | |||||
Bancolombia SA | 24,745 | 297,581 | |||
Bancolombia SA Preference Shares | 49,759 | 605,175 | |||
Cementos Argos SA | 50,813 | 169,550 | |||
Ecopetrol SA | 549,272 | 565,732 | |||
Grupo Argos SA | 31,797 | 215,012 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 391,589 | 163,996 | |||
Grupo de Inversiones Suramericana SA Preference Shares | 11,829 | 143,946 | |||
Grupo de Inversiones Suramericana SA | 25,441 | 325,702 | |||
Interconexion Electrica SA ESP | 48,254 | 238,231 | |||
2,724,925 | |||||
CZECH REPUBLIC — 0.2% | |||||
CEZ A/S (c) | 18,250 | 431,644 | |||
Komercni banka A/S | 8,245 | 346,167 | |||
Moneta Money Bank A/S (b) | 53,364 | 182,736 | |||
O2 Czech Republic A/S | 6,222 | 71,347 | |||
1,031,894 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE | 115,133 | 544,452 | |||
Eastern Tobacco | 13,185 | 131,231 | |||
ElSewedy Electric Co. | 7,710 | 85,771 | |||
761,454 | |||||
GREECE — 0.3% | |||||
Alpha Bank AE (a) | 158,159 | 353,621 | |||
Eurobank Ergasias SA (a) | 201,024 | 210,062 | |||
FF Group (a)(e) | 3,869 | 21,683 | |||
Hellenic Telecommunications Organization SA | 27,431 | 339,487 | |||
JUMBO SA | 11,587 | 191,021 | |||
National Bank of Greece SA (a) | 613,720 | 188,452 | |||
OPAP SA | 25,623 | 289,588 | |||
Piraeus Bank SA (a) | 30,958 | 105,544 |
Table of Contents
Security Description | Shares | Value | |||
Titan Cement Co. SA | 5,183 | 131,316 | |||
1,830,774 | |||||
HONG KONG — 1.0% | |||||
Alibaba Pictures Group, Ltd. (a) | 1,415,900 | 155,208 | |||
China First Capital Group, Ltd. (a) | 334,000 | 212,862 | |||
China Gas Holdings, Ltd. | 191,200 | 768,899 | |||
China Resources Cement Holdings, Ltd. | 205,000 | 207,732 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 236,000 | 204,251 | |||
Fullshare Holdings, Ltd. (a)(c) | 753,600 | 372,696 | |||
GCL-Poly Energy Holdings, Ltd. (a)(c) | 1,456,000 | 137,333 | |||
Haier Electronics Group Co., Ltd. | 139,000 | 475,709 | |||
Jiayuan International Group, Ltd. (c) | 101,000 | 175,082 | |||
Kingboard Chemical Holdings, Ltd. | 71,000 | 259,730 | |||
Kingboard Laminates Holdings, Ltd. | 111,300 | 137,468 | |||
Lee & Man Paper Manufacturing, Ltd. | 179,000 | 181,157 | |||
Nine Dragons Paper Holdings, Ltd. | 177,000 | 225,608 | |||
Shenzhen International Holdings, Ltd. | 95,050 | 196,753 | |||
Shimao Property Holdings, Ltd. | 131,000 | 343,970 | |||
Sino Biopharmaceutical, Ltd. | 713,000 | 1,094,204 | |||
Skyworth Digital Holdings, Ltd. | 184,000 | 82,086 | |||
SSY Group, Ltd. | 156,000 | 173,191 | |||
Sun Art Retail Group, Ltd. | 259,500 | 339,365 | |||
Yuexiu Property Co., Ltd. | 705,000 | 134,791 | |||
5,878,095 | |||||
HUNGARY — 0.3% | |||||
MOL Hungarian Oil & Gas PLC | 40,705 | 393,052 | |||
OTP Bank Nyrt | 23,858 | 864,121 | |||
Richter Gedeon Nyrt | 15,673 | 286,335 | |||
1,543,508 | |||||
INDIA — 8.1% | |||||
Adani Ports & Special Economic Zone, Ltd. | 54,426 | 295,544 | |||
Ambuja Cements, Ltd. | 64,796 | 196,710 | |||
Ashok Leyland, Ltd. | 132,256 | 243,221 | |||
Asian Paints, Ltd. | 32,022 | 590,758 | |||
Aurobindo Pharma, Ltd. | 30,208 | 266,852 | |||
Avenue Supermarts, Ltd. (a)(b) | 13,084 | 283,966 | |||
Axis Bank, Ltd. | 197,130 | 1,462,039 | |||
Bajaj Auto, Ltd. | 9,521 | 390,331 | |||
Bajaj Finance, Ltd. | 19,185 | 643,747 | |||
Bajaj Finserv, Ltd. | 4,138 | 352,106 | |||
Bharat Forge, Ltd. | 23,132 | 207,298 | |||
Bharat Heavy Electricals, Ltd. | 91,879 | 96,351 | |||
Bharat Petroleum Corp., Ltd. | 84,523 | 462,616 | |||
Bharti Airtel, Ltd. | 148,872 | 828,720 | |||
Bharti Infratel, Ltd. | 34,417 | 150,950 | |||
Bosch, Ltd. | 792 | 202,710 | |||
Britannia Industries, Ltd. | 3,249 | 295,902 |
Security Description | Shares | Value | |||
Cadila Healthcare, Ltd. (a) | 21,302 | 117,493 | |||
Cipla, Ltd. | 38,783 | 349,820 | |||
Coal India, Ltd. | 76,930 | 296,537 | |||
Container Corp. Of India, Ltd. | 17,184 | 162,899 | |||
Dabur India, Ltd. | 59,004 | 335,431 | |||
Dr Reddy's Laboratories, Ltd. ADR | 1,119 | 36,032 | |||
Dr Reddy's Laboratories, Ltd. | 11,487 | 374,377 | |||
Eicher Motors, Ltd. | 1,467 | 615,053 | |||
GAIL India, Ltd. | 72,564 | 360,358 | |||
GAIL India, Ltd. GDR | 2,556 | 74,891 | |||
Glenmark Pharmaceuticals, Ltd. | 16,028 | 136,851 | |||
Godrej Consumer Products, Ltd. | 26,349 | 469,563 | |||
Grasim Industries, Ltd. | 36,157 | 530,890 | |||
Havells India, Ltd. | 27,370 | 217,055 | |||
HCL Technologies, Ltd. | 59,254 | 801,613 | |||
Hero MotoCorp, Ltd. | 5,418 | 274,217 | |||
Hindalco Industries, Ltd. | 132,007 | 443,523 | |||
Hindustan Petroleum Corp., Ltd. | 67,205 | 253,852 | |||
Hindustan Unilever, Ltd. | 71,253 | 1,701,586 | |||
Housing Development Finance Corp., Ltd. | 172,866 | 4,814,210 | |||
ICICI Bank, Ltd. ADR | 2,650 | 21,279 | |||
ICICI Bank, Ltd. | 256,191 | 1,027,157 | |||
Idea Cellular, Ltd. (a) | 221,163 | 190,288 | |||
Indiabulls Housing Finance, Ltd. | 29,364 | 488,150 | |||
Indian Oil Corp., Ltd. | 153,549 | 349,612 | |||
Infosys, Ltd. ADR | 759 | 14,747 | |||
Infosys, Ltd. | 190,458 | 3,643,345 | |||
InterGlobe Aviation, Ltd. (b) | 9,542 | 151,803 | |||
ITC, Ltd. | 375,056 | 1,450,629 | |||
JSW Steel, Ltd. | 95,802 | 456,813 | |||
Larsen & Toubro, Ltd. GDR | 4,523 | 82,952 | |||
Larsen & Toubro, Ltd. | 47,945 | 892,212 | |||
LIC Housing Finance, Ltd. | 32,033 | 218,899 | |||
Lupin, Ltd. | 24,007 | 317,454 | |||
Mahindra & Mahindra Financial Services, Ltd. | 32,984 | 227,227 | |||
Mahindra & Mahindra, Ltd. GDR | 8,990 | 117,319 | |||
Mahindra & Mahindra, Ltd. | 73,089 | 956,456 | |||
Marico, Ltd. | 48,755 | 235,574 | |||
Maruti Suzuki India, Ltd. | 11,608 | 1,493,512 | |||
Motherson Sumi Systems, Ltd. | 69,553 | 287,795 | |||
Nestle India, Ltd. | 2,636 | 377,616 | |||
NTPC, Ltd. | 209,740 | 487,807 | |||
Oil & Natural Gas Corp., Ltd. | 157,809 | 363,918 | |||
Petronet LNG, Ltd. | 65,494 | 210,300 | |||
Pidilite Industries, Ltd. | 12,694 | 197,214 | |||
Piramal Enterprises, Ltd. | 8,793 | 324,705 | |||
Power Grid Corp. of India, Ltd. | 166,357 | 455,257 | |||
Reliance Industries, Ltd. GDR (b) | 2,127 | 59,769 | |||
Reliance Industries, Ltd. | 307,489 | 4,367,632 | |||
Rural Electrification Corp., Ltd. | 75,115 | 115,663 | |||
Shree Cement, Ltd. | 903 | 203,500 | |||
Shriram Transport Finance Co., Ltd. | 16,746 | 316,430 | |||
Siemens, Ltd. | 8,143 | 116,360 | |||
State Bank of India (a) | 164,738 | 623,222 |
Table of Contents
Security Description | Shares | Value | |||
State Bank of India GDR | 2,503 | 93,862 | |||
Sun Pharmaceutical Industries, Ltd. | 89,138 | 733,374 | |||
Tata Consultancy Services, Ltd. | 100,634 | 2,709,840 | |||
Tata Motors, Ltd. ADR | 541 | 10,577 | |||
Tata Motors, Ltd. (a) | 166,252 | 652,487 | |||
Tata Power Co., Ltd. | 123,190 | 132,423 | |||
Tata Steel, Ltd. | 28,751 | 237,931 | |||
Tata Steel, Ltd. GDR | 10,534 | 87,011 | |||
Tech Mahindra, Ltd. | 51,570 | 491,689 | |||
Titan Co., Ltd. | 34,639 | 443,206 | |||
UltraTech Cement, Ltd. | 10,655 | 590,718 | |||
United Spirits, Ltd. (a) | 33,235 | 322,115 | |||
UPL, Ltd. | 39,212 | 353,918 | |||
Vakrangee, Ltd. | 46,781 | 45,644 | |||
Vedanta, Ltd. | 136,423 | 470,307 | |||
Vedanta, Ltd. ADR | 366 | 4,978 | |||
Wipro, Ltd. ADR | 18,541 | 88,811 | |||
Wipro, Ltd. | 103,945 | 395,739 | |||
Yes Bank, Ltd. | 187,634 | 928,927 | |||
Zee Entertainment Enterprises, Ltd. | 50,757 | 403,004 | |||
49,375,249 | |||||
INDONESIA — 1.8% | |||||
Adaro Energy Tbk PT | 1,562,200 | 195,139 | |||
AKR Corporindo Tbk PT | 209,700 | 62,925 | |||
Astra International Tbk PT | 2,228,300 | 1,026,293 | |||
Bank Central Asia Tbk PT | 1,082,200 | 1,621,790 | |||
Bank Danamon Indonesia Tbk PT | 293,300 | 130,481 | |||
Bank Mandiri Persero Tbk PT | 2,056,100 | 982,853 | |||
Bank Negara Indonesia Persero Tbk PT | 834,900 | 410,750 | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,100,400 | 1,209,012 | |||
Bank Tabungan Negara Persero Tbk PT | 468,600 | 80,116 | |||
Bumi Serpong Damai Tbk PT | 811,500 | 88,625 | |||
Charoen Pokphand Indonesia Tbk PT | 830,600 | 213,301 | |||
Gudang Garam Tbk PT | 55,200 | 259,051 | |||
Hanjaya Mandala Sampoerna Tbk PT | 1,067,500 | 266,689 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 287,700 | 373,428 | |||
Indocement Tunggal Prakarsa Tbk PT | 198,300 | 188,890 | |||
Indofood CBP Sukses Makmur Tbk PT | 244,000 | 150,691 | |||
Indofood Sukses Makmur Tbk PT | 471,100 | 218,619 | |||
Jasa Marga Persero Tbk PT | 247,489 | 72,191 | |||
Kalbe Farma Tbk PT | 2,267,100 | 193,012 | |||
Matahari Department Store Tbk PT | 281,000 | 172,561 | |||
Pakuwon Jati Tbk PT | 2,464,100 | 91,136 | |||
Perusahaan Gas Negara Persero Tbk | 1,242,400 | 172,965 | |||
Semen Indonesia Persero Tbk PT | 321,100 | 159,654 | |||
Surya Citra Media Tbk PT | 683,500 | 98,256 |
Security Description | Shares | Value | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,536,200 | 1,448,761 | |||
Tower Bersama Infrastructure Tbk PT | 224,500 | 78,175 | |||
Unilever Indonesia Tbk PT | 169,700 | 545,929 | |||
United Tractors Tbk PT | 187,400 | 413,248 | |||
Waskita Karya Persero Tbk PT | 568,400 | 76,355 | |||
11,000,896 | |||||
LUXEMBOURG — 0.0% (f) | |||||
Reinet Investments SCA (a) | 15,438 | 272,182 | |||
MALAYSIA — 2.2% | |||||
AirAsia Group Bhd | 175,900 | 130,200 | |||
Alliance Bank Malaysia Bhd | 115,600 | 115,614 | |||
AMMB Holdings Bhd | 180,000 | 167,100 | |||
Astro Malaysia Holdings Bhd | 175,300 | 69,000 | |||
Axiata Group Bhd | 295,493 | 277,973 | |||
British American Tobacco Malaysia Bhd | 16,200 | 139,482 | |||
CIMB Group Holdings Bhd | 490,776 | 662,144 | |||
Dialog Group Bhd | 385,700 | 295,040 | |||
DiGi.Com Bhd | 354,100 | 363,786 | |||
Felda Global Ventures Holdings Bhd | 158,000 | 59,062 | |||
Fraser & Neave Holdings Bhd | 13,100 | 126,541 | |||
Gamuda Bhd | 225,300 | 182,382 | |||
Genting Bhd | 224,700 | 467,812 | |||
Genting Malaysia Bhd | 327,400 | 395,522 | |||
Genting Plantations Bhd | 23,600 | 55,210 | |||
HAP Seng Consolidated Bhd | 69,300 | 168,125 | |||
Hartalega Holdings Bhd | 149,700 | 221,984 | |||
Hong Leong Bank Bhd | 71,200 | 320,792 | |||
Hong Leong Financial Group Bhd | 23,900 | 106,498 | |||
IHH Healthcare Bhd | 261,300 | 394,586 | |||
IJM Corp. Bhd | 311,600 | 138,078 | |||
IOI Corp. Bhd | 197,100 | 221,521 | |||
IOI Properties Group Bhd | 196,525 | 77,841 | |||
Kuala Lumpur Kepong Bhd | 44,800 | 267,946 | |||
Malayan Banking Bhd | 405,316 | 903,043 | |||
Malaysia Airports Holdings Bhd | 93,200 | 203,035 | |||
Maxis Bhd | 247,100 | 333,993 | |||
MISC Bhd | 115,900 | 169,855 | |||
My EG Services Bhd | 206,200 | 49,259 | |||
Nestle Malaysia Bhd | 6,400 | 233,692 | |||
Petronas Chemicals Group Bhd | 264,200 | 550,049 | |||
Petronas Dagangan Bhd | 20,400 | 125,243 | |||
Petronas Gas Bhd | 77,900 | 333,623 | |||
PPB Group Bhd | 53,600 | 261,133 | |||
Press Metal Aluminium Holdings Bhd | 148,700 | 160,498 | |||
Public Bank Bhd | 319,400 | 1,847,056 | |||
RHB Capital Bhd | 95,610 | 129,232 | |||
Sime Darby Bhd | 262,969 | 159,494 | |||
Sime Darby Plantation Bhd | 262,969 | 346,980 | |||
Sime Darby Property Bhd | 262,969 | 78,119 | |||
SP Setia Bhd Group | 171,547 | 131,649 | |||
Telekom Malaysia Bhd | 127,600 | 98,239 | |||
Tenaga Nasional Bhd | 342,700 | 1,242,017 |
Table of Contents
Security Description | Shares | Value | |||
Top Glove Corp. Bhd | 73,100 | 219,689 | |||
UMW Holdings Bhd | 50,300 | 74,339 | |||
Westports Holdings Bhd | 109,900 | 92,229 | |||
YTL Corp. Bhd | 327,496 | 91,613 | |||
13,258,318 | |||||
MEXICO — 2.8% | |||||
Alfa SAB de CV Class A | 336,240 | 394,475 | |||
Alsea SAB de CV | 52,300 | 182,052 | |||
America Movil SAB de CV Series L | 3,718,721 | 3,136,812 | |||
Arca Continental SAB de CV | 47,900 | 297,186 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B | 206,216 | 280,540 | |||
Cemex SAB de CV Series CPO (a) | 1,586,217 | 1,054,748 | |||
Coca-Cola Femsa SAB de CV Series L | 55,500 | 316,328 | |||
El Puerto de Liverpool SAB de CV Series C1 (c) | 21,000 | 135,760 | |||
Fibra Uno Administracion SA de CV REIT | 376,458 | 554,467 | |||
Fomento Economico Mexicano SAB de CV | 215,180 | 1,910,765 | |||
Gruma SAB de CV Class B | 23,495 | 289,938 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 39,400 | 369,430 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 22,950 | 368,377 | |||
Grupo Bimbo SAB de CV Class A | 182,915 | 360,232 | |||
Grupo Carso SAB de CV Series A1 | 49,200 | 168,182 | |||
Grupo Financiero Banorte SAB de CV Series O | 276,403 | 1,642,183 | |||
Grupo Financiero Inbursa SAB de CV Series O | 256,026 | 363,412 | |||
Grupo Mexico SAB de CV Class B | 381,536 | 1,092,640 | |||
Grupo Televisa SAB Series CPO | 269,329 | 1,032,194 | |||
Industrias Penoles SAB de CV | 15,670 | 284,281 | |||
Infraestructura Energetica Nova SAB de CV | 58,300 | 264,008 | |||
Kimberly-Clark de Mexico SAB de CV Class A (c) | 165,689 | 282,980 | |||
Mexichem SAB de CV | 119,310 | 348,295 | |||
Promotora y Operadora de Infraestructura SAB de CV | 24,855 | 224,780 | |||
Wal-Mart de Mexico SAB de CV | 580,094 | 1,547,055 | |||
16,901,120 | |||||
PAKISTAN — 0.1% | |||||
Habib Bank, Ltd. | 66,000 | 90,449 | |||
Lucky Cement, Ltd. | 12,800 | 53,532 | |||
MCB Bank, Ltd. | 48,800 | 79,466 | |||
Oil & Gas Development Co., Ltd. | 76,400 | 97,895 | |||
United Bank, Ltd. | 55,100 | 76,664 | |||
398,006 |
Security Description | Shares | Value | |||
PERU — 0.4% | |||||
Cia de Minas Buenaventura SAA ADR | 18,700 | 254,881 | |||
Credicorp, Ltd. | 7,400 | 1,665,888 | |||
Southern Copper Corp. | 9,367 | 439,031 | |||
2,359,800 | |||||
PHILIPPINES — 0.9% | |||||
Aboitiz Equity Ventures, Inc. | 214,690 | 219,246 | |||
Aboitiz Power Corp. | 164,600 | 107,179 | |||
Alliance Global Group, Inc. (a) | 457,100 | 99,527 | |||
Ayala Corp. | 27,815 | 479,502 | |||
Ayala Land, Inc. | 809,800 | 575,096 | |||
Bank of the Philippine Islands | 93,229 | 154,603 | |||
BDO Unibank, Inc. | 216,289 | 508,629 | |||
DMCI Holdings, Inc. | 443,930 | 87,343 | |||
Globe Telecom, Inc. | 3,720 | 107,346 | |||
GT Capital Holdings, Inc. | 9,675 | 164,974 | |||
International Container Terminal Services, Inc. | 53,670 | 77,738 | |||
JG Summit Holdings, Inc. | 315,710 | 295,789 | |||
Jollibee Foods Corp. | 47,570 | 234,429 | |||
Manila Electric Co. | 25,860 | 172,311 | |||
Megaworld Corp. | 1,275,800 | 102,317 | |||
Metro Pacific Investments Corp. | 1,540,300 | 132,766 | |||
Metropolitan Bank & Trust Co. | 81,493 | 112,083 | |||
PLDT, Inc. | 9,391 | 226,999 | |||
Robinsons Land Corp. | 250,186 | 87,197 | |||
Security Bank Corp. | 25,200 | 94,439 | |||
SM Investments Corp. | 26,490 | 434,323 | |||
SM Prime Holdings, Inc. | 1,075,400 | 724,423 | |||
Universal Robina Corp. | 96,220 | 218,159 | |||
5,416,418 | |||||
POLAND — 1.0% | |||||
Alior Bank SA (a) | 10,032 | 179,260 | |||
Bank Handlowy w Warszawie SA | 3,954 | 74,772 | |||
Bank Millennium SA (a) | 70,894 | 151,864 | |||
Bank Polska Kasa Opieki SA | 18,906 | 570,621 | |||
Bank Zachodni WBK SA | 3,827 | 341,000 | |||
CCC SA | 3,225 | 178,308 | |||
CD Projekt SA | 7,547 | 326,154 | |||
Cyfrowy Polsat SA | 24,629 | 152,223 | |||
Dino Polska SA (a)(b) | 5,424 | 150,669 | |||
Grupa Azoty SA | 4,738 | 54,543 | |||
Grupa Lotos SA | 10,561 | 160,561 | |||
Jastrzebska Spolka Weglowa SA (a) | 5,878 | 120,419 | |||
KGHM Polska Miedz SA | 15,420 | 362,441 | |||
LPP SA | 143 | 324,084 | |||
mBank SA | 1,659 | 177,157 | |||
Orange Polska SA (a) | 76,094 | 94,306 | |||
PGE Polska Grupa Energetyczna SA (a) | 96,267 | 240,156 | |||
PLAY Communications SA (b) | 13,053 | 89,253 | |||
Polski Koncern Naftowy ORLEN SA | 31,836 | 714,789 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 191,154 | 291,534 |
Table of Contents
Security Description | Shares | Value | |||
Powszechna Kasa Oszczednosci Bank Polski SA (a) | 96,373 | 952,159 | |||
Powszechny Zaklad Ubezpieczen SA | 64,228 | 668,708 | |||
6,374,981 | |||||
QATAR — 0.8% | |||||
Barwa Real Estate Co. | 11,610 | 109,053 | |||
Commercial Bank PQSC | 21,835 | 228,425 | |||
Doha Bank QPSC | 17,640 | 129,599 | |||
Ezdan Holding Group QSC (a) | 91,354 | 205,741 | |||
Industries Qatar QSC | 19,257 | 565,916 | |||
Masraf Al Rayan QSC | 40,583 | 389,334 | |||
Ooredoo QSC | 8,725 | 174,236 | |||
Qatar Electricity & Water Co. QSC | 5,197 | 268,300 | |||
Qatar Insurance Co. SAQ | 16,792 | 163,723 | |||
Qatar Islamic Bank SAQ | 12,230 | 389,640 | |||
Qatar National Bank QPSC | 49,615 | 2,071,266 | |||
4,695,233 | |||||
ROMANIA — 0.1% | |||||
NEPI Rockcastle PLC | 41,956 | 374,861 | |||
RUSSIA — 3.3% | |||||
Alrosa PJSC | 281,268 | 447,902 | |||
Gazprom PJSC | 1,166,958 | 2,616,896 | |||
Inter RAO UES PJSC | 3,621,928 | 235,128 | |||
LUKOIL PJSC | 46,559 | 3,219,274 | |||
Magnit PJSC GDR | 2,000 | 36,000 | |||
Magnit PJSC | 9,091 | 668,677 | |||
Magnitogorsk Iron & Steel Works PJSC | 242,500 | 165,102 | |||
MMC Norilsk Nickel PJSC | 6,959 | 1,260,339 | |||
Mobile TeleSystems PJSC ADR | 47,570 | 420,043 | |||
Mobile TeleSystems PJSC | 17,901 | 79,581 | |||
Moscow Exchange MICEX-RTS PJSC (a) | 143,221 | 248,948 | |||
Novatek PJSC GDR | 400 | 59,320 | |||
Novatek PJSC | 101,850 | 1,380,687 | |||
Novolipetsk Steel PJSC | 137,153 | 332,107 | |||
PhosAgro PJSC GDR | 12,938 | 166,253 | |||
Polyus PJSC | 2,986 | 196,821 | |||
Rosneft Oil Co. PJSC | 128,161 | 808,486 | |||
RushHydro PJSC | 12,188,000 | 131,496 | |||
Sberbank of Russia PJSC | 1,180,834 | 4,094,901 | |||
Severstal PJSC | 23,340 | 345,545 | |||
Surgutneftegas OJSC Preference Shares | 763,900 | 382,117 | |||
Surgutneftegas OJSC | 798,700 | 362,266 | |||
Tatneft PJSC | 167,326 | 1,797,282 | |||
Transneft PJSC Preference Shares | 52 | 138,578 | |||
VTB Bank PJSC | 340,260,000 | 261,660 | |||
X5 Retail Group NV GDR | 13,137 | 347,868 | |||
20,203,277 | |||||
SINGAPORE — 0.0% (f) | |||||
BOC Aviation, Ltd. (b) | 21,400 | 132,975 | |||
SOUTH AFRICA — 5.9% | |||||
Anglo American Platinum, Ltd. | 6,209 | 162,629 |
Security Description | Shares | Value | |||
AngloGold Ashanti, Ltd. | 45,197 | 369,721 | |||
Aspen Pharmacare Holdings, Ltd. | 41,302 | 778,112 | |||
Barclays Africa Group, Ltd. | 79,388 | 926,678 | |||
Bid Corp., Ltd. | 35,679 | 716,665 | |||
Bidvest Group, Ltd. | 37,347 | 536,816 | |||
Capitec Bank Holdings, Ltd. | 4,401 | 278,710 | |||
Clicks Group, Ltd. | 26,868 | 385,253 | |||
Coronation Fund Managers, Ltd. | 23,914 | 101,736 | |||
Discovery, Ltd. | 39,780 | 428,093 | |||
Exxaro Resources, Ltd. | 28,445 | 260,869 | |||
FirstRand, Ltd. | 369,329 | 1,721,582 | |||
Fortress REIT, Ltd. Class A, | 117,705 | 132,250 | |||
Fortress REIT, Ltd. Class B (c) | 88,328 | 96,988 | |||
Foschini Group, Ltd. | 25,229 | 320,281 | |||
Gold Fields, Ltd. | 91,993 | 330,218 | |||
Growthpoint Properties, Ltd. REIT | 329,646 | 641,915 | |||
Hyprop Investments, Ltd. | 26,846 | 200,450 | |||
Imperial Holdings, Ltd. | 16,416 | 234,618 | |||
Investec, Ltd. | 31,713 | 222,260 | |||
Kumba Iron Ore, Ltd. (c) | 7,058 | 151,786 | |||
Liberty Holdings, Ltd. | 13,571 | 115,172 | |||
Life Healthcare Group Holdings, Ltd. (c) | 148,143 | 268,914 | |||
MMI Holdings, Ltd. | 104,070 | 134,166 | |||
Mondi, Ltd. | 13,315 | 360,983 | |||
Mr. Price Group, Ltd. | 26,777 | 442,029 | |||
MTN Group, Ltd. | 186,223 | 1,466,007 | |||
Naspers, Ltd. Class N | 47,921 | 12,184,564 | |||
Nedbank Group, Ltd. | 25,049 | 456,123 | |||
Netcare, Ltd. (c) | 132,663 | 267,334 | |||
Pick n Pay Stores, Ltd. | 40,987 | 223,621 | |||
Pioneer Foods Group, Ltd. (c) | 14,297 | 116,733 | |||
PSG Group, Ltd. | 16,406 | 258,785 | |||
Rand Merchant Investment Holdings, Ltd. | 75,328 | 205,821 | |||
Redefine Properties, Ltd. REIT | 595,143 | 455,489 | |||
Remgro, Ltd. | 56,387 | 840,441 | |||
Resilient REIT, Ltd. | 32,226 | 132,254 | |||
RMB Holdings, Ltd. | 77,669 | 429,478 | |||
Sanlam, Ltd. | 190,810 | 975,472 | |||
Sappi, Ltd. | 55,885 | 373,076 | |||
Sasol, Ltd. | 60,849 | 2,232,451 | |||
Shoprite Holdings, Ltd. | 47,228 | 760,162 | |||
SPAR Group, Ltd. | 21,046 | 284,713 | |||
Standard Bank Group, Ltd. | 142,031 | 1,988,253 | |||
Telkom SA SOC, Ltd. (c) | 29,624 | 105,993 | |||
Tiger Brands, Ltd. (c) | 18,163 | 439,159 | |||
Truworths International, Ltd. | 49,629 | 279,715 | |||
Vodacom Group, Ltd. (c) | 64,105 | 574,297 | |||
Woolworths Holdings, Ltd. | 111,309 | 450,312 | |||
35,819,147 | |||||
SOUTH KOREA — 13.7% | |||||
Amorepacific Corp. | 3,541 | 1,024,650 | |||
Amorepacific Corp. Preference Shares | 1,001 | 139,215 | |||
AMOREPACIFIC Group | 3,282 | 363,685 | |||
BGF retail Co., Ltd. | 940 | 164,468 |
Table of Contents
Security Description | Shares | Value | |||
BNK Financial Group, Inc. | 28,050 | 235,323 | |||
Celltrion Healthcare Co., Ltd. (a) | 3,798 | 377,926 | |||
Celltrion Pharm, Inc. (a) | 1,570 | 127,769 | |||
Celltrion, Inc. (a)(c) | 8,911 | 2,426,638 | |||
Cheil Worldwide, Inc. | 7,200 | 133,405 | |||
CJ CheilJedang Corp. | 915 | 289,401 | |||
CJ Corp. | 1,570 | 200,036 | |||
CJ E&M Corp. | 2,105 | 186,796 | |||
CJ Logistics Corp. (a) | 835 | 125,868 | |||
Coway Co., Ltd. | 5,141 | 399,471 | |||
Daelim Industrial Co., Ltd. | 3,061 | 210,109 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 19,772 | 104,138 | |||
DB Insurance Co., Ltd. | 5,387 | 285,180 | |||
DGB Financial Group, Inc. | 18,791 | 172,820 | |||
Dongsuh Cos., Inc. | 3,931 | 92,235 | |||
Doosan Bobcat, Inc. (a) | 3,911 | 112,294 | |||
Doosan Heavy Industries & Construction Co., Ltd. (a) | 6,241 | 87,637 | |||
E-MART, Inc. | 2,300 | 525,213 | |||
GS Engineering & Construction Corp. | 5,455 | 225,150 | |||
GS Holdings Corp. | 5,730 | 279,688 | |||
GS Retail Co., Ltd. | 3,214 | 126,743 | |||
Hana Financial Group, Inc. | 32,536 | 1,250,935 | |||
Hankook Tire Co., Ltd. | 8,210 | 310,131 | |||
Hanmi Pharm Co., Ltd. | 693 | 261,779 | |||
Hanmi Science Co., Ltd. | 1,359 | 78,772 | |||
Hanon Systems | 20,794 | 197,772 | |||
Hanssem Co., Ltd. | 1,170 | 110,229 | |||
Hanwha Chemical Corp. | 11,601 | 227,440 | |||
Hanwha Corp. | 5,038 | 142,619 | |||
Hanwha Life Insurance Co., Ltd. | 34,930 | 166,109 | |||
HDC Hyundai Development Co-Engineering & Construction (a) | 3,937 | 190,403 | |||
HLB, Inc. (a) | 3,266 | 285,720 | |||
Hotel Shilla Co., Ltd. | 3,430 | 380,085 | |||
Hyosung Corp. (e) | 2,422 | 291,205 | |||
Hyundai Construction Equipment Co., Ltd. (a) | 2 | 253 | |||
Hyundai Department Store Co., Ltd. | 1,567 | 162,394 | |||
Hyundai Engineering & Construction Co., Ltd. | 8,480 | 437,506 | |||
Hyundai Glovis Co., Ltd. | 2,110 | 218,668 | |||
Hyundai Heavy Industries Co., Ltd. (a) | 4,066 | 372,124 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (a) | 1,091 | 346,046 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 6,739 | 203,772 | |||
Hyundai Mobis Co., Ltd. | 7,483 | 1,423,415 | |||
Hyundai Motor Co. | 16,907 | 1,903,839 | |||
Hyundai Motor Co. Preference Shares (g) | 4,205 | 342,588 | |||
Hyundai Motor Co. Preference Shares (g) | 2,676 | 197,609 | |||
Hyundai Steel Co. | 8,821 | 416,316 |
Security Description | Shares | Value | |||
Industrial Bank of Korea | 26,627 | 367,928 | |||
ING Life Insurance Korea, Ltd. (a)(b) | 3,722 | 139,763 | |||
Kakao Corp. | 5,108 | 524,779 | |||
Kangwon Land, Inc. | 13,009 | 305,236 | |||
KB Financial Group, Inc. | 43,543 | 2,062,872 | |||
KCC Corp. | 649 | 191,002 | |||
KEPCO Plant Service & Engineering Co., Ltd. | 2,320 | 74,211 | |||
Kia Motors Corp. | 28,060 | 776,717 | |||
Korea Aerospace Industries, Ltd. (a) | 7,643 | 282,541 | |||
Korea Electric Power Corp. | 27,354 | 785,400 | |||
Korea Gas Corp. (a) | 3,203 | 184,507 | |||
Korea Investment Holdings Co., Ltd. | 4,289 | 323,647 | |||
Korea Zinc Co., Ltd. | 942 | 326,256 | |||
Korean Air Lines Co., Ltd. | 5,215 | 132,188 | |||
KT Corp. | 3,240 | 79,655 | |||
KT&G Corp. | 12,832 | 1,231,964 | |||
Kumho Petrochemical Co., Ltd. | 2,053 | 214,603 | |||
LG Chem, Ltd. | 5,037 | 1,507,258 | |||
LG Chem, Ltd. Preference Shares | 842 | 152,232 | |||
LG Corp. | 10,093 | 652,943 | |||
LG Display Co., Ltd. | 25,862 | 424,652 | |||
LG Electronics, Inc. | 11,340 | 844,522 | |||
LG Household & Health Care, Ltd. | 1,029 | 1,288,904 | |||
LG Household & Health Care, Ltd. Preference Shares | 234 | 153,271 | |||
LG Innotek Co., Ltd. | 1,539 | 199,538 | |||
Lotte Chemical Corp. | 1,821 | 568,603 | |||
Lotte Corp. (a) | 3,364 | 172,954 | |||
Lotte Shopping Co., Ltd. | 1,225 | 230,821 | |||
Medy-Tox, Inc. | 458 | 315,319 | |||
Mirae Asset Daewoo Co., Ltd. | 40,885 | 312,553 | |||
NAVER Corp. | 3,072 | 2,103,128 | |||
NCSoft Corp. | 1,929 | 642,135 | |||
Netmarble Corp. (b) | 2,779 | 380,258 | |||
NH Investment & Securities Co., Ltd. | 16,025 | 214,961 | |||
OCI Co., Ltd. | 1,866 | 172,452 | |||
Orion Corp/Republic of Korea | 2,431 | 325,006 | |||
Ottogi Corp. | 123 | 94,802 | |||
Pan Ocean Co., Ltd. (a) | 24,124 | 105,739 | |||
Pearl Abyss Corp. (a) | 577 | 116,487 | |||
POSCO | 8,594 | 2,536,946 | |||
Posco Daewoo Corp. | 4,371 | 83,929 | |||
S-1 Corp. | 1,915 | 166,328 | |||
Samsung Biologics Co., Ltd. (a)(b) | 1,757 | 657,397 | |||
Samsung C&T Corp. | 8,086 | 845,239 | |||
Samsung Card Co., Ltd. | 3,365 | 115,639 | |||
Samsung Electro-Mechanics Co., Ltd. | 5,956 | 793,599 | |||
Samsung Electronics Co., Ltd. Preference Shares | 93,970 | 3,174,491 | |||
Samsung Electronics Co., Ltd. | 525,778 | 22,007,666 | |||
Samsung Engineering Co., Ltd. (a) | 16,475 | 231,345 |
Table of Contents
Security Description | Shares | Value | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,277 | 776,248 | |||
Samsung Heavy Industries Co., Ltd. (a) | 44,401 | 284,453 | |||
Samsung Life Insurance Co., Ltd. | 7,447 | 657,501 | |||
Samsung SDI Co., Ltd. | 6,048 | 1,161,303 | |||
Samsung SDS Co., Ltd. | 3,704 | 666,354 | |||
Samsung Securities Co., Ltd. | 6,529 | 203,574 | |||
Shinhan Financial Group Co., Ltd. | 46,810 | 1,818,639 | |||
Shinsegae, Inc. | 819 | 295,046 | |||
SillaJen, Inc. (a) | 5,396 | 354,892 | |||
SK Holdings Co., Ltd. (a) | 3,374 | 784,088 | |||
SK Hynix, Inc. | 63,686 | 4,897,165 | |||
SK Innovation Co., Ltd. | 7,114 | 1,289,393 | |||
SK Telecom Co., Ltd. | 2,136 | 446,557 | |||
S-Oil Corp. | 5,038 | 494,985 | |||
ViroMed Co., Ltd. (a) | 1,429 | 302,084 | |||
Woori Bank | 50,330 | 736,096 | |||
Yuhan Corp. | 980 | 191,252 | |||
83,287,603 | |||||
TAIWAN — 11.0% | |||||
Acer, Inc. (a) | 326,000 | 266,245 | |||
Advantech Co., Ltd. | 39,098 | 257,759 | |||
Airtac International Group | 12,000 | 170,622 | |||
ASE Technology Holding Co., Ltd. | 372,307 | 874,336 | |||
Asia Cement Corp. | 256,000 | 281,286 | |||
Asustek Computer, Inc. | 75,000 | 685,094 | |||
AU Optronics Corp. | 958,000 | 405,340 | |||
Catcher Technology Co., Ltd. | 70,000 | 782,918 | |||
Cathay Financial Holding Co., Ltd. | 896,000 | 1,581,081 | |||
Chailease Holding Co., Ltd. | 120,000 | 393,591 | |||
Chang Hwa Commercial Bank, Ltd. | 539,688 | 313,314 | |||
Cheng Shin Rubber Industry Co., Ltd. | 222,000 | 333,854 | |||
Chicony Electronics Co., Ltd. | 62,476 | 140,778 | |||
China Airlines, Ltd. (a) | 279,000 | 87,117 | |||
China Development Financial Holding Corp. | 1,508,000 | 551,493 | |||
China Life Insurance Co., Ltd. | 276,608 | 291,228 | |||
China Steel Corp. | 1,385,000 | 1,076,619 | |||
Chunghwa Telecom Co., Ltd. | 417,000 | 1,504,502 | |||
Compal Electronics, Inc. | 480,000 | 302,278 | |||
CTBC Financial Holding Co., Ltd. | 1,928,040 | 1,388,080 | |||
Delta Electronics, Inc. | 229,000 | 822,458 | |||
E.Sun Financial Holding Co., Ltd. | 1,009,660 | 703,717 | |||
Eclat Textile Co., Ltd. | 19,550 | 232,444 | |||
Eva Airways Corp. | 232,888 | 112,669 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 202,726 | 86,440 | |||
Far Eastern New Century Corp. | 358,000 | 339,348 | |||
Far EasTone Telecommunications Co., Ltd. | 176,000 | 454,886 | |||
Feng TAY Enterprise Co., Ltd. | 37,880 | 190,093 | |||
First Financial Holding Co., Ltd. | 1,079,377 | 729,297 | |||
Formosa Chemicals & Fibre Corp. | 386,000 | 1,538,252 |
Security Description | Shares | Value | |||
Formosa Petrochemical Corp. | 131,000 | 526,346 | |||
Formosa Plastics Corp. | 489,000 | 1,804,369 | |||
Formosa Taffeta Co., Ltd. | 88,000 | 96,259 | |||
Foxconn Technology Co., Ltd. | 99,830 | 244,266 | |||
Fubon Financial Holding Co., Ltd. | 731,000 | 1,225,187 | |||
General Interface Solution Holding, Ltd. | 18,000 | 116,897 | |||
Giant Manufacturing Co., Ltd. | 33,000 | 139,626 | |||
Globalwafers Co., Ltd. | 24,000 | 399,101 | |||
Highwealth Construction Corp. | 93,000 | 138,027 | |||
Hiwin Technologies Corp. | 23,807 | 281,107 | |||
Hon Hai Precision Industry Co., Ltd. | 1,800,000 | 4,912,016 | |||
Hotai Motor Co., Ltd. | 30,000 | 264,198 | |||
HTC Corp. (a) | 75,000 | 139,971 | |||
Hua Nan Financial Holdings Co., Ltd. | 789,813 | 459,819 | |||
Innolux Corp. | 989,000 | 355,201 | |||
Inventec Corp. | 275,000 | 216,024 | |||
Largan Precision Co., Ltd. | 11,000 | 1,619,955 | |||
Lite-On Technology Corp. | 236,958 | 286,788 | |||
Macronix International (a) | 201,000 | 286,121 | |||
MediaTek, Inc. | 165,000 | 1,623,563 | |||
Mega Financial Holding Co., Ltd. | 1,198,000 | 1,056,995 | |||
Micro-Star International Co., Ltd. | 75,000 | 231,727 | |||
Nan Ya Plastics Corp. | 566,000 | 1,618,814 | |||
Nanya Technology Corp. | 113,000 | 308,365 | |||
Nien Made Enterprise Co., Ltd. | 16,000 | 136,707 | |||
Novatek Microelectronics Corp. | 66,000 | 297,653 | |||
Pegatron Corp. | 216,000 | 444,207 | |||
Phison Electronics Corp. | 17,000 | 134,379 | |||
Pou Chen Corp. | 240,000 | 278,662 | |||
Powertech Technology, Inc. | 78,000 | 226,413 | |||
President Chain Store Corp. | 63,000 | 713,925 | |||
Quanta Computer, Inc. | 297,000 | 521,164 | |||
Realtek Semiconductor Corp. | 52,000 | 189,317 | |||
Ruentex Development Co., Ltd. (a) | 106,400 | 122,842 | |||
Ruentex Industries, Ltd. (a) | 64,000 | 130,567 | |||
Shin Kong Financial Holding Co., Ltd. | 930,000 | 358,414 | |||
SinoPac Financial Holdings Co., Ltd. | 1,193,586 | 430,636 | |||
Standard Foods Corp. | 41,512 | 84,008 | |||
Synnex Technology International Corp. | 156,700 | 236,424 | |||
TaiMed Biologics, Inc. (a) | 19,000 | 194,434 | |||
Taishin Financial Holding Co., Ltd. | 1,043,892 | 493,040 | |||
Taiwan Business Bank | 388,516 | 119,912 | |||
Taiwan Cement Corp. | 423,000 | 587,567 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 947,445 | 554,697 | |||
Taiwan High Speed Rail Corp. | 187,000 | 146,590 | |||
Taiwan Mobile Co., Ltd. | 177,000 | 641,504 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,690,000 | 19,101,793 | |||
Teco Electric and Machinery Co., Ltd. | 209,000 | 156,981 |
Table of Contents
Security Description | Shares | Value | |||
Uni-President Enterprises Corp. | 531,000 | 1,348,030 | |||
United Microelectronics Corp. | 1,319,000 | 733,295 | |||
Vanguard International Semiconductor Corp. | 100,000 | 228,939 | |||
Walsin Technology Corp. | 33,000 | 451,351 | |||
Win Semiconductors Corp. | 38,000 | 273,579 | |||
Winbond Electronics Corp. | 326,000 | 208,505 | |||
Wistron Corp. | 278,882 | 207,182 | |||
WPG Holdings, Ltd. | 189,000 | 267,799 | |||
Yageo Corp. (a) | 23,000 | 848,681 | |||
Yuanta Financial Holding Co., Ltd. | 1,108,000 | 505,148 | |||
Zhen Ding Technology Holding, Ltd. | 47,000 | 103,901 | |||
66,726,127 | |||||
THAILAND — 2.1% | |||||
Advanced Info Service PCL (e) | 114,400 | 638,817 | |||
Airports of Thailand PCL (e) | 456,700 | 868,461 | |||
Bangkok Bank PCL | 12,400 | 74,295 | |||
Bangkok Bank PCL NVDR | 16,800 | 99,137 | |||
Bangkok Dusit Medical Services PCL (e) | 418,500 | 315,801 | |||
Bangkok Expressway & Metro PCL (e) | 831,299 | 186,936 | |||
Banpu PCL (e) | 233,700 | 137,554 | |||
Berli Jucker PCL (e) | 135,300 | 206,237 | |||
BTS Group Holdings PCL (e) | 664,284 | 176,447 | |||
Bumrungrad Hospital PCL (e) | 39,000 | 196,001 | |||
Central Pattana PCL (e) | 150,700 | 317,275 | |||
Charoen Pokphand Foods PCL (e) | 325,100 | 237,471 | |||
Charoen Pokphand Foods PCL NVDR | 62,600 | 45,726 | |||
CP ALL PCL NVDR | 15,900 | 35,275 | |||
CP ALL PCL (e) | 537,000 | 1,191,352 | |||
Delta Electronics Thailand PCL (e) | 55,300 | 97,647 | |||
Electricity Generating PCL (e) | 14,000 | 94,657 | |||
Energy Absolute PCL (e) | 117,800 | 116,449 | |||
Energy Absolute PCL NVDR | 32,000 | 31,633 | |||
Glow Energy PCL (e) | 57,400 | 164,161 | |||
Home Product Center PCL (e) | 437,600 | 176,995 | |||
Indorama Ventures PCL (e) | 175,400 | 289,863 | |||
IRPC PCL (e) | 1,129,000 | 197,652 | |||
Kasikornbank PCL | 124,300 | 750,377 | |||
Kasikornbank PCL NVDR | 76,500 | 447,963 | |||
Krung Thai Bank PCL (e) | 390,800 | 196,992 | |||
Land & Houses PCL (e) | 319,053 | 108,823 | |||
Minor International PCL (e) | 253,800 | 248,974 | |||
PTT Exploration & Production PCL (e) | 152,900 | 648,429 | |||
PTT Global Chemical PCL (e) | 239,700 | 528,165 | |||
PTT PCL NVDR | 30,100 | 43,610 | |||
PTT PCL (e) | 1,129,600 | 1,636,607 | |||
Robinson PCL (e) | 56,000 | 94,657 | |||
Siam Cement PCL | 39,979 | 497,173 | |||
Siam Commercial Bank PCL (e) | 195,200 | 698,195 | |||
Thai Oil PCL (e) | 124,100 | 291,240 |
Security Description | Shares | Value | |||
Thai Union Group PCL Class F (e) | 212,900 | 101,534 | |||
TMB Bank PCL (e) | 1,388,800 | 96,415 | |||
True Corp. PCL (e) | 1,106,037 | 176,939 | |||
12,461,935 | |||||
TURKEY — 0.7% | |||||
Akbank Turk A/S | 248,968 | 408,679 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 21,564 | 111,087 | |||
Arcelik A/S | 27,503 | 91,552 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 39,269 | 198,351 | |||
BIM Birlesik Magazalar A/S | 23,408 | 343,108 | |||
Coca-Cola Icecek A/S | 8,063 | 59,700 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 211,953 | 93,920 | |||
Eregli Demir ve Celik Fabrikalari TAS | 154,186 | 343,294 | |||
Ford Otomotiv Sanayi A/S | 7,319 | 97,934 | |||
Haci Omer Sabanci Holding A/S | 99,795 | 192,349 | |||
KOC Holding A/S | 83,787 | 260,074 | |||
Petkim Petrokimya Holding A/S | 71,953 | 76,018 | |||
TAV Havalimanlari Holding A/S | 17,198 | 84,240 | |||
Tofas Turk Otomobil Fabrikasi A/S | 14,483 | 76,063 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 13,814 | 325,660 | |||
Turk Hava Yollari AO (a) | 61,347 | 181,314 | |||
Turkcell Iletisim Hizmetleri A/S | 121,177 | 321,908 | |||
Turkiye Garanti Bankasi A/S | 258,051 | 472,031 | |||
Turkiye Halk Bankasi A/S | 67,517 | 109,060 | |||
Turkiye Is Bankasi A/S Class C | 170,790 | 212,499 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 88,491 | 81,707 | |||
Turkiye Vakiflar Bankasi TAO | 82,683 | 88,617 | |||
Ulker Biskuvi Sanayi A/S (a) | 18,155 | 71,452 | |||
Yapi ve Kredi Bankasi A/S (a) | 188,150 | 101,854 | |||
4,402,471 | |||||
UNITED ARAB EMIRATES — 0.6% | |||||
Abu Dhabi Commercial Bank PJSC | 230,743 | 443,501 | |||
Aldar Properties PJSC | 436,347 | 239,963 | |||
DAMAC Properties Dubai Co. PJSC | 197,091 | 109,997 | |||
DP World, Ltd. | 18,332 | 421,636 | |||
Dubai Investments PJSC | 243,449 | 125,928 | |||
Dubai Islamic Bank PJSC | 178,821 | 237,088 | |||
Emaar Development PJSC (a) | 81,737 | 112,598 | |||
Emaar Malls PJSC | 228,012 | 132,841 | |||
Emaar Properties PJSC | 385,901 | 516,895 | |||
Emirates Telecommunications Group Co. PJSC | 185,134 | 813,992 | |||
First Abu Dhabi Bank PJSC | 157,096 | 519,640 | |||
3,674,079 |
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Security Description | Shares | Value | |||
UNITED KINGDOM — 0.2% | |||||
Old Mutual, Ltd. (a) | 530,940 | 1,076,503 | |||
TOTAL COMMON STOCKS (Cost $463,686,305) | 570,819,906 |
WARRANTS — 0.3% | |||
SWITZERLAND — 0.3% | |||
UBS AG (expiring 5/31/19) (a) (Cost $1,999,908) | 2,012 | 1,801,884 | |
SHORT-TERM INVESTMENTS — 5.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (h) (i) | 25,904,922 | $ 25,904,922 | |
State Street Navigator Securities Lending Government Money Market Portfolio (h) (j) | 6,341,472 | 6,341,472 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $32,246,394) | 32,246,394 | ||
TOTAL INVESTMENTS — 99.8% (Cost $497,932,607) | 604,868,184 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 1,373,339 | ||
NET ASSETS — 100.0% | $ 606,241,523 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.0% of net assets as of June 30, 2018, 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, 2018. |
(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, 2018, total aggregate fair value of the security is $0, representing 0.0% of the Fund's net assets. |
(e) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of June 30, 2018, total aggregate fair value of securities is $10,749,634 representing 1.8% of net assets. |
(f) | Amount is less than 0.05% of net assets. |
(g) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(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, 2018 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(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 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets | 555 | 09/21/2018 | $30,852,315 | $29,506,575 | $(1,345,740) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Brazil | $ 33,724,453 | $ — | $— | $ 33,724,453 | ||||
Chile | 6,478,868 | — | — | 6,478,868 | ||||
China | 178,634,754 | — | 0(a) | 178,634,754 | ||||
Colombia | 2,724,925 | — | — | 2,724,925 | ||||
Czech Republic | 1,031,894 | — | — | 1,031,894 | ||||
Egypt | 761,454 | — | — | 761,454 | ||||
Greece | 1,809,091 | 21,683 | — | 1,830,774 | ||||
Hong Kong | 5,878,095 | — | — | 5,878,095 | ||||
Hungary | 1,543,508 | — | — | 1,543,508 | ||||
India | 49,375,249 | — | — | 49,375,249 |
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Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Indonesia | $ 11,000,896 | $ — | $— | $ 11,000,896 | ||||
Luxembourg | 272,182 | — | — | 272,182 | ||||
Malaysia | 13,258,318 | — | — | 13,258,318 | ||||
Mexico | 16,901,120 | — | — | 16,901,120 | ||||
Pakistan | 398,006 | — | — | 398,006 | ||||
Peru | 2,359,800 | — | — | 2,359,800 | ||||
Philippines | 5,416,418 | — | — | 5,416,418 | ||||
Poland | 6,374,981 | — | — | 6,374,981 | ||||
Qatar | 4,695,233 | — | — | 4,695,233 | ||||
Romania | 374,861 | — | — | 374,861 | ||||
Russia | 20,203,277 | — | — | 20,203,277 | ||||
Singapore | 132,975 | — | — | 132,975 | ||||
South Africa | 35,819,147 | — | — | 35,819,147 | ||||
South Korea | 82,996,398 | 291,205 | — | 83,287,603 | ||||
Taiwan | 66,726,127 | — | — | 66,726,127 | ||||
Thailand | 703,344 | 11,758,591 | — | 12,461,935 | ||||
Turkey | 4,402,471 | — | — | 4,402,471 | ||||
United Arab Emirates | 3,674,079 | — | — | 3,674,079 | ||||
United Kingdom | 1,076,503 | — | — | 1,076,503 | ||||
Warrants | ||||||||
Switzerland | 1,801,884 | — | — | 1,801,884 | ||||
Short-Term Investments | 32,246,394 | — | — | 32,246,394 | ||||
TOTAL INVESTMENTS | $592,796,705 | $12,071,479 | $— | $604,868,184 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (1,345,740) | — | — | (1,345,740) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (1,345,740) | $ — | $— | $ (1,345,740) |
(a) | Fund held a Level 3 security that was valued at $0 at June 30, 2018. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 16,356,427 | $16,356,427 | $113,491,939 | $103,943,444 | $— | $— | 25,904,922 | $25,904,922 | $132,757 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 5,074,039 | 5,074,039 | 29,762,739 | 28,495,306 | — | — | 6,341,472 | 6,341,472 | 34,613 | — | |||||||||
Total | $21,430,466 | $143,254,678 | $132,438,750 | $— | $— | $32,246,394 | $167,370 | $— |
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ASSETS | |
Investments in unaffiliated issuers, at value* | $572,621,790 |
Investments in affiliated issuers, at value | 32,246,394 |
Total Investments | 604,868,184 |
Foreign currency, at value | 3,118,026 |
Cash at broker | 3,300,542 |
Cash | 184,292 |
Receivable for investments sold | 526 |
Receivable for fund shares sold | 3,041,049 |
Dividends receivable — unaffiliated issuers | 2,126,583 |
Dividends receivable — affiliated issuers | 23,023 |
Securities lending income receivable — unaffiliated issuers | 13,835 |
Receivable from Adviser | 88,640 |
Receivable for foreign taxes recoverable | 24,753 |
TOTAL ASSETS | 616,789,453 |
LIABILITIES | |
Payable upon return of securities loaned | 6,341,472 |
Payable for investments purchased | 1,818,511 |
Payable for fund shares repurchased | 176,952 |
Payable to broker – variation margin on open futures contracts | 1,344,145 |
Deferred foreign taxes payable | 600,057 |
Advisory fee payable | 70,025 |
Custodian fees payable | 134,335 |
Administration fees payable | 25,011 |
Transfer agent fees payable | 933 |
Registration and filing fees payable | 5,708 |
Professional fees payable | 23,397 |
Printing and postage fees payable | 7,367 |
Accrued expenses and other liabilities | 17 |
TOTAL LIABILITIES | 10,547,930 |
NET ASSETS | $606,241,523 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $492,759,758 |
Undistributed (distribution in excess of) net investment income (loss) | 5,027,483 |
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts | 3,480,136 |
Net unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers** | 106,335,520 |
Foreign currency translations | (15,634) |
Futures contracts | (1,345,740) |
NET ASSETS | $606,241,523 |
Class K | |
Net Assets | $606,241,523 |
Shares Outstanding | 45,015,490 |
Net asset value, offering and redemption price per share | $ 13.47 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $465,686,213 |
Investments in affiliated issuers | 32,246,394 |
Total cost of investments | $497,932,607 |
Foreign currency, at cost | $ 3,134,933 |
