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: December 31, 2019
Item 1. Reports to Stockholders.
State Street Defensive Global Equity Fund |
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Defensive Global Equity Fund Class I | 19.42% | 10.87% | ||
MSCI World Index(a) | 27.67% | 13.80% | ||
* | Inception date is February 18, 2016. |
(a) | The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. |
ASSETS | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,391,111 |
Receivable for investments sold | 4,503 |
Receivable from Adviser | 8,933 |
Prepaid expenses and other assets | 6 |
TOTAL ASSETS | 2,404,553 |
LIABILITIES | |
Advisory fee payable | 1,541 |
Custodian fees payable | 2,660 |
Administration fees payable | 103 |
Trustees’ fees and expenses payable | 1 |
Transfer agent fees payable | 39 |
Registration and filing fees payable | 470 |
Professional fees payable | 9,603 |
Printing and postage fees payable | 21,492 |
Accrued expenses and other liabilities | 129 |
TOTAL LIABILITIES | 36,038 |
NET ASSETS | $2,368,515 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,420,426 |
Total distributable earnings (loss) | (51,911) |
NET ASSETS | $2,368,515 |
Class I | |
Net Assets | $2,368,515 |
Shares Outstanding | 255,102 |
Net asset value, offering and redemption price per share | $9.28 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,534,774 |
Shares of affiliated State Street Defensive Global Equity Portfolio | 220,582 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Defensive Global Equity Portfolio | $83,319 |
EXPENSES | |
Advisory fee | 17,007 |
Administration fees | 1,134 |
Custodian fees | 35,000 |
Trustees’ fees and expenses | 18,056 |
Transfer agent fees | 686 |
Sub-transfer agent fee | 1,425 |
Registration and filing fees | 20,893 |
Professional fees and expenses | 53,838 |
Printing and postage fees | 10,649 |
Insurance expense | 20 |
Miscellaneous expenses | 4,057 |
TOTAL EXPENSES | 162,765 |
Expenses waived/reimbursed by the Adviser | (144,312) |
NET EXPENSES | 18,453 |
NET INVESTMENT INCOME (LOSS) | $64,866 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | (6,862) |
Capital gain distributions from affiliated State Street Defensive Global Equity Portfolio | 105,121 |
Net realized gain (loss) | 98,259 |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | 233,754 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 332,013 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $396,879 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $64,866 | $91,782 | |
Net realized gain (loss) | 98,259 | 657,138 | |
Net change in unrealized appreciation/depreciation | 233,754 | (1,144,102) | |
Net increase (decrease) in net assets resulting from operations | 396,879 | (395,182) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | (679,703) | (169,911) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 115,801 | 589,000 | |
Reinvestment of distributions | 575,522 | 140,917 | |
Cost of shares redeemed | (40,646) | (3,117,534) | |
Net increase (decrease) in net assets from beneficial interest transactions | 650,677 | (2,387,617) | |
Net increase (decrease) in net assets during the period | 367,853 | (2,952,710) | |
Net assets at beginning of period | 2,000,662 | 4,953,372 | |
NET ASSETS AT END OF PERIOD | $2,368,515 | $2,000,662 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 9,784 | 46,968 | |
Reinvestment of distributions | 61,884 | 13,295 | |
Shares redeemed | (3,416) | (270,385) | |
Net increase (decrease) from share transactions | 68,252 | (210,122) |
Class I | |||||||
Year Ended 12/31/19 | 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) | 0.34 | 0.23 | 0.32 | 0.21 | |||
Net realized and unrealized gain (loss) | 1.75 | (1.02) | 1.94 | 0.77 | |||
Total from investment operations | 2.09 | (0.79) | 2.26 | 0.98 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.55) | (0.50) | (0.39) | (0.31) | |||
Net realized gains | (2.97) | (0.48) | (0.04) | (0.02) | |||
Total distributions | (3.52) | (0.98) | (0.43) | (0.33) | |||
Net asset value, end of period | $9.28 | $10.71 | $12.48 | $10.65 | |||
Total return (b) | 19.42% | (6.27)% | 21.26% | 9.85% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,369 | $2,001 | $4,953 | $3,194 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 7.18% | 3.43% | 4.48% | 5.37%(c) | |||
Net expenses | 0.81% | 0.76% | 0.76% | 0.75%(c) | |||
Net investment income (loss) | 2.86% | 1.80% | 2.72% | 2.26%(c) | |||
Portfolio turnover rate (d) | 55% | 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 | 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 | 11.48% |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Fund | $104,995 | $574,708 | $679,703 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Fund | $ 86,188 | $ 83,723 | $ 169,911 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Defensive Global Equity Fund | $— | $— | $104,439 | $(156,350) | $(51,911) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Fund | $2,547,461 | $— | $156,350 | $(156,350) |
February 27, 2020
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) | 0.83% | $1,061.40 | $4.31 | $1,021.00 | $4.23 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 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. |
Amount | |
State Street Defensive Global Equity Fund | $574,708 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 | |
4 | |
5 | |
6 | |
7 | |
8 | |
13 |
Description | Market Value | % of Net Assets | ||
Toyota Motor Corp. | 35,491 | 1.5% | ||
Roche Holding AG | 35,345 | 1.5 | ||
Zurich Insurance Group AG | 34,857 | 1.5 | ||
Sysco Corp. | 33,959 | 1.4 | ||
Novo Nordisk A/S Class B | 33,455 | 1.4 | ||
TOTAL | 173,107 | 7.3% |
% of Net Assets | |||
Insurance | 12.9% | ||
Pharmaceuticals | 12.9 | ||
Diversified Telecommunication Services | 9.2 | ||
Banks | 6.0 | ||
Health Care Providers & Services | 4.4 | ||
Food & Staples Retailing | 4.0 | ||
Specialty Retail | 4.0 | ||
Food Products | 3.8 | ||
Electric Utilities | 3.6 | ||
Hotels, Restaurants & Leisure | 3.3 | ||
IT Services | 2.8 | ||
Multiline Retail | 2.6 | ||
Health Care Equipment & Supplies | 2.5 | ||
Multi-Utilities | 2.5 | ||
Household Products | 2.5 | ||
Automobiles | 2.2 | ||
Beverages | 2.0 | ||
Tobacco | 2.0 | ||
Equity Real Estate Investment Trusts (REITs) | 1.7 | ||
Commercial Services & Supplies | 1.7 | ||
Metals & Mining | 1.4 | ||
Technology Hardware, Storage & Peripherals | 1.4 | ||
Airlines | 1.4 | ||
Aerospace & Defense | 1.3 | ||
Trading Companies & Distributors | 1.2 | ||
Biotechnology | 1.1 | ||
Household Durables | 1.1 | ||
Communications Equipment | 1.0 | ||
Oil, Gas & Consumable Fuels | 1.0 | ||
Wireless Telecommunication Services | 0.9 | ||
Construction & Engineering | 0.6 | ||
Gas Utilities | 0.3 | ||
Other Assets in Excess of Liabilities | 0.7 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.3% | |||||
AUSTRALIA — 5.3% | |||||
BHP Group, Ltd. | 634 | $17,345 | |||
Mirvac Group REIT | 3,259 | 7,285 | |||
Qantas Airways, Ltd. | 2,566 | 12,825 | |||
Scentre Group REIT | 6,862 | 18,474 | |||
Sonic Healthcare, Ltd. | 1,085 | 21,928 | |||
Telstra Corp., Ltd. | 5,705 | 14,197 | |||
Wesfarmers, Ltd. | 1,006 | 29,277 | |||
Woodside Petroleum, Ltd. | 216 | 5,220 | |||
126,551 | |||||
BELGIUM — 0.9% | |||||
Ageas | 359 | 21,229 | |||
BERMUDA — 0.7% | |||||
Everest Re Group, Ltd. | 58 | 16,057 | |||
CANADA — 4.1% | |||||
BCE, Inc. | 485 | 22,501 | |||
Kirkland Lake Gold, Ltd. | 169 | 7,460 | |||
Loblaw Cos., Ltd. | 85 | 4,392 | |||
Royal Bank of Canada | 141 | 11,172 | |||
Sun Life Financial, Inc. | 341 | 15,570 | |||
TELUS Corp. | 610 | 23,652 | |||
Toronto-Dominion Bank | 227 | 12,749 | |||
97,496 | |||||
DENMARK — 1.4% | |||||
Novo Nordisk A/S Class B | 576 | 33,455 | |||
FRANCE — 1.6% | |||||
Peugeot SA | 764 | 18,267 | |||
Sanofi | 209 | 21,025 | |||
39,292 | |||||
GERMANY — 4.6% | |||||
Allianz SE | 129 | 31,625 | |||
Deutsche Telekom AG | 1,832 | 29,962 | |||
Merck KGaA | 130 | 15,373 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 109 | 32,179 | |||
109,139 | |||||
HONG KONG — 1.1% | |||||
CLP Holdings, Ltd. | 1,500 | 15,767 | |||
HKT Trust & HKT, Ltd. | 7,000 | 9,864 | |||
25,631 | |||||
ITALY — 1.1% | |||||
Eni SpA | 1,296 | 20,142 | |||
Snam SpA | 1,138 | 5,986 | |||
26,128 | |||||
JAPAN — 13.3% | |||||
Astellas Pharma, Inc. | 1,800 | 30,973 | |||
FUJIFILM Holdings Corp. | 600 | 28,875 | |||
Fujitsu, Ltd. | 200 | 18,900 | |||
ITOCHU Corp. | 900 | 20,990 |
Security Description | Shares | Value | |||
Japan Airlines Co., Ltd. | 600 | $18,755 | |||
Japan Post Holdings Co., Ltd. | 2,400 | 22,658 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,300 | 18,013 | |||
Mitsui & Co., Ltd. | 400 | 7,163 | |||
Mizuho Financial Group, Inc. | 7,800 | 12,080 | |||
Nippon Telegraph & Telephone Corp. | 1,200 | 30,443 | |||
NTT DOCOMO, Inc. | 800 | 22,364 | |||
Sony Corp. | 400 | 27,241 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 11,972 | |||
Tokio Marine Holdings, Inc. | 200 | 11,261 | |||
Toyota Motor Corp. | 500 | 35,491 | |||
317,179 | |||||
NETHERLANDS — 1.2% | |||||
Koninklijke Ahold Delhaize NV | 1,185 | 29,656 | |||
NEW ZEALAND — 0.7% | |||||
Spark New Zealand, Ltd. | 6,222 | 18,176 | |||
NORWAY — 0.5% | |||||
DNB ASA | 634 | 11,832 | |||
SINGAPORE — 0.4% | |||||
DBS Group Holdings, Ltd. | 500 | 9,623 | |||
SPAIN — 0.6% | |||||
ACS Actividades de Construccion y Servicios SA | 338 | 13,526 | |||
SWEDEN — 1.2% | |||||
Swedish Match AB | 436 | 22,487 | |||
Telia Co. AB | 1,271 | 5,465 | |||
27,952 | |||||
SWITZERLAND — 8.5% | |||||
Nestle SA | 264 | 28,566 | |||
Novartis AG | 342 | 32,457 | |||
Roche Holding AG | 109 | 35,345 | |||
Swiss Life Holding AG | 34 | 17,057 | |||
Swiss Re AG | 286 | 32,104 | |||
Swisscom AG | 46 | 24,350 | |||
Zurich Insurance Group AG | 85 | 34,857 | |||
204,736 | |||||
UNITED KINGDOM — 0.5% | |||||
Direct Line Insurance Group PLC | 3,228 | 13,363 | |||
UNITED STATES — 51.6% | |||||
Aflac, Inc. | 539 | 28,513 | |||
Allstate Corp. | 274 | 30,811 | |||
Ameren Corp. | 144 | 11,059 | |||
American Electric Power Co., Inc. | 136 | 12,853 | |||
Amgen, Inc. | 104 | 25,071 | |||
Anthem, Inc. | 68 | 20,538 | |||
AT&T, Inc. | 319 | 12,467 | |||
AutoZone, Inc. (a) | 28 | 33,357 | |||
Baxter International, Inc. | 335 | 28,013 | |||
Bristol-Myers Squibb Co. | 256 | 16,433 | |||
Coca-Cola Co. | 386 | 21,365 | |||
DTE Energy Co. | 227 | 29,481 | |||
Eli Lilly & Co. | 227 | 29,835 |
Security Description | Shares | Value | |||
Entergy Corp. | 183 | $21,923 | |||
Eversource Energy | 244 | 20,757 | |||
Exelon Corp. | 217 | 9,893 | |||
HCA Healthcare, Inc. | 209 | 30,892 | |||
Hershey Co. | 149 | 21,900 | |||
Home Depot, Inc. | 129 | 28,171 | |||
HP, Inc. | 232 | 4,768 | |||
International Business Machines Corp. | 201 | 26,942 | |||
Johnson & Johnson | 208 | 30,341 | |||
JPMorgan Chase & Co. | 194 | 27,044 | |||
Kellogg Co. | 368 | 25,451 | |||
Kimberly-Clark Corp. | 207 | 28,473 | |||
Lockheed Martin Corp. | 80 | 31,150 | |||
McDonald's Corp. | 142 | 28,061 | |||
Medtronic PLC | 276 | 31,312 | |||
Merck & Co., Inc. | 350 | 31,833 | |||
Mondelez International, Inc. Class A | 261 | 14,376 | |||
Motorola Solutions, Inc. | 149 | 24,010 | |||
Newmont Goldcorp Corp. | 244 | 10,602 | |||
PepsiCo, Inc. | 199 | 27,197 | |||
Pfizer, Inc. | 785 | 30,756 | |||
Philip Morris International, Inc. | 277 | 23,570 | |||
Pinnacle West Capital Corp. | 56 | 5,036 | |||
Procter & Gamble Co. | 258 | 32,224 | |||
Public Service Enterprise Group, Inc. | 322 | 19,014 | |||
Republic Services, Inc. | 107 | 9,590 | |||
Simon Property Group, Inc. REIT | 70 | 10,427 |
Security Description | Shares | Value | ||||
Starbucks Corp. | 302 | $26,552 | ||||
Sysco Corp. | 397 | 33,959 | ||||
Target Corp. | 256 | 32,822 | ||||
TJX Cos., Inc. | 532 | 32,484 | ||||
UGI Corp. | 21 | 948 | ||||
UnitedHealth Group, Inc. | 105 | 30,868 | ||||
US Bancorp | 486 | 28,815 | ||||
VEREIT, Inc. | 608 | 5,618 | ||||
Verizon Communications, Inc. | 491 | 30,147 | ||||
Walmart, Inc. | 233 | 27,690 | ||||
Waste Management, Inc. | 277 | 31,567 | ||||
Western Union Co. | 824 | 22,067 | ||||
Yum! Brands, Inc. | 240 | 24,175 | ||||
1,233,221 | ||||||
TOTAL COMMON STOCKS (Cost $2,042,799) | 2,374,242 | |||||
TOTAL INVESTMENTS — 99.3% (Cost $2,042,799) | 2,374,242 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7% | 16,043 | |||||
NET ASSETS — 100.0% | $2,390,285 |
(a) | Non-income producing security. |
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 | $2,374,242 | $— | $— | $2,374,242 | ||||
TOTAL INVESTMENTS | $2,374,242 | $— | $— | $2,374,242 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $236,445 | $236,445 | $— | $— | — | $— | $219 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,308 | 10,308 | 25,494 | 35,802 | — | — | — | — | 20 | ||||||||
Total | $10,308 | $261,939 | $272,247 | $— | $— | $— | $239 |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,374,242 |
Foreign currency, at value | 15,094 |
Receivable for investments sold | 5,355 |
Dividends receivable — unaffiliated issuers | 3,119 |
Dividends receivable — affiliated issuers | 66 |
Receivable from Adviser | 529 |
Receivable for foreign taxes recoverable | 3,549 |
TOTAL ASSETS | 2,401,954 |
LIABILITIES | |
Due to custodian | 6,638 |
Payable for fund shares repurchased | 4,503 |
Advisory fee payable | 524 |
Trustees’ fees and expenses payable | 4 |
TOTAL LIABILITIES | 11,669 |
NET ASSETS | $2,390,285 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,041,460 |
Total distributable earnings (loss) | 348,825 |
NET ASSETS | $2,390,285 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $10.84 |
Shares outstanding (unlimited amount authorized, no par value) | 220,582 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,042,799 |
Foreign currency, at cost | $14,875 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $28,508 |
Dividend income — affiliated issuers | 239 |
Foreign taxes withheld | (1,342) |
TOTAL INVESTMENT INCOME (LOSS) | 27,405 |
EXPENSES | |
Advisory fee | 2,979 |
Trustees’ fees and expenses | 15 |
Miscellaneous expenses | 3 |
TOTAL EXPENSES | 2,997 |
Expenses waived/reimbursed by the Adviser | (2,997) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $27,405 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 46,369 |
Foreign currency transactions | (85) |
Net realized gain (loss) | 46,284 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 78,622 |
Foreign currency translations | 247 |
Net change in unrealized appreciation/depreciation | 78,869 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 125,153 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $152,558 |
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $27,405 | $101,470 | |
Net realized gain (loss) | 46,284 | 83,542 | |
Net change in unrealized appreciation/depreciation | 78,869 | (204,703) | |
Net increase (decrease) in net assets resulting from operations | 152,558 | (19,691) | |
Distributions to shareholders | (188,440) | (351,241) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 119,353 | 631,379 | |
Reinvestment of distributions | 188,440 | 351,241 | |
Cost of shares redeemed | (171,500) | (3,326,507) | |
Net increase (decrease) in net assets from beneficial interest transactions | 136,293 | (2,343,887) | |
Net increase (decrease) in net assets during the period | 100,411 | (2,714,819) | |
Net assets at beginning of period | 2,289,874 | 5,004,693 | |
NET ASSETS AT END OF PERIOD | $2,390,285 | $2,289,874 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 10,616 | 51,951 | |
Reinvestment of distributions | 17,400 | 36,856 | |
Shares redeemed | (15,679) | (288,025) | |
Net increase (decrease) from share transactions | 12,337 | (199,218) |
State Street Defensive Global Equity Portfolio | |||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $11.00 | $12.28 | $12.03 | $10.89 | $10.00 | ||||
Net investment income (loss) (a) | 0.13 | 0.33 | 0.42 | 0.31 | 0.15 | ||||
Net realized and unrealized gain (loss) | 0.59 | 0.39 | 0.36 | 1.21 | 0.74 | ||||
Total from investment operations | 0.72 | 0.72 | 0.78 | 1.52 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.39) | (0.74) | (0.38) | (0.28) | — | ||||
Net realized gains | (0.49) | (1.26) | (0.15) | (0.10) | — | ||||
Total distributions | (0.88) | (2.00) | (0.53) | (0.38) | — | ||||
Net asset value, end of period | $10.84 | $11.00 | $12.28 | $12.03 | $10.89 | ||||
Total return (b) | 6.52%(c) | 8.38% | 6.48% | 14.43% | 8.90%(c) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,390 | $2,290 | $5,005 | $4,631 | $3,270 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.25%(d) | 0.27% | 0.30% | 0.33% | 0.27%(d) | ||||
Net expenses | —%(d) | —% | —% | —% | —%(d) | ||||
Net investment income (loss) | 2.30%(d) | 2.73% | 3.37% | 2.75% | 4.00%(d) | ||||
Portfolio turnover rate | 22%(c) | 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 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) | Not annualized. |
(d) | Annualized. |
Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
Purchases | Sales | ||
State Street Defensive Global Equity Portfolio | $514,801 | $535,730 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $2,043,747 | $360,315 | $29,820 | $330,495 |
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% | $1,065.20 | $0.00 | $1,025.10 | $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 184, then divided by 366. |
• | the program supported the Portfolio’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of the Portfolio’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage the Portfolio’s liquidity risk; and |
• | the program operated adequately during the period. |
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 | |
3 | |
4 | |
5 | |
7 | |
State Street Equity 500 Index II Portfolio | |
13 | |
14 | |
21 | |
22 | |
23 | |
24 | |
25 | |
33 | |
34 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Average Annual Total Return Ten Years Ended December 31, 2019 | |||
State Street Equity 500 Index Fund Administrative Shares | 31.14% | 11.41% | 13.28% | ||
State Street Equity 500 Index Fund Service Shares | 30.99% | 11.31% | 13.16% | ||
State Street Equity 500 Index Fund Class R Shares | 30.58% | 10.91% | 12.77% | ||
State Street Equity 500 Index Fund Class A Shares(a) | 30.78% | 11.13% | 12.98% | ||
State Street Equity 500 Index Fund Class I Shares(b) | 31.17% | 11.42% | 13.26% | ||
State Street Equity 500 Index Fund Class K Shares(c) | 31.39% | 11.59% | 13.36% | ||
S&P 500® Index(d) | 31.49% | 11.70% | 13.56% | ||
(a) | NAV Performance shown for the periods prior to the inception of Class A shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class A shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(b) | NAV Performance shown for the periods prior to the inception of Class I shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class I shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(c) | NAV Performance shown for the periods prior to the inception of Class K shares on September 17, 2014, reflect the historical performance of the fund’s Administrative Shares. Had the fund’s Class K fees been reflected, the returns shown for those periods would have been higher. |
(d) | The Standard & Poor's 500 Composite Stock Price Index ("S&P 500® Index") is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in the S&P 500® Index. |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,197,299,839 |
Receivable for fund shares sold | 2,129,180 |
Receivable from Adviser | 91,926 |
Prepaid expenses and other assets | 2,790 |
TOTAL ASSETS | 1,199,523,735 |
LIABILITIES | |
Payable for investments purchased | 399,936 |
Payable for fund shares repurchased | 1,680,501 |
Advisory fee payable | 19,743 |
Custodian fees payable | 4,021 |
Administration fees payable | 43,698 |
Distribution fees payable | 65,365 |
Transfer agent fees payable | 15,143 |
Sub-transfer agent fee payable | 34,358 |
Registration and filing fees payable | 14,155 |
Professional fees payable | 8,494 |
Printing and postage fees payable | 29,016 |
Accrued expenses and other liabilities | 265 |
TOTAL LIABILITIES | 2,314,695 |
NET ASSETS | $1,197,209,040 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $877,143,905 |
Total distributable earnings (loss) | 320,065,135 |
NET ASSETS | $1,197,209,040 |
Administrative Shares | |
Net Assets | $241,793,829 |
Shares Outstanding | 9,789,130 |
Net asset value, offering and redemption price per share | $24.70 |
Service Shares | |
Net Assets | $20,457,191 |
Shares Outstanding | 829,108 |
Net asset value, offering and redemption price per share | $24.67 |
Class R Shares | |
Net Assets | $37,221,855 |
Shares Outstanding | 1,508,037 |
Net asset value, offering and redemption price per share | $24.68 |
Class A Shares | |
Net Assets | $55,604,495 |
Shares Outstanding | 2,251,290 |
Net asset value, offering and redemption price per share | $24.70 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $26.07 |
Class I Shares | |
Net Assets | $14,477,874 |
Shares Outstanding | 585,991 |
Net asset value, offering and redemption price per share | $24.71 |
Class K Shares | |
Net Assets | $827,653,796 |
Shares Outstanding | 33,498,611 |
Net asset value, offering and redemption price per share | $24.71 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $876,939,004 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 79,238,904 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $21,541,327 |
EXPENSES | |
Advisory fee | 203,907 |
Administration fees | 509,767 |
Sub-transfer agent fee | |
Class A Shares | 85,543 |
Class I Shares | 21,845 |
Distribution fees | |
Administrative Shares | 359,249 |
Service Shares | 56,971 |
Class R Shares | 216,499 |
Class A Shares | 107,629 |
Custodian fees | 48,476 |
Trustees’ fees and expenses | 18,000 |
Transfer agent fees | 136,672 |
Registration and filing fees | 112,257 |
Professional fees | 47,534 |
Printing and postage fees | 102,090 |
Insurance expense | 5,156 |
Miscellaneous expenses | 18,983 |
TOTAL EXPENSES | 2,050,578 |
Expenses waived/reimbursed by the Adviser | (998,935) |
NET EXPENSES | 1,051,643 |
NET INVESTMENT INCOME (LOSS) | $20,489,684 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (195,128) |
Capital gain distributions from the State Street Equity 500 Index II Portfolio | 5,616,125 |
Net realized gain (loss) | 5,420,997 |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | 241,955,281 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 247,376,278 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $267,865,962 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $20,489,684 | $15,536,242 | |
Net realized gain (loss) | 5,420,997 | 24,899,024 | |
Net change in unrealized appreciation/depreciation | 241,955,281 | (81,450,733) | |
Net increase (decrease) in net assets resulting from operations | 267,865,962 | (41,015,467) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | (9,939,738) | (10,174,158) | |
Service Shares | (824,132) | (978,293) | |
Class R Shares | (1,368,384) | (1,376,029) | |
Class A Shares | (2,086,264) | (1,405,739) | |
Class I Shares | (596,779) | (719,749) | |
Class K Shares | (35,230,578) | (23,877,315) | |
Total distributions to shareholders | (50,045,875) | (38,531,283) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from sale of shares sold | 14,803,388 | 9,357,778 | |
Reinvestment of distributions | 9,939,738 | 10,174,158 | |
Cost of shares redeemed | (50,352,078) | (62,219,183) | |
Net increase (decrease) from capital share transactions | (25,608,952) | (42,687,247) | |
Service Shares | |||
Proceeds from sale of shares sold | 3,698,474 | 4,102,665 | |
Reinvestment of distributions | 824,131 | 978,293 | |
Cost of shares redeemed | (9,865,290) | (10,238,706) | |
Net increase (decrease) from capital share transactions | (5,342,685) | (5,157,748) | |
Class R Shares | |||
Proceeds from sale of shares sold | 6,798,328 | 4,648,251 | |
Reinvestment of distributions | 1,368,384 | 1,376,031 | |
Cost of shares redeemed | (11,252,184) | (13,452,753) | |
