UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General 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 02199-3600 |
Registrant’s telephone number, including area code: (617)664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2019
Item 1. | Reports to Stockholders. |
State Street Defensive Global Equity Fund |
ASSETS | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,290,692 |
Receivable for investments sold | 4,502 |
Receivable from Adviser | 23,975 |
TOTAL ASSETS | 2,319,169 |
LIABILITIES | |
Advisory fee payable | 1,407 |
Custodian fees payable | 2,238 |
Administration fees payable | 94 |
Trustees’ fees and expenses payable | 879 |
Transfer agent fees payable | 180 |
Registration and filing fees payable | 560 |
Professional fees payable | 10,456 |
Printing and postage fees payable | 22,950 |
Accrued expenses and other liabilities | 175 |
TOTAL LIABILITIES | 38,939 |
NET ASSETS | $2,280,230 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,759,106 |
Total distributable earnings (loss) | 521,124 |
NET ASSETS | $2,280,230 |
Class I | |
Net Assets | $2,280,230 |
Shares Outstanding | 189,192 |
Net asset value, offering and redemption price per share | $12.05 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,399,708 |
Shares of affiliated State Street Defensive Global Equity Portfolio | 208,245 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Defensive Global Equity Portfolio | $— |
EXPENSES | |
Advisory fee | 8,187 |
Administration fees | 546 |
Custodian fees | 18,528 |
Trustees’ fees and expenses | 9,921 |
Transfer agent fees | 653 |
Sub-transfer agent fee | 447 |
Registration and filing fees | 16,005 |
Professional fees and expenses | 20,320 |
Printing and postage fees | 10,649 |
Insurance expense | 14 |
Miscellaneous expenses | 3,911 |
TOTAL EXPENSES | 89,181 |
Expenses waived/reimbursed by the Adviser | (80,533) |
NET EXPENSES | 8,648 |
NET INVESTMENT INCOME (LOSS) | $(8,648) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | (5,634) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | 268,401 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 262,767 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $254,119 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $(8,648) | $91,782 | |
Net realized gain (loss) | (5,634) | 657,138 | |
Net change in unrealized appreciation/depreciation | 268,401 | (1,144,102) | |
Net increase (decrease) in net assets resulting from operations | 254,119 | (395,182) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | — | (169,911) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 65,801 | 589,000 | |
Reinvestment of distributions | — | 140,917 | |
Cost of shares redeemed | (40,352) | (3,117,534) | |
Net increase (decrease) in net assets from beneficial interest transactions | 25,449 | (2,387,617) | |
Net increase (decrease) in net assets during the period | 279,568 | (2,952,710) | |
Net assets at beginning of period | 2,000,662 | 4,953,372 | |
NET ASSETS AT END OF PERIOD | $2,280,230 | $2,000,662 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 5,732 | 46,968 | |
Reinvestment of distributions | — | 13,295 | |
Shares redeemed | (3,390) | (270,385) | |
Net increase (decrease) from share transactions | 2,342 | (210,122) |
Class I | |||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 2/19/2016* - 12/31/16 | ||||
Net asset value, beginning of period | $10.71 | $12.48 | $10.65 | $10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | (0.05) | 0.23 | 0.32 | 0.21 | |||
Net realized and unrealized gain (loss) | 1.39 | (1.02) | 1.94 | 0.77 | |||
Total from investment operations | 1.34 | (0.79) | 2.26 | 0.98 | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.50) | (0.39) | (0.31) | |||
Net realized gains | — | (0.48) | (0.04) | (0.02) | |||
Total distributions | — | (0.98) | (0.43) | (0.33) | |||
Net asset value, end of period | $12.05 | $10.71 | $12.48 | $10.65 | |||
Total return (b) | 12.51% | (6.27)% | 21.26% | 9.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,280 | $2,001 | $4,953 | $3,194 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 8.17%(c) | 3.43% | 4.48% | 5.37%(c) | |||
Net expenses | 0.79%(c) | 0.76% | 0.76% | 0.75%(c) | |||
Net investment income (loss) | (0.79)%(c) | 1.80% | 2.72% | 2.26%(c) | |||
Portfolio turnover rate (d) | 33%(e) | 64% | 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 Defensive Global Equity Portfolio. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Fund (formerly, State Street Disciplined Global Equity Fund) | Class A Class I Class K | Not commenced February 19, 2016 Not commenced | Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Defensive Global Equity Fund | 1 | 15.55% |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Fund | $2,404,582 | $— | $113,890 | $(113,890) |
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 Defensive Global Equity Fund | |||||||||
Class I(b) | 0.79% | $1,125.10 | $4.16 | $1,020.90 | $3.96 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | 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, 2018, 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. |
• | 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees ( “Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Defensive Global Equity Portfolio |
1 | |
2 | |
5 | |
7 | |
8 | |
9 | |
10 | |
11 | |
17 | |
18 |
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 | 8.38% | N/A | 6.33% | 8.38% | N/A | 6.33% | |||
SINCE INCEPTION(1) | 43.82% | N/A | 51.05% | 11.40% | N/A | 13.05% | |||
(1) | For the period February 18, 2016 to June 30, 2019. |
(Based on Net Asset Value)
Description | Market Value | % of Net Assets | ||
Waste Management, Inc. | 35,649 | 1.6% | ||
McDonald's Corp. | 34,679 | 1.5 | ||
DTE Energy Co. | 34,144 | 1.5 | ||
Merck & Co., Inc. | 34,127 | 1.5 | ||
Baxter International, Inc. | 33,661 | 1.5 | ||
TOTAL | 172,260 | 7.6% |
% of Net Assets | |||
Insurance | 11.8% | ||
Pharmaceuticals | 11.8 | ||
Electric Utilities | 7.1 | ||
Diversified Telecommunication Services | 6.3 | ||
Multi-Utilities | 4.9 | ||
Banks | 4.9 | ||
Food & Staples Retailing | 4.9 | ||
Equity Real Estate Investment Trusts (REITs) | 3.8 | ||
Specialty Retail | 3.7 | ||
Food Products | 3.1 | ||
Health Care Providers & Services | 3.0 | ||
Hotels, Restaurants & Leisure | 2.8 | ||
Health Care Equipment & Supplies | 2.7 | ||
Household Products | 2.5 | ||
Trading Companies & Distributors | 2.4 | ||
Beverages | 2.2 | ||
Automobiles | 2.2 | ||
Communications Equipment | 2.0 | ||
Aerospace & Defense | 2.0 | ||
Commercial Services & Supplies | 2.0 | ||
Oil, Gas & Consumable Fuels | 2.0 | ||
Tobacco | 1.9 | ||
Consumer Finance | 1.4 | ||
Airlines | 1.3 | ||
Gas Utilities | 1.2 | ||
Metals & Mining | 1.2 | ||
Multiline Retail | 1.2 | ||
Construction & Engineering | 1.1 | ||
Technology Hardware, Storage & Peripherals | 0.9 | ||
Chemicals | 0.5 | ||
Mortgage Real Estate Investment Trust (REITs) | 0.3 | ||
Short-Term Investment | 0.5 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.1% | |||||
AUSTRALIA — 3.8% | |||||
BHP Group, Ltd. | 634 | $18,313 | |||
Mirvac Group REIT | 3,259 | 7,158 | |||
Qantas Airways, Ltd. | 1,986 | 7,526 | |||
Scentre Group REIT | 4,249 | 11,450 | |||
Sonic Healthcare, Ltd. | 517 | 9,832 | |||
Wesfarmers, Ltd. | 858 | 21,772 | |||
Woodside Petroleum, Ltd. | 400 | 10,206 | |||
86,257 | |||||
BELGIUM — 0.5% | |||||
Ageas | 237 | 12,337 | |||
CANADA — 3.5% | |||||
Loblaw Cos., Ltd. | 85 | 4,361 | |||
Royal Bank of Canada | 141 | 11,229 | |||
Sun Life Financial, Inc. | 341 | 14,152 | |||
TELUS Corp. | 610 | 22,598 | |||
Toronto-Dominion Bank | 465 | 27,229 | |||
79,569 | |||||
DENMARK — 1.3% | |||||
Novo Nordisk A/S Class B | 601 | 30,674 | |||
FRANCE — 1.6% | |||||
Peugeot SA | 764 | 18,854 | |||
Sanofi | 209 | 18,067 | |||
36,921 | |||||
GERMANY — 4.3% | |||||
Allianz SE | 120 | 28,971 | |||
Deutsche Telekom AG | 1,636 | 28,341 | |||
Merck KGaA | 130 | 13,614 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 109 | 27,396 | |||
98,322 | |||||
HONG KONG — 3.6% | |||||
CLP Holdings, Ltd. | 2,500 | 27,584 | |||
Hang Seng Bank, Ltd. | 500 | 12,448 | |||
HKT Trust & HKT, Ltd. | 7,000 | 11,110 | |||
Link REIT | 2,500 | 30,720 | |||
81,862 | |||||
ITALY — 1.3% | |||||
Eni SpA | 1,470 | 24,451 | |||
Snam SpA | 1,138 | 5,665 | |||
30,116 | |||||
JAPAN — 11.5% | |||||
Astellas Pharma, Inc. | 1,800 | 25,645 | |||
FUJIFILM Holdings Corp. | 300 | 15,212 | |||
ITOCHU Corp. | 900 | 17,212 | |||
Japan Airlines Co., Ltd. | 700 | 22,370 | |||
Japan Post Holdings Co., Ltd. | 2,400 | 27,176 | |||
Mitsubishi Corp. | 700 | 18,452 | |||
Mitsui & Co., Ltd. | 1,200 | 19,536 |
Security Description | Shares | Value | |||
Mitsui Chemicals, Inc. | 500 | $12,377 | |||
Mizuho Financial Group, Inc. | 7,800 | 11,301 | |||
Nippon Telegraph & Telephone Corp. | 500 | 23,283 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 10,876 | |||
Taisei Corp. | 300 | 10,901 | |||
Tokio Marine Holdings, Inc. | 200 | 10,022 | |||
Tokyo Gas Co., Ltd. | 300 | 7,066 | |||
Toyota Motor Corp. | 500 | 31,038 | |||
262,467 | |||||
NETHERLANDS — 1.1% | |||||
Koninklijke Ahold Delhaize NV | 1,099 | 24,753 | |||
NEW ZEALAND — 0.6% | |||||
Spark New Zealand, Ltd. | 4,835 | 12,990 | |||
NORWAY — 0.4% | |||||
DNB ASA | 501 | 9,325 | |||
SINGAPORE — 0.4% | |||||
DBS Group Holdings, Ltd. | 500 | 9,594 | |||
SPAIN — 0.8% | |||||
ACS Actividades de Construccion y Servicios SA | 325 | 12,995 | |||
Enagas SA | 193 | 5,158 | |||
18,153 | |||||
SWEDEN — 1.0% | |||||
Swedish Match AB | 554 | 23,406 | |||
SWITZERLAND — 8.2% | |||||
Nestle SA | 299 | 30,992 | |||
Novartis AG | 342 | 31,288 | |||
Roche Holding AG | 111 | 31,268 | |||
Swiss Life Holding AG | 39 | 19,352 | |||
Swiss Re AG | 286 | 29,110 | |||
Swisscom AG | 39 | 19,604 | |||
Zurich Insurance Group AG | 76 | 26,495 | |||
188,109 | |||||
UNITED KINGDOM — 0.6% | |||||
Direct Line Insurance Group PLC | 3,228 | 13,631 | |||
UNITED STATES — 54.6% | |||||
Aflac, Inc. | 539 | 29,543 | |||
AGNC Investment Corp. REIT | 369 | 6,207 | |||
Allstate Corp. | 320 | 32,541 | |||
Ameren Corp. | 435 | 32,673 | |||
American Electric Power Co., Inc. | 187 | 16,458 | |||
American Express Co. | 254 | 31,354 | |||
Anthem, Inc. | 68 | 19,190 | |||
AutoZone, Inc. (a) | 29 | 31,885 | |||
Baxter International, Inc. | 411 | 33,661 | |||
Bristol-Myers Squibb Co. | 6 | 272 | |||
CenterPoint Energy, Inc. | 706 | 20,213 | |||
Cisco Systems, Inc. | 275 | 15,051 | |||
Coca-Cola Co. | 386 | 19,655 | |||
DTE Energy Co. | 267 | 34,144 | |||
Duke Energy Corp. | 121 | 10,677 | |||
Eli Lilly & Co. | 266 | 29,470 |
Security Description | Shares | Value | |||
Entergy Corp. | 283 | $29,129 | |||
Eversource Energy | 244 | 18,485 | |||
Exelon Corp. | 658 | 31,544 | |||
HCA Healthcare, Inc. | 209 | 28,250 | |||
Hershey Co. | 135 | 18,094 | |||
Home Depot, Inc. | 105 | 21,837 | |||
HP, Inc. | 232 | 4,823 | |||
Johnson & Johnson | 199 | 27,717 | |||
JPMorgan Chase & Co. | 156 | 17,441 | |||
Kellogg Co. | 232 | 12,428 | |||
Kimberly-Clark Corp. | 199 | 26,523 | |||
Lockheed Martin Corp. | 71 | 25,811 | |||
McDonald's Corp. | 167 | 34,679 | |||
Medtronic PLC | 289 | 28,146 | |||
Merck & Co., Inc. | 407 | 34,127 | |||
Mondelez International, Inc. Class A | 215 | 11,588 | |||
Motorola Solutions, Inc. | 180 | 30,011 | |||
Newmont Goldcorp Corp. | 244 | 9,387 | |||
PepsiCo, Inc. | 235 | 30,816 | |||
Pfizer, Inc. | 656 | 28,418 | |||
Philip Morris International, Inc. | 277 | 21,753 | |||
Pinnacle West Capital Corp. | 286 | 26,910 | |||
Procter & Gamble Co. | 271 | 29,715 | |||
Public Service Enterprise Group, Inc. | 438 | 25,763 | |||
Raytheon Co. | 125 | 21,735 | |||
Republic Services, Inc. | 107 | 9,270 | |||
Simon Property Group, Inc. REIT | 157 | 25,082 | |||
Starbucks Corp. | 358 | 30,011 | |||
Sysco Corp. | 415 | 29,349 | |||
Target Corp. | 324 | 28,062 | |||
TJX Cos., Inc. | 561 | 29,666 | |||
UGI Corp. | 372 | 19,868 | |||
UnitedHealth Group, Inc. | 52 | 12,688 | |||
Ventas, Inc. REIT | 139 | 9,501 | |||
VEREIT, Inc. | 608 | 5,478 |
Security Description | Shares | Value | |||
Verizon Communications, Inc. | 491 | $28,051 | |||
Walmart, Inc. | 275 | 30,385 | |||
Waste Management, Inc. | 309 | 35,649 | |||
1,251,184 | |||||
TOTAL COMMON STOCKS (Cost $2,016,826) | 2,269,670 |
RIGHTS — 0.0% (b) | |||
SPAIN — 0.0% (b) | |||
ACS Actividades de Construccion y Servicios SA (expiring 07/11/19) (a) (Cost: $534) | 325 | 511 | |
SHORT-TERM INVESTMENT — 0.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $10,308) | 10,308 | 10,308 | |
TOTAL INVESTMENTS — 99.6% (Cost $2,027,668) | 2,280,489 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 9,385 | ||
NET ASSETS — 100.0% | $2,289,874 |
(a) | Non-income producing security. |
(b) | Amount is 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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
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 | $2,269,670 | $— | $— | $2,269,670 | ||||
Rights | 511 | — | — | 511 | ||||
Short-Term Investment | 10,308 | — | — | 10,308 | ||||
TOTAL INVESTMENTS | $2,280,489 | $— | $— | $2,280,489 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 33,569 | $33,569 | $912,324 | $935,585 | $— | $— | 10,308 | $10,308 | $778 |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,270,181 |
Investments in affiliated issuers, at value | 10,308 |
Total Investments | 2,280,489 |
Foreign currency, at value | 6,485 |
Dividends receivable — unaffiliated issuers | 2,820 |
Dividends receivable — affiliated issuers | 61 |
Receivable from Adviser | 472 |
Receivable for foreign taxes recoverable | 4,529 |
TOTAL ASSETS | 2,294,856 |
LIABILITIES | |
Payable for fund shares repurchased | 4,503 |
Advisory fee payable | 472 |
Trustees’ fees and expenses payable | 7 |
TOTAL LIABILITIES | 4,982 |
NET ASSETS | $2,289,874 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,905,167 |
Total distributable earnings (loss) | 384,707 |
NET ASSETS | $2,289,874 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $11.00 |
Shares outstanding (unlimited amount authorized, no par value) | 208,245 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,017,360 |
Investments in affiliated issuers | 10,308 |
Total cost of investments | $2,027,668 |
Foreign currency, at cost | $6,458 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $105,980 |
Dividend income — affiliated issuers | 778 |
Foreign taxes withheld | (5,288) |
TOTAL INVESTMENT INCOME (LOSS) | 101,470 |
EXPENSES | |
Advisory fee | 9,302 |
Trustees’ fees and expenses | 79 |
Miscellaneous expenses | 700 |
TOTAL EXPENSES | 10,081 |
Expenses waived/reimbursed by the Adviser | (10,081) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $101,470 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 85,100 |
Foreign currency transactions | (1,558) |
Net realized gain (loss) | 83,542 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (205,040) |
Foreign currency translations | 337 |
Net change in unrealized appreciation/depreciation | (204,703) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (121,161) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(19,691) |
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $101,470 | $168,284 | |
Net realized gain (loss) | 83,542 | 222,062 | |
Net change in unrealized appreciation/depreciation | (204,703) | (82,662) | |
Net increase (decrease) in net assets resulting from operations | (19,691) | 307,684 | |
Distributions to shareholders (Note 9) | (351,241) | (211,763) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 631,379 | 348,917 | |
Reinvestment of distributions | 351,241 | 211,763 | |
Cost of shares redeemed | (3,326,507) | (282,814) | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,343,887) | 277,866 | |
Net increase (decrease) in net assets during the period | (2,714,819) | 373,787 | |
Net assets at beginning of period | 5,004,693 | 4,630,906 | |
NET ASSETS AT END OF PERIOD | $2,289,874 | $5,004,693 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 51,951 | 27,995 | |
Reinvestment of distributions | 36,856 | 17,050 | |
Shares redeemed | (288,025) | (22,549) | |
Net increase (decrease) from share transactions | (199,218) | 22,496 |
State Street Defensive Global Equity Portfolio | |||||||
Year Ended 6/30/19 | 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 | $12.28 | $12.03 | $10.89 | $10.00 | |||
Net investment income (loss) (a) | 0.33 | 0.42 | 0.31 | 0.15 | |||
Net realized and unrealized gain (loss) | 0.39 | 0.36 | 1.21 | 0.74 | |||
Total from investment operations | 0.72 | 0.78 | 1.52 | 0.89 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.74) | (0.38) | (0.28) | — | |||
Net realized gains | (1.26) | (0.15) | (0.10) | — | |||
Total distributions | (2.00) | (0.53) | (0.38) | — | |||
Net asset value, end of period | $11.00 | $12.28 | $12.03 | $10.89 | |||
Total return (b) | 8.38% | 6.48% | 14.43% | 8.90%(c) | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,290 | $5,005 | $4,631 | $3,270 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.27% | 0.30% | 0.33% | 0.27%(d) | |||
Net expenses | —%(e) | —%(e) | —%(e) | —%(d)(e) | |||
Net investment income (loss) | 2.73% | 3.37% | 2.75% | 4.00%(d) | |||
Portfolio turnover rate | 72% | 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%. |
Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
Purchases | Sales | ||
State Street Defensive Global Equity Portfolio | $2,613,446 | $5,111,777 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $165,202 | $186,039 | $351,241 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $ 186,089 | $ 25,674 | $ 211,763 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Defensive Global Equity Portfolio | $56,472 | $— | $88,690 | $239,545 | $— | $384,707 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $2,041,022 | $273,004 | $33,537 | $239,467 |
Net Investment Income | Net Realized Capital Gains | Total Distributions | Undistributed Net Investment Income (Loss) | ||||
State Street Defensive Global Equity Portfolio | $151,316 | $60,447 | $211,763 | $77,508 |
August 26, 2019
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 Defensive Global Equity Portfolio | 0.00% | $1,129.40 | $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. |
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. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | 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). | 128 | 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. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008 – May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc.(Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). |
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 | |||||
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). | 189 | 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. | ||||||||||
* 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).* |
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 | |||
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).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
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). |
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 | |||
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. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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
State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
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 |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,079,049,741 |
Receivable for fund shares sold | 3,365,997 |
Receivable from Adviser | 142,649 |
TOTAL ASSETS | 1,082,558,387 |
LIABILITIES | |
Payable for investments purchased | 2,291,327 |
Payable for fund shares repurchased | 1,068,073 |
Advisory fee payable | 17,119 |
Custodian fees payable | 3,319 |
Administration fees payable | 37,214 |
Distribution fees payable | 62,010 |
Trustees’ fees and expenses payable | 1 |
Transfer agent fees payable | 4,077 |
Registration and filing fees payable | 1,551 |
Professional fees payable | 13,791 |
Printing and postage fees payable | 4,535 |
TOTAL LIABILITIES | 3,503,017 |
NET ASSETS | $1,079,055,370 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $822,964,609 |
Total distributable earnings (loss) | 256,090,761 |
NET ASSETS | $1,079,055,370 |
Administrative Shares | |
Net Assets | $249,533,158 |
Shares Outstanding | 10,733,391 |
Net asset value, offering and redemption price per share | $23.25 |
Service Shares | |
Net Assets | $24,159,836 |
Shares Outstanding | 1,040,782 |
Net asset value, offering and redemption price per share | $23.21 |
Class R Shares | |
Net Assets | $37,162,909 |
Shares Outstanding | 1,603,220 |
Net asset value, offering and redemption price per share | $23.18 |
Class A Shares | |
Net Assets | $44,755,878 |
Shares Outstanding | 1,926,129 |
Net asset value, offering and redemption price per share | $23.24 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $24.53 |
Class I Shares | |
Net Assets | $20,063,069 |
Shares Outstanding | 862,166 |
Net asset value, offering and redemption price per share | $23.27 |
Class K Shares | |
Net Assets | $703,380,520 |
Shares Outstanding | 30,223,872 |
Net asset value, offering and redemption price per share | $23.27 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $844,573,337 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 77,351,236 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $— |
EXPENSES | |
Advisory fee | 93,919 |
Administration fees | 252,971 |
Sub-transfer agent fee | |
Class A Shares | 1,803 |
Class I Shares | 6,681 |
Distribution fees | |
Administrative Shares | 176,823 |
Service Shares | 29,638 |
Class R Shares | 108,753 |
Class A Shares | 47,700 |
Custodian fees | 23,490 |
Trustees’ fees and expenses | 9,001 |
Transfer agent fees | 56,007 |
Registration and filing fees | 83,912 |
Professional fees | 20,459 |
Printing and postage fees | 44,993 |
Insurance expense | 2,236 |
TOTAL EXPENSES | 958,386 |
Expenses waived/reimbursed by the Adviser | (493,199) |
NET EXPENSES | 465,187 |
NET INVESTMENT INCOME (LOSS) | $(465,187) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (1,759,950) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | 156,070,850 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 154,310,900 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $153,845,713 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $(465,187) | $15,536,242 | |
Net realized gain (loss) | (1,759,950) | 24,899,024 | |
Net change in unrealized appreciation/depreciation | 156,070,850 | (81,450,733) | |
Net increase (decrease) in net assets resulting from operations | 153,845,713 | (41,015,467) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | — | (10,174,158) | |
Service Shares | — | (978,293) | |
Class R Shares | — | (1,376,029) | |
Class A Shares | — | (1,405,739) | |
Class I Shares | — | (719,749) | |
Class K Shares | — | (23,877,315) | |
Total distributions to shareholders | — | (38,531,283) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from sale of shares sold | 5,450,345 | 9,357,778 | |
Reinvestment of distributions | — | 10,174,158 | |
Cost of shares redeemed | (8,229,242) | (62,219,183) | |
Net increase (decrease) from capital share transactions | (2,778,897) | (42,687,247) | |
Service Shares | |||
Proceeds from sale of shares sold | 2,314,254 | 4,102,665 | |
Reinvestment of distributions | — | 978,293 | |
Cost of shares redeemed | (2,868,193) | (10,238,706) | |
Net increase (decrease) from capital share transactions | (553,939) | (5,157,748) | |
Class R Shares | |||
Proceeds from sale of shares sold | 5,511,391 | 4,648,251 | |
Reinvestment of distributions | — | 1,376,031 | |
Cost of shares redeemed | (6,386,320) | (13,452,753) | |
Net increase (decrease) from capital share transactions | (874,929) | (7,428,471) | |
Class A Shares | |||
Proceeds from sale of shares sold | 12,694,936 | 31,494,823 | |
Reinvestment of distributions | — | 1,402,869 | |
Cost of shares redeemed | (5,798,540) | (3,391,762) | |
Net increase (decrease) from capital share transactions | 6,896,396 | 29,505,930 | |
Class I Shares | |||
Proceeds from sale of shares sold | 8,905,012 | 6,685,907 | |
Reinvestment of distributions | — | 719,747 | |
Cost of shares redeemed | (6,490,918) | (7,437,392) | |
Net increase (decrease) from capital share transactions | 2,414,094 | (31,738) | |
Class K Shares | |||
Proceeds from sale of shares sold | 174,389,211 | 194,346,788 | |
Reinvestment of distributions | — | 23,710,448 | |
Cost of shares redeemed | (51,850,609) | (95,198,585) | |
Net increase (decrease) from capital share transactions | 122,538,602 | 122,858,651 | |
Net increase (decrease) in net assets from beneficial interest transactions | 127,641,327 | 97,059,377 | |
Net increase (decrease) in net assets during the period | 281,487,040 | 17,512,627 | |
Net assets at beginning of period | 797,568,330 | 780,055,703 | |
NET ASSETS AT END OF PERIOD | $1,079,055,370 | $797,568,330 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 246,362 | 419,401 | |
Reinvestment of distributions | — | 521,752 | |
Shares redeemed | (374,364) | (2,783,808) | |
Net increase (decrease) from share transactions | (128,002) | (1,842,655) | |
Service Shares | |||
Shares sold | 106,387 | 184,234 | |
Reinvestment of distributions | — | 50,220 | |
Shares redeemed | (130,952) | (459,714) | |
Net increase (decrease) from share transactions | (24,565) | (225,260) |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
Class R Shares | |||
Shares sold | $253,672 | $212,430 | |
Reinvestment of distributions | — | 70,602 | |
Shares redeemed | (286,333) | (602,656) | |
Net increase (decrease) from share transactions | (32,661) | (319,624) | |
Class A Shares | |||
Shares sold | 569,804 | 1,409,087 | |
Reinvestment of distributions | — | 71,942 | |
Shares redeemed | (261,478) | (154,202) | |
Net increase (decrease) from share transactions | 308,326 | 1,326,827 | |
Class I Shares | |||
Shares sold | 414,853 | 299,239 | |
Reinvestment of distributions | — | 36,891 | |
Shares redeemed | (290,545) | (341,813) | |
Net increase (decrease) from share transactions | 124,308 | (5,683) | |
Class K Shares | |||
Shares sold | 7,909,229 | 8,642,565 | |
Reinvestment of distributions | — | 1,215,297 | |
Shares redeemed | (2,380,147) | (4,257,351) | |
Net increase (decrease) from share transactions | 5,529,082 | 5,600,511 |
Administrative Shares | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Net asset value, beginning of period | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | $15.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.02) | 0.34 | 0.38 | 0.26 | 0.31 | 0.29 | |||||
Net realized and unrealized gain (loss) | 3.63 | (1.33) | 3.66 | 1.76 | (0.12) | 1.79 | |||||
Total from investment operations | 3.61 | (0.99) | 4.04 | 2.02 | 0.19 | 2.08 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.39) | (0.46) | (0.28) | (0.29) | (0.31) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (0.99) | (1.25) | (0.36) | (0.29) | (0.31) | |||||
Net asset value, end of period | $23.25 | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | |||||
Total return (b) | 18.38% | (4.56)% | 21.43% | 11.75% | 1.08% | 13.41% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $249,533 | $213,270 | $274,650 | $277,141 | $261,038 | $248,180 | |||||
Ratios to Average Net Assets:(c) | |||||||||||
Total expenses | 0.27%(d)(e) | 0.27%(e) | 0.26%(e) | 0.27%(e) | 0.31%(e) | 0.30%(f) | |||||
Net expenses | 0.17%(d)(e) | 0.17%(e) | 0.18%(e) | 0.18%(e) | 0.18%(e) | 0.23%(f) | |||||
Net investment income (loss) | (0.17)%(d) | 1.51% | 1.83% | 1.48% | 1.76% | 1.78% | |||||
Portfolio turnover rate | 3%(g)(h) | 8%(g) | 30%(g) | 5%(g) | 5%(g) | 4%(i) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
(i) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
Service Shares | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Net asset value, beginning of period | $19.62 | $21.60 | $18.81 | $17.15 | $17.25 | $15.49 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.03) | 0.32 | 0.15 | 0.26 | 0.22 | 0.28 | |||||
Net realized and unrealized gain (loss) | 3.62 | (1.33) | 3.87 | 1.74 | (0.05) | 1.77 | |||||
Total from investment operations | 3.59 | (1.01) | 4.02 | 2.00 | 0.17 | 2.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.37) | (0.44) | (0.26) | (0.27) | (0.29) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (0.97) | (1.23) | (0.34) | (0.27) | (0.29) | |||||
Net asset value, end of period | $23.21 | $19.62 | $21.60 | $18.81 | $17.15 | $17.25 | |||||
Total return (b) | 18.30% | (4.66)% | 21.33% | 11.65% | 0.98% | 13.24% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $24,160 | $20,897 | $27,876 | $124,591 | $104,730 | $126,412 | |||||
Ratios to Average Net Assets:(c) | |||||||||||
Total expenses | 0.37%(d)(e) | 0.37%(e) | 0.36%(e) | 0.37%(e) | 0.41%(e) | 0.40%(f) | |||||
Net expenses | 0.27%(d)(e) | 0.27%(e) | 0.28%(e) | 0.27%(e) | 0.28%(e) | 0.33%(f) | |||||
Net investment income (loss) | (0.27)%(d) | 1.44% | 0.73% | 1.46% | 1.25% | 1.73% | |||||
Portfolio turnover rate | 3%(g)(h) | 8%(g) | 30%(g) | 5%(g) | 5%(g) | 4%(i) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
(i) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
Class R Shares | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Net asset value, beginning of period | $19.62 | $21.61 | $18.81 | $17.15 | $17.26 | $15.49 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.07) | 0.24 | 0.29 | 0.18 | 0.19 | 0.22 | |||||
Net realized and unrealized gain (loss) | 3.63 | (1.33) | 3.66 | 1.76 | (0.09) | 1.78 | |||||
Total from investment operations | 3.56 | (1.09) | 3.95 | 1.94 | 0.10 | 2.00 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.30) | (0.36) | (0.20) | (0.21) | (0.23) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (0.90) | (1.15) | (0.28) | (0.21) | (0.23) | |||||
Net asset value, end of period | $23.18 | $19.62 | $21.61 | $18.81 | $17.15 | $17.26 | |||||
Total return (b) | 18.14% | (5.04)% | 20.96% | 11.26% | 0.58% | 12.91% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $37,163 | $32,099 | $42,249 | $39,086 | $37,845 | $41,148 | |||||
Ratios to Average Net Assets:(c) | |||||||||||
Total expenses | 0.72%(d)(e) | 0.72%(e) | 0.71%(e) | 0.72%(e) | 0.76%(e) | 0.75%(f) | |||||
Net expenses | 0.62%(d)(e) | 0.62%(e) | 0.63%(e) | 0.63%(e) | 0.63%(e) | 0.68%(f) | |||||
Net investment income (loss) | (0.62)%(d) | 1.06% | 1.41% | 0.99% | 1.09% | 1.37% | |||||
Portfolio turnover rate | 3%(g)(h) | 8%(g) | 30%(g) | 5%(g) | 5%(g) | 4%(i) |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
(i) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
Class A Shares | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $19.64 | $21.63 | $18.83 | $17.17 | $17.27 | $17.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.03) | 0.64 | 0.16 | 0.68 | 0.25 | 0.11 | |||||
Net realized and unrealized gain (loss) | 3.63 | (1.66) | 3.82 | 0.29 | (0.11) | 0.45 | |||||
Total from investment operations | 3.60 | (1.02) | 3.98 | 1.97 | 0.14 | 0.56 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.37) | (0.39) | (0.23) | (0.24) | (0.29) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (0.97) | (1.18) | (0.31) | (0.24) | (0.29) | |||||
Net asset value, end of period | $23.24 | $19.64 | $21.63 | $18.83 | $17.17 | $17.27 | |||||
Total return (b) | 18.33% | (4.72)% | 21.12% | 11.42% | 0.78% | 3.28% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $44,756 | $31,766 | $6,293 | $7,509 | $60 | $51 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.38%(c)(d) | 0.38%(d) | 0.56%(d) | 0.57%(d) | 0.61%(d) | 0.70%(c)(d) | |||||
Net expenses | 0.28%(c)(d) | 0.28%(d) | 0.48%(d) | 0.48%(d) | 0.48%(d) | 0.51%(c)(d) | |||||
Net investment income (loss) | (0.28)%(c) | 2.89% | 0.79% | 3.69% | 1.43% | 2.32%(c) | |||||
Portfolio turnover rate | 3%(e)(f) | 8%(e) | 30%(e) | 5%(e) | 5%(e) | 4%(e)(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(f) | Not annualized. |
Class I Shares | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $19.65 | $21.63 | $18.84 | $17.17 | $17.27 | $17.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.01) | 0.44 | 0.89 | 2.86 | 0.29 | 0.13 | |||||
Net realized and unrealized gain (loss) | 3.63 | (1.41) | 3.14 | (0.84) | (0.11) | 0.44 | |||||
Total from investment operations | 3.62 | (0.97) | 4.03 | 2.02 | 0.18 | 0.57 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.41) | (0.45) | (0.27) | (0.28) | (0.30) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (1.01) | (1.24) | (0.35) | (0.28) | (0.30) | |||||
Net asset value, end of period | $23.27 | $19.65 | $21.63 | $18.84 | $17.17 | $17.27 | |||||
Total return (b) | 18.42% | (4.45)% | 21.35% | 11.75% | 1.03% | 3.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $20,063 | $14,496 | $16,084 | $4,469 | $50 | $51 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.19%(c)(d) | 0.15%(d) | 0.31%(d) | 0.32%(d) | 0.36%(d) | 0.45%(c)(d) | |||||
Net expenses | 0.09%(c)(d) | 0.05%(d) | 0.23%(d) | 0.23%(d) | 0.23%(d) | 0.26%(c)(d) | |||||
Net investment income (loss) | (0.09)%(c) | 1.98% | 4.21% | 15.53%(e) | 1.66% | 2.57%(c) | |||||
Portfolio turnover rate | 3%(f)(g) | 8%(f) | 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) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class K Shares | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | $17.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.47 | 0.44 | 0.44 | 1.45 | 0.14 | |||||
Net realized and unrealized gain (loss) | 3.63 | (1.43) | 3.64 | 1.61 | (1.23) | 0.44 | |||||
Total from investment operations | 3.63 | (0.96) | 4.08 | 2.05 | 0.22 | 0.58 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.42) | (0.50) | (0.31) | (0.32) | (0.31) | |||||
Net realized gains | — | (0.60) | (0.79) | (0.08) | — | — | |||||
Total distributions | — | (1.02) | (1.29) | (0.39) | (0.32) | (0.31) | |||||
Net asset value, end of period | $23.27 | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | |||||
Total return (c) | 18.48% | (4.42)% | 21.61% | 11.92% | 1.23% | 3.41% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $703,381 | $485,040 | $412,903 | $369,915 | $62,064 | $51 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d)(e) | 0.12%(e) | 0.11%(e) | 0.12%(e) | 0.16%(e) | 0.27%(d)(e) | |||||
Net expenses | 0.02%(d)(e) | 0.02%(e) | 0.03%(e) | 0.03%(e) | 0.03%(e) | 0.06%(d)(e) | |||||
Net investment income (loss) | (0.02)%(d) | 2.08% | 2.14% | 2.42% | 8.45%(f) | 2.78%(d) | |||||
Portfolio turnover rate | 3%(g)(h) | 8%(g) | 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. |
% of Net Assets | |||
Common Stocks | 97.3% | ||
Short-Term Investments | 3.5 | ||
Liabilities in Excess of Other Assets | (0.8) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 20.9% | ||
Health Care | 13.8 | ||
Financials | 12.8 | ||
Communication Services | 9.9 | ||
Consumer Discretionary | 9.9 | ||
TOTAL | 67.3% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.3% | |||||
COMMUNICATION SERVICES — 9.9% | |||||
Activision Blizzard, Inc. | 101,200 | $4,776,640 | |||
Alphabet, Inc. Class A (a) | 39,867 | 43,167,988 | |||
Alphabet, Inc. Class C (a) | 40,787 | 44,087,076 | |||
AT&T, Inc. | 972,440 | 32,586,464 | |||
Cars.com, Inc. (a) | 1 | 20 | |||
CBS Corp. Class B | 44,505 | 2,220,800 | |||
CenturyLink, Inc. | 139,578 | 1,641,437 | |||
Charter Communications, Inc. Class A (a) | 23,000 | 9,089,140 | |||
Comcast Corp. Class A | 604,166 | 25,544,139 | |||
Discovery, Inc. Class A (a)(b) | 20,703 | 635,582 | |||
Discovery, Inc. Class C (a) | 43,704 | 1,243,379 | |||
DISH Network Corp. Class A (a) | 27,400 | 1,052,434 | |||
Electronic Arts, Inc. (a) | 40,379 | 4,088,778 | |||
Facebook, Inc. Class A (a) | 318,293 | 61,430,549 | |||
Fox Corp. Class A | 45,766 | 1,676,866 | |||
Fox Corp. Class B | 20,100 | 734,253 | |||
Interpublic Group of Cos., Inc. | 57,766 | 1,304,934 | |||
Netflix, Inc. (a) | 57,904 | 21,269,297 | |||
News Corp. Class A | 50,888 | 686,479 | |||
News Corp. Class B | 11,400 | 159,144 | |||
Omnicom Group, Inc. (b) | 30,491 | 2,498,737 | |||
Take-Two Interactive Software, Inc. (a) | 14,300 | 1,623,479 | |||
TripAdvisor, Inc. (a) | 13,742 | 636,117 | |||
Twitter, Inc. (a) | 96,800 | 3,378,320 | |||
Verizon Communications, Inc. | 551,015 | 31,479,487 | |||
Viacom, Inc. Class B | 51,281 | 1,531,763 | |||
Walt Disney Co. | 232,564 | 32,475,237 | |||
331,018,539 | |||||
CONSUMER DISCRETIONARY — 9.9% | |||||
Advance Auto Parts, Inc. | 8,700 | 1,341,018 | |||
Amazon.com, Inc. (a) | 54,790 | 103,751,988 | |||
Aptiv PLC | 33,419 | 2,701,258 | |||
AutoZone, Inc. (a) | 3,276 | 3,601,864 | |||
Best Buy Co., Inc. | 30,106 | 2,099,291 | |||
Booking Holdings, Inc. (a) | 5,724 | 10,730,840 | |||
BorgWarner, Inc. | 29,377 | 1,233,246 | |||
Capri Holdings, Ltd. (a) | 17,814 | 617,790 | |||
CarMax, Inc. (a) | 21,603 | 1,875,788 | |||
Carnival Corp. | 53,901 | 2,509,092 | |||
Chipotle Mexican Grill, Inc. (a) | 3,086 | 2,261,668 | |||
D.R. Horton, Inc. | 42,897 | 1,850,148 | |||
Darden Restaurants, Inc. | 17,271 | 2,102,399 | |||
Dollar General Corp. | 35,313 | 4,772,905 | |||
Dollar Tree, Inc. (a) | 31,926 | 3,428,533 | |||
eBay, Inc. | 111,245 | 4,394,177 | |||
Expedia Group, Inc. | 14,834 | 1,973,367 | |||
Foot Locker, Inc. | 12,900 | 540,768 | |||
Ford Motor Co. | 517,738 | 5,296,460 | |||
Gap, Inc. (b) | 25,934 | 466,034 |
Security Description | Shares | Value | |||
Garmin, Ltd. | 14,740 | $1,176,252 | |||
General Motors Co. | 179,223 | 6,905,462 | |||
Genuine Parts Co. | 18,689 | 1,935,807 | |||
H&R Block, Inc. (b) | 31,164 | 913,105 | |||
Hanesbrands, Inc. | 46,800 | 805,896 | |||
Harley-Davidson, Inc. (b) | 21,016 | 753,003 | |||
Hasbro, Inc. | 16,497 | 1,743,403 | |||
Hilton Worldwide Holdings, Inc. | 37,700 | 3,684,798 | |||
Home Depot, Inc. | 145,802 | 30,322,442 | |||
Kohl's Corp. | 19,545 | 929,365 | |||
L Brands, Inc. | 27,121 | 707,858 | |||
Leggett & Platt, Inc. | 17,054 | 654,362 | |||
Lennar Corp. Class A | 35,606 | 1,725,467 | |||
LKQ Corp. (a) | 46,800 | 1,245,348 | |||
Lowe's Cos., Inc. | 106,450 | 10,741,869 | |||
Macy's, Inc. | 38,862 | 833,978 | |||
Marriott International, Inc. Class A | 38,155 | 5,352,765 | |||
McDonald's Corp. | 100,510 | 20,871,907 | |||
MGM Resorts International | 70,200 | 2,005,614 | |||
Mohawk Industries, Inc. (a) | 8,231 | 1,213,826 | |||
Newell Brands, Inc. | 53,741 | 828,686 | |||
NIKE, Inc. Class B | 167,006 | 14,020,154 | |||
Nordstrom, Inc. (b) | 15,577 | 496,283 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 28,500 | 1,528,455 | |||
O'Reilly Automotive, Inc. (a) | 10,580 | 3,907,406 | |||
PulteGroup, Inc. | 31,062 | 982,180 | |||
PVH Corp. | 9,249 | 875,325 | |||
Ralph Lauren Corp. | 6,279 | 713,232 | |||
Ross Stores, Inc. | 49,656 | 4,921,903 | |||
Royal Caribbean Cruises, Ltd. | 23,300 | 2,824,193 | |||
Starbucks Corp. | 160,430 | 13,448,847 | |||
Tapestry, Inc. | 42,528 | 1,349,413 | |||
Target Corp. | 68,772 | 5,956,343 | |||
Tiffany & Co. (b) | 14,999 | 1,404,506 | |||
TJX Cos., Inc. | 165,674 | 8,760,841 | |||
Tractor Supply Co. | 15,426 | 1,678,349 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 7,800 | 2,705,742 | |||
Under Armour, Inc. Class A (a)(b) | 26,624 | 674,918 | |||
Under Armour, Inc. Class C (a) | 27,575 | 612,165 | |||
VF Corp. | 41,744 | 3,646,338 | |||
Whirlpool Corp. | 8,402 | 1,196,109 | |||
Wynn Resorts, Ltd. | 12,041 | 1,492,964 | |||
Yum! Brands, Inc. | 41,402 | 4,581,959 | |||
330,677,472 | |||||
CONSUMER STAPLES — 7.1% | |||||
Altria Group, Inc. | 247,329 | 11,711,028 | |||
Archer-Daniels-Midland Co. | 76,432 | 3,118,426 | |||
Brown-Forman Corp. Class B | 24,652 | 1,366,460 | |||
Campbell Soup Co. (b) | 23,982 | 960,959 | |||
Church & Dwight Co., Inc. | 34,400 | 2,513,264 | |||
Clorox Co. | 17,264 | 2,643,291 |
Security Description | Shares | Value | |||
Coca-Cola Co. | 509,200 | $25,928,464 | |||
Colgate-Palmolive Co. | 112,523 | 8,064,523 | |||
Conagra Brands, Inc. | 68,124 | 1,806,648 | |||
Constellation Brands, Inc. Class A | 21,450 | 4,224,363 | |||
Costco Wholesale Corp. | 58,055 | 15,341,614 | |||
Coty, Inc. Class A | 39,812 | 533,481 | |||
Estee Lauder Cos., Inc. Class A | 29,241 | 5,354,320 | |||
General Mills, Inc. | 76,842 | 4,035,742 | |||
Hershey Co. | 19,267 | 2,582,356 | |||
Hormel Foods Corp. (b) | 39,302 | 1,593,303 | |||
J.M. Smucker Co. | 14,305 | 1,647,793 | |||
Kellogg Co. | 35,728 | 1,913,949 | |||
Kimberly-Clark Corp. | 45,327 | 6,041,183 | |||
Kraft Heinz Co. | 86,418 | 2,682,415 | |||
Kroger Co. | 110,442 | 2,397,696 | |||
Lamb Weston Holdings, Inc. | 21,300 | 1,349,568 | |||
McCormick & Co., Inc. | 15,392 | 2,385,914 | |||
Molson Coors Brewing Co. Class B | 23,553 | 1,318,968 | |||
Mondelez International, Inc. Class A | 192,015 | 10,349,609 | |||
Monster Beverage Corp. (a) | 50,035 | 3,193,734 | |||
PepsiCo, Inc. | 185,916 | 24,379,165 | |||
Philip Morris International, Inc. | 206,112 | 16,185,975 | |||
Procter & Gamble Co. | 333,926 | 36,614,986 | |||
Sysco Corp. | 61,074 | 4,319,153 | |||
Tyson Foods, Inc. Class A | 37,944 | 3,063,599 | |||
Walmart, Inc. | 185,303 | 20,474,128 | |||
Walgreens Boots Alliance, Inc. | 104,505 | 5,713,288 | |||
235,809,365 | |||||
ENERGY — 4.9% | |||||
Anadarko Petroleum Corp. | 66,682 | 4,705,082 | |||
Apache Corp. | 47,855 | 1,386,359 | |||
Baker Hughes a GE Co. | 64,179 | 1,580,729 | |||
Cabot Oil & Gas Corp. | 55,078 | 1,264,591 | |||
Chevron Corp. | 253,812 | 31,584,365 | |||
Cimarex Energy Co. | 11,458 | 679,803 | |||
Concho Resources, Inc. | 25,900 | 2,672,362 | |||
ConocoPhillips | 151,227 | 9,224,847 | |||
Devon Energy Corp. | 57,201 | 1,631,373 | |||
Diamondback Energy, Inc. | 19,300 | 2,103,121 | |||
EOG Resources, Inc. | 75,271 | 7,012,246 | |||
Exxon Mobil Corp. | 559,175 | 42,849,580 | |||
Halliburton Co. | 112,267 | 2,552,952 | |||
Helmerich & Payne, Inc. | 13,726 | 694,810 | |||
Hess Corp. | 32,757 | 2,082,363 | |||
HollyFrontier Corp. | 20,000 | 925,600 | |||
Kinder Morgan, Inc. | 260,750 | 5,444,460 | |||
Marathon Oil Corp. | 104,288 | 1,481,932 | |||
Marathon Petroleum Corp. | 86,641 | 4,841,499 | |||
National Oilwell Varco, Inc. | 55,716 | 1,238,567 | |||
Noble Energy, Inc. | 65,925 | 1,476,720 | |||
Occidental Petroleum Corp. | 98,209 | 4,937,949 | |||
ONEOK, Inc. | 52,996 | 3,646,655 | |||
Phillips 66 | 55,473 | 5,188,944 |
Security Description | Shares | Value | |||
Pioneer Natural Resources Co. | 22,976 | $3,535,087 | |||
Schlumberger, Ltd. | 185,050 | 7,353,887 | |||
TechnipFMC PLC | 61,791 | 1,602,859 | |||
Valero Energy Corp. | 53,723 | 4,599,226 | |||
Williams Cos., Inc. | 155,758 | 4,367,454 | |||
162,665,422 | |||||
FINANCIALS — 12.8% | |||||
Affiliated Managers Group, Inc. | 6,624 | 610,335 | |||
Aflac, Inc. | 100,506 | 5,508,734 | |||
Allstate Corp. | 42,739 | 4,346,129 | |||
American Express Co. | 91,412 | 11,283,897 | |||
American International Group, Inc. | 117,301 | 6,249,797 | |||
Ameriprise Financial, Inc. | 17,644 | 2,561,203 | |||
Aon PLC | 31,465 | 6,072,116 | |||
Arthur J Gallagher & Co. | 23,400 | 2,049,606 | |||
Assurant, Inc. | 7,885 | 838,806 | |||
Bank of America Corp. | 1,181,205 | 34,254,945 | |||
Bank of New York Mellon Corp. | 117,694 | 5,196,190 | |||
BB&T Corp. | 102,331 | 5,027,522 | |||
Berkshire Hathaway, Inc. Class B (a) | 256,984 | 54,781,279 | |||
BlackRock, Inc. | 15,816 | 7,422,449 | |||
Capital One Financial Corp. | 62,595 | 5,679,870 | |||
Cboe Global Markets, Inc. | 14,100 | 1,461,183 | |||
Charles Schwab Corp. | 159,204 | 6,398,409 | |||
Chubb, Ltd. | 59,753 | 8,801,019 | |||
Cincinnati Financial Corp. | 21,209 | 2,198,737 | |||
Citigroup, Inc. | 308,827 | 21,627,155 | |||
Citizens Financial Group, Inc. | 58,500 | 2,068,560 | |||
CME Group, Inc. | 47,863 | 9,290,687 | |||
Comerica, Inc. | 23,127 | 1,679,945 | |||
Discover Financial Services | 42,228 | 3,276,470 | |||
E*TRADE Financial Corp. | 31,342 | 1,397,853 | |||
Everest Re Group, Ltd. | 5,000 | 1,235,900 | |||
Fifth Third Bancorp | 99,062 | 2,763,830 | |||
First Republic Bank | 20,800 | 2,031,120 | |||
Franklin Resources, Inc. (b) | 37,989 | 1,322,017 | |||
Goldman Sachs Group, Inc. | 44,746 | 9,155,032 | |||
Hartford Financial Services Group, Inc. | 49,467 | 2,756,301 | |||
Huntington Bancshares, Inc. | 134,391 | 1,857,284 | |||
Intercontinental Exchange, Inc. | 74,385 | 6,392,647 | |||
Invesco, Ltd. | 54,211 | 1,109,157 | |||
Jefferies Financial Group, Inc. | 30,827 | 592,803 | |||
JPMorgan Chase & Co. | 429,843 | 48,056,447 | |||
KeyCorp | 128,996 | 2,289,679 | |||
Lincoln National Corp. | 26,882 | 1,732,545 | |||
Loews Corp. | 37,319 | 2,040,230 | |||
M&T Bank Corp. | 19,163 | 3,259,051 | |||
MarketAxess Holdings, Inc. | 5,000 | 1,607,100 | |||
Marsh & McLennan Cos., Inc. | 69,419 | 6,924,545 | |||
MetLife, Inc. | 129,070 | 6,410,907 | |||
Moody's Corp. | 21,332 | 4,166,353 | |||
Morgan Stanley | 169,775 | 7,437,843 | |||
MSCI, Inc. | 11,000 | 2,626,690 |
Security Description | Shares | Value | |||
Nasdaq, Inc. | 14,175 | $1,363,210 | |||
Northern Trust Corp. | 28,096 | 2,528,640 | |||
People's United Financial, Inc. | 46,666 | 783,055 | |||
PNC Financial Services Group, Inc. | 60,475 | 8,302,008 | |||
Principal Financial Group, Inc. | 33,065 | 1,915,125 | |||
Progressive Corp. | 76,149 | 6,086,590 | |||
Prudential Financial, Inc. | 54,102 | 5,464,302 | |||
Raymond James Financial, Inc. | 16,300 | 1,378,165 | |||
Regions Financial Corp. | 126,346 | 1,887,609 | |||
S&P Global, Inc. | 33,268 | 7,578,118 | |||
State Street Corp. (c) | 51,378 | 2,880,251 | |||
SunTrust Banks, Inc. | 57,036 | 3,584,713 | |||
SVB Financial Group (a) | 6,700 | 1,504,753 | |||
Synchrony Financial | 83,976 | 2,911,448 | |||
T Rowe Price Group, Inc. | 32,555 | 3,571,609 | |||
Torchmark Corp. | 12,412 | 1,110,378 | |||
Travelers Cos., Inc. | 35,306 | 5,278,953 | |||
Unum Group | 26,705 | 895,953 | |||
US Bancorp | 199,022 | 10,428,753 | |||
Wells Fargo & Co. | 539,303 | 25,519,818 | |||
Willis Towers Watson PLC | 17,376 | 3,328,199 | |||
Zions Bancorp NA | 23,195 | 1,066,506 | |||
425,218,533 | |||||
HEALTH CARE — 13.8% | |||||
Abbott Laboratories | 232,749 | 19,574,191 | |||
AbbVie, Inc. | 194,243 | 14,125,351 | |||
ABIOMED, Inc. (a) | 5,500 | 1,432,695 | |||
Agilent Technologies, Inc. | 42,393 | 3,165,485 | |||
Alexion Pharmaceuticals, Inc. (a) | 28,773 | 3,768,688 | |||
Align Technology, Inc. (a) | 9,600 | 2,627,520 | |||
Allergan PLC | 40,206 | 6,731,691 | |||
AmerisourceBergen Corp. | 19,634 | 1,673,995 | |||
Amgen, Inc. | 81,954 | 15,102,483 | |||
Anthem, Inc. | 34,019 | 9,600,502 | |||
Baxter International, Inc. | 63,879 | 5,231,690 | |||
Becton Dickinson and Co. | 35,856 | 9,036,071 | |||
Biogen, Inc. (a) | 26,584 | 6,217,200 | |||
Boston Scientific Corp. (a) | 184,857 | 7,945,154 | |||
Bristol-Myers Squibb Co. | 218,004 | 9,886,481 | |||
Cardinal Health, Inc. | 37,933 | 1,786,644 | |||
Celgene Corp. (a) | 93,471 | 8,640,459 | |||
Centene Corp. (a) | 53,100 | 2,784,564 | |||
Cerner Corp. | 41,737 | 3,059,322 | |||
Cigna Corp. | 50,641 | 7,978,490 | |||
Cooper Cos., Inc. | 6,300 | 2,122,407 | |||
CVS Health Corp. | 175,294 | 9,551,770 | |||
Danaher Corp. | 82,994 | 11,861,502 | |||
DaVita, Inc. (a) | 15,028 | 845,475 | |||
DENTSPLY SIRONA, Inc. | 32,234 | 1,881,176 | |||
Edwards Lifesciences Corp. (a) | 27,810 | 5,137,619 | |||
Eli Lilly & Co. | 114,372 | 12,671,274 | |||
Gilead Sciences, Inc. | 168,652 | 11,394,129 | |||
HCA Healthcare, Inc. | 34,400 | 4,649,848 | |||
Henry Schein, Inc. (a) | 18,700 | 1,307,130 |
Security Description | Shares | Value | |||
Hologic, Inc. (a) | 32,800 | $1,575,056 | |||
Humana, Inc. | 18,190 | 4,825,807 | |||
IDEXX Laboratories, Inc. (a) | 11,800 | 3,248,894 | |||
Illumina, Inc. (a) | 19,200 | 7,068,480 | |||
Incyte Corp. (a) | 22,200 | 1,886,112 | |||
Intuitive Surgical, Inc. (a) | 15,344 | 8,048,695 | |||
IQVIA Holdings, Inc. (a) | 21,700 | 3,491,530 | |||
Johnson & Johnson | 351,908 | 49,013,746 | |||
Laboratory Corp. of America Holdings (a) | 12,675 | 2,191,508 | |||
McKesson Corp. | 26,324 | 3,537,682 | |||
Medtronic PLC | 179,393 | 17,471,084 | |||
Merck & Co., Inc. | 339,772 | 28,489,882 | |||
Mettler-Toledo International, Inc. (a) | 3,500 | 2,940,000 | |||
Mylan NV (a) | 64,402 | 1,226,214 | |||
Nektar Therapeutics (a)(b) | 21,600 | 768,528 | |||
PerkinElmer, Inc. | 16,186 | 1,559,359 | |||
Perrigo Co. PLC | 15,586 | 742,205 | |||
Pfizer, Inc. | 739,733 | 32,045,234 | |||
Quest Diagnostics, Inc. | 18,942 | 1,928,485 | |||
Regeneron Pharmaceuticals, Inc. (a) | 10,742 | 3,362,246 | |||
ResMed, Inc. | 20,100 | 2,452,803 | |||
Stryker Corp. | 41,894 | 8,612,569 | |||
Teleflex, Inc. | 6,500 | 2,152,475 | |||
Thermo Fisher Scientific, Inc. | 53,012 | 15,568,564 | |||
UnitedHealth Group, Inc. | 126,274 | 30,812,119 | |||
Universal Health Services, Inc. Class B | 10,500 | 1,369,095 | |||
Varian Medical Systems, Inc. (a) | 12,629 | 1,719,186 | |||
Vertex Pharmaceuticals, Inc. (a) | 33,252 | 6,097,752 | |||
Waters Corp. (a) | 9,650 | 2,077,066 | |||
WellCare Health Plans, Inc. (a) | 6,300 | 1,795,941 | |||
Zimmer Biomet Holdings, Inc. | 27,725 | 3,264,342 | |||
Zoetis, Inc. | 62,620 | 7,106,744 | |||
460,240,409 | |||||
INDUSTRIALS — 9.1% | |||||
3M Co. | 76,429 | 13,248,203 | |||
Alaska Air Group, Inc. | 15,500 | 990,605 | |||
Allegion PLC | 11,996 | 1,326,158 | |||
American Airlines Group, Inc. | 51,300 | 1,672,893 | |||
AMETEK, Inc. | 31,199 | 2,834,117 | |||
AO Smith Corp. | 17,500 | 825,300 | |||
Arconic, Inc. | 50,186 | 1,295,803 | |||
Boeing Co. | 69,264 | 25,212,789 | |||
C.H. Robinson Worldwide, Inc. | 19,879 | 1,676,794 | |||
Caterpillar, Inc. | 76,224 | 10,388,569 | |||
Cintas Corp. | 10,966 | 2,602,122 | |||
Copart, Inc. (a) | 26,000 | 1,943,240 | |||
CSX Corp. | 103,355 | 7,996,576 | |||
Cummins, Inc. | 19,614 | 3,360,663 | |||
Deere & Co. | 41,783 | 6,923,861 | |||
Delta Air Lines, Inc. | 79,434 | 4,507,879 | |||
Dover Corp. | 19,750 | 1,978,950 | |||
Eaton Corp. PLC | 54,525 | 4,540,842 |
Security Description | Shares | Value | |||
Emerson Electric Co. | 82,379 | $5,496,327 | |||
Equifax, Inc. | 16,188 | 2,189,265 | |||
Expeditors International of Washington, Inc. | 21,176 | 1,606,411 | |||
Fastenal Co. | 78,716 | 2,565,354 | |||
FedEx Corp. | 31,650 | 5,196,613 | |||
Flowserve Corp. | 17,445 | 919,177 | |||
Fortive Corp. | 39,449 | 3,215,882 | |||
Fortune Brands Home & Security, Inc. | 18,000 | 1,028,340 | |||
General Dynamics Corp. | 36,572 | 6,649,521 | |||
General Electric Co. | 1,149,788 | 12,072,774 | |||
Honeywell International, Inc. | 96,678 | 16,879,012 | |||
Huntington Ingalls Industries, Inc. | 5,400 | 1,213,596 | |||
IHS Markit, Ltd. (a) | 48,900 | 3,115,908 | |||
Illinois Tool Works, Inc. | 39,800 | 6,002,238 | |||
Ingersoll-Rand PLC | 31,784 | 4,026,079 | |||
Jacobs Engineering Group, Inc. | 14,343 | 1,210,406 | |||
JB Hunt Transport Services, Inc. | 12,900 | 1,179,189 | |||
Johnson Controls International PLC | 105,408 | 4,354,404 | |||
Kansas City Southern | 12,396 | 1,510,081 | |||
L3 Technologies, Inc. | 10,938 | 2,681,669 | |||
L3Harris Technologies, Inc. | 15,202 | 2,875,154 | |||
Lockheed Martin Corp. | 32,471 | 11,804,507 | |||
Masco Corp. | 41,584 | 1,631,756 | |||
Nielsen Holdings PLC | 46,225 | 1,044,685 | |||
Norfolk Southern Corp. | 35,787 | 7,133,423 | |||
Northrop Grumman Corp. | 22,725 | 7,342,675 | |||
PACCAR, Inc. | 46,639 | 3,342,151 | |||
Parker-Hannifin Corp. | 16,689 | 2,837,297 | |||
Pentair PLC | 19,604 | 729,269 | |||
Quanta Services, Inc. | 20,007 | 764,067 | |||
Raytheon Co. | 37,046 | 6,441,558 | |||
Republic Services, Inc. | 27,089 | 2,346,991 | |||
Robert Half International, Inc. | 15,966 | 910,222 | |||
Rockwell Automation, Inc. | 15,026 | 2,461,710 | |||
Rollins, Inc. | 17,250 | 618,758 | |||
Roper Technologies, Inc. | 13,965 | 5,114,821 | |||
Snap-on, Inc. | 6,640 | 1,099,850 | |||
Southwest Airlines Co. | 64,959 | 3,298,618 | |||
Stanley Black & Decker, Inc. | 20,657 | 2,987,209 | |||
Textron, Inc. | 28,933 | 1,534,606 | |||
TransDigm Group, Inc. (a) | 6,600 | 3,193,080 | |||
Union Pacific Corp. | 93,798 | 15,862,180 | |||
United Continental Holdings, Inc. (a) | 28,800 | 2,521,440 | |||
United Parcel Service, Inc. Class B | 92,591 | 9,561,873 | |||
United Rentals, Inc. (a) | 9,800 | 1,299,774 | |||
United Technologies Corp. | 106,779 | 13,902,626 | |||
Verisk Analytics, Inc. | 21,000 | 3,075,660 | |||
W.W. Grainger, Inc. | 6,457 | 1,731,961 | |||
Wabtec Corp. (b) | 22,666 | 1,626,512 | |||
Waste Management, Inc. | 51,335 | 5,922,519 |
Security Description | Shares | Value | |||
Xylem, Inc. | 23,058 | $1,928,571 | |||
303,383,133 | |||||
INFORMATION TECHNOLOGY — 20.9% | |||||
Accenture PLC Class A | 83,918 | 15,505,529 | |||
Adobe, Inc. (a) | 64,644 | 19,047,355 | |||
Advanced Micro Devices, Inc. (a)(b) | 113,300 | 3,440,921 | |||
Akamai Technologies, Inc. (a) | 20,090 | 1,610,013 | |||
Alliance Data Systems Corp. | 5,696 | 798,180 | |||
Amphenol Corp. Class A | 40,820 | 3,916,271 | |||
Analog Devices, Inc. | 49,752 | 5,615,508 | |||
ANSYS, Inc. (a) | 10,800 | 2,212,056 | |||
Apple, Inc. | 579,124 | 114,620,222 | |||
Applied Materials, Inc. | 127,254 | 5,714,977 | |||
Arista Networks, Inc. (a) | 7,700 | 1,999,074 | |||
Autodesk, Inc. (a) | 28,206 | 4,594,757 | |||
Automatic Data Processing, Inc. | 57,952 | 9,581,204 | |||
Broadcom, Inc. | 52,391 | 15,081,273 | |||
Broadridge Financial Solutions, Inc. | 15,900 | 2,030,112 | |||
Cadence Design Systems, Inc. (a) | 35,400 | 2,506,674 | |||
Cisco Systems, Inc. | 567,190 | 31,042,309 | |||
Citrix Systems, Inc. | 15,989 | 1,569,160 | |||
Cognizant Technology Solutions Corp. Class A | 75,741 | 4,801,222 | |||
Corning, Inc. | 108,326 | 3,599,673 | |||
DXC Technology Co. | 34,538 | 1,904,771 | |||
F5 Networks, Inc. (a) | 7,741 | 1,127,322 | |||
Fidelity National Information Services, Inc. | 43,291 | 5,310,940 | |||
Fiserv, Inc. (a)(b) | 53,824 | 4,906,596 | |||
FleetCor Technologies, Inc. (a) | 11,000 | 3,089,350 | |||
FLIR Systems, Inc. | 17,761 | 960,870 | |||
Fortinet, Inc. (a) | 18,700 | 1,436,721 | |||
Gartner, Inc. (a) | 11,400 | 1,834,716 | |||
Global Payments, Inc. | 20,276 | 3,246,796 | |||
Hewlett Packard Enterprise Co. | 173,353 | 2,591,627 | |||
HP, Inc. | 197,253 | 4,100,890 | |||
Intel Corp. | 592,036 | 28,340,763 | |||
International Business Machines Corp. | 117,095 | 16,147,400 | |||
Intuit, Inc. | 34,537 | 9,025,554 | |||
IPG Photonics Corp. (a) | 4,100 | 632,425 | |||
Jack Henry & Associates, Inc. | 10,600 | 1,419,552 | |||
Juniper Networks, Inc. | 42,349 | 1,127,754 | |||
Keysight Technologies, Inc. (a) | 24,000 | 2,155,440 | |||
KLA-Tencor Corp. | 21,732 | 2,568,722 | |||
Lam Research Corp. | 19,977 | 3,752,480 | |||
Mastercard, Inc. Class A | 118,751 | 31,413,202 | |||
Maxim Integrated Products, Inc. | 35,200 | 2,105,664 | |||
Microchip Technology, Inc. (b) | 32,083 | 2,781,596 | |||
Micron Technology, Inc. (a) | 146,034 | 5,635,452 | |||
Microsoft Corp. | 1,015,258 | 136,003,962 | |||
Motorola Solutions, Inc. | 21,872 | 3,646,719 |
Security Description | Shares | Value | |||
NetApp, Inc. | 33,214 | $2,049,304 | |||
NVIDIA Corp. | 80,544 | 13,227,741 | |||
Oracle Corp. | 321,535 | 18,317,849 | |||
Paychex, Inc. | 41,607 | 3,423,840 | |||
PayPal Holdings, Inc. (a) | 157,145 | 17,986,817 | |||
Qorvo, Inc. (a) | 15,400 | 1,025,794 | |||
QUALCOMM, Inc. | 161,026 | 12,249,248 | |||
Red Hat, Inc. (a) | 23,470 | 4,406,727 | |||
salesforce.com, Inc. (a) | 102,895 | 15,612,258 | |||
Seagate Technology PLC | 32,324 | 1,523,107 | |||
Skyworks Solutions, Inc. | 22,300 | 1,723,121 | |||
Symantec Corp. | 92,260 | 2,007,578 | |||
Synopsys, Inc. (a) | 19,900 | 2,560,931 | |||
TE Connectivity, Ltd. | 45,651 | 4,372,453 | |||
Texas Instruments, Inc. | 123,693 | 14,195,009 | |||
Total System Services, Inc. | 20,976 | 2,690,592 | |||
VeriSign, Inc. (a) | 13,901 | 2,907,533 | |||
Visa, Inc. Class A | 231,060 | 40,100,463 | |||
Western Digital Corp. | 38,653 | 1,837,950 | |||
Western Union Co. (b) | 53,945 | 1,072,966 | |||
Xerox Corp. | 25,527 | 903,911 | |||
Xilinx, Inc. | 33,360 | 3,933,811 | |||
694,682,777 | |||||
MATERIALS — 2.7% | |||||
Air Products & Chemicals, Inc. | 28,902 | 6,542,546 | |||
Albemarle Corp. (b) | 15,100 | 1,063,191 | |||
Alcoa Corp. (a) | 1 | 23 | |||
Amcor PLC (a) | 210,626 | 2,420,093 | |||
Avery Dennison Corp. | 10,670 | 1,234,306 | |||
Ball Corp. | 45,832 | 3,207,782 | |||
Celanese Corp. | 16,500 | 1,778,700 | |||
CF Industries Holdings, Inc. | 28,520 | 1,332,169 | |||
Corteva, Inc. (a) | 96,682 | 2,858,887 | |||
Dow, Inc. | 98,148 | 4,839,678 | |||
DuPont de Nemours, Inc. | 100,482 | 7,543,184 | |||
Eastman Chemical Co. | 18,036 | 1,403,742 | |||
Ecolab, Inc. | 33,201 | 6,555,205 | |||
FMC Corp. | 19,478 | 1,615,700 | |||
Freeport-McMoRan, Inc. | 186,440 | 2,164,568 | |||
International Flavors & Fragrances, Inc. (b) | 14,351 | 2,082,187 | |||
International Paper Co. | 54,703 | 2,369,734 | |||
Linde PLC | 72,663 | 14,590,730 | |||
LyondellBasell Industries NV Class A | 38,948 | 3,354,591 | |||
Martin Marietta Materials, Inc. | 7,845 | 1,805,213 | |||
Mosaic Co. | 52,884 | 1,323,686 | |||
Newmont Goldcorp Corp. | 105,033 | 4,040,619 | |||
Nucor Corp. | 41,848 | 2,305,825 | |||
Packaging Corp. of America | 11,200 | 1,067,584 | |||
PPG Industries, Inc. | 30,854 | 3,600,970 | |||
Sealed Air Corp. | 18,323 | 783,858 | |||
Sherwin-Williams Co. | 10,509 | 4,816,170 | |||
Vulcan Materials Co. | 16,571 | 2,275,364 |
Security Description | Shares | Value | |||
Westrock Co. | 32,036 | $1,168,353 | |||
90,144,658 | |||||
REAL ESTATE — 3.0% | |||||
Alexandria Real Estate Equities, Inc. REIT | 14,500 | 2,045,805 | |||
American Tower Corp. REIT | 58,618 | 11,984,450 | |||
Apartment Investment & Management Co. Class A, REIT | 18,795 | 942,005 | |||
AvalonBay Communities, Inc. REIT | 17,769 | 3,610,305 | |||
Boston Properties, Inc. REIT | 19,846 | 2,560,134 | |||
CBRE Group, Inc. Class A (a) | 39,667 | 2,034,917 | |||
Crown Castle International Corp. REIT | 56,358 | 7,346,265 | |||
Digital Realty Trust, Inc. REIT | 26,700 | 3,144,993 | |||
Duke Realty Corp. REIT | 45,300 | 1,431,933 | |||
Equinix, Inc. REIT | 11,143 | 5,619,303 | |||
Equity Residential REIT | 47,619 | 3,615,235 | |||
Essex Property Trust, Inc. REIT | 8,445 | 2,465,349 | |||
Extra Space Storage, Inc. REIT | 17,900 | 1,899,190 | |||
Federal Realty Investment Trust REIT | 10,800 | 1,390,608 | |||
HCP, Inc. REIT | 64,023 | 2,047,456 | |||
Host Hotels & Resorts, Inc. REIT | 92,962 | 1,693,768 | |||
Iron Mountain, Inc. REIT (b) | 36,181 | 1,132,465 | |||
Kimco Realty Corp. REIT | 63,553 | 1,174,459 | |||
Macerich Co. REIT (b) | 13,855 | 464,004 | |||
Mid-America Apartment Communities, Inc. REIT | 16,200 | 1,907,712 | |||
Prologis, Inc. REIT | 82,151 | 6,580,295 | |||
Public Storage REIT | 20,235 | 4,819,370 | |||
Realty Income Corp. REIT | 39,900 | 2,751,903 | |||
Regency Centers Corp. REIT | 21,200 | 1,414,888 | |||
SBA Communications Corp. REIT (a) | 15,400 | 3,462,536 | |||
Simon Property Group, Inc. REIT | 40,180 | 6,419,157 | |||
SL Green Realty Corp. REIT | 12,100 | 972,477 | |||
UDR, Inc. REIT | 35,400 | 1,589,106 | |||
Ventas, Inc. REIT | 48,097 | 3,287,430 | |||
Vornado Realty Trust REIT | 24,768 | 1,587,629 | |||
Welltower, Inc. REIT | 53,619 | 4,371,557 | |||
Weyerhaeuser Co. REIT | 98,087 | 2,583,612 | |||
98,350,316 | |||||
UTILITIES — 3.2% | |||||
AES Corp. | 95,436 | 1,599,507 | |||
Alliant Energy Corp. | 34,000 | 1,668,720 | |||
Ameren Corp. | 31,504 | 2,366,266 | |||
American Electric Power Co., Inc. | 64,509 | 5,677,437 | |||
American Water Works Co., Inc. | 23,900 | 2,772,400 | |||
Atmos Energy Corp. | 14,400 | 1,520,064 | |||
CenterPoint Energy, Inc. | 64,476 | 1,845,948 | |||
CMS Energy Corp. | 39,055 | 2,261,675 |
Security Description | Shares | Value | |||
Consolidated Edison, Inc. | 45,152 | $3,958,928 | |||
Dominion Energy, Inc. | 107,166 | 8,286,075 | |||
DTE Energy Co. | 24,345 | 3,113,239 | |||
Duke Energy Corp. | 96,892 | 8,549,750 | |||
Edison International | 44,214 | 2,980,466 | |||
Entergy Corp. | 24,498 | 2,521,579 | |||
Evergy, Inc. | 33,399 | 2,008,950 | |||
Eversource Energy | 40,817 | 3,092,296 | |||
Exelon Corp. | 126,084 | 6,044,467 | |||
FirstEnergy Corp. | 65,193 | 2,790,912 | |||
NextEra Energy, Inc. | 63,364 | 12,980,749 | |||
NiSource, Inc. | 47,904 | 1,379,635 | |||
NRG Energy, Inc. | 37,102 | 1,303,022 | |||
Pinnacle West Capital Corp. | 14,104 | 1,327,045 | |||
PPL Corp. | 96,219 | 2,983,751 | |||
Public Service Enterprise Group, Inc. | 68,088 | 4,004,936 | |||
Sempra Energy | 36,262 | 4,983,849 | |||
Southern Co. | 138,859 | 7,676,126 | |||
WEC Energy Group, Inc. | 42,382 | 3,533,387 | |||
Xcel Energy, Inc. | 66,151 | 3,935,323 | |||
107,166,502 | |||||
TOTAL COMMON STOCKS (Cost $2,455,391,213) | 3,239,357,126 |
SHORT-TERM INVESTMENTS — 3.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (d) (e) | 102,904,430 | 102,904,430 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 14,674,445 | $14,674,445 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $117,578,875) | 117,578,875 | ||||
TOTAL INVESTMENTS — 100.8% (Cost $2,572,970,088) | 3,356,936,001 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | (27,166,874) | ||||
NET ASSETS — 100.0% | $3,329,769,127 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(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) | 600 | 09/20/2019 | $86,879,750 | $88,326,000 | $1,446,250 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,239,357,126 | $— | $— | $3,239,357,126 | ||||
Short-Term Investments | 117,578,875 | — | — | 117,578,875 | ||||
TOTAL INVESTMENTS | $3,356,936,001 | $— | $— | $3,356,936,001 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,446,250 | — | — | 1,446,250 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $1,446,250 | $— | $— | $1,446,250 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,358,382,251 | $— | $— | $3,358,382,251 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Corp. | 44,678 | $2,817,841 | $432,950 | $— | $— | $(370,540) | 51,378 | $2,880,251 | $46,227 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 81,722,543 | 81,722,543 | 436,289,144 | 415,107,257 | — | — | 102,904,430 | 102,904,430 | 887,454 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,917,310 | 4,917,310 | 67,421,470 | 57,664,335 | — | — | 14,674,445 | 14,674,445 | 52,803 | ||||||||
Total | $89,457,694 | $504,143,564 | $472,771,592 | $— | $(370,540) | $120,459,126 | $986,484 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,236,476,875 |
Investments in affiliated issuers, at value | 120,459,126 |
Total Investments | 3,356,936,001 |
Cash at broker | 3,617,763 |
Cash | 12 |
Receivable from broker — accumulated variation margin on open futures contracts | 1,447,617 |
Receivable for fund shares sold | 2,346,146 |
Dividends receivable — unaffiliated issuers | 2,628,242 |
Dividends receivable — affiliated issuers | 216,012 |
Securities lending income receivable — unaffiliated issuers | 932 |
Securities lending income receivable — affiliated issuers | 2,098 |
Receivable from Adviser | 25,857 |
TOTAL ASSETS | 3,367,220,680 |
LIABILITIES | |
Payable upon return of securities loaned | 14,674,445 |
Payable for investments purchased | 1,607,112 |
Payable for fund shares repurchased | 21,088,000 |
Administration, custody, and transfer agent fees payable | 33,262 |
Trustees’ fees and expenses payable | 144 |
Professional fees payable | 37,393 |
Printing and postage fees payable | 9,435 |
Accrued expenses and other liabilities | 1,762 |
TOTAL LIABILITIES | 37,451,553 |
NET ASSETS | $3,329,769,127 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,524,388,200 |
Total distributable earnings (loss) | 805,380,927 |
NET ASSETS | $3,329,769,127 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $13.95 |
Shares outstanding (unlimited amount authorized, no par value) | 238,629,514 |
Net Assets | $3,329,769,127 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,451,651,154 |
Investments in affiliated issuers | 121,318,934 |
Total cost of investments | $2,572,970,088 |
* Includes investments in securities on loan, at value | $26,648,598 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $28,148 |
Dividend income — unaffiliated issuers | 30,507,489 |
Dividend income — affiliated issuers | 933,681 |
Unaffiliated securities lending income | 8,563 |
Affiliated securities lending income | 52,803 |
TOTAL INVESTMENT INCOME (LOSS) | 31,530,684 |
EXPENSES | |
Administration, custody, and transfer agent fees | 203,167 |
Trustees’ fees and expenses | 46,658 |
Professional fees | 85,722 |
Printing and postage fees | 10,144 |
Insurance expense | 7,648 |
Miscellaneous expenses | 12,146 |
TOTAL EXPENSES | 365,485 |
Expenses waived/reimbursed by the Adviser | (62,615) |
NET EXPENSES | 302,870 |
NET INVESTMENT INCOME (LOSS) | $31,227,814 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,585,316) |
Futures contracts | 7,897,288 |
Net realized gain (loss) | 5,311,972 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 460,481,874 |
Investments — affiliated issuers | (370,540) |
Futures contracts | 3,427,903 |
Net change in unrealized appreciation/depreciation | 463,539,237 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 468,851,209 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $500,079,023 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $31,227,814 | $51,751,798 | |
Net realized gain (loss) | 5,311,972 | 35,216,548 | |
Net change in unrealized appreciation/depreciation | 463,539,237 | (207,715,492) | |
Net increase (decrease) in net assets resulting from operations | 500,079,023 | (120,747,146) | |
Distributions to shareholders | — | (138,945,426) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 415,275,524 | 937,119,662 | |
Reinvestment of distributions | — | 138,945,426 | |
Cost of shares redeemed | (220,118,261) | (381,020,586) | |
Net increase (decrease) in net assets from beneficial interest transactions | 195,157,263 | 695,044,502 | |
Net increase (decrease) in net assets during the period | 695,236,286 | 435,351,930 | |
Net assets at beginning of period | 2,634,532,841 | 2,199,180,911 | |
NET ASSETS AT END OF PERIOD | $3,329,769,127 | $2,634,532,841 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 31,549,230 | 71,154,512 | |
Reinvestment of distributions | — | 12,252,683 | |
Shares redeemed | (16,707,375) | (27,824,760) | |
Net increase (decrease) from share transactions | 14,841,855 | 55,582,435 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $11.77 | $13.07 | $11.31 | $10.32 | $10.55 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.14 | 0.26 | 0.25 | 0.23 | 0.22 | 0.08 | |||||
Net realized and unrealized gain (loss) | 2.04 | (0.86) | 2.21 | 1.02 | (0.09) | 0.63 | |||||
Total from investment operations | 2.18 | (0.60) | 2.46 | 1.25 | 0.13 | 0.71 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.27) | (0.18) | (0.20) | (0.08) | |||||
Net realized gains | — | (0.44) | (0.43) | (0.08) | (0.16) | (0.08) | |||||
Total distributions | — | (0.70) | (0.70) | (0.26) | (0.36) | (0.16) | |||||
Net asset value, end of period | $13.95 | $11.77 | $13.07 | $11.31 | $10.32 | $10.55 | |||||
Total return (b) | 18.52% | (4.42)% | 21.66% | 12.18% | 1.29% | 7.12% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,329,769 | $2,634,533 | $2,199,181 | $1,227,444 | $541,335 | $426,710 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(c) | 0.03% | 0.03% | 0.04% | 0.04% | 0.04%(c) | |||||
Net expenses | 0.02%(c) | 0.02% | 0.03% | 0.03% | 0.03% | 0.03%(c) | |||||
Net investment income (loss) | 2.06%(c) | 1.93% | 1.98% | 2.15% | 2.05% | 2.06%(c) | |||||
Portfolio turnover rate | 3%(d) | 8% | 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. |
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, 2019 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 32.41% |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,447,617 | $— | $1,447,617 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $7,897,288 | $— | $7,897,288 |
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 | $— | $— | $— | $3,427,903 | $— | $3,427,903 |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $399,977,120 | $90,733,102 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $848,475,076 | $230,574,665 | $— | $230,574,665 | |||
State Street Equity 500 Index II Portfolio | 2,589,972,386 | 834,757,487 | 66,347,622 | 768,409,865 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 26,648,598 | $ 14,674,445 | $ 12,377,822 | $ 27,052,267 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
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 | $14,674,445 | $— | $— | $— | $14,674,445 | $14,674,445 |
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 | 0.17% | $1,183.80 | $0.92 | $1,024.00 | $0.85 | ||||
Service Shares | 0.27 | 1,183.00 | 1.46 | 1,023.50 | 1.35 | ||||
Class R Shares | 0.62 | 1,181.40 | 3.35 | 1,021.70 | 3.11 | ||||
Class A Shares | 0.28 | 1,183.30 | 1.52 | 1,023.40 | 1.40 | ||||
Class I Shares | 0.09 | 1,184.20 | 0.49 | 1,024.30 | 0.45 | ||||
Class K Shares | 0.02 | 1,184.80 | 0.11 | 1,024.70 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 1,185.20 | 0.11 | 1,024.70 | 0.10 |
(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 the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund, which is a feeder fund for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2018, 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 Portfolio; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Fund and Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund and Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and Portfolio and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and Portfolio, and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund and Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund and Portfolio by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund and Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, and securities lending agent of the Fund and Portfolio, and transfer agent of the Portfolio, and the role of the Adviser in managing the Fund’s and the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund and Portfolio; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s and Portfolio’s Adviser and Administrator, with respect to its operations relating to the Fund and Portfolio and its approximate profit margins from such operations for the calendar year ended December 31, 2018; and the relevant operations of other affiliated service providers to the Fund and Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2018; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund and Portfolio, and transfer agent for the Portfolio, with respect to its operations relating to the Fund and Portfolio; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund and Portfolio (the “Distributor”), with respect to its operations relating to the Fund and Portfolio, together with the Fund’s related distribution plan and arrangement under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $15,657,957,505 |
Receivable for fund shares sold | 200 |
Receivable from Adviser | 48,481 |
TOTAL ASSETS | 15,658,006,186 |
LIABILITIES | |
Advisory fee payable | 34 |
Administration fees payable | 599,018 |
Shareholder servicing fee payable | 145,746 |
Distribution fees payable | 28,356 |
Transfer agent fees payable | 50,879 |
Distribution payable | 5,643,958 |
Registration and filing fees payable | 104,831 |
Professional fees payable | 12,414 |
Printing fees payable | 50,014 |
Accrued expenses and other liabilities | 223,322 |
TOTAL LIABILITIES | 6,858,572 |
NET ASSETS | $15,651,147,614 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $15,648,313,279 |
Total distributable earnings (loss) | 2,834,335 |
NET ASSETS | $15,651,147,614 |
Administration Class | |
Net Assets | $720,505,634 |
Shares Outstanding | 720,397,721 |
Net asset value, offering and redemption price per share | $1.0001 |
Institutional Class | |
Net Assets | $106,216,873 |
Shares Outstanding | 106,181,985 |
Net asset value, offering and redemption price per share | $1.0003 |
Investment Class | |
Net Assets | $18,139 |
Shares Outstanding | 18,136 |
Net asset value, offering and redemption price per share | $1.0002 |
Investor Class | |
Net Assets | $81,868,742 |
Shares Outstanding | 81,859,154 |
Net asset value, offering and redemption price per share | $1.0001 |
Premier Class | |
Net Assets | $13,980,782,982 |
Shares Outstanding | 13,978,483,360 |
Net asset value, offering and redemption price per share | $1.0002 |
Trust Class | |
Net Assets | $761,755,244 |
Shares Outstanding | 761,608,833 |
Net asset value, offering and redemption price per share | $1.0002 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $15,655,297,295 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $189,339,379 |
Expenses allocated from affiliated Portfolio | (4,740,510) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 184,598,869 |
EXPENSES | |
Administration fees | |
Administration Class | 207,184 |
Institutional Class | 18,141 |
Investment Class | 4 |
Investor Class | 13,015 |
Premier Class | 3,191,105 |
Trust Class | 163,525 |
Shareholder servicing fees | |
Administration Class | 828,736 |
Institutional Class | 10,884 |
Investment Class | 23 |
Investor Class | 20,825 |
Trust Class | 189,689 |
Distribution fees | |
Administration Class | 207,184 |
Investment Class | 9 |
Custodian fees | 73,883 |
Trustees’ fees and expenses | 9,034 |
Transfer agent fees | 160,921 |
Registration and filing fees | 111,080 |
Professional fees and expenses | 19,695 |
Printing and postage fees | 4,098 |
Insurance expense | 35,614 |
Miscellaneous expenses | 30,617 |
TOTAL EXPENSES | 5,295,266 |
Expenses waived/reimbursed by the Adviser | (155,287) |
NET EXPENSES | 5,139,979 |
NET INVESTMENT INCOME (LOSS) | $179,458,890 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 41,961 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 2,794,456 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,836,417 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $182,295,307 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $179,458,890 | $238,279,241 | |
Net realized gain (loss) | 41,961 | 99,187 | |
Net change in unrealized appreciation/depreciation | 2,794,456 | 11,343 | |
Net increase (decrease) in net assets resulting from operations | 182,295,307 | 238,389,771 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (9,400,594) | (16,841,391) | |
Institutional Class | (898,207) | (522) | |
Investment Class | (206) | (12,458) | |
Investor Class | (634,196) | (1,303,641) | |
Premier Class | (160,467,793) | (207,278,397) | |
Trust Class | (8,057,804) | (12,837,558) | |
Total distributions to shareholders | (179,458,800) | (238,273,967) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 3,651,805,331 | 8,810,320,220 | |
Reinvestment of distributions | 3,798,642 | 6,962,960 | |
Shares redeemed | (3,892,029,354) | (8,692,143,753) | |
Net increase (decrease) from capital share transactions | (236,425,381) | 125,139,427 | |
Institutional Class | |||
Shares sold | 105,503,158 | 55,086 | |
Reinvestment of distributions | 646,068 | 54 | |
Shares redeemed | (1,518) | (13) | |
Net increase (decrease) from capital share transactions | 106,147,708 | 55,127 | |
Investment Class | |||
Reinvestment of distributions | 65 | 96 | |
Shares redeemed | (5,307) | (5,524,389) | |
Net increase (decrease) from capital share transactions | (5,242) | (5,524,293) | |
Investor Class | |||
Shares sold | 345,770,733 | 507,867,839 | |
Reinvestment of distributions | 614,890 | 1,228,213 | |
Shares redeemed | (305,406,405) | (502,571,336) | |
Net increase (decrease) from capital share transactions | 40,979,218 | 6,524,716 | |
Premier Class | |||
Shares sold | 46,907,094,384 | 101,814,128,257 | |
Reinvestment of distributions | 135,773,306 | 180,623,253 | |
Shares redeemed | (42,554,155,859) | (100,808,489,575) | |
Net increase (decrease) from capital share transactions | 4,488,711,831 | 1,186,261,935 | |
Trust Class | |||
Shares sold | 3,573,286,774 | 6,721,774,753 | |
Reinvestment of distributions | 6,067,950 | 9,824,200 | |
Shares redeemed | (3,521,876,326) | (6,791,873,011) | |
Net increase (decrease) from capital share transactions | 57,478,398 | (60,274,058) | |
Net increase (decrease) in net assets from beneficial interest transactions | 4,456,886,532 | 1,252,182,854 | |
Net increase (decrease) in net assets during the period | 4,459,723,039 | 1,252,298,658 | |
Net assets at beginning of period | 11,191,424,575 | 9,939,125,917 | |
NET ASSETS AT END OF PERIOD | $15,651,147,614 | $11,191,424,575 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 3,651,536,040 | 8,810,290,173 | |
Reinvestment of distributions | 3,798,262 | 6,962,997 | |
Shares redeemed | (3,891,772,388) | (8,692,062,407) | |
Net increase (decrease) from share transactions | (236,438,086) | 125,190,763 | |
Institutional Class | |||
Shares sold | 105,482,513 | 55,075 | |
Reinvestment of distributions | 645,874 | 54 | |
Shares redeemed | (1,518) | (13) | |
Net increase (decrease) from share transactions | 106,126,869 | 55,116 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
Investment Class | |||
Reinvestment of distributions | $65 | $96 | |
Shares redeemed | (5,307) | (5,524,483) | |
Net increase (decrease) from share transactions | (5,242) | (5,524,387) | |
Investor Class | |||
Shares sold | 345,729,463 | 507,868,109 | |
Reinvestment of distributions | 614,817 | 1,228,236 | |
Shares redeemed | (305,368,658) | (502,578,153) | |
Net increase (decrease) from share transactions | 40,975,622 | 6,518,192 | |
Premier Class | |||
Shares sold | 46,901,431,856 | 101,813,025,437 | |
Reinvestment of distributions | 135,755,342 | 180,623,722 | |
Shares redeemed | (42,548,844,838) | (100,807,262,430) | |
Net increase (decrease) from share transactions | 4,488,342,360 | 1,186,386,729 | |
Trust Class | |||
Shares sold | 3,572,759,230 | 6,721,631,079 | |
Reinvestment of distributions | 6,067,020 | 9,824,002 | |
Shares redeemed | (3,521,369,867) | (6,791,750,606) | |
Net increase (decrease) from share transactions | 57,456,383 | (60,295,525) |
(a) | For Institutional Class shares, data is for the period July 5, 2018 (inception date) through December 31, 2018. |
Administration Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0112 | 0.0174 | 0.0080 | 0.0008 | |||
Net realized and unrealized gain (loss) | 0.0002 | (0.0001) | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0114 | 0.0173 | 0.0080 | 0.0008 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0112) | (0.0174) | (0.0080) | (0.0008) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0112) | (0.0174) | (0.0080) | (0.0008) | |||
Net asset value, end of period | $1.0001 | $0.9999 | $1.0000 | $1.0000 | |||
Total return (c) | 1.15% | 1.75% | 0.80% | 0.08% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $720,506 | $956,750 | $831,606 | $798,447 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.37%(d) | 0.37% | 0.37% | 0.38%(d) | |||
Net expenses | 0.37%(d) | 0.37% | 0.37% | 0.38%(d) | |||
Net investment income (loss) | 2.27%(d) | 1.74% | 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 affiliated 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. |
Institutional Class(a) | |||
Six Months Ended 6/30/19 (Unaudited) | For the Period 7/6/18* 12/31/18 | ||
Net asset value, beginning of period | $1.0001 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0123 | 0.0108 | |
Net realized and unrealized gain (loss) | 0.0002 | 0.0001 | |
Total from investment operations | 0.0125 | 0.0109 | |
Distributions to shareholders from: | |||
Net investment income | (0.0123) | (0.0108) | |
Net asset value, end of period | $1.0003 | $1.0001 | |
Total return (b) | 1.26% | 1.08% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $106,217 | $55 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(c) | 0.15%(c) | |
Net expenses | 0.15%(c) | 0.15%(c) | |
Net investment income (loss) | 2.48%(c) | 2.21%(c) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
Investment Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Net asset value, beginning of period | $1.0000 | $0.9999 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0109 | 0.0164 | 0.0070 | 0.0010 | 0.0000(b)(c) | 0.0000(b)(c) | |||||
Net realized and unrealized gain (loss) | 0.0002 | 0.0001 | (0.0001) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0111 | 0.0165 | 0.0069 | 0.0010 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0109) | (0.0164) | (0.0070) | (0.0010) | — | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | — | |||||
Total distributions | (0.0109) | (0.0164) | (0.0070) | (0.0010) | — | — | |||||
Net asset value, end of period | $1.0002 | $1.0000 | $0.9999 | $1.0000 | $1.0000 | $1.0000 | |||||
Total return (d) | 1.11% | 1.67% | 0.69% | 0.10% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $18 | $23 | $5,547 | $5,582 | $485,292 | $726,910 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.45%(f) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.45%(f) | 0.47% | 0.47% | 0.46% | 0.24% | 0.19% | |||||
Net investment income (loss) | 2.19%(f) | 1.18% | 0.70% | 0.08% | 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 affiliated 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. |
Investor Class(a) | |||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | For the Period 7/13/17* - 12/31/17 | |||
Net asset value, beginning of period | $0.9999 | $0.9999 | $1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0121 | 0.0191 | 0.0055 | ||
Net realized and unrealized gain (loss) | 0.0002 | — | (0.0001) | ||
Total from investment operations | 0.0123 | 0.0191 | 0.0054 | ||
Voluntary expense reimbursement from Affiliate | — | — | 0.0000(b) | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0121) | (0.0191) | (0.0055) | ||
Net realized gains | — | — | (0.0000)(b) | ||
Total distributions | (0.0121) | (0.0191) | (0.0055) | ||
Net asset value, end of period | $1.0001 | $0.9999 | $0.9999 | ||
Total return (c) | 1.23% | 1.92% | 0.54% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $81,869 | $40,881 | $34,361 | ||
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) | 2.44%(d) | 1.95% | 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 affiliated 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. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Net asset value, beginning of period | $0.9999 | $0.9999 | $1.0001 | $1.0000 | $1.0000 | $1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0125 | 0.0199 | 0.0105 | 0.0045 | 0.0012(b) | 0.0008(b) | |||||
Net realized and unrealized gain (loss) | 0.0003 | — | (0.0002) | 0.0001 | 0.0000(c) | (0.0001) | |||||
Total from investment operations | 0.0128 | 0.0199 | 0.0103 | 0.0046 | 0.0012 | 0.0007 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0125) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | (0.0007) | |||||
Net realized gains | — | — | (0.0000)(c) | — | — | — | |||||
Total distributions | (0.0125) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | (0.0007) | |||||
Net asset value, end of period | $1.0002 | $0.9999 | $0.9999 | $1.0001 | $1.0000 | $1.0000 | |||||
Total return (d) | 1.28% | 2.00% | 1.05% | 0.45% | 0.12% | 0.07% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $13,980,783 | $9,489,591 | $8,303,222 | $6,255,384 | $45,207,442 | $37,932,781 | |||||
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) | 2.51%(e) | 2.00% | 1.06% | 0.43% | 0.12% | 0.07% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Trust Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 8/29/16* - 12/31/16 | ||||
Net asset value, beginning of period | $1.0000 | $0.9999 | $1.0000 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0122 | 0.0193 | 0.0099 | 0.0015 | |||
Net realized and unrealized gain (loss) | 0.0002 | 0.0001 | (0.0001) | 0.0000(b) | |||
Total from investment operations | 0.0124 | 0.0194 | 0.0098 | 0.0015 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0122) | (0.0193) | (0.0099) | (0.0015) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0122) | (0.0193) | (0.0099) | (0.0015) | |||
Net asset value, end of period | $1.0002 | $1.0000 | $0.9999 | $1.0000 | |||
Total return (c) | 1.25% | 1.96% | 0.99% | 0.15% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $761,755 | $704,123 | $764,391 | $1,211,202 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.18%(d) | 0.18% | 0.18% | 0.19%(d) | |||
Net expenses | 0.18%(d) | 0.18% | 0.18% | 0.19%(d) | |||
Net investment income (loss) | 2.46%(d) | 1.91% | 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 affiliated 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. |
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 July 6, 2018 October 15, 2007 August 29, 2016 July 13, 2017 Not commenced August 29, 2016 | Diversified |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $15,655,297,295 | $2,660,210 | $— | $2,660,210 |
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% | $1,011.50 | $1.85 | $1,023.00 | $1.86 | ||||
Institutional Class | 0.15 | 1,012.60 | 0.75 | 1,024.10 | 0.75 | ||||
Investment Class | 0.45 | 1,011.10 | 2.24 | 1,022.60 | 2.26 | ||||
Investor Class | 0.20 | 1,012.30 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,012.80 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.18 | 1,012.50 | 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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Money Market Portfolio |
1 | |
2 | |
8 | |
9 | |
10 | |
11 | |
12 | |
16 |
% of Net Assets | |||
Certificates of Deposit | 31.6% | ||
Financial Company Commercial Paper | 20.2 | ||
Other Notes | 19.6 | ||
Other Repurchase Agreements | 8.9 | ||
Asset Backed Commercial Paper | 7.0 | ||
Government Agency Repurchase Agreements | 6.6 | ||
Treasury Repurchase Agreements | 5.9 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 34.3% | ||
2 to 30 Days | 15.3 | ||
31 to 60 Days | 11.9 | ||
61 to 90 Days | 8.2 | ||
Over 90 Days | 30.1 | ||
Total | 99.8% | ||
Average days to maturity | 33 | ||
Weighted average life | 66 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—7.0% | ||||||||||
Alpine Securitization LLC(a) | 2.540% | 07/31/2019 | 07/31/2019 | $40,000,000 | $39,911,817 | |||||
Antalis SA(a) | 2.600% | 07/03/2019 | 07/03/2019 | 100,000,000 | 99,966,250 | |||||
Atlantic Asset Securitization LLC(a) | 2.370% | 07/01/2019 | 07/01/2019 | 130,000,000 | 129,974,000 | |||||
Barton Capital SA(a) | 2.470% | 07/29/2019 | 07/29/2019 | 48,400,000 | 48,302,891 | |||||
Barton Capital SA(a) | 2.470% | 09/03/2019 | 09/03/2019 | 38,000,000 | 37,835,147 | |||||
Bedford Row Funding Corp., 1 Month USD LIBOR + 0.13%(b) | 2.524% | 07/16/2019 | 01/16/2020 | 50,000,000 | 50,002,636 | |||||
Cancara Asset Securitisation LLC(a) | 2.250% | 10/25/2019 | 10/25/2019 | 50,000,000 | 49,605,482 | |||||
Collateralized Commercial Paper FLEX Co. LLC, 1 Month USD LIBOR + 0.25%(b) | 2.669% | 07/08/2019 | 08/07/2019 | 58,000,000 | 58,016,190 | |||||
Kells Funding LLC(a) | 2.500% | 08/19/2019 | 08/19/2019 | 131,000,000 | 130,560,437 | |||||
Kells Funding LLC(a) | 2.530% | 08/15/2019 | 08/15/2019 | 50,000,000 | 49,844,667 | |||||
Kells Funding LLC(a) | 2.540% | 08/02/2019 | 08/02/2019 | 50,000,000 | 49,885,666 | |||||
Kells Funding LLC(a) | 2.550% | 08/09/2019 | 08/09/2019 | 125,000,000 | 124,658,750 | |||||
LMA Americas LLC(a) | 2.390% | 07/01/2019 | 07/01/2019 | 125,000,000 | 124,975,365 | |||||
LMA Americas LLC(a) | 2.410% | 11/01/2019 | 11/01/2019 | 50,000,000 | 49,603,100 | |||||
Nieuw Amsterdam Receivables Corp.(a) | 2.550% | 07/16/2019 | 07/16/2019 | 55,000,000 | 54,933,285 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 1,098,075,683 | |||||||||
CERTIFICATES OF DEPOSIT—31.6% | ||||||||||
Bank of Montreal, 3 Month USD LIBOR + 0.05%(b) | 2.570% | 09/03/2019 | 03/02/2020 | 100,000,000 | 100,006,257 | |||||
Bank of Montreal, 3 Month USD LIBOR + 0.22%(b) | 2.673% | 09/09/2019 | 12/09/2019 | 150,000,000 | 150,130,891 | |||||
Bank of Nova Scotia(a) | 2.650% | 12/16/2019 | 12/16/2019 | 75,000,000 | 75,024,690 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.30%(b) | 2.694% | 07/16/2019 | 01/16/2020 | 20,000,000 | 20,025,659 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.14%(b) | 2.751% | 07/16/2019 | 01/16/2020 | 23,000,000 | 23,017,140 | |||||
BNP Paribas, 3 Month USD LIBOR + 0.07%(b) | 2.649% | 08/05/2019 | 11/05/2019 | 90,000,000 | 90,002,690 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.13%(b) | 2.551% | 07/08/2019 | 12/06/2019 | 125,000,000 | 125,042,010 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.33%(b) | 2.741% | 07/15/2019 | 08/13/2019 | 125,000,000 | 125,052,779 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.22%(b) | 2.550% | 09/30/2019 | 12/30/2019 | 35,000,000 | 35,032,902 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.32%(b) | 2.931% | 07/05/2019 | 07/05/2019 | 80,000,000 | 80,002,167 | |||||
China Construction Bank(a) | 2.630% | 08/16/2019 | 08/16/2019 | 60,000,000 | 60,013,607 | |||||
China Construction Bank(a) | 2.660% | 07/15/2019 | 07/15/2019 | 50,000,000 | 50,005,049 | |||||
Credit Industriel et Commercial(a) | 2.260% | 03/11/2020 | 03/11/2020 | 100,000,000 | 100,141,278 | |||||
Credit Industriel et Commercial(a) | 2.590% | 12/04/2019 | 12/04/2019 | 100,000,000 | 100,150,163 | |||||
Credit Industriel et Commercial, 1 Month USD LIBOR + 0.14%(b) | 2.580% | 07/01/2019 | 08/01/2019 | 120,000,000 | 120,016,138 | |||||
Credit Suisse AG(a) | 2.620% | 09/27/2019 | 09/27/2019 | 100,000,000 | 100,063,812 | |||||
Credit Suisse AG(a) | 2.620% | 10/10/2019 | 10/10/2019 | 100,000,000 | 100,070,998 | |||||
Credit Suisse AG, 1 Month USD LIBOR + 0.18%(b) | 2.592% | 07/11/2019 | 12/11/2019 | 100,000,000 | 100,048,494 | |||||
Credit Suisse AG, 3 Month USD LIBOR + 0.11%(b) | 2.711% | 07/18/2019 | 10/15/2019 | 50,000,000 | 50,008,569 | |||||
Industrial and Commercial Bank of China Ltd.(a) | 2.490% | 07/09/2019 | 07/09/2019 | 49,000,000 | 49,003,434 | |||||
Industrial and Commercial Bank of China Ltd.(a) | 2.630% | 08/26/2019 | 08/26/2019 | 61,000,000 | 61,009,585 | |||||
Industrial and Commercial Bank of China Ltd.(a) | 2.660% | 07/15/2019 | 07/15/2019 | 110,000,000 | 110,009,523 | |||||
Industrial and Commercial Bank of China Ltd.(a) | 2.660% | 08/02/2019 | 08/02/2019 | 125,000,000 | 125,019,582 | |||||
Industrial and Commercial Bank of China Ltd.(a) | 2.700% | 07/02/2019 | 07/02/2019 | 135,000,000 | 135,003,584 | |||||
Lloyds Bank Corporate Markets PLC, 3 Month USD LIBOR + 0.18%(b) | 2.772% | 07/19/2019 | 07/19/2019 | 150,000,000 | 150,008,398 | |||||
Mizuho Bank Ltd.(a) | 2.570% | 08/05/2019 | 08/05/2019 | 100,000,000 | 100,023,463 | |||||
Mizuho Bank Ltd., 3 Month USD LIBOR + 0.11%(b) | 2.721% | 07/02/2019 | 07/02/2019 | 150,000,000 | 150,000,000 | |||||
MUFG Bank Ltd.(a) | 2.600% | 10/31/2019 | 10/31/2019 | 111,000,000 | 111,109,422 | |||||
Nordea Bank AB, 3 Month USD LIBOR - 0.01%(b) | 2.591% | 07/18/2019 | 10/18/2019 | 95,000,000 | 94,999,762 | |||||
Nordea Bank AB, 3 Month USD LIBOR - 0.01%(b) | 2.601% | 07/15/2019 | 10/15/2019 | 50,000,000 | 49,999,897 | |||||
Norinchukin Bank(a) | 2.260% | 12/04/2019 | 12/04/2019 | 19,440,000 | 19,458,293 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Norinchukin Bank(a) | 2.550% | 07/16/2019 | 07/16/2019 | $100,000,000 | $100,007,273 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.05%(b) | 2.661% | 07/02/2019 | 04/02/2020 | 150,000,000 | 149,999,940 | |||||
Skandinaviska Enskilda Banken AB(a) | 2.600% | 10/04/2019 | 10/04/2019 | 106,000,000 | 106,097,862 | |||||
Skandinaviska Enskilda Banken AB, 3 Month USD LIBOR + 0.01%(b) | 2.533% | 08/22/2019 | 11/22/2019 | 104,000,000 | 103,999,524 | |||||
Skandinaviska Enskilda Banken AB, 3 Month USD LIBOR + 0.13%(b) | 2.581% | 09/11/2019 | 09/11/2019 | 140,000,000 | 140,032,067 | |||||
Societe Generale, 3 Month USD LIBOR + 0.07%(b) | 2.681% | 07/15/2019 | 07/15/2019 | 75,000,000 | 75,002,385 | |||||
Standard Chartered Bank(a) | 2.600% | 07/22/2019 | 07/22/2019 | 75,000,000 | 75,010,334 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.13%(b) | 2.551% | 07/08/2019 | 09/06/2019 | 50,000,000 | 50,011,647 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.13%(b) | 2.559% | 07/05/2019 | 09/04/2019 | 74,000,000 | 74,017,027 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.13%(b) | 2.569% | 07/31/2019 | 09/30/2019 | 55,000,000 | 55,012,164 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.16%(b) | 2.564% | 07/22/2019 | 08/22/2019 | 113,000,000 | 113,027,548 | |||||
Sumitomo Mitsui Trust Bank(a) | 2.400% | 07/02/2019 | 07/02/2019 | 100,000,000 | 100,000,117 | |||||
Sumitomo Mitsui Trust Bank(a) | 2.580% | 07/11/2019 | 07/11/2019 | 42,000,000 | 42,002,995 | |||||
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.17%(b) | 2.600% | 07/05/2019 | 08/05/2019 | 40,000,000 | 40,007,267 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.02%(b) | 2.612% | 07/19/2019 | 07/19/2019 | 130,000,000 | 130,002,427 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.21%(b) | 2.629% | 09/19/2019 | 12/19/2019 | 127,000,000 | 127,111,989 | |||||
Toronto-Dominion Bank(a) | 2.400% | 12/04/2019 | 12/04/2019 | 73,000,000 | 73,042,258 | |||||
Toronto-Dominion Bank(a) | 2.600% | 10/15/2019 | 10/15/2019 | 100,000,000 | 100,090,095 | |||||
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.33%(b) | 2.770% | 07/02/2019 | 08/02/2019 | 100,000,000 | 100,020,622 | |||||
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.03%(b) | 2.373% | 09/24/2019 | 03/24/2020 | 125,000,000 | 124,999,777 | |||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.18%(b) | 2.592% | 07/08/2019 | 04/08/2020 | 100,000,000 | 100,043,343 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.17%(b) | 2.781% | 07/15/2019 | 01/15/2020 | 75,000,000 | 75,063,577 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.23%(b) | 2.841% | 07/03/2019 | 01/06/2020 | 50,000,000 | 50,055,746 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.24%(b) | 2.851% | 07/03/2019 | 02/03/2020 | 75,000,000 | 75,096,517 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 4,939,254,737 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.2% | ||||||||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.14%(b) | 2.580% | 07/03/2019 | 02/03/2020 | 90,000,000 | 90,029,369 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.06%(b) | 2.539% | 09/05/2019 | 06/05/2020 | 100,000,000 | 99,999,590 | |||||
BPCE(a) | 2.270% | 02/18/2020 | 02/18/2020 | 125,000,000 | 123,230,972 | |||||
BPCE(a) | 2.410% | 10/04/2019 | 10/04/2019 | 50,000,000 | 49,698,106 | |||||
Caisse des Depots et Consignations(a) | 2.485% | 08/16/2019 | 08/16/2019 | 100,000,000 | 99,696,608 | |||||
CDP Financial, Inc.(a) | 2.500% | 11/14/2019 | 11/14/2019 | 74,000,000 | 73,326,553 | |||||
CDP Financial, Inc.(a) | 2.555% | 10/15/2019 | 10/15/2019 | 150,000,000 | 148,926,804 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.04%(b) | 2.619% | 08/05/2019 | 02/03/2020 | 50,000,000 | 50,005,655 | |||||
DBS Bank Ltd.(a) | 2.250% | 12/03/2019 | 12/03/2019 | 30,000,000 | 29,711,650 | |||||
DBS Bank Ltd.(a) | 2.260% | 10/18/2019 | 10/18/2019 | 200,000,000 | 198,598,134 | |||||
DnB Bank ASA(a) | 2.465% | 09/30/2019 | 09/30/2019 | 150,000,000 | 149,114,050 | |||||
Erste Abwicklungsanstalt(a) | 2.490% | 09/16/2019 | 09/16/2019 | 50,000,000 | 49,743,667 | |||||
HSBC Bank PLC, 1 Month USD LIBOR + 0.30%(b) | 2.704% | 07/22/2019 | 07/22/2019 | 100,000,000 | 100,020,138 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.01%(b) | 2.575% | 08/07/2019 | 08/07/2019 | 100,000,000 | 100,000,159 | |||||
ING US Funding LLC, 1 Month USD LIBOR + 0.16%(b) | 2.600% | 07/03/2019 | 12/03/2019 | 125,000,000 | 125,056,254 | |||||
ING US Funding LLC, 1 Month USD LIBOR + 0.29%(b) | 2.702% | 07/08/2019 | 07/08/2019 | 90,000,000 | 90,007,446 | |||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.09%(b) | 2.635% | 08/05/2019 | 02/04/2020 | 115,000,000 | 114,999,540 | |||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.26%(b) | 2.650% | 07/19/2019 | 08/19/2019 | 120,000,000 | 120,043,950 | |||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.22%(b) | 2.660% | 07/01/2019 | 08/01/2019 | 56,000,000 | 56,011,911 | |||||
Nordea Bank AB(a) | 2.485% | 09/20/2019 | 09/20/2019 | 100,000,000 | 99,471,733 | |||||
Skandinaviska Enskilda Banken AB(a) | 2.560% | 12/11/2019 | 12/11/2019 | 125,000,000 | 123,749,812 | |||||
Swedbank AB(a) | 2.600% | 09/11/2019 | 09/11/2019 | 125,000,000 | 124,398,437 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Toronto-Dominion Bank(a) | 2.440% | 07/03/2019 | 07/03/2019 | $125,000,000 | $124,958,541 | |||||
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.37%(b) | 2.789% | 07/08/2019 | 11/07/2019 | 125,000,000 | 125,139,995 | |||||
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.14%(b) | 2.580% | 07/03/2019 | 01/23/2020 | 130,000,000 | 130,044,095 | |||||
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.15%(b) | 2.590% | 07/02/2019 | 12/23/2019 | 70,000,000 | 70,020,910 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR%(b) | 2.521% | 08/28/2019 | 11/21/2019 | 100,000,000 | 99,995,734 | |||||
Toyota Motor Finance Netherlands B.V., 3 Month USD LIBOR + 0.13%(b) | 2.741% | 07/15/2019 | 10/11/2019 | 153,000,000 | 153,063,714 | |||||
UBS AG, 3 Month USD LIBOR + 0.05%(b) | 2.629% | 08/01/2019 | 02/03/2020 | 50,000,000 | 49,999,750 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.07%(b) | 2.595% | 08/16/2019 | 08/16/2019 | 72,500,000 | 72,504,765 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.07%(b) | 2.632% | 08/09/2019 | 08/12/2019 | 50,000,000 | 50,004,338 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.18%(b) | 2.701% | 08/27/2019 | 11/27/2019 | 75,000,000 | 75,053,999 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 3,166,626,379 | |||||||||
OTHER NOTES—19.6% | ||||||||||
ABN Amro Bank NV(a) | 2.420% | 07/02/2019 | 07/02/2019 | 150,000,000 | 150,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 2.390% | 07/01/2019 | 07/01/2019 | 280,000,000 | 280,000,000 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.14%(b) | 2.580% | 07/03/2019 | 09/03/2019 | 46,000,000 | 46,008,545 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.30%(b) | 2.740% | 07/02/2019 | 08/02/2019 | 68,000,000 | 68,016,361 | |||||
Bank of Nova Scotia(a) | 2.410% | 07/01/2019 | 07/01/2019 | 250,000,000 | 250,000,000 | |||||
Citibank NA(a) | 2.500% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Cooperatieve Rabobank UA(a) | 2.350% | 07/01/2019 | 07/01/2019 | 175,537,000 | 175,537,000 | |||||
Lloyds Bank Corporate Markets PLC(a) | 2.350% | 07/01/2019 | 07/01/2019 | 150,000,000 | 150,000,000 | |||||
Mizuho Bank Ltd.(a) | 2.400% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Mizuho Bank Ltd.(a) | 2.430% | 07/03/2019 | 07/03/2019 | 100,000,000 | 100,000,000 | |||||
Mizuho Bank Ltd.(a) | 2.440% | 07/02/2019 | 07/02/2019 | 125,000,000 | 125,000,000 | |||||
National Australia Bank Ltd.(a) | 2.350% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
National Bank of Canada(a) | 2.420% | 07/03/2019 | 07/03/2019 | 100,000,000 | 100,000,000 | |||||
National Bank of Canada(a) | 2.440% | 07/02/2019 | 07/02/2019 | 110,000,000 | 110,000,000 | |||||
Royal Bank of Canada(a) | 2.500% | 07/01/2019 | 07/01/2019 | 325,000,000 | 325,000,000 | |||||
Standard Chartered Bank(a) | 2.380% | 07/01/2019 | 07/01/2019 | 300,000,000 | 300,000,000 | |||||
Svenska Handelsbanken AB(a) | 2.330% | 07/01/2019 | 07/01/2019 | 294,165,000 | 294,165,000 | |||||
TOTAL OTHER NOTES | 3,073,726,906 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—6.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Government National Mortgage Associations, 4.000% – 4.500% due 04/20/2047 – 10/20/2048, valued at $80,580,000); expected proceeds $79,016,458 | 2.500% | 07/01/2019 | 07/01/2019 | 79,000,000 | 79,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 4.500% due 11/01/2048, and Government National Mortgage Associations, 3.000% – 4.500% due 05/15/2040 – 08/15/2047, valued at $154,052,088); expected proceeds $151,031,458 | 2.500% | 07/01/2019 | 07/01/2019 | 151,000,000 | 151,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporations, 0.000% – 7.000% due 02/15/2022 – 08/15/2034, Federal Home Loan Mortgage Corporation Strip, 5.500% due 08/01/2035, Federal National Mortgage Associations, 0.000% – 6.000% due 11/25/2027 – 06/25/2040, Federal National Mortgage Associations Strips, 0.000% – 7.000% due 09/25/2023 – 05/01/2044, and U.S. Treasury Notes, 2.000% – 2.235% due 10/31/2019 – 05/15/2022, valued at $51,335,749); expected proceeds $50,010,458 | 2.510% | 07/01/2019 | 07/01/2019 | 50,000,000 | 50,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Government National Mortgage Association, 0.403% due 12/16/2039, a U.S. Treasury Bond, 7.625% due 02/15/2025, a U.S. Treasury Inflation Index Note, 0.250% due 01/15/2025, and U.S. Treasury Notes, 2.000% – 2.750% due 01/31/2025 – 02/28/2025, valued at $48,960,878); expected proceeds $48,010,000 | 2.500% | 07/01/2019 | 07/01/2019 | $48,000,000 | $48,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 06/01/2049, and a Government National Mortgage Association, 4.000% due 11/20/2048, valued at $94,860,001); expected proceeds $93,019,530 | 2.520% | 07/01/2019 | 07/01/2019 | 93,000,000 | 93,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 09/01/2047, and Federal National Mortgage Associations, 2.000% – 4.500% due 02/01/2032 – 02/01/2049, valued at $29,580,000); expected proceeds $29,006,090 | 2.520% | 07/01/2019 | 07/01/2019 | 29,000,000 | 29,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.564% – 4.785% due 10/01/2026 – 11/01/2045, and Federal National Mortgage Associations, 3.000% – 5.500% due 06/01/2033 – 07/01/2049, valued at $117,300,000); expected proceeds $115,024,438 | 2.550% | 07/01/2019 | 07/01/2019 | 115,000,000 | 115,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Government National Mortgage Associations, 2.500% – 6.000% due 02/20/2023 – 01/15/2060, valued at $479,400,000); expected proceeds $470,099,483 | 2.540% | 07/01/2019 | 07/01/2019 | 470,000,000 | 470,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 1,035,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—5.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Bond, 2.000% due 01/15/2026, and a U.S. Treasury Note, 2.000% due 12/31/2021, valued at $102,000,021); expected proceeds $100,019,583 | 2.350% | 07/01/2019 | 07/01/2019 | 100,000,000 | 100,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 07/16/2019, valued at $20,400,068); expected proceeds $20,004,183 | 2.510% | 07/01/2019 | 07/01/2019 | 20,000,000 | 20,000,000 | |||||
Agreement with Fixed Income Clearing Corp., and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, a U.S. Treasury Bond, 2.750% due 11/15/2047, and U.S. Treasury Notes, 1.250% – 2.500% due 02/28/2021 – 03/31/2024, valued at $510,000,002); expected proceeds $500,104,167 | 2.500% | 07/01/2019 | 07/01/2019 | 500,000,000 | 500,000,000 | |||||
Agreement with Fixed Income Clearing Corp., and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, valued at $102,000,091); expected proceeds $100,020,000 | 2.400% | 07/01/2019 | 07/01/2019 | 100,000,000 | 100,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 07/18/2019, a U.S. Treasury Inflation Index Note, 0.875% due 01/15/2029, a U.S. Treasury Note, 2.750% due 07/31/2023, and a U.S. Treasury Strip, 0.000% due 05/15/2026, valued at $40,800,005); expected proceeds $40,008,333 | 2.500% | 07/01/2019 | 07/01/2019 | $40,000,000 | $40,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Note, 1.750% due 11/30/2021, valued at $122,400,057); expected proceeds $120,025,300 | 2.530% | 07/01/2019 | 07/01/2019 | 120,000,000 | 120,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, and U.S. Treasury Notes, 1.000% – 2.875% due 10/15/2019 – 11/15/2024, valued at $51,000,017); expected proceeds $50,010,417 | 2.500% | 07/01/2019 | 07/01/2019 | 50,000,000 | 50,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 930,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—8.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/14/2019 (collateralized by various Corporate Bonds, 0.000% – 6.380% due 02/06/2020 – 10/15/2075, valued at $89,250,000); expected proceeds $85,607,750(c) | 2.860% | 07/01/2019 | 09/12/2019 | 85,000,000 | 85,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by various Corporate Bonds, 2.600% – 8.250% due 01/15/2020 – 06/15/2049, valued at $106,554,961); expected proceeds $100,020,917 | 2.510% | 07/01/2019 | 07/01/2019 | 100,000,000 | 100,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/26/2019 (collateralized by various Common Stocks, valued at $189,029,610); expected proceeds $176,233,750(c) | 2.810% | 07/01/2019 | 09/24/2019 | 175,000,000 | 175,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by various Common Stocks, valued at $356,400,000); expected proceeds $330,069,025 | 2.510% | 07/01/2019 | 07/01/2019 | 330,000,000 | 330,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/21/2019 (collateralized by a U.S. Treasury Inflation Index Note, 1.250% due 07/15/2020, and various Corporate Bonds, 0.000% – 9.625% due 07/19/2019 – 01/01/2999, valued at $113,296,422); expected proceeds $100,702,500(c) | 2.810% | 07/01/2019 | 09/19/2019 | 100,000,000 | 100,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by various Corporate Bonds, 0.000% – 6.380% due 04/28/2025 – 02/17/2061, valued at $210,003,916); expected proceeds $201,380,000(c) | 2.760% | 07/01/2019 | 09/26/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by a Federal Farm Credit Bank, 0.000% due 05/20/2020, a U.S. Treasury Bill, 0.000% due 07/05/2019, U.S. Treasury Inflation Index Bonds, 1.000% – 2.375% due 01/15/2025 – 02/15/2049, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, a U.S. Treasury Strip, 0.000% due 05/15/2029, and various Corporate Bonds, 2.890% – 7.875% due 02/19/2021 – 06/22/2047, valued at $55,925,760); expected proceeds $50,050,332(c) | 2.589% | 07/08/2019 | 07/08/2019 | 50,000,000 | 50,000,000 |
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 06/24/2019 (collateralized by various Corporate Bonds, 0.875% – 2.125% due 08/15/2019 – 06/19/2023, valued at $102,050,660); expected proceeds $100,049,000 | 2.520% | 07/01/2019 | 07/01/2019 | $100,000,000 | $100,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by various Corporate Bonds, 0.000% – 7.625% due 07/15/2019 – 10/25/2042, valued at $256,865,376); expected proceeds $250,051,250 | 2.460% | 07/01/2019 | 07/01/2019 | 250,000,000 | 250,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 1,390,000,000 | |||||||||
TOTAL INVESTMENTS –99.8%(d) (Cost $15,630,023,494) | 15,632,683,705 | |||||||||
Other Assets in Excess of Liabilities —0.2% | 25,279,889 | |||||||||
NET ASSETS –100.0% | $15,657,963,594 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. 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 $610,000,000 or 3.9% of net assets as of June 30, 2019. |
(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 | $— | $1,098,075,683 | $— | $1,098,075,683 | ||||
Certificates of Deposit | — | 4,939,254,737 | — | 4,939,254,737 | ||||
Financial Company Commercial Paper | — | 3,166,626,379 | — | 3,166,626,379 | ||||
Other Notes | — | 3,073,726,906 | — | 3,073,726,906 | ||||
Government Agency Repurchase Agreements | — | 1,035,000,000 | — | 1,035,000,000 | ||||
Treasury Repurchase Agreements | — | 930,000,000 | — | 930,000,000 | ||||
Other Repurchase Agreements | — | 1,390,000,000 | — | 1,390,000,000 | ||||
Total Investments | $— | $15,632,683,705 | $— | $15,632,683,705 |
ASSETS | |
Investments in unaffiliated issuers, at value | $12,277,683,705 |
Repurchase agreements, at value | 3,355,000,000 |
Total Investments | 15,632,683,705 |
Cash | 5,403 |
Interest receivable — unaffiliated issuers | 26,098,507 |
TOTAL ASSETS | 15,658,787,615 |
LIABILITIES | |
Advisory and administrator fee payable | 591,437 |
Custody, sub-administration and transfer agent fees payable | 170,296 |
Trustees’ fees and expenses payable | 200 |
Professional fees payable | 32,891 |
Printing fees payable | 1,473 |
Accrued expenses and other liabilities | 27,724 |
TOTAL LIABILITIES | 824,021 |
NET ASSETS | $15,657,963,594 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $12,275,023,494 |
Repurchase agreements | 3,355,000,000 |
Total cost of investments | $15,630,023,494 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $189,343,566 |
EXPENSES | |
Advisory and administrator fee | 3,592,975 |
Custodian, sub-administrator and transfer agent fees | 940,678 |
Trustees’ fees and expenses | 156,501 |
Professional fees and expenses | 82,658 |
Printing and postage fees | 919 |
Insurance expense | 2,977 |
Miscellaneous expenses | 6,236 |
TOTAL EXPENSES | 4,782,944 |
NET INVESTMENT INCOME (LOSS) | $184,560,622 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 41,957 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 2,794,457 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,836,414 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $187,397,036 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $184,560,622 | $247,714,372 | |
Net realized gain (loss) | 41,957 | 99,189 | |
Net change in unrealized appreciation/depreciation | 2,794,457 | 11,343 | |
Net increase (decrease) in net assets resulting from operations | 187,397,036 | 247,824,904 | |
CAPITAL TRANSACTIONS | |||
Contributions | 13,667,238,042 | 38,864,723,746 | |
Withdrawals | (9,393,056,151) | (37,857,969,929) | |
Net increase (decrease) in net assets from capital transactions | 4,274,181,891 | 1,006,753,817 | |
Net increase (decrease) in net assets during the period | 4,461,578,927 | 1,254,578,721 | |
Net assets at beginning of period | 11,196,384,667 | 9,941,805,946 | |
NET ASSETS AT END OF PERIOD | $15,657,963,594 | $11,196,384,667 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Total return (a) | 1.31% | 2.06% | 0.96% | 0.51% | 0.17% | 0.13% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $15,657,964 | $11,196,385 | $9,941,806 | $8,272,653 | $47,683,856 | $40,704,468 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 2.57%(b) | 2.05% | 1.11% | 0.49% | 0.17% | 0.13% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $15,630,023,494 | $2,849,705 | $189,494 | $2,660,211 |
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% | $1,013.10 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
○ | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
State Street Institutional U.S. Government Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $47,798,589,198 |
Receivable for fund shares sold | 3,792,353 |
Receivable from Adviser | 4,086 |
TOTAL ASSETS | 47,802,385,637 |
LIABILITIES | |
Payable for fund shares repurchased | 2,151,575 |
Advisory fee payable | 34 |
Administration fees payable | 1,696,635 |
Shareholder servicing fee payable | 490,448 |
Distribution fees payable | 109,253 |
Transfer agent fees payable | 9,931 |
Distribution payable | 16,460,233 |
Registration and filing fees payable | 963,007 |
Professional fees payable | 12,393 |
Printing fees payable | 11,108 |
Accrued expenses and other liabilities | 205,556 |
TOTAL LIABILITIES | 22,110,173 |
NET ASSETS | $47,780,275,464 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $47,780,244,394 |
Total distributable earnings (loss) | 31,070 |
NET ASSETS | $47,780,275,464 |
Administration Class | |
Net Assets | $1,979,345,887 |
Shares Outstanding | 1,979,477,733 |
Net asset value, offering and redemption price per share | $1.00 |
Institutional Class | |
Net Assets | $980,157,742 |
Shares Outstanding | 980,157,135 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $404,959,030 |
Shares Outstanding | 404,966,084 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $1,440,406,939 |
Shares Outstanding | 1,440,408,781 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $39,560,879,535 |
Shares Outstanding | 39,561,144,626 |
Net asset value, offering and redemption price per share | $1.00 |
Class G | |
Net Assets | $3,414,526,331 |
Shares Outstanding | 3,414,544,379 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $556,141,118 |
Expenses allocated from affiliated Portfolio | (14,814,775) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 541,326,343 |
EXPENSES | |
Administration fees | |
Administration Class | 456,989 |
Institutional Class | 175,606 |
Investment Class | 104,904 |
Investor Class | 333,691 |
Premier Class | 9,552,517 |
Class G | 141,933 |
Shareholder servicing fees | |
Administration Class | 1,827,957 |
Institutional Class | 105,363 |
Investment Class | 524,522 |
Investor Class | 533,906 |
Distribution fees | |
Administration Class | 456,989 |
Investment Class | 209,809 |
Custodian fees | 96,514 |
Trustees’ fees and expenses | 9,034 |
Transfer agent fees | 43,215 |
Registration and filing fees | 56,760 |
Professional fees and expenses | 19,714 |
Printing and postage fees | 52,115 |
Insurance expense | 148,168 |
Miscellaneous expenses | 163,838 |
TOTAL EXPENSES | 15,013,544 |
NET INVESTMENT INCOME (LOSS) | $526,312,799 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 47,332 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $526,360,131 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $526,312,799 | $839,026,742 | |
Net realized gain (loss) | 47,332 | 20,493 | |
Net increase (decrease) in net assets resulting from operations | 526,360,131 | 839,047,235 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (19,055,112) | (28,998,475) | |
Institutional Class | (8,092,300) | (2,300,785) | |
Investment Class | (4,170,813) | (6,662,497) | |
Investor Class | (15,036,329) | (20,723,110) | |
Premier Class | (446,285,868) | (708,700,364) | |
Class G | (33,672,377) | (60,072,493) | |
Class M(b) | — | (11,595,054) | |
Total distributions to shareholders | (526,312,799) | (839,052,778) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 12,441,616,717 | 27,627,501,125 | |
Reinvestment of distributions | 6,707,862 | 9,687,462 | |
Shares redeemed | (12,155,085,653) | (27,860,753,519) | |
Net increase (decrease) from capital share transactions | 293,238,926 | (223,564,932) | |
Institutional Class | |||
Shares sold | 5,812,319,587 | 3,275,238,137 | |
Reinvestment of distributions | 279,638 | 990 | |
Shares redeemed | (5,472,175,011) | (2,635,506,206) | |
Net increase (decrease) from capital share transactions | 340,424,214 | 639,732,921 | |
Investment Class | |||
Shares sold | 1,127,000,520 | 1,992,798,373 | |
Reinvestment of distributions | 424,325 | 634,854 | |
Shares redeemed | (1,102,551,492) | (2,045,835,395) | |
Net increase (decrease) from capital share transactions | 24,873,353 | (52,402,168) | |
Investor Class | |||
Shares sold | 5,675,378,730 | 5,437,824,232 | |
Reinvestment of distributions | 5,711,893 | 8,244,393 | |
Shares redeemed | (6,115,781,636) | (4,816,176,114) | |
Net increase (decrease) from capital share transactions | (434,691,013) | 629,892,511 | |
Premier Class | |||
Shares sold | 333,512,303,594 | 417,552,603,900 | |
Reinvestment of distributions | 378,247,934 | 595,511,561 | |
Shares redeemed | (327,269,639,030) | (424,129,684,801) | |
Net increase (decrease) from capital share transactions | 6,620,912,498 | (5,981,569,340) | |
Class G | |||
Shares sold | 18,296,148,040 | 19,289,084,679 | |
Reinvestment of distributions | 33,673,466 | 60,074,427 | |
Shares redeemed | (17,981,132,020) | (20,633,167,734) | |
Net increase (decrease) from capital share transactions | 348,689,486 | (1,284,008,628) | |
Class M(b) | |||
Shares sold | — | 5,960,061,317 | |
Reinvestment of distributions | — | 10,544,078 | |
Shares redeemed | — | (7,061,984,937) | |
Net increase (decrease) from capital share transactions | — | (1,091,379,542) | |
Net increase (decrease) in net assets from beneficial interest transactions | 7,193,447,464 | (7,363,299,178) | |
Net increase (decrease) in net assets during the period | 7,193,494,796 | (7,363,304,721) | |