* Includes investments in securities on loan, at value | $ 11,431,051 |
** Includes deferred foreign taxes | $ 600,057 |
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INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 7,155,069 |
Dividend income — affiliated issuers | 132,757 |
Unaffiliated securities lending income | 35,562 |
Affiliated securities lending income | 34,613 |
Foreign taxes withheld | (752,015) |
TOTAL INVESTMENT INCOME (LOSS) | 6,605,986 |
EXPENSES | |
Advisory fee | 436,090 |
Administration fees | 155,746 |
Custodian fees | 343,896 |
Trustees’ fees and expenses | 14,245 |
Transfer agent fees | 7,087 |
Registration fees | 17,047 |
Professional fees | 28,546 |
Printing and postage fees | 8,915 |
Insurance expense | 105 |
Miscellaneous expenses | 60,523 |
TOTAL EXPENSES | 1,072,200 |
Expenses waived/reimbursed by the Adviser | (542,557) |
NET EXPENSES | 529,643 |
NET INVESTMENT INCOME (LOSS) | 6,076,343 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers* | 3,636,308 |
Foreign currency transactions | (157,943) |
Futures contracts | 87,372 |
Net realized gain (loss) | 3,565,737 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | (50,249,119) |
Foreign currency translations | (35,352) |
Futures contracts | (2,199,721) |
Net change in unrealized appreciation/depreciation | (52,484,192) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (48,918,455) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(42,842,112) |
* Includes foreign capital gain taxes | $ (537) |
** Includes foreign deferred taxes | $ 40,224 |
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Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 6,076,343 | $ 11,099,254 | |
Net realized gain (loss) | 3,565,737 | 7,971,078 | |
Net change in unrealized appreciation/depreciation | (52,484,192) | 132,396,540 | |
Net increase (decrease) in net assets resulting from operations | (42,842,112) | 151,466,872 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: Class K | |||
Net investment income | — | (12,150,448) | |
Net realized gains | — | (2,816,731) | |
Total distributions to shareholders | — | (14,967,179) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 151,949,705 | 201,363,121 | |
Reinvestment of distributions | — | 14,967,180 | |
Cost of shares redeemed | (110,812,645) | (119,691,600) | |
Net increase (decrease) in net assets from beneficial interest transactions | 41,137,060 | 96,638,701 | |
Net increase (decrease) in net assets during the period | (1,705,052) | 233,138,394 | |
Net assets at beginning of period | 607,946,575 | 374,808,181 | |
NET ASSETS AT END OF PERIOD | $ 606,241,523 | $ 607,946,575 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 5,027,483 | $ (1,048,860) | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 10,533,328 | 15,292,001 | |
Reinvestment of distributions | — | 1,075,229 | |
Shares redeemed | (7,565,635) | (8,963,314) | |
Net increase (decrease) | 2,967,693 | 7,403,916 |
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Class K | |||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 12/21/15* - 12/31/15 | ||||
Net asset value, beginning of period | $ 14.46 | $ 10.82 | $ 9.99 | $ 10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.16 | 0.29 | 0.21 | 0.02 | |||
Net realized and unrealized gain (loss) | (1.15) | 3.72 | 0.87 | (0.01) | |||
Total from investment operations | (0.99) | 4.01 | 1.08 | 0.01 | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.30) | (0.22) | (0.02) | |||
Net realized gains | — | (0.07) | (0.03) | — | |||
Total distributions | — | (0.37) | (0.25) | (0.02) | |||
Net asset value, end of period | $ 13.47 | $ 14.46 | $ 10.82 | $ 9.99 | |||
Total return (b) | (6.85)% | 37.19% | 10.81% | 0.14% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $606,242 | $607,947 | $374,808 | $165,807 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.34%(c) | 0.34% | 0.56% | 0.83%(c) | |||
Net expenses | 0.17%(c) | 0.17% | 0.18% | 0.17%(c) | |||
Net investment income (loss) | 2.19%(c) | 2.23% | 1.98% | 8.03%(c) | |||
Portfolio turnover rate | 6%(d) | 6% | 14% | 0%(d)(e) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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 shown represents less than 0.5%. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Emerging Markets Equity Index Fund | Class A Class I Class K | Not Commenced Not Commenced December 21, 2015 | Diversified Diversified Diversified |
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Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Emerging Markets Equity Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(1,344,145) | $— | $(1,344,145) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $87,372 | $— | $87,372 |
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 | $— | $— | $— | $(2,199,721) | $— | $(2,199,721) |
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Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $62,643,531 | $35,279,699 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $492,458,479 | $138,278,146 | $27,214,181 | $111,063,965 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 11,431,051 | $ 6,341,472 | $ 5,531,730 | $ 11,873,202 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
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Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Emerging Markets Equity Index Fund | Common Stocks | $6,341,472 | $— | $— | $— | $6,341,472 | $6,341,472 |
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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 Emerging Markets Equity Index Fund | 0.17% | $931.50 | $0.81 | $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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• | 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-year period ended December 31, 2017, 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 fee information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund. |
• | 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”). |
• | 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. |
• | 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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• | 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; |
• | 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 Agreements 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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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 |
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1 | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
6 | |
9 | |
11 | |
13 | |
15 | |
17 | |
21 | |
26 | |
34 |
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% of Net Assets | |||
Common Stocks | 95.3% | ||
Rights | 0.1 | ||
Short-Term Investment | 4.7 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 22.2% | ||
Industrials | 16.3 | ||
Consumer Discretionary | 11.4 | ||
Health Care | 11.1 | ||
Energy | 9.1 | ||
Materials | 8.5 | ||
Consumer Staples | 5.8 | ||
Information Technology | 5.5 | ||
Telecommunication Services | 5.5 | ||
Short-Term Investment | 4.7 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Common Stocks | 95.5% | ||
Rights | 0.1 | ||
Short-Term Investment | 4.7 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 22.3% | ||
Industrials | 20.3 | ||
Energy | 12.0 | ||
Health Care | 11.9 | ||
Materials | 8.6 | ||
Consumer Discretionary | 8.3 | ||
Consumer Staples | 5.9 | ||
Information Technology | 3.3 | ||
Telecommunication Services | 3.0 | ||
Short-Term Investment | 4.7 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Common Stocks | 100.7% | ||
Rights | 0.1 | ||
Short-Term Investment | 0.5 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 29.7% | ||
Industrials | 24.9 | ||
Materials | 12.8 | ||
Energy | 10.4 | ||
Health Care | 9.8 | ||
Consumer Discretionary | 6.6 | ||
Consumer Staples | 3.3 | ||
Information Technology | 3.3 | ||
Short-Term Investment | 0.5 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
Table of Contents
% of Net Assets | |||
Common Stocks | 96.8% | ||
Short-Term Investment | 3.4 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 22.1% | ||
Industrials | 19.1 | ||
Information Technology | 17.2 | ||
Consumer Staples | 9.3 | ||
Telecommunication Services | 7.7 | ||
Energy | 6.9 | ||
Health Care | 6.7 | ||
Consumer Discretionary | 5.7 | ||
Materials | 2.1 | ||
Short-Term Investment | 3.4 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
Table of Contents
% of Net Assets | |||
Common Stocks | 92.4% | ||
Short-Term Investment | 8.9 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Information Technology | 14.6% | ||
Health Care | 13.7 | ||
Financials | 13.6 | ||
Energy | 12.8 | ||
Materials | 12.3 | ||
Consumer Discretionary | 12.1 | ||
Industrials | 7.1 | ||
Consumer Staples | 3.2 | ||
Utilities | 3.0 | ||
Short-Term Investment | 8.9 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 95.3% | |||||
AUSTRALIA — 3.1% | |||||
Woodside Petroleum, Ltd. | 2,725 | 71,394 | |||
CANADA — 2.8% | |||||
Goldcorp, Inc. | 4,752 | 65,205 | |||
CHINA — 5.3% | |||||
China Mobile, Ltd. | 6,500 | 57,747 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 13,500 | 64,183 | |||
121,930 | |||||
FRANCE — 5.8% | |||||
Publicis Groupe SA | 928 | 63,861 | |||
Vallourec SA (a) | 11,676 | 69,225 | |||
133,086 | |||||
GERMANY — 2.6% | |||||
Deutsche Bank AG | 5,505 | 59,273 | |||
HONG KONG — 2.6% | |||||
WH Group, Ltd. | 75,000 | 61,086 | |||
HUNGARY — 2.4% | |||||
Richter Gedeon Nyrt | 3,090 | 56,452 | |||
JAPAN — 11.1% | |||||
Alfresa Holdings Corp. | 3,000 | 70,555 | |||
KDDI Corp. | 2,500 | 68,411 | |||
Sony Financial Holdings, Inc. | 3,300 | 63,041 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 1,400 | 55,525 | |||
257,532 | |||||
NETHERLANDS — 3.1% | |||||
Boskalis Westminster | 2,473 | 72,039 | |||
SOUTH KOREA — 10.6% | |||||
Hankook Tire Co., Ltd. | 1,571 | 59,344 | |||
KT&G Corp. | 763 | 73,254 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 247 | 58,509 | |||
Samsung Life Insurance Co., Ltd. | 599 | 52,886 | |||
243,993 | |||||
SPAIN — 5.1% | |||||
ACS Actividades de Construccion y Servicios SA | 1,611 | 65,268 | |||
Siemens Gamesa Renewable Energy SA | 3,908 | 52,495 | |||
117,763 | |||||
SWITZERLAND — 4.8% | |||||
ABB, Ltd. | 2,622 | 57,328 |
Security Description | Shares | Value | |||
Credit Suisse Group AG | 3,636 | 54,744 | |||
112,072 | |||||
UNITED KINGDOM — 2.5% | |||||
Barclays PLC | 23,255 | 58,028 | |||
UNITED STATES — 33.5% | |||||
Affiliated Managers Group, Inc. | 419 | 62,293 | |||
Arconic, Inc. | 3,757 | 63,907 | |||
Eli Lilly & Co. | 788 | 67,240 | |||
EQT Corp. | 1,258 | 69,416 | |||
Hanesbrands, Inc. | 3,060 | 67,381 | |||
McKesson Corp. | 469 | 62,565 | |||
MetLife, Inc. | 1,115 | 48,614 | |||
Mosaic Co. | 2,548 | 71,471 | |||
NCR Corp. (a) | 2,231 | 66,885 | |||
Oracle Corp. | 1,376 | 60,627 | |||
Owens-Illinois, Inc. (a) | 3,613 | 60,734 | |||
Skechers U.S.A., Inc. Class A (a) | 2,410 | 72,324 | |||
773,457 | |||||
TOTAL COMMON STOCKS (Cost $2,207,218) | 2,203,310 |
RIGHTS — 0.1% | |||
SPAIN — 0.1% | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (a) (Cost $1,724) | 1,583 | 1,630 | |
SHORT-TERM INVESTMENT — 4.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) (Cost $108,640) | 108,640 | $ 108,640 | |
TOTAL INVESTMENTS — 100.1% (Cost $2,317,582) | 2,313,580 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (2,114) | ||
NET ASSETS — 100.0% | $ 2,311,466 |
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Credit Suisse International | JPY 1,746,000 | USD 16,032 | 08/10/2018 | $ 229 | ||||
Credit Suisse International | CHF 15,000 | USD 15,142 | 08/10/2018 | (13) |
Table of Contents
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
JP Morgan Chase Bank, N.A. | CHF 15,000 | USD 15,142 | 08/10/2018 | $ (12) | ||||
JP Morgan Chase Bank, N.A. | EUR 27,000 | USD 32,555 | 08/10/2018 | 944 | ||||
JP Morgan Chase Bank, N.A. | JPY 1,746,000 | USD 16,031 | 08/10/2018 | 228 | ||||
Royal Bank of Canada | CHF 15,000 | USD 15,142 | 08/10/2018 | (13) | ||||
Royal Bank of Canada | JPY 1,746,000 | USD 16,031 | 08/10/2018 | 228 | ||||
Standard Chartered Bank | KRW 254,440,000 | USD 235,862 | 08/10/2018 | 7,108 | ||||
UBS AG | EUR 27,000 | USD 32,558 | 08/10/2018 | 947 | ||||
Westpac Banking Corp. | EUR 27,000 | USD 32,555 | 08/10/2018 | 944 | ||||
Total | $10,590 | |||||||
During the period ended June 30, 2018, average notional value related to foreign currency exchange contracts was $370,871 or 16% of net assets. |
CHF | =Swiss Franc |
EUR | =Euro |
JPY | =Japanese Yen |
KRW | =South Korean Won |
USD | =U.S. Dollar |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 71,394 | $ — | $— | $ 71,394 | ||||
Canada | 65,205 | — | — | 65,205 | ||||
China | 121,930 | — | — | 121,930 | ||||
France | 133,086 | — | — | 133,086 | ||||
Germany | 59,273 | — | — | 59,273 | ||||
Hong Kong | 61,086 | — | — | 61,086 | ||||
Hungary | 56,452 | — | — | 56,452 | ||||
Japan | 257,532 | — | — | 257,532 | ||||
Netherlands | 72,039 | — | — | 72,039 | ||||
South Korea | 243,993 | — | — | 243,993 | ||||
Spain | 117,763 | — | — | 117,763 | ||||
Switzerland | 112,072 | — | — | 112,072 | ||||
United Kingdom | 58,028 | — | — | 58,028 | ||||
United States | 773,457 | — | — | 773,457 | ||||
Rights | ||||||||
Spain | 1,630 | — | — | 1,630 | ||||
Short-Term Investment | 108,640 | — | — | 108,640 | ||||
TOTAL INVESTMENTS | $2,313,580 | $ — | $— | $2,313,580 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts(a) | — | 10,628 | — | 10,628 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $10,628 | $— | $ 10,628 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $2,313,580 | $10,590 | $— | $2,324,170 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts(a) | — | (38) | — | (38) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (38) | $— | $ (38) |
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 54,742 | $54,742 | $497,272 | $443,374 | $— | $— | 108,640 | $108,640 | $867 | $— |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 95.5% | |||||
AUSTRALIA — 3.3% | |||||
Woodside Petroleum, Ltd. | 2,994 | 78,442 | |||
CANADA — 2.9% | |||||
Goldcorp, Inc. | 5,062 | 69,458 | |||
CHINA — 11.6% | |||||
China Construction Bank Corp. Class H | 75,000 | 69,308 | |||
PetroChina Co., Ltd. Class H | 94,000 | 71,529 | |||
Shanghai Industrial Holdings, Ltd. | 30,000 | 69,900 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 14,400 | 68,463 | |||
279,200 | |||||
FRANCE — 14.9% | |||||
Nexans SA | 2,119 | 73,058 | |||
Publicis Groupe SA | 1,016 | 69,916 | |||
Sanofi | 930 | 74,542 | |||
Societe Generale SA | 1,737 | 73,243 | |||
Vallourec SA (a) | 10,996 | 65,193 | |||
355,952 | |||||
GERMANY — 5.6% | |||||
Deutsche Bank AG | 5,671 | 61,060 | |||
HeidelbergCement AG | 859 | 72,291 | |||
133,351 | |||||
HONG KONG — 3.0% | |||||
WH Group, Ltd. | 88,500 | 72,082 | |||
HUNGARY — 2.8% | |||||
Richter Gedeon Nyrt | 3,724 | 68,035 | |||
ISRAEL — 3.1% | |||||
Teva Pharmaceutical Industries, Ltd. ADR | 3,014 | 73,300 | |||
ITALY — 5.6% | |||||
Assicurazioni Generali SpA | 3,751 | 62,933 | |||
Eni SpA | 3,848 | 71,462 | |||
134,395 | |||||
JAPAN — 11.5% | |||||
Alfresa Holdings Corp. | 3,000 | 70,555 | |||
KDDI Corp. | 2,600 | 71,147 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,600 | 62,200 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 1,800 | 71,389 | |||
275,291 | |||||
NETHERLANDS — 3.2% | |||||
Boskalis Westminster | 2,663 | 77,574 | |||
NORWAY — 2.7% | |||||
Yara International ASA | 1,580 | 65,523 |
Security Description | Shares | Value | |||
SOUTH KOREA — 8.1% | |||||
Hankook Tire Co., Ltd. | 1,769 | 66,823 | |||
Hyundai Motor Co. | 550 | 61,934 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 278 | 65,852 | |||
194,609 | |||||
SPAIN — 5.4% | |||||
ACS Actividades de Construccion y Servicios SA | 1,755 | 71,102 | |||
Siemens Gamesa Renewable Energy SA | 4,425 | 59,440 | |||
130,542 | |||||
SWITZERLAND — 8.5% | |||||
ABB, Ltd. | 3,007 | 65,745 | |||
Aryzta AG (a) | 4,613 | 69,199 | |||
Credit Suisse Group AG | 4,594 | 69,168 | |||
204,112 | |||||
TAIWAN — 3.3% | |||||
Catcher Technology Co., Ltd. | 7,000 | 78,292 | |||
TOTAL COMMON STOCKS (Cost $2,234,734) | 2,290,158 |
RIGHTS — 0.1% | |||
SPAIN — 0.1% | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (a) (Cost $1,891) | 1,736 | 1,788 | |
SHORT-TERM INVESTMENT — 4.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) (Cost $112,350) | 112,350 | $ 112,350 | |
TOTAL INVESTMENTS — 100.3% (Cost $2,348,975) | 2,404,296 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (6,958) | ||
NET ASSETS — 100.0% | $ 2,397,338 |
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
ADR | = American Depositary Receipt |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 78,442 | $— | $— | $ 78,442 | ||||
Canada | 69,458 | — | — | 69,458 | ||||
China | 279,200 | — | — | 279,200 | ||||
France | 355,952 | — | — | 355,952 | ||||
Germany | 133,351 | — | — | 133,351 | ||||
Hong Kong | 72,082 | — | — | 72,082 | ||||
Hungary | 68,035 | — | — | 68,035 | ||||
Israel | 73,300 | — | — | 73,300 | ||||
Italy | 134,395 | — | — | 134,395 | ||||
Japan | 275,291 | — | — | 275,291 | ||||
Netherlands | 77,574 | — | — | 77,574 | ||||
Norway | 65,523 | — | — | 65,523 | ||||
South Korea | 194,609 | — | — | 194,609 | ||||
Spain | 130,542 | — | — | 130,542 | ||||
Switzerland | 204,112 | — | — | 204,112 | ||||
Taiwan | 78,292 | — | — | 78,292 | ||||
Rights | ||||||||
Spain | 1,788 | — | — | 1,788 | ||||
Short-Term Investment | 112,350 | — | — | 112,350 | ||||
TOTAL INVESTMENTS | $2,404,296 | $— | $— | $2,404,296 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,189 | $19,189 | $661,587 | $568,426 | $— | $— | 112,350 | $112,350 | $771 | $— |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 100.7% | |||||
AUSTRIA — 3.5% | |||||
ANDRITZ AG | 745 | 39,542 | |||
FRANCE — 28.9% | |||||
Alstom SA | 515 | 23,667 | |||
AXA SA | 1,483 | 36,387 | |||
BNP Paribas SA | 654 | 40,615 | |||
Nexans SA | 974 | 33,581 | |||
Publicis Groupe SA | 534 | 36,748 | |||
Sanofi | 490 | 39,275 | |||
Societe Generale SA | 881 | 37,148 | |||
TOTAL SA | 631 | 38,464 | |||
Vallourec SA (a) | 6,277 | 37,215 | |||
323,100 | |||||
GERMANY — 9.8% | |||||
Continental AG | 161 | 36,759 | |||
Deutsche Bank AG | 3,333 | 35,887 | |||
HeidelbergCement AG | 433 | 36,440 | |||
109,086 | |||||
HUNGARY — 3.0% | |||||
Richter Gedeon Nyrt | 1,848 | 33,762 | |||
IRELAND — 6.7% | |||||
Bank of Ireland Group PLC | 4,598 | 35,888 | |||
CRH PLC | 1,084 | 38,412 | |||
74,300 | |||||
ITALY — 3.1% | |||||
Assicurazioni Generali SpA | 2,097 | 35,183 | |||
NETHERLANDS — 6.8% | |||||
Akzo Nobel NV | 396 | 33,899 | |||
Boskalis Westminster | 1,431 | 41,686 | |||
75,585 | |||||
NORWAY — 3.0% | |||||
Yara International ASA | 815 | 33,798 | |||
SPAIN — 9.3% | |||||
ACS Actividades de Construccion y Servicios SA | 864 | 35,004 | |||
Banco Bilbao Vizcaya Argentaria SA | 5,255 | 37,267 | |||
Siemens Gamesa Renewable Energy SA | 2,342 | 31,459 | |||
103,730 |
Security Description | Shares | Value | |||
SWEDEN — 3.3% | |||||
Telefonaktiebolaget LM Ericsson Class B | 4,743 | 36,720 | |||
SWITZERLAND — 10.1% | |||||
ABB, Ltd. | 1,724 | 37,694 | |||
Credit Suisse Group AG | 2,505 | 37,715 | |||
Novartis AG | 487 | 36,922 | |||
112,331 | |||||
UNITED KINGDOM — 13.2% | |||||
Barclays PLC | 14,148 | 35,303 | |||
British American Tobacco PLC | 730 | 36,913 | |||
CNH Industrial NV | 3,192 | 33,899 | |||
TechnipFMC PLC | 1,276 | 40,746 | |||
146,861 | |||||
TOTAL COMMON STOCKS (Cost $1,159,839) | 1,123,998 |
RIGHTS — 0.1% | |||
SPAIN — 0.1% | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (a) (Cost $918) | 843 | 868 | |
SHORT-TERM INVESTMENT — 0.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) (Cost $5,799) | 5,799 | $ 5,799 | |
TOTAL INVESTMENTS — 101.3% (Cost $1,166,556) | 1,130,665 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.3)% | (14,735) | ||
NET ASSETS — 100.0% | $ 1,115,930 |
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Austria | $ 39,542 | $— | $— | $ 39,542 | ||||
France | 323,100 | — | — | 323,100 | ||||
Germany | 109,086 | — | — | 109,086 | ||||
Hungary | 33,762 | — | — | 33,762 | ||||
Ireland | 74,300 | — | — | 74,300 | ||||
Italy | 35,183 | — | — | 35,183 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Netherlands | $ 75,585 | $— | $— | $ 75,585 | ||||
Norway | 33,798 | — | — | 33,798 | ||||
Spain | 103,730 | — | — | 103,730 | ||||
Sweden | 36,720 | — | — | 36,720 | ||||
Switzerland | 112,331 | — | — | 112,331 | ||||
United Kingdom | 146,861 | — | — | 146,861 | ||||
Rights | ||||||||
Spain | 868 | — | — | 868 | ||||
Short-Term Investment | 5,799 | — | — | 5,799 | ||||
TOTAL INVESTMENTS | $1,130,665 | $— | $— | $1,130,665 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $245,067 | $239,268 | $— | $— | 5,799 | $5,799 | $88 | $— |
Table of Contents
Security Description | Shares | Value | |||
COMMON STOCKS — 96.8% | |||||
AUSTRALIA — 5.6% | |||||
Incitec Pivot, Ltd. | 17,888 | 47,976 | |||
Woodside Petroleum, Ltd. | 3,068 | 80,380 | |||
128,356 | |||||
CHINA — 14.2% | |||||
China Construction Bank Corp. Class H | 46,000 | 42,509 | |||
China Mobile, Ltd. | 5,000 | 44,421 | |||
CITIC Securities Co., Ltd. Class H | 25,500 | 50,965 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 56,000 | 41,899 | |||
PetroChina Co., Ltd. Class H | 100,000 | 76,095 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 14,100 | 67,036 | |||
322,925 | |||||
HONG KONG — 2.9% | |||||
WH Group, Ltd. | 82,000 | 66,788 | |||
JAPAN — 49.5% | |||||
Alfresa Holdings Corp. | 3,900 | 91,721 | |||
Hitachi High-Technologies Corp. | 1,700 | 69,372 | |||
ITOCHU Corp. | 3,900 | 70,683 | |||
Japan Tobacco, Inc. | 2,600 | 72,649 | |||
JGC Corp. | 3,100 | 62,495 | |||
KDDI Corp. | 2,700 | 73,884 | |||
Kinden Corp. | 4,700 | 76,802 | |||
Komatsu, Ltd. | 1,300 | 37,181 | |||
Kurita Water Industries, Ltd. | 1,700 | 48,499 | |||
Mitsubishi UFJ Financial Group, Inc. | 7,600 | 43,302 | |||
Ono Pharmaceutical Co., Ltd. | 2,600 | 60,960 | |||
SMC Corp. | 200 | 73,363 | |||
SoftBank Group Corp. | 800 | 57,585 | |||
Sony Financial Holdings, Inc. | 4,400 | 84,056 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,700 | 66,088 | |||
Toyota Motor Corp. | 1,100 | 71,205 | |||
Trend Micro, Inc. | 1,200 | 68,469 | |||
1,128,314 | |||||
SOUTH KOREA — 14.5% | |||||
Hankook Tire Co., Ltd. | 1,545 | 58,362 |
Security Description | Shares | Value | |||
KT&G Corp. | 745 | 71,525 | |||
Samsung Electronics Co., Ltd. Preference Shares | 2,650 | 89,522 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 192 | 45,481 | |||
Shinhan Financial Group Co., Ltd. | 1,659 | 64,455 | |||
329,345 | |||||
TAIWAN — 7.2% | |||||
Catcher Technology Co., Ltd. | 7,000 | 78,292 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,373 | 86,757 | |||
165,049 | |||||
THAILAND — 2.9% | |||||
Bangkok Bank PCL NVDR | 11,000 | 64,911 | |||
TOTAL COMMON STOCKS (Cost $2,106,584) | 2,205,688 |
SHORT-TERM INVESTMENT — 3.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (a) (b) (Cost $75,965) | 75,965 | $ 75,965 | |
TOTAL INVESTMENTS — 100.2% (Cost $2,182,549) | 2,281,653 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (3,792) | ||
NET ASSETS — 100.0% | $ 2,277,861 |
(a) | 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, 2018 are shown in the Affiliate Table below. |
(b) | The rate shown is the annualized seven-day yield at June 30, 2018. |
ADR | = American Depositary Receipt |
NVDR | = Non Voting Depositary Receipt |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 128,356 | $— | $— | $ 128,356 | ||||
China | 322,925 | — | — | 322,925 | ||||
Hong Kong | 66,788 | — | — | 66,788 | ||||
Japan | 1,128,314 | — | — | 1,128,314 | ||||
South Korea | 329,345 | — | — | 329,345 | ||||
Taiwan | 165,049 | — | — | 165,049 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Thailand | $ 64,911 | $— | $— | $ 64,911 | ||||
Short-Term Investment | 75,965 | — | — | 75,965 | ||||
TOTAL INVESTMENTS | $2,281,653 | $— | $— | $2,281,653 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 96,815 | $96,815 | $355,867 | $376,717 | $— | $— | 75,965 | $75,965 | $635 | $— |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 92.4% | ||||||
AEROSPACE & DEFENSE — 2.9% | ||||||
Arconic, Inc. | 1,935 | $ 32,914 | ||||
AIRLINES — 1.7% | ||||||
Copa Holdings SA Class A | 213 | 20,154 | ||||
BANKS — 5.5% | ||||||
Citigroup, Inc. | 481 | 32,188 | ||||
Wells Fargo & Co. | 561 | 31,102 | ||||
63,290 | ||||||
CAPITAL MARKETS — 2.8% | ||||||
Affiliated Managers Group, Inc. | 216 | 32,113 | ||||
CHEMICALS — 6.7% | ||||||
HB Fuller Co. | 674 | 36,180 | ||||
Mosaic Co. | 1,457 | 40,869 | ||||
77,049 | ||||||
COMMUNICATIONS EQUIPMENT — 2.0% | ||||||
Cisco Systems, Inc. | 526 | 22,634 | ||||
CONTAINERS & PACKAGING — 2.7% | ||||||
Owens-Illinois, Inc. (a) | 1,870 | 31,435 | ||||
ELECTRIC UTILITIES — 3.0% | ||||||
Edison International | 544 | 34,419 | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 3.2% | ||||||
Avnet, Inc. | 871 | 37,357 | ||||
ENERGY EQUIPMENT & SERVICES — 7.0% | ||||||
McDermott International, Inc. (a) | 1,366 | 26,842 | ||||
National Oilwell Varco, Inc. | 563 | 24,434 | ||||
TechnipFMC PLC | 942 | 29,899 | ||||
81,175 | ||||||
FOOD PRODUCTS — 3.2% | ||||||
Sanderson Farms, Inc. | 353 | 37,118 | ||||
HEALTH CARE PROVIDERS & SERVICES — 4.8% | ||||||
Cigna Corp. | 117 | 19,884 | ||||
McKesson Corp. | 264 | 35,218 | ||||
55,102 | ||||||
INSURANCE — 5.4% | ||||||
Hartford Financial Services Group, Inc. | 567 | 28,991 | ||||
MetLife, Inc. | 757 | 33,005 | ||||
61,996 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 2.6% | ||||||
Polaris Industries, Inc. | 250 | 30,545 | ||||
MACHINERY — 2.5% | ||||||
AGCO Corp. | 470 | 28,538 | ||||
METALS & MINING — 2.9% | ||||||
Goldcorp, Inc. | 2,447 | 33,576 |
Security Description | Shares | Value | ||||
MULTILINE RETAIL — 3.1% | ||||||
Nordstrom, Inc. | 696 | $ 36,039 | ||||
OIL, GAS & CONSUMABLE FUELS — 5.8% | ||||||
EQT Corp. | 648 | 35,757 | ||||
Exxon Mobil Corp. | 374 | 30,941 | ||||
66,698 | ||||||
PHARMACEUTICALS — 8.9% | ||||||
Eli Lilly & Co. | 469 | 40,020 | ||||
Johnson & Johnson | 198 | 24,025 | ||||
Merck & Co., Inc. | 636 | 38,605 | ||||
102,650 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.8% | ||||||
Intel Corp. (a) | 414 | 20,580 | ||||
SOFTWARE — 4.8% | ||||||
CA, Inc. | 555 | 19,786 | ||||
Oracle Corp. | 807 | 35,556 | ||||
55,342 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.8% | ||||||
NCR Corp. (a) | 1,096 | 32,858 | ||||
TEXTILES, APPAREL & LUXURY GOODS — 6.3% | ||||||
Hanesbrands, Inc. | 1,610 | 35,452 | ||||
Skechers U.S.A., Inc. Class A (a) | 1,259 | 37,783 | ||||
73,235 | ||||||
TOTAL COMMON STOCKS (Cost $1,004,001) | 1,066,817 | |||||
SHORT-TERM INVESTMENT — 8.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) (Cost $102,527) | 102,527 | 102,527 | ||||
TOTAL INVESTMENTS — 101.3% (Cost $1,106,528) | 1,169,344 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.3)% | (14,868) | |||||
NET ASSETS — 100.0% | $ 1,154,476 |
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Aerospace & Defense | $ 32,914 | $— | $— | $ 32,914 | ||||
Airlines | 20,154 | — | — | 20,154 | ||||
Banks | 63,290 | — | — | 63,290 | ||||
Capital Markets | 32,113 | — | — | 32,113 | ||||
Chemicals | 77,049 | — | — | 77,049 | ||||
Communications Equipment | 22,634 | — | — | 22,634 | ||||
Containers & Packaging | 31,435 | — | — | 31,435 | ||||
Electric Utilities | 34,419 | — | — | 34,419 | ||||
Electronic Equipment, Instruments & Components | 37,357 | — | — | 37,357 | ||||
Energy Equipment & Services | 81,175 | — | — | 81,175 | ||||
Food Products | 37,118 | — | — | 37,118 | ||||
Health Care Providers & Services | 55,102 | — | — | 55,102 | ||||
Insurance | 61,996 | — | — | 61,996 | ||||
Leisure Equipment & Products | 30,545 | — | — | 30,545 | ||||
Machinery | 28,538 | — | — | 28,538 | ||||
Metals & Mining | 33,576 | — | — | 33,576 | ||||
Multiline Retail | 36,039 | — | — | 36,039 | ||||
Oil, Gas & Consumable Fuels | 66,698 | — | — | 66,698 | ||||
Pharmaceuticals | 102,650 | — | — | 102,650 | ||||
Semiconductors & Semiconductor Equipment | 20,580 | — | — | 20,580 | ||||
Software | 55,342 | — | — | 55,342 | ||||
Technology Hardware, Storage & Peripherals | 32,858 | — | — | 32,858 | ||||
Textiles, Apparel & Luxury Goods | 73,235 | — | — | 73,235 | ||||
Short-Term Investment | 102,527 | — | — | 102,527 | ||||
TOTAL INVESTMENTS | $1,169,344 | $— | $— | $1,169,344 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 70,581 | $70,581 | $173,830 | $141,884 | $— | $— | 102,527 | $102,527 | $745 | $— |
Table of Contents
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 | $2,204,940 | $2,291,946 | $1,124,866 | $2,205,688 | $1,066,817 | ||||
Investments in affiliated issuers, at value | 108,640 | 112,350 | 5,799 | 75,965 | 102,527 | ||||
Total Investments | 2,313,580 | 2,404,296 | 1,130,665 | 2,281,653 | 1,169,344 | ||||
Foreign currency, at value | 6,510 | 7,697 | 11,339 | 8,733 | 732 | ||||
Receivable for fund shares sold | 129 | — | — | — | — | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 10,628 | — | — | — | — | ||||
Dividends receivable — unaffiliated issuers | 2,794 | 4,412 | 1,505 | 7,772 | 859 | ||||
Dividends receivable — affiliated issuers | 182 | 195 | 20 | 95 | 151 | ||||
Receivable from Adviser | 15,985 | 15,201 | 15,346 | 15,350 | 12,249 | ||||
Receivable for foreign taxes recoverable | 1,216 | 3,447 | 3,141 | 980 | — | ||||
TOTAL ASSETS | 2,351,024 | 2,435,248 | 1,162,016 | 2,314,583 | 1,183,335 | ||||
LIABILITIES | |||||||||
Payable for investments purchased | — | 372 | 6,146 | — | — | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 38 | — | — | — | — | ||||
Advisory fee payable | 1,454 | 1,521 | 704 | 1,444 | 623 | ||||
Custodian fees payable | 10,975 | 7,931 | 11,883 | 8,037 | 3,129 | ||||
Administration fees payable | 97 | 101 | 47 | 97 | 48 | ||||
Trustees’ fees and expenses payable | 1,370 | 1,369 | 1,381 | 1,384 | 1,387 | ||||
Transfer agent fees payable | 274 | 615 | 286 | 285 | 285 | ||||
Registration and filing fees payable | 2,728 | 2,724 | 2,714 | 2,729 | 2,715 | ||||
Professional fees payable | 19,759 | 19,759 | 19,759 | 19,759 | 19,379 | ||||
Printing and postage fees payable | 1,746 | 2,479 | 2,052 | 1,882 | 185 | ||||
Accrued expenses and other liabilities | 1,117 | 1,039 | 1,114 | 1,105 | 1,108 | ||||
TOTAL LIABILITIES | 39,558 | 37,910 | 46,086 | 36,722 | 28,859 | ||||
NET ASSETS | $2,311,466 | $2,397,338 | $1,115,930 | $2,277,861 | $1,154,476 | ||||
NET ASSETS CONSIST OF: | |||||||||
Paid-in Capital | $2,005,087 | $2,000,000 | $1,000,000 | $2,000,000 | $1,000,000 | ||||
Undistributed (distribution in excess of) net investment income (loss) | 22,788 | 30,872 | 22,192 | 18,794 | 5,803 | ||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and foreign forward currency exchange contracts | 277,021 | 311,157 | 129,653 | 160,057 | 85,849 | ||||
Net unrealized appreciation (depreciation) on: | |||||||||
Investments — unaffiliated issuers | (4,002) | 55,321 | (35,891) | 99,104 | 62,816 | ||||
Foreign currency translations | (18) | (12) | (24) | (94) | 8 | ||||
Forward foreign currency exchange transactions | 10,590 | — | — | — | — | ||||
NET ASSETS | $2,311,466 | $2,397,338 | $1,115,930 | $2,277,861 | $1,154,476 | ||||
NET ASSET VALUE PER SHARE Class K | |||||||||
Net Assets | $2,311,466 | $2,397,338 | $1,115,930 | $2,277,861 | $1,154,476 | ||||
Shares Outstanding | 200,431 | 200,000 | 100,000 | 200,000 | 100,000 | ||||
Net asset value, offering and redemption price per share | $ 11.53 | $ 11.99 | $ 11.16 | $ 11.39 | $ 11.54 | ||||
COST OF INVESTMENTS: | |||||||||
Investments in unaffiliated issuers | $2,208,942 | $2,236,625 | $1,160,757 | $2,106,584 | $1,004,001 | ||||
Investments in affiliated issuers | 108,640 | 112,350 | 5,799 | 75,965 | 102,527 | ||||
Total cost of investments | $2,317,582 | $2,348,975 | $1,166,556 | $2,182,549 | $1,106,528 | ||||
Foreign currency, at cost | $ 6,507 | $ 7,729 | $ 11,318 | $ 8,779 | $ 724 |
Table of Contents
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 (LOSS) | |||||||||
Dividend income — unaffiliated issuers | $ 24,297 | $ 39,294 | $ 26,377 | $ 30,370 | $ 8,851 | ||||
Dividend income — affiliated issuers | 867 | 771 | 88 | 635 | 745 | ||||
Dividend income — non-cash transactions | 4,510 | 4,899 | 3,452 | — | — | ||||
Foreign taxes withheld | (1,986) | (4,941) | (3,805) | (3,603) | (16) | ||||
TOTAL INVESTMENT INCOME (LOSS) | 27,688 | 40,023 | 26,112 | 27,402 | 9,580 | ||||
EXPENSES | |||||||||
Advisory fee | 8,956 | 9,438 | 4,495 | 9,017 | 3,777 | ||||
Administration fees | 597 | 629 | 300 | 601 | 291 | ||||
Custodian fees | 31,278 | 24,726 | 31,769 | 25,480 | 8,915 | ||||
Trustees’ fees and expenses | 10,414 | 10,415 | 10,403 | 10,405 | 10,398 | ||||
Transfer agent fees | 5,373 | 5,384 | 5,371 | 5,372 | 5,371 | ||||
Registration fees | 10,833 | 10,833 | 10,833 | 10,833 | 10,832 | ||||
Professional fees | 28,634 | 28,635 | 28,632 | 28,633 | 27,746 | ||||
Printing and postage fees | 3,060 | 2,852 | 2,500 | 2,944 | 3,748 | ||||
Miscellaneous expenses | 1,733 | 1,657 | 1,722 | 1,724 | 1,717 | ||||
TOTAL EXPENSES | 100,878 | 94,569 | 96,025 | 95,009 | 72,795 | ||||
Expenses waived/reimbursed by the Adviser | (91,921) | (85,130) | (91,530) | (85,993) | (69,018) | ||||
NET EXPENSES | 8,957 | 9,439 | 4,495 | 9,016 | 3,777 | ||||
NET INVESTMENT INCOME (LOSS) | 18,731 | 30,584 | 21,617 | 18,386 | 5,803 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||
Net realized gain (loss) on: | |||||||||
Investments — unaffiliated issuers | 198,866 | 244,837 | 85,595 | 107,263 | 65,864 | ||||
Forward foreign currency exchange contracts | (7,782) | — | — | — | — | ||||
Foreign currency transactions | (636) | 979 | 1,815 | 188 | (18) | ||||
Net realized gain (loss) | 190,448 | 245,816 | 87,410 | 107,451 | 65,846 | ||||
Net change in unrealized appreciation/depreciation on: | |||||||||
Investments — unaffiliated issuers | (326,903) | (389,970) | (207,870) | (258,578) | (92,252) | ||||
Forward foreign currency exchange contracts | 14,647 | — | — | — | — | ||||
Foreign currency translations | (758) | (1,479) | (1,339) | (151) | 8 | ||||
Net change in unrealized appreciation/depreciation | (313,014) | (391,449) | (209,209) | (258,729) | (92,244) | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (122,566) | (145,633) | (121,799) | (151,278) | (26,398) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(103,835) | $(115,049) | $(100,182) | $(132,892) | $(20,595) |
Table of Contents
State Street Global Value Spotlight Fund | State Street International Value Spotlight Fund | ||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 18,731 | $ 28,401 | $ 30,584 | $ 47,121 | |||
Net realized gain (loss) | 190,448 | 263,590 | 245,816 | 270,123 | |||
Net change in unrealized appreciation/depreciation | (313,014) | 258,239 | (391,449) | 243,268 | |||
Net increase (decrease) in net assets resulting from operations | (103,835) | 550,230 | (115,049) | 560,512 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Net investment income | — | (24,993) | — | (48,090) | |||
Net realized gains | — | (201,799) | — | (250,231) | |||
Total distributions to shareholders | — | (226,792) | — | (298,321) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 5,087 | — | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 5,087 | — | — | — | |||
Net increase (decrease) in net assets during the period | (98,748) | 323,438 | (115,049) | 262,191 | |||
Net assets at beginning of period | 2,410,214 | 2,086,776 | 2,512,387 | 2,250,196 | |||
NET ASSETS AT END OF PERIOD | $2,311,466 | $2,410,214 | $2,397,338 | $2,512,387 | |||
Undistributed (distribution in excess of) net investment income (loss) | $ 22,788 | $ 4,057 | $ 30,872 | $ 288 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 431 | — | — | — | |||
Net increase (decrease) | 431 | — | — | — |
Table of Contents
State Street European Value Spotlight Fund | State Street Asia Pacific Value Spotlight Fund | State Street U.S. Value Spotlight Fund | ||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | |||||
$ 21,617 | $ 17,697 | $ 18,386 | $ 43,780 | $ 5,803 | $ 12,876 | |||||
87,410 | 104,557 | 107,451 | 113,056 | 65,846 | 56,803 | |||||
(209,209) | 133,532 | (258,729) | 438,996 | (92,244) | 118,069 | |||||
(100,182) | 255,786 | (132,892) | 595,832 | (20,595) | 187,748 | |||||
— | (18,944) | — | (44,016) | — | (12,898) | |||||
— | (64,932) | — | (70,683) | — | (45,124) | |||||
— | (83,876) | — | (114,699) | — | (58,022) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
(100,182) | 171,910 | (132,892) | 481,133 | (20,595) | 129,726 | |||||
1,216,112 | 1,044,202 | 2,410,753 | 1,929,620 | 1,175,071 | 1,045,345 | |||||
$1,115,930 | $1,216,112 | $2,277,861 | $2,410,753 | $1,154,476 | $1,175,071 | |||||
$ 22,192 | $ 575 | $ 18,794 | $ 408 | $ 5,803 | $ — | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — |
Table of Contents
Class K | |||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 9/23/16* - 12/31/16 | |||
Net asset value, beginning of period | $12.05 | $10.43 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.09 | 0.14 | 0.01 | ||
Net realized and unrealized gain (loss) | (0.61) | 2.61 | 0.46 | ||
Total from investment operations | (0.52) | 2.75 | 0.47 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.12) | (0.04) | ||
Net realized gains | — | (1.01) | (0.00)(b) | ||
Total distributions | — | (1.13) | (0.04) | ||
Net asset value, end of period | $11.53 | $12.05 | $10.43 | ||
Total return (c) | (4.32)% | 26.47% | 4.73% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $2,311 | $2,410 | $2,087 | ||
Ratios to average net assets: | |||||
Total expenses | 8.45%(d) | 8.36% | 9.46%(d) | ||
Net expenses | 0.75%(d) | 0.75% | 0.75%(d) | ||
Net investment income (loss) | 1.57%(d) | 1.21% | 0.34%(d) | ||
Portfolio turnover rate | 34%(e) | 70% | 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 less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
Table of Contents
Class K | |||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 7/14/16* - 12/31/16 | |||
Net asset value, beginning of period | $12.56 | $11.25 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.15 | 0.24 | 0.02 | ||
Net realized and unrealized gain (loss) | (0.72) | 2.56 | 1.44 | ||
Total from investment operations | (0.57) | 2.80 | 1.46 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.24) | (0.02) | ||
Net realized gains | — | (1.25) | (0.19) | ||
Total distributions | — | (1.49) | (0.21) | ||
Net asset value, end of period | $11.99 | $12.56 | $11.25 | ||
Total return (b) | (4.54)% | 25.03% | 14.57% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $2,397 | $2,512 | $2,250 | ||
Ratios to average net assets: | |||||
Total expenses | 7.51%(c) | 7.26% | 7.76%(c) | ||
Net expenses | 0.75%(c) | 0.75% | 0.75%(c) | ||
Net investment income (loss) | 2.43%(c) | 1.86% | 0.44%(c) | ||
Portfolio turnover rate | 37%(d) | 45% | 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 less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
Table of Contents
Class K | |||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 9/23/16* - 12/31/16 | |||
Net asset value, beginning of period | $12.16 | $10.44 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.22 | 0.18 | (0.01) | ||
Net realized and unrealized gain (loss) | (1.22) | 2.38 | 0.46 | ||
Total from investment operations | (1.00) | 2.56 | 0.45 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.19) | (0.01) | ||
Net realized gains | — | (0.65) | (0.00)(b) | ||
Total distributions | — | (0.84) | (0.01) | ||
Net asset value, end of period | $11.16 | $12.16 | $10.44 | ||
Total return (c) | (8.22)% | 24.61% | 4.49% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,116 | $1,216 | $1,044 | ||
Ratios to average net assets: | |||||
Total expenses | 16.02%(d) | 15.90% | 19.10%(d) | ||
Net expenses | 0.75%(d) | 0.75% | 0.75%(d) | ||
Net investment income (loss) | 3.61%(d) | 1.50% | (0.33)%(d) | ||
Portfolio turnover rate | 38%(e) | 70% | 28%(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount shown represents less than 0.5%. |
(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 less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
Table of Contents
Class K | |||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 9/23/16 - 12/31/16* | |||
Net asset value, beginning of period | $12.05 | $ 9.65 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.09 | 0.22 | 0.04 | ||
Net realized and unrealized gain (loss) | (0.75) | 2.75 | (0.37) | ||
Total from investment operations | (0.66) | 2.97 | (0.33) | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.22) | (0.02) | ||
Net realized gains | — | (0.35) | — | ||
Total distributions | — | (0.57) | (0.02) | ||
Net asset value, end of period | $11.39 | $12.05 | $ 9.65 | ||
Total return (b) | (5.48)% | 30.86% | (3.33)% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $2,278 | $2,411 | $1,930 | ||
Ratios to average net assets: | |||||
Total expenses | 7.90%(c) | 8.37% | 9.48%(c) | ||
Net expenses | 0.75%(c) | 0.75% | 0.75%(c) | ||
Net investment income (loss) | 1.53%(c) | 1.98% | 1.33%(c) | ||
Portfolio turnover rate | 22%(d) | 37% | 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 less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