Net increase (decrease) from capital share transactions | (3,085,472) | (7,428,471) | |
Class A Shares | |||
Proceeds from sale of shares sold | 21,123,719 | 31,494,823 | |
Reinvestment of distributions | 2,083,022 | 1,402,869 | |
Cost of shares redeemed | (8,312,522) | (3,391,762) | |
Net increase (decrease) from capital share transactions | 14,894,219 | 29,505,930 | |
Class I Shares | |||
Proceeds from sale of shares sold | 9,836,747 | 6,685,907 | |
Reinvestment of distributions | 596,780 | 719,747 | |
Cost of shares redeemed | (14,359,801) | (7,437,392) | |
Net increase (decrease) from capital share transactions | (3,926,274) | (31,738) | |
Class K Shares | |||
Proceeds from sale of shares sold | 324,590,677 | 194,346,788 | |
Reinvestment of distributions | 35,035,317 | 23,710,448 | |
Cost of shares redeemed | (154,736,207) | (95,198,585) | |
Net increase (decrease) from capital share transactions | 204,889,787 | 122,858,651 | |
Net increase (decrease) in net assets from beneficial interest transactions | 181,820,623 | 97,059,377 | |
Net increase (decrease) in net assets during the period | 399,640,710 | 17,512,627 | |
Net assets at beginning of period | 797,568,330 | 780,055,703 | |
NET ASSETS AT END OF PERIOD | $1,197,209,040 | $797,568,330 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 643,617 | 419,401 | |
Reinvestment of distributions | 401,281 | 521,752 | |
Shares redeemed | (2,117,161) | (2,783,808) | |
Net increase (decrease) from share transactions | (1,072,263) | (1,842,655) | |
Service Shares | |||
Shares sold | 164,005 | 184,234 | |
Reinvestment of distributions | 33,312 | 50,220 | |
Shares redeemed | (433,556) | (459,714) | |
Net increase (decrease) from share transactions | (236,239) | (225,260) |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
Class R Shares | |||
Shares sold | 307,724 | 212,430 | |
Reinvestment of distributions | 55,288 | 70,602 | |
Shares redeemed | (490,856) | (602,656) | |
Net increase (decrease) from share transactions | (127,844) | (319,624) | |
Class A Shares | |||
Shares sold | 915,965 | 1,409,087 | |
Reinvestment of distributions | 84,095 | 71,942 | |
Shares redeemed | (366,573) | (154,202) | |
Net increase (decrease) from share transactions | 633,487 | 1,326,827 | |
Class I Shares | |||
Shares sold | 452,954 | 299,239 | |
Reinvestment of distributions | 24,093 | 36,891 | |
Shares redeemed | (628,914) | (341,813) | |
Net increase (decrease) from share transactions | (151,867) | (5,683) | |
Class K Shares | |||
Shares sold | 14,135,442 | 8,642,565 | |
Reinvestment of distributions | 1,414,425 | 1,215,297 | |
Shares redeemed | (6,746,046) | (4,257,351) | |
Net increase (decrease) from share transactions | 8,803,821 | 5,600,511 |
Administrative Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.39 | 0.34 | 0.38 | 0.26 | 0.31 | ||||
Net realized and unrealized gain (loss) | 5.73 | (1.33) | 3.66 | 1.76 | (0.12) | ||||
Total from investment operations | 6.12 | (0.99) | 4.04 | 2.02 | 0.19 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.44) | (0.39) | (0.46) | (0.28) | (0.29) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (1.06) | (0.99) | (1.25) | (0.36) | (0.29) | ||||
Net asset value, end of period | $24.70 | $19.64 | $21.62 | $18.83 | $17.17 | ||||
Total return (b) | 31.14% | (4.56)% | 21.43% | 11.75% | 1.08% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $241,794 | $213,270 | $274,650 | $277,141 | $261,038 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.27%(c) | 0.27%(c) | 0.26%(c) | 0.27%(c) | 0.31%(c) | ||||
Net expenses | 0.17%(c) | 0.17%(c) | 0.18%(c) | 0.18%(c) | 0.18%(c) | ||||
Net investment income (loss) | 1.68% | 1.51% | 1.83% | 1.48% | 1.76% | ||||
Portfolio turnover rate | 21%(d) | 8%(d) | 30%(d) | 5%(d) | 5%(d) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Service Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.62 | $21.60 | $18.81 | $17.15 | $17.25 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.31 | 0.32 | 0.15 | 0.26 | 0.22 | ||||
Net realized and unrealized gain (loss) | 5.77 | (1.33) | 3.87 | 1.74 | (0.05) | ||||
Total from investment operations | 6.08 | (1.01) | 4.02 | 2.00 | 0.17 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.41) | (0.37) | (0.44) | (0.26) | (0.27) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (1.03) | (0.97) | (1.23) | (0.34) | (0.27) | ||||
Net asset value, end of period | $24.67 | $19.62 | $21.60 | $18.81 | $17.15 | ||||
Total return (b) | 30.99% | (4.66)% | 21.33% | 11.65% | 0.98% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $20,457 | $20,897 | $27,876 | $124,591 | $104,730 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37%(c) | 0.37%(c) | 0.36%(c) | 0.37%(c) | 0.41%(c) | ||||
Net expenses | 0.27%(c) | 0.27%(c) | 0.28%(c) | 0.27%(c) | 0.28%(c) | ||||
Net investment income (loss) | 1.36% | 1.44% | 0.73% | 1.46% | 1.25% | ||||
Portfolio turnover rate | 21%(d) | 8%(d) | 30%(d) | 5%(d) | 5%(d) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class R Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.62 | $21.61 | $18.81 | $17.15 | $17.26 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.24 | 0.29 | 0.18 | 0.19 | ||||
Net realized and unrealized gain (loss) | 5.71 | (1.33) | 3.66 | 1.76 | (0.09) | ||||
Total from investment operations | 6.00 | (1.09) | 3.95 | 1.94 | 0.10 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.30) | (0.36) | (0.20) | (0.21) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (0.94) | (0.90) | (1.15) | (0.28) | (0.21) | ||||
Net asset value, end of period | $24.68 | $19.62 | $21.61 | $18.81 | $17.15 | ||||
Total return (b) | 30.58% | (5.04)% | 20.96% | 11.26% | 0.58% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $37,222 | $32,099 | $42,249 | $39,086 | $37,845 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.72%(c) | 0.72%(c) | 0.71%(c) | 0.72%(c) | 0.76%(c) | ||||
Net expenses | 0.62%(c) | 0.62%(c) | 0.63%(c) | 0.63%(c) | 0.63%(c) | ||||
Net investment income (loss) | 1.27% | 1.06% | 1.41% | 0.99% | 1.09% | ||||
Portfolio turnover rate | 21%(d) | 8%(d) | 30%(d) | 5%(d) | 5%(d) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class A Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.64 | $21.63 | $18.83 | $17.17 | $17.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.42 | 0.64 | 0.16 | 0.68 | 0.25 | ||||
Net realized and unrealized gain (loss) | 5.63 | (1.66) | 3.82 | 0.29 | (0.11) | ||||
Total from investment operations | 6.05 | (1.02) | 3.98 | 1.97 | 0.14 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.37) | (0.37) | (0.39) | (0.23) | (0.24) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (0.99) | (0.97) | (1.18) | (0.31) | (0.24) | ||||
Net asset value, end of period | $24.70 | $19.64 | $21.63 | $18.83 | $17.17 | ||||
Total return (b) | 30.78% | (4.72)% | 21.12% | 11.42% | 0.78% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $55,604 | $31,766 | $6,293 | $7,509 | $60 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.57%(c) | 0.38%(c) | 0.56%(c) | 0.57%(c) | 0.61%(c) | ||||
Net expenses | 0.47%(c) | 0.28%(c) | 0.48%(c) | 0.48%(c) | 0.48%(c) | ||||
Net investment income (loss) | 1.81% | 2.89% | 0.79% | 3.69% | 1.43% | ||||
Portfolio turnover rate | 21%(d) | 8%(d) | 30%(d) | 5%(d) | 5%(d) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class I Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.65 | $21.63 | $18.84 | $17.17 | $17.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.44 | 0.89 | 2.86 | 0.29 | ||||
Net realized and unrealized gain (loss) | 5.81 | (1.41) | 3.14 | (0.84) | (0.11) | ||||
Total from investment operations | 6.13 | (0.97) | 4.03 | 2.02 | 0.18 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.45) | (0.41) | (0.45) | (0.27) | (0.28) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (1.07) | (1.01) | (1.24) | (0.35) | (0.28) | ||||
Net asset value, end of period | $24.71 | $19.65 | $21.63 | $18.84 | $17.17 | ||||
Total return (b) | 31.17% | (4.45)% | 21.35% | 11.75% | 1.03% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $14,478 | $14,496 | $16,084 | $4,469 | $50 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.24%(c) | 0.15%(c) | 0.31%(c) | 0.32%(c) | 0.36%(c) | ||||
Net expenses | 0.15%(c) | 0.05%(c) | 0.23%(c) | 0.23%(c) | 0.23%(c) | ||||
Net investment income (loss) | 1.38% | 1.98% | 4.21% | 15.53%(d) | 1.66% | ||||
Portfolio turnover rate | 21%(e) | 8%(e) | 30%(e) | 5%(e) | 5%(e) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | 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. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class K Shares | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $19.64 | $21.62 | $18.83 | $17.17 | $17.27 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.51 | 0.47 | 0.44 | 0.44 | 1.45 | ||||
Net realized and unrealized gain (loss) | 5.66 | (1.43) | 3.64 | 1.61 | (1.23) | ||||
Total from investment operations | 6.17 | (0.96) | 4.08 | 2.05 | 0.22 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.48) | (0.42) | (0.50) | (0.31) | (0.32) | ||||
Net realized gains | (0.62) | (0.60) | (0.79) | (0.08) | — | ||||
Total distributions | (1.10) | (1.02) | (1.29) | (0.39) | (0.32) | ||||
Net asset value, end of period | $24.71 | $19.64 | $21.62 | $18.83 | $17.17 | ||||
Total return (b) | 31.39% | (4.42)% | 21.61% | 11.92% | 1.23% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $827,654 | $485,040 | $412,903 | $369,915 | $62,064 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12%(c) | 0.12%(c) | 0.11%(c) | 0.12%(c) | 0.16%(c) | ||||
Net expenses | 0.02%(c) | 0.02%(c) | 0.03%(c) | 0.03%(c) | 0.03%(c) | ||||
Net investment income (loss) | 2.22% | 2.08% | 2.14% | 2.42% | 8.45%(d) | ||||
Portfolio turnover rate | 21%(e) | 8%(e) | 30%(e) | 5%(e) | 5%(e) |
(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 State Street Equity 500 Index II Portfolio. |
(d) | 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. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
% of Net Assets | |||
Common Stocks | 95.9% | ||
Short-Term Investments | 3.9 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 22.2% | ||
Health Care | 13.6 | ||
Financials | 12.4 | ||
Communication Services | 10.0 | ||
Consumer Discretionary | 9.4 | ||
TOTAL | 67.6% |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.9% | |||||
COMMUNICATION SERVICES — 10.0% | |||||
Activision Blizzard, Inc. | 88,500 | $5,258,670 | |||
Alphabet, Inc. Class A (a) | 34,567 | 46,298,694 | |||
Alphabet, Inc. Class C (a) | 34,487 | 46,109,809 | |||
AT&T, Inc. | 843,740 | 32,973,359 | |||
Cars.com, Inc. (a) | 1 | 12 | |||
CenturyLink, Inc. | 112,178 | 1,481,871 | |||
Charter Communications, Inc. Class A (a) | 18,100 | 8,779,948 | |||
Comcast Corp. Class A | 524,266 | 23,576,242 | |||
Discovery, Inc. Class A (a)(b) | 20,703 | 677,816 | |||
Discovery, Inc. Class C (a) | 43,704 | 1,332,535 | |||
DISH Network Corp. Class A (a) | 29,118 | 1,032,816 | |||
Electronic Arts, Inc. (a) | 33,579 | 3,610,078 | |||
Facebook, Inc. Class A (a) | 277,993 | 57,058,063 | |||
Fox Corp. Class A | 40,566 | 1,503,782 | |||
Fox Corp. Class B | 20,100 | 731,640 | |||
Interpublic Group of Cos., Inc. | 44,166 | 1,020,235 | |||
Live Nation Entertainment, Inc. (a) | 16,100 | 1,150,667 | |||
Netflix, Inc. (a) | 50,604 | 16,373,936 | |||
News Corp. Class A | 50,888 | 719,556 | |||
News Corp. Class B | 11,400 | 165,414 | |||
Omnicom Group, Inc. | 24,991 | 2,024,771 | |||
Take-Two Interactive Software, Inc. (a) | 14,300 | 1,750,749 | |||
T-Mobile US, Inc. (a) | 36,400 | 2,854,488 | |||
Twitter, Inc. (a) | 89,200 | 2,858,860 | |||
Verizon Communications, Inc. | 477,715 | 29,331,701 | |||
ViacomCBS, Inc. Class B | 62,081 | 2,605,540 | |||
Walt Disney Co. | 208,164 | 30,106,759 | |||
321,388,011 | |||||
CONSUMER DISCRETIONARY — 9.4% | |||||
Advance Auto Parts, Inc. | 7,900 | 1,265,264 | |||
Amazon.com, Inc. (a) | 48,090 | 88,862,626 | |||
Aptiv PLC | 29,319 | 2,784,425 | |||
AutoZone, Inc. (a) | 2,776 | 3,307,077 | |||
Best Buy Co., Inc. | 26,106 | 2,292,107 | |||
Booking Holdings, Inc. (a) | 4,824 | 9,907,193 | |||
BorgWarner, Inc. | 23,477 | 1,018,432 | |||
Capri Holdings, Ltd. (a) | 17,814 | 679,604 | |||
CarMax, Inc. (a) | 18,803 | 1,648,459 | |||
Carnival Corp. | 46,001 | 2,338,231 | |||
Chipotle Mexican Grill, Inc. (a) | 2,986 | 2,499,610 | |||
D.R. Horton, Inc. | 38,497 | 2,030,717 | |||
Darden Restaurants, Inc. | 14,071 | 1,533,880 | |||
Dollar General Corp. | 29,313 | 4,572,242 | |||
Dollar Tree, Inc. (a) | 27,226 | 2,560,605 | |||
eBay, Inc. | 87,945 | 3,175,694 | |||
Expedia Group, Inc. | 16,034 | 1,733,917 | |||
Ford Motor Co. | 448,338 | 4,169,543 | |||
Gap, Inc. | 25,934 | 458,513 |
Security Description | Shares | Value | |||
Garmin, Ltd. | 16,540 | $1,613,642 | |||
General Motors Co. | 144,823 | 5,300,522 | |||
Genuine Parts Co. | 16,689 | 1,772,872 | |||
H&R Block, Inc. (b) | 21,864 | 513,367 | |||
Hanesbrands, Inc. | 46,800 | 694,980 | |||
Harley-Davidson, Inc. (b) | 21,016 | 781,585 | |||
Hasbro, Inc. | 14,597 | 1,541,589 | |||
Hilton Worldwide Holdings, Inc. | 32,500 | 3,604,575 | |||
Home Depot, Inc. | 126,002 | 27,516,317 | |||
Kohl's Corp. | 19,545 | 995,818 | |||
L Brands, Inc. | 27,121 | 491,433 | |||
Las Vegas Sands Corp. | 38,800 | 2,678,752 | |||
Leggett & Platt, Inc. (b) | 17,054 | 866,855 | |||
Lennar Corp. Class A | 32,106 | 1,791,194 | |||
LKQ Corp. (a) | 35,000 | 1,249,500 | |||
Lowe's Cos., Inc. | 88,450 | 10,592,772 | |||
Macy's, Inc. (b) | 38,862 | 660,654 | |||
Marriott International, Inc. Class A | 31,255 | 4,732,945 | |||
McDonald's Corp. | 86,910 | 17,174,285 | |||
MGM Resorts International | 59,000 | 1,962,930 | |||
Mohawk Industries, Inc. (a) | 6,731 | 917,974 | |||
Newell Brands, Inc. | 43,241 | 831,092 | |||
NIKE, Inc. Class B | 143,806 | 14,568,986 | |||
Nordstrom, Inc. (b) | 15,577 | 637,567 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 24,300 | 1,419,363 | |||
NVR, Inc. (a) | 400 | 1,523,364 | |||
O'Reilly Automotive, Inc. (a) | 8,680 | 3,804,097 | |||
PulteGroup, Inc. | 29,062 | 1,127,606 | |||
PVH Corp. | 9,249 | 972,532 | |||
Ralph Lauren Corp. | 6,279 | 736,024 | |||
Ross Stores, Inc. | 41,656 | 4,849,592 | |||
Royal Caribbean Cruises, Ltd. | 19,700 | 2,630,147 | |||
Starbucks Corp. | 136,330 | 11,986,134 | |||
Tapestry, Inc. | 31,328 | 844,916 | |||
Target Corp. | 58,472 | 7,496,695 | |||
Tiffany & Co. | 12,399 | 1,657,126 | |||
TJX Cos., Inc. | 139,874 | 8,540,706 | |||
Tractor Supply Co. | 15,426 | 1,441,405 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 6,500 | 1,645,410 | |||
Under Armour, Inc. Class A (a)(b) | 26,624 | 575,078 | |||
Under Armour, Inc. Class C (a) | 27,575 | 528,888 | |||
VF Corp. | 37,644 | 3,751,601 | |||
Whirlpool Corp. | 8,402 | 1,239,547 | |||
Wynn Resorts, Ltd. | 11,041 | 1,533,264 | |||
Yum! Brands, Inc. | 34,802 | 3,505,605 | |||
302,139,445 | |||||
CONSUMER STAPLES — 6.9% | |||||
Altria Group, Inc. | 215,529 | 10,757,052 | |||
Archer-Daniels-Midland Co. | 64,032 | 2,967,883 | |||
Brown-Forman Corp. Class B | 20,852 | 1,409,595 | |||
Campbell Soup Co. | 19,182 | 947,974 |
Security Description | Shares | Value | |||
Church & Dwight Co., Inc. | 28,100 | $1,976,554 | |||
Clorox Co. | 14,364 | 2,205,449 | |||
Coca-Cola Co. | 445,300 | 24,647,355 | |||
Colgate-Palmolive Co. | 98,823 | 6,802,975 | |||
Conagra Brands, Inc. | 55,824 | 1,911,414 | |||
Constellation Brands, Inc. Class A | 19,250 | 3,652,687 | |||
Costco Wholesale Corp. | 50,955 | 14,976,694 | |||
Coty, Inc. Class A | 39,812 | 447,885 | |||
Estee Lauder Cos., Inc. Class A | 25,641 | 5,295,892 | |||
General Mills, Inc. | 69,542 | 3,724,670 | |||
Hershey Co. | 17,067 | 2,508,508 | |||
Hormel Foods Corp. (b) | 31,802 | 1,434,588 | |||
J.M. Smucker Co. | 14,305 | 1,489,580 | |||
Kellogg Co. | 28,528 | 1,972,996 | |||
Kimberly-Clark Corp. | 39,527 | 5,436,939 | |||
Kraft Heinz Co. | 71,518 | 2,297,873 | |||
Kroger Co. | 92,142 | 2,671,197 | |||
Lamb Weston Holdings, Inc. | 16,700 | 1,436,701 | |||
McCormick & Co., Inc. | 14,192 | 2,408,808 | |||
Molson Coors Brewing Co. Class B | 23,553 | 1,269,507 | |||
Mondelez International, Inc. Class A | 166,115 | 9,149,614 | |||
Monster Beverage Corp. (a) | 43,835 | 2,785,714 | |||
PepsiCo, Inc. | 161,016 | 22,006,057 | |||
Philip Morris International, Inc. | 179,612 | 15,283,185 | |||
Procter & Gamble Co. | 288,026 | 35,974,447 | |||
Sysco Corp. | 58,774 | 5,027,528 | |||
Tyson Foods, Inc. Class A | 33,944 | 3,090,262 | |||
Walmart, Inc. | 163,803 | 19,466,349 | |||
Walgreens Boots Alliance, Inc. | 86,405 | 5,094,439 | |||
222,528,371 | |||||
ENERGY — 4.2% | |||||
Apache Corp. | 47,855 | 1,224,609 | |||
Baker Hughes Co. | 74,479 | 1,908,897 | |||
Cabot Oil & Gas Corp. | 55,078 | 958,908 | |||
Chevron Corp. | 218,412 | 26,320,830 | |||
Cimarex Energy Co. | 11,458 | 601,430 | |||
Concho Resources, Inc. | 23,100 | 2,022,867 | |||
ConocoPhillips | 126,527 | 8,228,051 | |||
Devon Energy Corp. | 44,101 | 1,145,303 | |||
Diamondback Energy, Inc. | 18,500 | 1,717,910 | |||
EOG Resources, Inc. | 67,071 | 5,617,867 | |||
Exxon Mobil Corp. | 488,675 | 34,099,742 | |||
Halliburton Co. | 100,767 | 2,465,769 | |||
Helmerich & Payne, Inc. | 13,726 | 623,572 | |||
Hess Corp. | 29,657 | 1,981,384 | |||
HollyFrontier Corp. | 20,000 | 1,014,200 | |||
Kinder Morgan, Inc. | 224,350 | 4,749,490 | |||
Marathon Oil Corp. | 104,288 | 1,416,231 | |||
Marathon Petroleum Corp. | 74,741 | 4,503,145 | |||
National Oilwell Varco, Inc. | 44,016 | 1,102,601 | |||
Noble Energy, Inc. | 54,625 | 1,356,885 | |||
Occidental Petroleum Corp. | 102,873 | 4,239,396 | |||
ONEOK, Inc. | 47,496 | 3,594,022 |
Security Description | Shares | Value | |||
Phillips 66 | 51,173 | $5,701,184 | |||
Pioneer Natural Resources Co. | 19,076 | 2,887,534 | |||
Schlumberger, Ltd. | 159,550 | 6,413,910 | |||
TechnipFMC PLC | 47,791 | 1,024,639 | |||
Valero Energy Corp. | 47,323 | 4,431,799 | |||
Williams Cos., Inc. | 139,358 | 3,305,572 | |||
134,657,747 | |||||
FINANCIALS — 12.4% | |||||
Aflac, Inc. | 84,506 | 4,470,367 | |||
Allstate Corp. | 37,339 | 4,198,771 | |||
American Express Co. | 77,412 | 9,637,020 | |||
American International Group, Inc. | 100,201 | 5,143,317 | |||
Ameriprise Financial, Inc. | 14,544 | 2,422,740 | |||
Aon PLC | 26,965 | 5,616,540 | |||
Arthur J Gallagher & Co. | 21,400 | 2,037,922 | |||
Assurant, Inc. | 7,885 | 1,033,566 | |||
Bank of America Corp. | 935,105 | 32,934,398 | |||
Bank of New York Mellon Corp. | 96,694 | 4,866,609 | |||
Berkshire Hathaway, Inc. Class B (a) | 225,984 | 51,185,376 | |||
BlackRock, Inc. | 13,616 | 6,844,763 | |||
Capital One Financial Corp. | 53,695 | 5,525,753 | |||
Cboe Global Markets, Inc. | 14,100 | 1,692,000 | |||
Charles Schwab Corp. | 131,804 | 6,268,598 | |||
Chubb, Ltd. | 52,253 | 8,133,702 | |||
Cincinnati Financial Corp. | 17,409 | 1,830,556 | |||
Citigroup, Inc. | 252,127 | 20,142,426 | |||
Citizens Financial Group, Inc. | 49,900 | 2,026,439 | |||
CME Group, Inc. | 41,363 | 8,302,381 | |||
Comerica, Inc. | 16,427 | 1,178,637 | |||
Discover Financial Services | 36,028 | 3,055,895 | |||
E*TRADE Financial Corp. | 25,742 | 1,167,915 | |||
Everest Re Group, Ltd. | 4,700 | 1,301,148 | |||
Fifth Third Bancorp | 81,462 | 2,504,142 | |||
First Republic Bank | 19,300 | 2,266,785 | |||
Franklin Resources, Inc. | 37,989 | 986,954 | |||
Globe Life, Inc. | 12,412 | 1,306,363 | |||
Goldman Sachs Group, Inc. | 36,746 | 8,449,008 | |||
Hartford Financial Services Group, Inc. | 41,367 | 2,513,873 | |||
Huntington Bancshares, Inc. | 118,291 | 1,783,828 | |||
Intercontinental Exchange, Inc. | 64,185 | 5,940,322 | |||
Invesco, Ltd. | 42,111 | 757,156 | |||
JPMorgan Chase & Co. | 362,343 | 50,510,614 | |||
KeyCorp | 113,096 | 2,289,063 | |||
Lincoln National Corp. | 22,682 | 1,338,465 | |||
Loews Corp. | 29,219 | 1,533,705 | |||
M&T Bank Corp. | 15,163 | 2,573,919 | |||
MarketAxess Holdings, Inc. | 4,300 | 1,630,173 | |||
Marsh & McLennan Cos., Inc. | 58,219 | 6,486,179 | |||
MetLife, Inc. | 90,070 | 4,590,868 | |||
Moody's Corp. | 18,732 | 4,447,164 | |||
Morgan Stanley | 141,875 | 7,252,650 | |||
MSCI, Inc. | 9,700 | 2,504,346 | |||
Nasdaq, Inc. | 13,075 | 1,400,333 |
Security Description | Shares | Value | |||
Northern Trust Corp. | 24,296 | $2,581,207 | |||
People's United Financial, Inc. | 50,366 | 851,185 | |||
PNC Financial Services Group, Inc. | 50,575 | 8,073,287 | |||
Principal Financial Group, Inc. | 29,565 | 1,626,075 | |||
Progressive Corp. | 67,349 | 4,875,394 | |||
Prudential Financial, Inc. | 46,302 | 4,340,350 | |||
Raymond James Financial, Inc. | 14,100 | 1,261,386 | |||
Regions Financial Corp. | 110,546 | 1,896,969 | |||
S&P Global, Inc. | 28,168 | 7,691,272 | |||
State Street Corp. (c) | 41,778 | 3,304,640 | |||
SVB Financial Group (a) | 5,900 | 1,481,136 | |||
Synchrony Financial | 68,276 | 2,458,619 | |||
T Rowe Price Group, Inc. | 26,855 | 3,272,013 | |||
Travelers Cos., Inc. | 29,706 | 4,068,237 | |||
Truist Financial Corp. | 154,715 | 8,713,549 | |||
Unum Group | 26,705 | 778,718 | |||
US Bancorp | 164,022 | 9,724,864 | |||
Wells Fargo & Co. | 444,503 | 23,914,261 | |||
Willis Towers Watson PLC | 14,776 | 2,983,866 | |||
WR Berkley Corp. | 16,500 | 1,140,150 | |||
Zions Bancorp NA | 19,395 | 1,006,988 | |||
400,126,915 | |||||
HEALTH CARE — 13.6% | |||||
Abbott Laboratories | 204,049 | 17,723,696 | |||
AbbVie, Inc. | 170,743 | 15,117,585 | |||
ABIOMED, Inc. (a) | 5,100 | 870,009 | |||
Agilent Technologies, Inc. | 35,593 | 3,036,439 | |||
Alexion Pharmaceuticals, Inc. (a) | 25,473 | 2,754,905 | |||
Align Technology, Inc. (a) | 8,200 | 2,288,128 | |||
Allergan PLC | 37,806 | 7,227,373 | |||
AmerisourceBergen Corp. | 17,234 | 1,465,235 | |||
Amgen, Inc. | 68,554 | 16,526,313 | |||
Anthem, Inc. | 29,219 | 8,825,015 | |||
Baxter International, Inc. | 58,779 | 4,915,100 | |||
Becton Dickinson and Co. | 31,156 | 8,473,497 | |||
Biogen, Inc. (a) | 20,784 | 6,167,236 | |||
Boston Scientific Corp. (a) | 160,757 | 7,269,432 | |||
Bristol-Myers Squibb Co. | 270,675 | 17,374,628 | |||
Cardinal Health, Inc. | 33,533 | 1,696,099 | |||
Centene Corp. (a) | 47,800 | 3,005,186 | |||
Cerner Corp. | 36,037 | 2,644,755 | |||
Cigna Corp. | 43,041 | 8,801,454 | |||
Cooper Cos., Inc. | 5,700 | 1,831,353 | |||
CVS Health Corp. | 150,094 | 11,150,483 | |||
Danaher Corp. | 73,794 | 11,325,903 | |||
DaVita, Inc. (a) | 10,128 | 759,904 | |||
DENTSPLY SIRONA, Inc. | 25,434 | 1,439,310 | |||
Edwards Lifesciences Corp. (a) | 24,010 | 5,601,293 | |||
Eli Lilly & Co. | 97,472 | 12,810,745 | |||
Gilead Sciences, Inc. | 145,952 | 9,483,961 | |||
HCA Healthcare, Inc. | 30,500 | 4,508,205 | |||
Henry Schein, Inc. (a) | 18,700 | 1,247,664 | |||
Hologic, Inc. (a) | 34,300 | 1,790,803 | |||
Humana, Inc. | 15,290 | 5,604,091 |
Security Description | Shares | Value | |||
IDEXX Laboratories, Inc. (a) | 9,900 | $2,585,187 | |||
Illumina, Inc. (a) | 16,900 | 5,606,406 | |||
Incyte Corp. (a) | 20,500 | 1,790,060 | |||
Intuitive Surgical, Inc. (a) | 13,344 | 7,888,306 | |||
IQVIA Holdings, Inc. (a) | 20,800 | 3,213,808 | |||
Johnson & Johnson | 304,008 | 44,345,647 | |||
Laboratory Corp. of America Holdings (a) | 11,175 | 1,890,475 | |||
McKesson Corp. | 20,724 | 2,866,544 | |||
Medtronic PLC | 154,793 | 17,561,266 | |||
Merck & Co., Inc. | 294,072 | 26,745,848 | |||
Mettler-Toledo International, Inc. (a) | 2,800 | 2,221,184 | |||
Mylan NV (a) | 64,402 | 1,294,480 | |||
PerkinElmer, Inc. | 12,686 | 1,231,811 | |||
Perrigo Co. PLC | 15,386 | 794,841 | |||
Pfizer, Inc. | 639,133 | 25,041,231 | |||
Quest Diagnostics, Inc. | 15,442 | 1,649,051 | |||
Regeneron Pharmaceuticals, Inc. (a) | 9,142 | 3,432,638 | |||
ResMed, Inc. | 16,500 | 2,557,005 | |||
STERIS PLC | 9,700 | 1,478,474 | |||
Stryker Corp. | 37,094 | 7,787,514 | |||
Teleflex, Inc. | 5,300 | 1,995,132 | |||
Thermo Fisher Scientific, Inc. | 46,312 | 15,045,379 | |||
UnitedHealth Group, Inc. | 109,474 | 32,183,167 | |||
Universal Health Services, Inc. Class B | 9,200 | 1,319,832 | |||
Varian Medical Systems, Inc. (a) | 10,429 | 1,481,022 | |||