Net assets at beginning of period | 40,586,780,668 | 47,950,085,389 | |
NET ASSETS AT END OF PERIOD | $47,780,275,464 | $40,586,780,668 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 12,441,616,717 | 27,627,501,125 | |
Reinvestment of distributions | 6,707,862 | 9,687,462 | |
Shares redeemed | (12,155,085,653) | (27,860,753,519) | |
Net increase (decrease) from share transactions | 293,238,926 | (223,564,932) |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
Institutional Class | |||
Shares sold | 5,812,319,587 | $3,275,238,137 | |
Reinvestment of distributions | 279,638 | 990 | |
Shares redeemed | (5,472,175,011) | (2,635,506,206) | |
Net increase (decrease) from share transactions | 340,424,214 | 639,732,921 | |
Investment Class | |||
Shares sold | 1,127,000,520 | 1,992,798,372 | |
Reinvestment of distributions | 424,325 | 634,854 | |
Shares redeemed | (1,102,551,492) | (2,045,835,394) | |
Net increase (decrease) from share transactions | 24,873,353 | (52,402,168) | |
Investor Class | |||
Shares sold | 5,675,378,730 | 5,437,824,232 | |
Reinvestment of distributions | 5,711,893 | 8,244,393 | |
Shares redeemed | (6,115,781,636) | (4,816,176,114) | |
Net increase (decrease) from share transactions | (434,691,013) | 629,892,511 | |
Premier Class | |||
Shares sold | 333,512,303,594 | 417,552,603,900 | |
Reinvestment of distributions | 378,247,934 | 595,511,561 | |
Shares redeemed | (327,269,639,030) | (424,129,684,801) | |
Net increase (decrease) from share transactions | 6,620,912,498 | (5,981,569,340) | |
Class G | |||
Shares sold | 18,296,148,040 | 19,289,084,679 | |
Reinvestment of distributions | 33,673,466 | 60,074,427 | |
Shares redeemed | (17,981,132,020) | (20,633,167,734) | |
Net increase (decrease) from share transactions | 348,689,486 | (1,284,008,628) | |
Class M(b) | |||
Shares sold | — | 5,960,061,317 | |
Reinvestment of distributions | — | 10,544,078 | |
Shares redeemed | — | (7,061,984,937) | |
Net increase (decrease) from share transactions | — | (1,091,379,542) |
(a) | For Institutional Class shares, data is for the period January 18, 2018 (inception date) through December 31, 2018. |
(b) | Class M Shares liquidated on September 28, 2018. |
Administration Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0103 | 0.0150 | 0.0054 | 0.0001 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0103 | 0.0150 | 0.0054 | 0.0001 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0103) | (0.0150) | (0.0054) | (0.0001) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0103) | (0.0150) | (0.0054) | (0.0001) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.04% | 1.51% | 0.54% | 0.01% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,979,346 | $1,686,105 | $1,909,670 | $3,423,655 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.37%(d) | 0.37% | 0.37% | 0.37%(d) | |||
Net investment income (loss) | 2.09%(d) | 1.47% | 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 affiliated 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. |
Institutional Class(a) | |||
Six Months Ended 6/30/19 (Unaudited) | For the Period 1/18/18* 12/31/18 | ||
Net asset value, beginning of period | $1.0000 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0114 | 0.0170 | |
Net realized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0114 | 0.0170 | |
Distributions to shareholders from: | |||
Net investment income | (0.0114) | (0.0170) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.15% | 1.67% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $980,158 | $639,733 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.15%(d) | |
Net investment income (loss) | 2.31%(d) | 1.71%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Investment Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0098 | 0.0140 | 0.0044 | 0.0000(b) | 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 | 0.0098 | 0.0140 | 0.0044 | 0.0000(b) | 0.0000(b) | (0.0000)(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0098) | (0.0140) | (0.0044) | (0.0000)(b) | — | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | — | |||||
Total distributions | (0.0098) | (0.0140) | (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) | 0.99% | 1.40% | 0.44% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $404,959 | $380,085 | $432,488 | $903,050 | $971,551 | $615,706 | |||||
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% | 0.47% | 0.37% | 0.10% | 0.07% | |||||
Net investment income (loss) | 1.99%(f) | 1.42% | 0.40% | 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 affiliated 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. |
Investor Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0112 | 0.0170 | 0.0071 | 0.0014 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0112 | 0.0170 | 0.0071 | 0.0014 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0112) | (0.0170) | (0.0071) | (0.0014) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0112) | (0.0170) | (0.0071) | (0.0014) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.12% | 1.68% | 0.71% | 0.14% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,440,407 | $1,875,096 | $1,245,204 | $230,156 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 2.26%(d) | 1.68% | 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 affiliated 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. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0116 | 0.0170 | 0.0079 | 0.0025 | 0.0000(b)(c) | (0.0000)(b)(c) | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | 0.0000(b) | — | |||||
Total from investment operations | 0.0116 | 0.0170 | 0.0079 | 0.0025 | 0.0000(b) | (0.0000)(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0116) | (0.0170) | (0.0079) | (0.0025) | (0.0000)(b) | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | — | |||||
Total distributions | (0.0116) | (0.0170) | (0.0079) | (0.0025) | (0.0000)(b) | — | |||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||||
Total return (d) | 1.16% | 1.76% | 0.79% | 0.25% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $39,560,880 | $32,939,927 | $38,921,503 | $43,302,733 | $13,516,264 | $10,962,800 | |||||
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% | 0.12% | 0.09% | 0.07% | |||||
Net investment income (loss) | 2.34%(f) | 1.74% | 0.78% | 0.27% | 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 affiliated 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. |
Class G(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0118 | 0.0180 | 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 | 0.0118 | 0.0180 | 0.0083 | 0.0029 | 0.0002 | 0.0000(c) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0118) | (0.0180) | (0.0083) | (0.0029) | (0.0002) | (0.0000)(c) | |||||
Net realized gains | — | — | (0.0000)(c) | — | — | — | |||||
Total distributions | (0.0118) | (0.0180) | (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 | $1.0000 | |||||
Total return (d) | 1.18% | 1.80% | 0.83% | 0.29% | 0.02% | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,414,526 | $3,065,834 | $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% | 0.08% | 0.09%(f) | |||||
Net expenses | 0.08%(f) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%(f) | |||||
Net investment income (loss) | 2.37%(f) | 1.74% | 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 affiliated 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. |
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 | August 23, 2016 October 17, 2007 March 21, 2016 January 18, 2018 October 25, 2007 Not commenced October 5, 2014 | Diversified |
Actual | �� | Hypothetical (assuming a 5% return before expenses) | |||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional U.S. Government Money Market Fund | |||||||||
Administration Class | 0.37% | $1,010.40 | $1.84 | $1,023.00 | $1.86 | ||||
Institutional Class | 0.15 | 1,011.50 | 0.75 | 1,024.10 | 0.75 | ||||
Investment Class | 0.47 | 1,009.90 | 2.34 | 1,022.50 | 2.36 | ||||
Investor Class | 0.20 | 1,011.20 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,011.60 | 0.60 | 1,024.20 | 0.60 | ||||
Class G | 0.08 | 1,011.80 | 0.40 | 1,024.40 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street U.S. Government Money Market Portfolio |
1 | |
2 | |
10 | |
11 | |
12 | |
13 | |
14 | |
17 |
% of Net Assets | |||
Government Agency Debt | 37.2% | ||
Treasury Debt | 23.9 | ||
Government Agency Repurchase Agreements | 17.0 | ||
Treasury Repurchase Agreements | 16.1 | ||
Other Assets in Excess of Liabilities | 5.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 22.1% | ||
2 to 30 Days | 14.7 | ||
31 to 60 Days | 12.8 | ||
61 to 90 Days | 10.6 | ||
Over 90 Days | 34.0 | ||
Total | 94.2% | ||
Average days to maturity | 34 | ||
Weighted average life | 90 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—37.2% | ||||||||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.15%(a) | 2.237% | 07/18/2019 | 07/18/2019 | $136,150,000 | $136,149,344 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.10%(a) | 2.288% | 07/20/2019 | 09/20/2019 | 227,000,000 | 226,997,481 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.14%(a) | 2.300% | 07/02/2019 | 07/02/2019 | 168,000,000 | 167,999,977 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.07%(a) | 2.329% | 07/17/2019 | 12/17/2019 | 275,000,000 | 274,996,270 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.06%(a) | 2.352% | 07/10/2019 | 12/10/2019 | 325,000,000 | 324,999,712 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 2.354% | 07/25/2019 | 02/25/2020 | 150,000,000 | 149,991,413 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 2.359% | 07/25/2019 | 02/25/2020 | 240,000,000 | 239,971,813 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.04%(a) | 2.372% | 07/10/2019 | 02/10/2020 | 200,000,000 | 199,986,730 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.06%(a) | 2.380% | 07/03/2019 | 12/03/2019 | 350,000,000 | 349,995,541 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a) | 2.384% | 07/22/2019 | 05/22/2020 | 179,600,000 | 179,594,167 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a) | 2.397% | 07/10/2019 | 06/10/2020 | 290,800,000 | 290,786,292 | |||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.03%(a) | 2.450% | 06/29/2019 | 02/06/2020 | 115,000,000 | 115,000,000 | |||||
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.12%(a) | 2.462% | 07/27/2019 | 01/27/2020 | 25,000,000 | 25,003,979 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.18%(a) | 2.592% | 07/11/2019 | 10/11/2019 | 50,000,000 | 50,034,037 | |||||
Federal Home Loan Bank(b) | 2.164% | 09/25/2019 | 09/25/2019 | 500,000,000 | 497,415,222 | |||||
Federal Home Loan Bank, 3 Month USD LIBOR - 0.26%(a) | 2.263% | 08/15/2019 | 08/15/2019 | 300,000,000 | 299,955,980 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(a) | 2.269% | 07/16/2019 | 07/16/2019 | 340,200,000 | 340,200,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(a) | 2.277% | 07/26/2019 | 07/26/2019 | 99,800,000 | 99,800,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.13%(a) | 2.315% | 07/02/2019 | 08/02/2019 | 500,000,000 | 500,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.07%(a) | 2.325% | 07/19/2019 | 09/19/2019 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Bank(b) | 2.330% | 09/04/2019 | 09/04/2019 | 500,000,000 | 497,896,528 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 2.358% | 07/20/2019 | 04/20/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 2.362% | 07/26/2019 | 08/26/2019 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 2.369% | 07/25/2019 | 11/25/2019 | 175,900,000 | 175,900,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.06%(a) | 2.371% | 07/04/2019 | 12/04/2019 | 500,000,000 | 500,000,000 | |||||
Federal Home Loan Bank(b) | 2.372% | 08/16/2019 | 08/16/2019 | 150,000,000 | 149,545,367 | |||||
Federal Home Loan Bank(b) | 2.373% | 11/15/2019 | 11/15/2019 | 111,000,000 | 109,997,605 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 2.383% | 07/12/2019 | 11/12/2019 | 296,000,000 | 295,996,916 | |||||
Federal Home Loan Bank(b) | 2.388% | 08/09/2019 | 08/09/2019 | 200,000,000 | 199,482,600 | |||||
Federal Home Loan Bank(b) | 2.393% | 07/05/2019 | 07/05/2019 | 535,200,000 | 535,057,730 | |||||
Federal Home Loan Bank(b) | 2.393% | 10/09/2019 | 10/09/2019 | 75,000,000 | 74,501,458 | |||||
Federal Home Loan Bank(b) | 2.394% | 07/17/2019 | 07/17/2019 | 300,000,000 | 299,680,800 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.01%(a) | 2.394% | 07/29/2019 | 03/27/2020 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank(b) | 2.400% | 06/17/2020 | 06/17/2020 | 225,000,000 | 225,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 2.400% | 07/01/2019 | 08/30/2019 | 125,000,000 | 125,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.02%(a) | 2.401% | 07/06/2019 | 01/06/2020 | 324,400,000 | 324,400,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 2.405% | 07/01/2019 | 11/29/2019 | 230,000,000 | 230,000,000 | |||||
Federal Home Loan Bank(b) | 2.410% | 08/02/2019 | 08/02/2019 | 225,000,000 | 224,518,000 | |||||
Federal Home Loan Bank(b) | 2.414% | 10/30/2019 | 10/30/2019 | 82,200,000 | 81,533,052 | |||||
Federal Home Loan Bank(b) | 2.415% | 08/12/2019 | 08/12/2019 | 350,000,000 | 349,994,023 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate(a) | 2.420% | 06/29/2019 | 12/11/2019 | 400,000,000 | 400,000,000 | |||||
Federal Home Loan Bank(b) | 2.429% | 09/30/2019 | 09/30/2019 | 395,700,000 | 395,671,685 | |||||
Federal Home Loan Bank(b) | 2.430% | 07/22/2019 | 07/22/2019 | 185,400,000 | 185,137,196 | |||||
Federal Home Loan Bank(b) | 2.430% | 07/24/2019 | 07/24/2019 | 337,200,000 | 336,676,497 | |||||
Federal Home Loan Bank(b) | 2.430% | 07/26/2019 | 07/26/2019 | 336,600,000 | 336,031,988 | |||||
Federal Home Loan Bank(b) | 2.438% | 08/07/2019 | 08/07/2019 | 790,000,000 | 788,041,549 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a) | 2.440% | 06/29/2019 | 08/27/2019 | 347,100,000 | 347,100,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a) | 2.440% | 06/29/2019 | 02/21/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank, 3 Month USD LIBOR - 0.14%(a) | 2.444% | 08/22/2019 | 11/22/2019 | 450,000,000 | 450,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.03%(a) | 2.450% | 06/29/2019 | 12/06/2019 | 341,500,000 | 341,500,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.04%(a) | 2.455% | 06/29/2019 | 02/21/2020 | $267,500,000 | $267,500,000 | |||||
Federal Home Loan Bank(b) | 2.460% | 10/11/2019 | 10/11/2019 | 500,000,000 | 499,985,776 | |||||
Federal Home Loan Bank(b) | 2.465% | 10/11/2019 | 10/11/2019 | 250,000,000 | 249,989,390 | |||||
Federal Home Loan Bank(b) | 2.468% | 09/16/2019 | 09/16/2019 | 138,600,000 | 138,594,798 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.05%(a) | 2.470% | 06/29/2019 | 01/17/2020 | 54,700,000 | 54,700,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.07%(a) | 2.485% | 06/29/2019 | 11/15/2019 | 225,000,000 | 225,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.08%(a) | 2.495% | 06/29/2019 | 06/11/2021 | 145,000,000 | 145,000,000 | |||||
Federal Home Loan Bank(b) | 2.510% | 05/28/2020 | 05/28/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.160% | 11/13/2019 | 11/13/2019 | 183,000,000 | 181,517,700 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.390% | 10/01/2019 | 10/01/2019 | 252,500,000 | 250,957,786 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.423% | 07/17/2019 | 07/17/2019 | 443,000,000 | 442,522,938 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.440% | 06/09/2020 | 06/09/2020 | 215,000,000 | 215,000,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.453% | 09/09/2019 | 09/09/2019 | 139,100,000 | 138,436,532 | |||||
Federal Home Loan Mortgage Corp.(b) | 2.540% | 04/22/2020 | 04/22/2020 | 175,000,000 | 175,000,000 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.07%(a) | 2.490% | 06/29/2019 | 10/30/2019 | 435,500,000 | 435,568,821 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.08%(a) | 2.495% | 06/29/2019 | 10/30/2020 | 181,100,000 | 181,100,000 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.10%(a) | 2.520% | 06/29/2019 | 04/30/2020 | 50,000,000 | 50,000,000 | |||||
Federal National Mortgage Assoc.(b) | 2.661% | 08/02/2019 | 08/02/2019 | 400,000,000 | 399,382,338 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 17,997,797,031 | |||||||||
TREASURY DEBT—23.9% | ||||||||||
U.S. Treasury Bill(b) | 2.030% | 12/26/2019 | 12/26/2019 | 500,000,000 | 494,981,389 | |||||
U.S. Treasury Bill(b) | 2.133% | 12/19/2019 | 12/19/2019 | 200,000,000 | 197,974,125 | |||||
U.S. Treasury Bill(b) | 2.140% | 12/12/2019 | 12/12/2019 | 477,900,000 | 473,241,006 | |||||
U.S. Treasury Bill(b) | 2.355% | 11/14/2019 | 11/14/2019 | 200,010,000 | 198,230,059 | |||||
U.S. Treasury Bill(b) | 2.373% | 08/15/2019 | 08/15/2019 | 400,000,000 | 398,816,308 | |||||
U.S. Treasury Bill(b) | 2.380% | 10/03/2019 | 10/03/2019 | 200,000,000 | 198,757,111 | |||||
U.S. Treasury Bill(b) | 2.385% | 11/07/2019 | 11/07/2019 | 300,000,000 | 297,436,420 | |||||
U.S. Treasury Bill(b) | 2.390% | 10/17/2019 | 10/17/2019 | 300,000,000 | 297,849,000 | |||||
U.S. Treasury Bill(b) | 2.393% | 10/10/2019 | 10/10/2019 | 683,600,000 | 679,009,187 | |||||
U.S. Treasury Bill(b) | 2.415% | 09/26/2019 | 09/26/2019 | 300,000,000 | 298,249,125 | |||||
U.S. Treasury Bill(b) | 2.440% | 08/08/2019 | 08/08/2019 | 175,000,000 | 174,549,278 | |||||
U.S. Treasury Bill(b) | 2.445% | 09/19/2019 | 09/19/2019 | 700,000,000 | 696,191,811 | |||||
U.S. Treasury Bill(b) | 2.450% | 08/01/2019 | 08/01/2019 | 195,000,000 | 194,588,604 | |||||
U.S. Treasury Bill(b) | 2.453% | 09/12/2019 | 09/12/2019 | 850,000,000 | 845,769,458 | |||||
U.S. Treasury Bill(b) | 2.455% | 09/05/2019 | 09/05/2019 | 800,000,000 | 796,397,525 | |||||
U.S. Treasury Bill(b) | 2.805% | 07/02/2019 | 07/02/2019 | 199,500,000 | 199,484,455 | |||||
U.S. Treasury Note, 3 Month USD MMY(a) | 2.096% | 06/29/2019 | 01/31/2020 | 541,400,000 | 541,355,159 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(a) | 2.129% | 06/29/2019 | 04/30/2020 | 1,338,922,000 | 1,338,878,460 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(a) | 2.139% | 06/29/2019 | 07/31/2020 | 89,400,000 | 89,345,148 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(a) | 2.141% | 06/29/2019 | 10/31/2020 | 124,100,000 | 124,005,647 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(a) | 2.144% | 06/29/2019 | 10/31/2019 | 530,000,000 | 530,061,914 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(a) | 2.156% | 06/29/2019 | 07/31/2019 | 1,168,400,000 | 1,168,461,796 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(a) | 2.235% | 06/29/2019 | 04/30/2021 | 700,000,000 | 699,076,838 | |||||
U.S. Treasury Note(b) | 2.469% | 07/31/2019 | 07/31/2019 | 120,000,000 | 119,892,039 | |||||
U.S. Treasury Note(b) | 2.609% | 07/31/2019 | 07/31/2019 | 499,100,000 | 498,420,056 | |||||
TOTAL TREASURY DEBT | 11,551,021,918 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—17.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Government National Mortgage Association, 4.000% due 06/20/2047, valued at $154,020,001); expected proceeds $151,031,458 | 2.500% | 07/01/2019 | 07/01/2019 | $151,000,000 | $151,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.000% due 06/01/2043 – 06/01/2049, and Federal National Mortgage Associations, 3.500% – 5.000% due 12/01/2023 – 06/01/2049, valued at $906,968,913); expected proceeds $889,185,208 | 2.500% | 07/01/2019 | 07/01/2019 | 889,000,000 | 889,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.894% – 6.500% due 12/01/2023 – 04/01/2049, Federal Home Loan Mortgage Corporation Strips, 2.852% – 6.500% due 06/01/2031 – 02/15/2038, Federal National Mortgage Associations, 1.775% – 6.000% due 09/01/2020 – 06/25/2059, a Federal National Mortgage Association Strip, 5.500% due 03/01/2042, Government National Mortgage Associations, 1.517% – 6.000% due 05/15/2025 – 06/20/2049, a U.S. Treasury Bill, 0.000% due 07/18/2019, a U.S. Treasury Bond, 4.375% due 05/15/2041, and a U.S. Treasury Strip, 0.000% due 08/15/2036, valued at $133,116,274); expected proceeds $129,026,875 | 2.500% | 07/01/2019 | 07/01/2019 | 129,000,000 | 129,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by a Government National Mortgage Association, 4.500% due 09/20/2048, a U.S. Treasury Bond, 3.000% due 05/15/2047, U.S. Treasury Inflation Index Notes, 0.375% – 0.750% due 04/15/2023 – 07/15/2028, and U.S. Treasury Notes, 2.125% due 05/15/2022 – 12/31/2022, valued at $372,300,050); expected proceeds $366,466,083 | 2.410% | 07/05/2019 | 07/08/2019 | 365,000,000 | 365,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.500% due 03/01/2030 – 05/01/2049, Federal National Mortgage Associations, 3.500% – 4.500% due 05/01/2034 – 04/01/2049, and a Government National Mortgage Association, 4.500% due 09/20/2048, valued at $204,000,000); expected proceeds $200,042,000 | 2.520% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 3.500% due 05/01/2049, and a Federal National Mortgage Association, 2.500% due 06/01/2032, valued at $99,960,001); expected proceeds $98,020,498 | 2.510% | 07/01/2019 | 07/01/2019 | 98,000,000 | 98,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Government National Mortgage Association, 0.403% due 12/16/2039, Resolution Funding Strips, 0.000% – 8.875% due 07/15/2020 – 04/15/2030, U.S. Treasury Inflation Index Notes, 0.500% – 0.625% due 01/15/2024 – 04/15/2024, U.S. Treasury Notes, 2.000% – 2.750% due 01/31/2024 – 04/30/2024, and U.S. Treasury Strips, 0.000% due 08/15/2019 – 11/15/2019, valued at $184,620,128); expected proceeds $181,037,708 | 2.500% | 07/01/2019 | 07/01/2019 | 181,000,000 | 181,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 24.935% due 10/15/2020 – 05/15/2053, Federal Home Loan Mortgage Corporation Strips, 1.567% - 4.500% due 09/15/2040 - 12/15/2042, Federal National Mortgage Associations, 0.000% – 18.413% due 12/25/2019 – 09/25/2057, Federal National Mortgage Associations Strips, 0.000% – 10.000% due 03/01/2020 – 07/01/2042, Government National Mortgage Associations, 0.000% – 56.123% due 04/20/2034 – 09/20/2068, U.S. Treasury Notes, 2.000% – 2.096% due 01/31/2020 – 07/31/2020, and U.S. Treasury Strips, 0.000% due 08/15/2026 – 11/15/2028, valued at $1,028,917,982); expected proceeds $1,000,476,389 | 2.450% | 07/05/2019 | 07/05/2019 | $1,000,000,000 | $1,000,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/27/2019 (collateralized by Federal Home Loan Mortgage Corporations, 1.820% – 4.060% due 05/25/2023 – 11/25/2051, Federal National Mortgage Associations, 0.000% – 4.617% due 12/25/2027 – 12/25/2057, and Government National Mortgage Associations, 2.000% – 5.000% due 01/16/2027 – 09/16/2059, valued at $612,000,000); expected proceeds $600,252,000 | 2.520% | 07/03/2019 | 07/03/2019 | 600,000,000 | 600,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 3.926% due 09/25/2021 – 09/15/2043, a Federal Home Loan Mortgage Corporation Strip, 2.894% due 01/15/2043, Federal National Mortgage Associations, 2.704% – 5.349% due 06/25/2025 – 12/25/2048, and Government National Mortgage Associations, 3.000% due 12/20/2047 – 04/20/2049, valued at $212,160,000); expected proceeds $208,043,680 | 2.520% | 07/01/2019 | 07/01/2019 | 208,000,000 | 208,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal National Mortgage Associations, 3.500% – 5.500% due 10/01/2023 – 12/01/2048, valued at $97,920,000); expected proceeds $96,020,160 | 2.520% | 07/01/2019 | 07/01/2019 | 96,000,000 | 96,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 5.000% due 10/01/2033, and Federal National Mortgage Associations, 3.500% – 6.000% due 11/01/2030 – 06/01/2052, valued at $350,880,000); expected proceeds $344,073,100 | 2.550% | 07/01/2019 | 07/01/2019 | 344,000,000 | 344,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Government National Mortgage Association, 3.887% due 06/20/2040, valued at $144,840,000); expected proceeds $142,030,057 | 2.540% | 07/01/2019 | 07/01/2019 | 142,000,000 | 142,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2019 (collateralized by Federal Home Loan Mortgage Corporations, 1.932% – 5.000% due 10/01/2025 – 07/01/2049, and Federal National Mortgage Associations, 2.480% – 5.500% due 09/01/2027 – 07/01/2049, valued at $255,354,025); expected proceeds $251,454,444(c) | 2.380% | 09/06/2019 | 09/06/2019 | 250,000,000 | 250,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.500% due 06/01/2033 – 07/01/2049, Federal National Mortgage Associations, 2.500% – 4.500% due 07/01/2026 – 06/01/2049, and Government National Mortgage Associations, 2.500% – 8.500% due 06/20/2022 – 06/20/2049, valued at $1,020,000,000); expected proceeds $1,000,210,000 | 2.520% | 07/01/2019 | 07/01/2019 | $1,000,000,000 | $1,000,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal National Mortgage Association, 4.500% due 09/01/2041, Government National Mortgage Associations, 3.500% – 4.500% due 03/20/2041 – 09/20/2048, U.S. Treasury Bonds, 2.875% – 3.000% due 08/15/2045 – 11/15/2045, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2021, and U.S. Treasury Notes, 2.000% – 2.875% due 01/31/2021 – 12/31/2023, valued at $275,400,041); expected proceeds $270,056,700 | 2.520% | 07/01/2019 | 07/01/2019 | 270,000,000 | 270,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/26/2019 (collateralized by a Federal Home Loan Bank, 1.500% due 07/03/2019, Federal Home Loan Mortgage Corporations, 1.550% – 5.504% due 09/30/2021 – 04/01/2049, Federal National Mortgage Associations, 1.750% – 4.500% due 09/12/2019 – 05/01/2058, Government National Mortgage Associations, 3.000% – 4.500% due 11/20/2027 – 04/20/2049, and Resolution Funding Strips, 0.000% due 01/15/2026 – 10/15/2029, valued at $510,000,567); expected proceeds $500,247,917 | 2.550% | 07/03/2019 | 07/03/2019 | 500,000,000 | 500,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.844% – 4.500% due 05/15/2022 – 09/01/2048, Federal National Mortgage Associations, 2.500% – 5.500% due 06/25/2022 – 04/01/2049, Government National Mortgage Associations, 2.683% – 2.694% due 01/20/2034 – 08/16/2034, and a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, valued at $321,300,544); expected proceeds $315,065,625 | 2.500% | 07/01/2019 | 07/01/2019 | 315,000,000 | 315,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 2.750% due 06/19/2023, a Federal National Mortgage Association, 2.375% due 01/19/2023, Tennessee Valley Authorities, 0.000% – 7.125% due 05/01/2030 – 09/15/2065, and a U.S. Treasury Inflation Index Note, 1.875% due 07/15/2019, valued at $132,600,233); expected proceeds $130,027,300 | 2.520% | 07/01/2019 | 07/01/2019 | 130,000,000 | 130,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.500% due 10/01/2033 – 04/01/2049, and Federal National Mortgage Associations, 2.000% – 5.000% due 01/01/2032 – 06/01/2049, valued at $1,383,410,455); expected proceeds $1,356,284,760 | 2.520% | 07/01/2019 | 07/01/2019 | 1,356,000,000 | 1,356,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 8,224,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY REPURCHASE AGREEMENTS—16.1% | ||||||||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, and U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 01/15/2023 – 07/15/2026, valued at $408,000,006); expected proceeds $400,083,333 | 2.500% | 07/01/2019 | 07/01/2019 | $400,000,000 | $400,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.250% due 07/15/2024 – 01/15/2025, and U.S. Treasury Notes, 2.000% – 2.750% due 06/30/2024 – 02/28/2025, valued at $510,002,110); expected proceeds $500,237,222 | 2.440% | 07/05/2019 | 07/05/2019 | 500,000,000 | 500,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/06/2019 (collateralized by U.S. Treasury Notes, 1.750% – 2.375% due 11/30/2020 – 05/15/2027, valued at $341,700,052); expected proceeds $335,708,711 | 2.380% | 07/05/2019 | 07/05/2019 | 335,000,000 | 335,000,000 | |||||
Agreement with Fixed Income Clearing Corp., and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, and U.S. Treasury Inflation Index Notes, 0.375% – 0.875% due 04/15/2024 – 01/15/2029, valued at $1,836,000,008); expected proceeds $1,800,375,000 | 2.500% | 07/01/2019 | 07/01/2019 | 1,800,000,000 | 1,800,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 6.625% due 02/15/2027 – 08/15/2042, U.S. Treasury Notes, 1.500% – 1.750% due 09/30/2019 – 09/30/2022, and U.S. Treasury Strips, 0.000% due 11/15/2020 – 02/15/2027, valued at $816,000,064); expected proceeds $800,382,667 | 2.460% | 07/01/2019 | 07/01/2019 | 800,000,000 | 800,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/25/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2021 – 05/15/2028, valued at $255,000,000); expected proceeds $250,120,069 | 2.470% | 07/02/2019 | 07/02/2019 | 250,000,000 | 250,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 07/18/2019, a U.S. Treasury Inflation Index Note, 0.875% due 01/15/2029, and a U.S. Treasury Note, 3.500% due 05/15/2020, valued at $23,460,067); expected proceeds $23,004,792 | 2.500% | 07/01/2019 | 07/01/2019 | 23,000,000 | 23,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/30/2020, and U.S. Treasury Notes, 2.000% – 2.750% due 10/31/2021 – 07/31/2023, valued at $484,500,071); expected proceeds $478,879,167(c) | 2.450% | 07/01/2019 | 10/09/2019 | 475,000,000 | 475,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Note, 2.875% due 10/31/2023, valued at $204,000,040); expected proceeds $200,042,167 | 2.530% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, and U.S. Treasury Notes, 1.875% – 2.875% due 07/31/2021 – 11/15/2027, valued at $190,752,145); expected proceeds $186,066,114(c) | 2.530% | 07/01/2019 | 07/17/2019 | 185,000,000 | 185,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.750% due 07/15/2028, and U.S. Treasury Notes, 1.875% – 2.250% due 07/31/2021 – 11/15/2027, valued at $92,333,885); expected proceeds $90,594,550(c) | 2.530% | 07/01/2019 | 07/29/2019 | $90,000,000 | $90,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and a U.S. Treasury Note, 2.000% due 06/30/2024, valued at $40,808,523); expected proceeds $40,008,333 | 2.500% | 07/01/2019 | 07/01/2019 | 40,000,000 | 40,000,000 | |||||
Agreement with MUFG Securities, dated 06/27/2019 (collateralized by U.S. Treasury Bonds, 2.250% - 3.000% due 02/15/2045 – 05/15/2047, valued at $203,965,450); expected proceeds $200,113,333 | 2.550% | 07/05/2019 | 07/05/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $183,600,028); expected proceeds $181,190,400(c) | 2.480% | 08/13/2019 | 08/13/2019 | 180,000,000 | 180,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/12/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 3.375% due 11/15/2019, valued at $204,000,010); expected proceeds $201,214,167(c) | 2.350% | 09/13/2019 | 09/13/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 3.375% due 11/15/2019 – 11/15/2026, valued at $183,600,005); expected proceeds $181,067,200(c) | 2.320% | 09/24/2019 | 09/24/2019 | 180,000,000 | 180,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 2.875% - 3.125% due 05/15/2043 – 05/15/2048, valued at $136,710,258); expected proceeds $134,059,397 | 2.520% | 07/01/2019 | 07/01/2019 | 134,031,250 | 134,031,250 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2026 – 05/15/2029, valued at $104,874,925); expected proceeds $102,896,604 | 2.520% | 07/01/2019 | 07/01/2019 | 102,875,000 | 102,875,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 2.875% – 4.375% due 05/15/2039 – 11/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 04/15/2020 – 01/15/2028, and U.S. Treasury Notes, 1.125% – 2.875% due 03/31/2020 – 08/15/2025, valued at $1,106,700,081); expected proceeds $1,085,226,042 | 2.500% | 07/01/2019 | 07/01/2019 | 1,085,000,000 | 1,085,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 2.750% due 08/15/2047, and U.S. Treasury Notes, 2.375% – 2.625% due 07/31/2020 – 05/15/2024, valued at $102,000,060); expected proceeds $100,020,667 | 2.480% | 07/01/2019 | 07/01/2019 | 100,000,000 | 100,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 3.125% due 08/15/2044, and U.S. Treasury Notes, 2.000% – 2.500% due 08/31/2021 – 01/31/2025, valued at $181,560,069); expected proceeds $178,036,787 | 2.480% | 07/01/2019 | 07/01/2019 | $178,000,000 | $178,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/05/2019 – 01/30/2020, U.S. Treasury Bonds, 2.250% – 8.750% due 08/15/2019 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.750% – 2.500% due 01/15/2025 – 02/15/2047, U.S. Treasury Inflation Index Notes, 0.625% – 0.875% due 07/15/2021 – 01/15/2029, U.S. Treasury Notes, 0.875% – 3.625% due 07/31/2019 – 08/15/2028, and U.S. Treasury Strips, 0.000% due 05/15/2022 – 05/15/2029, valued at $153,000,046); expected proceeds $150,031,250 | 2.500% | 07/01/2019 | 07/01/2019 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Notes, 1.750% due 05/31/2022 – 06/15/2022, valued at $205,062,784); expected proceeds $201,041,875 | 2.500% | 07/01/2019 | 07/01/2019 | 201,000,000 | 201,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,808,906,250 | |||||||||
TOTAL INVESTMENTS –94.2% (d)(e) | 45,581,725,199 | |||||||||
Other Assets in Excess of Liabilities —5.8% | 2,820,386,150 | |||||||||
NET ASSETS –100.0% | $48,402,111,349 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Rate shown is the discount rate at time of purchase. |
(c) | Illiquid security. These securities represent $1,560,000,000 or 3.2% of net assets as of June 30, 2019. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $29,548,818,949 |
Repurchase agreements, at value and amortized cost | 16,032,906,250 |
Total Investments | 45,581,725,199 |
Cash | 2,757,769,742 |
Interest receivable — unaffiliated issuers | 59,231,322 |
Other Receivable | 5,633,781 |
TOTAL ASSETS | 48,404,360,044 |
LIABILITIES | |
Advisory and administrator fee payable | 1,899,061 |
Custody, sub-administration and transfer agent fees payable | 299,251 |
Trustees’ fees and expenses payable | 599 |
Professional fees payable | 32,869 |
Printing fees payable | 7,582 |
Accrued expenses and other liabilities | 9,333 |
TOTAL LIABILITIES | 2,248,695 |
NET ASSETS | $48,402,111,349 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $569,132,596 |
EXPENSES | |
Advisory and administrator fee | 11,483,515 |
Custodian, sub-administrator and transfer agent fees | 2,944,710 |
Trustees’ fees and expenses | 533,772 |
Professional fees and expenses | 82,677 |
Printing and postage fees | 8,234 |
Insurance expense | 12,521 |
Miscellaneous expenses | 19,223 |
TOTAL EXPENSES | 15,084,652 |
NET INVESTMENT INCOME (LOSS) | $554,047,944 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 47,985 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $554,095,929 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $554,047,944 | $882,055,252 | |
Net realized gain (loss) | 47,985 | 20,763 | |
Net increase (decrease) in net assets resulting from operations | 554,095,929 | 882,076,015 | |
CAPITAL TRANSACTIONS | |||
Contributions | 72,221,030,888 | 142,050,377,534 | |
Withdrawals | (65,594,797,713) | (150,375,688,545) | |
Net increase (decrease) in net assets from capital transactions | 6,626,233,175 | (8,325,311,011) | |
Net increase (decrease) in net assets during the period | 7,180,329,104 | (7,443,234,996) | |
Net assets at beginning of period | 41,221,782,245 | 48,665,017,241 | |
NET ASSETS AT END OF PERIOD | $48,402,111,349 | $41,221,782,245 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Total return (a) | 1.20% | 1.81% | 0.74% | 0.31% | 0.03% | 0.01% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $48,402,111 | $41,221,782 | $48,665,017 | $50,925,227 | $16,023,491 | $13,207,868 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.06% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 2.41%(b) | 1.78% | 0.85% | 0.32% | 0.03% | 0.01% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
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% | $1,012.00 | $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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
State Street Institutional Treasury Money Market Fund |
1 | |
2 | |
3 | |
5 | |
10 | |
14 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $11,943,713,138 |
Receivable for fund shares sold | 54,669 |
TOTAL ASSETS | 11,943,767,807 |
LIABILITIES | |
Administration fees payable | 387,934 |
Shareholder servicing fee payable | 72,550 |
Distribution fees payable | 24,614 |
Transfer agent fees payable | 1,562 |
Distribution payable | 1,030,702 |
Registration and filing fees payable | 6,398 |
Professional fees payable | 12,415 |
Printing fees payable | 666 |
Accrued expenses and other liabilities | 29,466 |
TOTAL LIABILITIES | 1,566,307 |
NET ASSETS | $11,942,201,500 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $11,942,126,549 |
Total distributable earnings (loss) | 74,951 |
NET ASSETS | $11,942,201,500 |
Administration Class | |
Net Assets | $50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $1.00 |
Institutional Class | |
Net Assets | $52,742,788 |
Shares Outstanding | 52,742,804 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $326,406,431 |
Shares Outstanding | 326,401,163 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $172,427,823 |
Shares Outstanding | 172,429,909 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $11,390,574,458 |
Shares Outstanding | 11,390,603,436 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $124,686,949 |
Expenses allocated from affiliated Portfolio | (3,424,531) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 121,262,418 |
EXPENSES | |
Administration fees | 2,567,559 |
Shareholder servicing fees | |
Administration Class | 49 |
Institutional Class | 322 |
Investment Class | 427,426 |
Investor Class | 49,132 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 170,970 |
Custodian fees | 20,090 |
Trustees’ fees and expenses | 9,034 |
Transfer agent fees | 3,141 |
Registration and filing fees | 43,418 |
Professional fees | 19,694 |
Printing and postage fees | 23,258 |
Insurance expense | 32,470 |
Miscellaneous expenses | 47,606 |
TOTAL EXPENSES | 3,414,182 |
NET INVESTMENT INCOME (LOSS) | $117,848,236 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 109,392 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $117,957,628 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $117,848,236 | $185,945,905 | |
Net realized gain (loss) | 109,392 | (86,235) | |
Net increase (decrease) in net assets resulting from operations | 117,957,628 | 185,859,670 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (511) | (425) | |
Institutional Class | (23,058) | (378) | |
Investment Class | (3,349,691) | (4,676,000) | |
Investor Class | (1,365,235) | (1,954,141) | |
Premier Class | (113,109,766) | (179,417,982) | |
Total distributions to shareholders | (117,848,261) | (186,048,926) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from capital share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 81,695,189 | 50,000 | |
Reinvestment of distributions | 17,300 | — | |
Shares redeemed | (29,019,684) | — | |
Net increase (decrease) from capital share transactions | 52,692,805 | 50,000 | |
Investment Class | |||
Shares sold | 258,008,854 | 1,273,209,693 | |
Shares redeemed | (322,341,258) | (1,248,831,235) | |
Net increase (decrease) from capital share transactions | (64,332,404) | 24,378,458 | |
Investor Class | |||
Shares sold | 675,988,772 | 1,775,696,873 | |
Reinvestment of distributions | 1,365,283 | 1,953,184 | |
Shares redeemed | (602,168,654) | (1,709,988,753) | |
Net increase (decrease) from capital share transactions | 75,185,401 | 67,661,304 | |
Premier Class | |||
Shares sold | 38,249,187,642 | 26,594,663,424 | |
Reinvestment of distributions | 107,404,082 | 169,379,668 | |
Shares redeemed | (36,390,628,506) | (29,462,984,221) | |
Net increase (decrease) from capital share transactions | 1,965,963,218 | (2,698,941,129) | |
Net increase (decrease) in net assets from beneficial interest transactions | 2,029,509,020 | (2,606,801,367) | |
Net increase (decrease) in net assets during the period | 2,029,618,387 | (2,606,990,623) | |
Net assets at beginning of period | 9,912,583,113 | 12,519,573,736 | |
NET ASSETS AT END OF PERIOD | $11,942,201,500 | $9,912,583,113 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 81,695,188 | 50,000 | |
Reinvestment of distributions | 17,300 | — | |
Shares redeemed | (29,019,684) | — | |
Net increase (decrease) from share transactions | 52,692,804 | 50,000 | |
Investment Class | |||
Shares sold | 258,008,855 | 1,273,209,693 | |
Shares redeemed | (322,341,258) | (1,248,831,235) | |
Net increase (decrease) from share transactions | (64,332,403) | 24,378,458 | |
Investor Class | |||
Shares sold | 675,988,771 | 1,775,696,873 | |
Reinvestment of distributions | 1,365,283 | 1,953,184 | |
Shares redeemed | (602,168,654) | (1,709,988,753) | |
Net increase (decrease) from share transactions | 75,185,400 | 67,661,304 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
Premier Class | |||
Shares sold | 38,249,187,643 | $26,594,663,424 | |
Reinvestment of distributions | 107,404,082 | 169,379,668 | |
Shares redeemed | (36,390,628,506) | (29,462,984,221) | |
Net increase (decrease) from share transactions | 1,965,963,219 | (2,698,941,129) |
(a) | For Administration Class shares and Institutional Class shares, data is for the period July 30, 2018 (inception date) through December 31, 2018. |
Administration Class(a) | |||
Six Months Ended 06/30/19 (Unaudited) | For the Period 07/31/18*- 12/31/18 | ||
Net asset value, beginning of period | $1.0000 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0102 | 0.0076 | |
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | |
Total from investment operations | 0.0102 | 0.0076 | |
Distributions to shareholders from: | |||
Net investment income | (0.0102) | (0.0076) | |
Total distributions | (0.0102) | (0.0076) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.03% | 0.76% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $50 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.37%(d) | 0.37%(d) | |
Net investment income (loss) | 2.06%(d) | 1.79%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Institutional Class(a) | |||
Six Months Ended 6/30/19 (Unaudited) | For the Period 7/31/18* 12/31/18 | ||
Net asset value, beginning of period | $1.0000 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0113 | 0.0085 | |
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | |
Total from investment operations | 0.0113 | 0.0085 | |
Distributions to shareholders from: | |||
Net investment income | (0.0113) | (0.0085) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.14% | 0.85% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $52,743 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.15%(d) | |
Net investment income (loss) | 2.15%(d) | 2.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Investment Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0097 | 0.0138 | 0.0041 | 0.0000(b) | 0.0000(b)(c) | (0.0010)(c) | |||||
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0010 | |||||
Total from investment operations | 0.0097 | 0.0138 | 0.0041 | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0097) | (0.0138) | (0.0041) | (0.0000)(b) | — | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | (0.0000)(b) | |||||
Total distributions | (0.0097) | (0.0138) | (0.0041) | (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) | 0.98% | 1.39% | 0.41% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $326,406 | $390,735 | $366,364 | $609,545 | $724,683 | $741,248 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses (f) | 0.47%(f) | 0.47% | 0.47% | 0.31% | 0.04% | 0.05% | |||||
Net investment income (loss) | 1.96%(f) | 1.37% | 0.38% | 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 affiliated 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. |
Investor Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0110 | 0.0165 | 0.0068 | 0.0001 | |||
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0110 | 0.0165 | 0.0068 | 0.0001 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0110) | (0.0165) | (0.0068) | (0.0001) | |||
Net realized gains | — | — | (0.0000) | — | |||
Total distributions | (0.0110) | (0.0165) | (0.0068) | (0.0001) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.11% | 1.66% | 0.68% | 0.00%(d) | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $172,428 | $97,241 | $29,583 | $27,402 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.18%(e) | |||
Net investment income (loss) | 2.22%(e) | 1.70% | 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 affiliated 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. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0114 | 0.0173 | 0.0076 | 0.0019 | 0.0000(b)(c) | —(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 | 0.0114 | 0.0173 | 0.0076 | 0.0019 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0114) | (0.0173) | (0.0076) | (0.0019) | (0.0000)(b) | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | (0.0000)(b) | |||||
Total distributions | (0.0114) | (0.0173) | (0.0076) | (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) | 1.15% | 1.74% | 0.76% | 0.19% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $11,390,574 | $9,424,507 | $12,123,627 | $12,651,785 | $10,412,966 | $8,338,818 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses (f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.04% | 0.04% | |||||
Net investment income (loss) | 2.31%(f) | 1.71% | 0.76% | 0.19% | 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 affiliated 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. |
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 | July 31, 2018 July 31, 2018 October 25, 2007 December 22, 2016 October 25, 2007 Not commenced | Diversified |
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 | |||||||||
Administration Class | 0.37% | $1,010.30 | $1.84 | $1,023.00 | $1.86 | ||||
Institutional Class | 0.15 | 1,011.40 | 0.75 | 1,024.10 | 0.75 | ||||
Investment Class | 0.47 | 1,009.80 | 2.34 | 1,022.50 | 2.36 | ||||
Investor Class | 0.20 | 1,011.10 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,011.50 | 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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
10 |
% of Net Assets | |||
Treasury Debt | 101.2% | ||
Liabilities in Excess of Other Assets | (1.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 30.4% | ||
31 to 60 Days | 26.6 | ||
61 to 90 Days | 7.9 | ||
Over 90 Days | 36.3 | ||
Total | 101.2% | ||
Average days to maturity | 40 | ||
Weighted average life | 98 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—101.2% | ||||||||||
U.S. Treasury Bill(a) | 2.030% | 12/26/2019 | 12/26/2019 | $211,950,000 | $209,813,711 | |||||
U.S. Treasury Bill(a) | 2.105% | 08/20/2019 | 08/20/2019 | 550,600,000 | 548,998,593 | |||||
U.S. Treasury Bill(a) | 2.120% | 08/27/2019 | 08/27/2019 | 300,400,000 | 299,409,348 | |||||
U.S. Treasury Bill(a) | 2.133% | 12/19/2019 | 12/19/2019 | 130,500,000 | 129,179,072 | |||||
U.S. Treasury Bill(a) | 2.195% | 08/13/2019 | 08/13/2019 | 373,750,000 | 372,769,660 | |||||
U.S. Treasury Bill(a) | 2.300% | 08/06/2019 | 08/06/2019 | 251,600,000 | 251,021,320 | |||||
U.S. Treasury Bill(a) | 2.330% | 07/23/2019 | 07/23/2019 | 739,439,000 | 738,418,728 | |||||
U.S. Treasury Bill(a) | 2.330% | 07/30/2019 | 07/30/2019 | 492,541,000 | 491,669,260 | |||||
U.S. Treasury Bill(a) | 2.340% | 07/16/2019 | 07/16/2019 | 420,537,000 | 420,137,724 | |||||
U.S. Treasury Bill(a) | 2.355% | 11/14/2019 | 11/14/2019 | 201,730,000 | 199,934,752 | |||||
U.S. Treasury Bill(a) | 2.373% | 08/15/2019 | 08/15/2019 | 145,743,000 | 145,352,895 | |||||
U.S. Treasury Bill(a) | 2.380% | 07/09/2019 | 07/09/2019 | 500,600,000 | 500,340,250 | |||||
U.S. Treasury Bill(a) | 2.380% | 10/03/2019 | 10/03/2019 | 294,700,000 | 292,943,372 | |||||
U.S. Treasury Bill(a) | 2.385% | 11/07/2019 | 11/07/2019 | 234,000,000 | 232,000,482 | |||||
U.S. Treasury Bill(a) | 2.390% | 10/17/2019 | 10/17/2019 | 177,550,000 | 176,276,966 | |||||
U.S. Treasury Bill(a) | 2.393% | 10/10/2019 | 10/10/2019 | 220,200,000 | 218,721,219 | |||||
U.S. Treasury Bill(a) | 2.395% | 10/31/2019 | 10/31/2019 | 207,050,000 | 205,369,502 | |||||
U.S. Treasury Bill(a) | 2.415% | 09/26/2019 | 09/26/2019 | 316,950,000 | 315,266,482 | |||||
U.S. Treasury Bill(a) | 2.440% | 08/08/2019 | 08/08/2019 | 50,625,000 | 50,494,613 | |||||
U.S. Treasury Bill(a) | 2.445% | 09/19/2019 | 09/19/2019 | 324,042,000 | 322,445,149 | |||||
U.S. Treasury Bill(a) | 2.450% | 07/25/2019 | 07/25/2019 | 52,250,000 | 52,164,658 | |||||
U.S. Treasury Bill(a) | 2.450% | 08/01/2019 | 08/01/2019 | 259,711,000 | 259,175,043 | |||||
U.S. Treasury Bill(a) | 2.453% | 09/12/2019 | 09/12/2019 | 198,950,000 | 198,037,658 | |||||
U.S. Treasury Bill(a) | 2.455% | 08/22/2019 | 08/22/2019 | 287,820,000 | 286,842,707 | |||||
U.S. Treasury Bill(a) | 2.455% | 08/29/2019 | 08/29/2019 | 203,550,000 | 202,792,481 | |||||
U.S. Treasury Bill(a) | 2.455% | 09/05/2019 | 09/05/2019 | 150,000,000 | 149,390,487 | |||||
U.S. Treasury Bill(a) | 2.460% | 07/18/2019 | 07/18/2019 | 304,400,000 | 304,053,166 | |||||
U.S. Treasury Bill(a) | 2.470% | 07/11/2019 | 07/11/2019 | 343,211,000 | 342,983,707 | |||||
U.S. Treasury Bill(a) | 2.505% | 07/05/2019 | 07/05/2019 | 307,875,000 | 307,792,075 | |||||
U.S. Treasury Bill(a) | 2.805% | 07/02/2019 | 07/02/2019 | 606,884,000 | 606,846,149 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 2.096% | 06/29/2019 | 01/31/2020 | 647,000,000 | 646,908,654 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 2.129% | 06/29/2019 | 04/30/2020 | 506,400,000 | 506,383,796 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 2.139% | 06/29/2019 | 07/31/2020 | 341,700,000 | 341,599,966 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.141% | 06/29/2019 | 10/31/2020 | 198,955,000 | 198,810,969 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.144% | 06/29/2019 | 10/31/2019 | 619,175,000 | 619,218,878 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 2.156% | 06/29/2019 | 07/31/2019 | 738,800,000 | 738,836,469 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 2.211% | 06/29/2019 | 01/31/2021 | 100,000,000 | 99,898,640 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.235% | 06/29/2019 | 04/30/2021 | 103,900,000 | 103,761,780 | |||||
U.S. Treasury Note(a) | 2.403% | 07/31/2019 | 07/31/2019 | 99,500,000 | 99,435,793 | |||||
U.S. Treasury Note(a) | 2.412% | 10/31/2019 | 10/31/2019 | 193,000,000 | 192,262,301 | |||||
U.S. Treasury Note(a) | 2.440% | 09/30/2019 | 09/30/2019 | 85,500,000 | 85,308,859 | |||||
U.S. Treasury Note(a) | 2.452% | 10/31/2019 | 10/31/2019 | 33,600,000 | 33,495,038 | |||||
U.S. Treasury Note(a) | 2.469% | 07/31/2019 | 07/31/2019 | 25,000,000 | 24,977,508 | |||||
U.S. Treasury Note(a) | 2.609% | 07/31/2019 | 07/31/2019 | 25,600,000 | 25,566,616 | |||||
TOTAL INVESTMENTS –101.2% (c)(d) | 12,547,106,496 | |||||||||
Liabilities in Excess of Other Assets —(1.2)% | (149,368,439) | |||||||||
NET ASSETS –100.0% | $12,397,738,057 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. 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 Portfolio are determined based on Level 2 inputs (Note 2). |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $12,547,106,496 |
Cash | 482,336,468 |
Receivable for investments sold | 99,745,000 |
Interest receivable — unaffiliated issuers | 18,738,998 |
TOTAL ASSETS | 13,147,926,962 |
LIABILITIES | |
Payable for investments purchased | 749,549,535 |
Advisory and administrator fee payable | 421,246 |
Custody, sub-administration and transfer agent fees payable | 173,157 |
Trustees’ fees and expenses payable | 146 |
Professional fees payable | 32,891 |
Printing fees payable | 8,753 |
Accrued expenses and other liabilities | 3,177 |
TOTAL LIABILITIES | 750,188,905 |
NET ASSETS | $12,397,738,057 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $130,066,241 |
EXPENSES | |
Advisory and administrator fee | 2,678,334 |
Custodian, sub-administrator and transfer agent fees | 673,279 |
Trustees’ fees and expenses | 131,121 |
Professional fees | 82,656 |
Printing and postage fees | 2,546 |
Insurance expense | 2,829 |
Miscellaneous expenses | 5,140 |
TOTAL EXPENSES | 3,575,905 |
NET INVESTMENT INCOME (LOSS) | $126,490,336 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 114,132 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $126,604,468 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $126,490,336 | $201,067,470 | |
Net realized gain (loss) | 114,132 | (90,111) | |
Net increase (decrease) in net assets resulting from operations | 126,604,468 | 200,977,359 | |
CAPITAL TRANSACTIONS | |||
Contributions | 10,664,192,110 | 23,045,517,549 | |
Withdrawals | (8,766,027,234) | (25,879,128,300) | |
Net increase (decrease) in net assets from capital transactions | 1,898,164,876 | (2,833,610,751) | |
Net increase (decrease) in net assets during the period | 2,024,769,344 | (2,632,633,392) | |
Net assets at beginning of period | 10,372,968,713 | 13,005,602,105 | |
NET ASSETS AT END OF PERIOD | $12,397,738,057 | $10,372,968,713 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Total return (a) | 1.19% | 1.80% | 0.73% | 0.25% | (0.04)% | (0.02)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $12,397,738 | $10,372,969 | $13,005,602 | $14,004,301 | $11,837,128 | $10,247,460 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 2.36%(b) | 1.76% | 0.81% | 0.25% | (0.03)% | (0.02)% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.07% | $1,011.90 | $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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
State Street Institutional Treasury Plus Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $15,325,719,092 |
Receivable for fund shares sold | 346 |
Receivable from Adviser | 745 |
TOTAL ASSETS | 15,325,720,183 |
LIABILITIES | |
Payable for fund shares repurchased | 5,125,645 |
Administration fees payable | 549,074 |
Shareholder servicing fee payable | 211,988 |
Distribution fees payable | 4,028 |
Transfer agent fees payable | 1,753 |
Distribution payable | 3,067,304 |
Registration and filing fees payable | 186,980 |
Professional fees payable | 12,414 |
Printing fees payable | 13,231 |
Accrued expenses and other liabilities | 35,351 |
TOTAL LIABILITIES | 9,207,768 |
NET ASSETS | $15,316,512,415 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $15,316,499,570 |
Total distributable earnings (loss) | 12,845 |
NET ASSETS | $15,316,512,415 |
Administration Class | |
Net Assets | $50,000 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $1.00 |
Institutional Class | |
Net Assets | $228,729,141 |
Shares Outstanding | 228,728,938 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $53,271,235 |
Shares Outstanding | 53,278,698 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $758,479,151 |
Shares Outstanding | 758,479,442 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $9,649,779,679 |
Shares Outstanding | 9,649,913,422 |
Net asset value, offering and redemption price per share | $1.00 |
Trust Class | |
Net Assets | $4,626,203,209 |
Shares Outstanding | 4,626,515,834 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $170,284,715 |
Expenses allocated from affiliated Portfolio | (4,600,506) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 165,684,209 |
EXPENSES | |
Administration fees | 3,482,647 |
Shareholder servicing fees | |
Administration Class | 49 |
Institutional Class | 40,067 |
Investment Class | 69,105 |
Investor Class | 121,892 |
Trust Class | 1,218,493 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 27,642 |
Custodian fees | 55,621 |
Trustees’ fees and expenses | 9,034 |
Transfer agent fees | 4,015 |
Registration and filing fees | 59,807 |
Professional fees | 19,694 |
Printing and postage fees | 14,113 |
Insurance expense | 29,925 |
Miscellaneous expenses | 40,146 |
TOTAL EXPENSES | 5,192,263 |
NET INVESTMENT INCOME (LOSS) | $160,491,946 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 17,095 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $160,509,041 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $160,491,946 | $182,781,615 | |
Net realized gain (loss) | 17,095 | 947 | |
Net increase (decrease) in net assets resulting from operations | 160,509,041 | 182,782,562 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (515) | (378) | |
Institutional Class | (3,061,595) | (1,201,954) | |
Investment Class | (545,512) | (534,006) | |
Investor Class | (3,414,869) | (4,282,357) | |
Premier Class | (104,066,090) | (92,650,963) | |
Trust Class | (49,403,364) | (84,114,314) | |
Total distributions to shareholders | (160,491,945) | (182,783,972) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from capital share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 1,529,388,438 | 1,512,358,000 | |
Shares redeemed | (1,395,213,500) | (1,417,804,000) | |
Net increase (decrease) from capital share transactions | 134,174,938 | 94,554,000 | |
Investment Class | |||
Shares sold | 44,333,699 | 101,688,338 | |
Reinvestment of distributions | 111,093 | 139,542 | |
Shares redeemed | (60,986,113) | (51,257,110) | |
Net increase (decrease) from capital share transactions | (16,541,321) | 50,570,770 | |
Investor Class | |||
Shares sold | 2,630,498,054 | 3,566,333,132 | |
Reinvestment of distributions | 3,414,869 | 4,277,715 | |
Shares redeemed | (2,650,319,270) | (3,124,489,496) | |
Net increase (decrease) from capital share transactions | (16,406,347) | 446,121,351 | |
Premier Class | |||
Shares sold | 38,940,376,775 | 61,825,178,064 | |
Reinvestment of distributions | 92,964,201 | 83,017,919 | |
Shares redeemed | (37,785,621,219) | (57,506,625,170) | |
Net increase (decrease) from capital share transactions | 1,247,719,757 | 4,401,570,813 | |
Trust Class | |||
Shares sold | 17,203,235,099 | 19,936,338,258 | |
Reinvestment of distributions | 45,981,479 | 75,701,491 | |
Shares redeemed | (17,104,428,721) | (22,433,895,799) | |
Net increase (decrease) from capital share transactions | 144,787,857 | (2,421,856,050) | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,493,734,884 | 2,571,010,884 | |
Net increase (decrease) in net assets during the period | 1,493,751,980 | 2,571,009,474 | |
Net assets at beginning of period | 13,822,760,435 | 11,251,750,961 | |
NET ASSETS AT END OF PERIOD | $15,316,512,415 | $13,822,760,435 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | — | 50,000 | |
Net increase (decrease) from share transactions | — | 50,000 | |
Institutional Class | |||
Shares sold | 1,529,388,438 | 1,512,358,000 | |
Shares redeemed | (1,395,213,500) | (1,417,804,000) | |
Net increase (decrease) from share transactions | 134,174,938 | 94,554,000 | |
Investment Class | |||
Shares sold | 44,333,699 | 101,688,338 | |
Reinvestment of distributions | 111,093 | 139,542 | |
Shares redeemed | (60,986,113) | (51,257,110) | |
Net increase (decrease) from share transactions | (16,541,321) | 50,570,770 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18(a) | ||
Investor Class | |||
Shares sold | 2,630,498,054 | $3,566,333,132 | |
Reinvestment of distributions | 3,414,869 | 4,277,715 | |
Shares redeemed | (2,650,319,270) | (3,124,489,496) | |
Net increase (decrease) from share transactions | (16,406,347) | 446,121,351 | |
Premier Class | |||
Shares sold | 38,940,376,775 | 61,825,178,064 | |
Reinvestment of distributions | 92,964,201 | 83,017,919 | |
Shares redeemed | (37,785,621,219) | (57,506,625,170) | |
Net increase (decrease) from share transactions | 1,247,719,757 | 4,401,570,813 | |
Trust Class | |||
Shares sold | 17,203,235,100 | 19,936,338,258 | |
Reinvestment of distributions | 45,981,479 | 75,701,491 | |
Shares redeemed | (17,104,428,721) | (22,433,895,799) | |
Net increase (decrease) from share transactions | 144,787,858 | (2,421,856,050) |
(a) | For Administration Class shares and Institutional Class shares, data is for the period July 30, 2018 (inception date) through December 31, 2018. |
Administration Class(a) | |||
Six Months Ended 06/30/19 (Unaudited) | For the Period 07/31/18*- 12/31/18 | ||
Net asset value, beginning of period | $1.0000 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0103 | 0.0076 | |
Net realized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0103 | 0.0076 | |
Distributions to shareholders from: | |||
Net investment income | (0.0103) | (0.0076) | |
Total distributions | (0.0103) | (0.0076) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.03% | 0.76% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $50 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.37%(d) | 0.37%(d) | |
Net expenses | 0.37%(d) | 0.37%(d) | |
Net investment income (loss) | 2.07%(d) | 1.78%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Institutional Class(a) | |||
Six Months Ended 6/30/19 (Unaudited) | For the Period 7/31/18* 12/31/18 | ||
Net asset value, beginning of period | $1.0000 | $1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0114 | 0.0085 | |
Net realized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0114 | 0.0085 | |
Distributions to shareholders from: | |||
Net investment income | (0.0114) | (0.0085) | |
Total distributions | (0.0114) | (0.0085) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.14% | 0.85% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $228,729 | $94,554 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15%(d) | 0.15%(d) | |
Net expenses | 0.15%(d) | 0.15%(d) | |
Net investment income (loss) | 2.29%(d) | 2.04%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated 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. |
Investment Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0102 | 0.0139 | 0.0042 | 0.0000(b) | 0.0000(b)(c) | 0.0000(b)(c) | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0102 | 0.0139 | 0.0042 | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0102) | (0.0139) | (0.0042) | (0.0000)(b) | — | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | — | |||||
Total distributions | (0.0102) | (0.0139) | (0.0042) | (0.0000)(b) | — | — | |||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||||
Total return (d) | 1.02% | 1.40% | 0.42% | 0.00%(e) | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $53,271 | $69,812 | $19,242 | $48,170 | $60,041 | $74,781 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.47% | 0.49% | 0.49% | 0.48% | |||||
Net expenses | 0.47%(f) | 0.47% | 0.47% | 0.31% | 0.06% | 0.05% | |||||
Net investment income (loss) | 1.98%(f) | 1.54% | 0.36% | 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 affiliated 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. |
Investor Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0111 | 0.0166 | 0.0069 | 0.0004 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0111 | 0.0166 | 0.0069 | 0.0004 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0111) | (0.0166) | (0.0069) | (0.0004) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0111) | (0.0166) | (0.0069) | (0.0004) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.12% | 1.67% | 0.69% | 0.04% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $758,479 | $774,885 | $328,764 | $101,461 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20%(d) | |||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 2.24%(d) | 1.67% | 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 affiliated 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. |
Premier Class(a) | |||||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
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) | 0.0115 | 0.0174 | 0.0077 | 0.0019 | 0.0000(b)(c) | 0.0000(b)(c) | |||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0115 | 0.0174 | 0.0077 | 0.0019 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0115) | (0.0174) | (0.0077) | (0.0019) | (0.0000)(b) | — | |||||
Net realized gains | — | — | (0.0000)(b) | — | — | — | |||||
Total distributions | (0.0115) | (0.0174) | (0.0077) | (0.0019) | (0.0000)(b) | — | |||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||||
Total return (d) | 1.16% | 1.75% | 0.77% | 0.19% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $9,649,780 | $8,402,049 | $4,000,478 | $2,515,246 | $1,684,652 | $2,690,959 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.12% | 0.14% | 0.14% | 0.13% | |||||
Net expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.06% | 0.05% | |||||
Net investment income (loss) | 2.33%(f) | 1.80% | 0.81% | 0.20% | 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 affiliated 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. |
Trust Class(a) | |||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0112 | 0.0168 | 0.0071 | 0.0007 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0112 | 0.0168 | 0.0071 | 0.0007 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0112) | (0.0168) | (0.0071) | (0.0007) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0112) | (0.0168) | (0.0071) | (0.0007) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.13% | 1.69% | 0.71% | 0.07% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $4,626,203 | $4,481,410 | $6,903,267 | $7,962,822 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.18%(d) | 0.18% | 0.18% | 0.18%(d) | |||
Net expenses | 0.18%(d) | 0.18% | 0.18% | 0.18%(d) | |||
Net investment income (loss) | 2.27%(d) | 1.64% | 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 affiliated 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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Plus Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Service Class Trust Class | July 31, 2018 July 31, 2018 October 24, 2007 October 14, 2016 October 24, 2007 Not commenced August 29, 2016 | Diversified |
Expiration Date | Amount | |
12/31/2020 | $229,096 | |
12/31/2019 | $366,047 |
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 | |||||||||
Administration Class | 0.37% | $1,010.30 | $1.84 | $1,023.00 | $1.86 | ||||
Institutional Class | 0.15 | 1,011.40 | 0.75 | 1,024.10 | 0.75 | ||||
Investment Class | 0.47 | 1,010.20 | 2.34 | 1,022.50 | 2.36 | ||||
Investor Class | 0.20 | 1,011.20 | 1.00 | 1,023.80 | 1.00 | ||||
Premier Class | 0.12 | 1,011.60 | 0.60 | 1,024.20 | 0.60 | ||||
Trust Class | 0.18 | 1,011.30 | 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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
13 |
% of Net Assets | |||
Treasury Debt | 56.1% | ||
Treasury Repurchase Agreements | 35.1 | ||
Other Assets in Excess of Liabilities | 8.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 26.4% | ||
2 to 30 Days | 14.1 | ||
31 to 60 Days | 12.8 | ||
61 to 90 Days | 8.2 | ||
Over 90 Days | 29.7 | ||
Total | 91.2% | ||
Average days to maturity | 27 | ||
Weighted average life | 84 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—56.1% | ||||||||||
U.S. Treasury Bill(a) | 2.030% | 12/26/2019 | 12/26/2019 | $300,000,000 | $296,988,833 | |||||
U.S. Treasury Bill(a) | 2.133% | 12/19/2019 | 12/19/2019 | 175,500,000 | 173,722,894 | |||||
U.S. Treasury Bill(a) | 2.140% | 12/12/2019 | 12/12/2019 | 150,000,000 | 148,537,667 | |||||
U.S. Treasury Bill(a) | 2.355% | 11/14/2019 | 11/14/2019 | 175,000,000 | 173,442,630 | |||||
U.S. Treasury Bill(a) | 2.373% | 08/15/2019 | 08/15/2019 | 450,000,000 | 448,668,346 | |||||
U.S. Treasury Bill(a) | 2.380% | 07/09/2019 | 07/09/2019 | 353,350,000 | 353,163,117 | |||||
U.S. Treasury Bill(a) | 2.380% | 10/03/2019 | 10/03/2019 | 225,000,000 | 223,601,750 | |||||
U.S. Treasury Bill(a) | 2.385% | 11/07/2019 | 11/07/2019 | 150,000,000 | 148,718,358 | |||||
U.S. Treasury Bill(a) | 2.390% | 10/17/2019 | 10/17/2019 | 175,000,000 | 173,745,250 | |||||
U.S. Treasury Bill(a) | 2.393% | 10/10/2019 | 10/10/2019 | 332,900,000 | 330,664,395 | |||||
U.S. Treasury Bill(a) | 2.415% | 09/26/2019 | 09/26/2019 | 425,000,000 | 422,758,844 | |||||
U.S. Treasury Bill(a) | 2.440% | 08/08/2019 | 08/08/2019 | 500,000,000 | 498,740,113 | |||||
U.S. Treasury Bill(a) | 2.445% | 09/19/2019 | 09/19/2019 | 300,000,000 | 298,367,922 | |||||
U.S. Treasury Bill(a) | 2.450% | 08/01/2019 | 08/01/2019 | 81,000,000 | 80,829,113 | |||||
U.S. Treasury Bill(a) | 2.453% | 09/12/2019 | 09/12/2019 | 350,000,000 | 348,257,976 | |||||
U.S. Treasury Bill(a) | 2.455% | 09/05/2019 | 09/05/2019 | 277,380,000 | 276,130,932 | |||||
U.S. Treasury Bill(a) | 2.460% | 07/18/2019 | 07/18/2019 | 325,000,000 | 324,630,958 | |||||
U.S. Treasury Bill(a) | 2.470% | 07/11/2019 | 07/11/2019 | 400,000,000 | 399,731,085 | |||||
U.S. Treasury Bill(a) | 2.505% | 07/05/2019 | 07/05/2019 | 250,000,000 | 249,933,194 | |||||
U.S. Treasury Bill(a) | 2.805% | 07/02/2019 | 07/02/2019 | 71,000,000 | 70,994,468 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 2.096% | 06/29/2019 | 01/31/2020 | 965,200,000 | 965,129,442 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 2.129% | 06/29/2019 | 04/30/2020 | 810,900,000 | 810,904,825 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 2.139% | 06/29/2019 | 07/31/2020 | 470,550,000 | 470,454,184 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.141% | 06/29/2019 | 10/31/2020 | 144,500,000 | 144,350,025 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.144% | 06/29/2019 | 10/31/2019 | 696,600,000 | 696,690,353 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 2.156% | 06/29/2019 | 07/31/2019 | 669,700,000 | 669,729,830 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.235% | 06/29/2019 | 04/30/2021 | 300,000,000 | 299,605,772 | |||||
U.S. Treasury Note(a) | 2.403% | 07/31/2019 | 07/31/2019 | 170,000,000 | 169,890,300 | |||||
U.S. Treasury Note(a) | 2.440% | 09/30/2019 | 09/30/2019 | 141,000,000 | 140,668,626 | |||||
U.S. Treasury Note(a) | 2.452% | 10/31/2019 | 10/31/2019 | 55,700,000 | 55,526,000 | |||||
U.S. Treasury Note(a) | 2.469% | 07/31/2019 | 07/31/2019 | 45,000,000 | 44,959,515 | |||||
U.S. Treasury Note(a) | 2.609% | 07/31/2019 | 07/31/2019 | 353,000,000 | 352,511,766 | |||||
TOTAL TREASURY DEBT | 10,262,048,483 | |||||||||
TREASURY REPURCHASE AGREEMENTS—35.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Note, 1.500% due 05/31/2020, valued at $6,120,065); expected proceeds $6,001,240 | 2.350% | 07/01/2019 | 07/01/2019 | 6,000,000 | 6,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.875% due 08/15/2040 – 11/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 01/15/2024, and U.S. Treasury Notes, 2.750% – 3.125% due 07/31/2023 – 11/15/2028, valued at $76,515,834); expected proceeds $75,015,500 | 2.480% | 07/01/2019 | 07/01/2019 | 75,000,000 | 75,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, and a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2026, valued at $408,000,044); expected proceeds $400,083,333 | 2.500% | 07/01/2019 | 07/01/2019 | 400,000,000 | 400,000,000 |
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 06/28/2019 (collateralized by a U.S. Treasury Bond, 2.750% due 11/15/2042, a U.S. Treasury Note, 2.500% due 03/31/2023, and U.S. Treasury Strips, 0.000% due 02/15/2021 – 02/15/2029, valued at $172,380,006); expected proceeds $169,034,927 | 2.480% | 07/01/2019 | 07/01/2019 | $169,000,000 | $169,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 05/15/2047 – 08/15/2048, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 1.750% – 2.375% due 05/15/2022 – 02/29/2024, valued at $137,700,064); expected proceeds $135,542,250 | 2.410% | 07/08/2019 | 07/08/2019 | 135,000,000 | 135,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/02/2019 – 07/09/2019, U.S. Treasury Bonds, 2.875% – 3.000% due 02/15/2049 – 05/15/2049, and a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2049, valued at $510,018,835); expected proceeds $500,236,250 | 2.430% | 07/05/2019 | 07/05/2019 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 02/15/2044 – 11/15/2047, and a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, valued at $18,360,079); expected proceeds $18,003,735 | 2.490% | 07/01/2019 | 07/01/2019 | 18,000,000 | 18,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/06/2019 (collateralized by U.S. Treasury Notes, 2.125% – 2.625% due 07/15/2021 – 12/31/2022, valued at $188,700,076); expected proceeds $185,391,378 | 2.380% | 07/08/2019 | 07/08/2019 | 185,000,000 | 185,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and U.S. Treasury Notes, 1.375% – 2.000% due 03/31/2020 – 03/31/2022, valued at $414,120,093); expected proceeds $406,083,907 | 2.480% | 07/01/2019 | 07/01/2019 | 406,000,000 | 406,000,000 | |||||
Agreement with Fixed Income Clearing Corp., and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, valued at $714,000,048); expected proceeds $700,145,833 | 2.500% | 07/01/2019 | 07/01/2019 | 700,000,000 | 700,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.750% due 08/31/2023 – 04/30/2024, and U.S. Treasury Strips, 0.000% due 08/15/2019 – 02/15/2027, valued at $204,000,049); expected proceeds $200,095,667 | 2.460% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/25/2019 (collateralized by a U.S. Treasury Note, 2.125% due 08/15/2021, and U.S. Treasury Strips, 0.000% due 05/15/2021 – 08/15/2026, valued at $255,000,000); expected proceeds $250,120,069 | 2.470% | 07/02/2019 | 07/02/2019 | 250,000,000 | 250,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2045, U.S. Treasury Inflation Index Notes, 0.625% – 1.125% due 01/15/2021 – 07/15/2021, and a U.S. Treasury Strip, 0.000% due 08/15/2027, valued at $232,560,027); expected proceeds $228,047,500 | 2.500% | 07/01/2019 | 07/01/2019 | $228,000,000 | $228,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2019 (collateralized by a U.S. Treasury Note, 2.750% due 07/31/2023, valued at $178,500,096); expected proceeds $176,429,167(c) | 2.450% | 07/01/2019 | 10/09/2019 | 175,000,000 | 175,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 05/21/2020, and U.S. Treasury Notes, 2.125% – 2.875% due 11/15/2021 – 12/31/2021, valued at $1,151,580,032); expected proceeds $1,129,238,031 | 2.530% | 07/01/2019 | 07/01/2019 | 1,129,000,000 | 1,129,000,000 | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.750% due 07/15/2028, and U.S. Treasury Notes, 2.000% – 2.250% due 02/15/2023 – 11/15/2027, valued at $67,179,547); expected proceeds $65,374,581(c) | 2.530% | 07/01/2019 | 07/17/2019 | 65,000,000 | 65,000,000 | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by U.S. Treasury Notes, 1.875% – 2.875% due 08/31/2022 – 11/15/2027, valued at $36,161,437); expected proceeds $35,231,214(c) | 2.530% | 07/01/2019 | 07/29/2019 | 35,000,000 | 35,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $71,400,058); expected proceeds $70,462,933(c) | 2.480% | 08/13/2019 | 08/13/2019 | 70,000,000 | 70,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/12/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 3.375% due 11/15/2019, valued at $102,000,005); expected proceeds $100,607,083(c) | 2.350% | 09/13/2019 | 09/13/2019 | 100,000,000 | 100,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $71,400,043); expected proceeds $70,415,022(c) | 2.320% | 09/24/2019 | 09/24/2019 | 70,000,000 | 70,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, and U.S. Treasury Notes, 2.125% – 2.250% due 11/15/2024 – 11/15/2025, valued at $113,088,995); expected proceeds $110,942,043 | 2.520% | 07/01/2019 | 07/01/2019 | 110,918,750 | 110,918,750 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2025 – 11/15/2028, valued at $102,882,850); expected proceeds $100,871,179 | 2.520% | 07/01/2019 | 07/01/2019 | 100,850,000 | 100,850,000 |
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 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/14/2019, U.S. Treasury Bonds, 2.750% – 4.375% due 11/15/2039 – 02/15/2048, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 1.125% – 1.250% due 07/15/2020 – 01/15/2021, and U.S. Treasury Notes, 2.125% – 2.875% due 05/31/2021 – 02/15/2024, valued at $372,300,005); expected proceeds $365,076,042 | 2.500% | 07/01/2019 | 07/01/2019 | $365,000,000 | $365,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/25/2019 – 03/26/2020, U.S. Treasury Inflation Index Bonds, 1.000% – 3.875% due 01/15/2028 – 02/15/2048, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, U.S. Treasury Notes, 2.125% – 2.625% due 07/31/2020 – 05/15/2022, and U.S. Treasury Strips, 0.000% due 02/15/2023 – 11/15/2027, valued at $181,560,000); expected proceeds $178,036,787 | 2.480% | 07/01/2019 | 07/01/2019 | 178,000,000 | 178,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.625% due 06/15/2021 – 05/31/2024, valued at $44,880,044); expected proceeds $44,009,167 | 2.500% | 07/01/2019 | 07/01/2019 | 44,000,000 | 44,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/05/2019 – 05/21/2020, U.S. Treasury Bonds, 2.750% – 6.375% due 02/15/2026 – 11/15/2047, U.S. Treasury Inflation Index Bonds, 0.625% – 3.875% due 01/15/2025 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 1.875% due 07/15/2019 – 01/15/2029, U.S. Treasury Notes, 0.875% – 3.500% due 07/31/2019 – 02/15/2028, and U.S. Treasury Strips, 0.000% due 05/15/2022 – 05/15/2029, valued at $153,000,005); expected proceeds $150,031,250 | 2.500% | 07/01/2019 | 07/01/2019 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 11/07/2019 – 11/29/2019, and U.S. Treasury Notes, 1.125% – 1.625% due 02/28/2021 – 02/15/2026, valued at $560,096,722); expected proceeds $549,114,375 | 2.500% | 07/01/2019 | 07/01/2019 | 549,000,000 | 549,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 6,413,768,750 | |||||||||
TOTAL INVESTMENTS –91.2% (d)(e) | 16,675,817,233 | |||||||||
Other Assets in Excess of Liabilities —8.8% | 1,608,308,909 | |||||||||
NET ASSETS –100.0% | $18,284,126,142 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. 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 $515,000,000 or 2.9% of net assets as of June 30, 2019. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $10,262,048,483 |
Repurchase agreements, at value and amortized cost | 6,413,768,750 |
Total Investments | 16,675,817,233 |
Cash | 1,582,964,521 |
Interest receivable — unaffiliated issuers | 24,322,898 |
Other Receivable | 1,797,087 |
TOTAL ASSETS | 18,284,901,739 |
LIABILITIES | |
Advisory and administrator fee payable | 660,846 |
Custody, sub-administration and transfer agent fees payable | 77,199 |
Trustees’ fees and expenses payable | 289 |
Professional fees payable | 32,889 |
Accrued expenses and other liabilities | 4,374 |
TOTAL LIABILITIES | 775,597 |
NET ASSETS | $18,284,126,142 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $216,925,402 |
EXPENSES | |
Advisory and administrator fee | 4,399,968 |
Custodian, sub-administrator and transfer agent fees | 1,146,952 |
Trustees’ fees and expenses | 194,848 |
Professional fees | 82,659 |
Printing and postage fees | 22,661 |
Insurance expense | 3,336 |
Miscellaneous expenses | 5,818 |
TOTAL EXPENSES | 5,856,242 |
NET INVESTMENT INCOME (LOSS) | $211,069,160 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 21,451 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $211,090,611 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $211,069,160 | $250,070,855 | |
Net realized gain (loss) | 21,451 | 1,950 | |
Net increase (decrease) in net assets resulting from operations | 211,090,611 | 250,072,805 | |
CAPITAL TRANSACTIONS | |||
Contributions | 14,848,481,579 | 39,817,102,235 | |
Withdrawals | (14,222,710,980) | (36,800,190,630) | |
Net increase (decrease) in net assets from capital transactions | 625,770,599 | 3,016,911,605 | |
Net increase (decrease) in net assets during the period | 836,861,210 | 3,266,984,410 | |
Net assets at beginning of period | 17,447,264,932 | 14,180,280,522 | |
NET ASSETS AT END OF PERIOD | $18,284,126,142 | $17,447,264,932 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Total return (a) | 1.19% | 1.82% | 0.82% | 0.23% | (0.01)% | (0.02)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $18,284,126 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | $2,765,530 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 2.40%(b) | 1.79% | 0.84% | 0.27% | (0.01)% | (0.02)% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.07% | $1,011.90 | $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. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
8 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $2,956,618,283 |
Receivable from Adviser | 105,077 |
TOTAL ASSETS | 2,956,723,360 |
LIABILITIES | |
Administration fees payable | 124,796 |
Transfer agent fees payable | 8,614 |
Distribution payable | 26,362 |
Registration and filing fees payable | 17,570 |
Professional fees payable | 13,749 |
Printing fees payable | 19,380 |
Accrued expenses and other liabilities | 927 |
TOTAL LIABILITIES | 211,398 |
NET ASSETS | $2,956,511,962 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,956,506,605 |
Total distributable earnings (loss) | 5,357 |
NET ASSETS | $2,956,511,962 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $1.00 |
Shares outstanding | 2,956,506,605 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 44,852,977 |
Expenses allocated from affiliated Portfolio | (1,208,775) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 43,644,202 |
EXPENSES | |
Administration fees | 917,322 |
Custodian fees | 22,163 |
Trustees’ fees and expenses | 9,034 |
Transfer agent fees | 584 |
Registration and filing fees | 12,440 |
Professional fees and expenses | 17,447 |
Printing and postage fees | 15,089 |
Insurance expense | 9,955 |
Miscellaneous expenses | 7,434 |
TOTAL EXPENSES | 1,011,468 |
Expenses waived/reimbursed by the Adviser | (752,528) |
NET EXPENSES | 258,940 |
NET INVESTMENT INCOME (LOSS) | $43,385,262 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 4,354 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $43,389,616 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $43,385,262 | $58,298,055 | |
Net realized gain (loss) | 4,354 | 1,003 | |
Net increase (decrease) in net assets resulting from operations | 43,389,616 | 58,299,058 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (43,385,262) | (58,298,055) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 6,778,305,731 | 6,325,956,321 | |
Reinvestment of distributions | 43,274,538 | 57,954,475 | |
Cost of shares redeemed | (7,485,641,932) | (5,689,704,933) | |
Net increase (decrease) from share transactions | (664,061,663) | 694,205,863 | |
Net increase (decrease) in net assets during the period | (664,057,309) | 694,206,866 | |
Net assets at beginning of period | 3,620,569,271 | 2,926,362,405 | |
NET ASSETS AT END OF PERIOD | $2,956,511,962 | $3,620,569,271 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 6,778,305,731 | 6,325,956,321 | |
Reinvestment of distributions | 43,274,538 | 57,954,475 | |
Shares redeemed | (7,485,641,932) | (5,689,704,933) | |
Net increase (decrease) from share transactions | (664,061,663) | 694,205,863 |
Six Months Ended 6/30/19(a) (Unaudited) | Year Ended 12/31/18(a) | For the Period 10/5/17* - 12/31/17(a) | |||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0117 | 0.0178 | 0.0025 | ||
Total from investment operations | 0.0117 | 0.0178 | 0.0025 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0117) | (0.0178) | (0.0025) | ||
Total distributions | (0.0117) | (0.0178) | (0.0025) | ||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | ||
Total return (b) | 1.18% | 1.79% | 0.25% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $2,956,512 | $3,620,569 | $2,926,362 | ||
Ratios to average net assets: | |||||
Total expenses | 0.12%(c) | 0.13% | 0.16%(c) | ||
Net expenses | 0.08%(c) | 0.08% | 0.08%(c) | ||
Net investment income (loss) | 2.36%(c) | 1.77% | 1.08%(c) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
Fund | Commencement of Operations | Diversification Classification |
State Street Treasury Obligations Money Market Fund | October 5, 2017 | Diversified |
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 Obligations Money Market Fund | 0.08% | $1,011.80 | $0.40 | $1,024.40 | $0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
• | 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, 2018, 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
13 |
% of Net Assets | |||
Treasury Debt | 56.1% | ||
Treasury Repurchase Agreements | 35.1 | ||
Other Assets in Excess of Liabilities | 8.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 26.4% | ||
2 to 30 Days | 14.1 | ||
31 to 60 Days | 12.8 | ||
61 to 90 Days | 8.2 | ||
Over 90 Days | 29.7 | ||
Total | 91.2% | ||
Average days to maturity | 27 | ||
Weighted average life | 84 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—56.1% | ||||||||||
U.S. Treasury Bill(a) | 2.030% | 12/26/2019 | 12/26/2019 | $300,000,000 | $296,988,833 | |||||
U.S. Treasury Bill(a) | 2.133% | 12/19/2019 | 12/19/2019 | 175,500,000 | 173,722,894 | |||||
U.S. Treasury Bill(a) | 2.140% | 12/12/2019 | 12/12/2019 | 150,000,000 | 148,537,667 | |||||
U.S. Treasury Bill(a) | 2.355% | 11/14/2019 | 11/14/2019 | 175,000,000 | 173,442,630 | |||||
U.S. Treasury Bill(a) | 2.373% | 08/15/2019 | 08/15/2019 | 450,000,000 | 448,668,346 | |||||
U.S. Treasury Bill(a) | 2.380% | 07/09/2019 | 07/09/2019 | 353,350,000 | 353,163,117 | |||||
U.S. Treasury Bill(a) | 2.380% | 10/03/2019 | 10/03/2019 | 225,000,000 | 223,601,750 | |||||
U.S. Treasury Bill(a) | 2.385% | 11/07/2019 | 11/07/2019 | 150,000,000 | 148,718,358 | |||||
U.S. Treasury Bill(a) | 2.390% | 10/17/2019 | 10/17/2019 | 175,000,000 | 173,745,250 | |||||
U.S. Treasury Bill(a) | 2.393% | 10/10/2019 | 10/10/2019 | 332,900,000 | 330,664,395 | |||||
U.S. Treasury Bill(a) | 2.415% | 09/26/2019 | 09/26/2019 | 425,000,000 | 422,758,844 | |||||
U.S. Treasury Bill(a) | 2.440% | 08/08/2019 | 08/08/2019 | 500,000,000 | 498,740,113 | |||||
U.S. Treasury Bill(a) | 2.445% | 09/19/2019 | 09/19/2019 | 300,000,000 | 298,367,922 | |||||
U.S. Treasury Bill(a) | 2.450% | 08/01/2019 | 08/01/2019 | 81,000,000 | 80,829,113 | |||||
U.S. Treasury Bill(a) | 2.453% | 09/12/2019 | 09/12/2019 | 350,000,000 | 348,257,976 | |||||
U.S. Treasury Bill(a) | 2.455% | 09/05/2019 | 09/05/2019 | 277,380,000 | 276,130,932 | |||||
U.S. Treasury Bill(a) | 2.460% | 07/18/2019 | 07/18/2019 | 325,000,000 | 324,630,958 | |||||
U.S. Treasury Bill(a) | 2.470% | 07/11/2019 | 07/11/2019 | 400,000,000 | 399,731,085 | |||||
U.S. Treasury Bill(a) | 2.505% | 07/05/2019 | 07/05/2019 | 250,000,000 | 249,933,194 | |||||
U.S. Treasury Bill(a) | 2.805% | 07/02/2019 | 07/02/2019 | 71,000,000 | 70,994,468 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 2.096% | 06/29/2019 | 01/31/2020 | 965,200,000 | 965,129,442 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 2.129% | 06/29/2019 | 04/30/2020 | 810,900,000 | 810,904,825 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 2.139% | 06/29/2019 | 07/31/2020 | 470,550,000 | 470,454,184 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.141% | 06/29/2019 | 10/31/2020 | 144,500,000 | 144,350,025 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 2.144% | 06/29/2019 | 10/31/2019 | 696,600,000 | 696,690,353 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 2.156% | 06/29/2019 | 07/31/2019 | 669,700,000 | 669,729,830 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 2.235% | 06/29/2019 | 04/30/2021 | 300,000,000 | 299,605,772 | |||||
U.S. Treasury Note(a) | 2.403% | 07/31/2019 | 07/31/2019 | 170,000,000 | 169,890,300 | |||||
U.S. Treasury Note(a) | 2.440% | 09/30/2019 | 09/30/2019 | 141,000,000 | 140,668,626 | |||||
U.S. Treasury Note(a) | 2.452% | 10/31/2019 | 10/31/2019 | 55,700,000 | 55,526,000 | |||||
U.S. Treasury Note(a) | 2.469% | 07/31/2019 | 07/31/2019 | 45,000,000 | 44,959,515 | |||||
U.S. Treasury Note(a) | 2.609% | 07/31/2019 | 07/31/2019 | 353,000,000 | 352,511,766 | |||||
TOTAL TREASURY DEBT | 10,262,048,483 | |||||||||
TREASURY REPURCHASE AGREEMENTS—35.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Note, 1.500% due 05/31/2020, valued at $6,120,065); expected proceeds $6,001,240 | 2.350% | 07/01/2019 | 07/01/2019 | 6,000,000 | 6,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.875% due 08/15/2040 – 11/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 01/15/2024, and U.S. Treasury Notes, 2.750% – 3.125% due 07/31/2023 – 11/15/2028, valued at $76,515,834); expected proceeds $75,015,500 | 2.480% | 07/01/2019 | 07/01/2019 | 75,000,000 | 75,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, and a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2026, valued at $408,000,044); expected proceeds $400,083,333 | 2.500% | 07/01/2019 | 07/01/2019 | 400,000,000 | 400,000,000 |
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 06/28/2019 (collateralized by a U.S. Treasury Bond, 2.750% due 11/15/2042, a U.S. Treasury Note, 2.500% due 03/31/2023, and U.S. Treasury Strips, 0.000% due 02/15/2021 – 02/15/2029, valued at $172,380,006); expected proceeds $169,034,927 | 2.480% | 07/01/2019 | 07/01/2019 | $169,000,000 | $169,000,000 | |||||
Agreement with Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 05/15/2047 – 08/15/2048, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 1.750% – 2.375% due 05/15/2022 – 02/29/2024, valued at $137,700,064); expected proceeds $135,542,250 | 2.410% | 07/08/2019 | 07/08/2019 | 135,000,000 | 135,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/02/2019 – 07/09/2019, U.S. Treasury Bonds, 2.875% – 3.000% due 02/15/2049 – 05/15/2049, and a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2049, valued at $510,018,835); expected proceeds $500,236,250 | 2.430% | 07/05/2019 | 07/05/2019 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 02/15/2044 – 11/15/2047, and a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, valued at $18,360,079); expected proceeds $18,003,735 | 2.490% | 07/01/2019 | 07/01/2019 | 18,000,000 | 18,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/06/2019 (collateralized by U.S. Treasury Notes, 2.125% – 2.625% due 07/15/2021 – 12/31/2022, valued at $188,700,076); expected proceeds $185,391,378 | 2.380% | 07/08/2019 | 07/08/2019 | 185,000,000 | 185,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and U.S. Treasury Notes, 1.375% – 2.000% due 03/31/2020 – 03/31/2022, valued at $414,120,093); expected proceeds $406,083,907 | 2.480% | 07/01/2019 | 07/01/2019 | 406,000,000 | 406,000,000 | |||||
Agreement with Fixed Income Clearing Corp., and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 06/18/2020, valued at $714,000,048); expected proceeds $700,145,833 | 2.500% | 07/01/2019 | 07/01/2019 | 700,000,000 | 700,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.750% due 08/31/2023 – 04/30/2024, and U.S. Treasury Strips, 0.000% due 08/15/2019 – 02/15/2027, valued at $204,000,049); expected proceeds $200,095,667 | 2.460% | 07/01/2019 | 07/01/2019 | 200,000,000 | 200,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/25/2019 (collateralized by a U.S. Treasury Note, 2.125% due 08/15/2021, and U.S. Treasury Strips, 0.000% due 05/15/2021 – 08/15/2026, valued at $255,000,000); expected proceeds $250,120,069 | 2.470% | 07/02/2019 | 07/02/2019 | 250,000,000 | 250,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2045, U.S. Treasury Inflation Index Notes, 0.625% – 1.125% due 01/15/2021 – 07/15/2021, and a U.S. Treasury Strip, 0.000% due 08/15/2027, valued at $232,560,027); expected proceeds $228,047,500 | 2.500% | 07/01/2019 | 07/01/2019 | $228,000,000 | $228,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/11/2019 (collateralized by a U.S. Treasury Note, 2.750% due 07/31/2023, valued at $178,500,096); expected proceeds $176,429,167(c) | 2.450% | 07/01/2019 | 10/09/2019 | 175,000,000 | 175,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 05/21/2020, and U.S. Treasury Notes, 2.125% – 2.875% due 11/15/2021 – 12/31/2021, valued at $1,151,580,032); expected proceeds $1,129,238,031 | 2.530% | 07/01/2019 | 07/01/2019 | 1,129,000,000 | 1,129,000,000 | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.750% due 07/15/2028, and U.S. Treasury Notes, 2.000% – 2.250% due 02/15/2023 – 11/15/2027, valued at $67,179,547); expected proceeds $65,374,581(c) | 2.530% | 07/01/2019 | 07/17/2019 | 65,000,000 | 65,000,000 | |||||
Agreement with LLOYDS Bank PLC and Clearstream (Tri-Party), and dated 04/26/2019 (collateralized by U.S. Treasury Notes, 1.875% – 2.875% due 08/31/2022 – 11/15/2027, valued at $36,161,437); expected proceeds $35,231,214(c) | 2.530% | 07/01/2019 | 07/29/2019 | 35,000,000 | 35,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/09/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $71,400,058); expected proceeds $70,462,933(c) | 2.480% | 08/13/2019 | 08/13/2019 | 70,000,000 | 70,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/12/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 3.375% due 11/15/2019, valued at $102,000,005); expected proceeds $100,607,083(c) | 2.350% | 09/13/2019 | 09/13/2019 | 100,000,000 | 100,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2019 (collateralized by U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $71,400,043); expected proceeds $70,415,022(c) | 2.320% | 09/24/2019 | 09/24/2019 | 70,000,000 | 70,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, and U.S. Treasury Notes, 2.125% – 2.250% due 11/15/2024 – 11/15/2025, valued at $113,088,995); expected proceeds $110,942,043 | 2.520% | 07/01/2019 | 07/01/2019 | 110,918,750 | 110,918,750 | |||||
Agreement with Prudential Insurance Co., dated 06/28/2019 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2025 – 11/15/2028, valued at $102,882,850); expected proceeds $100,871,179 | 2.520% | 07/01/2019 | 07/01/2019 | 100,850,000 | 100,850,000 |
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 06/28/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/14/2019, U.S. Treasury Bonds, 2.750% – 4.375% due 11/15/2039 – 02/15/2048, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2045, U.S. Treasury Inflation Index Notes, 1.125% – 1.250% due 07/15/2020 – 01/15/2021, and U.S. Treasury Notes, 2.125% – 2.875% due 05/31/2021 – 02/15/2024, valued at $372,300,005); expected proceeds $365,076,042 | 2.500% | 07/01/2019 | 07/01/2019 | $365,000,000 | $365,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/25/2019 – 03/26/2020, U.S. Treasury Inflation Index Bonds, 1.000% – 3.875% due 01/15/2028 – 02/15/2048, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, U.S. Treasury Notes, 2.125% – 2.625% due 07/31/2020 – 05/15/2022, and U.S. Treasury Strips, 0.000% due 02/15/2023 – 11/15/2027, valued at $181,560,000); expected proceeds $178,036,787 | 2.480% | 07/01/2019 | 07/01/2019 | 178,000,000 | 178,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.625% due 06/15/2021 – 05/31/2024, valued at $44,880,044); expected proceeds $44,009,167 | 2.500% | 07/01/2019 | 07/01/2019 | 44,000,000 | 44,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 07/05/2019 – 05/21/2020, U.S. Treasury Bonds, 2.750% – 6.375% due 02/15/2026 – 11/15/2047, U.S. Treasury Inflation Index Bonds, 0.625% – 3.875% due 01/15/2025 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 1.875% due 07/15/2019 – 01/15/2029, U.S. Treasury Notes, 0.875% – 3.500% due 07/31/2019 – 02/15/2028, and U.S. Treasury Strips, 0.000% due 05/15/2022 – 05/15/2029, valued at $153,000,005); expected proceeds $150,031,250 | 2.500% | 07/01/2019 | 07/01/2019 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/28/2019 (collateralized by U.S. Treasury Bills, 0.000% due 11/07/2019 – 11/29/2019, and U.S. Treasury Notes, 1.125% – 1.625% due 02/28/2021 – 02/15/2026, valued at $560,096,722); expected proceeds $549,114,375 | 2.500% | 07/01/2019 | 07/01/2019 | 549,000,000 | 549,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 6,413,768,750 | |||||||||
TOTAL INVESTMENTS –91.2% (d)(e) | 16,675,817,233 | |||||||||
Other Assets in Excess of Liabilities —8.8% | 1,608,308,909 | |||||||||
NET ASSETS –100.0% | $18,284,126,142 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. 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 $515,000,000 or 2.9% of net assets as of June 30, 2019. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $10,262,048,483 |
Repurchase agreements, at value and amortized cost | 6,413,768,750 |
Total Investments | 16,675,817,233 |
Cash | 1,582,964,521 |
Interest receivable — unaffiliated issuers | 24,322,898 |
Other Receivable | 1,797,087 |
TOTAL ASSETS | 18,284,901,739 |
LIABILITIES | |
Advisory and administrator fee payable | 660,846 |
Custody, sub-administration and transfer agent fees payable | 77,199 |
Trustees’ fees and expenses payable | 289 |
Professional fees payable | 32,889 |
Accrued expenses and other liabilities | 4,374 |
TOTAL LIABILITIES | 775,597 |
NET ASSETS | $18,284,126,142 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $216,925,402 |
EXPENSES | |
Advisory and administrator fee | 4,399,968 |
Custodian, sub-administrator and transfer agent fees | 1,146,952 |
Trustees’ fees and expenses | 194,848 |
Professional fees | 82,659 |
Printing and postage fees | 22,661 |
Insurance expense | 3,336 |
Miscellaneous expenses | 5,818 |
TOTAL EXPENSES | 5,856,242 |
NET INVESTMENT INCOME (LOSS) | $211,069,160 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 21,451 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $211,090,611 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $211,069,160 | $250,070,855 | |
Net realized gain (loss) | 21,451 | 1,950 | |
Net increase (decrease) in net assets resulting from operations | 211,090,611 | 250,072,805 | |
CAPITAL TRANSACTIONS | |||
Contributions | 14,848,481,579 | 39,817,102,235 | |
Withdrawals | (14,222,710,980) | (36,800,190,630) | |
Net increase (decrease) in net assets from capital transactions | 625,770,599 | 3,016,911,605 | |
Net increase (decrease) in net assets during the period | 836,861,210 | 3,266,984,410 | |
Net assets at beginning of period | 17,447,264,932 | 14,180,280,522 | |
NET ASSETS AT END OF PERIOD | $18,284,126,142 | $17,447,264,932 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | ||||||
Total return (a) | 1.19% | 1.82% | 0.82% | 0.23% | (0.01)% | (0.02)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $18,284,126 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | $2,765,530 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 2.40%(b) | 1.79% | 0.84% | 0.27% | (0.01)% | (0.02)% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.07% | $1,011.90 | $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. |
• | 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, 2018, 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 |
• | 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 from such operations for the calendar year ended December 31, 2018; 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, 2018; |
• | 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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
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 |
1 | |
5 | |
Portfolio Statistics (Unaudited) | |
14 | |
15 | |
16 | |
Schedules of Investments (Unaudited) | |
17 | |
63 | |
88 | |
116 | |
119 | |
122 | |
133 |
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* | $163,392,789 | $326,785,122 | $95,227,022 | ||
Receivable for fund shares sold | 1,009,999 | 1,383,465 | 1,281,002 | ||
Receivable from Adviser | 49,207 | 71,500 | 33,935 | ||
TOTAL ASSETS | 164,451,995 | 328,240,087 | 96,541,959 | ||
LIABILITIES | |||||
Payable for investments purchased | 988,148 | 514,733 | 1,265,511 | ||
Payable for fund shares repurchased | 17,351 | 862,942 | 10,991 | ||
Advisory fee payable | 3,307 | 15,508 | 2,213 | ||
Custodian fees payable | 2,464 | 2,577 | 2,590 | ||
Administration fees payable | 6,626 | 44,203 | 3,701 | ||
Distribution fees payable | 441 | 1,055 | 3,279 | ||
Accrued Trustees' fees and expenses | — | — | 953 | ||
Transfer agent fees payable | 2,356 | 3,291 | 309 | ||
Registration and filing fees payable | 1,386 | 2,966 | — | ||
Professional fees payable | 15,904 | 15,910 | 15,606 | ||
Printing and postage fees payable | 2,422 | 1,962 | 2,468 | ||
TOTAL LIABILITIES | 1,040,405 | 1,465,147 | 1,307,621 | ||
NET ASSETS | $163,411,590 | $326,774,940 | $95,234,338 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $160,085,986 | $316,769,013 | $91,505,964 | ||
Total distributable earnings (loss) | 3,325,604 | 10,005,927 | 3,728,374 | ||
NET ASSETS | $163,411,590 | $326,774,940 | $95,234,338 | ||
Class A | |||||
Net Assets | $2,180,843 | $5,444,000 | $17,784,777 | ||
Shares Outstanding | 217,263 | 567,266 | 1,422,406 | ||
Net asset value, offering and redemption price per share | $10.04 | $9.60 | $12.50 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $10.43 | $10.13 | $13.19 | ||
Class I | |||||
Net Assets | $11,385,943 | $680,390 | $6,527,739 | ||
Shares Outstanding | 1,136,730 | 70,768 | 521,292 | ||
Net asset value, offering and redemption price per share | $10.02 | $9.61 | $12.52 | ||
Class K | |||||
Net Assets | $149,844,804 | $320,650,550 | $70,921,822 | ||
Shares Outstanding | 14,970,671 | 33,300,821 | 5,661,520 | ||
Net asset value, offering and redemption price per share | $10.01 | $9.63 | $12.53 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $159,236,560 | $321,712,936 | $94,283,203 |
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 | |||||
Interest income — unaffiliated issuers | $— | $76 | $28 | ||
Dividend income from corresponding affiliated Portfolio | 1,807,518 | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 1,807,518 | 76 | 28 | ||
EXPENSES | |||||
Advisory fee | 18,519 | 134,212 | 10,354 | ||
Administration fees | 42,230 | 148,395 | 22,419 | ||
Sub-transfer agent fee | |||||
Class A | 15 | 523 | 964 | ||
Class I | 61 | 300 | 751 | ||
Distribution fees | |||||
Class A | 2,369 | 5,456 | 15,582 | ||
Custodian fees | 18,755 | 18,745 | 18,744 | ||
Trustees’ fees and expenses | 9,001 | 9,001 | 9,953 | ||
Transfer agent fees | 35,970 | 35,900 | 11,137 | ||
Registration and filing fees | 43,507 | 44,380 | 32,915 | ||
Professional fees and expenses | 22,017 | 22,024 | 21,719 | ||
Printing and postage fees | 6,210 | 9,080 | 4,683 | ||
Insurance expense | 323 | 1,317 | 93 | ||
TOTAL EXPENSES | 198,977 | 429,333 | 149,314 | ||
Expenses waived/reimbursed by the Adviser | (178,013) | (385,279) | (116,488) | ||
NET EXPENSES | 20,964 | 44,054 | 32,826 | ||
NET INVESTMENT INCOME (LOSS) | $1,786,554 | $(43,978) | $(32,798) | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | (26,580) | 7,069,202 | 403,113 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | 7,303,528 | 44,003,730 | 10,252,519 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 7,276,948 | 51,072,932 | 10,655,632 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $9,063,502 | $51,028,954 | $10,622,834 |
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 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $1,786,554 | $3,313,604 | $(43,978) | $11,853,723 | $(32,798) | $851,141 | |||||
Net realized gain (loss) | (26,580) | (716,389) | 7,069,202 | 7,670,457 | 403,113 | 2,964,458 | |||||
Net change in unrealized appreciation/depreciation | 7,303,528 | (2,180,624) | 44,003,730 | (87,372,839) | 10,252,519 | (11,405,264) | |||||
Net increase (decrease) in net assets resulting from operations | 9,063,502 | 416,591 | 51,028,954 | (67,848,659) | 10,622,834 | (7,589,665) | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (17,139) | (15,298) | — | (239,408) | — | (291,904) | |||||
Class I | (133,497) | (292,330) | — | (61,342) | — | (180,583) | |||||
Class K | (1,639,961) | (3,009,769) | — | (31,433,325) | — | (1,357,502) | |||||
Total distributions to shareholders | (1,790,597) | (3,317,397) | — | (31,734,075) | — | (1,829,989) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 1,990,485 | 956,614 | 1,821,622 | 3,431,591 | 9,264,985 | 11,154,832 | |||||
Reinvestment of distributions | 17,139 | 15,113 | — | 239,408 | — | 291,840 | |||||
Cost of shares redeemed | (1,050,506) | (185,045) | (492,924) | (258,352) | (2,644,641) | (1,528,358) | |||||
Net increase (decrease) from capital share transactions | 957,118 | 786,682 | 1,328,698 | 3,412,647 | 6,620,344 | 9,918,314 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 417,518 | 1,295,351 | 101,530 | 27,666 | 979,027 | 1,881,040 | |||||
Reinvestment of distributions | 47,359 | 102,198 | — | 61,342 | — | 180,583 | |||||
Cost of shares redeemed | (199,409) | (1,294,529) | (141,350) | (246,039) | (481,714) | (362,509) | |||||
Net increase (decrease) from capital share transactions | 265,468 | 103,020 | (39,820) | (157,031) | 497,313 | 1,699,114 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 21,458,004 | 46,337,876 | 56,613,930 | 97,730,912 | 27,692,053 | 28,553,804 | |||||
Reinvestment of distributions | 1,639,961 | 3,009,769 | — | 31,214,470 | — | 1,332,147 | |||||
Cost of shares redeemed | (7,717,518) | (16,266,407) | (219,476,515) | (53,791,160) | (2,704,789) | (3,449,083) | |||||
Net increase (decrease) from capital share transactions | 15,380,447 | 33,081,238 | (162,862,585) | 75,154,222 | 24,987,264 | 26,436,868 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 16,603,033 | 33,970,940 | (161,573,707) | 78,409,838 | 32,104,921 | 38,054,296 | |||||
Net increase (decrease) in net assets during the period | 23,875,938 | 31,070,134 | (110,544,753) | (21,172,896) | 42,727,755 | 28,634,642 | |||||
Net assets at beginning of period | 139,535,652 | 108,465,518 | 437,319,693 | 458,492,589 | 52,506,583 | 23,871,941 | |||||
NET ASSETS AT END OF PERIOD | $163,411,590 | $139,535,652 | $326,774,940 | $437,319,693 | $95,234,338 | $52,506,583 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 205,899 | 100,646 | 194,961 | 336,001 | 755,355 | 897,673 | |||||
Reinvestment of distributions | 1,756 | 1,594 | — | 28,604 | — | 28,251 | |||||
Shares redeemed | (107,766) | (19,456) | (53,246) | (25,912) | (218,548) | (123,003) | |||||
Net increase (decrease) from share transactions | 99,889 | 82,784 | 141,715 | 338,693 | 536,807 | 802,921 | |||||
Class I | |||||||||||
Shares sold | 43,150 | 136,002 | 10,955 | 2,568 | 81,899 | 148,991 | |||||
Reinvestment of distributions | 4,874 | 10,740 | — | 7,321 | — | 17,481 | |||||
Shares redeemed | (20,470) | (135,738) | (15,222) | (28,500) | (41,548) | (31,541) | |||||
Net increase (decrease) from share transactions | 27,554 | 11,004 | (4,267) | (18,611) | 40,351 | 134,931 |
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 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||||||
Class K | |||||||||||
Shares sold | $2,199,774 | $4,879,259 | $6,077,372 | $9,921,926 | $2,243,549 | $2,229,951 | |||||
Reinvestment of distributions | 168,831 | 316,549 | — | 3,720,438 | — | 128,959 | |||||
Shares redeemed | (784,712) | (1,704,883) | (23,900,836) | (5,266,494) | (227,792) | (281,909) | |||||
Net increase (decrease) from share transactions | 1,583,893 | 3,490,925 | (17,823,464) | 8,375,870 | 2,015,757 | 2,077,001 |
Class A | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $9.55 | $9.82 | $9.75 | $9.75 | $10.14 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.11 | 0.26 | 0.21 | 0.16 | 0.21 | 0.02 | |||||
Net realized and unrealized gain (loss) | 0.46 | (0.30) | 0.08 | 0.03 | (0.18) | 0.16 | |||||
Total from investment operations | 0.57 | (0.04) | 0.29 | 0.19 | 0.03 | 0.18 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.08) | (0.23) | (0.21) | (0.18) | (0.26) | (0.04) | |||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | — | |||||
Return of Capital | — | — | — | — | (0.02) | — | |||||
Total distributions | (0.08) | (0.23) | (0.22) | (0.19) | (0.42) | (0.04) | |||||
Net asset value, end of period | $10.04 | $9.55 | $9.82 | $9.75 | $9.75 | $10.14 | |||||
Total return (b) | 6.03% | (0.39)% | 2.93% | 1.91% | 0.35% | 1.85% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,181 | $1,121 | $340 | $211 | $184 | $51 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.52%(d) | 0.55% | 0.58% | 0.67% | 0.66% | 0.91%(d) | |||||
Net expenses (c) | 0.28%(d) | 0.31% | 0.40% | 0.40% | 0.31% | 0.52%(d) | |||||
Net investment income (loss) | 2.29%(d) | 2.74% | 2.11% | 1.65% | 2.11% | 0.58%(d) | |||||
Portfolio turnover rate (e) | 26%(f) | 90% | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates 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) | 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. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $9.55 | $9.84 | $9.76 | $9.74 | $10.13 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.12 | 0.27 | 0.23 | 0.18 | 0.20 | 0.08 | |||||
Net realized and unrealized gain (loss) | 0.47 | (0.29) | 0.09 | 0.06 | (0.14) | 0.09 | |||||
Total from investment operations | 0.59 | (0.02) | 0.32 | 0.24 | 0.06 | 0.17 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.27) | (0.23) | (0.21) | (0.29) | (0.04) | |||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | — | |||||
Return of Capital | — | — | — | — | (0.02) | — | |||||
Total distributions | (0.12) | (0.27) | (0.24) | (0.22) | (0.45) | (0.04) | |||||
Net asset value, end of period | $10.02 | $9.55 | $9.84 | $9.76 | $9.74 | $10.13 | |||||
Total return (b) | 6.20% | (0.20)% | 3.29% | 2.37% | 0.60% | 1.82% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $11,386 | $10,598 | $10,807 | $12,370 | $4,508 | $4,484 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.27%(d) | 0.27% | 0.26% | 0.33% | 0.41% | 0.88%(d) | |||||
Net expenses (c) | 0.03%(d) | 0.04% | 0.08% | 0.06% | 0.06% | 0.28%(d) | |||||
Net investment income (loss) | 2.44%(d) | 2.78% | 2.30% | 1.83% | 1.95% | 2.91%(d) | |||||
Portfolio turnover rate (e) | 26%(f) | 90% | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates 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) | 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. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $9.55 | $9.83 | $9.75 | $9.74 | $10.14 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.12 | 0.27 | 0.23 | 0.20 | 0.20 | 0.04 | |||||
Net realized and unrealized gain (loss) | 0.46 | (0.28) | 0.09 | 0.03 | (0.15) | 0.15 | |||||
Total from investment operations | 0.58 | (0.01) | 0.32 | 0.23 | 0.05 | 0.19 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.27) | (0.23) | (0.21) | (0.29) | (0.05) | |||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | — | |||||
Return of Capital | — | — | — | — | (0.02) | — | |||||
Total distributions | (0.12) | (0.27) | (0.24) | (0.22) | (0.45) | (0.05) | |||||
Net asset value, end of period | $10.01 | $9.55 | $9.83 | $9.75 | $9.74 | $10.14 | |||||
Total return (b) | 6.10% | (0.10)% | 3.30% | 2.27% | 0.54% | 1.97% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $149,845 | $127,817 | $97,318 | $76,429 | $49,641 | $70,950 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.27%(d) | 0.27% | 0.26% | 0.33% | 0.41% | 0.50%(d) | |||||
Net expenses (c) | 0.03%(d) | 0.04% | 0.08% | 0.06% | 0.06% | 0.09%(d) | |||||
Net investment income (loss) | 2.41%(d) | 2.83% | 2.37% | 1.98% | 1.88% | 1.33%(d) | |||||
Portfolio turnover rate (e) | 26%(f) | 90% | 99% | 194% | 62%(g) | 16%(f)(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates 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) | 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. |
Class A | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.01) | 0.36 | 0.08 | 0.31 | 0.15 | 0.04 | |||||
Net realized and unrealized gain (loss) | 1.15 | (1.90) | 2.25 | 0.09 | (0.71) | (0.83) | |||||
Total from investment operations | 1.14 | (1.54) | 2.33 | 0.40 | (0.56) | (0.79) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.23) | (0.26) | (0.11) | (0.16) | (0.04) | |||||
Net realized gains | — | (0.44) | (0.14) | — | — | — | |||||
Total distributions | — | (0.67) | (0.40) | (0.11) | (0.16) | (0.04) | |||||
Net asset value, end of period | $9.60 | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | |||||
Total return (b) | 13.48% | (14.38)% | 26.68% | 4.75% | (6.17)% | (7.88)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $5,444 | $3,599 | $927 | $1,564 | $42 | $46 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.47%(d) | 0.57% | 0.53% | 0.58% | 0.70% | 1.17%(d) | |||||
Net expenses (c) | 0.29%(d) | 0.42% | 0.44% | 0.42% | 0.32% | 0.60%(d) | |||||
Net investment income (loss) | (0.29)%(d) | 3.59% | 0.79% | 3.51% | 1.64% | 1.55%(d) | |||||
Portfolio turnover rate (e) | 9%(f) | 4% | 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. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.23 | 0.21 | 0.17 | 0.18 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.15 | (1.76) | 2.14 | 0.25 | (0.72) | (0.83) | |||||
Total from investment operations | 1.15 | (1.53) | 2.35 | 0.42 | (0.54) | (0.78) | |||||
Distributions to shareholders from: | �� | ||||||||||
Net investment income | — | (0.24) | (0.28) | (0.13) | (0.18) | (0.05) | |||||
Net realized gains | — | (0.44) | (0.14) | — | — | — | |||||
Total distributions | — | (0.68) | (0.42) | (0.13) | (0.18) | (0.05) | |||||
Net asset value, end of period | $9.61 | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | |||||
Total return (c) | 13.46% | (14.18)% | 27.00% | 5.02% | (5.94)% | (7.81)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $680 | $635 | $999 | $501 | $42 | $46 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.28%(e) | 0.43% | 0.23% | 0.32% | 0.45% | 0.92%(e) | |||||
Net expenses (d) | 0.10%(e) | 0.30% | 0.15% | 0.16% | 0.06% | 0.35%(e) | |||||
Net investment income (loss) | (0.10)%(e) | 2.27% | 2.12% | 2.01% | 1.89% | 1.81%(e) | |||||
Portfolio turnover rate (f) | 9%(g) | 4% | 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. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $8.47 | $10.68 | $8.74 | $8.45 | $9.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.26 | 0.32 | 0.20 | 0.24 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.16 | (1.77) | 2.04 | 0.22 | (0.78) | (0.83) | |||||
Total from investment operations | 1.16 | (1.51) | 2.36 | 0.42 | (0.54) | (0.78) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.28) | (0.13) | (0.18) | (0.05) | |||||
Net realized gains | — | (0.44) | (0.14) | — | — | — | |||||
Total distributions | — | (0.70) | (0.42) | (0.13) | (0.18) | (0.05) | |||||
Net asset value, end of period | $9.63 | $8.47 | $10.68 | $8.74 | $8.45 | $9.17 | |||||
Total return (c) | 13.70% | (14.03)% | 27.11% | 5.02% | (5.94)% | (7.76)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $320,651 | $433,086 | $456,567 | $222,297 | $57,219 | $40,800 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.19%(e) | 0.18% | 0.18% | 0.23% | 0.45% | 0.73%(e) | |||||
Net expenses (d) | 0.02%(e) | 0.05% | 0.10% | 0.07% | 0.06% | 0.15%(e) | |||||
Net investment income (loss) | (0.02)%(e) | 2.57% | 3.16% | 2.28% | 2.59% | 2.00%(e) | |||||
Portfolio turnover rate (f) | 9%(g) | 4% | 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. |
Class A | |||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.47 | $11.95 | $10.67 | $9.30 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.02) | 0.32 | 0.53 | 0.07 | 0.05 | ||||
Net realized and unrealized gain (loss) | 2.05 | (1.45) | 1.37 | 1.41 | (0.69) | ||||
Total from investment operations | 2.03 | (1.13) | 1.90 | 1.48 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.15) | (0.25) | (0.11) | (0.06) | ||||
Net realized gains | — | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | — | (0.35) | (0.62) | (0.11) | (0.06) | ||||
Net asset value, end of period | $12.50 | $10.47 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 19.39% | (9.35)% | 17.87% | 15.67% | (6.27)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $17,785 | $9,274 | $988 | $114 | $97 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.65%(e) | 0.80% | 1.10% | 2.48% | 5.08%(e) | ||||
Net expenses (d) | 0.31%(e) | 0.29% | 0.35% | 0.30% | 0.30%(e) | ||||
Net investment income (loss) | (0.31)%(e) | 2.65% | 4.60% | 0.69% | 2.55%(e) | ||||
Portfolio turnover rate (f) | 13%(g) | 22% | 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. |