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Class K | |||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 9/23/16* - 12/31/16 | |||
Net asset value, beginning of period | $11.75 | $10.45 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.06 | 0.13 | 0.04 | ||
Net realized and unrealized gain (loss) | (0.27) | 1.75 | 0.46 | ||
Total from investment operations | (0.21) | 1.88 | 0.50 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.13) | (0.04) | ||
Net realized gains | — | (0.45) | (0.01) | ||
Total distributions | — | (0.58) | (0.05) | ||
Net asset value, end of period | $11.54 | $11.75 | $10.45 | ||
Total return (b) | (1.79)% | 17.98% | 4.92% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,154 | $1,175 | $1,045 | ||
Ratios to average net assets: | |||||
Total expenses | 12.53%(c) | 12.79% | 14.28%(c) | ||
Net expenses | 0.65%(c) | 0.65% | 0.65%(c) | ||
Net investment income (loss) | 1.00%(c) | 1.16% | 1.27%(c) | ||
Portfolio turnover rate | 30%(d) | 50% | 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 less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
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Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Global Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified |
State Street International Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced July 14, 2016 | Non-diversified |
State Street European Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified |
State Street Asia Pacific Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified |
State Street U.S. Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified |
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Funds | Strategies |
State Street Global Value Spotlight Fund | Managing the Fund's Currency Exposure Relative to the Benchmark |
Asset 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 | $— | $10,628 | $— | $— | $— | $10,628 |
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 | $— | $38 | $— | $— | $— | $38 |
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 | $— | $(7,782) | $— | $— | $— | $(7,782) |
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 | $— | $14,647 | $— | $— | $— | $14,647 |
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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 | ||||
Credit Suisse International | $ 229 | $(13) | $— | $ 216 | ||||
JP Morgan Chase Bank, N.A. | 1,172 | (12) | — | 1,160 | ||||
Royal Bank of Canada | 228 | (13) | — | 215 | ||||
Standard Chartered Bank | 7,108 | — | — | 7,108 | ||||
UBS | 947 | — | — | 947 | ||||
Westpac Banking Corp. | 944 | — | — | 944 | ||||
$10,628 | $(38) | $— | $10,590 |
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 | ||||
Credit Suisse International | $(13) | $13 | $— | $— | ||||
JP Morgan Chase Bank, N.A. | (12) | 12 | — | — | ||||
Royal Bank of Canada | (13) | 13 | — | — | ||||
$(38) | $38 | $— | $— |
Annual Rate | |
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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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 |
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Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Global Value Spotlight Fund | 1 | 100.00% | ||
State Street International Value Spotlight Fund | 1 | 100.00% | ||
State Street European Value Spotlight Fund | 1 | 100.00% | ||
State Street Asia Pacific Value Spotlight Fund | 1 | 100.00% | ||
State Street U.S. Value Spotlight Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street Global Value Spotlight Fund | $773,773 | $805,095 | |
State Street International Value Spotlight Fund | 887,008 | 897,454 | |
State Street European Value Spotlight Fund | 450,894 | 441,230 | |
State Street Asia Pacific Value Spotlight Fund | 511,414 | 525,724 | |
State Street U.S. Value Spotlight Fund | 319,859 | 398,887 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Global Value Spotlight Fund | $2,315,061 | $147,178 | $138,069 | $ 9,109 | |||
State Street International Value Spotlight Fund | 2,349,307 | 185,217 | 130,228 | 54,989 | |||
State Street European Value Spotlight Fund | 1,169,561 | 41,589 | 80,485 | (38,896) | |||
State Street Asia Pacific Value Spotlight Fund | 2,197,551 | 196,473 | 112,371 | 84,102 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street U.S. Value Spotlight Fund | $1,109,891 | $ 91,482 | $ 32,029 | $ 59,453 |
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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 Global Value Spotlight Fund | 0.75% | $956.80 | $3.64 | $1,021.10 | $3.76 | ||||
State Street International Value Spotlight Fund | 0.75 | 954.60 | 3.63 | 1,021.10 | 3.76 | ||||
State Street European Value Spotlight Fund | 0.75 | 917.80 | 3.57 | 1,021.10 | 3.76 | ||||
State Street Asia Pacific Value Spotlight Fund | 0.75 | 945.20 | 3.62 | 1,021.10 | 3.76 | ||||
State Street U.S. Value Spotlight Fund | 0.65 | 982.10 | 3.19 | 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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• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the past one-year period ended December 31, 2017, 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; and |
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• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | With respect to the State Street Global Value Spotlight Fund, 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. 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”). |
• | 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. |
• | 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. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ 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, 2017; 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, 2017; |
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• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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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 |
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1 | |
12 | |
33 | |
35 | |
37 | |
42 | |
75 | |
82 |
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% of Net Assets | |||
Domestic Fixed Income | 46.6% | ||
Domestic Equity | 20.0 | ||
Inflation Linked | 17.9 | ||
International Equity | 10.2 | ||
Real Estate | 5.1 | ||
Short Term Investments | 6.9 | ||
Liabilities in Excess of Other Assets | (6.7) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Fixed Income | 40.7% | ||
Domestic Equity | 22.3 | ||
Inflation Linked | 20.2 | ||
International Equity | 11.7 | ||
Real Estate | 5.1 | ||
Short Term Investments | 6.6 | ||
Liabilities in Excess of Other Assets | (6.6) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Fixed Income | 32.4% | ||
Domestic Equity | 30.1 | ||
International Equity | 17.1 | ||
Inflation Linked | 15.9 | ||
Real Estate | 4.3 | ||
Short Term Investments | 5.3 | ||
Liabilities in Excess of Other Assets | (5.1) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 38.8% | ||
Domestic Fixed Income | 28.1 | ||
International Equity | 23.3 | ||
Inflation Linked | 7.7 | ||
Real Estate | 1.8 | ||
Short Term Investments | 4.3 | ||
Liabilities in Excess of Other Assets | (4.0) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 44.5% | ||
International Equity | 27.3 | ||
Domestic Fixed Income | 25.5 | ||
Inflation Linked | 2.3 | ||
Short Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (2.2) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 48.9% | ||
International Equity | 30.3 | ||
Domestic Fixed Income | 20.4 | ||
Short Term Investments | 0.3 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 52.0% | ||
International Equity | 32.4 | ||
Domestic Fixed Income | 15.2 | ||
Short Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 54.9% | ||
International Equity | 34.4 | ||
Domestic Fixed Income | 10.2 | ||
Short Term Investments | 0.0* | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
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% of Net Assets | |||
Domestic Equity | 55.2% | ||
International Equity | 34.5 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 55.1% | ||
International Equity | 34.5 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 0.6 | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Domestic Equity | 54.9% | ||
International Equity | 34.4 | ||
Domestic Fixed Income | 9.6 | ||
Short Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 20.0% | ||||||
State Street Equity 500 Index II Portfolio | 2,418,042 | $ 32,450,115 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 474,953 | 6,098,401 | ||||
38,548,516 | ||||||
DOMESTIC FIXED INCOME — 46.6% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 377,331 | 13,387,704 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 255,175 | 7,696,078 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 1,027,903 | 30,384,812 | ||||
State Street Aggregate Bond Index Portfolio | 3,957,399 | 38,465,921 | ||||
89,934,515 | ||||||
INFLATION LINKED — 17.9% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,794,915 | 34,587,832 | ||||
INTERNATIONAL EQUITY �� 10.2% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,884,960 | 19,641,284 | ||||
REAL ESTATE — 5.1% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 202,189 | 9,727,313 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $192,153,942) | 192,439,460 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 6.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) | 405,677 | $ 405,677 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e) | 13,022,215 | 13,022,215 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,427,892) | $ 13,427,892 | |||||
TOTAL INVESTMENTS—106.7% (Cost $205,581,834) | 205,867,352 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(6.7)% | (12,978,527) | |||||
NET ASSETS—100.0% | $ 192,888,825 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown represents the rate at June 30, 2018. |
(e) | Investment of cash collateral for securities loaned. |
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 | $ 38,548,516 | $— | $— | $ 38,548,516 | ||||
Domestic Fixed Income | 89,934,515 | — | — | 89,934,515 | ||||
Inflation Linked | 34,587,832 | — | — | 34,587,832 | ||||
International Equity | 19,641,284 | — | — | 19,641,284 | ||||
Real Estate | 9,727,313 | — | — | 9,727,313 | ||||
Short-Term Investments | 13,427,892 | — | — | 13,427,892 | ||||
TOTAL INVESTMENTS | $205,867,352 | $— | $— | $205,867,352 |
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Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,261,325 | $ 24,330,959 | $ 13,587,419 | $ 3,309,237 | $(126,718) | $ 105,409 | 1,794,915 | $ 34,587,832 | $ 78,875 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 257,521 | 9,456,171 | 6,618,785 | 2,216,716 | 7,159 | (477,695) | 377,331 | 13,387,704 | 302,147 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 138,619 | 6,775,697 | 3,928,868 | 862,301 | (63,763) | (51,188) | 202,189 | 9,727,313 | 156,909 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 177,386 | 5,396,082 | 3,751,237 | 1,384,567 | (16,760) | (49,914) | 255,175 | 7,696,078 | 62,779 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 714,687 | 21,351,060 | 12,251,316 | 2,904,410 | (91,909) | (221,245) | 1,027,903 | 30,384,812 | 212,756 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 2,706,569 | 27,065,687 | 15,540,497 | 3,113,756 | (165,238) | (861,269) | 3,957,399 | 38,465,921 | 429,509 | — | |||||||||
State Street Equity 500 Index II Portfolio | 1,722,843 | 22,517,564 | 12,501,414 | 3,221,401 | 535,843 | 116,695 | 2,418,042 | 32,450,115 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,271,615 | 13,746,163 | 8,174,907 | 1,463,458 | 297,723 | (1,114,051) | 1,884,960 | 19,641,284 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,512,269 | 1,512,269 | 57,524,570 | 58,631,162 | — | — | 405,677 | 405,677 | 6,293 | — | |||||||||
State Street Navigator Securities Lending Government Montey Market Portfolio | — | — | 109,240,770 | 96,218,555 | — | — | 13,022,215 | 13,022,215 | 82,504 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 350,686 | 4,243,297 | 2,215,100 | 705,021 | 148,907 | 196,118 | 474,953 | 6,098,401 | — | — | |||||||||
Total | $136,394,949 | $245,334,883 | $174,030,584 | $ 525,244 | $(2,357,140) | $205,867,352 | $1,331,772 | $— |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% (a) | ||||||
DOMESTIC EQUITY — 22.3% | ||||||
State Street Equity 500 Index II Portfolio | 3,964,672 | $ 53,205,895 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 702,407 | 9,018,914 | ||||
62,224,809 | ||||||
DOMESTIC FIXED INCOME — 40.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 548,115 | 19,447,120 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 231,626 | 6,985,840 | ||||
SPDR Portfolio Short Term Treasury ETF | 926,610 | 27,390,592 | ||||
State Street Aggregate Bond Index Portfolio | 6,180,640 | 60,075,822 | ||||
113,899,374 | ||||||
INFLATION LINKED — 20.2% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,934,392 | 56,545,440 | ||||
INTERNATIONAL EQUITY — 11.7% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 3,134,453 | 32,661,000 | ||||
REAL ESTATE — 5.1% | ||||||
SPDR Dow Jones Global Real Estate ETF | 293,597 | 14,124,952 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $277,742,051) | 279,455,575 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 6.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) | 287,020 | $ 287,020 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e) | 18,106,811 | 18,106,811 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,393,831) | $ 18,393,831 | |||||
TOTAL INVESTMENTS—106.6% (Cost $296,135,882) | 297,849,406 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(6.6)% | (18,354,627) | |||||
NET ASSETS—100.0% | $ 279,494,779 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(e) | Investment of cash collateral for securities loaned. |
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 | $ 62,224,809 | $— | $— | $ 62,224,809 | ||||
Domestic Fixed Income | 113,899,374 | — | — | 113,899,374 | ||||
Inflation Linked | 56,545,440 | — | — | 56,545,440 | ||||
International Equity | 32,661,000 | — | — | 32,661,000 | ||||
Real Estate | 14,124,952 | — | — | 14,124,952 | ||||
Short-Term Investments | 18,393,831 | — | — | 18,393,831 | ||||
TOTAL INVESTMENTS | $297,849,406 | $— | $— | $297,849,406 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,695,928 | $ 52,004,451 | $ 13,053,881 | $ 8,429,868 | $ (319,970) | $ 236,946 | 2,934,392 | $ 56,545,440 | $ 131,475 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 471,983 | 17,331,216 | 8,209,531 | 5,416,672 | (58,275) | (618,680) | 548,115 | 19,447,120 | 440,853 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 253,572 | 12,394,599 | 3,721,944 | 1,776,274 | (100,793) | (114,524) | 293,597 | 14,124,952 | 228,239 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 162,611 | 4,946,627 | 3,381,666 | 1,291,291 | (18,908) | (32,254) | 231,626 | 6,985,840 | 49,886 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 645,897 | 19,295,979 | 10,452,143 | 2,108,813 | (49,737) | (198,980) | 926,610 | 27,390,592 | 167,020 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 5,447,111 | 54,471,108 | 14,145,046 | 6,794,566 | (344,438) | (1,401,328) | 6,180,640 | 60,075,822 | 689,864 | — | |||||||||
State Street Equity 500 Index II Portfolio | 3,712,837 | 48,526,773 | 11,962,031 | 8,667,078 | 1,308,820 | 75,349 | 3,964,672 | 53,205,895 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,782,326 | 30,076,951 | 7,922,301 | 4,092,236 | 767,065 | (2,013,081) | 3,134,453 | 32,661,000 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 959,567 | 959,567 | 48,035,909 | 48,708,456 | — | — | 287,020 | 287,020 | 5,274 | — | |||||||||
State Street Navigator Securities Lending Government Montey Market Portfolio | — | — | 96,219,779 | 78,112,968 | — | — | 18,106,811 | 18,106,811 | 98,160 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 648,841 | 7,850,978 | 1,770,000 | 1,140,000 | 197,779 | 340,157 | 702,407 | 9,018,914 | — | — | |||||||||
Total | $247,858,249 | $218,874,231 | $166,538,222 | $1,381,543 | $(3,726,395) | $297,849,406 | $1,810,771 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 30.1% | ||||||
State Street Equity 500 Index II Portfolio | 16,230,651 | $ 217,815,329 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 3,543,661 | 45,500,611 | ||||
263,315,940 | ||||||
DOMESTIC FIXED INCOME — 32.4% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 1,527,923 | 54,210,708 | ||||
SPDR Portfolio Long Term Treasury ETF | 322,744 | 11,305,561 | ||||
State Street Aggregate Bond Index Portfolio | 22,440,490 | 218,121,566 | ||||
283,637,835 | ||||||
INFLATION LINKED — 15.9% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 6,560,317 | 126,416,652 | ||||
SPDR Bloomberg Barclays TIPS ETF | 235,364 | 13,069,763 | ||||
139,486,415 | ||||||
INTERNATIONAL EQUITY — 17.1% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 14,321,956 | 149,234,774 | ||||
REAL ESTATE — 4.3% | ||||||
SPDR Dow Jones Global Real Estate ETF | 780,054 | 37,528,398 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $851,460,742) | 873,203,362 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) | 1,120,955 | $ 1,120,955 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e) | 45,784,031 | 45,784,031 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $46,904,986) | $ 46,904,986 | |||||
TOTAL INVESTMENTS—105.1% (Cost $898,365,728) | 920,108,348 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.1)% | (44,880,721) | |||||
NET ASSETS—100.0% | $ 875,227,627 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(e) | Investment of cash collateral for securities loaned. |
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 | $263,315,940 | $— | $— | $263,315,940 | ||||
Domestic Fixed Income | 283,637,835 | — | — | 283,637,835 | ||||
Inflation Linked | 139,486,415 | — | — | 139,486,415 | ||||
International Equity | 149,234,774 | — | — | 149,234,774 | ||||
Real Estate | 37,528,398 | — | — | 37,528,398 | ||||
Short-Term Investments | 46,904,986 | — | — | 46,904,986 | ||||
TOTAL INVESTMENTS | $920,108,348 | $— | $— | $920,108,348 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 4,622,893 | $ 89,175,606 | $ 42,691,549 | $ 5,376,650 | $ (225,157) | $ 151,304 | 6,560,317 | $126,416,652 | $ 256,951 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,266,946 | 46,522,257 | 15,552,509 | 6,063,599 | 79,616 | (1,880,075) | 1,527,923 | 54,210,708 | 1,177,588 | — | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 413,971 | 23,285,869 | 4,110,889 | 14,006,431 | (242,849) | (77,715) | 235,364 | 13,069,763 | 239,140 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 636,734 | 31,123,558 | 9,505,069 | 2,656,014 | (140,455) | (303,760) | 780,054 | 37,528,398 | 571,992 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 382,227 | 13,985,686 | 2,403,704 | 4,442,111 | (97,238) | (544,480) | 322,744 | 11,305,561 | 150,608 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 19,384,934 | 193,849,339 | 43,639,000 | 13,317,989 | (564,320) | (5,484,464) | 22,440,490 | 218,121,566 | 2,409,927 | — | |||||||||
State Street Equity 500 Index II Portfolio | 15,046,398 | 196,656,415 | 39,068,118 | 23,612,498 | 4,032,201 | 1,671,093 | 16,230,651 | 217,815,329 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 12,706,587 | 137,358,201 | 31,534,799 | 14,113,045 | 2,880,727 | (8,425,908) | 14,321,956 | 149,234,774 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,094,506 | 5,094,506 | 97,284,454 | 101,258,005 | — | — | 1,120,955 | 1,120,955 | 14,504 | — | |||||||||
State Street Navigator Securities Lending Government Montey Market Portfolio | — | — | 256,373,314 | 210,589,283 | — | — | 45,784,031 | 45,784,031 | 156,304 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 3,453,558 | 41,788,055 | 7,764,982 | 6,826,989 | 1,421,783 | 1,352,780 | 3,543,661 | 45,500,611 | — | — | |||||||||
Total | $778,839,492 | $549,928,387 | $402,262,614 | $7,144,308 | $(13,541,225) | $920,108,348 | $4,977,014 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 38.8% | ||||||
State Street Equity 500 Index II Portfolio | 23,310,759 | $ 312,830,380 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 5,994,130 | 76,964,628 | ||||
389,795,008 | ||||||
DOMESTIC FIXED INCOME — 28.1% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 1,680,361 | 59,619,208 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,791,892 | 62,769,081 | ||||
State Street Aggregate Bond Index Portfolio | 16,452,844 | 159,921,646 | ||||
282,309,935 | ||||||
INFLATION LINKED — 7.7% | ||||||
SPDR Bloomberg Barclays TIPS ETF (b) | 1,393,126 | 77,360,287 | ||||
INTERNATIONAL EQUITY — 23.3% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 22,445,447 | 233,881,558 | ||||
REAL ESTATE — 1.8% | ||||||
SPDR Dow Jones Global Real Estate ETF | 367,833 | 17,696,446 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $965,165,103) | 1,001,043,234 | |||||
SHORT-TERM INVESTMENTS — 4.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) | 1,986,506 | 1,986,506 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e) | 41,665,771 | $ 41,665,771 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,652,277) | $ 43,652,277 | ||||
TOTAL INVESTMENTS—104.0% (Cost $1,008,817,380) | 1,044,695,511 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.0)% | (40,229,873) | ||||
NET ASSETS—100.0% | $ 1,004,465,638 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(e) | Investment of cash collateral for securities loaned. |
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 | $ 389,795,008 | $— | $— | $ 389,795,008 | ||||
Domestic Fixed Income | 282,309,935 | — | — | 282,309,935 | ||||
Inflation Linked | 77,360,287 | — | — | 77,360,287 | ||||
International Equity | 233,881,558 | — | — | 233,881,558 | ||||
Real Estate | 17,696,446 | — | — | 17,696,446 | ||||
Short-Term Investments | 43,652,277 | — | — | 43,652,277 | ||||
TOTAL INVESTMENTS | $1,044,695,511 | $— | $— | $1,044,695,511 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,359,223 | $ 49,910,669 | $ 16,985,670 | $ 5,305,852 | $ 68,206 | $ (2,039,485) | 1,680,361 | $ 59,619,208 | $1,282,842 | $— | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 1,036,247 | 58,288,894 | 22,366,888 | 2,505,870 | (85,821) | (703,804) | 1,393,126 | 77,360,287 | 868,718 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 256,072 | 12,516,799 | 5,881,996 | 588,239 | (33,888) | (80,222) | 367,833 | 17,696,446 | 249,798 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,548,775 | 56,669,677 | 15,378,849 | 6,793,922 | (900,127) | (1,585,396) | 1,791,892 | 62,769,081 | 670,528 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 12,478,413 | 124,784,128 | 44,329,814 | 5,296,862 | (146,618) | (3,748,816) | 16,452,844 | 159,921,646 | 1,627,468 | — | |||||||||
State Street Equity 500 Index II Portfolio | 20,090,344 | 262,580,800 | 66,568,652 | 23,831,935 | 4,006,991 | 3,505,872 | 23,310,759 | 312,830,380 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 18,474,392 | 199,708,175 | 58,252,634 | 15,184,097 | 3,168,901 | (12,064,055) | 22,445,447 | 233,881,558 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,186,781 | 2,186,781 | 124,531,834 | 124,732,109 | — | — | 1,986,506 | 1,986,506 | 24,350 | — | |||||||||
State Street Navigator Securities Lending Government Montey Market Portfolio | — | — | 188,280,633 | 146,614,862 | — | — | 41,665,771 | 41,665,771 | 186,755 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,428,619 | 65,686,288 | 16,209,567 | 9,434,820 | 1,957,456 | 2,546,137 | 5,994,130 | 76,964,628 | — | — | |||||||||
Total | $832,332,211 | $558,786,537 | $340,288,568 | $8,035,100 | $(14,169,769) | $1,044,695,511 | $4,910,459 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 44.5% | ||||||
State Street Equity 500 Index II Portfolio | 25,033,912 | $ 335,955,092 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,566,755 | 97,157,135 | ||||
433,112,227 | ||||||
DOMESTIC FIXED INCOME — 25.5% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 867,296 | 30,771,662 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,697,760 | 94,501,184 | ||||
State Street Aggregate Bond Index Portfolio | 12,689,653 | 123,343,427 | ||||
248,616,273 | ||||||
INFLATION LINKED — 2.3% | ||||||
SPDR Bloomberg Barclays TIPS ETF (b) | 400,172 | 22,221,551 | ||||
INTERNATIONAL EQUITY — 27.3% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,560,577 | 266,341,214 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $923,828,298) | 970,291,265 | |||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) | 2,402,088 | 2,402,088 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Government Money Market Portfolio (c)(e) | 22,360,372 | $ 22,360,372 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,762,460) | $ 24,762,460 | ||||
TOTAL INVESTMENTS—102.2% (Cost $948,590,758) | 995,053,725 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(2.2)% | (21,195,434) | ||||
NET ASSETS—100.0% | $ 973,858,291 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(e) | Investment of cash collateral for securities loaned. |
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 | $433,112,227 | $— | $— | $433,112,227 | ||||
Domestic Fixed Income | 248,616,273 | — | — | 248,616,273 | ||||
Inflation Linked | 22,221,551 | — | — | 22,221,551 | ||||
International Equity | 266,341,214 | — | — | 266,341,214 | ||||
Short-Term Investments | 24,762,460 | — | — | 24,762,460 | ||||
TOTAL INVESTMENTS | $995,053,725 | $— | $— | $995,053,725 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 616,596 | $ 22,641,405 | $ 10,459,870 | $ 1,384,470 | $ 70,107 | $ (1,015,250) | 867,296 | $ 30,771,662 | $ 621,921 | $— | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 291,802 | 16,413,862 | 6,610,563 | 569,223 | (10,085) | (223,566) | 400,172 | 22,221,551 | 251,326 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,094,654 | 76,643,390 | 25,046,107 | 3,665,229 | (240,250) | (3,282,834) | 2,697,760 | 94,501,184 | 963,383 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 9,758,539 | 97,585,390 | 32,874,196 | 3,949,866 | (66,649) | (3,099,644) | 12,689,653 | 123,343,427 | 1,301,348 | — | |||||||||
State Street Equity 500 Index II Portfolio | 20,629,499 | 269,627,548 | 78,391,783 | 20,253,697 | 3,792,686 | 4,396,772 | 25,033,912 | 335,955,092 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 20,041,728 | 216,651,082 | 72,425,630 | 12,883,684 | 2,695,918 | (12,547,732) | 25,560,577 | 266,341,214 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,259,043 | 1,259,043 | 94,609,791 | 93,466,746 | — | — | 2,402,088 | 2,402,088 | 19,690 | — | |||||||||
State Street Navigator Securities Lending Government Montey Market Portfolio | — | — | 137,156,747 | 114,796,375 | — | — | 22,360,372 | 22,360,372 | 85,701 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 6,549,784 | 79,252,393 | 22,720,051 | 10,459,877 | 2,330,472 | 3,314,096 | 7,566,755 | 97,157,135 | — | — | |||||||||
Total | $780,074,113 | $480,294,738 | $261,429,167 | $8,572,199 | $(12,458,158) | $995,053,725 | $3,243,369 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 48.9% | ||||||
State Street Equity 500 Index II Portfolio | 21,946,091 | $ 294,516,538 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,575,312 | 97,267,003 | ||||
391,783,541 | ||||||
DOMESTIC FIXED INCOME — 20.4% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 55,679 | 1,975,491 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,216,177 | 77,631,572 | ||||
State Street Aggregate Bond Index Portfolio | 8,584,332 | 83,439,707 | ||||
163,046,770 | ||||||
INTERNATIONAL EQUITY — 30.3% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 23,301,565 | 242,802,307 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $758,436,490) | 797,632,618 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b)(c) (Cost $2,143,516) | 2,143,516 | $ 2,143,516 | ||||
TOTAL INVESTMENTS—99.9% (Cost $760,580,006) | 799,776,134 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1% | 1,034,844 | |||||
NET ASSETS—100.0% | $ 800,810,978 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
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 | $391,783,541 | $— | $— | $391,783,541 | ||||
Domestic Fixed Income | 163,046,770 | — | — | 163,046,770 | ||||
International Equity | 242,802,307 | — | — | 242,802,307 | ||||
Short-Term Investment | 2,143,516 | — | — | 2,143,516 | ||||
TOTAL INVESTMENTS | $799,776,134 | $— | $— | $799,776,134 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | — | $ — | $ 1,988,761 | $ — | $ — | $ (13,270) | 55,679 | $ 1,975,491 | $ 12,918 | $— | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,570,857 | 57,477,658 | 25,302,335 | 2,475,776 | (284,808) | (2,387,837) | 2,216,177 | 77,631,572 | 780,987 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 5,850,989 | 58,509,891 | 29,402,739 | 2,469,983 | (44,795) | (1,958,145) | 8,584,332 | 83,439,707 | 851,722 | — | |||||||||
State Street Equity 500 Index II Portfolio | 16,467,535 | 215,230,681 | 90,014,425 | 17,414,865 | 2,931,894 | 3,754,403 | 21,946,091 | 294,516,538 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 16,628,131 | 179,750,100 | 81,657,959 | 9,259,303 | 1,975,993 | (11,322,442) | 23,301,565 | 242,802,307 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,564,695 | 1,564,695 | 108,367,957 | 107,789,136 | — | — | 2,143,516 | 2,143,516 | 18,651 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,944,860 | 71,932,805 | 29,810,022 | 9,990,002 | 2,081,277 | 3,432,901 | 7,575,312 | 97,267,003 | — | — | |||||||||
Total | $584,465,830 | $366,544,198 | $149,399,065 | $6,659,561 | $ (8,494,390) | $799,776,134 | $1,664,278 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 52.0% | ||||||
State Street Equity 500 Index II Portfolio | 18,135,566 | $ 243,379,287 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,250,083 | 93,091,070 | ||||
336,470,357 | ||||||
DOMESTIC FIXED INCOME — 15.2% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,790,225 | 62,710,686 | ||||
State Street Aggregate Bond Index Portfolio | 3,632,122 | 35,304,224 | ||||
98,014,910 | ||||||
INTERNATIONAL EQUITY — 32.4% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 20,108,803 | 209,533,729 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $607,240,072) | 644,018,996 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b)(c) (Cost $828,430) | 828,430 | $ 828,430 | ||||
TOTAL INVESTMENTS—99.7% (Cost $608,068,502) | 644,847,426 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.3% | 1,900,505 | |||||
NET ASSETS—100.0% | $ 646,747,931 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
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 | $336,470,357 | $— | $— | $336,470,357 | ||||
Domestic Fixed Income | 98,014,910 | — | — | 98,014,910 | ||||
International Equity | 209,533,729 | — | — | 209,533,729 | ||||
Short-Term Investment | 828,430 | — | — | 828,430 | ||||
TOTAL INVESTMENTS | $644,847,426 | $— | $— | $644,847,426 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 1,230,947 | $ 45,040,351 | $ 22,508,980 | $ 2,612,428 | $ (51,977) | $ (2,174,240) | 1,790,225 | $ 62,710,686 | $ 636,552 | $— | |||||||||
State Street Aggregate Bond Index Portfolio | 2,291,585 | 22,915,850 | 14,052,374 | 830,000 | (13,948) | (820,052) | 3,632,122 | 35,304,224 | 352,333 | — | |||||||||
State Street Equity 500 Index II Portfolio | 13,164,131 | 172,055,194 | 79,348,309 | 13,656,227 | 3,007,683 | 2,624,328 | 18,135,566 | 243,379,287 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 13,911,675 | 150,385,201 | 75,602,873 | 8,475,193 | 2,102,391 | (10,081,543) | 20,108,803 | 209,533,729 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 977,747 | 977,747 | 78,486,989 | 78,636,306 | — | — | 828,430 | 828,430 | 12,892 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,537,195 | 67,000,062 | 30,290,016 | 9,499,992 | 2,325,879 | 2,975,105 | 7,250,083 | 93,091,070 | — | — | |||||||||
Total | $458,374,405 | $300,289,541 | $113,710,146 | $7,370,028 | $ (7,476,402) | $644,847,426 | $1,001,777 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 54.9% | ||||||
State Street Equity 500 Index II Portfolio | 12,965,308 | $ 173,994,430 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 5,966,541 | 76,610,388 | ||||
250,604,818 | ||||||
DOMESTIC FIXED INCOME — 10.2% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,263,463 | 44,258,477 | ||||
State Street Aggregate Bond Index Portfolio | 233,461 | 2,269,243 | ||||
46,527,720 | ||||||
INTERNATIONAL EQUITY — 34.4% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 15,069,093 | 157,019,949 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $429,787,775) | 454,152,487 | |||||
SHORT-TERM INVESTMENT — 0.0% (b) | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (c)(d) (Cost $184,249) | 184,249 | 184,249 | ||||
TOTAL INVESTMENTS—99.5% (Cost $429,972,024) | 454,336,736 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.5% | 2,314,444 | |||||
NET ASSETS—100.0% | $ 456,651,180 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 are shown in the Affiliate Table below. |
(b) | Amount is less than 0.05% of net assets. |
(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, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2018. |
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 | $250,604,818 | $— | $— | $250,604,818 | ||||
Domestic Fixed Income | 46,527,720 | — | — | 46,527,720 | ||||
International Equity | 157,019,949 | — | — | 157,019,949 | ||||
Short-Term Investment | 184,249 | — | — | 184,249 | ||||
TOTAL INVESTMENTS | $454,336,736 | $— | $— | $454,336,736 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 806,650 | $ 29,515,324 | $ 18,487,509 | $ 2,307,331 | $ (250,563) | $(1,186,462) | 1,263,463 | $ 44,258,477 | $437,351 | $— | |||||||||
State Street Aggregate Bond Index Portfolio | — | — | 2,287,375 | 10,000 | (145) | (7,987) | 233,461 | 2,269,243 | 7,374 | — | |||||||||
State Street Equity 500 Index II Portfolio | 8,771,581 | 114,644,564 | 65,212,879 | 9,730,333 | 1,832,265 | 2,035,055 | 12,965,308 | 173,994,430 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 9,683,484 | 104,678,466 | 64,572,298 | 6,224,662 | 1,345,174 | (7,351,327) | 15,069,093 | 157,019,949 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 581,194 | 581,194 | 75,619,694 | 76,016,639 | — | — | 184,249 | 184,249 | 11,146 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 4,225,019 | 51,122,726 | 29,001,760 | 7,783,941 | 1,772,681 | 2,497,162 | 5,966,541 | 76,610,388 | — | — | |||||||||
Total | $300,542,274 | $255,181,515 | $102,072,906 | $4,699,412 | $(4,013,559) | $454,336,736 | $455,871 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 55.2% | ||||||
State Street Equity 500 Index II Portfolio | 8,397,691 | $ 112,697,011 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 3,911,262 | 50,220,607 | ||||
162,917,618 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF | 815,568 | 28,568,939 | ||||
INTERNATIONAL EQUITY — 34.5% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 9,781,420 | 101,922,397 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $274,923,229) | 293,408,954 | |||||
SHORT-TERM INVESTMENT — 0.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b)(c) (Cost $377,264) | 377,264 | 377,264 | ||||
TOTAL INVESTMENTS—99.5% (Cost $275,300,493) | 293,786,218 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.5% | 1,411,678 | |||||
NET ASSETS—100.0% | $ 295,197,896 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
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 | $162,917,618 | $— | $— | $162,917,618 | ||||
Domestic Fixed Income | 28,568,939 | — | — | 28,568,939 | ||||
International Equity | 101,922,397 | — | — | 101,922,397 | ||||
Short-Term Investment | 377,264 | — | — | 377,264 | ||||
TOTAL INVESTMENTS | $293,786,218 | $— | $— | $293,786,218 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 569,877 | $ 20,851,799 | $ 9,915,692 | $ 1,221,661 | $ (110,357) | $ (866,534) | 815,568 | $ 28,568,939 | $283,032 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 6,186,960 | 80,863,563 | 35,650,657 | 6,453,111 | 1,268,449 | 1,367,453 | 8,397,691 | 112,697,011 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 6,823,378 | 73,760,721 | 35,969,151 | 4,011,333 | 873,089 | (4,669,231) | 9,781,420 | 101,922,397 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 573,931 | 573,931 | 46,926,020 | 47,122,687 | — | — | 377,264 | 377,264 | 6,385 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,977,585 | 36,028,778 | 15,849,994 | 4,480,000 | 1,049,067 | 1,772,768 | 3,911,262 | 50,220,607 | — | — | |||||||||
Total | $212,078,792 | $144,311,514 | $63,288,792 | $3,080,248 | $(2,395,544) | $293,786,218 | $289,417 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.3% (a) | ||||||
DOMESTIC EQUITY — 55.1% | ||||||
State Street Equity 500 Index II Portfolio | 3,414,569 | $ 45,823,505 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 1,590,980 | 20,428,186 | ||||
66,251,691 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF | 331,723 | 11,620,091 | ||||
INTERNATIONAL EQUITY — 34.5% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 3,978,063 | 41,451,420 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $114,052,990) | 119,323,202 | |||||
SHORT-TERM INVESTMENT — 0.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b)(c) (Cost $147,493) | 147,493 | 147,493 | ||||
TOTAL INVESTMENTS—99.4% (Cost $114,200,483) | 119,470,695 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.6% | 677,791 | |||||
NET ASSETS—100.0% | $ 120,148,486 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
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 | $ 66,251,691 | $— | $— | $ 66,251,691 | ||||
Domestic Fixed Income | 11,620,091 | — | — | 11,620,091 | ||||
International Equity | 41,451,420 | — | — | 41,451,420 | ||||
Short-Term Investment | 147,493 | — | — | 147,493 | ||||
TOTAL INVESTMENTS | $119,470,695 | $— | $— | $119,470,695 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 218,345 | $ 7,989,244 | $ 5,697,272 | $ 1,737,658 | $ (160,155) | $ (168,612) | 331,723 | $ 11,620,091 | $108,000 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 2,371,392 | 30,994,088 | 17,924,271 | 4,136,146 | 762,073 | 279,219 | 3,414,569 | 45,823,505 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,616,740 | 28,286,957 | 17,832,495 | 3,124,093 | 680,659 | (2,224,598) | 3,978,063 | 41,451,420 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 184,759 | 184,759 | 29,606,282 | 29,643,548 | — | — | 147,493 | 147,493 | 3,724 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,141,704 | 13,814,619 | 7,900,505 | 2,420,135 | 540,290 | 592,907 | 1,590,980 | 20,428,186 | — | — | |||||||||
Total | $81,269,667 | $78,960,825 | $41,061,580 | $1,822,867 | $(1,521,084) | $119,470,695 | $111,724 | $— |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.9% (a) | ||||||
DOMESTIC EQUITY — 54.9% | ||||||
State Street Equity 500 Index II Portfolio | 547,387 | $ 7,345,927 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 254,517 | 3,267,999 | ||||
10,613,926 | ||||||
DOMESTIC FIXED INCOME — 9.6% | ||||||
SPDR Portfolio Long Term Treasury ETF | 53,053 | 1,858,420 | ||||
INTERNATIONAL EQUITY — 34.4% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 637,236 | 6,640,003 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $18,859,923) | 19,112,349 | |||||
SHORT-TERM INVESTMENT — 0.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b)(c) (Cost $21,843) | 21,843 | 21,843 | ||||
TOTAL INVESTMENTS—99.0% (Cost $18,881,766) | 19,134,192 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—1.0% | 202,502 | |||||
NET ASSETS—100.0% | $ 19,336,694 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2018 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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | ||||||||
Domestic Equity | $10,613,926 | $— | $— | $10,613,926 | ||||
Domestic Fixed Income | 1,858,420 | — | — | 1,858,420 | ||||
International Equity | 6,640,003 | — | — | 6,640,003 | ||||
Short-Term Investment | 21,843 | — | — | 21,843 | ||||
TOTAL INVESTMENTS | $19,134,192 | $— | $— | $19,134,192 |
Table of Contents
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 33,036 | $ 1,208,787 | $ 2,062,501 | $ 1,370,750 | $ (42,589) | $ 471 | 53,053 | $ 1,858,420 | $16,548 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 357,976 | 4,678,748 | 4,189,439 | 1,662,337 | 249,319 | (109,242) | 547,387 | 7,345,927 | — | — | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | 394,362 | 4,263,053 | 3,940,527 | 1,300,811 | 259,103 | (521,869) | 637,236 | 6,640,003 | — | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 130,547 | 130,547 | 6,145,785 | 6,254,489 | — | — | 21,843 | 21,843 | 673 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 172,166 | 2,083,218 | 1,828,035 | 811,233 | 137,597 | 30,382 | 254,517 | 3,267,999 | — | — | |||||||||
Total | $12,364,353 | $18,166,287 | $11,399,620 | $603,430 | $(600,258) | $19,134,192 | $17,221 | $— |
Table of Contents
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* | $205,867,352 | $297,849,406 | $920,108,348 | $1,044,695,511 | |||
Cash | 7 | 31 | 31 | 100,830 | |||