Vertex Pharmaceuticals, Inc. (a) | 29,652 | 6,492,305 | |||
Waters Corp. (a) | 7,350 | 1,717,328 | |||
WellCare Health Plans, Inc. (a) | 5,800 | 1,915,218 | |||
Zimmer Biomet Holdings, Inc. | 23,625 | 3,536,190 | |||
Zoetis, Inc. | 54,920 | 7,268,662 | |||
438,671,811 | |||||
INDUSTRIALS — 8.7% | |||||
3M Co. | 66,329 | 11,701,762 | |||
Alaska Air Group, Inc. | 15,500 | 1,050,125 | |||
Allegion PLC | 11,996 | 1,493,982 | |||
American Airlines Group, Inc. (b) | 44,500 | 1,276,260 | |||
AMETEK, Inc. | 26,299 | 2,623,062 | |||
AO Smith Corp. | 17,500 | 833,700 | |||
Arconic, Inc. | 50,186 | 1,544,223 | |||
Boeing Co. | 61,764 | 20,120,241 | |||
C.H. Robinson Worldwide, Inc. | 15,479 | 1,210,458 | |||
Caterpillar, Inc. | 63,724 | 9,410,760 | |||
Cintas Corp. | 9,666 | 2,600,927 | |||
Copart, Inc. (a) | 23,500 | 2,137,090 | |||
CSX Corp. | 89,655 | 6,487,436 | |||
Cummins, Inc. | 17,614 | 3,152,201 | |||
Deere & Co. | 36,283 | 6,286,393 | |||
Delta Air Lines, Inc. | 66,234 | 3,873,364 | |||
Dover Corp. | 16,650 | 1,919,079 | |||
Eaton Corp. PLC | 47,625 | 4,511,040 | |||
Emerson Electric Co. | 70,179 | 5,351,851 |
Security Description | Shares | Value | |||
Equifax, Inc. | 13,888 | $1,945,987 | |||
Expeditors International of Washington, Inc. | 19,476 | 1,519,518 | |||
Fastenal Co. | 65,816 | 2,431,901 | |||
FedEx Corp. | 27,650 | 4,180,957 | |||
Flowserve Corp. | 17,445 | 868,238 | |||
Fortive Corp. | 33,949 | 2,593,364 | |||
Fortune Brands Home & Security, Inc. | 18,000 | 1,176,120 | |||
General Dynamics Corp. | 26,972 | 4,756,512 | |||
General Electric Co. | 1,007,788 | 11,246,914 | |||
Honeywell International, Inc. | 82,478 | 14,598,606 | |||
Huntington Ingalls Industries, Inc. | 5,400 | 1,354,752 | |||
IDEX Corp. | 8,700 | 1,496,400 | |||
IHS Markit, Ltd. (a) | 46,100 | 3,473,635 | |||
Illinois Tool Works, Inc. | 33,700 | 6,053,531 | |||
Ingersoll-Rand PLC | 27,584 | 3,666,465 | |||
Jacobs Engineering Group, Inc. | 15,443 | 1,387,245 | |||
JB Hunt Transport Services, Inc. | 9,700 | 1,132,766 | |||
Johnson Controls International PLC | 88,808 | 3,615,374 | |||
Kansas City Southern | 11,396 | 1,745,411 | |||
L3Harris Technologies, Inc. | 25,421 | 5,030,053 | |||
Lockheed Martin Corp. | 28,671 | 11,163,914 | |||
Masco Corp. | 32,484 | 1,558,907 | |||
Nielsen Holdings PLC | 46,225 | 938,368 | |||
Norfolk Southern Corp. | 30,087 | 5,840,789 | |||
Northrop Grumman Corp. | 18,025 | 6,200,059 | |||
Old Dominion Freight Line, Inc. | 7,300 | 1,385,394 | |||
PACCAR, Inc. | 39,739 | 3,143,355 | |||
Parker-Hannifin Corp. | 14,789 | 3,043,872 | |||
Pentair PLC | 19,604 | 899,235 | |||
Quanta Services, Inc. | 20,007 | 814,485 | |||
Raytheon Co. | 32,146 | 7,063,762 | |||
Republic Services, Inc. | 24,189 | 2,168,060 | |||
Robert Half International, Inc. | 15,966 | 1,008,253 | |||
Rockwell Automation, Inc. | 13,326 | 2,700,780 | |||
Rollins, Inc. | 17,250 | 572,010 | |||
Roper Technologies, Inc. | 11,965 | 4,238,362 | |||
Snap-on, Inc. | 6,240 | 1,057,056 | |||
Southwest Airlines Co. | 54,459 | 2,939,697 | |||
Stanley Black & Decker, Inc. | 17,457 | 2,893,323 | |||
Textron, Inc. | 28,933 | 1,290,412 | |||
TransDigm Group, Inc. | 5,700 | 3,192,000 | |||
Union Pacific Corp. | 80,098 | 14,480,917 | |||
United Airlines Holdings, Inc. (a) | 25,000 | 2,202,250 | |||
United Parcel Service, Inc. Class B | 80,891 | 9,469,100 | |||
United Rentals, Inc. (a) | 8,600 | 1,434,222 | |||
United Technologies Corp. | 93,679 | 14,029,367 | |||
Verisk Analytics, Inc. | 18,800 | 2,807,592 | |||
W.W. Grainger, Inc. | 4,957 | 1,678,044 | |||
Waste Management, Inc. | 44,935 | 5,120,793 | |||
Westinghouse Air Brake Technologies Corp. | 20,866 | 1,623,375 |
Security Description | Shares | Value | |||
Xylem, Inc. | 20,658 | $1,627,644 | |||
280,443,100 | |||||
INFORMATION TECHNOLOGY — 22.2% | |||||
Accenture PLC Class A | 73,318 | 15,438,571 | |||
Adobe, Inc. (a) | 55,844 | 18,417,910 | |||
Advanced Micro Devices, Inc. (a) | 128,300 | 5,883,838 | |||
Akamai Technologies, Inc. (a) | 18,490 | 1,597,166 | |||
Alliance Data Systems Corp. | 5,696 | 639,091 | |||
Amphenol Corp. Class A | 34,120 | 3,692,808 | |||
Analog Devices, Inc. | 42,452 | 5,044,996 | |||
ANSYS, Inc. (a) | 9,800 | 2,522,618 | |||
Apple, Inc. | 482,624 | 141,722,538 | |||
Applied Materials, Inc. | 106,454 | 6,497,952 | |||
Arista Networks, Inc. (a) | 6,200 | 1,261,080 | |||
Autodesk, Inc. (a) | 25,306 | 4,642,639 | |||
Automatic Data Processing, Inc. | 49,952 | 8,516,816 | |||
Broadcom, Inc. | 45,791 | 14,470,872 | |||
Broadridge Financial Solutions, Inc. | 13,100 | 1,618,374 | |||
Cadence Design Systems, Inc. (a) | 32,200 | 2,233,392 | |||
CDW Corp. | 16,500 | 2,356,860 | |||
Cisco Systems, Inc. | 489,890 | 23,495,124 | |||
Citrix Systems, Inc. | 13,989 | 1,551,380 | |||
Cognizant Technology Solutions Corp. Class A | 63,041 | 3,909,803 | |||
Corning, Inc. | 88,326 | 2,571,170 | |||
DXC Technology Co. | 29,138 | 1,095,297 | |||
F5 Networks, Inc. (a) | 7,741 | 1,081,031 | |||
Fidelity National Information Services, Inc. | 70,891 | 9,860,229 | |||
Fiserv, Inc. (a) | 65,824 | 7,611,229 | |||
FleetCor Technologies, Inc. (a) | 10,000 | 2,877,200 | |||
FLIR Systems, Inc. | 17,761 | 924,815 | |||
Fortinet, Inc. (a) | 16,300 | 1,740,188 | |||
Gartner, Inc. (a) | 10,200 | 1,571,820 | |||
Global Payments, Inc. | 34,668 | 6,328,990 | |||
Hewlett Packard Enterprise Co. | 148,553 | 2,356,051 | |||
HP, Inc. | 170,453 | 3,502,809 | |||
Intel Corp. | 502,436 | 30,070,795 | |||
International Business Machines Corp. | 102,195 | 13,698,218 | |||
Intuit, Inc. | 30,037 | 7,867,591 | |||
IPG Photonics Corp. (a) | 4,100 | 594,172 | |||
Jack Henry & Associates, Inc. | 8,800 | 1,281,896 | |||
Juniper Networks, Inc. | 42,349 | 1,043,056 | |||
Keysight Technologies, Inc. (a) | 21,500 | 2,206,545 | |||
KLA Corp. | 18,132 | 3,230,578 | |||
Lam Research Corp. | 16,677 | 4,876,355 | |||
Leidos Holdings, Inc. | 15,200 | 1,487,928 | |||
Mastercard, Inc. Class A | 102,551 | 30,620,703 | |||
Maxim Integrated Products, Inc. | 31,000 | 1,906,810 | |||
Microchip Technology, Inc. (b) | 27,483 | 2,878,020 | |||
Micron Technology, Inc. (a) | 127,634 | 6,864,157 |
Security Description | Shares | Value | |||
Microsoft Corp. | 881,458 | $139,005,927 | |||
Motorola Solutions, Inc. | 19,672 | 3,169,946 | |||
NetApp, Inc. | 26,114 | 1,625,596 | |||
NortonLifeLock, Inc. | 65,660 | 1,675,643 | |||
NVIDIA Corp. | 70,644 | 16,622,533 | |||
Oracle Corp. | 250,035 | 13,246,854 | |||
Paychex, Inc. | 36,607 | 3,113,791 | |||
PayPal Holdings, Inc. (a) | 135,545 | 14,661,903 | |||
Qorvo, Inc. (a) | 13,300 | 1,545,859 | |||
QUALCOMM, Inc. | 131,726 | 11,622,185 | |||
salesforce.com, Inc. (a) | 102,395 | 16,653,523 | |||
Seagate Technology PLC | 26,424 | 1,572,228 | |||
ServiceNow, Inc. (a) | 21,700 | 6,126,344 | |||
Skyworks Solutions, Inc. | 19,600 | 2,369,248 | |||
Synopsys, Inc. (a) | 17,300 | 2,408,160 | |||
TE Connectivity, Ltd. | 38,451 | 3,685,144 | |||
Texas Instruments, Inc. | 107,893 | 13,841,593 | |||
VeriSign, Inc. (a) | 11,901 | 2,293,085 | |||
Visa, Inc. Class A | 197,760 | 37,159,104 | |||
Western Digital Corp. | 34,153 | 2,167,691 | |||
Western Union Co. (b) | 53,945 | 1,444,647 | |||
Xerox Holdings Corp. | 25,527 | 941,180 | |||
Xilinx, Inc. | 28,860 | 2,821,642 | |||
Zebra Technologies Corp. Class A (a) | 6,200 | 1,583,728 | |||
717,019,035 | |||||
MATERIALS — 2.5% | |||||
Air Products & Chemicals, Inc. | 25,402 | 5,969,216 | |||
Albemarle Corp. (b) | 12,000 | 876,480 | |||
Alcoa Corp. (a) | 1 | 22 | |||
Amcor PLC | 185,826 | 2,014,354 | |||
Avery Dennison Corp. | 10,670 | 1,395,849 | |||
Ball Corp. | 37,532 | 2,427,194 | |||
Celanese Corp. | 13,800 | 1,699,056 | |||
CF Industries Holdings, Inc. | 28,520 | 1,361,545 | |||
Corteva, Inc. | 85,982 | 2,541,628 | |||
Dow, Inc. | 85,448 | 4,676,569 | |||
DuPont de Nemours, Inc. | 85,382 | 5,481,524 | |||
Eastman Chemical Co. | 15,536 | 1,231,383 | |||
Ecolab, Inc. | 28,901 | 5,577,604 | |||
FMC Corp. | 16,678 | 1,664,798 | |||
Freeport-McMoRan, Inc. | 166,440 | 2,183,693 | |||
International Flavors & Fragrances, Inc. (b) | 12,251 | 1,580,624 | |||
International Paper Co. | 45,003 | 2,072,388 | |||
Linde PLC | 61,963 | 13,191,923 | |||
LyondellBasell Industries NV Class A | 29,458 | 2,783,192 | |||
Martin Marietta Materials, Inc. | 7,145 | 1,998,028 | |||
Mosaic Co. | 39,684 | 858,762 | |||
Newmont Goldcorp Corp. | 94,433 | 4,103,114 | |||
Nucor Corp. | 34,748 | 1,955,617 | |||
Packaging Corp. of America | 11,900 | 1,332,681 | |||
PPG Industries, Inc. | 27,254 | 3,638,137 | |||
Sealed Air Corp. | 18,323 | 729,805 | |||
Sherwin-Williams Co. | 9,509 | 5,548,882 |
Security Description | Shares | Value | |||
Vulcan Materials Co. | 15,171 | $2,184,472 | |||
Westrock Co. | 32,036 | 1,374,665 | |||
82,453,205 | |||||
REAL ESTATE — 2.8% | |||||
Alexandria Real Estate Equities, Inc. REIT | 13,200 | 2,132,856 | |||
American Tower Corp. REIT | 51,118 | 11,747,939 | |||
Apartment Investment & Management Co. Class A, REIT | 18,795 | 970,762 | |||
AvalonBay Communities, Inc. REIT | 16,069 | 3,369,669 | |||
Boston Properties, Inc. REIT | 16,546 | 2,281,031 | |||
CBRE Group, Inc. Class A (a) | 38,467 | 2,357,642 | |||
Crown Castle International Corp. REIT | 47,958 | 6,817,230 | |||
Digital Realty Trust, Inc. REIT (b) | 24,000 | 2,873,760 | |||
Duke Realty Corp. REIT | 42,000 | 1,456,140 | |||
Equinix, Inc. REIT | 9,843 | 5,745,359 | |||
Equity Residential REIT | 40,119 | 3,246,429 | |||
Essex Property Trust, Inc. REIT | 7,545 | 2,269,989 | |||
Extra Space Storage, Inc. REIT | 14,800 | 1,563,176 | |||
Federal Realty Investment Trust REIT | 8,000 | 1,029,840 | |||
Healthpeak Properties, Inc. REIT | 56,723 | 1,955,242 | |||
Host Hotels & Resorts, Inc. REIT | 82,062 | 1,522,250 | |||
Iron Mountain, Inc. REIT (b) | 36,181 | 1,153,088 | |||
Kimco Realty Corp. REIT | 48,053 | 995,178 | |||
Mid-America Apartment Communities, Inc. REIT | 13,100 | 1,727,366 | |||
Prologis, Inc. REIT | 72,851 | 6,493,938 | |||
Public Storage REIT | 17,335 | 3,691,662 | |||
Realty Income Corp. REIT | 37,500 | 2,761,125 | |||
Regency Centers Corp. REIT | 21,200 | 1,337,508 | |||
SBA Communications Corp. REIT | 12,900 | 3,108,771 | |||
Simon Property Group, Inc. REIT | 35,380 | 5,270,205 | |||
SL Green Realty Corp. REIT | 9,300 | 854,484 | |||
UDR, Inc. REIT | 33,500 | 1,564,450 | |||
Ventas, Inc. REIT | 42,797 | 2,471,099 | |||
Vornado Realty Trust REIT | 18,068 | 1,201,522 | |||
Welltower, Inc. REIT | 46,719 | 3,820,680 | |||
Weyerhaeuser Co. REIT | 85,587 | 2,584,727 | |||
90,375,117 | |||||
UTILITIES — 3.2% | |||||
AES Corp. | 75,936 | 1,511,126 | |||
Alliant Energy Corp. | 27,500 | 1,504,800 | |||
Ameren Corp. | 28,204 | 2,166,067 | |||
American Electric Power Co., Inc. | 56,909 | 5,378,470 | |||
American Water Works Co., Inc. | 20,800 | 2,555,280 | |||
Atmos Energy Corp. | 14,900 | 1,666,714 |
Security Description | Shares | Value | |||
CenterPoint Energy, Inc. | 57,476 | $1,567,371 | |||
CMS Energy Corp. | 32,555 | 2,045,756 | |||
Consolidated Edison, Inc. | 38,252 | 3,460,658 | |||
Dominion Energy, Inc. | 94,966 | 7,865,084 | |||
DTE Energy Co. | 22,045 | 2,862,984 | |||
Duke Energy Corp. (b) | 84,092 | 7,670,031 | |||
Edison International | 41,214 | 3,107,948 | |||
Entergy Corp. | 22,898 | 2,743,180 | |||
Evergy, Inc. | 26,099 | 1,698,784 | |||
Eversource Energy | 37,217 | 3,166,050 | |||
Exelon Corp. | 111,984 | 5,105,351 | |||
FirstEnergy Corp. | 62,093 | 3,017,720 | |||
NextEra Energy, Inc. | 56,464 | 13,673,322 | |||
NiSource, Inc. | 47,904 | 1,333,647 | |||
NRG Energy, Inc. | 28,702 | 1,140,905 | |||
Pinnacle West Capital Corp. | 14,104 | 1,268,373 | |||
PPL Corp. | 83,119 | 2,982,310 | |||
Public Service Enterprise Group, Inc. | 58,188 | 3,436,001 | |||
Sempra Energy | 32,462 | 4,917,344 | |||
Southern Co. | 120,959 | 7,705,088 | |||
WEC Energy Group, Inc. | 36,282 | 3,346,289 | |||
Xcel Energy, Inc. | 60,351 | 3,831,685 | |||
102,728,338 | |||||
TOTAL COMMON STOCKS (Cost $2,065,314,278) | 3,092,531,095 |
SHORT-TERM INVESTMENTS — 3.9% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (d) (e) | 116,650,458 | 116,662,123 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 7,182,686 | $7,182,686 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $123,840,625) | 123,844,809 | ||||
TOTAL INVESTMENTS — 99.8% (Cost $2,189,154,903) | 3,216,375,904 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 7,621,245 | ||||
NET ASSETS — 100.0% | $3,223,997,149 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 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) | 757 | 03/20/2020 | $120,354,811 | $122,297,135 | $1,942,324 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,092,531,095 | $— | $— | $3,092,531,095 | ||||
Short-Term Investments | 123,844,809 | — | — | 123,844,809 | ||||
TOTAL INVESTMENTS | $3,216,375,904 | $— | $— | $3,216,375,904 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,942,324 | — | — | 1,942,324 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $1,942,324 | $— | $— | $1,942,324 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,218,318,228 | $— | $— | $3,218,318,228 |
(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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Corp. | 44,678 | $2,817,841 | $432,950 | $759,296 | $(186,168) | $999,313 | 41,778 | $3,304,640 | $99,660 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | — | 351,819,709 | 235,159,881 | (1,889) | 4,184 | 116,650,458 | 116,662,123 | 967,810 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 81,722,543 | 81,722,543 | 484,812,620 | 566,535,163 | — | — | — | — | 1,113,819 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,917,310 | 4,917,310 | 103,419,378 | 101,154,002 | — | — | 7,182,686 | 7,182,686 | 67,844 | ||||||||
Total | $89,457,694 | $940,484,657 | $903,608,342 | $(188,057) | $1,003,497 | $127,149,449 | $2,249,133 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,089,226,455 |
Investments in affiliated issuers, at value | 127,149,449 |
Total Investments | 3,216,375,904 |
Net cash at broker | 3,116,532 |
Receivable from broker — accumulated variation margin on open futures contracts | 1,944,040 |
Receivable for investments sold | 636,542,771 |
Receivable for fund shares sold | 7,865,671 |
Dividends receivable — unaffiliated issuers | 3,730,562 |
Dividends receivable — affiliated issuers | 446,109 |
Securities lending income receivable — unaffiliated issuers | 588 |
Securities lending income receivable — affiliated issuers | 2,503 |
Receivable from Adviser | 82,144 |
Prepaid expenses and other assets | 8,610 |
TOTAL ASSETS | 3,870,115,434 |
LIABILITIES | |
Payable upon return of securities loaned | 7,182,686 |
Payable for fund shares repurchased | 638,773,395 |
Administration, custody, and transfer agent fees payable | 41,888 |
Trustees’ fees and expenses payable | 662 |
Registration and filing fees payable | 35,356 |
Professional fees payable | 34,454 |
Printing and postage fees payable | 11,500 |
Accrued expenses and other liabilities | 38,344 |
TOTAL LIABILITIES | 646,118,285 |
NET ASSETS | $3,223,997,149 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,135,618,485 |
Total distributable earnings (loss) | 1,088,378,664 |
NET ASSETS | $3,223,997,149 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $15.12 |
Shares outstanding (unlimited amount authorized, no par value) | 213,296,513 |
Net Assets | $3,223,997,149 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,062,519,683 |
Investments in affiliated issuers | 126,635,220 |
Total cost of investments | $2,189,154,903 |
* Includes investments in securities on loan, at value | $13,734,422 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $1,823,508 |
Dividend income — unaffiliated issuers | 62,230,638 |
Dividend income — affiliated issuers | 2,181,289 |
Unaffiliated securities lending income | 15,103 |
Affiliated securities lending income | 67,844 |
TOTAL INVESTMENT INCOME (LOSS) | 66,318,382 |
EXPENSES | |
Administration, custody, and transfer agent fees | 437,115 |
Trustees’ fees and expenses | 76,204 |
Registration and filing fees | 35,356 |
Professional fees | 200,206 |
Printing and postage fees | 23,161 |
Insurance expense | 16,258 |
Miscellaneous expenses | 83,458 |
TOTAL EXPENSES | 871,758 |
Expenses waived/reimbursed by the Adviser | (217,483) |
NET EXPENSES | 654,275 |
NET INVESTMENT INCOME (LOSS) | $65,664,107 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 81,434,947 |
Investments — affiliated issuers | (188,057) |
Futures contracts | 17,096,883 |
Net realized gain (loss) | 98,343,773 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 702,362,925 |
Investments — affiliated issuers | 1,003,497 |
Futures contracts | 3,923,977 |
Net change in unrealized appreciation/depreciation | 707,290,399 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 805,634,172 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $871,298,279 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $65,664,107 | $51,751,798 | |
Net realized gain (loss) | 98,343,773 | 35,216,548 | |
Net change in unrealized appreciation/depreciation | 707,290,399 | (207,715,492) | |
Net increase (decrease) in net assets resulting from operations | 871,298,279 | (120,747,146) | |
Distributions to shareholders | (88,221,519) | (138,945,426) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 736,270,097 | 937,119,662 | |
Reinvestment of distributions | 88,221,519 | 138,945,426 | |
Cost of shares redeemed | (1,018,104,068) | (381,020,586) | |
Net increase (decrease) in net assets from beneficial interest transactions | (193,612,452) | 695,044,502 | |
Net increase (decrease) in net assets during the period | 589,464,308 | 435,351,930 | |
Net assets at beginning of period | 2,634,532,841 | 2,199,180,911 | |
NET ASSETS AT END OF PERIOD | $3,223,997,149 | $2,634,532,841 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 53,865,662 | 71,154,512 | |
Reinvestment of distributions | 5,854,115 | 12,252,683 | |
Shares redeemed | (70,210,923) | (27,824,760) | |
Net increase (decrease) from share transactions | (10,491,146) | 55,582,435 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $11.77 | $13.07 | $11.31 | $10.32 | $10.55 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.28 | 0.26 | 0.25 | 0.23 | 0.22 | ||||
Net realized and unrealized gain (loss) | 3.42 | (0.86) | 2.21 | 1.02 | (0.09) | ||||
Total from investment operations | 3.70 | (0.60) | 2.46 | 1.25 | 0.13 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.26) | (0.26) | (0.27) | (0.18) | (0.20) | ||||
Net realized gains | (0.09) | (0.44) | (0.43) | (0.08) | (0.16) | ||||
Total distributions | (0.35) | (0.70) | (0.70) | (0.26) | (0.36) | ||||
Net asset value, end of period | $15.12 | $11.77 | $13.07 | $11.31 | $10.32 | ||||
Total return (b) | 31.41% | (4.42)% | 21.66% | 12.18% | 1.29% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,223,997 | $2,634,533 | $2,199,181 | $1,227,444 | $541,335 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.03% | 0.03% | 0.03% | 0.04% | 0.04% | ||||
Net expenses | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% | ||||
Net investment income (loss) | 2.01% | 1.93% | 1.98% | 2.15% | 2.05% | ||||
Portfolio turnover rate | 21% | 8% | 30% | 5% | 5% |
(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. |
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 December 31, 2019 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 37.14% |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,944,040 | $— | $1,944,040 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $17,096,883 | $— | $17,096,883 |
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 | $— | $— | $— | $3,923,977 | $— | $3,923,977 |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $647,128,175 | $802,402,702 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $22,927,638 | $27,118,237 | $50,045,875 | ||
State Street Equity 500 Index II Portfolio | 69,977,339 | 18,244,180 | 88,221,519 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $ 16,041,846 | $ 22,489,437 | $ 38,531,283 | ||
State Street Equity 500 Index II Portfolio | 53,499,552 | 85,445,874 | 138,945,426 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Equity 500 Index Fund | $407,234 | $— | $5,189,575 | $314,468,326 | $320,065,135 | ||||
State Street Equity 500 Index II Portfolio | 3,734,896 | — | 90,133,759 | 994,510,009 | 1,088,378,664 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $882,831,513 | $314,468,326 | $— | $314,468,326 | |||
State Street Equity 500 Index II Portfolio | 2,223,808,125 | 1,031,375,112 | 36,865,103 | 994,510,009 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 13,734,422 | $ 7,182,686 | $ 6,800,772 | $ 13,983,458 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $7,182,686 | $— | $— | $— | $7,182,686 | $7,182,686 |
February 27, 2020
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% | $1,107.80 | $0.90 | $1,024.30 | $0.87 | ||||
Service Shares | 0.27 | 1,107.30 | 1.43 | 1,023.80 | 1.38 | ||||
Class R Shares | 0.62 | 1,105.20 | 3.29 | 1,022.10 | 3.16 | ||||
Class A Shares | 0.62 | 1,105.20 | 3.29 | 1,022.10 | 3.16 | ||||
Class I Shares | 0.22 | 1,107.60 | 1.17 | 1,024.10 | 1.12 | ||||
Class K Shares | 0.02 | 1,108.90 | 0.11 | 1,025.10 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 1,108.70 | 0.11 | 1,025.10 | 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 184, 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. |
Amount | |
State Street Equity 500 Index Fund | $27,118,237 |
State Street Equity 500 Index II Portfolio | 18,244,180 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 | |
16 | |
17 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $21,626,156,810 |
Receivable from Adviser | 367,770 |
Prepaid expenses and other assets | 39,731 |
TOTAL ASSETS | 21,626,564,311 |
LIABILITIES | |
Administration fees payable | 911,590 |
Shareholder servicing fee payable | 138,171 |
Distribution fees payable | 26,968 |
Trustees’ fees and expenses payable | 48 |
Transfer agent fees payable | 48,635 |
Distribution payable | 5,656,331 |
Registration and filing fees payable | 1,091,331 |
Professional fees payable | 7,418 |
Printing fees payable | 13,190 |
Accrued expenses and other liabilities | 242,340 |
TOTAL LIABILITIES | 8,136,022 |
NET ASSETS | $21,618,428,289 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $21,616,672,282 |
Total distributable earnings (loss) | 1,756,007 |
NET ASSETS | $21,618,428,289 |
Administration Class | |
Net Assets | $613,074,003 |
Shares Outstanding | 613,018,157 |
Net asset value, offering and redemption price per share | $1.0001 |
Institutional Class | |
Net Assets | $183,304,009 |
Shares Outstanding | 183,261,229 |
Net asset value, offering and redemption price per share | $1.0002 |
Investment Class | |
Net Assets | $12,184 |
Shares Outstanding | 12,182 |
Net asset value, offering and redemption price per share | $1.0002 |
Investor Class | |
Net Assets | $36,423,594 |
Shares Outstanding | 36,420,806 |
Net asset value, offering and redemption price per share | $1.0001 |
Premier Class | |
Net Assets | $20,188,261,416 |
Shares Outstanding | 20,186,397,817 |
Net asset value, offering and redemption price per share | $1.0001 |
Trust Class | |
Net Assets | $597,353,083 |
Shares Outstanding | 597,270,475 |
Net asset value, offering and redemption price per share | $1.0001 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $21,624,724,461 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $406,519,263 |
Expenses allocated from affiliated Portfolio | (11,391,479) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 395,127,784 |
EXPENSES | |
Administration fees | |
Administration Class | 396,638 |
Institutional Class | 50,148 |
Investment Class | 8 |
Investor Class | 30,802 |
Premier Class | 7,869,512 |
Trust Class | 304,767 |
Shareholder servicing fees | |
Administration Class | 1,586,552 |
Institutional Class | 30,089 |
Investment Class | 39 |
Investor Class | 49,283 |
Trust Class | 353,530 |