Class I | |||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.48 | $11.95 | $10.67 | $9.30 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.20 | 0.40 | 0.14 | 0.06 | ||||
Net realized and unrealized gain (loss) | 2.04 | (1.29) | 1.53 | 1.37 | (0.70) | ||||
Total from investment operations | 2.04 | (1.09) | 1.93 | 1.51 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.18) | (0.28) | (0.14) | (0.06) | ||||
Net realized gains | — | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | — | (0.38) | (0.65) | (0.14) | (0.06) | ||||
Net asset value, end of period | $12.52 | $10.48 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 19.47% | (9.07)% | 18.16% | 15.96% | (6.18)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $6,528 | $5,038 | $4,135 | $297 | $97 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.40%(e) | 0.61% | 0.90% | 2.22% | 4.83%(e) | ||||
Net expenses (d) | 0.07%(e) | 0.07% | 0.11% | 0.05% | 0.05%(e) | ||||
Net investment income (loss) | (0.07)%(e) | 1.58% | 3.42% | 1.42% | 2.80%(e) | ||||
Portfolio turnover rate (f) | 13%(g) | 22% | 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. |
Class K | |||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.48 | $11.95 | $10.67 | $9.30 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.00)(b) | 0.29 | 0.15 | 0.15 | 0.06 | ||||
Net realized and unrealized gain (loss) | 2.05 | (1.38) | 1.78 | 1.36 | (0.70) | ||||
Total from investment operations | 2.05 | (1.09) | 1.93 | 1.51 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.18) | (0.28) | (0.14) | (0.06) | ||||
Net realized gains | — | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | — | (0.38) | (0.65) | (0.14) | (0.06) | ||||
Net asset value, end of period | $12.53 | $10.48 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 19.56% | (9.03)% | 18.16% | 16.21% | (6.38)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $70,922 | $38,195 | $18,750 | $14,098 | $3,930 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.38%(e) | 0.55% | 0.96% | 2.21% | 4.71%(e) | ||||
Net expenses (d) | 0.05%(e) | 0.04% | 0.05% | 0.05% | 0.05%(e) | ||||
Net investment income (loss) | (0.04)%(e) | 2.37% | 1.29% | 1.51% | 1.49%(e) | ||||
Portfolio turnover rate (f) | 13%(g) | 22% | 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. |
% of Net Assets | |||
U.S. Treasury Obligations | 38.9% | ||
U.S. Government Agency Obligations | 29.0 | ||
Corporate Bonds & Notes | 25.2 | ||
Foreign Government Obligations | 3.7 | ||
Mortgage-Backed Securities | 1.3 | ||
Municipal Bonds & Notes | 0.5 | ||
Asset-Backed Securities | 0.4 | ||
Short-Term Investments | 5.5 | ||
Liabilities in Excess of Other Assets | (4.5) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.6% | ||
Electric | 1.6 | ||
Pharmaceuticals | 1.5 | ||
Oil & Gas | 1.4 | ||
Telecommunications | 1.2 | ||
TOTAL | 11.3% |
% of Net Assets | |||
Common Stocks | 95.7% | ||
Warrants | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 5.1 | ||
Liabilities in Excess of Other Assets | (0.8) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Banks | 13.8% | ||
Oil & Gas | 6.3 | ||
Pharmaceuticals | 5.5 | ||
Insurance | 5.5 | ||
Telecommunications | 4.4 | ||
TOTAL | 35.5% |
% of Net Assets | |||
Common Stocks | 98.1% | ||
Rights | 0.0 * | ||
Short-Term Investments | 9.3 | ||
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 | 9.6% | ||
Software | 8.8 | ||
Commercial Services | 6.2 | ||
Banks | 5.7 | ||
Internet | 5.0 | ||
TOTAL | 35.3% |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 25.2% | |||||
ADVERTISING — 0.1% | |||||
Interpublic Group of Cos., Inc.: | |||||
3.75%, 10/1/2021 | $260,000 | $267,241 | |||
4.20%, 4/15/2024 (a) | 25,000 | 26,897 | |||
4.65%, 10/1/2028 | 10,000 | 10,886 | |||
5.40%, 10/1/2048 | 25,000 | 27,727 | |||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 102,311 | |||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 25,743 | |||
460,805 | |||||
AEROSPACE & DEFENSE — 0.5% | |||||
Boeing Co.: | |||||
2.60%, 10/30/2025 | 35,000 | 35,101 | |||
2.80%, 3/1/2023 | 25,000 | 25,422 | |||
3.25%, 3/1/2028 (a) | 25,000 | 25,957 | |||
3.38%, 6/15/2046 | 25,000 | 23,918 | |||
3.50%, 3/1/2039 | 250,000 | 251,632 | |||
3.55%, 3/1/2038 | 165,000 | 166,653 | |||
3.65%, 3/1/2047 | 100,000 | 100,172 | |||
3.83%, 3/1/2059 | 250,000 | 253,347 | |||
Embraer Netherlands Finance B.V. 5.05%, 6/15/2025 | 50,000 | 54,023 | |||
General Dynamics Corp.: | |||||
2.25%, 11/15/2022 | 25,000 | 25,106 | |||
2.38%, 11/15/2024 | 250,000 | 251,545 | |||
3.75%, 5/15/2028 | 250,000 | 272,820 | |||
Harris Corp.: | |||||
3.83%, 4/27/2025 | 50,000 | 52,636 | |||
4.40%, 6/15/2028 | 100,000 | 109,409 | |||
L3 Technologies, Inc.: | |||||
3.85%, 6/15/2023 | 70,000 | 73,079 | |||
3.85%, 12/15/2026 (a) | 50,000 | 52,524 | |||
4.95%, 2/15/2021 | 25,000 | 25,828 | |||
Lockheed Martin Corp.: | |||||
2.50%, 11/23/2020 | 300,000 | 301,092 | |||
3.55%, 1/15/2026 | 100,000 | 106,339 | |||
3.60%, 3/1/2035 | 50,000 | 51,833 | |||
4.70%, 5/15/2046 | 110,000 | 133,387 | |||
Northrop Grumman Corp.: | |||||
2.55%, 10/15/2022 | 150,000 | 150,853 | |||
2.93%, 1/15/2025 | 150,000 | 152,719 | |||
3.25%, 8/1/2023 | 200,000 | 206,802 | |||
3.25%, 1/15/2028 | 150,000 | 154,033 | |||
4.03%, 10/15/2047 | 100,000 | 106,642 | |||
4.75%, 6/1/2043 | 25,000 | 28,930 | |||
Raytheon Co.: | |||||
3.13%, 10/15/2020 | 25,000 | 25,274 | |||
4.20%, 12/15/2044 | 25,000 | 27,698 | |||
Rockwell Collins, Inc.: |
Security Description | Principal Amount | Value | |||
2.80%, 3/15/2022 | $200,000 | $202,092 | |||
3.50%, 3/15/2027 (a) | 136,000 | 142,049 | |||
4.35%, 4/15/2047 | 100,000 | 109,660 | |||
United Technologies Corp.: | |||||
1.95%, 11/1/2021 | 150,000 | 148,781 | |||
2.65%, 11/1/2026 | 50,000 | 50,139 | |||
2.80%, 5/4/2024 (a) | 250,000 | 253,697 | |||
3.13%, 5/4/2027 | 200,000 | 205,656 | |||
3.35%, 8/16/2021 | 15,000 | 15,332 | |||
3.65%, 8/16/2023 | 340,000 | 356,334 | |||
3.95%, 8/16/2025 | 25,000 | 26,933 | |||
4.13%, 11/16/2028 | 60,000 | 65,881 | |||
4.45%, 11/16/2038 | 20,000 | 22,428 | |||
4.50%, 6/1/2042 | 100,000 | 112,764 | |||
4.63%, 11/16/2048 | 35,000 | 40,768 | |||
6.13%, 7/15/2038 | 50,000 | 66,264 | |||
5,063,552 | |||||
AGRICULTURE — 0.4% | |||||
Altria Group, Inc.: | |||||
2.85%, 8/9/2022 | 200,000 | 202,026 | |||
3.49%, 2/14/2022 (a) | 15,000 | 15,404 | |||
3.80%, 2/14/2024 | 40,000 | 41,723 | |||
3.88%, 9/16/2046 | 100,000 | 88,835 | |||
4.00%, 1/31/2024 | 25,000 | 26,294 | |||
4.40%, 2/14/2026 | 225,000 | 240,766 | |||
4.50%, 5/2/2043 | 25,000 | 23,906 | |||
4.80%, 2/14/2029 | 40,000 | 43,132 | |||
5.80%, 2/14/2039 | 285,000 | 319,445 | |||
5.95%, 2/14/2049 | 75,000 | 85,279 | |||
6.20%, 2/14/2059 | 15,000 | 17,192 | |||
Archer-Daniels-Midland Co.: | |||||
3.38%, 3/15/2022 | 60,000 | 62,060 | |||
3.75%, 9/15/2047 | 50,000 | 51,711 | |||
4.02%, 4/16/2043 | 50,000 | 53,392 | |||
BAT Capital Corp.: | |||||
2.76%, 8/15/2022 | 300,000 | 300,516 | |||
3.22%, 8/15/2024 | 50,000 | 50,390 | |||
3.56%, 8/15/2027 | 100,000 | 99,556 | |||
4.39%, 8/15/2037 | 285,000 | 270,793 | |||
4.54%, 8/15/2047 | 105,000 | 97,631 | |||
Bunge, Ltd. Finance Corp.: | |||||
3.75%, 9/25/2027 | 30,000 | 29,772 | |||
4.35%, 3/15/2024 | 100,000 | 104,683 | |||
Philip Morris International, Inc.: | |||||
2.13%, 5/10/2023 (a) | 75,000 | 74,171 | |||
2.50%, 11/2/2022 | 500,000 | 501,990 | |||
2.63%, 2/18/2022 | 25,000 | 25,194 | |||
2.75%, 2/25/2026 | 125,000 | 125,325 | |||
3.13%, 3/2/2028 | 200,000 | 203,198 | |||
4.13%, 3/4/2043 | 25,000 | 25,528 | |||
4.25%, 11/10/2044 (a) | 250,000 | 261,505 | |||
4.50%, 3/20/2042 | 50,000 | 53,506 | |||
Reynolds American, Inc.: | |||||
4.00%, 6/12/2022 | 50,000 | 51,866 | |||
5.70%, 8/15/2035 | 25,000 | 27,490 |
Security Description | Principal Amount | Value | |||
5.85%, 8/15/2045 | $175,000 | $188,282 | |||
3,762,561 | |||||
AIRLINES — 0.1% | |||||
American Airlines 2014-1 Pass Through Trust Series A, Class A, 3.70%, 4/1/2028 | 18,798 | 19,427 | |||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 94,588 | 95,235 | |||
Delta Air Lines, Inc.: | |||||
2.60%, 12/4/2020 | 250,000 | 249,658 | |||
3.63%, 3/15/2022 | 100,000 | 101,635 | |||
United Airlines 2016-1 Pass Through Trust Series AA, Class AA, 3.10%, 1/7/2030 | 46,042 | 46,249 | |||
United Airlines 2018-1 Pass Through Trust Series AA, Class AA, 3.50%, 9/1/2031 | 112,998 | 115,556 | |||
United Airlines 2019-1 Pass Through Trust Series AA, Class AA, 4.15%, 2/25/2033 | 80,000 | 85,427 | |||
713,187 | |||||
APPAREL — 0.0% (b) | |||||
NIKE, Inc.: | |||||
2.38%, 11/1/2026 | 50,000 | 50,079 | |||
3.88%, 11/1/2045 | 30,000 | 32,290 | |||
Ralph Lauren Corp. 3.75%, 9/15/2025 | 25,000 | 26,436 | |||
108,805 | |||||
AUTO MANUFACTURERS — 0.6% | |||||
American Honda Finance Corp.: | |||||
Series MTN, 1.95%, 7/20/2020 | 25,000 | 24,927 | |||
Series MTN, 2.45%, 9/24/2020 | 75,000 | 75,185 | |||
Series MTN, 2.90%, 2/16/2024 (a) | 50,000 | 50,987 | |||
Series MTN, 3.63%, 10/10/2023 (a) | 300,000 | 315,255 | |||
Ford Motor Co.: | |||||
4.35%, 12/8/2026 (a) | 100,000 | 100,875 | |||
4.75%, 1/15/2043 | 50,000 | 43,459 | |||
5.29%, 12/8/2046 | 100,000 | 92,993 | |||
Ford Motor Credit Co. LLC: | |||||
2.34%, 11/2/2020 | 250,000 | 247,965 | |||
2.98%, 8/3/2022 | 200,000 | 197,982 | |||
3.10%, 5/4/2023 | 100,000 | 98,312 | |||
3.34%, 3/18/2021 | 150,000 | 150,619 | |||
3.82%, 11/2/2027 (a) | 250,000 | 239,192 |
Security Description | Principal Amount | Value | |||
5.58%, 3/18/2024 | $500,000 | $535,710 | |||
5.60%, 1/7/2022 (a) | 600,000 | 635,058 | |||
Series GMTN, 4.39%, 1/8/2026 | 100,000 | 100,310 | |||
General Motors Co.: | |||||
5.15%, 4/1/2038 | 200,000 | 197,948 | |||
5.20%, 4/1/2045 | 200,000 | 191,432 | |||
6.60%, 4/1/2036 | 100,000 | 110,492 | |||
6.75%, 4/1/2046 | 25,000 | 27,880 | |||
General Motors Financial Co., Inc.: | |||||
3.15%, 6/30/2022 | 250,000 | 251,605 | |||
3.20%, 7/13/2020 | 25,000 | 25,081 | |||
3.20%, 7/6/2021 | 100,000 | 100,731 | |||
3.45%, 1/14/2022 | 50,000 | 50,732 | |||
3.55%, 7/8/2022 | 50,000 | 50,874 | |||
3.70%, 5/9/2023 | 100,000 | 101,504 | |||
3.95%, 4/13/2024 | 150,000 | 153,420 | |||
4.00%, 1/15/2025 | 35,000 | 35,522 | |||
4.15%, 6/19/2023 | 200,000 | 206,116 | |||
4.20%, 11/6/2021 | 250,000 | 257,382 | |||
4.35%, 1/17/2027 (a) | 185,000 | 188,580 | |||
5.10%, 1/17/2024 | 500,000 | 534,615 | |||
5.25%, 3/1/2026 | 100,000 | 107,371 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 50,118 | |||
Series MTN, 2.65%, 5/10/2022 | 50,000 | 50,604 | |||
Series MTN, 3.10%, 5/10/2021 | 40,000 | 40,634 | |||
Toyota Motor Credit Corp.: | |||||
Series GMTN, 1.90%, 4/8/2021 | 275,000 | 273,795 | |||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 25,482 | |||
Series GMTN, 3.05%, 1/11/2028 (a) | 50,000 | 51,587 | |||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 104,682 | |||
Series MTN, 2.15%, 9/8/2022 (a) | 50,000 | 49,982 | |||
Series MTN, 2.60%, 1/11/2022 | 200,000 | 202,078 | |||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 51,271 | |||
Series MTN, 2.95%, 4/13/2021 | 50,000 | 50,675 | |||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 105,496 | |||
6,556,518 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (b) | |||||
Aptiv PLC: | |||||
4.25%, 1/15/2026 | 25,000 | 26,255 | |||
4.40%, 10/1/2046 | 30,000 | 28,040 |
Security Description | Principal Amount | Value | |||
Aptiv PLC 4.35%, 3/15/2029 | $45,000 | $47,323 | |||
Lear Corp.: | |||||
4.25%, 5/15/2029 | 25,000 | 25,220 | |||
5.25%, 1/15/2025 | 20,000 | 20,697 | |||
5.25%, 5/15/2049 | 30,000 | 29,643 | |||
177,178 | |||||
BANKS — 5.6% | |||||
Australia & New Zealand Banking Group, Ltd.: | |||||
2.63%, 5/19/2022 | 250,000 | 252,185 | |||
Series MTN, 2.30%, 6/1/2021 | 100,000 | 100,039 | |||
Banco Bilbao Vizcaya Argentaria SA 3.00%, 10/20/2020 | 25,000 | 25,174 | |||
Banco Santander SA: | |||||
3.13%, 2/23/2023 | 200,000 | 202,968 | |||
4.38%, 4/12/2028 (a) | 200,000 | 212,444 | |||
Bank of America Corp.: | |||||
6.11%, 1/29/2037 | 75,000 | 95,580 | |||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (c) | 250,000 | 259,082 | |||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (c) | 96,000 | 97,673 | |||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (c) | 250,000 | 257,530 | |||
3 Month USD LIBOR + 1.02%, 2.88%, 4/24/2023 (a) (c) | 234,000 | 236,712 | |||
3 Month USD LIBOR + 1.04%, 3.42%, 12/20/2028 (c) | 360,000 | 370,346 | |||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (a) (c) | 100,000 | 105,805 | |||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 217,764 | |||
Series GMTN, 2.63%, 4/19/2021 | 600,000 | 603,594 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 135,840 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 260,185 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 52,438 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 50,121 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 53,343 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 26,721 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 53,146 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 59,789 |
Security Description | Principal Amount | Value | |||
Series MTN, 5.00%, 1/21/2044 | $100,000 | $121,565 | |||
Series MTN, 3 Month USD LIBOR + 0.63%, 3.50%, 5/17/2022 (a) (c) | 200,000 | 203,890 | |||
Series MTN, 3 Month USD LIBOR + 0.94%, 3.86%, 7/23/2024 (c) | 500,000 | 525,075 | |||
Series MTN, 3 Month USD LIBOR + 0.97%, 3.46%, 3/15/2025 (c) | 500,000 | 518,850 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | 250,000 | 255,895 | |||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (a) (c) | 200,000 | 203,248 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (c) | 150,000 | 160,600 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (c) | 500,000 | 545,625 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 169,789 | |||
Bank of America NA 3 Month USD LIBOR + 0.65%, 3.34%, 1/25/2023 (c) | 270,000 | 277,042 | |||
Bank of Montreal: | |||||
Series D, 3.10%, 4/13/2021 | 60,000 | 60,926 | |||
Series MTN, 1.90%, 8/27/2021 (a) | 300,000 | 297,912 | |||
Series MTN, 2.50%, 6/28/2024 | 65,000 | 65,060 | |||
Series MTN, 2.55%, 11/6/2022 (a) | 30,000 | 30,282 | |||
Series MTN, 2.90%, 3/26/2022 (a) | 100,000 | 101,544 | |||
Series MTN, 3.10%, 7/13/2020 (a) | 50,000 | 50,427 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 (a) | 100,000 | 102,781 | |||
Series MTN, 2.05%, 5/3/2021 (a) | 50,000 | 49,909 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 199,122 | |||
Series MTN, 2.60%, 2/7/2022 | 125,000 | 126,254 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 103,691 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 259,070 | |||
Bank of Nova Scotia: | |||||
2.35%, 10/21/2020 | 100,000 | 100,164 | |||
2.70%, 3/7/2022 | 100,000 | 101,373 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 2.65%, 4.65%, 10/12/2022 (c) | $250,000 | $238,832 | |||
Series BKNT, 2.45%, 3/22/2021 | 200,000 | 200,868 | |||
Series BKNT, 2.50%, 1/8/2021 | 250,000 | 251,065 | |||
Barclays Bank PLC: | |||||
2.65%, 1/11/2021 | 200,000 | 200,346 | |||
5.14%, 10/14/2020 | 100,000 | 102,834 | |||
Barclays PLC: | |||||
3.20%, 8/10/2021 | 200,000 | 201,520 | |||
3.68%, 1/10/2023 | 200,000 | 202,744 | |||
4.38%, 1/12/2026 | 50,000 | 51,907 | |||
5.25%, 8/17/2045 | 25,000 | 27,165 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (c) | 250,000 | 258,200 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | 200,000 | 213,026 | |||
BB&T Corp.: | |||||
Series MTN, 2.15%, 2/1/2021 | 275,000 | 274,510 | |||
Series MTN, 3.05%, 6/20/2022 | 150,000 | 153,240 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 52,929 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 106,824 | |||
BNP Paribas SA: | |||||
Series BKNT, 5.00%, 1/15/2021 | 100,000 | 104,023 | |||
Series MTN, 4.25%, 10/15/2024 | 250,000 | 262,767 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 266,110 | |||
Branch Banking & Trust Co. Series BKNT, 3.63%, 9/16/2025 | 25,000 | 26,282 | |||
Canadian Imperial Bank of Commerce: | |||||
2.55%, 6/16/2022 | 50,000 | 50,530 | |||
2.70%, 2/2/2021 | 85,000 | 85,614 | |||
3.10%, 4/2/2024 (a) | 100,000 | 102,188 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 256,280 | |||
3.30%, 10/30/2024 | 100,000 | 102,559 | |||
3.75%, 7/28/2026 (a) | 125,000 | 127,235 | |||
3.80%, 1/31/2028 | 250,000 | 258,267 | |||
Capital One NA Series BKNT, 2.95%, 7/23/2021 | 75,000 | 75,782 | |||
Citibank NA: | |||||
Series BKNT, 2.13%, 10/20/2020 | 275,000 | 274,425 | |||
Series BKNT, 3.65%, 1/23/2024 | 250,000 | 262,992 |
Security Description | Principal Amount | Value | |||
Citigroup, Inc.: | |||||
2.35%, 8/2/2021 (a) | $50,000 | $49,966 | |||
2.70%, 3/30/2021 | 175,000 | 175,873 | |||
2.70%, 10/27/2022 | 250,000 | 251,900 | |||
2.75%, 4/25/2022 | 300,000 | 302,802 | |||
2.90%, 12/8/2021 | 250,000 | 252,817 | |||
3.20%, 10/21/2026 | 300,000 | 306,162 | |||
3.75%, 6/16/2024 | 25,000 | 26,364 | |||
4.13%, 7/25/2028 | 70,000 | 74,076 | |||
4.30%, 11/20/2026 | 50,000 | 52,814 | |||
4.40%, 6/10/2025 | 250,000 | 267,057 | |||
4.45%, 9/29/2027 | 150,000 | 161,617 | |||
4.65%, 7/30/2045 | 25,000 | 28,732 | |||
5.30%, 5/6/2044 | 50,000 | 59,969 | |||
6.68%, 9/13/2043 | 175,000 | 244,741 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (c) | 100,000 | 101,212 | |||
3 Month USD LIBOR + 1.02%, 4.04%, 6/1/2024 (a) (c) | 500,000 | 528,145 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (a) (c) | 250,000 | 268,585 | |||
3 Month USD LIBOR + 1.34%, 3.98%, 3/20/2030 (c) | 250,000 | 267,182 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 104,318 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | 250,000 | 264,145 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (a) (c) | 150,000 | 167,257 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 258,000 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 10/30/2020 | 250,000 | 249,482 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 (a) | 50,000 | 52,326 | |||
4.00%, 2/1/2029 (a) | 50,000 | 53,719 | |||
Commonwealth Bank of Australia Series BKNT, 2.55%, 3/15/2021 (a) | 100,000 | 100,475 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 253,147 | |||
3.88%, 2/8/2022 | 50,000 | 52,011 | |||
4.38%, 8/4/2025 | 250,000 | 266,115 | |||
4.50%, 1/11/2021 | 50,000 | 51,659 | |||
5.75%, 12/1/2043 | 50,000 | 63,840 | |||
Series GMTN, 2.50%, 1/19/2021 | 300,000 | 301,041 |
Security Description | Principal Amount | Value | |||
Credit Suisse AG Series MTN, 3.63%, 9/9/2024 (a) | $500,000 | $526,575 | |||
Credit Suisse Group Funding Guernsey, Ltd.: | |||||
3.13%, 12/10/2020 | 450,000 | 453,627 | |||
3.80%, 6/9/2023 | 150,000 | 156,016 | |||
Deutsche Bank AG: | |||||
2.70%, 7/13/2020 | 275,000 | 273,614 | |||
2.95%, 8/20/2020 | 50,000 | 49,696 | |||
3.30%, 11/16/2022 | 250,000 | 246,375 | |||
3.70%, 5/30/2024 | 50,000 | 49,121 | |||
4.25%, 10/14/2021 | 200,000 | 202,672 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 (a) | 250,000 | 255,927 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 25,360 | |||
Fifth Third Bancorp 3.95%, 3/14/2028 | 100,000 | 107,767 | |||
Fifth Third Bank: | |||||
Series BKNT, 2.25%, 6/14/2021 | 50,000 | 49,965 | |||
Series BKNT, 3.35%, 7/26/2021 | 200,000 | 204,082 | |||
Series BKNT, 3.85%, 3/15/2026 | 225,000 | 237,402 | |||
Goldman Sachs Group, Inc.: | |||||
2.35%, 11/15/2021 | 175,000 | 174,655 | |||
2.60%, 12/27/2020 | 250,000 | 250,237 | |||
2.63%, 4/25/2021 | 150,000 | 150,538 | |||
2.75%, 9/15/2020 | 250,000 | 251,030 | |||
2.88%, 2/25/2021 | 25,000 | 25,179 | |||
3.00%, 4/26/2022 | 250,000 | 252,262 | |||
3.50%, 1/23/2025 | 50,000 | 51,757 | |||
3.50%, 11/16/2026 | 250,000 | 255,927 | |||
3.63%, 1/22/2023 | 25,000 | 25,927 | |||
3.63%, 2/20/2024 (a) | 560,000 | 584,086 | |||
3.75%, 2/25/2026 | 50,000 | 52,215 | |||
4.00%, 3/3/2024 | 50,000 | 53,029 | |||
4.75%, 10/21/2045 | 50,000 | 57,457 | |||
5.15%, 5/22/2045 | 250,000 | 285,620 | |||
5.95%, 1/15/2027 | 50,000 | 58,520 | |||
6.25%, 2/1/2041 | 200,000 | 267,362 | |||
6.75%, 10/1/2037 | 150,000 | 196,303 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (c) | 250,000 | 252,462 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 205,918 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 377,478 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 258,075 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.82%, 2.88%, 10/31/2022 (c) | $275,000 | $277,148 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 331,864 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 57,508 | |||
HSBC Holdings PLC: | |||||
2.95%, 5/25/2021 | 250,000 | 251,990 | |||
3.40%, 3/8/2021 | 275,000 | 279,323 | |||
3.60%, 5/25/2023 | 250,000 | 260,052 | |||
4.30%, 3/8/2026 | 250,000 | 267,652 | |||
5.10%, 4/5/2021 | 50,000 | 52,240 | |||
5.25%, 3/14/2044 (a) | 450,000 | 524,034 | |||
6.50%, 9/15/2037 | 200,000 | 260,728 | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (c) | 250,000 | 261,197 | |||
3 Month USD LIBOR + 1.21%, 3.80%, 3/11/2025 (c) | 500,000 | 520,515 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (c) | 200,000 | 212,866 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (c) | 250,000 | 273,002 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | 250,000 | 262,262 | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (c) | 250,000 | 253,212 | |||
Huntington Bancshares, Inc.: | |||||
2.30%, 1/14/2022 | 25,000 | 24,974 | |||
4.00%, 5/15/2025 | 100,000 | 106,525 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 261,712 | |||
Industrial & Commercial Bank of China, Ltd. 2.45%, 10/20/2021 | 250,000 | 248,940 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 (a) | 200,000 | 206,676 | |||
4.55%, 10/2/2028 | 200,000 | 220,176 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 53,169 | |||
JPMorgan Chase & Co.: | |||||
2.40%, 6/7/2021 | 550,000 | 550,742 | |||
2.55%, 3/1/2021 | 250,000 | 250,545 | |||
2.70%, 5/18/2023 | 125,000 | 126,294 | |||
2.95%, 10/1/2026 | 350,000 | 354,928 | |||
2.97%, 1/15/2023 | 50,000 | 50,704 | |||
3.38%, 5/1/2023 | 75,000 | 77,093 | |||
3.88%, 2/1/2024 (a) | 50,000 | 53,084 | |||
4.13%, 12/15/2026 | 50,000 | 53,548 | |||
4.25%, 10/1/2027 | 80,000 | 86,543 |
Security Description | Principal Amount | Value | |||
4.85%, 2/1/2044 | $50,000 | $59,693 | |||
4.95%, 6/1/2045 | 50,000 | 59,164 | |||
5.40%, 1/6/2042 | 50,000 | 63,472 | |||
5.50%, 10/15/2040 | 150,000 | 191,161 | |||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (c) | 155,000 | 158,108 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (c) | 75,000 | 77,742 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (c) | 200,000 | 209,486 | |||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (c) | 338,000 | 341,241 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | 185,000 | 191,797 | |||
3 Month USD LIBOR + 1.00%, 4.02%, 12/5/2024 (c) | 500,000 | 530,995 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 102,711 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (c) | 125,000 | 131,809 | |||
3 Month USD LIBOR + 1.22%, 3.90%, 1/23/2049 (c) | 450,000 | 472,504 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (c) | 200,000 | 218,454 | |||
3 Month USD LIBOR + 1.33%, 4.45%, 12/5/2029 (c) | 250,000 | 277,962 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 264,767 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 209,340 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 208,138 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 105,707 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 53,388 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 110,439 | |||
KeyBank NA: | |||||
Series BKNT, 2.30%, 9/14/2022 | 250,000 | 250,275 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.40%, 5/20/2026 | $25,000 | $25,725 | |||
KeyCorp.: | |||||
Series MTN, 2.90%, 9/15/2020 | 100,000 | 100,596 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 70,414 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 25,150 | |||
2.25%, 10/1/2021 | 50,000 | 50,487 | |||
Series GMTN, 1.75%, 7/27/2026 (a) | 50,000 | 49,240 | |||
Lloyds Banking Group PLC: | |||||
3.00%, 1/11/2022 | 200,000 | 201,902 | |||
3.75%, 1/11/2027 | 100,000 | 101,784 | |||
4.05%, 8/16/2023 | 300,000 | 312,927 | |||
4.34%, 1/9/2048 (a) | 200,000 | 194,850 | |||
4.65%, 3/24/2026 | 100,000 | 104,292 | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (c) | 200,000 | 199,732 | |||
Manufacturers & Traders Trust Co. Series BKNT, 2.63%, 1/25/2021 | 250,000 | 251,277 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
2.19%, 9/13/2021 | 50,000 | 49,746 | |||
2.67%, 7/25/2022 | 300,000 | 301,797 | |||
2.76%, 9/13/2026 | 25,000 | 24,942 | |||
3.00%, 2/22/2022 (a) | 50,000 | 50,711 | |||
3.29%, 7/25/2027 (a) | 50,000 | 51,665 | |||
3.41%, 3/7/2024 | 250,000 | 259,137 | |||
3.46%, 3/2/2023 | 50,000 | 51,605 | |||
3.54%, 7/26/2021 | 30,000 | 30,668 | |||
3.68%, 2/22/2027 | 50,000 | 52,929 | |||
3.74%, 3/7/2029 | 250,000 | 268,107 | |||
3.76%, 7/26/2023 | 100,000 | 104,624 | |||
3.78%, 3/2/2025 | 50,000 | 52,870 | |||
3.85%, 3/1/2026 | 25,000 | 26,613 | |||
3.96%, 3/2/2028 (a) | 50,000 | 54,255 | |||
4.05%, 9/11/2028 | 100,000 | 109,726 | |||
4.29%, 7/26/2038 | 35,000 | 38,941 | |||
Mizuho Financial Group, Inc.: | |||||
2.95%, 2/28/2022 | 200,000 | 202,412 | |||
4.02%, 3/5/2028 | 200,000 | 218,038 | |||
Morgan Stanley: | |||||
2.75%, 5/19/2022 | 450,000 | 454,698 | |||
3.63%, 1/20/2027 | 100,000 | 104,754 | |||
3.95%, 4/23/2027 | 25,000 | 26,150 | |||
4.30%, 1/27/2045 | 50,000 | 54,733 | |||
4.38%, 1/22/2047 | 100,000 | 111,265 | |||
6.38%, 7/24/2042 | 65,000 | 90,581 | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (c) | 250,000 | 260,665 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | $100,000 | $103,807 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 104,188 | |||
Series GMTN, 2.50%, 4/21/2021 | 225,000 | 225,412 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 306,756 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 52,213 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 132,992 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 535,910 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 53,607 | |||
Series GMTN, 3 Month USD LIBOR + 1.14%, 3.77%, 1/24/2029 (c) | 250,000 | 263,412 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (c) | 250,000 | 276,470 | |||
Series MTN, 2.63%, 11/17/2021 | 250,000 | 251,500 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 228,991 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 254,150 | |||
Series BKNT, 1.88%, 7/12/2021 | 250,000 | 247,990 | |||
Series BKNT, 2.50%, 7/12/2026 | 50,000 | 49,324 | |||
Northern Trust Corp.: | |||||
3.65%, 8/3/2028 | 100,000 | 107,864 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 63,805 | |||
PNC Bank NA: | |||||
Series BKNT, 2.15%, 4/29/2021 | 250,000 | 249,552 | |||
Series BKNT, 2.63%, 2/17/2022 | 250,000 | 252,152 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 260,285 | |||
PNC Financial Services Group, Inc.: | |||||
3.15%, 5/19/2027 | 100,000 | 103,061 | |||
3.30%, 3/8/2022 | 50,000 | 51,457 | |||
3.45%, 4/23/2029 | 100,000 | 105,154 | |||
3.50%, 1/23/2024 (a) | 50,000 | 52,625 | |||
3.90%, 4/29/2024 | 50,000 | 52,725 | |||
Regions Bank Series BKNT, 2.75%, 4/1/2021 | 250,000 | 251,327 |
Security Description | Principal Amount | Value | |||
Regions Financial Corp. 3.20%, 2/8/2021 | $25,000 | $25,276 | |||
Royal Bank of Canada: | |||||
2.30%, 3/22/2021 | 125,000 | 125,555 | |||
Series GMTN, 2.50%, 1/19/2021 | 100,000 | 100,475 | |||
Series GMTN, 3.20%, 4/30/2021 | 575,000 | 585,419 | |||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 526,565 | |||
Series GMTN, 4.65%, 1/27/2026 (a) | 100,000 | 109,375 | |||
Royal Bank of Scotland Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 76,994 | |||
5.13%, 5/28/2024 | 100,000 | 105,504 | |||
6.00%, 12/19/2023 | 95,000 | 103,522 | |||
6.10%, 6/10/2023 | 45,000 | 48,847 | |||
6.13%, 12/15/2022 | 105,000 | 113,222 | |||
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (c) | 250,000 | 252,565 | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (c) | 250,000 | 260,410 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) | 200,000 | 207,134 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 50,768 | |||
3.70%, 3/28/2022 | 60,000 | 61,380 | |||
4.40%, 7/13/2027 | 50,000 | 52,224 | |||
4.45%, 12/3/2021 | 30,000 | 31,166 | |||
4.50%, 7/17/2025 | 50,000 | 53,158 | |||
Series FXD, 3.50%, 6/7/2024 | 70,000 | 71,165 | |||
Santander UK Group Holdings PLC: | |||||
2.88%, 10/16/2020 | 100,000 | 100,268 | |||
3.57%, 1/10/2023 | 250,000 | 254,402 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (a) (c) | 200,000 | 202,158 | |||
Skandinaviska Enskilda Banken AB 1.88%, 9/13/2021 | 50,000 | 49,438 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
2.44%, 10/19/2021 | 70,000 | 70,112 | |||
2.78%, 7/12/2022 | 350,000 | 353,689 | |||
2.78%, 10/18/2022 | 100,000 | 100,942 | |||
2.85%, 1/11/2022 | 250,000 | 252,510 | |||
2.93%, 3/9/2021 | 100,000 | 100,932 | |||
3.01%, 10/19/2026 | 50,000 | 50,691 | |||
3.10%, 1/17/2023 | 200,000 | 204,370 | |||
3.36%, 7/12/2027 | 50,000 | 52,057 | |||
3.75%, 7/19/2023 | 50,000 | 52,397 | |||
3.78%, 3/9/2026 | 30,000 | 31,931 |
Security Description | Principal Amount | Value | |||
3.94%, 7/19/2028 | $50,000 | $54,293 | |||
4.31%, 10/16/2028 (a) | 100,000 | 111,767 | |||
SunTrust Bank: | |||||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 50,140 | |||
Series BKNT, 2.80%, 5/17/2022 | 100,000 | 101,263 | |||
Series BKNT, 3.00%, 2/2/2023 (a) | 100,000 | 101,934 | |||
Series BKNT, 4.05%, 11/3/2025 (a) | 40,000 | 43,162 | |||
SunTrust Banks, Inc.: | |||||
2.70%, 1/27/2022 | 50,000 | 50,325 | |||
4.00%, 5/1/2025 | 100,000 | 107,097 | |||
Svenska Handelsbanken AB: | |||||
1.95%, 9/8/2020 | 168,000 | 167,407 | |||
Series GMTN, 2.40%, 10/1/2020 | 75,000 | 75,191 | |||
Synchrony Bank Series BKNT, 3.00%, 6/15/2022 | 250,000 | 251,892 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 15,061 | |||
Toronto-Dominion Bank: | |||||
Series GMTN, 2.50%, 12/14/2020 | 50,000 | 50,227 | |||
Series GMTN, 2.55%, 1/25/2021 | 100,000 | 100,543 | |||
Series GMTN, 3.15%, 9/17/2020 | 350,000 | 354,095 | |||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 52,442 | |||
Series MTN, 3.25%, 6/11/2021 | 100,000 | 101,991 | |||
US Bancorp: | |||||
Series MTN, 2.35%, 1/29/2021 | 100,000 | 100,290 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 51,028 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 26,318 | |||
Series V, 2.63%, 1/24/2022 | 300,000 | 303,216 | |||
US Bank NA: | |||||
Series BKNT, 3.15%, 4/26/2021 | 350,000 | 356,016 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 261,020 | |||
Wells Fargo & Co.: | |||||
2.10%, 7/26/2021 | 300,000 | 298,236 | |||
2.50%, 3/4/2021 | 50,000 | 50,103 | |||
3.00%, 4/22/2026 | 250,000 | 252,842 | |||
3.00%, 10/23/2026 | 250,000 | 252,585 | |||
3.07%, 1/24/2023 (a) | 250,000 | 254,007 | |||
4.13%, 8/15/2023 | 25,000 | 26,368 | |||
4.48%, 1/16/2024 | 25,000 | 26,803 | |||
5.38%, 11/2/2043 | 150,000 | 181,993 | |||
5.61%, 1/15/2044 | 325,000 | 405,486 |
Security Description | Principal Amount | Value | |||
Series GMTN, 4.30%, 7/22/2027 | $50,000 | $54,000 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 173,664 | |||
Series MTN, 2.63%, 7/22/2022 | 365,000 | 367,654 | |||
Series MTN, 3.00%, 1/22/2021 | 50,000 | 50,464 | |||
Series MTN, 3.30%, 9/9/2024 (a) | 150,000 | 155,097 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 52,218 | |||
Series MTN, 3.75%, 1/24/2024 | 250,000 | 262,827 | |||
Series MTN, 4.15%, 1/24/2029 (a) | 250,000 | 272,035 | |||
Series MTN, 4.75%, 12/7/2046 | 450,000 | 512,343 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (a) (c) | 110,000 | 112,433 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 365,235 | |||
Wells Fargo Bank NA Series BKNT, 2.60%, 1/15/2021 | 250,000 | 251,030 | |||
Wells Fargo Capital X 5.95%, 12/1/2086 | 25,000 | 29,768 | |||
Westpac Banking Corp.: | |||||
2.65%, 1/25/2021 | 100,000 | 100,606 | |||
2.80%, 1/11/2022 | 100,000 | 101,245 | |||
2.85%, 5/13/2026 | 50,000 | 50,483 | |||
3.35%, 3/8/2027 | 150,000 | 156,267 | |||
3.40%, 1/25/2028 | 100,000 | 104,981 | |||
3.65%, 5/15/2023 | 100,000 | 104,466 | |||
59,216,336 | |||||
BEVERAGES — 0.6% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | |||||
4.70%, 2/1/2036 | 125,000 | 137,229 | |||
4.90%, 2/1/2046 | 475,000 | 528,566 | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.75%, 7/15/2042 | 50,000 | 47,641 | |||
4.00%, 4/13/2028 | 80,000 | 86,242 | |||
4.15%, 1/23/2025 (a) | 410,000 | 444,284 | |||
4.38%, 4/15/2038 (a) | 215,000 | 227,332 | |||
4.60%, 4/15/2048 | 35,000 | 37,492 | |||
4.75%, 1/23/2029 | 605,000 | 686,022 | |||
4.75%, 4/15/2058 | 125,000 | 133,420 | |||
4.90%, 1/23/2031 | 65,000 | 75,291 | |||
4.95%, 1/15/2042 | 250,000 | 277,762 | |||
5.45%, 1/23/2039 | 415,000 | 492,966 | |||
5.55%, 1/23/2049 | 65,000 | 79,474 |
Security Description | Principal Amount | Value | |||
5.80%, 1/23/2059 | $45,000 | $56,397 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 52,755 | |||
4.00%, 4/15/2038 | 50,000 | 54,006 | |||
Coca-Cola Co.: | |||||
1.55%, 9/1/2021 | 200,000 | 197,978 | |||
2.20%, 5/25/2022 | 200,000 | 200,970 | |||
2.25%, 9/1/2026 | 25,000 | 24,811 | |||
2.88%, 10/27/2025 | 25,000 | 25,861 | |||
3.20%, 11/1/2023 | 25,000 | 26,154 | |||
Constellation Brands, Inc.: | |||||
2.25%, 11/6/2020 | 250,000 | 249,440 | |||
2.70%, 5/9/2022 | 50,000 | 50,347 | |||
3.75%, 5/1/2021 | 5,000 | 5,116 | |||
4.25%, 5/1/2023 | 25,000 | 26,567 | |||
4.50%, 5/9/2047 | 50,000 | 52,251 | |||
4.65%, 11/15/2028 (a) | 30,000 | 33,502 | |||
Diageo Capital PLC: | |||||
2.63%, 4/29/2023 | 75,000 | 75,994 | |||
3.88%, 5/18/2028 | 200,000 | 218,362 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 28,010 | |||
Keurig Dr Pepper, Inc.: | |||||
3.13%, 12/15/2023 | 50,000 | 50,698 | |||
3.55%, 5/25/2021 | 200,000 | 203,986 | |||
4.06%, 5/25/2023 | 50,000 | 52,510 | |||
4.42%, 5/25/2025 | 200,000 | 214,716 | |||
5.09%, 5/25/2048 (a) | 25,000 | 27,876 | |||
Molson Coors Brewing Co.: | |||||
2.10%, 7/15/2021 | 250,000 | 248,127 | |||
3.00%, 7/15/2026 | 50,000 | 49,390 | |||
4.20%, 7/15/2046 | 30,000 | 28,853 | |||
PepsiCo, Inc.: | |||||
1.70%, 10/6/2021 | 150,000 | 148,822 | |||
2.00%, 4/15/2021 | 250,000 | 249,637 | |||
2.15%, 10/14/2020 | 50,000 | 50,048 | |||
2.25%, 5/2/2022 | 300,000 | 301,575 | |||
2.85%, 2/24/2026 | 85,000 | 87,283 | |||
3.45%, 10/6/2046 | 150,000 | 154,177 | |||
3.60%, 3/1/2024 | 25,000 | 26,523 | |||
4.45%, 4/14/2046 (a) | 75,000 | 89,576 | |||
4.60%, 7/17/2045 | 25,000 | 30,048 | |||
6,646,087 | |||||
BIOTECHNOLOGY — 0.4% | |||||
Amgen, Inc.: | |||||
1.85%, 8/19/2021 | 200,000 | 197,892 | |||
2.65%, 5/11/2022 | 150,000 | 151,116 | |||
3.20%, 11/2/2027 (a) | 250,000 | 256,107 | |||
3.63%, 5/22/2024 | 100,000 | 104,943 | |||
4.40%, 5/1/2045 | 50,000 | 53,098 | |||
4.56%, 6/15/2048 | 200,000 | 216,828 | |||
4.66%, 6/15/2051 (a) | 225,000 | 245,837 | |||
6.38%, 6/1/2037 | 50,000 | 63,835 | |||
Baxalta, Inc. 4.00%, 6/23/2025 | 8,000 | 8,516 |
Security Description | Principal Amount | Value | |||
Biogen, Inc.: | |||||
2.90%, 9/15/2020 | $25,000 | $25,124 | |||
4.05%, 9/15/2025 | 50,000 | 53,619 | |||
5.20%, 9/15/2045 | 275,000 | 308,093 | |||
Celgene Corp.: | |||||
2.88%, 8/15/2020 | 225,000 | 226,235 | |||
2.88%, 2/19/2021 | 25,000 | 25,203 | |||
3.25%, 2/20/2023 (a) | 50,000 | 51,379 | |||
3.63%, 5/15/2024 | 25,000 | 26,152 | |||
3.88%, 8/15/2025 | 25,000 | 26,730 | |||
3.90%, 2/20/2028 | 100,000 | 107,451 | |||
4.35%, 11/15/2047 | 225,000 | 248,371 | |||
4.55%, 2/20/2048 | 100,000 | 114,103 | |||
4.63%, 5/15/2044 | 50,000 | 56,877 | |||
Gilead Sciences, Inc.: | |||||
1.95%, 3/1/2022 | 5,000 | 4,964 | |||
2.55%, 9/1/2020 | 250,000 | 250,652 | |||
2.95%, 3/1/2027 (a) | 25,000 | 25,426 | |||
3.25%, 9/1/2022 | 250,000 | 257,085 | |||
3.65%, 3/1/2026 | 85,000 | 89,839 | |||
4.15%, 3/1/2047 | 120,000 | 125,969 | |||
4.40%, 12/1/2021 | 25,000 | 26,145 | |||
4.50%, 2/1/2045 | 25,000 | 27,380 | |||
4.60%, 9/1/2035 | 100,000 | 112,228 | |||
4.75%, 3/1/2046 | 175,000 | 199,083 | |||
4.80%, 4/1/2044 | 25,000 | 28,376 | |||
3,714,656 | |||||
BUILDING MATERIALS — 0.1% | |||||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 52,652 | |||
Johnson Controls International PLC: | |||||
4.50%, 2/15/2047 | 320,000 | 325,120 | |||
3.63%, 7/2/2024 (a) (d) | 23,000 | 23,878 | |||
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | 100,000 | 93,364 | |||
Masco Corp.: | |||||
3.50%, 4/1/2021 | 30,000 | 30,460 | |||
4.38%, 4/1/2026 | 170,000 | 178,735 | |||
Owens Corning 4.30%, 7/15/2047 | 100,000 | 84,976 | |||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 99,489 | |||
888,674 | |||||
CHEMICALS — 0.4% | |||||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 25,355 | |||
Celanese US Holdings LLC: | |||||
3.50%, 5/8/2024 | 30,000 | 30,814 | |||
4.63%, 11/15/2022 | 10,000 | 10,595 | |||
5.88%, 6/15/2021 | 10,000 | 10,598 | |||
Dow Chemical Co.: | |||||
3.00%, 11/15/2022 (a) | 275,000 | 278,987 |
Security Description | Principal Amount | Value | |||
3.63%, 5/15/2026 (e) | $100,000 | $103,700 | |||
4.25%, 10/1/2034 | 50,000 | 52,262 | |||
4.38%, 11/15/2042 | 50,000 | 50,796 | |||
4.80%, 11/30/2028 (a) (e) | 100,000 | 112,429 | |||
4.80%, 5/15/2049 (e) | 65,000 | 70,028 | |||
DowDuPont, Inc.: | |||||
4.21%, 11/15/2023 | 150,000 | 160,621 | |||
4.49%, 11/15/2025 | 100,000 | 110,677 | |||
4.73%, 11/15/2028 (a) | 150,000 | 169,398 | |||
5.42%, 11/15/2048 | 110,000 | 133,795 | |||
Eastman Chemical Co.: | |||||
3.50%, 12/1/2021 | 45,000 | 46,038 | |||
3.80%, 3/15/2025 | 25,000 | 26,139 | |||
4.50%, 12/1/2028 (a) | 100,000 | 108,161 | |||
Ecolab, Inc. 4.35%, 12/8/2021 | 20,000 | 20,993 | |||
Huntsman International LLC 4.50%, 5/1/2029 (a) | 20,000 | 20,604 | |||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 (a) | 45,000 | 48,893 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 26,622 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 (a) | 250,000 | 254,387 | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | 25,000 | 25,156 | |||
5.75%, 4/15/2024 | 100,000 | 112,345 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 255,010 | |||
4.05%, 11/15/2027 (a) | 250,000 | 257,570 | |||
5.63%, 11/15/2043 | 25,000 | 27,525 | |||
Nutrien, Ltd.: | |||||
3.00%, 4/1/2025 | 50,000 | 50,304 | |||
4.00%, 12/15/2026 | 50,000 | 52,263 | |||
4.13%, 3/15/2035 | 25,000 | 24,718 | |||
4.20%, 4/1/2029 | 85,000 | 91,893 | |||
5.00%, 4/1/2049 | 150,000 | 169,866 | |||
Praxair, Inc.: | |||||
3.20%, 1/30/2026 | 275,000 | 288,304 | |||
3.55%, 11/7/2042 | 25,000 | 25,506 | |||
RPM International, Inc.: | |||||
3.75%, 3/15/2027 (a) | 50,000 | 50,681 | |||
4.25%, 1/15/2048 | 200,000 | 183,894 | |||
5.25%, 6/1/2045 | 25,000 | 26,263 | |||
SASOL Financing USA LLC 5.88%, 3/27/2024 | 250,000 | 270,507 | |||
Sherwin-Williams Co.: | |||||
2.75%, 6/1/2022 | 200,000 | 202,024 | |||
3.45%, 6/1/2027 (a) | 30,000 | 30,803 | |||
4.50%, 6/1/2047 | 150,000 | 159,976 | |||
Westlake Chemical Corp.: | |||||
4.38%, 11/15/2047 (a) | 150,000 | 141,678 | |||
5.00%, 8/15/2046 | 100,000 | 102,768 | |||
4,420,946 |
Security Description | Principal Amount | Value | |||
COMMERCIAL SERVICES — 0.2% | |||||
Automatic Data Processing, Inc. 2.25%, 9/15/2020 | $20,000 | $20,008 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 150,465 | |||
2.70%, 11/1/2026 | 150,000 | 151,296 | |||
Equifax, Inc. 3.95%, 6/15/2023 | 40,000 | 41,680 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 112,142 | |||
Massachusetts Institute of Technology 3.96%, 7/1/2038 | 50,000 | 54,498 | |||
Moody's Corp.: | |||||
2.63%, 1/15/2023 (a) | 250,000 | 251,190 | |||
2.75%, 12/15/2021 | 200,000 | 201,696 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 160,957 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 223,551 | |||
RELX Capital, Inc.: | |||||
3.50%, 3/16/2023 | 30,000 | 30,977 | |||
4.00%, 3/18/2029 | 100,000 | 105,963 | |||
S&P Global, Inc.: | |||||
3.30%, 8/14/2020 | 50,000 | 50,484 | |||
4.50%, 5/15/2048 | 50,000 | 57,498 | |||
Total System Services, Inc. 4.45%, 6/1/2028 (a) | 100,000 | 107,182 | |||
University of Southern California 3.03%, 10/1/2039 | 25,000 | 24,457 | |||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 50,000 | 53,665 | |||
1,797,709 | |||||
COMPUTERS — 0.7% | |||||
Apple, Inc.: | |||||
1.55%, 8/4/2021 | 50,000 | 49,531 | |||
2.00%, 11/13/2020 | 300,000 | 299,856 | |||
2.25%, 2/23/2021 | 200,000 | 200,644 | |||
2.40%, 1/13/2023 | 200,000 | 201,882 | |||
2.40%, 5/3/2023 | 25,000 | 25,265 | |||
2.45%, 8/4/2026 | 200,000 | 199,204 | |||
2.50%, 2/9/2022 | 100,000 | 101,138 | |||
2.75%, 1/13/2025 (a) | 200,000 | 204,436 | |||
2.85%, 5/6/2021 | 25,000 | 25,370 | |||
2.85%, 2/23/2023 | 250,000 | 256,137 | |||
2.85%, 5/11/2024 | 200,000 | 205,886 | |||
3.00%, 2/9/2024 | 100,000 | 103,292 | |||
3.00%, 11/13/2027 | 100,000 | 103,012 | |||
3.20%, 5/11/2027 | 250,000 | 260,662 | |||
3.25%, 2/23/2026 | 150,000 | 156,898 | |||
3.75%, 11/13/2047 (a) | 200,000 | 209,892 | |||
3.85%, 5/4/2043 | 25,000 | 26,595 |
Security Description | Principal Amount | Value | |||
3.85%, 8/4/2046 | $150,000 | $159,504 | |||
4.38%, 5/13/2045 | 75,000 | 85,466 | |||
4.50%, 2/23/2036 | 100,000 | 117,018 | |||
4.65%, 2/23/2046 | 75,000 | 88,990 | |||
Dell International LLC/EMC Corp.: | |||||
4.00%, 7/15/2024 (e) | 50,000 | 51,184 | |||
4.42%, 6/15/2021 (e) | 50,000 | 51,488 | |||
4.90%, 10/1/2026 (e) | 100,000 | 104,327 | |||
5.30%, 10/1/2029 (e) | 350,000 | 368,599 | |||
5.45%, 6/15/2023 (e) | 325,000 | 350,256 | |||
6.02%, 6/15/2026 (e) | 20,000 | 22,024 | |||
8.35%, 7/15/2046 (e) | 270,000 | 340,789 | |||
Hewlett Packard Enterprise Co.: | |||||
3.60%, 10/15/2020 | 210,000 | 212,743 | |||
4.40%, 10/15/2022 (a) | 200,000 | 210,948 | |||
4.90%, 10/15/2025 | 70,000 | 76,568 | |||
6.20%, 10/15/2035 | 10,000 | 11,208 | |||
6.35%, 10/15/2045 | 10,000 | 11,073 | |||
HP, Inc.: | |||||
4.05%, 9/15/2022 (a) | 25,000 | 26,123 | |||
6.00%, 9/15/2041 (a) | 250,000 | 275,527 | |||
IBM Credit LLC 2.20%, 9/8/2022 | 100,000 | 99,812 | |||
International Business Machines Corp.: | |||||
2.25%, 2/19/2021 | 200,000 | 200,056 | |||
2.80%, 5/13/2021 | 100,000 | 101,211 | |||
2.85%, 5/13/2022 | 375,000 | 381,465 | |||
2.88%, 11/9/2022 | 100,000 | 102,087 | |||
3.00%, 5/15/2024 | 200,000 | 205,338 | |||
3.30%, 5/15/2026 | 100,000 | 103,581 | |||
3.50%, 5/15/2029 | 215,000 | 224,871 | |||
3.63%, 2/12/2024 | 50,000 | 52,651 | |||
4.15%, 5/15/2039 | 100,000 | 106,792 | |||
4.25%, 5/15/2049 | 150,000 | 161,077 | |||
4.70%, 2/19/2046 | 325,000 | 371,254 | |||
5.88%, 11/29/2032 | 25,000 | 32,239 | |||
Seagate HDD Cayman: | |||||
4.25%, 3/1/2022 (a) | 150,000 | 152,429 | |||
4.75%, 6/1/2023 (a) | 50,000 | 51,501 | |||
7,539,899 | |||||
COSMETICS/PERSONAL CARE — 0.2% | |||||
Colgate-Palmolive Co.: | |||||
Series GMTN, 2.25%, 11/15/2022 | 30,000 | 30,233 | |||
Series MTN, 3.70%, 8/1/2047 | 55,000 | 58,974 | |||
Procter & Gamble Co.: | |||||
1.70%, 11/3/2021 | 100,000 | 99,260 | |||
1.85%, 2/2/2021 | 50,000 | 49,857 | |||
1.90%, 10/23/2020 | 250,000 | 249,610 | |||
2.15%, 8/11/2022 | 150,000 | 150,849 | |||
2.45%, 11/3/2026 | 150,000 | 150,603 | |||
3.50%, 10/25/2047 (a) | 100,000 | 106,658 |
Security Description | Principal Amount | Value | |||
Unilever Capital Corp.: | |||||
1.38%, 7/28/2021 | $100,000 | $98,480 | |||
2.00%, 7/28/2026 | 100,000 | 96,394 | |||
2.60%, 5/5/2024 (a) | 250,000 | 253,422 | |||
2.90%, 5/5/2027 | 150,000 | 153,220 | |||
3.10%, 7/30/2025 | 50,000 | 51,881 | |||
1,549,441 | |||||
DISTRIBUTION & WHOLESALE — 0.0% (b) | |||||
WW Grainger, Inc. 4.60%, 6/15/2045 | 50,000 | 55,365 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.8% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||||
3.50%, 5/26/2022 | 150,000 | 152,914 | |||
3.65%, 7/21/2027 (a) | 150,000 | 149,028 | |||
3.95%, 2/1/2022 | 150,000 | 154,234 | |||
4.50%, 5/15/2021 | 300,000 | 309,387 | |||
Air Lease Corp.: | |||||
2.75%, 1/15/2023 | 50,000 | 49,982 | |||
3.00%, 9/15/2023 | 25,000 | 25,108 | |||
3.25%, 3/1/2025 | 100,000 | 100,590 | |||
3.63%, 4/1/2027 | 70,000 | 70,499 | |||
3.88%, 7/3/2023 | 50,000 | 51,949 | |||
4.25%, 9/15/2024 | 25,000 | 26,442 | |||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 153,774 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 25,602 | |||
4.25%, 6/15/2026 (a) | 65,000 | 65,812 | |||
5.00%, 4/1/2023 | 25,000 | 26,446 | |||
5.13%, 3/15/2021 (a) | 25,000 | 25,900 | |||
5.50%, 2/15/2022 (a) | 25,000 | 26,505 | |||
American Express Co.: | |||||
2.20%, 10/30/2020 | 60,000 | 59,855 | |||
2.50%, 8/1/2022 | 250,000 | 251,530 | |||
3.00%, 10/30/2024 | 100,000 | 102,395 | |||
3.40%, 2/27/2023 (a) | 200,000 | 207,114 | |||
3.70%, 8/3/2023 | 50,000 | 52,501 | |||
4.20%, 11/6/2025 (a) | 105,000 | 114,710 | |||
American Express Credit Corp. Series MTN, 2.25%, 5/5/2021 | 350,000 | 350,021 | |||
Ameriprise Financial, Inc.: | |||||
3.00%, 3/22/2022 | 35,000 | 35,668 | |||
3.70%, 10/15/2024 | 50,000 | 53,011 | |||
BlackRock, Inc.: | |||||
3.20%, 3/15/2027 | 56,000 | 58,496 | |||
3.25%, 4/30/2029 | 60,000 | 62,845 | |||
3.50%, 3/18/2024 | 25,000 | 26,496 | |||
Brookfield Finance, Inc.: | |||||
3.90%, 1/25/2028 | 50,000 | 50,885 | |||
4.70%, 9/20/2047 | 50,000 | 52,139 | |||
4.85%, 3/29/2029 | 100,000 | 109,229 |
Security Description | Principal Amount | Value | |||
Capital One Financial Corp. 3.90%, 1/29/2024 | $200,000 | $210,260 | |||
Charles Schwab Corp.: | |||||
2.65%, 1/25/2023 (a) | 100,000 | 101,331 | |||
3.20%, 1/25/2028 | 50,000 | 51,630 | |||
3.45%, 2/13/2026 | 50,000 | 52,270 | |||
3.85%, 5/21/2025 | 250,000 | 267,330 | |||
4.00%, 2/1/2029 | 50,000 | 54,799 | |||
CME Group, Inc. 3.75%, 6/15/2028 (a) | 100,000 | 108,689 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 71,150 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 52,168 | |||
4.10%, 2/9/2027 | 75,000 | 78,018 | |||
4.50%, 1/30/2026 | 50,000 | 53,563 | |||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 176,643 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 155,269 | |||
GE Capital International Funding Co.: | |||||
2.34%, 11/15/2020 | 200,000 | 199,038 | |||
3.37%, 11/15/2025 | 250,000 | 253,232 | |||
4.42%, 11/15/2035 | 550,000 | 544,362 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
5.25%, 6/1/2025 | 20,000 | 21,420 | |||
5.38%, 11/1/2023 (a) | 20,000 | 21,535 | |||
5.38%, 4/15/2026 | 40,000 | 43,250 | |||
5.75%, 6/1/2028 | 20,000 | 22,048 | |||
Intercontinental Exchange, Inc.: | |||||
2.75%, 12/1/2020 | 50,000 | 50,303 | |||
3.10%, 9/15/2027 | 100,000 | 102,519 | |||
3.75%, 12/1/2025 | 180,000 | 192,130 | |||
4.25%, 9/21/2048 | 150,000 | 168,373 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 52,297 | |||
Jefferies Group LLC 6.50%, 1/20/2043 | 50,000 | 53,848 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 48,234 | |||
4.85%, 1/15/2027 | 90,000 | 93,115 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 106,527 | |||
Mastercard, Inc.: | |||||
2.95%, 6/1/2029 | 100,000 | 103,135 | |||
3.50%, 2/26/2028 | 30,000 | 32,303 | |||
3.65%, 6/1/2049 | 100,000 | 105,734 | |||
3.95%, 2/26/2048 | 30,000 | 33,341 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
2.95%, 2/7/2024 | 100,000 | 102,597 | |||
3.40%, 2/7/2028 (a) | 50,000 | 52,429 | |||
3.90%, 11/1/2028 | 100,000 | 108,222 |
Security Description | Principal Amount | Value | |||
4.02%, 11/1/2032 | $50,000 | $55,303 | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c) | 75,000 | 73,642 | |||
ORIX Corp.: | |||||
2.90%, 7/18/2022 | 30,000 | 30,433 | |||
3.70%, 7/18/2027 | 50,000 | 52,611 | |||
Synchrony Financial 4.50%, 7/23/2025 | 50,000 | 52,486 | |||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 150,000 | 152,566 | |||
Visa, Inc.: | |||||
2.75%, 9/15/2027 | 250,000 | 254,942 | |||
2.80%, 12/14/2022 (a) | 75,000 | 76,842 | |||
3.15%, 12/14/2025 | 250,000 | 262,375 | |||
3.65%, 9/15/2047 (a) | 100,000 | 107,843 | |||
4.15%, 12/14/2035 | 50,000 | 57,341 | |||
4.30%, 12/14/2045 | 50,000 | 58,852 | |||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 105,389 | |||
8,284,804 | |||||
ELECTRIC — 1.6% | |||||
AEP Texas, Inc.: | |||||
2.40%, 10/1/2022 | 150,000 | 150,357 | |||
3.80%, 10/1/2047 | 25,000 | 25,393 | |||
AEP Transmission Co. LLC: | |||||
3.75%, 12/1/2047 | 100,000 | 102,038 | |||
3.80%, 6/15/2049 | 50,000 | 51,648 | |||
4.25%, 9/15/2048 | 20,000 | 22,121 | |||
Alabama Power Co.: | |||||
3.85%, 12/1/2042 | 75,000 | 77,711 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 72,883 | |||
Ameren Corp. 3.65%, 2/15/2026 | 50,000 | 51,613 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 (a) | 50,000 | 51,567 | |||
3.80%, 5/15/2028 (a) | 25,000 | 27,046 | |||
4.15%, 3/15/2046 | 50,000 | 54,991 | |||
4.50%, 3/15/2049 | 50,000 | 58,251 | |||
American Electric Power Co., Inc.: | |||||
Series F, 2.95%, 12/15/2022 | 50,000 | 50,754 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 109,501 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 27,190 | |||
7.00%, 4/1/2038 | 25,000 | 34,473 | |||
Arizona Public Service Co.: | |||||
3.75%, 5/15/2046 | 25,000 | 25,029 | |||
4.20%, 8/15/2048 | 25,000 | 26,889 | |||
4.25%, 3/1/2049 (a) | 50,000 | 54,390 | |||
4.35%, 11/15/2045 | 50,000 | 54,782 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 50,862 | |||
Baltimore Gas & Electric Co. 6.35%, 10/1/2036 | 50,000 | 67,158 |
Security Description | Principal Amount | Value | |||
Berkshire Hathaway Energy Co.: | |||||
2.80%, 1/15/2023 | $40,000 | $40,690 | |||
3.25%, 4/15/2028 (a) | 30,000 | 30,896 | |||
3.75%, 11/15/2023 | 350,000 | 369,106 | |||
4.45%, 1/15/2049 (a) | 350,000 | 395,283 | |||
4.50%, 2/1/2045 (a) | 50,000 | 56,198 | |||
5.15%, 11/15/2043 | 150,000 | 183,288 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 24,782 | |||
4.35%, 5/1/2033 | 30,000 | 33,172 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 53,997 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 101,785 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 49,043 | |||
CenterPoint Energy, Inc.: | |||||
3.60%, 11/1/2021 | 10,000 | 10,269 | |||
3.85%, 2/1/2024 | 25,000 | 26,243 | |||
4.25%, 11/1/2028 | 25,000 | 27,022 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 21,337 | |||
CMS Energy Corp. 3.45%, 8/15/2027 | 50,000 | 51,524 | |||
Commonwealth Edison Co.: | |||||
4.00%, 8/1/2020 | 100,000 | 101,427 | |||
4.00%, 3/1/2048 | 125,000 | 135,012 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 155,472 | |||
Connecticut Light & Power Co.: | |||||
Series A, 3.20%, 3/15/2027 | 150,000 | 154,425 | |||
Series A, 4.15%, 6/1/2045 | 100,000 | 110,359 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.85%, 6/15/2046 | 50,000 | 51,501 | |||
4.45%, 3/15/2044 | 75,000 | 83,230 | |||
4.50%, 5/15/2058 | 100,000 | 111,742 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 32,688 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 107,815 | |||
Series D, 4.00%, 12/1/2028 (a) | 100,000 | 109,949 | |||
Consolidated Edison, Inc. 2.00%, 5/15/2021 | 180,000 | 179,118 | |||
Consumers Energy Co.: | |||||
3.25%, 8/15/2046 | 50,000 | 48,216 | |||
3.75%, 2/15/2050 | 50,000 | 52,696 | |||
4.05%, 5/15/2048 | 100,000 | 111,275 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 (e) | 30,000 | 31,018 | |||
Dominion Energy, Inc.: | |||||
2.58%, 7/1/2020 | 300,000 | 299,691 | |||
4.10%, 4/1/2021 (d) | 150,000 | 153,574 | |||
4.70%, 12/1/2044 | 130,000 | 146,163 | |||
Series B, 2.75%, 1/15/2022 | 150,000 | 151,089 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 24,745 | |||
DPL, Inc. 4.35%, 4/15/2029 (e) | 45,000 | 45,648 |
Security Description | Principal Amount | Value | |||
DTE Electric Co. 3.70%, 6/1/2046 | $75,000 | $77,762 | |||
DTE Energy Co.: | |||||
Series B, 3.30%, 6/15/2022 | 175,000 | 178,981 | |||
Series C, 3.40%, 6/15/2029 | 175,000 | 178,323 | |||
Series D, 3.70%, 8/1/2023 | 50,000 | 52,263 | |||
Duke Energy Carolinas LLC: | |||||
3.88%, 3/15/2046 | 150,000 | 157,897 | |||
3.95%, 11/15/2028 | 100,000 | 109,571 | |||
4.25%, 12/15/2041 | 130,000 | 142,810 | |||
Duke Energy Corp.: | |||||
2.40%, 8/15/2022 | 200,000 | 200,352 | |||
2.65%, 9/1/2026 (a) | 50,000 | 49,407 | |||
3.15%, 8/15/2027 (a) | 100,000 | 101,409 | |||
3.75%, 9/1/2046 | 400,000 | 391,084 | |||
3.95%, 8/15/2047 (a) | 150,000 | 151,884 | |||
Duke Energy Florida LLC: | |||||
3.20%, 1/15/2027 | 250,000 | 258,422 | |||
6.40%, 6/15/2038 | 50,000 | 69,911 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 28,614 | |||
Duke Energy Progress LLC: | |||||
2.80%, 5/15/2022 | 100,000 | 101,752 | |||
3.60%, 9/15/2047 | 50,000 | 49,947 | |||
3.70%, 9/1/2028 | 50,000 | 53,546 | |||
4.20%, 8/15/2045 | 150,000 | 164,343 | |||
Edison International: | |||||
2.95%, 3/15/2023 (a) | 50,000 | 47,876 | |||
4.13%, 3/15/2028 (a) | 50,000 | 48,634 | |||
Emera US Finance L.P. 4.75%, 6/15/2046 | 130,000 | 140,265 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 54,585 | |||
Entergy Arkansas LLC 4.20%, 4/1/2049 | 25,000 | 27,527 | |||
Entergy Corp.: | |||||
2.95%, 9/1/2026 | 50,000 | 49,943 | |||
4.00%, 7/15/2022 | 50,000 | 51,990 | |||
Entergy Louisiana LLC: | |||||
3.05%, 6/1/2031 | 25,000 | 25,133 | |||
3.25%, 4/1/2028 | 200,000 | 206,130 | |||
4.20%, 4/1/2050 | 50,000 | 55,481 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 25,073 | |||
3.85%, 6/1/2049 (a) | 25,000 | 26,164 | |||
Eversource Energy: | |||||
Series K, 2.75%, 3/15/2022 | 50,000 | 50,608 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 253,690 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 15,815 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 27,470 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 102,641 | |||
3.50%, 6/1/2022 | 200,000 | 204,840 | |||
3.95%, 6/15/2025 | 50,000 | 53,230 | |||
5.10%, 6/15/2045 | 330,000 | 385,536 |
Security Description | Principal Amount | Value | |||
Exelon Generation Co. LLC 3.40%, 3/15/2022 | $250,000 | $255,935 | |||
FirstEnergy Corp.: | |||||
Series B, 3.90%, 7/15/2027 | 280,000 | 293,790 | |||
Series B, 4.25%, 3/15/2023 (a) | 10,000 | 10,563 | |||
Series C, 4.85%, 7/15/2047 (a) | 50,000 | 56,367 | |||
Series C, 7.38%, 11/15/2031 | 20,000 | 27,379 | |||
Florida Power & Light Co.: | |||||
3.25%, 6/1/2024 | 25,000 | 26,163 | |||
3.95%, 3/1/2048 | 85,000 | 92,534 | |||
3.99%, 3/1/2049 | 25,000 | 27,394 | |||
4.05%, 10/1/2044 | 50,000 | 54,809 | |||
4.13%, 6/1/2048 | 100,000 | 111,929 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 49,659 | |||
Indiana Michigan Power Co. 4.25%, 8/15/2048 | 15,000 | 16,507 | |||
Interstate Power & Light Co.: | |||||
3.70%, 9/15/2046 | 50,000 | 48,423 | |||
4.10%, 9/26/2028 | 50,000 | 54,170 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 51,305 | |||
Kansas City Power & Light Co.: | |||||
4.20%, 6/15/2047 | 25,000 | 27,530 | |||
4.20%, 3/15/2048 | 50,000 | 55,233 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 109,163 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 162,343 | |||
National Rural Utilities Cooperative Finance Corp. Series MTN, 2.90%, 3/15/2021 (a) | 50,000 | 50,634 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
2.80%, 1/15/2023 | 150,000 | 151,432 | |||
3.15%, 4/1/2024 | 100,000 | 102,876 | |||
3.50%, 4/1/2029 (a) | 100,000 | 103,976 | |||
3.55%, 5/1/2027 | 100,000 | 104,387 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (c) | 25,000 | 23,504 | |||
Series H, 3.34%, 9/1/2020 | 25,000 | 25,286 | |||
Northern States Power Co. 3.60%, 9/15/2047 | 50,000 | 50,858 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 51,549 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 115,909 | |||
Ohio Power Co. 4.00%, 6/1/2049 | 20,000 | 21,447 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 52,790 | |||
Oncor Electric Delivery Co. LLC: | |||||
3.70%, 11/15/2028 (e) | 100,000 | 107,581 |
Security Description | Principal Amount | Value | |||
3.70%, 11/15/2028 (a) | $100,000 | $107,512 | |||
3.80%, 9/30/2047 | 100,000 | 105,841 | |||
7.50%, 9/1/2038 | 50,000 | 77,511 | |||
PECO Energy Co. 3.90%, 3/1/2048 | 125,000 | 133,226 | |||
PPL Capital Funding, Inc.: | |||||
3.50%, 12/1/2022 | 75,000 | 77,115 | |||
4.00%, 9/15/2047 | 250,000 | 241,230 | |||
5.00%, 3/15/2044 | 50,000 | 55,822 | |||
PPL Electric Utilities Corp. 3.95%, 6/1/2047 | 50,000 | 53,576 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 52,093 | |||
Public Service Co. of Colorado: | |||||
3.20%, 11/15/2020 | 25,000 | 25,178 | |||
3.80%, 6/15/2047 | 150,000 | 156,660 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 1.90%, 3/15/2021 | 50,000 | 49,857 | |||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 51,941 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 102,347 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 51,437 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 53,899 | |||
Public Service Enterprise Group, Inc.: | |||||
2.65%, 11/15/2022 | 100,000 | 100,239 | |||
2.88%, 6/15/2024 | 70,000 | 70,938 | |||
Puget Sound Energy, Inc.: | |||||
4.22%, 6/15/2048 | 65,000 | 72,457 | |||
5.80%, 3/15/2040 | 50,000 | 64,543 | |||
San Diego Gas & Electric Co. Series RRR, 3.75%, 6/1/2047 | 50,000 | 48,534 | |||
Sempra Energy: | |||||
2.90%, 2/1/2023 | 15,000 | 15,120 | |||
3.25%, 6/15/2027 | 300,000 | 298,956 | |||
3.40%, 2/1/2028 | 30,000 | 29,934 | |||
3.80%, 2/1/2038 | 300,000 | 289,902 | |||
4.00%, 2/1/2048 | 30,000 | 29,334 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 49,457 | |||
Southern California Edison Co.: | |||||
4.00%, 4/1/2047 | 191,000 | 190,179 | |||
4.50%, 9/1/2040 | 25,000 | 26,353 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 48,707 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 106,355 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 102,300 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 46,489 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 50,868 | |||
Southern Co.: | |||||
2.35%, 7/1/2021 | 75,000 | 74,949 | |||
3.25%, 7/1/2026 | 250,000 | 253,777 | |||
4.25%, 7/1/2036 | 250,000 | 258,740 |
Security Description | Principal Amount | Value | |||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (c) | $50,000 | $51,163 | |||
Southern Power Co. Series F, 4.95%, 12/15/2046 | 150,000 | 160,969 | |||
Southwestern Electric Power Co.: | |||||
Series K, 2.75%, 10/1/2026 | 50,000 | 49,090 | |||
Series M, 4.10%, 9/15/2028 (a) | 25,000 | 27,001 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 | 50,000 | 51,757 | |||
3.75%, 6/15/2049 | 100,000 | 102,070 | |||
Tampa Electric Co.: | |||||
4.30%, 6/15/2048 | 50,000 | 54,447 | |||
4.45%, 6/15/2049 (a) | 25,000 | 28,012 | |||
Tucson Electric Power Co. 4.85%, 12/1/2048 | 50,000 | 58,424 | |||
Union Electric Co.: | |||||
3.50%, 3/15/2029 | 250,000 | 264,597 | |||
4.00%, 4/1/2048 | 50,000 | 54,102 | |||
Virginia Electric & Power Co.: | |||||
3.45%, 2/15/2024 | 50,000 | 52,157 | |||
8.88%, 11/15/2038 | 50,000 | 81,884 | |||
Series B, 2.95%, 11/15/2026 | 30,000 | 30,463 | |||
WEC Energy Group, Inc.: | |||||
3.38%, 6/15/2021 | 65,000 | 66,249 | |||
3.55%, 6/15/2025 | 25,000 | 26,252 | |||
Westar Energy, Inc. 4.13%, 3/1/2042 | 30,000 | 32,321 | |||
Wisconsin Electric Power Co. 4.30%, 10/15/2048 | 25,000 | 27,898 | |||
Wisconsin Public Service Corp. 3.35%, 11/21/2021 | 70,000 | 71,792 | |||
Xcel Energy, Inc.: | |||||
2.60%, 3/15/2022 | 200,000 | 201,624 | |||
4.00%, 6/15/2028 | 50,000 | 53,811 | |||
17,151,928 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (b) | |||||
Emerson Electric Co.: | |||||
2.63%, 12/1/2021 | 50,000 | 50,477 | |||
2.63%, 2/15/2023 (a) | 25,000 | 25,553 | |||
Hubbell, Inc. 3.35%, 3/1/2026 | 50,000 | 50,135 | |||
126,165 | |||||
ELECTRONICS — 0.1% | |||||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 49,279 | |||
Amphenol Corp. 4.35%, 6/1/2029 (a) | 50,000 | 54,136 | |||
Arrow Electronics, Inc.: | |||||
3.25%, 9/8/2024 | 50,000 | 49,701 | |||
3.88%, 1/12/2028 | 25,000 | 24,751 | |||
Corning, Inc.: |
Security Description | Principal Amount | Value | |||
4.38%, 11/15/2057 | $25,000 | $24,381 | |||
5.35%, 11/15/2048 | 100,000 | 121,373 | |||
5.75%, 8/15/2040 | 25,000 | 29,818 | |||
Flex, Ltd. 4.88%, 6/15/2029 (a) | 75,000 | 76,313 | |||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 50,035 | |||
Honeywell International, Inc.: | |||||
2.50%, 11/1/2026 | 150,000 | 149,949 | |||
3.35%, 12/1/2023 | 50,000 | 52,360 | |||
Jabil, Inc. 3.95%, 1/12/2028 | 25,000 | 24,478 | |||
Keysight Technologies, Inc. 4.60%, 4/6/2027 | 30,000 | 32,117 | |||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 53,556 | |||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 51,844 | |||
844,091 | |||||
ENGINEERING & CONSTRUCTION — 0.0% (b) | |||||
Fluor Corp. 4.25%, 9/15/2028 | 100,000 | 103,206 | |||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Republic Services, Inc.: | |||||
2.90%, 7/1/2026 | 45,000 | 45,233 | |||
3.38%, 11/15/2027 | 60,000 | 62,494 | |||
3.55%, 6/1/2022 | 25,000 | 25,750 | |||
3.95%, 5/15/2028 (a) | 150,000 | 162,585 | |||
Waste Connections, Inc. 3.50%, 5/1/2029 | 50,000 | 52,010 | |||
Waste Management, Inc.: | |||||
2.40%, 5/15/2023 | 150,000 | 150,393 | |||
2.95%, 6/15/2024 (a) | 15,000 | 15,413 | |||
3.15%, 11/15/2027 | 200,000 | 206,602 | |||
3.50%, 5/15/2024 | 25,000 | 26,209 | |||
3.90%, 3/1/2035 | 50,000 | 52,899 | |||
4.00%, 7/15/2039 | 35,000 | 37,616 | |||
4.15%, 7/15/2049 (a) | 30,000 | 32,812 | |||
870,016 | |||||
FOOD — 0.5% | |||||
Campbell Soup Co.: | |||||
3.30%, 3/15/2021 | 35,000 | 35,444 | |||
3.65%, 3/15/2023 | 50,000 | 51,501 | |||
3.95%, 3/15/2025 | 100,000 | 104,334 | |||
4.15%, 3/15/2028 | 50,000 | 52,348 | |||
4.80%, 3/15/2048 (a) | 20,000 | 20,298 | |||
Conagra Brands, Inc.: | |||||
3.80%, 10/22/2021 | 20,000 | 20,554 | |||
4.30%, 5/1/2024 | 515,000 | 546,966 | |||
4.85%, 11/1/2028 | 295,000 | 326,839 | |||
5.30%, 11/1/2038 | 265,000 | 287,183 |
Security Description | Principal Amount | Value | |||
5.40%, 11/1/2048 | $40,000 | $43,898 | |||
General Mills, Inc.: | |||||
3.20%, 4/16/2021 | 10,000 | 10,150 | |||
3.20%, 2/10/2027 (a) | 100,000 | 101,501 | |||
3.65%, 2/15/2024 | 50,000 | 52,265 | |||
3.70%, 10/17/2023 | 20,000 | 20,961 | |||
4.20%, 4/17/2028 (a) | 25,000 | 26,995 | |||
4.55%, 4/17/2038 | 10,000 | 10,638 | |||
4.70%, 4/17/2048 (a) | 320,000 | 344,669 | |||
Hershey Co.: | |||||
3.20%, 8/21/2025 (a) | 25,000 | 26,233 | |||
3.38%, 5/15/2023 | 50,000 | 52,295 | |||
JM Smucker Co.: | |||||
3.38%, 12/15/2027 (a) | 100,000 | 102,058 | |||
4.25%, 3/15/2035 (a) | 50,000 | 51,357 | |||
Kellogg Co.: | |||||
4.30%, 5/15/2028 (a) | 100,000 | 108,368 | |||
4.50%, 4/1/2046 | 100,000 | 99,536 | |||
Kraft Heinz Foods Co.: | |||||
2.80%, 7/2/2020 | 100,000 | 100,177 | |||
3.00%, 6/1/2026 | 150,000 | 146,031 | |||
3.50%, 7/15/2022 | 50,000 | 51,160 | |||
3.95%, 7/15/2025 | 50,000 | 52,010 | |||
4.38%, 6/1/2046 | 50,000 | 47,374 | |||
5.00%, 7/15/2035 | 250,000 | 263,222 | |||
5.20%, 7/15/2045 | 200,000 | 209,324 | |||
6.88%, 1/26/2039 | 50,000 | 60,385 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 (a) | 50,000 | 48,197 | |||
2.80%, 8/1/2022 | 200,000 | 202,146 | |||
3.70%, 8/1/2027 (a) | 35,000 | 36,067 | |||
3.85%, 8/1/2023 | 75,000 | 78,368 | |||
4.45%, 2/1/2047 (a) | 100,000 | 97,806 | |||
4.65%, 1/15/2048 | 100,000 | 100,505 | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | 200,000 | 201,418 | |||
3.40%, 8/15/2027 | 250,000 | 255,580 | |||
Mondelez International, Inc.: | |||||
3.63%, 2/13/2026 (a) | 50,000 | 52,537 | |||
4.00%, 2/1/2024 | 100,000 | 105,962 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027 (a) | 50,000 | 50,945 | |||
3.30%, 7/15/2026 | 100,000 | 102,829 | |||
3.55%, 3/15/2025 | 50,000 | 52,362 | |||
3.75%, 10/1/2025 | 5,000 | 5,306 | |||
4.45%, 3/15/2048 | 50,000 | 54,618 | |||
4.85%, 10/1/2045 | 5,000 | 5,674 | |||
Tyson Foods, Inc.: | |||||
3.55%, 6/2/2027 | 150,000 | 154,993 | |||
4.50%, 6/15/2022 | 30,000 | 31,669 | |||
4.55%, 6/2/2047 (a) | 285,000 | 297,757 | |||
5,360,813 |
Security Description | Principal Amount | Value | |||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Celulosa Arauco y Constitucion SA: | |||||
3.88%, 11/2/2027 | $200,000 | $203,770 | |||
4.50%, 8/1/2024 | 50,000 | 52,725 | |||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 (a) | 25,000 | 26,857 | |||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 35,345 | |||
International Paper Co.: | |||||
3.00%, 2/15/2027 (a) | 150,000 | 148,437 | |||
3.65%, 6/15/2024 | 25,000 | 26,144 | |||
4.35%, 8/15/2048 | 50,000 | 48,979 | |||
4.40%, 8/15/2047 | 50,000 | 48,826 | |||
5.00%, 9/15/2035 | 100,000 | 109,940 | |||
701,023 | |||||
GAS — 0.1% | |||||
Atmos Energy Corp.: | |||||
3.00%, 6/15/2027 | 150,000 | 152,952 | |||
4.15%, 1/15/2043 | 25,000 | 27,123 | |||
CenterPoint Energy Resources Corp. 3.55%, 4/1/2023 | 100,000 | 103,071 | |||
Dominion Energy Gas Holdings LLC: | |||||
2.80%, 11/15/2020 | 50,000 | 50,271 | |||
3.60%, 12/15/2024 | 50,000 | 52,086 | |||
4.80%, 11/1/2043 | 25,000 | 28,485 | |||
National Fuel Gas Co. 3.95%, 9/15/2027 | 50,000 | 49,894 | |||
NiSource, Inc.: | |||||
3.49%, 5/15/2027 | 50,000 | 51,701 | |||
3.65%, 6/15/2023 | 25,000 | 25,882 | |||
4.38%, 5/15/2047 | 150,000 | 160,629 | |||
4.80%, 2/15/2044 | 30,000 | 33,453 | |||
ONE Gas, Inc. 4.50%, 11/1/2048 | 90,000 | 102,900 | |||
Southern California Gas Co.: | |||||
3.15%, 9/15/2024 | 25,000 | 25,773 | |||
3.20%, 6/15/2025 | 50,000 | 50,917 | |||
3.75%, 9/15/2042 | 30,000 | 30,051 | |||
5.13%, 11/15/2040 | 25,000 | 29,256 | |||
Series VV, 4.30%, 1/15/2049 | 50,000 | 54,953 | |||
Southern Co. Gas Capital Corp. 4.40%, 5/30/2047 | 150,000 | 158,601 | |||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 26,303 | |||
1,214,301 | |||||
HAND & MACHINE TOOLS — 0.0% (b) | |||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 52,063 | |||
Stanley Black & Decker, Inc.: | |||||
3.40%, 3/1/2026 | 35,000 | 36,554 |
Security Description | Principal Amount | Value | |||
4.25%, 11/15/2028 | $100,000 | $111,395 | |||
200,012 | |||||
HEALTH CARE PRODUCTS — 0.4% | |||||
Abbott Laboratories: | |||||
2.90%, 11/30/2021 | 50,000 | 50,811 | |||
2.95%, 3/15/2025 | 75,000 | 77,139 | |||
3.40%, 11/30/2023 | 35,000 | 36,488 | |||
3.75%, 11/30/2026 | 85,000 | 92,075 | |||
4.75%, 11/30/2036 | 250,000 | 295,787 | |||
4.75%, 4/15/2043 | 25,000 | 29,316 | |||
4.90%, 11/30/2046 | 300,000 | 370,005 | |||
Baxter International, Inc. 3.50%, 8/15/2046 | 50,000 | 46,697 | |||
Becton Dickinson and Co.: | |||||
2.89%, 6/6/2022 | 235,000 | 238,161 | |||
3.36%, 6/6/2024 | 50,000 | 51,604 | |||
3.70%, 6/6/2027 (a) | 163,000 | 170,156 | |||
3.73%, 12/15/2024 | 50,000 | 52,396 | |||
4.67%, 6/6/2047 | 210,000 | 235,605 | |||
4.69%, 12/15/2044 | 20,000 | 22,173 | |||
Boston Scientific Corp.: | |||||
3.38%, 5/15/2022 | 50,000 | 51,452 | |||
3.45%, 3/1/2024 | 25,000 | 26,114 | |||
4.00%, 3/1/2028 | 150,000 | 161,482 | |||
4.00%, 3/1/2029 | 35,000 | 37,891 | |||
4.55%, 3/1/2039 | 50,000 | 55,560 | |||
4.70%, 3/1/2049 | 35,000 | 39,954 | |||
Covidien International Finance SA 3.20%, 6/15/2022 | 50,000 | 51,397 | |||
Danaher Corp. 2.40%, 9/15/2020 | 45,000 | 45,035 | |||
Medtronic, Inc.: | |||||
3.15%, 3/15/2022 | 150,000 | 154,209 | |||
3.50%, 3/15/2025 | 150,000 | 158,926 | |||
4.38%, 3/15/2035 | 75,000 | 86,105 | |||
4.63%, 3/15/2045 | 425,000 | 513,889 | |||
Stryker Corp.: | |||||
3.38%, 11/1/2025 | 25,000 | 26,298 | |||
3.50%, 3/15/2026 | 25,000 | 26,177 | |||
3.65%, 3/7/2028 | 50,000 | 53,095 | |||
4.63%, 3/15/2046 | 25,000 | 28,684 | |||
Thermo Fisher Scientific, Inc.: | |||||
3.00%, 4/15/2023 | 250,000 | 255,917 | |||
3.30%, 2/15/2022 | 50,000 | 51,273 | |||
4.10%, 8/15/2047 | 350,000 | 375,007 | |||
4.15%, 2/1/2024 | 25,000 | 26,780 | |||
Zimmer Biomet Holdings, Inc. 3.55%, 4/1/2025 | 100,000 | 103,320 | |||
4,096,978 | |||||
HEALTH CARE SERVICES — 0.5% | |||||
Aetna, Inc.: |
Security Description | Principal Amount | Value | |||
2.80%, 6/15/2023 | $200,000 | $200,936 | |||
3.88%, 8/15/2047 | 100,000 | 90,484 | |||
4.13%, 11/15/2042 | 25,000 | 23,496 | |||
Anthem, Inc.: | |||||
2.50%, 11/21/2020 | 15,000 | 15,026 | |||
2.95%, 12/1/2022 | 50,000 | 50,711 | |||
3.30%, 1/15/2023 | 50,000 | 51,455 | |||
3.35%, 12/1/2024 (a) | 50,000 | 51,755 | |||
3.50%, 8/15/2024 | 25,000 | 25,964 | |||
3.65%, 12/1/2027 | 130,000 | 134,904 | |||
4.10%, 3/1/2028 | 100,000 | 106,969 | |||
4.38%, 12/1/2047 | 130,000 | 138,120 | |||
4.55%, 3/1/2048 | 50,000 | 54,418 | |||
4.65%, 1/15/2043 | 50,000 | 54,427 | |||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 162,037 | |||
Cigna Corp.: | |||||
3.75%, 7/15/2023 (e) | 330,000 | 343,424 | |||
4.38%, 10/15/2028 (e) | 60,000 | 64,747 | |||
4.80%, 8/15/2038 (e) | 60,000 | 64,607 | |||
4.90%, 12/15/2048 (e) | 145,000 | 158,349 | |||
Cigna Holding Co. 3.05%, 10/15/2027 | 50,000 | 49,485 | |||
CommonSpirit Health 4.35%, 11/1/2042 | 25,000 | 25,127 | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 54,751 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 35,000 | 36,052 | |||
4.50%, 2/15/2027 (a) | 50,000 | 53,309 | |||
4.75%, 5/1/2023 | 55,000 | 58,792 | |||
5.00%, 3/15/2024 | 85,000 | 92,589 | |||
5.13%, 6/15/2039 | 25,000 | 26,045 | |||
5.25%, 4/15/2025 | 60,000 | 66,432 | |||
5.25%, 6/15/2026 | 65,000 | 71,889 | |||
5.25%, 6/15/2049 | 100,000 | 104,272 | |||
5.50%, 6/15/2047 | 65,000 | 69,683 | |||
5.88%, 3/15/2022 | 100,000 | 109,542 | |||
Humana, Inc.: | |||||
2.50%, 12/15/2020 | 25,000 | 25,000 | |||
2.90%, 12/15/2022 | 150,000 | 152,053 | |||
4.80%, 3/15/2047 | 100,000 | 109,223 | |||
4.95%, 10/1/2044 (a) | 50,000 | 55,374 | |||
Kaiser Foundation Hospitals 3.50%, 4/1/2022 | 50,000 | 51,383 | |||
Laboratory Corp. of America Holdings: | |||||
3.25%, 9/1/2024 | 100,000 | 101,823 | |||
4.70%, 2/1/2045 | 25,000 | 25,838 | |||
Memorial Sloan-Kettering Cancer Center 4.13%, 7/1/2052 | 25,000 | 27,842 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 53,251 |
Security Description | Principal Amount | Value | |||
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048 | $100,000 | $100,275 | |||
Quest Diagnostics, Inc.: | |||||
4.20%, 6/30/2029 (a) | 100,000 | 107,406 | |||
4.70%, 3/30/2045 | 25,000 | 26,105 | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | 20,000 | 20,905 | |||
UnitedHealth Group, Inc.: | |||||
1.95%, 10/15/2020 | 200,000 | 199,200 | |||
2.13%, 3/15/2021 | 150,000 | 149,721 | |||
2.38%, 10/15/2022 | 100,000 | 100,350 | |||
2.70%, 7/15/2020 | 105,000 | 105,447 | |||
2.88%, 3/15/2022 | 25,000 | 25,398 | |||
3.10%, 3/15/2026 | 50,000 | 51,675 | |||
3.38%, 4/15/2027 | 100,000 | 104,605 | |||
3.50%, 2/15/2024 | 10,000 | 10,484 | |||
3.70%, 12/15/2025 | 10,000 | 10,660 | |||
3.75%, 7/15/2025 | 5,000 | 5,339 | |||
3.75%, 10/15/2047 | 50,000 | 51,243 | |||
3.88%, 12/15/2028 (a) | 15,000 | 16,334 | |||
4.25%, 4/15/2047 | 100,000 | 110,221 | |||
4.45%, 12/15/2048 | 10,000 | 11,491 | |||
4.63%, 7/15/2035 | 200,000 | 230,566 | |||
4.75%, 7/15/2045 | 230,000 | 272,559 | |||
6.88%, 2/15/2038 | 25,000 | 36,129 | |||
4,957,697 | |||||
HOME BUILDERS — 0.0% (b) | |||||
DR Horton, Inc. 2.55%, 12/1/2020 | 25,000 | 24,984 | |||
HOME FURNISHINGS — 0.0% (b) | |||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 (a) | 100,000 | 104,674 | |||
Whirlpool Corp.: | |||||
4.50%, 6/1/2046 | 25,000 | 23,786 | |||
4.75%, 2/26/2029 | 60,000 | 64,557 | |||
193,017 | |||||
HOUSEHOLD PRODUCTS & WARES — 0.0% (b) | |||||
Clorox Co.: | |||||
3.10%, 10/1/2027 | 50,000 | 51,171 | |||
3.90%, 5/15/2028 (a) | 50,000 | 54,099 | |||
Kimberly-Clark Corp.: | |||||
2.75%, 2/15/2026 | 25,000 | 25,419 | |||
3.20%, 4/25/2029 (a) | 100,000 | 105,011 | |||
3.90%, 5/4/2047 | 50,000 | 53,892 | |||
3.95%, 11/1/2028 | 55,000 | 60,992 | |||
350,584 | |||||
HOUSEWARES — 0.0% (b) | |||||
Newell Brands, Inc.: | |||||
3.85%, 4/1/2023 | 50,000 | 50,774 | |||
4.20%, 4/1/2026 | 50,000 | 49,391 |
Security Description | Principal Amount | Value | |||
5.38%, 4/1/2036 | $116,000 | $114,588 | |||
214,753 | |||||
INSURANCE — 0.8% | |||||
Aflac, Inc.: | |||||
3.63%, 6/15/2023 | 50,000 | 52,399 | |||
4.75%, 1/15/2049 | 75,000 | 88,162 | |||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 54,477 | |||
Allstate Corp.: | |||||
3.85%, 8/10/2049 | 125,000 | 132,105 | |||
4.20%, 12/15/2046 | 50,000 | 55,738 | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | 25,000 | 26,210 | |||
American Financial Group, Inc.: | |||||
3.50%, 8/15/2026 | 15,000 | 15,119 | |||
4.50%, 6/15/2047 | 100,000 | 101,285 | |||
American International Group, Inc.: | |||||
3.30%, 3/1/2021 | 300,000 | 304,041 | |||
3.88%, 1/15/2035 | 200,000 | 199,750 | |||
3.90%, 4/1/2026 | 30,000 | 31,388 | |||
4.25%, 3/15/2029 (a) | 100,000 | 107,216 | |||
4.50%, 7/16/2044 | 50,000 | 52,762 | |||
4.88%, 6/1/2022 | 50,000 | 53,550 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 102,116 | |||
Aon Corp. 3.75%, 5/2/2029 | 100,000 | 104,240 | |||
Aon PLC: | |||||
3.50%, 6/14/2024 | 50,000 | 51,962 | |||
3.88%, 12/15/2025 | 150,000 | 157,987 | |||
Assurant, Inc.: | |||||
4.20%, 9/27/2023 | 100,000 | 103,938 | |||
4.90%, 3/27/2028 | 50,000 | 54,068 | |||
Athene Holding, Ltd. 4.13%, 1/12/2028 | 100,000 | 100,788 | |||
AXA Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 150,000 | 156,265 | |||
4.35%, 4/20/2028 | 150,000 | 157,689 | |||
5.00%, 4/20/2048 | 100,000 | 103,095 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 25,539 | |||
Berkshire Hathaway Finance Corp.: | |||||
4.20%, 8/15/2048 | 100,000 | 111,665 | |||
4.25%, 1/15/2049 | 425,000 | 477,806 | |||
Berkshire Hathaway, Inc.: | |||||
2.20%, 3/15/2021 | 155,000 | 155,426 | |||
2.75%, 3/15/2023 | 50,000 | 50,984 | |||
3.00%, 2/11/2023 | 25,000 | 25,745 | |||
3.13%, 3/15/2026 | 55,000 | 56,951 | |||
4.50%, 2/11/2043 (a) | 180,000 | 208,791 | |||
Brighthouse Financial, Inc.: |
Security Description | Principal Amount | Value | |||
3.70%, 6/22/2027 | $150,000 | $142,581 | |||
4.70%, 6/22/2047 | 150,000 | 125,325 | |||
Brown & Brown, Inc. 4.50%, 3/15/2029 | 50,000 | 52,761 | |||
Chubb INA Holdings, Inc.: | |||||
2.30%, 11/3/2020 | 200,000 | 200,100 | |||
2.88%, 11/3/2022 | 50,000 | 51,092 | |||
3.35%, 5/3/2026 | 250,000 | 261,855 | |||
4.15%, 3/13/2043 (a) | 25,000 | 27,989 | |||
4.35%, 11/3/2045 | 125,000 | 145,589 | |||
CNA Financial Corp.: | |||||
3.45%, 8/15/2027 | 100,000 | 101,431 | |||
4.50%, 3/1/2026 | 25,000 | 26,967 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 50,657 | |||
Fairfax Financial Holdings, Ltd. 4.85%, 4/17/2028 | 100,000 | 105,365 | |||
Fidelity National Financial, Inc. 4.50%, 8/15/2028 | 50,000 | 52,219 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 26,648 | |||
Hartford Financial Services Group, Inc.: | |||||
4.40%, 3/15/2048 | 100,000 | 108,960 | |||
5.13%, 4/15/2022 | 25,000 | 26,807 | |||
Lincoln National Corp.: | |||||
3.80%, 3/1/2028 (a) | 35,000 | 36,723 | |||
4.00%, 9/1/2023 | 15,000 | 15,875 | |||
4.35%, 3/1/2048 | 50,000 | 52,537 | |||
6.30%, 10/9/2037 (a) | 50,000 | 63,554 | |||
Loews Corp. 3.75%, 4/1/2026 | 50,000 | 52,710 | |||
Manulife Financial Corp. USD 5 Year Swap Rate + 1.65%, 4.06%, 2/24/2032 (c) | 50,000 | 50,907 | |||
Markel Corp.: | |||||
3.50%, 11/1/2027 | 50,000 | 49,955 | |||
5.00%, 5/20/2049 | 30,000 | 32,529 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.75%, 1/30/2022 | 30,000 | 30,301 | |||
3.30%, 3/14/2023 | 150,000 | 154,302 | |||
3.75%, 3/14/2026 | 25,000 | 26,383 | |||
3.88%, 3/15/2024 | 250,000 | 265,207 | |||
4.38%, 3/15/2029 | 250,000 | 275,912 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 51,151 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 318,369 | |||
4.05%, 3/1/2045 | 150,000 | 160,849 | |||
4.88%, 11/13/2043 | 200,000 | 237,274 | |||
6.40%, 12/15/2066 | 100,000 | 114,365 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 54,130 | |||
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 50,000 | 52,358 | |||
Progressive Corp.: | |||||
3.75%, 8/23/2021 | 50,000 | 51,620 |
Security Description | Principal Amount | Value | |||
4.00%, 3/1/2029 | $50,000 | $55,355 | |||
4.20%, 3/15/2048 | 100,000 | 112,473 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 104,811 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 209,548 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 80,000 | 84,536 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (a) (c) | 170,000 | 170,114 | |||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 52,745 | |||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 85,676 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 34,747 | |||
Reinsurance Group of America, Inc. 3.90%, 5/15/2029 | 50,000 | 51,862 | |||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 30,459 | |||
Torchmark Corp. 4.55%, 9/15/2028 | 25,000 | 27,310 | |||
Travelers Cos., Inc.: | |||||
3.75%, 5/15/2046 | 10,000 | 10,560 | |||
4.00%, 5/30/2047 | 80,000 | 87,001 | |||
4.05%, 3/7/2048 | 100,000 | 110,848 | |||
4.10%, 3/4/2049 | 100,000 | 111,497 | |||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 34,195 | |||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 27,682 | |||
Unum Group 4.00%, 6/15/2029 | 70,000 | 72,001 | |||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 51,589 | |||
Willis North America, Inc.: | |||||
3.60%, 5/15/2024 | 50,000 | 51,571 | |||
4.50%, 9/15/2028 | 50,000 | 53,861 | |||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 148,660 | |||
8,911,715 | |||||
INTERNET — 0.3% | |||||
Alibaba Group Holding, Ltd.: | |||||
3.13%, 11/28/2021 | 25,000 | 25,371 | |||
3.40%, 12/6/2027 | 200,000 | 203,038 | |||
3.60%, 11/28/2024 | 75,000 | 78,239 | |||
4.20%, 12/6/2047 | 60,000 | 62,861 | |||
4.40%, 12/6/2057 | 250,000 | 266,932 | |||
Alphabet, Inc.: | |||||
2.00%, 8/15/2026 | 250,000 | 243,652 | |||
3.63%, 5/19/2021 | 50,000 | 51,488 | |||
Amazon.com, Inc.: |
Security Description | Principal Amount | Value | |||
1.90%, 8/21/2020 | $165,000 | $164,621 | |||
2.40%, 2/22/2023 (a) | 200,000 | 201,922 | |||
2.50%, 11/29/2022 | 25,000 | 25,336 | |||
2.80%, 8/22/2024 | 100,000 | 102,903 | |||
3.15%, 8/22/2027 (a) | 100,000 | 105,060 | |||
3.80%, 12/5/2024 | 30,000 | 32,314 | |||
3.88%, 8/22/2037 | 125,000 | 137,786 | |||
4.05%, 8/22/2047 | 125,000 | 141,349 | |||
4.25%, 8/22/2057 | 385,000 | 445,102 | |||
4.95%, 12/5/2044 | 125,000 | 157,438 | |||
5.20%, 12/3/2025 | 50,000 | 58,377 | |||
Baidu, Inc. 2.88%, 7/6/2022 | 250,000 | 250,772 | |||
Booking Holdings, Inc. 3.60%, 6/1/2026 | 250,000 | 263,635 | |||
eBay, Inc.: | |||||
2.75%, 1/30/2023 | 150,000 | 150,795 | |||
3.45%, 8/1/2024 | 25,000 | 25,724 | |||
3.80%, 3/9/2022 | 50,000 | 51,671 | |||
Expedia Group, Inc. 3.80%, 2/15/2028 | 50,000 | 50,880 | |||
3,297,266 | |||||
INVESTMENT COMPANY SECURITY — 0.0% (b) | |||||
Ares Capital Corp.: | |||||
3.50%, 2/10/2023 | 50,000 | 49,767 | |||
4.25%, 3/1/2025 | 50,000 | 50,688 | |||
Prospect Capital Corp. 5.88%, 3/15/2023 (a) | 25,000 | 26,332 | |||
126,787 | |||||
IRON/STEEL — 0.1% | |||||
ArcelorMittal: | |||||
4.55%, 3/11/2026 (a) | 50,000 | 52,761 | |||
5.25%, 8/5/2020 (a) | 40,000 | 40,974 | |||
5.50%, 3/1/2021 (a) | 30,000 | 31,240 | |||
6.13%, 6/1/2025 (a) | 20,000 | 22,686 | |||
6.25%, 2/25/2022 | 30,000 | 32,492 | |||
7.00%, 10/15/2039 | 31,000 | 36,776 | |||
Nucor Corp.: | |||||
4.00%, 8/1/2023 | 25,000 | 26,509 | |||
5.20%, 8/1/2043 | 50,000 | 58,978 | |||
Vale Overseas, Ltd.: | |||||
4.38%, 1/11/2022 | 8,000 | 8,247 | |||
6.25%, 8/10/2026 | 150,000 | 170,293 | |||
6.88%, 11/10/2039 | 300,000 | 361,491 | |||
8.25%, 1/17/2034 (a) | 25,000 | 32,628 | |||
875,075 | |||||
LEISURE TIME — 0.0% (b) | |||||
Royal Caribbean Cruises, Ltd. 3.70%, 3/15/2028 (a) | 150,000 | 151,014 | |||
LODGING — 0.1% | |||||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 52,920 |
Security Description | Principal Amount | Value | |||
Marriott International, Inc.: | |||||
2.30%, 1/15/2022 | $150,000 | $149,499 | |||
2.88%, 3/1/2021 | 50,000 | 50,327 | |||
3.75%, 3/15/2025 | 25,000 | 26,051 | |||
Sands China, Ltd. 5.13%, 8/8/2025 | 250,000 | 270,192 | |||
548,989 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
ABB Finance USA, Inc.: | |||||
2.88%, 5/8/2022 | 50,000 | 50,783 | |||
3.80%, 4/3/2028 | 100,000 | 107,635 | |||
Caterpillar Financial Services Corp.: | |||||
1.70%, 8/9/2021 | 150,000 | 148,376 | |||
Series GMTN, 1.85%, 9/4/2020 | 150,000 | 149,452 | |||
Series MTN, 2.40%, 6/6/2022 | 150,000 | 151,116 | |||
Series MTN, 2.85%, 5/17/2024 | 100,000 | 102,094 | |||
Series MTN, 2.95%, 2/26/2022 | 150,000 | 153,094 | |||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 26,455 | |||
Caterpillar, Inc.: | |||||
3.80%, 8/15/2042 (a) | 125,000 | 133,095 | |||
4.75%, 5/15/2064 | 25,000 | 29,545 | |||
1,051,645 | |||||
MACHINERY-DIVERSIFIED — 0.2% | |||||
CNH Industrial Capital LLC: | |||||
3.88%, 10/15/2021 | 10,000 | 10,233 | |||
4.20%, 1/15/2024 | 100,000 | 104,177 | |||
4.38%, 11/6/2020 (a) | 15,000 | 15,316 | |||
4.38%, 4/5/2022 | 15,000 | 15,534 | |||
4.88%, 4/1/2021 | 15,000 | 15,533 | |||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 14,980 | |||
Deere & Co.: | |||||
2.60%, 6/8/2022 (a) | 25,000 | 25,296 | |||
3.90%, 6/9/2042 | 225,000 | 247,405 | |||
John Deere Capital Corp.: | |||||
3.65%, 10/12/2023 | 100,000 | 105,350 | |||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 26,169 | |||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 149,990 | |||
Series MTN, 2.38%, 7/14/2020 | 25,000 | 25,037 | |||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 65,767 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 153,373 | |||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 26,428 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.45%, 3/13/2025 | $100,000 | $105,357 | |||
Nvent Finance Sarl 4.55%, 4/15/2028 | 50,000 | 50,784 | |||
Rockwell Automation, Inc.: | |||||
3.50%, 3/1/2029 | 85,000 | 90,535 | |||
4.20%, 3/1/2049 | 250,000 | 282,317 | |||
Roper Technologies, Inc.: | |||||
2.80%, 12/15/2021 | 50,000 | 50,391 | |||
3.80%, 12/15/2026 | 30,000 | 31,265 | |||
4.20%, 9/15/2028 | 65,000 | 69,553 | |||
Wabtec Corp.: | |||||
4.40%, 3/15/2024 | 50,000 | 52,792 | |||
4.95%, 9/15/2028 | 50,000 | 53,657 | |||
1,787,239 | |||||
MEDIA — 0.8% | |||||
CBS Corp.: | |||||
2.50%, 2/15/2023 (a) | 50,000 | 49,749 | |||
2.90%, 1/15/2027 | 125,000 | 121,618 | |||
3.70%, 6/1/2028 | 50,000 | 50,931 | |||
4.20%, 6/1/2029 (a) | 200,000 | 211,712 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||||
3.58%, 7/23/2020 | 65,000 | 65,573 | |||
4.20%, 3/15/2028 | 250,000 | 259,660 | |||
4.46%, 7/23/2022 | 150,000 | 157,493 | |||
4.91%, 7/23/2025 | 50,000 | 54,259 | |||
5.05%, 3/30/2029 | 100,000 | 110,326 | |||
5.13%, 7/1/2049 (f) | 250,000 | 256,017 | |||
5.38%, 5/1/2047 | 150,000 | 157,944 | |||
6.48%, 10/23/2045 | 185,000 | 219,996 | |||
4.50%, 2/1/2024 | 100,000 | 106,532 | |||
Comcast Corp.: | |||||
2.75%, 3/1/2023 | 175,000 | 177,973 | |||
3.00%, 2/1/2024 | 350,000 | 360,108 | |||
3.15%, 3/1/2026 | 225,000 | 232,837 | |||
3.15%, 2/15/2028 | 200,000 | 205,098 | |||
3.20%, 7/15/2036 | 250,000 | 242,847 | |||
3.30%, 10/1/2020 | 50,000 | 50,685 | |||
3.30%, 2/1/2027 | 150,000 | 156,057 | |||
3.40%, 7/15/2046 | 100,000 | 95,688 | |||
3.45%, 10/1/2021 | 140,000 | 144,049 | |||
3.60%, 3/1/2024 | 25,000 | 26,404 | |||
3.70%, 4/15/2024 | 55,000 | 58,369 | |||
3.90%, 3/1/2038 | 150,000 | 157,960 | |||
3.95%, 10/15/2025 | 350,000 | 377,968 | |||
3.97%, 11/1/2047 | 250,000 | 261,900 | |||
4.00%, 11/1/2049 | 69,000 | 72,615 | |||
4.05%, 11/1/2052 | 150,000 | 158,848 | |||
4.15%, 10/15/2028 | 95,000 | 104,664 | |||
4.20%, 8/15/2034 | 100,000 | 110,921 | |||
4.25%, 10/15/2030 | 50,000 | 55,767 | |||
4.25%, 1/15/2033 | 50,000 | 55,900 |
Security Description | Principal Amount | Value | |||
4.60%, 10/15/2038 | $55,000 | $62,962 | |||
4.65%, 7/15/2042 | 75,000 | 86,319 | |||
4.70%, 10/15/2048 | 305,000 | 357,588 | |||
4.95%, 10/15/2058 | 105,000 | 127,666 | |||
Discovery Communications LLC: | |||||
3.25%, 4/1/2023 (a) | 25,000 | 25,453 | |||
3.80%, 3/13/2024 | 100,000 | 103,776 | |||
3.95%, 3/20/2028 | 30,000 | 30,879 | |||
4.95%, 5/15/2042 | 50,000 | 50,574 | |||
5.00%, 9/20/2037 | 170,000 | 177,609 | |||
5.20%, 9/20/2047 | 280,000 | 295,568 | |||
Fox Corp.: | |||||
3.67%, 1/25/2022 (e) | 15,000 | 15,499 | |||
4.03%, 1/25/2024 (e) | 25,000 | 26,570 | |||
4.71%, 1/25/2029 (e) | 40,000 | 44,704 | |||
5.48%, 1/25/2039 (e) | 25,000 | 29,472 | |||
5.58%, 1/25/2049 (e) | 25,000 | 30,418 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 (a) | 50,000 | 50,500 | |||
6.13%, 1/31/2046 (a) | 100,000 | 116,459 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 50,215 | |||
Time Warner Cable LLC: | |||||
4.00%, 9/1/2021 | 25,000 | 25,627 | |||
4.50%, 9/15/2042 | 100,000 | 92,950 | |||
5.50%, 9/1/2041 | 175,000 | 183,451 | |||
5.88%, 11/15/2040 | 50,000 | 54,250 | |||
6.75%, 6/15/2039 | 50,000 | 58,398 | |||
TWDC Enterprises 18 Corp.: | |||||
2.30%, 2/12/2021 (a) | 200,000 | 200,684 | |||
3.00%, 2/13/2026 (a) | 50,000 | 52,221 | |||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 26,274 | |||
Series MTN, 3.00%, 7/30/2046 (a) | 75,000 | 70,536 | |||
Viacom, Inc.: | |||||
4.25%, 9/1/2023 (a) | 100,000 | 105,768 | |||
4.38%, 3/15/2043 | 25,000 | 24,459 | |||
5.85%, 9/1/2043 | 200,000 | 235,484 | |||
Walt Disney Co.: | |||||
3.38%, 11/15/2026 (e) | 100,000 | 105,028 | |||
3.70%, 10/15/2025 (e) | 100,000 | 106,875 | |||
4.00%, 10/1/2023 (e) | 100,000 | 106,714 | |||
5.40%, 10/1/2043 (e) | 75,000 | 97,691 | |||
6.15%, 2/15/2041 (e) | 350,000 | 485,887 | |||
8,642,996 | |||||
METAL FABRICATE & HARDWARE — 0.0% (b) | |||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 75,574 | |||
Timken Co. 4.50%, 12/15/2028 (a) | 20,000 | 21,054 | |||
96,628 |
Security Description | Principal Amount | Value | |||
MINING — 0.1% | |||||
Barrick Gold Corp. 5.25%, 4/1/2042 | $25,000 | $29,419 | |||
BHP Billiton Finance USA, Ltd.: | |||||
4.13%, 2/24/2042 (a) | 125,000 | 138,036 | |||
5.00%, 9/30/2043 | 50,000 | 62,273 | |||
Newmont Mining Corp.: | |||||
3.50%, 3/15/2022 | 25,000 | 25,573 | |||
3.70%, 3/15/2023 (e) | 50,000 | 51,798 | |||
4.88%, 3/15/2042 | 50,000 | 55,896 | |||
Rio Tinto Finance USA PLC: | |||||
4.13%, 8/21/2042 | 25,000 | 27,929 | |||
4.75%, 3/22/2042 | 150,000 | 177,966 | |||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 | 250,000 | 268,375 | |||
Southern Copper Corp. 5.88%, 4/23/2045 | 357,000 | 423,470 | |||
1,260,735 | |||||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
3M Co.: | |||||
2.88%, 10/15/2027 | 225,000 | 229,257 | |||
Series MTN, 2.00%, 8/7/2020 | 100,000 | 99,881 | |||
Series MTN, 3.38%, 3/1/2029 (a) | 50,000 | 52,795 | |||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 25,062 | |||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 32,453 | |||
Eaton Corp.: | |||||
3.10%, 9/15/2027 | 100,000 | 101,553 | |||
4.15%, 11/2/2042 | 25,000 | 26,475 | |||
General Electric Co.: | |||||
2.70%, 10/9/2022 | 500,000 | 499,285 | |||
4.13%, 10/9/2042 | 225,000 | 207,416 | |||
4.50%, 3/11/2044 | 250,000 | 243,540 | |||
5.30%, 2/11/2021 | 25,000 | 25,940 | |||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 51,114 | |||
Series MTN, 4.65%, 10/17/2021 | 50,000 | 52,111 | |||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 56,764 | |||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 325,000 | 357,887 | |||
Ingersoll-Rand Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 30,851 | |||
Ingersoll-Rand Luxembourg Finance SA 3.80%, 3/21/2029 (a) | 100,000 | 104,907 | |||
Parker-Hannifin Corp.: | |||||
2.70%, 6/14/2024 | 35,000 | 35,525 | |||
3.25%, 6/14/2029 | 35,000 | 36,373 | |||
4.00%, 6/14/2049 | 40,000 | 42,457 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.30%, 11/21/2024 | $50,000 | $51,999 | |||
Textron, Inc.: | |||||
3.90%, 9/17/2029 | 50,000 | 52,237 | |||
4.00%, 3/15/2026 | 50,000 | 52,595 | |||
2,468,477 | |||||
OIL & GAS — 1.4% | |||||
Anadarko Petroleum Corp.: | |||||
6.20%, 3/15/2040 | 25,000 | 30,043 | |||
6.60%, 3/15/2046 | 300,000 | 390,510 | |||
Apache Corp.: | |||||
4.25%, 1/15/2030 | 100,000 | 103,255 | |||
4.75%, 4/15/2043 | 275,000 | 267,726 | |||
BP Capital Markets America, Inc.: | |||||
2.52%, 9/19/2022 | 250,000 | 252,365 | |||
3.02%, 1/16/2027 | 200,000 | 204,470 | |||
3.22%, 4/14/2024 (a) | 200,000 | 207,014 | |||
3.41%, 2/11/2026 | 250,000 | 262,445 | |||
3.59%, 4/14/2027 | 250,000 | 262,155 | |||
3.94%, 9/21/2028 | 100,000 | 108,562 | |||
BP Capital Markets PLC: | |||||
3.06%, 3/17/2022 (a) | 200,000 | 204,670 | |||
3.81%, 2/10/2024 | 150,000 | 158,980 | |||
Canadian Natural Resources, Ltd.: | |||||
2.95%, 1/15/2023 | 250,000 | 252,497 | |||
3.45%, 11/15/2021 | 25,000 | 25,525 | |||
3.85%, 6/1/2027 (a) | 50,000 | 51,949 | |||
3.90%, 2/1/2025 (a) | 25,000 | 26,135 | |||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 114,370 | |||
Cenovus Energy, Inc.: | |||||
3.00%, 8/15/2022 | 20,000 | 20,076 | |||
4.25%, 4/15/2027 (a) | 50,000 | 51,773 | |||
5.25%, 6/15/2037 | 100,000 | 104,536 | |||
5.40%, 6/15/2047 | 50,000 | 53,831 | |||
Chevron Corp.: | |||||
2.10%, 5/16/2021 (a) | 250,000 | 250,052 | |||
2.42%, 11/17/2020 | 75,000 | 75,348 | |||
2.90%, 3/3/2024 (a) | 150,000 | 155,071 | |||
2.95%, 5/16/2026 | 50,000 | 51,610 | |||
3.19%, 6/24/2023 | 25,000 | 25,953 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 (a) | 250,000 | 256,652 | |||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 300,000 | 309,681 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 117,986 | |||
Concho Resources, Inc. 3.75%, 10/1/2027 | 300,000 | 310,326 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 228,152 |
Security Description | Principal Amount | Value | |||
5.95%, 3/15/2046 (a) | $200,000 | $276,820 | |||
6.50%, 2/1/2039 | 75,000 | 105,195 | |||
ConocoPhillips Holding Co. 6.95%, 4/15/2029 (a) | 50,000 | 67,296 | |||
Continental Resources, Inc.: | |||||
3.80%, 6/1/2024 | 40,000 | 41,154 | |||
4.38%, 1/15/2028 (a) | 40,000 | 42,037 | |||
4.50%, 4/15/2023 | 60,000 | 63,007 | |||
4.90%, 6/1/2044 (a) | 30,000 | 31,677 | |||
5.00%, 9/15/2022 | 64,000 | 64,562 | |||
Devon Energy Corp.: | |||||
3.25%, 5/15/2022 | 50,000 | 51,562 | |||
5.00%, 6/15/2045 (a) | 25,000 | 28,688 | |||
5.85%, 12/15/2025 | 50,000 | 59,621 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 | 100,000 | 103,506 | |||
5.88%, 5/28/2045 | 225,000 | 248,857 | |||
7.38%, 9/18/2043 | 50,000 | 64,216 | |||
Encana Corp. 3.90%, 11/15/2021 | 25,000 | 25,617 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 101,107 | |||
3.90%, 4/1/2035 | 25,000 | 26,321 | |||
EQT Corp.: | |||||
2.50%, 10/1/2020 | 250,000 | 249,162 | |||
3.00%, 10/1/2022 | 100,000 | 99,205 | |||
3.90%, 10/1/2027 | 100,000 | 94,842 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 76,266 | |||
3.63%, 9/10/2028 | 50,000 | 53,830 | |||
3.70%, 3/1/2024 (a) | 300,000 | 318,708 | |||
3.95%, 5/15/2043 (a) | 50,000 | 54,165 | |||
4.80%, 11/8/2043 | 30,000 | 36,568 | |||
Exxon Mobil Corp.: | |||||
2.22%, 3/1/2021 | 200,000 | 200,544 | |||
2.73%, 3/1/2023 | 150,000 | 153,162 | |||
3.04%, 3/1/2026 | 250,000 | 259,022 | |||
4.11%, 3/1/2046 | 125,000 | 143,804 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 80,803 | |||
5.80%, 4/1/2047 | 250,000 | 278,772 | |||
Husky Energy, Inc. 4.40%, 4/15/2029 | 100,000 | 105,793 | |||
Marathon Oil Corp.: | |||||
2.80%, 11/1/2022 | 25,000 | 25,083 | |||
4.40%, 7/15/2027 (a) | 50,000 | 53,067 | |||
5.20%, 6/1/2045 | 50,000 | 55,687 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 51,800 | |||
3.80%, 4/1/2028 (a) | 30,000 | 30,522 | |||
4.50%, 4/1/2048 | 25,000 | 25,091 | |||
5.13%, 12/15/2026 (a) | 150,000 | 164,563 | |||
Newfield Exploration Co. 5.63%, 7/1/2024 | 250,000 | 276,900 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 124,410 |
Security Description | Principal Amount | Value | |||
Noble Energy, Inc.: | |||||
4.95%, 8/15/2047 | $250,000 | $265,605 | |||
5.25%, 11/15/2043 | 50,000 | 53,856 | |||
Occidental Petroleum Corp.: | |||||
2.60%, 4/15/2022 | 100,000 | 100,278 | |||
4.20%, 3/15/2048 | 150,000 | 151,467 | |||
4.40%, 4/15/2046 | 125,000 | 128,777 | |||
Series 1, 4.10%, 2/1/2021 (a) | 25,000 | 25,570 | |||
Petro-Canada 5.35%, 7/15/2033 | 25,000 | 29,835 | |||
Petroleos Mexicanos: | |||||
2.46%, 12/15/2025 | 16,250 | 15,445 | |||
3.50%, 7/23/2020 | 225,000 | 224,345 | |||
3.50%, 1/30/2023 (a) | 25,000 | 23,748 | |||
4.25%, 1/15/2025 | 25,000 | 23,149 | |||
4.50%, 1/23/2026 (a) | 75,000 | 68,782 | |||
4.63%, 9/21/2023 (a) | 75,000 | 73,688 | |||
5.38%, 3/13/2022 | 50,000 | 50,363 | |||
6.35%, 2/12/2048 | 150,000 | 128,623 | |||
6.38%, 2/4/2021 | 250,000 | 256,522 | |||
6.38%, 1/23/2045 | 250,000 | 213,802 | |||
6.50%, 3/13/2027 | 250,000 | 246,510 | |||
6.50%, 1/23/2029 (a) | 75,000 | 72,575 | |||
6.75%, 9/21/2047 | 598,000 | 529,457 | |||
6.88%, 8/4/2026 | 250,000 | 252,485 | |||
Phillips 66: | |||||
3.90%, 3/15/2028 (a) | 50,000 | 52,705 | |||
4.30%, 4/1/2022 | 35,000 | 36,818 | |||
4.88%, 11/15/2044 | 95,000 | 106,048 | |||
Pioneer Natural Resources Co. 4.45%, 1/15/2026 | 50,000 | 54,294 | |||
Shell International Finance B.V.: | |||||
1.88%, 5/10/2021 | 250,000 | 248,872 | |||
2.25%, 11/10/2020 | 200,000 | 200,346 | |||
2.50%, 9/12/2026 | 150,000 | 149,083 | |||
3.25%, 5/11/2025 | 100,000 | 104,555 | |||
4.00%, 5/10/2046 | 300,000 | 329,385 | |||
4.13%, 5/11/2035 | 75,000 | 83,203 | |||
4.38%, 5/11/2045 | 250,000 | 287,420 | |||
5.50%, 3/25/2040 | 25,000 | 32,383 | |||
Suncor Energy, Inc.: | |||||
3.60%, 12/1/2024 | 25,000 | 26,075 | |||
4.00%, 11/15/2047 | 70,000 | 72,493 | |||
6.50%, 6/15/2038 | 50,000 | 66,820 | |||
Total Capital International SA: | |||||
3.46%, 2/19/2029 | 50,000 | 53,196 | |||
3.75%, 4/10/2024 | 375,000 | 399,532 | |||
Total Capital SA 3.88%, 10/11/2028 | 25,000 | 27,451 | |||
Valero Energy Corp.: | |||||
3.40%, 9/15/2026 | 50,000 | 50,980 | |||
4.00%, 4/1/2029 | 250,000 | 262,012 | |||
6.63%, 6/15/2037 | 250,000 | 315,950 | |||
15,241,233 |
Security Description | Principal Amount | Value | |||
OIL & GAS SERVICES — 0.1% | |||||
Baker Hughes a GE Co. LLC 3.20%, 8/15/2021 (a) | $8,000 | $8,109 | |||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | |||||
2.77%, 12/15/2022 | 100,000 | 101,062 | |||
3.34%, 12/15/2027 (a) | 50,000 | 50,357 | |||
4.08%, 12/15/2047 | 150,000 | 144,841 | |||
Halliburton Co.: | |||||
3.80%, 11/15/2025 (a) | 350,000 | 367,255 | |||
4.85%, 11/15/2035 | 150,000 | 160,050 | |||
5.00%, 11/15/2045 | 35,000 | 38,136 | |||
7.45%, 9/15/2039 | 25,000 | 34,511 | |||
National Oilwell Varco, Inc. 2.60%, 12/1/2022 | 75,000 | 74,854 | |||
979,175 | |||||
PACKAGING & CONTAINERS — 0.0% (b) | |||||
Bemis Co., Inc. 3.10%, 9/15/2026 (e) | 50,000 | 48,753 | |||
Packaging Corp. of America: | |||||
2.45%, 12/15/2020 | 35,000 | 34,973 | |||
3.40%, 12/15/2027 | 35,000 | 35,437 | |||
WRKCo, Inc.: | |||||
3.38%, 9/15/2027 | 100,000 | 100,163 | |||
3.75%, 3/15/2025 (a) | 100,000 | 103,913 | |||
4.20%, 6/1/2032 (a) | 50,000 | 51,575 | |||
374,814 | |||||
PHARMACEUTICALS — 1.5% | |||||
AbbVie, Inc.: | |||||
2.30%, 5/14/2021 | 325,000 | 324,106 | |||
2.90%, 11/6/2022 | 25,000 | 25,274 | |||
3.20%, 5/14/2026 (a) | 200,000 | 201,842 | |||
3.38%, 11/14/2021 | 270,000 | 275,446 | |||
3.75%, 11/14/2023 | 235,000 | 245,215 | |||
4.25%, 11/14/2028 | 35,000 | 37,392 | |||
4.30%, 5/14/2036 | 50,000 | 50,175 | |||
4.40%, 11/6/2042 | 50,000 | 49,261 | |||
4.45%, 5/14/2046 (a) | 150,000 | 147,144 | |||
4.50%, 5/14/2035 | 50,000 | 51,334 | |||
4.88%, 11/14/2048 | 25,000 | 26,276 | |||
Allergan Funding SCS: | |||||
3.45%, 3/15/2022 | 200,000 | 203,912 | |||
3.80%, 3/15/2025 | 75,000 | 77,813 | |||
3.85%, 6/15/2024 | 50,000 | 51,894 | |||
4.55%, 3/15/2035 | 350,000 | 358,022 | |||
4.75%, 3/15/2045 (a) | 75,000 | 77,176 | |||
AmerisourceBergen Corp. 3.45%, 12/15/2027 | 50,000 | 50,994 | |||
AstraZeneca PLC: | |||||
2.38%, 6/12/2022 | 400,000 | 402,180 | |||
3.38%, 11/16/2025 | 35,000 | 36,602 |
Security Description | Principal Amount | Value | |||
3.50%, 8/17/2023 | $50,000 | $52,076 | |||
4.00%, 1/17/2029 (a) | 35,000 | 38,268 | |||
4.00%, 9/18/2042 | 25,000 | 26,198 | |||
4.38%, 8/17/2048 | 40,000 | 44,827 | |||
6.45%, 9/15/2037 | 25,000 | 33,812 | |||
Bristol-Myers Squibb Co.: | |||||
2.55%, 5/14/2021 (e) | 50,000 | 50,364 | |||
2.60%, 5/16/2022 (a) (e) | 50,000 | 50,607 | |||
2.90%, 7/26/2024 (e) | 85,000 | 86,961 | |||
3.20%, 6/15/2026 (e) | 50,000 | 51,959 | |||
3.25%, 2/27/2027 (a) | 250,000 | 262,592 | |||
3.25%, 8/1/2042 | 50,000 | 46,691 | |||
3.40%, 7/26/2029 (e) | 355,000 | 371,887 | |||
4.13%, 6/15/2039 (e) | �� | 35,000 | 37,723 | ||
4.25%, 10/26/2049 (e) | 65,000 | 71,828 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 251,652 | |||
3.41%, 6/15/2027 (a) | 300,000 | 299,277 | |||
4.90%, 9/15/2045 | 25,000 | 24,394 | |||
Cigna Corp. 3.40%, 9/17/2021 (e) | 290,000 | 295,617 | |||
CVS Health Corp.: | |||||
2.13%, 6/1/2021 | 100,000 | 99,333 | |||
2.80%, 7/20/2020 | 20,000 | 20,053 | |||
2.88%, 6/1/2026 | 210,000 | 206,128 | |||
3.35%, 3/9/2021 | 595,000 | 603,300 | |||
3.38%, 8/12/2024 (a) | 25,000 | 25,581 | |||
3.50%, 7/20/2022 | 200,000 | 205,494 | |||
3.70%, 3/9/2023 | 485,000 | 501,073 | |||
3.88%, 7/20/2025 | 20,000 | 20,877 | |||
4.00%, 12/5/2023 | 25,000 | 26,188 | |||
4.10%, 3/25/2025 | 250,000 | 263,720 | |||
4.30%, 3/25/2028 | 610,000 | 643,391 | |||
4.78%, 3/25/2038 | 175,000 | 182,504 | |||
4.88%, 7/20/2035 | 45,000 | 47,876 | |||
5.05%, 3/25/2048 | 540,000 | 575,840 | |||
5.13%, 7/20/2045 | 185,000 | 197,269 | |||
Eli Lilly & Co.: | |||||
2.35%, 5/15/2022 | 300,000 | 302,256 | |||
3.10%, 5/15/2027 (a) | 24,000 | 24,976 | |||
3.95%, 5/15/2047 | 250,000 | 269,950 | |||
5.55%, 3/15/2037 | 25,000 | 31,572 | |||
Express Scripts Holding Co.: | |||||
3.00%, 7/15/2023 | 150,000 | 151,837 | |||
3.30%, 2/25/2021 | 25,000 | 25,320 | |||
4.50%, 2/25/2026 | 75,000 | 80,872 | |||
4.80%, 7/15/2046 | 150,000 | 158,742 | |||
6.13%, 11/15/2041 | 25,000 | 30,726 | |||
GlaxoSmithKline Capital PLC: | |||||
2.88%, 6/1/2022 | 450,000 | 457,933 | |||
3.00%, 6/1/2024 | 70,000 | 72,150 | |||
3.13%, 5/14/2021 | 70,000 | 71,175 | |||
3.38%, 6/1/2029 | 85,000 | 89,853 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 25,472 |
Security Description | Principal Amount | Value | |||
3.38%, 5/15/2023 | $100,000 | $104,039 | |||
3.63%, 5/15/2025 | 55,000 | 58,499 | |||
3.88%, 5/15/2028 | 100,000 | 109,260 | |||
4.20%, 3/18/2043 | 25,000 | 27,957 | |||
6.38%, 5/15/2038 | 50,000 | 69,787 | |||
Johnson & Johnson: | |||||
2.45%, 3/1/2026 | 30,000 | 30,110 | |||
2.90%, 1/15/2028 | 250,000 | 257,417 | |||
3.38%, 12/5/2023 | 25,000 | 26,426 | |||
3.40%, 1/15/2038 | 100,000 | 103,903 | |||
3.55%, 3/1/2036 | 150,000 | 158,374 | |||
3.63%, 3/3/2037 | 200,000 | 214,038 | |||
3.70%, 3/1/2046 | 50,000 | 54,135 | |||
3.75%, 3/3/2047 (a) | 100,000 | 108,800 | |||
4.50%, 12/5/2043 | 50,000 | 59,984 | |||
McKesson Corp.: | |||||
2.85%, 3/15/2023 | 25,000 | 25,139 | |||
3.65%, 11/30/2020 | 100,000 | 101,594 | |||
3.95%, 2/16/2028 | 60,000 | 62,347 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 28,818 | |||
Merck & Co., Inc.: | |||||
2.35%, 2/10/2022 (a) | 50,000 | 50,417 | |||
2.40%, 9/15/2022 | 25,000 | 25,259 | |||
2.75%, 2/10/2025 | 325,000 | 333,343 | |||
2.90%, 3/7/2024 | 45,000 | 46,511 | |||
3.40%, 3/7/2029 | 100,000 | 106,245 | |||
3.60%, 9/15/2042 | 25,000 | 25,848 | |||
3.70%, 2/10/2045 | 50,000 | 52,717 | |||
3.90%, 3/7/2039 (a) | 100,000 | 109,164 | |||
4.00%, 3/7/2049 | 65,000 | 72,203 | |||
Mylan NV: | |||||
3.15%, 6/15/2021 | 380,000 | 379,449 | |||
5.25%, 6/15/2046 | 250,000 | 233,770 | |||
Novartis Capital Corp.: | |||||
2.40%, 5/17/2022 | 300,000 | 302,520 | |||
3.00%, 11/20/2025 | 25,000 | 25,824 | |||
3.10%, 5/17/2027 (a) | 30,000 | 31,125 | |||
3.40%, 5/6/2024 | 25,000 | 26,316 | |||
4.00%, 11/20/2045 | 50,000 | 55,286 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 49,993 | |||
Pfizer, Inc.: | |||||
2.20%, 12/15/2021 (a) | 200,000 | 200,602 | |||
2.95%, 3/15/2024 (a) | 100,000 | 103,322 | |||
3.00%, 9/15/2021 | 40,000 | 40,810 | |||
3.00%, 12/15/2026 | 150,000 | 154,716 | |||
3.20%, 9/15/2023 | 50,000 | 51,968 | |||
3.40%, 5/15/2024 | 25,000 | 26,348 | |||
3.45%, 3/15/2029 (a) | 100,000 | 105,793 | |||
3.60%, 9/15/2028 (a) | 100,000 | 107,994 | |||
3.90%, 3/15/2039 | 25,000 | 26,919 | |||
4.00%, 12/15/2036 | 150,000 | 163,324 | |||
4.00%, 3/15/2049 | 100,000 | 108,807 | |||
4.10%, 9/15/2038 | 200,000 | 220,432 |
Security Description | Principal Amount | Value | |||
4.20%, 9/15/2048 | $35,000 | $39,244 | |||
7.20%, 3/15/2039 | 75,000 | 114,047 | |||
Sanofi: | |||||
3.63%, 6/19/2028 (a) | 100,000 | 107,620 | |||
4.00%, 3/29/2021 | 25,000 | 25,760 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.40%, 9/23/2021 | 300,000 | 299,541 | |||
2.88%, 9/23/2023 | 100,000 | 100,985 | |||
3.20%, 9/23/2026 | 30,000 | 30,245 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
4.40%, 11/26/2023 (e) | 100,000 | 106,920 | |||
5.00%, 11/26/2028 (e) | 100,000 | 113,427 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 32,763 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 50,270 | |||
3.90%, 8/20/2028 | 50,000 | 53,707 | |||
4.45%, 8/20/2048 | 25,000 | 27,559 | |||
4.70%, 2/1/2043 (a) | 25,000 | 28,169 | |||
16,168,161 | |||||
PIPELINES — 1.0% | |||||
Andeavor Logistics L.P./Tesoro Logistics Finance Corp.: | |||||
3.50%, 12/1/2022 | 75,000 | 76,840 | |||
5.20%, 12/1/2047 | 100,000 | 106,934 | |||
Boardwalk Pipelines L.P. 4.80%, 5/3/2029 | 40,000 | 41,760 | |||
Buckeye Partners L.P.: | |||||
4.13%, 12/1/2027 | 50,000 | 44,018 | |||
4.88%, 2/1/2021 | 25,000 | 25,391 | |||
Enable Midstream Partners L.P.: | |||||
4.40%, 3/15/2027 | 50,000 | 50,267 | |||
4.95%, 5/15/2028 | 30,000 | 31,413 | |||
Enbridge Energy Partners L.P. 4.20%, 9/15/2021 | 25,000 | 25,795 | |||
Enbridge, Inc.: | |||||
2.90%, 7/15/2022 | 50,000 | 50,686 | |||
3.70%, 7/15/2027 (a) | 50,000 | 51,879 | |||
4.25%, 12/1/2026 | 50,000 | 54,243 | |||
Energy Transfer Operating L.P.: | |||||
4.20%, 4/15/2027 (a) | 50,000 | 52,072 | |||
4.50%, 4/15/2024 (a) | 20,000 | 21,277 | |||
4.75%, 1/15/2026 | 225,000 | 241,191 | |||
5.15%, 2/1/2043 | 25,000 | 25,204 | |||
5.15%, 3/15/2045 | 225,000 | 229,471 | |||
5.20%, 2/1/2022 | 100,000 | 105,602 | |||
5.25%, 4/15/2029 | 275,000 | 307,211 | |||
5.30%, 4/15/2047 | 250,000 | 261,127 | |||
5.88%, 1/15/2024 | 250,000 | 278,377 | |||
6.25%, 4/15/2049 | 275,000 | 325,567 | |||
Enterprise Products Operating LLC: | |||||
2.85%, 4/15/2021 | 75,000 | 75,571 | |||
3.13%, 7/31/2029 (f) | 100,000 | 100,669 |
Security Description | Principal Amount | Value | |||
3.50%, 2/1/2022 | $25,000 | $25,673 | |||
3.75%, 2/15/2025 | 75,000 | 79,327 | |||
3.95%, 2/15/2027 (a) | 200,000 | 213,980 | |||
4.15%, 10/16/2028 (a) | 25,000 | 27,188 | |||
4.20%, 1/31/2050 (f) | 65,000 | 67,062 | |||
4.80%, 2/1/2049 (a) | 25,000 | 27,861 | |||
4.85%, 3/15/2044 | 50,000 | 55,529 | |||
4.90%, 5/15/2046 | 50,000 | 56,169 | |||
5.10%, 2/15/2045 | 200,000 | 228,468 | |||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (c) | 250,000 | 234,882 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | 150,000 | 143,190 | |||
EQM Midstream Partners L.P. Series 30Y, 6.50%, 7/15/2048 | 25,000 | 26,334 | |||
EQT Midstream Partners L.P.: | |||||
Series 10Y, 5.50%, 7/15/2028 | 15,000 | 15,796 | |||
Series 5Y, 4.75%, 7/15/2023 | 250,000 | 259,852 | |||
Kinder Morgan Energy Partners L.P.: | |||||
3.50%, 3/1/2021 | 275,000 | 278,921 | |||
5.40%, 9/1/2044 | 25,000 | 27,920 | |||
Kinder Morgan, Inc.: | |||||
3.15%, 1/15/2023 | 200,000 | 203,418 | |||
4.30%, 6/1/2025 | 300,000 | 320,358 | |||
5.05%, 2/15/2046 | 50,000 | 54,462 | |||
5.30%, 12/1/2034 | 200,000 | 226,160 | |||
5.55%, 6/1/2045 (a) | 150,000 | 173,434 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 50,606 | |||
4.85%, 2/1/2049 (a) | 275,000 | 312,249 | |||
5.00%, 3/1/2026 | 50,000 | 55,549 | |||
MPLX L.P.: | |||||
4.00%, 3/15/2028 | 35,000 | 36,289 | |||
4.50%, 4/15/2038 | 180,000 | 181,809 | |||
4.70%, 4/15/2048 (a) | 25,000 | 25,446 | |||
4.80%, 2/15/2029 | 105,000 | 115,539 | |||
4.88%, 6/1/2025 | 50,000 | 54,390 | |||
4.90%, 4/15/2058 | 25,000 | 25,285 | |||
5.20%, 3/1/2047 | 100,000 | 107,356 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 25,461 | |||
ONEOK, Inc.: | |||||
4.00%, 7/13/2027 | 30,000 | 31,248 | |||
4.55%, 7/15/2028 | 50,000 | 54,263 | |||
4.95%, 7/13/2047 (a) | 150,000 | 158,682 | |||
5.20%, 7/15/2048 | 25,000 | 27,534 | |||
Phillips 66 Partners L.P.: | |||||
3.55%, 10/1/2026 | 10,000 | 10,175 | |||
4.90%, 10/1/2046 | 10,000 | 10,658 | |||
3.75%, 3/1/2028 | 25,000 | 25,525 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: |
Security Description | Principal Amount | Value | |||
3.60%, 11/1/2024 | $25,000 | $25,482 | |||
4.50%, 12/15/2026 | 50,000 | 53,124 | |||
4.65%, 10/15/2025 | 400,000 | 426,216 | |||
4.70%, 6/15/2044 | 25,000 | 24,060 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 (a) | 100,000 | 104,993 | |||
5.63%, 2/1/2021 | 95,000 | 98,673 | |||
5.63%, 3/1/2025 | 200,000 | 223,868 | |||
5.75%, 5/15/2024 | 75,000 | 83,413 | |||
5.88%, 6/30/2026 | 250,000 | 285,687 | |||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 379,445 | |||
Sunoco Logistics Partners Operations L.P.: | |||||
4.00%, 10/1/2027 | 50,000 | 51,576 | |||
5.30%, 4/1/2044 | 25,000 | 25,803 | |||
5.35%, 5/15/2045 | 25,000 | 26,108 | |||
5.40%, 10/1/2047 | 150,000 | 159,360 | |||
TransCanada PipeLines, Ltd.: | |||||
2.50%, 8/1/2022 | 100,000 | 99,915 | |||
4.63%, 3/1/2034 | 250,000 | 276,600 | |||
4.75%, 5/15/2038 | 100,000 | 109,004 | |||
4.88%, 5/15/2048 (a) | 200,000 | 224,190 | |||
7.63%, 1/15/2039 | 25,000 | 35,798 | |||
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026 | 200,000 | 255,518 | |||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 53,795 | |||
Western Gas Partners L.P.: | |||||
4.75%, 8/15/2028 | 60,000 | 60,980 | |||
5.45%, 4/1/2044 | 25,000 | 23,518 | |||
Western Midstream Operating L.P.: | |||||
4.50%, 3/1/2028 | 20,000 | 19,937 | |||
5.30%, 3/1/2048 | 50,000 | 46,402 | |||
Williams Cos., Inc.: | |||||
3.60%, 3/15/2022 | 100,000 | 102,609 | |||
3.70%, 1/15/2023 | 20,000 | 20,651 | |||
3.75%, 6/15/2027 | 200,000 | 206,694 | |||
3.90%, 1/15/2025 | 50,000 | 52,358 | |||
4.55%, 6/24/2024 | 65,000 | 69,984 | |||
5.10%, 9/15/2045 (a) | 125,000 | 135,511 | |||
5.75%, 6/24/2044 | 25,000 | 29,161 | |||
10,427,046 | |||||
REAL ESTATE — 0.0% (b) | |||||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 54,354 | |||
REAL ESTATE INVESTMENT TRUSTS — 0.8% | |||||
Alexandria Real Estate Equities, Inc.: | |||||
3.45%, 4/30/2025 | 100,000 | 102,909 | |||
4.70%, 7/1/2030 | 35,000 | 39,385 |
Security Description | Principal Amount | Value | |||
American Campus Communities Operating Partnership L.P.: | |||||
3.30%, 7/15/2026 | $50,000 | $50,604 | |||
3.63%, 11/15/2027 | 30,000 | 30,580 | |||
American Tower Corp.: | |||||
2.25%, 1/15/2022 | 100,000 | 99,527 | |||
3.00%, 6/15/2023 | 250,000 | 253,522 | |||
3.13%, 1/15/2027 | 100,000 | 99,394 | |||
3.38%, 10/15/2026 | 75,000 | 76,309 | |||
3.50%, 1/31/2023 | 50,000 | 51,566 | |||
AvalonBay Communities, Inc.: | |||||
3.30%, 6/1/2029 | 65,000 | 67,604 | |||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 25,477 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 50,658 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 41,328 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 52,648 | |||
Boston Properties L.P.: | |||||
2.75%, 10/1/2026 | 150,000 | 147,705 | |||
3.40%, 6/21/2029 | 100,000 | 102,709 | |||
3.65%, 2/1/2026 | 100,000 | 103,858 | |||
3.85%, 2/1/2023 | 75,000 | 78,243 | |||
Brixmor Operating Partnership L.P.: | |||||
3.65%, 6/15/2024 | 50,000 | 51,174 | |||
4.13%, 6/15/2026 | 50,000 | 51,942 | |||
4.13%, 5/15/2029 | 50,000 | 52,280 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 66,203 | |||
4.10%, 10/15/2028 | 20,000 | 21,809 | |||
Crown Castle International Corp.: | |||||
3.20%, 9/1/2024 | 250,000 | 254,897 | |||
3.65%, 9/1/2027 | 150,000 | 154,630 | |||
3.70%, 6/15/2026 | 15,000 | 15,593 | |||
4.00%, 3/1/2027 | 20,000 | 21,019 | |||
4.75%, 5/15/2047 (a) | 100,000 | 107,432 | |||
5.25%, 1/15/2023 | 100,000 | 108,640 | |||
CubeSmart L.P. 4.38%, 2/15/2029 | 30,000 | 31,948 | |||
Digital Realty Trust L.P.: | |||||
2.75%, 2/1/2023 | 125,000 | 124,980 | |||
3.70%, 8/15/2027 | 150,000 | 154,503 | |||
3.95%, 7/1/2022 | 25,000 | 26,052 | |||
Duke Realty L.P. 4.00%, 9/15/2028 | 100,000 | 106,731 | |||
EPR Properties: | |||||
4.50%, 6/1/2027 | 50,000 | 51,965 | |||
4.95%, 4/15/2028 | �� | 50,000 | 53,774 | ||
ERP Operating L.P.: | |||||
3.00%, 7/1/2029 | 25,000 | 25,377 | |||
3.50%, 3/1/2028 | 100,000 | 105,290 | |||
4.00%, 8/1/2047 (a) | 50,000 | 53,930 |
Security Description | Principal Amount | Value | |||
4.15%, 12/1/2028 (a) | $100,000 | $110,682 | |||
Essex Portfolio L.P.: | |||||
3.63%, 5/1/2027 (a) | 50,000 | 51,916 | |||
4.00%, 3/1/2029 | 65,000 | 69,189 | |||
4.50%, 3/15/2048 | 50,000 | 53,716 | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | 25,000 | 25,369 | |||
3.25%, 7/15/2027 | 50,000 | 51,017 | |||
GLP Capital L.P./GLP Financing II, Inc. 4.88%, 11/1/2020 | 55,000 | 56,070 | |||
HCP, Inc.: | |||||
3.88%, 8/15/2024 | 50,000 | 52,424 | |||
4.00%, 12/1/2022 | 200,000 | 209,414 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.95%, 7/1/2022 | 175,000 | 176,123 | |||
3.50%, 8/1/2026 | 25,000 | 25,325 | |||
Highwoods Realty L.P. 3.88%, 3/1/2027 | 50,000 | 51,563 | |||
Hospitality Properties Trust: | |||||
4.38%, 2/15/2030 | 50,000 | 47,777 | |||
4.50%, 6/15/2023 (a) | 25,000 | 25,862 | |||
4.95%, 2/15/2027 | 70,000 | 70,479 | |||
Host Hotels & Resorts L.P. 3.88%, 4/1/2024 | 50,000 | 51,575 | |||
Hudson Pacific Properties L.P. 4.65%, 4/1/2029 | 25,000 | 26,815 | |||
Kilroy Realty L.P.: | |||||
3.45%, 12/15/2024 | 50,000 | 51,378 | |||
4.75%, 12/15/2028 | 25,000 | 27,733 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 | 50,000 | 48,811 | |||
3.30%, 2/1/2025 | 40,000 | 40,759 | |||
3.80%, 4/1/2027 (a) | 25,000 | 26,006 | |||
Liberty Property L.P. 4.38%, 2/1/2029 | 65,000 | 70,240 | |||
Life Storage L.P. 4.00%, 6/15/2029 | 100,000 | 102,565 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 51,561 | |||
3.95%, 3/15/2029 | 50,000 | 52,960 | |||
National Retail Properties, Inc.: | |||||
3.60%, 12/15/2026 | 50,000 | 51,337 | |||
4.30%, 10/15/2028 | 35,000 | 37,788 | |||
Office Properties Income Trust 4.25%, 5/15/2024 | 50,000 | 50,068 | |||
Omega Healthcare Investors, Inc. 4.38%, 8/1/2023 | 150,000 | 156,394 | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | 100,000 | 100,267 | |||
Prologis L.P.: | |||||
3.75%, 11/1/2025 | 50,000 | 53,430 | |||
4.25%, 8/15/2023 (a) | 150,000 | 160,524 | |||
Public Storage 2.37%, 9/15/2022 | 125,000 | 125,639 |
Security Description | Principal Amount | Value | |||
Realty Income Corp.: | |||||
3.65%, 1/15/2028 | $100,000 | $104,865 | |||
3.88%, 4/15/2025 | 100,000 | 106,486 | |||
4.13%, 10/15/2026 | 50,000 | 54,010 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 53,332 | |||
4.40%, 2/1/2047 | 150,000 | 160,945 | |||
Sabra Health Care L.P. 5.13%, 8/15/2026 | 25,000 | 25,995 | |||
Sabra Health Care L.P./Sabra Capital Corp. 4.80%, 6/1/2024 | 25,000 | 25,660 | |||
Simon Property Group L.P.: | |||||
2.50%, 7/15/2021 | 350,000 | 351,564 | |||
2.63%, 6/15/2022 | 100,000 | 100,867 | |||
2.75%, 6/1/2023 | 200,000 | 202,708 | |||
4.25%, 11/30/2046 | 50,000 | 54,963 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 52,292 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 (a) | 50,000 | 49,696 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 153,559 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 24,809 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 51,017 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 (f) | 25,000 | 24,915 | |||
3.10%, 1/15/2023 | 50,000 | 50,838 | |||
3.85%, 4/1/2027 | 100,000 | 103,721 | |||
4.00%, 3/1/2028 | 100,000 | 104,966 | |||
4.38%, 2/1/2045 | 75,000 | 76,163 | |||
VEREIT Operating Partnership L.P.: | |||||
3.95%, 8/15/2027 | 40,000 | 41,222 | |||
4.13%, 6/1/2021 | 5,000 | 5,132 | |||
4.60%, 2/6/2024 | 5,000 | 5,304 | |||
4.63%, 11/1/2025 | 50,000 | 53,765 | |||
4.88%, 6/1/2026 | 10,000 | 10,883 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 51,234 | |||
Welltower, Inc.: | |||||
4.00%, 6/1/2025 | 175,000 | 185,288 | |||
4.13%, 3/15/2029 | 100,000 | 105,968 | |||
5.25%, 1/15/2022 | 50,000 | 53,150 | |||
Weyerhaeuser Co.: | |||||
4.00%, 11/15/2029 (a) | 200,000 | 212,630 | |||
4.63%, 9/15/2023 | 25,000 | 26,846 | |||
WP Carey, Inc. 3.85%, 7/15/2029 | 100,000 | 101,379 | |||
8,263,143 | |||||
RETAIL — 0.7% | |||||
AutoNation, Inc. 3.35%, 1/15/2021 | 25,000 | 25,218 | |||
AutoZone, Inc.: |
Security Description | Principal Amount | Value | |||
3.13%, 4/18/2024 | $100,000 | $102,419 | |||
3.75%, 6/1/2027 | 100,000 | 104,609 | |||
Best Buy Co., Inc. 4.45%, 10/1/2028 | 50,000 | 52,791 | |||
Costco Wholesale Corp. 2.30%, 5/18/2022 | 150,000 | 150,898 | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 (a) | 15,000 | 15,482 | |||
4.55%, 2/15/2048 | 15,000 | 15,041 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 (a) | 70,000 | 74,462 | |||
4.15%, 11/1/2025 | 25,000 | 26,991 | |||
Dollar Tree, Inc.: | |||||
3.70%, 5/15/2023 | 95,000 | 98,395 | |||
4.00%, 5/15/2025 | 100,000 | 103,974 | |||
4.20%, 5/15/2028 | 45,000 | 46,573 | |||
Home Depot, Inc.: | |||||
2.00%, 4/1/2021 | 100,000 | 99,950 | |||
2.13%, 9/15/2026 | 150,000 | 146,833 | |||
2.63%, 6/1/2022 | 150,000 | 152,557 | |||
2.80%, 9/14/2027 | 250,000 | 254,012 | |||
3.00%, 4/1/2026 (a) | 350,000 | 361,921 | |||
3.75%, 2/15/2024 (a) | 25,000 | 26,724 | |||
3.90%, 6/15/2047 | 200,000 | 216,284 | |||
4.25%, 4/1/2046 | 35,000 | 39,396 | |||
5.95%, 4/1/2041 | 50,000 | 67,745 | |||
Kohl's Corp. 5.55%, 7/17/2045 | 20,000 | 20,065 | |||
Lowe's Cos., Inc.: | |||||
2.50%, 4/15/2026 | 50,000 | 49,077 | |||
3.10%, 5/3/2027 | 200,000 | 202,806 | |||
3.38%, 9/15/2025 | 25,000 | 25,991 | |||
3.65%, 4/5/2029 | 70,000 | 73,085 | |||
3.70%, 4/15/2046 | 50,000 | 47,108 | |||
4.05%, 5/3/2047 | 300,000 | 298,626 | |||
4.25%, 9/15/2044 | 25,000 | 25,401 | |||
4.38%, 9/15/2045 | 25,000 | 26,004 | |||
4.55%, 4/5/2049 | 15,000 | 16,172 | |||
4.65%, 4/15/2042 | 25,000 | 26,819 | |||
Macy's Retail Holdings, Inc.: | |||||
3.63%, 6/1/2024 (a) | 25,000 | 24,592 | |||
4.50%, 12/15/2034 | 6,000 | 5,524 | |||
McDonald's Corp.: | |||||
Series MTN, 2.75%, 12/9/2020 | 25,000 | 25,153 | |||
Series MTN, 3.35%, 4/1/2023 (a) | 80,000 | 83,037 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 52,538 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 79,711 | |||
Series MTN, 3.80%, 4/1/2028 (a) | 100,000 | 107,473 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 136,384 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 21,989 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 170,491 |
Security Description | Principal Amount | Value | |||
Series MTN, 4.88%, 12/9/2045 | $100,000 | $115,365 | |||
O'Reilly Automotive, Inc.: | |||||
3.60%, 9/1/2027 | 50,000 | 51,428 | |||
4.35%, 6/1/2028 | 100,000 | 108,334 | |||
QVC, Inc. 5.45%, 8/15/2034 | 50,000 | 49,125 | |||
Starbucks Corp.: | |||||
2.20%, 11/22/2020 (a) | 200,000 | 199,718 | |||
3.80%, 8/15/2025 | 50,000 | 53,363 | |||
3.85%, 10/1/2023 | 25,000 | 26,419 | |||
4.00%, 11/15/2028 (a) | 50,000 | 54,483 | |||
4.45%, 8/15/2049 | 100,000 | 109,510 | |||
4.50%, 11/15/2048 | 30,000 | 32,917 | |||
Target Corp.: | |||||
2.50%, 4/15/2026 | 50,000 | 50,379 | |||
3.38%, 4/15/2029 | 100,000 | 106,113 | |||
3.90%, 11/15/2047 | 250,000 | 269,015 | |||
4.00%, 7/1/2042 | 50,000 | 54,324 | |||
TJX Cos., Inc. 2.25%, 9/15/2026 | 50,000 | 49,072 | |||
Walgreen Co. 3.10%, 9/15/2022 (a) | 25,000 | 25,433 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.30%, 11/18/2021 | 200,000 | 203,910 | |||
3.45%, 6/1/2026 (a) | 250,000 | 252,692 | |||
4.50%, 11/18/2034 | 25,000 | 25,684 | |||
4.65%, 6/1/2046 (a) | 25,000 | 24,726 | |||
Walmart, Inc.: | |||||
1.90%, 12/15/2020 | 250,000 | 249,552 | |||
2.35%, 12/15/2022 | 250,000 | 252,417 | |||