Receivable for investments sold | 1,283,983 | 4,613,954 | 19,620,901 | 16,940,812 | |||
Receivable for fund shares sold | 96,937 | 70,778 | 567,204 | 1,489,670 | |||
Dividends receivable — affiliated issuers | 603 | 798 | 2,271 | 4,202 | |||
Securities lending income receivable — unaffiliated issuers | 2,671 | 3,199 | 16,319 | — | |||
Securities lending income receivable — affiliated issuers | 15,294 | 25,028 | 21,040 | 36,469 | |||
Receivable from Adviser | 64,405 | 68,093 | 114,176 | 108,463 | |||
TOTAL ASSETS | 207,331,252 | 302,631,287 | 940,450,290 | 1,063,375,957 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 13,022,215 | 18,106,811 | 45,784,031 | 41,665,771 | |||
Payable for investments purchased | 1,305,668 | 4,310,258 | 18,961,775 | 16,976,888 | |||
Payable for fund shares repurchased | 57,768 | 658,122 | 366,259 | 148,257 | |||
Advisory fee payable | 7,987 | 11,627 | 36,212 | 41,344 | |||
Custodian fees payable | 6,606 | 6,439 | 6,745 | 5,994 | |||
Administration fees payable | 8,160 | 11,864 | 36,599 | 41,668 | |||
Distribution fees payable | 21 | 16 | 47 | 30 | |||
Transfer agent fees payable | 3,247 | 3,986 | 3,209 | 2,501 | |||
Sub-transfer agent fee payable | 267 | 144 | 208 | 286 | |||
Registration and filing fees payable | 1,126 | 12 | 1,268 | 1,404 | |||
Professional fees payable | 24,862 | 24,844 | 24,712 | 24,702 | |||
Printing and postage fees payable | 3,374 | 1,357 | — | — | |||
Accrued expenses and other liabilities | 1,126 | 1,028 | 1,598 | 1,474 | |||
TOTAL LIABILITIES | 14,442,427 | 23,136,508 | 65,222,663 | 58,910,319 | |||
NET ASSETS | $192,888,825 | $279,494,779 | $875,227,627 | $1,004,465,638 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $190,170,947 | $273,095,944 | $834,750,541 | $ 946,830,049 | |||
Undistributed (distribution in excess of) net investment income (loss) | 1,385,342 | 1,860,923 | 4,968,460 | 4,786,840 | |||
Accumulated net realized gain (loss) on investments | 1,047,018 | 2,824,388 | 13,766,006 | 16,970,618 | |||
Net unrealized appreciation (depreciation) on: | |||||||
Investments — affiliated issuers | 285,518 | 1,713,524 | 21,742,620 | 35,878,131 | |||
NET ASSETS | $192,888,825 | $279,494,779 | $875,227,627 | $1,004,465,638 | |||
Class A | |||||||
Net Assets | $ 99,569 | $ 79,267 | $ 227,296 | $ 142,876 | |||
Shares Outstanding | 9,299 | 7,333 | 20,071 | 12,189 | |||
Net asset value, offering and redemption price per share | $ 10.71 | $ 10.81 | $ 11.32 | $ 11.72 | |||
Maximum sales charge | 4.50% | 4.50% | 4.50% | 4.50% | |||
Maximum offering price per share | $ 11.21 | $ 11.32 | $ 11.85 | $ 12.27 | |||
Class I | |||||||
Net Assets | $ 102,150 | $ 43,314 | $ 712,946 | $ 2,180,922 | |||
Shares Outstanding | 9,529 | 3,995 | 62,995 | 185,859 | |||
Net asset value, offering and redemption price per share | $ 10.72 | $ 10.84 | $ 11.32 | $ 11.73 | |||
Class K | |||||||
Net Assets | $192,687,106 | $279,372,198 | $874,287,385 | $1,002,141,840 | |||
Shares Outstanding | 18,004,080 | 25,783,187 | 77,210,853 | 85,281,396 | |||
Net asset value, offering and redemption price per share | $ 10.70 | $ 10.84 | $ 11.32 | $ 11.75 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 205,581,834 | 296,135,882 | 898,365,728 | 1,008,817,380 | |||
* Includes investments in securities on loan, at value | $ 12,662,381 | $ 17,600,812 | $ 44,504,586 | $ 40,501,485 |
Table of Contents
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 | ||||||
995,053,725 | $799,776,134 | $644,847,426 | $454,336,736 | $293,786,218 | $119,470,695 | $19,134,192 | ||||||
30,152 | 13 | 10 | 60,473 | 7 | 3 | 1 | ||||||
13,200,000 | 11,920,000 | 10,183,309 | 7,929,775 | 4,422,206 | 1,809,805 | 271,000 | ||||||
1,896,778 | 1,678,905 | 1,543,094 | 1,661,019 | 1,294,083 | 648,795 | 257,009 | ||||||
3,919 | 3,006 | 2,103 | 1,544 | 1,066 | 573 | 94 | ||||||
7,845 | — | — | — | — | — | — | ||||||
19,263 | — | — | — | — | — | — | ||||||
84,089 | 74,282 | 77,893 | 64,189 | 61,538 | 54,323 | 36,721 | ||||||
1,010,295,771 | 813,452,340 | 656,653,835 | 464,053,736 | 299,565,118 | 121,984,194 | 19,699,017 | ||||||
22,360,372 | — | — | — | — | — | — | ||||||
13,680,729 | 12,498,472 | 9,749,899 | 7,290,292 | 4,239,932 | 1,739,967 | 276,802 | ||||||
279,440 | 43,055 | 68,830 | 40,875 | 69,547 | 51,457 | 46,727 | ||||||
40,146 | 33,010 | 26,770 | 18,826 | 12,173 | 4,921 | 793 | ||||||
5,974 | 5,790 | 5,913 | 6,037 | 6,032 | 5,982 | 6,029 | ||||||
40,441 | 33,235 | 26,973 | 18,952 | 12,236 | 4,985 | 856 | ||||||
39 | 27 | 63 | 31 | 38 | 23 | 19 | ||||||
2,014 | 2 | 8 | 5 | 5 | — | — | ||||||
302 | 25 | 110 | 40 | 9 | 113 | 149 | ||||||
1,833 | 1,753 | 1,425 | 1,867 | 1,359 | 1,873 | — | ||||||
24,705 | 24,754 | 24,780 | 24,819 | 24,838 | 24,874 | 24,890 | ||||||
— | — | — | — | — | — | 4,255 | ||||||
1,485 | 1,239 | 1,133 | 812 | 1,053 | 1,513 | 1,803 | ||||||
36,437,480 | 12,641,362 | 9,905,904 | 7,402,556 | 4,367,222 | 1,835,708 | 362,323 | ||||||
$ 973,858,291 | $800,810,978 | $646,747,931 | $456,651,180 | $295,197,896 | $120,148,486 | $19,336,694 | ||||||
$ 906,757,925 | $746,525,759 | $596,583,251 | $423,394,634 | $270,616,024 | $111,915,896 | $18,328,624 | ||||||
2,975,583 | 1,361,800 | 754,602 | 286,169 | 178,965 | 69,382 | 11,545 | ||||||
17,661,816 | 13,727,291 | 12,631,154 | 8,605,665 | 5,917,182 | 2,892,996 | 744,099 | ||||||
46,462,967 | 39,196,128 | 36,778,924 | 24,364,712 | 18,485,725 | 5,270,212 | 252,426 | ||||||
$ 973,858,291 | $800,810,978 | $646,747,931 | $456,651,180 | $295,197,896 | $120,148,486 | $19,336,694 | ||||||
$ 188,009 | $ 127,757 | $ 301,601 | $ 149,979 | $ 182,823 | $ 113,532 | $ 92,285 | ||||||
15,691 | 10,472 | 24,573 | 12,154 | 14,871 | 9,226 | 7,719 | ||||||
$ 11.98 | $ 12.20 | $ 12.27 | $ 12.34 | $ 12.29 | $ 12.31 | $ 11.96 | ||||||
4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | 4.50% | ||||||
$ 12.54 | $ 12.77 | $ 12.85 | $ 12.92 | $ 12.87 | $ 12.89 | $ 12.52 | ||||||
$ 1,765,140 | $ 386,946 | $ 1,083,549 | $ 608,907 | $ 241,433 | $ 111,210 | $ 105,588 | ||||||
147,354 | 31,729 | 88,169 | 49,291 | 19,633 | 9,022 | 8,826 | ||||||
$ 11.98 | $ 12.20 | $ 12.29 | $ 12.35 | $ 12.30 | $ 12.33 | $ 11.96 | ||||||
$ 971,905,142 | $800,296,275 | $645,362,781 | $455,892,294 | $294,773,640 | $119,923,744 | $19,138,821 | ||||||
81,028,516 | 65,468,159 | 52,475,571 | 36,910,067 | 23,969,414 | 9,745,772 | 1,600,276 | ||||||
$ 11.99 | $ 12.22 | $ 12.30 | $ 12.35 | $ 12.30 | $ 12.31 | $ 11.96 | ||||||
948,590,758 | 760,580,006 | 608,068,502 | 429,972,024 | 275,300,493 | 114,200,483 | 18,881,766 | ||||||
$ 21,738,486 | $ — | $ — | $ — | $ — | $ — | $ — |
Table of Contents
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | ||||
INVESTMENT INCOME | |||||||
Dividend income — unaffiliated issuers | $ 301 | $ 257 | $ 790 | $ 172 | |||
Dividend income — affiliated issuers | 1,249,268 | 1,712,611 | 4,820,710 | 4,723,704 | |||
Unaffiliated securities lending income | 24,709 | 35,898 | 77,598 | 68,098 | |||
Affiliated securities lending income | 82,504 | 98,160 | 156,304 | 186,755 | |||
TOTAL INVESTMENT INCOME (LOSS) | 1,356,782 | 1,846,926 | 5,055,402 | 4,978,729 | |||
EXPENSES | |||||||
Advisory fee | 47,806 | 70,628 | 216,433 | 239,426 | |||
Administration fees | 47,806 | 70,628 | 216,433 | 239,426 | |||
Sub-transfer agent fee | |||||||
Class A | — | — | — | — | |||
Class I | — | 11 | 74 | 152 | |||
Distribution fees | |||||||
Class A | 123 | 117 | 294 | 196 | |||
Custodian fees | 14,940 | 15,103 | 15,661 | 15,600 | |||
Trustees’ fees and expenses | 11,343 | 11,347 | 15,593 | 16,128 | |||
Transfer agent fees | 47,024 | 45,987 | 48,143 | 49,096 | |||
Registration fees | 44,387 | 48,838 | 64,394 | 66,603 | |||
Professional fees | 24,538 | 24,617 | 25,189 | 25,235 | |||
Printing and postage fees | 3,831 | 5,951 | 31,459 | 29,209 | |||
Insurance expense | 18 | 33 | 116 | 119 | |||
Miscellaneous expenses | 3,392 | 3,739 | 7,491 | 7,698 | |||
TOTAL EXPENSES | 245,208 | 296,999 | 641,280 | 688,888 | |||
Expenses waived/reimbursed by the Adviser | (273,768) | (310,996) | (554,338) | (496,999) | |||
NET EXPENSES | (28,560) | (13,997) | 86,942 | 191,889 | |||
NET INVESTMENT INCOME (LOSS) | 1,385,342 | 1,860,923 | 4,968,460 | 4,786,840 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 525,244 | 1,381,543 | 7,144,308 | 8,035,100 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | (2,357,140) | (3,726,395) | (13,541,225) | (14,169,769) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,831,896) | (2,344,852) | (6,396,917) | (6,134,669) | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (446,554) | $ (483,929) | $ (1,428,457) | $ (1,347,829) |
Table of Contents
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 | ||||||
103 | $ 114 | $ 92 | $ 579 | $ 27 | $ 17 | $ 4 | ||||||
3,157,668 | 1,664,278 | 1,001,777 | 455,871 | 289,417 | 111,724 | 17,221 | ||||||
58,846 | — | — | — | — | — | — | ||||||
85,701 | — | — | — | — | — | — | ||||||
3,302,318 | 1,664,392 | 1,001,869 | 456,450 | 289,444 | 111,741 | 17,225 | ||||||
233,184 | 189,004 | 154,317 | 106,282 | 68,853 | 26,388 | 3,975 | ||||||
233,184 | 189,004 | 154,317 | 106,282 | 68,853 | 26,388 | 3,975 | ||||||
— | 11 | — | 3 | 83 | — | — | ||||||
85 | 16 | 102 | 43 | 19 | — | — | ||||||
192 | 158 | 258 | 184 | 212 | 138 | 114 | ||||||
15,498 | 15,571 | 15,337 | 15,046 | 15,066 | 15,289 | 15,181 | ||||||
15,962 | 14,459 | 13,475 | 12,007 | 11,261 | 10,694 | 10,434 | ||||||
49,431 | 50,424 | 51,816 | 37,280 | 36,338 | 34,632 | 32,342 | ||||||
61,873 | 57,712 | 51,987 | 48,813 | 45,516 | 42,059 | 36,026 | ||||||
25,220 | 25,005 | 24,896 | 24,723 | 24,640 | 24,490 | 24,418 | ||||||
23,945 | 28,446 | 26,494 | 25,932 | 28,140 | 23,069 | 3,721 | ||||||
116 | 85 | 69 | 45 | 32 | 11 | 2 | ||||||
7,571 | 6,158 | 5,461 | 4,315 | 3,756 | 2,792 | 2,340 | ||||||
666,261 | 576,053 | 498,529 | 380,955 | 302,769 | 205,950 | 132,528 | ||||||
(339,526) | (273,461) | (251,262) | (210,674) | (192,291) | (163,591) | (126,848) | ||||||
326,735 | 302,592 | 247,267 | 170,281 | 110,478 | 42,359 | 5,680 | ||||||
2,975,583 | 1,361,800 | 754,602 | 286,169 | 178,966 | 69,382 | 11,545 | ||||||
8,572,199 | 6,659,561 | 7,370,028 | 4,699,412 | 3,080,248 | 1,822,867 | 603,430 | ||||||
(12,458,158) | (8,494,390) | (7,476,402) | (4,013,559) | (2,395,544) | (1,521,084) | (600,258) | ||||||
(3,885,959) | (1,834,829) | (106,374) | 685,853 | 684,704 | 301,783 | 3,172 | ||||||
$ (910,376) | $ (473,029) | $ 648,228 | $ 972,022 | $ 863,670 | $ 371,165 | $ 14,717 |
Table of Contents
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | ||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 1,385,342 | $ 2,330,916 | $ 1,860,923 | $ 4,038,037 | |||
Net realized gain (loss) | 525,244 | 2,065,711 | 1,381,543 | 3,760,659 | |||
Net change in unrealized appreciation/depreciation | (2,357,140) | 2,926,586 | (3,726,395) | 6,347,950 | |||
Net increase (decrease) in net assets resulting from operations | (446,554) | 7,323,213 | (483,929) | 14,146,646 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Net Investment Income | |||||||
Class A | — | (1,605) | — | (1,520) | |||
Class I | — | (2,525) | — | (3,252) | |||
Class K | — | (2,455,898) | — | (4,260,954) | |||
Total distributions from net investment income | — | (2,460,028) | — | (4,265,726) | |||
Net Realized Gains | |||||||
Class A | — | (845) | — | (891) | |||
Class I | — | (1,148) | — | (1,631) | |||
Class K | — | (1,116,587) | — | (2,137,354) | |||
Total distributions from net realized gains | — | (1,118,580) | — | (2,139,876) | |||
Total distributions to shareholders | — | (3,578,608) | — | (6,405,602) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class A | |||||||
Proceeds from sale of shares sold | — | 20,000 | — | 149,000 | |||
Reinvestment of distributions | — | 516 | — | 502 | |||
Cost of shares redeemed | — | (371,835) | (21,154) | (712,078) | |||
Net increase (decrease) from capital share transactions | — | (351,319) | (21,154) | (562,576) | |||
Class I | |||||||
Proceeds from sale of shares sold | — | 16,254 | 2,992 | 23,896 | |||
Reinvestment of distributions | — | 3,673 | — | 4,883 | |||
Cost of shares redeemed | (36,129) | (535,489) | (147,761) | (724,408) | |||
Net increase (decrease) from capital share transactions | (36,129) | (515,562) | (144,769) | (695,629) | |||
Class K | |||||||
Proceeds from sale of shares sold | 85,805,768 | 94,443,715 | 71,622,251 | 207,348,195 | |||
Reinvestment of distributions | — | 3,572,486 | — | 6,398,308 | |||
Cost of shares redeemed | (28,093,095) | (21,767,716) | (37,773,499) | (46,846,848) | |||
Net increase (decrease) from capital share transactions | 57,712,673 | 76,248,485 | 33,848,752 | 166,899,655 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 57,676,544 | 75,381,604 | 33,682,829 | 165,641,450 | |||
Net increase (decrease) in net assets during the period | 57,229,990 | 79,126,209 | 33,198,900 | 173,382,494 | |||
Net assets at beginning of period | 135,658,835 | 56,532,626 | 246,295,879 | 72,913,385 | |||
NET ASSETS AT END OF PERIOD | $192,888,825 | $135,658,835 | $279,494,779 | $246,295,879 | |||
Undistributed (distribution in excess of) net investment income (loss) | $ 1,385,342 | $ — | $ 1,860,923 | $ — | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class A | |||||||
Shares sold | — | 1,950 | — | 14,466 | |||
Reinvestment of distributions | — | 48 | — | 47 | |||
Shares redeemed | — | (34,366) | (1,977) | (65,467) | |||
Net increase (decrease) | — | (32,368) | (1,977) | (50,954) | |||
Class I | |||||||
Shares sold | — | 1,553 | 276 | 2,206 | |||
Reinvestment of distributions | — | 343 | — | 451 | |||
Shares redeemed | (3,386) | (49,467) | (13,704) | (66,454) | |||
Net increase (decrease) | (3,386) | (47,571) | (13,428) | (63,797) | |||
Class K | |||||||
Shares sold | 7,989,908 | 8,866,173 | 6,593,067 | 19,401,928 | |||
Reinvestment of distributions | — | 334,502 | — | 591,341 | |||
Shares redeemed | (2,628,298) | (2,044,773) | (3,482,762) | (4,406,789) | |||
Net increase (decrease) | 5,361,610 | 7,155,902 | 3,110,305 | 15,586,480 |
Table of Contents
State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | |||||
$ 4,968,460 | $ 14,068,781 | $ 4,786,840 | $ 14,117,127 | $ 2,975,583 | $ 12,867,881 | |||||
7,144,308 | 13,802,069 | 8,035,100 | 14,930,928 | 8,572,199 | 14,069,364 | |||||
(13,541,225) | 36,101,721 | (14,169,769) | 50,283,421 | (12,458,158) | 58,352,362 | |||||
(1,428,457) | 63,972,571 | (1,347,829) | 79,331,476 | (910,376) | 85,289,607 | |||||
— | (2,432) | — | (1,924) | — | (1,770) | |||||
— | (13,413) | — | (42,022) | — | (32,056) | |||||
— | (15,192,934) | — | (15,569,224) | — | (14,495,060) | |||||
— | (15,208,779) | — | (15,613,170) | — | (14,528,886) | |||||
— | (1,025) | — | (691) | — | (490) | |||||
— | (4,935) | — | (13,100) | — | (7,692) | |||||
— | (5,590,706) | — | (4,853,284) | — | (3,478,192) | |||||
— | (5,596,666) | — | (4,867,075) | — | (3,486,374) | |||||
— | (20,805,445) | — | (20,480,245) | — | (18,015,260) | |||||
390,000 | 62,051 | 125,028 | 21,486 | 81,288 | 10,212 | |||||
— | 2,528 | — | 422 | — | 228 | |||||
(288,165) | (108,862) | (96,451) | (98,652) | — | (97,561) | |||||
101,835 | (44,283) | 28,577 | (76,744) | 81,288 | (87,121) | |||||
112,305 | 210,074 | 139,380 | 558,981 | 81,757 | 408,325 | |||||
— | 18,349 | — | 55,122 | — | 39,747 | |||||
(77,823) | (426,853) | (187,679) | (773,218) | (32,389) | (483,638) | |||||
34,482 | (198,430) | (48,299) | (159,115) | 49,368 | (35,566) | |||||
190,492,693 | 535,096,164 | 249,668,388 | 591,159,847 | 258,517,859 | 503,874,463 | |||||
— | 20,783,640 | — | 20,422,508 | — | 17,973,250 | |||||
(90,436,104) | (59,031,999) | (76,262,487) | (46,745,552) | (64,672,869) | (35,446,298) | |||||
100,056,589 | 496,847,805 | 173,405,901 | 564,836,803 | 193,844,990 | 486,401,415 | |||||
100,192,906 | 496,605,092 | 173,386,179 | 564,600,944 | 193,975,646 | 486,278,728 | |||||
98,764,449 | 539,772,218 | 172,038,350 | 623,452,175 | 193,065,270 | 553,553,075 | |||||
776,463,178 | 236,690,960 | 832,427,288 | 208,975,113 | 780,793,021 | 227,239,946 | |||||
$875,227,627 | $776,463,178 | $1,004,465,638 | $832,427,288 | $973,858,291 | $780,793,021 | |||||
$ 4,968,460 | $ — | $ 4,786,840 | $ — | $ 2,975,583 | $ — | |||||
33,448 | 5,532 | 10,490 | 1,888 | 6,749 | 899 | |||||
— | 223 | — | 36 | — | 19 | |||||
(25,729) | (9,583) | (8,122) | (8,468) | — | (8,240) | |||||
7,719 | (3,828) | 2,368 | (6,544) | 6,749 | (7,322) | |||||
9,939 | 19,100 | 11,860 | 50,152 | 6,827 | 36,085 | |||||
— | 1,624 | — | 4,715 | — | 3,329 | |||||
(6,967) | (38,311) | (16,135) | (68,973) | (2,695) | (42,905) | |||||
2,972 | (17,587) | (4,275) | (14,106) | 4,132 | (3,491) | |||||
16,767,142 | 48,954,273 | 21,099,857 | 52,977,235 | 21,455,365 | 44,782,114 | |||||
— | 1,839,260 | — | 1,744,023 | — | 1,504,038 | |||||
(7,950,668) | (5,337,045) | (6,441,487) | (4,088,160) | (5,343,277) | (3,088,687) | |||||
8,816,474 | 45,456,488 | 14,658,370 | 50,633,098 | 16,112,088 | 43,197,465 |
Table of Contents
State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | ||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 1,361,800 | $ 8,968,538 | $ 754,602 | $ 7,288,641 | |||
Net realized gain (loss) | 6,659,561 | 11,088,912 | 7,370,028 | 8,186,450 | |||
Net change in unrealized appreciation/depreciation | (8,494,390) | 46,713,844 | (7,476,402) | 42,476,472 | |||
Net increase (decrease) in net assets resulting from operations | (473,029) | 66,771,294 | 648,228 | 57,951,563 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Net Investment Income | |||||||
Class A | — | (1,868) | — | (1,779) | |||
Class I | — | (6,609) | — | (16,987) | |||
Class K | — | (10,347,721) | — | (8,517,559) | |||
Total distributions from net investment income | — | (10,356,198) | — | (8,536,325) | |||
Net Realized Gains | |||||||
Class A | — | (655) | — | (406) | |||
Class I | — | (1,995) | — | (3,363) | |||
Class K | — | (3,123,445) | — | (1,686,280) | |||
Total distributions from net realized gains | — | (3,126,095) | — | (1,690,049) | |||
Total distributions to shareholders | — | (13,482,293) | — | (10,226,374) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class A | |||||||
Proceeds from sale of shares sold | 10,500 | 20,000 | 193,441 | 43,703 | |||
Reinvestment of distributions | — | 2,395 | — | 1,048 | |||
Cost of shares redeemed | (9,970) | (594,500) | (1) | (119,617) | |||
Net increase (decrease) from capital share transactions | 530 | (572,105) | 193,440 | (74,866) | |||
Class I | |||||||
Proceeds from sale of shares sold | 35,153 | 130,634 | 194,654 | 242,459 | |||
Reinvestment of distributions | — | 8,604 | — | 20,349 | |||
Cost of shares redeemed | (19,668) | (743,409) | (24,383) | (193,056) | |||
Net increase (decrease) from capital share transactions | 15,485 | (604,171) | 170,271 | 69,752 | |||
Class K | |||||||
Proceeds from sale of shares sold | 264,470,045 | 376,829,302 | 226,064,287 | 277,503,308 | |||
Reinvestment of distributions | — | 13,471,165 | — | 10,203,839 | |||
Cost of shares redeemed | (48,417,559) | (23,652,568) | (39,480,089) | (20,662,541) | |||
Net increase (decrease) from capital share transactions | 216,052,486 | 366,647,899 | 186,584,198 | 267,044,606 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 216,068,501 | 365,471,623 | 186,947,909 | 267,039,492 | |||
Net increase (decrease) in net assets during the period | 215,595,472 | 418,760,624 | 187,596,137 | 314,764,681 | |||
Net assets at beginning of period | 585,215,506 | 166,454,882 | 459,151,794 | 144,387,113 | |||
NET ASSETS AT END OF PERIOD | $800,810,978 | $585,215,506 | $646,747,931 | $459,151,794 | |||
Undistributed (distribution in excess of) net investment income (loss) | $ 1,361,800 | $ — | $ 754,602 | $ — | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class A | |||||||
Shares sold | 864 | 1,647 | 15,712 | 3,995 | |||
Reinvestment of distributions | — | 197 | — | 86 | |||
Shares redeemed | (795) | (49,500) | (1) | (9,935) | |||
Net increase (decrease) | 69 | (47,656) | 15,711 | (5,854) | |||
Class I | |||||||
Shares sold | 2,873 | 11,488 | 15,762 | 20,731 | |||
Reinvestment of distributions | — | 709 | — | 1,667 | |||
Shares redeemed | (1,632) | (62,323) | (1,958) | (16,187) | |||
Net increase (decrease) | 1,241 | (50,126) | 13,804 | 6,211 | |||
Class K | |||||||
Shares sold | 21,486,565 | 33,047,693 | 18,315,341 | 24,510,510 | |||
Reinvestment of distributions | — | 1,107,826 | — | 835,011 | |||
Shares redeemed | (3,923,117) | (2,050,562) | (3,185,959) | (1,794,529) | |||
Net increase (decrease) | 17,563,448 | 32,104,957 | 15,129,382 | 23,550,992 |
Table of Contents
State Street Target Retirement 2045 Fund | State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | ||||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | |||||
$ 286,169 | $ 4,778,676 | $ 178,966 | $ 3,500,401 | $ 69,382 | $ 1,327,975 | |||||
4,699,412 | 5,939,362 | 3,080,248 | 4,325,051 | 1,822,867 | 1,641,305 | |||||
(4,013,559) | 27,109,738 | (2,395,544) | 20,026,638 | (1,521,084) | 6,522,711 | |||||
972,022 | 37,827,776 | 863,670 | 27,852,090 | 371,165 | 9,491,991 | |||||
— | (2,280) | — | (1,886) | — | (1,771) | |||||
— | (14,438) | — | (4,718) | — | (2,052) | |||||
— | (5,660,307) | — | (4,151,805) | — | (1,574,709) | |||||
— | (5,677,025) | — | (4,158,409) | — | (1,578,532) | |||||
— | (587) | — | (479) | — | (450) | |||||
— | (3,227) | — | (1,047) | — | (455) | |||||
— | (1,265,028) | — | (921,088) | — | (348,847) | |||||
— | (1,268,842) | — | (922,614) | — | (349,752) | |||||
— | (6,945,867) | — | (5,081,023) | — | (1,928,284) | |||||
11,185 | 61,614 | 77,034 | 57,429 | 11,434 | — | |||||
— | 1,214 | — | 1,423 | — | — | |||||
(2,219) | (362,477) | — | (167,595) | (1) | (100,335) | |||||
8,966 | (299,649) | 77,034 | (108,743) | 11,433 | (100,335) | |||||
72,933 | 253,695 | 25,830 | 60,125 | 12,977 | 35,459 | |||||
— | 17,665 | — | 5,765 | — | 1,616 | |||||
(235,762) | (515,481) | (24,840) | (257,661) | (7,126) | (249,178) | |||||
(162,829) | (244,121) | 990 | (191,771) | 5,851 | (212,103) | |||||
183,720,391 | 200,600,123 | 101,815,987 | 146,893,327 | 50,578,135 | 57,790,251 | |||||
— | 6,925,335 | — | 5,072,892 | — | 1,923,556 | |||||
(29,234,091) | (14,048,966) | (20,125,190) | (10,432,999) | (12,553,961) | (4,390,583) | |||||
154,486,300 | 193,476,492 | 81,690,797 | 141,533,220 | 38,024,174 | 55,323,224 | |||||
154,332,437 | 192,932,722 | 81,768,821 | 141,232,706 | 38,041,458 | 55,010,786 | |||||
155,304,459 | 223,814,631 | 82,632,491 | 164,003,773 | 38,412,623 | 62,574,493 | |||||
301,346,721 | 77,532,090 | 212,565,405 | 48,561,632 | 81,735,863 | 19,161,370 | |||||
$456,651,180 | $301,346,721 | $295,197,896 | $212,565,405 | $120,148,486 | $81,735,863 | |||||
$ 286,169 | $ — | $ 178,965 | $ (1) | $ 69,382 | $ — | |||||
891 | 5,188 | 6,001 | 5,307 | 908 | — | |||||
— | 99 | — | 117 | — | — | |||||
(179) | (30,032) | (1) | (13,947) | (1) | (8,348) | |||||
712 | (24,745) | 6,000 | (8,523) | 907 | (8,348) | |||||
5,874 | 22,069 | 2,093 | 5,242 | 1,050 | 3,092 | |||||
— | 1,443 | — | 473 | — | 132 | |||||
(18,582) | (43,820) | (2,040) | (21,569) | (572) | (20,956) | |||||
(12,708) | (20,308) | 53 | (15,854) | 478 | (17,732) | |||||
14,808,993 | 17,734,634 | 8,256,842 | 13,176,913 | 4,091,665 | 5,074,651 | |||||
— | 565,796 | — | 416,152 | — | 157,928 | |||||
(2,345,454) | (1,219,166) | (1,621,586) | (907,910) | (1,011,675) | (381,955) | |||||
12,463,539 | 17,081,264 | 6,635,256 | 12,685,155 | 3,079,990 | 4,850,624 |
Table of Contents
State Street Target Retirement 2060 Fund | |||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 11,545 | $ 191,323 | |
Net realized gain (loss) | 603,430 | 289,268 | |
Net change in unrealized appreciation/depreciation | (600,258) | 823,801 | |
Net increase (decrease) in net assets resulting from operations | 14,717 | 1,304,392 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Class A | — | (1,667) | |
Class I | — | (1,981) | |
Class K | — | (224,161) | |
Total distributions from net investment income | — | (227,809) | |
Net Realized Gains | |||
Class A | — | (937) | |
Class I | — | (966) | |
Class K | — | (109,326) | |
Total distributions from net realized gains | — | (111,229) | |
Total distributions to shareholders | — | (339,038) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 1,589 | 33,890 | |
Reinvestment of distributions | — | 928 | |
Cost of shares redeemed | (10,013) | (136,369) | |
Net increase (decrease) from capital share transactions | (8,424) | (101,551) | |
Class I | |||
Proceeds from sale of shares sold | 4,656 | 2,392 | |
Reinvestment of distributions | — | 124 | |
Cost of shares redeemed | (2,047) | (99,341) | |
Net increase (decrease) from capital share transactions | 2,609 | (96,825) | |
Class K | |||
Proceeds from sale of shares sold | 12,262,541 | 8,597,760 | |
Reinvestment of distributions | — | 333,487 | |
Cost of shares redeemed | (5,278,979) | (1,035,771) | |
Net increase (decrease) from capital share transactions | 6,983,562 | 7,895,476 | |
Net increase (decrease) in net assets from beneficial interest transactions | 6,977,747 | 7,697,100 | |
Net increase (decrease) in net assets during the period | 6,992,464 | 8,662,454 | |
Net assets at beginning of period | 12,344,230 | 3,681,776 | |
NET ASSETS AT END OF PERIOD | $19,336,694 | $12,344,230 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 11,545 | $ — | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 133 | 3,269 | |
Reinvestment of distributions | — | 78 | |
Shares redeemed | (823) | (11,605) | |
Net increase (decrease) | (690) | (8,258) | |
Class I | |||
Shares sold | 390 | 213 | |
Reinvestment of distributions | — | 10 | |
Shares redeemed | (169) | (8,433) | |
Net increase (decrease) | 221 | (8,210) | |
Class K | |||
Shares sold | 1,020,207 | 752,172 | |
Reinvestment of distributions | — | 28,119 | |
Shares redeemed | (439,411) | (92,506) | |
Net increase (decrease) | 580,796 | 687,785 |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.73 | $10.12 | $ 9.79 | $10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.16 | 0.17 | 0.15 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.08) | 0.71 | 0.32 | (0.21) | 0.01 | ||||
Total from investment operations | (0.02) | 0.87 | 0.49 | (0.06) | 0.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.17) | (0.15) | (0.17) | (0.03) | ||||
Net realized gains | — | (0.09) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.26) | (0.16) | (0.18) | (0.03) | ||||
Net asset value, end of period | $10.71 | $10.73 | $10.12 | $ 9.79 | $10.03 | ||||
Total return (c) | (0.19)% | 8.65% | 5.01% | (0.64)% | 0.64% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 100 | $ 100 | $ 422 | $ 408 | $ 418 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.51%(e) | 0.61% | 0.91% | 1.40% | 21.65%(e) | ||||
Net expenses (d) | 0.22%(e) | 0.20% | 0.22% | 0.26% | 0.62%(e) | ||||
Net investment income (loss) | 1.18%(e) | 1.54% | 1.68% | 1.48% | 1.82%(e) | ||||
Portfolio turnover rate | 10%(f) | 25% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.73 | $10.12 | $ 9.79 | $10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.08 | 0.19 | 0.19 | 0.19 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.09) | 0.71 | 0.32 | (0.23) | 0.02 | ||||
Total from investment operations | (0.01) | 0.90 | 0.51 | (0.04) | 0.07 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.17) | (0.19) | (0.04) | ||||
Net realized gains | — | (0.09) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.18) | (0.20) | (0.04) | ||||
Net asset value, end of period | $10.72 | $10.73 | $10.12 | $ 9.79 | $10.03 | ||||
Total return (c) | (0.09)% | 8.92% | 5.27% | (0.39)% | 0.70% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 102 | $ 139 | $ 612 | $ 653 | $ 418 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.25%(e) | 0.36% | 0.66% | 1.15% | 21.40%(e) | ||||
Net expenses (d) | (0.03)%(e)(f) | (0.05)%(f) | (0.03)%(f) | 0.01% | 0.37%(e) | ||||
Net investment income (loss) | 1.42%(e) | 1.78% | 1.89% | 1.94% | 2.07%(e) | ||||
Portfolio turnover rate | 10%(g) | 25% | 37% | 31% | 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 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 acquired fund fees for the period ended June 30, 2018, the waiver exceed the total fund expenses. |
(g) | Not annualized. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 10.71 | $ 10.12 | $ 9.78 | $ 10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.08 | 0.28 | 0.23 | 0.20 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.09) | 0.60 | 0.29 | (0.25) | 0.02 | ||||
Total from investment operations | (0.01) | 0.88 | 0.52 | (0.05) | 0.08 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.17) | (0.19) | (0.05) | ||||
Net realized gains | — | (0.09) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.18) | (0.20) | (0.05) | ||||
Net asset value, end of period | $ 10.70 | $ 10.71 | $ 10.12 | $ 9.78 | $10.03 | ||||
Total return (c) | (0.09)% | 8.83% | 5.28% | (0.49)% | 0.75% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $192,687 | $135,420 | $55,499 | $22,265 | $1,558 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.26%(e) | 0.36% | 0.66% | 1.15% | 25.06%(e) | ||||
Net expenses (d) | (0.03)%(e)(f) | (0.02)%(f) | (0.04)%(f) | 0.01% | 0.17%(e) | ||||
Net investment income (loss) | 1.45%(e) | 2.61% | 2.23% | 1.99% | 2.59%(e) | ||||
Portfolio turnover rate | 10%(g) | 25% | 37% | 31% | 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 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 acquired fund fees for the period ended June 30, 2018, the waiver exceed the total fund expenses. |
(g) | Not annualized. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.84 | $10.09 | $ 9.72 | $10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.16 | 0.17 | 0.17 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.09) | 0.85 | 0.41 | (0.27) | 0.03 | ||||
Total from investment operations | (0.03) | 1.01 | 0.58 | (0.10) | 0.08 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.16) | (0.14) | (0.16) | (0.05) | ||||
Net realized gains | — | (0.10) | (0.07) | (0.05) | (0.00)(b) | ||||
Total distributions | — | (0.26) | (0.21) | (0.21) | (0.05) | ||||
Net asset value, end of period | $10.81 | $10.84 | $10.09 | $ 9.72 | $10.03 | ||||
Total return (c) | (0.28)% | 10.02% | 5.92% | (1.00)% | 0.81% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 79 | $ 101 | $ 608 | $ 585 | $ 585 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.46%(e) | 0.52% | 0.83% | 5.32% | 15.05%(e) | ||||
Net expenses (d) | 0.24%(e) | 0.19% | 0.25% | 0.27% | 0.62%(e) | ||||
Net investment income (loss) | 1.05%(e) | 1.47% | 1.73% | 1.65% | 2.06%(e) | ||||
Portfolio turnover rate | 14%(f) | 34% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $10.85 | $10.09 | $ 9.72 | $10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.19 | 0.19 | 0.23 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.07) | 0.86 | 0.41 | (0.31) | 0.03 | ||||
Total from investment operations | (0.01) | 1.05 | 0.60 | (0.08) | 0.09 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.19) | (0.16) | (0.18) | (0.06) | ||||
Net realized gains | — | (0.10) | (0.07) | (0.05) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.23) | (0.23) | (0.06) | ||||
Net asset value, end of period | $10.84 | $10.85 | $10.09 | $ 9.72 | $10.03 | ||||
Total return (c) | (0.09)% | 10.39% | 6.19% | (0.75)% | 0.87% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 43 | $ 189 | $ 819 | $1,030 | $ 585 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.23%(e) | 0.27% | 0.58% | 5.07% | 14.80%(e) | ||||
Net expenses (d) | 0.01%(e) | (0.05)%(f) | 0.01% | 0.02% | 0.37%(e) | ||||
Net investment income (loss) | 1.11%(e) | 1.79% | 1.85% | 2.32% | 2.31%(e) | ||||
Portfolio turnover rate | 14%(g) | 34% | 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 acquired Fund fees for the period ended June 30, 2018, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 10.85 | $ 10.09 | $ 9.72 | $10.03 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.07 | 0.29 | 0.28 | 0.22 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.08) | 0.76 | 0.32 | (0.30) | 0.03 | ||||
Total from investment operations | (0.01) | 1.05 | 0.60 | (0.08) | 0.09 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.19) | (0.16) | (0.18) | (0.06) | ||||
Net realized gains | — | (0.10) | (0.07) | (0.05) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.23) | (0.23) | (0.06) | ||||
Net asset value, end of period | $ 10.84 | $ 10.85 | $ 10.09 | $ 9.72 | $10.03 | ||||
Total return (c) | (0.09)% | 10.39% | 6.19% | (0.74)% | 0.92% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $279,372 | $246,006 | $71,486 | $3,707 | $1,740 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21%(e) | 0.26% | 0.58% | 5.07% | 18.68%(e) | ||||
Net expenses (d) | (0.01)%(e)(f) | (0.02)%(f) | (0.01)%(f) | 0.02% | 0.17%(e) | ||||
Net investment income (loss) | 1.32%(e) | 2.71% | 2.72% | 2.19% | 2.50%(e) | ||||
Portfolio turnover rate | 14%(g) | 34% | 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 acquired Fund fees for the period ended June 30, 2018, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.35 | $10.29 | $ 9.76 | $10.14 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.22 | 0.19 | 0.24 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.09) | 1.12 | 0.50 | (0.41) | 0.12 | ||||
Total from investment operations | (0.03) | 1.34 | 0.69 | (0.17) | 0.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.15) | (0.20) | (0.03) | ||||
Net realized gains | — | (0.08) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.28) | (0.16) | (0.21) | (0.03) | ||||
Net asset value, end of period | $11.32 | $11.35 | $10.29 | $ 9.76 | $10.14 | ||||
Total return (c) | (0.18)% | 13.08% | 7.07% | (1.71)% | 1.66% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 227 | $ 140 | $ 166 | $ 125 | $ 845 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.40%(e) | 0.40% | 0.49% | 0.80% | 9.36%(e) | ||||
Net expenses (d) | 0.27%(e) | 0.26% | 0.26% | 0.26% | 0.62%(e) | ||||
Net investment income (loss) | 1.06%(e) | 2.01% | 1.92% | 2.30% | 2.32%(e) | ||||
Portfolio turnover rate | 11%(f) | 18% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.34 | $10.27 | $ 9.75 | $10.14 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.25 | 0.16 | 0.33 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.08) | 1.13 | 0.54 | (0.49) | 0.11 | ||||
Total from investment operations | (0.02) | 1.38 | 0.70 | (0.16) | 0.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.17) | (0.22) | (0.03) | ||||
Net realized gains | — | (0.08) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.31) | (0.18) | (0.23) | (0.03) | ||||
Net asset value, end of period | $11.32 | $11.34 | $10.27 | $ 9.75 | $10.14 | ||||
Total return (c) | (0.18)% | 13.38% | 7.34% | (1.56)% | 1.72% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 713 | $ 680 | $ 797 | $1,811 | $ 845 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.17%(e) | 0.15% | 0.30% | 0.55% | 9.11%(e) | ||||
Net expenses (d) | 0.04%(e) | 0.01% | 0.07% | 0.01% | 0.37%(e) | ||||
Net investment income (loss) | 1.12%(e) | 2.29% | 1.54% | 3.28% | 2.57%(e) | ||||
Portfolio turnover rate | 11%(f) | 18% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 11.34 | $ 10.28 | $ 9.74 | $ 10.13 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.29 | 0.27 | 0.23 | 0.04 | ||||
Net realized and unrealized gain (loss) | (0.08) | 1.08 | 0.45 | (0.39) | 0.13 | ||||
Total from investment operations | (0.02) | 1.37 | 0.72 | (0.16) | 0.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.17) | (0.22) | (0.04) | ||||
Net realized gains | — | (0.08) | (0.01) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.31) | (0.18) | (0.23) | (0.04) | ||||
Net asset value, end of period | $ 11.32 | $ 11.34 | $ 10.28 | $ 9.74 | $10.13 | ||||
Total return (c) | (0.18)% | 13.38% | 7.45% | (1.57)% | 1.67% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $874,287 | $775,643 | $235,727 | $52,303 | $6,399 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15%(e) | 0.15% | 0.24% | 0.55% | 11.13%(e) | ||||
Net expenses (d) | 0.02%(e) | 0.02% | 0.01% | 0.01% | 0.17%(e) | ||||
Net investment income (loss) | 1.15%(e) | 2.67% | 2.60% | 2.29% | 1.62%(e) | ||||
Portfolio turnover rate | 11%(f) | 18% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.74 | $10.33 | $ 9.74 | $10.16 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.04 | 0.19 | 0.17 | 0.23 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.06) | 1.49 | 0.59 | (0.44) | 0.13 | ||||
Total from investment operations | (0.02) | 1.68 | 0.76 | (0.21) | 0.19 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.14) | (0.18) | (0.03) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.03) | (0.00)(b) | ||||
Total distributions | — | (0.27) | (0.17) | (0.21) | (0.03) | ||||
Net asset value, end of period | $11.72 | $11.74 | $10.33 | $ 9.74 | $10.16 | ||||
Total return (c) | (0.17)% | 16.25% | 7.74% | (2.11)% | 1.93% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 143 | $ 115 | $ 169 | $ 159 | $ 677 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39%(e) | 0.40% | 0.53% | 1.56% | 10.90%(e) | ||||
Net expenses (d) | 0.29%(e) | 0.28% | 0.29% | 0.28% | 0.62%(e) | ||||
Net investment income (loss) | 0.73%(e) | 1.67% | 1.65% | 2.27% | 2.38%(e) | ||||
Portfolio turnover rate | 7%(f) | 10% | 21% | 51% | 13%(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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.74 | $10.33 | $ 9.74 | $10.16 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.26 | 0.15 | 0.37 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.07) | 1.45 | 0.63 | (0.56) | 0.14 | ||||
Total from investment operations | (0.01) | 1.71 | 0.78 | (0.19) | 0.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.20) | (0.04) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.03) | (0.00)(b) | ||||
Total distributions | — | (0.30) | (0.19) | (0.23) | (0.04) | ||||
Net asset value, end of period | $11.73 | $11.74 | $10.33 | $ 9.74 | $10.16 | ||||
Total return (c) | (0.09)% | 16.54% | 8.01% | (1.87)% | 1.99% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,181 | $2,232 | $2,110 | $3,293 | $ 677 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.16%(e) | 0.15% | 0.33% | 1.31% | 10.65%(e) | ||||
Net expenses (d) | 0.05%(e) | 0.03% | 0.08% | 0.03% | 0.37%(e) | ||||
Net investment income (loss) | 0.97%(e) | 2.36% | 1.53% | 3.71% | 5.10%(e) | ||||
Portfolio turnover rate | 7%(f) | 10% | 21% | 51% | 13%(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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 11.75 | $ 10.34 | $ 9.75 | $ 10.16 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.06 | 0.30 | 0.29 | 0.29 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.06) | 1.41 | 0.49 | (0.47) | 0.15 | ||||
Total from investment operations | 0.00 | 1.71 | 0.78 | (0.18) | 0.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.20) | (0.04) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.03) | (0.00)(b) | ||||
Total distributions | — | (0.30) | (0.19) | (0.23) | (0.04) | ||||
Net asset value, end of period | $ 11.75 | $ 11.75 | $ 10.34 | $ 9.75 | $10.16 | ||||
Total return (c) | 0.00% | 16.52% | 8.00% | (1.77)% | 2.04% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,002,142 | $830,080 | $206,696 | $21,815 | $5,597 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14%(e) | 0.15% | 0.28% | 1.31% | 11.75%(e) | ||||
Net expenses (d) | 0.04%(e) | 0.04% | 0.04% | 0.03% | 0.17%(e) | ||||
Net investment income (loss) | 1.00%(e) | 2.63% | 2.81% | 2.86% | 2.19%(e) | ||||
Portfolio turnover rate | 7%(f) | 10% | 21% | 51% | 13%(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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.00 | $10.39 | $ 9.76 | $10.15 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.02 | 0.15 | 0.15 | 0.23 | 0.05 | ||||
Net realized and unrealized gain (loss) | (0.04) | 1.71 | 0.64 | (0.44) | 0.16 | ||||
Total from investment operations | (0.02) | 1.86 | 0.79 | (0.21) | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.14) | (0.18) | (0.06) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.25) | (0.16) | (0.18) | (0.06) | ||||
Net asset value, end of period | $11.98 | $12.00 | $10.39 | $ 9.76 | $10.15 | ||||
Total return (c) | (0.17)% | 17.94% | 8.04% | (2.07)% | 2.12% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 188 | $ 107 | $ 169 | $ 159 | $ 676 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39%(e) | 0.40% | 0.51% | 0.84% | 12.85%(e) | ||||
Net expenses (d) | 0.32%(e) | 0.31% | 0.29% | 0.28% | 0.62%(e) | ||||
Net investment income (loss) | 0.42%(e) | 1.37% | 1.47% | 2.21% | 2.05%(e) | ||||
Portfolio turnover rate | 6%(f) | 7% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.98 | $10.37 | $ 9.76 | $10.15 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.04 | 0.25 | 0.14 | 0.35 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.04) | 1.64 | 0.65 | (0.54) | 0.16 | ||||
Total from investment operations | 0.00 | 1.89 | 0.79 | (0.19) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.20) | (0.07) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.28) | (0.18) | (0.20) | (0.07) | ||||
Net asset value, end of period | $11.98 | $11.98 | $10.37 | $ 9.76 | $10.15 | ||||