Distribution fees | |
Administration Class | 396,638 |
Investment Class | 16 |
Custodian fees | 60,783 |
Trustees’ fees and expenses | 18,048 |
Transfer agent fees | 370,147 |
Registration and filing fees | 1,134,708 |
Professional fees and expenses | 44,840 |
Printing and postage fees | 4,098 |
Insurance expense | 75,788 |
Miscellaneous expenses | 59,199 |
TOTAL EXPENSES | 12,835,633 |
Expenses waived/reimbursed by the Adviser | (1,046,471) |
NET EXPENSES | 11,789,162 |
NET INVESTMENT INCOME (LOSS) | $383,338,622 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 206,342 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 1,566,595 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,772,937 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $385,111,559 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $383,338,622 | $238,279,241 | |
Net realized gain (loss) | 206,342 | 99,187 | |
Net change in unrealized appreciation/depreciation | 1,566,595 | 11,343 | |
Net increase (decrease) in net assets resulting from operations | 385,111,559 | 238,389,771 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (16,286,035) | (16,841,391) | |
Institutional Class | (2,165,388) | (522) | |
Investment Class | (321) | (12,458) | |
Investor Class | (1,344,762) | (1,303,641) | |
Premier Class | (349,794,303) | (207,278,397) | |
Trust Class | (13,762,571) | (12,837,558) | |
Total distributions to shareholders | (383,353,380) | (238,273,967) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 7,064,387,447 | 8,810,320,220 | |
Reinvestment of distributions | 6,346,954 | 6,962,960 | |
Shares redeemed | (7,414,542,170) | (8,692,143,753) | |
Net increase (decrease) from capital share transactions | (343,807,769) | 125,139,427 | |
Institutional Class | |||
Shares sold | 346,019,418 | 55,086 | |
Reinvestment of distributions | 1,223,450 | 54 | |
Shares redeemed | (164,003,610) | (13) | |
Net increase (decrease) from capital share transactions | 183,239,258 | 55,127 | |
Investment Class | |||
Reinvestment of distributions | 117 | 96 | |
Shares redeemed | (11,314) | (5,524,389) | |
Net increase (decrease) from capital share transactions | (11,197) | (5,524,293) | |
Investor Class | |||
Shares sold | 591,140,341 | 507,867,839 | |
Reinvestment of distributions | 1,323,819 | 1,228,213 | |
Shares redeemed | (596,927,131) | (502,571,336) | |
Net increase (decrease) from capital share transactions | (4,462,971) | 6,524,716 | |
Premier Class | |||
Shares sold | 128,405,751,905 | 101,814,128,257 | |
Reinvestment of distributions | 300,188,572 | 180,623,253 | |
Shares redeemed | (118,008,766,305) | (100,808,489,575) | |
Net increase (decrease) from capital share transactions | 10,697,174,172 | 1,186,261,935 | |
Trust Class | |||
Shares sold | 7,060,825,006 | 6,721,774,753 | |
Reinvestment of distributions | 10,029,898 | 9,824,200 | |
Shares redeemed | (7,177,740,862) | (6,791,873,011) | |
Net increase (decrease) from capital share transactions | (106,885,958) | (60,274,058) | |
Net increase (decrease) in net assets from beneficial interest transactions | 10,425,245,535 | 1,252,182,854 | |
Net increase (decrease) in net assets during the period | 10,427,003,714 | 1,252,298,658 | |
Net assets at beginning of period | 11,191,424,575 | 9,939,125,917 | |
NET ASSETS AT END OF PERIOD | $21,618,428,289 | $11,191,424,575 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 7,063,766,984 | 8,810,290,173 | |
Reinvestment of distributions | 6,346,279 | 6,962,997 | |
Shares redeemed | (7,413,930,913) | (8,692,062,407) | |
Net increase (decrease) from share transactions | (343,817,650) | 125,190,763 | |
Institutional Class | |||
Shares sold | 345,940,633 | 55,075 | |
Reinvestment of distributions | 1,223,102 | 54 | |
Shares redeemed | (163,957,622) | (13) | |
Net increase (decrease) from share transactions | 183,206,113 | 55,116 | |
Investment Class | |||
Reinvestment of distributions | 117 | 96 | |
Shares redeemed | (11,313) | (5,524,483) | |
Net increase (decrease) from share transactions | (11,196) | (5,524,387) |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
Investor Class | |||
Shares sold | 591,076,978 | 507,868,109 | |
Reinvestment of distributions | 1,323,685 | 1,228,236 | |
Shares redeemed | (596,863,389) | (502,578,153) | |
Net increase (decrease) from share transactions | (4,462,726) | 6,518,192 | |
Premier Class | |||
Shares sold | 128,391,594,972 | 101,813,025,437 | |
Reinvestment of distributions | 300,151,150 | 180,623,722 | |
Shares redeemed | (117,995,489,305) | (100,807,262,430) | |
Net increase (decrease) from share transactions | 10,696,256,817 | 1,186,386,729 | |
Trust Class | |||
Shares sold | 7,059,739,420 | 6,721,631,079 | |
Reinvestment of distributions | 10,028,400 | 9,824,002 | |
Shares redeemed | (7,176,649,795) | (6,791,750,606) | |
Net increase (decrease) from share transactions | (106,881,975) | (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) | |||||||
Year Ended 12/31/19 | 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) | 0.0206 | 0.0174 | 0.0080 | 0.0008 | |||
Net realized and unrealized gain (loss) | (0.0001) | (0.0001) | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0205 | 0.0173 | 0.0080 | 0.0008 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0203) | (0.0174) | (0.0080) | (0.0008) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0203) | (0.0174) | (0.0080) | (0.0008) | |||
Net asset value, end of period | $1.0001 | $0.9999 | $1.0000 | $1.0000 | |||
Total return (c) | 2.07% | 1.75% | 0.80% | 0.08% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $613,074 | $956,750 | $831,606 | $798,447 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.38% | 0.37% | 0.37% | 0.38%(d) | |||
Net expenses | 0.37% | 0.37% | 0.37% | 0.38%(d) | |||
Net investment income (loss) | 2.06% | 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) | |||
Year Ended 12/31/19 | 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) | 0.0217 | 0.0108 | |
Net realized and unrealized gain (loss) | 0.0009 | 0.0001 | |
Total from investment operations | 0.0226 | 0.0109 | |
Distributions to shareholders from: | |||
Net investment income | (0.0225) | (0.0108) | |
Net asset value, end of period | $1.0002 | $1.0001 | |
Total return (b) | 2.28% | 1.08% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $183,304 | $55 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.16% | 0.15%(c) | |
Net expenses | 0.15% | 0.15%(c) | |
Net investment income (loss) | 2.17% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $0.9999 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0201 | 0.0164 | 0.0070 | 0.0010 | 0.0000(b)(c) | ||||
Net realized and unrealized gain (loss) | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0198 | 0.0165 | 0.0069 | 0.0010 | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0196) | (0.0164) | (0.0070) | (0.0010) | — | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0196) | (0.0164) | (0.0070) | (0.0010) | — | ||||
Net asset value, end of period | $1.0002 | $1.0000 | $0.9999 | $1.0000 | $1.0000 | ||||
Total return (d) | 1.99% | 1.67% | 0.69% | 0.10% | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $12 | $23 | $5,547 | $5,582 | $485,292 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.45% | 0.47% | 0.47% | 0.46% | 0.24% | ||||
Net investment income (loss) | 2.01% | 1.18% | 0.70% | 0.08% | 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 year. |
(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%. |
Investor Class(a) | |||||
Year Ended 12/31/19 | 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) | 0.0219 | 0.0191 | 0.0055 | ||
Net realized and unrealized gain (loss) | 0.0003 | — | (0.0001) | ||
Total from investment operations | 0.0222 | 0.0191 | 0.0054 | ||
Voluntary expense reimbursement from Affiliate | — | — | 0.0000(b) | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0220) | (0.0191) | (0.0055) | ||
Net realized gains | — | — | (0.0000)(b) | ||
Total distributions | (0.0220) | (0.0191) | (0.0055) | ||
Net asset value, end of period | $1.0001 | $0.9999 | $0.9999 | ||
Total return (c) | 2.24% | 1.92% | 0.54% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $36,424 | $40,881 | $34,361 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.21% | 0.20% | 0.20%(d) | ||
Net expenses | 0.20% | 0.20% | 0.20%(d) | ||
Net investment income (loss) | 2.19% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $0.9999 | $0.9999 | $1.0001 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0223 | 0.0199 | 0.0105 | 0.0045 | 0.0012(b) | ||||
Net realized and unrealized gain (loss) | 0.0007 | — | (0.0002) | 0.0001 | 0.0000(c) | ||||
Total from investment operations | 0.0230 | 0.0199 | 0.0103 | 0.0046 | 0.0012 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0228) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | ||||
Net realized gains | — | — | (0.0000)(c) | — | — | ||||
Total distributions | (0.0228) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | ||||
Net asset value, end of period | $1.0001 | $0.9999 | $0.9999 | $1.0001 | $1.0000 | ||||
Total return (d) | 2.32% | 2.00% | 1.05% | 0.45% | 0.12% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $20,188,261 | $9,489,591 | $8,303,222 | $6,255,384 | $45,207,442 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.13% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 2.23% | 2.00% | 1.06% | 0.43% | 0.12% |
(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 year. |
(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. |
Trust Class(a) | |||||||
Year Ended 12/31/19 | 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) | 0.0226 | 0.0193 | 0.0099 | 0.0015 | |||
Net realized and unrealized gain (loss) | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | |||
Total from investment operations | 0.0223 | 0.0194 | 0.0098 | 0.0015 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0222) | (0.0193) | (0.0099) | (0.0015) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0222) | (0.0193) | (0.0099) | (0.0015) | |||
Net asset value, end of period | $1.0001 | $1.0000 | $0.9999 | $1.0000 | |||
Total return (c) | 2.26% | 1.96% | 0.99% | 0.15% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $597,353 | $704,123 | $764,391 | $1,211,202 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.18% | 0.18% | 0.18% | 0.19%(d) | |||
Net expenses | 0.18% | 0.18% | 0.18% | 0.19%(d) | |||
Net investment income (loss) | 2.26% | 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 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $383,353,380 | $— | $383,353,380 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $ 238,273,967 | $ — | $ 238,273,967 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Liquid Reserves Fund | $323,658 | $— | $— | $1,432,349 | $1,756,007 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $21,624,724,461 | $1,432,349 | $— | $1,432,349 |
February 27, 2020
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% | $1,009.10 | $1.87 | $1,023.30 | $1.89 | ||||
Institutional Class | 0.15 | 1,010.10 | 0.76 | 1,024.40 | 0.77 | ||||
Investment Class | 0.46 | 1,008.70 | 2.33 | 1,022.90 | 2.35 | ||||
Investor Class | 0.20 | 1,010.00 | 1.01 | 1,024.20 | 1.02 | ||||
Premier Class | 0.12 | 1,010.30 | 0.61 | 1,024.60 | 0.61 | ||||
Trust Class | 0.18 | 1,010.00 | 0.91 | 1,024.30 | 0.92 |
(a) | Expenses are equal to the Fund's annualized net expense ratio,which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
17 |
% of Net Assets | |||
Certificates of Deposit | 30.9% | ||
Financial Company Commercial Paper | 20.8 | ||
Other Notes | 13.4 | ||
Asset Backed Commercial Paper | 9.6 | ||
Treasury Repurchase Agreements | 9.4 | ||
Other Repurchase Agreements | 9.0 | ||
Government Agency Repurchase Agreements | 2.6 | ||
Other Assets in Excess of Liabilities | 4.3 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 40.8% | ||
31 to 60 Days | 8.1 | ||
61 to 90 Days | 14.7 | ||
Over 90 Days | 32.1 | ||
Total | 95.7% | ||
Average days to maturity | 29 | ||
Weighted average life | 75 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—9.6% | ||||||||||
Antalis SA(a) | 1.700% | 01/03/2020 | 01/03/2020 | $101,000,000 | $100,984,640 | |||||
Antalis SA(a) | 1.950% | 03/09/2020 | 03/09/2020 | 88,500,000 | 88,180,596 | |||||
Atlantic Asset Securitization LLC(a) | 1.570% | 01/02/2020 | 01/02/2020 | 125,000,000 | 124,988,410 | |||||
Barton Capital SA(a) | 1.620% | 01/02/2020 | 01/02/2020 | 70,000,000 | 69,993,412 | |||||
Bedford Row Funding Corp., 1 Month USD LIBOR + 0.13%%(b) | 1.870% | 01/16/2020 | 01/16/2020 | 50,000,000 | 50,004,563 | |||||
Bedford Row Funding Corp., 3 Month USD LIBOR + 0.13%%(b) | 2.030% | 03/17/2020 | 09/17/2020 | 65,000,000 | 65,009,216 | |||||
Collateralized Commercial Paper FLEX Co. LLC(a) | 1.880% | 03/25/2020 | 03/25/2020 | 75,000,000 | 74,676,823 | |||||
Collateralized Commercial Paper FLEX Co. LLC(a) | 1.950% | 03/24/2020 | 03/24/2020 | 100,000,000 | 99,574,400 | |||||
Collateralized Commercial Paper FLEX Co. LLC(a) | 2.120% | 02/10/2020 | 02/10/2020 | 130,000,000 | 129,733,500 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 1.880% | 03/25/2020 | 03/25/2020 | 50,000,000 | 49,778,646 | |||||
Columbia Funding Co. LLC(a) | 1.950% | 01/02/2020 | 01/02/2020 | 150,000,000 | 149,985,575 | |||||
Columbia Funding Co. LLC(a) | 2.170% | 01/17/2020 | 01/17/2020 | 75,000,000 | 74,936,639 | |||||
Kells Funding LLC(a) | 1.940% | 01/08/2020 | 01/08/2020 | 63,525,000 | 63,501,228 | |||||
Kells Funding LLC(a) | 1.940% | 01/28/2020 | 01/28/2020 | 100,000,000 | 99,862,256 | |||||
Kells Funding LLC(a) | 2.000% | 02/14/2020 | 02/14/2020 | 67,000,000 | 66,850,925 | |||||
Kells Funding LLC(a) | 2.000% | 02/18/2020 | 02/18/2020 | 15,000,000 | 14,963,597 | |||||
Kells Funding LLC(a) | 2.000% | 02/24/2020 | 02/24/2020 | 120,000,000 | 119,672,383 | |||||
Kells Funding LLC(a) | 2.020% | 02/28/2020 | 02/28/2020 | 23,260,000 | 23,191,802 | |||||
Kells Funding LLC(a) | 2.050% | 03/23/2020 | 03/23/2020 | 60,000,000 | 59,740,763 | |||||
LMA Americas LLC(a) | 1.600% | 01/02/2020 | 01/02/2020 | 200,000,000 | 199,984,400 | |||||
LMA Americas LLC(a) | 2.090% | 03/25/2020 | 03/25/2020 | 100,000,000 | 99,545,486 | |||||
Nieuw Amsterdam Receivables Corp.(a) | 1.540% | 01/02/2020 | 01/02/2020 | 116,261,000 | 116,250,744 | |||||
Nieuw Amsterdam Receivables Corp.(a) | 2.180% | 01/10/2020 | 01/10/2020 | 100,000,000 | 99,948,667 | |||||
Ridgefield Funding Co. LLC, 1 Month USD LIBOR + 0.25%%(b) | 1.965% | 01/10/2020 | 06/10/2020 | 35,000,000 | 34,997,402 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 2,076,356,073 | |||||||||
CERTIFICATES OF DEPOSIT—30.9% | ||||||||||
Bank of Montreal(a) | 1.540% | 01/07/2020 | 01/07/2020 | 115,000,000 | 115,000,000 | |||||
Bank of Montreal(a) | 1.920% | 01/01/2020 | 09/08/2020 | 180,000,000 | 180,036,265 | |||||
Bank of Montreal, 3 Month USD LIBOR + 0.05%%(b) | 1.957% | 03/02/2020 | 03/02/2020 | 100,000,000 | 100,004,370 | |||||
Bank of Nova Scotia(a) | 1.910% | 06/17/2020 | 06/17/2020 | 125,000,000 | 125,014,891 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.30%%(b) | 2.040% | 01/16/2020 | 01/16/2020 | 20,000,000 | 20,003,334 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.10%%(b) | 2.047% | 03/30/2020 | 09/28/2020 | 150,000,000 | 149,999,778 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.14%%(b) | 2.141% | 01/16/2020 | 01/16/2020 | 23,000,000 | 23,001,424 | |||||
BNP Paribas, 1 Month USD LIBOR + 0.21%%(b) | 1.974% | 01/21/2020 | 05/19/2020 | 100,000,000 | 100,007,554 | |||||
Canadian Imperial Bank of Commerce(a) | 1.900% | 01/01/2020 | 09/15/2020 | 150,000,000 | 150,010,377 | |||||
Canadian Imperial Bank of Commerce(a) | 1.950% | 09/17/2020 | 09/17/2020 | 100,000,000 | 100,055,672 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%%(b) | 1.935% | 03/09/2020 | 09/08/2020 | 145,000,000 | 144,970,037 | |||||
Credit Industriel et Commercial(a) | 1.850% | 01/01/2020 | 05/15/2020 | 150,000,000 | 150,005,435 | |||||
Credit Industriel et Commercial(a) | 2.260% | 03/11/2020 | 03/11/2020 | 100,000,000 | 100,085,893 | |||||
Credit Suisse(a) | 1.940% | 06/26/2020 | 06/26/2020 | 150,000,000 | 149,999,616 | |||||
Credit Suisse(a) | 1.980% | 04/17/2020 | 04/17/2020 | 175,000,000 | 175,020,951 | |||||
Credit Suisse, 1 Month USD LIBOR + 0.29%%(b) | 1.999% | 01/02/2020 | 08/28/2020 | 150,000,000 | 149,993,576 | |||||
Credit Suisse, Secured Overnight Financing Rate + 0.23%%(b) | 1.770% | 01/01/2020 | 02/14/2020 | 150,000,000 | 150,016,765 | |||||
KBC Bank NV(a) | 1.650% | 01/06/2020 | 01/06/2020 | 200,000,000 | 200,001,056 | |||||
Mitsubishi UFJ Trust & Banking Corp.(a) | 1.900% | 03/03/2020 | 03/03/2020 | 150,000,000 | 149,998,557 | |||||
Mizuho Bank Ltd.(a) | 1.930% | 02/14/2020 | 02/14/2020 | 102,000,000 | 102,008,130 | |||||
Mizuho Bank Ltd.(a) | 1.950% | 04/20/2020 | 04/20/2020 | 172,000,000 | 172,043,793 | |||||
Mizuho Bank Ltd.(a) | 2.060% | 03/16/2020 | 03/16/2020 | 163,000,000 | 163,066,411 | |||||
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.19%%(b) | 1.894% | 01/06/2020 | 02/05/2020 | 150,000,000 | 150,025,156 | |||||
MUFG Bank Ltd.(a) | 2.030% | 05/29/2020 | 05/29/2020 | 65,000,000 | 65,029,060 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.23%%(b) | 1.940% | 01/09/2020 | 07/09/2020 | $155,000,000 | $154,993,385 | |||||
Nordea Bank AB , 1 Month USD LIBOR + 0.27%%(b) | 2.062% | 01/27/2020 | 06/26/2020 | 130,000,000 | 130,036,382 | |||||
Norinchukin Bank(a) | 1.880% | 02/19/2020 | 02/19/2020 | 75,000,000 | 75,003,737 | |||||
Norinchukin Bank(a) | 2.010% | 02/07/2020 | 02/07/2020 | 96,850,000 | 96,872,915 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 2.070% | 03/19/2020 | 03/19/2020 | 175,000,000 | 175,065,712 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.05%%(b) | 2.135% | 01/02/2020 | 04/02/2020 | 150,000,000 | 150,011,157 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.08%%(b) | 2.090% | 01/10/2020 | 07/10/2020 | 135,000,000 | 135,020,756 | |||||
Standard Chartered Bank(a) | 1.930% | 05/27/2020 | 05/27/2020 | 175,000,000 | 175,028,266 | |||||
Standard Chartered Bank(a) | 2.050% | 03/02/2020 | 03/02/2020 | 100,000,000 | 100,033,285 | |||||
Standard Chartered Bank, 1 Month USD LIBOR + 0.21%%(b) | 1.995% | 01/22/2020 | 01/22/2020 | 75,000,000 | 75,011,962 | |||||
Sumitomo Mitsui Banking Corp.(a) | 2.050% | 01/06/2020 | 01/06/2020 | 79,100,000 | 79,100,959 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.20%%(b) | 1.894% | 01/06/2020 | 03/04/2020 | 150,000,000 | 150,001,868 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.27%%(b) | 1.979% | 01/02/2020 | 05/01/2020 | 160,000,000 | 160,003,165 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.27%%(b) | 2.062% | 01/27/2020 | 04/27/2020 | 150,000,000 | 150,004,976 | |||||
Sumitomo Mitsui Trust Bank(a) | 2.020% | 02/14/2020 | 02/14/2020 | 82,375,000 | 82,394,099 | |||||
Sumitomo Mitsui Trust Bank(a) | 2.250% | 01/07/2020 | 01/07/2020 | 100,000,000 | 100,011,974 | |||||
Sumitomo Mitsui Trust Bank(a) | 2.250% | 01/08/2020 | 01/08/2020 | 125,000,000 | 125,016,926 | |||||
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.18%%(b) | 1.965% | 01/22/2020 | 01/22/2020 | 77,000,000 | 77,010,872 | |||||
Svenska Handelsbanken(a) | 1.870% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,003,735 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.20%%(b) | 1.964% | 01/21/2020 | 05/19/2020 | 150,000,000 | 150,005,524 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.04%%(b) | 2.083% | 01/06/2020 | 07/06/2020 | 155,000,000 | 154,992,118 | |||||
Toronto-Dominion Bank(a) | 1.920% | 01/01/2020 | 09/14/2020 | 150,000,000 | 150,031,047 | |||||
Toronto-Dominion Bank(a) | 2.000% | 03/25/2020 | 03/25/2020 | 100,000,000 | 100,026,688 | |||||
Toronto-Dominion Bank(a) | 2.200% | 01/15/2020 | 01/15/2020 | 70,000,000 | 70,013,479 | |||||
Toronto-Dominion Bank(a) | 2.260% | 01/08/2020 | 01/08/2020 | 100,000,000 | 100,012,943 | |||||
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.03%%(b) | 1.965% | 03/24/2020 | 03/24/2020 | 125,000,000 | 125,005,311 | |||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.18%%(b) | 1.890% | 01/08/2020 | 04/08/2020 | 100,000,000 | 100,021,126 | |||||
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.34%%(b) | 2.053% | 01/06/2020 | 10/06/2020 | 105,000,000 | 105,075,598 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.17%%(b) | 2.171% | 01/14/2020 | 01/15/2020 | 75,000,000 | 75,004,780 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.23%%(b) | 2.319% | 01/06/2020 | 01/06/2020 | 50,000,000 | 50,001,083 | |||||
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.24%%(b) | 2.329% | 01/03/2020 | 02/03/2020 | 75,000,000 | 75,016,765 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 6,681,230,694 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.8% | ||||||||||
Australia & New Zealand Banking Group Ltd., 3 Month USD LIBOR + 0.09%%(b) | 2.009% | 02/27/2020 | 08/27/2020 | 200,000,000 | 199,999,340 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.14%%(b) | 1.837% | 01/03/2020 | 02/03/2020 | 90,000,000 | 90,010,651 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.19%%(b) | 1.982% | 01/27/2020 | 04/27/2020 | 145,000,000 | 145,003,393 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.06%%(b) | 1.952% | 03/05/2020 | 06/05/2020 | 100,000,000 | 100,008,115 | |||||
BPCE(a) | 1.950% | 03/26/2020 | 03/26/2020 | 175,000,000 | 174,211,964 | |||||
BPCE(a) | 2.270% | 02/18/2020 | 02/18/2020 | 125,000,000 | 124,685,242 | |||||
Caisse des Depots et Consignations(a) | 2.190% | 01/29/2020 | 01/29/2020 | 61,000,000 | 60,915,678 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.26%%(b) | 2.024% | 01/20/2020 | 06/19/2020 | 155,000,000 | 155,024,532 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.04%%(b) | 1.942% | 02/03/2020 | 02/03/2020 | 50,000,000 | 50,002,316 | |||||
DBS Bank Ltd.(a) | 1.850% | 03/25/2020 | 03/25/2020 | 60,000,000 | 59,738,908 | |||||
DBS Bank Ltd.(a) | 1.980% | 02/24/2020 | 02/24/2020 | 100,000,000 | 99,725,000 | |||||
DBS Bank Ltd.(a) | 2.030% | 03/27/2020 | 03/27/2020 | 100,000,000 | 99,553,883 | |||||
Erste Abwicklungsanstalt(a) | 2.000% | 02/18/2020 | 02/18/2020 | 100,000,000 | 99,766,842 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federation des Caisses Desjardins du Quebec(a) | 1.740% | 01/06/2020 | 01/06/2020 | $50,000,000 | $49,986,967 | |||||
HSBC Bank PLC, 1 Month USD LIBOR + 0.24%%(b) | 1.976% | 01/13/2020 | 05/12/2020 | 125,000,000 | 125,013,279 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.23%%(b) | 2.232% | 01/15/2020 | 10/15/2020 | 175,000,000 | 175,135,376 | |||||
ING US Funding LLC, 1 Month USD LIBOR + 0.20%%(b) | 1.940% | 01/15/2020 | 05/15/2020 | 185,000,000 | 185,006,120 | |||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.26%%(b) | 2.024% | 01/20/2020 | 03/19/2020 | 50,000,000 | 50,021,178 | |||||
Lloyds Bank PLC, 1 Month USD LIBOR + 0.33%%(b) | 2.094% | 01/20/2020 | 05/15/2020 | 50,000,000 | 50,026,098 | |||||
Lloyds Bank PLC, 3 Month USD LIBOR + 0.09%%(b) | 1.992% | 02/04/2020 | 02/04/2020 | 115,000,000 | 115,008,535 | |||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.18%%(b) | 1.889% | 01/02/2020 | 07/01/2020 | 176,000,000 | 175,985,246 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%%(b) | 2.027% | 02/24/2020 | 11/24/2020 | 100,000,000 | 99,999,690 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%%(b) | 2.027% | 02/25/2020 | 11/25/2020 | 125,000,000 | 125,010,684 | |||||
Nederlandse Waterschapsbank NV(a) | 1.970% | 02/18/2020 | 02/18/2020 | 66,000,000 | 65,843,420 | |||||
NRW.Bank(a) | 2.030% | 03/26/2020 | 03/26/2020 | 180,000,000 | 179,204,501 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 1.890% | 03/13/2020 | 03/13/2020 | 60,000,000 | 59,772,605 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 1.950% | 04/20/2020 | 04/20/2020 | 175,000,000 | 173,956,445 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.880% | 07/22/2020 | 07/22/2020 | 150,000,000 | 148,412,200 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.885% | 06/01/2020 | 06/01/2020 | 140,000,000 | 138,898,655 | |||||