2.65%, 12/15/2024 | 150,000 | 153,372 | |||
3.13%, 6/23/2021 | 250,000 | 255,427 | |||
3.25%, 7/8/2029 | 80,000 | 84,423 | |||
3.30%, 4/22/2024 | 325,000 | 341,549 | |||
3.63%, 12/15/2047 | 250,000 | 267,142 | |||
3.70%, 6/26/2028 | 100,000 | 109,098 | |||
3.95%, 6/28/2038 | 125,000 | 139,334 | |||
4.05%, 6/29/2048 | 35,000 | 40,072 | |||
7,454,717 | |||||
SEMICONDUCTORS — 0.5% | |||||
Analog Devices, Inc. 2.95%, 1/12/2021 | 50,000 | 50,438 | |||
Applied Materials, Inc.: | |||||
3.90%, 10/1/2025 | 25,000 | 26,800 | |||
4.35%, 4/1/2047 (a) | 100,000 | 111,568 | |||
5.10%, 10/1/2035 | 50,000 | 60,385 | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd.: | |||||
2.65%, 1/15/2023 | 200,000 | 197,306 | |||
3.00%, 1/15/2022 (a) | 350,000 | 351,036 | |||
3.63%, 1/15/2024 | 350,000 | 353,146 | |||
3.88%, 1/15/2027 | 350,000 | 342,891 | |||
Broadcom, Inc.: | |||||
3.13%, 4/15/2021 (e) | 250,000 | 251,570 |
Security Description | Principal Amount | Value | |||
3.63%, 10/15/2024 (e) | $150,000 | $150,783 | |||
4.75%, 4/15/2029 (e) | 150,000 | 153,855 | |||
Intel Corp.: | |||||
2.35%, 5/11/2022 | 50,000 | 50,367 | |||
2.45%, 7/29/2020 | 100,000 | 100,233 | |||
2.88%, 5/11/2024 (a) | 200,000 | 205,924 | |||
3.15%, 5/11/2027 | 200,000 | 208,142 | |||
3.30%, 10/1/2021 | 25,000 | 25,696 | |||
4.10%, 5/19/2046 | 370,000 | 404,288 | |||
4.10%, 5/11/2047 | 50,000 | 54,694 | |||
KLA-Tencor Corp. 4.10%, 3/15/2029 | 65,000 | 68,444 | |||
Lam Research Corp.: | |||||
3.75%, 3/15/2026 | 50,000 | 52,596 | |||
4.00%, 3/15/2029 | 280,000 | 298,379 | |||
4.88%, 3/15/2049 | 25,000 | 27,566 | |||
Micron Technology, Inc. 5.50%, 2/1/2025 | 25,000 | 25,716 | |||
NVIDIA Corp. 3.20%, 9/16/2026 (a) | 50,000 | 51,171 | |||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (e) | 100,000 | 107,268 | |||
QUALCOMM, Inc.: | |||||
2.60%, 1/30/2023 | 200,000 | 200,770 | |||
2.90%, 5/20/2024 | 200,000 | 203,020 | |||
3.25%, 5/20/2027 | 50,000 | 50,953 | |||
3.45%, 5/20/2025 | 50,000 | 52,003 | |||
4.30%, 5/20/2047 | 50,000 | 52,560 | |||
4.80%, 5/20/2045 | 25,000 | 28,040 | |||
Texas Instruments, Inc.: | |||||
2.90%, 11/3/2027 | 70,000 | 71,857 | |||
3.88%, 3/15/2039 | 250,000 | 272,002 | |||
4.15%, 5/15/2048 | 150,000 | 170,216 | |||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 50,726 | |||
4,882,409 | |||||
SOFTWARE — 0.7% | |||||
Activision Blizzard, Inc.: | |||||
2.30%, 9/15/2021 | 250,000 | 249,580 | |||
4.50%, 6/15/2047 | 150,000 | 156,253 | |||
Adobe, Inc. 3.25%, 2/1/2025 | 25,000 | 26,083 | |||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 50,561 | |||
Electronic Arts, Inc. 3.70%, 3/1/2021 | 25,000 | 25,467 | |||
Fidelity National Information Services, Inc.: | |||||
3.00%, 8/15/2026 | 200,000 | 202,488 | |||
3.63%, 10/15/2020 | 28,000 | 28,411 | |||
3.75%, 5/21/2029 | 20,000 | 21,218 | |||
3.88%, 6/5/2024 | 7,000 | 7,399 | |||
Series 30Y, 4.75%, 5/15/2048 | 50,000 | 55,824 | |||
Fiserv, Inc.: | |||||
2.75%, 7/1/2024 | 100,000 | 100,999 |
Security Description | Principal Amount | Value | |||
3.20%, 7/1/2026 | $275,000 | $281,652 | |||
3.50%, 7/1/2029 | 65,000 | 66,937 | |||
3.80%, 10/1/2023 | 150,000 | 157,801 | |||
4.20%, 10/1/2028 | 65,000 | 70,294 | |||
4.40%, 7/1/2049 | 60,000 | 63,253 | |||
Microsoft Corp.: | |||||
1.55%, 8/8/2021 | 200,000 | 198,298 | |||
2.00%, 11/3/2020 | 150,000 | 149,976 | |||
2.00%, 8/8/2023 | 50,000 | 49,934 | |||
2.40%, 2/6/2022 | 300,000 | 303,201 | |||
2.40%, 8/8/2026 (a) | 200,000 | 201,060 | |||
2.88%, 2/6/2024 | 300,000 | 310,746 | |||
3.13%, 11/3/2025 | 50,000 | 52,634 | |||
3.30%, 2/6/2027 | 280,000 | 297,441 | |||
3.45%, 8/8/2036 | 50,000 | 52,841 | |||
3.63%, 12/15/2023 (a) | 25,000 | 26,608 | |||
3.95%, 8/8/2056 | 75,000 | 83,483 | |||
4.00%, 2/12/2055 | 75,000 | 84,153 | |||
4.10%, 2/6/2037 | 250,000 | 285,342 | |||
4.20%, 11/3/2035 | 65,000 | 74,719 | |||
4.45%, 11/3/2045 | 275,000 | 330,918 | |||
4.50%, 2/6/2057 | 250,000 | 305,265 | |||
5.20%, 6/1/2039 | 50,000 | 64,814 | |||
Series 30Y, 4.25%, 2/6/2047 | 150,000 | 176,865 | |||
Oracle Corp.: | |||||
1.90%, 9/15/2021 | 200,000 | 198,948 | |||
2.40%, 9/15/2023 | 200,000 | 201,416 | |||
2.50%, 5/15/2022 | 50,000 | 50,504 | |||
2.63%, 2/15/2023 | 235,000 | 238,527 | |||
2.65%, 7/15/2026 | 45,000 | 45,177 | |||
2.80%, 7/8/2021 (a) | 250,000 | 253,360 | |||
2.95%, 11/15/2024 | 200,000 | 206,028 | |||
2.95%, 5/15/2025 | 10,000 | 10,292 | |||
3.25%, 11/15/2027 | 50,000 | 52,296 | |||
3.80%, 11/15/2037 | 180,000 | 190,179 | |||
3.85%, 7/15/2036 | 150,000 | 159,634 | |||
3.90%, 5/15/2035 | 5,000 | 5,415 | |||
4.00%, 7/15/2046 | 180,000 | 193,088 | |||
4.00%, 11/15/2047 | 285,000 | 306,389 | |||
4.30%, 7/8/2034 | 200,000 | 227,446 | |||
4.38%, 5/15/2055 | 10,000 | 11,206 | |||
salesforce.com, Inc.: | |||||
3.25%, 4/11/2023 | 275,000 | 285,142 | |||
3.70%, 4/11/2028 | 25,000 | 26,935 | |||
VMware, Inc.: | |||||
2.30%, 8/21/2020 | 150,000 | 149,594 | |||
3.90%, 8/21/2027 (a) | 150,000 | 151,703 | |||
7,575,797 | |||||
TELECOMMUNICATIONS — 1.2% | |||||
America Movil SAB de CV: | |||||
3.13%, 7/16/2022 | 100,000 | 101,951 | |||
4.38%, 7/16/2042 | 50,000 | 53,600 | |||
4.38%, 4/22/2049 | 200,000 | 215,700 | |||
6.13%, 3/30/2040 | 100,000 | 130,471 |
Security Description | Principal Amount | Value | |||
AT&T, Inc.: | |||||
2.95%, 7/15/2026 | $200,000 | $198,462 | |||
3.20%, 3/1/2022 | 250,000 | 255,220 | |||
3.40%, 5/15/2025 | 250,000 | 256,850 | |||
3.55%, 6/1/2024 | 25,000 | 25,973 | |||
3.60%, 7/15/2025 | 300,000 | 311,598 | |||
3.80%, 2/15/2027 | 150,000 | 155,775 | |||
3.90%, 3/11/2024 (a) | 25,000 | 26,383 | |||
4.10%, 2/15/2028 | 184,000 | 194,786 | |||
4.13%, 2/17/2026 | 350,000 | 373,096 | |||
4.30%, 2/15/2030 | 380,000 | 406,041 | |||
4.35%, 3/1/2029 | 110,000 | 118,382 | |||
4.45%, 4/1/2024 | 25,000 | 26,928 | |||
4.50%, 5/15/2035 | 300,000 | 314,436 | |||
4.55%, 3/9/2049 | 208,000 | 212,543 | |||
4.65%, 6/1/2044 | 25,000 | 25,801 | |||
4.75%, 5/15/2046 | 30,000 | 31,566 | |||
4.80%, 6/15/2044 | 50,000 | 52,691 | |||
4.85%, 3/1/2039 | 70,000 | 75,298 | |||
4.85%, 7/15/2045 | 50,000 | 53,442 | |||
5.15%, 11/15/2046 | 300,000 | 331,599 | |||
5.15%, 2/15/2050 | 150,000 | 165,820 | |||
5.25%, 3/1/2037 | 400,000 | 448,800 | |||
5.45%, 3/1/2047 | 250,000 | 287,372 | |||
5.65%, 2/15/2047 | 150,000 | 176,238 | |||
Bell Canada, Inc.: | |||||
4.30%, 7/29/2049 | 55,000 | 59,342 | |||
4.46%, 4/1/2048 | 30,000 | 32,949 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 223,892 | |||
Cisco Systems, Inc.: | |||||
1.85%, 9/20/2021 | 200,000 | 198,810 | |||
2.20%, 2/28/2021 | 100,000 | 100,106 | |||
3.00%, 6/15/2022 | 25,000 | 25,694 | |||
3.50%, 6/15/2025 | 25,000 | 26,714 | |||
3.63%, 3/4/2024 (a) | 25,000 | 26,664 | |||
5.50%, 1/15/2040 | 300,000 | 395,073 | |||
Motorola Solutions, Inc.: | |||||
4.00%, 9/1/2024 | 25,000 | 26,032 | |||
4.60%, 2/23/2028 | 125,000 | 131,068 | |||
4.60%, 5/23/2029 (a) | 50,000 | 52,576 | |||
Orange SA 5.50%, 2/6/2044 (a) | 50,000 | 61,991 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 (a) | 30,000 | 30,579 | |||
4.30%, 2/15/2048 | 40,000 | 42,728 | |||
4.35%, 5/1/2049 | 155,000 | 167,405 | |||
5.00%, 3/15/2044 | 50,000 | 57,984 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 156,123 | |||
5.21%, 3/8/2047 | 300,000 | 329,850 | |||
5.52%, 3/1/2049 | 150,000 | 173,019 | |||
7.05%, 6/20/2036 | 25,000 | 32,734 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 35,036 |
Security Description | Principal Amount | Value | |||
TELUS Corp. 4.60%, 11/16/2048 | $150,000 | $166,428 | |||
Verizon Communications, Inc.: | |||||
2.63%, 8/15/2026 | 50,000 | 49,689 | |||
3.13%, 3/16/2022 | 250,000 | 256,117 | |||
3.38%, 2/15/2025 | 250,000 | 260,977 | |||
3.50%, 11/1/2024 | 50,000 | 52,556 | |||
3.88%, 2/8/2029 | 10,000 | 10,725 | |||
4.02%, 12/3/2029 (e) | 500,000 | 542,170 | |||
4.27%, 1/15/2036 | 28,000 | 30,332 | |||
4.33%, 9/21/2028 | 285,000 | 315,652 | |||
4.40%, 11/1/2034 | 250,000 | 277,487 | |||
4.50%, 8/10/2033 | 250,000 | 281,682 | |||
4.52%, 9/15/2048 | 25,000 | 27,993 | |||
4.81%, 3/15/2039 | 100,000 | 114,889 | |||
5.01%, 4/15/2049 | 650,000 | 773,305 | |||
5.15%, 9/15/2023 | 300,000 | 335,277 | |||
5.25%, 3/16/2037 | 150,000 | 179,835 | |||
5.50%, 3/16/2047 | 350,000 | 442,477 | |||
Vodafone Group PLC: | |||||
3.75%, 1/16/2024 | 170,000 | 177,730 | |||
4.13%, 5/30/2025 (a) | 50,000 | 53,240 | |||
4.38%, 5/30/2028 (a) | 305,000 | 329,696 | |||
4.38%, 2/19/2043 | 75,000 | 74,494 | |||
5.25%, 5/30/2048 | 225,000 | 247,864 | |||
12,413,806 | |||||
TEXTILES — 0.0% (b) | |||||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 159,799 | |||
TOYS/GAMES/HOBBIES — 0.0% (b) | |||||
Hasbro, Inc. 3.50%, 9/15/2027 | 30,000 | 30,416 | |||
TRANSPORTATION — 0.5% | |||||
Burlington Northern Santa Fe LLC: | |||||
3.40%, 9/1/2024 | 100,000 | 105,404 | |||
3.75%, 4/1/2024 | 25,000 | 26,574 | |||
3.90%, 8/1/2046 | 100,000 | 107,134 | |||
4.05%, 6/15/2048 | 155,000 | 171,146 | |||
4.13%, 6/15/2047 | 150,000 | 166,651 | |||
4.15%, 12/15/2048 (a) | 30,000 | 33,697 | |||
4.45%, 3/15/2043 | 50,000 | 57,102 | |||
4.55%, 9/1/2044 | 50,000 | 57,934 | |||
4.90%, 4/1/2044 | 125,000 | 151,506 | |||
Canadian National Railway Co.: | |||||
2.75%, 3/1/2026 | 100,000 | 101,245 | |||
2.95%, 11/21/2024 | 50,000 | 51,360 | |||
3.20%, 8/2/2046 | 25,000 | 24,460 | |||
3.65%, 2/3/2048 | 50,000 | 52,753 | |||
Canadian Pacific Railway Co.: | |||||
4.00%, 6/1/2028 | 100,000 | 109,128 | |||
4.80%, 9/15/2035 | 30,000 | 34,307 | |||
CSX Corp.: |
Security Description | Principal Amount | Value | |||
3.25%, 6/1/2027 | $50,000 | $51,579 | |||
3.40%, 8/1/2024 | 25,000 | 26,163 | |||
3.80%, 3/1/2028 | 50,000 | 53,677 | |||
3.80%, 11/1/2046 | 100,000 | 101,126 | |||
4.10%, 3/15/2044 | 75,000 | 78,700 | |||
4.25%, 3/15/2029 (a) | 95,000 | 105,698 | |||
4.30%, 3/1/2048 | 50,000 | 54,179 | |||
4.50%, 3/15/2049 | 125,000 | 140,221 | |||
4.65%, 3/1/2068 | 50,000 | 53,583 | |||
FedEx Corp.: | |||||
3.40%, 1/14/2022 | 150,000 | 153,808 | |||
3.40%, 2/15/2028 | 50,000 | 51,542 | |||
3.90%, 2/1/2035 | 200,000 | 201,026 | |||
4.00%, 1/15/2024 | 25,000 | 26,744 | |||
4.05%, 2/15/2048 | 50,000 | 48,253 | |||
4.55%, 4/1/2046 | 100,000 | 102,470 | |||
4.75%, 11/15/2045 | 25,000 | 26,321 | |||
4.95%, 10/17/2048 | 100,000 | 109,526 | |||
Kansas City Southern 4.70%, 5/1/2048 | 50,000 | 55,950 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 152,116 | |||
3.00%, 4/1/2022 | 25,000 | 25,458 | |||
3.15%, 6/1/2027 | 50,000 | 51,365 | |||
3.94%, 11/1/2047 | 100,000 | 103,962 | |||
4.45%, 6/15/2045 | 19,000 | 21,111 | |||
5.10%, 8/1/2118 | 50,000 | 56,689 | |||
Ryder System, Inc.: | |||||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 100,868 | |||
Series MTN, 3.45%, 11/15/2021 | 100,000 | 102,198 | |||
Union Pacific Corp.: | |||||
2.75%, 3/1/2026 | 50,000 | 50,430 | |||
2.95%, 3/1/2022 | 350,000 | 356,468 | |||
3.20%, 6/8/2021 | 35,000 | 35,651 | |||
3.50%, 6/8/2023 | 50,000 | 52,103 | |||
3.80%, 10/1/2051 | 52,000 | 52,276 | |||
3.95%, 9/10/2028 | 280,000 | 306,107 | |||
4.05%, 3/1/2046 | 175,000 | 182,854 | |||
4.10%, 9/15/2067 | 15,000 | 14,993 | |||
4.30%, 3/1/2049 | 250,000 | 276,492 | |||
4.38%, 9/10/2038 | 110,000 | 120,974 | |||
4.50%, 9/10/2048 | 130,000 | 147,551 | |||
United Parcel Service, Inc.: | |||||
2.05%, 4/1/2021 | 150,000 | 149,721 | |||
2.35%, 5/16/2022 | 50,000 | 50,295 | |||
2.40%, 11/15/2026 | 30,000 | 29,688 | |||
2.45%, 10/1/2022 | 125,000 | 126,346 | |||
2.50%, 4/1/2023 | 150,000 | 151,449 | |||
3.05%, 11/15/2027 (a) | 50,000 | 51,662 | |||
3.75%, 11/15/2047 (a) | 175,000 | 176,659 | |||
5,636,453 | |||||
TRUCKING & LEASING — 0.0% (b) | |||||
GATX Corp.: |
Security Description | Principal Amount | Value | |||
3.85%, 3/30/2027 | $50,000 | $51,525 | |||
4.55%, 11/7/2028 | 50,000 | 54,214 | |||
4.70%, 4/1/2029 (a) | 25,000 | 27,552 | |||
133,291 | |||||
WATER — 0.0% (b) | |||||
American Water Capital Corp.: | |||||
2.95%, 9/1/2027 | 121,000 | 121,316 | |||
3.40%, 3/1/2025 (a) | 25,000 | 26,004 | |||
3.75%, 9/1/2028 | 100,000 | 106,618 | |||
3.75%, 9/1/2047 (a) | 100,000 | 101,196 | |||
4.30%, 12/1/2042 | 25,000 | 27,080 | |||
382,214 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $257,951,019) | 266,761,485 | ||||
ASSET-BACKED SECURITIES — 0.4% | |||||
ASSET-BACKED - OTHER — 0.0% (b) | |||||
Ally Master Owner Trust Series 2018-1, Class A2, 2.70%, 1/17/2023 | 100,000 | 100,667 | |||
Ford Credit Floorplan Master Owner Trust Series 2017-2, Class A1, 2.16%, 9/15/2022 | 150,000 | 149,780 | |||
250,447 | |||||
AUTOMOBILE — 0.2% | |||||
Ally Auto Receivables Trust Series 2017-2, Class A4, 2.10%, 3/15/2022 | 200,000 | 199,626 | |||
Carmax Auto Owner Trust 2016-3 Series 2016-3, Class A4, 1.60%, 1/18/2022 | 200,000 | 198,571 | |||
CarMax Auto Owner Trust 2017-2 Series 2017-2, Class B, 2.41%, 12/15/2022 | 200,000 | 200,400 | |||
Drive Auto Receivables Trust Series 2018-4, Class D, 4.09%, 1/15/2026 | 100,000 | 103,065 | |||
GM Financial Automobile Leasing Trust Series 2019-1, Class A3, 2.98%, 12/20/2021 | 100,000 | 101,250 | |||
GM Financial Consumer Automobile Receivables Trust Series 2019-2, Class A3, 2.65%, 2/16/2024 | 200,000 | 202,779 | |||
Nissan Auto Lease Trust 2018-A Series 2018-A, Class A4, 3.35%, 9/15/2023 | 200,000 | 203,742 |
Security Description | Principal Amount | Value | |||
Nissan Auto Receivables 2018-B Owner Trust Series 2018-B, Class A3, 3.06%, 3/15/2023 | $60,000 | $60,992 | |||
Nissan Auto Receivables 2019-A Owner Trust Series 2019-A, Class A3, 2.90%, 10/16/2023 | 100,000 | 101,812 | |||
Santander Drive Auto Receivables Trust: | |||||
Series 2018-1, Class D, 3.32%, 3/15/2024 | 85,000 | 86,094 | |||
Series 2018-4, Class C, 3.56%, 7/15/2024 | 50,000 | 50,726 | |||
World Omni Auto Receivables Trust Series 2019-B, Class A3, 2.59%, 7/15/2024 | 111,000 | 112,243 | |||
World Omni Automobile Lease Securitization Trust Series 2018-B, Class A3, 3.19%, 12/15/2021 | 50,000 | 50,800 | |||
1,672,100 | |||||
CREDIT CARD — 0.2% | |||||
American Express Credit Account Master Trust: | |||||
Series 2018-8, Class A, 3.18%, 4/15/2024 | 68,000 | 69,658 | |||
Series 2017-7, Class A, 2.35%, 5/15/2025 | 300,000 | 302,534 | |||
Series 2019-1, Class A, 2.87%, 10/15/2024 | 100,000 | 102,132 | |||
BA Credit Card Trust Series 2018-A2, Class A2, 3.00%, 9/15/2023 | 300,000 | 304,960 | |||
Capital One Multi-Asset Execution Trust: | |||||
Series 2016-A5, Class A5, 1.66%, 6/17/2024 | 200,000 | 198,362 | |||
Series 2017-A4, Class A4, 1.99%, 7/17/2023 | 300,000 | 299,176 | |||
Citibank Credit Card Issuance Trust Series 2014-A1, Class A1, 2.88%, 1/23/2023 | 100,000 | 101,152 | |||
Synchrony Card Funding LLC Series 2019-A2, Class A, 2.34%, 6/16/2025 | 150,000 | 150,389 | |||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A, 2.21%, 5/15/2024 | 400,000 | 400,609 | |||
1,928,972 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,811,994) | 3,851,519 |
Security Description | Principal Amount | Value | |||
FOREIGN GOVERNMENT OBLIGATIONS — 3.7% | |||||
AUSTRIA — 0.0% (b) | |||||
Oesterreichische Kontrollbank AG: | |||||
1.88%, 01/20/2021 | $100,000 | $99,912 | |||
2.63%, 01/31/2022 (a) | 200,000 | 203,988 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 103,629 | |||
407,529 | |||||
CANADA — 0.4% | |||||
Canada Government International Bond 2.00%, 11/15/2022 (a) | 275,000 | 277,095 | |||
Export Development Canada: | |||||
1.38%, 10/21/2021 | 50,000 | 49,516 | |||
1.50%, 05/26/2021 | 50,000 | 49,672 | |||
2.00%, 05/17/2022 (a) | 50,000 | 50,280 | |||
2.50%, 01/24/2023 | 200,000 | 204,696 | |||
Province of Alberta Canada: | |||||
2.20%, 07/26/2022 | 50,000 | 50,380 | |||
3.30%, 03/15/2028 | 400,000 | 428,508 | |||
Province of British Columbia Canada: | |||||
2.25%, 06/02/2026 | 150,000 | 151,256 | |||
2.65%, 09/22/2021 | 50,000 | 50,837 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 | 250,000 | 248,310 | |||
Series GX, 2.60%, 04/16/2024 (a) | 100,000 | 102,635 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 54,515 | |||
Province of Ontario Canada: | |||||
2.20%, 10/03/2022 | 250,000 | 252,085 | |||
2.30%, 06/15/2026 | 500,000 | 503,550 | |||
2.40%, 02/08/2022 | 350,000 | 354,273 | |||
2.50%, 09/10/2021 | 25,000 | 25,309 | |||
2.50%, 04/27/2026 (a) | 350,000 | 356,611 | |||
2.55%, 02/12/2021 | 200,000 | 201,796 | |||
Province of Quebec Canada: | |||||
2.38%, 01/31/2022 | 200,000 | 202,484 | |||
2.50%, 04/20/2026 (a) | 250,000 | 255,278 | |||
2.63%, 02/13/2023 (a) | 250,000 | 255,887 | |||
2.75%, 08/25/2021 | 50,000 | 50,901 | |||
2.75%, 04/12/2027 (a) | 200,000 | 207,552 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 208,498 | |||
4,591,924 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
3.13%, 01/21/2026 | 50,000 | 52,047 | |||
3.24%, 02/06/2028 (a) | 200,000 | 210,046 |
Security Description | Principal Amount | Value | |||
3.86%, 06/21/2047 | $300,000 | $324,870 | |||
586,963 | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond: | |||||
3.88%, 04/25/2027 | 200,000 | 208,708 | |||
4.00%, 02/26/2024 | 275,000 | 288,002 | |||
4.50%, 01/28/2026 | 250,000 | 270,087 | |||
5.00%, 06/15/2045 | 200,000 | 221,096 | |||
5.63%, 02/26/2044 | 200,000 | 236,846 | |||
1,224,739 | |||||
GERMANY — 0.5% | |||||
FMS Wertmanagement 2.75%, 3/6/2023 | 300,000 | 309,708 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
Zero Coupon, 06/29/2037 | 100,000 | 63,318 | |||
1.50%, 06/15/2021 | 700,000 | 695,429 | |||
1.88%, 12/15/2020 | 350,000 | 349,769 | |||
2.00%, 05/02/2025 | 100,000 | 100,644 | |||
2.13%, 03/07/2022 (a) | 250,000 | 252,197 | |||
2.13%, 06/15/2022 | 250,000 | 252,425 | |||
2.13%, 01/17/2023 | 100,000 | 101,076 | |||
2.38%, 12/29/2022 | 250,000 | 254,855 | |||
2.50%, 02/15/2022 | 500,000 | 509,015 | |||
2.50%, 11/20/2024 | 300,000 | 309,675 | |||
2.63%, 04/12/2021 | 300,000 | 303,948 | |||
2.63%, 01/25/2022 | 50,000 | 51,033 | |||
2.63%, 02/28/2024 | 500,000 | 517,370 | |||
2.88%, 04/03/2028 | 490,000 | 521,272 | |||
Series GMTN, 3.13%, 12/15/2021 | 500,000 | 515,890 | |||
Landwirtschaftliche Rentenbank: | |||||
3.13%, 11/14/2023 | 100,000 | 105,339 | |||
Series 36, 2.00%, 12/06/2021 | 150,000 | 150,657 | |||
Series 37, 2.50%, 11/15/2027 (a) | 50,000 | 51,638 | |||
5,415,258 | |||||
HUNGARY — 0.0% (b) | |||||
Hungary Government International Bond: | |||||
5.38%, 03/25/2024 | 350,000 | 394,800 | |||
6.38%, 03/29/2021 | 150,000 | 160,221 | |||
555,021 | |||||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
2.95%, 01/11/2023 | 275,000 | 276,700 | |||
4.75%, 02/11/2029 | 150,000 | 166,611 | |||
5.35%, 02/11/2049 (a) | 100,000 | 119,738 | |||
563,049 | |||||
ISRAEL — 0.0% (b) | |||||
Israel Government International Bond: |
Security Description | Principal Amount | Value | |||
2.88%, 03/16/2026 | $100,000 | $103,347 | |||
3.25%, 01/17/2028 | 100,000 | 105,609 | |||
4.00%, 06/30/2022 | 50,000 | 52,693 | |||
4.13%, 01/17/2048 | 100,000 | 109,531 | |||
371,180 | |||||
ITALY — 0.0% (b) | |||||
Republic of Italy Government International Bond 5.38%, 6/15/2033 | 50,000 | 55,537 | |||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
1.50%, 07/21/2021 (a) | 25,000 | 24,782 | |||
2.13%, 07/21/2020 | 200,000 | 200,060 | |||
2.50%, 06/01/2022 | 200,000 | 202,790 | |||
2.50%, 05/23/2024 | 200,000 | 203,542 | |||
2.75%, 11/16/2027 | 200,000 | 205,492 | |||
2.88%, 07/21/2027 | 100,000 | 103,783 | |||
3.25%, 07/20/2023 | 150,000 | 156,789 | |||
3.38%, 10/31/2023 | 200,000 | 210,538 | |||
Series DTC, 1.88%, 04/20/2021 | 225,000 | 224,586 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 201,540 | |||
1,733,902 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
3.63%, 03/15/2022 (a) | 100,000 | 102,420 | |||
3.75%, 01/11/2028 | 100,000 | 101,863 | |||
4.00%, 10/02/2023 | 80,000 | 83,523 | |||
4.13%, 01/21/2026 | 125,000 | 130,839 | |||
4.15%, 03/28/2027 | 400,000 | 418,944 | |||
4.50%, 04/22/2029 | 250,000 | 268,005 | |||
4.60%, 02/10/2048 | 400,000 | 412,680 | |||
5.55%, 01/21/2045 (a) | 450,000 | 524,524 | |||
6.05%, 01/11/2040 (a) | 30,000 | 35,810 | |||
Series GMTN, 3.50%, 01/21/2021 (a) | 200,000 | 203,110 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 104,460 | |||
2,386,178 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
3.75%, 03/16/2025 | 150,000 | 158,377 | |||
3.88%, 03/17/2028 | 200,000 | 213,898 | |||
4.50%, 05/15/2047 | 50,000 | 56,464 | |||
4.50%, 04/16/2050 | 200,000 | 224,994 | |||
6.70%, 01/26/2036 | 50,000 | 68,172 | |||
721,905 |
Security Description | Principal Amount | Value | |||
PERU — 0.0% (b) | |||||
Peruvian Government International Bond: | |||||
2.84%, 06/20/2030 | $55,000 | $55,471 | |||
4.13%, 08/25/2027 | 150,000 | 167,172 | |||
5.63%, 11/18/2050 (a) | 150,000 | 206,930 | |||
6.55%, 03/14/2037 | 25,000 | 35,323 | |||
464,896 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
3.70%, 03/01/2041 (a) | 200,000 | 217,230 | |||
3.70%, 02/02/2042 (a) | 100,000 | 108,825 | |||
3.95%, 01/20/2040 | 200,000 | 223,334 | |||
4.00%, 01/15/2021 (a) | 100,000 | 102,631 | |||
4.20%, 01/21/2024 | 300,000 | 323,322 | |||
5.00%, 01/13/2037 | 150,000 | 188,056 | |||
7.75%, 01/14/2031 | 100,000 | 147,479 | |||
1,310,877 | |||||
POLAND — 0.1% | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 (a) | 50,000 | 51,391 | |||
3.25%, 04/06/2026 (a) | 175,000 | 185,122 | |||
4.00%, 01/22/2024 (a) | 150,000 | 161,499 | |||
5.00%, 03/23/2022 | 50,000 | 53,738 | |||
5.13%, 04/21/2021 | 250,000 | 262,947 | |||
714,697 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
2.13%, 02/11/2021 | 100,000 | 99,766 | |||
2.38%, 04/21/2027 | 25,000 | 24,325 | |||
3.00%, 11/01/2022 (a) | 250,000 | 255,263 | |||
3.25%, 11/10/2025 | 150,000 | 156,666 | |||
3.50%, 11/27/2021 | 250,000 | 257,042 | |||
Korea Development Bank: | |||||
2.50%, 01/13/2021 | 100,000 | 100,356 | |||
2.75%, 03/19/2023 | 200,000 | 202,746 | |||
3.00%, 01/13/2026 | 100,000 | 101,577 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 216,214 | |||
1,413,955 | |||||
SUPRANATIONAL — 1.5% | |||||
African Development Bank: | |||||
3.00%, 09/20/2023 | 150,000 | 156,882 | |||
Series GDIF, 1.25%, 07/26/2021 | 25,000 | 24,709 | |||
Series GDIF, 2.63%, 03/22/2021 | 100,000 | 101,272 | |||
Series GMTN, 3.00%, 12/06/2021 | 30,000 | 30,852 | |||
Asian Development Bank: | |||||
2.63%, 01/30/2024 | 200,000 | 206,716 |
Security Description | Principal Amount | Value | |||
2.88%, 11/27/2020 | $185,000 | $187,375 | |||
Series GMTN, 1.63%, 03/16/2021 | 150,000 | 149,382 | |||
Series GMTN, 1.75%, 06/08/2021 | 100,000 | 99,809 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 249,687 | |||
Series GMTN, 2.00%, 02/16/2022 | 150,000 | 150,802 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 100,216 | |||
Series GMTN, 2.13%, 11/24/2021 | 75,000 | 75,584 | |||
Series GMTN, 2.25%, 01/20/2021 | 300,000 | 301,614 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 51,205 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 103,325 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 52,265 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 87,859 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 54,276 | |||
Corp. Andina de Fomento: | |||||
2.13%, 09/27/2021 | 50,000 | 49,641 | |||
2.20%, 07/18/2020 | 250,000 | 249,020 | |||
2.75%, 01/06/2023 (a) | 100,000 | 100,738 | |||
Council Of Europe Development Bank: | |||||
1.63%, 03/16/2021 | 50,000 | 49,780 | |||
2.50%, 02/27/2024 | 30,000 | 30,849 | |||
2.63%, 02/13/2023 (a) | 60,000 | 61,670 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 1.13%, 08/24/2020 | 100,000 | 99,034 | |||
Series GMTN, 1.88%, 02/23/2022 | 75,000 | 75,107 | |||
Series GMTN, 2.00%, 02/01/2021 | 250,000 | 250,385 | |||
Series GMTN, 2.75%, 04/26/2021 | 150,000 | 152,338 | |||
European Investment Bank: | |||||
1.63%, 08/14/2020 | 250,000 | 249,017 | |||
1.63%, 06/15/2021 | 150,000 | 149,414 | |||
1.88%, 02/10/2025 | 100,000 | 100,023 | |||
2.00%, 03/15/2021 | 225,000 | 225,513 | |||
2.00%, 12/15/2022 | 250,000 | 251,760 | |||
2.13%, 10/15/2021 | 50,000 | 50,363 | |||
2.13%, 04/13/2026 | 100,000 | 101,158 | |||
2.25%, 03/15/2022 | 250,000 | 253,077 | |||
2.38%, 06/15/2022 (a) | 350,000 | 355,939 | |||
2.38%, 05/24/2027 (a) | 100,000 | 102,992 | |||
2.50%, 04/15/2021 | 50,000 | 50,560 |
Security Description | Principal Amount | Value | |||
2.50%, 03/15/2023 | $145,000 | $148,647 | |||
2.50%, 10/15/2024 | 25,000 | 25,798 | |||
2.63%, 05/20/2022 | 2,000,000 | 2,047,140 | |||
Series DIP, 1.38%, 09/15/2021 | 200,000 | 198,166 | |||
Series GMTN, 2.38%, 05/13/2021 | 250,000 | 252,415 | |||
Series GMTN, 2.88%, 08/15/2023 (a) | 350,000 | 364,630 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 369,278 | |||
Inter-American Development Bank: | |||||
1.88%, 03/15/2021 | 250,000 | 250,035 | |||
2.13%, 11/09/2020 | 25,000 | 25,059 | |||
2.25%, 06/18/2029 | 250,000 | 253,200 | |||
2.38%, 07/07/2027 | 100,000 | 102,366 | |||
2.50%, 01/18/2023 | 100,000 | 102,363 | |||
3.00%, 02/21/2024 | 100,000 | 105,083 | |||
3.13%, 09/18/2028 | 100,000 | 108,616 | |||
4.38%, 01/24/2044 | 75,000 | 97,149 | |||
Series GMTN, 1.75%, 09/14/2022 | 350,000 | 349,405 | |||
Series GMTN, 2.13%, 01/18/2022 | 350,000 | 352,807 | |||
Series GMTN, 2.63%, 04/19/2021 | 190,000 | 192,584 | |||
Series GMTN, 3.00%, 09/26/2022 | 100,000 | 103,732 | |||
International Bank for Reconstruction & Development: | |||||
2.00%, 01/26/2022 | 300,000 | 301,563 | |||
2.13%, 11/01/2020 | 25,000 | 25,068 | |||
2.13%, 07/01/2022 | 200,000 | 202,030 | |||
3.00%, 09/27/2023 | 350,000 | 366,775 | |||
Series GDIF, 1.38%, 05/24/2021 | 275,000 | 272,627 | |||
Series GDIF, 1.38%, 09/20/2021 | 300,000 | 297,285 | |||
Series GDIF, 1.63%, 09/04/2020 | 250,000 | 249,042 | |||
Series GDIF, 1.88%, 06/19/2023 | 300,000 | 301,002 | |||
Series GDIF, 2.13%, 12/13/2021 | 400,000 | 403,224 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 309,789 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 206,520 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 259,030 | |||
Series GDIF, 2.75%, 07/23/2021 | 450,000 | 458,536 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 32,100 | |||
International Finance Corp.: |
Security Description | Principal Amount | Value | |||
Series GMTN, 1.13%, 07/20/2021 | $125,000 | $123,310 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 101,063 | |||
Series GMTN, 2.25%, 01/25/2021 | 300,000 | 301,668 | |||
Series GMTN, 2.88%, 07/31/2023 (a) | 150,000 | 156,198 | |||
Nordic Investment Bank: | |||||
2.13%, 02/01/2022 | 200,000 | 201,570 | |||
2.25%, 02/01/2021 (a) | 300,000 | 301,566 | |||
15,510,647 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
2.00%, 08/30/2022 | 200,000 | 200,746 | |||
Series GMTN, 3.13%, 11/08/2021 (a) | 250,000 | 257,127 | |||
Series MTN, 2.75%, 10/07/2020 | 250,000 | 252,323 | |||
710,196 | |||||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 243,182 | |||
4.38%, 01/23/2031 | 280,000 | 302,876 | |||
5.10%, 06/18/2050 | 175,000 | 197,094 | |||
743,152 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $38,433,770) | 39,481,605 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.0% | |||||
Federal Farm Credit Banks: | |||||
2.53%, 2/14/2022 | 500,000 | 508,650 | |||
2.60%, 1/18/2022 | 150,000 | 152,925 | |||
2.88%, 7/17/2023 | 100,000 | 103,880 | |||
3.50%, 12/20/2023 | 50,000 | 53,456 | |||
Federal Home Loan Bank: | |||||
1.13%, 7/14/2021 (a) | 400,000 | 394,648 | |||
1.38%, 2/18/2021 | 100,000 | 99,242 | |||
1.88%, 7/7/2021 | 230,000 | 230,152 | |||
1.88%, 11/29/2021 (a) | 700,000 | 701,400 | |||
2.15%, 9/26/2022 | 50,000 | 49,718 | |||
2.50%, 2/13/2024 | 220,000 | 226,428 | |||
2.88%, 9/13/2024 | 50,000 | 52,420 | |||
3.25%, 6/9/2028 | 500,000 | 539,605 | |||
3.25%, 11/16/2028 (a) | 30,000 | 32,605 | |||
3.38%, 12/8/2023 | 50,000 | 53,227 | |||
5.50%, 7/15/2036 | 135,000 | 187,871 | |||
1.38%, 9/28/2020 | 500,000 | 496,675 | |||
2.25%, 6/11/2021 | 75,000 | 75,503 | |||
2.30%, 7/19/2022 | 100,000 | 99,789 |
Security Description | Principal Amount | Value | |||
Federal Home Loan Mortgage Corp.: | |||||
1.63%, 9/29/2020 | $500,000 | $498,255 | |||
2.38%, 2/16/2021 | 250,000 | 252,123 | |||
2.38%, 1/13/2022 | 325,000 | 329,664 | |||
2.50%, 10/1/2029 | 43,978 | 44,425 | |||
2.50%, 1/1/2031 | 88,324 | 89,217 | |||
2.50%, 5/1/2031 | 144,888 | 146,166 | |||
2.50%, 6/1/2031 | 264,695 | 267,030 | |||
2.50%, 10/1/2031 | 244,050 | 246,203 | |||
2.50%, 12/1/2031 | 286,795 | 289,324 | |||
2.50%, 12/1/2032 | 1,273,262 | 1,283,684 | |||
2.50%, 2/1/2033 | 1,527,518 | 1,540,022 | |||
2.50%, 9/1/2046 | 2,010,471 | 1,998,219 | |||
2.55%, 6/20/2022 | 150,000 | 150,020 | |||
2.55%, 6/24/2022 | 150,000 | 150,042 | |||
2.75%, 1/30/2023 | 150,000 | 150,080 | |||
2.82%, 5/20/2024 | 100,000 | 100,246 | |||
3.00%, 12/1/2030 | 112,520 | 115,097 | |||
3.00%, 5/1/2031 | 88,172 | 90,067 | |||
3.00%, 12/1/2031 | 441,402 | 450,886 | |||
3.00%, 2/1/2032 | 696,621 | 711,588 | |||
3.00%, 5/1/2032 | 725,592 | 740,870 | |||
3.00%, 7/1/2032 | 225,063 | 229,802 | |||
3.00%, 1/1/2033 | 948,322 | 968,289 | |||
3.00%, 5/1/2035 | 65,570 | 66,891 | |||
3.00%, 4/1/2036 | 471,798 | 480,854 | |||
3.00%, 6/1/2036 | 287,465 | 292,983 | |||
3.00%, 2/1/2038 | 1,171,262 | 1,193,544 | |||
3.00%, 7/1/2043 | 3,402,567 | 3,468,028 | |||
3.00%, 6/1/2045 | 101,592 | 103,264 | |||
3.00% 8/1/2045 | 555,475 | 565,636 | |||
3.00%, 4/1/2046 | 452,335 | 458,881 | |||
3.00%, 6/1/2046 | 152,585 | 154,793 | |||
3.00%, 8/1/2046 | 780,364 | 791,657 | |||
3.00%, 9/1/2046 | 255,353 | 259,049 | |||
3.00%, 10/1/2046 | 435,369 | 441,670 | |||
3.00% 11/1/2046 | 1,392,770 | 1,412,925 | |||
3.00% 12/1/2046 | 1,219,100 | 1,236,743 | |||
3.00%, 1/1/2047 | 910,818 | 923,999 | |||
3.00% 2/1/2047 | 1,733,540 | 1,758,627 | |||
3.00%, 11/1/2047 | 912,009 | 922,918 | |||
3.00%, 1/1/2048 | 1,422,688 | 1,439,705 | |||
3.00%, 2/1/2048 | 1,836,961 | 1,858,934 | |||
3.50%, 4/1/2032 | 408,616 | 422,800 | |||
3.50%, 6/1/2033 | 1,083,427 | 1,119,399 | |||
3.50%, 9/1/2033 | 819,184 | 846,382 | |||
3.50%, 11/1/2034 | 272,742 | 282,829 | |||
3.50%, 3/1/2037 | 385,641 | 398,094 | |||
3.50%, 4/1/2042 | 292,081 | 302,965 | |||
3.50%, 12/1/2042 | 242,627 | 251,544 | |||
3.50%, 8/1/2043 | 650,867 | 673,968 | |||
3.50%, 5/1/2044 | 2,001,185 | 2,080,458 | |||
3.50%, 11/1/2044 | 54,856 | 56,711 | |||
3.50%, 1/1/2045 | 71,616 | 74,037 |
Security Description | Principal Amount | Value | |||
3.50% 7/1/2045 | $407,740 | $420,593 | |||
3.50%, 10/1/2045 | 73,120 | 75,357 | |||
3.50% 12/1/2045 | 827,908 | 853,599 | |||
3.50%, 1/1/2046 | 106,610 | 109,871 | |||
3.50%, 3/1/2046 | 222,558 | 229,286 | |||
3.50%, 4/1/2046 | 325,911 | 335,764 | |||
3.50%, 6/1/2046 | 371,662 | 382,898 | |||
3.50%, 8/1/2046 | 3,901,659 | 4,021,016 | |||
3.50%, 9/1/2046 | 1,730,772 | 1,786,481 | |||
3.50%, 12/1/2046 | 1,103,721 | 1,137,088 | |||
3.50%, 2/1/2047 | 781,243 | 804,862 | |||
3.50%, 3/1/2047 | 799,921 | 823,666 | |||
3.50%, 4/1/2047 | 526,530 | 542,160 | |||
3.50%, 6/1/2047 | 564,027 | 580,770 | |||
3.50% 10/1/2047 | 865,620 | 891,314 | |||
3.50%, 11/1/2047 | 225,005 | 231,684 | |||
3.50%, 12/1/2047 | 450,644 | 464,021 | |||
3.50%, 1/1/2048 | 2,273,220 | 2,340,698 | |||
3.50%, 7/1/2048 | 1,380,101 | 1,414,964 | |||
3.50%, 4/1/2049 | 1,474,702 | 1,509,236 | |||
4.00%, 4/1/2025 | 9,328 | 9,355 | |||
4.00%, 11/1/2033 | 887,762 | 927,361 | |||
4.00%, 4/1/2042 | 39,393 | 41,587 | |||
4.00%, 6/1/2042 | 104,743 | 110,302 | |||
4.00%, 7/1/2042 | 2,037,189 | 2,150,647 | |||
4.00%, 12/1/2044 | 48,010 | 50,372 | |||
4.00%, 4/1/2045 | 39,793 | 41,626 | |||
4.00%, 10/1/2045 | 97,746 | 102,250 | |||
4.00%, 12/1/2045 | 160,756 | 168,164 | |||
4.00%, 1/1/2046 | 670,286 | 701,174 | |||
4.00%, 2/1/2046 | 251,696 | 263,295 | |||
4.00%, 7/1/2046 | 1,085,744 | 1,134,122 | |||
4.00%, 1/1/2047 | 704,942 | 736,353 | |||
4.00%, 2/1/2047 | 349,604 | 365,181 | |||
4.00%, 6/1/2047 | 783,255 | 816,112 | |||
4.00%, 9/1/2047 | 876,597 | 913,370 | |||
4.00%, 11/1/2047 | 678,965 | 707,448 | |||
4.00%, 1/1/2048 | 1,780,501 | 1,855,194 | |||
4.00%, 8/1/2048 | 1,354,683 | 1,404,718 | |||
4.00%, 10/1/2048 | 3,651,565 | 3,786,434 | |||
4.00%, 4/1/2049 | 487,161 | 504,798 | |||
4.50%, 5/1/2042 | 892,806 | 959,868 | |||
4.50%, 5/1/2044 | 160,999 | 171,290 | |||
4.50%, 12/1/2045 | 571,891 | 608,446 | |||
4.50%, 9/1/2046 | 412,734 | 437,138 | |||
4.50%, 4/1/2047 | 386,992 | 408,065 | |||
4.50%, 10/1/2047 | 535,083 | 564,220 | |||
4.50%, 12/1/2047 | 237,401 | 250,329 | |||
4.50%, 7/1/2048 | 1,784,127 | 1,865,907 | |||
4.50%, 11/1/2048 | 1,096,268 | 1,150,763 | |||
4.50%, 4/1/2049 | 1,436,194 | 1,503,912 | |||
5.00%, 7/1/2041 | 163,680 | 176,583 | |||
5.50%, 8/1/2038 | 484,538 | 527,613 | |||
6.00%, 7/1/2040 | 173,980 | 199,272 | |||
6.25%, 7/15/2032 (a) | 460,000 | 660,293 |
Security Description | Principal Amount | Value | |||
1.70%, 9/29/2020 | $100,000 | $99,581 | |||
Series GMTN, 1.88%, 11/17/2020 | 300,000 | 299,877 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 127,280 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 103,389 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 420,459 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 603,719 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 208,245 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 513,401 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 427,489 | |||
Series K079, Class A2, 3.93%, 6/25/2028 | 400,000 | 444,887 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (c) | 250,000 | 281,146 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (c) | 160,001 | 177,564 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 176,217 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 373,090 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 103,880 | |||
Series K716, Class A2, 3.13%, 6/25/2021 | 250,000 | 252,819 | |||
Series K718, Class A2, 2.79%, 1/25/2022 | 500,000 | 507,033 | |||
Series K724, Class A2, 3.06%, 11/25/2023 (c) | 500,000 | 517,728 | |||
Series K730, Class A2, 3.59%, 1/25/2025 (c) | 250,000 | 266,531 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 367,855 | |||
Federal National Mortgage Association: | |||||
1.25%, 5/6/2021 | 275,000 | 272,300 | |||
1.38%, 10/7/2021 | 325,000 | 321,799 | |||
1.50%, 7/30/2020 | 500,000 | 497,485 | |||
1.88%, 4/5/2022 | 500,000 | 500,855 | |||
1.88%, 9/24/2026 (a) | 500,000 | 495,200 | |||
2.00%, 1/5/2022 | 150,000 | 150,669 | |||
2.00%, 10/5/2022 | 250,000 | 251,630 | |||
2.00%, 11/1/2031 | 146,878 | 145,209 | |||
2.13%, 4/24/2026 | 200,000 | 201,022 | |||
2.25%, 4/12/2022 (a) | 210,000 | 212,617 | |||
2.50%, 2/5/2024 (a) | 750,000 | 772,492 | |||
2.50%, 3/1/2029 | 247,401 | 249,631 | |||
2.50%, 2/1/2031 | 139,048 | 140,380 | |||
2.50%, 10/1/2031 | 236,805 | 238,769 | |||
2.50%, 12/1/2031 | 415,008 | 418,449 | |||
2.50%, 1/1/2032 | 141,188 | 142,359 |
Security Description | Principal Amount | Value | |||
2.50%, 4/1/2032 | $1,437,233 | $1,449,152 | |||
2.50%, 10/1/2032 | 602,857 | 607,475 | |||
2.50%, 12/1/2032 | 1,246,195 | 1,255,741 | |||
2.50%, 1/1/2033 | 673,448 | 678,607 | |||
2.63%, 1/11/2022 | 750,000 | 765,495 | |||
2.63%, 9/6/2024 (a) | 250,000 | 259,538 | |||
2.88%, 9/12/2023 | 500,000 | 520,970 | |||
3.00%, 10/1/2028 | 87,905 | 89,861 | |||
3.00%, 8/1/2029 | 44,024 | 44,999 | |||
3.00%, 5/1/2030 | 269,082 | 274,964 | |||
3.00%, 6/1/2030 | 53,951 | 55,157 | |||
3.00%, 9/1/2030 | 47,515 | 48,577 | |||
3.00%, 11/1/2030 | 98,568 | 100,771 | |||
3.00%, 12/1/2030 | 69,113 | 70,658 | |||
3.00%, 4/1/2031 | 265,802 | 271,363 | |||
3.00%, 12/1/2031 | 400,018 | 408,386 | |||
3.00% 2/1/2032 | 1,621,980 | 1,655,913 | |||
3.00%, 5/1/2032 | 658,330 | 671,820 | |||
3.00%, 8/1/2032 | 228,094 | 232,767 | |||
3.00%, 10/1/2032 | 397,210 | 405,349 | |||
3.00%, 2/1/2033 | 1,254,063 | 1,279,759 | |||
3.00%, 7/1/2034 | 750,000 | 764,888 | |||
3.00%, 6/1/2036 | 86,923 | 88,541 | |||
3.00%, 8/1/2036 | 434,200 | 442,281 | |||
3.00%, 9/1/2036 | 806,595 | 821,606 | |||
3.00%, 10/1/2036 | 225,824 | 230,027 | |||
3.00%, 12/1/2036 | 391,708 | 398,998 | |||
3.00%, 11/1/2037 | 717,823 | 731,323 | |||
3.00%, 6/1/2042 | 1,453,974 | 1,481,319 | |||
3.00%, 6/1/2043 | 291,061 | 296,535 | |||
3.00%, 7/1/2043 | 86,426 | 88,038 | |||
3.00%, 2/1/2044 | 740,382 | 754,190 | |||
3.00%, 1/1/2045 | 1,232,571 | 1,255,560 | |||
3.00%, 5/1/2045 | 1,016,057 | 1,035,007 | |||
3.00%, 9/1/2045 | 86,757 | 88,133 | |||
3.00% 11/1/2045 | 663,796 | 674,324 | |||
3.00%, 12/1/2045 | 119,958 | 121,861 | |||
3.00%, 5/1/2046 | 840,352 | 852,017 | |||
3.00%, 7/1/2046 | 965,040 | 978,436 | |||
3.00%, 10/1/2046 | 241,797 | 245,154 | |||
3.00%, 11/1/2046 | 1,211,379 | 1,228,195 | |||
3.00% 12/1/2046 | 973,845 | 987,364 | |||
3.00% 1/1/2047 | 2,682,513 | 2,719,749 | |||
3.00%, 2/1/2047 | 840,363 | 852,028 | |||
3.00%, 5/1/2047 | 852,024 | 861,710 | |||
3.00%, 11/1/2047 | 645,081 | 652,415 | |||
3.00%, 2/1/2048 | 4,778,815 | 4,833,143 | |||
3.50%, 11/1/2025 | 39,112 | 40,371 | |||
3.50%, 1/1/2027 | 42,551 | 43,921 | |||
3.50%, 5/1/2029 | 50,002 | 51,743 | |||
3.50%, 10/1/2029 | 40,543 | 41,955 | |||
3.50%, 2/1/2031 | 459,514 | 474,470 | |||
3.50%, 3/1/2032 | 345,669 | 357,137 | |||
3.50%, 4/1/2032 | 498,131 | 514,802 | |||
3.50%, 2/1/2033 | 1,014,712 | 1,049,344 |
Security Description | Principal Amount | Value | |||
3.50%, 12/1/2035 | $56,025 | $58,017 | |||
3.50%, 1/1/2037 | 365,657 | 378,341 | |||
3.50%, 2/1/2037 | 570,051 | 589,825 | |||
3.50%, 7/1/2037 | 320,022 | 330,167 | |||
3.50%, 4/1/2038 | 722,362 | 744,839 | |||
3.50%, 2/1/2041 | 121,644 | 126,105 | |||
3.50%, 10/1/2044 | 43,907 | 45,364 | |||
3.50% 1/1/2045 | 129,537 | 133,834 | |||
3.50% 2/1/2045 | 5,880,727 | 6,093,428 | |||
3.50%, 5/1/2045 | 54,608 | 56,246 | |||
3.50% 8/1/2045 | 177,261 | 182,841 | |||
3.50%, 11/1/2045 | 72,499 | 74,673 | |||
3.50% 12/1/2045 | 916,453 | 943,940 | |||
3.50%, 1/1/2046 | 699,657 | 720,642 | |||
3.50% 2/1/2046 | 788,300 | 811,944 | |||
3.50% 4/1/2046 | 523,920 | 539,439 | |||
3.50% 5/1/2046 | 843,813 | 868,806 | |||
3.50%, 6/1/2046 | 221,681 | 228,247 | |||
3.50%, 7/1/2046 | 492,290 | 506,871 | |||
3.50%, 1/1/2047 | 725,343 | 746,827 | |||
3.50% 2/1/2047 | 2,344,420 | 2,425,092 | |||
3.50%, 3/1/2047 | 793,177 | 816,670 | |||
3.50%, 4/1/2047 | 1,608,092 | 1,654,860 | |||
3.50% 5/1/2047 | 4,281,579 | 4,408,397 | |||
3.50%, 6/1/2047 | 827,088 | 851,142 | |||
3.50%, 7/1/2047 | 1,247,097 | 1,290,603 | |||
3.50%, 9/1/2047 | 699,976 | 720,334 | |||
3.50%, 10/1/2047 | 824,889 | 848,879 | |||
3.50%, 11/1/2047 | 176,648 | 181,785 | |||
3.50%, 12/1/2047 | 1,238,645 | 1,274,668 | |||
3.50%, 1/1/2048 | 358,564 | 368,992 | |||
3.50%, 2/1/2048 | 381,887 | 394,319 | |||
3.50% 6/1/2048 | 3,541,552 | 3,628,871 | |||
3.50%, 7/1/2049 | 1,500,000 | 1,534,215 | |||
4.00%, 9/1/2019 | 1,633 | 1,631 | |||
4.00%, 3/1/2021 | 11,811 | 11,920 | |||
4.00%, 3/1/2031 | 1,285,074 | 1,337,064 | |||
4.00%, 10/1/2033 | 168,504 | 177,510 | |||
4.00%, 1/1/2039 | 321,161 | 335,042 | |||
4.00%, 2/1/2039 | 278,595 | 290,635 | |||
4.00%, 12/1/2040 | 69,770 | 73,670 | |||
4.00%, 2/1/2043 | 397,003 | 419,193 | |||
4.00% 10/1/2043 | 955,965 | 1,007,744 | |||
4.00%, 11/1/2043 | 312,064 | 327,634 | |||
4.00%, 12/1/2043 | 266,293 | 279,579 | |||
4.00% 10/1/2044 | 67,805 | 71,097 | |||
4.00%, 1/1/2045 | 922,359 | 970,731 | |||
4.00%, 3/1/2045 | 57,018 | 59,609 | |||
4.00%, 5/1/2045 | 2,068,777 | 2,169,230 | |||
4.00%, 7/1/2045 | 60,425 | 63,171 | |||
4.00% 9/1/2045 | 259,538 | 271,334 | |||
4.00% 12/1/2045 | 117,825 | 123,179 | |||
4.00%, 4/1/2046 | 291,822 | 304,634 | |||
4.00%, 7/1/2046 | 385,616 | 402,546 | |||
4.00% 11/1/2046 | 2,120,915 | 2,222,795 |
Security Description | Principal Amount | Value | |||
4.00%, 12/1/2046 | $705,038 | $735,994 | |||
4.00% 4/1/2047 | 1,765,557 | 1,838,465 | |||
4.00%, 7/1/2047 | 870,681 | 906,635 | |||
4.00%, 8/1/2047 | 750,309 | 781,293 | |||
4.00%, 9/1/2047 | 716,752 | 746,350 | |||
4.00%, 12/1/2047 | 932,194 | 970,688 | |||
4.00%, 2/1/2048 | 2,164,948 | 2,254,348 | |||
4.00%, 7/1/2048 | 1,015,834 | 1,052,747 | |||
4.00%, 8/1/2048 | 4,131,336 | 4,274,381 | |||
4.00%, 9/1/2048 | 2,023,588 | 2,093,653 | |||
4.00%, 3/1/2049 | 3,382,399 | 3,502,677 | |||
4.50%, 5/1/2020 | 187 | 188 | |||
4.50%, 12/1/2040 | 145,597 | 156,043 | |||
4.50%, 1/1/2042 | 74,820 | 80,204 | |||
4.50% 9/1/2043 | 144,725 | 154,919 | |||
4.50%, 11/1/2043 | 82,587 | 88,002 | |||
4.50%, 5/1/2044 | 272,487 | 289,710 | |||
4.50%, 6/1/2044 | 79,569 | 84,598 | |||
4.50%, 2/1/2046 | 288,259 | 308,940 | |||
4.50%, 3/1/2046 | 965,663 | 1,028,976 | |||
4.50%, 7/1/2046 | 335,319 | 353,845 | |||
4.50%, 11/1/2047 | 1,138,564 | 1,199,723 | |||
4.50%, 4/1/2048 | 620,129 | 648,155 | |||
4.50% 8/1/2048 | 2,442,561 | 2,562,415 | |||
4.50%, 11/1/2048 | 1,532,478 | 1,607,675 | |||
4.50%, 12/1/2048 | 1,168,199 | 1,225,521 | |||
4.50%, 1/1/2049 | 456,487 | 478,886 | |||
4.50%, 4/1/2049 | 487,055 | 509,688 | |||
5.00%, 1/1/2039 | 616,717 | 664,947 | |||
5.00%, 6/1/2040 | 307,011 | 330,307 | |||
5.00%, 7/1/2041 | 45,910 | 49,394 | |||
5.00%, 5/1/2042 | 57,438 | 61,797 | |||
5.00%, 11/1/2044 | 754,451 | 810,877 | |||
5.00%, 1/1/2045 | 62,315 | 66,759 | |||
5.00%, 6/1/2048 | 1,214,272 | 1,284,145 | |||
5.00%, 9/1/2048 | 1,159,844 | 1,226,585 | |||
5.50%, 2/1/2037 | 31,200 | 33,958 | |||
5.50%, 4/1/2038 | 143,599 | 157,115 | |||
5.50%, 9/1/2040 | 44,627 | 48,918 | |||
5.50%, 9/1/2041 | 71,024 | 77,709 | |||
5.50% 5/1/2044 | 834,865 | 911,609 | |||
5.63%, 7/15/2037 | 80,000 | 113,170 | |||
6.63%, 11/15/2030 | 365,000 | 521,800 | |||
7.25%, 5/15/2030 | 75,000 | 110,521 | |||
Series 2013-M12, Class APT, 2.48%, 3/25/2023 (c) | 29,491 | 29,809 | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (c) | 150,000 | 151,784 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 750,000 | 777,617 | |||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (c) | 47,745 | 50,301 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 250,000 | 257,695 | |||
Series 2017-M12, Class A2, 3.18%, 6/25/2027 (c) | 400,000 | 416,764 |
Security Description | Principal Amount | Value | |||
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (c) | $250,000 | $257,754 | |||
TBA, 2.50%, 7/1/2034 (f) | 1,500,000 | 1,510,170 | |||
TBA, 3.00%, 7/1/2049 (f) | 1,000,000 | 1,008,420 | |||
TBA, 3.50%, 7/1/2034 (f) | 350,000 | 361,232 | |||
TBA, 4.00%, 7/1/2049 (f) | 2,100,000 | 2,170,287 | |||
TBA, 5.00%, 7/1/2049 (f) | 1,000,000 | 1,056,780 | |||
Government National Mortgage Association: | |||||
2.50%, 12/20/2046 | 999,144 | 1,007,574 | |||
3.00%, 1/20/2043 | 610,468 | 628,499 | |||
3.00%, 5/20/2043 | 306,312 | 314,844 | |||
3.00%, 12/20/2044 | 66,584 | 68,316 | |||
3.00%, 3/20/2045 | 36,551 | 37,447 | |||
3.00%, 4/20/2045 | 107,370 | 110,002 | |||
3.00%, 6/20/2045 | 54,671 | 56,012 | |||
3.00%, 7/20/2045 | 100,651 | 103,119 | |||
3.00%, 8/20/2045 | 91,161 | 93,396 | |||
3.00%, 3/20/2046 | 971,494 | 994,109 | |||
3.00%, 4/20/2046 | 93,484 | 95,660 | |||
3.00%, 5/20/2046 | 163,445 | 167,250 | |||
3.00%, 7/20/2046 | 104,303 | 106,731 | |||
3.00%, 8/20/2046 | 339,242 | 347,139 | |||
3.00%, 9/20/2046 | 238,003 | 243,543 | |||
3.00%, 10/20/2046 | 240,280 | 245,873 | |||
3.00%, 11/20/2046 | 430,456 | 440,476 | |||
3.00%, 12/20/2046 | 1,690,615 | 1,729,969 | |||
3.00%, 2/20/2047 | 808,873 | 827,702 | |||
3.00%, 4/20/2047 | 1,154,978 | 1,180,975 | |||
3.00%, 5/20/2047 | 845,295 | 864,322 | |||
3.00%, 6/20/2047 | 403,881 | 412,973 | |||
3.00%, 7/20/2047 | 807,839 | 826,023 | |||
3.00%, 8/20/2047 | 403,676 | 412,762 | |||
3.00%, 10/20/2047 | 607,386 | 621,058 | |||
3.00%, 1/20/2048 | 2,245,710 | 2,296,259 | |||
3.00%, 2/20/2048 | 1,359,575 | 1,390,178 | |||
3.00%, 3/20/2048 | 2,374,449 | 2,427,896 | |||
3.50%, 10/20/2042 | 486,299 | 508,808 | |||
3.50%, 1/20/2043 | 1,999,913 | 2,092,484 | |||
3.50%, 5/20/2043 | 72,496 | 75,695 | |||
3.50%, 9/20/2043 | 50,060 | 52,269 | |||
3.50%, 11/20/2043 | 417,474 | 435,896 | |||
3.50%, 10/20/2044 | 52,833 | 55,128 | |||
3.50%, 11/20/2044 | 2,344,451 | 2,446,273 | |||
3.50%, 12/20/2044 | 36,110 | 37,678 | |||
3.50%, 3/20/2045 | 33,222 | 34,542 | |||
3.50%, 4/20/2045 | 100,599 | 104,596 | |||
3.50%, 6/20/2045 | 1,467,843 | 1,526,167 | |||
3.50%, 10/20/2045 | 2,945,492 | 3,062,530 | |||
3.50%, 1/20/2046 | 1,111,811 | 1,155,988 | |||
3.50%, 3/20/2046 | 242,113 | 250,815 | |||
3.50%, 4/20/2046 | 129,219 | 133,863 | |||
3.50%, 5/20/2046 | 134,079 | 138,898 | |||
3.50%, 6/20/2046 | 2,090,934 | 2,166,088 | |||
3.50%, 7/20/2046 | 333,814 | 345,812 |
Security Description | Principal Amount | Value | |||
3.50%, 10/20/2046 | $633,214 | $655,974 | |||
3.50%, 11/20/2046 | 410,545 | 425,301 | |||
3.50%, 12/20/2046 | 1,340,396 | 1,388,574 | |||
3.50%, 5/20/2047 | 1,167,166 | 1,207,726 | |||
3.50%, 6/20/2047 | 804,907 | 832,878 | |||
3.50%, 7/20/2047 | 623,771 | 645,447 | |||
3.50%, 8/20/2047 | 994,419 | 1,028,976 | |||
3.50%, 9/20/2047 | 427,148 | 441,991 | |||
3.50%, 10/20/2047 | 412,134 | 426,456 | |||
3.50%, 1/20/2048 | 3,739,272 | 3,869,215 | |||
3.50%, 2/20/2048 | 1,747,979 | 1,808,723 | |||
3.50%, 6/20/2048 | 645,052 | 666,585 | |||
3.50%, 8/20/2048 | 490,292 | 506,660 | |||
4.00%, 4/15/2040 | 56,278 | 59,271 | |||
4.00%, 2/20/2042 | 23,823 | 25,151 | |||
4.00%, 7/20/2042 | 16,302 | 17,176 | |||
4.00%, 7/15/2044 | 52,483 | 55,206 | |||
4.00%, 8/20/2044 | 33,354 | 35,183 | |||
4.00%, 10/20/2044 | 297,957 | 314,291 | |||
4.00%, 5/15/2045 | 55,843 | 58,720 | |||
4.00%, 6/15/2045 | 114,830 | 120,746 | |||
4.00%, 8/20/2045 | 35,474 | 37,351 | |||
4.00%, 11/20/2045 | 433,833 | 456,794 | |||
4.00%, 2/20/2046 | 331,527 | 349,074 | |||
4.00%, 5/20/2046 | 357,553 | 374,019 | |||
4.00%, 6/20/2046 | 239,704 | 250,742 | |||
4.00%, 1/20/2047 | 807,247 | 844,421 | |||
4.00%, 3/20/2047 | 400,392 | 418,830 | |||
4.00%, 4/20/2047 | 770,434 | 804,715 | |||
4.00%, 5/20/2047 | 532,033 | 555,706 | |||
4.00%, 6/20/2047 | 3,496,971 | 3,652,572 | |||
4.00%, 7/20/2047 | 550,762 | 575,268 | |||
4.00%, 8/20/2047 | 227,198 | 237,307 | |||
4.00%, 1/20/2048 | 415,381 | 433,864 | |||
4.00%, 6/20/2048 | 229,881 | 238,492 | |||
4.00%, 8/20/2048 | 2,608,331 | 2,706,035 | |||
4.00%, 9/20/2048 | 2,281,234 | 2,366,685 | |||
4.00%, 10/20/2048 | 1,183,657 | 1,227,994 | |||
4.00%, 11/20/2048 | 968,562 | 1,004,842 | |||
4.00%, 4/20/2049 | 995,207 | 1,034,916 | |||
4.50%, 1/20/2044 | 142,051 | 151,743 | |||
4.50%, 11/20/2044 | 43,448 | 46,296 | |||
4.50%, 12/20/2044 | 35,095 | 37,396 | |||
4.50%, 4/20/2046 | 211,966 | 225,859 | |||
4.50%, 6/20/2046 | 149,557 | 159,360 | |||
4.50%, 7/20/2046 | 194,287 | 207,022 | |||
4.50%, 4/20/2047 | 776,947 | 819,897 | |||
4.50%, 8/20/2047 | 246,014 | 258,397 | |||
4.50%, 11/20/2047 | 2,316,277 | 2,432,868 | |||
4.50%, 12/20/2047 | 145,258 | 152,570 | |||
4.50%, 9/20/2048 | 2,162,443 | 2,256,355 | |||
4.50%, 11/20/2048 | 1,389,125 | 1,449,453 | |||
5.00%, 6/15/2040 | 48,676 | 52,395 | |||
5.00%, 10/15/2041 | 91,578 | 98,165 | |||
5.00%, 3/20/2044 | 65,241 | 70,970 |
Security Description | Principal Amount | Value | |||
5.00%, 12/20/2045 | $226,822 | $246,479 | |||
5.00%, 1/20/2048 | 534,647 | 561,974 | |||
5.00%, 5/20/2048 | 553,168 | 579,158 | |||
5.00%, 9/20/2048 | 1,051,812 | 1,101,783 | |||
5.50%, 10/20/2043 | 57,278 | 65,066 | |||
5.50%, 5/20/2045 | 662,497 | 731,139 | |||
TBA, 3.00%, 7/1/2049 (f) | 2,250,000 | 2,298,577 | |||
TBA, 3.50%, 7/1/2049 (f) | 2,700,000 | 2,788,830 | |||
TBA, 4.50%, 7/1/2049 (f) | 1,750,000 | 1,824,077 | |||
Iraq Government AID Bond 2.15%, 1/18/2022 | 200,000 | 201,282 | |||
Tennessee Valley Authority: | |||||
2.88%, 9/15/2024 | 100,000 | 104,476 | |||
3.50%, 12/15/2042 | 175,000 | 187,220 | |||
4.25%, 9/15/2065 | 100,000 | 125,223 | |||
5.25%, 9/15/2039 | 150,000 | 200,132 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 156,852 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $304,246,505) | 307,332,296 | ||||
U.S. TREASURY OBLIGATIONS — 38.9% | |||||
Treasury Bonds: | |||||
2.25%, 8/15/2046 | 1,425,000 | 1,346,180 | |||
2.50%, 2/15/2045 | 1,840,000 | 1,833,100 | |||
2.50%, 2/15/2046 | 1,400,000 | 1,392,562 | |||
2.50%, 5/15/2046 | 1,100,000 | 1,093,812 | |||
2.75%, 8/15/2042 | 400,000 | 419,688 | |||
2.75%, 11/15/2042 | 500,000 | 524,063 | |||
2.75%, 8/15/2047 (a) | 700,000 | 730,516 | |||
2.75%, 11/15/2047 | 1,650,000 | 1,722,187 | |||
2.88%, 5/15/2043 | 1,850,000 | 1,978,633 | |||
2.88%, 8/15/2045 | 3,480,000 | 3,719,250 | |||
2.88%, 11/15/2046 (a) | 1,750,000 | 1,872,773 | |||
3.00%, 5/15/2042 | 1,325,000 | 1,450,668 | |||
3.00%, 11/15/2044 | 1,925,000 | 2,102,762 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,050,488 | |||
3.00%, 11/15/2045 | 2,400,000 | 2,626,500 | |||
3.00%, 2/15/2047 | 1,200,000 | 1,315,875 | |||
3.00%, 5/15/2047 | 2,700,000 | 2,957,344 | |||
3.00%, 2/15/2048 | 1,700,000 | 1,862,031 | |||
3.00%, 8/15/2048 | 1,950,000 | 2,138,602 | |||
3.00%, 2/15/2049 (a) | 2,150,000 | 2,361,641 | |||
3.13%, 11/15/2041 | 2,200,000 | 2,461,937 | |||
3.13%, 2/15/2042 | 1,725,000 | 1,928,766 | |||
3.13%, 2/15/2043 | 1,825,000 | 2,035,160 | |||
3.13%, 8/15/2044 | 1,250,000 | 1,394,531 | |||
3.13%, 5/15/2048 | 1,375,000 | 1,543,008 | |||
3.38%, 5/15/2044 | 1,350,000 | 1,568,953 | |||
3.38%, 11/15/2048 | 2,100,000 | 2,472,094 | |||
3.50%, 2/15/2039 | 2,500,000 | 2,968,750 | |||
3.63%, 8/15/2043 | 1,600,000 | 1,931,250 | |||
3.63%, 2/15/2044 | 475,000 | 573,934 | |||
3.75%, 8/15/2041 | 700,000 | 859,469 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,754,309 |
Security Description | Principal Amount | Value | |||
3.88%, 8/15/2040 | $750,000 | $936,680 | |||
4.25%, 5/15/2039 | 1,500,000 | 1,961,953 | |||
4.25%, 11/15/2040 | 1,000,000 | 1,311,875 | |||
4.38%, 2/15/2038 | 775,000 | 1,024,332 | |||
4.38%, 11/15/2039 | 4,100,000 | 5,450,437 | |||
4.38%, 5/15/2040 | 575,000 | 765,559 | |||
4.38%, 5/15/2041 | 300,000 | 400,594 | |||
4.50%, 2/15/2036 (a) | 2,500,000 | 3,298,047 | |||
4.50%, 8/15/2039 | 650,000 | 877,805 | |||
4.63%, 2/15/2040 | 1,190,000 | 1,633,647 | |||
4.75%, 2/15/2037 | 350,000 | 479,172 | |||
4.75%, 2/15/2041 | 650,000 | 909,492 | |||
5.25%, 11/15/2028 | 450,000 | 575,367 | |||
6.50%, 11/15/2026 | 1,500,000 | 1,972,734 | |||
Treasury Notes: | |||||
1.13%, 2/28/2021 | 850,000 | 840,471 | |||
1.13%, 6/30/2021 | 2,250,000 | 2,222,666 | |||
1.13%, 7/31/2021 | 1,175,000 | 1,159,945 | |||
1.13%, 8/31/2021 (a) | 2,350,000 | 2,319,156 | |||
1.13%, 9/30/2021 | 1,300,000 | 1,282,836 | |||
1.25%, 3/31/2021 | 200,000 | 198,148 | |||
1.25%, 10/31/2021 | 1,400,000 | 1,384,469 | |||
1.25%, 7/31/2023 | 250,000 | 245,215 | |||
1.38%, 8/31/2020 (a) | 3,200,000 | 3,180,375 | |||
1.38%, 9/15/2020 | 1,500,000 | 1,491,035 | |||
1.38%, 9/30/2020 | 550,000 | 546,541 | |||
1.38%, 10/31/2020 | 1,100,000 | 1,092,953 | |||
1.38%, 1/31/2021 | 5,500,000 | 5,461,758 | |||
1.38%, 4/30/2021 | 525,000 | 521,165 | |||
1.38%, 5/31/2021 | 3,775,000 | 3,747,130 | |||
1.38%, 9/30/2023 | 550,000 | 541,793 | |||
1.50%, 1/31/2022 (a) | 450,000 | 447,469 | |||
1.50%, 8/15/2026 | 4,150,000 | 4,044,953 | |||
1.63%, 7/31/2020 | 2,350,000 | 2,342,289 | |||
1.63%, 10/15/2020 (a) | 1,150,000 | 1,146,361 | |||
1.63%, 8/31/2022 | 1,150,000 | 1,146,316 | |||
1.63%, 11/15/2022 | 3,000,000 | 2,989,922 | |||
1.63%, 4/30/2023 | 2,500,000 | 2,490,039 | |||
1.63%, 5/31/2023 | 1,250,000 | 1,245,117 | |||
1.63%, 2/15/2026 | 1,925,000 | 1,896,727 | |||
1.75%, 10/31/2020 | 650,000 | 648,934 | |||
1.75%, 11/15/2020 | 1,350,000 | 1,348,102 | |||
1.75%, 12/31/2020 | 5,500,000 | 5,493,125 | |||
1.75%, 11/30/2021 | 1,500,000 | 1,500,469 | |||
1.75%, 2/28/2022 | 300,000 | 300,188 | |||
1.75%, 3/31/2022 | 250,000 | 250,156 | |||
1.75%, 4/30/2022 | 300,000 | 300,281 | |||
1.75%, 5/31/2022 (a) | 1,000,000 | 1,000,703 | |||
1.75%, 6/15/2022 | 1,500,000 | 1,502,109 | |||
1.75%, 6/30/2022 | 3,750,000 | 3,754,687 | |||
1.75%, 1/31/2023 | 2,925,000 | 2,927,057 | |||
1.75%, 5/15/2023 | 250,000 | 250,156 | |||
1.75%, 6/30/2024 (f) | 1,500,000 | 1,499,531 | |||
1.88%, 12/15/2020 | 5,000,000 | 5,002,539 | |||
1.88%, 1/31/2022 | 1,850,000 | 1,856,504 |
Security Description | Principal Amount | Value | |||
1.88%, 2/28/2022 | $5,500,000 | $5,520,625 | |||
1.88%, 3/31/2022 | 5,500,000 | 5,524,492 | |||
1.88%, 4/30/2022 (a) | 6,000,000 | 6,024,375 | |||
1.88%, 5/31/2022 | 100,000 | 100,453 | |||
1.88%, 7/31/2022 | 1,000,000 | 1,004,531 | |||
1.88%, 8/31/2022 | 150,000 | 150,680 | |||
1.88%, 9/30/2022 | 500,000 | 502,461 | |||
1.88%, 8/31/2024 | 850,000 | 854,184 | |||
2.00%, 2/28/2021 | 750,000 | 752,285 | |||
2.00%, 5/31/2021 | 350,000 | 351,518 | |||
2.00%, 8/31/2021 (a) | 300,000 | 301,594 | |||
2.00%, 10/31/2021 | 3,500,000 | 3,521,328 | |||
2.00%, 11/15/2021 | 500,000 | 503,242 | |||
2.00%, 12/31/2021 | 3,000,000 | 3,020,391 | |||
2.00%, 7/31/2022 | 100,000 | 100,828 | |||
2.00%, 10/31/2022 | 5,000,000 | 5,044,141 | |||
2.00%, 11/30/2022 | 2,000,000 | 2,018,125 | |||
2.00%, 2/15/2023 | 500,000 | 504,727 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,770,781 | |||
2.00%, 6/30/2024 | 350,000 | 353,828 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,399,121 | |||
2.00%, 8/15/2025 | 1,500,000 | 1,514,297 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,267,227 | |||
2.13%, 8/31/2020 | 1,650,000 | 1,653,932 | |||
2.13%, 5/31/2021 | 3,500,000 | 3,523,926 | |||
2.13%, 8/15/2021 | 5,500,000 | 5,542,109 | |||
2.13%, 6/30/2022 | 4,500,000 | 4,553,437 | |||
2.13%, 12/31/2022 (a) | 3,900,000 | 3,953,320 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,015,938 | |||
2.13%, 3/31/2024 | 5,975,000 | 6,075,361 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,542,383 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,525,312 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,271,387 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,389,656 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,541,406 | |||
2.25%, 3/31/2021 | 6,750,000 | 6,802,998 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,787,871 | |||
2.25%, 1/31/2024 | 1,000,000 | 1,021,797 | |||
2.25%, 4/30/2024 | 1,000,000 | 1,022,734 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,279,102 | |||
2.25%, 11/15/2024 | 1,675,000 | 1,713,996 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,279,395 | |||
2.25%, 11/15/2025 (a) | 1,975,000 | 2,022,678 | |||
2.25%, 3/31/2026 | 4,500,000 | 4,611,094 | |||
2.25%, 2/15/2027 | 2,000,000 | 2,049,687 | |||
2.25%, 8/15/2027 (a) | 2,000,000 | 2,048,437 | |||
2.25%, 11/15/2027 | 2,750,000 | 2,815,312 | |||
2.38%, 3/15/2021 | 1,000,000 | 1,009,727 | |||
2.38%, 4/15/2021 | 750,000 | 757,676 | |||
2.38%, 3/15/2022 | 8,000,000 | 8,142,500 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,533,516 | |||
2.38%, 2/29/2024 | 2,000,000 | 2,056,406 | |||
2.38%, 8/15/2024 | 1,950,000 | 2,006,977 | |||
2.38%, 4/30/2026 | 5,000,000 | 5,163,281 | |||
2.38%, 5/15/2027 | 2,900,000 | 2,998,328 |
Security Description | Principal Amount | Value | |||
2.38%, 5/15/2029 (a) | $2,500,000 | $2,583,594 | |||
2.50%, 12/31/2020 | 1,500,000 | 1,514,648 | |||
2.50%, 2/28/2021 | 2,000,000 | 2,022,656 | |||
2.50%, 1/15/2022 | 6,000,000 | 6,113,906 | |||
2.50%, 2/15/2022 | 2,000,000 | 2,039,375 | |||
2.50%, 3/31/2023 | 1,250,000 | 1,284,863 | |||
2.50%, 1/31/2024 | 6,000,000 | 6,197,344 | |||
2.50%, 1/31/2025 | 1,000,000 | 1,037,031 | |||
2.50%, 2/28/2026 | 2,500,000 | 2,600,000 | |||
2.63%, 8/15/2020 (a) | 150,000 | 151,178 | |||
2.63%, 8/31/2020 | 5,750,000 | 5,797,168 | |||
2.63%, 11/15/2020 | 250,000 | 252,578 | |||
2.63%, 5/15/2021 | 1,500,000 | 1,523,262 | |||
2.63%, 6/15/2021 | 1,350,000 | 1,372,623 | |||
2.63%, 7/15/2021 | 3,000,000 | 3,052,266 | |||
2.63%, 12/15/2021 | 2,500,000 | 2,554,883 | |||
2.63%, 2/28/2023 | 2,000,000 | 2,063,281 | |||
2.63%, 6/30/2023 | 3,600,000 | 3,723,750 | |||
2.63%, 12/31/2023 | 3,000,000 | 3,113,203 | |||
2.63%, 3/31/2025 | 1,000,000 | 1,044,141 | |||
2.63%, 12/31/2025 | 3,250,000 | 3,403,359 | |||
2.63%, 1/31/2026 | 3,500,000 | 3,666,250 | |||
2.63%, 2/15/2029 | 2,350,000 | 2,478,148 | |||
2.75%, 9/30/2020 | 5,000,000 | 5,052,930 | |||
2.75%, 11/30/2020 (a) | 2,500,000 | 2,531,445 | |||
2.75%, 8/15/2021 | 1,000,000 | 1,020,781 | |||
2.75%, 4/30/2023 | 3,250,000 | 3,372,129 | |||
2.75%, 5/31/2023 | 1,500,000 | 1,557,422 | |||
2.75%, 7/31/2023 | 1,000,000 | 1,039,688 | |||
2.75%, 8/31/2023 | 1,250,000 | 1,300,586 | |||
2.75%, 11/15/2023 | 1,500,000 | 1,563,164 | |||
2.75%, 2/15/2024 | 100,000 | 104,430 | |||
2.75%, 2/28/2025 | 2,250,000 | 2,363,730 | |||
2.75%, 6/30/2025 | 2,750,000 | 2,894,160 | |||
2.75%, 8/31/2025 | 2,500,000 | 2,633,008 | |||
2.75%, 2/15/2028 | 2,750,000 | 2,924,023 | |||
2.88%, 10/31/2020 | 3,250,000 | 3,292,656 | |||
2.88%, 9/30/2023 | 2,000,000 | 2,092,344 | |||
2.88%, 10/31/2023 | 2,000,000 | 2,093,906 | |||
2.88%, 11/30/2023 | 3,000,000 | 3,143,906 | |||
2.88%, 4/30/2025 | 1,250,000 | 1,322,852 | |||
2.88%, 5/31/2025 | 3,900,000 | 4,129,430 | |||
2.88%, 7/31/2025 | 4,000,000 | 4,239,688 | |||
2.88%, 11/30/2025 | 1,500,000 | 1,593,047 | |||
2.88%, 5/15/2028 | 2,000,000 | 2,147,812 | |||
2.88%, 8/15/2028 | 2,750,000 | 2,955,391 | |||
2.88%, 5/15/2049 | 1,250,000 | 1,341,016 | |||
3.00%, 9/30/2025 | 2,500,000 | 2,670,703 | |||
3.00%, 10/31/2025 | 2,750,000 | 2,939,277 | |||
3.13%, 11/15/2028 | 4,750,000 | 5,210,156 | |||
3.63%, 2/15/2021 | 1,600,000 | 1,645,937 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $399,860,183) | 411,789,957 |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 0.5% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | $25,000 | $40,463 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 269,880 | ||||
7.30%, 10/1/2039 | 125,000 | 187,894 | ||||
7.50%, 4/1/2034 | 100,000 | 150,940 | ||||
7.55%, 4/1/2039 | 100,000 | 158,312 | ||||
California, State University Series B, 3.90%, 11/1/2047 | 100,000 | 108,261 | ||||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 133,526 | ||||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 31,914 | ||||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 71,762 | ||||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 283,076 | ||||
State of California 7.60%, 11/1/2040 | 250,000 | 405,670 | ||||
University of California Series AX, 3.06%, 7/1/2025 | 300,000 | 311,529 | ||||
2,153,227 | ||||||
FLORIDA — 0.1% | ||||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 133,529 | ||||
State Board of Administration Finance Corp.: | ||||||
Series A, 2.64%, 7/1/2021 | 150,000 | 151,243 | ||||
Series A, 3.00%, 7/1/2020 | 100,000 | 100,650 | ||||
385,422 | ||||||
GEORGIA — 0.0% (b) | ||||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 164,000 | 214,305 | ||||
ILLINOIS — 0.1% | ||||||
Chicago O'Hare International Airport: | ||||||
Series C, 4.47%, 1/1/2049 | 50,000 | 58,680 | ||||
Series C, 4.57%, 1/1/2054 | 50,000 | 59,516 | ||||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 266,018 | ||||
State of Illinois: | ||||||
5.10%, 6/1/2033 | 50,000 | 52,654 | ||||
6.63%, 2/1/2035 | 200,000 | 230,686 | ||||
7.35%, 7/1/2035 | 100,000 | 117,923 | ||||
785,477 |
Security Description | Principal Amount | Value | ||||
MASSACHUSETTS — 0.0% (b) | ||||||
Commonwealth of Massachusetts Series E, 4.20%, 12/1/2021 | $100,000 | $103,511 | ||||
MISSOURI — 0.0% (b) | ||||||
Health & Educational Facilities Authority of the State of Missouri 3.65%, 8/15/2057 | 100,000 | 105,023 | ||||
NEW JERSEY — 0.0% (b) | ||||||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 150,511 | ||||
NEW YORK — 0.1% | ||||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 33,301 | ||||
New York, State Urban Development Corp. Series B, 3.90%, 3/15/2033 (f) | 100,000 | 107,349 | ||||
Port Authority of New York & New Jersey: | ||||||
4.03%, 9/1/2048 | 125,000 | 140,836 | ||||
4.46%, 10/1/2062 | 340,000 | 406,841 | ||||
5.65%, 11/1/2040 | 100,000 | 132,231 | ||||
Series 192, 4.81%, 10/15/2065 | 25,000 | 31,160 | ||||
851,718 | ||||||
OHIO — 0.0% (b) | ||||||
American Municipal Power Inc. 7.83%, 2/15/2041 | 150,000 | 237,750 | ||||
PENNSYLVANIA — 0.0% (b) | ||||||
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038 | 125,000 | 135,403 | ||||
TEXAS — 0.0% (b) | ||||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 128,429 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 154,542 | ||||
282,971 | ||||||
VIRGINIA — 0.0% (b) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 56,678 | ||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $5,156,433) | 5,461,996 | |||||
MORTGAGE-BACKED SECURITIES — 1.3% | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | 100,000 | 106,509 | ||||
BANK 2017-BNK8: |
Security Description | Principal Amount | Value | |||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | $90,000 | $95,242 | |||
Series 2017-BNK8, Class B, 4.07%, 11/15/2050 (c) | 50,000 | 52,608 | |||
BANK 2018-BNK13 Series 2018-BN13, Class A5, 4.22%, 8/15/2061 (c) | 100,000 | 111,390 | |||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 | 143,329 | 160,172 | |||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (c) | 100,000 | 113,191 | |||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 106,740 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 159,483 | |||
BENCHMARK Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 | 130,000 | 141,311 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 110,046 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 111,781 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 124,049 | |||
CD Mortgage Trust Series 2017-CD6, Class A5, 3.46%, 11/13/2050 | 100,000 | 105,771 | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 322,406 | |||
Citigroup Commercial Mortgage Trust Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 640,541 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 77,119 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 264,043 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 107,028 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 424,724 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 105,774 | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 53,248 |
Security Description | Principal Amount | Value | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | $300,000 | $313,644 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR8, Class A4, 3.33%, 6/10/2046 | 41,334 | 42,650 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 111,242 | |||
Commercial Mortgage Pass Through Certificates Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 425,678 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 157,521 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | 250,000 | 262,710 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (c) | 50,000 | 56,097 | |||
Federal National Mortgage Association Series 2017-M15, Class A2, 3.06%, 9/25/2027 (c) | 500,000 | 518,789 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.19%, 7/10/2046 (c) | 80,000 | 85,621 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 93,403 | 100,287 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 153,859 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 203,358 | |||
GS Mortgage Securities Trust 2017-GS5 Series 2017-GS5, Class A2, 3.22%, 3/10/2050 | 300,000 | 305,959 | |||
GS Mortgage Securities Trust 2017-GS8 Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 263,490 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 64,091 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 53,627 |
Security Description | Principal Amount | Value | |||
JPMBB Commercial Mortgage Securities Trust 2015-C29 Series 2015-C29, Class A4, 3.61%, 5/15/2048 | $100,000 | $105,706 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 212,827 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 107,348 | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.90%, 3/15/2049 (c) | 300,000 | 328,652 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 528,207 | |||
JPMDB Commercial Mortgage Securities Trust 2017-C5 Series 2017-C5, Class A2, 3.33%, 3/15/2050 | 300,000 | 307,254 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 207,222 | |||
Series 2016-C29, Class A2, 2.79%, 5/15/2049 | 200,000 | 201,056 | |||
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 500,000 | 515,894 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 Series 2012-C6, Class A4, 2.86%, 11/15/2045 | 170,443 | 173,004 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 306,468 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 231,621 | |||
Morgan Stanley Capital I Trust 2018-L1 Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 166,231 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 436,768 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 106,406 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 180,109 |
Security Description | Principal Amount | Value | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | $225,000 | $231,125 | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | 100,000 | 104,758 | |||
Wells Fargo Commercial Mortgage Trust 2015-P2 Series 2015-P2, Class A3, 3.54%, 12/15/2048 | 300,000 | 317,421 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 309,769 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 265,011 | |||
Wells Fargo Commercial Mortgage Trust 2018-C47 Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 169,409 | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 223,375 | |||
WFRBS Commercial Mortgage Trust 2014-C19: | |||||
Series 2014-C19, Class A3, 3.66%, 3/15/2047 | 63,814 | 65,018 | |||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 115,817 | |||
WFRBS Commercial Mortgage Trust 2014-C25 Series 2014-C25, Class A5, 3.63%, 11/15/2047 | 500,000 | 528,202 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 106,869 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,851,994) | 13,163,346 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (g) (h) | 21,500,207 | $21,500,207 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 37,338,539 | 37,338,539 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $58,838,746) | 58,838,746 | |||||
TOTAL INVESTMENTS — 104.5% (Cost $1,081,150,644) | 1,106,680,950 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.5)% | (48,105,599) | |||||
NET ASSETS — 100.0% | $1,058,575,351 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. 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, 2019. Maturity date shown is the final maturity. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | When-issued security. |
(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, 2019 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(i) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
BKNT | = Bank Notes |
GMTN | = Global Medium Term Note |
LIBOR | = London Interbank Offered Rate |
MTN | = Medium Term Note |
TBA | = To Be Announced |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $266,761,485 | $— | $266,761,485 | ||||
Asset-Backed Securities | — | 3,851,519 | — | 3,851,519 | ||||
Foreign Government Obligations | — | 39,481,605 | — | 39,481,605 | ||||
U.S. Government Agency Obligations | — | 307,332,296 | — | 307,332,296 | ||||
U.S. Treasury Obligations | — | 411,789,957 | — | 411,789,957 | ||||
Municipal Bonds & Notes | — | 5,461,996 | — | 5,461,996 | ||||
Mortgage-Backed Securities | — | 13,163,346 | — | 13,163,346 | ||||
Short-Term Investments | 58,838,746 | — | — | 58,838,746 | ||||
TOTAL INVESTMENTS | $58,838,746 | $1,047,842,204 | $— | $1,106,680,950 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 12,039,221 | $12,039,221 | $148,487,785 | $139,026,799 | $— | $— | 21,500,207 | $21,500,207 | $169,043 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 113,890,174 | 76,551,635 | — | — | 37,338,539 | 37,338,539 | 26,813 | ||||||||
Total | $12,039,221 | $262,377,959 | $215,578,434 | $— | $— | $58,838,746 | $195,856 |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.7% | |||||
ARGENTINA — 0.1% | |||||
Banco Macro SA ADR | 4,500 | $327,825 | |||
Globant SA (a) | 2,800 | 282,940 | |||
Grupo Financiero Galicia SA ADR | 4,200 | 149,100 | |||
Pampa Energia SA ADR (a) | 6,200 | 214,954 | |||
YPF SA ADR | 7,100 | 129,291 | |||
1,104,110 | |||||
AUSTRALIA — 4.6% | |||||
AGL Energy, Ltd. | 68,080 | 955,980 | |||
Alumina, Ltd. | 267,843 | 437,944 | |||
AMP, Ltd. (b) | 335,655 | 499,357 | |||
APA Group | 128,919 | 977,064 | |||
Aristocrat Leisure, Ltd. | 52,686 | 1,135,792 | |||
ASX, Ltd. | 20,263 | 1,171,265 | |||
Aurizon Holdings, Ltd. | 210,058 | 796,004 | |||
AusNet Services | 176,787 | 232,613 | |||
Australia & New Zealand Banking Group, Ltd. | 273,217 | 5,408,704 | |||
Bank of Queensland, Ltd. (b) | 38,844 | 259,776 | |||
Bendigo & Adelaide Bank, Ltd. | 50,810 | 412,896 | |||
BHP Group PLC | 209,859 | 5,381,815 | |||
BHP Group, Ltd. | 290,936 | 8,403,404 | |||
BlueScope Steel, Ltd. | 56,379 | 476,746 | |||
Boral, Ltd. | 120,339 | 432,373 | |||
Brambles, Ltd. | 147,195 | 1,330,428 | |||
Caltex Australia, Ltd. | 27,007 | 469,066 | |||
Challenger, Ltd. | 62,335 | 290,457 | |||
CIMIC Group, Ltd. | 10,985 | 345,120 | |||
Coca-Cola Amatil, Ltd. | 53,493 | 383,646 | |||
Cochlear, Ltd. | 5,161 | 749,119 | |||
Coles Group, Ltd. (a) | 118,037 | 1,105,813 | |||
Commonwealth Bank of Australia | 173,824 | 10,097,586 | |||
Computershare, Ltd. | 46,891 | 533,402 | |||
Crown Resorts, Ltd. | 39,227 | 342,718 | |||
CSL, Ltd. | 43,391 | 6,546,671 | |||
Dexus REIT | 110,612 | 1,007,533 | |||
Domino's Pizza Enterprises, Ltd. (b) | 8,153 | 215,352 | |||
Flight Centre Travel Group, Ltd. | 6,470 | 188,650 | |||
Fortescue Metals Group, Ltd. | 123,746 | 783,286 | |||
Goodman Group REIT | 151,777 | 1,600,838 | |||
GPT Group REIT | 198,436 | 856,403 | |||
Harvey Norman Holdings, Ltd. (b) | 67,556 | 192,948 | |||
Incitec Pivot, Ltd. | 184,139 | 440,639 | |||
Insurance Australia Group, Ltd. | 213,015 | 1,234,732 | |||
LendLease Group | 61,502 | 561,067 | |||
Macquarie Group, Ltd. | 30,570 | 2,689,928 | |||
Medibank Pvt, Ltd. | 283,639 | 694,662 | |||
Mirvac Group REIT | 395,098 | 867,824 | |||
National Australia Bank, Ltd. | 265,289 | 4,974,370 | |||
Newcrest Mining, Ltd. | 71,144 | 1,595,113 | |||
Oil Search, Ltd. | 146,295 | 725,824 |
Security Description | Shares | Value | |||
Orica, Ltd. | 43,563 | $619,661 | |||
Origin Energy, Ltd. | 184,656 | 947,247 | |||
QBE Insurance Group, Ltd. | 121,822 | 1,011,330 | |||
Ramsay Health Care, Ltd. | 15,771 | 799,502 | |||
REA Group, Ltd. | 6,430 | 433,357 | |||
Santos, Ltd. | 189,850 | 943,249 | |||
Scentre Group REIT | 492,605 | 1,327,432 | |||
SEEK, Ltd. | 36,624 | 543,831 | |||
Sonic Healthcare, Ltd. | 45,254 | 860,614 | |||
South32, Ltd. (c) | 10,757 | 23,821 | |||
South32, Ltd. (c) | 453,240 | 1,011,434 | |||
Stockland REIT | 213,682 | 625,297 | |||
Suncorp Group, Ltd. | 119,506 | 1,129,639 | |||
Sydney Airport | 115,338 | 650,745 | |||
Tabcorp Holdings, Ltd. | 213,251 | 665,938 | |||
Telstra Corp., Ltd. | 435,178 | 1,175,737 | |||
TPG Telecom, Ltd. | 37,112 | 167,719 | |||
Transurban Group Stapled Security | 252,580 | 2,612,636 | |||
Treasury Wine Estates, Ltd. | 78,882 | 825,903 | |||
Vicinity Centres REIT | 347,876 | 598,099 | |||
Washington H Soul Pattinson & Co., Ltd. | 10,211 | 157,571 | |||
Wesfarmers, Ltd. | 107,396 | 2,725,203 | |||
Westpac Banking Corp. | 331,607 | 6,599,519 | |||
Woodside Petroleum, Ltd. | 88,161 | 2,249,483 | |||
Woolworths Group, Ltd. | 124,809 | 2,910,440 | |||
WorleyParsons, Ltd. (b) | 35,774 | 369,286 | |||
99,789,621 | |||||
AUSTRIA — 0.2% | |||||
ANDRITZ AG | 9,048 | 341,058 | |||
Erste Group Bank AG | 27,497 | 1,022,076 | |||
OMV AG | 16,290 | 794,913 | |||
Raiffeisen Bank International AG | 18,565 | 436,156 | |||
Verbund AG | 7,955 | 416,721 | |||
Voestalpine AG | 13,402 | 414,674 | |||
3,425,598 | |||||
BELGIUM — 0.6% | |||||
Ageas | 18,090 | 941,667 | |||
Anheuser-Busch InBev SA | 75,252 | 6,670,655 | |||
Colruyt SA | 4,762 | 276,571 | |||
Groupe Bruxelles Lambert SA | 7,988 | 784,867 | |||
KBC Group NV | 24,721 | 1,622,698 | |||
Proximus SADP | 18,436 | 544,188 | |||
Solvay SA | 7,338 | 761,279 | |||
Telenet Group Holding NV | 3,438 | 191,845 | |||
UCB SA | 12,517 | 1,039,428 | |||
Umicore SA (b) | 17,125 | 549,955 | |||
13,383,153 | |||||
BRAZIL — 2.0% | |||||
Ambev SA | 493,667 | 2,304,333 | |||
Atacadao SA | 39,400 | 226,162 | |||
B2W Cia Digital (a) | 17,400 | 148,547 |
Security Description | Shares | Value | |||
B3 SA - Brasil Bolsa Balcao | 215,501 | $2,106,289 | |||
Banco Bradesco SA Preference Shares | 383,007 | 3,771,459 | |||
Banco Bradesco SA | 126,651 | 1,105,365 | |||
Banco BTG Pactual SA | 3,300 | 43,809 | |||
Banco do Brasil SA | 90,000 | 1,266,643 | |||
Banco Santander Brasil SA | 44,000 | 521,895 | |||
BB Seguridade Participacoes SA | 82,900 | 700,378 | |||
BR Malls Participacoes SA | 100,382 | 375,321 | |||
Braskem SA Class A, Preference Shares (a) | 20,100 | 183,712 | |||
BRF SA (a) | 63,300 | 487,552 | |||
CCR SA | 132,600 | 472,601 | |||
Centrais Eletricas Brasileiras SA | 22,800 | 209,698 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 28,700 | 269,578 | |||
Cia Brasileira de Distribuicao Preference Shares | 16,500 | 407,608 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 38,300 | 472,373 | |||
Cia Energetica de Minas Gerais Preference Shares | 96,664 | 374,535 | |||
Cia Siderurgica Nacional SA | 77,800 | 339,201 | |||
Cielo SA | 152,339 | 267,104 | |||
Cosan SA | 20,400 | 245,642 | |||
Embraer SA | 72,500 | 367,168 | |||
Energisa SA | 1,900 | 22,844 | |||
Engie Brasil Energia SA | 24,466 | 277,494 | |||
Equatorial Energia SA | 17,700 | 423,952 | |||
Gerdau SA Preference Shares | 125,100 | 496,137 | |||
Hypera SA | 45,600 | 356,814 | |||
IRB Brasil Resseguros S/A | 14,700 | 377,793 | |||
Itau Unibanco Holding SA Preference Shares | 461,403 | 4,365,249 | |||
Itausa - Investimentos Itau SA Preference Shares | 462,265 | 1,554,693 | |||
JBS SA | 123,600 | 684,329 | |||
Klabin SA | 78,628 | 335,425 | |||
Kroton Educacional SA | 148,000 | 423,613 | |||
Localiza Rent a Car SA | 61,016 | 652,404 | |||
Lojas Americanas SA Preference Shares | 74,181 | 318,777 | |||
Lojas Renner SA | 80,971 | 996,332 | |||
M Dias Branco SA | 7,900 | 80,306 | |||
Magazine Luiza SA | 8,300 | 457,202 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 260,850 | |||
Natura Cosmeticos SA | 23,500 | 346,370 | |||
Notre Dame Intermedica Participacoes SA | 11,900 | 125,190 | |||
Petrobras Distribuidora SA | 46,800 | 305,272 | |||
Petroleo Brasileiro SA Preference Shares | 423,400 | 3,028,034 | |||
Petroleo Brasileiro SA | 279,500 | 2,189,240 | |||
Porto Seguro SA | 12,800 | 172,597 | |||
Raia Drogasil SA | 28,100 | 557,946 | |||
Rumo SA (a) | 114,187 | 617,613 |
Security Description | Shares | Value | |||
Sul America SA | 17,891 | $175,145 | |||
Suzano SA | 62,809 | 538,342 | |||
Telefonica Brasil SA Preference Shares | 52,485 | 683,477 | |||
TIM Participacoes SA | 97,800 | 296,770 | |||
Ultrapar Participacoes SA | 85,600 | 448,922 | |||
Vale SA | 301,706 | 4,079,268 | |||
WEG SA | 87,870 | 489,714 | |||
42,805,087 | |||||
CANADA — 6.6% | |||||
Agnico Eagle Mines, Ltd. | 21,300 | 1,094,381 | |||
Alimentation Couche-Tard, Inc. Class B | 43,300 | 2,730,708 | |||
AltaGas, Ltd. | 28,400 | 430,537 | |||
Atco, Ltd. Class I | 9,100 | 307,384 | |||
Aurora Cannabis, Inc. (a)(b) | 76,500 | 600,643 | |||
Bank of Montreal | 63,500 | 4,806,903 | |||
Bank of Nova Scotia | 121,500 | 6,540,126 | |||
Barrick Gold Corp. (c) | 118,600 | 1,875,999 | |||
Barrick Gold Corp. (c)(d) | 54,882 | 868,116 | |||
Bausch Health Cos., Inc. (a) | 33,800 | 854,603 | |||
BCE, Inc. | 16,479 | 751,344 | |||
BlackBerry, Ltd. (a) | 53,900 | 402,574 | |||
Bombardier, Inc. Class B (a)(b) | 231,300 | 389,409 | |||
Brookfield Asset Management, Inc. Class A | 83,550 | 4,005,669 | |||
CAE, Inc. | 28,400 | 765,230 | |||
Cameco Corp. | 45,200 | 485,638 | |||
Canadian Imperial Bank of Commerce (b) | 43,900 | 3,459,592 | |||
Canadian National Railway Co. | 71,700 | 6,650,117 | |||
Canadian Natural Resources, Ltd. | 119,100 | 3,218,229 | |||
Canadian Pacific Railway, Ltd. | 13,900 | 3,280,794 | |||
Canadian Tire Corp., Ltd. Class A | 6,800 | 742,471 | |||
Canadian Utilities, Ltd. Class A | 14,300 | 404,460 | |||
Canopy Growth Corp. (a)(b) | 22,000 | 890,101 | |||
CCL Industries, Inc. Class B | 16,300 | 801,061 | |||
Cenovus Energy, Inc. | 93,900 | 829,956 | |||
CGI, Inc. (a) | 24,300 | 1,872,220 | |||
CI Financial Corp. | 26,300 | 429,495 | |||
Constellation Software, Inc. | 1,900 | 1,794,586 | |||
Cronos Group, Inc. (a)(b) | 22,700 | 364,972 | |||
Dollarama, Inc. | 27,100 | 955,422 | |||
Emera, Inc. | 5,900 | 241,599 | |||
Empire Co., Ltd. Class A | 21,400 | 540,097 | |||
Enbridge, Inc. | 200,300 | 7,250,193 | |||
Encana Corp. (c) | 108,600 | 558,479 | |||
Encana Corp. (b)(c) | 50,100 | 257,013 | |||
Fairfax Financial Holdings, Ltd. | 2,600 | 1,278,880 | |||
First Capital Realty, Inc. | 20,100 | 336,243 | |||
First Quantum Minerals, Ltd. | 74,800 | 712,081 | |||
Fortis, Inc. | 39,900 | 1,578,901 | |||
Franco-Nevada Corp. | 18,500 | 1,573,580 | |||
George Weston, Ltd. | 6,627 | 503,941 |
Security Description | Shares | Value | |||
Gildan Activewear, Inc. | 22,900 | $888,136 | |||
Great-West Lifeco, Inc. | 24,400 | 562,969 | |||
H&R Real Estate Investment Trust | 18,600 | 325,100 | |||
Husky Energy, Inc. | 37,355 | 354,755 | |||
Hydro One, Ltd. (e) | 37,300 | 651,947 | |||
iA Financial Corp., Inc. | 11,900 | 485,744 | |||
IGM Financial, Inc. (b) | 8,500 | 243,210 | |||
Imperial Oil, Ltd. | 29,800 | 826,897 | |||
Intact Financial Corp. | 12,800 | 1,185,426 | |||
Inter Pipeline, Ltd. | 44,800 | 698,356 | |||
Keyera Corp. | 22,800 | 587,993 | |||
Kinross Gold Corp. (a) | 151,900 | 588,188 | |||
Kirkland Lake Gold, Ltd. | 21,200 | 915,327 | |||
Loblaw Cos., Ltd. | 16,700 | 856,885 | |||
Lundin Mining Corp. | 83,600 | 461,263 | |||
Magna International, Inc. | 29,400 | 1,466,007 | |||
Manulife Financial Corp. | 194,400 | 3,540,631 | |||
Methanex Corp. | 6,400 | 291,165 | |||
Metro, Inc. | 25,657 | 964,825 | |||
National Bank of Canada | 31,200 | 1,485,328 | |||
Nutrien, Ltd. (b) | 59,618 | 3,195,899 | |||
Onex Corp. | 7,200 | 435,223 | |||
Open Text Corp. | 24,500 | 1,013,185 | |||
Pembina Pipeline Corp. | 50,336 | 1,877,850 | |||
Power Corp. of Canada | 29,723 | 641,657 | |||
Power Financial Corp. (b) | 27,100 | 624,643 | |||
PrairieSky Royalty, Ltd. (b) | 26,894 | 378,687 | |||
Quebecor, Inc. Class B | 20,000 | 477,368 | |||
Restaurant Brands International, Inc. | 22,246 | 1,550,368 | |||
RioCan Real Estate Investment Trust | 15,400 | 306,291 | |||
Rogers Communications, Inc. Class B | 36,000 | 1,931,203 | |||
Royal Bank of Canada | 141,700 | 11,285,035 | |||
Saputo, Inc. | 25,300 | 758,952 | |||
Shaw Communications, Inc. Class B | 49,400 | 1,010,115 | |||
Shopify, Inc. Class A (a) | 9,500 | 2,861,305 | |||
SmartCentres Real Estate Investment Trust | 6,700 | 170,275 | |||
SNC-Lavalin Group, Inc. | 18,500 | 374,884 | |||
Stars Group, Inc. (a)(b) | 22,500 | 384,829 | |||
Sun Life Financial, Inc. | 59,100 | 2,452,644 | |||
Suncor Energy, Inc. | 157,064 | 4,909,940 | |||
TC Energy Corp. | 91,300 | 4,535,830 | |||
Teck Resources, Ltd. Class B | 45,800 | 1,059,174 | |||
TELUS Corp. | 21,300 | 789,082 | |||
Thomson Reuters Corp. | 18,530 | 1,197,945 | |||
Toronto-Dominion Bank | 180,800 | 10,587,194 | |||
Tourmaline Oil Corp. | 31,400 | 400,805 | |||
Vermilion Energy, Inc. (b) | 17,900 | 389,711 | |||
West Fraser Timber Co., Ltd. | 5,700 | 260,409 | |||
Wheaton Precious Metals Corp. | 46,900 | 1,136,654 |
Security Description | Shares | Value | |||
WSP Global, Inc. | 11,300 | $623,392 | |||
142,434,448 | |||||
CHILE — 0.2% | |||||
Aguas Andinas SA Class A | 220,856 | 130,116 | |||
Antofagasta PLC | 41,998 | 496,879 | |||
Banco de Chile | 2,221,425 | 326,858 | |||
Banco de Credito e Inversiones SA | 4,364 | 300,489 | |||
Banco Santander Chile | 6,282,882 | 467,318 | |||
Cencosud SA | 153,516 | 300,724 | |||
Cia Cervecerias Unidas SA | 13,362 | 187,946 | |||
Colbun SA | 622,750 | 128,412 | |||
Embotelladora Andina SA Class B, Preference Shares | 22,750 | 81,990 | |||
Empresa Nacional de Telecomunicaciones SA | 21,891 | 222,479 | |||
Empresas CMPC SA | 127,700 | 349,837 | |||
Empresas COPEC SA | 37,051 | 405,135 | |||
Enel Americas SA | 2,714,164 | 477,752 | |||
Enel Chile SA | 2,451,823 | 232,561 | |||
Itau CorpBanca | 13,434,953 | 111,960 | |||
Latam Airlines Group SA | 26,499 | 248,812 | |||
SACI Falabella | 73,961 | 482,024 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 12,495 | 387,392 | |||
5,338,684 | |||||
CHINA — 7.7% | |||||
3SBio, Inc. (a)(e) | 163,500 | 280,854 | |||
51job, Inc. ADR (a) | 3,500 | 264,250 | |||
58.com, Inc. ADR (a) | 11,000 | 683,870 | |||
AAC Technologies Holdings, Inc. | 74,500 | 422,922 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 117,961 | |||
Agile Group Holdings, Ltd. | 166,000 | 222,254 | |||
Agricultural Bank of China, Ltd. Class A | 405,600 | 212,449 | |||
Agricultural Bank of China, Ltd. Class H | 3,071,000 | 1,285,398 | |||
Air China, Ltd. Class H | 186,000 | 187,607 | |||
Alcon, Inc. (a) | 42,934 | 2,654,422 | |||
Alibaba Group Holding, Ltd. ADR (a) | 140,300 | 23,773,835 | |||
Alibaba Health Information Technology, Ltd. (a) | 385,500 | 369,093 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 462,000 | 163,807 | |||
Angang Steel Co., Ltd. Class H (b) | 195,000 | 88,858 | |||
Anhui Conch Cement Co., Ltd. Class H | 129,000 | 808,262 | |||
ANTA Sports Products, Ltd. | 116,000 | 796,595 | |||
Autohome, Inc. ADR (a)(b) | 6,900 | 590,778 | |||
AviChina Industry & Technology Co., Ltd. Class H | 188,000 | 102,753 |
Security Description | Shares | Value | |||
BAIC Motor Corp., Ltd. Class H (e) | 155,000 | $97,216 | |||
Baidu, Inc. ADR (a) | 27,400 | 3,215,664 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 161,401 | |||
Bank of China, Ltd. Class A | 500,000 | 272,079 | |||
Bank of China, Ltd. Class H | 7,839,000 | 3,311,194 | |||
Bank of Communications Co., Ltd. Class A | 200,000 | 178,088 | |||
Bank of Communications Co., Ltd. Class H | 969,000 | 735,510 | |||
Bank of Jiangsu Co., Ltd. Class A | 120,600 | 127,391 | |||
Baozun, Inc. ADR (a)(b) | 5,700 | 284,202 | |||
BBMG Corp. Class H | 322,000 | 103,452 | |||
BeiGene, Ltd. ADR (a) | 3,400 | 421,430 | |||
Beijing Capital International Airport Co., Ltd. Class H | 160,000 | 140,288 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 294,733 | |||
Beijing Enterprises Water Group, Ltd. | 662,000 | 393,175 | |||
BOC Hong Kong Holdings, Ltd. | 343,000 | 1,350,048 | |||
Brilliance China Automotive Holdings, Ltd. | 360,000 | 398,131 | |||
BYD Co., Ltd. Class H (b) | 65,000 | 392,288 | |||
BYD Electronic International Co., Ltd. | 72,000 | 102,851 | |||
CGN Power Co., Ltd. Class H (e) | 1,191,600 | 327,928 | |||
China Agri-Industries Holdings, Ltd. | 190,000 | 61,043 | |||
China Aoyuan Group, Ltd. | 128,000 | 179,896 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,059,592 | 244,130 | |||
China CITIC Bank Corp., Ltd. Class H | 929,000 | 529,158 | |||
China Coal Energy Co., Ltd. Class H (a) | 186,000 | 77,376 | |||
China Common Rich Renewable Energy Investment, Ltd. (a)(f) | 68,000 | — | |||
China Communications Construction Co., Ltd. Class H | 482,000 | 431,255 | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 193,920 | |||
China Conch Venture Holdings, Ltd. | 176,500 | 623,539 | |||
China Construction Bank Corp. Class H | 9,490,000 | 8,175,066 | |||
China Eastern Airlines Corp., Ltd. Class H (a) | 192,000 | 113,295 | |||
China Education Group Holdings, Ltd. (b) | 64,000 | 99,942 | |||
China Everbright Bank Co., Ltd. Class A | 176,700 | 97,952 | |||
China Everbright Bank Co., Ltd. Class H | 267,300 | 122,488 |
Security Description | Shares | Value | |||
China Everbright International, Ltd. | 361,518 | $333,638 | |||
China Evergrande Group (b) | 156,000 | 437,299 | |||
China Galaxy Securities Co., Ltd. Class H | 366,800 | 217,380 | |||
China Hongqiao Group, Ltd. | 206,000 | 145,288 | |||
China Huarong Asset Management Co., Ltd. Class H (e) | 1,024,000 | 178,258 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(f) | 66,000 | — | |||
China International Capital Corp., Ltd. Class H (b)(e) | 106,000 | 213,832 | |||
China Jinmao Holdings Group, Ltd. | 592,000 | 359,936 | |||
China Life Insurance Co., Ltd. Class H | 694,000 | 1,709,128 | |||
China Literature, Ltd. (a)(b)(e) | 26,200 | 123,413 | |||
China Longyuan Power Group Corp., Ltd. Class H | 379,000 | 243,045 | |||
China Medical System Holdings, Ltd. | 144,000 | 131,973 | |||
China Mengniu Dairy Co., Ltd. | 302,000 | 1,169,344 | |||
China Merchants Bank Co., Ltd. Class A | 62,700 | 328,233 | |||
China Merchants Bank Co., Ltd. Class H | 365,000 | 1,819,744 | |||
China Merchants Port Holdings Co., Ltd. | 148,776 | 252,895 | |||
China Minsheng Banking Corp., Ltd. Class A | 200,000 | 184,781 | |||
China Minsheng Banking Corp., Ltd. Class H | 680,600 | 471,302 | |||
China Molybdenum Co., Ltd. Class H (b) | 354,000 | 111,921 | |||
China National Building Material Co., Ltd. Class H | 396,000 | 347,213 | |||
China Oilfield Services, Ltd. Class H | 204,000 | 201,846 | |||
China Oriental Group Co., Ltd. | 192,000 | 112,312 | |||
China Overseas Land & Investment, Ltd. | 408,000 | 1,504,051 | |||
China Pacific Insurance Group Co., Ltd. Class H | 275,600 | 1,077,706 | |||
China Petroleum & Chemical Corp. Class H | 2,386,000 | 1,621,717 | |||
China Power International Development, Ltd. | 606,000 | 148,155 | |||
China Railway Construction Corp., Ltd. Class H | 221,000 | 270,999 | |||
China Railway Group, Ltd. Class H | 423,000 | 321,615 | |||
China Railway Signal & Communication Corp., Ltd. Class H (e) | 210,000 | 152,678 | |||
China Reinsurance Group Corp. Class H | 499,000 | 88,782 |
Security Description | Shares | Value | |||
China Resources Beer Holdings Co., Ltd. | 164,721 | $782,227 | |||
China Resources Gas Group, Ltd. | 102,000 | 505,920 | |||
China Resources Pharmaceutical Group, Ltd. (e) | 177,000 | 199,599 | |||
China Resources Power Holdings Co., Ltd. | 222,055 | 324,023 | |||
China Shenhua Energy Co., Ltd. Class H | 358,500 | 750,728 | |||
China Southern Airlines Co., Ltd. Class H | 192,000 | 133,693 | |||
China State Construction Engineering Corp., Ltd. Class A | 120,300 | 100,644 | |||
China Taiping Insurance Holdings Co., Ltd. (a) | 168,200 | 449,969 | |||
China Telecom Corp., Ltd. Class H | 1,464,000 | 736,451 | |||
China Tower Corp., Ltd. Class H (e) | 4,282,000 | 1,123,597 | |||
China Unicom Hong Kong, Ltd. | 646,000 | 708,636 | |||
China Vanke Co., Ltd. Class H | 133,300 | 499,928 | |||
China Yangtze Power Co., Ltd. Class A | 80,000 | 208,352 | |||
China Zhongwang Holdings, Ltd. | 231,200 | 116,599 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 257,000 | 139,808 | |||
CIFI Holdings Group Co., Ltd. | 440,000 | 290,048 | |||
CITIC Securities Co., Ltd. Class H (a) | 247,500 | 515,750 | |||
CITIC, Ltd. | 640,000 | 922,419 | |||
CNOOC, Ltd. | 1,692,000 | 2,893,455 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 116,000 | 68,598 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a)(b) | 227,000 | 88,621 | |||
COSCO SHIPPING Ports, Ltd. | 174,725 | 172,433 | |||
Country Garden Holdings Co., Ltd. | 806,000 | 1,225,636 | |||
Country Garden Services Holdings Co., Ltd. | 158,000 | 365,245 | |||
CRRC Corp., Ltd. Class H | 430,350 | 359,704 | |||
CSPC Pharmaceutical Group, Ltd. | 508,000 | 819,302 | |||
Ctrip.com International, Ltd. ADR (a) | 37,900 | 1,398,889 | |||
Dali Foods Group Co., Ltd. (e) | 276,000 | 183,352 | |||
Daqin Railway Co., Ltd. Class A | 180,000 | 211,873 | |||
Datang International Power Generation Co., Ltd. Class H | 428,000 | 107,377 | |||
Dongfeng Motor Group Co., Ltd. Class H | 308,000 | 252,314 | |||
ENN Energy Holdings, Ltd. | 84,500 | 822,016 | |||
Far East Horizon, Ltd. | 238,000 | 243,407 |
Security Description | Shares | Value | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 6,814 | $104,099 | |||
Fosun International, Ltd. | 260,500 | 346,111 | |||
Future Land Development Holdings, Ltd. | 208,000 | 273,695 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (e) | 52,800 | 163,891 | |||
GDS Holdings, Ltd. ADR (a)(b) | 8,100 | 304,317 | |||
Geely Automobile Holdings, Ltd. | 540,000 | 923,443 | |||
Genscript Biotech Corp. (a) | 94,000 | 236,068 | |||
GF Securities Co., Ltd. Class H | 178,200 | 211,901 | |||
GOME Retail Holdings, Ltd. (a)(b) | 972,000 | 104,509 | |||
Great Wall Motor Co., Ltd. Class H | 387,000 | 276,906 | |||
Greentown Service Group Co., Ltd. (b) | 134,000 | 108,229 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 302,800 | 323,245 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 98,800 | 189,949 | |||
Guotai Junan Securities Co., Ltd. Class H (e) | 63,200 | 112,607 | |||
Haitian International Holdings, Ltd. | 76,000 | 157,788 | |||
Haitong Securities Co., Ltd. Class H | 354,800 | 397,830 | |||
Hengan International Group Co., Ltd. | 78,500 | 577,258 | |||
HengTen Networks Group, Ltd. (a)(b) | 2,024,000 | 48,187 | |||
HLA Corp., Ltd. Class A | 79,800 | 105,309 | |||
Hua Hong Semiconductor, Ltd. (b)(e) | 47,000 | 90,962 | |||
Huadian Power International Corp., Ltd. Class H | 300,000 | 118,656 | |||
Huaneng Power International, Inc. Class H | 478,000 | 281,446 | |||
Huaneng Renewables Corp., Ltd. Class H (a) | 500,629 | 137,773 | |||
Huatai Securities Co., Ltd. Class H (b)(e) | 181,200 | 311,722 | |||
Huaxia Bank Co., Ltd. Class A | 91,800 | 102,846 | |||
Huazhu Group, Ltd. ADR (b) | 15,500 | 561,875 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 276,400 | 236,868 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,424,000 | 4,686,950 | |||
Industrial Bank Co., Ltd. Class A | 54,800 | 145,830 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 93,400 | 101,246 | |||
iQIYI, Inc. ADR (a)(b) | 16,100 | 332,465 | |||
JD.com, Inc. ADR (a)(b) | 68,800 | 2,083,952 | |||
Jiangsu Expressway Co., Ltd. Class H | 158,000 | 224,891 |
Security Description | Shares | Value | |||
Jiangxi Copper Co., Ltd. Class H | 121,000 | $161,075 | |||
Kaisa Group Holdings, Ltd. (b) | 292,000 | 144,271 | |||
Kingdee International Software Group Co., Ltd. (b) | 244,000 | 263,910 | |||
Kingsoft Corp., Ltd. (a) | 118,000 | 255,258 | |||
Kunlun Energy Co., Ltd. | 330,000 | 287,654 | |||
Kweichow Moutai Co., Ltd. Class A | 4,100 | 586,993 | |||
KWG Group Holdings, Ltd. | 134,000 | 136,015 | |||
Legend Holdings Corp. Class H (e) | 60,300 | 141,864 | |||
Lenovo Group, Ltd. | 778,000 | 602,483 | |||
Li Ning Co., Ltd. | 185,500 | 437,365 | |||
Logan Property Holdings Co., Ltd. | 158,000 | 255,631 | |||
Longfor Group Holdings, Ltd. | 162,000 | 610,675 | |||
Luye Pharma Group, Ltd. (b)(e) | 154,500 | 111,932 | |||
Maanshan Iron & Steel Co., Ltd. Class H (b) | 284,000 | 112,691 | |||
Meitu, Inc. (a)(b)(e) | 176,500 | 56,932 | |||
Meituan Dianping Class B (a) | 98,700 | 865,402 | |||
Metallurgical Corp. of China, Ltd. Class H | 400,000 | 107,008 | |||
MMG, Ltd. (a) | 212,000 | 74,081 | |||
Momo, Inc. ADR | 17,000 | 608,600 | |||
NetEase, Inc. ADR | 6,600 | 1,688,082 | |||
New China Life Insurance Co., Ltd. Class H | 95,100 | 462,566 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 13,100 | 1,265,198 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 104,509 | |||
NIO, Inc. ADR (a)(b) | 69,700 | 177,735 | |||
Noah Holdings, Ltd. ADR (a)(b) | 4,400 | 187,220 | |||
People's Insurance Co. Group of China, Ltd. Class H | 960,000 | 374,784 | |||
PetroChina Co., Ltd. Class A | 124,800 | 124,927 | |||
PetroChina Co., Ltd. Class H | 2,242,000 | 1,236,867 | |||
PICC Property & Casualty Co., Ltd. Class H | 727,700 | 785,217 | |||
Pinduoduo, Inc. ADR (a)(b) | 22,700 | 468,301 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 36,690 | 473,025 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 551,000 | 6,615,526 | |||
Postal Savings Bank of China Co., Ltd. Class H (e) | 812,000 | 482,263 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 109,448 | |||
Semiconductor Manufacturing International Corp. (a)(b) | 358,300 | 399,003 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 204,000 | 184,873 | |||
Shanghai Electric Group Co., Ltd. Class H | 358,000 | 129,682 |
Security Description | Shares | Value | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H (b) | 66,000 | $199,795 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 187,192 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 198,378 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 147,600 | 250,832 | |||
Shenzhen Investment, Ltd. | 352,000 | 129,761 | |||
Shenzhou International Group Holdings, Ltd. | 82,300 | 1,131,395 | |||
Shui On Land, Ltd. | 328,000 | 75,991 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 99,321 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 73,441 | |||
SINA Corp. (a) | 7,900 | 340,727 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 125,788 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 119,054 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 100,002 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 322,000 | 127,770 | |||
Sinopharm Group Co., Ltd. Class H | 122,000 | 429,440 | |||
Sinotrans, Ltd. Class H | 286,000 | 103,967 | |||
Sinotruk Hong Kong, Ltd. | 97,000 | 167,864 | |||
SOHO China, Ltd. | 353,000 | 124,708 | |||
Sunac China Holdings, Ltd. | 254,000 | 1,248,461 | |||
Sunny Optical Technology Group Co., Ltd. | 74,800 | 772,654 | |||
TAL Education Group ADR (a) | 32,700 | 1,245,870 | |||
Tencent Holdings, Ltd. | 563,700 | 25,441,359 | |||
Tencent Music Entertainment Group ADR (a)(b) | 13,000 | 194,870 | |||
Tingyi Cayman Islands Holding Corp. | 234,000 | 390,574 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 60,776 | |||
Towngas China Co., Ltd. (a) | 88,000 | 63,416 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 215,027 | |||
Tsingtao Brewery Co., Ltd. Class H | 38,000 | 241,984 | |||
Uni-President China Holdings, Ltd. | 138,000 | 153,677 | |||
Vipshop Holdings, Ltd. ADR (a) | 54,500 | 470,335 | |||
Want Want China Holdings, Ltd. | 574,000 | 466,547 | |||
Weibo Corp. ADR (a)(b) | 6,810 | 296,576 | |||
Weichai Power Co., Ltd. Class H | 239,000 | 403,814 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 17,800 | 92,872 | |||
Wuliangye Yibin Co., Ltd. Class A | 15,200 | 260,853 | |||
WuXi AppTec Co., Ltd. Class H (b)(e) | 16,240 | 142,392 |
Security Description | Shares | Value | |||
Wuxi Biologics Cayman, Inc. (a)(e) | 56,500 | $507,325 | |||
Xiaomi Corp. Class B (a)(b)(e) | 351,600 | 450,048 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 115,200 | 125,927 | |||
Xinyi Solar Holdings, Ltd. | 320,000 | 157,696 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 225,300 | 254,783 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 177,536 | |||
Yihai International Holding, Ltd. | 45,000 | 233,568 | |||
Yum China Holdings, Inc. | 33,300 | 1,538,460 | |||
Yuzhou Properties Co., Ltd. | 239,398 | 112,460 | |||
YY, Inc. ADR (a) | 5,900 | 411,171 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 95,000 | 106,400 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 181,192 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(e) | 23,300 | 63,973 | |||
Zhongsheng Group Holdings, Ltd. (b) | 60,000 | 167,040 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 61,000 | 321,299 | |||
Zijin Mining Group Co., Ltd. Class H | 684,000 | 277,540 | |||
ZTE Corp. Class H (a) | 73,400 | 211,862 | |||
ZTO Express Cayman, Inc. ADR | 37,500 | 717,000 | |||
165,915,847 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA ADR | 500 | 25,520 | |||
Bancolombia SA | 25,059 | 301,927 | |||
Bancolombia SA Preference Shares | 45,715 | 581,594 | |||
Cementos Argos SA | 35,710 | 83,513 | |||
Ecopetrol SA ADR | 700 | 12,803 | |||
Ecopetrol SA | 462,200 | 420,837 | |||
Grupo Argos SA | 22,062 | 119,012 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 302,656 | 121,270 | |||
Grupo de Inversiones Suramericana SA Preference Shares | 9,428 | 93,016 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 263,581 | |||
Interconexion Electrica SA ESP | 32,243 | 179,563 | |||
2,202,636 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S | 19,755 | 477,455 | |||
Komercni banka A/S | 9,580 | 382,036 | |||
Moneta Money Bank A/S (e) | 69,836 | 239,425 | |||
1,098,916 | |||||
DENMARK — 1.1% | |||||
AP Moller - Maersk A/S Class A | 414 | 481,337 | |||
AP Moller - Maersk A/S Class B | 578 | 718,046 |
Security Description | Shares | Value | |||
Carlsberg A/S Class B | 9,910 | $1,315,789 | |||
Chr. Hansen Holding A/S | 9,655 | 908,047 | |||
Coloplast A/S Class B | 10,952 | 1,239,578 | |||
Danske Bank A/S | 61,538 | 974,148 | |||
Demant A/S (a)(b) | 11,191 | 348,502 | |||
DSV A/S | 17,682 | 1,739,063 | |||
Genmab A/S (a) | 5,630 | 1,036,834 | |||
H Lundbeck A/S | 7,583 | 300,011 | |||
ISS A/S | 18,308 | 553,374 | |||
Novo Nordisk A/S Class B | 170,438 | 8,698,735 | |||
Novozymes A/S Class B | 19,958 | 932,125 | |||
Orsted A/S (e) | 18,729 | 1,621,999 | |||
Pandora A/S | 12,113 | 431,551 | |||
Tryg A/S | 14,303 | 465,710 | |||
Vestas Wind Systems A/S | 19,347 | 1,673,749 | |||
23,438,598 | |||||
EGYPT — 0.0% (g) | |||||
Commercial International Bank Egypt SAE | 137,796 | 602,522 | |||
Eastern Co SAE | 112,565 | 104,171 | |||
ElSewedy Electric Co. | 69,110 | 58,782 | |||
765,475 | |||||
FINLAND — 0.7% | |||||
Elisa Oyj | 15,948 | 779,314 | |||
Fortum Oyj | 40,275 | 891,390 | |||
Kone Oyj Class B | 31,753 | 1,876,721 | |||
Metso Oyj | 12,976 | 510,548 | |||
Neste Oyj | 42,342 | 1,438,858 | |||
Nokia Oyj (c) | 458,995 | 2,282,124 | |||
Nokia Oyj (c) | 74,340 | 370,931 | |||
Nokian Renkaat Oyj | 14,145 | 442,335 | |||
Nordea Bank Abp | 300,759 | 2,185,464 | |||
Orion Oyj Class B | 12,638 | 463,859 | |||
Sampo Oyj Class A | 41,539 | 1,963,142 | |||
Stora Enso Oyj Class R | 62,764 | 738,701 | |||
UPM-Kymmene Oyj | 49,340 | 1,313,123 | |||
Wartsila OYJ Abp | 39,085 | 567,725 | |||
15,824,235 | |||||
FRANCE — 7.1% | |||||
Accor SA | 20,080 | 863,233 | |||
Aeroports de Paris | 3,014 | 532,700 | |||
Air Liquide SA | 42,613 | 5,971,334 | |||
Airbus SE | 57,606 | 8,179,224 | |||
Alstom SA | 17,417 | 809,247 | |||
Amundi SA (e) | 6,238 | 436,176 | |||
Arkema SA | 7,265 | 676,597 | |||
Atos SE | 10,532 | 881,788 | |||
AXA SA | 192,830 | 5,072,642 | |||
BioMerieux | 4,871 | 404,106 | |||
BNP Paribas SA | 111,745 | 5,314,816 | |||
Bollore SA | 103,045 | 455,309 | |||
Bouygues SA | 23,569 | 874,191 | |||
Bureau Veritas SA | 28,810 | 712,608 | |||
Capgemini SE | 14,865 | 1,851,106 |
Security Description | Shares | Value | |||
Carrefour SA | 54,125 | $1,046,606 | |||
Casino Guichard Perrachon SA (b) | 6,350 | 216,941 | |||
Cie de Saint-Gobain | 46,001 | 1,795,529 | |||
Cie Generale des Etablissements Michelin SCA | 16,028 | 2,036,088 | |||
CNP Assurances | 17,239 | 391,850 | |||
Covivio REIT | 5,323 | 557,992 | |||
Credit Agricole SA | 105,769 | 1,270,143 | |||
Danone SA | 61,271 | 5,198,270 | |||
Dassault Aviation SA | 263 | 378,574 | |||
Dassault Systemes SE | 12,265 | 1,959,624 | |||
Edenred | 25,848 | 1,320,486 | |||
Eiffage SA | 8,448 | 836,414 | |||
Electricite de France SA | 64,119 | 809,413 | |||
Engie SA | 172,487 | 2,620,353 | |||
EssilorLuxottica SA | 26,748 | 3,495,358 | |||
Eurazeo SE | 5,311 | 370,753 | |||
Eutelsat Communications SA | 20,191 | 378,013 | |||
Faurecia SA | 7,635 | 354,832 | |||
Gecina SA REIT | 5,102 | 764,617 | |||
Getlink SE | 48,133 | 772,328 | |||
Hermes International | 2,976 | 2,149,348 | |||
ICADE REIT | 3,709 | 340,439 | |||
Iliad SA (b) | 2,932 | 329,756 | |||
Imerys SA | 4,689 | 248,943 | |||
Ingenico Group SA | 6,552 | 580,349 | |||
Ipsen SA | 3,981 | 544,028 | |||
JCDecaux SA | 7,931 | 240,608 | |||
Kering SA | 7,218 | 4,275,150 | |||
Klepierre SA REIT (b) | 20,838 | 699,570 | |||
Legrand SA | 24,953 | 1,827,180 | |||
L'Oreal SA | 24,973 | 7,124,035 | |||
LVMH Moet Hennessy Louis Vuitton SE | 27,423 | 11,689,136 | |||
Natixis SA | 99,754 | 402,030 | |||
Orange SA | 189,178 | 2,987,020 | |||
Pernod Ricard SA (b) | 20,212 | 3,729,975 | |||
Peugeot SA | 54,348 | 1,341,189 | |||
Publicis Groupe SA | 19,421 | 1,026,876 | |||
Remy Cointreau SA | 2,535 | 366,054 | |||
Renault SA | 20,016 | 1,260,293 | |||
Safran SA | 31,220 | 4,581,049 | |||
Sanofi | 110,930 | 9,589,492 | |||
Sartorius Stedim Biotech | 2,945 | 465,167 | |||
Schneider Electric SE | 52,477 | 4,766,524 | |||
SCOR SE | 16,986 | 745,892 | |||
SEB SA | 2,488 | 447,950 | |||
Societe BIC SA (b) | 2,422 | 184,936 | |||
Societe Generale SA | 80,199 | 2,029,367 | |||
Sodexo SA | 9,287 | 1,087,217 | |||
Suez | 38,516 | 556,609 | |||
Teleperformance | 5,287 | 1,060,872 | |||
Thales SA | 11,223 | 1,388,629 | |||
TOTAL SA | 234,578 | 13,163,201 | |||
Ubisoft Entertainment SA (a) | 8,582 | 672,786 |
Security Description | Shares | Value | |||
Unibail-Rodamco-Westfield | 34,100 | $245,758 | |||
Unibail-Rodamco-Westfield REIT (b) | 11,291 | 1,694,067 | |||
Valeo SA | 25,488 | 830,136 | |||
Veolia Environnement SA | 56,045 | 1,367,112 | |||
Vinci SA | 50,522 | 5,181,555 | |||
Vivendi SA | 86,210 | 2,376,841 | |||
Wendel SA | 2,944 | 401,980 | |||
Worldline SA (a)(e) | 6,940 | 505,810 | |||
154,114,190 | |||||
GERMANY — 5.6% | |||||
1&1 Drillisch AG | 5,551 | 185,346 | |||
adidas AG | 17,915 | 5,539,037 | |||
Allianz SE | 42,023 | 10,145,432 | |||
Axel Springer SE | 5,438 | 383,644 | |||
BASF SE | 90,316 | 6,574,293 | |||
Bayer AG | 92,572 | 6,424,358 | |||
Bayerische Motoren Werke AG | 32,784 | 2,430,098 | |||
Bayerische Motoren Werke AG Preference Shares | 6,432 | 399,932 | |||
Beiersdorf AG | 9,980 | 1,199,600 | |||
Brenntag AG | 16,590 | 818,243 | |||
Carl Zeiss Meditec AG | 4,538 | 448,313 | |||
Commerzbank AG | 89,142 | 641,473 | |||
Continental AG | 10,891 | 1,590,271 | |||
Covestro AG (e) | 15,543 | 791,384 | |||
Daimler AG | 90,410 | 5,037,266 | |||
Delivery Hero SE (a)(e) | 10,600 | 481,524 | |||
Deutsche Bank AG | 194,389 | 1,500,891 | |||
Deutsche Boerse AG | 18,813 | 2,665,177 | |||
Deutsche Lufthansa AG | 27,525 | 472,376 | |||
Deutsche Post AG | 97,948 | 3,223,599 | |||
Deutsche Telekom AG | 330,717 | 5,729,153 | |||
Deutsche Wohnen SE | 33,308 | 1,224,039 | |||
E.ON SE | 217,945 | 2,370,519 | |||
Evonik Industries AG | 16,655 | 485,738 | |||
Fraport AG Frankfurt Airport Services Worldwide | 4,505 | 387,850 | |||
Fresenius Medical Care AG & Co. KGaA | 21,337 | 1,677,574 | |||
Fresenius SE & Co. KGaA | 41,307 | 2,242,888 | |||
Fuchs Petrolub SE Preference Shares | 7,725 | 304,208 | |||
GEA Group AG | 17,601 | 501,101 | |||
Hannover Rueck SE | 5,970 | 966,766 | |||
HeidelbergCement AG | 14,733 | 1,193,919 | |||
Henkel AG & Co. KGaA Preference Shares | 17,639 | 1,727,910 | |||
Henkel AG & Co. KGaA | 9,381 | 862,659 | |||
HOCHTIEF AG | 2,491 | 303,816 | |||
HUGO BOSS AG | 6,469 | 430,964 | |||
Infineon Technologies AG | 123,755 | 2,191,496 | |||
Innogy SE (c)(e) | 3,873 | 183,921 | |||
Innogy SE (c) | 11,409 | 489,170 | |||
KION Group AG | 5,281 | 333,416 | |||
Knorr-Bremse AG | 5,233 | 584,016 |
Security Description | Shares | Value | |||
Lanxess AG | 9,138 | $543,836 | |||
Merck KGaA | 12,796 | 1,340,049 | |||
METRO AG | 20,150 | 368,870 | |||
MTU Aero Engines AG | 5,148 | 1,228,203 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 14,807 | 3,721,491 | |||
Porsche Automobil Holding SE Preference Shares | 15,941 | 1,037,298 | |||
Puma SE | 8,980 | 599,780 | |||
QIAGEN NV (a) | 20,806 | 845,635 | |||
RWE AG | 56,239 | 1,387,855 | |||
SAP SE | 97,314 | 13,382,771 | |||
Sartorius AG Preference Shares | 3,921 | 805,082 | |||
Siemens AG | 75,739 | 9,021,918 | |||
Siemens Healthineers AG (e) | 13,066 | 552,181 | |||
Symrise AG | 12,806 | 1,234,346 | |||
Telefonica Deutschland Holding AG | 77,839 | 217,796 | |||
ThyssenKrupp AG | 45,614 | 666,198 | |||
TUI AG | 50,351 | 494,967 | |||
Uniper SE | 22,637 | 686,495 | |||
United Internet AG | 12,875 | 424,613 | |||
Volkswagen AG | 3,328 | 572,848 | |||
Volkswagen AG Preference Shares | 18,376 | 3,101,740 | |||
Vonovia SE | 48,191 | 2,304,957 | |||
Wirecard AG | 11,622 | 1,959,462 | |||
Zalando SE (a)(e) | 13,563 | 602,685 | |||
122,244,456 | |||||
GREECE — 0.1% | |||||
Alpha Bank AE (a) | 126,379 | 253,300 | |||
Eurobank Ergasias SA (a) | 52,181 | 51,402 | |||
FF Group (a)(f) | 122 | 67 | |||
Hellenic Telecommunications Organization SA | 21,711 | 321,418 | |||
JUMBO SA | 9,840 | 190,499 | |||
Motor Oil Hellas Corinth Refineries SA | 5,457 | 139,825 | |||
OPAP SA | 26,292 | 294,922 | |||
Titan Cement Co. SA | 4,041 | 78,968 | |||
1,330,401 | |||||
HONG KONG — 3.0% | |||||
AIA Group, Ltd. | 1,185,800 | 12,787,667 | |||
Alibaba Pictures Group, Ltd. (a) | 1,680,000 | 361,267 | |||
ASM Pacific Technology, Ltd. | 31,000 | 317,440 | |||
Bank of East Asia, Ltd. | 126,340 | 353,348 | |||
China Ding Yi Feng Holdings, Ltd. (f) | 104,000 | 153,754 | |||
China Everbright, Ltd. | 90,000 | 132,941 | |||
China First Capital Group, Ltd. (a) | 390,000 | 116,314 | |||
China Gas Holdings, Ltd. | 190,400 | 707,983 | |||
China Mobile, Ltd. | 606,000 | 5,518,963 | |||
China Resources Cement Holdings, Ltd. | 276,000 | 267,433 |
Security Description | Shares | Value | |||
China Resources Land, Ltd. | 295,333 | $1,300,410 | |||
China State Construction International Holdings, Ltd. | 230,750 | 236,879 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 238,000 | 115,763 | |||
CK Asset Holdings, Ltd. | 242,024 | 1,894,370 | |||
CK Hutchison Holdings, Ltd. | 255,024 | 2,513,516 | |||
CK Infrastructure Holdings, Ltd. | 75,000 | 611,520 | |||
CLP Holdings, Ltd. | 154,000 | 1,699,174 | |||
Dairy Farm International Holdings, Ltd. | 37,500 | 268,125 | |||
Fullshare Holdings, Ltd. (a)(b) | 625,000 | 38,800 | |||
Galaxy Entertainment Group, Ltd. | 200,000 | 1,347,840 | |||
Guangdong Investment, Ltd. | 320,000 | 633,242 | |||
Haier Electronics Group Co., Ltd. (a) | 147,000 | 406,426 | |||
Hang Lung Properties, Ltd. | 216,000 | 513,700 | |||
Hang Seng Bank, Ltd. | 71,700 | 1,785,043 | |||
Henderson Land Development Co., Ltd. | 130,466 | 718,920 | |||
HK Electric Investments & HK Electric Investments, Ltd. | 246,664 | 252,584 | |||
HKT Trust & HKT, Ltd. | 425,000 | 674,560 | |||
Hong Kong & China Gas Co., Ltd. | 956,505 | 2,120,533 | |||
Hong Kong Exchanges & Clearing, Ltd. | 113,032 | 3,990,301 | |||
Hongkong Land Holdings, Ltd. | 127,300 | 819,812 | |||
Hutchison China MediTech, Ltd. ADR (a)(b) | 7,900 | 173,800 | |||
Hysan Development Co., Ltd. | 67,000 | 346,042 | |||
Jardine Matheson Holdings, Ltd. | 20,400 | 1,285,608 | |||
Jardine Strategic Holdings, Ltd. | 22,700 | 865,551 | |||
Kerry Properties, Ltd. | 75,500 | 316,979 | |||
Kingboard Holdings, Ltd. | 88,000 | 244,992 | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | 104,479 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 109,225 | |||
Link REIT | 199,500 | 2,451,456 | |||
Melco Resorts & Entertainment, Ltd. ADR | 25,230 | 547,996 | |||
MTR Corp., Ltd. | 157,881 | 1,062,981 | |||
New World Development Co., Ltd. | 630,324 | 985,927 | |||
Nine Dragons Paper Holdings, Ltd. | 191,000 | 169,425 | |||
NWS Holdings, Ltd. | 158,968 | 326,787 | |||
PCCW, Ltd. | 512,000 | 295,567 | |||
Power Assets Holdings, Ltd. | 142,500 | 1,025,088 | |||
Sands China, Ltd. | 256,000 | 1,223,885 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 114,921 | |||
Shangri-La Asia, Ltd. | 170,000 | 214,336 | |||
Shenzhen International Holdings, Ltd. | 118,746 | 235,592 |
Security Description | Shares | Value | |||
Shimao Property Holdings, Ltd. | 133,500 | $406,694 | |||
Sino Biopharmaceutical, Ltd. | 771,000 | 788,517 | |||
Sino Land Co., Ltd. | 336,965 | 565,023 | |||
SJM Holdings, Ltd. | 218,000 | 248,066 | |||
SSY Group, Ltd. | 204,000 | 184,351 | |||
Sun Art Retail Group, Ltd. | 251,500 | 238,221 | |||
Sun Hung Kai Properties, Ltd. | 150,500 | 2,552,480 | |||
Swire Pacific, Ltd. Class A | 52,500 | 645,120 | |||
Swire Properties, Ltd. | 126,400 | 510,454 | |||
Techtronic Industries Co., Ltd. | 149,000 | 1,140,506 | |||
Vitasoy International Holdings, Ltd. | 42,000 | 201,869 | |||
WH Group, Ltd. (e) | 900,000 | 912,384 | |||
Wharf Holdings, Ltd. | 130,000 | 344,448 | |||
Wharf Real Estate Investment Co., Ltd. | 128,000 | 901,939 | |||
Wheelock & Co., Ltd. | 84,000 | 602,112 | |||
Yue Yuen Industrial Holdings, Ltd. | 89,500 | 245,158 | |||
Yuexiu Property Co., Ltd. | 714,000 | 161,764 | |||
65,408,371 | |||||
HUNGARY — 0.1% | |||||
MOL Hungarian Oil & Gas PLC | 44,467 | 494,506 | |||
OTP Bank Nyrt | 20,247 | 807,210 | |||
Richter Gedeon Nyrt | 18,210 | 336,337 | |||
1,638,053 | |||||
INDIA — 2.2% | |||||
Adani Ports & Special Economic Zone, Ltd. | 52,116 | 309,702 | |||
Ambuja Cements, Ltd. | 52,062 | 160,574 | |||
Ashok Leyland, Ltd. | 96,463 | 122,208 | |||
Asian Paints, Ltd. | 30,695 | 604,295 | |||
Aurobindo Pharma, Ltd. | 23,836 | 209,949 | |||
Avenue Supermarts, Ltd. (a)(e) | 10,923 | 221,079 | |||
Axis Bank, Ltd. (a) | 178,851 | 2,098,071 | |||
Bajaj Auto, Ltd. | 8,686 | 356,412 | |||
Bajaj Finance, Ltd. | 16,741 | 893,783 | |||
Bajaj Finserv, Ltd. | 3,439 | 425,962 | |||
Bharat Forge, Ltd. | 16,336 | 106,272 | |||
Bharat Petroleum Corp., Ltd. | 52,710 | 298,953 | |||
Bharti Airtel, Ltd. | 194,415 | 976,194 | |||
Bharti Infratel, Ltd. | 17,640 | 68,053 | |||
Bosch, Ltd. | 698 | 165,441 | |||
Britannia Industries, Ltd. | 5,514 | 219,442 | |||
Cipla, Ltd. | 30,767 | 246,060 | |||
Coal India, Ltd. | 75,457 | 276,839 | |||
Container Corp. Of India, Ltd. | 18,212 | 149,859 | |||
Dabur India, Ltd. | 47,756 | 276,148 | |||
Divi's Laboratories, Ltd. | 7,572 | 175,184 | |||
Dr Reddy's Laboratories, Ltd. | 12,175 | 451,407 | |||
Eicher Motors, Ltd. | 1,262 | 349,746 | |||
GAIL India, Ltd. | 65,126 | 294,224 | |||
GAIL India, Ltd. GDR | 711 | 19,268 | |||
Glenmark Pharmaceuticals, Ltd. | 13,064 | 83,747 | |||
Godrej Consumer Products, Ltd. | 31,261 | 300,122 |
Security Description | Shares | Value | |||
Grasim Industries, Ltd. | 33,219 | $440,337 | |||
Havells India, Ltd. | 19,396 | 220,155 | |||
HCL Technologies, Ltd. | 54,123 | 835,632 | |||
Hero MotoCorp, Ltd. | 4,570 | 171,472 | |||
Hindalco Industries, Ltd. | 105,540 | 316,800 | |||
Hindustan Petroleum Corp., Ltd. | 57,590 | 241,156 | |||
Hindustan Unilever, Ltd. | 60,480 | 1,567,385 | |||
Housing Development Finance Corp., Ltd. | 156,216 | 4,966,142 | |||
ICICI Bank, Ltd. ADR | 3,933 | 49,516 | |||
ICICI Bank, Ltd. | 213,284 | 1,349,334 | |||
ICICI Lombard General Insurance Co., Ltd. (e) | 3,665 | 58,882 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 228,862 | |||
Indian Oil Corp., Ltd. | 207,419 | 468,009 | |||
Infosys, Ltd. ADR (b) | 14,600 | 156,220 | |||
Infosys, Ltd. | 317,619 | 3,366,801 | |||
InterGlobe Aviation, Ltd. (e) | 8,111 | 182,959 | |||
ITC, Ltd. | 343,637 | 1,363,048 | |||
JSW Steel, Ltd. | 84,590 | 339,022 | |||
Larsen & Toubro, Ltd., GDR | 3,180 | 71,073 | |||
Larsen & Toubro, Ltd. | 40,314 | 910,996 | |||
LIC Housing Finance, Ltd. | 27,542 | 223,041 | |||
Lupin, Ltd. | 24,227 | 264,285 | |||
Mahindra & Mahindra Financial Services, Ltd. | 27,266 | 152,609 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 30,709 | |||
Mahindra & Mahindra, Ltd. | 70,227 | 666,992 | |||
Marico, Ltd. | 54,288 | 290,954 | |||
Maruti Suzuki India, Ltd. | 10,676 | 1,011,341 | |||
Motherson Sumi Systems, Ltd. | 82,206 | 145,470 | |||
Nestle India, Ltd. | 2,089 | 360,920 | |||
NTPC, Ltd. | 214,683 | 438,836 | |||
Oil & Natural Gas Corp., Ltd. | 182,146 | 443,309 | |||
Page Industries, Ltd. | 490 | 147,311 | |||
Petronet LNG, Ltd. | 45,619 | 162,544 | |||
Pidilite Industries, Ltd. | 10,715 | 188,757 | |||
Piramal Enterprises, Ltd. | 7,347 | 207,018 | |||
Power Grid Corp. of India, Ltd. | 200,042 | 596,699 | |||
REC, Ltd. | 54,149 | 129,514 | |||
Reliance Industries, Ltd., GDR (e) | 6,884 | 248,857 | |||
Reliance Industries, Ltd. | 259,002 | 4,705,205 | |||
Shree Cement, Ltd. | 1,029 | 323,484 | |||
Shriram Transport Finance Co., Ltd. | 13,935 | 218,026 | |||
State Bank of India (a) | 182,304 | 958,167 | |||
State Bank of India GDR (a) | 1,020 | 52,836 | |||
Sun Pharmaceutical Industries, Ltd. | 77,071 | 448,118 | |||
Tata Consultancy Services, Ltd. | 85,102 | 2,746,836 | |||
Tata Motors, Ltd. ADR (a)(b) | 1,078 | 12,591 | |||
Tata Motors, Ltd. (a) | 143,863 | 338,569 | |||
Tata Power Co., Ltd. | 115,538 | 115,492 | |||
Tata Steel, Ltd. | 25,361 | 185,466 | |||
Tata Steel, Ltd. GDR | 1,300 | 9,360 |
Security Description | Shares | Value | |||
Tech Mahindra, Ltd. | 47,752 | $489,401 | |||
Titan Co., Ltd. | 34,026 | 656,268 | |||
UltraTech Cement, Ltd. | 10,458 | 688,892 | |||
United Spirits, Ltd. (a) | 25,960 | 219,952 | |||
UPL, Ltd. | 39,083 | 532,789 | |||
Vedanta, Ltd. | 114,419 | 288,917 | |||
Vedanta, Ltd. ADR (b) | 1,433 | 14,574 | |||
Vodafone Idea, Ltd. (a) | 693,861 | 121,629 | |||
Wipro, Ltd. ADR | 7,834 | 33,921 | |||
Wipro, Ltd. | 93,853 | 381,857 | |||
Yes Bank, Ltd. | 163,001 | 256,211 | |||
Zee Entertainment Enterprises, Ltd. | 51,854 | 253,119 | |||
46,923,641 | |||||
INDONESIA — 0.5% | |||||
Adaro Energy Tbk PT | 1,258,000 | 121,103 | |||
Astra International Tbk PT | 2,015,000 | 1,062,591 | |||
Bank Central Asia Tbk PT | 923,700 | 1,959,859 | |||
Bank Mandiri Persero Tbk PT | 1,961,000 | 1,113,929 | |||
Bank Negara Indonesia Persero Tbk PT | 651,900 | 424,525 | |||
Bank Rakyat Indonesia Persero Tbk PT | 5,528,600 | 1,706,225 | |||
Bank Tabungan Negara Persero Tbk PT | 370,200 | 64,462 | |||
Bukit Asam Tbk PT | 469,600 | 98,391 | |||
Bumi Serpong Damai Tbk PT (a) | 1,332,000 | 144,726 | |||
Charoen Pokphand Indonesia Tbk PT | 817,700 | 273,772 | |||
Gudang Garam Tbk PT | 43,700 | 237,794 | |||
Hanjaya Mandala Sampoerna Tbk PT | 833,400 | 185,233 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 239,400 | 158,866 | |||
Indocement Tunggal Prakarsa Tbk PT | 222,400 | 314,847 | |||
Indofood CBP Sukses Makmur Tbk PT | 220,400 | 158,348 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 203,627 | |||
Jasa Marga Persero Tbk PT | 410,075 | 166,178 | |||
Kalbe Farma Tbk PT | 1,941,600 | 200,654 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 118,562 | |||
Pakuwon Jati Tbk PT | 1,357,000 | 70,119 | |||
Perusahaan Gas Negara Tbk PT | 1,274,900 | 190,412 | |||
Semen Indonesia Persero Tbk PT | 331,000 | 271,196 | |||
Surya Citra Media Tbk PT | 511,200 | 58,257 | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,006,800 | 1,467,220 | |||
Unilever Indonesia Tbk PT | 144,200 | 459,317 | |||
United Tractors Tbk PT | 146,700 | 292,829 | |||
11,523,042 |
Security Description | Shares | Value | |||
IRELAND — 0.4% | |||||
AerCap Holdings NV (a) | 14,123 | $734,537 | |||
AIB Group PLC | 83,592 | 342,320 | |||
Bank of Ireland Group PLC | 92,401 | 483,620 | |||
CRH PLC | 79,344 | 2,592,342 | |||
DCC PLC | 8,826 | 788,546 | |||
Flutter Entertainment PLC | 8,664 | 652,575 | |||
James Hardie Industries PLC | 49,906 | 654,902 | |||
Kerry Group PLC Class A | 14,990 | 1,792,415 | |||
Kingspan Group PLC | 14,517 | 789,567 | |||
Smurfit Kappa Group PLC | 23,145 | 701,374 | |||
9,532,198 | |||||
ISRAEL — 0.4% | |||||
Azrieli Group, Ltd. | 5,161 | 345,846 | |||
Bank Hapoalim BM | 116,227 | 862,280 | |||
Bank Leumi Le-Israel BM | 135,708 | 980,174 | |||
Check Point Software Technologies, Ltd. (a) | 11,610 | 1,342,232 | |||
CyberArk Software, Ltd. (a) | 2,383 | 304,643 | |||
Elbit Systems, Ltd. | 2,985 | 444,417 | |||
Israel Chemicals, Ltd. | 87,022 | 456,026 | |||
Israel Discount Bank, Ltd. Class A | 68,991 | 281,841 | |||
Mizrahi Tefahot Bank, Ltd. | 16,345 | 377,032 | |||
Nice, Ltd. (a) | 5,568 | 757,325 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a) | 58,353 | 538,598 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 44,182 | 405,084 | |||
Wix.com, Ltd. (a) | 5,200 | 738,920 | |||
7,834,418 | |||||
ITALY — 1.3% | |||||
Assicurazioni Generali SpA | 102,747 | 1,937,658 | |||
Atlantia SpA | 51,853 | 1,352,841 | |||
Davide Campari-Milano SpA | 63,379 | 621,797 | |||
Enel SpA | 777,433 | 5,435,994 | |||
Eni SpA | 242,276 | 4,029,854 | |||
Ferrari NV | 11,405 | 1,854,689 | |||
FinecoBank Banca Fineco SpA | 35,611 | 397,833 | |||
Intesa Sanpaolo SpA | 1,411,980 | 3,026,187 | |||
Leonardo SpA | 40,572 | 514,937 | |||