Total return (c) | 0.00%(d) | 18.27% | 8.10% | (1.83)% | 2.18% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,765 | $1,716 | $1,522 | $2,066 | $ 676 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.15%(f) | 0.15% | 0.30% | 0.59% | 12.59%(f) | ||||
Net expenses (e) | 0.08%(f) | 0.06% | 0.08% | 0.03% | 0.37%(f) | ||||
Net investment income (loss) | 0.62%(f) | 2.25% | 1.39% | 3.52% | 2.30%(f) | ||||
Portfolio turnover rate | 6%(g) | 7% | 18% | 33% | 18%(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) | Amount is less than 0.005%. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.00 | $ 10.38 | $ 9.76 | $ 10.15 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.04 | 0.28 | 0.25 | 0.25 | 0.07 | ||||
Net realized and unrealized gain (loss) | (0.05) | 1.62 | 0.55 | (0.44) | 0.15 | ||||
Total from investment operations | (0.01) | 1.90 | 0.80 | (0.19) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.20) | (0.07) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.28) | (0.18) | (0.20) | (0.07) | ||||
Net asset value, end of period | $ 11.99 | $ 12.00 | $ 10.38 | $ 9.76 | $10.15 | ||||
Total return (c) | (0.08)% | 18.35% | 8.20% | (1.83)% | 2.23% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $971,905 | $778,969 | $225,549 | $48,114 | $3,243 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14%(e) | 0.15% | 0.26% | 0.59% | 14.05%(e) | ||||
Net expenses (d) | 0.07%(e) | 0.06% | 0.05% | 0.03% | 0.17%(e) | ||||
Net investment income (loss) | 0.64%(e) | 2.46% | 2.48% | 2.42% | 2.64%(e) | ||||
Portfolio turnover rate | 6%(f) | 7% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.20 | $10.44 | $ 9.78 | $10.17 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.06 | 0.15 | 0.17 | 0.06 | ||||
Net realized and unrealized gain (loss) | (0.01) | 1.96 | 0.67 | (0.39) | 0.15 | ||||
Total from investment operations | 0.00 | 2.02 | 0.82 | (0.22) | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.19) | (0.13) | (0.15) | (0.04) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.02) | (0.00)(b) | ||||
Total distributions | — | (0.26) | (0.16) | (0.17) | (0.04) | ||||
Net asset value, end of period | $12.20 | $12.20 | $10.44 | $ 9.78 | $10.17 | ||||
Total return (c) | 0.00%(d) | 19.34% | 8.33% | (2.15)% | 2.13% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 128 | $ 127 | $ 606 | $ 489 | $ 508 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.42%(f) | 0.42% | 0.58% | 2.08% | 17.04%(f) | ||||
Net expenses (e) | 0.35%(f) | 0.31% | 0.30% | 0.28% | 0.62%(f) | ||||
Net investment income (loss) | 0.09%(f) | 0.51% | 1.48% | 1.65% | 2.53%(f) | ||||
Portfolio turnover rate | 6%(g) | 6% | 18% | 38% | 7%(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) | Amount is less than 0.005%. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.18 | $10.43 | $ 9.77 | $10.17 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.02 | 0.13 | 0.11 | 0.31 | 0.07 | ||||
Net realized and unrealized gain (loss) | (0.00)(b) | 1.91 | 0.74 | (0.51) | 0.15 | ||||
Total from investment operations | 0.02 | 2.04 | 0.85 | (0.20) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.22) | (0.16) | (0.18) | (0.05) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.02) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.19) | (0.20) | (0.05) | ||||
Net asset value, end of period | $12.20 | $12.18 | $10.43 | $ 9.77 | $10.17 | ||||
Total return (c) | 0.16% | 19.56% | 8.61% | (2.00)% | 2.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 387 | $ 371 | $ 840 | $1,416 | $ 508 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.16%(e) | 0.17% | 0.36% | 1.83% | 16.79%(e) | ||||
Net expenses (d) | 0.09%(e) | 0.07% | 0.09% | 0.03% | 0.37%(e) | ||||
Net investment income (loss) | 0.35%(e) | 1.10% | 1.08% | 3.07% | 2.78%(e) | ||||
Portfolio turnover rate | 6%(f) | 6% | 18% | 38% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.21 | $ 10.44 | $ 9.78 | $ 10.17 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.02 | 0.27 | 0.27 | 0.32 | 0.03 | ||||
Net realized and unrealized gain (loss) | (0.01) | 1.79 | 0.58 | (0.51) | 0.20 | ||||
Total from investment operations | 0.01 | 2.06 | 0.85 | (0.19) | 0.23 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.22) | (0.16) | (0.18) | (0.06) | ||||
Net realized gains | — | (0.07) | (0.03) | (0.02) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.19) | (0.20) | (0.06) | ||||
Net asset value, end of period | $ 12.22 | $ 12.21 | $ 10.44 | $ 9.78 | $10.17 | ||||
Total return (c) | 0.08% | 19.73% | 8.60% | (1.90)% | 2.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $800,296 | $584,717 | $165,008 | $17,223 | $3,208 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15%(e) | 0.17% | 0.33% | 1.83% | 17.89%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.08% | 0.06% | 0.03% | 0.17%(e) | ||||
Net investment income (loss) | 0.36%(e) | 2.34% | 2.64% | 3.12% | 1.28%(e) | ||||
Portfolio turnover rate | 6%(f) | 6% | 18% | 38% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.26 | $10.40 | $ 9.71 | $10.13 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.00(b) | 0.12 | 0.13 | 0.21 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.01 | 1.99 | 0.72 | (0.47) | 0.16 | ||||
Total from investment operations | 0.01 | 2.11 | 0.85 | (0.26) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.13) | (0.16) | (0.09) | ||||
Net realized gains | — | (0.05) | (0.03) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.25) | (0.16) | (0.16) | (0.09) | ||||
Net asset value, end of period | $12.27 | $12.26 | $10.40 | $ 9.71 | $10.13 | ||||
Total return (c) | 0.08% | 20.29% | 8.73% | (2.53)% | 2.17% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 302 | $ 109 | $ 153 | $ 141 | $ 506 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.41%(e) | 0.42% | 0.57% | 1.04% | 18.29%(e) | ||||
Net expenses (d) | 0.33%(e) | 0.32% | 0.29% | 0.27% | 0.62%(e) | ||||
Net investment income (loss) | 0.01%(e) | 1.07% | 1.34% | 2.07% | 2.28%(e) | ||||
Portfolio turnover rate | 6%(f) | 6% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.26 | $10.39 | $ 9.71 | $10.13 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.24 | 0.09 | 0.40 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.02 | 1.91 | 0.78 | (0.63) | 0.16 | ||||
Total from investment operations | 0.03 | 2.15 | 0.87 | (0.23) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.19) | (0.09) | ||||
Net realized gains | — | (0.05) | (0.03) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.28) | (0.19) | (0.19) | (0.09) | ||||
Net asset value, end of period | $12.29 | $12.26 | $10.39 | $ 9.71 | $10.13 | ||||
Total return (c) | 0.24% | 20.59% | 9.00% | (2.28)% | 2.23% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,084 | $ 912 | $ 708 | $1,501 | $ 506 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.18%(e) | 0.17% | 0.38% | 0.79% | 18.04%(e) | ||||
Net expenses (d) | 0.10%(e) | 0.07% | 0.10% | 0.02% | 0.37%(e) | ||||
Net investment income (loss) | 0.22%(e) | 2.14% | 0.86% | 4.02% | 2.53%(e) | ||||
Portfolio turnover rate | 6%(f) | 6% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.27 | $ 10.40 | $ 9.72 | $ 10.13 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.02 | 0.26 | 0.24 | 0.25 | 0.05 | ||||
Net realized and unrealized gain (loss) | 0.01 | 1.89 | 0.63 | (0.47) | 0.18 | ||||
Total from investment operations | 0.03 | 2.15 | 0.87 | (0.22) | 0.23 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.16) | (0.19) | (0.10) | ||||
Net realized gains | — | (0.05) | (0.03) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.28) | (0.19) | (0.19) | (0.10) | ||||
Net asset value, end of period | $ 12.30 | $ 12.27 | $ 10.40 | $ 9.72 | $10.13 | ||||
Total return (c) | 0.24% | 20.69% | 8.89% | (2.18)% | 2.28% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $645,363 | $458,132 | $143,526 | $35,359 | $1,512 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.16%(e) | 0.17% | 0.32% | 0.79% | 20.53%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.07% | 0.05% | 0.02% | 0.17%(e) | ||||
Net investment income (loss) | 0.24%(e) | 2.30% | 2.31% | 2.47% | 1.90%(e) | ||||
Portfolio turnover rate | 6%(f) | 6% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.29 | $10.36 | $ 9.64 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.01) | 0.07 | 0.14 | 0.17 | 0.05 | ||||
Net realized and unrealized gain (loss) | 0.06 | 2.12 | 0.73 | (0.43) | 0.17 | ||||
Total from investment operations | 0.05 | 2.19 | 0.87 | (0.26) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.21) | (0.13) | (0.15) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.26) | (0.15) | (0.16) | (0.16) | ||||
Net asset value, end of period | $12.34 | $12.29 | $10.36 | $ 9.64 | $10.06 | ||||
Total return (c) | 0.41% | 21.15% | 9.04% | (2.64)% | 2.14% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 150 | $ 141 | $ 375 | $ 321 | $ 335 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.43%(e) | 0.46% | 0.82% | 3.50% | 30.47%(e) | ||||
Net expenses (d) | 0.33%(e) | 0.31% | 0.29% | 0.26% | 0.62%(e) | ||||
Net investment income (loss) | (0.12)%(e) | 0.62% | 1.41% | 1.63% | 2.07%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 17% | 35% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.29 | $10.36 | $ 9.64 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.20 | 0.15 | 0.30 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.05 | 2.02 | 0.75 | (0.54) | 0.16 | ||||
Total from investment operations | 0.06 | 2.22 | 0.90 | (0.24) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.24) | (0.16) | (0.17) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.18) | (0.18) | (0.16) | ||||
Net asset value, end of period | $12.35 | $12.29 | $10.36 | $ 9.64 | $10.06 | ||||
Total return (c) | 0.49% | 21.45% | 9.31% | (2.40)% | 2.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 609 | $ 762 | $ 853 | $ 782 | $ 335 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.19%(e) | 0.21% | 0.59% | 3.25% | 30.22%(e) | ||||
Net expenses (d) | 0.09%(e) | 0.06% | 0.06% | 0.01% | 0.37%(e) | ||||
Net investment income (loss) | 0.11%(e) | 1.73% | 1.46% | 2.97% | 2.32%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 17% | 35% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.29 | $ 10.36 | $ 9.63 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.28 | 0.27 | 0.30 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.05 | 1.94 | 0.64 | (0.55) | 0.17 | ||||
Total from investment operations | 0.06 | 2.22 | 0.91 | (0.25) | 0.23 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.24) | (0.16) | (0.17) | (0.17) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.18) | (0.18) | (0.17) | ||||
Net asset value, end of period | $ 12.35 | $ 12.29 | $ 10.36 | $ 9.63 | $10.06 | ||||
Total return (c) | 0.49% | 21.45% | 9.31% | (2.40)% | 2.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $455,892 | $300,444 | $76,304 | $8,374 | $ 335 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.18%(e) | 0.21% | 0.57% | 3.25% | 30.02%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.07% | 0.05% | 0.01% | 0.17%(e) | ||||
Net investment income (loss) | 0.13%(e) | 2.39% | 2.62% | 2.99% | 2.53%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 17% | 35% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.26 | $10.34 | $ 9.62 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.01) | 0.10 | 0.13 | 0.16 | 0.05 | ||||
Net realized and unrealized gain (loss) | 0.04 | 2.09 | 0.74 | (0.45) | 0.16 | ||||
Total from investment operations | 0.03 | 2.19 | 0.87 | (0.29) | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.22) | (0.13) | (0.15) | (0.15) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.27) | (0.15) | (0.15) | (0.15) | ||||
Net asset value, end of period | $12.29 | $12.26 | $10.34 | $ 9.62 | $10.06 | ||||
Total return (c) | 0.24% | 21.19% | 9.07% | (2.85)% | 2.13% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 183 | $ 109 | $ 180 | $ 160 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.57%(e) | 0.50% | 1.15% | 4.90% | 59.96%(e) | ||||
Net expenses (d) | 0.43%(e) | 0.31% | 0.29% | 0.27% | 0.62%(e) | ||||
Net investment income (loss) | (0.21)%(e) | 0.86% | 1.35% | 1.61% | 2.03%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.24 | $10.33 | $ 9.62 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.15 | 0.08 | 0.43 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.05 | 2.06 | 0.80 | (0.69) | 0.16 | ||||
Total from investment operations | 0.06 | 2.21 | 0.88 | (0.26) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.25) | (0.15) | (0.18) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.30) | (0.17) | (0.18) | (0.16) | ||||
Net asset value, end of period | $12.30 | $12.24 | $10.33 | $ 9.62 | $10.06 | ||||
Total return (c) | 0.49% | 21.30% | 9.34% | (2.61)% | 2.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 241 | $ 240 | $ 366 | $ 795 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.23%(e) | 0.25% | 0.97% | 4.65% | 59.71%(e) | ||||
Net expenses (d) | 0.09%(e) | 0.06% | 0.12% | 0.02% | 0.37%(e) | ||||
Net investment income (loss) | 0.11%(e) | 1.34% | 0.76% | 4.40% | 2.28%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.24 | $ 10.33 | $ 9.61 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.27 | 0.26 | 0.28 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.05 | 1.94 | 0.63 | (0.55) | 0.16 | ||||
Total from investment operations | 0.06 | 2.21 | 0.89 | (0.27) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.25) | (0.15) | (0.18) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | ||||
Total distributions | — | (0.30) | (0.17) | (0.18) | (0.16) | ||||
Net asset value, end of period | $ 12.30 | $ 12.24 | $ 10.33 | $ 9.61 | $10.06 | ||||
Total return (c) | 0.49% | 21.42% | 9.35% | (2.71)% | 2.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $294,774 | $212,217 | $48,016 | $5,736 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.22%(e) | 0.25% | 0.90% | 4.65% | 59.52%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.07% | 0.05% | 0.02% | 0.17%(e) | ||||
Net investment income (loss) | 0.13%(e) | 2.37% | 2.61% | 2.82% | 2.48%(e) | ||||
Portfolio turnover rate | 6%(f) | 5% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.25 | $10.32 | $ 9.60 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.01) | 0.12 | 0.13 | 0.16 | 0.05 | ||||
Net realized and unrealized gain (loss) | 0.07 | 2.07 | 0.74 | (0.45) | 0.16 | ||||
Total from investment operations | 0.06 | 2.19 | 0.87 | (0.29) | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.21) | (0.13) | (0.16) | (0.15) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.26) | (0.15) | (0.17) | (0.15) | ||||
Net asset value, end of period | $12.31 | $12.25 | $10.32 | $ 9.60 | $10.06 | ||||
Total return (c) | 0.49% | 21.20% | 9.06% | (2.90)% | 2.13% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 114 | $ 102 | $ 172 | $ 160 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.64%(e) | 0.77% | 2.34% | 7.94% | 59.87%(e) | ||||
Net expenses (d) | 0.33%(e) | 0.31% | 0.29% | 0.27% | 0.62%(e) | ||||
Net investment income (loss) | (0.12)%(e) | 1.04% | 1.30% | 1.62% | 2.03%(e) | ||||
Portfolio turnover rate | 11%(f) | 7% | 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $12.25 | $10.32 | $ 9.60 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.11 | 0.16 | 0.22 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.07 | 2.11 | 0.73 | (0.49) | 0.16 | ||||
Total from investment operations | 0.08 | 2.22 | 0.89 | (0.27) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.24) | (0.15) | (0.18) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.17) | (0.19) | (0.16) | ||||
Net asset value, end of period | $12.33 | $12.25 | $10.32 | $ 9.60 | $10.06 | ||||
Total return (c) | 0.65% | 21.60% | 9.33% | (2.65)% | 2.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 111 | $ 105 | $ 271 | $ 222 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39%(e) | 0.52% | 2.09% | 7.69% | 59.62%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.06% | 0.04% | 0.02% | 0.37%(e) | ||||
Net investment income (loss) | 0.13%(e) | 0.95% | 1.58% | 2.20% | 2.28%(e) | ||||
Portfolio turnover rate | 11%(f) | 7% | 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 12.23 | $ 10.31 | $ 9.59 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.31 | 0.26 | 0.27 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.07 | 1.90 | 0.63 | (0.55) | 0.16 | ||||
Total from investment operations | 0.08 | 2.21 | 0.89 | (0.28) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.24) | (0.15) | (0.18) | (0.16) | ||||
Net realized gains | — | (0.05) | (0.02) | (0.01) | (0.00)(b) | ||||
Total distributions | — | (0.29) | (0.17) | (0.19) | (0.16) | ||||
Net asset value, end of period | $ 12.31 | $ 12.23 | $ 10.31 | $ 9.59 | $10.06 | ||||
Total return (c) | 0.65% | 21.53% | 9.34% | (2.75)% | 2.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $119,924 | $81,529 | $18,718 | $3,043 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.39%(e) | 0.51% | 2.09% | 7.69% | 59.42%(e) | ||||
Net expenses (d) | 0.08%(e) | 0.07% | 0.05% | 0.02% | 0.17%(e) | ||||
Net investment income (loss) | 0.13%(e) | 2.67% | 2.61% | 2.64% | 2.48%(e) | ||||
Portfolio turnover rate | 11%(f) | 7% | 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. |
Table of Contents
Class A | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.92 | $10.09 | $ 9.50 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.01) | 0.10 | 0.13 | 0.17 | 0.05 | ||||
Net realized and unrealized gain (loss) | 0.05 | 2.04 | 0.71 | (0.45) | 0.16 | ||||
Total from investment operations | 0.04 | 2.14 | 0.84 | (0.28) | 0.21 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.20) | (0.12) | (0.17) | (0.15) | ||||
Net realized gains | — | (0.11) | (0.13) | (0.11) | (0.00)(b) | ||||
Total distributions | — | (0.31) | (0.25) | (0.28) | (0.15) | ||||
Net asset value, end of period | $11.96 | $11.92 | $10.09 | $ 9.50 | $10.06 | ||||
Total return (c) | 0.34% | 21.24% | 8.81% | (2.78)% | 2.12% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 92 | $ 100 | $ 168 | $ 158 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 1.90%(e) | 3.39% | 11.61% | 30.01% | 59.73%(e) | ||||
Net expenses (d) | 0.32%(e) | 0.31% | 0.30% | 0.27% | 0.62%(e) | ||||
Net investment income (loss) | (0.11)%(e) | 0.91% | 1.30% | 1.68% | 2.04%(e) | ||||
Portfolio turnover rate | 32%(f) | 18% | 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 of the Fund. Total return for periods less than one year are 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. |
Table of Contents
Class I | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $11.91 | $10.09 | $ 9.50 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.15 | 0.15 | 0.20 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.04 | 2.01 | 0.71 | (0.46) | 0.16 | ||||
Total from investment operations | 0.05 | 2.16 | 0.86 | (0.26) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.14) | (0.19) | (0.16) | ||||
Net realized gains | — | (0.11) | (0.13) | (0.11) | (0.00)(b) | ||||
Total distributions | — | (0.34) | (0.27) | (0.30) | (0.16) | ||||
Net asset value, end of period | $11.96 | $11.91 | $10.09 | $ 9.50 | $10.06 | ||||
Total return (c) | 0.42% | 21.45% | 9.09% | (2.53)% | 2.18% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 106 | $ 103 | $ 170 | $ 162 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 1.65%(e) | 3.13% | 11.36% | 29.76% | 59.48%(e) | ||||
Net expenses (d) | 0.07%(e) | 0.06% | 0.05% | 0.02% | 0.37%(e) | ||||
Net investment income (loss) | 0.14%(e) | 1.31% | 1.51% | 1.96% | 2.29%(e) | ||||
Portfolio turnover rate | 32%(f) | 18% | 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 of the Fund. Total return for periods less than one year are 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. |
Table of Contents
Class K | |||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | 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 | $ 11.91 | $ 10.08 | $ 9.49 | $10.06 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.01 | 0.33 | 0.29 | 0.19 | 0.06 | ||||
Net realized and unrealized gain (loss) | 0.04 | 1.84 | 0.57 | (0.45) | 0.16 | ||||
Total from investment operations | 0.05 | 2.17 | 0.86 | (0.26) | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.23) | (0.14) | (0.20) | (0.16) | ||||
Net realized gains | — | (0.11) | (0.13) | (0.11) | (0.00)(b) | ||||
Total distributions | — | (0.34) | (0.27) | (0.31) | (0.16) | ||||
Net asset value, end of period | $ 11.96 | $ 11.91 | $10.08 | $ 9.49 | $10.06 | ||||
Total return (c) | 0.42% | 21.57% | 8.98% | (2.53)% | 2.24% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $19,139 | $12,141 | $3,344 | $ 269 | $ 168 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 1.67%(e) | 3.07% | 11.36% | 29.76% | 59.28%(e) | ||||
Net expenses (d) | 0.07%(e) | 0.07% | 0.06% | 0.02% | 0.17%(e) | ||||
Net investment income (loss) | 0.15%(e) | 2.94% | 2.91% | 1.88% | 2.49%(e) | ||||
Portfolio turnover rate | 32%(f) | 18% | 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 of the Fund. Total return for periods less than one year are 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. |
Table of Contents
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 2015 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2020 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2025 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2030 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2035 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2040 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2045 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2050 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2055 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2060 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
Table of Contents
Table of Contents
Table of Contents
Purchases | Sales | ||
State Street Target Retirement Fund | $ 78,569,544 | $19,180,868 | |
State Street Target Retirement 2015 Fund | 74,618,543 | 39,716,796 | |
State Street Target Retirement 2020 Fund | 196,270,619 | 90,415,326 |
Table of Contents
Purchases | Sales | ||
State Street Target Retirement 2025 Fund | $245,974,068 | $68,941,596 | |
State Street Target Retirement 2030 Fund | 248,528,200 | 53,166,046 | |
State Street Target Retirement 2035 Fund | 258,176,242 | 41,609,930 | |
State Street Target Retirement 2040 Fund | 221,802,551 | 35,073,840 | |
State Street Target Retirement 2045 Fund | 179,561,821 | 26,056,267 | |
State Street Target Retirement 2050 Fund | 97,385,493 | 16,166,105 | |
State Street Target Retirement 2055 Fund | 49,354,545 | 11,418,032 | |
State Street Target Retirement 2060 Fund | 12,020,501 | 5,145,131 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 205,911,427 | $ 2,706,571 | $ 2,750,646 | $ (44,075) | |||
State Street Target Retirement 2015 Fund | 296,807,833 | 4,793,819 | 3,752,246 | 1,041,573 | |||
State Street Target Retirement 2020 Fund | 899,818,054 | 31,607,385 | 11,317,091 | 20,290,294 | |||
State Street Target Retirement 2025 Fund | 1,009,583,143 | 44,847,078 | 9,734,710 | 35,112,368 | |||
State Street Target Retirement 2030 Fund | 949,181,010 | 54,687,375 | 8,814,660 | 45,872,715 | |||
State Street Target Retirement 2035 Fund | 760,865,728 | 43,930,184 | 5,019,778 | 38,910,406 | |||
State Street Target Retirement 2040 Fund | 608,736,168 | 39,829,316 | 3,718,058 | 36,111,258 | |||
State Street Target Retirement 2045 Fund | 430,162,387 | 25,469,797 | 1,295,448 | 24,174,349 | |||
State Street Target Retirement 2050 Fund | 275,407,568 | 19,172,506 | 793,856 | 18,378,650 | |||
State Street Target Retirement 2055 Fund | 114,252,876 | 5,384,498 | 166,679 | 5,217,819 | |||
State Street Target Retirement 2060 Fund | 18,915,173 | 374,058 | 155,039 | 219,019 |
Table of Contents
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 12,662,381 | $ 13,022,215 | $ — | $ 13,022,215 | ||||
State Street Target Retirement 2015 Fund | 17,600,812 | 18,106,811 | — | 18,106,811 | ||||
State Street Target Retirement 2020 Fund | 44,504,586 | 45,784,031 | — | 45,784,031 | ||||
State Street Target Retirement 2025 Fund | 40,501,485 | 41,665,771 | — | 41,665,771 | ||||
State Street Target Retirement 2030 Fund | 21,738,486 | 22,360,372 | — | 22,360,372 |
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Target Retirement Fund | Mutual Funds and Exchange Traded Products | $13,022,215 | $— | $— | $— | $13,022,215 | $13,022,215 | |||||||
State Street Target Retirement 2015 Fund | Mutual Funds and Exchange Traded Products | 18,106,811 | — | — | — | 18,106,811 | 18,106,811 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 45,784,031 | — | — | — | 45,784,031 | 45,784,031 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 41,665,771 | — | — | — | 41,665,771 | 41,665,771 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 22,360,372 | — | — | — | 22,360,372 | 22,360,372 |
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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 | |||||
State Street Target Retirement Fund | |||||||||
Class A | 0.22% | $ 998.10 | $ 1.09 | $1,023.70 | $ 1.10 | ||||
Class I | (0.03) | 999.10 | (0.15) | 1,024.90 | (0.15) | ||||
Class K | (0.03) | 999.10 | (0.15) | 1,024.90 | (0.15) | ||||
State Street Target Retirement 2015 Fund | |||||||||
Class A | 0.24 | 997.20 | 1.19 | 1,023.60 | 1.20 | ||||
Class I | 0.01 | 999.10 | 0.05 | 1,024.70 | 0.05 | ||||
Class K | (0.01) | 999.10 | (0.05) | 1,024.80 | (0.05) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class A | 0.27 | 998.20 | 1.34 | 1,023.50 | 1.35 | ||||
Class I | 0.04 | 998.20 | 0.20 | 1,024.60 | 0.20 | ||||
Class K | 0.02 | 998.20 | 0.10 | 1,024.70 | 0.10 | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class A | 0.29 | 998.30 | 1.44 | 1,023.40 | 1.45 | ||||
Class I | 0.05 | 999.10 | 0.25 | 1,024.50 | 0.25 | ||||
Class K | 0.04 | 1,000.00 | 0.20 | 1,024.60 | 0.20 | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class A | 0.32 | 998.30 | 1.59 | 1,023.20 | 1.61 | ||||
Class I | 0.08 | 1,000.00 | 0.40 | 1,024.40 | 0.40 |
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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 | |||||
Class K | 0.07% | $ 999.20 | $ 0.35 | $1,024.40 | $ 0.35 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class A | 0.35 | 1,000.00 | 1.74 | 1,023.10 | 1.76 | ||||
Class I | 0.09 | 1,001.60 | 0.45 | 1,024.30 | 0.45 | ||||
Class K | 0.08 | 1,000.80 | 0.40 | 1,024.40 | 0.40 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class A | 0.33 | 1,000.80 | 1.64 | 1,023.20 | 1.66 | ||||
Class I | 0.10 | 1,002.40 | 0.50 | 1,024.30 | 0.50 | ||||
Class K | 0.08 | 1,002.40 | 0.40 | 1,024.40 | 0.40 | ||||
State Street Target Retirement 2045 Fund | |||||||||
Class A | 0.33 | 1,004.10 | 1.64 | 1,023.20 | 1.66 | ||||
Class I | 0.09 | 1,004.90 | 0.45 | 1,024.30 | 0.45 | ||||
Class K | 0.08 | 1,004.90 | 0.40 | 1,024.40 | 0.40 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class A | 0.43 | 1,002.40 | 2.13 | 1,022.70 | 2.16 | ||||
Class I | 0.09 | 1,004.90 | 0.45 | 1,024.30 | 0.45 | ||||
Class K | 0.08 | 1,004.90 | 0.40 | 1,024.40 | 0.40 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class A | 0.33 | 1,004.90 | 1.64 | 1,023.20 | 1.66 | ||||
Class I | 0.08 | 1,006.50 | 0.40 | 1,024.40 | 0.40 | ||||
Class K | 0.08 | 1,006.50 | 0.40 | 1,024.40 | 0.40 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class A | 0.32 | 1,003.40 | 1.59 | 1,023.20 | 1.61 | ||||
Class I | 0.07 | 1,004.20 | 0.35 | 1,024.40 | 0.35 | ||||
Class K | 0.07 | 1,004.20 | 0.35 | 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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• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the past one- and three-year periods ended December 31, 2017, 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 three 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”). |
• | 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. |
• | 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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• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
State Street Financial Center
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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State Street Disciplined International Equity Fund |
State Street Disciplined U.S. Equity Fund |
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1 | |
1 | |
2 | |
3 | |
3 | |
6 | |
9 | |
10 | |
11 | |
12 | |
14 | |
20 |
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% of Net Assets | |||
Common Stocks | 99.3% | ||
Rights | 0.1 | ||
Short-Term Investments | 2.8 | ||
Liabilities in Excess of Other Assets | (2.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 25.5% | ||
Industrials | 21.9 | ||
Health Care | 10.5 | ||
Real Estate | 7.3 | ||
Telecommunication Services | 7.2 | ||
Consumer Staples | 5.5 | ||
Utilities | 4.9 | ||
Materials | 4.5 | ||
Energy | 4.5 | ||
Information Technology | 3.9 | ||
Consumer Discretionary | 3.7 | ||
Short-Term Investments | 2.8 | ||
Liabilities in Excess of Other Assets | (2.2) | ||
TOTAL | 100.0% |
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% of Net Assets | |||
Common Stocks | 99.9% | ||
Short-Term Investment | 1.8 | ||
Liabilities in Excess of Other Assets | (1.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Health Care | 18.2% | ||
Financials | 17.7 | ||
Information Technology | 16.3 | ||
Industrials | 11.8 | ||
Utilities | 11.3 | ||
Consumer Discretionary | 10.2 | ||
Consumer Staples | 10.0 | ||
Real Estate | 2.0 | ||
Energy | 1.4 | ||
Telecommunication Services | 0.5 | ||
Materials | 0.5 | ||
Short-Term Investment | 1.8 | ||
Liabilities in Excess of Other Assets | (1.7) | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | |||
COMMON STOCKS — 99.3% | |||||
AUSTRALIA — 11.8% | |||||
BHP Billiton, Ltd. | 745 | 18,665 | |||
Caltex Australia, Ltd. | 848 | 20,388 | |||
Coca-Cola Amatil, Ltd. | 6,428 | 43,694 | |||
Insurance Australia Group, Ltd. | 6,623 | 41,741 | |||
Macquarie Group, Ltd. | 621 | 56,734 | |||
Mirvac Group REIT | 24,763 | 39,702 | |||
Qantas Airways, Ltd. | 10,558 | 48,053 | |||
Sonic Healthcare, Ltd. | 401 | 7,268 | |||
South32, Ltd. | 17,065 | 45,516 | |||
Stockland REIT | 13,540 | 39,716 | |||
Wesfarmers, Ltd. | 1,265 | 46,134 | |||
407,611 | |||||
BELGIUM — 1.2% | |||||
Ageas | 845 | 42,630 | |||
CHINA — 1.0% | |||||
BOC Hong Kong Holdings, Ltd. | 7,500 | 35,323 | |||
DENMARK — 4.7% | |||||
Danske Bank A/S | 1,149 | 35,965 | |||
H Lundbeck A/S | 722 | 50,732 | |||
Novo Nordisk A/S Class B | 954 | 44,251 | |||
Orsted A/S (a) | 536 | 32,421 | |||
163,369 | |||||
FINLAND — 0.3% | |||||
Stora Enso Oyj Class R | 496 | 9,706 | |||
FRANCE — 4.4% | |||||
CNP Assurances | 742 | 16,885 | |||
Eutelsat Communications SA | 1,178 | 24,433 | |||
Gecina SA REIT | 229 | 38,314 | |||
Sanofi | 282 | 22,603 | |||
Vinci SA | 514 | 49,426 | |||
151,661 | |||||
GERMANY — 3.8% | |||||
Allianz SE | 263 | 54,357 | |||
Deutsche Lufthansa AG | 1,359 | 32,686 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 208 | 43,968 | |||
131,011 | |||||
HONG KONG — 7.8% | |||||
CLP Holdings, Ltd. | 4,000 | 43,082 | |||
Hang Seng Bank, Ltd. | 2,100 | 52,517 | |||
HKT Trust & HKT, Ltd. | 35,000 | 44,880 | |||
Jardine Matheson Holdings, Ltd. | 400 | 25,240 | |||
Kerry Properties, Ltd. | 5,000 | 23,931 | |||
Link REIT | 5,500 | 50,230 | |||
Sun Hung Kai Properties, Ltd. | 2,000 | 30,183 | |||
270,063 | |||||
ISRAEL — 0.9% | |||||
Bank Hapoalim BM | 1,015 | 6,863 | |||
Bank Leumi Le-Israel BM | 4,207 | 24,824 | |||
31,687 |
Security Description | Shares | Value | |||
ITALY — 2.1% | |||||
Eni SpA | 2,466 | 45,796 | |||
Poste Italiane SpA (a) | 3,003 | 25,139 | |||
70,935 | |||||
JAPAN — 33.0% | |||||
Alfresa Holdings Corp. | 1,500 | 35,277 | |||
Asahi Glass Co., Ltd. | 1,000 | 38,956 | |||
Asahi Kasei Corp. | 3,000 | 38,135 | |||
Astellas Pharma, Inc. | 2,800 | 42,696 | |||
Canon, Inc. (b) | 1,300 | 42,615 | |||
Central Japan Railway Co. | 200 | 41,457 | |||
Daiwa House Industry Co., Ltd. | 900 | 30,681 | |||
FUJIFILM Holdings Corp. | 1,100 | 42,961 | |||
Hitachi, Ltd. | 7,000 | 49,395 | |||
Honda Motor Co., Ltd. | 1,400 | 41,116 | |||
ITOCHU Corp. | 2,200 | 39,873 | |||
Japan Airlines Co., Ltd. | 1,100 | 39,009 | |||
Japan Post Holdings Co., Ltd. | 4,400 | 48,185 | |||
JXTG Holdings, Inc. | 2,550 | 17,731 | |||
Kajima Corp. | 5,000 | 38,731 | |||
Kyushu Railway Co. | 1,400 | 42,848 | |||
Marubeni Corp. | 6,200 | 47,304 | |||
Medipal Holdings Corp. | 300 | 6,034 | |||
Mitsubishi Corp. | 1,600 | 44,462 | |||
Mitsui & Co., Ltd. | 2,500 | 41,699 | |||
Mitsui Chemicals, Inc. | 1,600 | 42,613 | |||
Nippon Express Co., Ltd. | 300 | 21,776 | |||
Nippon Telegraph & Telephone Corp. | 900 | 40,919 | |||
NTT DOCOMO, Inc. | 1,900 | 48,416 | |||
Obayashi Corp. | 2,800 | 29,146 | |||
Taisei Corp. | 800 | 44,129 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 35,128 | |||
Tokio Marine Holdings, Inc. | 400 | 18,753 | |||
Tokyo Gas Co., Ltd. | 1,600 | 42,476 | |||
Toyota Motor Corp. | 700 | 45,312 | |||
1,137,833 | |||||
NETHERLANDS — 4.1% | |||||
Aegon NV | 6,425 | 38,528 | |||
Koninklijke Ahold Delhaize NV | 1,867 | 44,697 | |||
NN Group NV | 1,114 | 45,315 | |||
Wolters Kluwer NV | 207 | 11,663 | |||
140,203 | |||||
NORWAY — 3.7% | |||||
DNB ASA | 1,909 | 37,311 | |||
Equinor ASA | 1,726 | 45,827 | |||
Telenor ASA | 2,184 | 44,790 | |||
127,928 | |||||
SINGAPORE — 2.9% | |||||
Oversea-Chinese Banking Corp., Ltd. | 5,000 | 42,684 | |||
StarHub, Ltd. | 21,700 | 26,419 | |||
United Overseas Bank, Ltd. | 1,526 | 29,949 | |||
99,052 | |||||
SPAIN — 4.0% | |||||
ACS Actividades de Construccion y Servicios SA | 865 | 35,045 |
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Security Description | Shares | Value | |||
Aena SME SA (a) | 221 | 40,124 | |||
Enagas SA (b) | 803 | 23,476 | |||
Endesa SA (b) | 1,796 | 39,621 | |||
138,266 | |||||
SWEDEN — 1.6% | |||||
Swedish Match AB | 1,106 | 54,855 | |||
SWITZERLAND — 7.3% | |||||
ABB, Ltd. | 456 | 9,970 | |||
Baloise Holding AG | 300 | 43,597 | |||
Novartis AG | 564 | 42,759 | |||
Roche Holding AG | 188 | 41,758 | |||
Swiss Re AG | 438 | 37,803 | |||
Swisscom AG (b) | 94 | 41,957 | |||
Zurich Insurance Group AG | 119 | 35,247 | |||
253,091 | |||||
UNITED KINGDOM — 4.7% | |||||
Centrica PLC | 5,584 | 11,622 | |||
Direct Line Insurance Group PLC | 7,160 | 32,414 | |||
International Consolidated Airlines Group SA | 3,820 | 33,549 | |||
Kingfisher PLC | 3,782 | 14,830 | |||
Lloyds Banking Group PLC | 40,362 | 33,598 | |||
Smith & Nephew PLC | 1,877 | 34,644 | |||
160,657 | |||||
TOTAL COMMON STOCKS (Cost $3,309,464) | 3,425,881 |
RIGHTS — 0.1% | |||
SPAIN — 0.1% | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/11/18) (c) (Cost $943) | 865 | 891 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (d) (e) | 10,129 | 10,129 | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f) | 87,894 | 87,894 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $98,023) | 98,023 | |||||
TOTAL INVESTMENTS — 102.2% (Cost $3,408,430) | 3,524,795 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)% | (75,377) | |||||
NET ASSETS — 100.0% | $ 3,449,418 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of June 30, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(c) | Non-income producing security. |
(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, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(f) | Investment of cash collateral for securities loaned. |
REIT | = Real Estate Investment Trust |
EUR— | Euro |
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 407,611 | $— | $— | $ 407,611 | ||||
Belgium | 42,630 | — | — | 42,630 | ||||
China | 35,323 | — | — | 35,323 | ||||
Denmark | 163,369 | — | — | 163,369 | ||||
Finland | 9,706 | — | — | 9,706 | ||||
France | 151,661 | — | — | 151,661 | ||||
Germany | 131,011 | — | — | 131,011 | ||||
Hong Kong | 270,063 | — | — | 270,063 | ||||
Israel | 31,687 | — | — | 31,687 | ||||
Italy | 70,935 | — | — | 70,935 | ||||
Japan | 1,137,833 | — | — | 1,137,833 | ||||
Netherlands | 140,203 | — | — | 140,203 | ||||
Norway | 127,928 | — | — | 127,928 |
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Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||
Singapore | $ 99,052 | $— | $— | $ 99,052 | ||||
Spain | 138,266 | — | — | 138,266 | ||||
Sweden | 54,855 | — | — | 54,855 | ||||
Switzerland | 253,091 | — | — | 253,091 | ||||
United Kingdom | 160,657 | — | — | 160,657 | ||||
Rights | ||||||||
Spain | 891 | — | — | 891 | ||||
Short-Term Investments | 98,023 | — | — | 98,023 | ||||
TOTAL INVESTMENTS | $3,524,795 | $— | $— | $3,524,795 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,213 | $7,213 | $136,960 | $134,044 | $— | $— | 10,129 | $10,129 | $202 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 729,035 | 641,141 | — | — | 87,894 | 87,894 | 534 | — | |||||||||
Total | $7,213 | $865,995 | $775,185 | $— | $— | $98,023 | $736 | $— |
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Security Description | Shares | Value | ||||
COMMON STOCKS — 99.9% | ||||||
AEROSPACE & DEFENSE — 4.2% | ||||||
Harris Corp. | 131 | $ 18,935 | ||||
Lockheed Martin Corp. | 142 | 41,951 | ||||
Raytheon Co. | 203 | 39,215 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 86 | 7,388 | ||||
United Technologies Corp. | 392 | 49,012 | ||||
156,501 | ||||||
BANKS — 6.1% | ||||||
Bank of America Corp. | 1,243 | 35,040 | ||||
BB&T Corp. | 717 | 36,165 | ||||
JPMorgan Chase & Co. | 535 | 55,747 | ||||
M&T Bank Corp. | 130 | 22,120 | ||||
PNC Financial Services Group, Inc. | 354 | 47,825 | ||||
US Bancorp | 685 | 34,264 | ||||
231,161 | ||||||
BEVERAGES — 2.5% | ||||||
Coca-Cola Co. | 827 | 36,272 | ||||
Constellation Brands, Inc. Class A | 86 | 18,823 | ||||
PepsiCo, Inc. | 355 | 38,649 | ||||
93,744 | ||||||
CAPITAL MARKETS — 2.0% | ||||||
Bank of New York Mellon Corp. | 587 | 31,657 | ||||
S&P Global, Inc. | 208 | 42,409 | ||||
74,066 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 3.8% | ||||||
KAR Auction Services, Inc. | 750 | 41,100 | ||||
Republic Services, Inc. | 665 | 45,459 | ||||
Waste Management, Inc. | 684 | 55,637 | ||||
142,196 | ||||||
COMMUNICATIONS EQUIPMENT — 3.1% | ||||||
Cisco Systems, Inc. | 1,440 | 61,963 | ||||
Motorola Solutions, Inc. | 473 | 55,043 | ||||
117,006 | ||||||
CONSUMER FINANCE — 0.6% | ||||||
American Express Co. | 229 | 22,442 | ||||
CONTAINERS & PACKAGING — 0.5% | ||||||
Avery Dennison Corp. | 193 | 19,705 | ||||
DIVERSIFIED CONSUMER SERVICES — 0.7% | ||||||
H&R Block, Inc. | 1,128 | 25,696 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.5% | ||||||
AT&T, Inc. | 648 | 20,807 | ||||
ELECTRIC UTILITIES — 5.4% | ||||||
American Electric Power Co., Inc. | 597 | 41,342 | ||||
Eversource Energy | 796 | 46,654 | ||||
Exelon Corp. | 1,217 | 51,844 | ||||
Pinnacle West Capital Corp. | 582 | 46,886 | ||||
Xcel Energy, Inc. | 363 | 16,582 | ||||
203,308 |
Security Description | Shares | Value | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.2% | ||||||
TE Connectivity, Ltd. | 523 | $ 47,101 | ||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 2.0% | ||||||
Simon Property Group, Inc. REIT | 272 | 46,292 | ||||
Spirit Realty Capital, Inc. REIT | 3,447 | 27,679 | ||||
73,971 | ||||||
FOOD & STAPLES RETAILING — 2.8% | ||||||
Sysco Corp. | 811 | 55,383 | ||||
Walmart, Inc. | 580 | 49,677 | ||||
105,060 | ||||||
FOOD PRODUCTS — 3.2% | ||||||
Archer-Daniels-Midland Co. | 831 | 38,085 | ||||
Conagra Brands, Inc. | 1,009 | 36,051 | ||||
Tyson Foods, Inc. Class A | 655 | 45,097 | ||||
119,233 | ||||||
GAS UTILITIES — 1.0% | ||||||
UGI Corp. | 755 | 39,313 | ||||
HEALTH CARE EQUIPMENT & SUPPLIES — 3.8% | ||||||
Abbott Laboratories | 727 | 44,340 | ||||
Baxter International, Inc. | 1,026 | 75,760 | ||||
STERIS PLC | 231 | 24,257 | ||||
144,357 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 9.2% | ||||||
Aetna, Inc. | 150 | 27,525 | ||||
Anthem, Inc. | 79 | 18,804 | ||||
Cigna Corp. | 164 | 27,872 | ||||
Encompass Health Corp. | 273 | 18,487 | ||||
Express Scripts Holding Co. (a) | 260 | 20,075 | ||||
HCA Healthcare, Inc. | 497 | 50,992 | ||||
Humana, Inc. | 128 | 38,097 | ||||
Quest Diagnostics, Inc. | 368 | 40,458 | ||||
UnitedHealth Group, Inc. | 241 | 59,127 | ||||
WellCare Health Plans, Inc. (a) | 178 | 43,831 | ||||
345,268 | ||||||
HOTELS, RESTAURANTS & LEISURE — 4.0% | ||||||
Carnival Corp. | 676 | 38,741 | ||||
Darden Restaurants, Inc. | 527 | 56,421 | ||||
McDonald's Corp. | 217 | 34,002 | ||||
Yum! Brands, Inc. | 267 | 20,885 | ||||
150,049 | ||||||
HOUSEHOLD PRODUCTS — 1.6% | ||||||
Colgate-Palmolive Co. | 182 | 11,795 | ||||
Kimberly-Clark Corp. | 343 | 36,132 | ||||
Procter & Gamble Co. | 152 | 11,865 | ||||
59,792 | ||||||
INDUSTRIAL CONGLOMERATES — 1.2% | ||||||
Honeywell International, Inc. | 314 | 45,232 | ||||
INSURANCE — 5.5% | ||||||
Aflac, Inc. | 1,076 | 46,289 |
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Security Description | Shares | Value | ||||
Allstate Corp. | 551 | $ 50,290 | ||||
FNF Group | 295 | 11,098 | ||||
Hartford Financial Services Group, Inc. | 616 | 31,496 | ||||
Marsh & McLennan Cos., Inc. | 397 | 32,542 | ||||
Reinsurance Group of America, Inc. | 74 | 9,878 | ||||
Travelers Cos., Inc. | 214 | 26,181 | ||||
207,774 | ||||||
IT SERVICES — 4.4% | ||||||
Accenture PLC Class A | 126 | 20,612 | ||||
Amdocs, Ltd. | 568 | 37,596 | ||||
Broadridge Financial Solutions, Inc. | 303 | 34,875 | ||||