Toronto-Dominion Bank(a) | 1.650% | 01/03/2020 | 01/03/2020 | 200,000,000 | 199,969,366 | |||||
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.20%%(b) | 1.985% | 01/23/2020 | 05/22/2020 | 167,000,000 | 167,007,159 | |||||
Toyota Credit Canada, Inc., 1 Month USD LIBOR + 0.17%%(b) | 1.880% | 01/08/2020 | 03/23/2020 | 50,000,000 | 50,012,135 | |||||
Toyota Finance Australia(a) | 1.920% | 04/09/2020 | 04/09/2020 | 100,000,000 | 99,477,778 | |||||
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.24%%(b) | 1.953% | 01/06/2020 | 09/01/2020 | 141,000,000 | 140,968,295 | |||||
UBS AG, 1 Month USD LIBOR + 0.34%%(b) | 2.053% | 01/06/2020 | 08/06/2020 | 160,000,000 | 160,010,862 | |||||
UBS AG, 3 Month USD LIBOR + 0.05%%(b) | 1.959% | 02/03/2020 | 02/03/2020 | 50,000,000 | 50,001,024 | |||||
Westpac Banking Corp.(a) | 1.890% | 01/01/2020 | 08/28/2020 | 120,000,000 | 120,023,627 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.13%%(b) | 2.066% | 01/23/2020 | 10/23/2020 | 140,000,000 | 140,010,891 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 4,503,408,000 | |||||||||
OTHER NOTES—13.4% | ||||||||||
ABN Amro Bank NV(a) | 1.700% | 01/06/2020 | 01/06/2020 | 300,000,000 | 300,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 1.560% | 01/02/2020 | 01/02/2020 | 255,000,000 | 255,000,000 | |||||
Bank of America NA(a) | 1.850% | 01/01/2020 | 03/06/2020 | 140,000,000 | 140,009,125 | |||||
Bank of America NA, 1 Month USD LIBOR + 0.19%%(b) | 1.884% | 01/06/2020 | 05/04/2020 | 54,000,000 | 53,999,997 | |||||
Bank of Nova Scotia(a) | 1.700% | 01/03/2020 | 01/03/2020 | 225,000,000 | 225,000,000 | |||||
Citibank NA(a) | 1.570% | 01/02/2020 | 01/02/2020 | 200,000,000 | 200,000,000 | |||||
Cooperatieve Rabobank UA(a) | 1.530% | 01/02/2020 | 01/02/2020 | 300,000,000 | 300,000,000 | |||||
Credit Agricole Corporate and Investment Bank(a) | 1.540% | 01/02/2020 | 01/02/2020 | 128,323,000 | 128,323,000 | |||||
Mizuho Bank Ltd.(a) | 1.580% | 01/02/2020 | 01/02/2020 | 375,000,000 | 375,000,000 | |||||
National Australia Bank Ltd.(a) | 1.530% | 01/02/2020 | 01/02/2020 | 205,000,000 | 205,000,000 | |||||
National Bank of Canada(a) | 1.650% | 01/02/2020 | 01/02/2020 | 300,000,000 | 300,000,000 | |||||
Royal Bank of Canada(a) | 1.550% | 01/02/2020 | 01/02/2020 | 225,000,000 | 225,000,000 | |||||
Royal Bank of Canada(a) | 1.750% | 01/06/2020 | 01/06/2020 | 200,000,000 | 200,000,000 | |||||
TOTAL OTHER NOTES | 2,907,332,122 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—2.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/16/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 05/01/2047, and a Federal National Mortgage Association, 3.500% due 01/01/2048, valued at $204,000,001); expected proceeds $200,248,611 | 1.790% | 01/01/2020 | 01/07/2020 | 200,000,000 | 200,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 2.750% due 12/20/2047, valued at $82,080,001); expected proceeds $76,006,629 | 1.570% | 01/02/2020 | 01/02/2020 | $76,000,000 | $76,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Farm Credit Banks, 3.350% – 3.980% due 02/23/2035 – 04/05/2038, Federal Home Loan Mortgage Corporations, 4.000% – 6.000% due 10/01/2027 – 02/01/2049, Federal National Mortgage Associations, 3.000% – 4.500% due 12/01/2032 – 12/01/2049, and Government National Mortgage Associations, 2.500% – 4.125% due 10/20/2023 – 04/15/2049, valued at $144,840,000); expected proceeds $142,012,386 | 1.570% | 01/02/2020 | 01/02/2020 | 142,000,000 | 142,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/10/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.617% due 01/01/2031 – 10/01/2049, and Federal National Mortgage Associations, 3.213% – 5.000% due 03/01/2034 – 10/01/2049, valued at $141,780,000); expected proceeds $139,187,650 | 1.800% | 01/07/2020 | 01/07/2020 | 139,000,000 | 139,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 557,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—9.4% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and a U.S. Treasury Note, 1.875% due 07/31/2026, valued at $232,560,002); expected proceeds $228,017,733 | 1.400% | 01/02/2020 | 01/02/2020 | 228,000,000 | 228,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, valued at $76,500,063); expected proceeds $75,006,042 | 1.450% | 01/02/2020 | 01/02/2020 | 75,000,000 | 75,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/02/2020, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and a U.S. Treasury Note, 1.750% due 06/30/2022, valued at $30,600,019); expected proceeds $30,002,617 | 1.570% | 01/02/2020 | 01/02/2020 | 30,000,000 | 30,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 2.750% due 08/15/2042, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 01/15/2026, and U.S. Treasury Notes, 1.375% – 2.750% due 05/31/2021 – 02/29/2024, valued at $1,020,000,001); expected proceeds $1,000,086,111 | 1.550% | 01/02/2020 | 01/02/2020 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by a U.S. Treasury Note, 2.625% due 06/30/2023, valued at $568,304,688); expected proceeds $557,463144 | 1.580% | 01/02/2020 | 01/02/2020 | 557,414,216 | 557,414,216 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, valued at $102,000,041); expected proceeds $100,008,667 | 1.560% | 01/02/2020 | 01/02/2020 | 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 JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/11/2020 – 03/26/2020, U.S. Treasury Bonds, 2.375% – 8.000% due 11/15/2021 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.875% due 04/15/2029 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 01/15/2023 – 07/15/2028, and U.S. Treasury Notes, 1.375% – 2.875% due 01/15/2020 – 02/15/2025, valued at $43,860,000); expected proceeds $43,003,774 | 1.570% | 01/02/2020 | 01/02/2020 | $43,000,000 | $43,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 2,033,414,216 | |||||||||
OTHER REPURCHASE AGREEMENTS—9.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by various Corporate Bonds, 2.820% – 6.500% due 01/19/2022 – 07/31/2047, valued at $91,800,509); expected proceeds $85,422,875(c) | 1.990% | 01/01/2020 | 03/26/2020 | 85,000,000 | 85,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $162,000,011); expected proceeds $150,013,833 | 1.990% | 01/02/2020 | 04/03/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Corporate Bonds, 2.250% – 7.000% due 12/06/2021 – 03/01/2050, valued at $108,820,695); expected proceeds $100,009,389 | 1.690% | 01/02/2020 | 01/02/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 11.000% due 11/04/2024 – 05/15/2060, valued at $216,000,005); expected proceeds $200,067,667 | 1.740% | 01/07/2020 | 01/07/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $189,475,084); expected proceeds $175,870,625(c) | 1.990% | 01/01/2020 | 03/30/2020 | 175,000,000 | 175,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $567,000,000); expected proceeds $525,049,292 | 1.690% | 01/02/2020 | 01/02/2020 | 525,000,000 | 525,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by various Corporate Bonds, 0.000% – 9.500% due 01/22/2020 – 06/01/2050, valued at $115,001,390); expected proceeds $100,497,500(c) | 1.990% | 01/01/2020 | 03/05/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by various Corporate Bonds, 0.000% – 6.200% due 07/22/2022 – 06/25/2059, valued at $221,989,086); expected proceeds $200,970,000(c) | 1.940% | 01/01/2020 | 03/19/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2019 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 4.000% due 08/01/2023 – 01/01/2049, valued at $81,199,630); expected proceeds $75,130,521(c) | 1.790% | 01/01/2020 | 04/17/2020 | 75,000,000 | 75,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $91,800,008); expected proceeds $85,007,886 | 1.670% | 01/02/2020 | 01/02/2020 | $85,000,000 | $85,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Corporate Bonds, 3.500% – 7.950% due 04/01/2021 – 02/15/2045, valued at $57,500,000); expected proceeds $50,036,328(c) | 1.868% | 01/14/2020 | 01/14/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by various Common Stocks, valued at $162,223,605); expected proceeds $150,690,000(c) | 1.840% | 01/01/2020 | 03/05/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2019 (collateralized by various Common Stocks, valued at $54,007,913); expected proceeds $50,016,917 | 1.740% | 01/06/2020 | 01/06/2020 | 50,000,000 | 50,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 1,945,000,000 | |||||||||
TOTAL INVESTMENTS –95.7% (Cost $20,702,308,756)(d) | 20,703,741,105 | |||||||||
Other Assets in Excess of Liabilities —4.3% | 922,417,645 | |||||||||
NET ASSETS –100.0% | $21,626,158,750 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $835,000,000 or 3.9% of net assets as of December 31, 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 | $— | $2,076,356,073 | $— | $2,076,356,073 | ||||
Certificates of Deposit | — | 6,681,230,694 | — | 6,681,230,694 | ||||
Financial Company Commercial Paper | — | 4,503,408,000 | — | 4,503,408,000 | ||||
Other Notes | — | 2,907,332,122 | — | 2,907,332,122 | ||||
Government Agency Repurchase Agreements | — | 557,000,000 | — | 557,000,000 | ||||
Treasury Repurchase Agreements | — | 2,033,414,216 | — | 2,033,414,216 | ||||
Other Repurchase Agreements | — | 1,945,000,000 | — | 1,945,000,000 | ||||
Total Investments | $— | $20,703,741,105 | $— | $20,703,741,105 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $16,168,326,889 |
Repurchase agreements, at value | 4,535,414,216 |
Total Investments | 20,703,741,105 |
Cash | 896,096,435 |
Interest receivable — unaffiliated issuers | 27,475,953 |
Other Receivable | 37,414 |
Prepaid expenses and other assets | 3,427 |
TOTAL ASSETS | 21,627,354,334 |
LIABILITIES | |
Advisory and administrator fee payable | 907,346 |
Custody, sub-administration and transfer agent fees payable | 241,776 |
Trustees’ fees and expenses payable | 3,369 |
Professional fees payable | 33,202 |
Printing fees payable | 8,218 |
Accrued expenses and other liabilities | 1,673 |
TOTAL LIABILITIES | 1,195,584 |
NET ASSETS | $21,626,158,750 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $16,166,894,540 |
Repurchase agreements | 4,535,414,216 |
Total cost of investments | $20,702,308,756 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $406,519,300 |
EXPENSES | |
Advisory and administrator fee | 8,651,875 |
Custodian, sub-administrator and transfer agent fees | 2,242,265 |
Trustees’ fees and expenses | 261,888 |
Professional fees and expenses | 194,274 |
Printing and postage fees | 9,690 |
Insurance expense | 6,442 |
Miscellaneous expenses | 25,045 |
TOTAL EXPENSES | 11,391,479 |
NET INVESTMENT INCOME (LOSS) | $395,127,821 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 206,342 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 1,566,595 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,772,937 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $396,900,758 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $395,127,821 | $247,714,372 | |
Net realized gain (loss) | 206,342 | 99,189 | |
Net change in unrealized appreciation/depreciation | 1,566,595 | 11,343 | |
Net increase (decrease) in net assets resulting from operations | 396,900,758 | 247,824,904 | |
CAPITAL TRANSACTIONS | |||
Contributions | 32,519,193,299 | 38,864,723,746 | |
Withdrawals | (22,486,319,974) | (37,857,969,929) | |
Net increase (decrease) in net assets from capital transactions | 10,032,873,325 | 1,006,753,817 | |
Net increase (decrease) in net assets during the period | 10,429,774,083 | 1,254,578,721 | |
Net assets at beginning of period | 11,196,384,667 | 9,941,805,946 | |
NET ASSETS AT END OF PERIOD | $21,626,158,750 | $11,196,384,667 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Total return (a) | 2.38% | 2.06% | 0.96% | 0.51% | 0.17% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $21,626,159 | $11,196,385 | $9,941,806 | $8,272,653 | $47,683,856 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.06% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.29% | 2.05% | 1.11% | 0.49% | 0.17% |
(a) | Results represent past performance and are not indicative of future results. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $20,702,308,756 | $1,664,664 | $232,315 | $1,432,349 |
February 27, 2020
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% | $1,010.60 | $0.35 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 ESG Liquid Reserves Fund |
1 | |
2 | |
3 | |
4 | |
7 | |
11 | |
12 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $881,295,603 |
Cash | 1 |
Receivable from Adviser | 106,179 |
TOTAL ASSETS | 881,401,783 |
LIABILITIES | |
Administration fees payable | 37,466 |
Shareholder servicing fee payable | 2 |
Trustees’ fees and expenses payable | 1,470 |
Transfer agent fees payable | 840 |
Distribution payable | 40,576 |
Professional fees payable | 4,215 |
Printing and postage fees payable | 14 |
Accrued expenses and other liabilities | 14 |
TOTAL LIABILITIES | 84,597 |
NET ASSETS | $881,317,186 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $881,314,791 |
Total distributable earnings (loss) | 2,395 |
NET ASSETS | $881,317,186 |
Institutional Class | |
Net Assets | $50,002 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $1.0000 |
Investor Class | |
Net Assets | $50,002 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $1.0000 |
Premier Class | |
Net Assets | $881,217,182 |
Shares Outstanding | 881,214,969 |
Net asset value, offering and redemption price per share | $1.0000 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $881,294,852 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $1,253,210 |
Expenses allocated from affiliated Portfolio | (75,413) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 1,177,797 |
EXPENSES | |
Administration fees | |
Institutional Class | 1 |
Investor Class | 1 |
Premier Class | 35,394 |
Shareholder servicing fees | |
Institutional Class | 1 |
Investor Class | 1 |
Custodian fees | 2,070 |
Trustees’ fees and expenses | 1,470 |
Transfer agent fees | 840 |
Registration and filing fees | 28,658 |
Professional fees and expenses | 11,340 |
Printing and postage fees | 5,888 |
Miscellaneous expenses | 1,763 |
TOTAL EXPENSES | 87,427 |
Expenses waived/reimbursed by the Adviser | (106,179) |
NET EXPENSES | (18,752) |
NET INVESTMENT INCOME (LOSS) | $1,196,549 |
UNREALIZED GAIN (LOSS) | |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 751 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,197,300 |
For the Period 12/03/19*- 12/31/19 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $1,196,549 |
Net change in unrealized appreciation/depreciation | 751 |
Net increase (decrease) in net assets resulting from operations | 1,197,300 |
DISTRIBUTIONS TO SHAREHOLDERS: | |
Institutional Class(a) | (32) |
Investor Class(a) | (32) |
Premier Class | (1,194,841) |
Total distributions to shareholders | (1,194,905) |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |
Institutional Class(a) | |
Shares sold | 50,000 |
Net increase (decrease) from capital share transactions | 50,000 |
Investor Class(a) | |
Shares sold | 50,000 |
Net increase (decrease) from capital share transactions | 50,000 |
Premier Class | |
Shares sold | 884,706,710 |
Reinvestment of distributions | 1,154,331 |
Shares redeemed | (4,646,250) |
Net increase (decrease) from capital share transactions | 881,214,791 |
Net increase (decrease) in net assets from beneficial interest transactions | 881,314,791 |
Net increase (decrease) in net assets during the period | 881,317,186 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $881,317,186 |
SHARES OF BENEFICIAL INTEREST: | |
Institutional Class(a) | |
Shares sold | 50,000 |
Net increase (decrease) from share transactions | 50,000 |
Investor Class(a) | |
Shares sold | 50,000 |
Net increase (decrease) from share transactions | 50,000 |
Premier Class | |
Shares sold | 884,706,889 |
Reinvestment of distributions | 1,154,330 |
Shares redeemed | (4,646,250) |
Net increase (decrease) from share transactions | 881,214,969 |
* | Inception date. |
(a) | For Institutional Class and Investor Class shares, data is for the period December 19, 2019 (inception date) through December 31, 2019. |
Institutional Class(a) | |
For the Period 12/20/19*- 12/31/19 | |
Net asset value, beginning of period | $1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0006 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0006 |
Distributions to shareholders from: | |
Net investment income | (0.0006) |
Net asset value, end of period | $1.0000 |
Total return (c) | 0.06% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $50 |
Ratios to Average Net Assets: | |
Total expenses | 0.31%(d) |
Net expenses | 0.11%(d) |
Net investment income (loss) | 1.85%(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. |
Investor Class(a) | |
For the Period 12/20/19*- 12/31/19 | |
Net asset value, beginning of period | $1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0006 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0006 |
Distributions to shareholders from: | |
Net investment income | (0.0006) |
Total distributions | (0.0006) |
Net asset value, end of period | $1.0000 |
Total return (c) | 0.06% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $50 |
Ratios to Average Net Assets: | |
Total expenses | 0.36%(d) |
Net expenses | 0.16%(d) |
Net investment income (loss) | 1.80%(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) | |
For the Period 12/04/2019 *- 12/31/19 | |
Net asset value, beginning of period | $1.0000 |
Income (loss) from investment operations: | |
Net investment income (loss) | 0.0013 |
Net realized gain (loss) | 0.0000(b) |
Total from investment operations | 0.0013 |
Distributions to shareholders from: | |
Net investment income | (0.0013) |
Total distributions | (0.0013) |
Net asset value, end of period | $1.0000 |
Total return (c) | 0.13% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $881,217 |
Ratios to Average Net Assets: | |
Total expenses | 0.23%(d) |
Net expenses | 0.08%(d) |
Net investment income (loss) | 1.75%(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 ESG Liquid Reserves Fund | Premier Class Institutional Class Investment Class Administration Class Investor Class | December 4, 2019 December 20, 2019 Not commenced Not commenced December 20, 2019 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street ESG Liquid Reserves Fund | $1,194,905 | $— | $1,194,905 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street ESG Liquid Reserves Fund | $1,644 | $— | $— | $751 | $2,395 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $881,294,852 | $751 | $— | $751 |
February 27, 2020
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 ESG Liquid Reserves Fund | |||||||||
Institutional Class | 0.11% | $1,000.60 | $0.04(a) | $1,001.70 | $0.04(a) | ||||
Investor Class | 0.16 | 1,000.60 | 0.06(a) | 1,001.70 | 0.06(a) | ||||
Premier Class | 0.08 | 1,001.30 | 0.07(b) | 1,003.90 | 0.06(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 13, then divided by 365. |
(b) | 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 29, then divided by 365. |
• | A comparison of the New Funds’ 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 Funds’ 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 other money market funds; 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. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Funds as well as services provided to the Other Funds, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Funds; |
• | 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 Funds and their 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 Funds 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 Funds by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Funds, and the role of SSGA FM in managing the New Funds’ relationships with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the New Funds; |
• | 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 Funds, from each of: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 ESG Liquid Reserves Portfolio |
1 | |
2 | |
5 | |
6 | |
7 | |
9 | |
13 | |
14 |
% of Net Assets | |||
Certificates of Deposit | 30.7% | ||
Financial Company Commercial Paper | 20.8 | ||
Government Agency Repurchase Agreements | 18.7 | ||
Other Notes | 9.7 | ||
Treasury Repurchase Agreements | 8.0 | ||
Other Repurchase Agreements | 7.9 | ||
Asset Backed Commercial Paper | 4.1 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 45.9% | ||
31 to 60 Days | 1.4 | ||
61 to 90 Days | 14.7 | ||
Over 90 Days | 37.9 | ||
Total | 99.9% | ||
Average days to maturity | 30 | ||
Weighted average life | 89 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—4.1% | ||||||||||
Antalis SA(a) | 1.700% | 01/03/2020 | 01/03/2020 | $4,000,000 | $3,999,392 | |||||
Antalis SA(a) | 1.950% | 03/03/2020 | 03/03/2020 | 10,000,000 | 9,967,135 | |||||
Antalis SA(a) | 1.950% | 03/09/2020 | 03/09/2020 | 3,500,000 | 3,487,368 | |||||
Barton Capital SA(a) | 1.870% | 01/14/2020 | 01/14/2020 | 10,721,000 | 10,713,107 | |||||
Barton Capital SA(a) | 2.000% | 01/28/2020 | 01/28/2020 | 7,500,000 | 7,489,057 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 35,656,059 | |||||||||
CERTIFICATES OF DEPOSIT—30.7% | ||||||||||
Bank of Montreal(a) | 1.840% | 01/10/2020 | 01/10/2020 | 10,000,000 | 10,000,475 | |||||
Bank of Montreal(a) | 1.880% | 04/02/2020 | 04/02/2020 | 10,000,000 | 9,999,981 | |||||
Bank of Montreal(a) | 2.000% | 03/18/2020 | 03/18/2020 | 7,000,000 | 7,001,671 | |||||
Bank of Nova Scotia(a) | 1.900% | 04/13/2020 | 04/13/2020 | 9,000,000 | 9,001,403 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.22%%(b) | 1.914% | 01/06/2020 | 07/06/2020 | 12,000,000 | 11,998,503 | |||||
Canadian Imperial Bank of Commerce(a) | 2.000% | 01/13/2020 | 01/13/2020 | 11,000,000 | 11,001,164 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.12%%(b) | 2.020% | 03/04/2020 | 12/04/2020 | 12,000,000 | 11,999,964 | |||||
Credit Suisse, 1 Month USD LIBOR + 0.29%%(b) | 1.987% | 01/03/2020 | 09/03/2020 | 10,000,000 | 9,999,092 | |||||
Credit Suisse, Secured Overnight Financing Rate + 0.34%%(b) | 1.880% | 01/01/2020 | 07/06/2020 | 12,000,000 | 11,998,747 | |||||
Mizuho Bank Ltd.(a) | 1.920% | 01/24/2020 | 01/24/2020 | 6,500,000 | 6,501,568 | |||||
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.21%%(b) | 1.907% | 01/03/2020 | 04/03/2020 | 10,000,000 | 9,999,618 | |||||
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.22%%(b) | 1.914% | 01/06/2020 | 05/06/2020 | 10,000,000 | 10,000,000 | |||||
Natixis(a) | 1.870% | 03/03/2020 | 03/03/2020 | 13,000,000 | 13,000,007 | |||||
Natixis, 3 Month USD LIBOR + 0.11%%(b) | 2.010% | 03/04/2020 | 09/04/2020 | 12,000,000 | 11,999,965 | |||||
Natixis, 3 Month USD LIBOR + 0.20%%(b) | 2.147% | 03/30/2020 | 12/29/2020 | 7,000,000 | 7,000,000 | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.20%%(b) | 1.894% | 01/06/2020 | 06/04/2020 | 10,000,000 | 9,999,166 | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.23%%(b) | 1.940% | 01/09/2020 | 07/09/2020 | 10,000,000 | 9,999,573 | |||||
Nordea Bank AB, 3 Month USD LIBOR + 0.13%%(b) | 2.018% | 03/11/2020 | 12/11/2020 | 5,000,000 | 4,999,987 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.11%%(b) | 2.016% | 03/03/2020 | 12/03/2020 | 10,000,000 | 9,999,970 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.870% | 04/14/2020 | 04/14/2020 | 1,600,000 | 1,601,312 | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.20%%(b) | 1.965% | 01/21/2020 | 07/20/2020 | 9,500,000 | 9,495,954 | |||||
Sumitomo Mitsui Trust Bank(a) | 1.890% | 04/07/2020 | 04/07/2020 | 10,000,000 | 9,997,809 | |||||
Sumitomo Mitsui Trust Bank(a) | 1.950% | 03/13/2020 | 03/13/2020 | 10,000,000 | 10,000,710 | |||||
Swedbank AB(a) | 2.030% | 03/02/2020 | 03/02/2020 | 6,000,000 | 6,000,854 | |||||
Swedbank AB, 3 Month USD LIBOR + 0.11%%(b) | 1.995% | 03/09/2020 | 06/09/2020 | 7,000,000 | 7,001,488 | |||||