Mediobanca Banca di Credito Finanziario SpA | 67,200 | 693,797 | |||
Moncler SpA | 19,250 | 824,264 | |||
Pirelli & C SpA (e) | 44,955 | 266,110 | |||
Poste Italiane SpA (e) | 58,699 | 618,998 | |||
Prysmian SpA (b) | 26,064 | 538,723 | |||
Recordati SpA | 11,833 | 494,009 | |||
Snam SpA | 190,222 | 946,867 | |||
Telecom Italia SpA (a)(c) | 763,643 | 417,600 | |||
Telecom Italia SpA (c) | 579,163 | 300,821 | |||
Terna Rete Elettrica Nazionale SpA | 150,890 | 962,268 | |||
UniCredit SpA | 189,062 | 2,330,880 | |||
27,566,127 |
Security Description | Shares | Value | |||
JAPAN — 15.1% | |||||
ABC-Mart, Inc. | 2,900 | $188,955 | |||
Acom Co., Ltd. (b) | 36,100 | 130,006 | |||
Advantest Corp. | 19,800 | 544,895 | |||
Aeon Co., Ltd. | 64,700 | 1,111,562 | |||
AEON Financial Service Co., Ltd. | 10,500 | 169,088 | |||
Aeon Mall Co., Ltd. | 8,700 | 130,976 | |||
AGC, Inc. | 19,000 | 656,905 | |||
Air Water, Inc. | 17,200 | 294,383 | |||
Aisin Seiki Co., Ltd. | 16,600 | 571,617 | |||
Ajinomoto Co., Inc. | 39,200 | 679,651 | |||
Alfresa Holdings Corp. | 20,500 | 505,745 | |||
Alps Alpine Co., Ltd. | 22,700 | 382,617 | |||
Amada Holdings Co., Ltd. | 40,500 | 455,973 | |||
ANA Holdings, Inc. | 12,400 | 410,648 | |||
Aozora Bank, Ltd. | 11,600 | 278,426 | |||
Asahi Group Holdings, Ltd. | 33,800 | 1,519,965 | |||
Asahi Intecc Co., Ltd. | 22,200 | 546,861 | |||
Asahi Kasei Corp. | 116,600 | 1,242,947 | |||
Astellas Pharma, Inc. | 177,700 | 2,531,738 | |||
Bandai Namco Holdings, Inc. | 21,400 | 1,038,816 | |||
Bank of Kyoto, Ltd. | 5,500 | 212,618 | |||
Benesse Holdings, Inc. | 6,600 | 153,637 | |||
Bridgestone Corp. (b) | 53,700 | 2,114,307 | |||
Brother Industries, Ltd. | 25,800 | 487,312 | |||
Calbee, Inc. | 9,600 | 259,113 | |||
Canon, Inc. (b) | 94,700 | 2,765,233 | |||
Casio Computer Co., Ltd. | 25,500 | 316,679 | |||
Central Japan Railway Co. | 13,700 | 2,744,069 | |||
Chiba Bank, Ltd. | 76,000 | 371,041 | |||
Chubu Electric Power Co., Inc. | 62,400 | 875,419 | |||
Chugai Pharmaceutical Co., Ltd. (b) | 20,800 | 1,359,124 | |||
Chugoku Electric Power Co., Inc. | 32,000 | 403,341 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (b) | 13,200 | 334,349 | |||
Concordia Financial Group, Ltd. | 106,900 | 397,874 | |||
Credit Saison Co., Ltd. | 18,700 | 218,867 | |||
CyberAgent, Inc. | 10,600 | 384,193 | |||
Dai Nippon Printing Co., Ltd. | 26,400 | 562,599 | |||
Daicel Corp. | 24,500 | 217,849 | |||
Daifuku Co., Ltd. | 10,100 | 567,152 | |||
Dai-ichi Life Holdings, Inc. | 100,300 | 1,512,785 | |||
Daiichi Sankyo Co., Ltd. | 53,700 | 2,808,609 | |||
Daikin Industries, Ltd. | 23,600 | 3,080,880 | |||
Daito Trust Construction Co., Ltd. | 7,700 | 981,618 | |||
Daiwa House Industry Co., Ltd. | 52,900 | 1,542,221 | |||
Daiwa House REIT Investment Corp. | 194 | 468,344 | |||
Daiwa Securities Group, Inc. | 170,400 | 746,666 | |||
Denso Corp. | 40,400 | 1,699,770 | |||
Dentsu, Inc. (b) | 23,100 | 806,163 | |||
Disco Corp. | 3,000 | 492,296 | |||
East Japan Railway Co. | 28,900 | 2,703,843 |
Security Description | Shares | Value | |||
Eisai Co., Ltd. | 23,400 | $1,322,901 | |||
Electric Power Development Co., Ltd. | 17,100 | 388,535 | |||
FamilyMart UNY Holdings Co., Ltd. | 26,800 | 639,777 | |||
FANUC Corp. | 18,400 | 3,403,676 | |||
Fast Retailing Co., Ltd. | 5,800 | 3,506,163 | |||
Fuji Electric Co., Ltd. | 12,500 | 431,014 | |||
FUJIFILM Holdings Corp. | 33,600 | 1,703,701 | |||
Fujitsu, Ltd. | 20,500 | 1,429,330 | |||
Fukuoka Financial Group, Inc. | 18,400 | 335,927 | |||
GMO Payment Gateway, Inc. | 1,700 | 116,920 | |||
Hakuhodo DY Holdings, Inc. | 25,000 | 420,921 | |||
Hamamatsu Photonics KK | 14,400 | 560,683 | |||
Hankyu Hanshin Holdings, Inc. | 24,200 | 867,013 | |||
Hikari Tsushin, Inc. | 2,200 | 479,655 | |||
Hino Motors, Ltd. | 29,300 | 246,660 | |||
Hirose Electric Co., Ltd. | 3,300 | 368,164 | |||
Hisamitsu Pharmaceutical Co., Inc. | 5,400 | 213,263 | |||
Hitachi Chemical Co., Ltd. | 13,900 | 377,496 | |||
Hitachi Construction Machinery Co., Ltd. | 13,000 | 338,092 | |||
Hitachi High-Technologies Corp. | 8,000 | 411,361 | |||
Hitachi Metals, Ltd. | 24,700 | 279,004 | |||
Hitachi, Ltd. | 91,700 | 3,361,085 | |||
Honda Motor Co., Ltd. | 155,400 | 4,016,976 | |||
Hoshizaki Corp. | 4,500 | 334,973 | |||
Hoya Corp. | 36,100 | 2,765,634 | |||
Hulic Co., Ltd. (b) | 34,600 | 278,110 | |||
Idemitsu Kosan Co., Ltd. | 21,877 | 657,894 | |||
IHI Corp. | 15,900 | 383,259 | |||
Iida Group Holdings Co., Ltd. | 19,200 | 310,080 | |||
Inpex Corp. | 106,900 | 963,727 | |||
Isetan Mitsukoshi Holdings, Ltd. | 40,400 | 327,730 | |||
Isuzu Motors, Ltd. | 59,300 | 675,340 | |||
ITOCHU Corp. | 127,100 | 2,430,755 | |||
Itochu Techno-Solutions Corp. | 9,500 | 243,540 | |||
J Front Retailing Co., Ltd. | 21,300 | 244,157 | |||
Japan Airlines Co., Ltd. | 12,500 | 399,457 | |||
Japan Airport Terminal Co., Ltd. | 5,500 | 234,569 | |||
Japan Exchange Group, Inc. | 54,600 | 867,600 | |||
Japan Post Bank Co., Ltd. | 42,700 | 433,579 | |||
Japan Post Holdings Co., Ltd. | 147,000 | 1,664,563 | |||
Japan Prime Realty Investment Corp. REIT (b) | 98 | 424,782 | |||
Japan Real Estate Investment Corp. REIT | 142 | 864,600 | |||
Japan Retail Fund Investment Corp. REIT | 279 | 564,526 | |||
Japan Tobacco, Inc. (b) | 116,100 | 2,564,135 | |||
JFE Holdings, Inc. (b) | 51,300 | 753,501 | |||
JGC Corp. | 20,200 | 277,108 | |||
JSR Corp. | 18,200 | 287,342 | |||
JTEKT Corp. | 23,200 | 281,225 | |||
JXTG Holdings, Inc. | 298,500 | 1,480,587 |
Security Description | Shares | Value | |||
Kajima Corp. | 48,500 | $665,333 | |||
Kakaku.com, Inc. | 13,300 | 256,766 | |||
Kamigumi Co., Ltd. | 10,700 | 253,249 | |||
Kaneka Corp. | 5,200 | 195,471 | |||
Kansai Electric Power Co., Inc. | 75,100 | 860,506 | |||
Kansai Paint Co., Ltd. | 20,900 | 438,213 | |||
Kao Corp. (b) | 46,500 | 3,543,391 | |||
Kawasaki Heavy Industries, Ltd. | 15,500 | 364,410 | |||
KDDI Corp. | 175,500 | 4,468,946 | |||
Keihan Holdings Co., Ltd. | 11,300 | 492,422 | |||
Keikyu Corp. | 24,400 | 420,104 | |||
Keio Corp. | 9,100 | 598,840 | |||
Keisei Electric Railway Co., Ltd. | 14,800 | 539,168 | |||
Keyence Corp. | 9,000 | 5,524,132 | |||
Kikkoman Corp. | 14,800 | 644,255 | |||
Kintetsu Group Holdings Co., Ltd. | 17,800 | 852,497 | |||
Kirin Holdings Co., Ltd. (b) | 76,800 | 1,656,254 | |||
Kobayashi Pharmaceutical Co., Ltd. (b) | 5,800 | 415,055 | |||
Kobe Steel, Ltd. | 35,800 | 234,258 | |||
Koito Manufacturing Co., Ltd. | 11,700 | 624,420 | |||
Komatsu, Ltd. | 86,700 | 2,092,259 | |||
Konami Holdings Corp. | 10,100 | 473,408 | |||
Konica Minolta, Inc. | 50,300 | 489,741 | |||
Kose Corp. | 3,100 | 519,928 | |||
Kubota Corp. | 106,900 | 1,779,021 | |||
Kuraray Co., Ltd. | 34,200 | 408,533 | |||
Kurita Water Industries, Ltd. | 13,100 | 325,251 | |||
Kyocera Corp. | 30,100 | 1,965,412 | |||
Kyowa Hakko Kirin Co., Ltd. (b) | 26,900 | 484,120 | |||
Kyushu Electric Power Co., Inc. | 45,300 | 444,843 | |||
Kyushu Railway Co. | 16,700 | 486,709 | |||
Lawson, Inc. | 5,600 | 268,721 | |||
LINE Corp. (a)(b) | 3,900 | 109,138 | |||
Lion Corp. | 23,500 | 437,762 | |||
LIXIL Group Corp. | 27,800 | 439,681 | |||
M3, Inc. | 37,800 | 690,813 | |||
Makita Corp. | 24,600 | 835,678 | |||
Marubeni Corp. | 166,800 | 1,103,846 | |||
Marui Group Co., Ltd. | 23,400 | 476,514 | |||
Maruichi Steel Tube, Ltd. | 5,100 | 141,677 | |||
Mazda Motor Corp. | 63,500 | 662,760 | |||
McDonald's Holdings Co. Japan, Ltd. (b) | 6,300 | 277,752 | |||
Mebuki Financial Group, Inc. | 86,200 | 224,821 | |||
Medipal Holdings Corp. | 18,600 | 410,705 | |||
MEIJI Holdings Co., Ltd. | 10,300 | 736,124 | |||
Mercari, Inc. (a)(b) | 7,400 | 196,298 | |||
MINEBEA MITSUMI, Inc. | 40,600 | 687,720 | |||
MISUMI Group, Inc. | 29,700 | 744,843 | |||
Mitsubishi Chemical Holdings Corp. | 115,000 | 803,314 | |||
Mitsubishi Corp. | 128,500 | 3,387,228 | |||
Mitsubishi Electric Corp. | 171,800 | 2,262,708 | |||
Mitsubishi Estate Co., Ltd. | 111,300 | 2,071,250 |
Security Description | Shares | Value | |||
Mitsubishi Gas Chemical Co., Inc. | 16,900 | $225,250 | |||
Mitsubishi Heavy Industries, Ltd. | 29,600 | 1,288,784 | |||
Mitsubishi Materials Corp. | 11,800 | 335,688 | |||
Mitsubishi Motors Corp. | 64,600 | 309,389 | |||
Mitsubishi Tanabe Pharma Corp. | 25,300 | 281,789 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,218,000 | 5,788,157 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 40,900 | 216,762 | |||
Mitsui & Co., Ltd. | 156,200 | 2,542,926 | |||
Mitsui Chemicals, Inc. | 18,500 | 457,950 | |||
Mitsui Fudosan Co., Ltd. | 83,900 | 2,034,423 | |||
Mitsui OSK Lines, Ltd. | 10,800 | 258,522 | |||
Mizuho Financial Group, Inc. | 2,291,900 | 3,320,638 | |||
MonotaRO Co., Ltd. (b) | 11,900 | 290,045 | |||
MS&AD Insurance Group Holdings, Inc. | 44,000 | 1,396,696 | |||
Murata Manufacturing Co., Ltd. | 57,000 | 2,560,609 | |||
Nabtesco Corp. (b) | 13,500 | 375,153 | |||
Nagoya Railroad Co., Ltd. | 15,500 | 428,861 | |||
NEC Corp. | 22,300 | 877,594 | |||
Nexon Co., Ltd. (a) | 46,700 | 677,050 | |||
NGK Insulators, Ltd. | 28,500 | 415,570 | |||
NGK Spark Plug Co., Ltd. | 20,000 | 375,348 | |||
NH Foods, Ltd. | 10,400 | 445,480 | |||
Nidec Corp. | 21,200 | 2,897,438 | |||
Nikon Corp. | 33,600 | 475,278 | |||
Nintendo Co., Ltd. | 10,800 | 3,958,530 | |||
Nippon Building Fund, Inc. REIT | 144 | 986,375 | |||
Nippon Electric Glass Co., Ltd. (b) | 7,500 | 189,971 | |||
Nippon Express Co., Ltd. | 8,100 | 430,787 | |||
Nippon Paint Holdings Co., Ltd. (b) | 16,500 | 640,152 | |||
Nippon Prologis REIT, Inc. | 204 | 471,279 | |||
Nippon Steel Corp. | 74,700 | 1,281,978 | |||
Nippon Telegraph & Telephone Corp. | 60,900 | 2,835,858 | |||
Nippon Yusen KK | 17,500 | 280,838 | |||
Nissan Chemical Corp. | 10,900 | 491,178 | |||
Nissan Motor Co., Ltd. | 215,900 | 1,546,208 | |||
Nisshin Seifun Group, Inc. | 22,000 | 502,116 | |||
Nissin Foods Holdings Co., Ltd. | 6,700 | 431,576 | |||
Nitori Holdings Co., Ltd. | 8,300 | 1,100,093 | |||
Nitto Denko Corp. | 17,300 | 853,760 | |||
Nomura Holdings, Inc. | 303,000 | 1,066,996 | |||
Nomura Real Estate Holdings, Inc. | 11,300 | 242,907 | |||
Nomura Real Estate Master Fund, Inc. REIT | 407 | 625,950 | |||
Nomura Research Institute, Ltd. | 35,700 | 572,247 | |||
NSK, Ltd. | 38,700 | 344,830 | |||
NTT Data Corp. | 65,900 | 877,729 | |||
NTT DOCOMO, Inc. | 126,500 | 2,949,984 |
Security Description | Shares | Value | |||
Obayashi Corp. | 72,500 | $713,964 | |||
Obic Co., Ltd. | 6,600 | 747,355 | |||
Odakyu Electric Railway Co., Ltd. | 31,800 | 778,324 | |||
Oji Holdings Corp. | 87,000 | 502,265 | |||
Olympus Corp. | 107,800 | 1,196,666 | |||
Omron Corp. | 20,100 | 1,048,469 | |||
Ono Pharmaceutical Co., Ltd. | 39,100 | 701,143 | |||
Oracle Corp. Japan | 4,000 | 292,185 | |||
Oriental Land Co., Ltd. | 18,900 | 2,340,134 | |||
ORIX Corp. | 124,000 | 1,850,678 | |||
Osaka Gas Co., Ltd. | 41,500 | 722,995 | |||
Otsuka Corp. | 11,300 | 454,664 | |||
Otsuka Holdings Co., Ltd. | 36,100 | 1,178,092 | |||
Pan Pacific International Holdings Corp. | 9,800 | 622,164 | |||
Panasonic Corp. | 206,200 | 1,717,887 | |||
Park24 Co., Ltd. | 10,500 | 244,519 | |||
PeptiDream, Inc. (a) | 9,200 | 470,503 | |||
Persol Holdings Co., Ltd. | 17,000 | 399,360 | |||
Pigeon Corp. (b) | 12,200 | 490,876 | |||
Pola Orbis Holdings, Inc. | 9,700 | 270,995 | |||
Rakuten, Inc. | 89,400 | 1,062,112 | |||
Recruit Holdings Co., Ltd. | 113,000 | 3,769,464 | |||
Renesas Electronics Corp. (a) | 87,100 | 432,509 | |||
Resona Holdings, Inc. | 216,200 | 900,198 | |||
Ricoh Co., Ltd. | 69,700 | 696,094 | |||
Rinnai Corp. | 3,900 | 247,958 | |||
Rohm Co., Ltd. | 10,200 | 685,428 | |||
Ryohin Keikaku Co., Ltd. | 2,700 | 487,674 | |||
Sankyo Co., Ltd. | 3,800 | 137,553 | |||
Santen Pharmaceutical Co., Ltd. | 37,600 | 622,944 | |||
SBI Holdings, Inc. | 27,000 | 668,359 | |||
Secom Co., Ltd. | 19,600 | 1,687,121 | |||
Sega Sammy Holdings, Inc. | 18,200 | 221,123 | |||
Seibu Holdings, Inc. | 23,900 | 398,407 | |||
Seiko Epson Corp. | 29,600 | 468,424 | |||
Sekisui Chemical Co., Ltd. | 39,000 | 585,688 | |||
Sekisui House, Ltd. | 66,500 | 1,095,886 | |||
Seven & i Holdings Co., Ltd. | 71,200 | 2,410,781 | |||
Seven Bank, Ltd. | 72,000 | 188,454 | |||
SG Holdings Co., Ltd. | 11,600 | 328,921 | |||
Sharp Corp. (b) | 24,800 | 272,077 | |||
Shimadzu Corp. | 24,100 | 590,980 | |||
Shimamura Co., Ltd. | 2,300 | 171,849 | |||
Shimano, Inc. | 6,800 | 1,011,732 | |||
Shimizu Corp. | 62,900 | 522,513 | |||
Shin-Etsu Chemical Co., Ltd. | 34,500 | 3,213,361 | |||
Shinsei Bank, Ltd. | 14,900 | 231,369 | |||
Shionogi & Co., Ltd. | 25,000 | 1,440,737 | |||
Shiseido Co., Ltd. | 37,900 | 2,856,747 | |||
Shizuoka Bank, Ltd. | 53,000 | 390,588 | |||
Showa Denko KK (b) | 15,500 | 456,052 | |||
SMC Corp. | 5,400 | 2,013,347 | |||
Softbank Corp. (b) | 157,600 | 2,047,162 | |||
SoftBank Group Corp. | 163,400 | 7,833,312 |
Security Description | Shares | Value | |||
Sohgo Security Services Co., Ltd. | 9,100 | $419,779 | |||
Sompo Holdings, Inc. | 34,000 | 1,313,106 | |||
Sony Corp. | 125,800 | 6,594,750 | |||
Sony Financial Holdings, Inc. | 18,700 | 449,189 | |||
Stanley Electric Co., Ltd. | 16,400 | 403,074 | |||
Subaru Corp. | 57,000 | 1,385,586 | |||
SUMCO Corp. (b) | 23,600 | 280,817 | |||
Sumitomo Chemical Co., Ltd. | 157,300 | 729,998 | |||
Sumitomo Corp. | 121,300 | 1,837,964 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 19,600 | 371,661 | |||
Sumitomo Electric Industries, Ltd. | 80,600 | 1,058,184 | |||
Sumitomo Heavy Industries, Ltd. | 12,900 | 443,610 | |||
Sumitomo Metal Mining Co., Ltd. | 25,600 | 764,864 | |||
Sumitomo Mitsui Financial Group, Inc. | 131,600 | 4,648,873 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 30,500 | 1,105,745 | |||
Sumitomo Realty & Development Co., Ltd. | 30,700 | 1,096,469 | |||
Sumitomo Rubber Industries, Ltd. (b) | 21,500 | 248,645 | |||
Sundrug Co., Ltd. | 8,300 | 224,641 | |||
Suntory Beverage & Food, Ltd. | 14,400 | 626,174 | |||
Suzuken Co., Ltd. | 8,500 | 498,608 | |||
Suzuki Motor Corp. | 36,400 | 1,710,874 | |||
Sysmex Corp. | 15,400 | 1,004,416 | |||
T&D Holdings, Inc. | 61,900 | 671,914 | |||
Taiheiyo Cement Corp. | 12,400 | 375,200 | |||
Taisei Corp. | 18,000 | 654,075 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,800 | 291,684 | |||
Taiyo Nippon Sanso Corp. | 15,200 | 322,792 | |||
Takeda Pharmaceutical Co., Ltd. | 147,238 | 5,224,530 | |||
TDK Corp. | 13,500 | 1,045,016 | |||
Teijin, Ltd. | 18,900 | 322,251 | |||
Terumo Corp. | 64,200 | 1,912,771 | |||
THK Co., Ltd. (b) | 13,900 | 332,212 | |||
Tobu Railway Co., Ltd. | 19,900 | 579,970 | |||
Toho Co., Ltd. | 12,900 | 548,376 | |||
Toho Gas Co., Ltd. | 8,500 | 312,813 | |||
Tohoku Electric Power Co., Inc. | 45,200 | 456,867 | |||
Tokio Marine Holdings, Inc. | 61,500 | 3,081,850 | |||
Tokyo Century Corp. | 3,700 | 156,084 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 163,600 | 853,380 | |||
Tokyo Electron, Ltd. | 14,700 | 2,062,966 | |||
Tokyo Gas Co., Ltd. | 41,300 | 972,700 | |||
Tokyu Corp. | 51,000 | 904,594 | |||
Tokyu Fudosan Holdings Corp. | 67,200 | 371,116 | |||
Toppan Printing Co., Ltd. | 27,000 | 409,736 | |||
Toray Industries, Inc. | 142,600 | 1,084,258 | |||
Toshiba Corp. | 52,000 | 1,619,269 |
Security Description | Shares | Value | |||
Tosoh Corp. | 27,200 | $382,476 | |||
TOTO, Ltd. | 15,300 | 604,246 | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | 329,412 | |||
Toyo Suisan Kaisha, Ltd. | 10,500 | 432,708 | |||
Toyoda Gosei Co., Ltd. | 5,300 | 103,353 | |||
Toyota Industries Corp. | 15,300 | 842,111 | |||
Toyota Motor Corp. | 224,300 | 13,923,505 | |||
Toyota Tsusho Corp. | 22,200 | 672,758 | |||
Trend Micro, Inc. | 12,500 | 557,476 | |||
Tsuruha Holdings, Inc. | 3,600 | 332,801 | |||
Unicharm Corp. | 37,100 | 1,117,063 | |||
United Urban Investment Corp. REIT | 312 | 522,992 | |||
USS Co., Ltd. | 25,500 | 502,474 | |||
Welcia Holdings Co., Ltd. | 4,500 | 183,149 | |||
West Japan Railway Co. | 15,100 | 1,221,567 | |||
Yahoo! Japan Corp. | 308,000 | 903,360 | |||
Yakult Honsha Co., Ltd. | 12,200 | 719,046 | |||
Yamada Denki Co., Ltd. | 59,400 | 262,983 | |||
Yamaha Corp. | 13,700 | 651,049 | |||
Yamaha Motor Co., Ltd. (b) | 29,200 | 519,009 | |||
Yamato Holdings Co., Ltd. | 34,300 | 697,525 | |||
Yamazaki Baking Co., Ltd. | 16,800 | 254,011 | |||
Yaskawa Electric Corp. | 26,400 | 896,826 | |||
Yokogawa Electric Corp. | 24,800 | 486,148 | |||
Yokohama Rubber Co., Ltd. (b) | 10,800 | 198,478 | |||
ZOZO, Inc. | 24,900 | 466,615 | |||
327,810,599 | |||||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal | 70,741 | 1,267,690 | |||
Aroundtown SA | 82,021 | 676,817 | |||
Eurofins Scientific SE (b) | 1,283 | 568,360 | |||
Millicom International Cellular SA SDR | 7,354 | 414,139 | |||
Reinet Investments SCA | 15,345 | 247,218 | |||
RTL Group SA | 4,051 | 207,782 | |||
SES SA | 39,229 | 614,268 | |||
Tenaris SA | 51,067 | 669,365 | |||
4,665,639 | |||||
MACAU — 0.0% (g) | |||||
MGM China Holdings, Ltd. | 85,200 | 144,826 | |||
Wynn Macau, Ltd. | 172,000 | 385,280 | |||
530,106 | |||||
MALAYSIA — 0.5% | |||||
AirAsia Group Bhd | 140,400 | 92,751 | |||
Alliance Bank Malaysia Bhd | 140,600 | 127,926 | |||
AMMB Holdings Bhd | 132,400 | 135,524 | |||
Axiata Group Bhd | 284,572 | 342,932 | |||
British American Tobacco Malaysia Bhd | 23,500 | 163,775 | |||
CIMB Group Holdings Bhd | 514,589 | 669,931 | |||
Dialog Group Bhd | 417,600 | 329,432 | |||
DiGi.Com Bhd | 316,000 | 386,158 |
Security Description | Shares | Value | |||
Fraser & Neave Holdings Bhd | 17,600 | $147,188 | |||
Gamuda Bhd | 128,616 | 117,023 | |||
Genting Bhd | 190,200 | 311,592 | |||
Genting Malaysia Bhd | 259,500 | 203,456 | |||
Genting Plantations Bhd | 900 | 2,178 | |||
HAP Seng Consolidated Bhd | 66,200 | 159,393 | |||
Hartalega Holdings Bhd | 138,200 | 175,237 | |||
Hong Leong Bank Bhd | 61,432 | 282,446 | |||
Hong Leong Financial Group Bhd | 20,700 | 92,868 | |||
IHH Healthcare Bhd | 233,600 | 327,860 | |||
IJM Corp. Bhd | 331,300 | 192,407 | |||
IOI Corp. Bhd | 149,800 | 154,059 | |||
Kuala Lumpur Kepong Bhd | 43,300 | 257,338 | |||
Malayan Banking Bhd | 404,464 | 869,120 | |||
Malaysia Airports Holdings Bhd | 66,124 | 136,488 | |||
Maxis Bhd | 221,600 | 298,684 | |||
MISC Bhd | 86,500 | 149,661 | |||
Nestle Malaysia Bhd | 6,300 | 227,303 | |||
Petronas Chemicals Group Bhd | 247,800 | 503,695 | |||
Petronas Dagangan Bhd | 22,600 | 138,909 | |||
Petronas Gas Bhd | 77,000 | 323,465 | |||
PPB Group Bhd | 44,280 | 200,372 | |||
Press Metal Aluminium Holdings Bhd | 136,100 | 144,910 | |||
Public Bank Bhd | 303,500 | 1,689,171 | |||
QL Resources Bhd | 61,700 | 102,124 | |||
RHB Capital Bhd | 128,959 | 174,442 | |||
Sime Darby Bhd | 142,535 | 77,950 | |||
Sime Darby Plantation Bhd | 208,035 | 247,679 | |||
Sime Darby Property Bhd | 142,535 | 35,526 | |||
SP Setia Bhd Group | 134,214 | 70,152 | |||
Telekom Malaysia Bhd | 91,003 | 88,085 | |||
Tenaga Nasional Bhd | 313,600 | 1,050,266 | |||
Top Glove Corp. Bhd | 123,600 | 146,854 | |||
Westports Holdings Bhd | 92,500 | 88,191 | |||
YTL Corp. Bhd | 529,608 | 143,536 | |||
11,578,057 | |||||
MEXICO — 0.7% | |||||
Alfa SAB de CV Class A | 337,100 | 330,228 | |||
Alsea SAB de CV (a) | 82,300 | 162,358 | |||
America Movil SAB de CV Series L | 3,172,700 | 2,310,373 | |||
Arca Continental SAB de CV | 54,500 | 294,462 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B | 224,400 | 343,988 | |||
Cemex SAB de CV Series CPO | 1,325,364 | 559,489 | |||
Coca-Cola Femsa SAB de CV | 62,500 | 386,810 | |||
El Puerto de Liverpool SAB de CV Series C1 | 24,300 | 135,428 | |||
Fibra Uno Administracion SA de CV REIT | 384,300 | 509,289 | |||
Fomento Economico Mexicano SAB de CV | 182,100 | 1,760,180 |
Security Description | Shares | Value | |||
Fresnillo PLC | 22,113 | $244,902 | |||
Gruma SAB de CV Class B | 24,445 | 229,733 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 45,200 | 470,265 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 22,990 | 372,739 | |||
Grupo Bimbo SAB de CV Class A (b) | 192,600 | 401,107 | |||
Grupo Carso SAB de CV Series A1 (b) | 60,000 | 223,739 | |||
Grupo Financiero Banorte SAB de CV Series O | 240,600 | 1,396,137 | |||
Grupo Financiero Inbursa SAB de CV Series O (b) | 269,400 | 389,411 | |||
Grupo Mexico SAB de CV Class B | 315,300 | 838,977 | |||
Grupo Televisa SAB Series CPO | 266,300 | 449,109 | |||
Industrias Penoles SAB de CV | 19,770 | 254,528 | |||
Infraestructura Energetica Nova SAB de CV | 67,400 | 264,981 | |||
Kimberly-Clark de Mexico SAB de CV Class A (a)(b) | 173,700 | 322,325 | |||
Megacable Holdings SAB de CV | 45,900 | 195,435 | |||
Mexichem SAB de CV | 127,557 | 268,305 | |||
Promotora y Operadora de Infraestructura SAB de CV | 26,395 | 262,526 | |||
Wal-Mart de Mexico SAB de CV | 486,300 | 1,326,136 | |||
14,702,960 | |||||
NETHERLANDS — 3.0% | |||||
ABN AMRO Bank NV (e) | 45,202 | 968,522 | |||
Adyen NV (a)(e) | 1,092 | 843,887 | |||
Aegon NV | 202,258 | 1,008,391 | |||
Akzo Nobel NV | 21,339 | 2,008,223 | |||
ASML Holding NV | 42,105 | 8,810,184 | |||
EXOR NV | 11,716 | 821,879 | |||
Heineken Holding NV | 10,570 | 1,111,026 | |||
Heineken NV | 24,531 | 2,741,630 | |||
ING Groep NV | 387,543 | 4,499,843 | |||
Koninklijke Ahold Delhaize NV | 111,913 | 2,520,638 | |||
Koninklijke DSM NV | 17,322 | 2,144,249 | |||
Koninklijke KPN NV | 367,584 | 1,130,233 | |||
Koninklijke Philips NV | 88,116 | 3,831,732 | |||
Koninklijke Vopak NV | 8,161 | 376,862 | |||
NN Group NV | 29,234 | 1,178,526 | |||
NXP Semiconductors NV | 27,954 | 2,728,590 | |||
Randstad NV | 13,067 | 718,738 | |||
Royal Dutch Shell PLC Class A | 438,360 | 14,352,000 | |||
Royal Dutch Shell PLC Class B | 369,639 | 12,142,047 | |||
Wolters Kluwer NV | 26,216 | 1,911,304 | |||
65,848,504 | |||||
NEW ZEALAND — 0.2% | |||||
a2 Milk Co., Ltd. (a) | 71,421 | 703,719 | |||
Auckland International Airport, Ltd. | 95,081 | 629,032 |
Security Description | Shares | Value | |||
Fisher & Paykel Healthcare Corp., Ltd. | 57,800 | $600,178 | |||
Fletcher Building, Ltd. | 93,438 | 304,374 | |||
Meridian Energy, Ltd. | 118,222 | 377,168 | |||
Ryman Healthcare, Ltd. | 36,039 | 284,416 | |||
Spark New Zealand, Ltd. | 195,380 | 524,908 | |||
3,423,795 | |||||
NORWAY — 0.4% | |||||
Aker BP ASA | 13,254 | 380,238 | |||
DNB ASA | 89,783 | 1,671,180 | |||
Equinor ASA | 93,909 | 1,855,369 | |||
Gjensidige Forsikring ASA | 24,595 | 495,589 | |||
Mowi ASA | 39,995 | 935,604 | |||
Norsk Hydro ASA | 151,972 | 543,645 | |||
Orkla ASA | 67,196 | 596,454 | |||
Schibsted ASA Class B | 11,462 | 298,984 | |||
Telenor ASA | 68,336 | 1,451,510 | |||
Yara International ASA | 15,852 | 769,355 | |||
8,997,928 | |||||
PAKISTAN — 0.0% (g) | |||||
Habib Bank, Ltd. | 53,000 | 37,576 | |||
MCB Bank, Ltd. | 39,200 | 42,807 | |||
Oil & Gas Development Co., Ltd. | 90,100 | 74,161 | |||
154,544 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR | 22,600 | 376,742 | |||
Credicorp, Ltd. | 7,500 | 1,716,825 | |||
Southern Copper Corp. | 10,700 | 415,695 | |||
2,509,262 | |||||
PHILIPPINES — 0.3% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 193,463 | |||
Aboitiz Power Corp. | 208,000 | 141,278 | |||
Alliance Global Group, Inc. | 450,900 | 135,882 | |||
Ayala Corp. | 25,640 | 447,393 | |||
Ayala Land, Inc. | 766,400 | 759,893 | |||
Bank of the Philippine Islands | �� | 68,567 | 105,055 | ||
BDO Unibank, Inc. | 185,783 | 507,653 | |||
DMCI Holdings, Inc. | 360,130 | 72,399 | |||
Globe Telecom, Inc. | 2,995 | 132,228 | |||
GT Capital Holdings, Inc. | 11,674 | 214,181 | |||
International Container Terminal Services, Inc. | 76,460 | 218,479 | |||
JG Summit Holdings, Inc. | 250,410 | 329,416 | |||
Jollibee Foods Corp. | 33,510 | 184,310 | |||
Manila Electric Co. | 24,040 | 181,584 | |||
Megaworld Corp. | 1,020,000 | 121,440 | |||
Metro Pacific Investments Corp. | 974,000 | 91,250 | |||
Metropolitan Bank & Trust Co. | 187,829 | 261,205 | |||
PLDT, Inc. | 6,380 | 160,636 | |||
Robinsons Land Corp. | 196,244 | 100,928 | |||
Security Bank Corp. | 5,920 | 19,643 | |||
SM Investments Corp. | 25,175 | 476,131 |
Security Description | Shares | Value | |||
SM Prime Holdings, Inc. | 1,055,600 | $764,375 | |||
Universal Robina Corp. | 80,890 | 262,081 | |||
5,880,903 | |||||
POLAND — 0.3% | |||||
Alior Bank SA (a) | 13,668 | 182,597 | |||
Bank Millennium SA (a) | 64,815 | 162,681 | |||
Bank Polska Kasa Opieki SA | 20,293 | 608,376 | |||
CCC SA | 4,227 | 191,106 | |||
CD Projekt SA | 6,706 | 387,161 | |||
Cyfrowy Polsat SA | 36,562 | 291,774 | |||
Dino Polska SA (a)(e) | 7,708 | 270,561 | |||
Grupa Lotos SA | 12,650 | 287,315 | |||
Jastrzebska Spolka Weglowa SA (a) | 9,529 | 120,607 | |||
KGHM Polska Miedz SA (a) | 14,475 | 401,738 | |||
LPP SA | 144 | 295,012 | |||
mBank SA | 2,124 | 244,911 | |||
Orange Polska SA (a) | 106,622 | 191,132 | |||
PGE Polska Grupa Energetyczna SA (a) | 113,583 | 292,151 | |||
Polski Koncern Naftowy ORLEN SA | 30,746 | 741,855 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 222,495 | 316,810 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 91,922 | 1,055,481 | |||
Powszechny Zaklad Ubezpieczen SA | 52,889 | 619,204 | |||
Santander Bank Polska SA | 3,603 | 358,252 | |||
7,018,724 | |||||
PORTUGAL — 0.1% | |||||
EDP - Energias de Portugal SA | 267,277 | 1,017,222 | |||
Galp Energia SGPS SA | 52,343 | 806,201 | |||
Jeronimo Martins SGPS SA | 26,225 | 423,038 | |||
2,246,461 | |||||
QATAR — 0.2% | |||||
Barwa Real Estate Co. | 23,060 | 216,588 | |||
Commercial Bank PQSC | 165,450 | 208,559 | |||
Industries Qatar QSC | 185,130 | 584,688 | |||
Masraf Al Rayan QSC | 321,190 | 336,075 | |||
Mesaieed Petrochemical Holding Co. | 175,000 | 125,438 | |||
Ooredoo QSC | 5,832 | 104,764 | |||
Qatar Electricity & Water Co. QSC | 43,520 | 199,119 | |||
Qatar Fuel QSC | 14,890 | 87,756 | |||
Qatar Insurance Co. SAQ | 9,737 | 93,753 | |||
Qatar Islamic Bank SAQ | 104,670 | 477,465 | |||
Qatar National Bank QPSC | 471,730 | 2,465,368 | |||
4,899,573 | |||||
ROMANIA — 0.0% (g) | |||||
NEPI Rockcastle PLC | 42,448 | 389,554 | |||
RUSSIA — 1.1% | |||||
Alrosa PJSC | 223,022 | 304,576 |
Security Description | Shares | Value | |||
Evraz PLC | 57,109 | $483,485 | |||
Gazprom PJSC ADR | 28,845 | 211,318 | |||
Gazprom PJSC | 1,052,680 | 3,888,616 | |||
Inter RAO UES PJSC | 2,290,000 | 164,248 | |||
LUKOIL PJSC ADR | 5,171 | 436,536 | |||
LUKOIL PJSC | 33,997 | 2,869,331 | |||
Magnit PJSC GDR | 34,998 | 510,096 | |||
Magnitogorsk Iron & Steel Works PJSC | 226,900 | 162,328 | |||
MMC Norilsk Nickel PJSC | 6,245 | 1,415,830 | |||
Mobile TeleSystems PJSC ADR | 26,400 | 245,784 | |||
Mobile TeleSystems PJSC | 31,200 | 141,198 | |||
Moscow Exchange MICEX-RTS PJSC (a) | 132,585 | 189,350 | |||
Novatek PJSC GDR | 9,494 | 2,012,728 | |||
Novolipetsk Steel PJSC | 113,250 | 286,918 | |||
PhosAgro PJSC GDR | 11,644 | 152,769 | |||
Polymetal International PLC | 17,213 | 218,369 | |||
Polyus PJSC (a) | 2,617 | 241,494 | |||
Rosneft Oil Co. PJSC | 120,780 | 792,562 | |||
Sberbank of Russia PJSC | 1,125,000 | 4,252,080 | |||
Severstal PJSC | 18,520 | 314,583 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 543,508 | |||
Surgutneftegas PJSC | 888,900 | 370,358 | |||
Tatneft PJSC ADR (b) | 2,143 | 157,189 | |||
Tatneft PJSC | 129,220 | 1,590,589 | |||
Transneft PJSC Preference Shares | 30 | 78,716 | |||
VTB Bank PJSC | 437,390,000 | 277,305 | |||
X5 Retail Group NV GDR | 11,583 | 397,181 | |||
22,709,045 | |||||
SAUDI ARABIA — 0.2% | |||||
Al Rajhi Bank | 50,000 | 927,938 | |||
Alinma Bank | 12,000 | 77,947 | |||
Almarai Co. JSC | 1,000 | 14,052 | |||
Banque Saudi Fransi | 11,000 | 124,365 | |||
National Commercial Bank | 47,000 | 694,300 | |||
Riyad Bank | 36,000 | 257,263 | |||
Samba Financial Group | 31,000 | 292,621 | |||
Saudi Arabian Mining Co. (a) | 8,000 | 103,673 | |||
Saudi Basic Industries Corp. | 36,822 | 1,121,278 | |||
Saudi Electricity Co. | 4,000 | 19,945 | |||
Saudi Telecom Co. | 13,000 | 361,203 | |||
Yanbu National Petrochemical Co. | 1,000 | 16,799 | |||
4,011,384 | |||||
SINGAPORE — 0.9% | |||||
Ascendas Real Estate Investment Trust | 275,475 | 635,265 | |||
BOC Aviation, Ltd. (e) | 24,300 | 204,042 | |||
CapitaLand Commercial Trust REIT | 290,090 | 465,276 | |||
CapitaLand Mall Trust REIT | 254,800 | 495,306 | |||
CapitaLand, Ltd. | 286,300 | 746,989 |
Security Description | Shares | Value | |||
City Developments, Ltd. | 39,900 | $279,281 | |||
ComfortDelGro Corp., Ltd. | 237,700 | 467,336 | |||
DBS Group Holdings, Ltd. | 170,348 | 3,268,587 | |||
Genting Singapore, Ltd. | 660,400 | 449,069 | |||
Golden Agri-Resources, Ltd. | 606,500 | 130,001 | |||
Jardine Cycle & Carriage, Ltd. | 11,711 | 313,603 | |||
Keppel Corp., Ltd. | 162,300 | 798,934 | |||
Oversea-Chinese Banking Corp., Ltd. | 308,669 | 2,600,855 | |||
SATS, Ltd. | 81,900 | 315,990 | |||
Sembcorp Industries, Ltd. | 92,900 | 165,482 | |||
Singapore Airlines, Ltd. | 58,600 | 401,509 | |||
Singapore Exchange, Ltd. | 85,100 | 498,165 | |||
Singapore Press Holdings, Ltd. | 178,700 | 322,279 | |||
Singapore Technologies Engineering, Ltd. | 168,400 | 515,301 | |||
Singapore Telecommunications, Ltd. | 764,000 | 1,976,422 | |||
Suntec Real Estate Investment Trust | 238,200 | 341,556 | |||
United Overseas Bank, Ltd. | 118,593 | 2,290,428 | |||
UOL Group, Ltd. | 49,233 | 274,740 | |||
Venture Corp., Ltd. | 30,500 | 367,231 | |||
Wilmar International, Ltd. | 212,700 | 581,684 | |||
18,905,331 | |||||
SOUTH AFRICA — 1.5% | |||||
Absa Group, Ltd. | 75,245 | 939,145 | |||
Anglo American Platinum, Ltd. | 5,854 | 347,444 | |||
AngloGold Ashanti, Ltd. | 43,902 | 790,820 | |||
Aspen Pharmacare Holdings, Ltd. | 37,164 | 264,737 | |||
Bid Corp., Ltd. | 35,180 | 765,883 | |||
Bidvest Group, Ltd. | 33,867 | 454,762 | |||
Capitec Bank Holdings, Ltd. | 4,994 | 459,953 | |||
Clicks Group, Ltd. | 26,518 | 386,057 | |||
Discovery, Ltd. | 38,380 | 405,839 | |||
Exxaro Resources, Ltd. | 32,236 | 393,176 | |||
FirstRand, Ltd. | 312,367 | 1,518,501 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 175,561 | |||
Foschini Group, Ltd. | 28,884 | 369,314 | |||
Gold Fields, Ltd. | 103,188 | 561,630 | |||
Growthpoint Properties, Ltd. REIT | 349,142 | 601,164 | |||
Investec PLC | 69,626 | 452,813 | |||
Investec, Ltd. | 34,578 | 225,252 | |||
Kumba Iron Ore, Ltd. (b) | 6,528 | 231,182 | |||
Liberty Holdings, Ltd. | 15,761 | 118,096 | |||
Life Healthcare Group Holdings, Ltd. | 124,734 | 198,495 | |||
MMI Holdings, Ltd. | 83,371 | 112,157 | |||
Mondi, Ltd. | 15,186 | 341,342 | |||
Mr. Price Group, Ltd. | 31,354 | 441,385 | |||
MTN Group, Ltd. (b) | 155,610 | 1,178,007 | |||
MultiChoice Group, Ltd. (a) | 43,950 | 417,550 | |||
Naspers, Ltd. Class N | 43,073 | 10,445,101 | |||
Nedbank Group, Ltd. | 41,208 | 739,925 |
Security Description | Shares | Value | |||
Netcare, Ltd. (b) | 112,609 | $143,584 | |||
Old Mutual, Ltd. (c) | 49,270 | 74,073 | |||
Old Mutual, Ltd. (b)(c) | 450,111 | 672,648 | |||
Pick n Pay Stores, Ltd. | 52,090 | 254,886 | |||
PSG Group, Ltd. | 17,508 | 296,753 | |||
Rand Merchant Investment Holdings, Ltd. | 71,980 | 173,400 | |||
Redefine Properties, Ltd. REIT | 565,715 | 362,667 | |||
Remgro, Ltd. | 55,262 | 736,369 | |||
RMB Holdings, Ltd. | 75,393 | 451,249 | |||
Sanlam, Ltd. | 186,456 | 1,033,483 | |||
Sappi, Ltd. | 63,744 | 248,127 | |||
Sasol, Ltd. | 58,695 | 1,457,713 | |||
Shoprite Holdings, Ltd. | 46,048 | 514,843 | |||
SPAR Group, Ltd. | 24,778 | 328,288 | |||
Standard Bank Group, Ltd. | 120,865 | 1,685,703 | |||
Telkom SA SOC, Ltd. | 39,144 | 255,912 | |||
Tiger Brands, Ltd. | 17,906 | 284,058 | |||
Truworths International, Ltd. | 58,695 | 291,368 | |||
Vodacom Group, Ltd. | 54,964 | 466,451 | |||
Woolworths Holdings, Ltd. | 96,815 | 335,596 | |||
33,402,462 | |||||
SOUTH KOREA — 3.1% | |||||
Amorepacific Corp. | 3,491 | 497,354 | |||
Amorepacific Corp. Preference Shares | 740 | 55,244 | |||
AMOREPACIFIC Group | 2,522 | 136,076 | |||
BGF retail Co., Ltd. | 795 | 145,278 | |||
BNK Financial Group, Inc. | 27,622 | 179,179 | |||
Celltrion Healthcare Co., Ltd. (a) | 5,436 | 265,997 | |||
Celltrion Pharm, Inc. (a) | 1,347 | 56,055 | |||
Celltrion, Inc. (a) | 8,829 | 1,571,350 | |||
Cheil Worldwide, Inc. | 7,506 | 191,120 | |||
CJ CheilJedang Corp. | 942 | 242,302 | |||
CJ Corp. | 1,354 | 118,438 | |||
CJ Corp. Preference Shares (a)(d) | 203 | 6,446 | |||
CJ ENM Co., Ltd. | 1,018 | 156,052 | |||
CJ Logistics Corp. (a) | 1,096 | 127,668 | |||
Coway Co., Ltd. | 5,471 | 366,739 | |||
Daelim Industrial Co., Ltd. | 2,706 | 269,510 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 24,328 | 104,084 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 3,568 | 101,047 | |||
DB Insurance Co., Ltd. | 5,525 | 283,750 | |||
Doosan Bobcat, Inc. (a) | 4,079 | 128,589 | |||
E-MART, Inc. | 2,133 | 258,624 | |||
Fila Korea, Ltd. | 5,207 | 345,886 | |||
GS Engineering & Construction Corp. | 5,552 | 194,018 | |||
GS Holdings Corp. | 5,913 | 262,197 | |||
GS Retail Co., Ltd. | 3,570 | 121,510 | |||
Hana Financial Group, Inc. | 32,079 | 1,039,063 |
Security Description | Shares | Value | |||
Hankook Tire & Technology Co., Ltd. | 8,351 | $253,861 | |||
Hanmi Pharm Co., Ltd. | 604 | 211,333 | |||
Hanmi Science Co., Ltd. | 1,171 | 69,166 | |||
Hanon Systems | 16,734 | 168,840 | |||
Hanwha Chemical Corp. | 13,246 | 260,412 | |||
Hanwha Corp. | 3,640 | 84,171 | |||
Hanwha Life Insurance Co., Ltd. | 31,079 | 88,151 | |||
HDC Hyundai Development Co-Engineering & Construction | 2,174 | 81,903 | |||
Helixmith Co., Ltd. (a) | 1,503 | 219,465 | |||
HLB, Inc. (a) | 3,398 | 103,884 | |||
Hotel Shilla Co., Ltd. | 3,574 | 300,245 | |||
Hyundai Department Store Co., Ltd. | 1,309 | 93,755 | |||
Hyundai Engineering & Construction Co., Ltd. | 7,969 | 369,929 | |||
Hyundai Glovis Co., Ltd. | 1,744 | 243,177 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 1,006 | 282,288 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,728 | 141,135 | |||
Hyundai Mobis Co., Ltd. | 6,266 | 1,278,000 | |||
Hyundai Motor Co. | 14,925 | 1,809,639 | |||
Hyundai Motor Co. Preference Shares (c) | 3,845 | 287,380 | |||
Hyundai Motor Co. Preference Shares (c) | 2,761 | 189,144 | |||
Hyundai Steel Co. | 8,186 | 296,345 | |||
Industrial Bank of Korea | 28,125 | 342,230 | |||
Kakao Corp. | 5,462 | 622,053 | |||
Kangwon Land, Inc. | 13,112 | 343,514 | |||
KB Financial Group, Inc. | 36,911 | 1,465,699 | |||
KCC Corp. | 684 | 163,203 | |||
Kia Motors Corp. | 28,277 | 1,077,546 | |||
Korea Aerospace Industries, Ltd. | 7,786 | 242,417 | |||
Korea Electric Power Corp. (a) | 26,253 | 580,924 | |||
Korea Gas Corp. | 2,420 | 88,446 | |||
Korea Investment Holdings Co., Ltd. | 3,949 | 276,001 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 3,817 | 391,733 | |||
Korea Zinc Co., Ltd. | 874 | 360,303 | |||
Korean Air Lines Co., Ltd. | 4,004 | 100,390 | |||
KT&G Corp. | 12,450 | 1,062,075 | |||
Kumho Petrochemical Co., Ltd. | 1,926 | 162,467 | |||
LG Chem, Ltd. | 4,224 | 1,296,850 | |||
LG Chem, Ltd. Preference Shares | 786 | 133,082 | |||
LG Corp. | 10,198 | 679,190 | |||
LG Display Co., Ltd. (a) | 25,728 | 397,735 | |||
LG Electronics, Inc. | 10,875 | 746,882 | |||
LG Household & Health Care, Ltd. | 998 | 1,134,867 | |||
LG Household & Health Care, Ltd. Preference Shares | 184 | 128,441 |
Security Description | Shares | Value | |||
LG Innotek Co., Ltd. | 1,707 | $161,142 | |||
LG Uplus Corp. | 19,162 | 240,635 | |||
Lotte Chemical Corp. | 1,752 | 383,129 | |||
Lotte Corp. (a) | 2,576 | 98,163 | |||
Lotte Shopping Co., Ltd. | 983 | 136,640 | |||
Medy-Tox, Inc. | 501 | 195,254 | |||
Mirae Asset Daewoo Co., Ltd. | 47,797 | 338,613 | |||
NAVER Corp. | 12,937 | 1,277,286 | |||
NCSoft Corp. | 1,446 | 597,360 | |||
Netmarble Corp. (a)(e) | 2,574 | 251,905 | |||
NH Investment & Securities Co., Ltd. | 14,985 | 188,180 | |||
OCI Co., Ltd. | 1,629 | 131,629 | |||
Orange Life Insurance, Ltd. (e) | 3,399 | 93,170 | |||
Orion Corp/Republic of Korea | 2,349 | 188,180 | |||
Ottogi Corp. | 114 | 67,631 | |||
Pan Ocean Co., Ltd. (a) | 24,680 | 99,177 | |||
Pearl Abyss Corp. (a) | 964 | 177,246 | |||
POSCO | 7,285 | 1,542,617 | |||
POSCO Chemtech Co., Ltd. | 2,247 | 104,308 | |||
Posco International Corp. | 6,646 | 105,620 | |||
S-1 Corp. | 1,546 | 130,680 | |||
Samsung Biologics Co., Ltd. (a)(e) | 1,762 | 488,321 | |||
Samsung C&T Corp. | 8,160 | 676,319 | |||
Samsung Card Co., Ltd. | 3,804 | 125,850 | |||
Samsung Electro-Mechanics Co., Ltd. (b) | 5,729 | 485,252 | |||
Samsung Electronics Co., Ltd. Preference Shares | 77,547 | 2,568,893 | |||
Samsung Electronics Co., Ltd. | 468,948 | 19,088,517 | |||
Samsung Engineering Co., Ltd. (a) | 16,699 | 248,030 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,306 | 767,339 | |||
Samsung Heavy Industries Co., Ltd. (a) | 48,810 | 344,944 | |||
Samsung Life Insurance Co., Ltd. | 7,604 | 550,552 | |||
Samsung SDI Co., Ltd. | 5,859 | 1,200,064 | |||
Samsung SDS Co., Ltd. | 3,753 | 698,822 | |||
Samsung Securities Co., Ltd. | 7,238 | 245,101 | |||
Shinhan Financial Group Co., Ltd. | 45,267 | 1,760,264 | |||
Shinsegae, Inc. | 786 | 204,898 | |||
SillaJen, Inc. (a)(b) | 6,523 | 279,077 | |||
SK Holdings Co., Ltd. | 3,256 | 654,217 | |||
SK Hynix, Inc. | 51,770 | 3,116,109 | |||
SK Innovation Co., Ltd. | 4,946 | 681,084 | |||
SK Telecom Co., Ltd. | 2,206 | 494,829 | |||
S-Oil Corp. | 4,401 | 319,026 | |||
Woori Financial Group, Inc. | 47,991 | 583,964 | |||
Yuhan Corp. | 1,030 | 218,105 | |||
68,159,989 |
Security Description | Shares | Value | |||
SPAIN — 1.9% | |||||
ACS Actividades de Construccion y Servicios SA | 26,156 | $1,045,803 | |||
Aena SME SA (e) | 7,067 | 1,402,749 | |||
Amadeus IT Group SA | 43,451 | 3,446,917 | |||
Banco Bilbao Vizcaya Argentaria SA | 660,230 | 3,696,946 | |||
Banco de Sabadell SA | 599,029 | 621,461 | |||
Banco Santander SA | 1,607,686 | 7,470,716 | |||
Bankia SA | 139,746 | 330,699 | |||
Bankinter SA | 68,461 | 472,302 | |||
CaixaBank SA | 328,235 | 941,214 | |||
Cellnex Telecom SA (a)(e) | 19,228 | 712,524 | |||
Enagas SA | 24,615 | 657,901 | |||
Endesa SA (b) | 33,501 | 862,593 | |||
Ferrovial SA | 44,915 | 1,151,369 | |||
Grifols SA | 31,760 | 940,376 | |||
Iberdrola SA | 581,069 | 5,800,652 | |||
Industria de Diseno Textil SA | 108,010 | 3,253,398 | |||
Mapfre SA (b) | 127,893 | 374,452 | |||
Naturgy Energy Group SA | 27,085 | 747,360 | |||
Red Electrica Corp. SA | 44,418 | 926,432 | |||
Repsol SA | 132,079 | 2,073,424 | |||
Siemens Gamesa Renewable Energy SA | 23,620 | 393,256 | |||
Telefonica SA | 462,695 | 3,804,869 | |||
41,127,413 | |||||
SWEDEN — 1.6% | |||||
Alfa Laval AB | 31,357 | 684,716 | |||
Assa Abloy AB Class B | 99,244 | 2,245,189 | |||
Atlas Copco AB Class A | 66,491 | 2,126,978 | |||
Atlas Copco AB Class B | 35,400 | 1,016,421 | |||
Boliden AB | 31,323 | 801,626 | |||
Electrolux AB Class B | 19,241 | 492,109 | |||
Epiroc AB Class A | 70,234 | 731,847 | |||
Epiroc AB Class B | 42,866 | 424,955 | |||
Essity AB Class B | 60,052 | 1,847,216 | |||
Hennes & Mauritz AB Class B | 73,988 | 1,318,645 | |||
Hexagon AB Class B | 23,975 | 1,332,318 | |||
Husqvarna AB Class B | 45,065 | 421,886 | |||
ICA Gruppen AB | 9,191 | 395,448 | |||
Industrivarden AB Class C | 19,084 | 423,303 | |||
Investor AB Class B | 45,100 | 2,168,428 | |||
Kinnevik AB Class B | 21,214 | 552,174 | |||
L E Lundbergforetagen AB Class B | 9,305 | 348,604 | |||
Lundin Petroleum AB (b) | 20,477 | 635,396 | |||
Sandvik AB | 111,784 | 2,055,393 | |||
Securitas AB Class B | 26,842 | 471,273 | |||
Skandinaviska Enskilda Banken AB Class A | 151,032 | 1,398,619 | |||
Skanska AB Class B | 36,819 | 665,490 | |||
SKF AB Class B | 42,297 | 778,407 | |||
Svenska Handelsbanken AB Class A | 141,980 | 1,405,997 | |||
Swedbank AB Class A | 83,619 | 1,256,782 |
Security Description | Shares | Value | |||
Swedish Match AB | 18,877 | $797,545 | |||
Tele2 AB Class B | 44,020 | 642,874 | |||
Telefonaktiebolaget LM Ericsson Class B | 304,217 | 2,888,655 | |||
Telia Co. AB | 258,385 | 1,148,477 | |||
Volvo AB Class B | 147,067 | 2,335,617 | |||
33,812,388 | |||||
SWITZERLAND — 6.2% | |||||
ABB, Ltd. | 182,480 | 3,666,444 | |||
Adecco Group AG | 16,885 | 1,015,871 | |||
Baloise Holding AG | 4,369 | 774,321 | |||
Barry Callebaut AG | 250 | 502,051 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 114 | 830,739 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 11 | 895,795 | |||
Cie Financiere Richemont SA | 52,005 | 4,418,558 | |||
Clariant AG (a) | 23,031 | 468,770 | |||
Coca-Cola HBC AG (a) | 22,046 | 833,882 | |||
Credit Suisse Group AG | 253,087 | 3,038,342 | |||
Dufry AG (a) | 3,818 | 323,767 | |||
EMS-Chemie Holding AG | 877 | 569,825 | |||
Ferguson PLC | 21,542 | 1,535,325 | |||
Geberit AG | 3,451 | 1,614,006 | |||
Givaudan SA | 914 | 2,583,573 | |||
Glencore PLC | 1,101,674 | 3,832,642 | |||
Julius Baer Group, Ltd. | 23,711 | 1,056,903 | |||
Kuehne + Nagel International AG | 5,721 | 850,229 | |||
LafargeHolcim, Ltd. (c) | 44,809 | 2,190,816 | |||
LafargeHolcim, Ltd. (c) | 3,311 | 161,908 | |||
Lonza Group AG | 7,374 | 2,491,278 | |||
Nestle SA | 303,287 | 31,436,086 | |||
Novartis AG | 214,671 | 19,639,644 | |||
Pargesa Holding SA | 4,579 | 353,405 | |||
Partners Group Holding AG | 1,839 | 1,446,680 | |||
Roche Holding AG | 69,565 | 19,595,925 | |||
Schindler Holding AG (c) | 3,671 | 818,162 | |||
Schindler Holding AG (c) | 2,252 | 492,437 | |||
SGS SA | 494 | 1,260,080 | |||
Sika AG | 12,635 | 2,158,965 | |||
Sonova Holding AG | 5,104 | 1,161,095 | |||
STMicroelectronics NV | 70,851 | 1,258,688 | |||
Straumann Holding AG | 1,098 | 970,069 | |||
Swatch Group AG (c) | 2,618 | 750,493 | |||
Swatch Group AG (c) | 6,411 | 347,509 | |||
Swiss Life Holding AG | 3,183 | 1,579,421 | |||
Swiss Prime Site AG | 8,083 | 706,744 | |||
Swiss Re AG | 30,176 | 3,071,453 | |||
Swisscom AG (b) | 2,384 | 1,198,357 | |||
Temenos AG | 6,398 | 1,146,062 | |||
UBS Group AG | 383,793 | 4,566,153 | |||
Vifor Pharma AG | 3,986 | 576,641 | |||
Zurich Insurance Group AG | 15,037 | 5,242,130 | |||
133,431,244 |
Security Description | Shares | Value | |||
TAIWAN — 2.8% | |||||
Acer, Inc. (a) | 311,000 | $192,751 | |||
Advantech Co., Ltd. | 33,199 | 282,185 | |||
Airtac International Group | 12,000 | 134,452 | |||
ASE Technology Holding Co., Ltd. | 372,325 | 737,230 | |||
Asia Cement Corp. | 233,000 | 356,707 | |||
Asustek Computer, Inc. | 72,000 | 516,943 | |||
AU Optronics Corp. | 922,000 | 276,070 | |||
Catcher Technology Co., Ltd. | 70,000 | 501,457 | |||
Cathay Financial Holding Co., Ltd. | 684,000 | 946,957 | |||
Chailease Holding Co., Ltd. | 119,829 | 495,759 | |||
Chang Hwa Commercial Bank, Ltd. | 599,821 | 404,586 | |||
Cheng Shin Rubber Industry Co., Ltd. | 207,000 | 267,252 | |||
Chicony Electronics Co., Ltd. | 62,491 | 153,715 | |||
China Airlines, Ltd. | 434,000 | 137,496 | |||
China Development Financial Holding Corp. | 1,476,000 | 450,030 | |||
China Life Insurance Co., Ltd. | 268,557 | 214,866 | |||
China Steel Corp. | 1,066,000 | 856,314 | |||
Chunghwa Telecom Co., Ltd. | 351,000 | 1,277,001 | |||
Compal Electronics, Inc. | 446,000 | 292,217 | |||
CTBC Financial Holding Co., Ltd. | 1,870,009 | 1,285,426 | |||
Delta Electronics, Inc. | 175,630 | 890,604 | |||
E.Sun Financial Holding Co., Ltd. | 1,022,831 | 856,215 | |||
Eclat Textile Co., Ltd. | 19,182 | 245,800 | |||
Eva Airways Corp. | 313,760 | 151,023 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 351,016 | 140,703 | |||
Far Eastern New Century Corp. | 341,620 | 368,463 | |||
Far EasTone Telecommunications Co., Ltd. | 176,000 | 443,690 | |||
Feng TAY Enterprise Co., Ltd. | 35,273 | 274,829 | |||
First Financial Holding Co., Ltd. | 1,026,256 | 753,349 | |||
Formosa Chemicals & Fibre Corp. | 323,000 | 1,071,138 | |||
Formosa Petrochemical Corp. | 135,000 | 480,288 | |||
Formosa Plastics Corp. | 414,000 | 1,526,200 | |||
Formosa Taffeta Co., Ltd. | 76,000 | 95,674 | |||
Foxconn Technology Co., Ltd. | 84,180 | 171,019 | |||
Fubon Financial Holding Co., Ltd. (a) | 708,000 | 1,045,149 | |||
Giant Manufacturing Co., Ltd. | 37,000 | 289,477 | |||
Globalwafers Co., Ltd. | 23,000 | 232,892 | |||
Highwealth Construction Corp. | 72,900 | 116,064 | |||
Hiwin Technologies Corp. | 23,614 | 197,673 | |||
Hon Hai Precision Industry Co., Ltd. | 1,180,320 | 2,941,347 | |||
Hotai Motor Co., Ltd. | 33,000 | 539,738 | |||
Hua Nan Financial Holdings Co., Ltd. | 759,240 | 509,672 | |||
Innolux Corp. | 942,000 | 222,311 |
Security Description | Shares | Value | |||
Inventec Corp. | 291,000 | $231,417 | |||
Largan Precision Co., Ltd. | 9,000 | 1,117,050 | |||
Lite-On Technology Corp. | 225,419 | 330,223 | |||
MediaTek, Inc. | 140,000 | 1,415,348 | |||
Mega Financial Holding Co., Ltd. | 1,163,601 | 1,157,626 | |||
Micro-Star International Co., Ltd. | 72,000 | 203,996 | |||
Nan Ya Plastics Corp. | 543,000 | 1,374,130 | |||
Nanya Technology Corp. | 131,000 | 272,042 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 127,803 | |||
Novatek Microelectronics Corp. | 61,000 | 339,767 | |||
Pegatron Corp. | 218,000 | 376,909 | |||
Phison Electronics Corp. | 13,000 | 118,450 | |||
Pou Chen Corp. | 235,000 | 291,296 | |||
Powertech Technology, Inc. | 87,000 | 212,882 | |||
President Chain Store Corp. | 58,000 | 561,149 | |||
Quanta Computer, Inc. | 295,000 | 573,673 | |||
Realtek Semiconductor Corp. | 52,000 | 382,556 | |||
Ruentex Development Co., Ltd. | 77,361 | 110,589 | |||
Ruentex Industries, Ltd. | 47,400 | 115,221 | |||
Shanghai Commercial & Savings Bank, Ltd. | 328,000 | 593,493 | |||
Shin Kong Financial Holding Co., Ltd. | 1,141,158 | 346,468 | |||
SinoPac Financial Holdings Co., Ltd. | 1,182,281 | 496,749 | |||
Standard Foods Corp. | 51,417 | 100,485 | |||
Synnex Technology International Corp. | 128,550 | 161,414 | |||
TaiMed Biologics, Inc. (a) | 15,000 | 76,788 | |||
Taishin Financial Holding Co., Ltd. | 1,055,456 | 485,939 | |||
Taiwan Business Bank | 646,923 | 284,309 | |||
Taiwan Cement Corp. | 498,300 | 738,799 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 935,662 | 626,596 | |||
Taiwan High Speed Rail Corp. | 226,000 | 332,529 | |||
Taiwan Mobile Co., Ltd. | 166,000 | 654,711 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,419,000 | 18,613,983 | |||
Tatung Co., Ltd. (a) | 177,000 | 106,851 | |||
Uni-President Enterprises Corp. | 443,880 | 1,181,889 | |||
United Microelectronics Corp. | 1,225,000 | 550,194 | |||
Vanguard International Semiconductor Corp. | 105,000 | 220,416 | |||
Walsin Technology Corp. | 28,000 | 147,845 | |||
Win Semiconductors Corp. | 36,000 | 230,654 | |||
Winbond Electronics Corp. | 274,000 | 134,091 | |||
Wistron Corp. | 302,842 | 235,959 | |||
WPG Holdings, Ltd. | 160,480 | 208,483 | |||
Yageo Corp. | 23,962 | 203,673 | |||
Yuanta Financial Holding Co., Ltd. | 1,068,022 | 641,305 | |||
Zhen Ding Technology Holding, Ltd. | 40,000 | 128,012 | |||
60,156,494 |
Security Description | Shares | Value | |||
THAILAND — 0.7% | |||||
Advanced Info Service PCL | 106,700 | $758,477 | |||
Airports of Thailand PCL | 432,600 | 1,036,801 | |||
Bangkok Bank PCL NVDR | 30,800 | 197,851 | |||
Bangkok Dusit Medical Services PCL | 357,100 | 302,751 | |||
Bangkok Dusit Medical Services PCL NVDR | 372,400 | 315,722 | |||
Bangkok Expressway & Metro PCL | 649,000 | 241,252 | |||
Bangkok Expressway & Metro PCL NVDR | 133,100 | 49,477 | |||
Banpu PCL | 243,400 | 119,051 | |||
Berli Jucker PCL | 104,700 | 172,409 | |||
BTS Group Holdings PCL | 619,900 | 242,563 | |||
Bumrungrad Hospital PCL | 31,200 | 171,935 | |||
Central Pattana PCL NVDR | 31,900 | 78,014 | |||
Central Pattana PCL | 118,200 | 289,068 | |||
Charoen Pokphand Foods PCL | 285,300 | 262,810 | |||
Charoen Pokphand Foods PCL NVDR | 74,400 | 68,535 | |||
CP ALL PCL NVDR | 49,000 | 137,409 | |||
CP ALL PCL | 475,300 | 1,332,870 | |||
Electricity Generating PCL | 11,900 | 126,111 | |||
Energy Absolute PCL | 112,813 | 205,081 | |||
Gulf Energy Development PCL | 40,600 | 162,837 | |||
Home Product Center PCL | 417,200 | 238,070 | |||
Indorama Ventures PCL | 143,700 | 220,230 | |||
Indorama Ventures PCL NVDR | 32,200 | 49,349 | |||
Intouch Holdings PCL NVDR | 115,700 | 236,738 | |||
IRPC PCL | 971,500 | 158,393 | |||
Kasikornbank PCL | 171,100 | 1,057,258 | |||
Kasikornbank PCL NVDR | 52,500 | 321,839 | |||
Krung Thai Bank PCL | 265,400 | 168,755 | |||
Krung Thai Bank PCL NVDR | 99,500 | 63,267 | |||
Land & Houses PCL | 567,800 | 205,513 | |||
Minor International PCL | 196,350 | 262,504 | |||
Minor International PCL NVDR | 40,000 | 53,477 | |||
Muangthai Capital PCL | 60,500 | 111,462 | |||
PTT Exploration & Production PCL | 132,600 | 583,712 | |||
PTT Exploration & Production PCL NVDR | 12,500 | 55,026 | |||
PTT Global Chemical PCL | 213,000 | 444,510 | |||
PTT PCL NVDR | 62,100 | 98,716 | |||
PTT PCL | 1,041,500 | 1,655,600 | |||
Robinson PCL | 63,300 | 116,104 | |||
Siam Cement PCL | 33,765 | 519,673 | |||
Siam Cement PCL NVDR | 33,400 | 514,056 | |||
Siam Commercial Bank PCL NVDR | 26,900 | 122,363 | |||
Siam Commercial Bank PCL | 164,200 | 746,911 | |||
Thai Oil PCL | 98,100 | 212,722 | |||
Thai Oil PCL NVDR | 19,100 | 41,417 | |||
Thai Union Group PCL Class F | 244,000 | 145,600 | |||
TMB Bank PCL | 1,483,700 | 94,825 |
Security Description | Shares | Value | |||
True Corp. PCL | 1,001,312 | $191,006 | |||
14,960,120 | |||||
TURKEY — 0.2% | |||||
Akbank T.A.S. (a) | 360,549 | 423,882 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | 79,161 | |||
Arcelik A/S (a) | 21,397 | 71,952 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 44,184 | 137,502 | |||
BIM Birlesik Magazalar A/S | 27,066 | 372,719 | |||
Eregli Demir ve Celik Fabrikalari TAS | 190,021 | 258,552 | |||
Ford Otomotiv Sanayi A/S | 14,868 | 160,659 | |||
Haci Omer Sabanci Holding A/S | 140,790 | 209,092 | |||
KOC Holding A/S | 101,157 | 306,759 | |||
TAV Havalimanlari Holding A/S | 32,543 | 151,912 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 15,735 | 312,850 | |||
Turk Hava Yollari AO (a) | 85,741 | 191,079 | |||
Turkcell Iletisim Hizmetleri A/S | 144,396 | 319,549 | |||
Turkiye Garanti Bankasi A/S (a) | 284,548 | 447,681 | |||
Turkiye Is Bankasi A/S Class C (a) | 228,823 | 239,346 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 118,964 | 106,747 | |||
3,789,442 | |||||
UNITED ARAB EMIRATES — 0.2% | |||||
Abu Dhabi Commercial Bank PJSC | 226,966 | 512,862 | |||
Aldar Properties PJSC | 481,035 | 247,514 | |||
DP World PLC | 14,508 | 230,677 | |||
Dubai Islamic Bank PJSC | 195,014 | 272,361 | |||
Emaar Development PJSC | 109,796 | 119,865 | |||
Emaar Malls PJSC | 267,179 | 147,659 | |||
Emaar Properties PJSC | 347,458 | 418,105 | |||
Emirates Telecommunications Group Co. PJSC | 181,292 | 823,258 | |||
First Abu Dhabi Bank PJSC | 275,018 | 1,112,606 | |||
NMC Health PLC (b) | 12,255 | 374,794 | |||
4,259,701 | |||||
UNITED KINGDOM — 9.5% | |||||
3i Group PLC | 89,755 | 1,271,964 | |||
Admiral Group PLC | 21,695 | 609,656 | |||
Anglo American PLC | 99,524 | 2,842,978 | |||
Ashtead Group PLC | 43,372 | 1,244,198 | |||
Associated British Foods PLC | 32,622 | 1,022,589 | |||
AstraZeneca PLC | 125,175 | 10,256,394 | |||
Auto Trader Group PLC (e) | 101,929 | 710,634 | |||
Aviva PLC | 366,083 | 1,940,531 | |||
BAE Systems PLC | 298,902 | 1,884,564 | |||
Barclays PLC | 1,626,018 | 3,100,011 | |||
Barratt Developments PLC | 110,256 | 803,489 | |||
Berkeley Group Holdings PLC | 12,975 | 616,111 | |||
BP PLC | 2,013,542 | 14,058,617 |
Security Description | Shares | Value | |||
British American Tobacco PLC | 224,804 | $7,865,112 | |||
British Land Co. PLC REIT | 97,557 | 668,482 | |||
BT Group PLC | 792,179 | 1,980,722 | |||
Bunzl PLC | 35,746 | 944,909 | |||
Burberry Group PLC | 43,921 | 1,040,826 | |||
Carnival PLC | 18,117 | 802,171 | |||
Centrica PLC | 609,806 | 681,261 | |||
CNH Industrial NV | 108,303 | 1,112,240 | |||
Coca-Cola European Partners PLC (c) | 9,300 | 525,450 | |||
Coca-Cola European Partners PLC (c) | 14,800 | 825,015 | |||
Compass Group PLC | 150,832 | 3,622,359 | |||
Croda International PLC | 13,492 | 879,169 | |||
Diageo PLC | 238,796 | 10,284,508 | |||
Direct Line Insurance Group PLC | 140,443 | 593,065 | |||
easyJet PLC | 19,309 | 234,245 | |||
Experian PLC | 86,030 | 2,610,251 | |||
Fiat Chrysler Automobiles NV | 100,422 | 1,402,747 | |||
G4S PLC | 167,066 | 442,260 | |||
GlaxoSmithKline PLC | 490,479 | 9,841,653 | |||
GVC Holdings PLC | 62,422 | 517,819 | |||
Halma PLC | 39,660 | 1,019,601 | |||
Hargreaves Lansdown PLC | 30,702 | 749,839 | |||
HSBC Holdings PLC | 1,985,403 | 16,598,699 | |||
Imperial Brands PLC | 90,271 | 2,121,750 | |||
Informa PLC | 115,234 | 1,224,597 | |||
InterContinental Hotels Group PLC | 18,327 | 1,206,357 | |||
Intertek Group PLC | 17,188 | 1,203,572 | |||
ITV PLC | 404,975 | 556,645 | |||
J Sainsbury PLC | 178,000 | 443,906 | |||
John Wood Group PLC | 68,018 | 391,281 | |||
Johnson Matthey PLC | 20,781 | 880,453 | |||
Kingfisher PLC | 229,764 | 628,412 | |||
Land Securities Group PLC REIT | 62,612 | 663,946 | |||
Legal & General Group PLC | 558,953 | 1,917,168 | |||
Lloyds Banking Group PLC | 7,064,811 | 5,088,226 | |||
London Stock Exchange Group PLC | 29,422 | 2,054,254 | |||
Marks & Spencer Group PLC | 211,837 | 568,058 | |||
Meggitt PLC | 87,745 | 585,167 | |||
Melrose Industries PLC | 518,627 | 1,193,712 | |||
Merlin Entertainments PLC (e) | 85,161 | 486,754 | |||
Micro Focus International PLC ADR | 23,228 | 608,341 | |||
Micro Focus International PLC | 27,764 | 729,320 | |||
Mondi PLC | 39,535 | 900,660 | |||
National Grid PLC | 324,109 | 3,447,621 | |||
Next PLC | 12,511 | 879,891 | |||
Ocado Group PLC (a) | 48,193 | 715,782 | |||
Pearson PLC | 83,184 | 867,485 | |||
Persimmon PLC | 33,475 | 850,795 | |||
Prudential PLC | 257,571 | 5,625,231 | |||
Reckitt Benckiser Group PLC | 70,194 | 5,551,334 |
Security Description | Shares | Value | |||
RELX PLC (c) | 130,593 | $3,173,699 | |||
RELX PLC (c) | 63,747 | 1,544,824 | |||
Rentokil Initial PLC | 193,746 | 980,158 | |||
Rio Tinto PLC | 112,919 | 7,013,866 | |||
Rio Tinto, Ltd. | 35,062 | 2,552,990 | |||
Rolls-Royce Holdings PLC | 159,817 | 1,709,366 | |||
Royal Bank of Scotland Group PLC | 444,863 | 1,244,458 | |||
RSA Insurance Group PLC | 110,686 | 812,539 | |||
Sage Group PLC | 115,783 | 1,182,393 | |||
Schroders PLC | 12,534 | 486,537 | |||
Segro PLC REIT | 98,352 | 914,010 | |||
Severn Trent PLC | 24,282 | 632,908 | |||
Smith & Nephew PLC | 81,828 | 1,775,630 | |||
Smiths Group PLC | 42,581 | 848,118 | |||
Spirax-Sarco Engineering PLC | 7,773 | 908,644 | |||
SSE PLC | 94,844 | 1,354,343 | |||
St James's Place PLC | 57,069 | 797,496 | |||
Standard Chartered PLC | 265,290 | 2,411,387 | |||
Standard Life Aberdeen PLC | 266,485 | 999,152 | |||
Taylor Wimpey PLC | 352,156 | 707,018 | |||
Tesco PLC | 927,178 | 2,675,104 | |||
Unilever NV | 144,084 | 8,788,281 | |||
Unilever PLC | 109,950 | 6,849,040 | |||
United Utilities Group PLC | 75,484 | 752,024 | |||
Vodafone Group PLC | 2,645,756 | 4,354,533 | |||
Weir Group PLC | 26,447 | 520,538 | |||
Whitbread PLC | 16,447 | 968,947 | |||
Wm Morrison Supermarkets PLC | 235,249 | 602,995 | |||
WPP PLC | 117,192 | 1,476,886 | |||
206,032,741 | |||||
TOTAL COMMON STOCKS (Cost $1,924,492,727) | 2,071,055,668 |
WARRANTS — 0.0% (g) | |||
THAILAND — 0.0% (g) | |||
Minor International PCL (expiring 12/31/21) NVDR (a) | 2,000 | 362 | |
Minor International PCL (expiring 9/30/21) (a) | 9,818 | 1,777 | |
TOTAL WARRANTS (Cost $0) | 2,139 | ||
RIGHTS — 0.0% (g) | |||
CHILE — 0.0% (g) | |||
Enel Americas SA (expiring 7/26/19) (a) | 884,828 | 12,987 | |
CHINA — 0.0% (g) | |||
Legend Holdings Corp. (a) (f) | 4,638 | — | |
SOUTH KOREA — 0.0% (g) | |||
Helixmith Co., Ltd. (expiring 08/06/19) (a) (d) | 100 | 2,823 |
Security Description | Shares | Value | ||||
SPAIN — 0.0% (g) | ||||||
ACS Actividades de Construccion y Servicios SA (expiring 07/11/19) (a) | 26,156 | $41,105 | ||||
Repsol SA (expiring 07/09/19) (a) | 132,079 | 73,371 | ||||
114,476 | ||||||
TOTAL RIGHTS (Cost $117,812) | 130,286 | |||||
SHORT-TERM INVESTMENTS — 5.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (h) (i) | 71,324,569 | 71,324,569 | ||||
State Street Navigator Securities Lending Portfolio II (j) (k) | 39,768,153 | 39,768,153 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $111,092,722) | 111,092,722 | |||||
TOTAL INVESTMENTS — 100.8% (Cost $2,035,703,261) | 2,182,280,815 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | (17,527,821) | |||||
NET ASSETS — 100.0% | $2,164,752,994 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(c) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(d) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of June 30, 2019, total aggregate fair value of securities is $877,385, representing less than 0.05% of net assets. |
(e) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.9% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(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. Security value is determined based on Level 3 inputs. As of June 30, 2019, total aggregate fair value of the security is $153,821, representing less than 0.05% of the Fund's net assets. |
(g) | Amount is less than 0.05% 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, 2019 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(j) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(k) | 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 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets (long) | 375 | 09/20/2019 | $19,056,420 | $19,751,250 | $694,830 | |||||
Mini MSCI EAFE (long) | 712 | 09/20/2019 | 66,859,226 | 68,469,480 | 1,610,254 | |||||
S&P/TSX 60 Index Future (long) | 47 | 09/19/2019 | 7,009,866 | 7,033,006 | 23,140 | |||||
Total unrealized appreciation/depreciation on open futures contracts purchased | $2,328,224 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,058,527,679 | $12,374,168 | $153,821 | $2,071,055,668 | ||||
Warrants | 2,139 | — | — | 2,139 | ||||
Rights | 127,463 | 2,823 | 0(a) | 130,286 | ||||
Short-Term Investments | 111,092,722 | — | — | 111,092,722 | ||||
TOTAL INVESTMENTS | $2,169,750,003 | $12,376,991 | $153,821 | $2,182,280,815 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 2,328,224 | — | — | 2,328,224 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $2,328,224 | $— | $— | $2,328,224 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $2,172,078,227 | $12,376,991 | $153,821 | $2,184,609,039 |
(a) | The Portfolio held a Level 3 security that was valued at $0 at June 30, 2019. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 60,832,438 | $60,832,438 | $320,884,106 | $310,391,975 | $— | $— | 71,324,569 | $71,324,569 | $890,370 | ||||||||
State Street Navigator Securities Lending Portfolio II | 40,202,405 | 40,202,405 | 276,782,799 | 277,217,051 | — | — | 39,768,153 | 39,768,153 | 375,507 | ||||||||
Total | $101,034,843 | $597,666,905 | $587,609,026 | $— | $— | $111,092,722 | $1,265,877 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.1% | ||||||
AEROSPACE & DEFENSE — 1.4% | ||||||
AAR Corp. | 5,160 | $189,836 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) (b) | 11,600 | 519,332 | ||||
Aerovironment, Inc. (a) | 3,400 | 193,018 | ||||
Astronics Corp. (a) | 3,796 | 152,675 | ||||
Axon Enterprise, Inc. (a) (b) | 9,392 | 603,060 | ||||
BWX Technologies, Inc. (b) | 14,890 | 775,769 | ||||
Cubic Corp. | 5,300 | 341,744 | ||||
Curtiss-Wright Corp. | 6,640 | 844,143 | ||||
Ducommun, Inc. (a) | 1,600 | 72,112 | ||||
HEICO Corp. | 6,082 | 813,832 | ||||
HEICO Corp. Class A | 12,278 | 1,269,177 | ||||
Hexcel Corp. | 13,311 | 1,076,594 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 13,900 | 318,171 | ||||
Maxar Technologies, Inc. (a) (b) | 8,900 | 69,598 | ||||
Mercury Systems, Inc. (a) | 8,600 | 605,010 | ||||
Moog, Inc. Class A | 5,154 | 482,466 | ||||
National Presto Industries, Inc. (b) | 795 | 74,166 | ||||
Parsons Corp. (a) | 2,900 | 106,894 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 16,123 | 1,311,929 | ||||
Teledyne Technologies, Inc. (a) | 5,723 | 1,567,358 | ||||
Triumph Group, Inc. | 7,745 | 177,361 | ||||
Vectrus, Inc. (a) | 1,800 | 73,008 | ||||
Wesco Aircraft Holdings, Inc. (a) | 8,600 | 95,460 | ||||
11,732,713 | ||||||
AIR FREIGHT & LOGISTICS — 0.2% | ||||||
Air Transport Services Group, Inc. (a) | 9,200 | 224,480 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,782 | 168,828 | ||||
Echo Global Logistics, Inc. (a) | 4,400 | 91,828 | ||||
Forward Air Corp. | 4,900 | 289,835 | ||||
Hub Group, Inc. Class A (a) | 5,117 | 214,812 | ||||
Radiant Logistics, Inc. (a) | 5,800 | 35,612 | ||||
XPO Logistics, Inc. (a) (b) | 14,359 | 830,094 | ||||
1,855,489 | ||||||
AIRLINES — 0.4% | ||||||
Allegiant Travel Co. | 2,076 | 297,906 | ||||
Copa Holdings SA Class A | 5,046 | 492,338 | ||||
Hawaiian Holdings, Inc. (b) | 7,745 | 212,445 | ||||
JetBlue Airways Corp. (a) | 47,036 | 869,696 | ||||
Mesa Air Group, Inc. (a) | 1,700 | 15,538 | ||||
SkyWest, Inc. | 8,100 | 491,427 | ||||
Spirit Airlines, Inc. (a) | 10,990 | 524,553 | ||||
2,903,903 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC | 15,100 | 366,477 | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 17,550 | 223,938 | ||||
Cooper Tire & Rubber Co. | 8,000 | 252,400 |
Security Description | Shares | Value | ||||
Cooper-Standard Holdings, Inc. (a) | 2,890 | $132,420 | ||||
Dana, Inc. | 23,347 | 465,539 | ||||
Dorman Products, Inc. (a) | 4,299 | 374,615 | ||||
Fox Factory Holding Corp. (a) | 5,800 | 478,558 | ||||
Gentex Corp. | 40,066 | 986,024 | ||||
Gentherm, Inc. (a) | 5,454 | 228,141 | ||||
Goodyear Tire & Rubber Co. | 36,400 | 556,920 | ||||
LCI Industries | 3,898 | 350,820 | ||||
Lear Corp. | 9,729 | 1,354,958 | ||||
Modine Manufacturing Co. (a) | 7,783 | 111,375 | ||||
Motorcar Parts of America, Inc. (a) | 2,800 | 59,948 | ||||
Standard Motor Products, Inc. | 3,308 | 149,985 | ||||
Stoneridge, Inc. (a) | 4,282 | 135,097 | ||||
Tenneco, Inc. Class A | 7,768 | 86,147 | ||||
Tower International, Inc. | 3,161 | 61,639 | ||||
Visteon Corp. (a) (b) | 4,637 | 271,635 | ||||
6,646,636 | ||||||
AUTOMOBILES — 0.7% | ||||||
Tesla, Inc. (a) (b) | 22,058 | 4,929,081 | ||||
Thor Industries, Inc. | 8,408 | 491,447 | ||||
Winnebago Industries, Inc. (b) | 5,400 | 208,710 | ||||
5,629,238 | ||||||
BANKS — 6.0% | ||||||
1st Constitution Bancorp | 1,200 | 22,164 | ||||
1st Source Corp. | 2,400 | 111,360 | ||||
ACNB Corp. | 1,000 | 39,570 | ||||
Allegiance Bancshares, Inc. (a) | 3,500 | 116,690 | ||||
Amalgamated Bank Class A | 1,600 | 27,920 | ||||
Amerant Bancorp, Inc. (a) | 3,000 | 59,130 | ||||
American National Bankshares, Inc. | 1,600 | 62,000 | ||||
Ameris Bancorp | 7,444 | 291,730 | ||||
Ames National Corp. | 1,300 | 35,230 | ||||
Arrow Financial Corp. | 1,881 | 65,327 | ||||
Associated Banc-Corp. | 26,930 | 569,300 | ||||
Atlantic Capital Bancshares, Inc. (a) | 3,800 | 65,056 | ||||
Atlantic Union Bankshares Corp. | 12,319 | 435,230 | ||||
Banc of California, Inc. | 6,800 | 94,996 | ||||
BancFirst Corp. | 2,852 | 158,742 | ||||
Bancorp, Inc. (a) | 8,000 | 71,360 | ||||
BancorpSouth Bank | 15,055 | 437,197 | ||||
Bank First National Corp. | 900 | 62,064 | ||||
Bank of Commerce Holdings | 2,400 | 25,656 | ||||
Bank of Hawaii Corp. | 6,334 | 525,152 | ||||
Bank of Marin Bancorp | 2,144 | 87,947 | ||||
Bank of NT Butterfield & Son, Ltd. | 9,000 | 305,640 | ||||
Bank of Princeton (b) | 900 | 27,000 | ||||
Bank OZK | 20,154 | 606,434 | ||||
Bank7 Corp. (a) | 500 | 9,245 | ||||
BankFinancial Corp. | 2,100 | 29,379 | ||||
BankUnited, Inc. | 16,127 | 544,125 | ||||
Bankwell Financial Group, Inc. | 900 | 25,830 | ||||
Banner Corp. | 5,400 | 292,410 | ||||
Bar Harbor Bankshares | 2,280 | 60,625 | ||||
Baycom Corp. (a) | 1,600 | 35,040 | ||||
BCB Bancorp, Inc. | 2,000 | 27,700 |
Security Description | Shares | Value | |||
Berkshire Hills Bancorp, Inc. | 8,016 | $251,622 | |||
BOK Financial Corp. | 5,208 | 393,100 | |||
Boston Private Financial Holdings, Inc. | 12,900 | 155,703 | |||
Bridge Bancorp, Inc. | 2,600 | 76,596 | |||
Brookline Bancorp, Inc. | 12,500 | 192,250 | |||
Bryn Mawr Bank Corp. | 3,100 | 115,692 | |||
Business First Bancshares, Inc. | 1,700 | 43,265 | |||
Byline Bancorp, Inc. (a) | 3,700 | 70,744 | |||
C&F Financial Corp. | 500 | 27,305 | |||
Cadence BanCorp | 19,200 | 399,360 | |||
Cambridge Bancorp | 600 | 48,900 | |||
Camden National Corp. | 2,382 | 109,262 | |||
Capital Bancorp, Inc. (a) (b) | 800 | 9,840 | |||
Capital City Bank Group, Inc. | 1,800 | 44,730 | |||
Capstar Financial Holdings, Inc. | 2,300 | 34,845 | |||
Carolina Financial Corp. | 3,400 | 119,306 | |||
Carter Bank & Trust (a) | 3,500 | 69,125 | |||
Cathay General Bancorp | 12,354 | 443,632 | |||
CBTX, Inc. | 2,700 | 75,978 | |||
CenterState Bank Corp. | 19,329 | 445,147 | |||
Central Pacific Financial Corp. | 4,479 | 134,191 | |||
Central Valley Community Bancorp | 1,800 | 38,646 | |||
Century Bancorp, Inc. Class A | 436 | 38,324 | |||
Chemical Financial Corp. | 11,345 | 466,393 | |||
Chemung Financial Corp. | 500 | 24,170 | |||
CIT Group, Inc. | 15,086 | 792,618 | |||
Citizens & Northern Corp. | 1,700 | 44,761 | |||
City Holding Co. | 2,749 | 209,639 | |||
Civista Bancshares, Inc. | 2,300 | 51,635 | |||
CNB Financial Corp. | 2,300 | 64,952 | |||
Coastal Financial Corp. (a) | 1,100 | 17,017 | |||
Codorus Valley Bancorp, Inc. | 1,403 | 32,269 | |||
Colony Bankcorp, Inc. | 1,200 | 20,340 | |||
Columbia Banking System, Inc. | 11,658 | 421,786 | |||
Commerce Bancshares, Inc. | 15,575 | 929,205 | |||
Community Bank System, Inc. | 8,039 | 529,288 | |||
Community Bankers Trust Corp. | 3,200 | 27,104 | |||
Community Financial Corp. | 800 | 26,984 | |||
Community Trust Bancorp, Inc. | 2,413 | 102,046 | |||
ConnectOne Bancorp, Inc. | 4,623 | 104,757 | |||
Cullen/Frost Bankers, Inc. | 9,056 | 848,185 | |||
Customers Bancorp, Inc. (a) | 4,400 | 92,400 | |||
CVB Financial Corp. | 20,700 | 435,321 | |||
DNB Financial Corp. | 500 | 22,235 | |||
Eagle Bancorp, Inc. | 5,100 | 276,063 | |||
East West Bancorp, Inc. | 23,471 | 1,097,739 | |||
Enterprise Bancorp, Inc. | 1,378 | 43,696 | |||
Enterprise Financial Services Corp. | 3,500 | 145,600 | |||
Equity Bancshares, Inc. Class A (a) | 2,000 | 53,320 | |||
Esquire Financial Holdings, Inc. (a) | 1,000 | 25,150 | |||
Evans Bancorp, Inc. | 600 | 22,638 | |||
Farmers & Merchants Bancorp, Inc. | 1,300 | 37,856 | |||
Farmers National Banc Corp. | 3,700 | 54,871 | |||
FB Financial Corp. | 2,600 | 95,160 | |||
Fidelity D&D Bancorp, Inc. | 400 | 26,880 |
Security Description | Shares | Value | |||
Fidelity Southern Corp. | 3,500 | $108,395 | |||
Financial Institutions, Inc. | 2,300 | 67,045 | |||
First BanCorp | 34,200 | 377,568 | |||
First Bancorp, Inc. | 1,500 | 40,275 | |||
First BanCorp/Southern Pines | 4,713 | 171,647 | |||
First Bancshares, Inc. | 2,600 | 78,884 | |||
First Bank | 2,500 | 29,350 | |||
First Busey Corp. | 8,749 | 231,061 | |||
First Business Financial Services, Inc. | 1,200 | 28,200 | |||
First Capital, Inc. | 500 | 25,270 | |||
First Choice Bancorp | 1,400 | 31,836 | |||
First Citizens BancShares, Inc. Class A | 1,190 | 535,821 | |||
First Commonwealth Financial Corp. | 15,400 | 207,438 | |||
First Community Bankshares, Inc. | 2,400 | 81,024 | |||
First Financial Bancorp | 15,282 | 370,130 | |||
First Financial Bankshares, Inc. (b) | 20,702 | 637,415 | |||
First Financial Corp. | 1,800 | 72,288 | |||
First Financial Northwest, Inc. | 1,000 | 14,150 | |||
First Foundation, Inc. | 6,100 | 81,984 | |||
First Guaranty Bancshares, Inc. | 530 | 11,051 | |||
First Hawaiian, Inc. | 21,600 | 558,792 | |||
First Horizon National Corp. | 48,819 | 728,868 | |||
First Internet Bancorp | 1,500 | 32,310 | |||
First Interstate BancSystem, Inc. Class A | 6,282 | 248,830 | |||
First Merchants Corp. | 7,778 | 294,786 | |||
First Mid-Illinois Bancshares, Inc. | 1,900 | 66,348 | |||
First Midwest Bancorp, Inc. | 16,934 | 346,639 | |||
First Northwest Bancorp | 1,200 | 19,500 | |||
First of Long Island Corp. | 3,850 | 77,308 | |||
Flushing Financial Corp. | 4,100 | 91,020 | |||
FNB Corp. | 52,833 | 621,844 | |||
FNCB Bancorp, Inc. | 2,700 | 20,898 | |||
Franklin Financial Network, Inc. | 2,055 | 57,252 | |||
Franklin Financial Services Corp. | 700 | 26,684 | |||
Fulton Financial Corp. | 26,600 | 435,442 | |||
FVCBankcorp, Inc. (a) (b) | 2,700 | 52,434 | |||
German American Bancorp, Inc. | 3,564 | 107,348 | |||
Glacier Bancorp, Inc. | 13,500 | 547,425 | |||
Great Southern Bancorp, Inc. | 1,768 | 105,815 | |||
Great Western Bancorp, Inc. | 9,215 | 329,160 | |||
Guaranty Bancshares, Inc. | 1,200 | 37,380 | |||
Hancock Whitney Corp. | 13,586 | 544,255 | |||
Hanmi Financial Corp. | 4,900 | 109,123 | |||
HarborOne Bancorp, Inc. (a) | 2,300 | 43,079 | |||
Hawthorn Bancshares, Inc. | 900 | 24,120 | |||
Heartland Financial USA, Inc. | 5,200 | 232,596 | |||
Heritage Commerce Corp. | 6,300 | 77,175 | |||
Heritage Financial Corp. | 5,800 | 171,332 | |||
Hilltop Holdings, Inc. | 11,200 | 238,224 | |||
Home BancShares, Inc. | 25,014 | 481,770 | |||
HomeTrust Bancshares, Inc. | 2,600 | 65,364 | |||
Hope Bancorp, Inc. | 19,121 | 263,487 | |||
Horizon Bancorp, Inc. | 5,600 | 91,504 |
Security Description | Shares | Value | |||
Howard Bancorp, Inc. (a) | 1,900 | $28,823 | |||
IBERIABANK Corp. | 8,392 | 636,533 | |||
Independent Bank Corp. | 3,230 | 70,382 | |||
Independent Bank Corp. (Massachusetts) | 5,292 | 402,986 | |||
Independent Bank Group, Inc. | 5,736 | 315,251 | |||
International Bancshares Corp. | 8,890 | 335,242 | |||
Investar Holding Corp. | 1,300 | 31,005 | |||
Investors Bancorp, Inc. | 37,914 | 422,741 | |||
Lakeland Bancorp, Inc. | 7,100 | 114,665 | |||
Lakeland Financial Corp. | 3,828 | 179,265 | |||
LCNB Corp. | 1,400 | 26,600 | |||
LegacyTexas Financial Group, Inc. | 8,048 | 327,634 | |||
Level One Bancorp, Inc. (b) | 700 | 17,493 | |||
Live Oak Bancshares, Inc. (b) | 3,800 | 65,170 | |||
Macatawa Bank Corp. | 3,900 | 40,014 | |||
Mackinac Financial Corp. | 1,400 | 22,120 | |||
MainStreet Bancshares, Inc. (a) | 1,100 | 25,069 | |||
Malvern Bancorp, Inc. (a) | 1,100 | 24,211 | |||
MBT Financial Corp. | 2,700 | 27,054 | |||
Mercantile Bank Corp. | 2,500 | 81,450 | |||
Metropolitan Bank Holding Corp. (a) | 1,000 | 44,000 | |||
Mid Penn Bancorp, Inc. | 600 | 14,970 | |||
Midland States Bancorp, Inc. | 3,300 | 88,176 | |||
MidSouth Bancorp, Inc. | 2,200 | 26,070 | |||
MidWestOne Financial Group, Inc. | 1,651 | 46,162 | |||
MutualFirst Financial, Inc. | 900 | 30,636 | |||
MVB Financial Corp. | 1,400 | 23,744 | |||
National Bank Holdings Corp. Class A | 4,500 | 163,350 | |||
National Bankshares, Inc. | 1,037 | 40,370 | |||
NBT Bancorp, Inc. | 6,700 | 251,317 | |||
Nicolet Bankshares, Inc. (a) | 1,200 | 74,472 | |||
Northeast Bank (a) | 1,200 | 33,096 | |||
Northrim BanCorp, Inc. | 1,000 | 35,660 | |||
Norwood Financial Corp. | 850 | 29,589 | |||
Oak Valley Bancorp (b) | 1,100 | 21,505 | |||
OFG Bancorp | 7,900 | 187,783 | |||
Ohio Valley Banc Corp. | 700 | 26,999 | |||
Old Line Bancshares, Inc. | 2,500 | 66,525 | |||
Old National Bancorp | 28,161 | 467,191 | |||
Old Second Bancorp, Inc. | 4,300 | 54,911 | |||
Opus Bank | 3,000 | 63,330 | |||
Origin Bancorp, Inc. (b) | 2,700 | 89,100 | |||
Orrstown Financial Services, Inc. | 1,400 | 30,786 | |||
Pacific Mercantile Bancorp (a) | 2,500 | 20,625 | |||
Pacific Premier Bancorp, Inc. | 9,551 | 294,935 | |||
PacWest Bancorp | 18,415 | 715,054 | |||
Park National Corp. | 2,199 | 218,559 | |||
Parke Bancorp, Inc. | 1,120 | 26,824 | |||
PCB Bancorp | 1,900 | 32,376 | |||
Peapack Gladstone Financial Corp. | 3,000 | 84,360 | |||
Penns Woods Bancorp, Inc. | 647 | 29,277 | |||
Peoples Bancorp of North Carolina, Inc. | 730 | 21,937 | |||
Peoples Bancorp, Inc. | 2,800 | 90,328 |
Security Description | Shares | Value | |||
Peoples Financial Services Corp. | 1,039 | $46,745 | |||
People's Utah Bancorp | 2,300 | 67,620 | |||
Pinnacle Financial Partners, Inc. | 11,739 | 674,758 | |||
Popular, Inc. | 14,910 | 808,718 | |||
Preferred Bank | 2,200 | 103,950 | |||
Premier Financial Bancorp, Inc. | 1,812 | 27,180 | |||
Prosperity Bancshares, Inc. (b) | 10,822 | 714,793 | |||
QCR Holdings, Inc. | 2,000 | 69,740 | |||
RBB Bancorp | 2,200 | 42,548 | |||
Red River Bancshares, Inc. (a) | 100 | 4,845 | |||
Reliant Bancorp, Inc. (b) | 1,500 | 35,445 | |||
Renasant Corp. | 9,461 | 340,028 | |||
Republic Bancorp, Inc. Class A | 1,500 | 74,625 | |||
Republic First Bancorp, Inc. (a) | 7,000 | 34,370 | |||
S&T Bancorp, Inc. | 5,453 | 204,378 | |||
Sandy Spring Bancorp, Inc. | 5,497 | 191,735 | |||
SB One Bancorp | 1,100 | 24,585 | |||
Seacoast Banking Corp. of Florida (a) | 7,900 | 200,976 | |||
Select Bancorp, Inc. (a) | 2,500 | 28,600 | |||
ServisFirst Bancshares, Inc. | 7,300 | 250,098 | |||
Shore Bancshares, Inc. | 1,900 | 31,046 | |||
Sierra Bancorp | 2,100 | 56,952 | |||
Signature Bank | 8,574 | 1,036,082 | |||
Simmons First National Corp. Class A | 14,486 | 336,944 | |||
SmartFinancial, Inc. (a) | 1,700 | 36,873 | |||
South Plains Financial, Inc. (a) | 500 | 8,250 | |||
South State Corp. | 5,645 | 415,867 | |||
Southern First Bancshares, Inc. (a) | 1,000 | 39,160 | |||
Southern National Bancorp of Virginia, Inc. | 3,000 | 45,930 | |||
Southside Bancshares, Inc. | 5,504 | 178,220 | |||
Spirit of Texas Bancshares, Inc. (a) (b) | 1,600 | 36,000 | |||
Sterling Bancorp | 32,416 | 689,813 | |||
Stock Yards Bancorp, Inc. | 3,500 | 126,525 | |||
Summit Financial Group, Inc. | 1,600 | 42,960 | |||
Synovus Financial Corp. | 23,554 | 824,390 | |||
TCF Financial Corp. | 25,700 | 534,303 | |||
Texas Capital Bancshares, Inc. (a) | 8,048 | 493,906 | |||
Tompkins Financial Corp. | 2,393 | 195,269 | |||
Towne Bank | 10,390 | 283,439 | |||
TriCo Bancshares | 3,962 | 149,764 | |||
TriState Capital Holdings, Inc. (a) | 3,900 | 83,226 | |||
Triumph Bancorp, Inc. (a) | 3,800 | 110,390 | |||
Trustmark Corp. | 10,477 | 348,360 | |||
UMB Financial Corp. | 7,189 | 473,180 | |||
Umpqua Holdings Corp. | 35,887 | 595,365 | |||
Union Bankshares, Inc./Morrisville | 600 | 22,206 | |||
United Bankshares, Inc. | 15,700 | 582,313 | |||
United Community Banks, Inc. | 12,561 | 358,742 | |||
United Security Bancshares | 2,100 | 23,919 | |||
Unity Bancorp, Inc. | 1,200 | 27,240 | |||
Univest Financial Corp. | 4,544 | 119,325 | |||
Valley National Bancorp | 51,400 | 554,092 |
Security Description | Shares | Value | ||||
Veritex Holdings, Inc. | 8,886 | $230,592 | ||||
Washington Trust Bancorp, Inc. | 2,313 | 120,692 | ||||
Webster Financial Corp. | 14,357 | 685,834 | ||||
WesBanco, Inc. | 8,441 | 325,401 | ||||
West Bancorp, Inc. | 2,300 | 48,806 | ||||
Westamerica Bancorporation | 4,185 | 257,838 | ||||
Western Alliance Bancorp (a) | 15,165 | 678,179 | ||||
Wintrust Financial Corp. | 9,028 | 660,489 | ||||
48,607,178 | ||||||
BEVERAGES — 0.3% | ||||||
Boston Beer Co., Inc. Class A (a) (b) | 1,359 | 513,376 | ||||
Celsius Holdings, Inc. (a) (b) | 2,800 | 12,432 | ||||
Coca-Cola Consolidated, Inc. | 743 | 222,343 | ||||
Craft Brew Alliance, Inc. (a) | 1,900 | 26,581 | ||||
Keurig Dr. Pepper, Inc. (b) | 31,800 | 919,020 | ||||
MGP Ingredients, Inc. (b) | 2,100 | 139,251 | ||||
National Beverage Corp. (b) | 1,800 | 80,334 | ||||
New Age Beverages Corp. (a) | 11,300 | 52,658 | ||||
Primo Water Corp. (a) (b) | 5,300 | 65,190 | ||||
2,031,185 | ||||||
BIOTECHNOLOGY — 5.1% | ||||||
Abeona Therapeutics, Inc. (a) (b) | 4,900 | 23,422 | ||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 16,409 | 438,613 | ||||
Acceleron Pharma, Inc. (a) (b) | 7,000 | 287,560 | ||||
Achillion Pharmaceuticals, Inc. (a) | 20,300 | 54,404 | ||||
Acorda Therapeutics, Inc. (a) | 6,800 | 52,156 | ||||
Adamas Pharmaceuticals, Inc. (a) (b) | 3,300 | 20,460 | ||||
ADMA Biologics, Inc. (a) (b) | 2,300 | 8,901 | ||||
Aduro Biotech, Inc. (a) | 9,554 | 14,713 | ||||
Adverum Biotechnologies, Inc. (a) | 8,700 | 103,443 | ||||
Aeglea BioTherapeutics, Inc. (a) | 3,000 | 20,550 | ||||
Affimed NV (a) | 9,400 | 26,978 | ||||
Agenus, Inc. (a) | 13,000 | 39,000 | ||||
AgeX Therapeutics, Inc. (a) (b) | 1,010 | 3,707 | ||||
Agios Pharmaceuticals, Inc. (a) (b) | 8,168 | 407,420 | ||||
Aimmune Therapeutics, Inc. (a) (b) | 7,000 | 145,740 | ||||
Akcea Therapeutics, Inc. (a) (b) | 2,000 | 46,900 | ||||
Akebia Therapeutics, Inc. (a) (b) | 18,504 | 89,559 | ||||
Albireo Pharma, Inc. (a) | 1,400 | 45,136 | ||||
Alder Biopharmaceuticals, Inc. (a) (b) | 11,452 | 134,790 | ||||
Aldeyra Therapeutics, Inc. (a) | 3,500 | 21,000 | ||||
Alector, Inc. (a) (b) | 900 | 17,100 | ||||
Alkermes PLC (a) | 25,162 | 567,151 | ||||
Allakos, Inc. (a) (b) | 2,700 | 116,991 | ||||
Allogene Therapeutics, Inc. (a) (b) | 6,000 | 161,100 | ||||
Alnylam Pharmaceuticals, Inc. (a) | 16,569 | 1,202,247 | ||||
AMAG Pharmaceuticals, Inc. (a) (b) | 5,500 | 54,945 | ||||
Amicus Therapeutics, Inc. (a) (b) | 35,941 | 448,544 | ||||
AnaptysBio, Inc. (a) (b) | 3,900 | 220,038 | ||||
Anavex Life Sciences Corp. (a) | 6,700 | 22,579 | ||||
Anika Therapeutics, Inc. (a) (b) | 2,147 | 87,211 | ||||
Apellis Pharmaceuticals, Inc. (a) | 8,300 | 210,322 | ||||
Arcus Biosciences, Inc. (a) (b) | 4,700 | 37,365 |
Security Description | Shares | Value | |||
Ardelyx, Inc. (a) | 5,600 | $15,064 | |||
Arena Pharmaceuticals, Inc. (a) | 7,930 | 464,936 | |||
ArQule, Inc. (a) (b) | 17,100 | 188,271 | |||
Array BioPharma, Inc. (a) (b) | 35,383 | 1,639,294 | |||
Arrowhead Pharmaceuticals, Inc. (a) (b) | 14,500 | 384,250 | |||
Assembly Biosciences, Inc. (a) | 3,100 | 41,819 | |||
Atara Biotherapeutics, Inc. (a) (b) | 6,600 | 132,726 | |||
Athenex, Inc. (a) (b) | 10,200 | 201,960 | |||
Athersys, Inc. (a) (b) | 18,500 | 31,080 | |||
Audentes Therapeutics, Inc. (a) | 7,300 | 276,378 | |||
Avid Bioservices, Inc. (a) | 7,700 | 43,120 | |||
Avrobio, Inc. (a) | 2,000 | 32,520 | |||
Axcella Health, Inc. (a) | 300 | 2,793 | |||
Beyondspring, Inc. (a) | 1,700 | 40,290 | |||
BioCryst Pharmaceuticals, Inc. (a) | 16,900 | 64,051 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) (b) | 5,000 | 218,950 | |||
BioMarin Pharmaceutical, Inc. (a) | 27,980 | 2,396,487 | |||
BioSpecifics Technologies Corp. (a) | 926 | 55,291 | |||
BioTime, Inc. (a) (b) | 17,200 | 18,920 | |||
Bioxcel Therapeutics, Inc. (a) | 900 | 9,864 | |||
Bluebird Bio, Inc. (a) (b) | 8,819 | 1,121,777 | |||
Blueprint Medicines Corp. (a) | 7,842 | 739,736 | |||
Calithera Biosciences, Inc. (a) | 4,700 | 18,330 | |||
Calyxt, Inc. (a) (b) | 800 | 9,984 | |||
Cara Therapeutics, Inc. (a) (b) | 5,100 | 109,650 | |||
CareDx, Inc. (a) | 6,900 | 248,331 | |||
CASI Pharmaceuticals, Inc. (a) (b) | 7,500 | 24,000 | |||
Catalyst Pharmaceuticals, Inc. (a) (b) | 14,400 | 55,296 | |||
Celcuity, Inc. (a) (b) | 1,000 | 25,000 | |||
Cellular Biomedicine Group, Inc. (a) (b) | 1,700 | 28,101 | |||
CEL-SCI Corp. (a) | 4,100 | 34,358 | |||
Checkpoint Therapeutics, Inc. (a) | 3,600 | 10,908 | |||
ChemoCentryx, Inc. (a) | 6,400 | 59,520 | |||
Chimerix, Inc. (a) | 7,397 | 31,955 | |||
Clovis Oncology, Inc. (a) (b) | 7,380 | 109,741 | |||
Coherus Biosciences, Inc. (a) (b) | 10,500 | 232,050 | |||
Concert Pharmaceuticals, Inc. (a) | 3,100 | 37,200 | |||
Constellation Pharmaceuticals, Inc. (a) (b) | 2,500 | 30,700 | |||
Corbus Pharmaceuticals Holdings, Inc. (a) (b) | 8,600 | 59,598 | |||
Cortexyme, Inc. (a) | 500 | 21,255 | |||
Crinetics Pharmaceuticals, Inc. (a) | 1,400 | 35,000 | |||
Cue Biopharma, Inc. (a) (b) | 2,900 | 26,071 | |||
Cyclerion Therapeutics, Inc. (a) | 2,140 | 24,503 | |||
Cytokinetics, Inc. (a) (b) | 7,400 | 83,250 | |||
CytomX Therapeutics, Inc. (a) | 7,076 | 79,393 | |||
Deciphera Pharmaceuticals, Inc. (a) (b) | 2,300 | 51,865 | |||
Denali Therapeutics, Inc. (a) (b) | 7,300 | 151,548 | |||
Dicerna Pharmaceuticals, Inc. (a) | 8,600 | 135,450 | |||
Dynavax Technologies Corp. (a) (b) | 9,838 | 39,254 | |||
Eagle Pharmaceuticals, Inc. (a) (b) | 1,605 | 89,366 | |||
Editas Medicine, Inc. (a) (b) | 7,300 | 180,602 |
Security Description | Shares | Value | |||
Eidos Therapeutics, Inc. (a) (b) | 2,600 | $80,808 | |||
Eiger BioPharmaceuticals, Inc. (a) | 3,700 | 39,220 | |||
Emergent BioSolutions, Inc. (a) | 7,300 | 352,663 | |||
Enanta Pharmaceuticals, Inc. (a) | 2,700 | 227,826 | |||
Enochian Biosciences, Inc. (a) | 600 | 2,700 | |||
Epizyme, Inc. (a) (b) | 13,538 | 169,902 | |||
Esperion Therapeutics, Inc. (a) (b) | 3,600 | 167,472 | |||
Evelo Biosciences, Inc. (a) (b) | 1,800 | 16,164 | |||
Exact Sciences Corp. (a) (b) | 20,422 | 2,410,613 | |||
Exelixis, Inc. (a) | 47,785 | 1,021,165 | |||
Fate Therapeutics, Inc. (a) | 9,700 | 196,910 | |||
FibroGen, Inc. (a) (b) | 12,100 | 546,678 | |||
Five Prime Therapeutics, Inc. (a) | 4,947 | 29,830 | |||
Flexion Therapeutics, Inc. (a) (b) | 5,300 | 65,190 | |||
Forty Seven, Inc. (a) (b) | 2,200 | 23,320 | |||
G1 Therapeutics, Inc. (a) (b) | 5,800 | 177,828 | |||
Galectin Therapeutics, Inc. (a) | 5,000 | 20,750 | |||
Genomic Health, Inc. (a) | 4,500 | 261,765 | |||
Geron Corp. (a) (b) | 25,283 | 35,649 | |||
Global Blood Therapeutics, Inc. (a) (b) | 8,538 | 449,099 | |||
GlycoMimetics, Inc. (a) (b) | 5,000 | 59,600 | |||
Gossamer Bio, Inc. (a) (b) | 3,900 | 86,502 | |||
Gritstone Oncology, Inc. (a) (b) | 5,500 | 61,270 | |||
Halozyme Therapeutics, Inc. (a) | 23,452 | 402,905 | |||
Harpoon Therapeutics, Inc. (a) | 900 | 11,700 | |||
Heron Therapeutics, Inc. (a) (b) | 10,826 | 201,255 | |||
Homology Medicines, Inc. (a) | 3,800 | 74,366 | |||
Hookipa Pharma, Inc. (a) | 300 | 2,019 | |||
ImmunoGen, Inc. (a) | 22,500 | 48,825 | |||
Immunomedics, Inc. (a) (b) | 28,672 | 397,681 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 13,811 | 40,604 | |||
Insmed, Inc. (a) (b) | 12,233 | 313,165 | |||
Intellia Therapeutics, Inc. (a) (b) | 5,100 | 83,487 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 4,117 | 327,590 | |||
Intrexon Corp. (a) (b) | 13,941 | 106,788 | |||
Invitae Corp. (a) (b) | 14,400 | 338,400 | |||
Ionis Pharmaceuticals, Inc. (a) (b) | 20,273 | 1,302,946 | |||
Iovance Biotherapeutics, Inc. (a) (b) | 18,000 | 441,360 | |||
Ironwood Pharmaceuticals, Inc. (a) (b) | 24,100 | 263,654 | |||
Jounce Therapeutics, Inc. (a) | 1,700 | 8,415 | |||
Kadmon Holdings, Inc. (a) (b) | 14,500 | 29,870 | |||
KalVista Pharmaceuticals, Inc. (a) | 1,800 | 39,870 | |||
Karyopharm Therapeutics, Inc. (a) (b) | 7,100 | 42,529 | |||
Kezar Life Sciences, Inc. (a) (b) | 2,000 | 15,420 | |||
Kindred Biosciences, Inc. (a) | 5,600 | 46,648 | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) (b) | 1,900 | 25,726 | |||
Kodiak Sciences, Inc. (a) | 5,100 | 59,670 | |||
Krystal Biotech, Inc. (a) | 1,400 | 56,378 | |||
Kura Oncology, Inc. (a) | 4,500 | 88,605 | |||
La Jolla Pharmaceutical Co. (a) (b) | 3,400 | 31,450 | |||
Lexicon Pharmaceuticals, Inc. (a) (b) | 6,521 | 41,017 |
Security Description | Shares | Value | |||
Ligand Pharmaceuticals, Inc. (a) (b) | 2,979 | $340,053 | |||
LogicBio Therapeutics, Inc. (a) (b) | 1,100 | 14,300 | |||
MacroGenics, Inc. (a) | 7,447 | 126,376 | |||
Madrigal Pharmaceuticals, Inc. (a) (b) | 1,100 | 115,291 | |||
Magenta Therapeutics, Inc. (a) | 2,300 | 33,925 | |||
MannKind Corp. (a) (b) | 25,800 | 29,670 | |||
Marker Therapeutics, Inc. (a) | 4,200 | 33,264 | |||
Medicines Co. (a) (b) | 11,059 | 403,322 | |||
MediciNova, Inc. (a) (b) | 5,900 | 56,817 | |||
MEI Pharma, Inc. (a) | 10,600 | 26,500 | |||
MeiraGTx Holdings PLC (a) (b) | 1,900 | 51,072 | |||
Mersana Therapeutics, Inc. (a) (b) | 5,600 | 22,680 | |||
Millendo Therapeutics, Inc. (a) | 1,500 | 17,340 | |||
Minerva Neurosciences, Inc. (a) | 4,580 | 25,785 | |||
Mirati Therapeutics, Inc. (a) (b) | 4,100 | 422,300 | |||
Moderna, Inc. (a) | 4,200 | 61,488 | |||
Molecular Templates, Inc. (a) | 1,900 | 15,865 | |||
Momenta Pharmaceuticals, Inc. (a) | 15,287 | 190,323 | |||
Mustang Bio, Inc. (a) | 2,000 | 7,360 | |||
Myriad Genetics, Inc. (a) | 11,051 | 306,997 | |||
Natera, Inc. (a) | 8,700 | 239,946 | |||
Neon Therapeutics, Inc. (a) | 2,300 | 10,902 | |||
Neurocrine Biosciences, Inc. (a) | 14,171 | 1,196,457 | |||
NextCure, Inc. (a) | 500 | 7,490 | |||
Novavax, Inc. (a) (b) | 2,974 | 17,428 | |||
Oncocyte Corp. (a) | 3,300 | 8,217 | |||
OPKO Health, Inc. (a) (b) | 49,380 | 120,487 | |||
Organogenesis Holdings, Inc. (a) | 1,600 | 12,160 | |||
Palatin Technologies, Inc. (a) (b) | 30,800 | 35,728 | |||
PDL BioPharma, Inc. (a) | 22,755 | 71,451 | |||
Pfenex, Inc. (a) | 4,500 | 30,330 | |||
PhaseBio Pharmaceuticals, Inc. (a) | 2,100 | 27,552 | |||
Pieris Pharmaceuticals, Inc. (a) | 8,200 | 38,540 | |||
PolarityTE, Inc. (a) (b) | 1,500 | 8,550 | |||
Portola Pharmaceuticals, Inc. (a) (b) | 10,441 | 283,264 | |||
Precision BioSciences, Inc. (a) | 1,400 | 18,550 | |||
Principia Biopharma, Inc. (a) (b) | 2,600 | 86,294 | |||
Progenics Pharmaceuticals, Inc. (a) | 13,300 | 82,061 | |||
Protagonist Therapeutics, Inc. (a) | 2,400 | 29,064 | |||
Prothena Corp. PLC (a) | 6,300 | 66,591 | |||
PTC Therapeutics, Inc. (a) | 9,400 | 423,000 | |||
Puma Biotechnology, Inc. (a) (b) | 4,507 | 57,284 | |||
Ra Pharmaceuticals, Inc. (a) | 5,500 | 165,385 | |||
Radius Health, Inc. (a) (b) | 7,115 | 173,321 | |||
Recro Pharma, Inc. (a) | 2,900 | 29,493 | |||
REGENXBIO, Inc. (a) (b) | 5,100 | 261,987 | |||
Repligen Corp. (a) | 7,400 | 636,030 | |||
Replimenu Group, Inc. (a) (b) | 1,900 | 27,854 | |||
Retrophin, Inc. (a) | 6,400 | 128,576 | |||
Rhythm Pharmaceuticals, Inc. (a) | 4,300 | 94,600 | |||
Rigel Pharmaceuticals, Inc. (a) (b) | 26,500 | 69,165 | |||
Rocket Pharmaceuticals, Inc. (a) (b) | 3,700 | 55,500 | |||
Rubius Therapeutics, Inc. (a) (b) | 5,200 | 81,796 | |||
Sage Therapeutics, Inc. (a) (b) | 7,874 | 1,441,651 | |||
Sangamo Therapeutics, Inc. (a) (b) | 18,000 | 193,860 |
Security Description | Shares | Value | ||||
Sarepta Therapeutics, Inc. (a) (b) | 11,247 | $1,708,982 | ||||
Savara, Inc. (a) | 4,500 | 10,665 | ||||
Scholar Rock Holding Corp. (a) (b) | 2,300 | 36,478 | ||||
Seattle Genetics, Inc. (a) (b) | 17,520 | 1,212,559 | ||||
Seres Therapeutics, Inc. (a) (b) | 3,246 | 10,452 | ||||
Solid Biosciences, Inc. (a) (b) | 1,700 | 9,775 | ||||
Sorrento Therapeutics, Inc. (a) (b) | 18,100 | 48,327 | ||||
Spark Therapeutics, Inc. (a) | 4,942 | 505,962 | ||||
Spectrum Pharmaceuticals, Inc. (a) | 15,562 | 133,989 | ||||
Spero Therapeutics, Inc. (a) | 1,100 | 12,661 | ||||
Stemline Therapeutics, Inc. (a) (b) | 6,000 | 91,920 | ||||
Sutro Biopharma, Inc. (a) | 800 | 9,104 | ||||
Syndax Pharmaceuticals, Inc. (a) | 2,400 | 22,344 | ||||
Synlogic, Inc. (a) (b) | 2,500 | 22,750 | ||||
Synthorx, Inc. (a) (b) | 1,200 | 16,212 | ||||
Syros Pharmaceuticals, Inc. (a) (b) | 3,800 | 35,188 | ||||
TCR2 Therapeutics, Inc. (a) | 300 | 4,293 | ||||
TG Therapeutics, Inc. (a) (b) | 12,300 | 106,395 | ||||
Tocagen, Inc. (a) | 3,300 | 22,044 | ||||
Translate Bio, Inc. (a) (b) | 4,700 | 59,361 | ||||
Turning Point Therapeutics I (a) | 1,000 | 40,700 | ||||
Twist Bioscience Corp. (a) (b) | 3,300 | 95,733 | ||||
Tyme Technologies, Inc. (a) (b) | 15,500 | 18,910 | ||||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 8,365 | 531,177 | ||||
United Therapeutics Corp. (a) | 6,897 | 538,380 | ||||
UNITY Biotechnology, Inc. (a) (b) | 3,700 | 35,150 | ||||
UroGen Pharma, Ltd. (a) | 2,900 | 104,226 | ||||
Vanda Pharmaceuticals, Inc. (a) | 8,100 | 114,129 | ||||
VBI Vaccines, Inc. (a) | 13,100 | 15,327 | ||||
Veracyte, Inc. (a) | 7,200 | 205,272 | ||||
Vericel Corp. (a) (b) | 7,000 | 132,230 | ||||
Viking Therapeutics, Inc. (a) (b) | 9,600 | 79,680 | ||||
Voyager Therapeutics, Inc. (a) | 3,400 | 92,548 | ||||
X4 Pharmaceuticals, Inc. (a) | 148 | 2,220 | ||||
XBiotech, Inc. (a) | 2,600 | 19,708 | ||||
Xencor, Inc. (a) (b) | 7,385 | 302,268 | ||||
Y-mAbs Therapeutics, Inc. (a) (b) | 3,900 | 89,193 | ||||
ZIOPHARM Oncology, Inc. (a) (b) | 25,200 | 146,916 | ||||
41,811,688 | ||||||
BUILDING PRODUCTS — 1.0% | ||||||
AAON, Inc. (b) | 6,600 | 331,188 | ||||
Advanced Drainage Systems, Inc. | 5,800 | 190,182 | ||||
American Woodmark Corp. (a) | 2,259 | 191,157 | ||||
Apogee Enterprises, Inc. | 4,309 | 187,183 | ||||
Armstrong Flooring, Inc. (a) | 3,077 | 30,308 | ||||
Armstrong World Industries, Inc. | 7,955 | 773,226 | ||||
Builders FirstSource, Inc. (a) | 17,800 | 300,108 | ||||
Caesarstone, Ltd. (b) | 3,327 | 50,005 | ||||
Continental Building Products, Inc. (a) | 6,000 | 159,420 | ||||
Cornerstone Building Brands, Inc. (a) | 6,228 | 36,309 | ||||
CSW Industrials, Inc. | 2,337 | 159,267 | ||||
Gibraltar Industries, Inc. (a) | 5,000 | 201,800 | ||||
Griffon Corp. | 5,500 | 93,060 |
Security Description | Shares | Value | ||||
Insteel Industries, Inc. | 2,700 | $56,214 | ||||
JELD-WEN Holding, Inc. (a) | 10,700 | 227,161 | ||||
Lennox International, Inc. | 5,523 | 1,518,825 | ||||
Masonite International Corp. (a) | 4,193 | 220,887 | ||||
Owens Corning | 16,816 | 978,691 | ||||
Patrick Industries, Inc. (a) | 3,600 | 177,084 | ||||
PGT Innovations, Inc. (a) | 9,100 | 152,152 | ||||
Quanex Building Products Corp. | 5,068 | 95,734 | ||||
Resideo Technologies, Inc. (a) | 19,700 | 431,824 | ||||
Simpson Manufacturing Co., Inc. | 7,300 | 485,158 | ||||
Trex Co., Inc. (a) (b) | 9,498 | 681,007 | ||||
Universal Forest Products, Inc. | 9,609 | 365,719 | ||||
8,093,669 | ||||||
CAPITAL MARKETS — 1.8% | ||||||
Ares Management Corp. Class A | 10,000 | 261,700 | ||||
Artisan Partners Asset Management, Inc. Class A | 7,555 | 207,914 | ||||
Associated Capital Group, Inc. Class A (b) | 300 | 11,220 | ||||
B. Riley Financial, Inc. (b) | 3,334 | 69,547 | ||||
BGC Partners, Inc. Class A | 43,300 | 226,459 | ||||
Blucora, Inc. (a) | 7,700 | 233,849 | ||||
BrightSphere Investment Group PLC | 12,900 | 147,189 | ||||
Cohen & Steers, Inc. | 3,509 | 180,503 | ||||
Cowen, Inc. Class A (a) (b) | 4,250 | 73,057 | ||||
Diamond Hill Investment Group, Inc. | 503 | 71,285 | ||||
Donnelley Financial Solutions, Inc. (a) | 5,312 | 70,862 | ||||
Eaton Vance Corp. | 17,456 | 752,877 | ||||
Evercore, Inc. Class A | 6,443 | 570,657 | ||||
FactSet Research Systems, Inc. (b) | 5,873 | 1,682,967 | ||||
Federated Investors, Inc. Class B | 15,400 | 500,500 | ||||
Focus Financial Partners, Inc. Class A (a) | 4,200 | 114,702 | ||||
GAIN Capital Holdings, Inc. (b) | 4,000 | 16,520 | ||||
GAMCO Investors, Inc. Class A | 551 | 10,563 | ||||
Greenhill & Co., Inc. (b) | 2,817 | 38,283 | ||||
Hamilton Lane, Inc. Class A | 3,700 | 211,122 | ||||
Houlihan Lokey, Inc. | 5,400 | 240,462 | ||||
Interactive Brokers Group, Inc. Class A | 11,819 | 640,590 | ||||
INTL. FCStone, Inc. (a) | 2,400 | 95,016 | ||||
Janus Henderson Group PLC | 25,700 | 549,980 | ||||
Ladenburg Thalmann Financial Services, Inc. | 15,000 | 51,450 | ||||
Lazard, Ltd. Class A | 16,802 | 577,821 | ||||
Legg Mason, Inc. | 13,600 | 520,608 | ||||
LPL Financial Holdings, Inc. | 13,007 | 1,060,981 | ||||
Moelis & Co. Class A | 7,000 | 244,650 | ||||
Morningstar, Inc. | 3,192 | 461,691 | ||||
Och-Ziff Capital Management Group, Inc. Class A | 2,600 | 59,696 | ||||
Oppenheimer Holdings, Inc. Class A | 1,400 | 38,108 | ||||
Piper Jaffray Cos. | 2,300 | 170,821 | ||||
PJT Partners, Inc. Class A | 3,669 | 148,668 |
Security Description | Shares | Value | ||||
Pzena Investment Management, Inc. Class A | 2,600 | $22,334 | ||||
Safeguard Scientifics, Inc. (a) | 3,000 | 36,210 | ||||
SEI Investments Co. | 20,187 | 1,132,491 | ||||
Siebert Financial Corp. (a) | 900 | 8,100 | ||||
Silvercrest Asset Management Group, Inc. Class A | 1,100 | 15,433 | ||||
Stifel Financial Corp. | 10,754 | 635,131 | ||||
TD Ameritrade Holding Corp. | 42,784 | 2,135,777 | ||||
Value Line, Inc. | 100 | 2,751 | ||||
Virtu Financial, Inc. Class A (b) | 6,600 | 143,748 | ||||
Virtus Investment Partners, Inc. | 1,046 | 112,340 | ||||
Waddell & Reed Financial, Inc. Class A (b) | 11,839 | 197,356 | ||||
Westwood Holdings Group, Inc. | 1,205 | 42,416 | ||||
WisdomTree Investments, Inc. (b) | 20,900 | 128,953 | ||||
14,925,358 | ||||||
CHEMICALS — 1.8% | ||||||
Advanced Emissions Solutions, Inc. (b) | 2,800 | 35,392 | ||||
AdvanSix, Inc. (a) | 4,800 | 117,264 | ||||
American Vanguard Corp. | 4,452 | 68,605 | ||||
Amyris, Inc. (a) (b) | 5,200 | 18,512 | ||||
Ashland Global Holdings, Inc. | 9,731 | 778,188 | ||||
Axalta Coating Systems, Ltd. (a) | 32,302 | 961,631 | ||||
Balchem Corp. | 5,095 | 509,347 | ||||
Cabot Corp. | 9,398 | 448,379 | ||||
Chase Corp. | 1,133 | 121,956 | ||||
Chemours Co. | 25,643 | 615,432 | ||||
Element Solutions, Inc. (a) | 35,700 | 369,138 | ||||
Ferro Corp. (a) | 13,109 | 207,122 | ||||
Flotek Industries, Inc. (a) | 8,300 | 27,473 | ||||
FutureFuel Corp. | 3,800 | 44,422 | ||||
GCP Applied Technologies, Inc. (a) | 8,397 | 190,108 | ||||
Hawkins, Inc. | 1,500 | 65,115 | ||||
HB Fuller Co. | 8,099 | 375,794 | ||||
Huntsman Corp. | 36,134 | 738,579 | ||||
Ingevity Corp. (a) | 6,838 | 719,152 | ||||
Innophos Holdings, Inc. | 3,000 | 87,330 | ||||
Innospec, Inc. | 3,917 | 357,387 | ||||
Intrepid Potash, Inc. (a) | 14,000 | 47,040 | ||||
Koppers Holdings, Inc. (a) | 3,200 | 93,952 | ||||
Kraton Corp. (a) | 4,900 | 152,243 | ||||
Kronos Worldwide, Inc. | 3,300 | 50,556 | ||||
Livent Corp. (a) (b) | 23,500 | 162,620 | ||||
LSB Industries, Inc. (a) | 2,700 | 10,530 | ||||
Marrone Bio Innovations, Inc. (a) | 6,700 | 10,050 | ||||
Minerals Technologies, Inc. | 5,643 | 301,957 | ||||
NewMarket Corp. | 1,049 | 420,586 | ||||
Olin Corp. | 26,400 | 578,424 | ||||
OMNOVA Solutions, Inc. (a) | 6,400 | 39,872 | ||||
Orion Engineered Carbons SA | 9,300 | 199,113 | ||||
PolyOne Corp. | 12,833 | 402,828 | ||||
PQ Group Holdings, Inc. (a) | 5,800 | 91,930 | ||||
Quaker Chemical Corp. | 2,092 | 424,425 |
Security Description | Shares | Value | ||||
Rayonier Advanced Materials, Inc. (b) | 7,700 | $49,973 | ||||
RPM International, Inc. | 20,185 | 1,233,505 | ||||
Scotts Miracle-Gro Co. (b) | 6,433 | 633,651 | ||||
Sensient Technologies Corp. | 6,819 | 501,060 | ||||
Stepan Co. | 3,282 | 301,649 | ||||
Trecora Resources (a) | 3,100 | 29,667 | ||||
Tredegar Corp. | 4,107 | 68,258 | ||||
Trinseo SA | 6,874 | 291,045 | ||||
Tronox Holdings PLC Class A (a) | 14,569 | 186,192 | ||||
Valhi, Inc. | 3,700 | 10,989 | ||||
Valvoline, Inc. | 30,194 | 589,689 | ||||
Westlake Chemical Corp. | 5,496 | 381,752 | ||||
WR Grace & Co. | 8,976 | 683,163 | ||||
14,803,045 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.4% | ||||||
ABM Industries, Inc. | 10,600 | 424,000 | ||||
ACCO Brands Corp. | 16,316 | 128,407 | ||||
ADT, Inc. (b) | 16,800 | 102,816 | ||||
Advanced Disposal Services, Inc. (a) | 11,600 | 370,156 | ||||
Brady Corp. Class A | 8,000 | 394,560 | ||||
BrightView Holdings, Inc. (a) (b) | 4,700 | 87,937 | ||||
Brink's Co. | 8,014 | 650,577 | ||||
Casella Waste Systems, Inc. Class A (a) | 7,400 | 293,262 | ||||
CECO Environmental Corp. (a) | 4,456 | 42,733 | ||||
Charah Solutions, Inc. (a) | 900 | 4,950 | ||||
Cimpress NV (a) (b) | 3,661 | 332,748 | ||||
Clean Harbors, Inc. (a) | 8,411 | 598,022 | ||||
CompX International, Inc. | 200 | 3,380 | ||||
Covanta Holding Corp. | 18,900 | 338,499 | ||||
Deluxe Corp. | 7,376 | 299,908 | ||||
Ennis, Inc. | 3,900 | 80,028 | ||||
Healthcare Services Group, Inc. (b) | 11,865 | 359,747 | ||||
Heritage-Crystal Clean, Inc. (a) | 2,200 | 57,882 | ||||
Herman Miller, Inc. | 9,400 | 420,180 | ||||
HNI Corp. | 6,989 | 247,271 | ||||
IAA, Inc. (a) | 21,765 | 844,047 | ||||
Interface, Inc. | 9,500 | 145,635 | ||||
KAR Auction Services, Inc. | 20,765 | 519,125 | ||||
Kimball International, Inc. Class B | 5,700 | 99,351 | ||||
Knoll, Inc. | 7,790 | 179,014 | ||||
LSC Communications, Inc. (b) | 4,912 | 18,027 | ||||
Matthews International Corp. Class A | 4,931 | 171,845 | ||||
McGrath RentCorp | 3,800 | 236,170 | ||||
Mobile Mini, Inc. | 7,000 | 213,010 | ||||
MSA Safety, Inc. | 5,421 | 571,319 | ||||
Multi-Color Corp. | 2,121 | 105,986 | ||||
NL Industries, Inc. (a) | 1,000 | 3,650 | ||||
NRC Group Holdings Corp. (a) | 1,600 | 17,792 | ||||
PICO Holdings, Inc. (a) | 2,700 | 31,374 | ||||
Pitney Bowes, Inc. (b) | 29,764 | 127,390 | ||||
Quad/Graphics, Inc. (b) | 4,600 | 36,386 | ||||
RR Donnelley & Sons Co. | 10,333 | 20,356 |
Security Description | Shares | Value | ||||
SP Plus Corp. (a) | 3,600 | $114,948 | ||||
Steelcase, Inc. Class A | 13,500 | 230,850 | ||||
Stericycle, Inc. (a) (b) | 14,100 | 673,275 | ||||
Team, Inc. (a) | 4,700 | 72,004 | ||||
Tetra Tech, Inc. | 8,480 | 666,104 | ||||
UniFirst Corp. | 2,508 | 472,934 | ||||
US Ecology, Inc. | 3,496 | 208,152 | ||||
Viad Corp. | 3,454 | 228,793 | ||||
VSE Corp. | 1,280 | 36,723 | ||||
11,281,323 | ||||||
COMMUNICATIONS EQUIPMENT — 0.8% | ||||||
Acacia Communications, Inc. (a) | 5,800 | 273,528 | ||||
ADTRAN, Inc. | 7,700 | 117,425 | ||||
Aerohive Networks, Inc. (a) | 5,200 | 23,036 | ||||
Applied Optoelectronics, Inc. (a) (b) | 2,700 | 27,756 | ||||
CalAmp Corp. (a) | 5,000 | 58,400 | ||||
Calix, Inc. (a) | 6,600 | 43,296 | ||||
Casa Systems, Inc. (a) | 3,800 | 24,434 | ||||
Ciena Corp. (a) | 24,891 | 1,023,767 | ||||
Clearfield, Inc. (a) | 1,800 | 23,850 | ||||
CommScope Holding Co., Inc. (a) | 31,634 | 497,603 | ||||
Comtech Telecommunications Corp. | 3,700 | 104,007 | ||||
DASAN Zhone Solutions, Inc. (a) | 700 | 9,093 | ||||
Digi International, Inc. (a) | 3,970 | 50,340 | ||||
EchoStar Corp. Class A (a) | 8,038 | 356,244 | ||||
Extreme Networks, Inc. (a) | 17,600 | 113,872 | ||||
Finisar Corp. (a) | 18,700 | 427,669 | ||||
Harmonic, Inc. (a) | 13,400 | 74,370 | ||||
Infinera Corp. (a) (b) | 23,000 | 66,930 | ||||
Inseego Corp. (a) | 6,900 | 33,051 | ||||
InterDigital, Inc. | 5,438 | 350,207 | ||||
KVH Industries, Inc. (a) | 2,366 | 25,718 | ||||
Lumentum Holdings, Inc. (a) | 12,573 | 671,524 | ||||
NETGEAR, Inc. (a) | 5,000 | 126,450 | ||||
NetScout Systems, Inc. (a) | 12,007 | 304,858 | ||||
Plantronics, Inc. | 5,248 | 194,386 | ||||
Ribbon Communications, Inc. (a) | 7,900 | 38,631 | ||||
TESSCO Technologies, Inc. | 1,000 | 17,860 | ||||
Ubiquiti Networks, Inc. (b) | 2,404 | 316,126 | ||||
ViaSat, Inc. (a) | 9,111 | 736,351 | ||||
Viavi Solutions, Inc. (a) | 36,300 | 482,427 | ||||
6,613,209 | ||||||
CONSTRUCTION & ENGINEERING — 0.7% | ||||||
AECOM (a) | 24,459 | 925,773 | ||||
Aegion Corp. (a) | 5,000 | 92,000 | ||||
Ameresco, Inc. Class A (a) | 2,800 | 41,244 | ||||
Arcosa, Inc. | 7,889 | 296,863 | ||||
Argan, Inc. | 2,244 | 91,017 | ||||
Comfort Systems USA, Inc. | 5,943 | 303,034 | ||||
Concrete Pumping Holdings, Inc. (a) | 1,700 | 8,704 | ||||
Construction Partners, Inc. Class A (a) | 1,900 | 28,538 | ||||
Dycom Industries, Inc. (a) | 4,852 | 285,637 | ||||
EMCOR Group, Inc. | 8,653 | 762,329 | ||||
Fluor Corp. | 21,900 | 737,811 |
Security Description | Shares | Value | ||||
Granite Construction, Inc. | 7,079 | $341,066 | ||||
Great Lakes Dredge & Dock Corp. (a) | 9,000 | 99,360 | ||||
IES Holdings, Inc. (a) | 1,300 | 24,505 | ||||
MasTec, Inc. (a) (b) | 9,376 | 483,145 | ||||
MYR Group, Inc. (a) | 2,600 | 97,110 | ||||
Northwest Pipe Co. (a) | 1,400 | 36,092 | ||||
NV5 Global, Inc. (a) | 1,500 | 122,100 | ||||
Primoris Services Corp. | 6,486 | 135,752 | ||||
Sterling Construction Co., Inc. (a) | 3,900 | 52,338 | ||||
Tutor Perini Corp. (a) (b) | 5,900 | 81,833 | ||||
Valmont Industries, Inc. | 3,516 | 445,864 | ||||
Willscot Corp. (a) | 9,200 | 138,368 | ||||
5,630,483 | ||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||
Eagle Materials, Inc. | 7,378 | 683,940 | ||||
Forterra, Inc. (a) (b) | 2,300 | 11,431 | ||||
Summit Materials, Inc. Class A (a) (b) | 18,012 | 346,731 | ||||
United States Lime & Minerals, Inc. | 321 | 25,680 | ||||
US Concrete, Inc. (a) (b) | 2,540 | 126,213 | ||||
1,193,995 | ||||||
CONSUMER FINANCE — 0.8% | ||||||
Ally Financial, Inc. | 62,375 | 1,933,001 | ||||
Credit Acceptance Corp. (a) (b) | 1,673 | 809,448 | ||||
Curo Group Holdings Corp. (a) (b) | 1,700 | 18,785 | ||||
Elevate Credit, Inc. (a) | 3,300 | 13,596 | ||||
Encore Capital Group, Inc. (a) (b) | 4,892 | 165,692 | ||||
Enova International, Inc. (a) | 5,200 | 119,860 | ||||
EZCORP, Inc. Class A (a) (b) | 8,000 | 75,760 | ||||
FirstCash, Inc. | 6,578 | 657,932 | ||||
Green Dot Corp. Class A (a) | 7,700 | 376,530 | ||||
LendingClub Corp. (a) | 51,533 | 169,028 | ||||
Medallion Financial Corp. (a) | 3,200 | 21,568 | ||||
Navient Corp. | 33,000 | 450,450 | ||||
Nelnet, Inc. Class A | 2,914 | 172,567 | ||||
OneMain Holdings, Inc. | 10,262 | 346,958 | ||||
PRA Group, Inc. (a) | 7,014 | 197,374 | ||||
Regional Management Corp. (a) | 1,400 | 36,918 | ||||
Santander Consumer USA Holdings, Inc. | 16,616 | 398,119 | ||||
SLM Corp. | 67,700 | 658,044 | ||||
World Acceptance Corp. (a) | 971 | 159,351 | ||||
6,780,981 | ||||||
CONTAINERS & PACKAGING — 0.8% | ||||||
AptarGroup, Inc. | 10,043 | 1,248,747 | ||||
Ardagh Group SA | 2,800 | 49,000 | ||||
Berry Global Group, Inc. (a) | 21,286 | 1,119,431 | ||||
Crown Holdings, Inc. (a) | 20,379 | 1,245,157 | ||||
Graphic Packaging Holding Co. | 46,042 | 643,667 | ||||
Greif, Inc. Class A | 4,000 | 130,200 | ||||
Greif, Inc. Class B | 800 | 34,920 | ||||
Myers Industries, Inc. | 5,400 | 104,058 | ||||
Owens-Illinois, Inc. | 25,528 | 440,868 |
Security Description | Shares | Value | ||||
Silgan Holdings, Inc. | 12,468 | $381,521 | ||||
Sonoco Products Co. | 15,591 | 1,018,716 | ||||
UFP Technologies, Inc. (a) | 1,000 | 41,610 | ||||
6,457,895 | ||||||
DISTRIBUTORS — 0.2% | ||||||
Core-Mark Holding Co., Inc. | 7,352 | 292,021 | ||||
Funko, Inc. Class A (a) (b) | 2,700 | 65,394 | ||||
Greenlane Holdings, Inc. Class A (a) | 1,000 | 9,590 | ||||
Pool Corp. | 6,035 | 1,152,685 | ||||
Weyco Group, Inc. | 943 | 25,188 | ||||
1,544,878 | ||||||
DIVERSIFIED CONSUMER SERVICES — 1.1% | ||||||
Adtalem Global Education, Inc. (a) | 9,200 | 414,460 | ||||
American Public Education, Inc. (a) | 2,400 | 70,992 | ||||
Bright Horizons Family Solutions, Inc. (a) | 8,994 | 1,356,925 | ||||
Career Education Corp. (a) | 11,600 | 221,212 | ||||
Carriage Services, Inc. | 2,600 | 49,426 | ||||
Chegg, Inc. (a) (b) | 18,200 | 702,338 | ||||
Collectors Universe, Inc. | 1,200 | 25,608 | ||||
frontdoor, Inc. (a) | 13,606 | 592,541 | ||||
Graham Holdings Co. Class B | 657 | 453,350 | ||||
Grand Canyon Education, Inc. (a) | 7,669 | 897,427 | ||||
Houghton Mifflin Harcourt Co. (a) | 15,900 | 91,584 | ||||
K12, Inc. (a) | 5,900 | 179,419 | ||||
Laureate Education, Inc. Class A (a) | 14,900 | 234,079 | ||||
OneSpaWorld Holdings, Ltd. (a) | 7,100 | 110,050 | ||||
Regis Corp. (a) | 4,707 | 78,136 | ||||
Select Interior Concepts, Inc. Class A (a) | 3,300 | 38,445 | ||||
Service Corp. International | 28,100 | 1,314,518 | ||||
ServiceMaster Global Holdings, Inc. (a) | 21,412 | 1,115,351 | ||||
Sotheby's (a) (b) | 5,309 | 308,612 | ||||
Strategic Education, Inc. | 3,386 | 602,708 | ||||
Weight Watchers International, Inc. (a) (b) | 7,300 | 139,430 | ||||
8,996,611 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | ||||||
AXA Equitable Holdings, Inc. | 45,700 | 955,130 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 4,800 | 99,984 | ||||
Cannae Holdings, Inc. (a) | 11,500 | 333,270 | ||||
FGL Holdings | 23,100 | 194,040 | ||||
GWG Holdings, Inc. | 300 | 2,142 | ||||
Marlin Business Services Corp. | 1,400 | 34,902 | ||||
On Deck Capital, Inc. (a) | 7,500 | 31,125 | ||||
Voya Financial, Inc. | 22,550 | 1,247,015 | ||||
2,897,608 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.5% | ||||||
ATN International, Inc. | 1,599 | 92,310 | ||||
Bandwidth, Inc. Class A (a) | 2,500 | 187,550 | ||||
Cincinnati Bell, Inc. (a) | 6,851 | 33,912 |
Security Description | Shares | Value | ||||
Cogent Communications Holdings, Inc. | 6,696 | $397,475 | ||||
Consolidated Communications Holdings, Inc. (b) | 10,849 | 53,486 | ||||
Frontier Communications Corp. (a) (b) | 16,457 | 28,800 | ||||
GCI Liberty, Inc. Class A (a) | 15,396 | 946,238 | ||||
IDT Corp. Class B (a) | 2,600 | 24,622 | ||||
Intelsat SA (a) (b) | 11,347 | 220,699 | ||||
Iridium Communications, Inc. (a) | 15,319 | 356,320 | ||||
Ooma, Inc. (a) (b) | 2,800 | 29,344 | ||||
ORBCOMM, Inc. (a) | 11,600 | 84,100 | ||||
Pareteum Corp. (a) | 16,700 | 43,587 | ||||
pdvWireless, Inc. (a) | 1,500 | 70,500 | ||||
Vonage Holdings Corp. (a) | 35,500 | 402,215 | ||||
Zayo Group Holdings, Inc. (a) | 35,424 | 1,165,804 | ||||
4,136,962 | ||||||
ELECTRIC UTILITIES — 1.1% | ||||||
ALLETE, Inc. | 8,222 | 684,153 | ||||
Avangrid, Inc. | 9,000 | 454,500 | ||||
El Paso Electric Co. | 6,463 | 422,680 | ||||
Genie Energy, Ltd. Class B | 2,200 | 23,430 | ||||
Hawaiian Electric Industries, Inc. | 17,683 | 770,095 | ||||
IDACORP, Inc. | 7,899 | 793,297 | ||||
MGE Energy, Inc. | 5,562 | 406,471 | ||||
OGE Energy Corp. | 31,283 | 1,331,404 | ||||
Otter Tail Corp. | 6,376 | 336,716 | ||||
PG&E Corp. (a) | 83,400 | 1,911,528 | ||||
PNM Resources, Inc. | 12,751 | 649,153 | ||||
Portland General Electric Co. | 14,521 | 786,603 | ||||
Spark Energy, Inc. Class A | 1,400 | 15,666 | ||||
8,585,696 | ||||||
ELECTRICAL EQUIPMENT — 0.9% | ||||||
Acuity Brands, Inc. | 6,241 | 860,696 | ||||
Allied Motion Technologies, Inc. | 1,062 | 40,250 | ||||
American Superconductor Corp. (a) | 3,300 | 30,624 | ||||
Atkore International Group, Inc. (a) | 7,900 | 204,373 | ||||
AZZ, Inc. | 4,040 | 185,921 | ||||
Bloom Energy Corp. Class A (a) | 8,600 | 105,522 | ||||
Encore Wire Corp. | 3,254 | 190,619 | ||||
Energous Corp. (a) (b) | 3,500 | 15,295 | ||||
EnerSys | 6,941 | 475,459 | ||||
Generac Holdings, Inc. (a) | 9,649 | 669,737 | ||||
GrafTech International, Ltd. (b) | 9,200 | 105,800 | ||||
Hubbell, Inc. | 8,481 | 1,105,922 | ||||
nVent Electric PLC | 24,500 | 607,355 | ||||
Plug Power, Inc. (a) (b) | 34,300 | 77,175 | ||||
Powell Industries, Inc. | 1,300 | 49,400 | ||||
Preformed Line Products Co. | 400 | 22,208 | ||||
Regal Beloit Corp. | 6,676 | 545,496 | ||||
Sensata Technologies Holding PLC (a) | 24,867 | 1,218,483 | ||||
Sunrun, Inc. (a) (b) | 18,300 | 343,308 | ||||
Thermon Group Holdings, Inc. (a) | 5,100 | 130,815 | ||||
TPI Composites, Inc. (a) | 5,200 | 128,544 |
Security Description | Shares | Value | ||||
Vicor Corp. (a) | 2,770 | $86,009 | ||||
Vivint Solar, Inc. (a) (b) | 6,300 | 45,990 | ||||
7,245,001 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.6% | ||||||
Airgain, Inc. (a) | 1,400 | 19,810 | ||||
Akoustis Technologies, Inc. (a) | 3,900 | 24,960 | ||||
Anixter International, Inc. (a) | 4,686 | 279,801 | ||||
Arlo Technologies, Inc. (a) | 11,617 | 46,584 | ||||
Arrow Electronics, Inc. (a) | 13,710 | 977,112 | ||||
Avnet, Inc. | 16,530 | 748,313 | ||||
AVX Corp. | 7,300 | 121,180 | ||||
Badger Meter, Inc. | 4,576 | 273,142 | ||||
Bel Fuse, Inc. Class B | 1,400 | 24,038 | ||||
Belden, Inc. (b) | 6,463 | 385,001 | ||||
Benchmark Electronics, Inc. | 6,980 | 175,338 | ||||
CDW Corp. | 22,687 | 2,518,257 | ||||
Coda Octopus Group, Inc. (a) | 700 | 9,135 | ||||
Cognex Corp. | 25,661 | 1,231,215 | ||||
Coherent, Inc. (a) | 3,908 | 532,934 | ||||
Control4 Corp. (a) | 4,212 | 100,035 | ||||
CTS Corp. | 5,200 | 143,416 | ||||
Daktronics, Inc. | 5,245 | 32,362 | ||||
Dolby Laboratories, Inc. Class A | 10,179 | 657,563 | ||||
ePlus, Inc. (a) | 2,160 | 148,910 | ||||
Fabrinet (a) | 6,300 | 312,921 | ||||
FARO Technologies, Inc. (a) | 2,700 | 141,966 | ||||
Fitbit, Inc. Class A (a) (b) | 33,809 | 148,760 | ||||
II-VI, Inc. (a) (b) | 10,084 | 368,671 | ||||
Insight Enterprises, Inc. (a) | 5,552 | 323,126 | ||||
Iteris, Inc. (a) | 3,100 | 16,027 | ||||
Itron, Inc. (a) | 5,699 | 356,586 | ||||
Jabil, Inc. | 23,300 | 736,280 | ||||
KEMET Corp. | 9,000 | 169,290 | ||||
Kimball Electronics, Inc. (a) | 3,744 | 60,803 | ||||
Knowles Corp. (a) | 13,768 | 252,092 | ||||
Littelfuse, Inc. | 3,931 | 695,433 | ||||
Methode Electronics, Inc. | 5,749 | 164,249 | ||||
MTS Systems Corp. | 2,843 | 166,401 | ||||
Napco Security Technologies, Inc. (a) | 1,800 | 53,424 | ||||
National Instruments Corp. | 20,393 | 856,302 | ||||
nLight, Inc. (a) (b) | 6,000 | 115,200 | ||||
Novanta, Inc. (a) | 5,200 | 490,360 | ||||
OSI Systems, Inc. (a) | 2,697 | 303,763 | ||||
PAR Technology Corp. (a) | 1,700 | 47,940 | ||||
Park Electrochemical Corp. | 2,800 | 46,732 | ||||
PC Connection, Inc. | 1,700 | 59,466 | ||||
PCM, Inc. (a) | 1,500 | 52,560 | ||||
Plexus Corp. (a) | 4,900 | 286,013 | ||||
Rogers Corp. (a) | 2,921 | 504,106 | ||||
Sanmina Corp. (a) | 10,910 | 330,355 | ||||
ScanSource, Inc. (a) | 3,909 | 127,277 | ||||
SYNNEX Corp. | 6,768 | 665,971 | ||||
Tech Data Corp. (a) | 5,782 | 604,797 | ||||
Trimble, Inc. (a) | 39,381 | 1,776,477 | ||||
TTM Technologies, Inc. (a) | 14,900 | 151,980 |
Security Description | Shares | Value | ||||
Vishay Intertechnology, Inc. | 21,245 | $350,967 | ||||
Vishay Precision Group, Inc. (a) | 1,600 | 65,008 | ||||
Wrap Technologies, Inc. (a) | 1,200 | 7,464 | ||||
Zebra Technologies Corp. Class A (a) | 8,508 | 1,782,341 | ||||
21,040,214 | ||||||
ENERGY EQUIPMENT & SERVICES — 0.7% | ||||||
Apergy Corp. (a) | 12,400 | 415,896 | ||||
Archrock, Inc. | 20,000 | 212,000 | ||||
C&J Energy Services, Inc. (a) | 9,783 | 115,244 | ||||
Cactus, Inc. Class A (a) | 7,900 | 261,648 | ||||
Covia Holdings Corp. (a) (b) | 4,880 | 9,565 | ||||
Diamond Offshore Drilling, Inc. (a) (b) | 10,000 | 88,700 | ||||
DMC Global, Inc. | 2,300 | 145,705 | ||||
Dril-Quip, Inc. (a) | 5,675 | 272,400 | ||||
Era Group, Inc. (a) | 3,000 | 25,020 | ||||
Exterran Corp. (a) | 5,100 | 72,522 | ||||
Forum Energy Technologies, Inc. (a) | 11,939 | 40,831 | ||||
Frank's International NV (a) | 19,700 | 107,562 | ||||
FTS International, Inc. (a) | 4,700 | 26,226 | ||||
Geospace Technologies Corp. (a) | 2,100 | 31,731 | ||||
Helix Energy Solutions Group, Inc. (a) | 22,609 | 195,116 | ||||
Independence Contract Drilling, Inc. (a) | 6,400 | 10,112 | ||||
Keane Group, Inc. (a) | 7,800 | 52,416 | ||||
KLX Energy Services Holdings, Inc. (a) | 3,197 | 65,315 | ||||
Liberty Oilfield Services, Inc. Class A (b) | 6,900 | 111,642 | ||||
Mammoth Energy Services, Inc. (b) | 1,800 | 12,384 | ||||
Matrix Service Co. (a) | 4,200 | 85,092 | ||||
McDermott International, Inc. (a) (b) | 28,232 | 272,721 | ||||
Nabors Industries, Ltd. | 54,899 | 159,207 | ||||
National Energy Services Reunited Corp. (a) | 3,700 | 32,190 | ||||
Natural Gas Services Group, Inc. (a) | 1,900 | 31,350 | ||||
NCS Multistage Holdings, Inc. (a) (b) | 1,200 | 4,260 | ||||
Newpark Resources, Inc. (a) | 13,600 | 100,912 | ||||
Nine Energy Service, Inc. (a) | 2,400 | 41,592 | ||||
Noble Corp. PLC (a) | 38,700 | 72,369 | ||||
Oceaneering International, Inc. (a) | 15,581 | 317,697 | ||||
Oil States International, Inc. (a) | 9,567 | 175,076 | ||||
Pacific Drilling SA (a) | 4,700 | 59,220 | ||||
Parker Drilling Co. (a) | 1,500 | 30,420 | ||||
Patterson-UTI Energy, Inc. | 34,400 | 395,944 | ||||
ProPetro Holding Corp. (a) | 12,600 | 260,820 | ||||
RigNet, Inc. (a) | 2,100 | 21,168 | ||||
RPC, Inc. (b) | 8,732 | 62,958 | ||||
SEACOR Holdings, Inc. (a) | 2,668 | 126,757 | ||||
SEACOR Marine Holdings, Inc. (a) | 2,473 | 36,996 | ||||
Seadrill, Ltd. (a) | 9,100 | 37,856 | ||||
Select Energy Services, Inc. Class A (a) | 9,300 | 107,973 | ||||
Smart Sand, Inc. (a) | 2,600 | 6,344 |
Security Description | Shares | Value | ||||
Solaris Oilfield Infrastructure, Inc. Class A (b) | 4,100 | $61,418 | ||||
Superior Energy Services, Inc. (a) | 23,300 | 30,290 | ||||
TETRA Technologies, Inc. (a) | 18,118 | 29,532 | ||||
Tidewater, Inc. (a) | 6,650 | 156,142 | ||||
Transocean, Ltd. (a) (b) | 94,089 | 603,110 | ||||
US Silica Holdings, Inc. (b) | 12,388 | 158,442 | ||||
US Well Service, Inc. (a) | 3,100 | 14,942 | ||||
5,764,833 | ||||||
ENTERTAINMENT — 1.1% | ||||||
AMC Entertainment Holdings, Inc. Class A (b) | 7,884 | 73,558 | ||||
Cinemark Holdings, Inc. | 16,716 | 603,448 | ||||
Eros International PLC (a) (b) | 5,247 | 7,083 | ||||
Gaia, Inc. (a) (b) | 1,300 | 9,854 | ||||
Glu Mobile, Inc. (a) | 17,800 | 127,804 | ||||
IMAX Corp. (a) | 8,500 | 171,700 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) | 1,494 | 41,533 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 5,710 | 159,709 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) (b) | 4,036 | 144,731 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 30,950 | 1,157,839 | ||||
Lions Gate Entertainment Corp. Class A | 7,624 | 93,394 | ||||
Lions Gate Entertainment Corp. Class B | 15,579 | 180,872 | ||||
Live Nation Entertainment, Inc. (a) | 20,259 | 1,342,159 | ||||
LiveXLive Media, Inc. (a) (b) | 3,800 | 15,770 | ||||
Madison Square Garden Co. Class A (a) | 2,942 | 823,583 | ||||
Marcus Corp. | 3,200 | 105,472 | ||||
Reading International, Inc. Class A (a) | 2,500 | 32,450 | ||||
Rosetta Stone, Inc. (a) | 3,200 | 73,216 | ||||
Spotify Technology SA (a) | 18,500 | 2,705,070 | ||||
World Wrestling Entertainment, Inc. Class A (b) | 6,927 | 500,199 | ||||
Zynga, Inc. Class A (a) | 136,832 | 838,780 | ||||
9,208,224 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 8.0% | ||||||
Acadia Realty Trust REIT | 12,947 | 354,359 | ||||
Agree Realty Corp. REIT | 6,156 | 394,292 | ||||
Alexander & Baldwin, Inc. | 10,738 | 248,048 | ||||
Alexander's, Inc. REIT | 325 | 120,348 | ||||
American Assets Trust, Inc. REIT | 7,742 | 364,803 | ||||
American Campus Communities, Inc. REIT | 21,372 | 986,532 | ||||
American Finance Trust, Inc. REIT | 16,700 | 182,030 | ||||
American Homes 4 Rent Class A REIT | 40,297 | 979,620 | ||||
Americold Realty Trust REIT (b) | 30,000 | 972,600 | ||||
Apple Hospitality REIT, Inc. | 32,900 | 521,794 |
Security Description | Shares | Value | |||
Armada Hoffler Properties, Inc. REIT | 7,800 | $129,090 | |||
Ashford Hospitality Trust, Inc. REIT | 13,851 | 41,137 | |||
Bluerock Residential Growth REIT, Inc. | 3,700 | 43,475 | |||
Braemar Hotels & Resorts, Inc. REIT | 4,323 | 42,798 | |||
Brandywine Realty Trust REIT | 28,200 | 403,824 | |||
Brixmor Property Group, Inc. REIT | 46,539 | 832,117 | |||
Brookfield Property REIT, Inc. Class A | 14,800 | 279,572 | |||
BRT Apartments Corp. REIT | 1,500 | 21,195 | |||
Camden Property Trust REIT | 14,952 | 1,560,839 | |||
CareTrust REIT, Inc. | 15,700 | 373,346 | |||
CatchMark Timber Trust, Inc. Class A REIT | 7,800 | 81,510 | |||
CBL & Associates Properties, Inc. REIT (b) | 24,700 | 25,688 | |||
Cedar Realty Trust, Inc. REIT | 12,953 | 34,325 | |||
Chatham Lodging Trust REIT | 7,083 | 133,656 | |||
Chesapeake Lodging Trust REIT | 9,600 | 272,832 | |||
CIM Commercial Trust Corp. REIT | 600 | 12,372 | |||
City Office REIT, Inc. | 5,900 | 70,741 | |||
Clipper Realty, Inc. REIT | 2,300 | 25,714 | |||
Colony Capital, Inc. REIT | 77,418 | 387,090 | |||
Columbia Property Trust, Inc. REIT | 18,972 | 393,479 | |||
Community Healthcare Trust, Inc. REIT | 2,800 | 110,348 | |||
CoreCivic, Inc. REIT | 19,025 | 394,959 | |||
CorEnergy Infrastructure Trust, Inc. REIT (b) | 1,860 | 73,768 | |||
CorePoint Lodging, Inc. REIT | 6,288 | 77,908 | |||
CoreSite Realty Corp. REIT | 5,988 | 689,638 | |||
Corporate Office Properties Trust REIT | 18,300 | 482,571 | |||
Cousins Properties, Inc. REIT | 23,389 | 845,980 | |||
CubeSmart REIT | 30,242 | 1,011,293 | |||
CyrusOne, Inc. REIT | 18,015 | 1,039,826 | |||
DiamondRock Hospitality Co. REIT | 33,300 | 344,322 | |||
Douglas Emmett, Inc. REIT | 25,237 | 1,005,442 | |||
Easterly Government Properties, Inc. REIT | 10,700 | 193,777 | |||
EastGroup Properties, Inc. REIT | 5,770 | 669,205 | |||
Empire State Realty Trust, Inc. Class A REIT | 22,924 | 339,504 | |||
EPR Properties REIT | 12,049 | 898,735 | |||
Equity Commonwealth REIT | 18,981 | 617,262 | |||
Equity LifeStyle Properties, Inc. REIT | 13,434 | 1,630,082 | |||
Essential Properties Realty Trust, Inc. REIT | 8,600 | 172,344 | |||
Farmland Partners, Inc. REIT (b) | 4,800 | 33,840 | |||
First Industrial Realty Trust, Inc. REIT | 20,473 | 752,178 | |||
Four Corners Property Trust, Inc. REIT | 10,709 | 292,677 | |||
Franklin Street Properties Corp. REIT | 16,561 | 122,220 |
Security Description | Shares | Value | |||
Front Yard Residential Corp. REIT | 7,827 | $95,646 | |||
Gaming and Leisure Properties, Inc. REIT | 31,733 | 1,236,952 | |||
GEO Group, Inc. REIT | 19,200 | 403,392 | |||
Getty Realty Corp. REIT | 5,205 | 160,106 | |||