International Business Machines Corp. | 297 | 41,491 | ||||
Paychex, Inc. | 451 | 30,826 | ||||
165,400 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 0.4% | ||||||
PerkinElmer, Inc. | 213 | 15,598 | ||||
MACHINERY — 0.6% | ||||||
Cummins, Inc. | 165 | 21,945 | ||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 3.4% | ||||||
AGNC Investment Corp. REIT | 2,007 | 37,310 | ||||
Annaly Capital Management, Inc. REIT | 4,235 | 43,578 | ||||
MFA Financial, Inc. REIT | 1,466 | 11,112 | ||||
Starwood Property Trust, Inc. REIT | 1,709 | 37,103 | ||||
129,103 | ||||||
MULTI-UTILITIES — 4.9% | ||||||
Ameren Corp. | 643 | 39,127 | ||||
CenterPoint Energy, Inc. | 1,519 | 42,092 | ||||
DTE Energy Co. | 402 | 41,659 | ||||
MDU Resources Group, Inc. | 324 | 9,292 | ||||
Public Service Enterprise Group, Inc. | 935 | 50,621 | ||||
182,791 | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.4% | ||||||
Occidental Petroleum Corp. | 284 | 23,765 | ||||
Valero Energy Corp. | 255 | 28,262 | ||||
52,027 | ||||||
PHARMACEUTICALS — 4.8% | ||||||
Eli Lilly & Co. | 533 | 45,481 | ||||
Johnson & Johnson | 437 | 53,026 | ||||
Merck & Co., Inc. | 719 | 43,643 | ||||
Pfizer, Inc. | 1,040 | 37,731 | ||||
179,881 | ||||||
ROAD & RAIL — 2.1% | ||||||
Ryder System, Inc. | 433 | 31,115 | ||||
Union Pacific Corp. | 330 | 46,755 | ||||
77,870 |
Security Description | Shares | Value | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.6% | ||||||
Intel Corp. (a) | 1,129 | $ 56,122 | ||||
Maxim Integrated Products, Inc. | 354 | 20,766 | ||||
Texas Instruments, Inc. | 520 | 57,330 | ||||
134,218 | ||||||
SOFTWARE — 1.4% | ||||||
CA, Inc. | 692 | 24,670 | ||||
Intuit, Inc. | 143 | 29,215 | ||||
53,885 | ||||||
SPECIALTY RETAIL — 2.8% | ||||||
Best Buy Co., Inc. | 580 | 43,257 | ||||
Home Depot, Inc. | 210 | 40,971 | ||||
TJX Cos., Inc. | 212 | 20,178 | ||||
104,406 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.5% | ||||||
Apple, Inc. | 316 | 58,495 | ||||
HP, Inc. | 1,613 | 36,599 | ||||
95,094 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 2.7% | ||||||
Carter's, Inc. | 330 | 35,769 | ||||
PVH Corp. | 270 | 40,424 | ||||
VF Corp. | 327 | 26,657 | ||||
102,850 | ||||||
TOTAL COMMON STOCKS (Cost $3,331,187) | 3,758,850 | |||||
SHORT-TERM INVESTMENT — 1.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) (Cost $68,542) | 68,542 | 68,542 | ||||
TOTAL INVESTMENTS — 101.7% (Cost $3,399,729) | 3,827,392 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.7)% | (63,147) | |||||
NET ASSETS — 100.0% | $ 3,764,245 |
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
REIT | = Real Estate Investment Trust |
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Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Aerospace & Defense | $ 156,501 | $— | $— | $ 156,501 | ||||
Banks | 231,161 | — | — | 231,161 | ||||
Beverages | 93,744 | — | — | 93,744 | ||||
Capital Markets | 74,066 | — | — | 74,066 | ||||
Commercial Services & Supplies | 142,196 | — | — | 142,196 | ||||
Communications Equipment | 117,006 | — | — | 117,006 | ||||
Consumer Finance | 22,442 | — | — | 22,442 | ||||
Containers & Packaging | 19,705 | — | — | 19,705 | ||||
Diversified Consumer Services | 25,696 | — | — | 25,696 | ||||
Diversified Telecommunication Services | 20,807 | — | — | 20,807 | ||||
Electric Utilities | 203,308 | — | — | 203,308 | ||||
Electronic Equipment, Instruments & Components | 47,101 | — | — | 47,101 | ||||
Equity Real Estate Investment Trusts (REITS) | 73,971 | — | — | 73,971 | ||||
Food & Staples Retailing | 105,060 | — | — | 105,060 | ||||
Food Products | 119,233 | — | — | 119,233 | ||||
Gas Utilities | 39,313 | — | — | 39,313 | ||||
Health Care Equipment & Supplies | 144,357 | — | — | 144,357 | ||||
Health Care Providers & Services | 345,268 | — | — | 345,268 | ||||
Hotels, Restaurants & Leisure | 150,049 | — | — | 150,049 | ||||
Household Products | 59,792 | — | — | 59,792 | ||||
Industrial Conglomerates | 45,232 | — | — | 45,232 | ||||
Insurance | 207,774 | — | — | 207,774 | ||||
IT Services | 165,400 | — | — | 165,400 | ||||
Life Sciences Tools & Services | 15,598 | — | — | 15,598 | ||||
Machinery | 21,945 | — | — | 21,945 | ||||
Mortgage Real Estate Investment Trust (REITs) | 129,103 | — | — | 129,103 | ||||
Multi-Utilities | 182,791 | — | — | 182,791 | ||||
Oil, Gas & Consumable Fuels | 52,027 | — | — | 52,027 | ||||
Pharmaceuticals | 179,881 | — | — | 179,881 | ||||
Road & Rail | 77,870 | — | — | 77,870 | ||||
Semiconductors & Semiconductor Equipment | 134,218 | — | — | 134,218 | ||||
Software | 53,885 | — | — | 53,885 | ||||
Specialty Retail | 104,406 | — | — | 104,406 | ||||
Technology Hardware, Storage & Peripherals | 95,094 | — | — | 95,094 | ||||
Textiles, Apparel & Luxury Goods | 102,850 | — | — | 102,850 | ||||
Short-Term Investment | 68,542 | — | — | 68,542 | ||||
TOTAL INVESTMENTS | $3,827,392 | $— | $— | $3,827,392 |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 8,567 | $8,567 | $181,623 | $121,648 | $— | $— | 68,542 | $68,542 | $365 | $— |
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State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | ||
ASSETS | |||
Investments in unaffiliated issuers, at value* | $3,426,772 | $3,758,850 | |
Investments in affiliated issuers, at value | 98,023 | 68,542 | |
Total Investments | 3,524,795 | 3,827,392 | |
Foreign currency, at value | 30,457 | — | |
Cash | — | 1 | |
Receivable for investments sold | — | 216,779 | |
Dividends receivable — unaffiliated issuers | 8,269 | 6,964 | |
Dividends receivable — affiliated issuers | 17 | 69 | |
Securities lending income receivable — unaffiliated issuers | 38 | — | |
Receivable from Adviser | 14,786 | 12,431 | |
Receivable for foreign taxes recoverable | 8,794 | — | |
Prepaid expenses and other assets | 1 | — | |
TOTAL ASSETS | 3,587,157 | 4,063,636 | |
LIABILITIES | |||
Payable upon return of securities loaned | 87,894 | — | |
Payable for investments purchased | — | 255,130 | |
Advisory fee payable | 2,161 | 2,026 | |
Custodian fees payable | 8,817 | 3,422 | |
Administration fees payable | 144 | 156 | |
Trustees’ fees and expenses payable | 1,380 | 1,352 | |
Transfer agent fees payable | 615 | 615 | |
Registration and filing fees payable | 1,935 | 1,935 | |
Professional fees payable | 19,770 | 20,106 | |
Printing and postage fees payable | 14,486 | 14,019 | |
Accrued expenses and other liabilities | 537 | 630 | |
TOTAL LIABILITIES | 137,739 | 299,391 | |
NET ASSETS | $3,449,418 | $3,764,245 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $2,998,996 | $3,000,000 | |
Undistributed (distribution in excess of) net investment income (loss) | 51,732 | 35,286 | |
Accumulated net realized gain (loss) on investments and foreign currency transactions | 282,721 | 301,296 | |
Net unrealized appreciation (depreciation) on: | |||
Investments — unaffiliated issuers | 116,365 | 427,663 | |
Foreign currency translations | (396) | — | |
NET ASSETS | $3,449,418 | $3,764,245 | |
Class I | |||
Net Assets | $3,449,418 | $3,764,245 | |
Shares Outstanding | 300,000 | 300,000 | |
Net asset value, offering and redemption price per share | $ 11.50 | $ 12.55 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $3,310,407 | $3,331,187 | |
Investments in affiliated issuers | 98,023 | 68,542 | |
Total cost of investments | $3,408,430 | $3,399,729 | |
Foreign currency, at cost | $ 30,876 | $ — | |
* Includes investments in securities on loan, at value | $ 121,493 | $ — |
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State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | ||
INVESTMENT INCOME | |||
Dividend income — unaffiliated issuers | $ 89,073 | $ 47,117 | |
Dividend income — affiliated issuers | 202 | 365 | |
Dividend income — non-cash transactions | 942 | — | |
Unaffiliated securities lending income | 243 | — | |
Affiliated securities lending income | 534 | — | |
Foreign taxes withheld | (12,264) | — | |
TOTAL INVESTMENT INCOME (LOSS) | 78,730 | 47,482 | |
EXPENSES | |||
Advisory fee | 13,274 | 12,197 | |
Administration fees | 885 | 938 | |
Custodian fees | 23,143 | 8,986 | |
Trustees’ fees and expenses | 10,411 | 10,432 | |
Transfer agent fees | 5,384 | 5,384 | |
Registration fees | 13,615 | 13,615 | |
Professional fees | 28,629 | 27,461 | |
Printing and postage fees | 3,670 | 3,691 | |
Miscellaneous expenses | 2,365 | 2,454 | |
TOTAL EXPENSES | 101,376 | 85,158 | |
Expenses waived/reimbursed by the Adviser | (86,332) | (72,962) | |
NET EXPENSES | 15,044 | 12,196 | |
NET INVESTMENT INCOME (LOSS) | 63,686 | 35,286 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 134,259 | 198,947 | |
Foreign currency transactions | (1,553) | — | |
Net realized gain (loss) | 132,706 | 198,947 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | (338,455) | (245,223) | |
Foreign currency translations | (744) | — | |
Net change in unrealized appreciation/depreciation | (339,199) | (245,223) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (206,493) | (46,276) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(142,807) | $ (10,990) |
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State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | ||||||
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 63,686 | $ 99,663 | $ 35,286 | $ 65,877 | |||
Net realized gain (loss) | 132,706 | 216,275 | 198,947 | 220,350 | |||
Net change in unrealized appreciation/depreciation | (339,199) | 438,722 | (245,223) | 391,737 | |||
Net increase (decrease) in net assets resulting from operations | (142,807) | 754,660 | (10,990) | 677,964 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||
Net investment income | — | (108,756) | — | (68,064) | |||
Net realized gains | — | (47,398) | — | (183,163) | |||
Total distributions to shareholders | — | (156,154) | — | (251,227) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Cost of shares redeemed | — | (391) | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | — | (391) | — | — | |||
Net increase (decrease) in net assets during the period | (142,807) | 598,115 | (10,990) | 426,737 | |||
Net assets at beginning of period | 3,592,225 | 2,994,110 | 3,775,235 | 3,348,498 | |||
NET ASSETS AT END OF PERIOD | $3,449,418 | $3,592,225 | $3,764,245 | $3,775,235 | |||
Undistributed (distribution in excess of) net investment income (loss) | $ 51,732 | $ (11,954) | $ 35,286 | $ — | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares redeemed | — | (38) | — | — | |||
Net increase (decrease) | — | (38) | — | — |
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Class I | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 2/19/16* - 12/31/16 | |||
Net asset value, beginning of period | $11.97 | $ 9.98 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.25 | 0.33 | 0.22 | ||
Net realized and unrealized gain (loss) | (0.72) | 2.18 | 0.12 | ||
Total from investment operations | (0.47) | 2.51 | 0.34 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.36) | (0.24) | ||
Net realized gains | — | (0.16) | (0.12) | ||
Total distributions | — | (0.52) | (0.36) | ||
Net asset value, end of period | $11.50 | $11.97 | $ 9.98 | ||
Total return (b) | (3.93)% | 25.20% | 3.39% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $3,449 | $3,592 | $2,994 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 5.73%(c) | 5.93% | 5.69%(c) | ||
Net expenses | 0.85%(c) | 0.85% | 0.85%(c) | ||
Net investment income (loss) | 4.29%(c) | 2.89% | 2.48%(c) | ||
Portfolio turnover rate | 37%(d) | 49% | 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 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. |
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Class I | |||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 2/19/16* - 12/31/16 | |||
Net asset value, beginning of period | $12.58 | $11.16 | $10.00 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) (a) | 0.12 | 0.23 | 0.18 | ||
Net realized and unrealized gain (loss) | (0.15) | 2.03 | 1.23 | ||
Total from investment operations | (0.03) | 2.26 | 1.41 | ||
Distributions to shareholders from: | |||||
Net investment income | — | (0.23) | (0.18) | ||
Net realized gains | — | (0.61) | (0.07) | ||
Total distributions | — | (0.84) | (0.25) | ||
Net asset value, end of period | $12.55 | $12.58 | $11.16 | ||
Total return (b) | (0.24)% | 20.22% | 14.07% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $3,764 | $3,775 | $3,348 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 4.54%(c) | 4.76% | 4.73%(c) | ||
Net expenses | 0.65%(c) | 0.65% | 0.65%(c) | ||
Net investment income (loss) | 1.88%(c) | 1.90% | 1.90%(c) | ||
Portfolio turnover rate | 31%(d) | 50% | 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 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. |
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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 |
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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% |
Purchases | Sales | ||
State Street Disciplined International Equity Fund | $1,311,063 | $1,296,305 | |
State Street Disciplined U.S. Equity Fund | 1,205,650 | 1,178,407 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Disciplined International Equity Fund | $3,423,568 | $274,867 | $173,640 | $101,227 | |||
State Street Disciplined U.S. Equity Fund | 3,399,777 | 494,061 | 66,446 | 427,615 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non Cash Collateral Received* | Total Collateral Received | ||||
State Street Disciplined International Equity Fund | $ 121,493 | $ 87,894 | $ 39,245 | $ 127,139 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Disciplined International Equity Fund | Common Stocks | $87,894 | $— | $— | $— | $87,894 | $87,894 |
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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 Disciplined International Equity Fund | |||||||||
Class I | 0.85% | $960.70 | $4.13 | $1,020.60 | $4.26 | ||||
State Street Disciplined U.S. Equity Fund | |||||||||
Class I | 0.65 | 997.60 | 3.22 | 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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• | 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, 2017, 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 |
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• | 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”). |
• | 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. |
• | 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. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ 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, 2017; 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, 2017; |
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• | 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 session of the Board on May 17, 2018; |
• | 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. |
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One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
2000 Crown Colony Drive
Quincy, MA 02169
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
Table of Contents
Semi-Annual Report
June 30, 2018
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
1 | ||||
2 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
10 | ||||
17 |
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 HEDGED INTERNATIONAL DEVELOPED EQUITY INDEX FUND —
PORTFOLIO STATISTICS (UNAUDITED)
Portfolio Composition as of June 30, 2018
% of Net Assets | ||||||||
Mutual Funds and Exchange Traded Products | 94.8 | % | ||||||
Short-Term Investment | 3.6 | |||||||
Other Assets in Excess of Liabilities | 1.6 | |||||||
TOTAL | 100.0 | % |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
1
Table of Contents
State Street Hedged International Developed Equity Index Fund
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 94.8% |
| |||||||
UNITED STATES — 94.8% |
| |||||||
State Street International Developed Equity Index Portfolio (a) | $ | 3,013,190,480 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT — 3.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (b) (c) | 116,190,402 | 116,190,402 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 98.4% | 3,129,380,882 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.6% | 49,838,352 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,179,219,234 | ||||||
|
|
(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, 2018 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2018. |
At June 30, 2018, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Bank of America | JPY | 419,891,000 | USD | 3,820,860 | 07/03/2018 | $ | 30,032 | |||||||||||
Bank of Montreal | AUD | 715,000 | USD | 530,250 | 07/03/2018 | 1,973 | ||||||||||||
Bank of Montreal | EUR | 5,989,000 | USD | 6,944,030 | 07/03/2018 | (48,430 | ) | |||||||||||
Bank of Montreal | HKD | 5,824,000 | USD | 742,173 | 07/03/2018 | (169 | ) | |||||||||||
Bank of Montreal | CHF | 792,000 | USD | 799,985 | 07/03/2018 | 2,362 | ||||||||||||
Bank of Montreal | AUD | 933,000 | USD | 690,267 | 07/03/2018 | 920 | ||||||||||||
Bank of Montreal | EUR | 2,899,000 | USD | 3,382,840 | 07/03/2018 | (1,889 | ) | |||||||||||
Barclays Capital | GBP | 1,083,000 | USD | 1,434,757 | 07/03/2018 | 4,925 | ||||||||||||
Barclays Capital | EUR | 2,223,000 | USD | 2,582,447 | 07/03/2018 | (13,017 | ) | |||||||||||
Barclays Capital | GBP | 2,919,000 | USD | 3,849,508 | 07/03/2018 | (4,303 | ) | |||||||||||
BNP Paribas SA | SGD | 504,000 | USD | 377,007 | 07/03/2018 | 7,370 | ||||||||||||
BNP Paribas SA | EUR | 19,422,000 | USD | 22,722,120 | 07/03/2018 | 45,954 | ||||||||||||
BNP Paribas SA | AUD | 9,186,000 | USD | 6,951,386 | 07/03/2018 | 164,312 | ||||||||||||
BNP Paribas SA | NZD | 1,914,000 | USD | 1,342,872 | 07/03/2018 | 46,998 | ||||||||||||
BNP Paribas SA | DKK | 5,834,000 | USD | 916,963 | 07/03/2018 | 2,758 | ||||||||||||
BNP Paribas SA | GBP | 20,888,000 | USD | 27,834,576 | 07/03/2018 | 257,183 | ||||||||||||
BNP Paribas SA | NOK | 8,591,000 | USD | 1,051,066 | 07/03/2018 | (2,993 | ) | |||||||||||
BNP Paribas SA | HKD | 36,535,000 | USD | 4,661,253 | 07/03/2018 | 4,413 | ||||||||||||
BNP Paribas SA | USD | 5,487,081 | JPY | 594,874,000 | 07/03/2018 | (116,485 | ) | |||||||||||
BNP Paribas SA | CHF | 4,839,000 | USD | 4,934,839 | 07/03/2018 | 61,481 | ||||||||||||
BNP Paribas SA | SEK | 6,662,000 | USD | 756,058 | 07/03/2018 | 11,368 | ||||||||||||
BNP Paribas SA | AUD | 1,928,000 | USD | 1,423,344 | 07/03/2018 | (1,159 | ) | |||||||||||
BNP Paribas SA | AUD | 1,426,000 | USD | 1,058,865 | 07/03/2018 | 5,265 | ||||||||||||
Citibank N.A. | EUR | 425,361,657 | USD | 497,636,983 | 07/03/2018 | 1,005,767 | ||||||||||||
Citibank N.A. | USD | 517,041,528 | EUR | 442,843,157 | 07/03/2018 | 222 | ||||||||||||
Citibank N.A. | EUR | 442,843,157 | USD | 518,150,850 | 08/02/2018 | (13,260 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | NZD | 7,331,581 | USD | 5,144,101 | 07/03/2018 | 180,255 | ||||||||||||
Goldman Sachs Capital Markets L.P. | SEK | 705,129,531 | USD | 80,024,488 | 07/03/2018 | 1,203,838 | ||||||||||||
Goldman Sachs Capital Markets L.P. | EUR | 425,361,657 | USD | 497,643,363 | 07/03/2018 | 1,012,147 | ||||||||||||
Goldman Sachs Capital Markets L.P. | SGD | 56,606,299 | USD | 42,340,543 | 07/03/2018 | 825,105 | ||||||||||||
Goldman Sachs Capital Markets L.P. | CHF | 607,000 | USD | 610,636 | 07/03/2018 | (673 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | JPY | 210,693,000 | USD | 1,908,925 | 07/03/2018 | 6,763 | ||||||||||||
Goldman Sachs Capital Markets L.P. | SEK | 4,899,000 | USD | 551,077 | 07/03/2018 | 3,458 | ||||||||||||
Goldman Sachs Capital Markets L.P. | JPY | 567,671,000 | USD | 5,165,238 | 07/03/2018 | 40,234 | ||||||||||||
Goldman Sachs Capital Markets L.P. | SEK | 3,624,000 | USD | 408,771 | 07/03/2018 | 3,674 | ||||||||||||
Goldman Sachs Capital Markets L.P. | CHF | 1,211,000 | USD | 1,224,199 | 07/03/2018 | 4,601 |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
2
Table of Contents
State Street Hedged International Developed Equity Index Fund
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Goldman Sachs Capital Markets L.P. | USD | 41,885,075 | SGD | 57,110,299 | 07/03/2018 | $ | — | |||||||||||
Goldman Sachs Capital Markets L.P. | USD | 6,259,720 | NZD | 9,245,581 | 07/03/2018 | (1 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | USD | 517,041,528 | EUR | 442,843,157 | 07/03/2018 | 222 | ||||||||||||
Goldman Sachs Capital Markets L.P. | USD | 80,518,056 | SEK | 720,314,531 | 07/03/2018 | — | ||||||||||||
Goldman Sachs Capital Markets L.P. | SGD | 57,110,299 | USD | 41,901,977 | 08/02/2018 | (6,918 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | NZD | 9,245,581 | USD | 6,259,776 | 08/02/2018 | (32 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | EUR | 442,843,157 | USD | 518,150,850 | 08/02/2018 | (13,260 | ) | |||||||||||
Goldman Sachs Capital Markets L.P. | SEK | 720,314,531 | USD | 80,693,949 | 08/02/2018 | (2,256 | ) | |||||||||||
HSBC Bank USA | HKD | 2,819,000 | USD | 359,132 | 07/03/2018 | (184 | ) | |||||||||||
JP Morgan Chase Bank, N.A. | DKK | 328,632,566 | USD | 51,653,513 | 07/03/2018 | 155,814 | ||||||||||||
JP Morgan Chase Bank, N.A. | ILS | 29,761,174 | USD | 8,360,702 | 07/03/2018 | 230,456 | ||||||||||||
JP Morgan Chase Bank, N.A. | JPY | 41,530,347,805 | USD | 383,021,294 | 07/03/2018 | 8,080,223 | ||||||||||||
JP Morgan Chase Bank, N.A. | AUD | 271,009,050 | USD | 205,088,809 | 07/03/2018 | 4,853,817 | ||||||||||||
JP Morgan Chase Bank, N.A. | USD | 8,130,247 | ILS | 29,761,174 | 07/03/2018 | — | ||||||||||||
JP Morgan Chase Bank, N.A. | USD | 378,905,081 | JPY | 41,969,421,305 | 07/03/2018 | — | ||||||||||||
JP Morgan Chase Bank, N.A. | USD | 210,717,840 | AUD | 285,197,050 | 07/03/2018 | (48 | ) | |||||||||||
JP Morgan Chase Bank, N.A. | USD | 52,772,634 | DKK | 336,768,566 | 07/03/2018 | — | ||||||||||||
JP Morgan Chase Bank, N.A. | DKK | 336,768,566 | USD | 52,888,664 | 08/02/2018 | (5,209 | ) | |||||||||||
JP Morgan Chase Bank, N.A. | JPY | 41,969,421,305 | USD | 379,647,135 | 08/02/2018 | (12,449 | ) | |||||||||||
JP Morgan Chase Bank, N.A. | AUD | 285,197,050 | USD | 210,732,100 | 08/02/2018 | (7,438 | ) | |||||||||||
JP Morgan Chase Bank, N.A. | ILS | 29,761,174 | USD | 8,147,266 | 08/02/2018 | (104 | ) | |||||||||||
Morgan Stanley Bank, N.A. | CHF | 1,638,000 | USD | 1,649,113 | 07/03/2018 | (517 | ) | |||||||||||
Morgan Stanley Bank, N.A. | GBP | 2,159,000 | USD | 2,863,515 | 07/03/2018 | 13,094 | ||||||||||||
Royal Bank of Canada | DKK | 2,302,000 | USD | 358,100 | 07/03/2018 | (2,631 | ) | |||||||||||
Royal Bank of Canada | JPY | 274,766,000 | USD | 2,500,842 | 07/03/2018 | 20,221 | ||||||||||||
Royal Bank of Canada | GBP | 1,413,000 | USD | 1,870,666 | 07/03/2018 | 5,152 | ||||||||||||
Societe Generale | GBP | 201,627,773 | USD | 268,688,162 | 07/03/2018 | 2,488,988 | ||||||||||||
Societe Generale | JPY | 41,530,347,805 | USD | 383,024,120 | 07/03/2018 | 8,083,049 | ||||||||||||
Societe Generale | HKD | 809,662,035 | USD | 103,302,866 | 07/03/2018 | 101,388 | ||||||||||||
Societe Generale | USD | 378,905,081 | JPY | 41,969,421,305 | 07/03/2018 | — | ||||||||||||
Societe Generale | USD | 284,987,546 | GBP | 215,858,774 | 07/03/2018 | 115 | ||||||||||||
Societe Generale | USD | 109,513,271 | HKD | 859,148,035 | 07/03/2018 | (4,188 | ) | |||||||||||
Societe Generale | JPY | 41,969,421,305 | USD | 379,641,984 | 08/02/2018 | (17,601 | ) | |||||||||||
Societe Generale | GBP | 215,858,774 | USD | 285,365,947 | 08/02/2018 | (7,998 | ) | |||||||||||
Societe Generale | HKD | 859,148,035 | USD | 109,541,196 | 08/02/2018 | (12,068 | ) | |||||||||||
Toronto Dominion Bank | GBP | 201,627,774 | USD | 268,687,155 | 07/03/2018 | 2,487,980 | ||||||||||||
Toronto Dominion Bank | CHF | 233,118,571 | USD | 237,735,150 | 07/03/2018 | 2,961,424 | ||||||||||||
Toronto Dominion Bank | NOK | 176,038,520 | USD | 21,537,850 | 07/03/2018 | (60,908 | ) | |||||||||||
Toronto Dominion Bank | USD | 284,987,545 | GBP | 215,858,773 | 07/03/2018 | 115 | ||||||||||||
Toronto Dominion Bank | USD | 243,925,244 | CHF | 242,205,571 | 07/03/2018 | — | ||||||||||||
Toronto Dominion Bank | USD | 22,652,817 | NOK | 184,629,520 | 07/03/2018 | — | ||||||||||||
Toronto Dominion Bank | NOK | 184,629,520 | USD | 22,678,137 | 08/02/2018 | (1,666 | ) | |||||||||||
Toronto Dominion Bank | GBP | 215,858,773 | USD | 285,365,298 | 08/02/2018 | (8,645 | ) | |||||||||||
Toronto Dominion Bank | CHF | 242,205,571 | USD | 244,520,940 | 08/02/2018 | (14,236 | ) | |||||||||||
UBS AG | HKD | 4,308,000 | USD | 548,992 | 07/03/2018 | (116 | ) | |||||||||||
UBS AG | EUR | 4,430,000 | USD | 5,156,609 | 07/03/2018 | (15,640 | ) | |||||||||||
UBS AG | JPY | 109,041,000 | USD | 986,379 | 08/02/2018 | (17 | ) | |||||||||||
UBS AG | SEK | 5,959,000 | USD | 667,526 | 08/02/2018 | (55 | ) | |||||||||||
UBS AG | NZD | 889,000 | USD | 601,922 | 08/02/2018 | 16 | ||||||||||||
UBS AG | USD | 549,991 | GBP | 416,000 | 08/02/2018 | (23 | ) | |||||||||||
UBS AG | AUD | 12,901,000 | USD | 9,532,188 | 08/02/2018 | (698 | ) | |||||||||||
UBS AG | USD | 1,715,831 | SGD | 2,338,000 | 08/02/2018 | (151 | ) | |||||||||||
UBS AG | ILS | 1,904,000 | USD | 521,179 | 08/02/2018 | (57 | ) | |||||||||||
UBS AG | USD | 10,673,479 | EUR | 9,122,000 | 08/02/2018 | 36 | ||||||||||||
UBS AG | USD | 5,261,238 | HKD | 41,258,000 | 08/02/2018 | (272 | ) | |||||||||||
UBS AG | NOK | 8,289,000 | USD | 1,018,285 | 08/02/2018 | 68 | ||||||||||||
|
| |||||||||||||||||
Total | $ | 34,017,792 | ||||||||||||||||
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
3
Table of Contents
State Street Hedged International Developed Equity Index Fund
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
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
During the period ended June 30, 2018, average notional value related to foreign currency exchange contracts was $9,265,476,161 or 291% of net assets.
At June 30, 2018, open futures contracts purchased were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||||||||||||
Mini MSCI EAFE (long) | 1,544 | 09/21/2018 | $ | 154,293,480 | $ | 150,956,880 | $ | (3,336,600 | ) |
During the period ended June 30, 2018, average notional value related to futures contracts was $117,514,368 or 3.7% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2018.
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 | $ | 3,013,190,480 | $ | — | $ | — | $ | 3,013,190,480 | ||||||||
Short-Term Investment | 116,190,402 | — | — | 116,190,402 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 3,129,380,882 | $ | — | $ | — | $ | 3,129,380,882 | ||||||||
|
|
|
|
|
|
|
| |||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts (a) | — | 34,415,556 | — | 34,415,556 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ | — | $ | 34,415,556 | $ | — | $ | 34,415,556 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ | 3,129,380,882 | $ | 34,415,556 | $ | — | $ | 3,163,796,438 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts (a) | — | (397,764 | ) | — | (397,764 | ) | ||||||||||
Futures Contracts (b) | (3,336,600 | ) | — | — | (3,336,600 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ | (3,336,600 | ) | $ | (397,764 | ) | $ | — | $ | (3,734,364 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
4
Table of Contents
State Street Hedged International Developed Equity Index Fund
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 39,174,029 | $ | 39,174,029 | $ | 286,994,324 | $ | 209,977,951 | $ | — | $ | — | 116,190,402 | $ | 116,190,402 | $ | 561,812 | $ | — |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
5
Table of Contents
State Street Hedged International Developed Equity Index Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2018 (Unaudited)
ASSETS | ||||
Investments in corresponding affiliated Portfolio, at value | $ | 3,013,190,480 | ||
Investments in affiliated issuers, at value | 116,190,402 | |||
|
| |||
Total Investments | 3,129,380,882 | |||
Foreign currency, at value | 4,141 | |||
Cash at broker | 9,855,537 | |||
Receivable for fund shares sold | 19,374,680 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 34,415,556 | |||
Dividends receivable — affiliated issuers | 211,376 | |||
Receivable from Adviser | 249,178 | |||
Receivable for foreign taxes recoverable | 868,103 | |||
Prepaid expenses and other assets | 285,369 | |||
|
| |||
TOTAL ASSETS | 3,194,644,822 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares repurchased | 11,153,515 | |||
Payable to broker — variation margin on open futures contracts | 3,330,081 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 397,764 | |||
Advisory fee payable | 363,197 | |||
Custodian fees payable | 6,480 | |||
Administration fees payable | 129,724 | |||
Trustees’ fees and expenses payable | 489 | |||
Transfer agent fees payable | 1,858 | |||
Registration and filing fees payable | 3,537 | |||
Professional fees payable | 20,760 | |||
Printing and postage fees payable | 18,133 | |||
Accrued expenses and other liabilities | 50 | |||
|
| |||
TOTAL LIABILITIES | 15,425,588 | |||
|
| |||
NET ASSETS | $ | 3,179,219,234 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in Capital | $ | 2,819,093,397 | ||
Undistributed (distribution in excess of) net investment income (loss) | 125,726,929 | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions, foreign forward currency exchange contracts and futures contracts | (91,673,812 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments — affiliated Portfolio | 297,079,591 | |||
Foreign currency translations | 19,797 | |||
Forward foreign currency exchange transactions | 34,017,792 | |||
Foreign currency transactions allocated from Portfolio | (39,167 | ) | ||
Futures contracts | (3,336,600 | ) | ||
Futures contracts allocated from Portfolio | (1,668,693 | ) | ||
|
| |||
NET ASSETS | $ | 3,179,219,234 | ||
|
| |||
Class K | ||||
Net Assets | $ | 3,179,219,234 | ||
Shares Outstanding | 305,973,405 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.39 | ||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in Affiliated Portfolio | $ | 2,716,110,889 | ||
Investments in affiliated issuers | 116,190,402 | |||
|
| |||
Total cost of investments | $ | 2,832,301,291 | ||
|
| |||
Foreign currency, at cost | $ | 4,144 | ||
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
6
Table of Contents
State Street Hedged International Developed Equity Index Fund
For the Six Months Ended June 30, 2018 (Unaudited)
INVESTMENT INCOME | ||||
Dividend income allocated from affiliated Portfolio | $ | 68,032,835 | ||
Interest income — unaffiliated issuers | 23,596 | |||
Dividend income — affiliated issuers | 561,812 | |||
Expenses allocated from affiliated Portfolio | (2,042,568 | ) | ||
Foreign taxes withheld allocated from affiliated Portfolio | (6,330,754 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME | 60,244,921 | |||
|
| |||
EXPENSES | ||||
Advisory fee | 2,108,543 | |||
Administration fees | 753,051 | |||
Custodian fees | 62,135 | |||
Trustees’ fees and expenses | 8,568 | |||
Transfer agent fees | 11,419 | |||
Registration fees | 44,994 | |||
Professional fees and expenses | 27,825 | |||
Printing and postage fees | 17,803 | |||
Insurance expense | 548 | |||
Miscellaneous expenses | 211,207 | |||
|
| |||
TOTAL EXPENSES | 3,246,093 | |||
|
| |||
Expenses waived/reimbursed by the Adviser | (2,276,457 | ) | ||
|
| |||
NET EXPENSES | 969,636 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 59,275,285 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments allocated from affiliated Portfolio | 6,791,695 | |||
Foreign currency transactions allocated from affiliated Portfolio | (609,585 | ) | ||
Futures contracts allocated from affiliated Portfolio | (160,361 | ) | ||
Forward foreign currency exchange contracts | 48,531,039 | |||
Foreign currency transactions | 269,048 | |||
Futures contracts | (838,245 | ) | ||
|
| |||
Net realized gain (loss) | 53,983,591 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments allocated from affiliated Portfolio | (133,767,095 | ) | ||
Forward foreign currency exchange contracts | 41,160,839 | |||
Foreign currency transactions allocated from affiliated Portfolio | (321,332 | ) | ||
Foreign currency translations | (1,064 | ) | ||
Future contracts allocated from affiliated Portfolio | (2,626,021 | ) | ||
Futures contracts | (4,009,017 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | (99,563,690 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (45,580,099 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 13,695,186 | ||
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
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State Street Hedged International Developed Equity Index Fund
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 59,275,285 | $ | 68,055,705 | ||||
Net realized gain (loss) | 53,983,591 | (120,873,383 | ) | |||||
Net change in unrealized appreciation/depreciation | (99,563,690 | ) | 440,315,908 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 13,695,186 | 387,498,230 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net Realized Gains | ||||||||
Class K | — | (87,868,525 | ) | |||||
|
|
|
| |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||||||
Class K | ||||||||
Proceeds from sale of shares sold | 643,465,287 | 737,681,977 | ||||||
Reinvestment of distributions | — | 86,828,654 | ||||||
Cost of shares redeemed | (372,341,649 | ) | (343,134,093 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 271,123,638 | 481,376,538 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 284,818,824 | 781,006,243 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 2,894,400,410 | 2,113,394,167 | ||||||
|
|
|
| |||||
NET ASSETS AT END OF PERIOD | $ | 3,179,219,234 | $ | 2,894,400,410 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 125,726,929 | $ | 66,451,644 | ||||
|
|
|
| |||||
SHARES OF BENEFICIAL INTEREST: | ||||||||
Class K | ||||||||
Shares sold | 63,415,794 | 74,197,752 | ||||||
Reinvestment of distributions | — | 8,421,790 | ||||||
Shares redeemed | (35,823,833 | ) | (34,414,786 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 27,591,961 | 48,204,756 | ||||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
8
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State Street Hedged International Developed Equity Index Fund
Selected data for a share outstanding throughout each period
Class K | ||||||||||||||||
Six Months Ended 06/30/18 (Unaudited) | Year Ended 12/31/17 | Year Ended(a) 12/31/16 | For the Period 5/29/15* - 12/31/15 | |||||||||||||
Net asset value, beginning of period | $ | 10.40 | $ | 9.18 | $ | 9.00 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss) (b) | 0.20 | 0.27 | 0.24 | 0.09 | ||||||||||||
Net realized and unrealized gain (loss) | ( 0.21 | ) | 1.27 | 0.34 | (1.00 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | ( 0.01 | ) | 1.54 | 0.58 | (0.91 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | — | — | (0.20 | ) | (0.06 | ) | ||||||||||
Net realized gains | — | (0.32 | ) | (0.20 | ) | (0.03 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | — | (0.32 | ) | (0.40 | ) | (0.09 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ | 10.39 | $ | 10.40 | $ | 9.18 | $ | 9.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total return (c) | (0.10 | )% | 16.85 | % | 6.27 | % | (9.01 | )% | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 3,179,219 | $ | 2,894,400 | $ | 2,113,394 | $ | 958,544 | ||||||||
Ratios to Average Net Assets: | ||||||||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.34 | % | 0.38 | %(d) | ||||||||
Net expenses | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %(d) | ||||||||
Net investment income (loss) | 3.94 | % | 2.69 | % | 2.79 | % | 1.60 | %(d) | ||||||||
Portfolio turnover rate (e) | 7 | % | 4 | % | 1 | % | 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 corresponding Portfolio. |
(f) | Not annualized. |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
9
Table of Contents
State Street Hedged International Developed Equity Index Fund
June 30, 2018 (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, 2018, the Trust consists of thirty-four (34) 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 | May 29, 2015 | Diversified |
Effective April 29, 2016, the Fund invests a majority 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 a majority 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, 2018). 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 is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investment in its Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
The Portfolio’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE 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, 2018, 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.
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Table of Contents
State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
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; |
• | 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, 2018 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, 2018.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. 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 using the identified cost method.
11
Table of Contents
State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
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.
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, 2018, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared and paid 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
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, 2018, 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
12
Table of Contents
State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
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 with the movement of the assets underlying such contracts.
For the period ended June 30, 2018, the Fund entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.
The following tables summarize the value of the Fund’s derivative instruments as of June 30, 2018, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives | ||||||||||||||||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts (a) | $ | — | $ | 34,415,556 | $ | — | $ | — | $ | — | $ | 34,415,556 |
(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) | $ | — | $ | 397,764 | $ | — | $ | — | $ | — | $ | 397,764 | ||||||||||||
Futures Contracts (b) | — | — | — | 3,336,600 | — | 3,336,600 |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
(b) | Unrealized depreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
Net Realized Gain (Loss) | ||||||||||||||||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 48,531,039 | $ | — | $ | — | $ | — | $ | 48,531,039 | ||||||||||||
Futures Contracts | — | — | — | (838,245 | ) | — | (838,245 | ) |
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 | $ | — | $ | 41,160,839 | $ | — | $ | — | $ | — | $ | 41,160,839 | ||||||||||||
Futures Contracts | — | — | — | (4,009,017 | ) | — | (4,009,017 | ) |
13
Table of Contents
State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
Offsetting of Financial Assets and Derivative Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||||||||||
Bank of America | $ | 30,032 | $ | — | $ | — | $ | 30,032 | ||||||||
Bank of Montreal | 5,255 | (5,255 | ) | — | — | |||||||||||
Barclays Capital | 4,925 | (4,925 | ) | — | — | |||||||||||
BNP Paribas SA | 607,102 | (120,637 | ) | — | 486,465 | |||||||||||
Citibank N.A. | 1,005,989 | (13,260 | ) | — | 992,729 | |||||||||||
Goldman Sachs Capital Markets L.P. | 3,280,297 | (23,140 | ) | — | 3,257,157 | |||||||||||
JP Morgan Chase Bank, N.A. | 13,320,310 | (25,248 | ) | — | 13,295,062 | |||||||||||
Morgan Stanley Bank, N.A. | 13,094 | (517 | ) | — | 12,577 | |||||||||||
Royal Bank of Canada | 25,373 | (2,631 | ) | — | 22,743 | |||||||||||
Societe Generale | 10,673,540 | (41,855 | ) | — | 10,631,685 | |||||||||||
Toronto Dominion Bank | 5,449,519 | (85,455 | ) | — | 5,364,064 | |||||||||||
UBS | 120 | (120 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 34,415,556 | $ | (323,051 | ) | $ | — | $ | 34,092,514 | ||||||||
|
|
|
|
|
|
|
| |||||||||
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 | $ | (50,488 | ) | $ | 5,255 | $ | — | $ | (45,233 | ) | ||||||
Barclays Capital | (17,320 | ) | 4,925 | — | (12,395 | ) | ||||||||||
BNP Paribas SA | (120,637 | ) | 120,637 | — | — | |||||||||||
Citibank N.A. | (13,260 | ) | 13,260 | — | — | |||||||||||
Goldman Sachs Capital Markets L.P. | (23,140 | ) | 23,140 | — | — | |||||||||||
HSBC Bank USA | (184 | ) | — | — | (184 | ) | ||||||||||
JP Morgan Chase Bank, N.A. | (25,248 | ) | 25,248 | — | — | |||||||||||
Morgan Stanley Bank, N.A. | (517 | ) | 517 | — | — | |||||||||||
Royal Bank of Canada | (2,631 | ) | 2,631 | — | — | |||||||||||
Societe Generale | (41,855 | ) | 41,855 | — | — | |||||||||||
Toronto Dominion Bank | (85,455 | ) | 85,455 | — | — | |||||||||||
UBS | (17,029 | ) | 120 | — | (16,909 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (397,764 | ) | $ | 323,043 | $ | — | $ | (74,721 | ) | |||||||
|
|
|
|
|
|
|
|
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 amount the Fund pays under its Investment Advisory Agreement is reduced 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.