Toronto Dominion Bank(a) | 1.850% | 02/06/2020 | 02/06/2020 | 12,000,000 | 11,999,848 | |||||
Toronto Dominion Bank(a) | 1.880% | 03/23/2020 | 03/23/2020 | 15,000,000 | 14,999,802 | |||||
Toronto Dominion Bank(a) | 1.900% | 03/27/2020 | 03/27/2020 | 5,000,000 | 5,000,132 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%%(b) | 2.035% | 03/09/2020 | 12/09/2020 | 8,000,000 | 8,000,715 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 270,599,478 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.8% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 1.840% | 03/10/2020 | 03/10/2020 | 12,000,000 | 11,957,230 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 1.840% | 04/14/2020 | 04/14/2020 | 12,000,000 | 11,934,550 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 1.860% | 03/12/2020 | 03/12/2020 | 5,000,000 | 4,981,640 | |||||
Banco Santander(a) | 1.920% | 03/05/2020 | 03/05/2020 | 20,000,000 | 19,930,017 | |||||
Banco Santander(a) | 1.930% | 03/13/2020 | 03/13/2020 | 7,000,000 | 6,972,520 | |||||
Bank of Nova Scotia(a) | 1.860% | 04/03/2020 | 04/03/2020 | 8,000,000 | 7,961,690 | |||||
Canadian Imperial Bank of Commerce(a) | 1.760% | 01/08/2020 | 01/08/2020 | 8,000,000 | 7,996,953 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%%(b) | 1.941% | 03/10/2020 | 06/10/2020 | 12,000,000 | 11,999,970 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.11%%(b) | 1.997% | 02/28/2020 | 11/30/2020 | 12,000,000 | 11,999,980 | |||||
Credit Suisse(a) | 1.910% | 04/01/2020 | 04/01/2020 | 5,000,000 | 4,975,582 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.19%%(b) | 2.090% | 03/02/2020 | 12/02/2020 | 9,000,000 | 9,003,225 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.20%%(b) | 2.091% | 03/09/2020 | 12/08/2020 | $7,000,000 | $7,003,209 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.12%%(b) | 2.012% | 03/03/2020 | 12/03/2020 | 10,000,000 | 9,999,973 | |||||
Nestle Finance International Ltd.(a) | 1.750% | 03/19/2020 | 03/19/2020 | 10,000,000 | 9,962,738 | |||||
Royal Bank of Canada(a) | 2.000% | 03/19/2020 | 03/19/2020 | 6,000,000 | 5,975,681 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.19%%(b) | 1.903% | 01/06/2020 | 06/05/2020 | 10,000,000 | 9,999,376 | |||||
Toronto Dominion Bank(a) | 2.000% | 01/15/2020 | 01/15/2020 | 5,000,000 | 4,996,160 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.10%%(b) | 2.006% | 03/03/2020 | 08/28/2020 | 10,000,000 | 9,999,976 | |||||
UBS AG, 3 Month USD LIBOR + 0.07%%(b) | 1.998% | 01/29/2020 | 04/29/2020 | 8,000,000 | 7,999,979 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%%(b) | 2.042% | 02/25/2020 | 11/25/2020 | 8,000,000 | 8,002,824 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 183,653,273 | |||||||||
OTHER NOTES—9.7% | ||||||||||
Bank of America NA, 1 Month USD LIBOR + 0.19%%(b) | 1.884% | 01/02/2020 | 07/01/2020 | 10,000,000 | 10,000,000 | |||||
Credit Agricole Corporate and Investment Bank(a) | 1.540% | 01/02/2020 | 01/02/2020 | 5,758,000 | 5,758,000 | |||||
Mizuho Bank Ltd.(a) | 1.580% | 01/02/2020 | 01/02/2020 | 10,000,000 | 10,000,000 | |||||
National Australia Bank Ltd.(a) | 1.530% | 01/02/2020 | 01/02/2020 | 20,000,000 | 20,000,000 | |||||
National Bank of Canada(a) | 1.650% | 01/02/2020 | 01/02/2020 | 20,000,000 | 20,000,000 | |||||
Royal Bank of Canada(a) | 1.550% | 01/02/2020 | 01/02/2020 | 20,000,000 | 20,000,000 | |||||
TOTAL OTHER NOTES | 85,758,000 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—18.7% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 3.588% due 11/20/2069, valued at $5,100,001); expected proceeds $5,000,436 | 1.570% | 01/02/2020 | 01/02/2020 | 5,000,000 | 5,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 02/01/2047, Federal National Mortgage Associations, 3.000% – 4.000% due 06/01/2039 – 09/01/2049, and a Government National Mortgage Association, 2.500% due 12/20/2049, valued at $25,500,460); expected proceeds $25,002,181 | 1.570% | 01/02/2020 | 01/02/2020 | 25,000,000 | 25,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 4.500% due 09/01/2047 – 08/01/2048, valued at $71,400,000); expected proceeds $70,006,106 | 1.570% | 01/02/2020 | 01/02/2020 | 70,000,000 | 70,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $66,300,001); expected proceeds $65,005,669 | 1.570% | 01/02/2020 | 01/02/2020 | 65,000,000 | 65,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 165,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—8.0% | ||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal Farm Credit Bank, 3.540% due 01/25/2038, a Federal Home Loan Mortgage Corporation, 2.500% due 12/01/2049, a U.S. Treasury Bill, 0.000% due 01/02/2020, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, and a U.S. Treasury Note, 1.750% due 12/31/2024, valued at $71,399,811); expected proceeds $70,006,106 | 1.570% | 01/02/2020 | 01/02/2020 | 70,000,000 | 70,000,000 | |||||
OTHER REPURCHASE AGREEMENTS—7.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by a Common Stock, valued at $10,800,613); expected proceeds $10,065,781(c) | 1.990% | 01/01/2020 | 04/03/2020 | 10,000,000 | 10,000,000 |
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 12/20/2019 (collateralized by various Common Stocks, valued at $32,386,273); expected proceeds $30,018,308 | 1.690% | 01/02/2020 | 01/02/2020 | $30,000,000 | $30,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2019 (collateralized by various Common Stocks, valued at $32,400,015); expected proceeds $30,214,600(c) | 1.790% | 01/01/2020 | 04/17/2020 | 30,000,000 | 30,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 70,000,000 | |||||||||
TOTAL INVESTMENTS –99.9% (Cost $880,666,059)(d) | 880,666,810 | |||||||||
Other Assets in Excess of Liabilities —0.1% | 629,793 | |||||||||
NET ASSETS –100.0% | $881,296,603 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $40,000,000 or 4.5% of net assets as of December 31, 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 | $— | $35,656,059 | $— | $35,656,059 | ||||
Certificates of Deposit | — | 270,599,478 | — | 270,599,478 | ||||
Financial Company Commercial Paper | — | 183,653,273 | — | 183,653,273 | ||||
Other Notes | — | 85,758,000 | — | 85,758,000 | ||||
Government Agency Repurchase Agreements | — | 165,000,000 | — | 165,000,000 | ||||
Treasury Repurchase Agreements | — | 70,000,000 | — | 70,000,000 | ||||
Other Repurchase Agreements | — | 70,000,000 | — | 70,000,000 | ||||
Total Investments | $— | $880,666,810 | $— | $880,666,810 |
ASSETS | |
Investments in unaffiliated issuers, at value | $575,666,810 |
Repurchase agreements, at value and amortized cost | 305,000,000 |
Total Investments | 880,666,810 |
Cash | 678 |
Receivable for Contributions | 1,000 |
Interest receivable — unaffiliated issuers | 680,500 |
TOTAL ASSETS | 881,348,988 |
LIABILITIES | |
Advisory fee payable | 35,403 |
Custodian, sub-administrator and transfer agent fees payable | 8,538 |
Trustees’ fees and expenses payable | 1,470 |
Professional fees payable | 6,106 |
Printing and postage fees payable | 28 |
Accrued expenses and other liabilities | 840 |
TOTAL LIABILITIES | 52,385 |
NET ASSETS | $881,296,603 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $575,666,059 |
Repurchase agreements | 305,000,000 |
Total cost of investments | $880,666,059 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $1,253,210 |
EXPENSES | |
Advisory fee | 35,403 |
Custodian, sub-administrator and transfer agent fees | 8,824 |
Trustees’ fees and expenses | 1,470 |
Professional fees and expenses | 24,000 |
Printing and postage fees | 4,876 |
Miscellaneous expenses | 840 |
TOTAL EXPENSES | 75,413 |
NET INVESTMENT INCOME (LOSS) | $1,177,797 |
UNREALIZED GAIN (LOSS) | |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 751 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,178,548 |
For the Period 12/03/19*- 12/31/19 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $1,177,797 |
Net change in unrealized appreciation/depreciation | 751 |
Net increase (decrease) in net assets resulting from operations | 1,178,548 |
CAPITAL TRANSACTIONS | |
Contributions | 884,807,715 |
Withdrawals | (4,689,660) |
Net increase (decrease) in net assets from capital transactions | 880,118,055 |
Net increase (decrease) in net assets during the period | 881,296,603 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $881,296,603 |
* | Inception date. |
For the Period 12/04/19*- 12/31/19 | |
Total return (a) | 0.13% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $881,297 |
Ratios to average net assets: | |
Total expenses | 0.11%(b) |
Net investment income (loss) | 1.72%(b) |
* | Commencement of operations. |
(a) | Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(b) | Annualized. |
February 27, 2020
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 ESG Liquid Reserves Portfolio(a) | 0.11% | $1,001.30 | $0.55 | $1,003.90 | $0.09 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio, multiplied by the average account value of the period, multiplied by 29, then divided by 365. |
• | A comparison of the New Funds’ 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 Funds’ 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 other money market funds; 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. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Funds as well as services provided to the Other Funds, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Funds; |
• | 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 Funds and their 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 Funds 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 Funds by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Funds, and the role of SSGA FM in managing the New Funds’ relationships with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the New Funds; |
• | 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 Funds, from each of: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $60,306,952,959 |
Receivable for fund shares sold | 18,000,691 |
Receivable from Adviser | 25,406 |
Prepaid expenses and other assets | 125,634 |
TOTAL ASSETS | 60,325,104,690 |
LIABILITIES | |
Payable for fund shares repurchased | 1,087,555 |
Administration fees payable | 2,416,273 |
Shareholder servicing fee payable | 492,981 |
Distribution fees payable | 114,414 |
Transfer agent fees payable | 10,766 |
Distribution payable | 18,229,940 |
Registration and filing fees payable | 1,552,106 |
Professional fees payable | 7,418 |
Printing fees payable | 17,200 |
Accrued expenses and other liabilities | 264,810 |
TOTAL LIABILITIES | 24,193,463 |
NET ASSETS | $60,300,911,227 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $60,300,850,805 |
Total distributable earnings (loss) | 60,422 |
NET ASSETS | $60,300,911,227 |
Administration Class | |
Net Assets | $1,672,762,222 |
Shares Outstanding | 1,672,893,266 |
Net asset value, offering and redemption price per share | $1.00 |
Institutional Class | |
Net Assets | $950,202,441 |
Shares Outstanding | 950,201,143 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $517,996,880 |
Shares Outstanding | 518,003,686 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $726,126,041 |
Shares Outstanding | 726,127,505 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $52,826,659,664 |
Shares Outstanding | 52,826,899,366 |
Net asset value, offering and redemption price per share | $1.00 |
Class G | |
Net Assets | $3,607,163,979 |
Shares Outstanding | 3,607,180,183 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $1,144,608,471 |
Expenses allocated from affiliated Portfolio | (33,904,292) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 1,110,704,179 |
EXPENSES | |
Administration fees | |
Administration Class | 919,938 |
Institutional Class | 556,730 |
Investment Class | 223,518 |
Investor Class | 589,337 |
Premier Class | 22,365,186 |
Class G | 294,270 |
Shareholder servicing fees | |
Administration Class | 3,679,751 |
Institutional Class | 334,038 |
Investment Class | 1,117,589 |
Investor Class | 942,939 |
Distribution fees | |
Administration Class | 919,938 |
Investment Class | 447,035 |
Custodian fees | 45,141 |
Trustees’ fees and expenses | 18,048 |
Transfer agent fees | 122,852 |
Registration and filing fees | 702,603 |
Professional fees and expenses | 44,881 |
Printing and postage fees | 146,804 |
Insurance expense | 275,111 |
Miscellaneous expenses | 271,312 |
TOTAL EXPENSES | 34,017,021 |
Expenses waived/reimbursed by the Adviser | (68,712) |
NET EXPENSES | 33,948,309 |
NET INVESTMENT INCOME (LOSS) | $1,076,755,870 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 60,335 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,076,816,205 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,076,755,870 | $839,026,742 | |
Net realized gain (loss) | 60,335 | 20,493 | |
Net increase (decrease) in net assets resulting from operations | 1,076,816,205 | 839,047,235 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (34,381,796) | (28,998,475) | |
Institutional Class | (21,677,268) | (2,300,785) | |
Investment Class | (7,849,844) | (6,662,497) | |
Investor Class | (24,493,818) | (20,723,110) | |
Premier Class | (926,193,754) | (708,700,364) | |
Class G | (62,143,041) | (60,072,493) | |
Class M | — | (11,595,054) | |
Total distributions to shareholders | (1,076,739,521) | (839,052,778) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 24,892,352,758 | 27,627,501,125 | |
Reinvestment of distributions | 11,965,550 | 9,687,462 | |
Shares redeemed | (24,917,663,849) | (27,860,753,519) | |
Net increase (decrease) from capital share transactions | (13,345,541) | (223,564,932) | |
Institutional Class | |||
Shares sold | 29,380,759,495 | 3,275,238,137 | |
Reinvestment of distributions | 4,835,215 | 990 | |
Shares redeemed | (29,075,126,488) | (2,635,506,206) | |
Net increase (decrease) from capital share transactions | 310,468,222 | 639,732,921 | |
Investment Class | |||
Shares sold | 2,095,050,900 | 1,992,798,373 | |
Reinvestment of distributions | 878,064 | 634,854 | |
Shares redeemed | (1,958,018,009) | (2,045,835,395) | |
Net increase (decrease) from capital share transactions | 137,910,955 | (52,402,168) | |
Investor Class | |||
Shares sold | 15,997,492,868 | 5,437,824,232 | |
Reinvestment of distributions | 11,962,564 | 8,244,393 | |
Shares redeemed | (17,158,427,721) | (4,816,176,114) | |
Net increase (decrease) from capital share transactions | (1,148,972,289) | 629,892,511 | |
Premier Class | |||
Shares sold | 812,815,301,168 | 417,552,603,900 | |
Reinvestment of distributions | 770,502,953 | 595,511,561 | |
Shares redeemed | (793,699,136,883) | (424,129,684,801) | |
Net increase (decrease) from capital share transactions | 19,886,667,238 | (5,981,569,340) | |
Class G | |||
Shares sold | 41,580,859,111 | 19,289,084,679 | |
Reinvestment of distributions | 61,910,768 | 60,074,427 | |
Shares redeemed | (41,101,444,589) | (20,633,167,734) | |
Net increase (decrease) from capital share transactions | 541,325,290 | (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 | 19,714,053,875 | (7,363,299,178) | |
Net increase (decrease) in net assets during the period | 19,714,130,559 | (7,363,304,721) | |
Net assets at beginning of period | 40,586,780,668 | 47,950,085,389 | |
NET ASSETS AT END OF PERIOD | $60,300,911,227 | $40,586,780,668 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 24,892,352,758 | 27,627,501,125 | |
Reinvestment of distributions | 11,965,550 | 9,687,462 | |
Shares redeemed | (24,917,663,849) | (27,860,753,519) | |
Net increase (decrease) from share transactions | (13,345,541) | (223,564,932) |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
Institutional Class | |||
Shares sold | 29,380,759,495 | 3,275,238,137 | |
Reinvestment of distributions | 4,835,215 | 990 | |
Shares redeemed | (29,075,126,488) | (2,635,506,206) | |
Net increase (decrease) from share transactions | 310,468,222 | 639,732,921 | |
Investment Class | |||
Shares sold | 2,095,050,900 | 1,992,798,372 | |
Reinvestment of distributions | 878,064 | 634,854 | |
Shares redeemed | (1,958,018,009) | (2,045,835,394) | |
Net increase (decrease) from share transactions | 137,910,955 | (52,402,168) | |
Investor Class | |||
Shares sold | 15,997,492,868 | 5,437,824,232 | |
Reinvestment of distributions | 11,962,564 | 8,244,393 | |
Shares redeemed | (17,158,427,721) | (4,816,176,114) | |
Net increase (decrease) from share transactions | (1,148,972,289) | 629,892,511 | |
Premier Class | |||
Shares sold | 812,815,301,168 | 417,552,603,900 | |
Reinvestment of distributions | 770,502,953 | 595,511,561 | |
Shares redeemed | (793,699,136,883) | (424,129,684,801) | |
Net increase (decrease) from share transactions | 19,886,667,238 | (5,981,569,340) | |
Class G | |||
Shares sold | 41,580,859,111 | 19,289,084,679 | |
Reinvestment of distributions | 61,910,768 | 60,074,427 | |
Shares redeemed | (41,101,444,589) | (20,633,167,734) | |
Net increase (decrease) from share transactions | 541,325,290 | (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) | |||||||
Year Ended 12/31/19 | 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) | 0.0186 | 0.0150 | 0.0054 | 0.0001 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0186 | 0.0150 | 0.0054 | 0.0001 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0186) | (0.0150) | (0.0054) | (0.0001) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0186) | (0.0150) | (0.0054) | (0.0001) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 1.88% | 1.51% | 0.54% | 0.01% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,672,762 | $1,686,105 | $1,909,670 | $3,423,655 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.37% | 0.37% | 0.37% | 0.37%(d) | |||
Net investment income (loss) | 1.87% | 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) | |||
Year Ended 12/31/19 | 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) | 0.0207 | 0.0170 | |
Net realized gain (loss) | 0.0000(b) | — | |
Total from investment operations | 0.0207 | 0.0170 | |
Distributions to shareholders from: | |||
Net investment income | (0.0207) | (0.0170) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 2.09% | 1.67% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $950,202 | $639,733 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15% | 0.15%(d) | |
Net investment income (loss) | 1.95% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0178 | 0.0140 | 0.0044 | 0.0000(b) | 0.0000(b)(c) | ||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | 0.0000(b) | — | ||||
Total from investment operations | 0.0178 | 0.0140 | 0.0044 | 0.0000(b) | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0178) | (0.0140) | (0.0044) | (0.0000)(b) | — | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0178) | (0.0140) | (0.0044) | (0.0000)(b) | — | ||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Total return (d) | 1.79% | 1.40% | 0.44% | 0.00%(e) | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $517,997 | $380,085 | $432,488 | $903,050 | $971,551 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.45% | 0.47% | 0.47% | 0.37% | 0.10% | ||||
Net investment income (loss) | 1.76% | 1.42% | 0.40% | 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 year. |
(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%. |
Investor Class(a) | |||||||
Year Ended 12/31/19 | 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) | 0.0203 | 0.0170 | 0.0071 | 0.0014 | |||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | |||
Total from investment operations | 0.0203 | 0.0170 | 0.0071 | 0.0014 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0203) | (0.0170) | (0.0071) | (0.0014) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0203) | (0.0170) | (0.0071) | (0.0014) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 2.05% | 1.68% | 0.71% | 0.14% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $726,126 | $1,875,096 | $1,245,204 | $230,156 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 2.08% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0211 | 0.0170 | 0.0079 | 0.0025 | 0.0000(b)(c) | ||||
Net realized gain (loss) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | 0.0000(b) | ||||
Total from investment operations | 0.0211 | 0.0170 | 0.0079 | 0.0025 | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0211) | (0.0170) | (0.0079) | (0.0025) | (0.0000)(b) | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0211) | (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 | ||||
Total return (d) | 2.13% | 1.76% | 0.79% | 0.25% | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $52,826,660 | $32,939,927 | $38,921,503 | $43,302,733 | $13,516,264 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.09% | ||||
Net investment income (loss) | 2.08% | 1.74% | 0.78% | 0.27% | 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 year. |
(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%. |
Class G(a) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0215 | 0.0180 | 0.0082 | 0.0029 | 0.0002(b) | ||||
Net realized gain (loss) | 0.0000(c) | — | 0.0001 | 0.0000(c) | 0.0000(c) | ||||
Total from investment operations | 0.0215 | 0.0180 | 0.0083 | 0.0029 | 0.0002 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0215) | (0.0180) | (0.0083) | (0.0029) | (0.0002) | ||||
Net realized gains | — | — | (0.0000)(c) | — | — | ||||
Total distributions | (0.0215) | (0.0180) | (0.0083) | (0.0029) | (0.0002) | ||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Total return (d) | 2.17% | 1.80% | 0.83% | 0.29% | 0.02% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,607,164 | $3,065,834 | $4,349,842 | $581,991 | $732,938 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net expenses | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net investment income (loss) | 2.12% | 1.74% | 0.95% | 0.29% | 0.02% |
(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 year. |
(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. |
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 Select Class Class G | August 23, 2016 October 17, 2007 March 21, 2016 January 18, 2018 October 25, 2007 Not commenced October 5, 2014 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $1,076,739,521 | $— | $1,076,739,521 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $ 839,052,778 | $ — | $ 839,052,778 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional U.S. Government Money Market Fund | $60,422 | $— | $— | $— | $60,422 |
February 27, 2020
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% | $1,000.00 | $1.87 | $1,023.30 | $1.89 | ||||
Institutional Class | 0.15 | 1,009.30 | 0.76 | 1,024.40 | 0.77 | ||||
Investment Class | 0.44 | 1,008.00 | 2.23 | 1,023.00 | 2.24 | ||||
Investor Class | 0.20 | 1,009.20 | 1.01 | 1,024.20 | 1.02 | ||||
Premier Class | 0.12 | 1,009.60 | 0.61 | 1,024.60 | 0.61 | ||||
Class G | 0.08 | 1,009.80 | 0.41 | 1,024.80 | 0.41 |
(a) | Expenses are equal to the Fund's annualized net expense ratio,which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
11 | |
12 | |
13 | |
14 | |
15 | |
18 | |
19 |
% of Net Assets | |||
Government Agency Debt | 39.5% | ||
Treasury Debt | 23.1 | ||
Treasury Repurchase Agreements | 15.6 | ||
Government Agency Repurchase Agreements | 11.8 | ||
Treasury Debt | 3.2 | ||
Other Assets in Excess of Liabilities | 6.8 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 34.0% | ||
31 to 60 Days | 13.5 | ||
61 to 90 Days | 13.6 | ||
Over 90 Days | 32.1 | ||
Total | 93.2% | ||
Average days to maturity | 35 | ||
Weighted average life | 100 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—39.5% | ||||||||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.03%(a) | 1.570% | 01/01/2020 | 02/06/2020 | $115,000,000 | $115,000,000 | |||||