Gladstone Commercial Corp. REIT | 4,400 | 93,368 | |||
Gladstone Land Corp. REIT (b) | 2,300 | 26,519 | |||
Global Medical REIT, Inc. | 3,600 | 37,800 | |||
Global Net Lease, Inc. REIT | 13,241 | 259,788 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 9,397 | 264,807 | |||
Healthcare Realty Trust, Inc. REIT | 20,382 | 638,364 | |||
Healthcare Trust of America, Inc. Class A REIT | 31,966 | 876,827 | |||
Hersha Hospitality Trust REIT | 5,600 | 92,624 | |||
Highwoods Properties, Inc. REIT | 16,370 | 676,081 | |||
Hospitality Properties Trust REIT | 26,700 | 667,500 | |||
Hudson Pacific Properties, Inc. REIT | 23,837 | 793,057 | |||
Independence Realty Trust, Inc. REIT | 14,073 | 162,825 | |||
Industrial Logistics Properties Trust REIT | 10,228 | 212,947 | |||
Innovative Industrial Properties, Inc. REIT (b) | 1,500 | 185,340 | |||
Investors Real Estate Trust REIT | 1,880 | 110,300 | |||
Invitation Homes, Inc. REIT | 60,363 | 1,613,503 | |||
iStar, Inc. REIT (b) | 10,200 | 126,684 | |||
JBG SMITH Properties REIT | 19,721 | 775,824 | |||
Jernigan Capital, Inc. REIT | 3,000 | 61,500 | |||
Kilroy Realty Corp. REIT | 15,540 | 1,147,007 | |||
Kite Realty Group Trust REIT | 13,083 | 197,946 | |||
Lamar Advertising Co. Class A REIT | 13,667 | 1,103,064 | |||
Lexington Realty Trust REIT | 37,600 | 353,816 | |||
Liberty Property Trust REIT | 23,797 | 1,190,802 | |||
Life Storage, Inc. REIT | 7,365 | 700,264 | |||
LTC Properties, Inc. REIT | 6,354 | 290,124 | |||
Mack-Cali Realty Corp. REIT | 14,100 | 328,389 | |||
Medical Properties Trust, Inc. REIT | 62,877 | 1,096,575 | |||
Monmouth Real Estate Investment Corp. REIT | 14,079 | 190,770 | |||
National Health Investors, Inc. REIT | 6,500 | 507,195 | |||
National Retail Properties, Inc. REIT | 25,700 | 1,362,357 | |||
National Storage Affiliates Trust REIT | 9,100 | 263,354 | |||
New Senior Investment Group, Inc. REIT | 12,000 | 80,640 | |||
NexPoint Residential Trust, Inc. REIT | 2,900 | 120,060 | |||
NorthStar Realty Europe Corp. REIT | 7,000 | 115,010 | |||
Office Properties Income Trust REIT | 7,527 | 197,734 | |||
Omega Healthcare Investors, Inc. REIT | 33,419 | 1,228,148 | |||
One Liberty Properties, Inc. REIT | 2,400 | 69,504 | |||
Outfront Media, Inc. REIT | 22,167 | 571,687 | |||
Paramount Group, Inc. REIT | 32,800 | 459,528 | |||
Park Hotels & Resorts, Inc. REIT | 31,506 | 868,305 |
Security Description | Shares | Value | |||
Pebblebrook Hotel Trust REIT | 21,357 | $601,840 | |||
Pennsylvania Real Estate Investment Trust (b) | 10,892 | 70,798 | |||
Physicians Realty Trust REIT | 29,117 | 507,801 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 20,205 | 402,686 | |||
PotlatchDeltic Corp. REIT | 10,628 | 414,279 | |||
Preferred Apartment Communities, Inc. Class A REIT (b) | 6,600 | 98,670 | |||
PS Business Parks, Inc. REIT | 3,237 | 545,532 | |||
QTS Realty Trust, Inc. Class A REIT (b) | 8,548 | 394,747 | |||
Rayonier, Inc. REIT | 21,209 | 642,633 | |||
Retail Opportunity Investments Corp. REIT | 17,500 | 299,775 | |||
Retail Properties of America, Inc. Class A REIT | 34,603 | 406,931 | |||
Retail Value, Inc. REIT | 2,350 | 81,780 | |||
Rexford Industrial Realty, Inc. REIT | 16,107 | 650,240 | |||
RLJ Lodging Trust REIT | 27,668 | 490,830 | |||
RPT Realty REIT | 13,900 | 168,329 | |||
Ryman Hospitality Properties, Inc. REIT | 7,327 | 594,146 | |||
Sabra Health Care REIT, Inc. | 28,340 | 558,015 | |||
Safehold, Inc. REIT | 1,200 | 36,240 | |||
Saul Centers, Inc. REIT | 1,812 | 101,708 | |||
Senior Housing Properties Trust REIT | 38,077 | 314,897 | |||
Seritage Growth Properties Class A REIT | 5,138 | 220,728 | |||
SITE Centers Corp. REIT | 21,901 | 289,969 | |||
Spirit MTA REIT | 6,787 | 56,604 | |||
Spirit Realty Capital, Inc. REIT (b) | 13,775 | 587,642 | |||
STAG Industrial, Inc. REIT | 19,750 | 597,240 | |||
STORE Capital Corp. REIT | 33,295 | 1,105,061 | |||
Summit Hotel Properties, Inc. REIT | 16,300 | 186,961 | |||
Sun Communities, Inc. REIT | 13,193 | 1,691,211 | |||
Sunstone Hotel Investors, Inc. REIT | 36,319 | 497,934 | |||
Tanger Factory Outlet Centers, Inc. REIT (b) | 14,487 | 234,834 | |||
Taubman Centers, Inc. REIT | 9,495 | 387,681 | |||
Terreno Realty Corp. REIT | 9,571 | 469,362 | |||
UMH Properties, Inc. REIT | 5,100 | 63,291 | |||
Uniti Group, Inc. REIT | 29,970 | 284,715 | |||
Universal Health Realty Income Trust REIT | 2,000 | 169,860 | |||
Urban Edge Properties REIT | 17,600 | 305,008 | |||
Urstadt Biddle Properties, Inc. Class A REIT | 4,542 | 95,382 | |||
VEREIT, Inc. | 152,594 | 1,374,872 | |||
VICI Properties, Inc. REIT (b) | 71,400 | 1,573,656 | |||
Washington Prime Group, Inc. REIT (b) | 28,800 | 110,016 | |||
Washington Real Estate Investment Trust | 12,802 | 342,197 | |||
Weingarten Realty Investors REIT | 19,148 | 525,038 | |||
Whitestone REIT (b) | 5,800 | 73,602 |
Security Description | Shares | Value | ||||
WP Carey, Inc. REIT | 27,002 | $2,192,022 | ||||
Xenia Hotels & Resorts, Inc. REIT | 18,000 | 375,300 | ||||
65,293,201 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Andersons, Inc. | 4,985 | 135,791 | ||||
BJ's Wholesale Club Holdings, Inc. (a) | 17,700 | 467,280 | ||||
Casey's General Stores, Inc. | 5,748 | 896,631 | ||||
Chefs' Warehouse, Inc. (a) | 3,400 | 119,238 | ||||
HF Foods Group, Inc. (a) | 1,200 | 41,772 | ||||
Ingles Markets, Inc. Class A | 2,200 | 68,486 | ||||
Natural Grocers by Vitamin Cottage, Inc. (a) | 1,100 | 11,055 | ||||
Performance Food Group Co. (a) | 16,589 | 664,058 | ||||
PriceSmart, Inc. | 3,491 | 178,460 | ||||
Rite Aid Corp. (a) (b) | 8,050 | 64,480 | ||||
SpartanNash Co. | 5,600 | 65,352 | ||||
Sprouts Farmers Market, Inc. (a) | 20,075 | 379,217 | ||||
United Natural Foods, Inc. (a) | 7,848 | 70,397 | ||||
US Foods Holding Corp. (a) | 34,828 | 1,245,449 | ||||
Village Super Market, Inc. Class A | 1,269 | 33,641 | ||||
Weis Markets, Inc. | 1,415 | 51,520 | ||||
4,492,827 | ||||||
FOOD PRODUCTS — 1.1% | ||||||
Alico, Inc. | 400 | 12,136 | ||||
B&G Foods, Inc. (b) | 10,500 | 218,400 | ||||
Beyond Meat, Inc. (a) | 1,500 | 241,020 | ||||
Bridgford Foods Corp. (a) | 300 | 8,928 | ||||
Bunge, Ltd. | 21,563 | 1,201,275 | ||||
Calavo Growers, Inc. (b) | 2,542 | 245,913 | ||||
Cal-Maine Foods, Inc. (b) | 4,900 | 204,428 | ||||
Darling Ingredients, Inc. (a) | 26,100 | 519,129 | ||||
Dean Foods Co. (b) | 14,700 | 13,580 | ||||
Farmer Brothers Co. (a) | 1,450 | 23,737 | ||||
Flowers Foods, Inc. | 31,531 | 733,726 | ||||
Fresh Del Monte Produce, Inc. | 4,734 | 127,581 | ||||
Freshpet, Inc. (a) | 5,200 | 236,652 | ||||
Hain Celestial Group, Inc. (a) (b) | 14,801 | 324,142 | ||||
Hostess Brands, Inc. (a) | 15,600 | 225,264 | ||||
Ingredion, Inc. | 10,852 | 895,181 | ||||
J&J Snack Foods Corp. | 2,383 | 383,544 | ||||
John B Sanfilippo & Son, Inc. | 1,378 | 109,813 | ||||
Lancaster Colony Corp. | 3,013 | 447,732 | ||||
Landec Corp. (a) | 4,000 | 37,480 | ||||
Limoneira Co. | 2,300 | 45,862 | ||||
Pilgrim's Pride Corp. (a) | 8,400 | 213,276 | ||||
Post Holdings, Inc. (a) | 10,135 | 1,053,736 | ||||
Sanderson Farms, Inc. (b) | 3,321 | 453,516 | ||||
Seaboard Corp. | 41 | 169,606 | ||||
Seneca Foods Corp. Class A (a) | 1,049 | 29,194 | ||||
Simply Good Foods Co. (a) | 11,800 | 284,144 | ||||
Tootsie Roll Industries, Inc. (b) | 2,569 | 94,873 | ||||
TreeHouse Foods, Inc. (a) | 8,781 | 475,052 | ||||
9,028,920 |
Security Description | Shares | Value | ||||
GAS UTILITIES — 0.8% | ||||||
Chesapeake Utilities Corp. | 2,538 | $241,161 | ||||
National Fuel Gas Co. (b) | 13,363 | 704,898 | ||||
New Jersey Resources Corp. | 14,215 | 707,481 | ||||
Northwest Natural Holding Co. | 4,760 | 330,820 | ||||
ONE Gas, Inc. | 8,187 | 739,286 | ||||
RGC Resources, Inc. | 1,100 | 33,572 | ||||
South Jersey Industries, Inc. (b) | 14,762 | 497,922 | ||||
Southwest Gas Holdings, Inc. | 8,439 | 756,303 | ||||
Spire, Inc. | 8,039 | 674,633 | ||||
UGI Corp. | 27,832 | 1,486,507 | ||||
6,172,583 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.9% | ||||||
Accuray, Inc. (a) | 13,600 | 52,632 | ||||
Alphatec Holdings, Inc. (a) | 4,700 | 21,338 | ||||
AngioDynamics, Inc. (a) | 5,700 | 112,233 | ||||
Antares Pharma, Inc. (a) | 23,200 | 76,328 | ||||
Apyx Medical Corp. (a) | 5,200 | 34,944 | ||||
AtriCure, Inc. (a) | 5,800 | 173,072 | ||||
Atrion Corp. | 225 | 191,866 | ||||
Avanos Medical, Inc. (a) | 7,500 | 327,075 | ||||
Avedro, Inc. (a) | 800 | 15,712 | ||||
AxoGen, Inc. (a) (b) | 5,300 | 104,940 | ||||
Axonics Modulation Technologies, Inc. (a) | 2,900 | 118,813 | ||||
BioLife Solutions, Inc. (a) | 1,000 | 16,950 | ||||
BioSig Technologies, Inc. (a) | 2,400 | 22,536 | ||||
Cantel Medical Corp. | 5,889 | 474,889 | ||||
Cardiovascular Systems, Inc. (a) | 5,350 | 229,675 | ||||
Cerus Corp. (a) (b) | 20,800 | 116,896 | ||||
Conformis, Inc. (a) | 10,000 | 43,600 | ||||
CONMED Corp. | 4,101 | 350,923 | ||||
Corindus Vascular Robotics, Inc. (a) | 14,300 | 42,614 | ||||
CryoLife, Inc. (a) | 5,600 | 167,608 | ||||
CryoPort, Inc. (a) (b) | 4,300 | 78,776 | ||||
Cutera, Inc. (a) | 2,000 | 41,560 | ||||
CytoSorbents Corp. (a) (b) | 4,400 | 29,084 | ||||
DexCom, Inc. (a) | 14,413 | 2,159,644 | ||||
ElectroCore LLC (a) (b) | 1,900 | 3,800 | ||||
GenMark Diagnostics, Inc. (a) (b) | 7,600 | 49,324 | ||||
Glaukos Corp. (a) | 5,468 | 412,287 | ||||
Globus Medical, Inc. Class A (a) | 11,851 | 501,297 | ||||
Haemonetics Corp. (a) | 7,990 | 961,517 | ||||
Heska Corp. (a) | 1,102 | 93,857 | ||||
Hill-Rom Holdings, Inc. | 10,676 | 1,116,923 | ||||
ICU Medical, Inc. (a) | 2,998 | 755,226 | ||||
Inogen, Inc. (a) | 2,892 | 193,070 | ||||
Insulet Corp. (a) (b) | 9,500 | 1,134,110 | ||||
Integer Holdings Corp. (a) | 4,992 | 418,929 | ||||
Integra LifeSciences Holdings Corp. (a) | 11,414 | 637,472 | ||||
IntriCon Corp. (a) (b) | 1,100 | 25,696 | ||||
Invacare Corp. (b) | 5,000 | 25,950 | ||||
iRadimed Corp. (a) (b) | 400 | 8,180 | ||||
iRhythm Technologies, Inc. (a) (b) | 3,800 | 300,504 |
Security Description | Shares | Value | ||||
Lantheus Holdings, Inc. (a) | 6,500 | $183,950 | ||||
LeMaitre Vascular, Inc. | 2,400 | 67,152 | ||||
LivaNova PLC (a) | 7,950 | 572,082 | ||||
Masimo Corp. (a) | 7,577 | 1,127,609 | ||||
Meridian Bioscience, Inc. | 6,500 | 77,220 | ||||
Merit Medical Systems, Inc. (a) | 8,500 | 506,260 | ||||
Mesa Laboratories, Inc. | 528 | 129,012 | ||||
Misonix, Inc. (a) | 1,100 | 27,962 | ||||
Natus Medical, Inc. (a) | 5,034 | 129,323 | ||||
Neogen Corp. (a) | 8,010 | 497,501 | ||||
Neuronetics, Inc. (a) | 2,000 | 25,020 | ||||
Nevro Corp. (a) (b) | 4,697 | 304,507 | ||||
Novocure, Ltd. (a) | 13,155 | 831,791 | ||||
NuVasive, Inc. (a) | 8,180 | 478,857 | ||||
OraSure Technologies, Inc. (a) | 9,200 | 85,376 | ||||
Orthofix Medical, Inc. (a) | 2,786 | 147,324 | ||||
OrthoPediatrics Corp. (a) | 1,200 | 46,800 | ||||
Penumbra, Inc. (a) (b) | 5,087 | 813,920 | ||||
Pulse Biosciences, Inc. (a) (b) | 1,600 | 21,120 | ||||
Quidel Corp. (a) | 5,500 | 326,260 | ||||
Rockwell Medical, Inc. (a) | 7,200 | 21,672 | ||||
RTI Surgical Holdings, Inc. (a) | 8,500 | 36,125 | ||||
SeaSpine Holdings Corp. (a) | 2,300 | 30,475 | ||||
Senseonics Holdings, Inc. (a) (b) | 12,300 | 25,092 | ||||
Shockwave Medical, Inc. (a) | 1,000 | 57,090 | ||||
SI-BONE, Inc. (a) | 2,500 | 50,850 | ||||
Sientra, Inc. (a) (b) | 3,700 | 22,792 | ||||
Silk Road Medical, Inc. (a) | 1,100 | 53,306 | ||||
Solition, Inc. (a) | 300 | 4,410 | ||||
STAAR Surgical Co. (a) | 6,900 | 202,722 | ||||
STERIS PLC (a) | 13,115 | 1,952,561 | ||||
Surmodics, Inc. (a) | 2,000 | 86,340 | ||||
Tactile Systems Technology, Inc. (a) (b) | 2,800 | 159,376 | ||||
Tandem Diabetes Care, Inc. (a) | 9,000 | 580,680 | ||||
TransEnterix, Inc. (a) (b) | 26,200 | 35,632 | ||||
TransMedics Group, Inc. (a) | 1,000 | 28,990 | ||||
Utah Medical Products, Inc. | 537 | 51,391 | ||||
Vapotherm, Inc. (a) (b) | 600 | 13,800 | ||||
Varex Imaging Corp. (a) | 6,000 | 183,900 | ||||
ViewRay, Inc. (a) (b) | 10,000 | 88,100 | ||||
West Pharmaceutical Services, Inc. | 11,427 | 1,430,089 | ||||
Wright Medical Group NV (a) | 19,809 | 590,704 | ||||
Zynex, Inc. | 2,400 | 21,576 | ||||
23,768,569 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.4% | ||||||
Acadia Healthcare Co., Inc. (a) (b) | 13,882 | 485,176 | ||||
Addus HomeCare Corp. (a) | 1,567 | 117,447 | ||||
Amedisys, Inc. (a) | 4,905 | 595,516 | ||||
American Renal Associates Holdings, Inc. (a) | 2,000 | 14,880 | ||||
AMN Healthcare Services, Inc. (a) | 7,448 | 404,054 | ||||
Apollo Medical Holdings, Inc. (a) (b) | 700 | 11,697 | ||||
Avalon GloboCare Corp. (a) | 3,400 | 8,840 | ||||
BioScrip, Inc. (a) | 18,500 | 48,100 |
Security Description | Shares | Value | ||||
BioTelemetry, Inc. (a) | 5,200 | $250,380 | ||||
Brookdale Senior Living, Inc. (a) | 29,462 | 212,421 | ||||
Catasys, Inc. (a) | 1,100 | 21,142 | ||||
Chemed Corp. | 2,477 | 893,801 | ||||
Community Health Systems, Inc. (a) (b) | 12,967 | 34,622 | ||||
CorVel Corp. (a) | 1,394 | 121,292 | ||||
Covetrus, Inc. (a) (b) | 15,200 | 371,792 | ||||
Cross Country Healthcare, Inc. (a) | 5,200 | 48,776 | ||||
Diplomat Pharmacy, Inc. (a) (b) | 8,863 | 53,976 | ||||
Encompass Health Corp. | 15,312 | 970,168 | ||||
Ensign Group, Inc. | 7,970 | 453,652 | ||||
Enzo Biochem, Inc. (a) | 7,000 | 23,590 | ||||
Genesis Healthcare, Inc. (a) (b) | 9,100 | 11,284 | ||||
Guardant Health, Inc. (a) (b) | 5,400 | 466,182 | ||||
Hanger, Inc. (a) | 5,600 | 107,240 | ||||
HealthEquity, Inc. (a) | 9,863 | 645,040 | ||||
Joint Corp (a) | 2,000 | 36,400 | ||||
LHC Group, Inc. (a) | 4,858 | 580,920 | ||||
Magellan Health, Inc. (a) | 3,385 | 251,268 | ||||
MEDNAX, Inc. (a) | 14,074 | 355,087 | ||||
Molina Healthcare, Inc. (a) | 9,787 | 1,400,911 | ||||
National HealthCare Corp. | 1,958 | 158,892 | ||||
National Research Corp. Class A | 1,700 | 97,903 | ||||
Owens & Minor, Inc. (b) | 9,738 | 31,162 | ||||
Patterson Cos., Inc. (b) | 13,200 | 302,280 | ||||
PetIQ, Inc. (a) (b) | 2,500 | 82,400 | ||||
Premier, Inc. Class A (a) | 8,445 | 330,284 | ||||
Providence Service Corp. (a) | 1,800 | 103,212 | ||||
R1 RCM, Inc. (a) | 16,300 | 205,054 | ||||
RadNet, Inc. (a) | 6,380 | 87,980 | ||||
Select Medical Holdings Corp. (a) | 17,100 | 271,377 | ||||
Surgery Partners, Inc. (a) | 2,700 | 21,978 | ||||
Tenet Healthcare Corp. (a) | 16,969 | 350,579 | ||||
Tivity Health, Inc. (a) (b) | 7,537 | 123,908 | ||||
Triple-S Management Corp. Class B (a) | 3,289 | 78,443 | ||||
US Physical Therapy, Inc. | 2,000 | 245,140 | ||||
11,486,246 | ||||||
HEALTH CARE TECHNOLOGY — 0.9% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 27,445 | 319,186 | ||||
Castlight Health, Inc. Class B (a) | 11,500 | 37,145 | ||||
Computer Programs & Systems, Inc. | 1,723 | 47,882 | ||||
Evolent Health, Inc. Class A (a) (b) | 10,800 | 85,860 | ||||
HealthStream, Inc. (a) | 4,100 | 106,026 | ||||
HMS Holdings Corp. (a) | 13,241 | 428,876 | ||||
Inovalon Holdings, Inc. Class A (a) (b) | 10,900 | 158,159 | ||||
Inspire Medical Systems, Inc. (a) | 2,300 | 139,495 | ||||
Medidata Solutions, Inc. (a) | 9,469 | 857,039 | ||||
NextGen Healthcare, Inc. (a) | 8,700 | 173,130 | ||||
Omnicell, Inc. (a) | 6,464 | 556,098 | ||||
OptimizeRx Corp. (a) | 1,900 | 30,780 | ||||
Simulations Plus, Inc. | 1,700 | 48,552 | ||||
Tabula Rasa HealthCare, Inc. (a) (b) | 2,800 | 139,804 |
Security Description | Shares | Value | ||||
Teladoc Health, Inc. (a) (b) | 10,992 | $729,979 | ||||
Veeva Systems, Inc. Class A (a) | 19,921 | 3,229,393 | ||||
Vocera Communications, Inc. (a) (b) | 4,834 | 154,301 | ||||
7,241,705 | ||||||
HOTELS, RESTAURANTS & LEISURE — 3.3% | ||||||
Aramark | 38,351 | 1,382,937 | ||||
BBX Capital Corp. | 9,600 | 47,136 | ||||
Biglari Holdings, Inc. Class B (a) | 126 | 13,086 | ||||
BJ's Restaurants, Inc. (b) | 3,406 | 149,660 | ||||
Bloomin' Brands, Inc. | 14,400 | 272,304 | ||||
Bluegreen Vacations Corp. (b) | 900 | 10,521 | ||||
Boyd Gaming Corp. (b) | 13,198 | 355,554 | ||||
Brinker International, Inc. (b) | 5,930 | 233,345 | ||||
Caesars Entertainment Corp. (a) | 89,150 | 1,053,753 | ||||
Carrols Restaurant Group, Inc. (a) | 5,100 | 46,053 | ||||
Century Casinos, Inc. (a) | 4,000 | 38,800 | ||||
Cheesecake Factory, Inc. (b) | 6,755 | 295,329 | ||||
Choice Hotels International, Inc. (b) | 5,249 | 456,715 | ||||
Churchill Downs, Inc. (b) | 5,670 | 652,447 | ||||
Chuy's Holdings, Inc. (a) | 2,700 | 61,884 | ||||
Cracker Barrel Old Country Store, Inc. (b) | 3,064 | 523,117 | ||||
Dave & Buster's Entertainment, Inc. (b) | 6,148 | 248,810 | ||||
Del Frisco's Restaurant Group, Inc. (a) (b) | 4,900 | 39,004 | ||||
Del Taco Restaurants, Inc. (a) | 4,800 | 61,536 | ||||
Denny's Corp. (a) | 9,600 | 197,088 | ||||
Dine Brands Global, Inc. (b) | 2,795 | 266,839 | ||||
Domino's Pizza, Inc. | 6,394 | 1,779,322 | ||||
Drive Shack, Inc. (a) | 9,000 | 42,210 | ||||
Dunkin' Brands Group, Inc. | 12,946 | 1,031,278 | ||||
El Pollo Loco Holdings, Inc. (a) | 3,100 | 33,046 | ||||
Eldorado Resorts, Inc. (a) (b) | 10,500 | 483,735 | ||||
Empire Resorts, Inc. (a) | 400 | 3,840 | ||||
Everi Holdings, Inc. (a) | 10,700 | 127,651 | ||||
Extended Stay America, Inc. | 30,300 | 511,767 | ||||
Fiesta Restaurant Group, Inc. (a) | 3,499 | 45,977 | ||||
Golden Entertainment, Inc. (a) (b) | 2,700 | 37,800 | ||||
Habit Restaurants, Inc. Class A (a) | 3,000 | 31,470 | ||||
Hilton Grand Vacations, Inc. (a) | 14,241 | 453,149 | ||||
Hyatt Hotels Corp. Class A | 6,329 | 481,827 | ||||
Inspired Entertainment, Inc. (a) | 1,400 | 11,816 | ||||
International Game Technology PLC (b) | 15,601 | 202,345 | ||||
International Speedway Corp. Class A | 4,006 | 179,829 | ||||
J Alexander's Holdings, Inc. (a) | 1,569 | 17,620 | ||||
Jack in the Box, Inc. | 4,180 | 340,210 | ||||
Las Vegas Sands Corp. | 53,459 | 3,158,892 | ||||
Lindblad Expeditions Holdings, Inc. (a) | 3,200 | 57,440 | ||||
Marriott Vacations Worldwide Corp. | 7,155 | 689,742 | ||||
Monarch Casino & Resort, Inc. (a) | 1,800 | 76,932 | ||||
Nathan's Famous, Inc. | 400 | 31,248 | ||||
Noodles & Co. (a) (b) | 4,500 | 35,460 |
Security Description | Shares | Value | ||||
Papa John's International, Inc. (b) | 3,810 | $170,383 | ||||
Penn National Gaming, Inc. (a) | 17,614 | 339,246 | ||||
Planet Fitness, Inc. Class A (a) | 13,285 | 962,365 | ||||
PlayAGS, Inc. (a) | 3,300 | 64,185 | ||||
Potbelly Corp. (a) | 3,400 | 17,306 | ||||
RCI Hospitality Holdings, Inc. | 1,400 | 24,514 | ||||
Red Lion Hotels Corp. (a) | 2,600 | 18,486 | ||||
Red Robin Gourmet Burgers, Inc. (a) (b) | 1,936 | 59,183 | ||||
Red Rock Resorts, Inc. Class A | 11,186 | 240,275 | ||||
Ruth's Hospitality Group, Inc. | 4,500 | 102,195 | ||||
Scientific Games Corp. Class A (a) (b) | 8,800 | 174,416 | ||||
SeaWorld Entertainment, Inc. (a) | 8,690 | 269,390 | ||||
Shake Shack, Inc. Class A (a) | 4,630 | 334,286 | ||||
Six Flags Entertainment Corp. | 12,910 | 641,369 | ||||
Speedway Motorsports, Inc. | 1,700 | 31,535 | ||||
Target Hospitality Corp. (a) | 5,100 | 46,410 | ||||
Texas Roadhouse, Inc. | 11,104 | 595,952 | ||||
Twin River Worldwide Holdings, Inc. (a) | 3,300 | 98,175 | ||||
Vail Resorts, Inc. | 6,287 | 1,403,133 | ||||
Wendy's Co. | 29,858 | 584,620 | ||||
Wingstop, Inc. | 4,670 | 442,482 | ||||
Wyndham Destinations, Inc. | 14,500 | 636,550 | ||||
Wyndham Hotels & Resorts, Inc. | 15,000 | 836,100 | ||||
Yum China Holdings, Inc. | 56,824 | 2,625,269 | ||||
26,988,349 | ||||||
HOUSEHOLD DURABLES — 1.1% | ||||||
Bassett Furniture Industries, Inc. | 1,500 | 22,875 | ||||
Beazer Homes USA, Inc. (a) | 4,600 | 44,206 | ||||
Cavco Industries, Inc. (a) | 1,395 | 219,768 | ||||
Century Communities, Inc. (a) | 4,115 | 109,377 | ||||
Ethan Allen Interiors, Inc. | 3,800 | 80,028 | ||||
Flexsteel Industries, Inc. | 1,200 | 20,472 | ||||
GoPro, Inc. Class A (a) (b) | 17,500 | 95,550 | ||||
Green Brick Partners, Inc. (a) | 3,600 | 29,916 | ||||
Hamilton Beach Brands Holding Co. Class A | 782 | 14,897 | ||||
Helen of Troy, Ltd. (a) | 3,944 | 515,047 | ||||
Hooker Furniture Corp. | 1,700 | 35,054 | ||||
Installed Building Products, Inc. (a) | 3,400 | 201,348 | ||||
iRobot Corp. (a) (b) | 4,300 | 394,052 | ||||
KB Home | 13,800 | 355,074 | ||||
La-Z-Boy, Inc. | 7,333 | 224,830 | ||||
Legacy Housing Corp. (a) (b) | 700 | 8,715 | ||||
LGI Homes, Inc. (a) (b) | 2,900 | 207,147 | ||||
Lifetime Brands, Inc. | 1,500 | 14,190 | ||||
Lovesac Co. (a) | 900 | 27,963 | ||||
M/I Homes, Inc. (a) | 4,200 | 119,868 | ||||
MDC Holdings, Inc. | 7,871 | 258,011 | ||||
Meritage Homes Corp. (a) | 6,158 | 316,152 | ||||
NVR, Inc. (a) | 500 | 1,685,125 | ||||
Purple Innovation, Inc. (a) | 500 | 3,375 | ||||
Roku, Inc. (a) (b) | 12,800 | 1,159,424 | ||||
Skyline Champion Corp. (a) | 8,500 | 232,730 |
Security Description | Shares | Value | ||||
Sonos, Inc. (a) (b) | 10,900 | $123,606 | ||||
Taylor Morrison Home Corp. Class A (a) | 16,700 | 350,032 | ||||
Tempur Sealy International, Inc. (a) | 7,449 | 546,533 | ||||
Toll Brothers, Inc. | 21,983 | 805,017 | ||||
TopBuild Corp. (a) | 5,652 | 467,760 | ||||
TRI Pointe Group, Inc. (a) (b) | 22,683 | 271,516 | ||||
Tupperware Brands Corp. | 7,681 | 146,169 | ||||
Universal Electronics, Inc. (a) | 2,139 | 87,742 | ||||
William Lyon Homes Class A (a) | 4,900 | 89,327 | ||||
ZAGG, Inc. (a) (b) | 4,000 | 27,840 | ||||
9,310,736 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) (b) | 1,500 | 40,425 | ||||
Central Garden & Pet Co. Class A (a) | 6,500 | 160,160 | ||||
Energizer Holdings, Inc. (b) | 10,112 | 390,728 | ||||
Oil-Dri Corp. of America | 648 | 22,058 | ||||
Spectrum Brands Holdings, Inc. | 5,472 | 294,229 | ||||
WD-40 Co. (b) | 2,157 | 343,049 | ||||
1,250,649 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.3% | ||||||
Atlantic Power Corp. (a) (b) | 16,100 | 38,962 | ||||
Clearway Energy, Inc. Class A | 5,500 | 88,990 | ||||
Clearway Energy, Inc. Class C | 11,600 | 195,576 | ||||
Ormat Technologies, Inc. | 6,342 | 402,019 | ||||
Pattern Energy Group, Inc. Class A (b) | 13,900 | 320,951 | ||||
TerraForm Power, Inc. Class A | 11,359 | 162,434 | ||||
Vistra Energy Corp. | 66,565 | 1,507,032 | ||||
2,715,964 | ||||||
INDUSTRIAL CONGLOMERATES — 0.2% | ||||||
Carlisle Cos., Inc. | 8,781 | 1,232,940 | ||||
Raven Industries, Inc. | 5,700 | 204,516 | ||||
1,437,456 | ||||||
INSURANCE — 3.9% | ||||||
Alleghany Corp. (a) | 2,226 | 1,516,151 | ||||
Ambac Financial Group, Inc. (a) | 7,000 | 117,950 | ||||
American Equity Investment Life Holding Co. | 14,272 | 387,628 | ||||
American Financial Group, Inc. | 11,601 | 1,188,754 | ||||
American National Insurance Co. | 1,335 | 155,487 | ||||
AMERISAFE, Inc. | 2,981 | 190,098 | ||||
Arch Capital Group, Ltd. (a) | 60,069 | 2,227,359 | ||||
Argo Group International Holdings, Ltd. | 5,160 | 382,098 | ||||
Assured Guaranty, Ltd. | 15,519 | 653,040 | ||||
Athene Holding, Ltd. Class A (a) | 24,300 | 1,046,358 | ||||
Axis Capital Holdings, Ltd. | 12,916 | 770,439 | ||||
Brighthouse Financial, Inc. (a) | 18,200 | 667,758 | ||||
Brown & Brown, Inc. | 37,488 | 1,255,848 | ||||
Citizens, Inc. (a) | 7,300 | 53,290 | ||||
CNA Financial Corp. | 4,491 | 211,391 | ||||
CNO Financial Group, Inc. | 26,279 | 438,334 |
Security Description | Shares | Value | |||
Crawford & Co. Class A | 2,600 | $27,378 | |||
Donegal Group, Inc. Class A | 1,400 | 21,378 | |||
eHealth, Inc. (a) | 3,700 | 318,570 | |||
EMC Insurance Group, Inc. | 1,400 | 50,442 | |||
Employers Holdings, Inc. | 5,100 | 215,577 | |||
Enstar Group, Ltd. (a) | 1,951 | 340,020 | |||
Erie Indemnity Co. Class A | 3,816 | 970,332 | |||
FBL Financial Group, Inc. Class A | 1,526 | 97,359 | |||
FedNat Holding Co. | 1,700 | 24,259 | |||
Fidelity National Financial, Inc. | 41,422 | 1,669,307 | |||
First American Financial Corp. | 17,648 | 947,698 | |||
Genworth Financial, Inc. Class A (a) | 79,300 | 294,203 | |||
Global Indemnity, Ltd. | 1,254 | 38,824 | |||
Goosehead Insurance, Inc. Class A (b) | 1,500 | 71,700 | |||
Greenlight Capital Re, Ltd. Class A (a) (b) | 4,300 | 36,507 | |||
Hallmark Financial Services, Inc. (a) | 2,041 | 29,043 | |||
Hanover Insurance Group, Inc. | 6,401 | 821,248 | |||
HCI Group, Inc. | 1,045 | 42,291 | |||
Health Insurance Innovations, Inc. Class A (a) | 1,900 | 49,248 | |||
Heritage Insurance Holdings, Inc. | 3,200 | 49,312 | |||
Horace Mann Educators Corp. | 6,500 | 261,885 | |||
Independence Holding Co. | 700 | 27,104 | |||
Investors Title Co. | 242 | 40,414 | |||
James River Group Holdings, Ltd. | 4,700 | 220,430 | |||
Kemper Corp. | 9,568 | 825,623 | |||
Kinsale Capital Group, Inc. | 3,100 | 283,588 | |||
Markel Corp. (a) | 2,121 | 2,311,042 | |||
MBIA, Inc. (a) | 13,700 | 127,547 | |||
Mercury General Corp. | 4,437 | 277,313 | |||
National General Holdings Corp. | 10,199 | 233,965 | |||
National Western Life Group, Inc. Class A | 396 | 101,772 | |||
NI Holdings, Inc. (a) | 1,500 | 26,415 | |||
Old Republic International Corp. | 44,162 | 988,346 | |||
Palomar Holdings, Inc. (a) | 900 | 21,636 | |||
Primerica, Inc. | 6,557 | 786,512 | |||
ProAssurance Corp. | 8,931 | 322,498 | |||
Protective Insurance Corp. Class B | 1,400 | 24,318 | |||
Reinsurance Group of America, Inc. | 9,816 | 1,531,590 | |||
RenaissanceRe Holdings, Ltd. | 6,823 | 1,214,562 | |||
RLI Corp. | 6,518 | 558,658 | |||
Safety Insurance Group, Inc. | 2,338 | 222,414 | |||
Selective Insurance Group, Inc. | 9,500 | 711,455 | |||
State Auto Financial Corp. | 2,700 | 94,500 | |||
Stewart Information Services Corp. | 3,649 | 147,748 | |||
Third Point Reinsurance, Ltd. (a) | 11,800 | 121,776 | |||
Tiptree, Inc. | 3,900 | 24,570 | |||
Trupanion, Inc. (a) (b) | 4,069 | 147,013 | |||
United Fire Group, Inc. | 3,298 | 159,821 | |||
United Insurance Holdings Corp. | 3,000 | 42,780 | |||
Universal Insurance Holdings, Inc. | 5,000 | 139,500 | |||
Watford Holdings, Ltd. (a) | 3,200 | 87,744 |
Security Description | Shares | Value | ||||
White Mountains Insurance Group, Ltd. | 501 | $511,751 | ||||
WR Berkley Corp. | 22,950 | 1,513,094 | ||||
31,486,063 | ||||||
INTERACTIVE MEDIA & SERVICES — 0.7% | ||||||
Care.com, Inc. (a) | 3,200 | 35,136 | ||||
Cargurus, Inc. (a) (b) | 11,600 | 418,876 | ||||
Cars.com, Inc. (a) (b) | 10,900 | 214,948 | ||||
DHI Group, Inc. (a) | 8,000 | 28,560 | ||||
Eventbrite, Inc. Class A (a) | 5,700 | 92,340 | ||||
EverQuote, Inc. Class A (a) | 1,300 | 16,900 | ||||
IAC/InterActiveCorp (a) | 11,631 | 2,530,092 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 11,700 | 145,080 | ||||
Match Group, Inc. (b) | 8,500 | 571,795 | ||||
Meet Group, Inc. (a) | 11,300 | 39,324 | ||||
QuinStreet, Inc. (a) | 7,000 | 110,950 | ||||
Travelzoo (a) | 600 | 9,264 | ||||
TrueCar, Inc. (a) | 14,266 | 77,892 | ||||
Yelp, Inc. (a) | 11,791 | 403,017 | ||||
Zillow Group, Inc. Class A (a) | 9,083 | 415,638 | ||||
Zillow Group, Inc. Class C (a) (b) | 19,883 | 922,372 | ||||
6,032,184 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.8% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 4,200 | 79,296 | ||||
Duluth Holdings, Inc. Class B (a) (b) | 1,099 | 14,935 | ||||
Etsy, Inc. (a) | 19,220 | 1,179,531 | ||||
Groupon, Inc. (a) | 70,122 | 251,037 | ||||
GrubHub, Inc. (a) (b) | 14,664 | 1,143,645 | ||||
Lands' End, Inc. (a) (b) | 1,600 | 19,552 | ||||
Leaf Group, Ltd. (a) | 2,500 | 18,525 | ||||
Liberty Expedia Holdings, Inc. Class A (a) | 8,687 | 415,152 | ||||
Liquidity Services, Inc. (a) | 3,800 | 23,142 | ||||
Overstock.com, Inc. (a) (b) | 3,400 | 46,240 | ||||
PetMed Express, Inc. (b) | 3,000 | 47,010 | ||||
Quotient Technology, Inc. (a) | 12,800 | 137,472 | ||||
Qurate Retail, Inc. (a) | 61,816 | 765,900 | ||||
Rubicon Project, Inc. (a) | 7,500 | 47,700 | ||||
Shutterfly, Inc. (a) | 5,277 | 266,752 | ||||
Shutterstock, Inc. | 2,950 | 115,611 | ||||
Stamps.com, Inc. (a) (b) | 2,784 | 126,032 | ||||
Stitch Fix, Inc. Class A (a) | 6,500 | 207,935 | ||||
Waitr Holdings, Inc. (a) | 8,200 | 51,578 | ||||
Wayfair, Inc. Class A (a) (b) | 9,891 | 1,444,086 | ||||
6,401,131 | ||||||
IT SERVICES — 4.9% | ||||||
Amdocs, Ltd. | 21,483 | 1,333,879 | ||||
Black Knight, Inc. (a) | 22,946 | 1,380,202 | ||||
Booz Allen Hamilton Holding Corp. | 21,400 | 1,416,894 | ||||
Brightcove, Inc. (a) | 5,326 | 55,018 | ||||
CACI International, Inc. Class A (a) | 3,991 | 816,519 | ||||
Carbonite, Inc. (a) | 5,000 | 130,200 |
Security Description | Shares | Value | ||||
Cardtronics PLC Class A (a) | 6,228 | $170,149 | ||||
Cass Information Systems, Inc. | 2,260 | 109,565 | ||||
Conduent, Inc. (a) | 27,000 | 258,930 | ||||
CoreLogic, Inc. (a) | 12,900 | 539,607 | ||||
CSG Systems International, Inc. | 5,200 | 253,916 | ||||
Endurance International Group Holdings, Inc. (a) | 11,135 | 53,448 | ||||
EPAM Systems, Inc. (a) | 8,264 | 1,430,498 | ||||
Euronet Worldwide, Inc. (a) | 7,963 | 1,339,695 | ||||
EVERTEC, Inc. | 9,600 | 313,920 | ||||
Evo Payments, Inc. Class A (a) (b) | 5,400 | 170,262 | ||||
Exela Technologies, Inc. (a) (b) | 7,100 | 15,549 | ||||
ExlService Holdings, Inc. (a) | 5,337 | 352,936 | ||||
First Data Corp. Class A (a) | 90,905 | 2,460,798 | ||||
Genpact, Ltd. | 25,560 | 973,580 | ||||
GoDaddy, Inc. Class A (a) | 27,822 | 1,951,713 | ||||
GTT Communications, Inc. (a) (b) | 6,695 | 117,832 | ||||
Hackett Group, Inc. | 3,790 | 63,634 | ||||
I3 Verticals, Inc. Class A (a) | 1,300 | 38,285 | ||||
Information Services Group, Inc. (a) | 5,100 | 16,116 | ||||
International Money Express, Inc. (a) | 2,000 | 28,200 | ||||
KBR, Inc. | 22,488 | 560,851 | ||||
Leidos Holdings, Inc. | 21,311 | 1,701,683 | ||||
Limelight Networks, Inc. (a) | 16,200 | 43,740 | ||||
LiveRamp Holdings, Inc. (a) | 10,785 | 522,857 | ||||
ManTech International Corp. Class A | 4,258 | 280,389 | ||||
MAXIMUS, Inc. | 9,907 | 718,654 | ||||
MongoDB, Inc. (a) | 3,700 | 562,733 | ||||
NIC, Inc. | 10,000 | 160,400 | ||||
Okta, Inc. (a) | 16,000 | 1,976,160 | ||||
Paysign, Inc. (a) | 4,600 | 61,502 | ||||
Perficient, Inc. (a) | 5,100 | 175,032 | ||||
Perspecta, Inc. | 22,600 | 529,066 | ||||
Presidio, Inc. | 6,400 | 87,488 | ||||
PRGX Global, Inc. (a) | 3,100 | 20,832 | ||||
Priority Technology Holdings, Inc. (a) | 1,000 | 7,850 | ||||
Sabre Corp. | 43,088 | 956,554 | ||||
Science Applications International Corp. | 9,282 | 803,450 | ||||
Square, Inc. Class A (a) | 52,160 | 3,783,165 | ||||
StarTek, Inc. (a) | 2,500 | 20,425 | ||||
Switch, Inc. Class A (b) | 10,500 | 137,445 | ||||
Sykes Enterprises, Inc. (a) | 6,853 | 188,183 | ||||
TTEC Holdings, Inc. | 2,200 | 102,498 | ||||
Tucows, Inc. Class A (a) (b) | 1,500 | 91,530 | ||||
Twilio, Inc. Class A (a) (b) | 18,082 | 2,465,481 | ||||
Unisys Corp. (a) (b) | 7,900 | 76,788 | ||||
USA Technologies, Inc. (a) (b) | 8,975 | 66,684 | ||||
Verra Mobility Corp. (a) | 15,300 | 200,277 | ||||
Virtusa Corp. (a) | 4,500 | 199,935 | ||||
WEX, Inc. (a) | 6,859 | 1,427,358 | ||||
Worldpay, Inc. Class A (a) | 49,136 | 6,021,617 | ||||
39,741,972 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.4% | ||||||
Acushnet Holdings Corp. | 5,400 | 141,804 |
Security Description | Shares | Value | ||||
American Outdoor Brands Corp. (a) | 8,388 | $75,576 | ||||
Brunswick Corp. | 13,538 | 621,259 | ||||
Callaway Golf Co. | 14,812 | 254,174 | ||||
Clarus Corp. | 3,100 | 44,764 | ||||
Escalade, Inc. | 1,700 | 19,499 | ||||
Johnson Outdoors, Inc. Class A | 800 | 59,656 | ||||
Malibu Boats, Inc. Class A (a) | 3,200 | 124,320 | ||||
Marine Products Corp. | 987 | 15,239 | ||||
MasterCraft Boat Holdings, Inc. (a) | 2,800 | 54,852 | ||||
Mattel, Inc. (a) (b) | 53,800 | 603,098 | ||||
Polaris Industries, Inc. | 9,015 | 822,438 | ||||
Sturm Ruger & Co., Inc. (b) | 2,665 | 145,189 | ||||
Vista Outdoor, Inc. (a) | 8,921 | 79,219 | ||||
YETI Holdings, Inc. (a) (b) | 4,900 | 141,855 | ||||
3,202,942 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.1% | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 4,000 | 91,520 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 3,364 | 1,051,553 | ||||
Bio-Techne Corp. | 6,002 | 1,251,357 | ||||
Bruker Corp. | 16,541 | 826,223 | ||||
Cambrex Corp. (a) | 5,300 | 248,093 | ||||
Charles River Laboratories International, Inc. (a) | 7,717 | 1,095,042 | ||||
ChromaDex Corp. (a) (b) | 6,100 | 28,365 | ||||
Codexis, Inc. (a) | 8,200 | 151,126 | ||||
Fluidigm Corp. (a) | 10,744 | 132,366 | ||||
Luminex Corp. | 6,400 | 132,096 | ||||
Medpace Holdings, Inc. (a) | 4,600 | 300,932 | ||||
NanoString Technologies, Inc. (a) | 5,800 | 176,030 | ||||
NeoGenomics, Inc. (a) (b) | 13,200 | 289,608 | ||||
Pacific Biosciences of California, Inc. (a) | 21,800 | 131,890 | ||||
PRA Health Sciences, Inc. (a) | 9,394 | 931,415 | ||||
QIAGEN NV (a) | 34,681 | 1,406,315 | ||||
Quanterix Corp. (a) | 1,400 | 47,306 | ||||
Syneos Health, Inc. (a) | 9,894 | 505,484 | ||||
8,796,721 | ||||||
MACHINERY — 3.6% | ||||||
Actuant Corp. Class A | 9,600 | 238,176 | ||||
AGCO Corp. | 9,975 | 773,761 | ||||
Alamo Group, Inc. | 1,492 | 149,095 | ||||
Albany International Corp. Class A | 4,648 | 385,366 | ||||
Allison Transmission Holdings, Inc. | 18,657 | 864,752 | ||||
Altra Industrial Motion Corp. | 9,674 | 347,103 | ||||
Astec Industries, Inc. | 3,640 | 118,518 | ||||
Barnes Group, Inc. | 7,614 | 428,973 | ||||
Blue Bird Corp. (a) | 2,392 | 47,098 | ||||
Briggs & Stratton Corp. | 6,100 | 62,464 | ||||
Chart Industries, Inc. (a) | 5,700 | 438,216 | ||||
CIRCOR International, Inc. (a) | 3,047 | 140,162 | ||||
Colfax Corp. (a) (b) | 15,227 | 426,813 | ||||
Columbus McKinnon Corp. | 3,500 | 146,895 | ||||
Commercial Vehicle Group, Inc. (a) | 4,800 | 38,496 | ||||
Crane Co. | 8,248 | 688,213 |
Security Description | Shares | Value | |||
Donaldson Co., Inc. | 19,979 | $1,016,132 | |||
Douglas Dynamics, Inc. | 3,477 | 138,350 | |||
Eastern Co. | 700 | 19,614 | |||
Energy Recovery, Inc. (a) (b) | 5,300 | 55,226 | |||
EnPro Industries, Inc. | 3,245 | 207,161 | |||
ESCO Technologies, Inc. | 4,143 | 342,295 | |||
Evoqua Water Technologies Corp. (a) | 11,800 | 168,032 | |||
Federal Signal Corp. | 9,500 | 254,125 | |||
Franklin Electric Co., Inc. | 7,449 | 353,827 | |||
Gardner Denver Holdings, Inc. (a) | 20,800 | 719,680 | |||
Gates Industrial Corp. PLC (a) | 6,800 | 77,588 | |||
Gencor Industries, Inc. (a) | 1,100 | 14,300 | |||
Gorman-Rupp Co. | 2,700 | 88,641 | |||
Graco, Inc. | 25,813 | 1,295,296 | |||
Graham Corp. | 1,400 | 28,294 | |||
Greenbrier Cos., Inc. | 4,994 | 151,818 | |||
Harsco Corp. (a) | 12,391 | 340,009 | |||
Helios Technologies, Inc. | 4,548 | 211,073 | |||
Hillenbrand, Inc. | 9,999 | 395,660 | |||
Hurco Cos., Inc. | 966 | 34,351 | |||
Hyster-Yale Materials Handling, Inc. | 1,589 | 87,808 | |||
IDEX Corp. | 11,860 | 2,041,580 | |||
ITT, Inc. | 13,788 | 902,838 | |||
John Bean Technologies Corp. | 4,990 | 604,439 | |||
Kadant, Inc. | 1,700 | 154,377 | |||
Kennametal, Inc. | 13,017 | 481,499 | |||
LB Foster Co. Class A (a) | 1,600 | 43,744 | |||
Lincoln Electric Holdings, Inc. | 9,456 | 778,418 | |||
Lindsay Corp. (b) | 1,670 | 137,291 | |||
Luxfer Holdings PLC | 4,200 | 102,984 | |||
Lydall, Inc. (a) | 2,500 | 50,500 | |||
Manitowoc Co., Inc (a) | 5,575 | 99,235 | |||
Meritor, Inc. (a) | 12,600 | 305,550 | |||
Middleby Corp. (a) | 8,910 | 1,209,087 | |||
Milacron Holdings Corp. (a) | 11,100 | 153,180 | |||
Miller Industries, Inc. | 1,600 | 49,200 | |||
Mueller Industries, Inc. | 8,684 | 254,181 | |||
Mueller Water Products, Inc. Class A | 24,300 | 238,626 | |||
Navistar International Corp. (a) | 7,900 | 272,155 | |||
NN, Inc. (b) | 6,216 | 60,668 | |||
Nordson Corp. | 9,003 | 1,272,214 | |||
Omega Flex, Inc. | 500 | 38,405 | |||
Oshkosh Corp. | 10,908 | 910,709 | |||
Park-Ohio Holdings Corp. | 1,346 | 43,866 | |||
Proto Labs, Inc. (a) | 4,303 | 499,234 | |||
RBC Bearings, Inc. (a) | 3,844 | 641,218 | |||
REV Group, Inc. (b) | 4,400 | 63,404 | |||
Rexnord Corp. (a) | 16,690 | 504,372 | |||
Spartan Motors, Inc. | 5,000 | 54,800 | |||
SPX Corp. (a) | 6,800 | 224,536 | |||
SPX FLOW, Inc. (a) | 6,800 | 284,648 | |||
Standex International Corp. | 2,015 | 147,377 | |||
Tennant Co. | 2,776 | 169,891 | |||
Terex Corp. | 10,690 | 335,666 | |||
Timken Co. | 10,992 | 564,329 | |||
Titan International, Inc. | 7,400 | 36,186 |
Security Description | Shares | Value | ||||
Toro Co. | 16,693 | $1,116,762 | ||||
TriMas Corp. (a) | 7,200 | 222,984 | ||||
Trinity Industries, Inc. | 16,669 | 345,882 | ||||
Twin Disc, Inc. (a) | 1,400 | 21,140 | ||||
Wabash National Corp. | 8,700 | 141,549 | ||||
WABCO Holdings, Inc. (a) | 7,961 | 1,055,628 | ||||
Watts Water Technologies, Inc. Class A | 4,483 | 417,726 | ||||
Welbilt, Inc. (a) | 21,000 | 350,700 | ||||
Woodward, Inc. | 8,650 | 978,834 | ||||
29,674,993 | ||||||
MARINE — 0.1% | ||||||
Costamare, Inc. | 7,300 | 37,449 | ||||
Eagle Bulk Shipping, Inc. (a) | 7,100 | 37,204 | ||||
Genco Shipping & Trading, Ltd. (a) | 900 | 7,596 | ||||
Kirby Corp. (a) | 9,340 | 737,860 | ||||
Matson, Inc. | 6,682 | 259,596 | ||||
Safe Bulkers, Inc. (a) (b) | 5,800 | 9,048 | ||||
Scorpio Bulkers, Inc. | 8,674 | 39,900 | ||||
1,128,653 | ||||||
MEDIA — 1.7% | ||||||
Altice USA, Inc. Class A (a) | 51,500 | 1,254,025 | ||||
AMC Networks, Inc. Class A (a) (b) | 7,086 | 386,116 | ||||
Boston Omaha Corp. Class A (a) (b) | 1,600 | 37,040 | ||||
Cable One, Inc. | 678 | 793,931 | ||||
Cardlytics, Inc. (a) (b) | 2,800 | 72,744 | ||||
cbdMD, Inc. (a) | 1,500 | 8,850 | ||||
Central European Media Enterprises, Ltd. Class A (a) | 13,000 | 56,680 | ||||
Clear Channel Outdoor Holding, Inc. (a) | 5,500 | 25,960 | ||||
comScore, Inc. (a) | 7,600 | 39,216 | ||||
Cumulus Media, Inc. Class A (a) | 2,200 | 40,810 | ||||
Daily Journal Corp. (a) (b) | 159 | 37,842 | ||||
Emerald Expositions Events, Inc. | 3,600 | 40,140 | ||||
Entercom Communications Corp. Class A (b) | 19,900 | 115,420 | ||||
Entravision Communications Corp. Class A | 9,500 | 29,640 | ||||
EW Scripps Co. Class A | 8,600 | 131,494 | ||||
Fluent, Inc. (a) | 5,200 | 27,976 | ||||
Gannett Co., Inc. | 17,900 | 146,064 | ||||
Gray Television, Inc. (a) | 15,300 | 250,767 | ||||
Hemisphere Media Group, Inc. (a) | 2,700 | 34,884 | ||||
John Wiley & Sons, Inc. Class A | 7,150 | 327,899 | ||||
Lee Enterprises, Inc. (a) | 8,300 | 18,592 | ||||
Liberty Broadband Corp. Class A (a) | 3,844 | 395,317 | ||||
Liberty Broadband Corp. Class C (a) | 16,760 | 1,746,727 | ||||
Liberty Latin America, Ltd. Class A (a) | 6,900 | 118,887 | ||||
Liberty Latin America, Ltd. Class C (a) | 18,200 | 312,858 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 13,504 | 510,586 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 24,459 | 928,953 |
Security Description | Shares | Value | ||||
Loral Space & Communications, Inc. (a) | 2,000 | $69,020 | ||||
Marchex, Inc. Class B (a) | 5,400 | 25,380 | ||||
MDC Partners, Inc. Class A (a) | 8,800 | 22,176 | ||||
Meredith Corp. (b) | 6,301 | 346,933 | ||||
MSG Networks, Inc. Class A (a) | 9,321 | 193,318 | ||||
National CineMedia, Inc. | 12,200 | 80,032 | ||||
New Media Investment Group, Inc. | 9,300 | 87,792 | ||||
New York Times Co. Class A | 25,400 | 828,548 | ||||
Nexstar Media Group, Inc. Class A | 7,311 | 738,411 | ||||
Saga Communications, Inc. Class A | 644 | 20,119 | ||||
Scholastic Corp. | 4,495 | 149,414 | ||||
Sinclair Broadcast Group, Inc. Class A | 9,462 | 507,447 | ||||
Sirius XM Holdings, Inc. (b) | 222,068 | 1,239,139 | ||||
TechTarget, Inc. (a) | 3,300 | 70,125 | ||||
TEGNA, Inc. | 34,483 | 522,418 | ||||
Tribune Media Co. Class A | 14,032 | 648,559 | ||||
WideOpenWest, Inc. (a) (b) | 4,400 | 31,944 | ||||
Tribune Publishing Co. | 2,400 | 19,128 | ||||
13,489,321 | ||||||
METALS & MINING — 1.1% | ||||||
AK Steel Holding Corp. (a) (b) | 49,100 | 116,367 | ||||
Alcoa Corp. (a) | 29,121 | 681,723 | ||||
Allegheny Technologies, Inc. (a) (b) | 20,037 | 504,932 | ||||
Carpenter Technology Corp. | 7,455 | 357,691 | ||||
Century Aluminum Co. (a) | 7,600 | 52,516 | ||||
Cleveland-Cliffs, Inc. (b) | 46,642 | 497,670 | ||||
Coeur Mining, Inc. (a) | 30,400 | 131,936 | ||||
Commercial Metals Co. | 18,347 | 327,494 | ||||
Compass Minerals International, Inc. (b) | 5,414 | 297,499 | ||||
Ferroglobe Representation & Warranty Insurance Trust (a) (c) | 2,200 | — | ||||
Global Brass & Copper Holdings, Inc. | 3,400 | 148,682 | ||||
Gold Resource Corp. | 7,700 | 26,026 | ||||
Haynes International, Inc. | 1,900 | 60,439 | ||||
Hecla Mining Co. | 73,537 | 132,367 | ||||
Kaiser Aluminum Corp. | 2,558 | 249,686 | ||||
Materion Corp. | 3,155 | 213,941 | ||||
Mayville Engineering Co., Inc. (a) | 1,000 | 13,800 | ||||
Novagold Resources, Inc. (a) | 36,100 | 213,351 | ||||
Olympic Steel, Inc. | 1,400 | 19,110 | ||||
Ramaco Resources, Inc. (a) | 500 | 2,660 | ||||
Reliance Steel & Aluminum Co. | 10,177 | 962,948 | ||||
Royal Gold, Inc. | 10,558 | 1,082,089 | ||||
Ryerson Holding Corp. (a) | 2,500 | 20,825 | ||||
Schnitzer Steel Industries, Inc. Class A | 3,972 | 103,947 | ||||
Southern Copper Corp. | 13,269 | 515,501 | ||||
Steel Dynamics, Inc. | 33,306 | 1,005,841 | ||||
SunCoke Energy, Inc. (a) | 15,600 | 138,528 | ||||
Synalloy Corp. | 1,300 | 20,306 | ||||
TimkenSteel Corp. (a) (b) | 5,900 | 47,967 | ||||
United States Steel Corp. (b) | 28,299 | 433,258 |
Security Description | Shares | Value | ||||
Warrior Met Coal, Inc. | 8,800 | $229,856 | ||||
Worthington Industries, Inc. | 6,400 | 257,664 | ||||
8,866,620 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 1.4% | ||||||
AG Mortgage Investment Trust, Inc. REIT | 4,400 | 69,960 | ||||
AGNC Investment Corp. REIT | 84,093 | 1,414,444 | ||||
Annaly Capital Management, Inc. REIT | 232,252 | 2,120,461 | ||||
Anworth Mortgage Asset Corp. REIT | 14,800 | 56,092 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 23,840 | 438,418 | ||||
Ares Commercial Real Estate Corp. REIT | 4,200 | 62,412 | ||||
Arlington Asset Investment Corp. Class A (b) | 4,400 | 30,272 | ||||
ARMOUR Residential REIT, Inc. (b) | 9,400 | 175,216 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT (b) | 20,300 | 722,274 | ||||
Capstead Mortgage Corp. REIT | 13,610 | 113,643 | ||||
Cherry Hill Mortgage Investment Corp. REIT (b) | 2,400 | 38,400 | ||||
Chimera Investment Corp. REIT (b) | 29,826 | 562,817 | ||||
Colony Credit Real Estate, Inc. REIT (b) | 13,200 | 204,600 | ||||
Dynex Capital, Inc. REIT | 3,600 | 60,300 | ||||
Ellington Financial, Inc. | 4,200 | 75,474 | ||||
Exantas Capital Corp. REIT | 4,475 | 50,612 | ||||
Granite Point Mortgage Trust, Inc. REIT | 7,982 | 153,175 | ||||
Great Ajax Corp. REIT | 2,400 | 33,600 | ||||
Invesco Mortgage Capital, Inc. REIT | 20,200 | 325,624 | ||||
KKR Real Estate Finance Trust, Inc. REIT (b) | 3,200 | 63,744 | ||||
Ladder Capital Corp. REIT | 17,127 | 284,479 | ||||
MFA Financial, Inc. REIT | 71,636 | 514,346 | ||||
New Residential Investment Corp. REIT (b) | 65,500 | 1,008,045 | ||||
New York Mortgage Trust, Inc. REIT | 35,400 | 219,480 | ||||
Orchid Island Capital, Inc. REIT (b) | 7,700 | 48,972 | ||||
PennyMac Mortgage Investment Trust REIT | 12,641 | 275,953 | ||||
Ready Capital Corp. REIT | 4,700 | 70,030 | ||||
Redwood Trust, Inc. REIT | 15,000 | 247,950 | ||||
TPG RE Finance Trust, Inc. REIT | 8,600 | 165,894 | ||||
Two Harbors Investment Corp. REIT | 44,157 | 559,469 | ||||
Western Asset Mortgage Capital Corp. REIT | 7,400 | 73,852 | ||||
Starwood Property Trust, Inc. REIT | 43,848 | 996,227 | ||||
11,236,235 | ||||||
MULTI-UTILITIES — 0.3% | ||||||
Avista Corp. | 10,500 | 468,300 | ||||
Black Hills Corp. | 9,693 | 757,702 | ||||
MDU Resources Group, Inc. | 31,700 | 817,860 | ||||
NorthWestern Corp. | 8,055 | 581,168 |
Security Description | Shares | Value | ||||
Unitil Corp. | 2,300 | $137,747 | ||||
2,762,777 | ||||||
MULTILINE RETAIL — 0.1% | ||||||
Big Lots, Inc. | 6,320 | 180,815 | ||||
Dillard's, Inc. Class A (b) | 1,705 | 106,188 | ||||
JC Penney Co., Inc. (a) (b) | 47,800 | 54,492 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) | 8,202 | 714,476 | ||||
1,055,971 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.3% | ||||||
Abraxas Petroleum Corp. (a) | 23,800 | 24,514 | ||||
Altus Midstream Co. Class A (a) | 7,800 | 29,016 | ||||
Antero Midstream Corp. | 35,300 | 404,538 | ||||
Antero Resources Corp. (a) (b) | 42,974 | 237,646 | ||||
Arch Coal, Inc. Class A (b) | 2,796 | 263,411 | ||||
Ardmore Shipping Corp. (a) | 5,000 | 40,750 | ||||
Berry Petroleum Corp. | 8,700 | 92,220 | ||||
Bonanza Creek Energy, Inc. (a) | 2,800 | 58,464 | ||||
Brigham Minerals, Inc. Class A (a) | 2,500 | 53,650 | ||||
California Resources Corp. (a) (b) | 7,002 | 137,799 | ||||
Callon Petroleum Co. (a) (b) | 35,904 | 236,607 | ||||
Carrizo Oil & Gas, Inc. (a) | 13,800 | 138,276 | ||||
Centennial Resource Development, Inc. Class A (a) (b) | 28,964 | 219,837 | ||||
Chaparral Energy, Inc. Class A (a) | 4,800 | 22,608 | ||||
Cheniere Energy, Inc. (a) | 36,547 | 2,501,642 | ||||
Chesapeake Energy Corp. (a) (b) | 203,244 | 396,326 | ||||
Clean Energy Fuels Corp. (a) | 20,400 | 54,468 | ||||
CNX Resources Corp. (a) | 30,900 | 225,879 | ||||
Comstock Resources, Inc. (a) | 2,300 | 12,811 | ||||
CONSOL Energy, Inc. (a) | 4,350 | 115,753 | ||||
Continental Resources, Inc. (a) | 14,147 | 595,447 | ||||
Contura Energy, Inc. (a) | 3,000 | 155,700 | ||||
CVR Energy, Inc. | 4,600 | 229,954 | ||||
Delek US Holdings, Inc. | 11,908 | 482,512 | ||||
Denbury Resources, Inc. (a) (b) | 70,015 | 86,819 | ||||
DHT Holdings, Inc. | 13,996 | 82,716 | ||||
Diamond Shipping, Inc. (a) | 3,400 | 43,418 | ||||
Dorian LPG, Ltd. (a) | 4,358 | 39,309 | ||||
Earthstone Energy, Inc. Class A (a) | 2,700 | 16,524 | ||||
Energy Fuels, Inc. (a) (b) | 12,700 | 39,751 | ||||
EQT Corp. | 39,800 | 629,238 | ||||
Equitrans Midstream Corp. | 31,940 | 629,537 | ||||
Evolution Petroleum Corp. | 3,800 | 27,170 | ||||
Extraction Oil & Gas, Inc. (a) (b) | 17,600 | 76,208 | ||||
Falcon Minerals Corp. | 6,000 | 50,400 | ||||
GasLog, Ltd. | 6,400 | 92,160 | ||||
Golar LNG, Ltd. (b) | 14,898 | 275,315 | ||||
Goodrich Petroleum Corp. (a) | 1,100 | 14,289 | ||||
Green Plains, Inc. | 6,047 | 65,187 | ||||
Gulfport Energy Corp. (a) | 27,500 | 135,025 | ||||
Hallador Energy Co. | 1,900 | 10,697 | ||||
HighPoint Resources Corp. (a) | 16,300 | 29,666 | ||||
International Seaways, Inc. (a) | 3,199 | 60,781 | ||||
Isramco, Inc. (a) | 96 | 11,376 |
Security Description | Shares | Value | ||||
Jagged Peak Energy, Inc. (a) (b) | 9,800 | $81,046 | ||||
Kosmos Energy, Ltd. (b) | 56,700 | 355,509 | ||||
Laredo Petroleum, Inc. (a) | 24,700 | 71,630 | ||||
Magnolia Oil & Gas Corp. Class A (a) | 15,700 | 181,806 | ||||
Matador Resources Co. (a) (b) | 16,900 | 335,972 | ||||
Midstates Petroleum Co., Inc. (a) | 2,293 | 13,506 | ||||
Montage Resources Corp. (a) | 680 | 4,148 | ||||
Murphy Oil Corp. (b) | 27,000 | 665,550 | ||||
NACCO Industries, Inc. Class A | 641 | 33,294 | ||||
NextDecade Corp. (a) | 900 | 5,688 | ||||
Nordic American Tankers, Ltd. | 21,040 | 49,234 | ||||
Northern Oil and Gas, Inc. (a) (b) | 51,900 | 100,167 | ||||
Oasis Petroleum, Inc. (a) | 53,100 | 301,608 | ||||
Overseas Shipholding Group, Inc. Class A (a) | 9,000 | 16,920 | ||||
Panhandle Oil and Gas, Inc. Class A | 2,300 | 29,992 | ||||
Par Pacific Holdings, Inc. (a) | 4,889 | 100,322 | ||||
Parsley Energy, Inc. Class A (a) | 43,649 | 829,767 | ||||
PBF Energy, Inc. Class A | 19,052 | 596,328 | ||||
PDC Energy, Inc. (a) | 10,612 | 382,669 | ||||
Peabody Energy Corp. | 11,003 | 265,172 | ||||
Penn Virginia Corp. (a) (b) | 1,900 | 58,292 | ||||
PrimeEnergy Resources Corp. (a) | 100 | 13,313 | ||||
QEP Resources, Inc. (a) | 37,423 | 270,568 | ||||
Range Resources Corp. (b) | 32,500 | 226,850 | ||||
Renewable Energy Group, Inc. (a) (b) | 5,700 | 90,402 | ||||
REX American Resources Corp. (a) | 825 | 60,143 | ||||
Ring Energy, Inc. (a) | 8,500 | 27,625 | ||||
Roan Resources, Inc. (a) | 5,600 | 9,744 | ||||
Rosehill Resources, Inc. (a) | 300 | 1,110 | ||||
SandRidge Energy, Inc. (a) | 4,500 | 31,140 | ||||
Scorpio Tankers, Inc. | 7,280 | 214,906 | ||||
SemGroup Corp. Class A | 12,429 | 149,148 | ||||
Ship Finance International, Ltd. (b) | 12,600 | 157,626 | ||||
SilverBow Resources, Inc. (a) | 1,100 | 15,235 | ||||
SM Energy Co. | 17,556 | 219,801 | ||||
Southwestern Energy Co. (a) (b) | 94,500 | 298,620 | ||||
SRC Energy, Inc. (a) (b) | 38,100 | 188,976 | ||||
Talos Energy, Inc. (a) | 3,100 | 74,555 | ||||
Targa Resources Corp. | 36,418 | 1,429,771 | ||||
Teekay Corp. (b) | 10,843 | 37,300 | ||||
Teekay Tankers, Ltd. Class A (a) | 30,100 | 38,528 | ||||
Tellurian, Inc. (a) (b) | 13,000 | 102,050 | ||||
Unit Corp. (a) | 8,148 | 72,436 | ||||
Uranium Energy Corp. (a) (b) | 25,600 | 35,072 | ||||
W&T Offshore, Inc. (a) | 14,200 | 70,432 | ||||
Whiting Petroleum Corp. (a) (b) | 14,500 | 270,860 | ||||
World Fuel Services Corp. | 11,249 | 404,514 | ||||
WPX Energy, Inc. (a) | 65,600 | 755,056 | ||||
18,889,815 | ||||||
PAPER & FOREST PRODUCTS — 0.2% | ||||||
Boise Cascade Co. | 6,200 | 174,282 | ||||
Clearwater Paper Corp. (a) | 2,579 | 47,686 | ||||
Domtar Corp. | 10,013 | 445,879 | ||||
Louisiana-Pacific Corp. | 19,302 | 506,098 |
Security Description | Shares | Value | ||||
Neenah, Inc. | 2,646 | $178,737 | ||||
PH Glatfelter Co. | 7,000 | 118,160 | ||||
Schweitzer-Mauduit International, Inc. | 5,300 | 175,854 | ||||
Verso Corp. Class A (a) | 5,359 | 102,089 | ||||
1,748,785 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
Edgewell Personal Care Co. (a) | 8,679 | 233,899 | ||||
elf Beauty, Inc. (a) (b) | 3,300 | 46,530 | ||||
Herbalife Nutrition, Ltd. (a) (b) | 16,030 | 685,443 | ||||
Inter Parfums, Inc. | 2,800 | 186,172 | ||||
Lifevantage Corp. (a) | 2,200 | 28,556 | ||||
Medifast, Inc. (b) | 1,848 | 237,098 | ||||
Nature's Sunshine Products, Inc. (a) | 1,300 | 12,077 | ||||
Nu Skin Enterprises, Inc. Class A | 8,858 | 436,877 | ||||
Revlon, Inc. Class A (a) (b) | 1,200 | 23,196 | ||||
USANA Health Sciences, Inc. (a) | 2,045 | 162,434 | ||||
Youngevity International, Inc. (a) | 1,300 | 7,410 | ||||
2,059,692 | ||||||
PHARMACEUTICALS — 1.2% | ||||||
AcelRx Pharmaceuticals, Inc. (a) | 12,200 | 30,866 | ||||
Acer Therapeutics, Inc. (a) | 800 | 3,120 | ||||
Aclaris Therapeutics, Inc. (a) | 5,558 | 12,172 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 7,200 | 212,760 | ||||
Akorn, Inc. (a) | 14,944 | 76,962 | ||||
Amneal Pharmaceuticals, Inc. (a) (b) | 13,190 | 94,572 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 5,400 | 113,994 | ||||
ANI Pharmaceuticals, Inc. (a) | 1,286 | 105,709 | ||||
Aratana Therapeutics, Inc. (a) | 7,300 | 37,668 | ||||
Arvinas Holding Co. LLC (a) (b) | 3,400 | 74,766 | ||||
Assertio Therapeutics, Inc. (a) | 9,300 | 32,085 | ||||
Axsome Therapeutics, Inc. (a) | 3,800 | 97,850 | ||||
BioDelivery Sciences International, Inc. (a) | 12,700 | 59,055 | ||||
Catalent, Inc. (a) | 22,682 | 1,229,591 | ||||
Cerecor, Inc. (a) | 3,300 | 17,952 | ||||
Chiasma, Inc. (a) | 4,100 | 30,627 | ||||
Collegium Pharmaceutical, Inc. (a) | 4,667 | 61,371 | ||||
Corcept Therapeutics, Inc. (a) (b) | 15,400 | 171,710 | ||||
CorMedix, Inc. (a) | 3,700 | 33,189 | ||||
Cymabay Therapeutics, Inc. (a) | 9,100 | 65,156 | ||||
Dermira, Inc. (a) (b) | 5,500 | 52,580 | ||||
Dova Pharmaceuticals, Inc. (a) | 1,400 | 19,740 | ||||
Elanco Animal Health, Inc. (a) | 57,500 | 1,943,500 | ||||
Eloxx Pharmaceuticals, Inc. (a) (b) | 3,400 | 33,898 | ||||
Endo International PLC (a) | 35,200 | 145,024 | ||||
Evofem Biosciences, Inc. (a) | 2,200 | 14,608 | ||||
Evolus, Inc. (a) (b) | 1,500 | 21,930 | ||||
EyePoint Pharmaceuticals, Inc. (a) | 9,600 | 15,744 | ||||
Horizon Therapeutics PLC (a) | 29,337 | 705,848 | ||||
Innoviva, Inc. (a) (b) | 10,900 | 158,704 | ||||
Intersect ENT, Inc. (a) (b) | 4,600 | 104,696 | ||||
Intra-Cellular Therapies, Inc. (a) | 7,056 | 91,587 | ||||
Jazz Pharmaceuticals PLC (a) | 8,718 | 1,242,838 | ||||
Kala Pharmaceuticals, Inc. (a) (b) | 2,400 | 15,312 |
Security Description | Shares | Value | ||||
Kaleido Biosciences, Inc. (a) | 800 | $9,280 | ||||
Lannett Co., Inc. (a) (b) | 4,397 | 26,646 | ||||
Liquidia Technologies, Inc. (a) | 900 | 7,200 | ||||
Mallinckrodt PLC (a) (b) | 13,000 | 119,340 | ||||
Marinus Pharmaceuticals, Inc. (a) | 7,500 | 31,125 | ||||
Menlo Therapeutics, Inc. (a) | 1,500 | 8,985 | ||||
MyoKardia, Inc. (a) (b) | 6,900 | 345,966 | ||||
NGM Biopharmaceuticals, Inc. (a) | 1,000 | 14,640 | ||||
Ocular Therapeutix, Inc. (a) | 5,600 | 24,640 | ||||
Odonate Therapeutics, Inc. (a) (b) | 1,100 | 40,359 | ||||
Omeros Corp. (a) (b) | 7,200 | 112,968 | ||||
Optinose, Inc. (a) (b) | 3,000 | 21,240 | ||||
Osmotica Pharmaceuticals PLC (a) | 1,300 | 4,940 | ||||
Pacira Pharmaceuticals, Inc. (a) | 6,437 | 279,945 | ||||
Paratek Pharmaceuticals, Inc. (a) (b) | 4,700 | 18,753 | ||||
Phibro Animal Health Corp. Class A | 3,200 | 101,664 | ||||
Prestige Consumer Healthcare, Inc. (a) (b) | 8,216 | 260,283 | ||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 3,000 | 283,050 | ||||
resTORbio, Inc. (a) | 800 | 8,160 | ||||
Revance Therapeutics, Inc. (a) (b) | 6,000 | 77,820 | ||||
SIGA Technologies, Inc. (a) (b) | 7,600 | 43,168 | ||||
Strongbridge Biopharma PLC (a) | 5,600 | 17,528 | ||||
Supernus Pharmaceuticals, Inc. (a) | 7,700 | 254,793 | ||||
TherapeuticsMD, Inc. (a) (b) | 28,600 | 74,360 | ||||
Theravance Biopharma, Inc. (a) (b) | 6,904 | 112,742 | ||||
Tricida, Inc. (a) (b) | 3,400 | 134,164 | ||||
Verrica Pharmaceuticals, Inc. (a) (b) | 1,700 | 19,754 | ||||
WaVe Life Sciences, Ltd. (a) | 3,110 | 81,140 | ||||
Xeris Pharmaceuticals, Inc. (a) (b) | 3,200 | 36,608 | ||||
Zogenix, Inc. (a) (b) | 6,769 | 323,423 | ||||
Zynerba Pharmaceuticals, Inc. (a) | 3,200 | 43,360 | ||||
10,065,228 | ||||||
PROFESSIONAL SERVICES — 1.4% | ||||||
Acacia Research Corp. (a) | 7,700 | 22,792 | ||||
ASGN, Inc. (a) | 8,092 | 490,375 | ||||
Barrett Business Services, Inc. | 1,139 | 94,081 | ||||
BG Staffing, Inc. | 1,100 | 20,768 | ||||
CBIZ, Inc. (a) | 8,200 | 160,638 | ||||
CoStar Group, Inc. (a) | 5,614 | 3,110,493 | ||||
CRA International, Inc. | 1,200 | 45,996 | ||||
Exponent, Inc. | 8,250 | 482,955 | ||||
Forrester Research, Inc. | 1,600 | 75,248 | ||||
Franklin Covey Co. (a) | 1,483 | 50,422 | ||||
FTI Consulting, Inc. (a) | 6,100 | 511,424 | ||||
GP Strategies Corp. (a) | 1,900 | 28,652 | ||||
Heidrick & Struggles International, Inc. | 2,900 | 86,913 | ||||
Huron Consulting Group, Inc. (a) | 3,520 | 177,338 | ||||
ICF International, Inc. | 3,102 | 225,826 | ||||
InnerWorkings, Inc. (a) | 6,900 | 26,358 | ||||
Insperity, Inc. | 6,250 | 763,375 | ||||
Kelly Services, Inc. Class A | 4,900 | 128,331 | ||||
Kforce, Inc. | 3,600 | 126,324 | ||||
Korn Ferry | 9,055 | 362,834 |
Security Description | Shares | Value | ||||
ManpowerGroup, Inc. | 9,316 | $899,925 | ||||
Mistras Group, Inc. (a) | 2,587 | 37,175 | ||||
Navigant Consulting, Inc. | 6,700 | 155,373 | ||||
Resources Connection, Inc. | 4,500 | 72,045 | ||||
TransUnion | 29,364 | 2,158,548 | ||||
TriNet Group, Inc. (a) | 7,000 | 474,600 | ||||
TrueBlue, Inc. (a) | 6,500 | 143,390 | ||||
Upwork, Inc. (a) (b) | 8,600 | 138,288 | ||||
WageWorks, Inc. (a) | 6,344 | 322,212 | ||||
Willdan Group, Inc. (a) | 1,500 | 55,875 | ||||
11,448,574 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% | ||||||
Altisource Portfolio Solutions SA (a) | 1,600 | 31,456 | ||||
American Realty Investors, Inc. (a) | 300 | 4,092 | ||||
Consolidated-Tomoka Land Co. | 523 | 31,223 | ||||
Cushman & Wakefield PLC (a) (b) | 16,000 | 286,080 | ||||
eXp World Holdings, Inc. (a) | 2,500 | 27,825 | ||||
Forestar Group, Inc. (a) | 1,551 | 30,322 | ||||
FRP Holdings, Inc. (a) | 1,045 | 58,280 | ||||
Griffin Industrial Realty, Inc. | 100 | 3,535 | ||||
HFF, Inc. Class A | 5,946 | 270,424 | ||||
Howard Hughes Corp. (a) | 6,241 | 772,885 | ||||
Jones Lang LaSalle, Inc. | 7,156 | 1,006,778 | ||||
Kennedy-Wilson Holdings, Inc. | 20,042 | 412,264 | ||||
Marcus & Millichap, Inc. (a) | 3,600 | 111,060 | ||||
Maui Land & Pineapple Co., Inc. (a) | 700 | 7,203 | ||||
Newmark Group, Inc. Class A | 23,561 | 211,578 | ||||
Rafael Holdings, Inc. Class B (a) | 1,600 | 46,000 | ||||
RE/MAX Holdings, Inc. Class A | 2,800 | 86,128 | ||||
Realogy Holdings Corp. (b) | 18,661 | 135,106 | ||||
Redfin Corp. (a) (b) | 13,900 | 249,922 | ||||
RMR Group, Inc. Class A | 1,046 | 49,141 | ||||
St. Joe Co. (a) (b) | 5,500 | 95,040 | ||||
Stratus Properties, Inc. (a) | 900 | 29,187 | ||||
Tejon Ranch Co. (a) | 3,100 | 51,429 | ||||
Transcontinental Realty Investors, Inc. (a) | 207 | 5,305 | ||||
4,012,263 | ||||||
ROAD & RAIL — 1.0% | ||||||
AMERCO | 1,413 | 534,891 | ||||
ArcBest Corp. | 4,000 | 112,440 | ||||
Avis Budget Group, Inc. (a) | 9,202 | 323,542 | ||||
Covenant Transportation Group, Inc. Class A (a) | 1,800 | 26,478 | ||||
Daseke, Inc. (a) (b) | 6,100 | 21,960 | ||||
Genesee & Wyoming, Inc. Class A (a) | 8,724 | 872,400 | ||||
Heartland Express, Inc. | 7,500 | 135,525 | ||||
Hertz Global Holdings, Inc. (a) (b) | 15,766 | 251,625 | ||||
Knight-Swift Transportation Holdings, Inc. (b) | 19,559 | 642,318 | ||||
Landstar System, Inc. | 6,525 | 704,635 | ||||
Lyft, Inc. Class A (a) | 5,100 | 335,121 | ||||
Marten Transport, Ltd. | 6,255 | 113,528 |
Security Description | Shares | Value | ||||
Old Dominion Freight Line, Inc. | 10,243 | $1,528,870 | ||||
PAM Transportation Services, Inc. (a) | 150 | 9,300 | ||||
Roadrunner Transportation Systems, Inc. (a) | 600 | 5,730 | ||||
Ryder System, Inc. | 8,345 | 486,514 | ||||
Saia, Inc. (a) | 4,400 | 284,548 | ||||
Schneider National, Inc. Class B | 8,700 | 158,688 | ||||
Uber Technologies, Inc. (a) | 28,300 | 1,312,554 | ||||
Universal Logistics Holdings, Inc. | 1,200 | 26,964 | ||||
US Xpress Enterprises, Inc. Class A (a) (b) | 3,100 | 15,934 | ||||
Werner Enterprises, Inc. | 7,300 | 226,884 | ||||
YRC Worldwide, Inc. (a) (b) | 4,900 | 19,747 | ||||
8,150,196 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.4% | ||||||
Adesto Technologies Corp. (a) (b) | 3,900 | 31,785 | ||||
Advanced Energy Industries, Inc. (a) | 6,200 | 348,874 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 3,087 | 28,833 | ||||
Ambarella, Inc. (a) (b) | 4,880 | 215,354 | ||||
Amkor Technology, Inc. (a) | 16,452 | 122,732 | ||||
Aquantia Corp. (a) | 3,200 | 41,696 | ||||
Axcelis Technologies, Inc. (a) | 5,075 | 76,379 | ||||
AXT, Inc. (a) | 5,700 | 22,572 | ||||
Brooks Automation, Inc. | 11,100 | 430,125 | ||||
Cabot Microelectronics Corp. | 4,512 | 496,681 | ||||
CEVA, Inc. (a) | 3,300 | 80,355 | ||||
Cirrus Logic, Inc. (a) | 9,440 | 412,528 | ||||
Cohu, Inc. | 6,191 | 95,527 | ||||
Cree, Inc. (a) | 16,915 | 950,285 | ||||
Cypress Semiconductor Corp. | 58,133 | 1,292,878 | ||||
Diodes, Inc. (a) | 6,292 | 228,840 | ||||
DSP Group, Inc. (a) | 3,400 | 48,824 | ||||
Enphase Energy, Inc. (a) (b) | 13,600 | 247,928 | ||||
Entegris, Inc. | 21,098 | 787,377 | ||||
First Solar, Inc. (a) (b) | 12,865 | 844,973 | ||||
FormFactor, Inc. (a) | 11,665 | 182,790 | ||||
GSI Technology, Inc. (a) | 2,400 | 20,568 | ||||
Ichor Holdings, Ltd. (a) | 3,300 | 78,012 | ||||
Impinj, Inc. (a) (b) | 2,600 | 74,412 | ||||
Inphi Corp. (a) | 6,949 | 348,145 | ||||
Lattice Semiconductor Corp. (a) | 18,780 | 274,000 | ||||
MACOM Technology Solutions Holdings, Inc. (a) (b) | 7,052 | 106,697 | ||||
Marvell Technology Group, Ltd. | 102,769 | 2,453,096 | ||||
MaxLinear, Inc. (a) (b) | 10,000 | 234,400 | ||||
MKS Instruments, Inc. | 8,549 | 665,882 | ||||
Monolithic Power Systems, Inc. | 6,523 | 885,693 | ||||
Nanometrics, Inc. (a) | 3,500 | 121,485 | ||||
NeoPhotonics Corp. (a) | 5,300 | 22,154 | ||||
NVE Corp. | 726 | 50,551 | ||||
ON Semiconductor Corp. (a) | 63,921 | 1,291,843 | ||||
PDF Solutions, Inc. (a) | 4,100 | 53,792 | ||||
Photronics, Inc. (a) | 9,900 | 81,180 |
Security Description | Shares | Value | ||||
Power Integrations, Inc. | 4,800 | $384,864 | ||||
Rambus, Inc. (a) | 16,800 | 202,272 | ||||
Rudolph Technologies, Inc. (a) | 4,953 | 136,851 | ||||
Semtech Corp. (a) | 10,332 | 496,453 | ||||
Silicon Laboratories, Inc. (a) | 6,969 | 720,595 | ||||
SMART Global Holdings, Inc. (a) (b) | 2,100 | 48,279 | ||||
SunPower Corp. (a) (b) | 9,755 | 104,281 | ||||
Synaptics, Inc. (a) (b) | 5,438 | 158,463 | ||||
Teradyne, Inc. | 26,723 | 1,280,299 | ||||
Ultra Clean Holdings, Inc. (a) (b) | 6,100 | 84,912 | ||||
Universal Display Corp. | 6,662 | 1,252,856 | ||||
Veeco Instruments, Inc. (a) | 7,208 | 88,082 | ||||
Versum Materials, Inc. | 17,693 | 912,605 | ||||
Xperi Corp. | 7,642 | 157,349 | ||||
19,777,407 | ||||||
SOFTWARE — 8.9% | ||||||
2U, Inc. (a) (b) | 8,705 | 327,656 | ||||
8x8, Inc. (a) (b) | 15,100 | 363,910 | ||||
A10 Networks, Inc. (a) | 7,600 | 51,832 | ||||
ACI Worldwide, Inc. (a) | 16,966 | 582,612 | ||||
Agilysys, Inc. (a) | 2,257 | 48,458 | ||||
Alarm.com Holdings, Inc. (a) | 6,100 | 326,350 | ||||
Altair Engineering, Inc. Class A (a) (b) | 6,000 | 242,340 | ||||
Alteryx, Inc. Class A (a) (b) | 7,100 | 774,752 | ||||
Amber Road, Inc. (a) | 3,700 | 48,322 | ||||
American Software, Inc. Class A | 4,300 | 56,545 | ||||
Anaplan, Inc. (a) (b) | 12,800 | 646,016 | ||||
Appfolio, Inc. Class A (a) | 2,485 | 254,141 | ||||
Appian Corp. (a) | 4,900 | 176,743 | ||||
Aspen Technology, Inc. (a) | 10,855 | 1,349,059 | ||||
Atlassian Corp. PLC Class A (a) | 16,800 | 2,198,112 | ||||
Avalara, Inc. (a) | 6,700 | 483,740 | ||||
Avaya Holdings Corp. (a) | 16,800 | 200,088 | ||||
Benefitfocus, Inc. (a) (b) | 4,441 | 120,573 | ||||
Blackbaud, Inc. | 7,690 | 642,115 | ||||
Blackline, Inc. (a) | 7,000 | 374,570 | ||||
Bottomline Technologies DE, Inc. (a) | 6,800 | 300,832 | ||||
Box, Inc. Class A (a) (b) | 23,465 | 413,219 | ||||
Carbon Black, Inc. (a) (b) | 9,700 | 162,184 | ||||
CDK Global, Inc. | 19,062 | 942,425 | ||||
Ceridian HCM Holding, Inc. (a) (b) | 10,100 | 507,020 | ||||
ChannelAdvisor Corp. (a) | 3,800 | 33,288 | ||||
Cision, Ltd. (a) | 15,800 | 185,334 | ||||
Cloudera, Inc. (a) (b) | 37,121 | 195,256 | ||||
CommVault Systems, Inc. (a) | 5,342 | 265,070 | ||||
Cornerstone OnDemand, Inc. (a) | 8,675 | 502,543 | ||||
Coupa Software, Inc. (a) | 9,700 | 1,228,117 | ||||
Digimarc Corp. (a) (b) | 1,740 | 77,239 | ||||
Digital Turbine, Inc. (a) | 12,100 | 60,500 | ||||
DocuSign, Inc. (a) | 23,900 | 1,188,069 | ||||
Domo, Inc. Class B (a) (b) | 2,600 | 71,032 | ||||
Dropbox, Inc. Class A (a) | 33,200 | 831,660 | ||||
Ebix, Inc. (b) | 3,800 | 190,836 | ||||
eGain Corp. (a) | 2,800 | 22,792 | ||||
Elastic NV (a) (b) | 5,800 | 433,028 |
Security Description | Shares | Value | |||
Envestnet, Inc. (a) | 7,552 | $516,330 | |||
Everbridge, Inc. (a) (b) | 5,300 | 473,926 | |||
Fair Isaac Corp. (a) | 4,405 | 1,383,258 | |||
FireEye, Inc. (a) (b) | 31,047 | 459,806 | |||
Five9, Inc. (a) (b) | 9,127 | 468,124 | |||
ForeScout Technologies, Inc. (a) | 6,900 | 233,634 | |||
GTY Technology Holdings, Inc. (a) | 4,700 | 32,195 | |||
Guidewire Software, Inc. (a) | 12,792 | 1,296,853 | |||
HubSpot, Inc. (a) | 6,353 | 1,083,313 | |||
Ideanomics, Inc. (a) | 8,000 | 19,680 | |||
Instructure, Inc. (a) (b) | 5,000 | 212,500 | |||
Intelligent Systems Corp. (a) | 1,100 | 31,669 | |||
j2 Global, Inc. (b) | 7,569 | 672,808 | |||
LivePerson, Inc. (a) | 9,300 | 260,772 | |||
LogMeIn, Inc. | 8,083 | 595,555 | |||
Majesco (a) | 700 | 6,517 | |||
Manhattan Associates, Inc. (a) | 10,132 | 702,452 | |||
MicroStrategy, Inc. Class A (a) | 1,364 | 195,475 | |||
Mitek Systems, Inc. (a) | 5,300 | 52,682 | |||
MobileIron, Inc. (a) | 15,004 | 93,025 | |||
Model N, Inc. (a) | 5,100 | 99,450 | |||
Monotype Imaging Holdings, Inc. | 6,593 | 111,026 | |||
New Relic, Inc. (a) | 7,331 | 634,205 | |||
Nuance Communications, Inc. (a) | 46,416 | 741,263 | |||
Nutanix, Inc. Class A (a) (b) | 23,200 | 601,808 | |||
OneSpan, Inc. (a) | 4,800 | 68,016 | |||
Pagerduty, Inc. (a) | 1,600 | 75,280 | |||
Palo Alto Networks, Inc. (a) | 14,459 | 2,946,166 | |||
Paycom Software, Inc. (a) (b) | 7,785 | 1,765,015 | |||
Paylocity Holding Corp. (a) | 5,274 | 494,807 | |||
Pegasystems, Inc. | 6,061 | 431,604 | |||
Phunware, Inc. (a) | 700 | 2,177 | |||
Pluralsight, Inc. Class A (a) (b) | 10,400 | 315,328 | |||
Progress Software Corp. | 7,200 | 314,064 | |||
Proofpoint, Inc. (a) | 8,791 | 1,057,118 | |||
PROS Holdings, Inc. (a) (b) | 5,000 | 316,300 | |||
PTC, Inc. (a) | 16,270 | 1,460,395 | |||
Q2 Holdings, Inc. (a) (b) | 6,300 | 481,068 | |||
QAD, Inc. Class A | 1,600 | 64,336 | |||
Qualys, Inc. (a) | 5,473 | 476,589 | |||
Rapid7, Inc. (a) | 7,500 | 433,800 | |||
RealPage, Inc. (a) | 12,796 | 753,045 | |||
Rimini Street, Inc. (a) | 1,200 | 6,360 | |||
RingCentral, Inc. Class A (a) | 11,051 | 1,269,981 | |||
SailPoint Technologies Holding, Inc. (a) | 14,300 | 286,572 | |||
SecureWorks Corp. Class A (a) (b) | 1,300 | 17,277 | |||
ServiceNow, Inc. (a) | 29,209 | 8,019,915 | |||
SharpSpring, Inc. (a) | 1,300 | 16,887 | |||
ShotSpotter, Inc. (a) (b) | 1,100 | 48,620 | |||
Smartsheet, Inc. Class A (a) | 13,300 | 643,720 | |||
SolarWinds Corp. (a) (b) | 6,400 | 117,376 | |||
Splunk, Inc. (a) | 23,705 | 2,980,904 | |||
SPS Commerce, Inc. (a) | 2,751 | 281,180 | |||
SS&C Technologies Holdings, Inc. | 35,008 | 2,016,811 | |||
SVMK, Inc. (a) | 13,100 | 216,281 |
Security Description | Shares | Value | ||||
Synchronoss Technologies, Inc. (a) | 6,000 | $47,460 | ||||
Tableau Software, Inc. Class A (a) | 12,157 | 2,018,305 | ||||
Telaria, Inc. (a) | 6,600 | 49,632 | ||||
Telenav, Inc. (a) | 4,652 | 37,216 | ||||
Tenable Holdings, Inc. (a) (b) | 6,400 | 182,656 | ||||
Teradata Corp. (a) | 18,301 | 656,091 | ||||
TiVo Corp. | 21,169 | 156,015 | ||||
Trade Desk, Inc. Class A (a) (b) | 5,900 | 1,343,902 | ||||
Tyler Technologies, Inc. (a) | 5,957 | 1,286,831 | ||||
Upland Software, Inc. (a) | 3,900 | 177,567 | ||||
Varonis Systems, Inc. (a) | 4,490 | 278,111 | ||||
Verint Systems, Inc. (a) | 10,629 | 571,628 | ||||
VirnetX Holding Corp. (a) (b) | 9,300 | 57,753 | ||||
VMware, Inc. Class A | 12,199 | 2,039,795 | ||||
Workday, Inc. Class A (a) | 25,004 | 5,140,322 | ||||
Workiva, Inc. (a) | 5,800 | 336,922 | ||||
Yext, Inc. (a) (b) | 14,600 | 293,314 | ||||
Zendesk, Inc. (a) (b) | 16,987 | 1,512,353 | ||||
Zix Corp. (a) | 8,300 | 75,447 | ||||
Zscaler, Inc. (a) (b) | 9,900 | 758,736 | ||||
Zuora, Inc. Class A (a) | 13,300 | 203,756 | ||||
72,457,508 | ||||||
SPECIALTY RETAIL — 1.6% | ||||||
Aaron's, Inc. | 11,038 | 677,844 | ||||
Abercrombie & Fitch Co. Class A (b) | 10,396 | 166,752 | ||||
American Eagle Outfitters, Inc. | 26,666 | 450,655 | ||||
America's Car-Mart, Inc. (a) | 944 | 81,260 | ||||
Asbury Automotive Group, Inc. (a) | 3,122 | 263,309 | ||||
Ascena Retail Group, Inc. (a) | 27,663 | 16,874 | ||||
At Home Group, Inc. (a) (b) | 6,900 | 45,954 | ||||
AutoNation, Inc. (a) | 8,869 | 371,966 | ||||
Barnes & Noble Education, Inc. (a) | 5,700 | 19,152 | ||||
Barnes & Noble, Inc. | 8,854 | 59,233 | ||||
Bed Bath & Beyond, Inc. (b) | 21,158 | 245,856 | ||||
Boot Barn Holdings, Inc. (a) | 4,500 | 160,380 | ||||
Buckle, Inc. | 4,384 | 75,887 | ||||
Burlington Stores, Inc. (a) | 10,216 | 1,738,252 | ||||
Caleres, Inc. | 6,600 | 131,472 | ||||
Camping World Holdings, Inc. Class A (b) | 5,100 | 63,342 | ||||
Carvana Co. (a) (b) | 6,200 | 388,058 | ||||
Cato Corp. Class A | 3,300 | 40,656 | ||||
Chico's FAS, Inc. | 19,400 | 65,378 | ||||
Children's Place, Inc. (b) | 2,562 | 244,364 | ||||
Citi Trends, Inc. | 1,900 | 27,778 | ||||
Conn's, Inc. (a) | 2,943 | 52,444 | ||||
Container Store Group, Inc. (a) (b) | 2,400 | 17,568 | ||||
Designer Brands, Inc. Class A | 10,800 | 207,036 | ||||
Dick's Sporting Goods, Inc. (b) | 11,544 | 399,769 | ||||
Express, Inc. (a) | 10,649 | 29,072 | ||||
Five Below, Inc. (a) | 8,554 | 1,026,651 | ||||
Floor & Decor Holdings, Inc. Class A (a) (b) | 10,900 | 456,710 | ||||
GameStop Corp. Class A (b) | 15,265 | 83,500 | ||||
Genesco, Inc. (a) | 3,405 | 143,997 | ||||
GNC Holdings, Inc. Class A (a) (b) | 12,278 | 18,417 |
Security Description | Shares | Value | ||||
Group 1 Automotive, Inc. | 2,952 | $241,739 | ||||
Guess?, Inc. (b) | 9,100 | 146,965 | ||||
Haverty Furniture Cos., Inc. | 2,900 | 49,387 | ||||
Hibbett Sports, Inc. (a) | 2,834 | 51,579 | ||||
Hudson, Ltd. Class A (a) | 6,300 | 86,877 | ||||
J. Jill, Inc. (b) | 2,100 | 4,179 | ||||
Lithia Motors, Inc. Class A (b) | 3,614 | 429,271 | ||||
Lumber Liquidators Holdings, Inc. (a) (b) | 4,176 | 48,233 | ||||
MarineMax, Inc. (a) | 3,478 | 57,178 | ||||
Michaels Cos., Inc. (a) (b) | 14,985 | 130,370 | ||||
Monro, Inc. (b) | 5,198 | 443,389 | ||||
Murphy USA, Inc. (a) | 4,786 | 402,168 | ||||
National Vision Holdings, Inc. (a) (b) | 10,800 | 331,884 | ||||
Office Depot, Inc. | 85,898 | 176,950 | ||||
Party City Holdco, Inc. (a) (b) | 9,000 | 65,970 | ||||
Penske Automotive Group, Inc. (b) | 5,777 | 273,252 | ||||
Rent-A-Center, Inc. (a) | 7,100 | 189,073 | ||||
RH (a) (b) | 3,029 | 350,152 | ||||
RTW RetailWinds, Inc. (a) | 3,600 | 6,120 | ||||
Sally Beauty Holdings, Inc. (a) (b) | 19,407 | 258,889 | ||||
Shoe Carnival, Inc. (b) | 1,600 | 44,160 | ||||
Signet Jewelers, Ltd. | 8,200 | 146,616 | ||||
Sleep Number Corp. (a) | 5,176 | 209,059 | ||||
Sonic Automotive, Inc. Class A | 3,800 | 88,730 | ||||
Sportsman's Warehouse Holdings, Inc. (a) (b) | 5,500 | 20,790 | ||||
Tailored Brands, Inc. (b) | 7,752 | 44,729 | ||||
Tile Shop Holdings, Inc. | 5,919 | 23,676 | ||||
Tilly's, Inc. Class A | 3,200 | 24,416 | ||||
Urban Outfitters, Inc. (a) | 11,914 | 271,044 | ||||
Williams-Sonoma, Inc. (b) | 12,248 | 796,120 | ||||
Winmark Corp. | 399 | 69,087 | ||||
Zumiez, Inc. (a) | 2,900 | 75,690 | ||||
13,327,328 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.4% | ||||||
3D Systems Corp. (a) (b) | 17,200 | 156,520 | ||||
AstroNova, Inc. | 1,100 | 28,424 | ||||
Avid Technology, Inc. (a) | 4,100 | 37,392 | ||||
Cray, Inc. (a) | 6,466 | 225,146 | ||||
Dell Technologies, Inc. Class C (a) | 24,147 | 1,226,668 | ||||
Diebold Nixdorf, Inc. (a) | 11,651 | 106,723 | ||||
Electronics For Imaging, Inc. (a) | 6,905 | 254,864 | ||||
Immersion Corp. (a) | 4,135 | 31,467 | ||||
NCR Corp. (a) (b) | 18,867 | 586,764 | ||||
Pure Storage, Inc. Class A (a) | 35,800 | 546,666 | ||||
Sonim Technologies, Inc. (a) | 600 | 7,638 | ||||
Stratasys, Ltd. (a) | 7,982 | 234,431 | ||||
3,442,703 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.0% | ||||||
Carter's, Inc. | 6,929 | 675,855 | ||||
Centric Brands, Inc. (a) | 2,600 | 10,686 | ||||
Columbia Sportswear Co. | 4,965 | 497,294 |
Security Description | Shares | Value | ||||
Crocs, Inc. (a) | 10,400 | $205,400 | ||||
Culp, Inc. | 1,700 | 32,300 | ||||
Deckers Outdoor Corp. (a) | 4,657 | 819,492 | ||||
Delta Apparel, Inc. (a) | 1,000 | 23,180 | ||||
Fossil Group, Inc. (a) (b) | 7,000 | 80,500 | ||||
G-III Apparel Group, Ltd. (a) | 6,981 | 205,381 | ||||
Kontoor Brands, Inc. (a) | 7,300 | 204,546 | ||||
Lululemon Athletica, Inc. (a) | 18,493 | 3,332,624 | ||||
Movado Group, Inc. | 2,400 | 64,800 | ||||
Oxford Industries, Inc. | 2,630 | 199,354 | ||||
Rocky Brands, Inc. | 1,000 | 27,280 | ||||
Skechers U.S.A., Inc. Class A (a) | 21,147 | 665,919 | ||||
Steven Madden, Ltd. | 13,913 | 472,346 | ||||
Superior Group of Cos., Inc. | 1,300 | 22,269 | ||||
Unifi, Inc. (a) | 2,300 | 41,791 | ||||
Vera Bradley, Inc. (a) | 3,400 | 40,800 | ||||
Vince Holding Corp. (a) | 500 | 6,975 | ||||
Wolverine World Wide, Inc. | 14,680 | 404,287 | ||||
8,033,079 | ||||||
THRIFTS & MORTGAGE FINANCE — 1.1% | ||||||
Axos Financial, Inc. (a) | 9,100 | 247,975 | ||||
Bridgewater Bancshares, Inc. (a) | 3,500 | 40,390 | ||||
Capitol Federal Financial, Inc. | 20,600 | 283,662 | ||||
Columbia Financial, Inc. (a) | 7,700 | 116,270 | ||||
Dime Community Bancshares, Inc. | 4,800 | 91,152 | ||||
Entegra Financial Corp. (a) | 1,100 | 33,132 | ||||
ESSA Bancorp, Inc. | 1,400 | 21,350 | ||||
Essent Group, Ltd. (a) | 15,600 | 733,044 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,445 | 104,994 | ||||
First Defiance Financial Corp. | 3,196 | 91,310 | ||||
Flagstar Bancorp, Inc. | 4,600 | 152,444 | ||||
FS Bancorp, Inc. | 600 | 31,122 | ||||
Greene County Bancorp, Inc. | 400 | 11,768 | ||||
Hingham Institution for Savings | 197 | 39,008 | ||||
Home Bancorp, Inc. | 1,200 | 46,176 | ||||
HomeStreet, Inc. (a) | 3,974 | 117,789 | ||||
Kearny Financial Corp. | 13,924 | 185,050 | ||||
LendingTree, Inc. (a) (b) | 1,221 | 512,857 | ||||
Luther Burbank Corp. | 3,200 | 34,848 | ||||
Merchants Bancorp | 2,400 | 40,872 | ||||
Meridian Bancorp, Inc. | 7,500 | 134,175 | ||||
Meta Financial Group, Inc. | 6,343 | 177,921 | ||||
MGIC Investment Corp. (a) | 55,500 | 729,270 | ||||
MMA Capital Holdings, Inc. (a) | 800 | 26,776 | ||||
Mr Cooper Group, Inc. (a) | 11,494 | 92,067 | ||||
New York Community Bancorp, Inc. (b) | 71,023 | 708,809 | ||||
NMI Holdings, Inc. Class A (a) | 10,100 | 286,739 | ||||
Northfield Bancorp, Inc. | 6,800 | 106,148 | ||||
Northwest Bancshares, Inc. | 15,300 | 269,433 | ||||
OceanFirst Financial Corp. | 7,507 | 186,549 | ||||
Ocwen Financial Corp. (a) | 17,600 | 36,432 | ||||
OP Bancorp | 2,000 | 21,680 | ||||
Oritani Financial Corp. | 5,900 | 104,666 | ||||
PCSB Financial Corp. | 2,500 | 50,625 |
Security Description | Shares | Value | ||||
PennyMac Financial Services, Inc. | 3,900 | $86,502 | ||||
Ponce de Leon Federal Bank (a) (b) | 1,400 | 20,006 | ||||
Provident Bancorp, Inc. (a) | 500 | 13,995 | ||||
Provident Financial Holdings, Inc. | 900 | 18,891 | ||||
Provident Financial Services, Inc. | 9,700 | 235,225 | ||||
Prudential Bancorp, Inc. | 1,400 | 26,488 | ||||
Radian Group, Inc. | 32,600 | 744,910 | ||||
Riverview Bancorp, Inc. | 3,300 | 28,182 | ||||
Southern Missouri Bancorp, Inc. | 1,100 | 38,313 | ||||
Sterling Bancorp, Inc. | 3,500 | 34,895 | ||||
Territorial Bancorp, Inc. | 1,155 | 35,689 | ||||
TFS Financial Corp. (b) | 8,029 | 145,084 | ||||
Timberland Bancorp, Inc. | 1,000 | 29,880 | ||||
TrustCo Bank Corp. NY | 14,700 | 116,424 | ||||
United Community Financial Corp. | 7,300 | 69,861 | ||||
United Financial Bancorp, Inc. | 7,900 | 112,022 | ||||
Walker & Dunlop, Inc. | 4,400 | 234,124 | ||||
Washington Federal, Inc. | 12,917 | 451,191 | ||||
Waterstone Financial, Inc. | 3,800 | 64,828 | ||||
Western New England Bancorp, Inc. | 3,900 | 36,426 | ||||
WSFS Financial Corp. | 8,563 | 353,652 | ||||
8,763,091 | ||||||
TOBACCO — 0.1% | ||||||
22nd Century Group, Inc. (a) (b) | 17,200 | 35,948 | ||||
Pyxus International, Inc. (a) (b) | 1,300 | 19,760 | ||||
Turning Point Brands, Inc. (b) | 1,200 | 58,776 | ||||
Universal Corp. | 4,241 | 257,725 | ||||
Vector Group, Ltd. (b) | 16,221 | 158,155 | ||||
530,364 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.0% | ||||||
Air Lease Corp. | 16,840 | 696,166 | ||||
Aircastle, Ltd. | 8,600 | 182,836 | ||||
Applied Industrial Technologies, Inc. | 6,115 | 376,256 | ||||
Beacon Roofing Supply, Inc. (a) | 10,949 | 402,047 | ||||
BlueLinx Holdings, Inc. (a) (b) | 1,300 | 25,753 | ||||
BMC Stock Holdings, Inc. (a) | 10,625 | 225,250 | ||||
CAI International, Inc. (a) | 2,700 | 67,014 | ||||
DXP Enterprises, Inc. (a) | 2,500 | 94,725 | ||||
EVI Industries, Inc. (b) | 600 | 22,962 | ||||
Foundation Building Materials, Inc. (a) | 2,200 | 39,116 | ||||
GATX Corp. (b) | 5,985 | 474,551 | ||||
General Finance Corp. (a) | 1,200 | 10,044 | ||||
GMS, Inc. (a) | 5,100 | 112,200 | ||||
H&E Equipment Services, Inc. | 5,000 | 145,450 | ||||
HD Supply Holdings, Inc. (a) | 26,730 | 1,076,684 | ||||
Herc Holdings, Inc. (a) | 3,738 | 171,313 | ||||
Kaman Corp. | 4,699 | 299,279 | ||||
Lawson Products, Inc. (a) | 1,000 | 36,730 | ||||
MRC Global, Inc. (a) | 13,200 | 225,984 | ||||
MSC Industrial Direct Co., Inc. Class A | 6,843 | 508,161 | ||||
NOW, Inc. (a) | 17,000 | 250,920 | ||||
Rush Enterprises, Inc. Class A | 4,700 | 171,644 |
Security Description | Shares | Value | ||||
Rush Enterprises, Inc. Class B | 600 | $22,146 | ||||
SiteOne Landscape Supply, Inc. (a) (b) | 6,500 | 450,450 | ||||
Systemax, Inc. | 1,800 | 39,888 | ||||
Textainer Group Holdings, Ltd. (a) | 4,000 | 40,320 | ||||
Titan Machinery, Inc. (a) | 2,800 | 57,624 | ||||
Transcat, Inc. (a) | 1,100 | 28,149 | ||||
Triton International, Ltd. | 8,900 | 291,564 | ||||
Univar, Inc. (a) | 24,764 | 545,799 | ||||
Veritiv Corp. (a) | 1,691 | 32,839 | ||||
Watsco, Inc. | 5,170 | 845,450 | ||||
WESCO International, Inc. (a) | 7,528 | 381,293 | ||||
Willis Lease Finance Corp. (a) | 400 | 23,328 | ||||
8,373,935 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.1% | ||||||
Macquarie Infrastructure Corp. | 11,520 | 467,021 | ||||
WATER UTILITIES — 0.4% | ||||||
American States Water Co. | 5,846 | 439,853 | ||||
Aqua America, Inc. (b) | 33,964 | 1,405,091 | ||||
AquaVenture Holdings, Ltd. (a) | 1,700 | 33,949 | ||||
Artesian Resources Corp. Class A | 1,151 | 42,782 | ||||
Cadiz, Inc. (a) (b) | 3,300 | 37,125 | ||||
California Water Service Group | 7,676 | 388,636 | ||||
Connecticut Water Service, Inc. | 1,900 | 132,468 | ||||
Consolidated Water Co., Ltd. | 2,200 | 31,372 | ||||
Global Water Resources, Inc. | 1,700 | 17,748 | ||||
Middlesex Water Co. | 2,500 | 148,125 | ||||
Pure Cycle Corp. (a) | 2,600 | 27,560 | ||||
SJW Group | 4,100 | 249,157 | ||||
York Water Co. | 2,100 | 75,012 | ||||
3,028,878 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.6% | ||||||
Boingo Wireless, Inc. (a) | 6,300 | 113,211 | ||||
Gogo, Inc. (a) (b) | 9,110 | 36,258 | ||||
Shenandoah Telecommunications Co. | 7,350 | 283,122 | ||||
Spok Holdings, Inc. | 2,900 | 43,616 | ||||
Sprint Corp. (a) | 88,774 | 583,245 | ||||
Telephone & Data Systems, Inc. | 15,900 | 483,360 | ||||
T-Mobile US, Inc. (a) | 49,095 | 3,639,903 | ||||
United States Cellular Corp. (a) | 2,400 | 107,208 | ||||
5,289,923 | ||||||
TOTAL COMMON STOCKS (Cost $722,234,717) | 799,346,593 | |||||
RIGHTS — 0.0% (d) | ||||||
BIOTECHNOLOGY — 0.0% (d) | ||||||
Babcock &Wilcox Enterprises, Inc. (Expiring 7/18/19) (a) (e) | 3,910 | — | ||||
GTX, Inc. (a) (e) | 85 | 140 |
Security Description | Shares | Value | ||||
Tobira Therapeutics, Inc. (CVR) (expiring 12/31/28) (a) (e) | 200 | $2,354 | ||||
2,494 | ||||||
CHEMICALS — 0.0% (d) | ||||||
A Schulman, Inc. (CVR) (a) (e) | 3,090 | 1,616 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) | ||||||
NewStar Financial, Inc. (CVR) (a) (e) | 2,400 | 623 | ||||
MEDIA — 0.0% (d) | ||||||
Media General, Inc. (CVR) (a) (e) | 6,500 | 650 | ||||
PHARMACEUTICALS — 0.0% (d) | ||||||
Corium International, Inc. (CVR) (a) (b) (e) | 3,400 | 612 | ||||
ROAD & RAIL — 0.0% (d) | ||||||
Hertz Global Holdings, Inc. (CVR) (expiring 7/12/19)(a) (b) | 8,666 | 16,899 | ||||
TOTAL RIGHTS (Cost $32,394) | 22,894 | |||||
SHORT-TERM INVESTMENTS — 9.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (f) (g) | 14,248,445 | 14,248,445 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 61,586,687 | 61,586,687 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $75,835,132) | 75,835,132 | |||||
TOTAL INVESTMENTS — 107.4% (Cost $798,102,243) | 875,204,619 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)% | (60,400,545) | |||||
NET ASSETS — 100.0% | $814,804,074 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019, 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, 2019, total aggregate fair value of securities is $5,995, representing less than 0.05% of net assets. |
(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, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
CVR | = Contingent Value Rights |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
E-Mini Russell 2000 Index (long) | 77 | 09/20/2019 | $5,907,896 | $6,033,347 | $125,451 | |||||
E-Mini S&P MidCap 400 Index (long) | 39 | 09/20/2019 | 7,435,275 | 7,605,000 | 169,725 | |||||
Total unrealized appreciation/depreciation on open futures contracts purchased | $295,176 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $799,346,593 | $— | $0(a) | $799,346,593 | ||||
Rights | 16,899 | 5,995 | — | 22,894 | ||||
Short-Term Investments | 75,835,132 | — | — | 75,835,132 | ||||
TOTAL INVESTMENTS | $875,198,624 | $5,995 | $0 | $875,204,619 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 295,176 | — | — | 295,176 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $295,176 | $— | $— | $295,176 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $875,493,800 | $5,995 | $— | $875,499,795 |
(a) | The Portfolio held a Level 3 security that was valued at $0 at June 30, 2019. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 16,927,293 | $16,927,293 | $164,067,004 | $166,745,852 | $— | $— | 14,248,445 | $14,248,445 | $179,229 | ||||||||
State Street Navigator Securities Lending Portfolio II | 24,606,690 | 24,606,690 | 129,068,326 | 92,088,329 | — | — | 61,586,687 | 61,586,687 | 173,556 | ||||||||
Total | $41,533,983 | $293,135,330 | $258,834,181 | $— | $— | $75,835,132 | $352,785 |
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* | $1,047,842,204 | $2,071,188,093 | $799,369,487 | ||
Investments in affiliated issuers, at value | 58,838,746 | 111,092,722 | 75,835,132 | ||
Total Investments | 1,106,680,950 | 2,182,280,815 | 875,204,619 | ||
Foreign currency, at value | — | 16,364,217 | — | ||
Cash at broker | — | 2,457,891 | 464,980 | ||
Cash | — | 185 | 13 | ||
Receivable from broker — accumulated variation margin on open futures contracts | — | 2,331,439 | 295,429 | ||
Receivable for investments sold | 4,765,606 | 16,227 | 22,649,659 | ||
Receivable for fund shares sold | 11,768,148 | 1,477,733 | 10,398,511 | ||
Dividends receivable — unaffiliated issuers | — | 5,341,084 | 924,869 | ||
Dividends receivable — affiliated issuers | 30,435 | 136,453 | 27,660 | ||
Interest receivable — unaffiliated issuers | 6,500,175 | — | — | ||
Securities lending income receivable — unaffiliated issuers | 2,261 | — | 5,725 | ||
Securities lending income receivable — affiliated issuers | 7,961 | 87,286 | 26,063 | ||
Receivable from Adviser | 30,946 | — | 16,745 | ||
Receivable for foreign taxes recoverable | 262 | 2,960,913 | — | ||
TOTAL ASSETS | 1,129,786,744 | 2,213,454,243 | 910,014,273 | ||
LIABILITIES | |||||
Due to custodian | 1,474 | — | — | ||
Payable upon return of securities loaned | 37,338,539 | 39,768,153 | 61,586,687 | ||
Payable for investments purchased | 31,538,512 | — | 31,902,471 | ||
Payable for fund shares repurchased | 2,260,000 | 8,470,000 | 1,662,503 | ||
Deferred foreign taxes payable | — | 362,742 | — | ||
Custodian, sub-administration and transfer agent fees payable | 15,357 | 21,078 | 10,647 | ||
Accrued Trustees' fees and expenses | 89 | 118 | 62 | ||
Registration and filing fees payable | 16,640 | 26,053 | 11,465 | ||
Professional fees payable | 38,248 | 37,801 | 35,029 | ||
Printing and postage fees payable | 2,265 | 5,608 | 1,101 | ||
Accrued expenses and other liabilities | 269 | 9,696 | 234 | ||
TOTAL LIABILITIES | 71,211,393 | 48,701,249 | 95,210,199 | ||
NET ASSETS | $1,058,575,351 | $2,164,752,994 | $814,804,074 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $1,037,123,208 | $2,029,181,419 | $735,894,243 | ||
Total distributable earnings (loss)** | 21,452,143 | 135,571,575 | 78,909,831 | ||
NET ASSETS | $1,058,575,351 | $2,164,752,994 | $814,804,074 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $10.18 | $10.27 | $12.33 | ||
Shares of beneficial interest | 103,939,135 | 210,861,043 | 66,104,022 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $1,022,311,898 | $1,924,610,539 | $722,267,111 | ||
Investments in affiliated issuers | 58,838,746 | 111,092,722 | 75,835,132 | ||
Total cost of investments | $1,081,150,644 | $2,035,703,261 | $798,102,243 | ||
Foreign currency, at cost | $— | $16,185,326 | $— | ||
* Includes investments in securities on loan, at value | $66,388,762 | $52,412,072 | $96,686,419 | ||
** Includes deferred foreign taxes | $— | $362,742 | $— |
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 | $13,732,080 | $43,258 | $5,850 | ||
Dividend income — unaffiliated issuers | — | 45,614,945 | 5,587,706 | ||
Dividend income — affiliated issuers | 169,043 | 890,370 | 179,229 | ||
Unaffiliated securities lending income | 6,229 | 70,008 | 48,127 | ||
Affiliated securities lending income | 26,813 | 375,507 | 173,556 | ||
Foreign taxes withheld | — | (4,436,719) | (5,687) | ||
TOTAL INVESTMENT INCOME (LOSS) | 13,934,165 | 42,557,369 | 5,988,781 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 81,049 | 386,412 | 57,797 | ||
Trustees’ fees and expenses | 21,065 | 36,146 | 17,983 | ||
Professional fees and expenses | 87,254 | 86,423 | 84,093 | ||
Printing and postage fees | 6,276 | 15,579 | 4,640 | ||
Insurance expense | 2,376 | 5,589 | 1,775 | ||
Miscellaneous expenses | 3,803 | 17,202 | 2,984 | ||
TOTAL EXPENSES | 201,823 | 547,351 | 169,272 | ||
Expenses waived/reimbursed by the Adviser | (83,186) | — | (58,953) | ||
NET EXPENSES | 118,637 | 547,351 | 110,319 | ||
NET INVESTMENT INCOME (LOSS) | $13,815,528 | $42,010,018 | $5,878,462 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (796,881) | (34,471,474) | (4,585,036) | ||
Foreign currency transactions | — | (221,226) | — | ||
Futures contracts | — | 6,706,541 | 930,589 | ||
Net realized gain (loss) | (796,881) | (27,986,159) | (3,654,447) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments—unaffiliated issuers** | 45,482,047 | 242,978,921 | 120,455,068 | ||
Foreign currency translations | — | 230,391 | — | ||
Futures contracts | — | 4,272,478 | 962,544 | ||
Net change in unrealized appreciation/depreciation | 45,482,047 | 247,481,790 | 121,417,612 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 44,685,166 | 219,495,631 | 117,763,165 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $58,500,694 | $261,505,649 | $123,641,627 | ||
* Includes foreign deferred taxes | $— | $(27,988) | $— |
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 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $13,815,528 | $22,747,408 | $42,010,018 | $56,416,890 | $5,878,462 | $9,258,320 | |||||
Net realized gain (loss) | (796,881) | (3,210,271) | (27,986,159) | (20,725,327) | (3,654,447) | 23,638,032 | |||||
Net change in unrealized appreciation/depreciation | 45,482,047 | (17,781,652) | 247,481,790 | (332,439,999) | 121,417,612 | (92,935,148) | |||||
Net increase (decrease) in net assets resulting from operations | 58,500,694 | 1,755,485 | 261,505,649 | (296,748,436) | 123,641,627 | (60,038,796) | |||||
Distributions to shareholders | (11,712,187) | (23,874,830) | — | (54,663,652) | — | (33,894,404) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from sale of shares sold | 187,998,949 | 316,690,779 | 296,329,662 | 722,635,717 | 129,772,414 | 309,094,040 | |||||
Reinvestment of distributions | 11,712,187 | 23,874,830 | — | 54,663,652 | — | 33,894,404 | |||||
Cost of shares redeemed | (34,683,082) | (159,228,020) | (300,681,045) | (173,549,380) | (67,342,372) | (85,192,583) | |||||
Net increase (decrease) in net assets from capital transactions | 165,028,054 | 181,337,589 | (4,351,383) | 603,749,989 | 62,430,042 | 257,795,861 | |||||
Net increase (decrease) in net assets during the period | 211,816,561 | 159,218,244 | 257,154,266 | 252,337,901 | 186,071,669 | 163,862,661 | |||||
Net assets at beginning of period | 846,758,790 | 687,540,546 | 1,907,598,728 | 1,655,260,827 | 628,732,405 | 464,869,744 | |||||
NET ASSETS AT END OF PERIOD | $1,058,575,351 | $846,758,790 | $2,164,752,994 | $1,907,598,728 | $814,804,074 | $628,732,405 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 19,024,245 | 32,365,364 | 30,091,671 | 68,580,109 | 10,837,148 | 25,863,265 | |||||
Reinvestment of distributions | 1,184,473 | 2,467,864 | — | 6,176,684 | — | 3,434,084 | |||||
Shares redeemed | (3,495,164) | (16,375,548) | (30,623,347) | (16,515,326) | (5,706,301) | (6,729,051) | |||||
Net increase (decrease) from share transactions | 16,713,554 | 18,457,680 | (531,676) | 58,241,467 | 5,130,847 | 22,568,298 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $9.71 | $10.00 | $9.91 | $9.89 | $10.14 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.14 | 0.26 | 0.23 | 0.23 | 0.20 | 0.04 | |||||
Net realized and unrealized gain (loss) | 0.45 | (0.28) | 0.10 | 0.01 | (0.13) | 0.16 | |||||
Total from investment operations | 0.59 | (0.02) | 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 | (0.12) | (0.27) | (0.24) | (0.21) | (0.19) | (0.04) | |||||
Net realized gains | — | — | — | (0.01) | (0.11) | (0.02) | |||||
Return of Capital | — | — | — | — | (0.02) | — | |||||
Total distributions | — | (0.27) | (0.24) | (0.22) | (0.32) | (0.06) | |||||
Net asset value, end of period | $10.18 | $9.71 | $10.00 | $9.91 | $9.89 | $10.14 | |||||
Total return (c) | 6.13% | (0.12)% | 3.38% | 2.39% | 0.65%(d) | 2.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,058,575 | $846,759 | $687,541 | $249,906 | $83,842 | $80,044 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.04%(f) | 0.04% | 0.06% | 0.14% | 0.17% | 0.25%(f) | |||||
Net expenses | 0.03%(f) | 0.03% | 0.03% | 0.01% | 0.03% | 0.04%(f) | |||||
Net investment income (loss) | 2.91%(f) | 2.73% | 2.31% | 2.24% | 2.00% | 1.52%(f) | |||||
Portfolio turnover rate | 26%(g) | 90% | 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. |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $9.02 | $10.81 | $8.73 | $8.45 | $9.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.19 | 0.30 | 0.26 | 0.22 | 0.25 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.06 | (1.82) | 2.12 | 0.20 | (0.79) | (0.82) | |||||
Total from investment operations | 1.25 | (1.52) | 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 | — | (0.27) | (0.25) | (0.14) | (0.18) | (0.06) | |||||
Net realized gains | — | (0.00)(b) | (0.05) | — | — | — | |||||
Total distributions | — | (0.27) | (0.30) | (0.14) | (0.18) | (0.06) | |||||
Net asset value, end of period | $10.27 | $9.02 | $10.81 | $8.73 | $8.45 | $9.17 | |||||
Total return (c) | 13.86% | (13.99)% | 27.20% | 5.06% | (5.84)%(d) | (7.72)%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,164,753 | $1,907,599 | $1,655,261 | $552,700 | $117,461 | $49,460 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.05%(f) | 0.06% | 0.06% | 0.23% | 0.48% | 0.73%(f) | |||||
Net expenses | 0.05%(f) | 0.06% | 0.06% | 0.08% | 0.08% | 0.31%(f) | |||||
Net investment income (loss) | 3.92%(f) | 2.89% | 2.59% | 2.51% | 2.73% | 1.77%(f) | |||||
Portfolio turnover rate | 9%(g) | 4% | 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. |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.31 | $12.10 | $10.65 | $9.30 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.09 | 0.19 | 0.17 | 0.15 | 0.06 | ||||
Net realized and unrealized gain (loss) | 1.93 | (1.31) | 1.76 | 1.38 | (0.69) | ||||
Total from investment operations | 2.02 | (1.12) | 1.93 | 1.53 | (0.63) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.19) | (0.15) | (0.09) | (0.06) | ||||
Net realized gains | — | (0.48) | (0.33) | (0.09) | (0.01) | ||||
Total distributions | — | (0.67) | (0.48) | (0.18) | (0.07) | ||||
Net asset value, end of period | $12.33 | $10.31 | $12.10 | $10.65 | $9.30 | ||||
Total return (b) | 19.59% | (9.07)% | 18.20% | 16.46% | 6.30% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $814,804 | $628,732 | $464,870 | $142,269 | $28,151 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05%(c) | 0.05% | 0.07% | 0.22% | 0.41%(c) | ||||
Net expenses | 0.03%(c) | 0.03% | 0.03% | 0.03% | 0.03%(c) | ||||
Net investment income (loss) | 1.60%(c) | 1.52% | 1.46% | 1.55% | 1.61%(c) | ||||
Portfolio turnover rate | 13%(d) | 22% | 21% | 21% | 8%(d) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
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, 2019 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 15.44% | ||
State Street Global Equity ex-U.S. Index Fund | State Street Global Equity ex-U.S. Index Portfolio | 15.10% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 11.69% |
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 |
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 |
Asset 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 | $— | $— | $— | $2,331,439 | $— | $2,331,439 |
Asset 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 | $— | $— | $— | $295,429 | $— | $295,429 |
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 | $— | $— | $— | $6,706,541 | $— | $6,706,541 |
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 | $— | $— | $— | $930,589 | $— | $930,589 |
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 | $— | $— | $— | $4,272,478 | $— | $4,272,478 |
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 | $— | $— | $— | $962,544 | $— | $962,544 |
Annual Rate | |
State Street Aggregate Bond Index Fund | 0.025% |
State Street Global Equity ex-U.S. Index Fund | 0.06 |
State Street Small/Mid Cap Equity Index Fund | 0.03 |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
State Street Aggregate Bond Index Portfolio | $308,386,650 | $239,839,473 | $52,435,903 | $13,380,285 | |||
State Street Global Equity ex-U.S. Index Portfolio | — | — | 264,430,868 | 183,729,466 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 223,714,709 | 94,461,975 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $159,830,824 | $3,561,965 | $— | $3,561,965 | |||
State Street Global Equity ex-U.S. Index Fund | 324,106,089 | 2,679,033 | — | 2,679,033 | |||
State Street Small/Mid Cap Equity Index Fund | 94,283,795 | 943,227 | — | 943,227 | |||
State Street Aggregate Bond Index Portfolio | 1,081,275,591 | 28,048,566 | 2,643,207 | 25,405,359 | |||
State Street Global Equity ex-U.S. Index Portfolio | 2,041,527,082 | 280,890,171 | 137,808,214 | 143,081,957 | |||
State Street Small/Mid Cap Equity Index Portfolio | 800,594,177 | 128,717,941 | 53,812,323 | 74,905,618 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 66,388,762 | $ 37,338,539 | $ 30,421,025 | $ 67,759,564 | ||||
State Street Global Equity ex-U.S. Index Portfolio | 52,412,072 | 39,768,153 | 15,373,080 | 55,141,233 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 96,686,419 | 61,586,687 | 36,125,682 | 97,712,369 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
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 Aggregate Bond Index Portfolio | Corporate Bonds & Notes | $21,747,315 | $— | $— | $— | $21,747,315 | $21,747,315 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 5,965,443 | — | — | — | 5,965,443 | 5,965,443 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 9,625,781 | — | — | — | 9,625,781 | 9,625,781 | |||||||
State Street Global Equity ex-U.S. Index Portfolio | Common Stocks | 39,768,153 | — | — | — | 39,768,153 | 39,768,153 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 61,586,430 | — | — | — | 61,586,430 | 61,586,430 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 257 | — | — | — | 257 | 257 |
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 | 0.28% | $1,060.30 | $1.43(a) | $1,023.40 | $1.40(a) | ||||
Class I | 0.03 | 1,062.00 | 0.15(a) | 1,024.60 | 0.15(a) | ||||
Class K | 0.03 | 1,061.00 | 0.15(a) | 1,024.60 | 0.15(a) | ||||
State Street Global Equity ex-U.S. Index Fund | |||||||||
Class A | 0.29 | 1,134.80 | 1.54(a) | 1,023.40 | 1.45(a) | ||||
Class I | 0.10 | 1,134.60 | 0.53(a) | 1,024.30 | 0.50(a) | ||||
Class K | 0.02 | 1,137.00 | 0.11(a) | 1,024.70 | 0.10(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.31 | 1,193.90 | 1.69(a) | 1,023.30 | 1.56(a) | ||||
Class I | 0.07 | 1,194.70 | 0.38(a) | 1,024.40 | 0.35(a) | ||||
Class K | 0.05 | 1,195.60 | 0.27(a) | 1,024.50 | 0.25(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.03 | 1,061.30 | 0.15(b) | 1,024.60 | 0.15(b) | ||||
State Street Global Equity ex-U.S. Index Portfolio | 0.05 | 1,138.60 | 0.27(b) | 1,024.50 | 0.25(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,195.90 | 0.16(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. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which is a feeder fund for which the corresponding Portfolio serve as the master fund in a master-feeder structure: |
• | 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 and other professionals responsible for managing the portfolios of the Funds and Portfolios and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and Portfolios, and their service providers, including information concerning 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 regarding the Adviser’s risk management processes. |
• | 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 (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds and Portfolios by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds and Portfolios, and transfer agent of the Portfolios, and the role of the Adviser in managing the Funds’ and the Portfolios’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
2 | |
17 | |
18 | |
19 | |
20 | |
21 | |
28 |
% of Net Assets | |||
Common Stocks | 95.7% | ||
Warrants | 0.9 | ||
Rights | 0.0 * | ||
Short-Term Investments | 3.7 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Financials | 25.1% | ||
Information Technology | 13.3 | ||
Consumer Discretionary | 13.4 | ||
Communication Services | 11.3 | ||
Energy | 7.5 | ||
TOTAL | 70.6% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.7% | |||||
ARGENTINA — 0.3% | |||||
Banco BBVA Argentina SA ADR | 8,200 | $92,824 | |||
Banco Macro SA ADR | 5,500 | 400,675 | |||
Globant SA (a) | 4,100 | 414,305 | |||
Grupo Financiero Galicia SA ADR | 12,200 | 433,100 | |||
Pampa Energia SA ADR (a)(b) | 7,400 | 256,558 | |||
Telecom Argentina SA ADR (b) | 10,300 | 182,001 | |||
Transportadora de Gas del Sur SA Class B, ADR (b) | 9,100 | 131,586 | |||
YPF SA ADR | 21,000 | 382,410 | |||
2,293,459 | |||||
BRAZIL — 7.4% | |||||
Ambev SA | 570,985 | 2,665,237 | |||
Atacadao SA | 49,200 | 282,416 | |||
B2W Cia Digital (a) | 22,900 | 195,501 | |||
B3 SA - Brasil Bolsa Balcao | 249,292 | 2,436,559 | |||
Banco Bradesco SA Preference Shares | 486,736 | 4,792,876 | |||
Banco Bradesco SA | 144,408 | 1,260,341 | |||
Banco BTG Pactual SA | 21,500 | 285,421 | |||
Banco do Brasil SA | 102,698 | 1,445,352 | |||
Banco Santander Brasil SA | 49,100 | 582,387 | |||
BB Seguridade Participacoes SA | 83,337 | 704,069 | |||
BR Malls Participacoes SA | 100,103 | 374,278 | |||
Braskem SA Class A, Preference Shares (a) | 22,500 | 205,648 | |||
BRF SA (a) | 69,623 | 536,253 | |||
CCR SA | 152,069 | 541,991 | |||
Centrais Eletricas Brasileiras SA | 26,800 | 246,487 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 27,900 | 262,064 | |||
Cia Brasileira de Distribuicao Preference Shares | 19,900 | 491,600 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 41,600 | 513,074 | |||
Cia Energetica de Minas Gerais Preference Shares | 106,726 | 413,521 | |||
Cia Siderurgica Nacional SA | 76,900 | 335,277 | |||
Cielo SA | 154,356 | 270,641 | |||
Cosan SA | 19,700 | 237,213 | |||
Embraer SA | 81,417 | 412,327 | |||
Energisa SA | 20,100 | 241,663 | |||
Engie Brasil Energia SA | 24,587 | 278,866 | |||
Equatorial Energia SA | 21,200 | 507,784 | |||
Gerdau SA Preference Shares | 129,100 | 512,001 | |||
Hypera SA | 43,200 | 338,035 | |||
IRB Brasil Resseguros S/A | 16,700 | 429,194 | |||
Itau Unibanco Holding SA Preference Shares | 584,861 | 5,533,263 | |||
Itausa - Investimentos Itau SA Preference Shares | 527,663 | 1,774,641 | |||
Itausa - Investimentos Itau SA | 253 | 869 | |||
JBS SA | 130,200 | 720,870 | |||
Klabin SA | 86,407 | 368,610 |
Security Description | Shares | Value | |||
Kroton Educacional SA | 178,421 | $510,685 | |||
Localiza Rent a Car SA | 68,803 | 735,665 | |||
Lojas Americanas SA Preference Shares | 88,073 | 378,475 | |||
Lojas Renner SA | 94,541 | 1,163,311 | |||
M Dias Branco SA | 13,800 | 140,281 | |||
Magazine Luiza SA | 9,100 | 501,270 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,354 | 263,313 | |||
Natura Cosmeticos SA | 24,100 | 355,213 | |||
Notre Dame Intermedica Participacoes SA | 34,500 | 362,945 | |||
Petrobras Distribuidora SA | 45,500 | 296,792 | |||
Petroleo Brasileiro SA Preference Shares | 508,298 | 3,635,200 | |||
Petroleo Brasileiro SA | 360,314 | 2,822,232 | |||
Porto Seguro SA | 13,000 | 175,294 | |||
Raia Drogasil SA | 29,000 | 575,816 | |||
Rumo SA (a) | 129,922 | 702,721 | |||
Sul America SA | 26,433 | 258,768 | |||
Suzano SA | 64,824 | 555,613 | |||
Telefonica Brasil SA Preference Shares | 53,355 | 694,806 | |||
TIM Participacoes SA | 109,300 | 331,666 | |||
Ultrapar Participacoes SA | 85,964 | 450,831 | |||
Vale SA | 382,784 | 5,175,497 | |||
WEG SA | 99,830 | 556,369 | |||
50,839,092 | |||||
CHILE — 0.9% | |||||
Aguas Andinas SA Class A | 321,689 | 189,521 | |||
Banco de Chile | 3,606,451 | 530,649 | |||
Banco de Credito e Inversiones SA | 5,812 | 400,193 | |||
Banco Santander Chile | 7,989,783 | 594,277 | |||
Cencosud SA | 172,446 | 337,806 | |||
Cia Cervecerias Unidas SA | 17,663 | 248,442 | |||
Colbun SA | 950,433 | 195,980 | |||
Embotelladora Andina SA Class B, Preference Shares | 43,538 | 156,909 | |||
Empresa Nacional de Telecomunicaciones SA | 19,073 | 193,840 | |||
Empresas CMPC SA | 135,700 | 371,753 | |||
Empresas COPEC SA | 48,674 | 532,227 | |||
Enel Americas SA | 3,585,573 | 631,139 | |||
Enel Chile SA | 3,374,031 | 320,035 | |||
Itau CorpBanca | 18,907,140 | 157,562 | |||
Latam Airlines Group SA | 38,154 | 358,247 | |||
SACI Falabella | 93,800 | 611,320 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 14,596 | 452,531 | |||
6,282,431 | |||||
CHINA — 27.4% | |||||
3SBio, Inc. (a)(b)(c) | 156,800 | 269,345 | |||
51job, Inc. ADR (a) | 2,900 | 218,950 | |||
58.com, Inc. ADR (a) | 11,200 | 696,304 |
Security Description | Shares | Value | |||
AAC Technologies Holdings, Inc. | 91,500 | $519,427 | |||
Agile Group Holdings, Ltd. | 162,000 | 216,899 | |||
Agricultural Bank of China, Ltd. Class A | 154,900 | 81,135 | |||
Agricultural Bank of China, Ltd. Class H | 3,489,500 | 1,460,565 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 5,978 | 26,937 | |||
Air China, Ltd. Class H | 226,000 | 227,953 | |||
Alibaba Group Holding, Ltd. ADR (a) | 171,482 | 29,057,625 | |||
Alibaba Health Information Technology, Ltd. (a) | 426,500 | 408,348 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 536,000 | 190,044 | |||
Angang Steel Co., Ltd. Class H (b) | 166,400 | 75,825 | |||
Anhui Conch Cement Co., Ltd. Class A | 8,100 | 48,909 | |||
Anhui Conch Cement Co., Ltd. Class H | 147,500 | 924,176 | |||
ANTA Sports Products, Ltd. | 133,000 | 913,338 | |||
Autohome, Inc. ADR (a)(b) | 7,000 | 599,340 | |||
AviChina Industry & Technology Co., Ltd. Class H | 245,000 | 133,907 | |||
BAIC Motor Corp., Ltd. Class H (c) | 226,500 | 142,061 | |||
Baidu, Inc. ADR (a) | 33,500 | 3,931,560 | |||
Bank of Beijing Co., Ltd. Class A | 42,000 | 36,115 | |||
Bank of China, Ltd. Class A | 70,100 | 38,146 | |||
Bank of China, Ltd. Class H | 9,505,000 | 4,014,912 | |||
Bank of Communications Co., Ltd. Class A | 81,100 | 72,215 | |||
Bank of Communications Co., Ltd. Class H | 1,087,000 | 825,076 | |||
Bank of Jiangsu Co., Ltd. Class A | 21,900 | 23,133 | |||
Bank of Ningbo Co., Ltd. Class A | 10,200 | 35,974 | |||
Bank of Shanghai Co., Ltd. Class A | 21,699 | 37,412 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 36,900 | 34,897 | |||
Baozun, Inc. ADR (a)(b) | 4,600 | 229,356 | |||
BBMG Corp. Class H (b) | 275,000 | 88,352 | |||
Beijing Capital International Airport Co., Ltd. Class H | 226,000 | 198,157 | |||
Beijing Enterprises Holdings, Ltd. | 61,000 | 309,978 | |||
Beijing Enterprises Water Group, Ltd. | 692,000 | 410,993 | |||
BOE Technology Group Co., Ltd. Class A | 66,800 | 33,434 | |||
Brilliance China Automotive Holdings, Ltd. | 370,000 | 409,190 | |||
BYD Co., Ltd. Class A | 3,500 | 25,829 | |||
BYD Co., Ltd. Class H (b) | 80,000 | 482,816 | |||
BYD Electronic International Co., Ltd. | 87,500 | 124,992 | |||
CGN Power Co., Ltd. Class H (c) | 1,287,700 | 354,375 |
Security Description | Shares | Value | |||
China Agri-Industries Holdings, Ltd. | 247,000 | $79,356 | |||
China Aoyuan Group, Ltd. | 141,000 | 198,167 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,093,481 | 251,938 | |||
China CITIC Bank Corp., Ltd. Class H | 1,113,000 | 633,965 | |||
China Coal Energy Co., Ltd. Class H (a) | 245,000 | 101,920 | |||
China Communications Construction Co., Ltd. Class H | 554,000 | 495,675 | |||
China Communications Services Corp., Ltd. Class H | 292,000 | 226,499 | |||
China Conch Venture Holdings, Ltd. | 202,500 | 715,392 | |||
China Construction Bank Corp. Class H | 11,598,500 | 9,991,412 | |||
China Eastern Airlines Corp., Ltd. Class H (a) | 164,000 | 96,773 | |||
China Education Group Holdings, Ltd. (b) | 70,000 | 109,312 | |||
China Everbright Bank Co., Ltd. Class A | 80,300 | 44,514 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 170,924 | |||
China Everbright International, Ltd. | 425,222 | 392,429 | |||
China Evergrande Group (b) | 219,000 | 613,901 | |||
China Fortune Land Development Co., Ltd. Class A | 5,800 | 27,485 | |||
China Galaxy Securities Co., Ltd. Class H | 433,000 | 256,613 | |||
China Hongqiao Group, Ltd. | 203,000 | 143,172 | |||
China Huarong Asset Management Co., Ltd. Class H (c) | 1,217,500 | 211,942 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(d) | 406,100 | — | |||
China International Capital Corp., Ltd. Class H (b)(c) | 153,200 | 309,047 | |||
China International Travel Service Corp., Ltd. Class A | 3,900 | 50,303 | |||
China Jinmao Holdings Group, Ltd. | 636,000 | 386,688 | |||
China Life Insurance Co., Ltd. Class A | 5,100 | 21,014 | |||
China Life Insurance Co., Ltd. Class H | 890,000 | 2,191,821 | |||
China Literature, Ltd. (a)(b)(c) | 29,600 | 139,428 | |||
China Longyuan Power Group Corp., Ltd. Class H | 387,000 | 248,175 | |||
China Medical System Holdings, Ltd. | 171,000 | 156,718 | |||
China Mengniu Dairy Co., Ltd. | 328,000 | 1,270,016 | |||
China Merchants Bank Co., Ltd. Class A | 30,600 | 160,190 | |||
China Merchants Bank Co., Ltd. Class H | 466,500 | 2,325,782 |
Security Description | Shares | Value | |||
China Merchants Port Holdings Co., Ltd. | 168,360 | $286,185 | |||
China Merchants Securities Co., Ltd. Class A | 11,000 | 27,352 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 13,300 | 40,444 | |||
China Minsheng Banking Corp., Ltd. Class A | 73,000 | 67,445 | |||
China Minsheng Banking Corp., Ltd. Class H | 842,700 | 583,553 | |||
China Molybdenum Co., Ltd. Class A | 32,700 | 18,841 | |||
China Molybdenum Co., Ltd. Class H (b) | 465,000 | 147,014 | |||
China National Building Material Co., Ltd. Class H | 474,000 | 415,603 | |||
China National Nuclear Power Co., Ltd. Class A | 24,100 | 19,496 | |||
China Oilfield Services, Ltd. Class H | 224,000 | 221,635 | |||
China Oriental Group Co., Ltd. | 122,000 | 71,365 | |||
China Overseas Land & Investment, Ltd. | 458,000 | 1,688,371 | |||
China Pacific Insurance Group Co., Ltd. Class A | 12,900 | 68,526 | |||
China Pacific Insurance Group Co., Ltd. Class H | 314,800 | 1,230,994 | |||
China Petroleum & Chemical Corp. Class A | 51,100 | 40,669 | |||
China Petroleum & Chemical Corp. Class H | 3,050,000 | 2,073,024 | |||
China Power International Development, Ltd. | 523,000 | 127,863 | |||
China Railway Construction Corp., Ltd. Class A | 22,600 | 32,718 | |||
China Railway Construction Corp., Ltd. Class H | 259,000 | 317,596 | |||
China Railway Group, Ltd. Class H | 462,000 | 351,268 | |||
China Railway Signal & Communication Corp., Ltd. Class H (c) | 174,000 | 126,505 | |||
China Reinsurance Group Corp. Class H | 669,000 | 119,028 | |||
China Resources Beer Holdings Co., Ltd. | 181,333 | 861,114 | |||
China Resources Gas Group, Ltd. | 106,000 | 525,760 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 199,500 | 224,972 | |||
China Resources Power Holdings Co., Ltd. | 250,000 | 364,800 | |||
China Shenhua Energy Co., Ltd. Class A | 8,300 | 24,611 | |||
China Shenhua Energy Co., Ltd. Class H | 405,500 | 849,149 | |||
China Shipbuilding Industry Co., Ltd. Class A | 45,100 | 36,484 |
Security Description | Shares | Value | |||
China Southern Airlines Co., Ltd. Class H | 230,000 | $160,154 | |||
China State Construction Engineering Corp., Ltd. Class A | 86,700 | 72,534 | |||
China Taiping Insurance Holdings Co., Ltd. (a) | 192,400 | 514,708 | |||
China Telecom Corp., Ltd. Class H | 1,656,000 | 833,034 | |||
China Tower Corp., Ltd. Class H (c) | 5,014,000 | 1,315,674 | |||
China Unicom Hong Kong, Ltd. | 730,000 | 800,781 | |||
China United Network Communications, Ltd. Class A | 63,300 | 56,733 | |||
China Vanke Co., Ltd. Class A | 20,200 | 81,735 | |||
China Vanke Co., Ltd. Class H | 178,600 | 669,821 | |||
China Yangtze Power Co., Ltd. Class A | 30,400 | 79,174 | |||
China Zhongwang Holdings, Ltd. | 192,800 | 97,233 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 310,000 | 168,640 | |||
CIFI Holdings Group Co., Ltd. | 320,000 | 210,944 | |||
CITIC Securities Co., Ltd. Class A | 20,200 | 69,978 | |||
CITIC Securities Co., Ltd. Class H (a) | 244,000 | 508,457 | |||
CITIC, Ltd. | 694,000 | 1,000,248 | |||
CNOOC, Ltd. | 2,137,000 | 3,654,441 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 146,000 | 86,339 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a)(b) | 304,750 | 118,974 | |||
COSCO SHIPPING Ports, Ltd. | 206,965 | 204,250 | |||
Country Garden Holdings Co., Ltd. | 904,500 | 1,375,419 | |||
Country Garden Services Holdings Co., Ltd. | 153,000 | 353,687 | |||
CRRC Corp., Ltd. Class A | 49,800 | 58,618 | |||
CRRC Corp., Ltd. Class H | 504,000 | 421,263 | |||
CSPC Pharmaceutical Group, Ltd. | 558,000 | 899,942 | |||
Ctrip.com International, Ltd. ADR (a) | 48,867 | 1,803,681 | |||
Dali Foods Group Co., Ltd. (c) | 252,300 | 167,608 | |||
Daqin Railway Co., Ltd. Class A | 29,500 | 34,724 | |||
Datang International Power Generation Co., Ltd. Class H | 360,000 | 90,317 | |||
Dongfeng Motor Group Co., Ltd. Class H | 332,000 | 271,974 | |||
East Money Information Co., Ltd. Class A | 10,300 | 20,306 | |||
ENN Energy Holdings, Ltd. | 93,900 | 913,459 | |||
Far East Horizon, Ltd. | 260,000 | 265,907 | |||
Focus Media Information Technology Co., Ltd. Class A | 27,800 | 21,397 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 4,700 | 71,803 | |||
Fosun International, Ltd. | 321,000 | 426,493 |
Security Description | Shares | Value | |||
Future Land Development Holdings, Ltd. | 218,000 | $286,853 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (c) | 62,456 | 193,863 | |||
GDS Holdings, Ltd. ADR (a)(b) | 7,200 | 270,504 | |||
Geely Automobile Holdings, Ltd. | 590,000 | 1,008,947 | |||
Genscript Biotech Corp. (a) | 110,000 | 276,250 | |||
GF Securities Co., Ltd. Class A | 11,100 | 22,190 | |||
GF Securities Co., Ltd. Class H | 179,600 | 213,566 | |||
GOME Retail Holdings, Ltd. (a)(b) | 1,257,000 | 135,153 | |||
Great Wall Motor Co., Ltd. Class H (b) | 403,500 | 288,712 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 6,100 | 48,814 | |||
Greentown Service Group Co., Ltd. (b) | 108,000 | 87,229 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 358,800 | 383,026 | |||
Guangzhou R&F Properties Co., Ltd. Class H (b) | 119,600 | 229,938 | |||
Guotai Junan Securities Co., Ltd. Class A | 14,900 | 39,781 | |||
Guotai Junan Securities Co., Ltd. Class H (c) | 98,200 | 174,969 | |||
Haitian International Holdings, Ltd. | 83,000 | 172,321 | |||
Haitong Securities Co., Ltd. Class A | 15,700 | 32,414 | |||
Haitong Securities Co., Ltd. Class H | 344,000 | 385,720 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 19,400 | 77,848 | |||
Hengan International Group Co., Ltd. (b) | 85,000 | 625,056 | |||
HengTen Networks Group, Ltd. (a) | 2,664,000 | 63,425 | |||
Hua Hong Semiconductor, Ltd. (b)(c) | 55,000 | 106,445 | |||
Huadian Power International Corp., Ltd. Class H | 194,000 | 76,731 | |||
Huaneng Power International, Inc. Class H | 444,000 | 261,427 | |||
Huaneng Renewables Corp., Ltd. Class H (a) | 596,000 | 164,019 | |||
Huatai Securities Co., Ltd. Class A | 12,900 | 41,893 | |||
Huatai Securities Co., Ltd. Class H (b)(c) | 198,300 | 341,139 | |||
Huaxia Bank Co., Ltd. Class A | 24,800 | 27,784 | |||
Huazhu Group, Ltd. ADR (b) | 16,300 | 590,875 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 80,200 | 68,730 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 7,856,000 | 5,731,738 | |||
Industrial Bank Co., Ltd. Class A | 30,799 | 81,960 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A | 85,500 | 21,024 |
Security Description | Shares | Value | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 12,400 | $60,277 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 134,300 | 145,581 | |||
iQIYI, Inc. ADR (a)(b) | 15,800 | 326,270 | |||
JD.com, Inc. ADR (a)(b) | 88,967 | 2,694,810 | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | 210,657 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 9,200 | 88,346 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 3,000 | 53,060 | |||
Jiangxi Copper Co., Ltd. Class H | 155,000 | 206,336 | |||
Kaisa Group Holdings, Ltd. (b) | 250,000 | 123,520 | |||
Kingdee International Software Group Co., Ltd. (b) | 282,000 | 305,011 | |||
Kingsoft Corp., Ltd. (a)(b) | 103,000 | 222,810 | |||
Kunlun Energy Co., Ltd. | 412,000 | 359,132 | |||
Kweichow Moutai Co., Ltd. Class A | 1,800 | 257,704 | |||
KWG Group Holdings, Ltd. | 155,250 | 157,585 | |||
Legend Holdings Corp. Class H (c) | 44,800 | 105,398 | |||
Lenovo Group, Ltd. | 898,000 | 695,411 | |||
Li Ning Co., Ltd. | 234,500 | 552,895 | |||
Logan Property Holdings Co., Ltd. | 166,000 | 268,575 | |||
Longfor Group Holdings, Ltd. | 212,500 | 801,040 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 6,900 | 23,201 | |||
Luxshare Precision Industry Co., Ltd. Class A | 7,800 | 28,134 | |||
Luye Pharma Group, Ltd. (b)(c) | 143,500 | 103,963 | |||
Luzhou Laojiao Co., Ltd. Class A | 2,900 | 34,106 | |||
Maanshan Iron & Steel Co., Ltd. Class H | 224,000 | 88,883 | |||
Meitu, Inc. (a)(b)(c) | 201,000 | 64,835 | |||
Meituan Dianping Class B (a)(b) | 119,300 | 1,046,022 | |||
Metallurgical Corp. of China, Ltd. Class H | 338,000 | 90,422 | |||
Midea Group Co., Ltd. Class A | 3,300 | 24,900 | |||
MMG, Ltd. (a) | 294,000 | 102,735 | |||
Momo, Inc. ADR | 17,100 | 612,180 | |||
Muyuan Foodstuff Co., Ltd. Class A | 2,600 | 22,240 | |||
NARI Technology Co., Ltd. Class A | 8,700 | 23,595 | |||
NetEase, Inc. ADR | 8,573 | 2,192,716 | |||
New China Life Insurance Co., Ltd. Class A | 4,100 | 32,827 | |||
New China Life Insurance Co., Ltd. Class H | 103,500 | 503,424 | |||
New Hope Liuhe Co., Ltd. Class A | 7,800 | 19,713 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 17,100 | 1,651,518 | |||
Nexteer Automotive Group, Ltd. | 124,000 | 154,276 | |||
NIO, Inc. ADR (a)(b) | 77,900 | 198,645 |
Security Description | Shares | Value | |||
Noah Holdings, Ltd. ADR (a)(b) | 3,600 | $153,180 | |||
People's Insurance Co. Group of China, Ltd. Class H | 1,058,000 | 413,043 | |||
PetroChina Co., Ltd. Class A | 32,000 | 32,033 | |||
PetroChina Co., Ltd. Class H | 2,520,000 | 1,390,234 | |||
PICC Property & Casualty Co., Ltd. Class H | 823,000 | 888,050 | |||
Pinduoduo, Inc. ADR (a)(b) | 22,700 | 468,301 | |||
Ping An Bank Co., Ltd. Class A | 35,300 | 70,775 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,600 | 265,585 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 668,500 | 8,026,278 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 23,900 | 44,371 | |||
Postal Savings Bank of China Co., Ltd. Class H (c) | 997,000 | 592,138 | |||
Qingdao Haier Co., Ltd. Class A | 11,800 | 29,685 | |||
SAIC Motor Corp., Ltd. Class A | 15,900 | 58,992 | |||
Sany Heavy Industry Co., Ltd. Class A | 15,000 | 28,547 | |||
Seazen Holdings Co., Ltd. Class A | 4,300 | 24,907 | |||
Semiconductor Manufacturing International Corp. (a)(b) | 381,300 | 424,616 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 15,600 | 20,973 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 268,000 | 242,872 | |||
Shanghai Electric Group Co., Ltd. Class H | 318,000 | 115,192 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H (b) | 66,000 | 199,795 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 171,859 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 111,800 | 219,808 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 43,600 | 74,094 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 35,900 | 26,169 | |||