14
Table of Contents
State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
The Adviser is contractually obligated until April 30, 2019 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, administration fees, and any class-specific expenses, such as distribution, shareholder servicing and sub-transfer agency fees) exceed 0.15% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. For the period ended June 30, 2018, SSGA FM reimbursed or waived the fees under these agreements as shown on the Statement of Operations.
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 the annual rate of 0.05% of the average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Distribution Fees
State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Fund.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2018, 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 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 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, 2017, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for distribution re-designations, foreign currencies, futures contracts, forward contracts, passive foreign investment companies and wash sale loss deferrals.
15
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State Street Hedged International Developed Equity Index Fund
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
As of June 30, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments 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 | $ | 2,832,301,291 | $ | 331,087,383 | $ | 3,321,019 | $ | 327,766,364 |
7. | Risks |
Concentration Risk
As a result of the Funds’ ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the 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 undefined 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 undefined invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the 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, 2018 (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 expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to June 30, 2018.
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 the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return — This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio(a) | 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 | % | $ | 999.00 | $ | 0.99 | $ | 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 Hedged International Developed Equity Index Fund
OTHER INFORMATION (continued)
June 30, 2018 (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 Fund’s website at www.ssgafunds.com.
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 12, 2018 and May 17, 2018, 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 12, 2018 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 17, 2018 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, 2017, 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”); |
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 Hedged International Developed Equity Index Fund
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (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 three 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. |
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; |
• | 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; |
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State Street Hedged International Developed Equity Index Fund
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
• | 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.
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 17, 2018 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2018, 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 Trustees also considered the significant risks assumed by the Adviser in connection with the services provided to the Funds, including operational, enterprise, regulatory, litigation, and compliance risks. The Board
20
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State Street Hedged International Developed Equity Index Fund
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
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, 2017. 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.
State Street Hedged International Developed Equity Index Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period. The Board took into account that the Fund’s Performance Group and Performance Universe did not consist of other currency-hedged funds. The Board also considered that the Fund is an index fund whose investment objective involves providing investment results that, before fees and expenses, correspond generally to the total return performance of its benchmark index. In this regard, the Board considered information regarding the Fund’s tracking difference and was satisfied with the Fund’s performance in tracking its benchmark index.
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.
State Street Hedged International Developed Equity Index Fund. The Board considered that the Fund’s actual management fee was equal to the median of its Expense Group and above 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.
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 Hedged International Developed Equity Index Fund
OTHER INFORMATION (continued)
June 30, 2018 (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, 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 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 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.
One Iron Street
Boston, MA 02210
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
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
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
June 30, 2018
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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Table of Contents
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO —
PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of June 30, 2018
Description | Market Value | % of Net Assets | ||||||||||
Nestle SA | $ | 49,661,160 | 1.6 | % | ||||||||
HSBC Holdings PLC | 38,704,078 | 1.3 | ||||||||||
Novartis AG | 34,772,165 | 1.2 | ||||||||||
Royal Dutch Shell PLC Class A | 32,907,726 | 1.1 | ||||||||||
Roche Holding AG | 32,183,708 | 1.1 | ||||||||||
TOTAL | $ | 188,228,837 | 6.3 | % |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Top Five Sectors as of June 30, 2018
Description | % of Net Assets | |||||||
Banks | 12.4 | % | ||||||
Pharmaceuticals | 7.5 | |||||||
Oil & Gas | 5.8 | |||||||
Insurance | 5.2 | |||||||
Food | 4.3 | |||||||
TOTAL | 35.2 | % |
(The top five sectors are expressed as a percentage of net assets and may change over time.)
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State Street International Developed Equity Index Portfolio
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 98.3% | ||||||||
AUSTRALIA — 7.0% | ||||||||
AGL Energy, Ltd. | 135,789 | $ | 2,255,366 | |||||
Alumina, Ltd. | 493,347 | 1,020,626 | ||||||
Amcor, Ltd. | 238,439 | 2,538,619 | ||||||
AMP, Ltd. | 633,428 | 1,666,109 | ||||||
APA Group | 239,496 | 1,742,973 | ||||||
Aristocrat Leisure, Ltd. | 118,036 | 2,694,816 | ||||||
ASX, Ltd. | 39,297 | 1,869,537 | ||||||
Aurizon Holdings, Ltd. | 439,693 | 1,406,674 | ||||||
AusNet Services | 348,352 | 413,095 | ||||||
Australia & New Zealand Banking Group, Ltd. | 605,378 | 12,631,284 | ||||||
Bank of Queensland, Ltd. | 92,969 | 699,952 | ||||||
Bendigo & Adelaide Bank, Ltd. | 96,339 | 771,592 | ||||||
BHP Billiton PLC | 438,461 | 9,875,665 | ||||||
BHP Billiton, Ltd. | 664,183 | 16,640,705 | ||||||
BlueScope Steel, Ltd. | 120,840 | 1,541,018 | ||||||
Boral, Ltd. | 259,376 | 1,251,409 | ||||||
Brambles, Ltd. | 328,756 | 2,156,964 | ||||||
Caltex Australia, Ltd. | 57,359 | 1,379,035 | ||||||
Challenger, Ltd. | 111,547 | 974,987 | ||||||
CIMIC Group, Ltd. | 22,862 | 714,514 | ||||||
Coca-Cola Amatil, Ltd. | 110,525 | 751,285 | ||||||
Cochlear, Ltd. | 12,427 | 1,837,898 | ||||||
Commonwealth Bank of Australia | 362,113 | 19,496,159 | ||||||
Computershare, Ltd. | 101,328 | 1,379,784 | ||||||
Crown Resorts, Ltd. | 86,682 | 864,607 | ||||||
CSL, Ltd. | 93,619 | 13,323,599 | ||||||
Dexus REIT | 206,520 | 1,481,622 | ||||||
Domino’s Pizza Enterprises, Ltd. | 15,223 | 587,345 | ||||||
Flight Centre Travel Group, Ltd. (a) | 12,119 | 569,930 | ||||||
Fortescue Metals Group, Ltd. | 316,031 | 1,025,063 | ||||||
Goodman Group REIT | 353,845 | 2,515,037 | ||||||
GPT Group REIT | 366,184 | 1,369,008 | ||||||
Harvey Norman Holdings, Ltd. (a) | 107,605 | 263,953 | ||||||
Healthscope, Ltd. | 380,823 | 621,830 | ||||||
Incitec Pivot, Ltd. | 367,854 | 986,594 | ||||||
Insurance Australia Group, Ltd. | 484,531 | 3,053,703 | ||||||
LendLease Group | 118,541 | 1,735,039 | ||||||
Macquarie Group, Ltd. | 67,479 | 6,164,799 | ||||||
Medibank Pvt, Ltd. | 550,916 | 1,188,569 | ||||||
Mirvac Group REIT | 816,858 | 1,309,672 | ||||||
National Australia Bank, Ltd. | 563,641 | 11,414,786 | ||||||
Newcrest Mining, Ltd. | 155,782 | 2,509,169 | ||||||
Oil Search, Ltd. | 278,350 | 1,830,364 | ||||||
Orica, Ltd. | 81,684 | 1,071,252 | ||||||
Origin Energy, Ltd. (b) | 356,954 | 2,645,266 | ||||||
QBE Insurance Group, Ltd. | 275,981 | 1,986,069 | ||||||
Ramsay Health Care, Ltd. | 28,714 | 1,145,204 | ||||||
REA Group, Ltd. | 10,695 | 718,055 | ||||||
Santos, Ltd. (b) | 363,770 | 1,685,197 | ||||||
Scentre Group REIT | 1,122,569 | 3,641,109 | ||||||
SEEK, Ltd. | 73,854 | 1,190,107 | ||||||
Sonic Healthcare, Ltd. | 81,524 | 1,477,540 | ||||||
South32, Ltd. | 1,097,449 | 2,927,168 | ||||||
Stockland REIT | 494,166 | 1,449,504 | ||||||
Suncorp Group, Ltd. | 265,767 | 2,864,920 | ||||||
Sydney Airport (a) | 235,304 | 1,244,797 | ||||||
Tabcorp Holdings, Ltd. | 405,077 | 1,334,838 | ||||||
Telstra Corp., Ltd. | 868,600 | 1,681,424 | ||||||
TPG Telecom, Ltd. (a) | 84,919 | 324,378 | ||||||
Transurban Group Stapled Security | 467,416 | 4,133,842 | ||||||
Treasury Wine Estates, Ltd. | 145,880 | 1,874,354 | ||||||
Vicinity Centres REIT | 721,334 | 1,380,360 | ||||||
Wesfarmers, Ltd. | 235,649 | 8,594,031 | ||||||
Westpac Banking Corp. | 704,234 | 15,245,469 | ||||||
Woodside Petroleum, Ltd. | 184,971 | 4,846,169 | ||||||
Woolworths Group, Ltd. | 272,350 | 6,141,410 | ||||||
|
| |||||||
210,127,218 | ||||||||
|
| |||||||
AUSTRIA — 0.2% | ||||||||
ANDRITZ AG | 14,225 | 755,018 | ||||||
Erste Group Bank AG (b) | 61,851 | 2,581,656 | ||||||
OMV AG | 27,483 | 1,558,504 | ||||||
Raiffeisen Bank International AG | 27,489 | 843,772 | ||||||
Voestalpine AG | 21,677 | 998,440 | ||||||
|
| |||||||
6,737,390 | ||||||||
|
| |||||||
BELGIUM — 1.0% | ||||||||
Ageas | 39,339 | 1,984,647 | ||||||
Anheuser-Busch InBev SA | 151,266 | 15,276,825 | ||||||
Colruyt SA | 13,634 | 777,931 | ||||||
Groupe Bruxelles Lambert SA | 16,899 | 1,782,053 | ||||||
KBC Group NV | 49,557 | 3,825,723 | ||||||
Proximus SADP | 33,328 | 751,393 | ||||||
Solvay SA | 15,435 | 1,948,987 | ||||||
Telenet Group Holding NV (b) | 10,840 | 506,250 | ||||||
UCB SA | 26,363 | 2,072,734 | ||||||
Umicore SA | 43,409 | 2,491,030 | ||||||
|
| |||||||
31,417,573 | ||||||||
|
| |||||||
CHILE — 0.0% (c) | ||||||||
Antofagasta PLC | 76,960 | 1,005,904 | ||||||
|
| |||||||
CHINA — 0.2% (c) | ||||||||
BOC Hong Kong Holdings, Ltd. | 781,500 | 3,680,659 | ||||||
Minth Group, Ltd. | 136,000 | 574,652 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 386,100 | 256,267 | ||||||
|
| |||||||
4,511,578 | ||||||||
|
| |||||||
DENMARK — 1.6% | ||||||||
AP Moller - Maersk A/S Class A | 759 | 900,952 | ||||||
AP Moller - Maersk A/S Class B | 1,323 | 1,647,764 | ||||||
Carlsberg A/S Class B | 22,111 | 2,604,188 | ||||||
Chr. Hansen Holding A/S | 19,507 | 1,801,681 | ||||||
Coloplast A/S Class B | 23,177 | 2,316,429 | ||||||
Danske Bank A/S | 152,022 | 4,758,504 | ||||||
DSV A/S | 39,087 | 3,158,075 | ||||||
Genmab A/S (b) | 12,424 | 1,917,285 | ||||||
H Lundbeck A/S | 15,024 | 1,055,670 | ||||||
ISS A/S | 33,601 | 1,154,697 | ||||||
Novo Nordisk A/S Class B | 358,280 | 16,618,488 | ||||||
Novozymes A/S Class B | 45,869 | 2,326,694 | ||||||
Orsted A/S (d) | 36,713 | 2,220,672 | ||||||
Pandora A/S | 22,321 | 1,559,304 | ||||||
Tryg A/S | 27,932 | 655,679 | ||||||
Vestas Wind Systems A/S | 42,940 | 2,657,886 | ||||||
William Demant Holding A/S (b) | 25,642 | 1,031,868 | ||||||
|
| |||||||
48,385,836 | ||||||||
|
|
See accompanying notes to financial statements.
2
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
FINLAND — 1.0% | ||||||||
Elisa Oyj | 30,461 | $ | 1,410,854 | |||||
Fortum Oyj | 86,050 | 2,053,560 | ||||||
Kone Oyj Class B | 69,387 | 3,537,020 | ||||||
Metso Oyj | 21,684 | 726,603 | ||||||
Neste Oyj | 25,147 | 1,973,018 | ||||||
Nokia Oyj | 1,156,571 | 6,657,250 | ||||||
Nokian Renkaat Oyj | 25,302 | 999,680 | ||||||
Orion Oyj Class B | 18,821 | 507,391 | ||||||
Sampo Oyj Class A | 88,370 | 4,312,775 | ||||||
Stora Enso Oyj Class R | 114,770 | 2,245,836 | ||||||
UPM-Kymmene Oyj | 109,102 | 3,900,440 | ||||||
Wartsila Oyj Abp | 92,629 | 1,820,148 | ||||||
|
| |||||||
30,144,575 | ||||||||
|
| |||||||
FRANCE — 10.5% | ||||||||
Accor SA | 38,877 | 1,907,324 | ||||||
Aeroports de Paris | 6,138 | 1,388,137 | ||||||
Air Liquide SA | 88,824 | 11,169,191 | ||||||
Airbus SE | 120,246 | 14,075,830 | ||||||
Alstom SA | 32,665 | 1,501,113 | ||||||
Amundi SA (d) | 13,383 | 927,207 | ||||||
Arkema SA | 14,803 | 1,752,522 | ||||||
Atos SE (a) | 19,118 | 2,610,468 | ||||||
AXA SA | 402,611 | 9,878,493 | ||||||
BioMerieux | 7,650 | 688,639 | ||||||
BNP Paribas SA | 232,592 | 14,444,431 | ||||||
Bollore SA | 179,221 | 833,650 | ||||||
Bouygues SA | 43,556 | 1,877,015 | ||||||
Bureau Veritas SA | 56,343 | 1,503,806 | ||||||
Capgemini SE | 33,596 | 4,518,723 | ||||||
Carrefour SA | 120,423 | 1,950,121 | ||||||
Casino Guichard Perrachon SA | 9,801 | 380,485 | ||||||
Cie de Saint-Gobain | 104,424 | 4,665,890 | ||||||
Cie Generale des Etablissements Michelin SCA | 35,038 | 4,266,771 | ||||||
CNP Assurances | 37,775 | 859,591 | ||||||
Covivio REIT | 7,426 | 772,517 | ||||||
Credit Agricole SA | 240,700 | 3,213,571 | ||||||
Danone SA | 125,344 | 9,200,738 | ||||||
Dassault Aviation SA | 497 | 947,005 | ||||||
Dassault Systemes SE (a) | 27,295 | 3,824,195 | ||||||
Edenred | 48,847 | 1,543,268 | ||||||
Eiffage SA | 16,317 | 1,775,165 | ||||||
Electricite de France SA | 119,417 | 1,642,431 | ||||||
Engie SA | 373,337 | 5,723,233 | ||||||
Essilor International Cie Generale d’Optique SA | 42,555 | 6,006,930 | ||||||
Eurazeo SA | 10,092 | 765,301 | ||||||
Eutelsat Communications SA | 34,717 | 720,084 | ||||||
Faurecia SA | 16,076 | 1,147,194 | ||||||
Gecina SA REIT | 9,550 | 1,597,810 | ||||||
Getlink | 102,452 | 1,404,912 | ||||||
Hermes International | 6,659 | 4,072,398 | ||||||
ICADE REIT | 6,016 | 564,026 | ||||||
Iliad SA (a) | 5,881 | 929,362 | ||||||
Imerys SA | 8,119 | 656,444 | ||||||
Ingenico Group SA | 13,210 | 1,187,597 | ||||||
Ipsen SA | 8,146 | 1,277,785 | ||||||
JCDecaux SA | 17,721 | 592,980 | ||||||
Kering SA | 15,742 | 8,888,365 | ||||||
Klepierre SA REIT | 41,883 | 1,577,042 | ||||||
Legrand SA | 55,929 | 4,107,366 | ||||||
L’Oreal SA | 52,185 | 12,886,404 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 57,614 | 19,184,621 | ||||||
Natixis SA | 198,590 | 1,409,269 | ||||||
Orange SA | 407,007 | 6,816,762 | ||||||
Pernod Ricard SA | 43,291 | 7,071,166 | ||||||
Peugeot SA | 117,706 | 2,688,086 | ||||||
Publicis Groupe SA | 43,955 | 3,024,782 | ||||||
Remy Cointreau SA | 4,144 | 537,055 | ||||||
Renault SA | 40,529 | 3,446,290 | ||||||
Rexel SA | 57,244 | 823,076 | ||||||
Safran SA | 67,923 | 8,251,533 | ||||||
Sanofi | 233,239 | 18,694,652 | ||||||
Schneider Electric SE | 111,557 | 9,302,343 | ||||||
SCOR SE | 34,029 | 1,264,227 | ||||||
SEB SA | 4,595 | 802,588 | ||||||
Societe BIC SA | 6,060 | 561,783 | ||||||
Societe Generale SA | 156,613 | 6,603,757 | ||||||
Sodexo SA | 18,247 | 1,824,074 | ||||||
Suez | 81,948 | 1,062,509 | ||||||
Teleperformance | 12,006 | 2,120,865 | ||||||
Thales SA | 22,105 | 2,847,990 | ||||||
TOTAL SA | 502,699 | 30,643,431 | ||||||
Ubisoft Entertainment SA (b) | 16,885 | 1,852,730 | ||||||
Unibail-Rodamco-Westfield (b) | 143,220 | 1,552,351 | ||||||
Unibail-Rodamco-Westfield | 21,066 | 4,637,504 | ||||||
Valeo SA | 48,888 | 2,672,449 | ||||||
Veolia Environnement SA | 114,158 | 2,443,118 | ||||||
Vinci SA | 104,401 | 10,039,144 | ||||||
Vivendi SA | 212,304 | 5,205,388 | ||||||
Wendel SA | 5,866 | 808,164 | ||||||
|
| |||||||
316,415,237 | ||||||||
|
| |||||||
GERMANY — 9.4% | ||||||||
1&1 Drillisch AG | 12,173 | 693,006 | ||||||
adidas AG | 39,126 | 8,540,172 | ||||||
Allianz SE | 90,982 | 18,804,141 | ||||||
Axel Springer SE | 10,775 | 779,353 | ||||||
BASF SE | 189,810 | 18,152,301 | ||||||
Bayer AG | 185,651 | 20,451,015 | ||||||
Bayerische Motoren Werke AG | 67,566 | 6,123,976 | ||||||
Bayerische Motoren Werke AG Preference Shares | 10,669 | 850,786 | ||||||
Beiersdorf AG | 21,544 | 2,445,947 | ||||||
Brenntag AG | 32,359 | 1,802,898 | ||||||
Commerzbank AG (b) | 202,502 | 1,941,338 | ||||||
Continental AG | 22,501 | 5,137,305 | ||||||
Covestro AG (d) | 40,615 | 3,623,841 | ||||||
Daimler AG | 188,340 | 12,122,892 | ||||||
Delivery Hero AG (b) (d) | 20,117 | 1,070,565 | ||||||
Deutsche Bank AG | 408,936 | 4,403,076 | ||||||
Deutsche Boerse AG | 39,526 | 5,267,863 | ||||||
Deutsche Lufthansa AG | 46,604 | 1,120,898 | ||||||
Deutsche Post AG | 200,479 | 6,546,920 | ||||||
Deutsche Telekom AG (b) | 691,176 | 10,708,663 | ||||||
Deutsche Wohnen SE | 74,800 | 3,615,577 | ||||||
E.ON SE | 451,530 | 4,825,843 |
See accompanying notes to financial statements.
3
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Evonik Industries AG | 32,526 | $ | 1,113,829 | |||||
Fraport AG Frankfurt Airport Services Worldwide | 8,539 | 823,698 | ||||||
Fresenius Medical Care AG & Co. KGaA | 45,237 | 4,562,288 | ||||||
Fresenius SE & Co. KGaA | 84,863 | 6,816,830 | ||||||
Fuchs Petrolub SE Preference Shares | 14,455 | 712,882 | ||||||
GEA Group AG | 34,939 | 1,178,511 | ||||||
Hannover Rueck SE | 13,114 | 1,635,242 | ||||||
HeidelbergCement AG | 30,954 | 2,604,997 | ||||||
Henkel AG & Co. KGaA Preference Shares | 37,351 | 4,775,205 | ||||||
Henkel AG & Co. KGaA | 22,168 | 2,465,285 | ||||||
HOCHTIEF AG | 4,362 | 788,374 | ||||||
HUGO BOSS AG | 14,016 | 1,272,495 | ||||||
Infineon Technologies AG | 231,848 | 5,909,255 | ||||||
Innogy SE (d) | 27,779 | 1,189,981 | ||||||
KION Group AG | 15,135 | 1,089,233 | ||||||
KS AG | 41,885 | 1,034,295 | ||||||
Lanxess AG | 19,401 | 1,513,130 | ||||||
Linde AG | 38,579 | 9,206,775 | ||||||
MAN SE | 7,275 | 823,487 | ||||||
Merck KGaA | 26,937 | 2,629,875 | ||||||
METRO AG | 33,622 | 415,518 | ||||||
MTU Aero Engines AG | 10,932 | 2,100,899 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 31,633 | 6,686,742 | ||||||
OSRAM Licht AG | 22,044 | 900,812 | ||||||
Porsche Automobil Holding SE Preference Shares | 32,050 | 2,041,635 | ||||||
ProSiebenSat.1 Media SE | 51,152 | 1,297,771 | ||||||
Puma SE | 1,799 | 1,052,312 | ||||||
QIAGEN NV (b) | 48,340 | 1,760,909 | ||||||
RWE AG | 108,169 | 2,465,866 | ||||||
SAP SE | 202,876 | 23,438,086 | ||||||
Sartorius AG Preference Shares | 7,616 | 1,139,073 | ||||||
Schaeffler AG Preference Shares | 36,347 | 473,172 | ||||||
Siemens AG | 157,995 | 20,885,370 | ||||||
Siemens Healthineers AG (b) (d) | 32,376 | 1,336,441 | ||||||
Symrise AG | 25,854 | 2,266,957 | ||||||
Telefonica Deutschland Holding AG | 156,139 | 615,445 | ||||||
ThyssenKrupp AG | 90,990 | 2,211,821 | ||||||
TUI AG | 89,424 | 1,962,782 | ||||||
Uniper SE | 44,438 | 1,325,107 | ||||||
United Internet AG | 26,088 | 1,494,321 | ||||||
Volkswagen AG | 6,922 | 1,143,573 | ||||||
Volkswagen AG Preference Shares | 37,843 | 6,283,794 | ||||||
Vonovia SE | 99,158 | 4,718,866 | ||||||
Wirecard AG | 24,130 | 3,886,464 | ||||||
Zalando SE (b) | 24,542 | 1,371,668 | ||||||
|
| |||||||
284,449,447 | ||||||||
|
| |||||||
HONG KONG — 3.4% | ||||||||
AIA Group, Ltd. | 2,501,600 | 21,873,794 | ||||||
ASM Pacific Technology, Ltd. | 66,900 | 845,902 | ||||||
Bank of East Asia, Ltd. | 268,086 | 1,071,257 | ||||||
CK Asset Holdings, Ltd. | 545,179 | 4,329,217 | ||||||
CK Hutchison Holdings, Ltd. | 547,500 | 5,806,168 | ||||||
CK Infrastructure Holdings, Ltd. | 131,000 | 970,964 | ||||||
CLP Holdings, Ltd. | 347,500 | 3,742,774 | ||||||
Dairy Farm International Holdings, Ltd. | 77,000 | 676,830 | ||||||
Galaxy Entertainment Group, Ltd. | 501,000 | 3,879,414 | ||||||
Hang Lung Group, Ltd. | 187,000 | 524,380 | ||||||
Hang Lung Properties, Ltd. | 396,000 | 816,687 | ||||||
Hang Seng Bank, Ltd. | 161,400 | 4,036,311 | ||||||
Henderson Land Development Co., Ltd. | 288,579 | 1,526,494 | ||||||
HK Electric Investments & HK Electric Investments, Ltd. (a) (d) | 618,990 | 591,735 | ||||||
HKT Trust & HKT, Ltd. | 821,000 | 1,052,745 | ||||||
Hong Kong & China Gas Co., Ltd. | 1,950,350 | 3,733,917 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 245,905 | 7,397,100 | ||||||
Hongkong Land Holdings, Ltd. | 254,900 | 1,822,535 | ||||||
Hysan Development Co., Ltd. | 131,000 | 731,354 | ||||||
Jardine Matheson Holdings, Ltd. | 43,600 | 2,751,160 | ||||||
Jardine Strategic Holdings, Ltd. | 48,100 | 1,754,688 | ||||||
Kerry Properties, Ltd. | 146,000 | 698,787 | ||||||
Li & Fung, Ltd. | 1,090,000 | 400,130 | ||||||
Link REIT | 457,500 | 4,178,202 | ||||||
Melco Resorts & Entertainment, Ltd. ADR | 48,123 | 1,347,444 | ||||||
MTR Corp., Ltd. | 314,145 | 1,737,809 | ||||||
New World Development Co., Ltd. | 1,202,077 | 1,691,545 | ||||||
NWS Holdings, Ltd. | 356,810 | 617,617 | ||||||
PCCW, Ltd. | 748,000 | 421,411 | ||||||
Power Assets Holdings, Ltd. | 278,500 | 1,947,081 | ||||||
Sands China, Ltd. | 484,400 | 2,590,110 | ||||||
Shangri-La Asia, Ltd. | 272,000 | 511,726 | ||||||
Sino Land Co., Ltd. | 689,379 | 1,121,220 | ||||||
SJM Holdings, Ltd. | 457,000 | 568,523 | ||||||
Sun Hung Kai Properties, Ltd. | 323,000 | 4,874,571 | ||||||
Swire Pacific, Ltd. Class A | 99,500 | 1,053,917 | ||||||
Swire Properties, Ltd. | 238,200 | 880,485 | ||||||
Techtronic Industries Co., Ltd. | 288,000 | 1,606,026 | ||||||
WH Group, Ltd. | 1,834,309 | 1,494,017 | ||||||
Wharf Holdings, Ltd. | 226,000 | 725,924 | ||||||
Wharf Real Estate Investment Co., Ltd. | 238,000 | 1,694,269 | ||||||
Wheelock & Co., Ltd. | 174,000 | 1,212,053 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 149,500 | 422,082 | ||||||
|
| |||||||
101,730,375 | ||||||||
|
| |||||||
IRELAND — 0.6% | ||||||||
AerCap Holdings NV (b) | 28,614 | 1,549,448 | ||||||
AIB Group PLC | 150,377 | 816,413 | ||||||
Bank of Ireland Group PLC | 193,711 | 1,511,929 | ||||||
CRH PLC | 166,015 | 5,882,768 | ||||||
James Hardie Industries PLC | 89,624 | 1,501,840 | ||||||
Kerry Group PLC Class A | 31,246 | 3,268,723 | ||||||
Paddy Power Betfair PLC | 16,919 | 1,876,610 | ||||||
Ryanair Holdings PLC ADR (b) | 4,205 | 480,337 | ||||||
Smurfit Kappa Group PLC | 46,728 | 1,893,138 | ||||||
|
| |||||||
18,781,206 | ||||||||
|
| |||||||
ISRAEL — 0.5% | ||||||||
Azrieli Group, Ltd. | 7,782 | 385,640 | ||||||
Bank Hapoalim BM | 211,075 | 1,427,137 | ||||||
Bank Leumi Le-Israel BM | 283,811 | 1,674,698 |
See accompanying notes to financial statements.
4
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 417,768 | $ | 469,747 | |||||
Check Point Software Technologies, Ltd. (a) (b) | 26,810 | 2,618,801 | ||||||
Elbit Systems, Ltd. | 5,012 | 587,795 | ||||||
Frutarom Industries, Ltd. | 8,120 | 795,241 | ||||||
Israel Chemicals, Ltd. | 150,124 | 684,889 | ||||||
Mizrahi Tefahot Bank, Ltd. | 25,993 | 476,964 | ||||||
Nice, Ltd. (b) | 12,240 | 1,262,604 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 61,428 | 1,493,929 | ||||||
Teva Pharmaceutical Industries, Ltd. | 129,045 | 3,061,009 | ||||||
|
| |||||||
14,938,454 | ||||||||
|
| |||||||
ITALY — 2.1% | ||||||||
Assicurazioni Generali SpA | 246,575 | 4,136,962 | ||||||
Atlantia SpA | 101,235 | 2,992,747 | ||||||
Davide Campari-Milano SpA | 130,799 | 1,075,873 | ||||||
Enel SpA | 1,694,333 | 9,410,390 | ||||||
Eni SpA | 529,846 | 9,839,801 | ||||||
Ferrari NV | 25,993 | 3,535,558 | ||||||
Intesa Sanpaolo SpA (e) | 2,811,751 | 8,162,835 | ||||||
Intesa Sanpaolo SpA (e) | 193,158 | 585,905 | ||||||
Leonardo SpA | 85,867 | 848,751 | ||||||
Luxottica Group SpA | 36,429 | 2,350,357 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 127,025 | 1,180,829 | ||||||
Moncler SpA | 37,404 | 1,703,171 | ||||||
Pirelli & C SpA (b) (d) | 89,601 | 748,197 | ||||||
Poste Italiane SpA (d) | 105,767 | 885,411 | ||||||
Prysmian SpA | 43,965 | 1,094,898 | ||||||
Recordati SpA | 22,725 | 903,700 | ||||||
Snam SpA | 491,323 | 2,051,353 | ||||||
Telecom Italia SpA/Milano (b) (e) | 2,467,700 | 1,836,454 | ||||||
Telecom Italia SpA/Milano (e) | 1,270,582 | 830,149 | ||||||
Terna Rete Elettrica Nazionale SpA | 296,222 | 1,601,996 | ||||||
UniCredit SpA | 419,450 | 7,001,167 | ||||||
|
| |||||||
62,776,504 | ||||||||
|
| |||||||
JAPAN — 23.6% | ||||||||
ABC-Mart, Inc. | 5,800 | 317,320 | ||||||
Acom Co., Ltd. | 91,400 | 351,523 | ||||||
Aeon Co., Ltd. | 129,600 | 2,773,006 | ||||||
AEON Financial Service Co., Ltd. | 20,500 | 437,521 | ||||||
Aeon Mall Co., Ltd. | 24,100 | 432,980 | ||||||
Air Water, Inc. | 34,400 | 631,694 | ||||||
Aisin Seiki Co., Ltd. | 34,700 | 1,582,043 | ||||||
Ajinomoto Co., Inc. | 102,200 | 1,933,925 | ||||||
Alfresa Holdings Corp. | 37,400 | 879,583 | ||||||
Alps Electric Co., Ltd. | 43,200 | 1,109,982 | ||||||
Amada Holdings Co., Ltd. | 73,000 | 701,891 | ||||||
ANA Holdings, Inc. | 23,600 | 866,956 | ||||||
Aozora Bank, Ltd. | 22,800 | 867,621 | ||||||
Asahi Glass Co., Ltd. (a) | 38,500 | 1,499,819 | ||||||
Asahi Group Holdings, Ltd. | 76,300 | 3,907,133 | ||||||
Asahi Kasei Corp. | 266,600 | 3,388,912 | ||||||
Asics Corp. (a) | 36,600 | 618,894 | ||||||
Astellas Pharma, Inc. | 398,900 | 6,082,626 | ||||||
Bandai Namco Holdings, Inc. | 42,400 | 1,749,361 | ||||||
Bank of Kyoto, Ltd. | 12,500 | 578,928 | ||||||
Benesse Holdings, Inc. | 13,600 | 482,535 | ||||||
Bridgestone Corp. | 123,700 | 4,839,002 | ||||||
Brother Industries, Ltd. | 44,800 | 884,958 | ||||||
Calbee, Inc. | 15,100 | 567,792 | ||||||
Canon, Inc. (a) | 208,400 | 6,831,584 | ||||||
Casio Computer Co., Ltd. (a) | 37,900 | 616,583 | ||||||
Central Japan Railway Co. | 29,500 | 6,114,928 | ||||||
Chiba Bank, Ltd. | 134,000 | 947,249 | ||||||
Chubu Electric Power Co., Inc. | 126,300 | 1,893,958 | ||||||
Chugai Pharmaceutical Co., Ltd. | 45,400 | 2,381,384 | ||||||
Chugoku Electric Power Co., Inc. | 57,100 | 738,204 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. (a) | 29,100 | 1,162,529 | ||||||
Concordia Financial Group, Ltd. | 237,100 | 1,207,280 | ||||||
Credit Saison Co., Ltd. | 28,200 | 444,010 | ||||||
CyberAgent, Inc. | 21,600 | 1,298,750 | ||||||
CYBERDYNE, Inc. (a) (b) | 22,300 | 261,323 | ||||||
Dai Nippon Printing Co., Ltd. | 50,000 | 1,119,036 | ||||||
Daicel Corp. | 51,500 | 570,027 | ||||||
Daifuku Co., Ltd. | 20,600 | 902,930 | ||||||
Dai-ichi Life Holdings, Inc. | 218,900 | 3,905,082 | ||||||
Daiichi Sankyo Co., Ltd. | 115,100 | 4,402,823 | ||||||
Daikin Industries, Ltd. | 50,600 | 6,062,041 | ||||||
Daito Trust Construction Co., Ltd. | 14,600 | 2,373,909 | ||||||
Daiwa House Industry Co., Ltd. | 115,000 | 3,920,372 | ||||||
Daiwa House REIT Investment Corp. | 371 | 880,566 | ||||||
Daiwa Securities Group, Inc. | 347,800 | 2,019,950 | ||||||
DeNA Co., Ltd. | 17,400 | 326,275 | ||||||
Denso Corp. | 88,300 | 4,314,356 | ||||||
Dentsu, Inc. | 43,900 | 2,080,757 | ||||||
Disco Corp. | 5,500 | 938,970 | ||||||
Don Quijote Holdings Co., Ltd. | 23,100 | 1,109,484 | ||||||
East Japan Railway Co. | 62,600 | 5,999,178 | ||||||
Eisai Co., Ltd. | 53,100 | 3,741,185 | ||||||
Electric Power Development Co., Ltd. | 29,400 | 759,121 | ||||||
FamilyMart UNY Holdings Co., Ltd. | 17,000 | 1,789,554 | ||||||
FANUC Corp. | 39,500 | 7,847,222 | ||||||
Fast Retailing Co., Ltd. | 12,200 | 5,607,385 | ||||||
Fuji Electric Co., Ltd. | 124,000 | 944,847 | ||||||
FUJIFILM Holdings Corp. | 81,900 | 3,198,658 | ||||||
Fujitsu, Ltd. | 396,000 | 2,401,777 | ||||||
Fukuoka Financial Group, Inc. | 171,000 | 859,902 | ||||||
Hakuhodo DY Holdings, Inc. | 47,300 | 759,260 | ||||||
Hamamatsu Photonics KK | 27,400 | 1,177,484 | ||||||
Hankyu Hanshin Holdings, Inc. | 46,300 | 1,862,199 | ||||||
Hikari Tsushin, Inc. | 4,900 | 861,310 | ||||||
Hino Motors, Ltd. | 49,600 | 529,741 | ||||||
Hirose Electric Co., Ltd. | 6,510 | 806,954 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 13,100 | 1,105,810 | ||||||
Hitachi Chemical Co., Ltd. | 19,900 | 401,539 | ||||||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 806,031 | ||||||
Hitachi High-Technologies Corp. | 15,800 | 644,752 | ||||||
Hitachi Metals, Ltd. | 40,500 | 420,485 | ||||||
Hitachi, Ltd. | 1,006,000 | 7,098,719 | ||||||
Honda Motor Co., Ltd. | 338,100 | 9,929,484 | ||||||
Hoshizaki Corp. | 11,800 | 1,194,222 |
See accompanying notes to financial statements.
5
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Hoya Corp. | 80,000 | $ | 4,549,452 | |||||
Hulic Co., Ltd. (a) | 68,000 | 726,258 | ||||||
Idemitsu Kosan Co., Ltd. | 27,200 | 969,982 | ||||||
IHI Corp. | 30,200 | 1,052,426 | ||||||
Iida Group Holdings Co., Ltd. | 26,200 | 505,479 | ||||||
Inpex Corp. | 204,100 | 2,118,115 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 68,300 | 853,403 | ||||||
Isuzu Motors, Ltd. | 117,400 | 1,559,645 | ||||||
ITOCHU Corp. | 286,900 | 5,199,763 | ||||||
J Front Retailing Co., Ltd. | 52,200 | 795,029 | ||||||
Japan Airlines Co., Ltd. | 23,600 | 836,914 | ||||||
Japan Airport Terminal Co., Ltd. | 8,200 | 384,219 | ||||||
Japan Exchange Group, Inc. | 103,400 | 1,922,093 | ||||||
Japan Post Bank Co., Ltd. | 90,900 | 1,058,647 | ||||||
Japan Post Holdings Co., Ltd. | 319,700 | 3,501,071 | ||||||
Japan Prime Realty Investment Corp. REIT | 191 | 694,060 | ||||||
Japan Real Estate Investment Corp. REIT | 258 | 1,364,944 | ||||||
Japan Retail Fund Investment Corp. REIT | 542 | 976,691 | ||||||
Japan Tobacco, Inc. | 223,300 | 6,239,457 | ||||||
JFE Holdings, Inc. | 98,700 | 1,867,695 | ||||||
JGC Corp. | 42,000 | 846,712 | ||||||
JSR Corp. | 42,300 | 720,244 | ||||||
JTEKT Corp. | 50,800 | 691,612 | ||||||
JXTG Holdings, Inc. | 658,800 | 4,580,939 | ||||||
Kajima Corp. | 177,000 | 1,371,065 | ||||||
Kakaku.com, Inc. | 26,600 | 600,850 | ||||||
Kamigumi Co., Ltd. | 20,000 | 415,835 | ||||||
Kaneka Corp. | 49,000 | 439,281 | ||||||
Kansai Electric Power Co., Inc. | 147,800 | 2,156,320 | ||||||
Kansai Paint Co., Ltd. | 39,400 | 818,840 | ||||||
Kao Corp. | 100,800 | 7,689,794 | ||||||
Kawasaki Heavy Industries, Ltd. | 32,800 | 966,840 | ||||||
KDDI Corp. | 375,700 | 10,280,745 | ||||||
Keihan Holdings Co., Ltd. | 19,500 | 699,792 | ||||||
Keikyu Corp. | 43,500 | 713,186 | ||||||
Keio Corp. | 25,200 | 1,219,447 | ||||||
Keisei Electric Railway Co., Ltd. | 28,100 | 965,291 | ||||||
Keyence Corp. | 20,200 | 11,408,947 | ||||||
Kikkoman Corp. | 29,900 | 1,508,969 | ||||||
Kintetsu Group Holdings Co., Ltd. | 35,300 | 1,440,491 | ||||||
Kirin Holdings Co., Ltd. | 167,000 | 4,467,305 | ||||||
Kobayashi Pharmaceutical Co., Ltd. | 10,700 | 924,471 | ||||||
Kobe Steel, Ltd. | 62,900 | 575,819 | ||||||
Koito Manufacturing Co., Ltd. | 23,100 | 1,526,583 | ||||||
Komatsu, Ltd. | 187,400 | 5,359,845 | ||||||
Konami Holdings Corp. | 18,400 | 936,902 | ||||||
Konica Minolta, Inc. | 93,100 | 864,893 | ||||||
Kose Corp. | 6,500 | 1,400,758 | ||||||
Kubota Corp. | 208,500 | 3,280,960 | ||||||
Kuraray Co., Ltd. | 66,900 | 921,676 | ||||||
Kurita Water Industries, Ltd. | 17,800 | 507,814 | ||||||
Kyocera Corp. | 67,600 | 3,812,551 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 50,400 | 1,016,054 | ||||||
Kyushu Electric Power Co., Inc. | 82,000 | 915,018 | ||||||
Kyushu Railway Co. | 30,700 | 939,584 | ||||||
Lawson, Inc. | 9,100 | 568,519 | ||||||
LINE Corp. (a) (b) | 16,600 | 691,635 | ||||||
Lion Corp. | 43,200 | 791,730 | ||||||
LIXIL Group Corp. | 57,100 | 1,142,361 | ||||||
M3, Inc. | 44,200 | 1,761,775 | ||||||
Mabuchi Motor Co., Ltd. | 9,600 | 456,751 | ||||||
Makita Corp. | 47,100 | 2,111,240 | ||||||
Marubeni Corp. | 313,700 | 2,393,426 | ||||||
Marui Group Co., Ltd. | 39,800 | 838,651 | ||||||
Maruichi Steel Tube, Ltd. | 10,400 | 352,566 | ||||||
Mazda Motor Corp. | 111,100 | 1,364,113 | ||||||
McDonald’s Holdings Co. Japan, Ltd. | 13,200 | 673,317 | ||||||
Mebuki Financial Group, Inc. | 181,300 | 608,889 | ||||||
Medipal Holdings Corp. | 38,600 | 776,426 | ||||||
MEIJI Holdings Co., Ltd. | 26,200 | 2,209,254 | ||||||
MINEBEA MITSUMI, Inc. | 78,300 | 1,324,734 | ||||||
MISUMI Group, Inc. | 57,500 | 1,676,748 | ||||||
Mitsubishi Chemical Holdings Corp. | 271,900 | 2,276,532 | ||||||
Mitsubishi Corp. | 281,100 | 7,811,365 | ||||||
Mitsubishi Electric Corp. | 370,500 | 4,932,084 | ||||||
Mitsubishi Estate Co., Ltd. | 240,000 | 4,196,994 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 813,515 | ||||||
Mitsubishi Heavy Industries, Ltd. | 63,000 | 2,292,719 | ||||||
Mitsubishi Materials Corp. | 21,600 | 593,798 | ||||||
Mitsubishi Motors Corp. | 136,100 | 1,084,966 | ||||||
Mitsubishi Tanabe Pharma Corp. | 49,200 | 850,167 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,445,500 | 13,933,599 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 81,700 | 502,304 | ||||||
Mitsui & Co., Ltd. | 346,400 | 5,777,764 | ||||||
Mitsui Chemicals, Inc. | 34,600 | 921,500 | ||||||
Mitsui Fudosan Co., Ltd. | 181,100 | 4,371,971 | ||||||
Mitsui OSK Lines, Ltd. | 20,200 | 486,558 | ||||||
Mizuho Financial Group, Inc. | 4,908,400 | 8,264,493 | ||||||
MS&AD Insurance Group Holdings, Inc. | 100,400 | 3,121,723 | ||||||
Murata Manufacturing Co., Ltd. | 36,600 | 6,152,593 | ||||||
Nabtesco Corp. | 24,000 | 738,862 | ||||||
Nagoya Railroad Co., Ltd. | 36,000 | 929,536 | ||||||
NEC Corp. | 50,400 | 1,383,253 | ||||||
Nexon Co., Ltd. (b) | 87,800 | 1,275,405 | ||||||
NGK Insulators, Ltd. | 53,200 | 947,624 | ||||||
NGK Spark Plug Co., Ltd. | 29,600 | 844,454 | ||||||
NH Foods, Ltd. | 21,000 | 848,418 | ||||||
Nidec Corp. | 46,600 | 6,994,312 | ||||||
Nikon Corp. | 67,200 | 1,069,594 | ||||||
Nintendo Co., Ltd. | 23,600 | 7,712,906 | ||||||
Nippon Building Fund, Inc. REIT | 264 | 1,523,008 | ||||||
Nippon Electric Glass Co., Ltd. (a) | 15,200 | 422,661 | ||||||
Nippon Express Co., Ltd. | 15,800 | 1,146,860 | ||||||
Nippon Paint Holdings Co., Ltd. (a) | 31,600 | 1,360,827 | ||||||
Nippon Prologis REIT, Inc. | 331 | 686,713 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 157,400 | 3,091,443 | ||||||
Nippon Telegraph & Telephone Corp. | 140,400 | 6,383,374 | ||||||
Nippon Yusen KK | 36,600 | 726,614 | ||||||
Nissan Chemical Industries, Ltd. | 28,300 | 1,320,914 | ||||||
Nissan Motor Co., Ltd. | 471,200 | 4,585,867 |
See accompanying notes to financial statements.