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.04%(a) | 1.575% | 01/01/2020 | 09/11/2020 | 149,000,000 | 149,000,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.11%(a) | 1.636% | 01/01/2020 | 12/28/2020 | 16,000,000 | 15,988,869 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.04%(a) | 1.675% | 01/10/2020 | 02/10/2020 | 200,000,000 | 199,997,690 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 1.695% | 01/16/2020 | 09/16/2020 | 146,000,000 | 145,995,411 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a) | 1.700% | 01/10/2020 | 06/10/2020 | 290,800,000 | 290,793,642 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(a) | 1.736% | 01/13/2020 | 11/12/2020 | 358,400,000 | 358,369,043 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 1.742% | 01/27/2020 | 02/25/2020 | 150,000,000 | 149,998,060 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 1.747% | 01/27/2020 | 02/25/2020 | 240,000,000 | 239,993,631 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(a) | 1.764% | 01/19/2020 | 03/17/2021 | 165,000,000 | 164,978,700 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a) | 1.765% | 01/22/2020 | 05/22/2020 | 179,600,000 | 179,597,477 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(a) | 1.785% | 01/23/2020 | 04/23/2020 | 272,600,000 | 272,598,324 | |||||
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.12%(a) | 1.816% | 01/27/2020 | 01/27/2020 | 25,000,000 | 25,000,474 | |||||
Federal Home Loan Bank(b) | 1.547% | 02/05/2020 | 02/05/2020 | 200,000,000 | 199,707,789 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.01%(a) | 1.550% | 01/01/2020 | 01/24/2020 | 450,000,000 | 450,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.01%(a) | 1.550% | 01/01/2020 | 02/21/2020 | 301,000,000 | 301,000,000 | |||||
Federal Home Loan Bank(b) | 1.560% | 03/11/2020 | 03/11/2020 | 200,000,000 | 199,402,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 02/21/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 05/14/2020 | 147,000,000 | 147,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 05/22/2020 | 213,200,000 | 213,200,000 | |||||
Federal Home Loan Bank(b) | 1.569% | 02/19/2020 | 02/19/2020 | 199,000,000 | 198,583,692 | |||||
Federal Home Loan Bank(b) | 1.569% | 05/20/2020 | 05/20/2020 | 177,840,000 | 176,762,630 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.03%(a) | 1.570% | 01/01/2020 | 08/21/2020 | 143,700,000 | 143,700,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.03%(a) | 1.570% | 01/01/2020 | 11/06/2020 | 109,000,000 | 109,000,000 | |||||
Federal Home Loan Bank(b) | 1.571% | 02/21/2020 | 02/21/2020 | 400,000,000 | 399,127,222 | |||||
Federal Home Loan Bank(b) | 1.572% | 02/12/2020 | 02/12/2020 | 200,000,000 | 199,641,933 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.04%(a) | 1.575% | 01/01/2020 | 02/21/2020 | 267,500,000 | 267,500,000 | |||||
Federal Home Loan Bank(b) | 1.578% | 06/17/2020 | 06/17/2020 | 250,000,000 | 248,169,958 | |||||
Federal Home Loan Bank(b) | 1.580% | 02/11/2020 | 02/11/2020 | 300,000,000 | 299,473,333 | |||||
Federal Home Loan Bank(b) | 1.580% | 03/18/2020 | 03/18/2020 | 954,000,000 | 950,817,880 | |||||
Federal Home Loan Bank(b) | 1.585% | 06/19/2020 | 06/19/2020 | 300,000,000 | 297,767,792 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.05%(a) | 1.585% | 01/01/2020 | 01/17/2020 | 270,000,000 | 270,000,000 | |||||
Federal Home Loan Bank(b) | 1.586% | 03/04/2020 | 03/04/2020 | 400,500,000 | 399,406,057 | |||||
Federal Home Loan Bank(b) | 1.590% | 02/14/2020 | 02/14/2020 | 250,000,000 | 249,525,208 | |||||
Federal Home Loan Bank(b) | 1.590% | 03/23/2020 | 03/23/2020 | 400,000,000 | 398,569,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.05%(a) | 1.590% | 01/01/2020 | 01/17/2020 | 54,700,000 | 54,700,000 | |||||
Federal Home Loan Bank(b) | 1.596% | 02/26/2020 | 02/26/2020 | 300,000,000 | 299,268,500 | |||||
Federal Home Loan Bank(b) | 1.600% | 01/02/2020 | 01/02/2020 | 100,000,000 | 100,000,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.06%(a) | 1.600% | 01/01/2020 | 05/06/2020 | 170,800,000 | 170,800,000 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.08%(a) | 1.615% | 01/01/2020 | 06/11/2021 | 145,000,000 | 145,000,000 | |||||
Federal Home Loan Bank(b) | 1.620% | 04/08/2020 | 04/08/2020 | 228,000,000 | 227,004,780 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Bank(b) | 1.620% | 05/28/2020 | 05/28/2020 | $250,000,000 | $251,003,663 | |||||
Federal Home Loan Bank(b) | 1.630% | 01/29/2020 | 01/29/2020 | 250,000,000 | 249,694,375 | |||||
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.10%(a) | 1.640% | 01/01/2020 | 12/23/2020 | 311,000,000 | 311,000,000 | |||||
Federal Home Loan Bank(b) | 1.645% | 04/13/2020 | 04/13/2020 | 200,000,000 | 199,067,833 | |||||
Federal Home Loan Bank(b) | 1.647% | 03/02/2020 | 03/02/2020 | 350,000,000 | 349,989,395 | |||||
Federal Home Loan Bank(b) | 1.647% | 03/03/2020 | 03/03/2020 | 200,000,000 | 199,993,876 | |||||
Federal Home Loan Bank(b) | 1.650% | 01/22/2020 | 01/22/2020 | 116,000,000 | 115,893,667 | |||||
Federal Home Loan Bank(b) | 1.650% | 06/26/2020 | 06/26/2020 | 430,000,000 | 429,965,475 | |||||
Federal Home Loan Bank(b) | 1.680% | 01/10/2020 | 01/10/2020 | 300,000,000 | 299,888,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 1.680% | 01/07/2020 | 08/07/2020 | 555,500,000 | 555,500,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.06%(a) | 1.686% | 01/13/2020 | 08/13/2020 | 312,000,000 | 312,000,000 | |||||
Federal Home Loan Bank(b) | 1.692% | 07/14/2020 | 07/14/2020 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.02%(a) | 1.693% | 01/06/2020 | 01/06/2020 | 324,400,000 | 324,400,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 1.693% | 01/11/2020 | 01/11/2021 | 249,500,000 | 249,500,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 1.697% | 01/17/2020 | 12/17/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank(b) | 1.700% | 02/10/2020 | 02/10/2020 | 250,000,000 | 249,991,730 | |||||
Federal Home Loan Bank(b) | 1.702% | 02/19/2020 | 02/19/2020 | 250,000,000 | 249,989,323 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 1.740% | 01/21/2020 | 04/20/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Bank(b) | 1.741% | 07/09/2020 | 07/09/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.05%(a) | 1.749% | 01/31/2020 | 05/28/2020 | 400,000,000 | 400,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.01%(a) | 1.782% | 01/27/2020 | 03/27/2020 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank(b) | 1.810% | 03/27/2020 | 03/27/2020 | 120,000,000 | 119,487,167 | |||||
Federal Home Loan Bank(b) | 1.860% | 02/12/2020 | 02/12/2020 | 15,000,000 | 14,968,225 | |||||
Federal Home Loan Bank(b) | 1.870% | 03/06/2020 | 03/06/2020 | 250,000,000 | 249,168,889 | |||||
Federal Home Loan Bank(b) | 1.878% | 03/25/2020 | 03/25/2020 | 150,000,000 | 149,350,525 | |||||
Federal Home Loan Bank(b) | 1.890% | 03/20/2020 | 03/20/2020 | 491,500,000 | 489,613,857 | |||||
Federal Home Loan Bank(b) | 1.932% | 06/12/2020 | 06/12/2020 | 380,000,000 | 380,000,000 | |||||
Federal Home Loan Bank(b) | 1.940% | 09/04/2020 | 09/04/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank(b) | 2.096% | 01/17/2020 | 01/17/2020 | 400,900,000 | 400,895,785 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate(a) | 1.540% | 01/01/2020 | 02/12/2020 | 215,000,000 | 215,000,000 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.01%(a) | 1.545% | 01/01/2020 | 05/13/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 07/08/2020 | 400,000,000 | 400,000,000 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 07/10/2020 | 300,000,000 | 299,897,470 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a) | 1.560% | 01/01/2020 | 11/20/2020 | 249,000,000 | 249,000,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.570% | 02/27/2020 | 02/27/2020 | 556,900,000 | 555,534,375 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.570% | 05/19/2020 | 05/19/2020 | 205,000,000 | 203,766,242 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.03%(a) | 1.570% | 01/01/2020 | 06/02/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.579% | 03/06/2020 | 03/06/2020 | 328,828,000 | 327,904,943 | |||||
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.04%(a) | 1.580% | 01/01/2020 | 09/10/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.589% | 06/01/2020 | 06/01/2020 | 106,341,000 | 105,632,240 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.650% | 03/18/2020 | 03/18/2020 | 600,000,000 | 597,910,000 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.874% | 01/21/2020 | 01/21/2020 | 75,000,000 | 74,925,821 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.874% | 04/23/2020 | 04/23/2020 | 360,000,000 | 360,679,805 | |||||
Federal Home Loan Mortgage Corp.(b) | 1.880% | 01/03/2020 | 01/03/2020 | 381,000,000 | 380,980,103 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.01%(a) | 1.545% | 01/01/2020 | 02/24/2020 | 350,000,000 | 350,000,000 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.01%(a) | 1.550% | 01/01/2020 | 05/22/2020 | 466,600,000 | 466,586,598 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal National Mortgage Assoc.(b) | 1.553% | 03/04/2020 | 03/04/2020 | $300,000,000 | $299,197,617 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.04%(a) | 1.580% | 01/01/2020 | 01/29/2021 | 134,000,000 | 134,000,000 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.08%(a) | 1.615% | 01/01/2020 | 10/30/2020 | 181,100,000 | 181,100,000 | |||||
Federal National Mortgage Assoc.(b) | 1.630% | 01/06/2020 | 01/06/2020 | 300,000,000 | 299,945,667 | |||||
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.10%(a) | 1.640% | 01/01/2020 | 04/30/2020 | 50,000,000 | 50,000,000 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 24,025,861,761 | |||||||||
TREASURY DEBT—23.1% | ||||||||||
U.S. Treasury Bill(b) | 1.498% | 01/28/2020 | 01/28/2020 | 544,300,000 | 543,671,031 | |||||
U.S. Treasury Bill(b) | 1.500% | 01/07/2020 | 01/07/2020 | 75,000,000 | 74,984,115 | |||||
U.S. Treasury Bill(b) | 1.515% | 06/04/2020 | 06/04/2020 | 400,000,000 | 397,320,400 | |||||
U.S. Treasury Bill(b) | 1.521% | 02/06/2020 | 02/06/2020 | 475,350,000 | 474,578,085 | |||||
U.S. Treasury Bill(b) | 1.532% | 01/14/2020 | 01/14/2020 | 150,000,000 | 149,924,250 | |||||
U.S. Treasury Bill(b) | 1.540% | 05/21/2020 | 05/21/2020 | 300,000,000 | 298,198,057 | |||||
U.S. Treasury Bill(b) | 1.550% | 05/14/2020 | 05/14/2020 | 448,850,000 | 446,283,856 | |||||
U.S. Treasury Bill(b) | 1.580% | 05/28/2020 | 05/28/2020 | 150,000,000 | 149,032,250 | |||||
U.S. Treasury Bill(b) | 1.610% | 04/30/2020 | 04/30/2020 | 500,225,000 | 497,546,303 | |||||
U.S. Treasury Bill(b) | 1.620% | 04/16/2020 | 04/16/2020 | 500,800,000 | 498,432,144 | |||||
U.S. Treasury Bill(b) | 1.680% | 04/09/2020 | 04/09/2020 | 140,000,000 | 139,358,644 | |||||
U.S. Treasury Bill(b) | 1.795% | 04/02/2020 | 04/02/2020 | 600,000,000 | 597,267,472 | |||||
U.S. Treasury Bill(b) | 1.825% | 03/05/2020 | 03/05/2020 | 1,100,000,000 | 1,096,598,000 | |||||
U.S. Treasury Bill(b) | 1.825% | 03/12/2020 | 03/12/2020 | 750,000,000 | 747,336,719 | |||||
U.S. Treasury Bill(b) | 1.840% | 02/20/2020 | 02/20/2020 | 335,000,000 | 334,161,011 | |||||
U.S. Treasury Bill(b) | 1.860% | 03/26/2020 | 03/26/2020 | 600,000,000 | 597,396,000 | |||||
U.S. Treasury Bill(b) | 1.870% | 03/19/2020 | 03/19/2020 | 600,000,000 | 597,600,167 | |||||
U.S. Treasury Bill(b) | 2.010% | 01/16/2020 | 01/16/2020 | 200,000,000 | 199,843,667 | |||||
U.S. Treasury Bill(b) | 2.010% | 01/23/2020 | 01/23/2020 | 200,000,000 | 199,764,800 | |||||
U.S. Treasury Bill(b) | 2.035% | 01/30/2020 | 01/30/2020 | 200,000,000 | 199,683,444 | |||||
U.S. Treasury Note, 3 Month USD MMY(a) | 1.526% | 01/01/2020 | 01/31/2020 | 541,400,000 | 541,393,923 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(a) | 1.559% | 01/01/2020 | 04/30/2020 | 1,338,922,000 | 1,338,904,956 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(a) | 1.569% | 01/01/2020 | 07/31/2020 | 89,400,000 | 89,370,773 | |||||
U.S. Treasury Note(b) | 1.616% | 08/31/2020 | 08/31/2020 | 178,497,000 | 178,214,705 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(a) | 1.641% | 01/01/2020 | 01/31/2021 | 280,800,000 | 280,505,351 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(a) | 1.665% | 01/01/2020 | 04/30/2021 | 840,000,000 | 839,135,797 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(a) | 1.672% | 01/31/2020 | 10/31/2020 | 124,100,000 | 124,041,416 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(a) | 1.746% | 01/01/2020 | 07/31/2021 | 1,577,300,000 | 1,576,594,409 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(a) | 1.826% | 01/01/2020 | 10/31/2021 | 835,509,200 | 836,111,210 | |||||
TOTAL TREASURY DEBT | 14,043,252,955 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—11.8% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/13/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 11/01/2029 – 01/01/2050, and Federal National Mortgage Associations, 2.540% – 5.000% due 04/01/2024 – 09/01/2051, valued at $918,000,001); expected proceeds $901,155,000 | 1.650% | 01/07/2020 | 01/07/2020 | 900,000,000 | 900,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.218% due 09/01/2039 – 12/01/2049, Federal National Mortgage Associations, 2.500% – 5.500% due 06/01/2049 – 12/01/2049, and Government National Mortgage Associations, 2.000% – 5.500% due 08/15/2043 – 12/20/2049, valued at $102,000,001); expected proceeds $100,008,722 | 1.570% | 01/02/2020 | 01/02/2020 | $100,000,000 | $100,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.000% due 12/01/2034 – 11/01/2049, and Federal National Mortgage Associations, 2.500% – 4.500% due 06/01/2029 – 01/01/2050, valued at $502,860,000); expected proceeds $493,043,001 | 1.570% | 01/02/2020 | 01/02/2020 | 493,000,000 | 493,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.208% due 06/25/2038, and a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, valued at $10,200,009); expected proceeds $10,000,872 | 1.570% | 01/02/2020 | 01/02/2020 | 10,000,000 | 10,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by Federal Farm Credit Banks, 1.600% – 3.220% due 04/06/2020 – 04/01/2027, Federal Home Loan Mortgage Corporations, 0.000% – 16.485% due 04/20/2020 – 07/25/2056, Federal Home Loan Mortgage Corporation Strips, 3.500% - 4.240% due 09/15/2027 - 03/15/2044, Federal National Mortgage Associations, 0.000% – 9.000% due 01/30/2020 – 12/25/2059, Federal National Mortgage Associations Strips, 0.000% – 10.000% due 01/25/2020 – 07/01/2042, Government National Mortgage Associations, 0.000% – 64.160% due 03/15/2025 – 10/20/2069, Resolution Funding Strips, 0.000% due 01/15/2021 – 10/15/2029, U.S. Treasury Bills, 0.000% due 01/30/2020 – 07/16/2020, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2042, a U.S. Treasury Inflation Index Note, 0.125% due 10/15/2024, and U.S. Treasury Strips, 0.000% due 02/15/2020 – 11/15/2049, valued at $1,026,980,116); expected proceeds $1,000,334,444 | 1.720% | 01/03/2020 | 01/03/2020 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by Federal Farm Credit Banks, 1.840% – 5.750% due 01/06/2020 – 08/01/2036, Federal Home Loan Banks, 2.125% – 5.625% due 01/24/2028 – 06/22/2043, Federal Home Loan Mortgage Corporations, 0.000% – 6.750% due 09/15/2029 – 07/15/2032, Federal National Mortgage Associations, 0.000% – 7.250% due 05/15/2029 – 08/06/2038, Tennessee Valley Authorities, 2.250% – 7.125% due 03/15/2020 – 09/15/2065, and a U.S. Treasury Inflation Index Bond, 2.500% due 01/15/2029, valued at $510,000,115); expected proceeds $500,166,250 | 1.710% | 01/03/2020 | 01/03/2020 | 500,000,000 | 500,000,000 |
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 12/31/2019 (collateralized by a Federal Farm Credit Bank, 2.100% due 06/24/2021, Federal Home Loan Banks, 1.625% – 2.500% due 07/07/2021 – 08/05/2022, a Federal Home Loan Mortgage Corporation, 2.375% due 01/13/2022, and Federal National Mortgage Associations, 1.375% – 2.750% due 06/22/2021 – 09/06/2022, valued at $99,964,563); expected proceeds $98,008,493 | 1.560% | 01/02/2020 | 01/02/2020 | $98,000,000 | $98,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Government National Mortgage Associations, 3.000% – 7.500% due 12/15/2023 – 12/20/2049, a U.S. Treasury Bond, 6.125% due 11/15/2027, a U.S. Treasury Note, 1.750% due 05/31/2022, and a U.S. Treasury Strip, 0.000% due 08/15/2026, valued at $459,000,000); expected proceeds $450,134,750 | 1.540% | 01/07/2020 | 01/07/2020 | 450,000,000 | 450,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/17/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.768% – 6.000% due 01/01/2026 – 11/01/2049, and Federal National Mortgage Associations, 3.000% – 5.000% due 01/01/2027 – 09/01/2057, valued at $306,000,000); expected proceeds $300,835,833(c) | 1.700% | 02/14/2020 | 02/14/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.000% due 11/01/2029 – 11/01/2049, valued at $51,000,000); expected proceeds $50,144,028(c) | 1.700% | 02/19/2020 | 02/19/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 7.500% due 10/20/2026, and a U.S. Treasury Note, 1.500% due 01/31/2022, valued at $74,460,000); expected proceeds $73,006,367 | 1.570% | 01/02/2020 | 01/02/2020 | 73,000,000 | 73,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Farm Credit Banks, 3.190% – 3.500% due 06/27/2033 – 01/26/2037, Federal Home Loan Banks, 3.100% – 4.170% due 05/18/2028 – 06/09/2036, a Federal Home Loan Mortgage Corporation, 0.000% due 03/15/2031, Federal National Mortgage Associations, 0.000% due 01/15/2025 – 11/15/2030, and a Resolution Funding Strip, 0.000% due 01/15/2030, valued at $112,200,131); expected proceeds $110,009,533 | 1.560% | 01/02/2020 | 01/02/2020 | 110,000,000 | 110,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 10/04/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.410% – 5.000% due 08/01/2027 – 01/01/2050, and Federal National Mortgage Associations, 2.771% – 5.000% due 01/01/2024 – 08/01/2049, valued at $204,948,600); expected proceeds $200,992,000(c) | 1.860% | 01/08/2020 | 01/08/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/10/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.904% – 6.000% due 02/01/2022 – 12/01/2049, and Federal National Mortgage Associations, 2.586% – 5.500% due 03/01/2020 – 11/01/2049, valued at $334,944,744); expected proceeds $328,442,800 | 1.800% | 01/07/2020 | 01/07/2020 | 328,000,000 | 328,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.000% due 10/01/2027 – 12/01/2049, and Federal National Mortgage Associations, 2.500% – 6.000% due 11/01/2022 – 12/01/2049, valued at $204,017,793); expected proceeds $200,017,444 | 1.570% | 01/02/2020 | 01/02/2020 | $200,000,000 | $200,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 8.000% due 09/01/2024 – 12/01/2049, and Federal National Mortgage Associations, 2.500% – 6.000% due 05/01/2034 – 01/01/2050, valued at $209,100,000); expected proceeds $205,017,881 | 1.570% | 01/02/2020 | 01/02/2020 | 205,000,000 | 205,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 3.000% due 09/01/2049 – 12/01/2049, Federal National Mortgage Associations, 3.000% – 3.500% due 06/01/2049 – 08/01/2049, Government National Mortgage Associations, 2.500% – 3.500% due 03/20/2047 – 11/20/2049, a U.S. Treasury Bill, 0.000% due 01/02/2020, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 01/15/2021 – 10/15/2024, and U.S. Treasury Notes, 1.375% – 2.875% due 10/31/2020 – 08/15/2024, valued at $147,900,075); expected proceeds $145,012,647 | 1.570% | 01/02/2020 | 01/02/2020 | 145,000,000 | 145,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.140% – 5.955% due 02/15/2020 – 11/01/2030, Federal National Mortgage Associations, 2.242% – 4.000% due 06/25/2021 – 05/01/2058, Government National Mortgage Associations, 1.885% – 2.215% due 02/16/2032 – 05/20/2037, a U.S. Treasury Bill, 0.000% due 03/19/2020, a U.S. Treasury Bond, 2.250% due 08/15/2046, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2049, and U.S. Treasury Notes, 1.375% – 2.875% due 02/15/2020 – 02/15/2029, valued at $71,604,705); expected proceeds $70,006,067 | 1.560% | 01/02/2020 | 01/02/2020 | 70,000,000 | 70,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 10/08/2019 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% – 4.000% due 05/01/2049 – 12/01/2049, Federal National Mortgage Associations, 3.000% – 5.500% due 06/01/2027 – 10/01/2049, U.S. Treasury Bills, 0.000% due 03/26/2020 – 05/21/2020, U.S. Treasury Bonds, 2.250% – 6.250% due 08/15/2023 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 2.375% due 01/15/2027 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2024, and U.S. Treasury Notes, 1.125% – 3.500% due 03/31/2020 – 08/15/2028, valued at $306,000,005); expected proceeds $301,441,333(c) | 1.840% | 01/10/2020 | 01/10/2020 | 300,000,000 | 300,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 10/01/2047, U.S. Treasury Bonds, 2.250% – 4.500% due 05/15/2039 – 11/15/2049, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, U.S. Treasury Inflation Index Notes, 0.500% – 0.875% due 04/15/2024 – 01/15/2029, and U.S. Treasury Notes, 1.500% – 2.875% due 10/31/2023 – 02/15/2028, valued at $576,300,030); expected proceeds $565,048,653 | 1.550% | 01/02/2020 | 01/02/2020 | $565,000,000 | $565,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $35,700,000); expected proceeds $35,003,053 | 1.570% | 01/02/2020 | 01/02/2020 | 35,000,000 | 35,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $88,740,001); expected proceeds $87,007,492 | 1.550% | 01/02/2020 | 01/02/2020 | 87,000,000 | 87,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.500% due 06/01/2030 – 05/01/2049, and Federal National Mortgage Associations, 2.500% – 5.500% due 12/01/2028 – 06/01/2057, valued at $1,020,088,967); expected proceeds $1,000,087,222 | 1.570% | 01/02/2020 | 01/02/2020 | 1,000,000,000 | 1,000,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 7,219,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—15.6% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.500% – 4.250% due 11/15/2040 – 05/15/2047, U.S. Treasury Inflation Index Bonds, 1.000% – 2.125% due 02/15/2041 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2021 – 07/15/2025, and U.S. Treasury Notes, 1.375% – 2.125% due 08/31/2020 – 02/29/2024, valued at $180,540,012); expected proceeds $177,015,242 | 1.550% | 01/02/2020 | 01/02/2020 | 177,000,000 | 177,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and a U.S. Treasury Note, 2.125% due 12/31/2022, valued at $255,000,088); expected proceeds $250,021,528 | 1.550% | 01/02/2020 | 01/02/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 02/15/2042 – 08/15/2043, U.S. Treasury Inflation Index Bonds, 0.625% – 0.750% due 02/15/2042 – 02/15/2043, and a U.S. Treasury Note, 1.676% due 01/31/2021, valued at $255,000,046); expected proceeds $250,082,639 | 1.700% | 01/03/2020 | 01/03/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $500,040,312); expected proceeds $500,040,278 | 1.450% | 01/02/2020 | 01/02/2020 | 500,000,000 | 500,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.500% – 1.750% due 09/30/2024 – 12/31/2026, valued at $2,550,000,055); expected proceeds $2,500,215,278 | 1.550% | 01/02/2020 | 01/02/2020 | $2,500,000,000 | $2,500,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (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 03/15/2022 – 06/30/2026, valued at $1,427,606,955); expected proceeds $1,400,123,852 | 1.580% | 01/02/2020 | 01/02/2020 | 1,400,000,963 | 1,400,000,963 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2021 – 11/15/2028, valued at $323,340,004); expected proceeds $317,027,297 | 1.550% | 01/02/2020 | 01/02/2020 | 317,000,000 | 317,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 11/15/2041 – 02/15/2047, valued at $204,000,099); expected proceeds $200,017,444 | 1.570% | 01/02/2020 | 01/02/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 4.500% due 02/15/2036 – 11/15/2045, and U.S. Treasury Notes, 1.375% – 2.625% due 03/15/2020 – 08/15/2029, valued at $51,000,015); expected proceeds $50,004,306 | 1.550% | 01/02/2020 | 01/02/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/01/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.625% due 01/15/2026, and a U.S. Treasury Note, 1.250% due 08/31/2024, valued at $484,500,089); expected proceeds $477,465,118(c) | 1.570% | 01/02/2020 | 01/02/2020 | 475,000,000 | 475,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by U.S. Treasury Bonds, 2.375% – 6.750% due 08/15/2026 – 11/15/2049, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 07/15/2026 – 07/15/2027, and U.S. Treasury Notes, 1.625% – 2.875% due 02/29/2020 – 05/15/2028, valued at $137,784,533); expected proceeds $135,165,750(c) | 1.700% | 01/15/2020 | 01/15/2020 | 135,000,000 | 135,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.625% due 02/15/2044 – 05/15/2047, U.S. Treasury Notes, 1.625% – 2.875% due 01/31/2022 – 05/15/2028, and U.S. Treasury Strips, 0.000% due 08/15/2027 – 05/15/2028, valued at $359,070,917); expected proceeds $352,030,311 | 1.550% | 01/02/2020 | 01/02/2020 | 352,000,000 | 352,000,000 | |||||