Shenzhen Investment, Ltd. | 428,000 | 157,778 | |||
Shenzhou International Group Holdings, Ltd. | 89,700 | 1,233,124 | |||
Shui On Land, Ltd. | 425,800 | 98,649 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 496,000 | 111,739 | |||
SINA Corp. (a) | 8,100 | 349,353 | |||
Sino-Ocean Group Holding, Ltd. | 379,500 | 161,272 | |||
Sinopec Engineering Group Co., Ltd. Class H | 163,500 | 138,543 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 428,000 | 169,830 | |||
Sinopharm Group Co., Ltd. Class H | 148,800 | 523,776 | |||
Sinotrans, Ltd. Class H | 239,500 | 87,063 | |||
Sinotruk Hong Kong, Ltd. (b) | 86,500 | 149,693 | |||
SOHO China, Ltd. | 241,000 | 85,140 |
Security Description | Shares | Value | |||
Sunac China Holdings, Ltd. | 289,700 | $1,423,933 | |||
Suning.com Co., Ltd. Class A | 18,200 | 30,400 | |||
Sunny Optical Technology Group Co., Ltd. | 88,400 | 913,137 | |||
TAL Education Group ADR (a) | 42,500 | 1,619,250 | |||
Tencent Holdings, Ltd. | 688,400 | 31,069,420 | |||
Tencent Music Entertainment Group ADR (a)(b) | 11,700 | 175,383 | |||
Tingyi Cayman Islands Holding Corp. | 248,000 | 413,942 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 67,500 | 80,438 | |||
Towngas China Co., Ltd. (a) | 113,815 | 82,020 | |||
TravelSky Technology, Ltd. Class H | 113,000 | 227,085 | |||
Tsingtao Brewery Co., Ltd. Class H | 44,000 | 280,192 | |||
Uni-President China Holdings, Ltd. | 163,000 | 181,517 | |||
Vipshop Holdings, Ltd. ADR (a) | 54,688 | 471,957 | |||
Want Want China Holdings, Ltd. | 610,000 | 495,808 | |||
Weibo Corp. ADR (a)(b) | 6,460 | 281,333 | |||
Weichai Power Co., Ltd. Class H | 238,000 | 402,125 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 10,800 | 56,349 | |||
Wuliangye Yibin Co., Ltd. Class A | 5,800 | 99,536 | |||
WuXi AppTec Co., Ltd. Class H (b)(c) | 17,920 | 157,123 | |||
Wuxi Biologics Cayman, Inc. (a)(c) | 66,000 | 592,627 | |||
Xiaomi Corp. Class B (a)(b)(c) | 409,500 | 524,160 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H (b) | 82,600 | 90,292 | |||
Xinyi Solar Holdings, Ltd. | 392,000 | 193,178 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 230,000 | 214,912 | |||
Yihai International Holding, Ltd. | 59,000 | 306,234 | |||
Yonghui Superstores Co., Ltd. Class A | 18,500 | 27,482 | |||
Yum China Holdings, Inc. | 43,000 | 1,986,600 | |||
Yuzhou Properties Co., Ltd. | 211,466 | 99,338 | |||
YY, Inc. ADR (a) | 6,100 | 425,109 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 125,500 | 140,560 | |||
Zhejiang Expressway Co., Ltd. Class H | 180,000 | 189,619 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 35,500 | 97,469 | |||
Zhongsheng Group Holdings, Ltd. (b) | 69,500 | 193,488 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 66,200 | 348,689 | |||
Zijin Mining Group Co., Ltd. Class H | 712,000 | 288,901 | |||
ZTE Corp. Class A (a) | 6,700 | 31,711 | |||
ZTE Corp. Class H (a) | 96,200 | 277,672 |
Security Description | Shares | Value | |||
ZTO Express Cayman, Inc. ADR | 38,000 | $726,560 | |||
188,457,509 | |||||
COLOMBIA — 0.4% | |||||
Bancolombia SA | 28,086 | 338,398 | |||
Bancolombia SA Preference Shares | 56,309 | 716,373 | |||
Cementos Argos SA | 58,844 | 137,615 | |||
Ecopetrol SA | 615,588 | 560,498 | |||
Grupo Argos SA | 35,158 | 189,658 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 503,115 | 201,591 | |||
Grupo de Inversiones Suramericana SA Preference Shares | 13,200 | 130,230 | |||
Grupo de Inversiones Suramericana SA | 28,763 | 305,837 | |||
Interconexion Electrica SA ESP | 56,386 | 314,017 | |||
2,894,217 | |||||
CZECH REPUBLIC — 0.2% | |||||
CEZ A/S | 20,257 | 489,587 | |||
Komercni banka A/S | 9,286 | 370,312 | |||
Moneta Money Bank A/S (c) | 58,343 | 200,023 | |||
1,059,922 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE | 165,144 | 722,103 | |||
Eastern Co SAE | 98,885 | 91,511 | |||
ElSewedy Electric Co. | 98,402 | 83,696 | |||
897,310 | |||||
GREECE — 0.3% | |||||
Alpha Bank AE (a) | 171,194 | 343,122 | |||
Eurobank Ergasias SA (a) | 322,051 | 317,240 | |||
FF Group (a)(d) | 3,869 | 2,115 | |||
Hellenic Telecommunications Organization SA | 28,488 | 421,748 | |||
JUMBO SA | 13,894 | 268,982 | |||
Motor Oil Hellas Corinth Refineries SA | 7,510 | 192,429 | |||
National Bank of Greece SA (a) | 64,316 | 176,516 | |||
OPAP SA | 27,639 | 310,032 | |||
Titan Cement Co. SA | 5,183 | 101,285 | |||
2,133,469 | |||||
HONG KONG — 2.1% | |||||
Alibaba Pictures Group, Ltd. (a) | 1,725,900 | 371,138 | |||
China Ding Yi Feng Holdings, Ltd. (d) | 112,000 | 165,581 | |||
China Everbright, Ltd. | 114,000 | 168,392 | |||
China First Capital Group, Ltd. (a) | 382,000 | 113,928 | |||
China Gas Holdings, Ltd. | 211,400 | 786,070 | |||
China Mobile, Ltd. | 741,000 | 6,748,435 | |||
China Resources Cement Holdings, Ltd. | 299,000 | 289,719 | |||
China Resources Land, Ltd. | 332,000 | 1,461,862 |
Security Description | Shares | Value | |||
China State Construction International Holdings, Ltd. | 240,000 | $246,374 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 278,000 | 135,219 | |||
Fullshare Holdings, Ltd. (a)(b) | 1,031,100 | 64,011 | |||
Guangdong Investment, Ltd. | 350,000 | 692,608 | |||
Haier Electronics Group Co., Ltd. (a) | 153,000 | 423,014 | |||
Hutchison China MediTech, Ltd. ADR (a)(b) | 6,600 | 145,200 | |||
Kingboard Holdings, Ltd. | 84,500 | 235,248 | |||
Kingboard Laminates Holdings, Ltd. | 133,800 | 122,625 | |||
Lee & Man Paper Manufacturing, Ltd. | 179,000 | 125,329 | |||
Nine Dragons Paper Holdings, Ltd. | 219,000 | 194,262 | |||
Shanghai Industrial Holdings, Ltd. | 57,000 | 123,594 | |||
Shenzhen International Holdings, Ltd. | 122,039 | 242,125 | |||
Shimao Property Holdings, Ltd. | 145,000 | 441,728 | |||
Sino Biopharmaceutical, Ltd. | 826,000 | 844,767 | |||
SSY Group, Ltd. | 184,000 | 166,277 | |||
Sun Art Retail Group, Ltd. | 290,000 | 274,688 | |||
Yuexiu Property Co., Ltd. | 895,000 | 202,771 | |||
14,784,965 | |||||
HUNGARY — 0.3% | |||||
MOL Hungarian Oil & Gas PLC | 50,203 | 558,295 | |||
OTP Bank Nyrt | 26,745 | 1,066,273 | |||
Richter Gedeon Nyrt | 16,921 | 312,529 | |||
1,937,097 | |||||
INDIA — 8.7% | |||||
Adani Ports & Special Economic Zone, Ltd. | 73,847 | 438,840 | |||
Ambuja Cements, Ltd. | 76,296 | 235,318 | |||
Ashok Leyland, Ltd. | 144,420 | 182,964 | |||
Asian Paints, Ltd. | 34,297 | 675,208 | |||
Aurobindo Pharma, Ltd. | 31,970 | 281,594 | |||
Avenue Supermarts, Ltd. (a)(c) | 15,815 | 320,092 | |||
Axis Bank, Ltd. (a) | 227,512 | 2,668,905 | |||
Bajaj Auto, Ltd. | 9,976 | 409,344 | |||
Bajaj Finance, Ltd. | 20,697 | 1,104,989 | |||
Bajaj Finserv, Ltd. | 4,547 | 563,202 | |||
Bharat Forge, Ltd. | 25,984 | 169,036 | |||
Bharat Petroleum Corp., Ltd. | 77,366 | 438,793 | |||
Bharti Airtel, Ltd. | 214,387 | 1,076,477 | |||
Bharti Infratel, Ltd. | 40,967 | 158,046 | |||
Bosch, Ltd. | 845 | 200,283 | |||
Britannia Industries, Ltd. | 6,960 | 276,988 | |||
Cipla, Ltd. | 43,832 | 350,548 | |||
Coal India, Ltd. | 146,665 | 538,089 | |||
Container Corp. Of India, Ltd. | 25,257 | 207,830 | |||
Dabur India, Ltd. | 66,812 | 386,339 | |||
Divi's Laboratories, Ltd. | 9,808 | 226,915 | |||
Dr Reddy's Laboratories, Ltd. ADR (b) | 428 | 16,037 |
Security Description | Shares | Value | |||
Dr Reddy's Laboratories, Ltd. | 13,203 | $489,521 | |||
Eicher Motors, Ltd. | 1,590 | 440,646 | |||
GAIL India, Ltd. | 84,507 | 381,783 | |||
GAIL India, Ltd. GDR | 1,904 | 51,598 | |||
Glenmark Pharmaceuticals, Ltd. | 16,028 | 102,747 | |||
Godrej Consumer Products, Ltd. | 42,516 | 408,176 | |||
Grasim Industries, Ltd. | 35,188 | 466,438 | |||
Havells India, Ltd. | 30,412 | 345,193 | |||
HCL Technologies, Ltd. | 64,754 | 999,769 | |||
Hero MotoCorp, Ltd. | 6,397 | 240,024 | |||
Hindalco Industries, Ltd. | 147,292 | 442,127 | |||
Hindustan Petroleum Corp., Ltd. | 75,023 | 314,156 | |||
Hindustan Unilever, Ltd. | 77,632 | 2,011,892 | |||
Housing Development Finance Corp., Ltd. | 197,332 | 6,273,229 | |||
ICICI Bank, Ltd. ADR | 2,650 | 33,364 | |||
ICICI Bank, Ltd. | 279,617 | 1,768,987 | |||
ICICI Lombard General Insurance Co., Ltd. (c) | 16,129 | 259,129 | |||
Indiabulls Housing Finance, Ltd. | 34,848 | 306,439 | |||
Indian Oil Corp., Ltd. | 224,063 | 505,564 | |||
Infosys, Ltd. ADR (b) | 1,518 | 16,243 | |||
Infosys, Ltd. | 416,644 | 4,416,478 | |||
InterGlobe Aviation, Ltd. (c) | 11,358 | 256,202 | |||
ITC, Ltd. | 410,060 | 1,626,517 | |||
JSW Steel, Ltd. | 106,353 | 426,244 | |||
Larsen & Toubro, Ltd. GDR | 1,235 | 27,602 | |||
Larsen & Toubro, Ltd. | 55,716 | 1,259,043 | |||
LIC Housing Finance, Ltd. | 37,880 | 306,761 | |||
Lupin, Ltd. | 26,873 | 293,149 | |||
Mahindra & Mahindra Financial Services, Ltd. | 38,757 | 216,925 | |||
Mahindra & Mahindra, Ltd. GDR | 2,150 | 19,995 | |||
Mahindra & Mahindra, Ltd. | 86,830 | 824,682 | |||
Marico, Ltd. | 54,929 | 294,390 | |||
Maruti Suzuki India, Ltd. | 12,629 | 1,196,350 | |||
Motherson Sumi Systems, Ltd. | 120,996 | 214,113 | |||
Nestle India, Ltd. | 2,750 | 475,122 | |||
NTPC, Ltd. | 282,654 | 577,777 | |||
Oil & Natural Gas Corp., Ltd. | 300,026 | 730,207 | |||
Page Industries, Ltd. | 700 | 210,444 | |||
Petronet LNG, Ltd. | 76,614 | 272,981 | |||
Pidilite Industries, Ltd. | 14,662 | 258,288 | |||
Piramal Enterprises, Ltd. | 10,449 | 294,423 | |||
Power Grid Corp. of India, Ltd. | 218,087 | 650,525 | |||
REC, Ltd. | 86,724 | 207,427 | |||
Reliance Industries, Ltd. GDR (c) | 615 | 22,232 | |||
Reliance Industries, Ltd. | 342,927 | 6,229,843 | |||
Shree Cement, Ltd. | 1,040 | 326,942 | |||
Shriram Transport Finance Co., Ltd. | 17,900 | 280,062 | |||
State Bank of India (a) | 201,484 | 1,058,975 | |||
State Bank of India GDR (a) | 1,160 | 60,088 | |||
Sun Pharmaceutical Industries, Ltd. | 100,022 | 581,563 | |||
Tata Consultancy Services, Ltd. | 107,728 | 3,477,136 |
Security Description | Shares | Value | |||
Tata Motors, Ltd. ADR (a)(b) | 541 | $6,319 | |||
Tata Motors, Ltd. (a) | 186,403 | 438,683 | |||
Tata Power Co., Ltd. | 138,650 | 138,595 | |||
Tata Steel, Ltd. | 32,077 | 234,580 | |||
Tata Steel, Ltd. GDR | 10,534 | 75,845 | |||
Tech Mahindra, Ltd. | 56,238 | 576,373 | |||
Titan Co., Ltd. | 37,028 | 714,168 | |||
UltraTech Cement, Ltd. | 11,464 | 755,160 | |||
United Spirits, Ltd. (a) | 35,264 | 298,782 | |||
UPL, Ltd. | 42,477 | 579,057 | |||
Vedanta, Ltd. | 219,776 | 554,952 | |||
Vedanta, Ltd. ADR | 366 | 3,722 | |||
Vodafone Idea, Ltd. (a) | 888,585 | 155,762 | |||
Wipro, Ltd. ADR (b) | 24,721 | 107,042 | |||
Wipro, Ltd. | 116,536 | 474,146 | |||
Yes Bank, Ltd. | 212,792 | 334,474 | |||
Zee Entertainment Enterprises, Ltd. | 57,992 | 283,081 | |||
59,606,089 | |||||
INDONESIA — 2.1% | |||||
Adaro Energy Tbk PT | 1,859,800 | 179,036 | |||
Astra International Tbk PT | 2,417,100 | 1,274,634 | |||
Bank Central Asia Tbk PT | 1,179,100 | 2,501,753 | |||
Bank Mandiri Persero Tbk PT | 2,228,800 | 1,266,050 | |||
Bank Negara Indonesia Persero Tbk PT | 910,800 | 593,124 | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,633,900 | 2,047,341 | |||
Bank Tabungan Negara Persero Tbk PT | 468,600 | 81,597 | |||
Barito Pacific Tbk PT | 626,800 | 142,419 | |||
Bukit Asam Tbk PT | 383,100 | 80,267 | |||
Bumi Serpong Damai Tbk PT (a) | 1,003,000 | 108,979 | |||
Charoen Pokphand Indonesia Tbk PT | 929,600 | 311,238 | |||
Gudang Garam Tbk PT | 59,000 | 321,049 | |||
Hanjaya Mandala Sampoerna Tbk PT | 1,148,100 | 255,178 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 354,200 | 235,047 | |||
Indocement Tunggal Prakarsa Tbk PT | 226,400 | 320,510 | |||
Indofood CBP Sukses Makmur Tbk PT | 299,700 | 215,322 | |||
Indofood Sukses Makmur Tbk PT | 561,500 | 279,210 | |||
Jasa Marga Persero Tbk PT | 247,489 | 100,292 | |||
Kalbe Farma Tbk PT | 2,684,100 | 277,387 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 177,100 | 157,638 | |||
Pakuwon Jati Tbk PT | 2,231,900 | 115,327 | |||
Perusahaan Gas Negara Tbk PT | 1,369,000 | 204,466 | |||
Semen Indonesia Persero Tbk PT | 364,300 | 298,480 | |||
Surya Citra Media Tbk PT | 683,500 | 77,893 | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,918,100 | 1,734,272 | |||
Unilever Indonesia Tbk PT | 181,700 | 578,765 |
Security Description | Shares | Value | |||
United Tractors Tbk PT | 205,000 | $409,202 | |||
14,166,476 | |||||
LUXEMBOURG — 0.0% (e) | |||||
Reinet Investments SCA | 18,630 | 300,141 | |||
MALAYSIA — 2.1% | |||||
AirAsia Group Bhd | 175,900 | 116,203 | |||
Alliance Bank Malaysia Bhd | 115,600 | 105,180 | |||
AMMB Holdings Bhd | 212,200 | 217,206 | |||
Axiata Group Bhd | 334,022 | 402,524 | |||
British American Tobacco Malaysia Bhd | 18,500 | 128,929 | |||
CIMB Group Holdings Bhd | 570,088 | 742,183 | |||
Dialog Group Bhd | 444,400 | 350,573 | |||
DiGi.Com Bhd | 369,600 | 451,659 | |||
Fraser & Neave Holdings Bhd | 15,100 | 126,281 | |||
Gamuda Bhd | 202,900 | 184,611 | |||
Genting Bhd | 262,100 | 429,381 | |||
Genting Malaysia Bhd | 366,800 | 287,582 | |||
Genting Plantations Bhd | 28,800 | 69,691 | |||
HAP Seng Consolidated Bhd | 77,700 | 187,082 | |||
Hartalega Holdings Bhd | 162,500 | 206,050 | |||
Hong Leong Bank Bhd | 78,500 | 360,919 | |||
Hong Leong Financial Group Bhd | 26,800 | 120,235 | |||
IHH Healthcare Bhd | 276,700 | 388,351 | |||
IJM Corp. Bhd | 320,100 | 185,902 | |||
IOI Corp. Bhd | 240,700 | 247,544 | |||
Kuala Lumpur Kepong Bhd | 52,600 | 312,609 | |||
Malayan Banking Bhd | 471,781 | 1,013,773 | |||
Malaysia Airports Holdings Bhd | 117,000 | 241,503 | |||
Maxis Bhd | 286,700 | 386,429 | |||
MISC Bhd | 142,700 | 246,898 | |||
Nestle Malaysia Bhd | 8,700 | 313,895 | |||
Petronas Chemicals Group Bhd | 285,900 | 581,140 | |||
Petronas Dagangan Bhd | 29,200 | 179,475 | |||
Petronas Gas Bhd | 70,300 | 295,320 | |||
PPB Group Bhd | 68,720 | 310,965 | |||
Press Metal Aluminium Holdings Bhd | 163,300 | 173,871 | |||
Public Bank Bhd | 371,300 | 2,066,521 | |||
QL Resources Bhd | 81,800 | 135,393 | |||
RHB Capital Bhd | 116,810 | 158,008 | |||
Sime Darby Bhd | 295,469 | 161,587 | |||
Sime Darby Plantation Bhd | 244,569 | 291,175 | |||
Sime Darby Property Bhd | 365,569 | 91,116 | |||
SP Setia Bhd Group | 208,889 | 109,183 | |||
Telekom Malaysia Bhd | 127,600 | 123,509 | |||
Tenaga Nasional Bhd | 373,400 | 1,250,540 | |||
Top Glove Corp. Bhd | 180,700 | 214,697 | |||
Westports Holdings Bhd | 98,400 | 93,816 | |||
YTL Corp. Bhd | 386,796 | 104,830 | |||
14,164,339 | |||||
MEXICO — 2.4% | |||||
Alfa SAB de CV Class A | 359,840 | 352,504 | |||
Alsea SAB de CV (a)(b) | 62,700 | 123,692 |
Security Description | Shares | Value | |||
America Movil SAB de CV Series L | 4,073,521 | $2,966,354 | |||
Arca Continental SAB de CV | 52,300 | 282,575 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B | 216,816 | 332,362 | |||
Cemex SAB de CV Series CPO | 1,805,417 | 762,138 | |||
Coca-Cola Femsa SAB de CV | 62,400 | 386,191 | |||
El Puerto de Liverpool SAB de CV Series C1 | 25,300 | 141,002 | |||
Fibra Uno Administracion SA de CV REIT | 377,658 | 500,487 | |||
Fomento Economico Mexicano SAB de CV | 232,580 | 2,248,121 | |||
Gruma SAB de CV Class B | 26,060 | 244,910 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 42,500 | 442,174 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 24,685 | 400,220 | |||
Grupo Bimbo SAB de CV Class A (b) | 194,415 | 404,887 | |||
Grupo Carso SAB de CV Series A1 (b) | 60,000 | 223,739 | |||
Grupo Financiero Banorte SAB de CV Series O | 310,203 | 1,800,024 | |||
Grupo Financiero Inbursa SAB de CV Series O (b) | 275,826 | 398,700 | |||
Grupo Mexico SAB de CV Class B | 418,236 | 1,112,878 | |||
Grupo Televisa SAB Series CPO (b) | 286,129 | 482,550 | |||
Industrias Penoles SAB de CV | 17,115 | 220,347 | |||
Infraestructura Energetica Nova SAB de CV | 65,700 | 258,298 | |||
Kimberly-Clark de Mexico SAB de CV Class A (a)(b) | 180,789 | 335,480 | |||
Megacable Holdings SAB de CV | 37,300 | 158,817 | |||
Mexichem SAB de CV | 124,310 | 261,475 | |||
Promotora y Operadora de Infraestructura SAB de CV | 28,350 | 281,970 | |||
Wal-Mart de Mexico SAB de CV | 626,194 | 1,707,626 | |||
16,829,521 | |||||
PAKISTAN — 0.0% (e) | |||||
Habib Bank, Ltd. | 66,000 | 46,793 | |||
MCB Bank, Ltd. | 48,800 | 53,290 | |||
Oil & Gas Development Co., Ltd. | 76,400 | 62,885 | |||
162,968 | |||||
PERU — 0.4% | |||||
Cia de Minas Buenaventura SAA ADR | 25,600 | 426,752 | |||
Credicorp, Ltd. | 8,100 | 1,854,171 | |||
Southern Copper Corp. | 10,267 | 398,873 | |||
2,679,796 | |||||
PHILIPPINES — 1.1% | |||||
Aboitiz Equity Ventures, Inc. | 250,890 | 269,327 |
Security Description | Shares | Value | |||
Aboitiz Power Corp. | 192,500 | $130,750 | |||
Alliance Global Group, Inc. | 521,500 | 157,157 | |||
Ayala Corp. | 33,785 | 589,515 | |||
Ayala Land, Inc. | 878,700 | 871,239 | |||
Bank of the Philippine Islands | 104,979 | 160,844 | |||
BDO Unibank, Inc. | 234,459 | 640,661 | |||
DMCI Holdings, Inc. | 443,930 | 89,245 | |||
Globe Telecom, Inc. | 4,360 | 192,492 | |||
GT Capital Holdings, Inc. | 11,113 | 203,888 | |||
International Container Terminal Services, Inc. | 116,140 | 331,861 | |||
JG Summit Holdings, Inc. | 349,560 | 459,849 | |||
Jollibee Foods Corp. | 53,440 | 293,928 | |||
Manila Electric Co. | 29,080 | 219,654 | |||
Megaworld Corp. | 1,462,000 | 174,065 | |||
Metro Pacific Investments Corp. | 1,727,000 | 161,796 | |||
Metropolitan Bank & Trust Co. | 192,113 | 267,162 | |||
PLDT, Inc. | 11,071 | 278,747 | |||
Robinsons Land Corp. | 250,186 | 128,670 | |||
Security Bank Corp. | 25,200 | 83,615 | |||
SM Investments Corp. | 28,660 | 542,042 | |||
SM Prime Holdings, Inc. | 1,206,100 | 873,354 | |||
Universal Robina Corp. | 108,760 | 352,379 | |||
7,472,240 | |||||
POLAND — 1.1% | |||||
Alior Bank SA (a) | 11,309 | 151,082 | |||
Bank Millennium SA (a) | 70,894 | 177,938 | |||
Bank Polska Kasa Opieki SA | 20,310 | 608,886 | |||
CCC SA | 3,605 | 162,985 | |||
CD Projekt SA | 8,452 | 487,964 | |||
Cyfrowy Polsat SA | 32,750 | 261,354 | |||
Dino Polska SA (a)(c) | 6,152 | 215,944 | |||
Grupa Lotos SA | 11,534 | 261,968 | |||
Jastrzebska Spolka Weglowa SA (a) | 5,878 | 74,397 | |||
KGHM Polska Miedz SA (a) | 17,033 | 472,733 | |||
LPP SA | 159 | 325,743 | |||
mBank SA | 1,908 | 220,004 | |||
Orange Polska SA (a) | 76,094 | 136,407 | |||
PGE Polska Grupa Energetyczna SA (a) | 104,212 | 268,047 | |||
Polski Koncern Naftowy ORLEN SA | 35,718 | 861,822 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 213,120 | 303,461 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 104,449 | 1,199,320 | |||
Powszechny Zaklad Ubezpieczen SA | 72,076 | 843,837 | |||
Santander Bank Polska SA | 4,246 | 422,186 | |||
7,456,078 | |||||
QATAR — 0.9% | |||||
Barwa Real Estate Co. | 23,102 | 216,983 | |||
Commercial Bank PQSC | 245,580 | 309,567 | |||
Industries Qatar QSC | 216,280 | 683,068 |
Security Description | Shares | Value | |||
Masraf Al Rayan QSC | 461,680 | $483,076 | |||
Mesaieed Petrochemical Holding Co. | 522,680 | 374,650 | |||
Ooredoo QSC | 9,694 | 174,139 | |||
Qatar Electricity & Water Co. QSC | 60,120 | 275,070 | |||
Qatar Fuel QSC | 57,800 | 340,649 | |||
Qatar Insurance Co. SAQ | 20,042 | 192,976 | |||
Qatar Islamic Bank SAQ | 137,890 | 629,002 | |||
Qatar National Bank QPSC | 541,240 | 2,828,643 | |||
6,507,823 | |||||
ROMANIA — 0.1% | |||||
NEPI Rockcastle PLC | 44,591 | 409,221 | |||
RUSSIA — 3.9% | |||||
Alrosa PJSC | 303,397 | 414,342 | |||
Gazprom PJSC | 1,274,538 | 4,708,162 | |||
Inter RAO UES PJSC | 4,002,928 | 287,106 | |||
LUKOIL PJSC | 49,352 | 4,165,285 | |||
Magnit PJSC GDR | 1,025 | 14,939 | |||
Magnit PJSC | 10,438 | 617,840 | |||
Magnitogorsk Iron & Steel Works PJSC | 287,300 | 205,540 | |||
MMC Norilsk Nickel PJSC | 7,564 | 1,714,866 | |||
Mobile TeleSystems PJSC ADR | 49,670 | 462,428 | |||
Mobile TeleSystems PJSC | 25,901 | 117,217 | |||
Moscow Exchange MICEX-RTS PJSC (a) | 174,991 | 249,912 | |||
Novatek PJSC GDR | 1,100 | 233,200 | |||
Novatek PJSC | 101,850 | 2,150,194 | |||
Novolipetsk Steel PJSC | 146,523 | 371,215 | |||
PhosAgro PJSC GDR | 14,306 | 187,695 | |||
Polymetal International PLC | 22,767 | 288,828 | |||
Polyus PJSC (a) | 3,245 | 299,445 | |||
Rosneft Oil Co. PJSC | 139,091 | 912,719 | |||
Sberbank of Russia PJSC | 1,303,044 | 4,925,020 | |||
Severstal PJSC | 25,560 | 434,165 | |||
Surgutneftegas PJSC Preference Shares | 825,000 | 559,025 | |||
Surgutneftegas PJSC | 905,000 | 377,066 | |||
Tatneft PJSC | 182,306 | 2,244,033 | |||
Transneft PJSC Preference Shares | 60 | 157,432 | |||
VTB Bank PJSC | 416,030,000 | 263,763 | |||
X5 Retail Group NV GDR | 14,940 | 512,293 | |||
26,873,730 | |||||
SAUDI ARABIA — 1.3% | |||||
Advanced Petrochemical Co. | 5,562 | 88,986 | |||
Al Rajhi Bank | 73,168 | 1,357,908 | |||
Alinma Bank | 43,531 | 282,759 | |||
Almarai Co. JSC | 14,754 | 207,329 | |||
Bank AlBilad (a) | 21,534 | 156,183 | |||
Bank Al-Jazira | 23,280 | 94,231 | |||
Banque Saudi Fransi | 32,180 | 363,824 | |||
Bupa Arabia for Cooperative Insurance Co. | 1,520 | 39,031 | |||
Co. for Cooperative Insurance (a) | 3,492 | 65,180 |
Security Description | Shares | Value | |||
Dar Al Arkan Real Estate Development Co. | 30,402 | $95,172 | |||
Emaar Economic City (a) | 21,616 | 57,351 | |||
Etihad Etisalat Co. (a) | 22,023 | 141,055 | |||
Jarir Marketing Co. | 3,454 | 152,150 | |||
National Commercial Bank | 71,634 | 1,058,202 | |||
National Industrialization Co. (a) | 18,893 | 85,340 | |||
Rabigh Refining & Petrochemical Co. (a) | 12,456 | 68,620 | |||
Riyad Bank | 71,395 | 510,202 | |||
Samba Financial Group | 58,341 | 550,702 | |||
Saudi Airlines Catering Co. | 2,262 | 51,510 | |||
Saudi Arabian Fertilizer Co. | 9,825 | 222,161 | |||
Saudi Arabian Mining Co. (a) | 24,254 | 314,311 | |||
Saudi Basic Industries Corp. | 44,794 | 1,364,036 | |||
Saudi British Bank | 13,158 | 145,255 | |||
Saudi Cement Co. | 4,316 | 80,675 | |||
Saudi Electricity Co. | 49,158 | 245,118 | |||
Saudi Industrial Investment Group | 12,756 | 83,810 | |||
Saudi International Petrochemical Co. | 20,951 | 115,530 | |||
Saudi Kayan Petrochemical Co. (a) | 43,002 | 140,120 | |||
Saudi Telecom Co. | 23,833 | 662,195 | |||
Savola Group | 15,293 | 133,346 | |||
Yanbu National Petrochemical Co. | 13,283 | 223,140 | |||
9,155,432 | |||||
SINGAPORE — 0.0% (e) | |||||
BOC Aviation, Ltd. (c) | 26,200 | 219,996 | |||
SOUTH AFRICA — 5.6% | |||||
Absa Group, Ltd. | 86,015 | 1,073,567 | |||
Anglo American Platinum, Ltd. | 6,599 | 391,660 | |||
AngloGold Ashanti, Ltd. | 49,196 | 886,182 | |||
Aspen Pharmacare Holdings, Ltd. | 49,100 | 349,763 | |||
Bid Corp., Ltd. | 40,002 | 870,860 | |||
Bidvest Group, Ltd. | 34,149 | 458,549 | |||
Capitec Bank Holdings, Ltd. | 5,504 | 506,924 | |||
Clicks Group, Ltd. (b) | 31,021 | 451,612 | |||
Discovery, Ltd. | 45,625 | 482,450 | |||
Exxaro Resources, Ltd. | 30,772 | 375,320 | |||
FirstRand, Ltd. | 402,306 | 1,955,719 | |||
Fortress REIT, Ltd. Class A, | 132,706 | 201,771 | |||
Foschini Group, Ltd. | 27,295 | 348,997 | |||
Gold Fields, Ltd. | 103,612 | 563,937 | |||
Growthpoint Properties, Ltd. REIT | 353,879 | 609,321 | |||
Investec, Ltd. | 35,166 | 229,082 | |||
Kumba Iron Ore, Ltd. (b) | 8,059 | 285,400 | |||
Liberty Holdings, Ltd. | 16,199 | 121,378 | |||
Life Healthcare Group Holdings, Ltd. | 159,244 | 253,413 | |||
MMI Holdings, Ltd. | 104,070 | 140,002 | |||
Mondi, Ltd. | 14,271 | 320,776 | |||
Mr. Price Group, Ltd. | 32,306 | 454,787 | |||
MTN Group, Ltd. (b) | 202,604 | 1,533,763 | |||
MultiChoice Group, Ltd. (a) | 53,823 | 511,349 |
Security Description | Shares | Value | |||
Naspers, Ltd. Class N | 52,892 | $12,826,186 | |||
Nedbank Group, Ltd. | 44,120 | 792,212 | |||
Netcare, Ltd. (b) | 142,508 | 181,707 | |||
Old Mutual, Ltd. | 589,748 | 886,635 | |||
Pick n Pay Stores, Ltd. | 44,061 | 215,599 | |||
PSG Group, Ltd. | 18,510 | 313,736 | |||
Rand Merchant Investment Holdings, Ltd. | 83,859 | 202,017 | |||
Redefine Properties, Ltd. REIT | 693,656 | 444,688 | |||
Remgro, Ltd. | 63,125 | 841,144 | |||
RMB Holdings, Ltd. | 92,417 | 553,142 | |||
Sanlam, Ltd. | 213,204 | 1,181,741 | |||
Sappi, Ltd. | 64,084 | 249,451 | |||
Sasol, Ltd. (b) | 67,205 | 1,669,062 | |||
Shoprite Holdings, Ltd. | 55,391 | 619,303 | |||
SPAR Group, Ltd. | 23,362 | 309,527 | |||
Standard Bank Group, Ltd. | 154,807 | 2,159,092 | |||
Telkom SA SOC, Ltd. | 36,438 | 238,221 | |||
Tiger Brands, Ltd. (b) | 19,448 | 308,520 | |||
Truworths International, Ltd. | 56,221 | 279,087 | |||
Vodacom Group, Ltd. | 76,554 | 649,674 | |||
Woolworths Holdings, Ltd. (b) | 125,424 | 434,765 | |||
38,732,091 | |||||
SOUTH KOREA — 12.0% | |||||
Amorepacific Corp. | 3,831 | 545,793 | |||
Amorepacific Corp. Preference Shares | 1,181 | 88,167 | |||
AMOREPACIFIC Group | 3,621 | 195,374 | |||
BGF retail Co., Ltd. | 940 | 171,775 | |||
BNK Financial Group, Inc. | 34,469 | 223,594 | |||
Celltrion Healthcare Co., Ltd. (a) | 5,950 | 291,149 | |||
Celltrion Pharm, Inc. (a) | 1,928 | 80,232 | |||
Celltrion, Inc. (a) | 10,496 | 1,868,036 | |||
Cheil Worldwide, Inc. | 8,082 | 205,786 | |||
CJ CheilJedang Corp. | 1,023 | 263,137 | |||
CJ Corp. | 1,927 | 168,559 | |||
CJ Corp. Preference Shares (a)(f) | 253 | 8,034 | |||
CJ ENM Co., Ltd. | 1,368 | 209,705 | |||
CJ Logistics Corp. (a) | 931 | 108,448 | |||
Coway Co., Ltd. | 6,271 | 420,366 | |||
Daelim Industrial Co., Ltd. | 3,456 | 344,208 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 19,772 | 84,592 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 5,183 | 146,784 | |||
DB Insurance Co., Ltd. | 6,060 | 311,227 | |||
Doosan Bobcat, Inc. (a) | 5,246 | 165,379 | |||
E-MART, Inc. | 2,554 | 309,670 | |||
Fila Korea, Ltd. | 5,908 | 392,451 | |||
GS Engineering & Construction Corp. | 7,569 | 264,504 | |||
GS Holdings Corp. | 6,621 | 293,591 | |||
GS Retail Co., Ltd. | 3,214 | 109,393 | |||
Hana Financial Group, Inc. | 35,848 | 1,161,144 | |||
Hankook Tire & Technology Co., Ltd. | 9,159 | 278,423 |
Security Description | Shares | Value | |||
Hanmi Pharm Co., Ltd. | 787 | $275,363 | |||
Hanmi Science Co., Ltd. | 1,686 | 99,584 | |||
Hanon Systems | 22,868 | 230,730 | |||
Hanwha Chemical Corp. | 12,733 | 250,326 | |||
Hanwha Corp. | 5,038 | 116,498 | |||
Hanwha Life Insurance Co., Ltd. | 34,930 | 99,074 | |||
HDC Hyundai Development Co-Engineering & Construction | 3,370 | 126,961 | |||
Helixmith Co., Ltd. (a) | 1,656 | 241,806 | |||
HLB, Inc. (a)(b) | 4,213 | 128,800 | |||
Hotel Shilla Co., Ltd. | 3,859 | 324,187 | |||
Hyundai Construction Equipment Co., Ltd. | 4 | 140 | |||
Hyundai Department Store Co., Ltd. | 1,795 | 128,564 | |||
Hyundai Engineering & Construction Co., Ltd. | 9,259 | 429,812 | |||
Hyundai Glovis Co., Ltd. | 2,337 | 325,862 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 1,234 | 346,266 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,982 | 196,673 | |||
Hyundai Mobis Co., Ltd. | 8,142 | 1,660,625 | |||
Hyundai Motor Co. | 17,880 | 2,167,930 | |||
Hyundai Motor Co. Preference Shares (g) | 4,501 | 336,410 | |||
Hyundai Motor Co. Preference Shares (g) | 3,075 | 210,655 | |||
Hyundai Steel Co. | 9,783 | 354,159 | |||
Industrial Bank of Korea | 30,793 | 374,695 | |||
Kakao Corp. | 5,961 | 678,882 | |||
Kangwon Land, Inc. | 14,360 | 376,209 | |||
KB Financial Group, Inc. | 47,479 | 1,885,344 | |||
KCC Corp. | 749 | 178,712 | |||
Kia Motors Corp. | 31,461 | 1,198,878 | |||
Korea Aerospace Industries, Ltd. | 9,041 | 281,491 | |||
Korea Electric Power Corp. (a) | 30,600 | 677,114 | |||
Korea Gas Corp. | 3,203 | 117,063 | |||
Korea Investment Holdings Co., Ltd. | 5,047 | 352,741 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,661 | 478,351 | |||
Korea Zinc Co., Ltd. | 1,035 | 426,675 | |||
Korean Air Lines Co., Ltd. | 5,857 | 146,850 | |||
KT&G Corp. | 13,937 | 1,188,927 | |||
Kumho Petrochemical Co., Ltd. | 2,301 | 194,100 | |||
LG Chem, Ltd. | 5,483 | 1,683,388 | |||
LG Chem, Ltd. Preference Shares | 922 | 156,109 | |||
LG Corp. | 11,312 | 753,382 | |||
LG Display Co., Ltd. (a) | 28,251 | 436,739 | |||
LG Electronics, Inc. | 12,684 | 871,122 | |||
LG Household & Health Care, Ltd. | 1,119 | 1,272,461 | |||
LG Household & Health Care, Ltd. Preference Shares | 263 | 183,586 | |||
LG Innotek Co., Ltd. | 1,885 | 177,946 | |||
LG Uplus Corp. | 13,330 | 167,397 |
Security Description | Shares | Value | |||
Lotte Chemical Corp. | 2,143 | $468,633 | |||
Lotte Corp. (a) | 3,364 | 128,191 | |||
Lotte Shopping Co., Ltd. | 1,454 | 202,111 | |||
Medy-Tox, Inc. | 555 | 216,299 | |||
Meritz Securities Co., Ltd. | 35,505 | 164,818 | |||
Mirae Asset Daewoo Co., Ltd. | 48,701 | 345,017 | |||
NAVER Corp. | 16,742 | 1,652,958 | |||
NCSoft Corp. | 1,962 | 810,526 | |||
Netmarble Corp. (a)(c) | 3,142 | 307,492 | |||
NH Investment & Securities Co., Ltd. | 18,082 | 227,072 | |||
OCI Co., Ltd. | 2,194 | 177,283 | |||
Orange Life Insurance, Ltd. (c) | 3,722 | 102,023 | |||
Orion Corp/Republic of Korea | 2,574 | 206,205 | |||
Ottogi Corp. | 142 | 84,242 | |||
Pan Ocean Co., Ltd. (a) | 33,430 | 134,340 | |||
Pearl Abyss Corp. (a) | 670 | 123,190 | |||
POSCO | 9,380 | 1,986,238 | |||
POSCO Chemtech Co., Ltd. | 3,021 | 140,238 | |||
Posco International Corp. | 5,887 | 93,558 | |||
S-1 Corp. | 2,213 | 187,060 | |||
Samsung Biologics Co., Ltd. (a)(c) | 2,065 | 572,295 | |||
Samsung C&T Corp. | 10,182 | 843,907 | |||
Samsung Card Co., Ltd. | 3,365 | 111,326 | |||
Samsung Electro-Mechanics Co., Ltd. (b) | 6,669 | 564,871 | |||
Samsung Electronics Co., Ltd. Preference Shares | 98,418 | 3,260,285 | |||
Samsung Electronics Co., Ltd. | 575,662 | 23,432,308 | |||
Samsung Engineering Co., Ltd. (a) | 19,505 | 289,707 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,674 | 852,754 | |||
Samsung Heavy Industries Co., Ltd. (a) | 53,830 | 380,421 | |||
Samsung Life Insurance Co., Ltd. | 8,336 | 603,551 | |||
Samsung SDI Co., Ltd. | 6,569 | 1,345,489 | |||
Samsung SDS Co., Ltd. | 4,151 | 772,931 | |||
Samsung Securities Co., Ltd. | 7,444 | 252,077 | |||
Shinhan Financial Group Co., Ltd. | 54,528 | 2,120,389 | |||
Shinsegae, Inc. | 883 | 230,185 | |||
SillaJen, Inc. (a)(b) | 7,464 | 319,336 | |||
SK Holdings Co., Ltd. | 4,197 | 843,289 | |||
SK Hynix, Inc. | 65,323 | 3,931,883 | |||
SK Innovation Co., Ltd. | 6,620 | 911,601 | |||
SK Telecom Co., Ltd. | 2,403 | 539,018 | |||
S-Oil Corp. | 5,657 | 410,073 | |||
Woori Financial Group, Inc. | 56,737 | 690,387 | |||
Yuhan Corp. | 1,150 | 243,515 | |||
82,297,200 | |||||
TAIWAN — 10.5% | |||||
Acer, Inc. (a) | 356,000 | 220,641 | |||
Advantech Co., Ltd. | 42,098 | 357,825 | |||
Airtac International Group | 15,000 | 168,065 | |||
ASE Technology Holding Co., Ltd. | 412,307 | 816,397 |
Security Description | Shares | Value | |||
Asia Cement Corp. | 276,000 | $422,537 | |||
Asustek Computer, Inc. | 84,000 | 603,100 | |||
AU Optronics Corp. | 1,058,000 | 316,792 | |||
Catcher Technology Co., Ltd. | 78,000 | 558,766 | |||
Cathay Financial Holding Co., Ltd. | 900,000 | 1,245,996 | |||
Chailease Holding Co., Ltd. | 141,560 | 585,665 | |||
Chang Hwa Commercial Bank, Ltd. | 678,075 | 457,370 | |||
Cheng Shin Rubber Industry Co., Ltd. | 240,000 | 309,857 | |||
Chicony Electronics Co., Ltd. | 71,788 | 176,584 | |||
China Airlines, Ltd. | 333,000 | 105,498 | |||
China Development Financial Holding Corp. | 1,512,000 | 461,007 | |||
China Life Insurance Co., Ltd. | 342,386 | 273,935 | |||
China Steel Corp. | 1,409,000 | 1,131,845 | |||
Chunghwa Telecom Co., Ltd. | 454,000 | 1,651,733 | |||
Compal Electronics, Inc. | 514,000 | 336,770 | |||
CTBC Financial Holding Co., Ltd. | 2,246,040 | 1,543,906 | |||
Delta Electronics, Inc. | 233,000 | 1,181,523 | |||
E.Sun Financial Holding Co., Ltd. | 1,163,513 | 973,980 | |||
Eclat Textile Co., Ltd. | 21,550 | 276,144 | |||
Eva Airways Corp. | 257,924 | 124,148 | |||
Evergreen Marine Corp. Taiwan, Ltd. | 265,152 | 106,284 | |||
Far Eastern New Century Corp. | 392,000 | 422,801 | |||
Far EasTone Telecommunications Co., Ltd. | 190,000 | 478,984 | |||
Feng TAY Enterprise Co., Ltd. | 35,880 | 279,559 | |||
First Financial Holding Co., Ltd. | 1,177,170 | 864,131 | |||
Formosa Chemicals & Fibre Corp. | 420,000 | 1,392,811 | |||
Formosa Petrochemical Corp. | 147,000 | 522,980 | |||
Formosa Plastics Corp. | 533,000 | 1,964,890 | |||
Formosa Taffeta Co., Ltd. | 98,000 | 123,370 | |||
Foxconn Technology Co., Ltd. | 117,830 | 239,382 | |||
Fubon Financial Holding Co., Ltd. (a) | 794,000 | 1,172,102 | |||
Giant Manufacturing Co., Ltd. | 35,000 | 273,829 | |||
Globalwafers Co., Ltd. | 27,000 | 273,395 | |||
Highwealth Construction Corp. | 109,000 | 173,540 | |||
Hiwin Technologies Corp. | 28,336 | 237,201 | |||
Hon Hai Precision Industry Co., Ltd. | 1,492,800 | 3,720,044 | |||
Hotai Motor Co., Ltd. | 35,000 | 572,450 | |||
Hua Nan Financial Holdings Co., Ltd. | 893,354 | 599,702 | |||
Innolux Corp. | 1,097,000 | 258,891 | |||
Inventec Corp. | 321,000 | 255,275 | |||
Largan Precision Co., Ltd. | 12,000 | 1,489,399 | |||
Lite-On Technology Corp. | 258,958 | 379,355 | |||
MediaTek, Inc. | 181,000 | 1,829,843 | |||
Mega Financial Holding Co., Ltd. | 1,299,000 | 1,292,329 | |||
Micro-Star International Co., Ltd. | 84,000 | 237,995 | |||
Nan Ya Plastics Corp. | 616,000 | 1,558,866 | |||
Nanya Technology Corp. | 154,000 | 319,806 | |||
Nien Made Enterprise Co., Ltd. | 20,000 | 150,357 |
Security Description | Shares | Value | |||
Novatek Microelectronics Corp. | 73,000 | $406,607 | |||
Pegatron Corp. | 233,000 | 402,843 | |||
Phison Electronics Corp. | 20,000 | 182,231 | |||
Pou Chen Corp. | 272,000 | 337,159 | |||
Powertech Technology, Inc. | 88,000 | 215,329 | |||
President Chain Store Corp. | 68,000 | 657,899 | |||
Quanta Computer, Inc. | 322,000 | 626,179 | |||
Realtek Semiconductor Corp. | 56,000 | 411,983 | |||
Ruentex Development Co., Ltd. | 63,840 | 91,260 | |||
Ruentex Industries, Ltd. | 42,600 | 103,553 | |||
Shanghai Commercial & Savings Bank, Ltd. | 366,000 | 662,251 | |||
Shin Kong Financial Holding Co., Ltd. | 1,236,393 | 375,382 | |||
SinoPac Financial Holdings Co., Ltd. | 1,273,457 | 535,057 | |||
Standard Foods Corp. | 48,512 | 94,808 | |||
Synnex Technology International Corp. | 173,700 | 218,107 | |||
TaiMed Biologics, Inc. (a) | 23,000 | 117,742 | |||
Taishin Financial Holding Co., Ltd. | 1,117,176 | 514,355 | |||
Taiwan Business Bank | 510,056 | 224,159 | |||
Taiwan Cement Corp. | 548,300 | 812,930 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,096,868 | 734,553 | |||
Taiwan High Speed Rail Corp. | 251,000 | 369,314 | |||
Taiwan Mobile Co., Ltd. | 192,000 | 757,256 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,969,000 | 22,846,182 | |||
Tatung Co., Ltd. (a) | 226,000 | 136,432 | |||
Uni-President Enterprises Corp. | 577,000 | 1,536,338 | |||
United Microelectronics Corp. | 1,406,000 | 631,488 | |||
Vanguard International Semiconductor Corp. | 110,000 | 230,912 | |||
Walsin Technology Corp. | 39,000 | 205,927 | |||
Win Semiconductors Corp. | 42,000 | 269,096 | |||
Winbond Electronics Corp. | 358,000 | 175,199 | |||
Wistron Corp. | 352,101 | 274,339 | |||
WPG Holdings, Ltd. | 192,880 | 250,574 | |||
Yageo Corp. | 32,556 | 276,720 | |||
Yuanta Financial Holding Co., Ltd. | 1,184,000 | 710,945 | |||
Zhen Ding Technology Holding, Ltd. | 55,000 | 176,017 | |||
72,060,781 | |||||
THAILAND — 2.9% | |||||
Advanced Info Service PCL | 120,900 | 859,418 | |||
Advanced Info Service PCL NVDR | 21,000 | 149,278 | |||
Airports of Thailand PCL | 480,100 | 1,150,643 | |||
Airports of Thailand PCL NVDR | 31,600 | 75,735 | |||
Bangkok Bank PCL | 12,400 | 80,463 | |||
Bangkok Bank PCL NVDR | 44,300 | 284,572 | |||
Bangkok Dusit Medical Services PCL | 467,900 | 396,687 |
Security Description | Shares | Value | |||
Bangkok Dusit Medical Services PCL NVDR | 653,900 | $554,378 | |||
Bangkok Expressway & Metro PCL | 859,899 | 319,649 | |||
Bangkok Expressway & Metro PCL NVDR | 65,100 | 24,200 | |||
Banpu PCL | 233,700 | 114,307 | |||
Banpu PCL NVDR | 284,700 | 139,252 | |||
Berli Jucker PCL | 136,800 | 225,268 | |||
Berli Jucker PCL NVDR | 12,800 | 21,078 | |||
BTS Group Holdings PCL NVDR | 59,800 | 23,399 | |||
BTS Group Holdings PCL | 664,284 | 259,930 | |||
Bumrungrad Hospital PCL | 41,200 | 227,042 | |||
Bumrungrad Hospital PCL NVDR | 10,500 | 57,862 | |||
Central Pattana PCL NVDR | 108,500 | 265,346 | |||
Central Pattana PCL | 158,800 | 388,359 | |||
Charoen Pokphand Foods PCL | 406,500 | 374,456 | |||
Charoen Pokphand Foods PCL NVDR | 28,900 | 26,622 | |||
CP ALL PCL NVDR | 110,500 | 309,872 | |||
CP ALL PCL | 587,300 | 1,646,949 | |||
Electricity Generating PCL | 16,000 | 169,561 | |||
Electricity Generating PCL NVDR | 18,300 | 193,935 | |||
Energy Absolute PCL | 149,800 | 272,319 | |||
Energy Absolute PCL NVDR | 47,700 | 86,713 | |||
Gulf Energy Development PCL | 54,400 | 218,185 | |||
Gulf Energy Development PCL NVDR | 12,800 | 51,338 | |||
Home Product Center PCL | 469,200 | 267,743 | |||
Home Product Center PCL NVDR | 233,300 | 133,129 | |||
Indorama Ventures PCL | 197,700 | 302,988 | |||
Indorama Ventures PCL NVDR | 15,800 | 24,214 | |||
Intouch Holdings PCL NVDR | 247,800 | 507,033 | |||
IRPC PCL | 1,142,700 | 186,305 | |||
IRPC PCL NVDR | 112,600 | 18,358 | |||
Kasikornbank PCL | 124,300 | 768,072 | |||
Kasikornbank PCL NVDR | 115,400 | 707,433 | |||
Krung Thai Bank PCL | 413,900 | 263,179 | |||
Krung Thai Bank PCL NVDR | 31,500 | 20,029 | |||
Land & Houses PCL | 380,453 | 137,704 | |||
Land & Houses PCL NVDR | 468,700 | 169,644 | |||
Minor International PCL | 274,500 | 366,985 | |||
Minor International PCL NVDR | 54,600 | 72,996 | |||
Muangthai Capital PCL NVDR | 15,400 | 28,372 | |||
Muangthai Capital PCL | 69,300 | 127,674 | |||
PTT Exploration & Production PCL | 152,800 | 672,634 | |||
PTT Exploration & Production PCL NVDR | 12,800 | 56,346 | |||
PTT Global Chemical PCL | 256,400 | 535,081 | |||
PTT Global Chemical PCL NVDR | 21,100 | 44,034 | |||
PTT PCL NVDR | 130,700 | 207,765 | |||
PTT PCL | 1,235,200 | 1,963,512 | |||
Ratch Group PCL NVDR | 85,200 | 185,444 | |||
Robinson PCL | 56,000 | 102,715 |
Security Description | Shares | Value | |||
Siam Cement PCL | 43,779 | $673,798 | |||
Siam Cement PCL NVDR | 48,500 | 746,458 | |||
Siam Commercial Bank PCL NVDR | 14,200 | 64,593 | |||
Siam Commercial Bank PCL | 86,600 | 393,925 | |||
Thai Oil PCL | 129,000 | 279,726 | |||
Thai Oil PCL NVDR | 9,400 | 20,383 | |||
Thai Union Group PCL NVDR | 181,300 | 108,186 | |||
Thai Union Group PCL Class F | 212,900 | 127,042 | |||
TMB Bank PCL | 1,388,800 | 88,760 | |||
Total Access Communication PCL NVDR | 83,100 | 143,615 | |||
True Corp. PCL | 1,201,637 | 229,219 | |||
19,711,910 | |||||
TURKEY — 0.5% | |||||
Akbank T.A.S. (a) | 339,197 | 398,779 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 25,464 | 87,566 | |||
Arcelik A/S (a) | 29,278 | 98,454 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 45,998 | 143,147 | |||
BIM Birlesik Magazalar A/S | 25,192 | 346,913 | |||
Eregli Demir ve Celik Fabrikalari TAS | 174,073 | 236,853 | |||
Ford Otomotiv Sanayi A/S | 8,854 | 95,673 | |||
Haci Omer Sabanci Holding A/S | 123,186 | 182,947 | |||
KOC Holding A/S | 98,838 | 299,727 | |||
TAV Havalimanlari Holding A/S | 25,559 | 119,311 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 14,837 | 294,996 | |||
Turk Hava Yollari AO (a) | 73,784 | 164,432 | |||
Turkcell Iletisim Hizmetleri A/S | 142,555 | 315,474 | |||
Turkiye Garanti Bankasi A/S (a) | 290,160 | 456,510 | |||
Turkiye Is Bankasi A/S Class C (a) | 208,418 | 218,003 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 88,491 | 79,403 | |||
3,538,188 | |||||
UNITED ARAB EMIRATES — 0.7% | |||||
Abu Dhabi Commercial Bank PJSC | 331,873 | 749,914 | |||
Aldar Properties PJSC | 475,067 | 244,443 | |||
DP World PLC | 20,095 | 319,511 | |||
Dubai Islamic Bank PJSC | 205,183 | 286,563 | |||
Emaar Development PJSC | 93,955 | 102,571 | |||
Emaar Malls PJSC | 305,084 | 168,607 | |||
Emaar Properties PJSC | 438,405 | 527,545 | |||
Emirates Telecommunications Group Co. PJSC | 207,520 | 942,361 | |||
First Abu Dhabi Bank PJSC | 325,379 | 1,316,345 | |||
4,657,860 | |||||
TOTAL COMMON STOCKS (Cost $548,124,187) | 658,581,351 |
Security Description | Shares | Value | ||||
WARRANTS — 0.9% | ||||||
SWITZERLAND — 0.9% | ||||||
UBS AG (expiring 5/28/20) (a) | 2,190 | $2,112,308 | ||||
UBS AG (expiring 5/29/20) (a) | 2,012 | 1,940,622 | ||||
UBS AG (expiring 8/30/19) (a) | 2,530 | 2,440,246 | ||||
6,493,176 | ||||||
THAILAND — 0.0% (e) | ||||||
Minor International PCL (expiring 9/30/21) (a) | 13,725 | 2,484 | ||||
TOTAL WARRANTS (Cost $5,932,540) | 6,495,660 | |||||
RIGHTS — 0.0% (e) | ||||||
CHILE — 0.0% (e) | ||||||
Enel Americas SA (expiring 7/26/19) (a) | 1,168,911 | 17,156 | ||||
CHINA — 0.0% (e) | ||||||
Legend Holdings Corp. (a) (d) | 3,446 | — | ||||
SOUTH KOREA — 0.0% (e) | ||||||
Helixmith Co., Ltd. (expiring 08/06/19) (a) (f) | 110 | 3,106 | ||||
TOTAL RIGHTS (Cost $0) | 20,262 | |||||
SHORT-TERM INVESTMENTS — 3.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (h) (i) | 17,120,939 | 17,120,939 | ||||
State Street Navigator Securities Lending Portfolio II (j) (k) | 8,669,023 | 8,669,023 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $25,789,962) | 25,789,962 | |||||
TOTAL INVESTMENTS — 100.3% (Cost $579,846,689) | 690,887,235 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (2,405,679) | |||||
NET ASSETS — 100.0% | $688,481,556 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.3% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(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, 2019, total aggregate fair value of the security is $167,696, representing less than 0.05% of the Fund's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of June 30, 2019, total aggregate fair value of securities is $11,140, representing 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, 2019 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(j) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(k) | 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 (long) | 418 | 09/20/2019 | $21,440,514 | $22,016,060 | $575,546 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $645,063,858 | $13,349,797 | $167,696 | $658,581,351 | ||||
Rights | 17,156 | 3,106 | — | 20,262 | ||||
Warrants | 6,495,660 | — | — | 6,495,660 | ||||
Short-Term Investments | 25,789,962 | — | — | 25,789,962 | ||||
TOTAL INVESTMENTS | $677,366,636 | $13,352,903 | $167,696 | $690,887,235 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 575,546 | — | — | 575,546 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $575,546 | $— | $— | $575,546 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $677,942,182 | $13,352,903 | $167,696 | $691,462,781 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 9,025,892 | $9,025,892 | $99,146,432 | $91,051,385 | $— | $— | 17,120,939 | $17,120,939 | $246,661 | ||||||||
State Street Navigator Securities Lending Portfolio II | 5,297,343 | 5,297,343 | 34,017,063 | 30,645,383 | — | — | 8,669,023 | 8,669,023 | 49,538 | ||||||||
Total | $14,323,235 | $133,163,495 | $121,696,768 | $— | $— | $25,789,962 | $296,199 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $665,097,273 |
Investments in affiliated issuers, at value | 25,789,962 |
Total Investments | 690,887,235 |
Foreign currency, at value | 2,601,318 |
Cash at broker | 453,741 |
Cash | 102 |
Receivable from broker — accumulated variation margin on open futures contracts | 576,675 |
Receivable for investments sold | 7,326 |
Receivable for fund shares sold | 505,879 |
Dividends receivable — unaffiliated issuers | 2,892,887 |
Dividends receivable — affiliated issuers | 35,408 |
Securities lending income receivable — unaffiliated issuers | 8,164 |
Securities lending income receivable — affiliated issuers | 5,595 |
Receivable from Adviser | 94,093 |
Receivable for foreign taxes recoverable | 4,989 |
TOTAL ASSETS | 698,073,412 |
LIABILITIES | |
Payable upon return of securities loaned | 8,669,023 |
Payable for investments purchased | 7,330 |
Payable for fund shares repurchased | 302,162 |
Deferred foreign taxes payable | 419,490 |
Advisory fee payable | 77,306 |
Custodian fees payable | 3,708 |
Administration fees payable | 27,611 |
Trustees’ fees and expenses payable | 66 |
Transfer agent fees payable | 287 |
Registration and filing fees payable | 3,194 |
Professional fees payable | 22,609 |
Printing and postage fees payable | 5,929 |
Accrued expenses and other liabilities | 53,141 |
TOTAL LIABILITIES | 9,591,856 |
NET ASSETS | $688,481,556 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $584,212,648 |
Total distributable earnings (loss)** | 104,268,908 |
NET ASSETS | $688,481,556 |
Class K | |
Net Assets | $688,481,556 |
Shares Outstanding | 52,116,617 |
Net asset value, offering and redemption price per share | $13.21 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $554,056,727 |
Investments in affiliated issuers | 25,789,962 |
Total cost of investments | $579,846,689 |
Foreign currency, at cost | $2,589,772 |
* Includes investments in securities on loan, at value | $18,332,759 |
** Includes deferred foreign taxes | $419,489 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $12,743 |
Dividend income — unaffiliated issuers | 8,668,577 |
Dividend income — affiliated issuers | 246,661 |
Unaffiliated securities lending income | 59,424 |
Affiliated securities lending income | 49,538 |
Foreign taxes withheld | (952,575) |
TOTAL INVESTMENT INCOME (LOSS) | 8,084,368 |
EXPENSES | |
Advisory fee | 454,108 |
Administration fees | 162,181 |
License fees | 47,121 |
Custodian fees | 238,541 |
Trustees’ fees and expenses | 17,169 |
Transfer agent fees | 3,914 |
Registration and filing fees | 20,618 |
Professional fees | 28,398 |
Printing and postage fees | 10,020 |
Insurance expense | 1,718 |
Miscellaneous expenses | 19,785 |
TOTAL EXPENSES | 1,003,573 |
Expenses waived/reimbursed by the Adviser | (450,438) |
NET EXPENSES | 553,135 |
NET INVESTMENT INCOME (LOSS) | $7,531,233 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (6,831,400) |
Foreign currency transactions | (162,931) |
Futures contracts | (204,866) |
Net realized gain (loss) | (7,199,197) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | 59,285,405 |
Foreign currency translations | 8,740 |
Futures contracts | 927,446 |
Net change in unrealized appreciation/depreciation | 60,221,591 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 53,022,394 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $60,553,627 |
** Includes foreign deferred taxes | $39,210 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $7,531,233 | $14,391,895 | |
Net realized gain (loss) | (7,199,197) | (3,634,282) | |
Net change in unrealized appreciation/depreciation | 60,221,591 | (106,456,557) | |
Net increase (decrease) in net assets resulting from operations | 60,553,627 | (95,698,944) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (16,909,652) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 106,879,048 | 272,145,135 | |
Reinvestment of distributions | — | 16,751,324 | |
Cost of shares redeemed | (59,381,406) | (203,804,151) | |
Net increase (decrease) in net assets from beneficial interest transactions | 47,497,642 | 85,092,308 | |
Net increase (decrease) in net assets during the period | 108,051,269 | (27,516,288) | |
Net assets at beginning of period | 580,430,287 | 607,946,575 | |
NET ASSETS AT END OF PERIOD | $688,481,556 | $580,430,287 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 8,222,759 | 19,942,284 | |
Reinvestment of distributions | — | 1,413,614 | |
Shares redeemed | (4,636,423) | (14,873,414) | |
Net increase (decrease) from share transactions | 3,586,336 | 6,482,484 |
Class K | |||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $11.96 | $14.46 | $10.82 | $9.99 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.15 | 0.32 | 0.29 | 0.21 | 0.02 | ||||
Net realized and unrealized gain (loss) | 1.10 | (2.46) | 3.72 | 0.87 | (0.01) | ||||
Total from investment operations | 1.25 | (2.14) | 4.01 | 1.08 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.27) | (0.30) | (0.22) | (0.02) | ||||
Net realized gains | — | (0.09) | (0.07) | (0.03) | — | ||||
Total distributions | — | (0.36) | (0.37) | (0.25) | (0.02) | ||||
Net asset value, end of period | $13.21 | $11.96 | $14.46 | $10.82 | $9.99 | ||||
Total return (b) | 10.45% | (14.77)% | 37.19% | 10.81% | 0.14% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $688,482 | $580,430 | $607,947 | $374,808 | $165,807 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.31%(c) | 0.33% | 0.34% | 0.56% | 0.83%(c) | ||||
Net expenses | 0.17%(c) | 0.17% | 0.17% | 0.18% | 0.17%(c) | ||||
Net investment income (loss) | 2.32%(c) | 2.36% | 2.23% | 1.98% | 8.03%(c) | ||||
Portfolio turnover rate | 6%(d) | 7% | 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%. |
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 |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $576,675 | $— | $576,675 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(204,866) | $— | $(204,866) |
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 | $— | $— | $— | $927,446 | $— | $927,446 |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $80,563,048 | $34,923,796 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $579,846,689 | $149,673,248 | $38,632,702 | $111,040,546 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 18,332,759 | $ 8,669,023 | $ 10,741,822 | $ 19,410,845 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
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 | $8,669,023 | $— | $— | $— | $8,669,023 | $8,669,023 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Emerging Markets Equity Index Fund | 0.17% | $1,104.50 | $0.89 | $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. |
• | A report prepared by an independent third-party provider of investment company data, which includes for 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
13 |
% of Net Assets | |||
Common Stocks | 95.5% | ||
Short-Term Investment | 2.9 | ||
Other Assets in Excess of Liabilities | 1.6 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 29.4% | ||
Industrials | 19.1 | ||
Materials | 9.4 | ||
Information Technology | 8.9 | ||
Energy | 8.5 | ||
Health Care | 8.4 | ||
Consumer Discretionary | 6.1 | ||
Communication Services | 2.9 | ||
Consumer Staples | 2.8 | ||
Short-Term Investment | 2.9 | ||
Other Assets in Excess of Liabilities | 1.6 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.5% | |||||
AUSTRALIA — 2.9% | |||||
Woodside Petroleum, Ltd. | 2,033 | $51,873 | |||
CHINA — 11.2% | |||||
China Construction Bank Corp. Class H | 59,000 | 50,825 | |||
CITIC Securities Co., Ltd. Class H (a) | 27,000 | 56,264 | |||
PetroChina Co., Ltd. Class H | 74,000 | 40,824 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 9,400 | 49,512 | |||
197,425 | |||||
FRANCE — 11.8% | |||||
BNP Paribas SA | 1,076 | 51,177 | |||
Nexans SA | 1,656 | 55,670 | |||
Sanofi | 621 | 53,683 | |||
Societe Generale SA | 1,838 | 46,509 | |||
207,039 | |||||
GERMANY — 6.1% | |||||
Bayerische Motoren Werke AG | 714 | 52,925 | |||
HeidelbergCement AG | 678 | 54,943 | |||
107,868 | |||||
HONG KONG — 5.6% | |||||
Shanghai Industrial Holdings, Ltd. | 23,000 | 49,872 | |||
WH Group, Ltd. (b) | 48,500 | 49,167 | |||
99,039 | |||||
HUNGARY — 2.6% | |||||
Richter Gedeon Nyrt | 2,499 | 46,156 | |||
ITALY — 3.1% | |||||
Assicurazioni Generali SpA | 2,930 | 55,256 | |||
JAPAN — 17.7% | |||||
Hitachi High-Technologies Corp. | 1,000 | 51,420 | |||
KDDI Corp. | 2,000 | 50,928 | |||
Ono Pharmaceutical Co., Ltd. | 2,700 | 48,417 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,500 | 52,989 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 1,400 | 50,756 | |||
Zeon Corp. | 5,100 | 56,661 | |||
311,171 | |||||
NETHERLANDS — 2.3% | |||||
Boskalis Westminster | 1,773 | 41,008 | |||
SOUTH KOREA — 9.1% | |||||
Hyundai Motor Co. | 442 | 53,592 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,688 | 55,918 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 217 | 50,367 | |||
159,877 |
Security Description | Shares | Value | |||
SPAIN — 5.8% | |||||
Banco Bilbao Vizcaya Argentaria SA | 9,054 | $50,698 | |||
Siemens Gamesa Renewable Energy SA | 3,043 | 50,663 | |||
101,361 | |||||
SWITZERLAND — 5.7% | |||||
ABB, Ltd. | 2,349 | 47,197 | |||
Credit Suisse Group AG | 4,401 | 52,834 | |||
100,031 | |||||
TAIWAN — 2.9% | |||||
Catcher Technology Co., Ltd. | 7,000 | 50,146 | |||
UNITED KINGDOM — 5.7% | |||||
easyJet PLC | 3,490 | 42,338 | |||
TechnipFMC PLC | 2,225 | 57,265 | |||
99,603 | |||||
UNITED STATES — 3.0% | |||||
Newmont Goldcorp Corp. | 1,396 | 53,650 | |||
TOTAL COMMON STOCKS (Cost $1,686,555) | 1,681,503 |
SHORT-TERM INVESTMENT — 2.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $50,199) | 50,199 | 50,199 | |
TOTAL INVESTMENTS — 98.4% (Cost $1,736,754) | 1,731,702 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.6% | 28,744 | ||
NET ASSETS — 100.0% | $1,760,446 |
(a) | Non-income producing security. |
(b) | 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, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,681,503 | $— | $— | $1,681,503 | ||||
Short-Term Investment | 50,199 | — | — | 50,199 | ||||
TOTAL INVESTMENTS | $1,731,702 | $— | $— | $1,731,702 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $280,358 | $230,159 | $— | $— | 50,199 | $50,199 | $821 |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,681,503 |
Investments in affiliated issuers, at value | 50,199 |
Total Investments | 1,731,702 |
Foreign currency, at value | 16,984 |
Dividends receivable — unaffiliated issuers | 1,427 |
Dividends receivable — affiliated issuers | 154 |
Receivable from Adviser | 27,562 |
Receivable for foreign taxes recoverable | 3,308 |
TOTAL ASSETS | 1,781,137 |
LIABILITIES | |
Advisory fee payable | 1,051 |
Administration fees payable | 70 |
Trustees’ fees and expenses payable | 874 |
Transfer agent fees payable | 168 |
Registration and filing fees payable | 2,826 |
Professional fees payable | 15,527 |
Accrued expenses and other liabilities | 175 |
TOTAL LIABILITIES | 20,691 |
NET ASSETS | $1,760,446 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,000,000 |
Total distributable earnings (loss) | (239,554) |
NET ASSETS | $1,760,446 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $1,760,446 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $8.80 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,686,555 |
Investments in affiliated issuers | 50,199 |
Total cost of investments | $1,736,754 |
Foreign currency, at cost | $16,850 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $29,736 |
Dividend income — affiliated issuers | 821 |
Dividend income — non-cash transactions | 3,581 |
Foreign taxes withheld | (3,915) |
TOTAL INVESTMENT INCOME (LOSS) | 30,223 |
EXPENSES | |
Advisory fee | 6,465 |
Administration fees | 431 |
Custodian fees | 26,521 |
Trustees’ fees and expenses | 9,900 |
Transfer agent fees | 560 |
Registration and filing fees | 13,286 |
Professional fees | 28,513 |
Printing and postage fees | 5,036 |
Miscellaneous expenses | 3,924 |
TOTAL EXPENSES | 94,636 |
Expenses waived/reimbursed by the Adviser | (88,171) |
NET EXPENSES | 6,465 |
NET INVESTMENT INCOME (LOSS) | $23,758 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (104,441) |
Foreign currency transactions | 287 |
Net realized gain (loss) | (104,154) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 224,251 |
Foreign currency translations | (251) |
Net change in unrealized appreciation/depreciation | 224,000 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 119,846 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $143,604 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $23,758 | $42,474 | |
Net realized gain (loss) | (104,154) | 143,121 | |
Net change in unrealized appreciation/depreciation | 224,000 | (675,620) | |
Net increase (decrease) in net assets resulting from operations | 143,604 | (490,025) | |
Distributions to shareholders | — | (405,520) | |
Net increase (decrease) in net assets during the period | 143,604 | (895,545) | |
Net assets at beginning of period | 1,616,842 | 2,512,387 | |
NET ASSETS AT END OF PERIOD | $1,760,446 | $1,616,842 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | — | |
Shares redeemed | — | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 7/14/16* - 12/31/16 | ||||
Net asset value, beginning of period | $8.08 | $12.56 | $11.25 | $10.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.12 | 0.21 | 0.24 | 0.02 | |||
Net realized and unrealized gain (loss) | 0.60 | (2.66) | 2.56 | 1.44 | |||
Total from investment operations | 0.72 | (2.45) | 2.80 | 1.46 | |||
Distributions to shareholders from: | |||||||
Net investment income | — | (0.22) | (0.24) | (0.02) | |||
Net realized gains | — | (1.81) | (1.25) | (0.19) | |||
Total distributions | — | (2.03) | (1.49) | (0.21) | |||
Net asset value, end of period | $8.80 | $8.08 | $12.56 | $11.25 | |||
Total return (b) | 8.91% | (19.32)% | 25.03% | 14.57% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,760 | $1,617 | $2,512 | $2,250 | |||
Ratios to average net assets: | |||||||
Total expenses | 10.98%(c) | 7.58% | 7.26% | 7.76%(c) | |||
Net expenses | 0.75%(c) | 0.75% | 0.75% | 0.75%(c) | |||
Net investment income (loss) | 2.76%(c) | 1.76% | 1.86% | 0.44%(c) | |||
Portfolio turnover rate | 23%(d) | 63% | 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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street International Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced July 14, 2016 | Non-diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street International Value Spotlight Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street International Value Spotlight Fund | $378,540 | $440,740 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,755,719 | $120,685 | $144,702 | $(24,017) |
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 Value Spotlight Fund | 0.75% | $1,089.10 | $3.88 | $1,021.10 | $3.76 |
(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. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Advisers with respect to the Fund and (b) affiliates of the Advisers that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Advisers, including their 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 Advisers and their affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Advisers; |
• | A copy of the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Advisers to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Advisers' 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 Advisers; and |
• | Information regarding the Advisers’ 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, 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 Sub-Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Advisers, State Street and the Distributor with respect to the Fund providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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 |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
9 | |
10 | |
11 | |
Schedules of Investments (Unaudited) | |
12 | |
14 | |
16 | |
18 | |
20 | |
22 | |
24 | |
26 | |
28 | |
30 | |
32 | |
34 | |
43 | |
65 | |
72 |
% of Net Assets | |||
Domestic Fixed Income | 46.7% | ||
Domestic Equity | 20.0 | ||
Inflation Linked | 18.0 | ||
International Equity | 10.1 | ||
Real Estate | 5.0 | ||
Short Term Investments | 10.2 | ||
Liabilities in Excess of Other Assets | (10.0) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 44.7% | ||
Domestic Equity | 20.8 | ||
Inflation Linked | 18.7 | ||
International Equity | 10.6 | ||
Real Estate | 5.0 | ||
Short Term Investments | 8.7 | ||
Liabilities in Excess of Other Assets | (8.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 33.2% | ||
Domestic Equity | 28.4 | ||
Inflation Linked | 17.7 | ||
International Equity | 15.7 | ||
Real Estate | 4.8 | ||
Short Term Investments | 4.7 | ||
Liabilities in Excess of Other Assets | (4.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 37.2% | ||
Domestic Fixed Income | 29.1 | ||
International Equity | 22.0 | ||
Inflation Linked | 9.2 | ||
Real Estate | 2.2 | ||
Short Term Investments | 4.8 | ||
Liabilities in Excess of Other Assets | (4.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 43.7% | ||
Domestic Fixed Income | 26.7 | ||
International Equity | 26.6 | ||
Inflation Linked | 2.7 | ||
Short Term Investments | 3.5 | ||
Liabilities in Excess of Other Assets | (3.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 48.1% | ||
International Equity | 29.6 | ||
Domestic Fixed Income | 21.5 | ||
Inflation Linked | 0.4 | ||
Short Term Investments | 0.9 | ||
Liabilities in Excess of Other Assets | (0.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.6% | ||
International Equity | 31.8 | ||
Domestic Fixed Income | 16.2 | ||
Short Term Investments | 0.2 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 54.5% | ||
International Equity | 33.8 | ||
Domestic Fixed Income | 11.2 | ||
Short Term Investments | 0.2 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 55.4% | ||
International Equity | 34.3 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 0.2 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 55.4% | ||
International Equity | 34.3 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 0.2 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 55.1% | ||
International Equity | 34.2 | ||
Domestic Fixed Income | 9.6 | ||
Short Term Investments | 0.2 | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 20.0% | ||||||
State Street Equity 500 Index II Portfolio | 2,762,854 | $38,541,806 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 599,081 | 7,386,671 | ||||
45,928,477 | ||||||
DOMESTIC FIXED INCOME — 46.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 147,030 | 16,017,448 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 296,637 | 9,130,487 | ||||
SPDR Portfolio Short Term Treasury ETF | 1,201,538 | 36,046,140 | ||||
State Street Aggregate Bond Index Portfolio | 4,493,784 | 45,746,719 | ||||
106,940,794 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,099,825 | 41,125,073 | ||||
INTERNATIONAL EQUITY — 10.1% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,261,682 | 23,227,478 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF | 230,885 | 11,521,162 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $223,441,862) | 228,742,984 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 10.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 530,170 | $530,170 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 22,888,894 | 22,888,894 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,419,064) | $23,419,064 | |||||
TOTAL INVESTMENTS—110.0% (Cost $246,860,926) | 252,162,048 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(10.0)% | (22,848,535) | |||||
NET ASSETS—100.0% | $229,313,513 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $228,742,984 | $— | $— | $228,742,984 | ||||
Short-Term Investments | 23,419,064 | — | — | 23,419,064 | ||||
TOTAL INVESTMENTS | $252,162,048 | $— | $— | $252,162,048 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,874,241 | $35,366,928 | $5,678,846 | $1,344,291 | $(16,810) | $1,440,400 | 2,099,825 | $41,125,073 | $470,050 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 408,730 | 13,729,241 | 4,642,061 | 3,487,210 | (189,334) | 1,322,690 | 147,030 | 16,017,448 | 361,691 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 222,345 | 9,840,990 | 1,851,371 | 1,431,273 | (12,816) | 1,272,890 | 230,885 | 11,521,162 | 160,012 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 260,343 | 7,846,738 | 1,671,145 | 564,412 | (3,142) | 180,158 | 296,637 | 9,130,487 | 102,803 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 1,046,385 | 30,952,068 | 7,080,834 | 2,469,129 | (19,982) | 502,349 | 1,201,538 | 36,046,140 | 342,134 | ||||||||
State Street Aggregate Bond Index Portfolio | 4,053,942 | 39,363,780 | 6,338,368 | 2,009,341 | (20,374) | 2,074,286 | 4,493,784 | 45,746,719 | 522,698 | ||||||||
State Street Equity 500 Index II Portfolio | 2,948,627 | 34,705,348 | 3,547,634 | 5,916,098 | (90,233) | 6,295,155 | 2,762,854 | 38,541,806 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,272,730 | 20,500,023 | 2,400,196 | 2,486,003 | (206,031) | 3,019,293 | 2,261,682 | 23,227,478 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 689,450 | 689,450 | 29,692,307 | 29,851,587 | — | — | 530,170 | 530,170 | 7,742 | ||||||||
State Street Navigator Securities Lending Portfolio II | 15,212,002 | 15,212,002 | 144,587,025 | 136,910,133 | — | — | 22,888,894 | 22,888,894 | 62,267 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 638,270 | 6,580,561 | 700,001 | 1,135,000 | (43,662) | 1,284,771 | 599,081 | 7,386,671 | — | ||||||||
Total | $214,787,129 | $208,189,788 | $187,604,477 | $(602,384) | $17,391,992 | $252,162,048 | $2,029,397 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 20.8% | ||||||
State Street Equity 500 Index II Portfolio | 3,506,238 | $48,912,025 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 737,726 | 9,096,161 | ||||
58,008,186 | ||||||
DOMESTIC FIXED INCOME — 44.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 178,886 | 19,487,841 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 316,060 | 9,728,327 | ||||
SPDR Portfolio Short Term Treasury ETF | 1,276,812 | 38,304,360 | ||||
State Street Aggregate Bond Index Portfolio | 5,604,303 | 57,051,799 | ||||
124,572,327 | ||||||
INFLATION LINKED — 18.7% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,661,638 | 52,128,180 | ||||
INTERNATIONAL EQUITY — 10.6% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,886,571 | 29,645,088 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF | 280,765 | 14,010,174 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $271,020,526) | 278,363,955 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 8.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 469,552 | $469,552 | ||||
State Street Navigator Securities Lending Portfolio II (c)(e) | 23,739,669 | 23,739,669 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,209,221) | $24,209,221 | |||||
TOTAL INVESTMENTS—108.5% (Cost $295,229,747) | 302,573,176 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(8.5)% | (23,701,344) | |||||
NET ASSETS—100.0% | $278,871,832 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(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 | $278,363,955 | $— | $— | $278,363,955 | ||||
Short-Term Investments | 24,209,221 | — | — | 24,209,221 | ||||
TOTAL INVESTMENTS | $302,573,176 | $— | $— | $302,573,176 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,595,101 | $48,969,556 | $5,645,505 | $4,394,425 | $(70,639) | $1,978,183 | 2,661,638 | $52,128,180 | $613,264 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 522,395 | 17,547,248 | 2,978,030 | 2,481,162 | (82,658) | 1,526,383 | 178,886 | 19,487,841 | 453,042 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 283,875 | 12,564,308 | 1,824,344 | 2,003,658 | 44,923 | 1,580,257 | 280,765 | 14,010,174 | 195,999 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 249,519 | 7,520,503 | 2,515,971 | 479,846 | (2,866) | 174,565 | 316,060 | 9,728,327 | 101,248 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 999,092 | 29,553,141 | 12,137,068 | 3,849,611 | (61,133) | 524,895 | 1,276,812 | 38,304,360 | 335,963 | ||||||||
State Street Aggregate Bond Index Portfolio | 5,441,118 | 52,833,258 | 5,988,562 | 4,429,125 | 4,394 | 2,654,710 | 5,604,303 | 57,051,799 | 679,257 | ||||||||
State Street Equity 500 Index II Portfolio | 4,104,579 | 48,310,895 | 2,699,063 | 10,597,871 | 906,096 | 7,593,842 | 3,506,238 | 48,912,025 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 3,193,822 | 28,808,277 | 2,009,881 | 5,060,526 | 499,117 | 3,388,339 | 2,886,571 | 29,645,088 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,054,483 | 1,054,483 | 32,238,592 | 32,823,523 | — | — | 469,552 | 469,552 | 8,069 | ||||||||
State Street Navigator Securities Lending Portfolio II | 16,185,625 | 16,185,625 | 202,059,222 | 194,505,178 | — | — | 23,739,669 | 23,739,669 | 78,513 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 834,650 | 8,605,234 | 430,000 | 1,560,000 | 117,155 | 1,503,772 | 737,726 | 9,096,161 | — | ||||||||
Total | $271,952,528 | $270,526,238 | $262,184,925 | $1,354,389 | $20,924,946 | $302,573,176 | $2,465,355 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 28.4% | ||||||
State Street Equity 500 Index II Portfolio | 16,537,578 | $230,699,211 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 3,767,914 | 46,458,375 | ||||
277,157,586 | ||||||
DOMESTIC FIXED INCOME — 33.2% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 603,256 | 65,718,709 | ||||
SPDR Portfolio Long Term Treasury ETF | 127,787 | 4,876,352 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 78,953 | 2,430,173 | ||||
SPDR Portfolio Short Term Treasury ETF | 258,866 | 7,765,980 | ||||
State Street Aggregate Bond Index Portfolio | 23,902,272 | 243,325,132 | ||||
324,116,346 | ||||||
INFLATION LINKED — 17.7% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 8,811,620 | 172,575,578 | ||||
INTERNATIONAL EQUITY — 15.7% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 14,965,486 | 153,695,546 | ||||
REAL ESTATE — 4.8% | ||||||
SPDR Dow Jones Global Real Estate ETF | 932,177 | 46,515,632 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $931,325,681) | 974,060,688 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 4.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 1,233,517 | $1,233,517 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 44,887,955 | 44,887,955 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $46,121,472) | $46,121,472 | |||||
TOTAL INVESTMENTS—104.5% (Cost $977,447,153) | 1,020,182,160 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.5)% | (44,363,757) | |||||
NET ASSETS—100.0% | $975,818,403 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $974,060,688 | $— | $— | $974,060,688 | ||||
Short-Term Investments | 46,121,472 | — | — | 46,121,472 | ||||
TOTAL INVESTMENTS | $1,020,182,160 | $— | $— | $1,020,182,160 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,629,950 | $143,977,157 | $28,319,949 | $5,610,633 | $(129,118) | $6,018,223 | 8,811,620 | $172,575,578 | $1,951,882 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,590,079 | 53,410,754 | 14,514,997 | 6,724,569 | (176,121) | 4,693,648 | 603,256 | 65,718,709 | 1,454,914 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 837,065 | 37,048,497 | 11,294,457 | 6,714,789 | 187,726 | 4,699,741 | 932,177 | 46,515,632 | 622,740 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 189,337 | 6,634,368 | 669,547 | 2,952,579 | (13,836) | 538,852 | 127,787 | 4,876,352 | 67,374 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | — | — | 2,421,004 | — | — | 9,169 | 78,953 | 2,430,173 | 8,601 | ||||||||
SPDR Portfolio Short Term Treasury ETF | — | — | 7,770,029 | 40,019 | (48) | 36,018 | 258,866 | 7,765,980 | 29,062 | ||||||||
State Street Aggregate Bond Index Portfolio | 21,231,286 | 206,155,787 | 34,521,068 | 8,262,945 | (54,746) | 10,965,968 | 23,902,272 | 243,325,132 | 2,788,832 | ||||||||
State Street Equity 500 Index II Portfolio | 17,924,338 | 210,969,455 | 15,374,156 | 33,930,878 | 4,398,400 | 33,888,078 | 16,537,578 | 230,699,211 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 15,432,561 | 139,201,704 | 11,365,529 | 16,182,282 | 1,782,179 | 17,528,416 | 14,965,486 | 153,695,546 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,856,701 | 3,856,701 | 92,429,069 | 95,052,253 | — | — | 1,233,517 | 1,233,517 | 27,943 | ||||||||
State Street Navigator Securities Lending Portfolio II | 42,621,043 | 42,621,043 | 300,319,613 | 298,052,701 | — | — | 44,887,955 | 44,887,955 | 149,452 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 4,208,975 | 43,394,534 | 2,730,000 | 7,949,379 | 684,533 | 7,598,687 | 3,767,914 | 46,458,375 | — | ||||||||
Total | $887,270,000 | $521,729,418 | $481,473,027 | $6,678,969 | $85,976,800 | $1,020,182,160 | $7,100,800 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 37.2% | ||||||
State Street Equity 500 Index II Portfolio | 26,351,725 | $367,606,566 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,251,464 | 89,410,547 | ||||
457,017,113 | ||||||
DOMESTIC FIXED INCOME — 29.1% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 673,773 | 73,400,831 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,702,469 | 64,966,217 | ||||
State Street Aggregate Bond Index Portfolio | 21,607,312 | 219,962,431 | ||||
358,329,479 | ||||||
INFLATION LINKED — 9.2% | ||||||
SPDR Bloomberg Barclays TIPS ETF | 1,994,760 | 112,883,468 | ||||
INTERNATIONAL EQUITY — 22.0% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 26,287,701 | 269,974,691 | ||||
REAL ESTATE — 2.2% | ||||||
SPDR Dow Jones Global Real Estate ETF | 555,176 | 27,703,282 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,162,923,301) | 1,225,908,033 | |||||
SHORT-TERM INVESTMENTS — 4.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 3,197,560 | 3,197,560 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 55,993,683 | $55,993,683 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $59,191,243) | $59,191,243 | ||||
TOTAL INVESTMENTS—104.5% (Cost $1,222,114,544) | 1,285,099,276 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.5)% | (55,509,278) | ||||
NET ASSETS—100.0% | $1,229,589,998 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $1,225,908,033 | $— | $— | $1,225,908,033 | ||||
Short-Term Investments | 59,191,243 | — | �� | — | 59,191,243 | |||
TOTAL INVESTMENTS | $1,285,099,276 | $— | $— | $1,285,099,276 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,726,491 | $57,992,833 | $15,919,102 | $5,500,760 | $(145,818) | $5,135,474 | 673,773 | $73,400,831 | $1,621,712 | ||||||||
SPDR Bloomberg Barclays TIPS ETF | 1,525,330 | 82,200,034 | 31,358,775 | 5,351,488 | (171,557) | 4,847,704 | 1,994,760 | 112,883,468 | 1,259,866 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 437,542 | 19,365,609 | 10,826,343 | 5,069,883 | 203,405 | 2,377,808 | 555,176 | 27,703,282 | 349,971 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,615,726 | 56,615,039 | 20,330,147 | 17,639,585 | 561,282 | 5,099,334 | 1,702,469 | 64,966,217 | 722,160 | ||||||||
State Street Aggregate Bond Index Portfolio | 16,976,734 | 164,844,088 | 51,752,024 | 5,892,988 | (137,040) | 9,396,347 | 21,607,311 | 219,962,431 | 2,361,012 | ||||||||
State Street Equity 500 Index II Portfolio | 26,638,196 | 313,531,564 | 36,470,904 | 40,561,349 | 5,567,661 | 52,597,786 | 26,351,725 | 367,606,566 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,109,397 | 226,486,759 | 29,981,918 | 18,675,738 | 2,367,314 | 29,814,438 | 26,287,701 | 269,974,691 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,371,562 | 3,371,562 | 127,218,264 | 127,392,266 | — | — | 3,197,560 | 3,197,560 | 41,019 | ||||||||
State Street Navigator Securities Lending Portfolio II | 37,759,701 | 37,759,701 | 324,409,369 | 306,175,387 | — | — | 55,993,683 | 55,993,683 | 186,417 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,387,038 | 76,160,363 | 9,387,860 | 10,900,000 | 1,081,118 | 13,681,206 | 7,251,464 | 89,410,547 | — | ||||||||
Total | $1,038,327,552 | $657,654,706 | $543,159,444 | $9,326,365 | $122,950,097 | $1,285,099,276 | $6,542,157 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 43.7% | ||||||
State Street Equity 500 Index II Portfolio | 29,225,216 | $407,691,757 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 9,433,478 | 116,314,791 | ||||
524,006,548 | ||||||
DOMESTIC FIXED INCOME — 26.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 415,631 | 45,278,841 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 3,069,158 | 117,119,069 | ||||
State Street Aggregate Bond Index Portfolio | 15,516,371 | 157,956,655 | ||||
320,354,565 | ||||||
INFLATION LINKED — 2.7% | ||||||
SPDR Bloomberg Barclays TIPS ETF | 568,699 | 32,182,676 | ||||
INTERNATIONAL EQUITY — 26.6% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 31,149,286 | 319,903,165 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,119,900,010) | 1,196,446,954 | |||||
SHORT-TERM INVESTMENTS — 3.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 2,029,636 | 2,029,636 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 39,921,891 | $39,921,891 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $41,951,527) | $41,951,527 | ||||
TOTAL INVESTMENTS—103.2% (Cost $1,161,851,537) | 1,238,398,481 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(3.2)% | (38,035,046) | ||||
NET ASSETS—100.0% | $1,200,363,435 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $1,196,446,954 | $— | $— | $1,196,446,954 | ||||
Short-Term Investments | 41,951,527 | — | — | 41,951,527 | ||||
TOTAL INVESTMENTS | $1,238,398,481 | $— | $— | $1,238,398,481 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 956,744 | $32,137,031 | $11,235,072 | $900,585 | $(9,133) | $2,816,456 | 415,631 | $45,278,841 | $940,045 | ||||||||
SPDR Bloomberg Barclays TIPS ETF | 426,260 | 22,971,151 | 8,486,012 | 600,277 | (29,843) | 1,355,633 | 568,699 | 32,182,676 | 359,724 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,593,665 | 90,882,022 | 46,336,411 | 29,646,732 | 566,679 | 8,980,689 | 3,069,158 | 117,119,069 | 1,216,694 | ||||||||
State Street Aggregate Bond Index Portfolio | 12,335,296 | 119,775,729 | 35,116,109 | 3,730,000 | (122,407) | 6,917,224 | 15,516,371 | 157,956,655 | 1,729,130 | ||||||||
State Street Equity 500 Index II Portfolio | 28,381,227 | 334,047,047 | 42,009,082 | 31,264,240 | 5,018,103 | 57,881,765 | 29,225,216 | 407,691,757 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 28,504,335 | 257,109,098 | 39,839,072 | 14,091,280 | 1,790,633 | 35,255,642 | 31,149,286 | 319,903,165 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,882,987 | 3,882,987 | 119,395,615 | 121,248,966 | — | — | 2,029,636 | 2,029,636 | 41,638 | ||||||||
State Street Navigator Securities Lending Portfolio II | 19,640,778 | 19,640,778 | 293,803,887 | 273,522,774 | — | — | 39,921,891 | 39,921,891 | 121,790 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 9,299,159 | 95,874,330 | 13,400,000 | 11,701,550 | 1,743,888 | 16,998,123 | 9,433,478 | 116,314,791 | — | ||||||||
Total | $976,320,173 | $609,621,260 | $486,706,404 | $8,957,920 | $130,205,532 | $1,238,398,481 | $4,409,021 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 48.1% | ||||||
State Street Equity 500 Index II Portfolio | 25,971,109 | $362,296,970 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 9,625,256 | 118,679,411 | ||||
480,976,381 | ||||||
DOMESTIC FIXED INCOME — 21.5% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 75,007 | 8,171,263 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,548,372 | 97,245,875 | ||||
State Street Aggregate Bond Index Portfolio | 10,700,854 | 108,934,693 | ||||
214,351,831 | ||||||
INFLATION LINKED — 0.4% | ||||||
SPDR Bloomberg Barclays TIPS ETF | 74,303 | 4,204,807 | ||||
INTERNATIONAL EQUITY — 29.6% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 28,778,848 | 295,558,767 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $934,540,675) | 995,091,786 | |||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 2,008,134 | 2,008,134 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 6,664,543 | $6,664,543 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,672,677) | $8,672,677 | ||||
TOTAL INVESTMENTS—100.5% (Cost $943,213,352) | 1,003,764,463 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.5)% | (4,815,437) | ||||
NET ASSETS—100.0% | $998,949,026 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $995,091,786 | $— | $— | $995,091,786 | ||||
Short-Term Investments | 8,672,677 | — | — | 8,672,677 | ||||
TOTAL INVESTMENTS | $1,003,764,463 | $— | $— | $1,003,764,463 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 113,039 | $3,796,980 | $4,142,020 | $110,053 | $92 | $342,224 | 75,007 | $8,171,263 | $130,170 | ||||||||
SPDR Bloomberg Barclays TIPS ETF | — | — | 4,168,509 | — | — | 36,298 | 74,303 | 4,204,807 | 24,463 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,142,736 | 75,081,469 | 36,969,646 | 22,702,208 | 213,811 | 7,683,157 | 2,548,372 | 97,245,875 | 1,005,399 | ||||||||
State Street Aggregate Bond Index Portfolio | 8,623,437 | 83,733,570 | 23,391,113 | 2,920,000 | (10,620) | 4,740,630 | 10,700,854 | 108,934,693 | 1,202,755 | ||||||||
State Street Equity 500 Index II Portfolio | 25,094,581 | 295,363,217 | 36,230,443 | 24,855,454 | 4,022,279 | 51,536,485 | 25,971,109 | 362,296,970 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 26,185,518 | 236,193,372 | 35,644,906 | 10,329,752 | 1,349,171 | 32,701,070 | 28,778,848 | 295,558,767 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,267,995 | 3,267,995 | 102,762,796 | 104,022,657 | — | — | 2,008,134 | 2,008,134 | 30,754 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 32,124,228 | 25,459,685 | — | — | 6,664,543 | 6,664,543 | 8,060 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 9,409,735 | 97,014,373 | 13,060,000 | 10,380,000 | 1,525,414 | 17,459,624 | 9,625,256 | 118,679,411 | — | ||||||||
Total | $794,450,976 | $288,493,661 | $200,779,809 | $7,100,147 | $114,499,488 | $1,003,764,463 | $2,401,601 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 51.6% | ||||||
State Street Equity 500 Index II Portfolio | 21,910,115 | $305,646,100 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 9,368,074 | 115,508,349 | ||||
421,154,449 | ||||||
DOMESTIC FIXED INCOME — 16.2% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,081,158 | 79,416,990 | ||||
State Street Aggregate Bond Index Portfolio | 5,163,293 | 52,562,325 | ||||
131,979,315 | ||||||
INTERNATIONAL EQUITY — 31.8% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,320,661 | 260,043,190 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $758,523,444) | 813,176,954 | |||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 1,628,708 | 1,628,708 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 11,700 | $11,700 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,640,408) | $1,640,408 | ||||
TOTAL INVESTMENTS—99.8% (Cost $760,163,852) | 814,817,362 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 1,333,545 | ||||
NET ASSETS—100.0% | $816,150,907 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $813,176,954 | $— | $— | $813,176,954 | ||||
Short-Term Investments | 1,640,408 | — | — | 1,640,408 | ||||
TOTAL INVESTMENTS | $814,817,362 | $— | $— | $814,817,362 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,703,593 | $59,693,899 | $28,462,796 | $15,152,075 | $337,966 | $6,074,404 | 2,081,158 | $79,416,990 | $813,397 | ||||||||
State Street Aggregate Bond Index Portfolio | 3,740,116 | 36,316,524 | 15,073,447 | 960,000 | (3,974) | 2,136,328 | 5,163,293 | 52,562,325 | 544,530 | ||||||||
State Street Equity 500 Index II Portfolio | 20,572,466 | 242,137,916 | 33,150,645 | 15,688,895 | 2,513,386 | 43,533,048 | 21,910,115 | 305,646,100 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 22,354,298 | 201,635,770 | 34,618,316 | 5,639,591 | 787,272 | 28,641,423 | 25,320,661 | 260,043,190 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,484,650 | 2,484,650 | 83,526,653 | 84,382,595 | — | — | 1,628,708 | 1,628,708 | 26,717 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 2,934,250 | 2,922,550 | — | — | 11,700 | 11,700 | 326 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,860,607 | 91,352,859 | 14,170,122 | 8,063,304 | 1,267,494 | 16,781,178 | 9,368,074 | 115,508,349 | — | ||||||||
Total | $633,621,618 | $211,936,229 | $132,809,010 | $4,902,144 | $97,166,381 | $814,817,362 | $1,384,970 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 54.5% | ||||||
State Street Equity 500 Index II Portfolio | 16,828,506 | $234,757,659 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 8,286,200 | 102,168,839 | ||||
336,926,498 | ||||||
DOMESTIC FIXED INCOME — 11.2% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,573,194 | 60,033,083 | ||||
State Street Aggregate Bond Index Portfolio | 900,575 | 9,167,856 | ||||
69,200,939 | ||||||
INTERNATIONAL EQUITY — 33.8% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 20,338,035 | 208,871,618 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $579,228,556) | 614,999,055 | |||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 1,058,889 | 1,058,889 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 23,400 | $23,400 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,082,289) | $1,082,289 | ||||
TOTAL INVESTMENTS—99.7% (Cost $580,310,845) | 616,081,344 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.3% | 1,758,389 | ||||
NET ASSETS—100.0% | $617,839,733 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | 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 | $614,999,055 | $— | $— | $614,999,055 | ||||
Short-Term Investments | 1,082,289 | — | — | 1,082,289 | ||||
TOTAL INVESTMENTS | $616,081,344 | $— | $— | $616,081,344 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,242,947 | $43,552,863 | $22,108,930 | $10,467,348 | $99,620 | $4,739,018 | 1,573,194 | $60,033,083 | $606,727 | ||||||||
State Street Aggregate Bond Index Portfolio | 454,389 | 4,412,120 | 4,561,457 | 100,000 | 910 | 293,369 | 900,575 | 9,167,856 | 76,457 | ||||||||
State Street Equity 500 Index II Portfolio | 15,289,570 | 179,958,234 | 30,665,429 | 10,482,563 | 1,766,795 | 32,849,764 | 16,828,506 | 234,757,659 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 17,325,315 | 156,274,342 | 33,528,257 | 4,029,087 | 560,669 | 22,537,437 | 20,338,035 | 208,871,618 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,500,610 | 2,500,610 | 71,086,440 | 72,528,161 | — | — | 1,058,889 | 1,058,889 | 21,012 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 8,157,675 | 8,134,275 | — | — | 23,400 | 23,400 | 1,023 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,565,066 | 77,995,834 | 14,886,788 | 6,262,530 | 902,724 | 14,646,023 | 8,286,200 | 102,168,839 | — | ||||||||
Total | $464,694,003 | $184,994,976 | $112,003,964 | $3,330,718 | $75,065,611 | $616,081,344 | $705,219 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 55.4% | ||||||
State Street Equity 500 Index II Portfolio | 11,366,476 | $158,562,344 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 5,816,801 | 71,721,150 | ||||
230,283,494 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,057,312 | 40,347,026 | ||||
INTERNATIONAL EQUITY — 34.3% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 13,917,926 | 142,937,106 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $386,741,927) | 413,567,626 | |||||
SHORT-TERM INVESTMENT — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $654,945) | 654,946 | 654,946 | ||||
TOTAL INVESTMENTS—99.6% (Cost $387,396,872) | 414,222,572 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.4% | 1,681,746 | |||||
NET ASSETS—100.0% | $415,904,318 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 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, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
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 | $413,567,626 | $— | $— | $413,567,626 | ||||
Short-Term Investment | 654,946 | — | — | 654,946 | ||||
TOTAL INVESTMENTS | $414,222,572 | $— | $— | $414,222,572 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 798,634 | $27,984,136 | $15,462,395 | $6,287,125 | $163,003 | $3,024,617 | 1,057,312 | $40,347,026 | $397,007 | ||||||||
State Street Equity 500 Index II Portfolio | 9,869,800 | 116,167,543 | 25,395,492 | 5,595,118 | 930,350 | 21,664,077 | 11,366,476 | 158,562,344 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 11,275,750 | 101,707,269 | 28,108,613 | 2,133,678 | 282,111 | 14,972,791 | 13,917,926 | 142,937,106 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,877,322 | 1,877,322 | 57,174,918 | 58,397,294 | — | — | 654,946 | 654,946 | 14,897 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 4,323,600 | 4,323,600 | — | — | — | — | 1,073 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,027,392 | 51,832,413 | 13,042,035 | 3,587,122 | 571,675 | 9,862,149 | 5,816,801 | 71,721,150 | — | ||||||||
Total | $299,568,683 | $143,507,053 | $80,323,937 | $1,947,139 | $49,523,634 | $414,222,572 | $412,977 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 55.4% | ||||||
State Street Equity 500 Index II Portfolio | 5,549,301 | $77,412,756 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 2,844,643 | 35,074,446 | ||||
112,487,202 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF | 516,562 | 19,712,006 | ||||
INTERNATIONAL EQUITY — 34.3% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 6,792,068 | 69,754,538 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $192,058,587) | 201,953,746 | |||||
SHORT-TERM INVESTMENT — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $425,777) | 425,777 | 425,777 | ||||
TOTAL INVESTMENTS—99.6% (Cost $192,484,364) | 202,379,523 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.4% | 820,894 | |||||
NET ASSETS—100.0% | $203,200,417 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 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, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
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 | $201,953,746 | $— | $— | $201,953,746 | ||||
Short-Term Investment | 425,777 | — | — | 425,777 | ||||
TOTAL INVESTMENTS | $202,379,523 | $— | $— | $202,379,523 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 352,151 | $12,339,371 | $8,712,258 | $2,886,612 | $(34,658) | $1,581,647 | 516,562 | $19,712,006 | $186,177 | ||||||||
State Street Equity 500 Index II Portfolio | 4,350,416 | 51,204,388 | 18,512,242 | 2,646,405 | 388,486 | 9,954,045 | 5,549,301 | 77,412,756 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 4,970,244 | 44,831,602 | 19,062,558 | 1,094,301 | 130,150 | 6,824,529 | 6,792,068 | 69,754,538 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 991,215 | 991,215 | 38,748,884 | 39,314,322 | — | — | 425,777 | 425,777 | 8,436 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 447,350 | 447,350 | — | — | — | — | 41 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,215,930 | 22,846,240 | 9,070,001 | 1,540,000 | 177,783 | 4,520,422 | 2,844,643 | 35,074,446 | — | ||||||||
Total | $132,212,816 | $94,553,293 | $47,928,990 | $661,761 | $22,880,643 | $202,379,523 | $194,654 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.9% (a) | ||||||
DOMESTIC EQUITY — 55.1% | ||||||
State Street Equity 500 Index II Portfolio | 1,269,160 | $17,704,786 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 650,190 | 8,016,838 | ||||
25,721,624 | ||||||
DOMESTIC FIXED INCOME — 9.6% | ||||||
SPDR Portfolio Long Term Treasury ETF | 118,132 | 4,507,917 | ||||
INTERNATIONAL EQUITY — 34.2% | ||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,554,088 | 15,960,483 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $44,508,730) | 46,190,024 | |||||
SHORT-TERM INVESTMENT — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $76,329) | 76,329 | 76,329 | ||||
TOTAL INVESTMENTS—99.1% (Cost $44,585,059) | 46,266,353 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.9% | 433,260 | |||||
NET ASSETS—100.0% | $46,699,613 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 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, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
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 | $46,190,024 | $— | $— | $46,190,024 | ||||
Short-Term Investment | 76,329 | — | — | 76,329 | ||||
TOTAL INVESTMENTS | $46,266,353 | $— | $— | $46,266,353 |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 69,105 | $2,421,439 | $7,515,797 | $5,770,975 | $132,951 | $208,705 | 118,132 | $4,507,917 | $40,830 | ||||||||
State Street Equity 500 Index II Portfolio | 852,220 | 10,030,631 | 7,911,325 | 2,454,614 | 90,397 | 2,127,047 | 1,269,160 | 17,704,786 | — | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 974,192 | 8,787,215 | 7,725,400 | 2,045,741 | (48,726) | 1,542,335 | 1,554,088 | 15,960,483 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 355,295 | 355,295 | 16,813,703 | 17,092,669 | — | — | 76,329 | 76,329 | 2,829 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 3,516,975 | 3,516,975 | — | — | — | — | 226 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 434,259 | 4,477,205 | 3,777,851 | 1,217,629 | 23,943 | 955,468 | 650,190 | 8,016,838 | — | ||||||||
Total | $26,071,785 | $47,261,051 | $32,098,603 | $198,565 | $4,833,555 | $46,266,353 | $43,885 |
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* | $252,162,048 | $302,573,176 | $1,020,182,160 | $1,285,099,276 | |||
Cash | 13 | 13 | 506 | 51 | |||
Receivable for investments sold | 630,039 | 4,231,192 | 10,211,889 | 13,216,855 | |||
Receivable for fund shares sold | 137,844 | 234,492 | 260,133 | 1,220,928 | |||
Dividends receivable — affiliated issuers | 937 | 1,175 | 4,891 | 8,054 | |||
Securities lending income receivable — unaffiliated issuers | — | — | — | 1,854 | |||
Securities lending income receivable — affiliated issuers | 6,373 | 8,361 | 9,138 | 9,538 | |||
Receivable from Adviser | 69,187 | 68,381 | 135,707 | 142,452 | |||
TOTAL ASSETS | 253,006,441 | 307,116,790 | 1,030,804,424 | 1,299,699,008 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 22,888,894 | 23,739,669 | 44,887,955 | 55,993,683 | |||
Payable for investments purchased | 716,855 | 4,236,148 | 9,542,000 | 13,924,001 | |||
Payable for fund shares repurchased | 30,153 | 208,077 | 429,457 | 43,981 | |||
Advisory fee payable | 9,344 | 11,358 | 39,497 | 49,369 | |||
Custodian fees payable | 3,818 | 4,857 | 5,009 | 5,221 | |||
Administration fees payable | 9,517 | 11,596 | 39,885 | 49,693 | |||
Trustees’ fees and expenses payable | 57 | 53 | 77 | 81 | |||
Transfer agent fees payable | 5,577 | 4,590 | 6,612 | 7,565 | |||
Sub-transfer agent fee payable | 242 | 143 | 83 | 232 | |||
Registration and filing fees payable | 6,671 | 4,961 | 6,672 | 6,588 | |||
Professional fees payable | 20,001 | 20,074 | 20,426 | 20,396 | |||
Printing and postage fees payable | 1,693 | 3,199 | 8,116 | 7,860 | |||
Accrued expenses and other liabilities | 106 | 233 | 232 | 340 | |||
TOTAL LIABILITIES | 23,692,928 | 28,244,958 | 54,986,021 | 70,109,010 | |||
NET ASSETS | $229,313,513 | $278,871,832 | $975,818,403 | $1,229,589,998 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $223,408,259 | $267,431,972 | $915,218,216 | $1,141,634,921 | |||
Total distributable earnings (loss) | 5,905,254 | 11,439,860 | 60,600,187 | 87,955,077 | |||
NET ASSETS | $229,313,513 | $278,871,832 | $975,818,403 | $1,229,589,998 | |||
Class I | |||||||
Net Assets | $106,561 | $16,737 | $2,117,826 | $1,382,529 | |||
Shares Outstanding | 9,733 | 1,524 | 184,578 | 115,814 | |||
Net asset value, offering and redemption price per share | $10.95 | $10.98 | $11.47 | $11.94 | |||
Class K | |||||||
Net Assets | $229,206,952 | $278,855,095 | $973,700,577 | $1,228,207,469 | |||
Shares Outstanding | 20,968,461 | 25,398,377 | 84,831,420 | 102,739,496 | |||
Net asset value, offering and redemption price per share | $10.93 | $10.98 | $11.48 | $11.95 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 246,860,926 | 295,229,747 | 977,447,153 | 1,222,114,544 | |||
* Includes investments in securities on loan, at value | $22,542,884 | $23,329,024 | $59,060,941 | $65,699,644 |
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 | ||||||
1,238,398,481 | $1,003,764,463 | $814,817,362 | $616,081,344 | $414,222,572 | $202,379,523 | $46,266,353 | ||||||
27 | — | — | — | — | — | — | ||||||
6,881,458 | 5,148,640 | 3,716,734 | 2,928,057 | 1,920,822 | 905,586 | 127,083 | ||||||
1,586,101 | 2,026,282 | 1,603,791 | 1,678,100 | 1,548,588 | 880,829 | 432,087 | ||||||
6,251 | 4,619 | 4,115 | 3,590 | 2,806 | 1,310 | 405 | ||||||
469 | 955 | 3 | — | — | — | — | ||||||
9,630 | — | 29 | 39 | — | 4 | — | ||||||
112,758 | 94,270 | 86,598 | 77,622 | 68,415 | 57,445 | 49,818 | ||||||
1,246,995,175 | 1,011,039,229 | 820,228,632 | 620,768,752 | 417,763,203 | 204,224,697 | 46,875,746 | ||||||
39,921,891 | 6,664,543 | 11,700 | 23,400 | — | — | — | ||||||
6,533,460 | 5,281,150 | 3,870,000 | 2,770,000 | 1,750,000 | 954,819 | 126,000 | ||||||
33,618 | 17,665 | 87,298 | 41,857 | 30,626 | 11,959 | 9,954 | ||||||
48,182 | 39,973 | 32,576 | 24,660 | 16,422 | 8,019 | 1,813 | ||||||
3,493 | 5,775 | 3,450 | 3,513 | 3,588 | 3,594 | 3,618 | ||||||
48,476 | 40,198 | 32,779 | 24,787 | 16,486 | 8,082 | 1,877 | ||||||
88 | 85 | 69 | 67 | 66 | 48 | 790 | ||||||
8,275 | 8,839 | 9,692 | 9,519 | 8,317 | 6,529 | 5,337 | ||||||
245 | — | — | — | — | 87 | 136 | ||||||
6,388 | 6,460 | 6,781 | 7,088 | 7,054 | 7,399 | 6,388 | ||||||
20,397 | 20,235 | 20,191 | 20,087 | 20,080 | 19,999 | 19,972 | ||||||
6,969 | 5,224 | 3,143 | 3,999 | 6,178 | 3,689 | 175 | ||||||
258 | 56 | 46 | 42 | 68 | 56 | 73 | ||||||
46,631,740 | 12,090,203 | 4,077,725 | 2,929,019 | 1,858,885 | 1,024,280 | 176,133 | ||||||
$1,200,363,435 | $998,949,026 | $816,150,907 | $617,839,733 | $415,904,318 | $203,200,417 | $46,699,613 | ||||||
$1,100,334,353 | $918,301,599 | $745,878,459 | $570,101,033 | $381,447,593 | $190,049,804 | $44,381,158 | ||||||
100,029,082 | 80,647,427 | 70,272,448 | 47,738,700 | 34,456,725 | 13,150,613 | 2,318,455 | ||||||
$1,200,363,435 | $998,949,026 | $816,150,907 | $617,839,733 | $415,904,318 | $203,200,417 | $46,699,613 | ||||||
$1,945,508 | $984,699 | $1,265,926 | $917,022 | $402,517 | $196,345 | $148,858 | ||||||
159,450 | 79,283 | 101,538 | 73,325 | 32,361 | 15,794 | 12,443 | ||||||
$12.20 | $12.42 | $12.47 | $12.51 | $12.44 | $12.43 | $11.96 | ||||||
$1,198,417,927 | $997,964,327 | $814,884,981 | $616,922,711 | $415,501,801 | $203,004,072 | $46,550,755 | ||||||
98,080,498 | 80,149,793 | 65,314,012 | 49,329,490 | 33,392,815 | 16,357,696 | 3,892,407 | ||||||
$12.22 | $12.45 | $12.48 | $12.51 | $12.44 | $12.41 | $11.96 | ||||||
1,161,851,537 | 943,213,352 | 760,163,852 | 580,310,845 | 387,396,872 | 192,484,364 | 44,585,059 | ||||||
$39,093,912 | $6,526,160 | $11,448 | $22,896 | $— | $— | $— |
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 | $201 | $144 | $1,974 | $513 | |||
Dividend income — affiliated issuers | 1,967,130 | 2,386,842 | 6,951,348 | 6,355,740 | |||
Unaffiliated securities lending income | — | — | 6,978 | 5,624 | |||
Affiliated securities lending income | 62,267 | 78,513 | 149,452 | 186,417 | |||
TOTAL INVESTMENT INCOME (LOSS) | 2,029,598 | 2,465,499 | 7,109,752 | 6,548,294 | |||
EXPENSES | |||||||
Advisory fee | 53,793 | 67,232 | 230,755 | 283,020 | |||
Administration fees | 53,793 | 67,232 | 230,755 | 283,020 | |||
Sub-transfer agent fee | |||||||
Class I | — | 3 | 141 | 95 | |||
Distribution fees | |||||||
Custodian fees | 27,418 | 26,969 | 27,235 | 27,419 | |||
Trustees’ fees and expenses | 12,039 | 12,554 | 20,843 | 23,244 | |||
Transfer agent fees | 45,829 | 34,415 | 47,508 | 61,174 | |||
Registration and filing fees | 36,956 | 35,035 | 37,627 | 37,585 | |||
Professional fees | 26,138 | 26,166 | 26,384 | 26,404 | |||
Printing and postage fees | 9,545 | 8,937 | 23,801 | 27,883 | |||
Insurance expense | 552 | 799 | 2,502 | 2,873 | |||
Miscellaneous expenses | 5,111 | 5,028 | 6,539 | 7,190 | |||
TOTAL EXPENSES | 271,174 | 284,370 | 654,090 | 779,907 | |||
Expenses waived/reimbursed by the Adviser | (303,450) | (324,706) | (700,099) | (723,209) | |||
NET EXPENSES | (32,276) | (40,336) | (46,009) | 56,698 | |||
NET INVESTMENT INCOME (LOSS) | $2,061,874 | $2,505,835 | $7,155,761 | $6,491,596 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | (602,384) | 1,354,389 | 6,678,969 | 9,326,365 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | 17,391,992 | 20,924,946 | 85,976,800 | 122,950,097 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 16,789,608 | 22,279,335 | 92,655,769 | 132,276,462 | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $18,851,482 | $24,785,170 | $99,811,530 | $138,768,058 |
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 | ||||||
238 | $84 | $53 | $61 | $34 | $19 | $17 | ||||||
4,287,231 | 2,393,541 | 1,384,644 | 704,196 | 411,904 | 194,613 | 43,659 | ||||||
3,733 | 88 | 34 | 8 | 1 | 19 | — | ||||||
121,790 | 8,060 | 326 | 1,023 | 1,073 | 41 | 226 | ||||||
4,412,992 | 2,401,773 | 1,385,057 | 705,288 | 413,012 | 194,692 | 43,902 | ||||||
274,643 | 227,701 | 184,497 | 137,926 | 90,292 | 42,513 | 9,267 | ||||||
274,643 | 227,701 | 184,497 | 137,926 | 90,292 | 42,513 | 9,267 | ||||||
87 | 49 | 126 | 157 | 90 | — | — | ||||||
25,823 | 27,026 | 25,417 | 25,470 | 25,438 | 25,583 | 25,892 | ||||||
22,693 | 20,401 | 18,153 | 15,758 | 13,399 | 10,979 | 10,178 | ||||||
67,356 | 70,458 | 74,222 | 76,704 | 75,142 | 69,504 | 62,981 | ||||||
37,326 | 37,376 | 37,156 | 37,135 | 36,929 | 35,750 | 35,161 | ||||||
26,398 | 26,319 | 26,274 | 26,208 | 26,174 | 26,116 | 26,088 | ||||||
30,502 | 28,894 | 28,915 | 26,622 | 28,419 | 23,994 | 8,748 | ||||||
2,785 | 2,290 | 1,849 | 1,307 | 845 | 344 | 55 | ||||||
7,038 | 6,642 | 6,221 | 5,505 | 5,111 | 4,813 | 4,591 | ||||||
769,294 | 674,857 | 587,327 | 490,718 | 392,131 | 282,109 | 192,228 | ||||||
(549,493) | (447,109) | (402,704) | (352,635) | (301,749) | (239,595) | (186,668) | ||||||
219,801 | 227,748 | 184,623 | 138,083 | 90,382 | 42,514 | 5,560 | ||||||
$4,193,191 | $2,174,025 | $1,200,434 | $567,205 | $322,630 | $152,178 | $38,342 | ||||||
8,957,920 | 7,100,147 | 4,902,144 | 3,330,718 | 1,947,139 | 661,761 | 198,565 | ||||||
130,205,532 | 114,499,488 | 97,166,381 | 75,065,611 | 49,523,634 | 22,880,643 | 4,833,555 | ||||||
139,163,452 | 121,599,635 | 102,068,525 | 78,396,329 | 51,470,773 | 23,542,404 | 5,032,120 | ||||||
$143,356,643 | $123,773,660 | $103,268,959 | $78,963,534 | $51,793,403 | $23,694,582 | $5,070,462 |
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | ||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $2,061,874 | $5,554,077 | $2,505,835 | $7,028,635 | |||
Net realized gain (loss) | (602,384) | 1,472,783 | 1,354,389 | 4,543,556 | |||
Net change in unrealized appreciation/depreciation | 17,391,992 | (14,733,528) | 20,924,946 | (19,021,436) | |||
Net increase (decrease) in net assets resulting from operations | 18,851,482 | (7,706,668) | 24,785,170 | (7,449,245) | |||
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 10): | |||||||
Class I | — | (4,532) | — | (2,113) | |||
Class K | — | (8,399,460) | — | (12,790,575) | |||
Total distributions to shareholders | — | (8,403,992) | — | (12,792,688) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Contribution from Affiliates (Note 3) | — | 1,415 | — | 13,859 | |||
Class A(a) | |||||||
Proceeds from sale of shares sold | — | — | — | — | |||
Redemption of shares in connection with the conversion of assets from Class A to Class I | — | (21,234) | — | — | |||
Cost of shares redeemed | — | (77,394) | — | (99,541) | |||
Net increase (decrease) from capital share transactions | — | (98,628) | — | (99,541) | |||
Class I | |||||||
Proceeds from sale of shares sold | 25,515 | 981 | 2,898 | 5,030 | |||
Proceeds from shares issued in connection with the conversion of assets from Class A to Class I | — | 21,234 | — | — | |||
Reinvestment of distributions | — | 4,532 | — | 2,112 | |||
Cost of shares redeemed | (36,097) | (50,232) | (32,154) | (149,507) | |||
Net increase (decrease) from capital share transactions | (10,582) | (23,485) | (29,256) | (142,365) | |||
Class K | |||||||
Proceeds from sale of shares sold | 34,207,875 | 207,534,102 | 30,708,856 | 90,310,368 | |||
Reinvestment of distributions | — | 8,399,460 | — | 12,790,575 | |||
Cost of shares redeemed | (24,683,258) | (134,413,043) | (34,647,337) | (70,872,443) | |||
Net increase (decrease) from capital share transactions | 9,524,617 | 81,520,519 | (3,938,481) | 32,228,500 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 9,514,035 | 81,398,406 | (3,967,737) | 31,986,594 | |||
Net increase (decrease) in net assets during the period | 28,365,517 | 65,289,161 | 20,817,433 | 11,758,520 | |||
Net assets at beginning of period | 200,947,996 | 135,658,835 | 258,054,399 | 246,295,879 | |||
NET ASSETS AT END OF PERIOD | $229,313,513 | $200,947,996 | $278,871,832 | $258,054,399 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class A(a) | |||||||
Shares sold | — | — | — | — | |||
Shares redeemed in connection with the conversion of assets from Class A to Class I | — | (1,998) | — | — | |||
Shares redeemed | — | (7,301) | — | (9,310) | |||
Net increase (decrease) from share transactions | — | (9,299) | — | (9,310) | |||
Class I | |||||||
Shares sold | 2,388 | 91 | 273 | 465 | |||
Shares issued in connection with the conversion of assets from Class A to Class I | — | 1,994 | — | — | |||
Reinvestment of distributions | — | 454 | — | 212 | |||
Shares redeemed | (3,400) | (4,709) | (2,982) | (13,867) | |||
Net increase (decrease) from share transactions | (1,012) | (2,170) | (2,709) | (13,190) | |||
Class K | |||||||
Shares sold | 3,245,293 | 19,214,623 | 2,901,020 | 8,351,447 | |||
Reinvestment of distributions | — | 842,474 | — | 1,281,621 | |||
Shares redeemed | (2,353,788) | (12,622,611) | (3,279,750) | (6,528,843) | |||
Net increase (decrease) from share transactions | 891,505 | 7,434,486 | (378,730) | 3,104,225 |
(a) | Effective October 12, 2018, Class A shares were converted to Class I shares. |
State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | |||||
$7,155,761 | $22,627,658 | $6,491,596 | $26,121,798 | $4,193,191 | $23,384,322 | |||||
6,678,969 | 19,359,205 | 9,326,365 | 24,770,443 | 8,957,920 | 25,363,539 | |||||
85,976,800 | (78,525,638) | 122,950,097 | (110,013,265) | 130,205,532 | (112,579,713) | |||||
99,811,530 | (36,538,775) | 138,768,058 | (59,121,024) | 143,356,643 | (63,831,852) | |||||
— | (94,975) | — | (59,153) | — | (88,182) | |||||
— | (44,523,544) | — | (50,682,003) | — | (47,418,269) | |||||
— | (44,618,519) | — | (50,741,156) | — | (47,506,451) | |||||
— | 40,408 | — | 65,781 | — | — | |||||
— | 490,000 | — | 186,928 | — | 83,298 | |||||
— | (237,210) | — | (109,730) | — | (89,264) | |||||
— | (373,913) | — | (187,108) | — | (97,013) | |||||
— | (121,123) | — | (109,910) | — | (102,979) | |||||
122,326 | 1,153,163 | 181,104 | 270,622 | 86,443 | 196,592 | |||||
— | 237,210 | — | 109,730 | — | 89,264 | |||||
— | 94,975 | — | 59,153 | — | 88,182 | |||||
(12,903) | (210,593) | (113,294) | (1,373,715) | (156,503) | (116,274) | |||||
109,423 | 1,274,755 | 67,810 | (934,210) | (70,060) | 257,764 | |||||
105,120,107 | 267,720,042 | 162,135,580 | 365,384,810 | 167,253,020 | 351,016,403 | |||||
— | 44,523,405 | — | 50,682,003 | — | 47,418,269 | |||||
(78,162,566) | (159,803,462) | (79,705,358) | (129,329,674) | (72,282,465) | (105,937,878) | |||||
26,957,541 | 152,439,985 | 82,430,222 | 286,737,139 | 94,970,555 | 292,496,794 | |||||
27,066,964 | 153,593,617 | 82,498,032 | 285,693,019 | 94,900,495 | 292,651,579 | |||||
126,878,494 | 72,476,731 | 221,266,090 | 175,896,620 | 238,257,138 | 181,313,276 | |||||
848,939,909 | 776,463,178 | 1,008,323,908 | 832,427,288 | 962,106,297 | 780,793,021 | |||||
$975,818,403 | $848,939,909 | $1,229,589,998 | $1,008,323,908 | $1,200,363,435 | $962,106,297 | |||||
— | 42,083 | — | 15,682 | — | 6,914 | |||||
— | (21,161) | — | (9,484) | — | (7,571) | |||||
— | (33,274) | — | (16,019) | — | (8,285) | |||||
— | (12,352) | — | (9,821) | — | (8,942) | |||||
10,941 | 102,958 | 15,875 | 23,141 | 7,331 | 16,510 | |||||
— | 21,161 | — | 9,476 | — | 7,571 | |||||
— | 9,275 | — | 5,645 | — | 8,312 | |||||
(1,179) | (18,601) | (9,735) | (118,722) | (13,527) | (9,969) | |||||
9,762 | 114,793 | 6,140 | (80,460) | (6,196) | 22,424 | |||||
9,558,985 | 23,681,680 | 14,177,477 | 31,044,743 | 14,380,942 | 29,309,128 | |||||
— | 4,343,747 | — | 4,826,858 | — | 4,460,797 | |||||
(7,069,202) | (14,078,169) | (6,940,249) | (10,992,359) | (6,174,565) | (8,812,232) | |||||
2,489,783 | 13,947,258 | 7,237,228 | 24,879,242 | 8,206,377 | 24,957,693 |
State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | ||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $2,174,025 | $18,209,865 | $1,200,434 | $14,376,335 | |||
Net realized gain (loss) | 7,100,147 | 23,101,163 | 4,902,144 | 20,694,042 | |||
Net change in unrealized appreciation/depreciation | 114,499,488 | (101,638,895) | 97,166,381 | (86,768,197) | |||
Net increase (decrease) in net assets resulting from operations | 123,773,660 | (60,327,867) | 103,268,959 | (51,697,820) | |||
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 10): | |||||||
Class I | — | (20,901) | — | (60,520) | |||
Class K | — | (37,599,436) | — | (30,754,623) | |||
Total distributions to shareholders | — | (37,620,337) | — | (30,815,143) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Contribution from Affiliates (Note 3) | — | 63,723 | — | 6,247 | |||
Class A(a) | |||||||
Proceeds from sale of shares sold | — | 12,746 | — | 194,295 | |||
Redemption of shares in connection with the conversion of assets from Class A to Class I | — | (38,238) | — | (240,271) | |||
Cost of shares redeemed | — | (101,467) | — | (55,696) | |||
Net increase (decrease) from capital share transactions | — | (126,959) | — | (101,672) | |||
Class I | |||||||
Proceeds from sale of shares sold | 473,876 | 98,818 | 108,045 | 314,483 | |||
Proceeds from shares issued in connection with the conversion of assets from Class A to Class I | — | 38,238 | — | 240,271 | |||
Reinvestment of distributions | — | 20,901 | — | 60,520 | |||
Cost of shares redeemed | (17,916) | (34,846) | (279,697) | (120,037) | |||
Net increase (decrease) from capital share transactions | 455,960 | 123,111 | (171,652) | 495,237 | |||
Class K | |||||||
Proceeds from sale of shares sold | 138,733,694 | 357,140,615 | 116,791,986 | 294,196,717 | |||
Reinvestment of distributions | — | 37,599,436 | — | 30,754,623 | |||
Cost of shares redeemed | (60,642,600) | (85,438,916) | (41,747,422) | (63,980,947) | |||
Net increase (decrease) from capital share transactions | 78,091,094 | 309,301,135 | 75,044,564 | 260,970,393 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 78,547,054 | 309,297,287 | 74,872,912 | 261,363,958 | |||
Net increase (decrease) in net assets during the period | 202,320,714 | 211,412,806 | 178,141,871 | 178,857,242 | |||
Net assets at beginning of period | 796,628,312 | 585,215,506 | 638,009,036 | 459,151,794 | |||
NET ASSETS AT END OF PERIOD | $998,949,026 | $796,628,312 | $816,150,907 | $638,009,036 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class A(a) | |||||||
Shares sold | — | 1,044 | — | 15,781 | |||
Shares redeemed in connection with the conversion of assets from Class A to Class I | — | (3,195) | — | (19,973) | |||
Shares redeemed | — | (8,252) | — | (4,670) | |||
Net increase (decrease) from share transactions | — | (10,403) | — | (8,862) | |||
Class I | |||||||
Shares sold | 39,896 | 8,185 | 9,118 | 25,541 | |||
Shares issued in connection with the conversion of assets from Class A to Class I | — | 3,192 | — | 19,940 | |||
Reinvestment of distributions | — | 1,947 | — | 5,645 | |||
Shares redeemed | (1,515) | (2,910) | (23,165) | (9,906) | |||
Net increase (decrease) from share transactions | 38,381 | 10,414 | (14,047) | 41,220 | |||
Class K | |||||||
Shares sold | 11,676,255 | 29,106,428 | 9,800,972 | 23,975,808 | |||
Reinvestment of distributions | — | 3,494,372 | — | 2,866,227 | |||
Shares redeemed | (5,073,221) | (6,958,752) | (3,483,706) | (5,191,478) | |||
Net increase (decrease) from share transactions | 6,603,034 | 25,642,048 | 6,317,266 | 21,650,557 |
(a) | Effective October 12, 2018, Class A shares were converted to Class I shares. |
State Street Target Retirement 2045 Fund | State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | ||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | |||||
$567,205 | $10,368,285 | $322,630 | $6,731,094 | $152,178 | $2,937,986 | |||||
3,330,718 | 15,851,276 | 1,947,139 | 10,110,405 | 661,761 | 5,118,694 | |||||
75,065,611 | (67,673,383) | 49,523,634 | (43,579,203) | 22,880,643 | (19,776,780) | |||||
78,963,534 | (41,453,822) | 51,793,403 | (26,737,704) | 23,694,582 | (11,720,100) | |||||
— | (37,415) | — | (17,896) | — | (6,641) | |||||
— | (22,018,119) | — | (14,299,282) | — | (6,678,653) | |||||
— | (22,055,534) | — | (14,317,178) | — | (6,685,294) | |||||
— | 4,604 | — | — | — | 333 | |||||
— | 78,575 | — | 83,496 | — | 20,264 | |||||
— | (160,336) | — | (141,455) | — | (14,984) | |||||
— | (53,086) | — | (43,179) | — | (103,712) | |||||
— | (134,847) | — | (101,138) | — | (98,432) | |||||
73,851 | 167,709 | 68,378 | 89,932 | 42,542 | 33,365 | |||||
— | 160,336 | — | 141,455 | — | 14,984 | |||||
— | 37,415 | — | 17,896 | — | 4,921 | |||||
(70,852) | (245,626) | (100,096) | (66,301) | (752) | (10,358) | |||||
2,999 | 119,834 | (31,718) | 182,982 | 41,790 | 42,912 | |||||
104,965,424 | 257,738,573 | 82,465,919 | 147,982,505 | 56,591,173 | 82,947,912 | |||||
— | 22,018,119 | — | 14,299,282 | — | 6,678,248 | |||||
(32,304,307) | (51,371,565) | (19,127,913) | (33,069,527) | (9,776,893) | (20,251,677) | |||||
72,661,117 | 228,385,127 | 63,338,006 | 129,212,260 | 46,814,280 | 69,374,483 | |||||
72,664,116 | 228,370,114 | 63,306,288 | 129,294,104 | 46,856,070 | 69,318,963 | |||||
151,627,650 | 164,865,362 | 115,099,691 | 88,239,222 | 70,550,652 | 50,913,902 | |||||
466,212,083 | 301,346,721 | 300,804,627 | 212,565,405 | 132,649,765 | 81,735,863 | |||||
$617,839,733 | $466,212,083 | $415,904,318 | $300,804,627 | $203,200,417 | $132,649,765 | |||||
— | 6,238 | — | 6,517 | — | 1,614 | |||||
— | (13,284) | — | (11,768) | — | (1,246) | |||||
— | (4,396) | — | (3,620) | — | (8,687) | |||||
— | (11,442) | — | (8,871) | — | (8,319) | |||||
6,220 | 13,747 | 5,722 | 7,431 | 3,727 | 2,739 | |||||
— | 13,262 | — | 11,758 | — | 1,242 | |||||
— | 3,497 | — | 1,682 | — | 463 | |||||
(5,967) | (19,433) | (8,286) | (5,526) | (66) | (855) | |||||
253 | 11,073 | (2,564) | 15,345 | 3,661 | 3,589 | |||||
8,791,895 | 20,874,274 | 6,929,685 | 12,073,607 | 4,767,236 | 6,756,118 | |||||
— | 2,057,769 | — | 1,343,918 | — | 629,430 | |||||
(2,685,126) | (4,155,850) | (1,602,076) | (2,686,477) | (818,675) | (1,642,195) | |||||
6,106,769 | 18,776,193 | 5,327,609 | 10,731,048 | 3,948,561 | 5,743,353 |
State Street Target Retirement 2060 Fund | |||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $38,342 | $554,332 | |
Net realized gain (loss) | 198,565 | 1,238,113 | |
Net change in unrealized appreciation/depreciation | 4,833,555 | (4,004,945) | |
Net increase (decrease) in net assets resulting from operations | 5,070,462 | (2,212,500) | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 10): | |||
Class I | — | (7,584) | |
Class K | — | (1,525,276) | |
Total distributions to shareholders | — | (1,532,860) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A(a) | |||
Proceeds from sale of shares sold | — | 5,417 | |
Redemption of shares in connection with the conversion of assets from Class A to Class I | — | (26,017) | |
Cost of shares redeemed | — | (77,602) | |
Net increase (decrease) from capital share transactions | — | (98,202) | |
Class I | |||
Proceeds from sale of shares sold | 7,562 | 10,781 | |
Proceeds from shares issued in connection with the conversion of assets from Class A to Class I | — | 26,017 | |
Reinvestment of distributions | — | 2,166 | |
Cost of shares redeemed | (58) | (2,064) | |
Net increase (decrease) from capital share transactions | 7,504 | 36,900 | |
Class K | |||
Proceeds from sale of shares sold | 25,122,078 | 23,719,397 | |
Reinvestment of distributions | — | 1,525,276 | |
Cost of shares redeemed | (9,450,462) | (7,832,210) | |
Net increase (decrease) from capital share transactions | 15,671,616 | 17,412,463 | |
Net increase (decrease) in net assets from beneficial interest transactions | 15,679,120 | 17,351,161 | |
Net increase (decrease) in net assets during the period | 20,749,582 | 13,605,801 | |
Net assets at beginning of period | 25,950,031 | 12,344,230 | |
NET ASSETS AT END OF PERIOD | $46,699,613 | $25,950,031 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A(a) | |||