6
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Nisshin Seifun Group, Inc. | 40,900 | $ | 865,892 | |||||
Nissin Foods Holdings Co., Ltd. | 11,800 | 853,320 | ||||||
Nitori Holdings Co., Ltd. | 16,000 | 2,496,095 | ||||||
Nitto Denko Corp. | 34,400 | 2,603,487 | ||||||
NOK Corp. | 19,900 | 385,190 | ||||||
Nomura Holdings, Inc. | 718,200 | 3,489,688 | ||||||
Nomura Real Estate Holdings, Inc. | 22,600 | 501,519 | ||||||
Nomura Real Estate Master Fund, Inc. | 818 | 1,154,276 | ||||||
Nomura Research Institute, Ltd. | 26,000 | 1,260,506 | ||||||
NSK, Ltd. | 73,800 | 761,553 | ||||||
NTT Data Corp. | 134,900 | 1,554,032 | ||||||
NTT DOCOMO, Inc. | 278,400 | 7,094,154 | ||||||
Obayashi Corp. | 125,800 | 1,309,506 | ||||||
Obic Co., Ltd. | 13,100 | 1,084,521 | ||||||
Odakyu Electric Railway Co., Ltd. | 63,400 | 1,361,127 | ||||||
Oji Holdings Corp. | 169,000 | 1,048,192 | ||||||
Olympus Corp. | 61,000 | 2,285,469 | ||||||
Omron Corp. | 40,500 | 1,890,353 | ||||||
Ono Pharmaceutical Co., Ltd. | 79,400 | 1,861,615 | ||||||
Oracle Corp. Japan | 7,400 | 604,613 | ||||||
Oriental Land Co., Ltd. | 40,600 | 4,261,048 | ||||||
ORIX Corp. | 268,800 | 4,251,682 | ||||||
Osaka Gas Co., Ltd. | 76,100 | 1,575,040 | ||||||
Otsuka Corp. | 22,600 | 886,535 | ||||||
Otsuka Holdings Co., Ltd. | 82,100 | 3,975,844 | ||||||
Panasonic Corp. | 448,100 | 6,041,957 | ||||||
Park24 Co., Ltd. | 25,300 | 688,661 | ||||||
Pola Orbis Holdings, Inc. | 20,800 | 915,452 | ||||||
Rakuten, Inc. | 182,000 | 1,231,353 | ||||||
Recruit Holdings Co., Ltd. | 223,800 | 6,194,834 | ||||||
Renesas Electronics Corp. (b) | 164,300 | 1,610,886 | ||||||
Resona Holdings, Inc. | 443,700 | 2,373,824 | ||||||
Ricoh Co., Ltd. | 135,700 | 1,244,718 | ||||||
Rinnai Corp. | 7,700 | 679,177 | ||||||
Rohm Co., Ltd. | 20,000 | 1,679,231 | ||||||
Ryohin Keikaku Co., Ltd. | 5,000 | 1,760,484 | ||||||
Sankyo Co., Ltd. | 9,200 | 360,060 | ||||||
Santen Pharmaceutical Co., Ltd. | 80,200 | 1,398,151 | ||||||
SBI Holdings, Inc. | 44,800 | 1,154,329 | ||||||
Secom Co., Ltd. | 44,300 | 3,402,339 | ||||||
Sega Sammy Holdings, Inc. | 32,200 | 551,759 | ||||||
Seibu Holdings, Inc. | 48,100 | 811,184 | ||||||
Seiko Epson Corp. | 60,800 | 1,057,200 | ||||||
Sekisui Chemical Co., Ltd. | 85,200 | 1,452,242 | ||||||
Sekisui House, Ltd. | 126,200 | 2,233,124 | ||||||
Seven & i Holdings Co., Ltd. | 157,000 | 6,847,533 | ||||||
Seven Bank, Ltd. | 126,400 | 386,851 | ||||||
SG Holdings Co., Ltd. | 22,700 | 498,000 | ||||||
Sharp Corp. (a) | 34,800 | 848,282 | ||||||
Shimadzu Corp. | 49,400 | 1,494,064 | ||||||
Shimamura Co., Ltd. | 5,100 | 448,923 | ||||||
Shimano, Inc. | 15,400 | 2,260,678 | ||||||
Shimizu Corp. | 122,200 | 1,267,619 | ||||||
Shin-Etsu Chemical Co., Ltd. | 76,500 | 6,818,801 | ||||||
Shinsei Bank, Ltd. | 30,900 | 475,921 | ||||||
Shionogi & Co., Ltd. | 58,300 | 2,995,398 | ||||||
Shiseido Co., Ltd. | 77,100 | 6,124,009 | ||||||
Shizuoka Bank, Ltd. | 102,000 | 921,789 | ||||||
Showa Shell Sekiyu KK | 34,700 | 517,845 | ||||||
SMC Corp. | 11,600 | 4,255,026 | ||||||
SoftBank Group Corp. | 170,900 | 12,301,591 | ||||||
Sohgo Security Services Co., Ltd. | 15,700 | 739,891 | ||||||
Sompo Holdings, Inc. | 69,500 | 2,810,996 | ||||||
Sony Corp. | 262,100 | 13,402,559 | ||||||
Sony Financial Holdings, Inc. (a) | 33,200 | 634,236 | ||||||
Stanley Electric Co., Ltd. | 27,300 | 931,648 | ||||||
Start Today Co., Ltd. | 43,000 | 1,558,660 | ||||||
Subaru Corp. | 124,900 | 3,636,550 | ||||||
SUMCO Corp. (a) | 50,000 | 1,009,796 | ||||||
Sumitomo Chemical Co., Ltd. | 294,000 | 1,666,880 | ||||||
Sumitomo Corp. | 235,400 | 3,867,901 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 783,325 | ||||||
Sumitomo Electric Industries, Ltd. | 151,700 | 2,259,784 | ||||||
Sumitomo Heavy Industries, Ltd. | 22,800 | 769,846 | ||||||
Sumitomo Metal Mining Co., Ltd. | 46,600 | 1,782,971 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 278,600 | 10,830,602 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 68,900 | 2,732,611 | ||||||
Sumitomo Realty & Development Co., Ltd. | 72,000 | 2,657,952 | ||||||
Sumitomo Rubber Industries, Ltd. (a) | 36,000 | 572,022 | ||||||
Sundrug Co., Ltd. | 16,700 | 676,956 | ||||||
Suntory Beverage & Food, Ltd. | 28,800 | 1,229,847 | ||||||
Suruga Bank, Ltd. | 34,400 | 307,772 | ||||||
Suzuken Co., Ltd. | 13,600 | 575,850 | ||||||
Suzuki Motor Corp. | 69,800 | 3,855,337 | ||||||
Sysmex Corp. | 35,300 | 3,295,283 | ||||||
T&D Holdings, Inc. | 111,000 | 1,668,031 | ||||||
Taiheiyo Cement Corp. | 23,800 | 783,199 | ||||||
Taisei Corp. | 42,500 | 2,344,378 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 948,467 | ||||||
Taiyo Nippon Sanso Corp. | 23,300 | 334,044 | ||||||
Takashimaya Co., Ltd. | 53,000 | 453,609 | ||||||
Takeda Pharmaceutical Co., Ltd. (a) | 145,600 | 6,149,206 | ||||||
TDK Corp. | 26,000 | 2,657,157 | ||||||
Teijin, Ltd. | 40,800 | 748,482 | ||||||
Temp Holdings Co., Ltd. | 32,800 | 731,719 | ||||||
Terumo Corp. | 64,200 | 3,680,495 | ||||||
THK Co., Ltd. | 26,100 | 748,138 | ||||||
Tobu Railway Co., Ltd. | 42,600 | 1,303,787 | ||||||
Toho Co., Ltd. | 22,700 | 761,346 | ||||||
Toho Gas Co., Ltd. | 17,900 | 619,749 | ||||||
Tohoku Electric Power Co., Inc. | 90,200 | 1,101,798 | ||||||
Tokio Marine Holdings, Inc. | 136,700 | 6,408,912 | ||||||
Tokyo Century Corp. | 9,800 | 555,627 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (b) | 293,600 | 1,367,739 | ||||||
Tokyo Electron, Ltd. | 31,900 | 5,477,705 | ||||||
Tokyo Gas Co., Ltd. | 81,600 | 2,166,251 | ||||||
Tokyo Tatemono Co., Ltd. | 36,300 | 498,463 | ||||||
Tokyu Corp. | 104,500 | 1,800,081 | ||||||
Tokyu Fudosan Holdings Corp. | 98,200 | 693,291 | ||||||
Toppan Printing Co., Ltd. | 116,000 | 909,024 | ||||||
Toray Industries, Inc. | 278,500 | 2,197,526 |
See accompanying notes to financial statements.
7
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Toshiba Corp. (b) | 1,342,000 | $ | 4,034,542 | |||||
Tosoh Corp. | 56,500 | 875,823 | ||||||
TOTO, Ltd. | 30,300 | 1,406,058 | ||||||
Toyo Seikan Group Holdings, Ltd. | 28,500 | 500,709 | ||||||
Toyo Suisan Kaisha, Ltd. | 18,300 | 651,772 | ||||||
Toyoda Gosei Co., Ltd. | 16,800 | 426,048 | ||||||
Toyota Industries Corp. | 31,900 | 1,788,462 | ||||||
Toyota Motor Corp. | 471,100 | 30,495,075 | ||||||
Toyota Tsusho Corp. | 46,300 | 1,550,788 | ||||||
Trend Micro, Inc. | 24,200 | 1,380,797 | ||||||
Tsuruha Holdings, Inc. | 8,000 | 1,003,205 | ||||||
Unicharm Corp. | 86,000 | 2,587,803 | ||||||
United Urban Investment Corp. REIT | 568 | 881,499 | ||||||
USS Co., Ltd. | 43,500 | 827,861 | ||||||
West Japan Railway Co. | 33,200 | 2,447,026 | ||||||
Yahoo! Japan Corp. (a) | 294,200 | 977,435 | ||||||
Yakult Honsha Co., Ltd. | 22,700 | 1,516,544 | ||||||
Yamada Denki Co., Ltd. | 127,900 | 636,238 | ||||||
Yamaguchi Financial Group, Inc. | 39,000 | 439,417 | ||||||
Yamaha Corp. | 27,400 | 1,424,854 | ||||||
Yamaha Motor Co., Ltd. (a) | 57,100 | 1,436,199 | ||||||
Yamato Holdings Co., Ltd. (a) | 67,200 | 1,980,236 | ||||||
Yamazaki Baking Co., Ltd. | 30,700 | 803,774 | ||||||
Yaskawa Electric Corp. | 49,200 | 1,738,979 | ||||||
Yokogawa Electric Corp. | 46,400 | 826,080 | ||||||
Yokohama Rubber Co., Ltd. (a) | 20,700 | 430,390 | ||||||
|
| |||||||
710,821,050 | ||||||||
|
| |||||||
LUXEMBOURG — 0.3% | ||||||||
ArcelorMittal | 136,405 | 3,999,012 | ||||||
Eurofins Scientific SE | 2,271 | 1,263,178 | ||||||
Millicom International Cellular SA SDR | 14,562 | 861,089 | ||||||
RTL Group SA | 8,135 | 551,835 | ||||||
SES SA | 77,250 | 1,415,132 | ||||||
Tenaris SA | 99,459 | 1,824,879 | ||||||
|
| |||||||
9,915,125 | ||||||||
|
| |||||||
MACAU — 0.1% | ||||||||
MGM China Holdings, Ltd. (a) | 169,200 | 392,513 | ||||||
Wynn Macau, Ltd. | 334,400 | 1,076,241 | ||||||
|
| |||||||
1,468,754 | ||||||||
|
| |||||||
MEXICO — 0.0% (c) | ||||||||
Fresnillo PLC | 41,967 | 633,578 | ||||||
|
| |||||||
NETHERLANDS — 4.7% | ||||||||
ABN AMRO Group NV (d) | 90,456 | 2,346,697 | ||||||
Aegon NV | 389,937 | 2,338,273 | ||||||
Akzo Nobel NV | 52,982 | 4,535,514 | ||||||
ASML Holding NV | 84,730 | 16,787,836 | ||||||
EXOR NV | 23,718 | 1,597,826 | ||||||
Heineken Holding NV | 24,623 | 2,360,260 | ||||||
Heineken NV | 54,202 | 5,443,653 | ||||||
ING Groep NV | 805,292 | 11,591,021 | ||||||
Koninklijke Ahold Delhaize NV | 260,134 | 6,227,770 | ||||||
Koninklijke DSM NV | 38,198 | 3,840,788 | ||||||
Koninklijke KPN NV | 723,653 | 1,968,620 | ||||||
Koninklijke Philips NV | 195,633 | 8,319,886 | ||||||
Koninklijke Vopak NV | 15,913 | 735,180 | ||||||
NN Group NV | 67,012 | 2,725,878 | ||||||
NXP Semiconductors NV (b) | 47,872 | 5,230,973 | ||||||
Randstad NV | 25,095 | 1,477,290 | ||||||
Royal Dutch Shell PLC Class A | 948,093 | 32,907,726 | ||||||
Royal Dutch Shell PLC Class B | 772,849 | 27,687,314 | ||||||
Wolters Kluwer NV | 61,305 | 3,454,291 | ||||||
|
| |||||||
141,576,796 | ||||||||
|
| |||||||
NEW ZEALAND — 0.2% | ||||||||
a2 Milk Co., Ltd. | 156,772 | 1,216,393 | ||||||
Auckland International Airport, Ltd. | 181,879 | 834,897 | ||||||
Fisher & Paykel Healthcare Corp., Ltd. | 105,370 | 1,062,264 | ||||||
Fletcher Building, Ltd. | 153,377 | 721,715 | ||||||
Meridian Energy, Ltd. | 262,247 | 553,969 | ||||||
Ryman Healthcare, Ltd. | 72,076 | 584,125 | ||||||
Spark New Zealand, Ltd. | 345,222 | 871,822 | ||||||
|
| |||||||
5,845,185 | ||||||||
|
| |||||||
NORWAY — 0.7% | ||||||||
Aker BP ASA | 23,820 | 879,105 | ||||||
DNB ASA | 192,801 | 3,768,306 | ||||||
Equinor ASA | 228,973 | 6,079,427 | ||||||
Gjensidige Forsikring ASA | 44,759 | 733,682 | ||||||
Marine Harvest ASA | 81,622 | 1,624,348 | ||||||
Norsk Hydro ASA | 261,897 | 1,567,770 | ||||||
Orkla ASA | 171,196 | 1,499,729 | ||||||
Schibsted ASA Class B | 19,596 | 552,989 | ||||||
Telenor ASA | 154,143 | 3,161,195 | ||||||
Yara International ASA | 37,661 | 1,561,815 | ||||||
|
| |||||||
21,428,366 | ||||||||
|
| |||||||
PORTUGAL — 0.2% | ||||||||
EDP - Energias de Portugal SA | 505,374 | 2,006,169 | ||||||
Galp Energia SGPS SA | 99,448 | 1,896,666 | ||||||
Jeronimo Martins SGPS SA | 45,284 | 654,019 | ||||||
|
| |||||||
4,556,854 | ||||||||
|
| |||||||
SINGAPORE — 1.2% | ||||||||
Ascendas Real Estate Investment Trust | 512,350 | 992,009 | ||||||
CapitaLand Commercial Trust | 468,038 | 569,815 | ||||||
CapitaLand Mall Trust REIT | 528,100 | 801,736 | ||||||
CapitaLand, Ltd. | 544,400 | 1,261,682 | ||||||
City Developments, Ltd. | 90,700 | 727,063 | ||||||
ComfortDelGro Corp., Ltd. | 469,500 | 809,186 | ||||||
DBS Group Holdings, Ltd. | 355,713 | 6,942,078 | ||||||
Genting Singapore, Ltd. | 1,313,300 | 1,175,083 | ||||||
Golden Agri-Resources, Ltd. | 1,326,600 | 296,746 | ||||||
Jardine Cycle & Carriage, Ltd. | 17,233 | 402,167 | ||||||
Keppel Corp., Ltd. | 305,800 | 1,603,572 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 622,826 | 5,316,974 | ||||||
SATS, Ltd. | 114,700 | 420,609 | ||||||
Sembcorp Industries, Ltd. | 177,900 | 358,801 | ||||||
Singapore Airlines, Ltd. | 112,800 | 884,365 | ||||||
Singapore Exchange, Ltd. | 152,600 | 802,451 | ||||||
Singapore Press Holdings, Ltd. | 306,400 | 584,261 | ||||||
Singapore Technologies Engineering, Ltd. | 304,700 | 735,213 | ||||||
Singapore Telecommunications, Ltd. | 1,612,800 | 3,643,142 |
See accompanying notes to financial statements.
8
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
Suntec Real Estate Investment Trust | 564,700 | $ | 716,488 | |||||
United Overseas Bank, Ltd. | 263,090 | 5,163,395 | ||||||
UOL Group, Ltd. | 89,832 | 502,031 | ||||||
Venture Corp., Ltd. | 59,700 | 781,113 | ||||||
Wilmar International, Ltd. | 356,500 | 800,066 | ||||||
|
| |||||||
36,290,046 | ||||||||
|
| |||||||
SOUTH AFRICA — 0.1% | ||||||||
Investec PLC | 145,593 | 1,034,139 | ||||||
Mediclinic International PLC | 74,531 | 518,172 | ||||||
Old Mutual, Ltd. (b) | 155,571 | 308,911 | ||||||
|
| |||||||
1,861,222 | ||||||||
|
| |||||||
SPAIN — 3.0% | ||||||||
ACS Actividades de Construccion y Servicios SA | 50,010 | 2,026,105 | ||||||
Aena SME SA (d) | 13,923 | 2,527,778 | ||||||
Amadeus IT Group SA | 91,656 | 7,234,079 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,388,507 | 9,846,878 | ||||||
Banco de Sabadell SA | 1,215,062 | 2,036,467 | ||||||
Banco Santander SA | 3,345,869 | 17,938,515 | ||||||
Bankia SA | 245,497 | 919,223 | ||||||
Bankinter SA | 148,224 | 1,443,658 | ||||||
CaixaBank SA | 761,638 | 3,295,564 | ||||||
Enagas SA (a) | 44,088 | 1,288,933 | ||||||
Endesa SA (a) | 62,029 | 1,368,413 | ||||||
Ferrovial SA | 103,506 | 2,123,910 | ||||||
Gas Natural SDG SA (a) | 71,595 | 1,895,839 | ||||||
Grifols SA (a) | 64,388 | 1,938,043 | ||||||
Iberdrola SA | 1,207,314 | 9,337,191 | ||||||
Industria de Diseno Textil SA | 227,638 | 7,776,689 | ||||||
Mapfre SA | 252,051 | 760,720 | ||||||
Red Electrica Corp. SA (a) | 93,526 | 1,904,384 | ||||||
Repsol SA | 277,933 | 5,440,256 | ||||||
Siemens Gamesa Renewable Energy SA (a) | 45,639 | 613,054 | ||||||
Telefonica SA | 974,460 | 8,281,546 | ||||||
|
| |||||||
89,997,245 | ||||||||
|
| |||||||
SWEDEN — 2.5% | ||||||||
Alfa Laval AB | 57,186 | 1,359,015 | ||||||
Assa Abloy AB Class B | 211,013 | 4,502,837 | ||||||
Atlas Copco AB Class A | 141,606 | 4,128,196 | ||||||
Atlas Copco AB Class B | 77,417 | 2,030,617 | ||||||
Boliden AB | 56,888 | 1,847,938 | ||||||
Electrolux AB Class B | 46,560 | 1,061,730 | ||||||
Epiroc AB Class A (b) | 133,225 | 1,399,711 | ||||||
Epiroc AB Class B (b) | 77,417 | 709,613 | ||||||
Essity AB Class B | 128,689 | 3,181,982 | ||||||
Hennes & Mauritz AB Class B (a) | 181,379 | 2,706,695 | ||||||
Hexagon AB Class B | 52,932 | 2,955,459 | ||||||
Husqvarna AB Class B | 80,679 | 766,748 | ||||||
ICA Gruppen AB (a) | 18,803 | 577,374 | ||||||
Industrivarden AB Class C | 37,373 | 725,653 | ||||||
Investor AB Class B | 96,180 | 3,923,103 | ||||||
Kinnevik AB Class B | 50,950 | 1,747,882 | ||||||
L E Lundbergforetagen AB Class B | 17,802 | 547,631 | ||||||
Lundin Petroleum AB | 39,977 | 1,276,708 | ||||||
Nordea Bank AB | 635,956 | 6,133,499 | ||||||
Sandvik AB | 238,179 | 4,233,228 | ||||||
Securitas AB Class B | 67,661 | 1,115,204 | ||||||
Skandinaviska Enskilda Banken AB Class A | 332,040 | 3,160,801 | ||||||
Skanska AB Class B | 66,549 | 1,211,064 | ||||||
SKF AB Class B | 79,713 | 1,485,374 | ||||||
Svenska Handelsbanken AB Class A | 323,167 | 3,596,524 | ||||||
Swedbank AB Class A | 191,023 | 4,095,485 | ||||||
Swedish Match AB | 37,972 | 1,883,320 | ||||||
Tele2 AB Class B | 66,816 | 786,466 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 645,564 | 4,997,962 | ||||||
Telia Co. AB | 599,675 | 2,745,662 | ||||||
Volvo AB Class B | 328,771 | 5,262,688 | ||||||
|
| |||||||
76,156,169 | ||||||||
|
| |||||||
SWITZERLAND — 8.4% | ||||||||
ABB, Ltd. | 383,024 | 8,374,491 | ||||||
Adecco Group AG | 33,728 | 1,995,929 | ||||||
Baloise Holding AG | 9,906 | 1,439,585 | ||||||
Barry Callebaut AG | 445 | 797,724 | ||||||
Chocoladefabriken Lindt & Spruengli AG (e) | 230 | 1,489,400 | ||||||
Chocoladefabriken Lindt & Spruengli AG (e) | 22 | 1,670,577 | ||||||
Cie Financiere Richemont SA | 108,375 | 9,181,233 | ||||||
Clariant AG (b) | 42,087 | 1,009,630 | ||||||
Coca-Cola HBC AG (b) | 42,516 | 1,420,695 | ||||||
Credit Suisse Group AG | 531,551 | 8,003,109 | ||||||
Dufry AG (b) | 6,987 | 889,427 | ||||||
EMS-Chemie Holding AG | 1,763 | 1,130,117 | ||||||
Ferguson PLC | 47,848 | 3,885,038 | ||||||
Geberit AG | 7,824 | 3,355,901 | ||||||
Givaudan SA | 1,939 | 4,397,631 | ||||||
Glencore PLC | 2,391,268 | 11,428,604 | ||||||
Julius Baer Group, Ltd. (b) | 47,546 | 2,790,655 | ||||||
Kuehne + Nagel International AG | 11,324 | 1,701,537 | ||||||
LafargeHolcim, Ltd. (b) | 101,629 | 4,951,721 | ||||||
Lonza Group AG (b) | 15,642 | 4,150,931 | ||||||
Nestle SA | 641,236 | 49,661,160 | ||||||
Novartis AG | 458,648 | 34,772,165 | ||||||
Pargesa Holding SA | 8,029 | 680,033 | ||||||
Partners Group Holding AG | 3,572 | 2,617,080 | ||||||
Roche Holding AG | 144,896 | 32,183,708 | ||||||
Schindler Holding AG (e) | 8,500 | 1,828,491 | ||||||
Schindler Holding AG (e) | 4,045 | 850,593 | ||||||
SGS SA | 1,133 | 3,014,639 | ||||||
Sika AG | 27,205 | 3,764,507 | ||||||
Sonova Holding AG | 11,493 | 2,058,543 | ||||||
STMicroelectronics NV | 144,177 | 3,216,861 | ||||||
Straumann Holding AG | 2,242 | 1,704,728 | ||||||
Swatch Group AG (e) | 6,532 | 3,099,074 | ||||||
Swatch Group AG (e) | 11,256 | 973,189 | ||||||
Swiss Life Holding AG (b) | 7,032 | 2,443,265 | ||||||
Swiss Prime Site AG (b) | 15,174 | 1,392,930 | ||||||
Swiss Re AG | 65,713 | 5,671,589 | ||||||
Swisscom AG (a) | 5,350 | 2,387,955 | ||||||
Temenos AG (b) | 12,522 | 1,891,636 | ||||||
UBS Group AG (b) | 798,411 | 12,322,522 | ||||||
Vifor Pharma AG | 9,918 | 1,584,663 | ||||||
Zurich Insurance Group AG | 31,426 | 9,308,008 | ||||||
|
| |||||||
251,491,274 | ||||||||
|
|
See accompanying notes to financial statements.
9
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
UNITED ARAB EMIRATES — 0.0% (c) |
| |||||||
NMC Health PLC | 22,393 | $ | 1,058,996 | |||||
|
| |||||||
UNITED KINGDOM — 15.8% |
| |||||||
3i Group PLC | 199,746 | 2,375,015 | ||||||
Admiral Group PLC | 40,811 | 1,027,775 | ||||||
Anglo American PLC (a) | 220,704 | 4,938,386 | ||||||
Ashtead Group PLC | 100,881 | 3,027,368 | ||||||
Associated British Foods PLC | 72,315 | 2,614,076 | ||||||
AstraZeneca PLC | 261,719 | 18,150,935 | ||||||
Auto Trader Group PLC (d) | 186,149 | 1,046,706 | ||||||
Aviva PLC | 821,156 | 5,464,024 | ||||||
Babcock International Group PLC | 60,228 | 650,282 | ||||||
BAE Systems PLC | 652,063 | 5,568,214 | ||||||
Barclays PLC | 3,544,498 | 8,844,492 | ||||||
Barratt Developments PLC | 214,149 | 1,457,192 | ||||||
Berkeley Group Holdings PLC | 27,055 | 1,351,978 | ||||||
BP PLC | 4,108,396 | 31,367,640 | ||||||
British American Tobacco PLC ADR | 6,638 | 334,887 | ||||||
British American Tobacco PLC | 466,945 | 23,611,352 | ||||||
British Land Co. PLC REIT | 189,478 | 1,681,565 | ||||||
BT Group PLC | 1,729,670 | 4,973,676 | ||||||
Bunzl PLC | 68,085 | 2,062,958 | ||||||
Burberry Group PLC | 89,202 | 2,543,810 | ||||||
Carnival PLC | 37,646 | 2,160,553 | ||||||
Centrica PLC | 1,131,555 | 2,355,190 | ||||||
CNH Industrial NV | 204,800 | 2,174,984 | ||||||
Coca-Cola European Partners PLC (e) | 7,000 | 284,480 | ||||||
Coca-Cola European Partners PLC (e) | 38,766 | 1,574,187 | ||||||
Compass Group PLC | 323,033 | 6,902,651 | ||||||
ConvaTec Group PLC (d) | 276,322 | 774,866 | ||||||
Croda International PLC | 26,804 | 1,699,332 | ||||||
DCC PLC | 18,891 | 1,719,672 | ||||||
Diageo PLC | 508,405 | 18,270,662 | ||||||
Direct Line Insurance Group PLC | 272,368 | 1,233,048 | ||||||
easyJet PLC | 35,408 | 782,085 | ||||||
Experian PLC | 186,480 | 4,615,025 | ||||||
Fiat Chrysler Automobiles NV | 227,174 | 4,332,383 | ||||||
G4S PLC | 337,308 | 1,192,151 | ||||||
GlaxoSmithKline PLC | 1,024,046 | 20,682,854 | ||||||
GVC Holdings PLC | 110,661 | 1,535,514 | ||||||
Hammerson PLC REIT | 169,641 | 1,170,460 | ||||||
Hargreaves Lansdown PLC | 61,934 | 1,612,064 | ||||||
HSBC Holdings PLC | 4,124,906 | 38,704,078 | ||||||
Imperial Brands PLC | 194,636 | 7,251,645 | ||||||
Informa PLC | 265,450 | 2,926,345 | ||||||
InterContinental Hotels Group PLC | 37,260 | 2,321,888 | ||||||
International Consolidated Airlines Group SA | 123,360 | 1,083,386 | ||||||
Intertek Group PLC | 34,378 | 2,594,354 | ||||||
ITV PLC | 758,375 | 1,742,166 | ||||||
J Sainsbury PLC | 347,633 | 1,474,188 | ||||||
John Wood Group PLC | 144,076 | 1,194,179 | ||||||
Johnson Matthey PLC | 40,228 | 1,922,088 | ||||||
Kingfisher PLC | 438,112 | 1,717,900 | ||||||
Land Securities Group PLC REIT | 150,159 | 1,897,030 | ||||||
Legal & General Group PLC | 1,224,466 | 4,300,161 | ||||||
Lloyds Banking Group PLC | 14,934,270 | 12,431,555 | ||||||
London Stock Exchange Group PLC | 64,335 | 3,797,592 | ||||||
Marks & Spencer Group PLC | 337,505 | 1,314,940 | ||||||
Meggitt PLC | 167,696 | 1,092,170 | ||||||
Melrose Industries PLC | 1,026,167 | 2,881,654 | ||||||
Merlin Entertainments PLC (d) | 137,489 | 701,938 | ||||||
Micro Focus International PLC | 25,294 | 441,975 | ||||||
Micro Focus International PLC ADR | 63,206 | 1,091,568 | ||||||
Mondi PLC | 75,935 | 2,056,194 | ||||||
National Grid PLC | 700,751 | 7,756,599 | ||||||
Next PLC | 30,635 | 2,446,975 | ||||||
Pearson PLC | 158,462 | 1,851,504 | ||||||
Persimmon PLC | 63,550 | 2,125,236 | ||||||
Prudential PLC | 535,842 | 12,270,645 | ||||||
Quilter PLC (b) (d) | 0 | — | ||||||
Randgold Resources, Ltd. | 20,596 | 1,582,567 | ||||||
Reckitt Benckiser Group PLC | 138,594 | 11,416,047 | ||||||
RELX NV | 202,863 | 4,326,116 | ||||||
RELX PLC | 214,857 | 4,602,466 | ||||||
Rio Tinto PLC | 248,766 | 13,797,489 | ||||||
Rio Tinto, Ltd. | 86,264 | 5,318,144 | ||||||
Rolls-Royce Holdings PLC (b) | 338,013 | 4,409,960 | ||||||
Royal Bank of Scotland Group PLC (b) | 1,010,414 | 3,416,373 | ||||||
Royal Mail PLC | 191,233 | 1,276,011 | ||||||
RSA Insurance Group PLC | 212,803 | 1,908,797 | ||||||
Sage Group PLC | 224,651 | 1,864,400 | ||||||
Schroders PLC | 25,234 | 1,052,094 | ||||||
Segro PLC REIT | 206,962 | 1,829,080 | ||||||
Severn Trent PLC | 52,145 | 1,362,776 | ||||||
Shire PLC ADR | 4,539 | 766,183 | ||||||
Shire PLC | 175,178 | 9,864,043 | ||||||
Sky PLC | 212,668 | 4,103,527 | ||||||
Smith & Nephew PLC | 177,606 | 3,278,092 | ||||||
Smiths Group PLC | 83,413 | 1,869,940 | ||||||
SSE PLC | 205,930 | 3,683,963 | ||||||
St James’s Place PLC | 111,941 | 1,695,892 | ||||||
Standard Chartered PLC | 585,828 | 5,356,844 | ||||||
Standard Life Aberdeen PLC | 550,222 | 2,365,985 | ||||||
Taylor Wimpey PLC | 711,313 | 1,680,070 | ||||||
Tesco PLC | 1,986,085 | 6,731,007 | ||||||
Travis Perkins PLC | 54,867 | 1,030,433 | ||||||
Unilever NV | 319,014 | 17,798,238 | ||||||
Unilever PLC | 254,964 | 14,110,958 | ||||||
United Utilities Group PLC | 143,593 | 1,446,865 | ||||||
Vodafone Group PLC | 5,522,180 | 13,401,693 | ||||||
Weir Group PLC | 50,739 | 1,339,764 | ||||||
Whitbread PLC | 37,234 | 1,946,173 | ||||||
Wm Morrison Supermarkets PLC | 443,810 | 1,476,570 | ||||||
WPP PLC | 261,187 | 4,113,849 | ||||||
|
| |||||||
475,776,854 | ||||||||
|
| |||||||
UNITED STATES — 0.0% (c) |
| |||||||
Altice USA, Inc. Class A | 49,190 | 839,181 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,961,137,992 | |||||||
|
| |||||||
RIGHTS — 0.0% (c) | ||||||||
ITALY — 0.0% (c) | ||||||||
Intesa Sanpaolo SpA | 2,866,860 | — | ||||||
|
|
See accompanying notes to financial statements.
10
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Security Description | Shares | Value | ||||||
SPAIN — 0.0% (c) | ||||||||
ACS Actividades de Construccion y Servicios SA | 50,010 | $ | 51,499 | |||||
Repsol SA (expiring 7/6/18) (b) | 261,218 | 148,254 | ||||||
|
| |||||||
199,753 | ||||||||
|
| |||||||
TOTAL RIGHTS | 199,753 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.86% (g) (h) | 29,498,560 | 29,498,560 | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio (g) (i) | 16,407,184 | 16,407,184 | ||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS | 45,905,744 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 3,007,243,489 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 5,957,299 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,013,200,788 | ||||||
|
|
(a) | All or a portion of the shares of the security are on loan at June 30, 2018. |
(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 0.7% of net assets as of June 30, 2018, 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) | 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, 2018, total aggregate fair value of securities is $0 representing 0.0% of net assets. |
(g) | 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, 2018 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2018. |
(i) | Investment of cash collateral for securities loaned. |
ADR = American Depositary Receipt
REIT = Real Estate Investment Trust
SDR = Swedish Depositary Receipt
At June 30, 2018, open futures contracts purchased were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||||||||||||
Mini MSCI EAFE (long) | 480 | 09/21/2018 | $ | 48,598,298 | $ | 46,929,600 | $ | (1,668,698 | ) |
During the period ended June 30, 2018, average notional value related to futures contracts was $49,569,851 or less than 0.5% of net assets.
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2018.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 210,127,218 | $ | — | $ | — | $ | 210,127,218 | ||||||||
Austria | 6,737,390 | — | — | 6,737,390 | ||||||||||||
Belgium | 31,417,573 | — | — | 31,417,573 | ||||||||||||
Chile | 1,005,904 | — | — | 1,005,904 | ||||||||||||
China | 4,511,578 | — | — | 4,511,578 | ||||||||||||
Denmark | 48,385,836 | — | — | 48,385,836 | ||||||||||||
Finland | 30,144,575 | — | — | 30,144,575 | ||||||||||||
France | 316,415,237 | — | — | 316,415,237 | ||||||||||||
Germany | 284,449,447 | — | — | 284,449,447 | ||||||||||||
Hong Kong | 101,730,375 | — | — | 101,730,375 | ||||||||||||
Ireland | 18,781,206 | — | — | 18,781,206 | ||||||||||||
Israel | 14,938,454 | — | — | 14,938,454 | ||||||||||||
Italy | 62,776,504 | — | — | 62,776,504 | ||||||||||||
Japan | 710,821,050 | — | — | 710,821,050 |
See accompanying notes to financial statements.
11
Table of Contents
State Street International Developed Equity Index Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2018 (Unaudited)
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Luxembourg | $ | 9,915,125 | $ | — | $ | — | $ | 9,915,125 | ||||||||
Macau | 1,468,754 | — | — | 1,468,754 | ||||||||||||
Mexico | 633,578 | — | — | 633,578 | ||||||||||||
Netherlands | 141,576,796 | — | — | 141,576,796 | ||||||||||||
New Zealand | 5,845,185 | — | — | 5,845,185 | ||||||||||||
Norway | 21,428,366 | — | — | 21,428,366 | ||||||||||||
Portugal | 4,556,854 | — | — | 4,556,854 | ||||||||||||
Singapore | 36,290,046 | — | — | 36,290,046 | ||||||||||||
South Africa | 1,861,222 | — | — | 1,861,222 | ||||||||||||
Spain | 89,997,245 | — | — | 89,997,245 | ||||||||||||
Sweden | 76,156,169 | — | — | 76,156,169 | ||||||||||||
Switzerland | 251,491,274 | — | — | 251,491,274 | ||||||||||||
United Arab Emirates | 1,058,996 | — | — | 1,058,996 | ||||||||||||
United Kingdom | 475,776,854 | — | — | 475,776,854 | ||||||||||||
United States | 839,181 | — | — | 839,181 | ||||||||||||
Rights | ||||||||||||||||
Italy | — | — | — | — | ||||||||||||
Spain | 199,753 | — | — | 199,753 | ||||||||||||
Short-Term Investments | 45,905,744 | — | — | 45,905,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 3,007,243,489 | $ | — | $ | — | $ | 3,007,243,489 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Futures Contracts (a) | (1,668,698 | ) | — | — | (1,668,698 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ | (1,668,698 | ) | $ | — | $ | — | $ | (1,668,698 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/18 | Value at 6/30/18 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 18,151,852 | $ | 18,151,852 | $ | 365,681,976 | $ | 354,335,268 | $ | — | $ | — | 29,498,560 | $ | 29,498,560 | $ | 228,519 | $ | — | ||||||||||||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 15,887,666 | 15,887,666 | 411,954,639 | 411,435,121 | — | — | 16,407,184 | 16,407,184 | 534,592 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 34,039,518 | $ | 777,636,615 | $ | 765,770,389 | $ | — | $ | — | $ | 45,905,744 | $ | 763,111 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
State Street International Developed Equity Index Portfolio
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2018 (Unaudited)
ASSETS | ||||
Investments in unaffiliated issuers, at value and cost | $ | 2,961,337,745 | ||
Investments in affiliated issuers, at value | 45,905,744 | |||
|
| |||
Total Investments | 3,007,243,489 | |||
Foreign currency, at value | 7,789,270 | |||
Cash at broker | 4,122,131 | |||
Receivable for investments sold | 209,517 | |||
Dividends receivable — unaffiliated issuers | 5,868,868 | |||
Dividends receivable — affiliated issuers | 48,939 | |||
Securities lending income receivable — unaffiliated issuers | 45,772 | |||
Securities lending income receivable — affiliated issuers | 60,147 | |||
Receivable for foreign taxes recoverable | 6,621,034 | |||
Other Receivable | 170,400 | |||
|
| |||
TOTAL ASSETS | 3,032,179,567 | |||
|
| |||
LIABILITIES | ||||
Due to custodian | 170,341 | |||
Payable upon return of securities loaned | 16,407,184 | |||
Payable for investments purchased | 402,692 | |||
Payable to broker — variation margin on open futures contracts | 1,666,980 | |||
Advisory fee payable | 269,279 | |||
Custodian fees payable | 74 | |||
Professional fees payable | 62,110 | |||
Printing and postage fees payable | 115 | |||
Accrued expenses and other liabilities | 4 | |||
|
| |||
TOTAL LIABILITIES | 18,978,779 | |||
|
| |||
NET ASSETS | $ | 3,013,200,788 | ||
|
| |||
Net Assets | $ | 3,013,200,788 | ||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in unaffiliated issuers | $ | 2,664,256,897 | ||
Investments in affiliated issuers | 45,905,744 | |||
|
| |||
Total cost of investments | $ | 2,710,162,641 | ||
|
| |||
Foreign currency, at cost | $ | 7,824,185 | ||
|
| |||
* Includes investments in securities on loan, at value | $ | 39,912,699 | ||
|
|
See accompanying notes to financial statements.
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For the Six Months Ended June 30, 2018 (Unaudited)
INVESTMENT INCOME | ||||
Interest income — unaffiliated issuers | $ | 11,073 | ||
Dividend income — unaffiliated issuers | 63,873,938 | |||
Dividend income — affiliated issuers | 228,519 | |||
Dividend income — non-cash transactions | 3,276,391 | |||
Unaffiliated securities lending income | 118,345 | |||
Affiliated securities lending income | 534,592 | |||
Foreign taxes withheld | (6,340,018 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME | 61,702,840 | |||
|
| |||
EXPENSES | ||||
Advisory fee | 1,611,182 | |||
Administration and custody fees | 322,514 | |||
Trustees’ fees and expenses | 33,380 | |||
Professional fees and expenses | 70,261 | |||
Printing and postage fees | 2,355 | |||
Insurance expense | 536 | |||
Miscellaneous expenses | 23,571 | |||
|
| |||
TOTAL EXPENSES | 2,063,799 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 59,639,041 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 6,798,185 | |||
Foreign currency transactions | (609,586 | ) | ||
Futures contracts | 166,821 | |||
|
| |||
Net realized gain (loss) | 6,355,420 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments — unaffiliated issuers | (133,767,707 | ) | ||
Foreign currency translations | (321,335 | ) | ||
Futures contracts | (2,632,493 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | (136,721,535 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (130,366,115 | ) | ||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | (70,727,074 | ) | |
|
|
See accompanying notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 59,639,041 | $ | 69,187,821 | ||||
Net realized gain (loss) | 6,355,420 | 5,670,197 | ||||||
Net change in unrealized appreciation/depreciation | (136,721,535 | ) | 469,833,683 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (70,727,074 | ) | 544,691,701 | |||||
|
|
|
| |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||||||
Contributions | 585,334,943 | 562,875,573 | ||||||
Withdrawals | (357,076,076 | ) | (232,962,957 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | 228,258,867 | 329,912,616 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 157,531,793 | 874,604,317 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 2,855,668,995 | 1,981,064,678 | ||||||
|
|
|
| |||||
NET ASSETS AT END OF PERIOD | $ | 3,013,200,788 | $ | 2,855,668,995 | ||||
|
|
|
|
See accompanying notes to financial statements.
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Selected data for a share outstanding throughout each period
Six Months Ended 6/30/18 (Unaudited) | Year Ended 12/31/17 | For the Period 4/29/16* - 12/31/16 | ||||||||||
Total return (a) | (2.77 | )% | 25.25 | % | 1.00 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,013,201 | $ | 2,855,669 | $ | 1,981,065 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.14 | %(b) | 0.14 | % | 0.15 | %(b) | ||||||
Net investment income (loss) | 4.07 | %(b) | 2.80 | % | 2.57 | %(b) | ||||||
Portfolio turnover rate | 7 | %(c) | 4 | % | 1 | %(c) |
* | Commencement of operations. |
(a) | Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results. |
(b) | Annualized. |
(c) | Not annualized. |
See accompanying notes to financial statements.
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State Street International Developed Equity Index Portfolio
June 30, 2018 (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, 2018, 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. Each Fund 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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments 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. |
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
• | 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 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, 2018 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, 2018.
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.
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
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.
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, 2018, 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 with the movement of the assets underlying such contracts.
For the period ended June 30, 2018, the Portfolio entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.
The following summarizes the value of the Portfolio’s derivative instruments as of June 30, 2018, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Liability Derivatives | ||||||||||||||||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Futures Contracts (a) | $ | — | $ | — | $ | — | $ | (1,666,980 | ) | $ | — | $ | (1,666,980 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (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 | $ | — | $ | — | $ | — | $ | 166,821 | $ | — | $ | 166,821 |
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 | $ | — | $ | — | $ | — | $ | (2,632,493 | ) | $ | — | $ | (2,632,493 | ) |
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, Custodian, Sub-Administrator 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. For its services as custodian, sub-administrator, and transfer agent, each Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
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.
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 Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2018, are disclosed in the Schedule 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. As of June 30, 2018, the Portfolio had a cash overdraft related to futures contracts margin movement.
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.
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (Unaudited)
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, derivative contracts and short term investments) for the period ended June 30, 2018, were as follows:
Purchases | Sales | |||||||
State Street International Developed Equity Index Portfolio | $ | 484,702,268 | $ | 215,837,025 |
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 are 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, 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.
As of June 30, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments 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 | $ | 2,726,185,616 | $ | 407,833,842 | $ | 110,752,994 | $ | 297,080,848 |
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, 2018, 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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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2018 (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, 2018:
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
State Street International Developed Equity Index Portfolio | $ | 39,912,699 | $ | 16,407,184 | $ | 25,123,103 | $ | 41,530,287 |
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, 2018:
Remaining Contractual Maturity of the Agreements As of June 30, 2018 | ||||||||||||||||||||||||||
Fund | Securities Lending | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||||||||||||||
State Street International Developed Equity Index Portfolio | Common Stocks | $ | 16,407,184 | $ | — | $ | — | $ | — | $ | 16,407,184 | $ | 16,407,184 |
9. | Line of Credit |
The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 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, 2018.
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 undefined 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 undefined 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 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.
11. | 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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June 30, 2018 (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 a 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, 2018 to June 30, 2018.
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 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 International Developed Equity Index Portfolio | 0.14 | % | $ | 962.90 | $ | 0.68 | $ | 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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OTHER INFORMATION (continued)
June 30, 2018 (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 12, 2018 and May 17, 2018, 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 12, 2018 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 17, 2018 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 Portfolio: |
• | Comparisons of the Portfolio’s performance over the past one-year period ended December 31, 2017, 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 State Street International Developed Equity Index Fund’s (the “Feeder 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 Portfolio’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past three 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 Portfolio; 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”). |
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 International Developed Equity Index Portfolio
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
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. |
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; |
• | 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, fund accountant, transfer agent 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, 2017; 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, 2017; |
• | 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 session of the Board on May 17, 2018; |
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State Street International Developed Equity Index Portfolio
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
• | 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 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 17, 2018 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2018, 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 Trustees also considered the significant risks assumed by the Adviser in connection with the services provided to the Portfolio, including operational, enterprise, regulatory, litigation, and compliance risks. 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 compared the Portfolio’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2017. 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.
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State Street International Developed Equity Index Portfolio
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
State Street International Developed Equity Index Portfolio. The Board considered that the Portfolio’s performance approximately equaled the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period. The Board also considered that the Fund is an index fund whose investment objective involves providing investment results that, before fees and expenses, correspond generally to the total return performance of its benchmark index. In this regard, the Board considered information regarding the Fund’s tracking difference and was satisfied with the Fund’s performance in tracking its benchmark index.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the 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 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.
State Street International Developed Equity Index 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 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.
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 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, 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
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State Street International Developed Equity Index Portfolio
OTHER INFORMATION (continued)
June 30, 2018 (Unaudited)
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 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 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.
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 (toll free), (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 (toll free), (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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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.
One Iron Street
Boston, MA 02210
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 02199
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 |
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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) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
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Item 11. Controls and Procedures.
(a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(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 last 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 to the Registrant. |
(b) | Not applicable to the Registrant. |
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. |
(a)(4) | 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 6, 2018 |
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 6, 2018 | |||
By: | /s/ Bruce S. Rosenberg | |||
Bruce S. Rosenberg | ||||
Treasurer (Principal Financial and Accounting Officer) | ||||
Date: | September 6, 2018 |