Shares sold | — | 445 | |
Shares redeemed in connection with the conversion of assets from Class A to Class I | — | (2,226) | |
Shares redeemed | — | (6,628) | |
Net increase (decrease) from share transactions | — | (8,409) | |
Class I | |||
Shares sold | 664 | 916 | |
Shares issued in connection with the conversion of assets from Class A to Class I | — | 2,222 | |
Reinvestment of distributions | — | 212 | |
Shares redeemed | (5) | (171) | |
Net increase (decrease) from share transactions | 659 | 3,179 | |
Class K | |||
Shares sold | 2,200,206 | 1,997,253 | |
Reinvestment of distributions | — | 149,245 | |
Shares redeemed | (820,381) | (653,396) | |
Net increase (decrease) from share transactions | 1,379,825 | 1,493,102 |
(a) | Effective October 12, 2018, Class A shares were converted to Class I shares. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.02 | $10.73 | $10.12 | $9.79 | $10.03 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.10 | 0.28 | 0.19 | 0.19 | 0.19 | 0.05 | |||||
Net realized and unrealized gain (loss) | 0.83 | (0.55) | 0.71 | 0.32 | (0.23) | 0.02 | |||||
Total from investment operations | 0.93 | (0.27) | 0.90 | 0.51 | (0.04) | 0.07 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.20) | (0.17) | (0.19) | (0.04) | |||||
Net realized gains | — | (0.15) | (0.09) | (0.01) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.44) | (0.29) | (0.18) | (0.20) | (0.04) | |||||
Net asset value, end of period | $10.95 | $10.02 | $10.73 | $10.12 | $9.79 | $10.03 | |||||
Total return (c) | 9.28% | (2.50)%(d) | 8.92% | 5.27% | (0.39)% | 0.70% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $107 | $108 | $139 | $612 | $653 | $418 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.25%(f) | 0.25% | 0.36% | 0.66% | 1.15% | 21.40%(f) | |||||
Net expenses (e) | (0.03)%(f)(g) | (0.03)%(g) | (0.05)%(g) | (0.03)%(g) | 0.01% | 0.37%(f) | |||||
Net investment income (loss) | 1.84%(f) | 2.62% | 1.78% | 1.89% | 1.94% | 2.07%(f) | |||||
Portfolio turnover rate | 10%(h) | 53% | 25% | 37% | 31% | 8%(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.00 | $10.71 | $10.12 | $9.78 | $10.03 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.10 | 0.29 | 0.28 | 0.23 | 0.20 | 0.06 | |||||
Net realized and unrealized gain (loss) | 0.83 | (0.56) | 0.60 | 0.29 | (0.25) | 0.02 | |||||
Total from investment operations | 0.93 | (0.27) | 0.88 | 0.52 | (0.05) | 0.08 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.20) | (0.17) | (0.19) | (0.05) | |||||
Net realized gains | — | (0.15) | (0.09) | (0.01) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.44) | (0.29) | (0.18) | (0.20) | (0.05) | |||||
Net asset value, end of period | $10.93 | $10.00 | $10.71 | $10.12 | $9.78 | $10.03 | |||||
Total return (c) | 9.30% | (2.50)%(d) | 8.83% | 5.28% | (0.49)% | 0.75% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $229,207 | $200,840 | $135,420 | $55,499 | $22,265 | $1,558 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.25%(f) | 0.24% | 0.36% | 0.66% | 1.15% | 25.06%(f) | |||||
Net expenses (e) | (0.03)%(f)(g) | (0.04)%(g) | (0.02)%(g) | (0.04)%(g) | 0.01% | 0.17%(f) | |||||
Net investment income (loss) | 1.92%(f) | 2.69% | 2.61% | 2.23% | 1.99% | 2.59%(f) | |||||
Portfolio turnover rate | 10%(h) | 53% | 25% | 37% | 31% | 8%(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.09 | 0.20 | 0.19 | 0.19 | 0.23 | 0.06 | |||||
Net realized and unrealized gain (loss) | 0.88 | (0.52) | 0.86 | 0.41 | (0.31) | 0.03 | |||||
Total from investment operations | 0.97 | (0.32) | 1.05 | 0.60 | (0.08) | 0.09 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.28) | (0.19) | (0.16) | (0.18) | (0.06) | |||||
Net realized gains | — | (0.24) | (0.10) | (0.07) | (0.05) | (0.00)(b) | |||||
Total distributions | — | (0.52) | (0.29) | (0.23) | (0.23) | (0.06) | |||||
Net asset value, end of period | $10.98 | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | |||||
Total return (c) | 9.69% | (2.89)%(d) | 10.39% | 6.19% | (0.75)% | 0.87% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $17 | $42 | $189 | $819 | $1,030 | $585 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.23%(f) | 0.23% | 0.27% | 0.58% | 5.07% | 14.80%(f) | |||||
Net expenses (e) | (0.02)%(f)(g) | 0.03% | (0.05)%(g) | 0.01% | 0.02% | 0.37%(f) | |||||
Net investment income (loss) | 1.77%(f) | 1.87% | 1.79% | 1.85% | 2.32% | 2.31%(f) | |||||
Portfolio turnover rate | 13%(h) | 29% | 34% | 49% | 55% | 39%(h) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.89)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.10 | 0.28 | 0.29 | 0.28 | 0.22 | 0.06 | |||||
Net realized and unrealized gain (loss) | 0.87 | (0.59) | 0.76 | 0.32 | (0.30) | 0.03 | |||||
Total from investment operations | 0.97 | (0.31) | 1.05 | 0.60 | (0.08) | 0.09 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.19) | (0.16) | (0.18) | (0.06) | |||||
Net realized gains | — | (0.24) | (0.10) | (0.07) | (0.05) | (0.00)(b) | |||||
Total distributions | — | (0.53) | (0.29) | (0.23) | (0.23) | (0.06) | |||||
Net asset value, end of period | $10.98 | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | |||||
Total return (c) | 9.69% | (2.86)%(d) | 10.39% | 6.19% | (0.74)% | 0.92% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $278,855 | $258,012 | $246,006 | $71,486 | $3,707 | $1,740 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.21%(f) | 0.21% | 0.26% | 0.58% | 5.07% | 18.68%(f) | |||||
Net expenses (e) | (0.03)%(f)(g) | (0.00)%(g)(h) | (0.02)%(g) | (0.01)%(g) | 0.02% | 0.17%(f) | |||||
Net investment income (loss) | 1.86%(f) | 2.54% | 2.71% | 2.72% | 2.19% | 2.50%(f) | |||||
Portfolio turnover rate | 13%(i) | 29% | 34% | 49% | 55% | 39%(i) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.86)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Ratio is less than 0.005% |
(i) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.29 | $11.34 | $10.27 | $9.75 | $10.14 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.08 | 0.43 | 0.25 | 0.16 | 0.33 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.10 | (0.90) | 1.13 | 0.54 | (0.49) | 0.11 | |||||
Total from investment operations | 1.18 | (0.47) | 1.38 | 0.70 | (0.16) | 0.17 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.23) | (0.17) | (0.22) | (0.03) | |||||
Net realized gains | — | (0.29) | (0.08) | (0.01) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.58) | (0.31) | (0.18) | (0.23) | (0.03) | |||||
Net asset value, end of period | $11.47 | $10.29 | $11.34 | $10.27 | $9.75 | $10.14 | |||||
Total return (c) | 11.47% | (4.17)%(d) | 13.38% | 7.34% | (1.56)% | 1.72% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,118 | $1,798 | $680 | $797 | $1,811 | $845 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.16%(f) | 0.16% | 0.15% | 0.30% | 0.55% | 9.11%(f) | |||||
Net expenses (e) | 0.01%(f)(g) | 0.02% | 0.01% | 0.07% | 0.01% | 0.37%(f) | |||||
Net investment income (loss) | 1.53%(f) | 3.85% | 2.29% | 1.54% | 3.28% | 2.57%(f) | |||||
Portfolio turnover rate | 10%(h) | 22% | 18% | 28% | 39% | 5%(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 Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (4.17)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.29 | $11.34 | $10.28 | $9.74 | $10.13 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.08 | 0.29 | 0.29 | 0.27 | 0.23 | 0.04 | |||||
Net realized and unrealized gain (loss) | 1.11 | (0.76) | 1.08 | 0.45 | (0.39) | 0.13 | |||||
Total from investment operations | 1.19 | (0.47) | 1.37 | 0.72 | (0.16) | 0.17 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.23) | (0.17) | (0.22) | (0.04) | |||||
Net realized gains | — | (0.29) | (0.08) | (0.01) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.58) | (0.31) | (0.18) | (0.23) | (0.04) | |||||
Net asset value, end of period | $11.48 | $10.29 | $11.34 | $10.28 | $9.74 | $10.13 | |||||
Total return (c) | 11.56% | (4.16)%(d) | 13.38% | 7.45% | (1.57)% | 1.67% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $973,701 | $847,142 | $775,643 | $235,727 | $52,303 | $6,399 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.14%(f) | 0.15% | 0.15% | 0.24% | 0.55% | 11.13%(f) | |||||
Net expenses (e) | (0.01)%(f)(g) | 0.01% | 0.02% | 0.01% | 0.01% | 0.17%(f) | |||||
Net investment income (loss) | 1.55%(f) | 2.60% | 2.67% | 2.60% | 2.29% | 1.62%(f) | |||||
Portfolio turnover rate | 10%(h) | 22% | 18% | 28% | 39% | 5%(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 Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (4.16)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.53 | $11.74 | $10.33 | $9.74 | $10.16 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.23 | 0.26 | 0.15 | 0.37 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.35 | (0.87) | 1.45 | 0.63 | (0.56) | 0.14 | |||||
Total from investment operations | 1.41 | (0.64) | 1.71 | 0.78 | (0.19) | 0.20 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.23) | (0.16) | (0.20) | (0.04) | |||||
Net realized gains | — | (0.28) | (0.07) | (0.03) | (0.03) | (0.00)(b) | |||||
Total distributions | — | (0.57) | (0.30) | (0.19) | (0.23) | (0.04) | |||||
Net asset value, end of period | $11.94 | $10.53 | $11.74 | $10.33 | $9.74 | $10.16 | |||||
Total return (c) | 13.39% | (5.48)%(d) | 16.54% | 8.01% | (1.87)% | 1.99% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,383 | $1,155 | $2,232 | $2,110 | $3,293 | $677 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.15%(f) | 0.15% | 0.15% | 0.33% | 1.31% | 10.65%(f) | |||||
Net expenses (e) | 0.03%(f) | 0.05% | 0.03% | 0.08% | 0.03% | 0.37%(f) | |||||
Net investment income (loss) | 1.15%(f) | 1.98% | 2.36% | 1.53% | 3.71% | 5.10%(f) | |||||
Portfolio turnover rate | 10%(g) | 15% | 10% | 21% | 51% | 13%(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 Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (5.48)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.55 | $11.75 | $10.34 | $9.75 | $10.16 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.07 | 0.31 | 0.30 | 0.29 | 0.29 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.33 | (0.94) | 1.41 | 0.49 | (0.47) | 0.15 | |||||
Total from investment operations | 1.40 | (0.63) | 1.71 | 0.78 | (0.18) | 0.20 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.29) | (0.23) | (0.16) | (0.20) | (0.04) | |||||
Net realized gains | — | (0.28) | (0.07) | (0.03) | (0.03) | (0.00)(b) | |||||
Total distributions | — | (0.57) | (0.30) | (0.19) | (0.23) | (0.04) | |||||
Net asset value, end of period | $11.95 | $10.55 | $11.75 | $10.34 | $9.75 | $10.16 | |||||
Total return (c) | 13.36% | (5.38)%(d) | 16.52% | 8.00% | (1.77)% | 2.04% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,228,207 | $1,007,169 | $830,080 | $206,696 | $21,815 | $5,597 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.14%(f) | 0.14% | 0.15% | 0.28% | 1.31% | 11.75%(f) | |||||
Net expenses (e) | 0.01%(f) | 0.04% | 0.04% | 0.04% | 0.03% | 0.17%(f) | |||||
Net investment income (loss) | 1.15%(f) | 2.63% | 2.63% | 2.81% | 2.86% | 2.19%(f) | |||||
Portfolio turnover rate | 10%(g) | 15% | 10% | 21% | 51% | 13%(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 Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (5.38)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.67 | $11.98 | $10.37 | $9.76 | $10.15 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.29 | 0.25 | 0.14 | 0.35 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.49 | (1.05) | 1.64 | 0.65 | (0.54) | 0.16 | |||||
Total from investment operations | 1.53 | (0.76) | 1.89 | 0.79 | (0.19) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.27) | (0.23) | (0.16) | (0.20) | (0.07) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.55) | (0.28) | (0.18) | (0.20) | (0.07) | |||||
Net asset value, end of period | $12.20 | $10.67 | $11.98 | $10.37 | $9.76 | $10.15 | |||||
Total return (c) | 14.34% | (6.24)% | 18.27% | 8.10% | (1.83)% | 2.18% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,946 | $1,768 | $1,716 | $1,522 | $2,066 | $676 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.15%(e) | 0.15% | 0.15% | 0.30% | 0.59% | 12.59%(e) | |||||
Net expenses (d) | 0.05%(e) | 0.07% | 0.06% | 0.08% | 0.03% | 0.37%(e) | |||||
Net investment income (loss) | 0.75%(e) | 2.44% | 2.25% | 1.39% | 3.52% | 2.30%(e) | |||||
Portfolio turnover rate | 8%(f) | 12% | 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. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.69 | $12.00 | $10.38 | $9.76 | $10.15 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.29 | 0.28 | 0.25 | 0.25 | 0.07 | |||||
Net realized and unrealized gain (loss) | 1.49 | (1.04) | 1.62 | 0.55 | (0.44) | 0.15 | |||||
Total from investment operations | 1.53 | (0.75) | 1.90 | 0.80 | (0.19) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.28) | (0.23) | (0.16) | (0.20) | (0.07) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.56) | (0.28) | (0.18) | (0.20) | (0.07) | |||||
Net asset value, end of period | $12.22 | $10.69 | $12.00 | $10.38 | $9.76 | $10.15 | |||||
Total return (c) | 14.31% | (6.22)% | 18.35% | 8.20% | (1.83)% | 2.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,198,418 | $960,339 | $778,969 | $225,549 | $48,114 | $3,243 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.14% | 0.15% | 0.26% | 0.59% | 14.05%(e) | |||||
Net expenses (d) | 0.04%(e) | 0.06% | 0.06% | 0.05% | 0.03% | 0.17%(e) | |||||
Net investment income (loss) | 0.76%(e) | 2.43% | 2.46% | 2.48% | 2.42% | 2.64%(e) | |||||
Portfolio turnover rate | 8%(f) | 12% | 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. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.80 | $12.18 | $10.43 | $9.77 | $10.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.30 | 0.13 | 0.11 | 0.31 | 0.07 | |||||
Net realized and unrealized gain (loss) | 1.59 | (1.14) | 1.91 | 0.74 | (0.51) | 0.15 | |||||
Total from investment operations | 1.62 | (0.84) | 2.04 | 0.85 | (0.20) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.22) | (0.16) | (0.18) | (0.05) | |||||
Net realized gains | — | (0.28) | (0.07) | (0.03) | (0.02) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.29) | (0.19) | (0.20) | (0.05) | |||||
Net asset value, end of period | $12.42 | $10.80 | $12.18 | $10.43 | $9.77 | $10.17 | |||||
Total return (c) | 15.00% | (6.88)%(d) | 19.56% | 8.61% | (2.00)% | 2.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $985 | $442 | $371 | $840 | $1,416 | $508 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.17%(f) | 0.16% | 0.17% | 0.36% | 1.83% | 16.79%(f) | |||||
Net expenses (e) | 0.07%(f) | 0.07% | 0.07% | 0.09% | 0.03% | 0.37%(f) | |||||
Net investment income (loss) | 0.47%(f) | 2.49% | 1.10% | 1.08% | 3.07% | 2.78%(f) | |||||
Portfolio turnover rate | 8%(g) | 13% | 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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (6.88)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.83 | $12.21 | $10.44 | $9.78 | $10.17 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.28 | 0.27 | 0.27 | 0.32 | 0.03 | |||||
Net realized and unrealized gain (loss) | 1.59 | (1.12) | 1.79 | 0.58 | (0.51) | 0.20 | |||||
Total from investment operations | 1.62 | (0.84) | 2.06 | 0.85 | (0.19) | 0.23 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.22) | (0.16) | (0.18) | (0.06) | |||||
Net realized gains | — | (0.28) | (0.07) | (0.03) | (0.02) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.29) | (0.19) | (0.20) | (0.06) | |||||
Net asset value, end of period | $12.45 | $10.83 | $12.21 | $10.44 | $9.78 | $10.17 | |||||
Total return (c) | 14.96% | (6.85)%(d) | 19.73% | 8.60% | (1.90)% | 2.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $997,964 | $796,187 | $584,717 | $165,008 | $17,223 | $3,208 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.15%(f) | 0.15% | 0.17% | 0.33% | 1.83% | 17.89%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.07% | 0.08% | 0.06% | 0.03% | 0.17%(f) | |||||
Net investment income (loss) | 0.48%(f) | 2.30% | 2.34% | 2.64% | 3.12% | 1.28%(f) | |||||
Portfolio turnover rate | 8%(g) | 13% | 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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (6.85)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.79 | $12.26 | $10.39 | $9.71 | $10.13 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.31 | 0.24 | 0.09 | 0.40 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.66 | (1.23) | 1.91 | 0.78 | (0.63) | 0.16 | |||||
Total from investment operations | 1.68 | (0.92) | 2.15 | 0.87 | (0.23) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.23) | (0.16) | (0.19) | (0.09) | |||||
Net realized gains | — | (0.29) | (0.05) | (0.03) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.55) | (0.28) | (0.19) | (0.19) | (0.09) | |||||
Net asset value, end of period | $12.47 | $10.79 | $12.26 | $10.39 | $9.71 | $10.13 | |||||
Total return (c) | 15.57% | (7.46)%(d) | 20.59% | 9.00% | (2.28)% | 2.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,266 | $1,247 | $912 | $708 | $1,501 | $506 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.18%(f) | 0.19% | 0.17% | 0.38% | 0.79% | 18.04%(f) | |||||
Net expenses (e) | 0.07%(f) | 0.09% | 0.07% | 0.10% | 0.02% | 0.37%(f) | |||||
Net investment income (loss) | 0.31%(f) | 2.50% | 2.14% | 0.86% | 4.02% | 2.53%(f) | |||||
Portfolio turnover rate | 6%(g) | 11% | 6% | 16% | 38% | 5%(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.46)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.79 | $12.27 | $10.40 | $9.72 | $10.13 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.28 | 0.26 | 0.24 | 0.25 | 0.05 | |||||
Net realized and unrealized gain (loss) | 1.67 | (1.21) | 1.89 | 0.63 | (0.47) | 0.18 | |||||
Total from investment operations | 1.69 | (0.93) | 2.15 | 0.87 | (0.22) | 0.23 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.23) | (0.16) | (0.19) | (0.10) | |||||
Net realized gains | — | (0.29) | (0.05) | (0.03) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.55) | (0.28) | (0.19) | (0.19) | (0.10) | |||||
Net asset value, end of period | $12.48 | $10.79 | $12.27 | $10.40 | $9.72 | $10.13 | |||||
Total return (c) | 15.66% | (7.52)%(d) | 20.69% | 8.89% | (2.18)% | 2.28% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $814,885 | $636,762 | $458,132 | $143,526 | $35,359 | $1,512 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.16%(f) | 0.16% | 0.17% | 0.32% | 0.79% | 20.53%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.07% | 0.07% | 0.05% | 0.02% | 0.17%(f) | |||||
Net investment income (loss) | 0.33%(f) | 2.24% | 2.30% | 2.31% | 2.47% | 1.90%(f) | |||||
Portfolio turnover rate | 6%(g) | 11% | 6% | 16% | 38% | 5%(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.52)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.77 | $12.29 | $10.36 | $9.64 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.33 | 0.20 | 0.15 | 0.30 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.73 | (1.31) | 2.02 | 0.75 | (0.54) | 0.16 | |||||
Total from investment operations | 1.74 | (0.98) | 2.22 | 0.90 | (0.24) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.24) | (0.16) | (0.17) | (0.16) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.29) | (0.18) | (0.18) | (0.16) | |||||
Net asset value, end of period | $12.51 | $10.77 | $12.29 | $10.36 | $9.64 | $10.06 | |||||
Total return (c) | 16.16% | (7.96)%(d) | 21.45% | 9.31% | (2.40)% | 2.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $917 | $787 | $762 | $853 | $782 | $335 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.21%(f) | 0.20% | 0.21% | 0.59% | 3.25% | 30.22%(f) | |||||
Net expenses (e) | 0.09%(f) | 0.08% | 0.06% | 0.06% | 0.01% | 0.37%(f) | |||||
Net investment income (loss) | 0.17%(f) | 2.68% | 1.73% | 1.46% | 2.97% | 2.32%(f) | |||||
Portfolio turnover rate | 6%(g) | 11% | 5% | 17% | 35% | 5%(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.96)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.77 | $12.29 | $10.36 | $9.63 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.28 | 0.28 | 0.27 | 0.30 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.73 | (1.26) | 1.94 | 0.64 | (0.55) | 0.17 | |||||
Total from investment operations | 1.74 | (0.98) | 2.22 | 0.91 | (0.25) | 0.23 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.24) | (0.16) | (0.17) | (0.17) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.29) | (0.18) | (0.18) | (0.17) | |||||
Net asset value, end of period | $12.51 | $10.77 | $12.29 | $10.36 | $9.63 | $10.06 | |||||
Total return (c) | 16.16% | (7.94)%(d) | 21.45% | 9.31% | (2.40)% | 2.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $616,923 | $465,425 | $300,444 | $76,304 | $8,374 | $335 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.18%(f) | 0.19% | 0.21% | 0.57% | 3.25% | 30.02%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.07% | 0.07% | 0.05% | 0.01% | 0.17%(f) | |||||
Net investment income (loss) | 0.21%(f) | 2.29% | 2.39% | 2.62% | 2.99% | 2.53%(f) | |||||
Portfolio turnover rate | 6%(g) | 11% | 5% | 17% | 35% | 5%(g) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.94)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.70 | $12.24 | $10.33 | $9.62 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.37 | 0.15 | 0.08 | 0.43 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.73 | (1.37) | 2.06 | 0.80 | (0.69) | 0.16 | |||||
Total from investment operations | 1.74 | (1.00) | 2.21 | 0.88 | (0.26) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.25) | (0.15) | (0.18) | (0.16) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.30) | (0.17) | (0.18) | (0.16) | |||||
Net asset value, end of period | $12.44 | $10.70 | $12.24 | $10.33 | $9.62 | $10.06 | |||||
Total return (c) | 16.26% | (8.14)% | 21.30% | 9.34% | (2.61)% | 2.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $403 | $374 | $240 | $366 | $795 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.26%(e) | 0.25% | 0.25% | 0.97% | 4.65% | 59.71%(e) | |||||
Net expenses (d) | 0.09%(e) | 0.08% | 0.06% | 0.12% | 0.02% | 0.37%(e) | |||||
Net investment income (loss) | 0.14%(e) | 3.05% | 1.34% | 0.76% | 4.40% | 2.28%(e) | |||||
Portfolio turnover rate | 5%(f) | 11% | 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. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.70 | $12.24 | $10.33 | $9.61 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.28 | 0.27 | 0.26 | 0.28 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.73 | (1.28) | 1.94 | 0.63 | (0.55) | 0.16 | |||||
Total from investment operations | 1.74 | (1.00) | 2.21 | 0.89 | (0.27) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.26) | (0.25) | (0.15) | (0.18) | (0.16) | |||||
Net realized gains | — | (0.28) | (0.05) | (0.02) | (0.00)(b) | (0.00)(b) | |||||
Total distributions | — | (0.54) | (0.30) | (0.17) | (0.18) | (0.16) | |||||
Net asset value, end of period | $12.44 | $10.70 | $12.24 | $10.33 | $9.61 | $10.06 | |||||
Total return (c) | 16.26% | (8.13)% | 21.42% | 9.35% | (2.71)% | 2.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $415,502 | $300,431 | $212,217 | $48,016 | $5,736 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.22%(e) | 0.23% | 0.25% | 0.90% | 4.65% | 59.52%(e) | |||||
Net expenses (d) | 0.05%(e) | 0.07% | 0.07% | 0.05% | 0.02% | 0.17%(e) | |||||
Net investment income (loss) | 0.18%(e) | 2.30% | 2.37% | 2.61% | 2.82% | 2.48%(e) | |||||
Portfolio turnover rate | 5%(f) | 11% | 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. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.70 | $12.25 | $10.32 | $9.60 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.31 | 0.11 | 0.16 | 0.22 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.72 | (1.29) | 2.11 | 0.73 | (0.49) | 0.16 | |||||
Total from investment operations | 1.73 | (0.98) | 2.22 | 0.89 | (0.27) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.25) | (0.24) | (0.15) | (0.18) | (0.16) | |||||
Net realized gains | — | (0.32) | (0.05) | (0.02) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.57) | (0.29) | (0.17) | (0.19) | (0.16) | |||||
Net asset value, end of period | $12.43 | $10.70 | $12.25 | $10.32 | $9.60 | $10.06 | |||||
Total return (c) | 16.17% | (7.93)%(d) | 21.60% | 9.33% | (2.65)% | 2.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $196 | $130 | $105 | $271 | $222 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.33%(f) | 0.40% | 0.52% | 2.09% | 7.69% | 59.62%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.07% | 0.06% | 0.04% | 0.02% | 0.37%(f) | |||||
Net investment income (loss) | 0.18%(f) | 2.53% | 0.95% | 1.58% | 2.20% | 2.28%(f) | |||||
Portfolio turnover rate | 5%(g) | 16% | 7% | 14% | 40% | 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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.93)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.68 | $12.23 | $10.31 | $9.59 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.30 | 0.31 | 0.26 | 0.27 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.72 | (1.28) | 1.90 | 0.63 | (0.55) | 0.16 | |||||
Total from investment operations | 1.73 | (0.98) | 2.21 | 0.89 | (0.28) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.25) | (0.24) | (0.15) | (0.18) | (0.16) | |||||
Net realized gains | — | (0.32) | (0.05) | (0.02) | (0.01) | (0.00)(b) | |||||
Total distributions | — | (0.57) | (0.29) | (0.17) | (0.19) | (0.16) | |||||
Net asset value, end of period | $12.41 | $10.68 | $12.23 | $10.31 | $9.59 | $10.06 | |||||
Total return (c) | 16.20% | (7.94)%(d) | 21.53% | 9.34% | (2.75)% | 2.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $203,004 | $132,520 | $81,529 | $18,718 | $3,043 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.33%(f) | 0.40% | 0.51% | 2.09% | 7.69% | 59.42%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.07% | 0.07% | 0.05% | 0.02% | 0.17%(f) | |||||
Net investment income (loss) | 0.18%(f) | 2.49% | 2.67% | 2.61% | 2.64% | 2.48%(f) | |||||
Portfolio turnover rate | 5%(g) | 16% | 7% | 14% | 40% | 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) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.94)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.28 | $11.91 | $10.09 | $9.50 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.30 | 0.15 | 0.15 | 0.20 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.67 | (1.27) | 2.01 | 0.71 | (0.46) | 0.16 | |||||
Total from investment operations | 1.68 | (0.97) | 2.16 | 0.86 | (0.26) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.24) | (0.23) | (0.14) | (0.19) | (0.16) | |||||
Net realized gains | — | (0.42) | (0.11) | (0.13) | (0.11) | (0.00)(b) | |||||
Total distributions | — | (0.66) | (0.34) | (0.27) | (0.30) | (0.16) | |||||
Net asset value, end of period | $11.96 | $10.28 | $11.91 | $10.09 | $9.50 | $10.06 | |||||
Total return (c) | 16.34% | (8.13)% | 21.45% | 9.09% | (2.53)% | 2.18% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $149 | $121 | $103 | $170 | $162 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 1.03%(e) | 1.56% | 3.13% | 11.36% | 29.76% | 59.48%(e) | |||||
Net expenses (d) | 0.03%(e) | 0.06% | 0.06% | 0.05% | 0.02% | 0.37%(e) | |||||
Net investment income (loss) | 0.21%(e) | 2.55% | 1.31% | 1.51% | 1.96% | 2.29%(e) | |||||
Portfolio turnover rate | 31%(f) | 38% | 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. 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. |
Class K | |||||||||||
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $10.28 | $11.91 | $10.08 | $9.49 | $10.06 | $10.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.34 | 0.33 | 0.29 | 0.19 | 0.06 | |||||
Net realized and unrealized gain (loss) | 1.67 | (1.31) | 1.84 | 0.57 | (0.45) | 0.16 | |||||
Total from investment operations | 1.68 | (0.97) | 2.17 | 0.86 | (0.26) | 0.22 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (0.24) | (0.23) | (0.14) | (0.20) | (0.16) | |||||
Net realized gains | — | (0.42) | (0.11) | (0.13) | (0.11) | (0.00)(b) | |||||
Total distributions | — | (0.66) | (0.34) | (0.27) | (0.31) | (0.16) | |||||
Net asset value, end of period | $11.96 | $10.28 | $11.91 | $10.08 | $9.49 | $10.06 | |||||
Total return (c) | 16.34% | (8.13)% | 21.57% | 8.98% | (2.53)% | 2.24% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $46,551 | $25,829 | $12,141 | $3,344 | $269 | $168 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 1.04%(e) | 1.56% | 3.07% | 11.36% | 29.76% | 59.28%(e) | |||||
Net expenses (d) | 0.03%(e) | 0.06% | 0.07% | 0.06% | 0.02% | 0.17%(e) | |||||
Net investment income (loss) | 0.21%(e) | 2.87% | 2.94% | 2.91% | 1.88% | 2.49%(e) | |||||
Portfolio turnover rate | 31%(f) | 38% | 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. 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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Target Retirement Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2015 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2020 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2025 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2030 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2035 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2040 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2045 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2050 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2055 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 2060 Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
Purchases | Sales | ||
State Street Target Retirement Fund | $33,910,456 | $20,842,757 | |
State Street Target Retirement 2015 Fund | 36,228,424 | 34,856,224 | |
State Street Target Retirement 2020 Fund | 128,980,736 | 88,368,074 | |
State Street Target Retirement 2025 Fund | 206,027,074 | 109,591,791 | |
State Street Target Retirement 2030 Fund | 196,421,757 | 91,934,664 | |
State Street Target Retirement 2035 Fund | 153,606,638 | 71,297,467 | |
State Street Target Retirement 2040 Fund | 125,475,324 | 45,503,864 | |
State Street Target Retirement 2045 Fund | 105,750,862 | 31,341,528 | |
State Street Target Retirement 2050 Fund | 82,008,536 | 17,603,043 | |
State Street Target Retirement 2055 Fund | 55,357,059 | 8,167,318 | |
State Street Target Retirement 2060 Fund | 26,930,372 | 11,488,958 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $246,860,926 | $5,568,058 | $266,936 | $5,301,122 | |||
State Street Target Retirement 2015 Fund | 295,229,747 | 7,435,019 | 91,590 | 7,343,429 | |||
State Street Target Retirement 2020 Fund | 981,181,497 | 39,000,663 | — | 39,000,663 | |||
State Street Target Retirement 2025 Fund | 1,226,040,223 | 59,059,053 | — | 59,059,053 | |||
State Street Target Retirement 2030 Fund | 1,164,982,519 | 73,415,962 | — | 73,415,962 | |||
State Street Target Retirement 2035 Fund | 945,657,725 | 58,106,738 | — | 58,106,738 | |||
State Street Target Retirement 2040 Fund | 761,687,135 | 53,130,227 | — | 53,130,227 | |||
State Street Target Retirement 2045 Fund | 581,275,563 | 34,805,781 | — | 34,805,781 | |||
State Street Target Retirement 2050 Fund | 387,954,948 | 26,267,624 | — | 26,267,624 | |||
State Street Target Retirement 2055 Fund | 192,700,448 | 9,679,075 | — | 9,679,075 | |||
State Street Target Retirement 2060 Fund | 44,681,368 | 1,584,985 | — | 1,584,985 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 22,542,884 | $ 22,888,894 | $ 149,854 | $ 23,038,748 | ||||
State Street Target Retirement 2015 Fund | 23,329,024 | 23,739,669 | 94,674 | 23,834,343 | ||||
State Street Target Retirement 2020 Fund | 59,060,941 | 44,887,955 | 15,396,444 | 60,284,399 | ||||
State Street Target Retirement 2025 Fund | 65,699,644 | 55,993,683 | 11,091,069 | 67,084,752 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement 2030 Fund | $39,093,912 | $39,921,891 | $— | $39,921,891 | ||||
State Street Target Retirement 2035 Fund | 6,526,160 | 6,664,543 | — | 6,664,543 | ||||
State Street Target Retirement 2040 Fund | 11,448 | 11,700 | — | 11,700 | ||||
State Street Target Retirement 2045 Fund | 22,896 | 23,400 | — | 23,400 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
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 | $22,888,894 | $— | $— | $— | $22,888,894 | $22,888,894 | |||||||
State Street Target Retirement 2015 Fund | Mutual Funds and Exchange Traded Products | 23,769,669 | — | — | — | 23,769,669 | 23,769,669 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 44,887,955 | — | — | — | 44,887,955 | 44,887,955 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 55,993,683 | — | — | — | 55,993,683 | 55,993,683 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 39,921,891 | — | — | — | 39,921,891 | 39,921,891 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 6,664,543 | — | — | — | 6,664,543 | 6,664,543 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 11,700 | — | — | — | 11,700 | 11,700 | |||||||
State Street Target Retirement 2045 Fund | Mutual Funds and Exchange Traded Products | 23,400 | — | — | — | 23,400 | 23,400 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | |||||
State Street Target Retirement Fund | |||||||||
Class I | (0.03)% | $1,092.80 | $(0.16) | $1,024.90 | $(0.15) | ||||
Class K | (0.03) | 1,093.00 | (0.16) | 1,024.90 | (0.15) | ||||
State Street Target Retirement 2015 Fund | |||||||||
Class I | (0.02) | 1,096.90 | (0.10) | 1,024.90 | (0.10) | ||||
Class K | (0.03) | 1,096.90 | (0.16) | 1,024.90 | (0.15) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.01 | 1,114.70 | 0.05 | 1,024.70 | 0.05 | ||||
Class K | (0.01) | 1,115.60 | (0.05) | 1,024.80 | (0.05) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.03 | 1,133.90 | 0.16 | 1,024.60 | 0.15 | ||||
Class K | 0.01 | 1,133.60 | 0.05 | 1,024.70 | 0.05 | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.05 | 1,143.40 | 0.27 | 1,024.50 | 0.25 | ||||
Class K | 0.04 | 1,143.10 | 0.21 | 1,024.60 | 0.20 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.07 | 1,150.00 | 0.37 | 1,024.40 | 0.35 | ||||
Class K | 0.05 | 1,149.60 | 0.27 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2040 Fund |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | |||||
Class I | 0.07% | $1,155.70 | $0.37 | $1,024.40 | $0.35 | ||||
Class K | 0.05 | 1,156.60 | 0.27 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2045 Fund | |||||||||
Class I | 0.09 | 1,161.60 | 0.48 | 1,024.30 | 0.45 | ||||
Class K | 0.05 | 1,161.60 | 0.27 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.09 | 1,162.60 | 0.48 | 1,024.30 | 0.45 | ||||
Class K | 0.05 | 1,162.60 | 0.27 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.05 | 1,161.70 | 0.27 | 1,024.50 | 0.25 | ||||
Class K | 0.05 | 1,162.00 | 0.27 | 1,024.50 | 0.25 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.03 | 1,163.40 | 0.16 | 1,024.60 | 0.15 | ||||
Class K | 0.03 | 1,163.40 | 0.16 | 1,024.60 | 0.15 |
(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. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each 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 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 and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning 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 (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
2 | |
5 | |
6 | |
7 | |
8 | |
9 | |
16 |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 96.6% | ||
Short-Term Investment | 4.6 | ||
Liabilities in Excess of Other Assets | (1.2) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.6% | ||||||
UNITED STATES — 96.6% | ||||||
State Street International Developed Equity Portfolio (a) (Cost: $3,061,767,400) | $3,336,208,233 | |||||
SHORT-TERM INVESTMENT — 4.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $157,334,566) | 157,334,566 | 157,334,566 | ||||
TOTAL INVESTMENTS — 101.2% (Cost $3,219,101,966) | 3,493,542,799 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)% | (39,751,002) | |||||
NET ASSETS — 100.0% | $3,453,791,797 |
(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, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital | USD3,513,717 | SGD4,834,000 | 07/02/2019 | $59,216 | ||||
BNP Paribas SA | HKD22,523,000 | USD2,883,226 | 08/02/2019 | (97) | ||||
BNP Paribas SA | NOK2,997,000 | USD351,901 | 08/02/2019 | 19 | ||||
BNP Paribas SA | SEK30,056,000 | USD3,246,807 | 08/02/2019 | (265) | ||||
Citibank N.A. | AUD341,729,050 | USD236,960,049 | 07/02/2019 | (2,848,296) | ||||
Citibank N.A. | DKK400,974,566 | USD59,986,172 | 07/02/2019 | (1,193,957) | ||||
Citibank N.A. | ILS36,463,174 | USD10,067,277 | 07/02/2019 | (156,377) | ||||
Citibank N.A. | JPY45,975,924,805 | USD424,408,170 | 07/02/2019 | (2,322,152) | ||||
Citibank N.A. | USD532,184,764 | EUR467,320,657 | 07/02/2019 | 192 | ||||
Citibank N.A. | USD22,868,329 | NOK194,976,520 | 07/02/2019 | — | ||||
Citibank N.A. | EUR467,320,657 | USD533,540,929 | 08/02/2019 | (3,930) | ||||
Citibank N.A. | NOK194,976,520 | USD22,891,688 | 08/02/2019 | (753) | ||||
HSBC Bank USA | USD285,335,871 | GBP224,197,274 | 07/02/2019 | 45 | ||||
HSBC Bank USA | USD124,045,317 | HKD969,104,035 | 07/02/2019 | — | ||||
HSBC Bank USA | GBP224,197,274 | USD285,773,504 | 08/02/2019 | (6,322) | ||||
HSBC Bank USA | HKD969,104,035 | USD124,058,020 | 08/02/2019 | (3,628) | ||||
JP Morgan Chase Bank, N.A. | GBP8,124,000 | USD10,355,638 | 08/02/2019 | 136 | ||||
Royal Bank of Canada | USD8,730,903 | SEK82,907,000 | 07/02/2019 | 204,775 | ||||
Royal Bank of Canada | USD29,613,358 | JPY3,207,787,000 | 07/02/2019 | 160,051 | ||||
Royal Bank of Canada | USD2,062,496 | NOK18,033,000 | 07/02/2019 | 52,552 | ||||
Royal Bank of Canada | CHF6,213,000 | USD6,391,107 | 08/02/2019 | 118 | ||||
Royal Bank of Canada | DKK10,696,000 | USD1,636,511 | 08/02/2019 | 51 | ||||
Royal Bank of Canada | SGD2,864,000 | USD2,117,966 | 08/02/2019 | (49) | ||||
Societe Generale | CHF308,634,571 | USD307,659,291 | 07/02/2019 | (8,888,987) | ||||
Societe Generale | GBP226,806,274 | USD286,279,415 | 07/02/2019 | (2,376,975) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Societe Generale | JPY45,975,924,805 | USD424,402,293 | 07/02/2019 | $(2,328,028) | ||||
Standard Chartered Bank | GBP226,806,273 | USD286,279,414 | 07/02/2019 | (2,376,975) | ||||
Standard Chartered Bank | HKD1,022,061,035 | USD130,379,063 | 07/02/2019 | (444,749) | ||||
Standard Chartered Bank | USD44,111,238 | SGD59,680,299 | 07/02/2019 | — | ||||
Standard Chartered Bank | USD88,211,456 | SEK818,443,531 | 07/02/2019 | — | ||||
Standard Chartered Bank | USD8,328,178 | NZD12,399,581 | 07/02/2019 | (2) | ||||
Standard Chartered Bank | USD532,184,764 | EUR467,320,657 | 07/02/2019 | 192 | ||||
Standard Chartered Bank | EUR467,320,657 | USD533,540,929 | 08/02/2019 | (3,930) | ||||
Standard Chartered Bank | NZD12,399,581 | USD8,333,882 | 08/02/2019 | (246) | ||||
Standard Chartered Bank | SEK818,443,531 | USD88,417,963 | 08/02/2019 | (1,815) | ||||
Standard Chartered Bank | SGD59,680,299 | USD44,134,072 | 08/02/2019 | (1,306) | ||||
Toronto Dominion Bank | USD9,798,024 | JPY1,053,026,000 | 08/02/2019 | (784) | ||||
UBS AG | EUR493,970,657 | USD551,750,405 | 07/02/2019 | (10,783,582) | ||||
UBS AG | ILS3,581,000 | USD988,673 | 07/02/2019 | (15,378) | ||||
UBS AG | NZD12,399,581 | USD8,087,254 | 07/02/2019 | (240,922) | ||||
UBS AG | SEK901,350,531 | USD94,908,975 | 07/02/2019 | (2,238,159) | ||||
UBS AG | SGD64,514,299 | USD46,883,688 | 07/02/2019 | (800,483) | ||||
UBS AG | USD2,875,546 | DKK19,219,000 | 07/02/2019 | 56,862 | ||||
UBS AG | USD2,070,616 | CHF2,077,000 | 07/02/2019 | 59,640 | ||||
UBS AG | USD6,755,959 | HKD52,957,000 | 07/02/2019 | 22,536 | ||||
UBS AG | USD314,418,022 | CHF306,557,571 | 07/02/2019 | — | ||||
UBS AG | USD285,335,869 | GBP224,197,273 | 07/02/2019 | 45 | ||||
UBS AG | USD411,843,617 | JPY44,372,031,305 | 07/02/2019 | — | ||||
UBS AG | CHF306,557,571 | USD315,326,810 | 08/02/2019 | (12,974) | ||||
UBS AG | GBP224,197,273 | USD285,768,570 | 08/02/2019 | (11,254) | ||||
UBS AG | JPY44,372,031,305 | USD412,816,844 | 08/02/2019 | (15,747) | ||||
Westpac Banking Corp. | AUD7,522,000 | USD5,215,890 | 07/02/2019 | (62,673) | ||||
Westpac Banking Corp. | EUR493,970,657 | USD551,767,200 | 07/02/2019 | (10,766,787) | ||||
Westpac Banking Corp. | NOK213,009,520 | USD24,359,396 | 07/02/2019 | (623,981) | ||||
Westpac Banking Corp. | USD59,538,658 | EUR53,300,000 | 07/02/2019 | 1,159,403 | ||||
Westpac Banking Corp. | USD6,586,280 | GBP5,218,000 | 07/02/2019 | 54,670 | ||||
Westpac Banking Corp. | USD245,086,924 | AUD349,251,050 | 07/02/2019 | (16) | ||||
Westpac Banking Corp. | USD11,227,706 | ILS40,044,174 | 07/02/2019 | — | ||||
Westpac Banking Corp. | USD58,247,721 | DKK381,755,566 | 07/02/2019 | — | ||||
Westpac Banking Corp. | USD411,843,617 | JPY44,372,031,305 | 07/02/2019 | — | ||||
Westpac Banking Corp. | AUD2,359,000 | USD1,657,183 | 08/02/2019 | (61) | ||||
Westpac Banking Corp. | AUD349,251,050 | USD245,350,609 | 08/02/2019 | (5,223) | ||||
Westpac Banking Corp. | DKK381,755,566 | USD58,404,560 | 08/02/2019 | (3,038) | ||||
Westpac Banking Corp. | EUR22,256,000 | USD25,410,521 | 08/02/2019 | 614 | ||||
Westpac Banking Corp. | ILS40,044,174 | USD11,248,759 | 08/02/2019 | (332) | ||||
Westpac Banking Corp. | JPY44,372,031,305 | USD412,826,446 | 08/02/2019 | (6,146) | ||||
Total | $(46,715,262) |
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 | =United States Dollar |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE (long) | 1,220 | 09/20/2019 | $114,183,854 | $117,321,300 | $3,137,446 |
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 | $3,336,208,233 | $— | $— | $3,336,208,233 | ||||
Short-Term Investment | 157,334,566 | — | — | 157,334,566 | ||||
TOTAL INVESTMENTS | $3,493,542,799 | $— | $— | $3,493,542,799 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | 1,831,117 | — | 1,831,117 | ||||
Futures Contracts(b) | 3,137,446 | — | — | 3,137,446 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $3,137,446 | $1,831,117 | $— | $4,968,563 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,496,680,245 | $1,831,117 | $— | $3,498,511,362 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | (48,546,379) | — | (48,546,379) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $— | $(48,546,379) | $— | $(48,546,379) |
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 166,240,904 | $166,240,904 | $168,696,001 | $177,602,339 | $— | $— | 157,334,566 | $157,334,566 | $1,636,174 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,336,208,233 |
Investment in affiliated issuers, at value | 157,334,566 |
Total Investments | 3,493,542,799 |
Foreign currency, at value | 486,983 |
Cash at broker | 5,615,567 |
Receivable from broker — accumulated variation margin on open futures contracts | 3,140,960 |
Receivable for fund shares sold | 795,593 |
Unrealized appreciation on forward foreign currency exchange contracts | 1,831,117 |
Dividends receivable — affiliated issuers | 297,409 |
Receivable from Adviser | 143,809 |
Receivable for foreign taxes recoverable | 233,343 |
Prepaid expenses and other assets | 307,509 |
TOTAL ASSETS | 3,506,395,089 |
LIABILITIES | |
Payable for fund shares repurchased | 3,235,637 |
Unrealized depreciation on forward foreign currency exchange contracts | 48,546,379 |
Advisory fee payable | 391,377 |
Custodian fees payable | 25,674 |
Administration fees payable | 139,787 |
Transfer agent fees payable | 1,124 |
Registration and filing fees payable | 511 |
Professional fees payable | 21,529 |
Printing and postage fees payable | 22,488 |
Accrued expenses and other liabilities | 218,786 |
TOTAL LIABILITIES | 52,603,292 |
NET ASSETS | $3,453,791,797 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,145,719,116 |
Total distributable earnings (loss) | 308,072,681 |
NET ASSETS | $3,453,791,797 |
Class K | |
Net Assets | $3,453,791,797 |
Shares Outstanding | 340,799,034 |
Net asset value, offering and redemption price per share | $10.13 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $3,061,767,400 |
Investment in affiliated issuers | 157,334,566 |
Total cost of investments | $3,219,101,966 |
Foreign currency, at cost | $472,084 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $79,584,507 |
Interest income — unaffiliated issuers | 74,370 |
Dividend income — affiliated issuers | 1,636,174 |
Expenses allocated from affiliated Portfolio | (2,259,428) |
Foreign taxes withheld allocated from affiliated Portfolio | (6,501,981) |
TOTAL INVESTMENT INCOME (LOSS) | 72,533,642 |
EXPENSES | |
Advisory fee | 2,285,047 |
Administration fees | 816,088 |
Custodian fees | 76,884 |
Trustees’ fees and expenses | 9,001 |
Transfer agent fees | 5,582 |
Registration and filing fees | 52,592 |
Professional fees and expenses | 26,302 |
Printing and postage fees | 9,550 |
Insurance expense | 9,036 |
Miscellaneous expenses | 236,338 |
TOTAL EXPENSES | 3,526,420 |
Expenses waived/reimbursed by the Adviser | (2,520,822) |
NET EXPENSES | 1,005,598 |
NET INVESTMENT INCOME (LOSS) | $71,528,044 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (10,893,866) |
Foreign currency transactions allocated from affiliated Portfolio | 137,012 |
Futures contracts allocated from affiliated Portfolio | 3,298,241 |
Forward foreign currency exchange contracts | 51,124,660 |
Foreign currency transactions | (14,727) |
Futures contracts | 11,403,847 |
Net realized gain (loss) | 55,055,167 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 338,411,328 |
Foreign currency transactions allocated from affiliated Portfolio | 150,854 |
Future contracts allocated from affiliated Portfolio | 2,097,082 |
Forward foreign currency exchange contracts | (20,511,201) |
Foreign currency translations | 20,483 |
Futures contracts | 6,609,349 |
Net change in unrealized appreciation/depreciation | 326,777,895 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 381,833,062 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $453,361,106 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $71,528,044 | $89,031,961 | |
Net realized gain (loss) | 55,055,167 | 144,117,824 | |
Net change in unrealized appreciation/depreciation | 326,777,895 | (520,332,594) | |
Net increase (decrease) in net assets resulting from operations | 453,361,106 | (287,182,809) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (203,340,267) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 311,509,386 | 1,113,683,573 | |
Reinvestment of distributions | — | 202,565,404 | |
Cost of shares redeemed | (233,922,929) | (797,282,077) | |
Net increase (decrease) in net assets from beneficial interest transactions | 77,586,457 | 518,966,900 | |
Net increase (decrease) in net assets during the period | 530,947,563 | 28,443,824 | |
Net assets at beginning of period | 2,922,844,234 | 2,894,400,410 | |
NET ASSETS AT END OF PERIOD | $3,453,791,797 | $2,922,844,234 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 32,588,421 | 110,007,830 | |
Reinvestment of distributions | — | 23,176,820 | |
Shares redeemed | (24,173,050) | (79,182,431) | |
Net increase (decrease) from share transactions | 8,415,371 | 54,002,219 |
Class K | |||||||||
Six Months Ended 06/30/19 (Unaudited) | Year Ended 12/31/18 | 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 | $8.79 | $10.40 | $9.18 | $9.00 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.21 | 0.29 | 0.27 | 0.24 | 0.09 | ||||
Net realized and unrealized gain (loss) | 1.13 | (1.26) | 1.27 | 0.34 | (1.00) | ||||
Total from investment operations | 1.34 | (0.97) | 1.54 | 0.58 | (0.91) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | — | (0.50) | — | (0.20) | (0.06) | ||||
Net realized gains | — | (0.14) | (0.32) | (0.20) | (0.03) | ||||
Total distributions | — | (0.64) | (0.32) | (0.40) | (0.09) | ||||
Net asset value, end of period | $10.13 | $8.79 | $10.40 | $9.18 | $9.00 | ||||
Total return (c) | 15.24% | (9.25)% | 16.85% | 6.27% | (9.01)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,453,792 | $2,922,844 | $2,894,400 | $2,113,394 | $958,544 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.35%(d) | 0.36% | 0.35% | 0.34% | 0.38%(d) | ||||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 4.38%(d) | 2.85% | 2.69% | 2.79% | 1.60%(d) | ||||
Portfolio turnover rate (e) | 2%(f) | 14% | 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 affiliated 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 affiliated Portfolio. |
(f) | Not annualized. |
Fund | Classes | Commencement of Operations: | Diversification Classification |
State Street Hedged International Developed Equity Index Fund | Class K | May 29, 2015 | Diversified |
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 | $— | $1,831,117 | $— | $— | $— | $1,831,117 | |||||
Futures Contracts | — | — | — | 3,140,960 | — | 3,140,960 |
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 | $— | $(48,546,379) | $— | $— | $— | $(48,546,379) |
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 | $— | $51,124,660 | $— | $— | $— | $51,124,660 | |||||
Futures Contracts | — | — | — | 11,403,847 | — | 11,403,847 |
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 | $— | $(20,511,201) | $— | $— | $— | $(20,511,201) | |||||
Futures Contracts | — | — | — | 6,609,349 | — | 6,609,349 |
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 | ||||
Barclays Capital | $59,216 | $— | $— | $59,216 | ||||
BNP Paribas SA | 19 | (19) | — | — | ||||
Citibank N.A. | 192 | (192) | — | — | ||||
HSBC Bank USA | 45 | (45) | — | — |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
JP Morgan Chase Bank, N.A. | $136 | $— | $— | $136 | ||||
Royal Bank of Canada | 417,547 | (49) | — | 417,498 | ||||
Standard Chartered Bank | 192 | (192) | — | — | ||||
UBS AG | 139,083 | (139,083) | — | — | ||||
Westpac Banking Corp. | 1,214,687 | (1,214,687) | — | — | ||||
$1,831,117 | $(1,354,267) | $— | $476,850 |
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 | ||||
BNP Paribas SA | $(362) | $19 | $— | $(343) | ||||
Citibank N.A. | (6,525,465) | 192 | — | (6,525,273) | ||||
HSBC Bank USA | (9,950) | 45 | — | (9,905) | ||||
Royal Bank of Canada | (49) | 49 | — | — | ||||
Societe Generale | (13,593,990) | — | — | (13,593,990) | ||||
Standard Chartered Bank | (2,829,023) | 192 | — | (2,828,831) | ||||
Toronto Dominion Bank | (784) | — | — | (784) | ||||
UBS AG | (14,118,499) | 139,083 | — | (13,979,416) | ||||
Westpac Banking Corp. | (11,468,257) | 1,214,687 | — | (10,253,570) | ||||
$(48,546,379) | $1,354,267 | $— | $(47,192,112) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,219,101,966 | $277,578,279 | $46,715,262 | $230,863,017 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Hedged International Developed Equity Index Fund | |||||||||
Class K | 0.20% | $1,152.40 | $1.07 | $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. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the 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; 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 and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning 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 (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
2 | |
14 | |
15 | |
16 | |
17 | |
18 | |
25 |
Description | Market Value | % of Net Assets | ||
Nestle SA | 74,475,726 | 2.2% | ||
Novartis AG | 46,564,687 | 1.4 | ||
Roche Holding AG | 46,462,611 | 1.4 | ||
HSBC Holdings PLC | 39,282,700 | 1.2 | ||
Royal Dutch Shell PLC Class A | 34,209,462 | 1.0 | ||
TOTAL | 240,995,186 | 7.2% |
Description | % of Net Assets | ||
Banks | 10.7% | ||
Pharmaceuticals | 7.8 | ||
Insurance | 5.9 | ||
Oil & Gas | 5.5 | ||
Food | 5.2 | ||
TOTAL | 35.1% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.7% | |||||
AUSTRALIA — 7.2% | |||||
AGL Energy, Ltd. | 153,286 | $2,152,445 | |||
Alumina, Ltd. | 579,490 | 947,511 | |||
AMP, Ltd. | 681,231 | 1,013,474 | |||
APA Group | 269,832 | 2,045,030 | |||
Aristocrat Leisure, Ltd. | 136,175 | 2,935,628 | |||
ASX, Ltd. | 43,975 | 2,541,893 | |||
Aurizon Holdings, Ltd. | 459,438 | 1,741,017 | |||
AusNet Services | 369,251 | 485,853 | |||
Australia & New Zealand Banking Group, Ltd. | 677,209 | 13,406,277 | |||
Bank of Queensland, Ltd. (a) | 98,749 | 660,401 | |||
Bendigo & Adelaide Bank, Ltd. | 116,926 | 950,172 | |||
BHP Group PLC | 492,657 | 12,634,144 | |||
BHP Group, Ltd. | 696,875 | 20,128,557 | |||
BlueScope Steel, Ltd. | 128,543 | 1,086,971 | |||
Boral, Ltd. | 278,445 | 1,000,442 | |||
Brambles, Ltd. | 379,149 | 3,426,953 | |||
Caltex Australia, Ltd. | 61,250 | 1,063,809 | |||
Challenger, Ltd. | 131,897 | 614,590 | |||
CIMIC Group, Ltd. | 24,790 | 778,836 | |||
Coca-Cola Amatil, Ltd. | 124,122 | 890,189 | |||
Cochlear, Ltd. | 13,508 | 1,960,686 | |||
Coles Group, Ltd. (b) | 256,110 | 2,399,331 | |||
Commonwealth Bank of Australia | 418,317 | 24,300,395 | |||
Computershare, Ltd. | 107,125 | 1,218,586 | |||
Crown Resorts, Ltd. | 91,949 | 803,339 | |||
CSL, Ltd. | 107,269 | 16,184,343 | |||
Dexus REIT | 254,040 | 2,313,978 | |||
Domino's Pizza Enterprises, Ltd. (a) | 14,800 | 390,925 | |||
Flight Centre Travel Group, Ltd. | 14,844 | 432,817 | |||
Fortescue Metals Group, Ltd. | 374,592 | 2,371,087 | |||
Goodman Group REIT | 378,256 | 3,989,580 | |||
GPT Group REIT | 429,002 | 1,851,471 | |||
Harvey Norman Holdings, Ltd. (a) | 169,194 | 483,239 | |||
Incitec Pivot, Ltd. | 390,151 | 933,619 | |||
Insurance Australia Group, Ltd. | 539,392 | 3,126,561 | |||
LendLease Group | 134,854 | 1,230,239 | |||
Macquarie Group, Ltd. | 77,280 | 6,800,055 | |||
Medibank Pvt, Ltd. | 644,191 | 1,577,693 | |||
Mirvac Group REIT | 962,862 | 2,114,905 | |||
National Australia Bank, Ltd. | 658,736 | 12,351,800 | |||
Newcrest Mining, Ltd. | 177,723 | 3,984,712 | |||
Oil Search, Ltd. | 314,321 | 1,559,463 | |||
Orica, Ltd. | 89,224 | 1,269,164 | |||
Origin Energy, Ltd. | 418,601 | 2,147,336 | |||
QBE Insurance Group, Ltd. | 303,936 | 2,523,186 | |||
Ramsay Health Care, Ltd. | 34,154 | 1,731,417 | |||
REA Group, Ltd. | 10,695 | 720,801 | |||
Santos, Ltd. | 405,936 | 2,016,848 | |||
Scentre Group REIT | 1,261,206 | 3,398,597 | |||
SEEK, Ltd. | 79,431 | 1,179,473 |
Security Description | Shares | Value | |||
Sonic Healthcare, Ltd. | 100,547 | $1,912,145 | |||
South32, Ltd. | 1,148,354 | 2,562,626 | |||
Stockland REIT | 562,237 | 1,645,273 | |||
Suncorp Group, Ltd. | 305,455 | 2,887,335 | |||
Sydney Airport | 259,881 | 1,466,267 | |||
Tabcorp Holdings, Ltd. | 456,790 | 1,426,458 | |||
Telstra Corp., Ltd. | 989,629 | 2,673,718 | |||
TPG Telecom, Ltd. | 98,984 | 447,335 | |||
Transurban Group Stapled Security | 639,034 | 6,610,036 | |||
Treasury Wine Estates, Ltd. | 164,102 | 1,718,166 | |||
Vicinity Centres REIT | 761,248 | 1,308,804 | |||
Washington H Soul Pattinson & Co., Ltd. | 28,102 | 433,655 | |||
Wesfarmers, Ltd. | 270,481 | 6,863,531 | |||
Westpac Banking Corp. | 818,999 | 16,299,414 | |||
Woodside Petroleum, Ltd. | 216,939 | 5,535,335 | |||
Woolworths Group, Ltd. | 304,443 | 7,099,352 | |||
WorleyParsons, Ltd. | 79,653 | 822,237 | |||
239,581,525 | |||||
AUSTRIA — 0.2% | |||||
ANDRITZ AG | 17,424 | 656,785 | |||
Erste Group Bank AG | 71,957 | 2,674,674 | |||
OMV AG | 34,411 | 1,679,174 | |||
Raiffeisen Bank International AG | 34,387 | 807,869 | |||
Verbund AG | 15,343 | 803,740 | |||
Voestalpine AG | 26,238 | 811,836 | |||
7,434,078 | |||||
BELGIUM — 1.0% | |||||
Ageas | 42,731 | 2,224,344 | |||
Anheuser-Busch InBev SA | 176,806 | 15,672,831 | |||
Colruyt SA | 13,634 | 791,847 | |||
Groupe Bruxelles Lambert SA | 18,967 | 1,863,616 | |||
KBC Group NV | 57,052 | 3,744,919 | |||
Proximus SADP | 33,328 | 983,766 | |||
Solvay SA | 17,373 | 1,802,357 | |||
Telenet Group Holding NV | 10,840 | 604,885 | |||
UCB SA | 29,269 | 2,430,536 | |||
Umicore SA (a) | 48,894 | 1,570,190 | |||
31,689,291 | |||||
CHILE — 0.0% (c) | |||||
Antofagasta PLC | 94,425 | 1,117,144 | |||
CHINA — 0.4% | |||||
Alcon, Inc. (b) | 103,208 | 6,380,901 | |||
BeiGene, Ltd. ADR (a)(b) | 7,400 | 917,230 | |||
BOC Hong Kong Holdings, Ltd. | 873,500 | 3,438,096 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 576,000 | 651,376 | |||
11,387,603 | |||||
DENMARK — 1.7% | |||||
AP Moller - Maersk A/S Class A | 887 | 1,031,269 | |||
AP Moller - Maersk A/S Class B | 1,483 | 1,842,323 | |||
Carlsberg A/S Class B | 25,375 | 3,369,137 |
Security Description | Shares | Value | |||
Chr. Hansen Holding A/S | 23,018 | $2,164,830 | |||
Coloplast A/S Class B | 28,393 | 3,213,599 | |||
Danske Bank A/S | 167,842 | 2,656,944 | |||
Demant A/S (a)(b) | 26,000 | 809,674 | |||
DSV A/S | 43,567 | 4,284,908 | |||
Genmab A/S (b) | 13,917 | 2,562,987 | |||
H Lundbeck A/S | 15,024 | 594,404 | |||
ISS A/S | 38,781 | 1,172,187 | |||
Novo Nordisk A/S Class B | 399,339 | 20,381,278 | |||
Novozymes A/S Class B | 49,076 | 2,292,060 | |||
Orsted A/S (d) | 43,866 | 3,798,954 | |||
Pandora A/S | 25,242 | 899,299 | |||
Tryg A/S | 27,932 | 909,473 | |||
Vestas Wind Systems A/S | 45,590 | 3,944,085 | |||
55,927,411 | |||||
FINLAND — 1.1% | |||||
Elisa Oyj | 34,462 | 1,684,018 | |||
Fortum Oyj | 102,743 | 2,273,968 | |||
Kone Oyj Class B | 79,034 | 4,671,205 | |||
Metso Oyj | 26,240 | 1,032,427 | |||
Neste Oyj | 99,139 | 3,368,922 | |||
Nokia Oyj | 1,298,339 | 6,455,345 | |||
Nokian Renkaat Oyj | 25,302 | 791,231 | |||
Nordea Bank Abp | 702,289 | 5,103,180 | |||
Orion Oyj Class B | 24,454 | 897,548 | |||
Sampo Oyj Class A | 102,883 | 4,862,273 | |||
Stora Enso Oyj Class R | 128,218 | 1,509,062 | |||
UPM-Kymmene Oyj | 121,262 | 3,227,238 | |||
Wartsila OYJ Abp | 104,158 | 1,512,937 | |||
37,389,354 | |||||
FRANCE — 11.0% | |||||
Accor SA | 42,977 | 1,847,569 | |||
Aeroports de Paris | 6,888 | 1,217,398 | |||
Air Liquide SA | 101,353 | 14,202,534 | |||
Airbus SE | 137,136 | 19,471,342 | |||
Alstom SA | 35,874 | 1,666,816 | |||
Amundi SA (d) | 13,383 | 935,771 | |||
Arkema SA | 16,140 | 1,503,136 | |||
Atos SE | 22,512 | 1,884,808 | |||
AXA SA | 452,360 | 11,899,913 | |||
BioMerieux | 10,343 | 858,072 | |||
BNP Paribas SA (a) | 265,422 | 12,624,001 | |||
Bollore SA | 199,792 | 882,790 | |||
Bouygues SA | 51,415 | 1,907,020 | |||
Bureau Veritas SA | 73,174 | 1,809,940 | |||
Capgemini SE | 37,106 | 4,620,729 | |||
Carrefour SA (a) | 141,950 | 2,744,863 | |||
Casino Guichard Perrachon SA (a) | 13,917 | 475,461 | |||
Cie de Saint-Gobain | 115,180 | 4,495,750 | |||
Cie Generale des Etablissements Michelin SCA | 40,110 | 5,095,301 | |||
CNP Assurances | 37,775 | 858,643 | |||
Covivio REIT | 11,359 | 1,190,725 | |||
Credit Agricole SA | 271,407 | 3,259,232 |
Security Description | Shares | Value | |||
Danone SA | 143,798 | $12,199,913 | |||
Dassault Aviation SA | 605 | 870,863 | |||
Dassault Systemes SE | 30,250 | 4,833,154 | |||
Edenred | 58,747 | 3,001,184 | |||
Eiffage SA | 18,462 | 1,827,873 | |||
Electricite de France SA | 148,104 | 1,869,606 | |||
Engie SA | 434,559 | 6,601,645 | |||
EssilorLuxottica SA | 66,321 | 8,666,652 | |||
Eurazeo SE | 12,643 | 882,588 | |||
Eutelsat Communications SA | 41,976 | 785,870 | |||
Faurecia SA | 19,469 | 904,811 | |||
Gecina SA REIT | 10,710 | 1,605,066 | |||
Getlink SE | 114,121 | 1,831,151 | |||
Hermes International | 7,322 | 5,288,148 | |||
ICADE REIT (a) | 8,381 | 769,269 | |||
Iliad SA (a) | 5,881 | 661,424 | |||
Imerys SA | 8,119 | 431,045 | |||
Ingenico Group SA (a) | 15,029 | 1,331,207 | |||
Ipsen SA | 9,549 | 1,304,929 | |||
JCDecaux SA | 19,153 | 581,057 | |||
Kering SA | 17,927 | 10,617,985 | |||
Klepierre SA REIT | 47,094 | 1,581,032 | |||
Legrand SA | 61,761 | 4,522,441 | |||
L'Oreal SA | 59,419 | 16,950,429 | |||
LVMH Moet Hennessy Louis Vuitton SE | 65,318 | 27,841,993 | |||
Natixis SA | 222,855 | 898,153 | |||
Orange SA | 473,417 | 7,475,002 | |||
Pernod Ricard SA (a) | 50,265 | 9,276,034 | |||
Peugeot SA | 139,044 | 3,431,301 | |||
Publicis Groupe SA | 49,076 | 2,594,869 | |||
Remy Cointreau SA | 5,928 | 856,003 | |||
Renault SA | 44,419 | 2,796,810 | |||
Safran SA | 77,846 | 11,422,689 | |||
Sanofi | 264,142 | 22,834,109 | |||
Sartorius Stedim Biotech | 6,864 | 1,084,180 | |||
Schneider Electric SE | 128,374 | 11,660,303 | |||
SCOR SE | 37,278 | 1,636,957 | |||
SEB SA | 5,081 | 914,805 | |||
Societe BIC SA (a) | 6,365 | 486,010 | |||
Societe Generale SA | 195,276 | 4,941,292 | |||
Sodexo SA | 21,311 | 2,494,851 | |||
Suez | 93,044 | 1,344,614 | |||
Teleperformance | 14,015 | 2,812,203 | |||
Thales SA | 24,571 | 3,040,186 | |||
TOTAL SA | 558,782 | 31,355,711 | |||
Ubisoft Entertainment SA (b) | 20,143 | 1,579,111 | |||
Unibail-Rodamco-Westfield | 73,380 | 528,848 | |||
Unibail-Rodamco-Westfield REIT | 29,342 | 4,402,384 | |||
Valeo SA (a) | 56,255 | 1,832,208 | |||
Veolia Environnement SA | 123,512 | 3,012,841 | |||
Vinci SA | 118,437 | 12,146,942 | |||
Vivendi SA | 212,130 | 5,848,500 | |||
Wendel SA | 7,128 | 973,273 |
Security Description | Shares | Value | |||
Worldline SA (b)(d) | 19,076 | $1,390,320 | |||
368,283,658 | |||||
GERMANY — 8.6% | |||||
1&1 Drillisch AG | 12,173 | 406,452 | |||
adidas AG | 42,125 | 13,024,389 | |||
Allianz SE | 98,784 | 23,848,995 | |||
Axel Springer SE | 10,775 | 760,162 | |||
BASF SE | 213,626 | 15,550,290 | |||
Bayer AG | 217,092 | 15,065,859 | |||
Bayerische Motoren Werke AG | 78,052 | 5,785,567 | |||
Bayerische Motoren Werke AG Preference Shares | 13,069 | 812,611 | |||
Beiersdorf AG | 23,118 | 2,778,792 | |||
Brenntag AG | 35,735 | 1,762,502 | |||
Carl Zeiss Meditec AG | 10,275 | 1,015,077 | |||
Commerzbank AG | 242,433 | 1,744,567 | |||
Continental AG | 25,923 | 3,785,198 | |||
Covestro AG (d) | 43,724 | 2,226,241 | |||
Daimler AG | 210,017 | 11,701,267 | |||
Delivery Hero SE (b)(d) | 28,152 | 1,278,854 | |||
Deutsche Bank AG | 465,902 | 3,597,260 | |||
Deutsche Boerse AG | 44,711 | 6,334,063 | |||
Deutsche Lufthansa AG | 54,713 | 938,969 | |||
Deutsche Post AG | 228,207 | 7,510,596 | |||
Deutsche Telekom AG | 778,008 | 13,477,769 | |||
Deutsche Wohnen SE | 82,621 | 3,036,246 | |||
E.ON SE | 515,093 | 5,602,503 | |||
Evonik Industries AG | 46,539 | 1,357,295 | |||
Fraport AG Frankfurt Airport Services Worldwide | 10,591 | 911,814 | |||
Fresenius Medical Care AG & Co. KGaA | 49,497 | 3,891,592 | |||
Fresenius SE & Co. KGaA | 96,697 | 5,250,454 | |||
Fuchs Petrolub SE Preference Shares | 16,051 | 632,084 | |||
GEA Group AG | 40,747 | 1,160,068 | |||
Hannover Rueck SE | 14,360 | 2,325,421 | |||
HeidelbergCement AG | 34,121 | 2,765,065 | |||
Henkel AG & Co. KGaA Preference Shares | 41,964 | 4,110,777 | |||
Henkel AG & Co. KGaA | 23,861 | 2,194,213 | |||
HOCHTIEF AG | 6,344 | 773,749 | |||
HUGO BOSS AG | 16,009 | 1,066,517 | |||
Infineon Technologies AG | 266,033 | 4,711,005 | |||
Innogy SE (d)(e) | 8,393 | 398,567 | |||
Innogy SE (e) | 27,779 | 1,191,048 | |||
KION Group AG | 16,364 | 1,033,143 | |||
Knorr-Bremse AG | 12,094 | 1,349,720 | |||
Lanxess AG | 20,021 | 1,191,524 | |||
Merck KGaA | 30,795 | 3,224,978 | |||
METRO AG | 46,138 | 844,612 | |||
MTU Aero Engines AG | 11,921 | 2,844,097 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 34,536 | 8,680,045 |
Security Description | Shares | Value | |||
Porsche Automobil Holding SE Preference Shares | 35,256 | $2,294,145 | |||
Puma SE | 19,160 | 1,279,709 | |||
QIAGEN NV (b) | 53,683 | 2,181,880 | |||
RWE AG | 130,398 | 3,217,936 | |||
SAP SE | 228,726 | 31,454,751 | |||
Sartorius AG Preference Shares | 8,674 | 1,780,995 | |||
Siemens AG | 178,101 | 21,215,128 | |||
Siemens Healthineers AG (d) | 36,386 | 1,537,704 | |||
Symrise AG | 30,804 | 2,969,138 | |||
Telefonica Deutschland Holding AG | 202,170 | 565,678 | |||
ThyssenKrupp AG | 100,059 | 1,461,373 | |||
TUI AG | 110,526 | 1,086,508 | |||
Uniper SE | 49,780 | 1,509,641 | |||
United Internet AG | 30,546 | 1,007,397 | |||
Volkswagen AG | 7,916 | 1,362,579 | |||
Volkswagen AG Preference Shares | 43,464 | 7,336,419 | |||
Vonovia SE | 119,494 | 5,715,352 | |||
Wirecard AG | 27,188 | 4,583,881 | |||
Zalando SE (b)(d) | 28,167 | 1,251,629 | |||
287,763,860 | |||||
HONG KONG — 3.7% | |||||
AIA Group, Ltd. | 2,830,000 | 30,518,720 | |||
ASM Pacific Technology, Ltd. | 66,900 | 685,056 | |||
Bank of East Asia, Ltd. | 280,439 | 784,332 | |||
CK Asset Holdings, Ltd. | 596,179 | 4,666,412 | |||
CK Hutchison Holdings, Ltd. | 623,000 | 6,140,288 | |||
CK Infrastructure Holdings, Ltd. | 156,000 | 1,271,962 | |||
CLP Holdings, Ltd. | 373,500 | 4,121,050 | |||
Dairy Farm International Holdings, Ltd. | 77,000 | 550,550 | |||
Galaxy Entertainment Group, Ltd. | 543,000 | 3,659,386 | |||
Hang Lung Properties, Ltd. | 486,000 | 1,155,825 | |||
Hang Seng Bank, Ltd. | 177,000 | 4,406,592 | |||
Henderson Land Development Co., Ltd. | 339,436 | 1,870,428 | |||
HK Electric Investments & HK Electric Investments, Ltd. | 618,990 | 633,846 | |||
HKT Trust & HKT, Ltd. | 937,000 | 1,487,206 | |||
Hong Kong & China Gas Co., Ltd. | 2,391,785 | 5,302,492 | |||
Hong Kong Exchanges & Clearing, Ltd. | 273,205 | 9,644,792 | |||
Hongkong Land Holdings, Ltd. | 277,400 | 1,786,456 | |||
Hysan Development Co., Ltd. | 131,000 | 676,589 | |||
Jardine Matheson Holdings, Ltd. | 51,300 | 3,232,926 | |||
Jardine Strategic Holdings, Ltd. | 52,400 | 1,998,012 | |||
Kerry Properties, Ltd. | 146,000 | 612,966 | |||
Link REIT | 495,500 | 6,088,704 | |||
Melco Resorts & Entertainment, Ltd. ADR | 58,223 | 1,264,604 | |||
MTR Corp., Ltd. | 350,101 | 2,357,160 |
Security Description | Shares | Value | |||
New World Development Co., Ltd. | 1,463,077 | $2,288,487 | |||
NWS Holdings, Ltd. | 356,810 | 733,487 | |||
PCCW, Ltd. | 1,072,000 | 618,844 | |||
Power Assets Holdings, Ltd. | 334,500 | 2,406,259 | |||
Sands China, Ltd. | 566,400 | 2,707,845 | |||
Shangri-La Asia, Ltd. | 272,000 | 342,938 | |||
Sino Land Co., Ltd. | 803,387 | 1,347,119 | |||
SJM Holdings, Ltd. | 457,000 | 520,029 | |||
Sun Hung Kai Properties, Ltd. | 368,000 | 6,241,280 | |||
Swire Pacific, Ltd. Class A | 116,500 | 1,431,552 | |||
Swire Properties, Ltd. | 280,600 | 1,133,175 | |||
Techtronic Industries Co., Ltd. | 316,000 | 2,418,790 | |||
Vitasoy International Holdings, Ltd. | 172,000 | 826,701 | |||
WH Group, Ltd. (d) | 2,029,809 | 2,057,739 | |||
Wharf Holdings, Ltd. | 297,000 | 786,931 | |||
Wharf Real Estate Investment Co., Ltd. | 283,000 | 1,994,131 | |||
Wheelock & Co., Ltd. | 199,000 | 1,426,432 | |||
Yue Yuen Industrial Holdings, Ltd. | 149,500 | 409,510 | |||
124,607,603 | |||||
IRELAND — 0.7% | |||||
AerCap Holdings NV (b) | 29,414 | 1,529,822 | |||
AIB Group PLC | 205,023 | 839,595 | |||
Bank of Ireland Group PLC | 229,848 | 1,203,008 | |||
CRH PLC | 188,409 | 6,155,733 | |||
DCC PLC | 23,850 | 2,130,844 | |||
Flutter Entertainment PLC | 19,452 | 1,465,130 | |||
James Hardie Industries PLC | 103,561 | 1,359,002 | |||
Kerry Group PLC Class A | 36,195 | 4,327,982 | |||
Kingspan Group PLC | 36,131 | 1,965,133 | |||
Smurfit Kappa Group PLC | 50,213 | 1,521,629 | |||
22,497,878 | |||||
ISRAEL — 0.6% | |||||
Azrieli Group, Ltd. | 10,695 | 716,688 | |||
Bank Hapoalim BM | 275,519 | 2,044,057 | |||
Bank Leumi Le-Israel BM | 360,144 | 2,601,200 | |||
Check Point Software Technologies, Ltd. (a)(b) | 29,510 | 3,411,651 | |||
CyberArk Software, Ltd. (b) | 9,300 | 1,188,912 | |||
Elbit Systems, Ltd. | 6,111 | 909,826 | |||
Israel Chemicals, Ltd. | 162,743 | 852,832 | |||
Israel Discount Bank, Ltd. Class A | 293,896 | 1,200,618 | |||
Mizrahi Tefahot Bank, Ltd. | 33,833 | 780,430 | |||
Nice, Ltd. (b) | 15,007 | 2,041,159 | |||
Teva Pharmaceutical Industries, Ltd. ADR (b) | 140,328 | 1,295,228 | |||
Teva Pharmaceutical Industries, Ltd. (b) | 118,041 | 1,082,262 | |||
Wix.com, Ltd. (b) | 11,300 | 1,605,730 | |||
19,730,593 |
Security Description | Shares | Value | |||
ITALY — 2.0% | |||||
Assicurazioni Generali SpA | 271,361 | $5,117,471 | |||
Atlantia SpA | 111,340 | 2,904,851 | |||
Davide Campari-Milano SpA | 130,799 | 1,283,238 | |||
Enel SpA | 1,867,680 | 13,059,257 | |||
Eni SpA | 584,758 | 9,726,466 | |||
Ferrari NV | 28,636 | 4,656,806 | |||
FinecoBank Banca Fineco SpA | 120,076 | 1,341,445 | |||
Intesa Sanpaolo SpA | 3,427,421 | 7,345,725 | |||
Leonardo SpA | 97,959 | 1,243,289 | |||
Mediobanca Banca di Credito Finanziario SpA | 143,505 | 1,481,598 | |||
Moncler SpA | 40,772 | 1,745,812 | |||
Pirelli & C SpA (d) | 89,601 | 530,392 | |||
Poste Italiane SpA (d) | 124,750 | 1,315,525 | |||
Prysmian SpA (a) | 57,950 | 1,197,782 | |||
Recordati SpA | 22,725 | 948,733 | |||
Snam SpA | 532,702 | 2,651,629 | |||
Telecom Italia SpA (b)(e) | 2,671,651 | 1,460,998 | |||
Telecom Italia SpA (e) | 1,270,582 | 659,949 | |||
Terna Rete Elettrica Nazionale SpA | 335,805 | 2,141,523 | |||
UniCredit SpA | 464,058 | 5,721,210 | |||
66,533,699 | |||||
JAPAN — 23.4% | |||||
ABC-Mart, Inc. | 8,800 | 573,380 | |||
Acom Co., Ltd. (a) | 91,400 | 329,155 | |||
Advantest Corp. | 50,100 | 1,378,750 | |||
Aeon Co., Ltd. | 156,600 | 2,690,427 | |||
AEON Financial Service Co., Ltd. | 30,100 | 484,718 | |||
Aeon Mall Co., Ltd. | 24,100 | 362,820 | |||
AGC, Inc. | 43,200 | 1,493,596 | |||
Air Water, Inc. | 34,400 | 588,766 | |||
Aisin Seiki Co., Ltd. | 38,100 | 1,311,964 | |||
Ajinomoto Co., Inc. | 101,100 | 1,752,875 | |||
Alfresa Holdings Corp. | 45,600 | 1,124,975 | |||
Alps Alpine Co., Ltd. | 51,600 | 869,738 | |||
Amada Holdings Co., Ltd. | 73,000 | 821,877 | |||
ANA Holdings, Inc. | 28,500 | 943,828 | |||
Aozora Bank, Ltd. | 27,800 | 667,262 | |||
Asahi Group Holdings, Ltd. | 84,000 | 3,777,427 | |||
Asahi Intecc Co., Ltd. | 44,000 | 1,083,869 | |||
Asahi Kasei Corp. | 301,400 | 3,212,901 | |||
Astellas Pharma, Inc. | 442,200 | 6,300,139 | |||
Bandai Namco Holdings, Inc. | 46,600 | 2,262,094 | |||
Bank of Kyoto, Ltd. | 12,500 | 483,224 | |||
Benesse Holdings, Inc. | 20,100 | 467,893 | |||
Bridgestone Corp. (a) | 141,100 | 5,555,469 | |||
Brother Industries, Ltd. | 53,900 | 1,018,067 | |||
Calbee, Inc. | 20,900 | 564,110 | |||
Canon, Inc. (a) | 236,100 | 6,894,102 | |||
Casio Computer Co., Ltd. | 43,400 | 538,975 | |||
Central Japan Railway Co. | 34,400 | 6,890,217 | |||
Chiba Bank, Ltd. | 134,000 | 654,205 | |||
Chubu Electric Power Co., Inc. | 157,700 | 2,212,396 |
Security Description | Shares | Value | |||
Chugai Pharmaceutical Co., Ltd. (a) | 51,900 | $3,391,275 | |||
Chugoku Electric Power Co., Inc. | 66,300 | 835,673 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (a) | 29,100 | 737,088 | |||
Concordia Financial Group, Ltd. | 237,100 | 882,468 | |||
Credit Saison Co., Ltd. | 39,200 | 458,801 | |||
CyberAgent, Inc. | 25,800 | 935,112 | |||
Dai Nippon Printing Co., Ltd. | 58,000 | 1,236,013 | |||
Daicel Corp. | 63,200 | 561,960 | |||
Daifuku Co., Ltd. | 24,400 | 1,370,150 | |||
Dai-ichi Life Holdings, Inc. | 260,200 | 3,924,494 | |||
Daiichi Sankyo Co., Ltd. | 133,000 | 6,956,144 | |||
Daikin Industries, Ltd. | 58,700 | 7,663,036 | |||
Daito Trust Construction Co., Ltd. | 16,700 | 2,128,963 | |||
Daiwa House Industry Co., Ltd. | 131,100 | 3,822,026 | |||
Daiwa House REIT Investment Corp. | 466 | 1,124,992 | |||
Daiwa Securities Group, Inc. | 376,300 | 1,648,888 | |||
Denso Corp. | 104,400 | 4,392,474 | |||
Dentsu, Inc. (a) | 50,400 | 1,758,901 | |||
Disco Corp. | 6,500 | 1,066,642 | |||
East Japan Railway Co. | 72,600 | 6,792,352 | |||
Eisai Co., Ltd. | 58,500 | 3,307,254 | |||
Electric Power Development Co., Ltd. | 35,600 | 808,881 | |||
FamilyMart UNY Holdings Co., Ltd. | 57,200 | 1,365,495 | |||
FANUC Corp. | 45,100 | 8,342,705 | |||
Fast Retailing Co., Ltd. | 13,800 | 8,342,250 | |||
Fuji Electric Co., Ltd. | 30,600 | 1,055,123 | |||
FUJIFILM Holdings Corp. | 85,400 | 4,330,241 | |||
Fujitsu, Ltd. | 45,200 | 3,151,498 | |||
Fukuoka Financial Group, Inc. | 40,900 | 746,708 | |||
GMO Payment Gateway, Inc. | 10,800 | 742,788 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 934,444 | |||
Hamamatsu Photonics KK | 31,600 | 1,230,388 | |||
Hankyu Hanshin Holdings, Inc. | 52,000 | 1,863,004 | |||
Hikari Tsushin, Inc. | 4,900 | 1,068,322 | |||
Hino Motors, Ltd. | 63,000 | 530,360 | |||
Hirose Electric Co., Ltd. | 8,010 | 893,635 | |||
Hisamitsu Pharmaceutical Co., Inc. | 13,200 | 521,311 | |||
Hitachi Chemical Co., Ltd. | 25,300 | 687,097 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 644,975 | |||
Hitachi High-Technologies Corp. | 15,800 | 812,437 | |||
Hitachi Metals, Ltd. | 57,400 | 648,374 | |||
Hitachi, Ltd. | 226,000 | 8,283,590 | |||
Honda Motor Co., Ltd. | 380,500 | 9,835,646 | |||
Hoshizaki Corp. | 11,800 | 878,374 | |||
Hoya Corp. | 89,200 | 6,833,644 | |||
Hulic Co., Ltd. (a) | 68,000 | 546,575 | |||
Idemitsu Kosan Co., Ltd. | 48,540 | 1,459,714 |
Security Description | Shares | Value | |||
IHI Corp. | 34,800 | $838,831 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 579,785 | |||
Inpex Corp. | 239,800 | 2,161,850 | |||
Isetan Mitsukoshi Holdings, Ltd. | 80,300 | 651,403 | |||
Isuzu Motors, Ltd. | 128,900 | 1,467,981 | |||
ITOCHU Corp. | 322,400 | 6,165,818 | |||
Itochu Techno-Solutions Corp. | 22,200 | 569,115 | |||
J Front Retailing Co., Ltd. | 52,200 | 598,357 | |||
Japan Airlines Co., Ltd. | 28,300 | 904,371 | |||
Japan Airport Terminal Co., Ltd. | 12,400 | 528,847 | |||
Japan Exchange Group, Inc. | 115,300 | 1,832,129 | |||
Japan Post Bank Co., Ltd. | 90,900 | 923,005 | |||
Japan Post Holdings Co., Ltd. | 364,400 | 4,126,304 | |||
Japan Prime Realty Investment Corp. REIT | 191 | 827,891 | |||
Japan Real Estate Investment Corp. REIT | 325 | 1,978,838 | |||
Japan Retail Fund Investment Corp. REIT | 633 | 1,280,806 | |||
Japan Tobacco, Inc. (a) | 278,100 | 6,141,999 | |||
JFE Holdings, Inc. (a) | 114,700 | 1,684,729 | |||
JGC Corp. | 49,900 | 684,539 | |||
JSR Corp. | 42,300 | 667,833 | |||
JTEKT Corp. | 49,700 | 602,452 | |||
JXTG Holdings, Inc. | 763,900 | 3,789,012 | |||
Kajima Corp. | 100,500 | 1,378,680 | |||
Kakaku.com, Inc. | 33,100 | 639,020 | |||
Kamigumi Co., Ltd. | 24,000 | 568,034 | |||
Kaneka Corp. | 9,800 | 368,387 | |||
Kansai Electric Power Co., Inc. | 162,500 | 1,861,948 | |||
Kansai Paint Co., Ltd. | 39,400 | 826,105 | |||
Kao Corp. (a) | 114,800 | 8,747,986 | |||
Kawasaki Heavy Industries, Ltd. | 33,000 | 775,840 | |||
KDDI Corp. | 416,200 | 10,598,150 | |||
Keihan Holdings Co., Ltd. | 23,800 | 1,037,136 | |||
Keikyu Corp. | 55,000 | 946,956 | |||
Keio Corp. | 23,300 | 1,533,293 | |||
Keisei Electric Railway Co., Ltd. | 28,100 | 1,023,691 | |||
Keyence Corp. | 21,300 | 13,073,779 | |||
Kikkoman Corp. | 33,000 | 1,436,514 | |||
Kintetsu Group Holdings Co., Ltd. | 40,300 | 1,930,091 | |||
Kirin Holdings Co., Ltd. | 190,300 | 4,103,973 | |||
Kobayashi Pharmaceutical Co., Ltd. (a) | 10,700 | 765,704 | |||
Kobe Steel, Ltd. | 62,900 | 411,588 | |||
Koito Manufacturing Co., Ltd. | 23,100 | 1,232,829 | |||
Komatsu, Ltd. | 212,700 | 5,132,913 | |||
Konami Holdings Corp. | 23,100 | 1,082,746 | |||
Konica Minolta, Inc. | 111,800 | 1,088,530 | |||
Kose Corp. | 7,500 | 1,257,889 | |||
Kubota Corp. | 251,700 | 4,188,770 | |||
Kuraray Co., Ltd. | 75,800 | 905,463 | |||
Kurita Water Industries, Ltd. | 23,800 | 590,913 | |||
Kyocera Corp. | 74,700 | 4,877,617 | |||
Kyowa Hakko Kirin Co., Ltd. (a) | 59,900 | 1,078,022 |
Security Description | Shares | Value | |||
Kyushu Electric Power Co., Inc. | 82,000 | $805,235 | |||
Kyushu Railway Co. | 36,500 | 1,063,765 | |||
Lawson, Inc. | 12,000 | 575,831 | |||
LINE Corp. (a)(b) | 16,600 | 464,535 | |||
Lion Corp. | 51,200 | 953,763 | |||
LIXIL Group Corp. | 57,100 | 903,085 | |||
M3, Inc. | 97,400 | 1,780,032 | |||
Makita Corp. | 51,400 | 1,746,092 | |||
Marubeni Corp. | 375,300 | 2,483,654 | |||
Marui Group Co., Ltd. | 48,700 | 991,719 | |||
Maruichi Steel Tube, Ltd. | 16,600 | 461,145 | |||
Mazda Motor Corp. | 127,000 | 1,325,520 | |||
McDonald's Holdings Co. Japan, Ltd. (a) | 16,000 | 705,402 | |||
Mebuki Financial Group, Inc. | 181,300 | 472,854 | |||
Medipal Holdings Corp. | 38,600 | 852,324 | |||
MEIJI Holdings Co., Ltd. | 27,500 | 1,965,380 | |||
Mercari, Inc. (a)(b) | 17,200 | 456,261 | |||
MINEBEA MITSUMI, Inc. | 90,300 | 1,529,585 | |||
MISUMI Group, Inc. | 67,100 | 1,682,794 | |||
Mitsubishi Chemical Holdings Corp. | 292,900 | 2,046,005 | |||
Mitsubishi Corp. | 317,800 | 8,377,130 | |||
Mitsubishi Electric Corp. | 423,100 | 5,572,479 | |||
Mitsubishi Estate Co., Ltd. | 273,300 | 5,086,008 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 478,489 | |||
Mitsubishi Heavy Industries, Ltd. | 77,300 | 3,365,642 | |||
Mitsubishi Materials Corp. | 28,100 | 799,392 | |||
Mitsubishi Motors Corp. | 149,700 | 716,959 | |||
Mitsubishi Tanabe Pharma Corp. | 61,500 | 684,982 | |||
Mitsubishi UFJ Financial Group, Inc. | 2,901,900 | 13,790,355 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 81,700 | 432,993 | |||
Mitsui & Co., Ltd. | 394,000 | 6,414,294 | |||
Mitsui Chemicals, Inc. | 42,100 | 1,042,145 | |||
Mitsui Fudosan Co., Ltd. | 206,200 | 4,999,977 | |||
Mitsui OSK Lines, Ltd. | 27,400 | 655,881 | |||
Mizuho Financial Group, Inc. | 5,670,000 | 8,215,027 | |||
MonotaRO Co., Ltd. (a) | 28,200 | 687,332 | |||
MS&AD Insurance Group Holdings, Inc. | 108,700 | 3,450,473 | |||
Murata Manufacturing Co., Ltd. | 133,100 | 5,979,246 | |||
Nabtesco Corp. | 24,000 | 666,939 | |||
Nagoya Railroad Co., Ltd. | 44,300 | 1,225,713 | |||
NEC Corp. | 60,700 | 2,388,788 | |||
Nexon Co., Ltd. (b) | 121,400 | 1,760,041 | |||
NGK Insulators, Ltd. | 65,800 | 959,456 | |||
NGK Spark Plug Co., Ltd. | 36,100 | 677,503 | |||
NH Foods, Ltd. | 21,000 | 899,527 | |||
Nidec Corp. | 52,700 | 7,202,594 | |||
Nikon Corp. | 75,900 | 1,073,618 | |||
Nintendo Co., Ltd. | 26,400 | 9,676,406 | |||
Nippon Building Fund, Inc. REIT | 324 | 2,219,343 |
Security Description | Shares | Value | |||
Nippon Electric Glass Co., Ltd. (a) | 20,600 | $521,788 | |||
Nippon Express Co., Ltd. | 19,100 | 1,015,807 | |||
Nippon Paint Holdings Co., Ltd. (a) | 36,100 | 1,400,575 | |||
Nippon Prologis REIT, Inc. | 422 | 974,901 | |||
Nippon Steel Corp. | 191,700 | 3,289,895 | |||
Nippon Telegraph & Telephone Corp. | 153,600 | 7,152,508 | |||
Nippon Yusen KK | 36,900 | 592,167 | |||
Nissan Chemical Corp. | 28,300 | 1,275,260 | |||
Nissan Motor Co., Ltd. | 549,000 | 3,931,765 | |||
Nisshin Seifun Group, Inc. | 46,800 | 1,068,138 | |||
Nissin Foods Holdings Co., Ltd. | 14,700 | 946,891 | |||
Nitori Holdings Co., Ltd. | 18,600 | 2,465,268 | |||
Nitto Denko Corp. | 40,000 | 1,974,012 | |||
Nomura Holdings, Inc. | 803,700 | 2,830,182 | |||
Nomura Real Estate Holdings, Inc. | 31,100 | 668,532 | |||
Nomura Real Estate Master Fund, Inc. REIT | 955 | 1,468,753 | |||
Nomura Research Institute, Ltd. | 76,200 | 1,221,435 | |||
NSK, Ltd. | 92,100 | 820,642 | |||
NTT Data Corp. | 149,600 | 1,992,538 | |||
NTT DOCOMO, Inc. | 316,600 | 7,383,121 | |||
Obayashi Corp. | 145,600 | 1,433,837 | |||
Obic Co., Ltd. | 15,200 | 1,721,181 | |||
Odakyu Electric Railway Co., Ltd. | 69,000 | 1,688,816 | |||
Oji Holdings Corp. | 194,000 | 1,119,993 | |||
Olympus Corp. | 268,000 | 2,975,014 | |||
Omron Corp. | 44,700 | 2,331,669 | |||
Ono Pharmaceutical Co., Ltd. | 87,400 | 1,567,262 | |||
Oracle Corp. Japan | 9,900 | 723,158 | |||
Oriental Land Co., Ltd. | 47,900 | 5,930,815 | |||
ORIX Corp. | 313,200 | 4,674,453 | |||
Osaka Gas Co., Ltd. | 85,700 | 1,493,029 | |||
Otsuka Corp. | 22,600 | 909,328 | |||
Otsuka Holdings Co., Ltd. | 89,200 | 2,910,963 | |||
Pan Pacific International Holdings Corp. | 26,700 | 1,695,081 | |||
Panasonic Corp. | 510,700 | 4,254,727 | |||
Park24 Co., Ltd. | 25,300 | 589,175 | |||
PeptiDream, Inc. (b) | 23,400 | 1,196,714 | |||
Persol Holdings Co., Ltd. | 41,200 | 967,860 | |||
Pigeon Corp. | 26,000 | 1,046,130 | |||
Pola Orbis Holdings, Inc. | 20,800 | 581,103 | |||
Rakuten, Inc. | 205,900 | 2,446,185 | |||
Recruit Holdings Co., Ltd. | 282,500 | 9,423,659 | |||
Renesas Electronics Corp. (b) | 191,400 | 950,427 | |||
Resona Holdings, Inc. | 478,200 | 1,991,094 | |||
Ricoh Co., Ltd. | 153,100 | 1,529,011 | |||
Rinnai Corp. | 7,700 | 489,558 | |||
Rohm Co., Ltd. | 22,600 | 1,518,693 | |||
Ryohin Keikaku Co., Ltd. | 5,300 | 957,286 | |||
Sankyo Co., Ltd. | 9,200 | 333,024 | |||
Santen Pharmaceutical Co., Ltd. | 91,100 | 1,509,314 |
Security Description | Shares | Value | |||
SBI Holdings, Inc. | 59,200 | $1,465,439 | |||
Secom Co., Ltd. | 48,900 | 4,209,194 | |||
Sega Sammy Holdings, Inc. | 45,300 | 550,378 | |||
Seibu Holdings, Inc. | 48,100 | 801,815 | |||
Seiko Epson Corp. | 60,800 | 962,168 | |||
Sekisui Chemical Co., Ltd. | 82,700 | 1,241,958 | |||
Sekisui House, Ltd. | 144,700 | 2,384,582 | |||
Seven & i Holdings Co., Ltd. | 180,200 | 6,101,444 | |||
Seven Bank, Ltd. | 126,400 | 330,841 | |||
SG Holdings Co., Ltd. | 36,900 | 1,046,311 | |||
Sharp Corp. (a) | 55,600 | 609,980 | |||
Shimadzu Corp. | 49,500 | 1,213,839 | |||
Shimamura Co., Ltd. | 5,100 | 381,056 | |||
Shimano, Inc. | 17,800 | 2,648,357 | |||
Shimizu Corp. | 150,400 | 1,249,378 | |||
Shin-Etsu Chemical Co., Ltd. | 84,900 | 7,907,662 | |||
Shinsei Bank, Ltd. | 42,900 | 666,156 | |||
Shionogi & Co., Ltd. | 65,400 | 3,768,968 | |||
Shiseido Co., Ltd. | 93,900 | 7,077,797 | |||
Shizuoka Bank, Ltd. | 100,700 | 742,118 | |||
Showa Denko KK (a) | 31,900 | 938,584 | |||
SMC Corp. | 13,200 | 4,921,515 | |||
Softbank Corp. | 395,700 | 5,139,987 | |||
SoftBank Group Corp. | 388,800 | 18,638,871 | |||
Sohgo Security Services Co., Ltd. | 15,700 | 724,234 | |||
Sompo Holdings, Inc. | 81,300 | 3,139,867 | |||
Sony Corp. | 297,200 | 15,579,967 | |||
Sony Financial Holdings, Inc. | 41,600 | 999,265 | |||
Stanley Electric Co., Ltd. | 33,600 | 825,810 | |||
Subaru Corp. | 146,300 | 3,556,337 | |||
SUMCO Corp. (a) | 50,000 | 594,951 | |||
Sumitomo Chemical Co., Ltd. | 364,100 | 1,689,716 | |||
Sumitomo Corp. | 281,800 | 4,269,895 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 701,606 | |||
Sumitomo Electric Industries, Ltd. | 177,300 | 2,327,741 | |||
Sumitomo Heavy Industries, Ltd. | 26,400 | 907,852 | |||
Sumitomo Metal Mining Co., Ltd. | 52,900 | 1,580,519 | |||
Sumitomo Mitsui Financial Group, Inc. | 310,200 | 10,958,058 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 77,100 | 2,795,179 | |||
Sumitomo Realty & Development Co., Ltd. | 81,900 | 2,925,109 | |||
Sumitomo Rubber Industries, Ltd. (a) | 36,000 | 416,336 | |||
Sundrug Co., Ltd. | 16,700 | 451,988 | |||
Suntory Beverage & Food, Ltd. | 31,000 | 1,348,014 | |||
Suzuken Co., Ltd. | 17,400 | 1,020,679 | |||
Suzuki Motor Corp. | 87,400 | 4,107,978 | |||
Sysmex Corp. | 38,100 | 2,484,952 | |||
T&D Holdings, Inc. | 122,600 | 1,330,803 | |||
Taiheiyo Cement Corp. | 29,800 | 901,689 |
Security Description | Shares | Value | |||
Taisei Corp. | 49,900 | $1,813,240 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 621,747 | |||
Taiyo Nippon Sanso Corp. | 34,900 | 741,147 | |||
Takeda Pharmaceutical Co., Ltd. | 347,517 | 12,331,144 | |||
TDK Corp. | 29,700 | 2,299,035 | |||
Teijin, Ltd. | 40,800 | 695,653 | |||
Terumo Corp. | 152,900 | 4,555,495 | |||
THK Co., Ltd. (a) | 26,100 | 623,793 | |||
Tobu Railway Co., Ltd. | 42,600 | 1,241,544 | |||
Toho Co., Ltd. | 25,300 | 1,075,497 | |||
Toho Gas Co., Ltd. | 17,900 | 658,748 | |||
Tohoku Electric Power Co., Inc. | 100,500 | 1,015,820 | |||
Tokio Marine Holdings, Inc. | 151,800 | 7,606,907 | |||
Tokyo Century Corp. | 9,800 | 413,412 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 374,900 | 1,955,576 | |||
Tokyo Electron, Ltd. | 36,300 | 5,094,264 | |||
Tokyo Gas Co., Ltd. | 88,900 | 2,093,779 | |||
Tokyu Corp. | 116,500 | 2,066,377 | |||
Tokyu Fudosan Holdings Corp. | 158,700 | 876,429 | |||
Toppan Printing Co., Ltd. | 57,000 | 864,999 | |||
Toray Industries, Inc. | 323,300 | 2,458,208 | |||
Toshiba Corp. | 131,900 | 4,107,337 | |||
Tosoh Corp. | 56,500 | 794,482 | |||
TOTO, Ltd. | 33,300 | 1,315,124 | |||
Toyo Seikan Group Holdings, Ltd. | 37,200 | 738,199 | |||
Toyo Suisan Kaisha, Ltd. | 23,100 | 951,958 | |||
Toyoda Gosei Co., Ltd. | 16,800 | 327,611 | |||
Toyota Industries Corp. | 34,300 | 1,887,869 | |||
Toyota Motor Corp. | 536,700 | 33,315,849 | |||
Toyota Tsusho Corp. | 49,700 | 1,506,131 | |||
Trend Micro, Inc. | 31,700 | 1,413,760 | |||
Tsuruha Holdings, Inc. | 8,000 | 739,558 | |||
Unicharm Corp. | 92,900 | 2,797,175 | |||
United Urban Investment Corp. REIT | 684 | 1,146,560 | |||
USS Co., Ltd. | 53,400 | 1,052,239 | |||
Welcia Holdings Co., Ltd. | 10,600 | 431,418 | |||
West Japan Railway Co. | 39,100 | 3,163,130 | |||
Yahoo! Japan Corp. | 692,700 | 2,031,680 | |||
Yakult Honsha Co., Ltd. | 28,300 | 1,667,951 | |||
Yamada Denki Co., Ltd. | 150,400 | 665,870 | |||
Yamaha Corp. | 35,700 | 1,696,529 | |||
Yamaha Motor Co., Ltd. (a) | 65,300 | 1,160,660 | |||
Yamato Holdings Co., Ltd. | 72,000 | 1,464,192 | |||
Yamazaki Baking Co., Ltd. | 30,000 | 453,592 | |||
Yaskawa Electric Corp. | 56,100 | 1,905,755 | |||
Yokogawa Electric Corp. | 54,700 | 1,072,270 | |||
Yokohama Rubber Co., Ltd. (a) | 29,200 | 536,625 | |||
ZOZO, Inc. | 51,700 | 968,835 | |||
779,098,532 | |||||
LUXEMBOURG — 0.3% | |||||
ArcelorMittal | 153,495 | 2,750,655 | |||
Aroundtown SA | 193,380 | 1,595,723 |
Security Description | Shares | Value | |||
Eurofins Scientific SE (a) | 2,719 | $1,204,499 | |||
Millicom International Cellular SA SDR | 14,562 | 820,056 | |||
RTL Group SA | 8,135 | 417,257 | |||
SES SA | 83,341 | 1,304,996 | |||
Tenaris SA | 110,669 | 1,450,604 | |||
9,543,790 | |||||
MACAU — 0.0% (c) | |||||
MGM China Holdings, Ltd. | 260,800 | 443,318 | |||
Wynn Macau, Ltd. | 334,400 | 749,056 | |||
1,192,374 | |||||
MEXICO — 0.0% (c) | |||||
Fresnillo PLC | 55,287 | 612,306 | |||
NETHERLANDS — 4.8% | |||||
ABN AMRO Bank NV (d) | 97,688 | 2,093,115 | |||
Adyen NV (b)(d) | 2,479 | 1,915,746 | |||
Aegon NV | 428,953 | 2,138,617 | |||
Akzo Nobel NV | 54,687 | 5,146,619 | |||
ASML Holding NV | 100,669 | 21,064,303 | |||
EXOR NV | 26,384 | 1,850,840 | |||
Heineken Holding NV | 27,075 | 2,845,888 | |||
Heineken NV | 59,927 | 6,697,554 | |||
ING Groep NV | 924,271 | 10,731,904 | |||
Koninklijke Ahold Delhaize NV | 282,775 | 6,368,996 | |||
Koninklijke DSM NV | 42,598 | 5,273,104 | |||
Koninklijke KPN NV | 870,982 | 2,678,062 | |||
Koninklijke Philips NV | 220,347 | 9,581,810 | |||
Koninklijke Vopak NV | 17,144 | 791,682 | |||
NN Group NV | 75,774 | 3,054,718 | |||
NXP Semiconductors NV | 68,572 | 6,693,313 | |||
Randstad NV | 28,901 | 1,589,672 | |||
Royal Dutch Shell PLC Class A | 1,044,876 | 34,209,462 | |||
Royal Dutch Shell PLC Class B | 884,434 | 29,052,235 | |||
Wolters Kluwer NV | 65,126 | 4,748,076 | |||
158,525,716 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (b) | 171,718 | 1,691,955 | |||
Auckland International Airport, Ltd. | 227,839 | 1,507,326 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 128,350 | 1,332,749 | |||
Fletcher Building, Ltd. | 197,701 | 644,011 | |||
Meridian Energy, Ltd. | 305,752 | 975,452 | |||
Ryman Healthcare, Ltd. | 94,456 | 745,436 | |||
Spark New Zealand, Ltd. | 418,892 | 1,125,395 | |||
8,022,324 | |||||
NORWAY — 0.7% | |||||
Aker BP ASA | 26,570 | 762,255 | |||
DNB ASA | 224,073 | 4,170,793 | |||
Equinor ASA | 232,368 | 4,590,917 | |||
Gjensidige Forsikring ASA | 44,759 | 901,894 | |||
Mowi ASA | 102,126 | 2,389,035 | |||
Norsk Hydro ASA | 299,562 | 1,071,615 |
Security Description | Shares | Value | |||
Orkla ASA | 197,667 | $1,754,557 | |||
Schibsted ASA Class B | 24,544 | 640,224 | |||
Telenor ASA | 174,967 | 3,716,437 | |||
Yara International ASA | 41,484 | 2,013,368 | |||
22,011,095 | |||||
PORTUGAL — 0.2% | |||||
EDP - Energias de Portugal SA | 595,983 | 2,268,234 | |||
Galp Energia SGPS SA | 117,125 | 1,803,992 | |||
Jeronimo Martins SGPS SA | 58,599 | 945,267 | |||
5,017,493 | |||||
RUSSIA — 0.0% (c) | |||||
Evraz PLC | 129,609 | 1,097,270 | |||
SINGAPORE — 1.3% | |||||
Ascendas Real Estate Investment Trust | 621,750 | 1,433,800 | |||
CapitaLand Commercial Trust REIT | 661,238 | 1,060,561 | |||
CapitaLand Mall Trust REIT | 610,500 | 1,186,751 | |||
CapitaLand, Ltd. | 601,400 | 1,569,121 | |||
City Developments, Ltd. | 98,700 | 690,852 | |||
ComfortDelGro Corp., Ltd. | 544,900 | 1,071,314 | |||
DBS Group Holdings, Ltd. | 414,013 | 7,943,958 | |||
Genting Singapore, Ltd. | 1,435,400 | 976,066 | |||
Golden Agri-Resources, Ltd. | 1,628,800 | 349,127 | |||
Jardine Cycle & Carriage, Ltd. | 24,833 | 664,991 | |||
Keppel Corp., Ltd. | 343,700 | 1,691,889 | |||
Oversea-Chinese Banking Corp., Ltd. | 754,433 | 6,356,877 | |||
SATS, Ltd. | 171,200 | 660,530 | |||
Sembcorp Industries, Ltd. | 242,600 | 432,142 | |||
Singapore Airlines, Ltd. | 137,500 | 942,108 | |||
Singapore Exchange, Ltd. | 191,600 | 1,121,602 | |||
Singapore Press Holdings, Ltd. | 397,400 | 716,698 | |||
Singapore Technologies Engineering, Ltd. | 369,900 | 1,131,887 | |||
Singapore Telecommunications, Ltd. | 1,859,800 | 4,811,190 | |||
Suntec Real Estate Investment Trust | 529,400 | 759,109 | |||
United Overseas Bank, Ltd. | 292,390 | 5,647,031 | |||
UOL Group, Ltd. | 128,632 | 717,818 | |||
Venture Corp., Ltd. | 67,800 | 816,336 | |||
Wilmar International, Ltd. | 456,600 | 1,248,694 | |||
44,000,452 | |||||
SOUTH AFRICA — 0.0% (c) | |||||
Investec PLC | 157,536 | 1,024,535 | |||
SPAIN — 2.9% | |||||
ACS Actividades de Construccion y Servicios SA | 58,991 | 2,358,654 | |||
Aena SME SA (d) | 16,089 | 3,193,552 | |||
Amadeus IT Group SA (a) | 100,493 | 7,971,993 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,553,237 | 8,697,322 | |||
Banco de Sabadell SA | 1,385,238 | 1,437,111 |
Security Description | Shares | Value | |||
Banco Santander SA | 3,778,704 | $17,559,165 | |||
Bankia SA | 304,766 | 721,207 | |||
Bankinter SA | 160,926 | 1,110,205 | |||
CaixaBank SA | 822,555 | 2,358,676 | |||
Cellnex Telecom SA (b)(d) | 45,321 | 1,679,441 | |||
Enagas SA | 53,610 | 1,432,869 | |||
Endesa SA (a) | 74,370 | 1,914,899 | |||
Ferrovial SA | 115,148 | 2,951,750 | |||
Grifols SA | 69,681 | 2,063,171 | |||
Iberdrola SA | 1,430,757 | 14,282,853 | |||
Industria de Diseno Textil SA | 250,017 | 7,530,830 | |||
Mapfre SA (a) | 271,207 | 794,055 | |||
Naturgy Energy Group SA | 78,986 | 2,179,471 | |||
Red Electrica Corp. SA | 102,890 | 2,145,990 | |||
Repsol SA | 321,043 | 5,039,850 | |||
Siemens Gamesa Renewable Energy SA | 53,415 | 889,320 | |||
Telefonica SA | 1,091,912 | 8,979,096 | |||
97,291,480 | |||||
SWEDEN — 2.4% | |||||
Alfa Laval AB | 64,827 | 1,415,571 | |||
Assa Abloy AB Class B | 229,009 | 5,180,853 | |||
Atlas Copco AB Class A | 156,340 | 5,001,155 | |||
Atlas Copco AB Class B | 90,907 | 2,610,164 | |||
Boliden AB | 64,227 | 1,643,713 | |||
Electrolux AB Class B | 56,183 | 1,436,941 | |||
Epiroc AB Class A | 153,263 | 1,597,020 | |||
Epiroc AB Class B | 96,382 | 955,489 | |||
Essity AB Class B | 138,865 | 4,271,526 | |||
Hennes & Mauritz AB Class B | 203,436 | 3,625,722 | |||
Hexagon AB Class B | 60,427 | 3,357,996 | |||
Husqvarna AB Class B | 101,271 | 948,072 | |||
ICA Gruppen AB | 18,803 | 809,010 | |||
Industrivarden AB Class C | 37,373 | 828,972 | |||
Investor AB Class B | 103,923 | 4,996,664 | |||
Kinnevik AB Class B | 58,818 | 1,530,959 | |||
L E Lundbergforetagen AB Class B | 17,802 | 666,937 | |||
Lundin Petroleum AB (a) | 44,572 | 1,383,057 | |||
Sandvik AB | 262,761 | 4,831,436 | |||
Securitas AB Class B | 67,661 | 1,187,943 | |||
Skandinaviska Enskilda Banken AB Class A | 372,586 | 3,450,302 | |||
Skanska AB Class B | 76,035 | 1,374,304 | |||
SKF AB Class B | 89,570 | 1,648,388 | |||
Svenska Handelsbanken AB Class A | 356,023 | 3,525,618 | |||
Swedbank AB Class A | 215,208 | 3,234,545 | |||
Swedish Match AB | 40,921 | 1,728,895 | |||
Tele2 AB Class B | 112,491 | 1,642,833 | |||
Telefonaktiebolaget LM Ericsson Class B | 709,746 | 6,739,305 | |||
Telia Co. AB | 662,446 | 2,944,458 | |||
Volvo AB Class B | 344,582 | 5,472,415 | |||
80,040,263 |
Security Description | Shares | Value | |||
SWITZERLAND — 9.5% | |||||
ABB, Ltd. | 436,807 | $8,776,461 | |||
Adecco Group AG | 38,308 | 2,304,766 | |||
Baloise Holding AG | 12,003 | 2,127,301 | |||
Barry Callebaut AG | 533 | 1,070,373 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 251 | 1,829,082 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 24 | 1,954,462 | |||
Cie Financiere Richemont SA | 123,558 | 10,497,995 | |||
Clariant AG (b) | 50,343 | 1,024,674 | |||
Coca-Cola HBC AG (b) | 49,968 | 1,890,022 | |||
Credit Suisse Group AG | 606,971 | 7,286,765 | |||
Dufry AG (b) | 11,203 | 950,014 | |||
EMS-Chemie Holding AG | 2,053 | 1,333,924 | |||
Ferguson PLC | 54,759 | 3,902,740 | |||
Geberit AG | 8,781 | 4,106,806 | |||
Givaudan SA | 2,173 | 6,142,347 | |||
Glencore PLC | 2,611,774 | 9,086,168 | |||
Julius Baer Group, Ltd. | 51,372 | 2,289,874 | |||
Kuehne + Nagel International AG | 12,543 | 1,864,083 | |||
LafargeHolcim, Ltd. | 118,665 | 5,801,806 | |||
Lonza Group AG | 17,749 | 5,996,431 | |||
Nestle SA | 718,522 | 74,475,726 | |||
Novartis AG | 508,975 | 46,564,687 | |||
Pargesa Holding SA | 10,136 | 782,291 | |||
Partners Group Holding AG | 4,513 | 3,550,227 | |||
Roche Holding AG | 164,941 | 46,462,611 | |||
Schindler Holding AG (e) | 9,389 | 2,092,543 | |||
Schindler Holding AG (e) | 4,729 | 1,034,075 | |||
SGS SA | 1,273 | 3,247,129 | |||
Sika AG | 30,000 | 5,126,154 | |||
Sonova Holding AG | 13,325 | 3,031,267 | |||
STMicroelectronics NV | 155,949 | 2,770,479 | |||
Straumann Holding AG | 2,409 | 2,128,321 | |||
Swatch Group AG (e) | 7,069 | 2,026,447 | |||
Swatch Group AG (e) | 13,237 | 717,513 | |||
Swiss Life Holding AG | 8,225 | 4,081,287 | |||
Swiss Prime Site AG | 17,905 | 1,565,540 | |||
Swiss Re AG | 71,530 | 7,280,653 | |||
Swisscom AG (a) | 6,060 | 3,046,160 | |||
Temenos AG | 15,501 | 2,776,666 | |||
UBS Group AG | 911,443 | 10,843,835 | |||
Vifor Pharma AG (a) | 11,253 | 1,627,934 | |||
Zurich Insurance Group AG | 35,310 | 12,309,609 | |||
317,777,248 | |||||
UNITED ARAB EMIRATES — 0.0% (c) | |||||
NMC Health PLC (a) | 26,713 | 816,963 | |||
UNITED KINGDOM — 14.7% | |||||
3i Group PLC | 231,957 | 3,287,183 | |||
Admiral Group PLC | 46,985 | 1,320,336 | |||
Anglo American PLC | 248,069 | 7,086,279 | |||
Ashtead Group PLC | 112,013 | 3,213,279 |
Security Description | Shares | Value | |||
Associated British Foods PLC | 82,418 | $2,583,525 | |||
AstraZeneca PLC | 299,432 | 24,534,392 | |||
Auto Trader Group PLC (d) | 220,684 | 1,538,576 | |||
Aviva PLC | 902,097 | 4,781,832 | |||
BAE Systems PLC | 739,275 | 4,661,097 | |||
Barclays PLC | 4,020,230 | 7,664,588 | |||
Barratt Developments PLC | 239,034 | 1,741,956 | |||
Berkeley Group Holdings PLC | 29,018 | 1,377,904 | |||
BP PLC | 4,816,837 | 33,631,316 | |||
British American Tobacco PLC | 542,419 | 18,977,358 | |||
British Land Co. PLC REIT | 214,286 | 1,468,334 | |||
BT Group PLC | 1,953,367 | 4,884,095 | |||
Bunzl PLC | 79,501 | 2,101,528 | |||
Burberry Group PLC | 95,764 | 2,269,384 | |||
Carnival PLC | 39,049 | 1,728,982 | |||
Centrica PLC | 1,387,500 | 1,550,082 | |||
CNH Industrial NV | 234,858 | 2,411,922 | |||
Coca-Cola European Partners PLC (e) | 20,200 | 1,141,300 | |||
Coca-Cola European Partners PLC (e) | 35,366 | 1,971,452 | |||
Compass Group PLC | 371,056 | 8,911,226 | |||
Croda International PLC | 29,989 | 1,954,151 | |||
Diageo PLC | 563,666 | 24,276,066 | |||
Direct Line Insurance Group PLC | 319,010 | 1,347,122 | |||
easyJet PLC | 44,752 | 542,903 | |||
Experian PLC | 214,060 | 6,494,831 | |||
Fiat Chrysler Automobiles NV | 253,552 | 3,541,748 | |||
G4S PLC | 393,013 | 1,040,390 | |||
GlaxoSmithKline PLC | 1,173,266 | 23,542,041 | |||
GVC Holdings PLC | 139,499 | 1,157,208 | |||
Halma PLC | 92,053 | 2,366,549 | |||
Hargreaves Lansdown PLC | 65,726 | 1,605,234 | |||
HSBC Holdings PLC | 4,698,681 | 39,282,700 | |||
Imperial Brands PLC | 223,731 | 5,258,624 | |||
Informa PLC | 298,974 | 3,177,211 | |||
InterContinental Hotels Group PLC | 41,293 | 2,718,073 | |||
Intertek Group PLC | 38,726 | 2,711,748 | |||
ITV PLC | 838,733 | 1,152,852 | |||
J Sainsbury PLC | 440,863 | 1,099,449 | |||
John Wood Group PLC | 167,018 | 960,789 | |||
Johnson Matthey PLC | 44,479 | 1,884,495 | |||
Kingfisher PLC | 493,566 | 1,349,919 | |||
Land Securities Group PLC REIT | 172,937 | 1,833,848 | |||
Legal & General Group PLC | 1,382,227 | 4,740,938 | |||
Lloyds Banking Group PLC | 16,663,049 | 12,001,079 | |||
London Stock Exchange Group PLC | 72,496 | 5,061,695 | |||
Marks & Spencer Group PLC | 463,710 | 1,243,475 | |||
Meggitt PLC | 179,410 | 1,196,476 | |||
Melrose Industries PLC | 1,160,464 | 2,671,015 | |||
Merlin Entertainments PLC (d) | 175,737 | 1,004,459 | |||
Micro Focus International PLC ADR | 43,670 | 1,143,717 |
Security Description | Shares | Value | |||
Micro Focus International PLC | 38,878 | $1,021,268 | |||
Mondi PLC | 89,534 | 2,039,704 | |||
National Grid PLC | 794,993 | 8,456,522 | |||
Next PLC | 32,521 | 2,287,183 | |||
Ocado Group PLC (b) | 111,452 | 1,655,331 | |||
Pearson PLC | 182,280 | 1,900,908 | |||
Persimmon PLC | 74,829 | 1,901,841 | |||
Prudential PLC | 605,634 | 13,226,765 | |||
Reckitt Benckiser Group PLC | 165,116 | 13,058,296 | |||
RELX PLC (e) | 280,736 | 6,822,505 | |||
RELX PLC (e) | 176,822 | 4,285,046 | |||
Rentokil Initial PLC | 447,973 | 2,266,288 | |||
Rio Tinto PLC | 268,942 | 16,705,099 | |||
Rio Tinto, Ltd. | 85,957 | 6,258,837 | |||
Rolls-Royce Holdings PLC | 400,388 | 4,282,459 | |||
Royal Bank of Scotland Group PLC | 1,116,693 | 3,123,831 | |||
RSA Insurance Group PLC | 251,345 | 1,845,107 | |||
Sage Group PLC | 261,366 | 2,669,108 | |||
Schroders PLC | 29,656 | 1,151,168 | |||
Segro PLC REIT | 261,860 | 2,433,532 | |||
Severn Trent PLC | 54,977 | 1,432,970 | |||
Smith & Nephew PLC | 202,469 | 4,393,484 | |||
Smiths Group PLC | 94,229 | 1,876,830 | |||
Spirax-Sarco Engineering PLC | 17,903 | 2,092,816 | |||
SSE PLC | 243,872 | 3,482,418 | |||
St James's Place PLC | 127,093 | 1,776,029 | |||
Standard Chartered PLC | 662,811 | 6,024,703 | |||
Standard Life Aberdeen PLC | 598,144 | 2,242,666 | |||
Taylor Wimpey PLC | 758,904 | 1,523,640 | |||
Tesco PLC | 2,294,985 | 6,621,517 | |||
Unilever NV | 344,568 | 21,016,632 | |||
Unilever PLC | 258,363 | 16,094,028 | |||
United Utilities Group PLC | 166,753 | 1,661,310 | |||
Vodafone Group PLC | 6,232,735 | 10,258,184 | |||
Weir Group PLC | 64,978 | 1,278,917 | |||
Whitbread PLC | 44,093 | 2,597,664 | |||
Wm Morrison Supermarkets PLC | 586,128 | 1,502,374 | |||
WPP PLC | 292,826 | 3,690,274 | |||
490,155,985 | |||||
TOTAL COMMON STOCKS (Cost $3,015,721,742) | 3,290,171,523 |
RIGHTS — 0.0% (c) | |||
SPAIN — 0.0% (c) | |||
ACS Actividades de Construccion y Servicios SA (expiring 07/11/19) (b) | 58,991 | 92,707 | |
Repsol SA (expiring 07/09/19) (b) | 321,043 | 178,342 | |
TOTAL RIGHTS (Cost $278,836) | 271,049 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (f) (g) | 15,882,213 | $15,882,213 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 48,374,547 | 48,374,547 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $64,256,760) | 64,256,760 | |||||
TOTAL INVESTMENTS — 100.6% (Cost $3,080,257,338) | 3,354,699,332 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | (18,478,666) | |||||
NET ASSETS — 100.0% | $3,336,220,666 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(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 0.8% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
ADR | = American Depositary Receipt |
REIT | = Real Estate Investment Trust |
SDR | = Swedish Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE (long) | 433 | 09/20/2019 | $40,653,052 | $41,639,445 | $986,393 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,290,171,523 | $— | $— | $3,290,171,523 | ||||
Rights | 271,049 | — | — | 271,049 | ||||
Short-Term Investments | 64,256,760 | — | — | 64,256,760 | ||||
TOTAL INVESTMENTS | $3,354,699,332 | $— | $— | $3,354,699,332 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 986,393 | — | — | 986,393 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $986,393 | $— | $— | $986,393 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,355,685,725 | $— | $— | $3,355,685,725 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $279,620,852 | $263,738,639 | $— | $— | 15,882,213 | $15,882,213 | $258,527 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,671,050 | 28,671,050 | 331,154,159 | 311,450,662 | — | — | 48,374,547 | 48,374,547 | 456,956 | ||||||||
Total | $28,671,050 | $610,775,011 | $575,189,301 | $— | $— | $64,256,760 | $715,483 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,290,442,572 |
Investments in affiliated issuers, at value | 64,256,760 |
Total Investments | 3,354,699,332 |
Foreign currency, at value | 12,785,766 |
Cash at broker | 1,168,735 |
Cash | 179 |
Receivable from broker — accumulated variation margin on open futures contracts | 987,640 |
Receivable for investments sold | 34,896 |
Dividends receivable — unaffiliated issuers | 6,384,771 |
Dividends receivable — affiliated issuers | 34,430 |
Securities lending income receivable — unaffiliated issuers | 9,859 |
Securities lending income receivable — affiliated issuers | 132,024 |
Receivable for foreign taxes recoverable | 8,758,606 |
TOTAL ASSETS | 3,384,996,238 |
LIABILITIES | |
Payable upon return of securities loaned | 48,374,547 |
Advisory fee payable | 337,963 |
Custodian fees payable | 35,136 |
Trustees’ fees and expenses payable | 145 |
Professional fees payable | 27,099 |
Printing and postage fees payable | 453 |
Accrued expenses and other liabilities | 229 |
TOTAL LIABILITIES | 48,775,572 |
NET ASSETS | $3,336,220,666 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,016,000,578 |
Investments in affiliated issuers | 64,256,760 |
Total cost of investments | $3,080,257,338 |
Foreign currency, at cost | $12,741,460 |
* Includes investments in securities on loan, at value | $65,306,594 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $27,041 |
Dividend income — unaffiliated issuers | 78,745,142 |
Dividend income — affiliated issuers | 258,527 |
Unaffiliated securities lending income | 113,139 |
Affiliated securities lending income | 456,956 |
Foreign taxes withheld | (6,502,005) |
TOTAL INVESTMENT INCOME (LOSS) | 73,098,800 |
EXPENSES | |
Advisory fee | 1,904,948 |
Administration and custody fees | 202,904 |
Trustees’ fees and expenses | 49,297 |
Professional fees and expenses | 82,928 |
Printing and postage fees | 7,680 |
Insurance expense | 8,584 |
Miscellaneous expenses | 19,094 |
TOTAL EXPENSES | 2,275,435 |
NET INVESTMENT INCOME (LOSS) | $70,823,365 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (10,893,906) |
Foreign currency transactions | 137,012 |
Futures contracts | 3,298,255 |
Net realized gain (loss) | (7,458,639) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 338,412,624 |
Foreign currency translations | 150,854 |
Futures contracts | 2,097,090 |
Net change in unrealized appreciation/depreciation | 340,660,568 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 333,201,929 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $404,025,294 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $70,823,365 | $88,501,943 | |
Net realized gain (loss) | (7,458,639) | (25,894,912) | |
Net change in unrealized appreciation/depreciation | 340,660,568 | (497,102,616) | |
Net increase (decrease) in net assets resulting from operations | 404,025,294 | (434,495,585) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 263,601,817 | 960,880,616 | |
Withdrawals | (140,916,730) | (572,543,741) | |
Net increase (decrease) in net assets from capital transactions | 122,685,087 | 388,336,875 | |
Net increase (decrease) in net assets during the period | 526,710,381 | (46,158,710) | |
Net assets at beginning of period | 2,809,510,285 | 2,855,668,995 | |
NET ASSETS AT END OF PERIOD | $3,336,220,666 | $2,809,510,285 |
Six Months Ended 6/30/19 (Unaudited) | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 4/29/16* - 12/31/16 | ||||
Total return (a) | 14.22% | (13.83)% | 25.25% | 1.00% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $3,336,221 | $2,809,510 | $2,855,669 | $1,981,065 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.15%(b) | 0.15% | 0.14% | 0.15%(b) | |||
Net investment income (loss) | 4.55%(b) | 2.96% | 2.80% | 2.57%(b) | |||
Portfolio turnover rate | 2%(c) | 14% | 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. |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $987,640 | $— | $987,640 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $3,298,255 | $— | $3,298,255 |
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 | $— | $— | $— | $2,097,090 | $— | $2,097,090 |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $282,418,778 | $53,807,437 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,080,257,338 | $492,218,467 | $216,790,080 | $275,428,387 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 65,306,594 | $ 48,374,547 | $ 20,179,102 | $ 68,553,649 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
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 International Developed Equity Index Portfolio | Common Stocks | $48,374,547 | $— | $— | $— | $48,374,547 | $48,374,547 |
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 | 0.15% | $1,142.20 | $0.80 | $1,024.10 | $0.75 |
(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. |
• | A report prepared by an independent third-party provider of investment company data, which includes: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the HIDE Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | 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 and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning 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”); |
• | 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 independent legal counsel to the Independent Trustees (“Independent Counsel”), 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 Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | 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. |
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 China Equity Select Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
13 |
% of Net Assets | |||
Common Stocks | 96.1% | ||
Short-Term Investment | 3.1 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Consumer Discretionary | 30.8% | ||
Communication Services | 24.9 | ||
Financials | 24.3 | ||
Consumer Staples | 5.9 | ||
Real Estate | 3.6 | ||
TOTAL | 89.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.1% | |||||
CHINA — 88.5% | |||||
Alibaba Group Holding, Ltd. ADR (a) | 4,303 | $729,143 | |||
ANTA Sports Products, Ltd. | 13,000 | 89,274 | |||
Baidu, Inc. ADR (a) | 850 | 99,756 | |||
Bank of China, Ltd. Class H | 144,000 | 60,826 | |||
China Construction Bank Corp. Class H | 377,000 | 324,763 | |||
China Merchants Bank Co., Ltd. Class H | 21,500 | 107,190 | |||
China Overseas Land & Investment, Ltd. | 6,000 | 22,118 | |||
China Petroleum & Chemical Corp. Class H | 132,000 | 89,718 | |||
China Railway Construction Corp., Ltd. Class H | 20,500 | 25,138 | |||
China Vanke Co., Ltd. Class H | 16,000 | 60,006 | |||
CNOOC, Ltd. | 56,000 | 95,764 | |||
Country Garden Holdings Co., Ltd. | 43,000 | 65,388 | |||
Ctrip.com International, Ltd. ADR (a) | 654 | 24,139 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 800 | 12,222 | |||
Geely Automobile Holdings, Ltd. | 17,000 | 29,071 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 8,800 | 70,421 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 307,000 | 223,987 | |||
JD.com, Inc. ADR (a) | 7,277 | 220,420 | |||
Kweichow Moutai Co., Ltd. Class A | 1,400 | 200,437 | |||
Longfor Group Holdings, Ltd. | 8,000 | 30,157 | |||
Midea Group Co., Ltd. Class A | 9,100 | 68,664 | |||
NetEase, Inc. ADR | 738 | 188,758 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 449 | 43,364 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 33,000 | 396,211 | |||
Shanghai International Airport Co., Ltd. Class A | 4,000 | 48,759 | |||
Shenzhou International Group Holdings, Ltd. | 6,500 | 89,357 | |||
TAL Education Group ADR (a) | 7,842 | 298,780 |
Security Description | Shares | Value | |||
Tencent Holdings, Ltd. | 19,300 | $871,063 | |||
Wuliangye Yibin Co., Ltd. Class A | 6,400 | 109,833 | |||
Wuxi Biologics Cayman, Inc. (a)(b) | 10,000 | 89,792 | |||
4,784,519 | |||||
HONG KONG — 7.6% | |||||
AIA Group, Ltd. | 9,600 | 103,526 | |||
China Mobile, Ltd. | 20,500 | 186,698 | |||
China Resources Land, Ltd. | 4,000 | 17,613 | |||
Hong Kong Exchanges & Clearing, Ltd. | 2,900 | 102,377 | |||
410,214 | |||||
TOTAL COMMON STOCKS (Cost $4,809,322) | 5,194,733 |
SHORT-TERM INVESTMENT — 3.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $168,645) | 168,645 | 168,645 | |
TOTAL INVESTMENTS — 99.2% (Cost $4,977,967) | 5,363,378 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 42,290 | ||
NET ASSETS — 100.0% | $5,405,668 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.7% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
ADR | = American Depositary Receipt |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $5,194,733 | $— | $— | $5,194,733 | ||||
Short-Term Investment | 168,645 | — | — | 168,645 | ||||
TOTAL INVESTMENTS | $5,363,378 | $— | $— | $5,363,378 |
Number of Shares Held at 5/30/19* | Value at 5/30/19* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $353,109 | $184,464 | $— | $— | 168,645 | $168,645 | $270 |
* | Commencement of operations. |
ASSETS | |
Investments in unaffiliated issuers, at value* | $5,194,733 |
Investments in affiliated issuers, at value | 168,645 |
Total Investments | 5,363,378 |
Foreign currency, at value | 56,491 |
Dividends receivable — unaffiliated issuers | 15,393 |
Dividends receivable — affiliated issuers | 270 |
Receivable from Adviser | 8,008 |
TOTAL ASSETS | 5,443,540 |
LIABILITIES | |
Payable for investments purchased | 26,504 |
Advisory fee payable | 3,835 |
Administration fees payable | 213 |
Trustees’ fees and expenses payable | 1,528 |
Professional fees payable | 5,758 |
Printing and postage fees payable | 17 |
Accrued expenses and other liabilities | 17 |
TOTAL LIABILITIES | 37,872 |
NET ASSETS | $5,405,668 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $5,000,000 |
Total distributable earnings (loss) | 405,668 |
NET ASSETS | $5,405,668 |
Class K | |
Net Assets | $5,405,668 |
Shares Outstanding | 500,000 |
Net asset value, offering and redemption price per share | $10.81 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,809,322 |
Investments in affiliated issuers | 168,645 |
Total cost of investments | $4,977,967 |
Foreign currency, at cost | $56,600 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 26,815 |
Dividend income — affiliated issuers | 270 |
Foreign taxes withheld | (2,327) |
TOTAL INVESTMENT INCOME (LOSS) | 24,758 |
EXPENSES | |
Advisory fee | 3,959 |
Administration fees | 220 |
Custodian fees | 686 |
Trustees’ fees and expenses | 1,529 |
Registration and filing fees | 41 |
Professional fees and expenses | 5,758 |
Printing and postage fees | 17 |
Miscellaneous expenses | 16 |
TOTAL EXPENSES | 12,226 |
Expenses waived/reimbursed by the Adviser | (8,268) |
NET EXPENSES | 3,958 |
NET INVESTMENT INCOME (LOSS) | $20,800 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (899) |
Foreign currency transactions | 452 |
Net realized gain (loss) | (447) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 385,411 |
Foreign currency translations | (96) |
Net change in unrealized appreciation/depreciation | 385,315 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 384,868 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $405,668 |
For the Period 5/29/19 * - 6/30/19 (Unaudited) | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $20,800 |
Net realized gain (loss) | (447) |
Net change in unrealized appreciation/depreciation | 385,315 |
Net increase (decrease) in net assets resulting from operations | 405,668 |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |
Proceeds from sale of shares sold | 5,000,000 |
Net increase (decrease) in net assets from beneficial interest transactions | 5,000,000 |
Net increase (decrease) in net assets during the period | 5,405,668 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $5,405,668 |
SHARES OF BENEFICIAL INTEREST: | |
Shares sold | 500,000 |
Net increase (decrease) from share transactions | 500,000 |
* | Inception date. |
Class K | |
For the Period 5/30/19* - 6/30/19 (Unaudited) | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.04 |
Net realized and unrealized gain (loss) | 0.77 |
Total from investment operations | 0.81 |
Net asset value, end of period | $10.81 |
Total return (b) | 8.10% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $5,406 |
Ratios to average net assets: | |
Total expenses | 2.78%(c) |
Net expenses | 0.90%(c) |
Net investment income (loss) | 4.73%(c) |
Portfolio turnover rate | 5%(d) |
* | 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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street China Equity Select Fund | Class K | May 30, 2019 | Non-Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street China Equity Select Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street China Equity Select Fund | $5,036,735 | $226,514 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $4,977,967 | $394,352 | $8,941 | $385,411 |
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 China Equity Select Fund | 0.90% | $1,081.00 | $0.80(b) | $1,020.30 | $4.51 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
(b) | Actual period is from commencement of operations on 5/30/19. |
• | A comparison of the New Fund’s estimated expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A comparison of the New Fund’s contractual and estimated actual management fees and estimated total expense ratio to the contractual and actual management fees and total expense ratios of the Expense Group and Expense Universe; |
• | Comparative information concerning the fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those to be used in managing the New Fund; and |
• | Profitability analyses for (a) the Adviser with respect to Other Funds and (b) affiliates of the Adviser that provide services to the Other Funds. The Independent Trustees also took into account management’s discussions of the anticipated profitability of the New Fund to the Adviser and its affiliates in the New Fund’s first year of operations. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Fund as well as services provided to the Other Funds, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the portfolio of the New Fund; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources to be devoted by the Adviser to overseeing compliance by the New Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
• | 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 various services to be provided to the New Fund by SSGA FM in its capacity as administrator; |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Fund by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Fund, and the role of SSGA FM in managing the New Fund’s relationships with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Fund; |
• | Draft responses to a letter from Independent Counsel reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Fund, from each of: |
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 Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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 FormN-CSR.
(b) Not applicable to the Registrant.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable to the Registrant.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable to the Registrant.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable to the Registrant.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule30a-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 FormN-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-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 Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this FormN-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 forClosed-End Management Investment Companies. |
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. | Exhibits. |
(a)(1) | Not applicable; this FormN-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 Rule30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | September 5, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | September 5, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 5, 2019 |