Agreement with MUFG Securities., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.250% - 2.875% due 10/31/2020 – 05/15/2029, valued at $1,045,425,726); expected proceeds $1,025,085,417 | 1.500% | 01/02/2020 | 01/02/2020 | 1,025,000,000 | 1,025,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 10/16/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $76,500,000); expected proceeds $75,345,000(c) | 1.800% | 01/16/2020 | 01/16/2020 | 75,000,000 | 75,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 11/13/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $367,200,000); expected proceeds $361,564,000(c) | 1.700% | 02/13/2020 | 02/13/2020 | $360,000,000 | $360,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, 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 $188,700,000); expected proceeds $185,821,194(c) | 1.700% | 03/23/2020 | 03/23/2020 | 185,000,000 | 185,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.875% - 3.750% due 05/15/2043 – 05/15/2049, valued at $173,317,617); expected proceeds $169,837,595 | 1.600% | 01/02/2020 | 01/02/2020 | 169,822,500 | 169,822,500 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2026 – 08/15/2029, valued at $106,804,750); expected proceeds $104,415,531 | 1.600% | 01/02/2020 | 01/02/2020 | 104,406,250 | 104,406,250 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 01/02/2020 – 01/16/2020, U.S. Treasury Bonds, 2.500% – 4.250% due 05/15/2039 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 1.375% due 02/15/2044 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 07/15/2027, and U.S. Treasury Notes, 1.375% – 3.625% due 12/31/2020 – 02/15/2027, valued at $714,000,087); expected proceeds $700,060,278 | 1.550% | 01/02/2020 | 01/02/2020 | 700,000,000 | 700,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/05/2020, and U.S. Treasury Notes, 2.000% – 2.250% due 09/30/2020 – 12/31/2023, valued at $115,260,017); expected proceeds $113,009,731 | 1.550% | 01/02/2020 | 01/02/2020 | 113,000,000 | 113,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/13/2020 – 04/16/2020, U.S. Treasury Bonds, 2.875% – 8.500% due 02/15/2020 – 11/15/2046, a U.S. Treasury Inflation Index Bond, 0.625% due 02/15/2043, U.S. Treasury Inflation Index Notes, 0.250% – 0.625% due 07/15/2021 – 01/15/2028, U.S. Treasury Notes, 1.125% – 2.875% due 01/31/2020 – 12/31/2026, and a U.S. Treasury Strip, 0.000% due 02/15/2025, valued at $153,000,054); expected proceeds $150,012,917 | 1.550% | 01/02/2020 | 01/02/2020 | 150,000,000 | 150,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 9,488,229,713 | |||||||||
TOTAL INVESTMENTS –93.2% (d)(e) | 56,724,263,868 | |||||||||
Other Assets in Excess of Liabilities —6.8% | 4,163,519,766 | |||||||||
NET ASSETS –100.0% | $60,887,783,634 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $2,080,000,000 or 3.4% of net assets as of December 31, 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 | $40,017,034,155 |
Repurchase agreements, at value and amortized cost | 16,707,229,713 |
Total Investments | 56,724,263,868 |
Cash | 4,109,146,097 |
Interest receivable — unaffiliated issuers | 57,411,077 |
Other Receivable | 174,803 |
Prepaid expenses and other assets | 10,967 |
TOTAL ASSETS | 60,891,006,812 |
LIABILITIES | |
Advisory and administrator fee payable | 2,665,597 |
Custody, sub-administration and transfer agent fees payable | 488,202 |
Trustees’ fees and expenses payable | 11,307 |
Professional fees payable | 33,202 |
Printing fees payable | 15,897 |
Accrued expenses and other liabilities | 8,973 |
TOTAL LIABILITIES | 3,223,178 |
NET ASSETS | $60,887,783,634 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $1,157,964,867 |
EXPENSES | |
Advisory and administrator fee | 26,420,660 |
Custodian, sub-administrator and transfer agent fees | 6,713,595 |
Trustees’ fees and expenses | 834,004 |
Professional fees and expenses | 194,314 |
Printing and postage fees | 32,028 |
Insurance expense | 23,604 |
Miscellaneous expenses | 75,128 |
TOTAL EXPENSES | 34,293,333 |
NET INVESTMENT INCOME (LOSS) | $1,123,671,534 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 61,113 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,123,732,647 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,123,671,534 | $882,055,252 | |
Net realized gain (loss) | 61,113 | 20,763 | |
Net increase (decrease) in net assets resulting from operations | 1,123,732,647 | 882,076,015 | |
CAPITAL TRANSACTIONS | |||
Contributions | 177,701,232,695 | 142,050,377,534 | |
Withdrawals | (159,158,963,953) | (150,375,688,545) | |
Net increase (decrease) in net assets from capital transactions | 18,542,268,742 | (8,325,311,011) | |
Net increase (decrease) in net assets during the period | 19,666,001,389 | (7,443,234,996) | |
Net assets at beginning of period | 41,221,782,245 | 48,665,017,241 | |
NET ASSETS AT END OF PERIOD | $60,887,783,634 | $41,221,782,245 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Total return (a) | 2.20% | 1.81% | 0.74% | 0.31% | 0.03% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $60,887,784 | $41,221,782 | $48,665,017 | $50,925,227 | $16,023,491 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.06% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.13% | 1.78% | 0.85% | 0.32% | 0.03% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 27, 2020
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street U.S. Government Money Market Portfolio | 0.06% | $1,009.90 | $0.30 | $1,024.90 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $12,376,538,625 |
Receivable for fund shares sold | 1,609,429 |
Other Receivable | 179 |
Prepaid expenses and other assets | 27,732 |
TOTAL ASSETS | 12,378,175,965 |
LIABILITIES | |
Payable for fund shares repurchased | 4,216 |
Advisory fee payable | 49 |
Administration fees payable | 483,491 |
Shareholder servicing fee payable | 96,531 |
Distribution fees payable | 33,063 |
Transfer agent fees payable | 131 |
Distribution payable | 1,441,630 |
Registration and filing fees payable | 129,477 |
Professional fees payable | 7,420 |
Printing fees payable | 15,822 |
Accrued expenses and other liabilities | 64,730 |
TOTAL LIABILITIES | 2,276,560 |
NET ASSETS | $12,375,899,405 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $12,375,672,329 |
Total distributable earnings (loss) | 227,076 |
NET ASSETS | $12,375,899,405 |
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 | $23,628,181 |
Shares Outstanding | 23,627,746 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $408,229,836 |
Shares Outstanding | 408,219,381 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $131,075,356 |
Shares Outstanding | 131,074,464 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $11,812,916,032 |
Shares Outstanding | 11,812,801,501 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $234,866,829 |
Expenses allocated from affiliated Portfolio | (7,120,705) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 227,746,124 |
EXPENSES | |
Administration fees | |
Administration Class | 25 |
Institutional Class | 9,031 |
Investment Class | 179,172 |
Investor Class | 80,369 |
Premier Class | 5,098,795 |
Shareholder servicing fees | |
Administration Class | 99 |
Institutional Class | 5,419 |
Investment Class | 896,003 |
Investor Class | 128,621 |
Distribution fees | |
Administration Class | 26 |
Investment Class | 358,401 |
Custodian fees | 30,786 |
Trustees’ fees and expenses | 18,048 |
Transfer agent fees | 8,923 |
Registration and filing fees | 203,716 |
Professional fees | 44,838 |
Printing and postage fees | 64,587 |
Insurance expense | 60,491 |
Miscellaneous expenses | 114,048 |
TOTAL EXPENSES | 7,301,398 |
Expenses waived/reimbursed by the Adviser | (51,726) |
NET EXPENSES | 7,249,672 |
NET INVESTMENT INCOME (LOSS) | $220,496,452 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 271,783 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $220,768,235 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $220,496,452 | $185,945,905 | |
Net realized gain (loss) | 271,783 | (86,235) | |
Net increase (decrease) in net assets resulting from operations | 220,768,235 | 185,859,670 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (920) | (425) | |
Institutional Class | (334,102) | (378) | |
Investment Class | (6,213,652) | (4,676,000) | |
Investor Class | (3,126,205) | (1,954,141) | |
Premier Class | (210,831,864) | (179,417,982) | |
Total distributions to shareholders | (220,506,743) | (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 | 638,062,068 | 50,000 | |
Reinvestment of distributions | 226,396 | — | |
Shares redeemed | (614,710,718) | — | |
Net increase (decrease) from capital share transactions | 23,577,746 | 50,000 | |
Investment Class | |||
Shares sold | 693,177,178 | 1,273,209,693 | |
Reinvestment of distributions | 45,389 | — | |
Shares redeemed | (675,736,752) | (1,248,831,235) | |
Net increase (decrease) from capital share transactions | 17,485,815 | 24,378,458 | |
Investor Class | |||
Shares sold | 2,037,248,929 | 1,775,696,873 | |
Reinvestment of distributions | 3,109,787 | 1,953,184 | |
Shares redeemed | (2,006,528,761) | (1,709,988,753) | |
Net increase (decrease) from capital share transactions | 33,829,955 | 67,661,304 | |
Premier Class | |||
Shares sold | 90,382,471,629 | 26,594,663,424 | |
Reinvestment of distributions | 200,985,191 | 169,379,668 | |
Shares redeemed | (88,195,295,536) | (29,462,984,221) | |
Net increase (decrease) from capital share transactions | 2,388,161,284 | (2,698,941,129) | |
Net increase (decrease) in net assets from beneficial interest transactions | 2,463,054,800 | (2,606,801,367) | |
Net increase (decrease) in net assets during the period | 2,463,316,292 | (2,606,990,623) | |
Net assets at beginning of period | 9,912,583,113 | 12,519,573,736 | |
NET ASSETS AT END OF PERIOD | $12,375,899,405 | $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 | 638,062,068 | 50,000 | |
Reinvestment of distributions | 226,396 | — | |
Shares redeemed | (614,710,718) | — | |
Net increase (decrease) from share transactions | 23,577,746 | 50,000 | |
Investment Class | |||
Shares sold | 693,177,178 | 1,273,209,693 | |
Reinvestment of distributions | 45,389 | — | |
Shares redeemed | (675,736,752) | (1,248,831,235) | |
Net increase (decrease) from share transactions | 17,485,815 | 24,378,458 | |
Investor Class | |||
Shares sold | 2,037,248,929 | 1,775,696,873 | |
Reinvestment of distributions | 3,109,787 | 1,953,184 | |
Shares redeemed | (2,006,528,761) | (1,709,988,753) | |
Net increase (decrease) from share transactions | 33,829,955 | 67,661,304 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
Premier Class | |||
Shares sold | 90,382,471,629 | 26,594,663,424 | |
Reinvestment of distributions | 200,985,191 | 169,379,668 | |
Shares redeemed | (88,195,295,536) | (29,462,984,221) | |
Net increase (decrease) from share transactions | 2,388,161,284 | (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) | |||
Year Ended 12/31/19 | 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) | 0.0184 | 0.0076 | |
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | |
Total from investment operations | 0.0184 | 0.0076 | |
Distributions to shareholders from: | |||
Net investment income | (0.0184) | (0.0076) | |
Total distributions | (0.0184) | (0.0076) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.85% | 0.76% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $50 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.37% | 0.37%(d) | |
Net investment income (loss) | 1.84% | 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) | |||
Year Ended 12/31/19 | 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) | 0.0205 | 0.0085 | |
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | |
Total from investment operations | 0.0205 | 0.0085 | |
Distributions to shareholders from: | |||
Net investment income | (0.0205) | (0.0085) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 2.07% | 0.85% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $23,628 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15% | 0.15%(d) | |
Net investment income (loss) | 1.86% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | 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 | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | — | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | — | ||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Total return (d) | 1.76% | 1.39% | 0.41% | 0.00%(e) | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $408,230 | $390,735 | $366,364 | $609,545 | $724,683 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.46% | 0.47% | 0.47% | 0.31% | 0.04% | ||||
Net investment income (loss) | 1.74% | 1.37% | 0.38% | 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%. |
Investor Class(a) | |||||||
Year Ended 12/31/19 | 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) | 0.0200 | 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 | 0.0200 | 0.0165 | 0.0068 | 0.0001 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0200) | (0.0165) | (0.0068) | (0.0001) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0200) | (0.0165) | (0.0068) | (0.0001) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 2.02% | 1.66% | 0.68% | 0.00%(d) | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $131,075 | $97,241 | $29,583 | $27,402 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.18%(e) | |||
Net investment income (loss) | 1.95% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0208 | 0.0173 | 0.0076 | 0.0019 | 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 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0208) | (0.0173) | (0.0076) | (0.0019) | (0.0000)(b) | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0208) | (0.0173) | (0.0076) | (0.0019) | (0.0000)(b) | ||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Total return (d) | 2.10% | 1.74% | 0.76% | 0.19% | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $11,812,916 | $9,424,507 | $12,123,627 | $12,651,785 | $10,412,966 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.04% | ||||
Net investment income (loss) | 2.07% | 1.71% | 0.76% | 0.19% | 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%. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Select Class | July 31, 2018 July 31, 2018 October 25, 2007 December 22, 2016 October 25, 2007 Not commenced | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $220,506,743 | $— | $220,506,743 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $ 186,048,926 | $ — | $ 186,048,926 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Money Market Fund | $227,076 | $— | $— | $— | $227,076 |
February 27, 2020
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% | $1,008.20 | $1.87 | $1,023.30 | $1.89 | ||||
Institutional Class | 0.15 | 1,009.30 | 0.76 | 1,024.40 | 0.77 | ||||
Investment Class | 0.45 | 1,007.80 | 2.28 | 1,022.90 | 2.29 | ||||
Investor Class | 0.20 | 1,009.00 | 1.01 | 1,024.20 | 1.02 | ||||
Premier Class | 0.12 | 1,009.40 | 0.61 | 1,024.60 | 0.61 |
(a) | Expenses are equal to the Fund's annualized net expense ratio,which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
4 | |
5 | |
6 | |
7 | |
8 | |
11 | |
12 |
% of Net Assets | |||
Treasury Debt | 100.5% | ||
Liabilities in Excess of Other Assets | (0.5) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 18.4% | ||
31 to 60 Days | 29.4 | ||
61 to 90 Days | 10.4 | ||
Over 90 Days | 42.3 | ||
Total | 100.5% | ||
Average days to maturity | 54 | ||
Weighted average life | 106 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—100.5% | ||||||||||
U.S. Treasury Bill(a) | 1.420% | 01/09/2020 | 01/09/2020 | $1,850,000 | $1,849,489 | |||||
U.S. Treasury Bill(a) | 1.498% | 01/28/2020 | 01/28/2020 | 200,000,000 | 199,775,389 | |||||
U.S. Treasury Bill(a) | 1.500% | 01/07/2020 | 01/07/2020 | 144,284,000 | 144,253,447 | |||||
U.S. Treasury Bill(a) | 1.515% | 06/04/2020 | 06/04/2020 | 50,000,000 | 49,665,050 | |||||
U.S. Treasury Bill(a) | 1.520% | 02/04/2020 | 02/04/2020 | 195,556,000 | 195,283,525 | |||||
U.S. Treasury Bill(a) | 1.521% | 02/06/2020 | 02/06/2020 | 334,905,000 | 334,347,551 | |||||
U.S. Treasury Bill(a) | 1.532% | 01/14/2020 | 01/14/2020 | 500,668,000 | 500,410,928 | |||||
U.S. Treasury Bill(a) | 1.535% | 05/07/2020 | 05/07/2020 | 100,000,000 | 99,462,750 | |||||
U.S. Treasury Bill(a) | 1.540% | 01/21/2020 | 01/21/2020 | 483,098,000 | 482,710,005 | |||||
U.S. Treasury Bill(a) | 1.540% | 02/11/2020 | 02/11/2020 | 800,000,000 | 798,633,889 | |||||
U.S. Treasury Bill(a) | 1.540% | 05/21/2020 | 05/21/2020 | 200,000,000 | 198,796,990 | |||||
U.S. Treasury Bill(a) | 1.550% | 05/14/2020 | 05/14/2020 | 200,000,000 | 198,854,722 | |||||
U.S. Treasury Bill(a) | 1.550% | 06/18/2020 | 06/18/2020 | 50,000,000 | 49,638,333 | |||||
U.S. Treasury Bill(a) | 1.555% | 02/18/2020 | 02/18/2020 | 326,568,000 | 325,905,728 | |||||
U.S. Treasury Bill(a) | 1.560% | 07/02/2020 | 07/02/2020 | 179,758,000 | 178,340,309 | |||||
U.S. Treasury Bill(a) | 1.570% | 06/25/2020 | 06/25/2020 | 152,800,000 | 151,633,839 | |||||
U.S. Treasury Bill(a) | 1.580% | 05/28/2020 | 05/28/2020 | 186,000,000 | 184,799,990 | |||||
U.S. Treasury Bill(a) | 1.610% | 04/30/2020 | 04/30/2020 | 200,225,000 | 199,152,788 | |||||
U.S. Treasury Bill(a) | 1.620% | 04/16/2020 | 04/16/2020 | 100,000,000 | 99,527,500 | |||||
U.S. Treasury Bill(a) | 1.680% | 04/09/2020 | 04/09/2020 | 126,000,000 | 125,422,780 | |||||
U.S. Treasury Bill(a) | 1.795% | 04/02/2020 | 04/02/2020 | 251,657,000 | 250,619,300 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/05/2020 | 03/05/2020 | 498,740,000 | 497,326,245 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/12/2020 | 03/12/2020 | 427,326,000 | 425,961,804 | |||||
U.S. Treasury Bill(a) | 1.832% | 02/13/2020 | 02/13/2020 | 331,461,000 | 330,775,855 | |||||
U.S. Treasury Bill(a) | 1.840% | 01/02/2020 | 01/02/2020 | 5,685,000 | 5,685,000 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/20/2020 | 02/20/2020 | 528,450,000 | 527,289,179 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/27/2020 | 02/27/2020 | 382,775,000 | 381,807,902 | |||||
U.S. Treasury Bill(a) | 1.860% | 03/26/2020 | 03/26/2020 | 262,800,000 | 261,768,191 | |||||
U.S. Treasury Bill(a) | 1.870% | 03/19/2020 | 03/19/2020 | 151,125,000 | 150,555,834 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/16/2020 | 01/16/2020 | 340,634,000 | 340,399,414 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/23/2020 | 01/23/2020 | 125,000,000 | 124,853,437 | |||||
U.S. Treasury Bill(a) | 2.035% | 01/30/2020 | 01/30/2020 | 276,606,500 | 276,219,231 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.526% | 01/01/2020 | 01/31/2020 | 670,000,000 | 669,986,644 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.559% | 01/01/2020 | 04/30/2020 | 697,400,000 | 697,327,755 | |||||
U.S. Treasury Note(a) | 1.564% | 01/15/2020 | 01/15/2020 | 283,000,000 | 282,979,176 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 1.569% | 01/01/2020 | 07/31/2020 | 714,800,000 | 714,536,670 | |||||
U.S. Treasury Note(a) | 1.598% | 06/30/2020 | 06/30/2020 | 100,000,000 | 100,441,783 | |||||
U.S. Treasury Note(a) | 1.608% | 04/30/2020 | 04/30/2020 | 88,700,000 | 88,632,620 | |||||
U.S. Treasury Note(a) | 1.616% | 08/31/2020 | 08/31/2020 | 33,590,000 | 33,536,877 | |||||
U.S. Treasury Note(a) | 1.632% | 02/15/2020 | 02/15/2020 | 150,000,000 | 150,353,455 | |||||
U.S. Treasury Note(a) | 1.636% | 05/15/2020 | 05/15/2020 | 137,000,000 | 136,931,704 | |||||
U.S. Treasury Note(a) | 1.638% | 05/15/2020 | 05/15/2020 | 329,100,000 | 331,378,179 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 1.641% | 01/01/2020 | 01/31/2021 | 299,600,000 | 299,418,692 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 1.665% | 01/01/2020 | 04/30/2021 | 208,400,000 | 208,171,003 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.672% | 01/31/2020 | 10/31/2020 | 270,955,000 | 270,769,913 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 1.746% | 01/01/2020 | 07/31/2021 | 121,387,000 | 121,387,678 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 1.826% | 01/01/2020 | 10/31/2021 | 90,250,000 | 90,297,558 | |||||
U.S. Treasury Note(a) | 1.861% | 03/31/2020 | 03/31/2020 | 477,000,000 | 476,403,219 | |||||
U.S. Treasury Note(a) | 1.870% | 03/31/2020 | 03/31/2020 | 53,500,000 | 53,548,860 | |||||
U.S. Treasury Note(a) | 1.912% | 01/31/2020 | 01/31/2020 | 62,500,000 | 62,473,649 | |||||
TOTAL INVESTMENTS –100.5% (c)(d) | 12,880,301,829 | |||||||||
Liabilities in Excess of Other Assets —(0.5)% | (63,660,102) | |||||||||
NET ASSETS –100.0% | $12,816,641,727 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 | $12,880,301,829 |
Cash | 378 |
Receivable for investments sold | 249,734,583 |
Interest receivable — unaffiliated issuers | 16,782,721 |
Other Receivable | 50 |
Prepaid expenses and other assets | 2,491 |
TOTAL ASSETS | 13,146,822,052 |
LIABILITIES | |
Payable for investments purchased | 329,414,609 |
Advisory and administrator fee payable | 538,635 |
Custody, sub-administration and transfer agent fees payable | 185,425 |
Trustees’ fees and expenses payable | 2,598 |
Professional fees payable | 33,201 |
Printing fees payable | 1,896 |
Accrued expenses and other liabilities | 3,961 |
TOTAL LIABILITIES | 330,180,325 |
NET ASSETS | $12,816,641,727 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $244,630,978 |
EXPENSES | |
Advisory and administrator fee | 5,588,882 |
Custodian, sub-administrator and transfer agent fees | 1,400,939 |
Trustees’ fees and expenses | 202,779 |
Professional fees | 194,271 |
Printing and postage fees | 2,875 |
Insurance expense | 5,347 |
Miscellaneous expenses | 19,555 |
TOTAL EXPENSES | 7,414,648 |
NET INVESTMENT INCOME (LOSS) | $237,216,330 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 283,242 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $237,499,572 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $237,216,330 | $201,067,470 | |
Net realized gain (loss) | 283,242 | (90,111) | |
Net increase (decrease) in net assets resulting from operations | 237,499,572 | 200,977,359 | |
CAPITAL TRANSACTIONS | |||
Contributions | 22,575,489,084 | 23,045,517,549 | |
Withdrawals | (20,369,315,642) | (25,879,128,300) | |
Net increase (decrease) in net assets from capital transactions | 2,206,173,442 | (2,833,610,751) | |
Net increase (decrease) in net assets during the period | 2,443,673,014 | (2,632,633,392) | |
Net assets at beginning of period | 10,372,968,713 | 13,005,602,105 | |
NET ASSETS AT END OF PERIOD | $12,816,641,727 | $10,372,968,713 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Total return (a) | 2.18% | 1.80% | 0.73% | 0.25% | (0.04)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $12,816,642 | $10,372,969 | $13,005,602 | $14,004,301 | $11,837,128 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.13% | 1.76% | 0.81% | 0.25% | (0.03)% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 27, 2020
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.07% | $1,001.40 | $0.35 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
16 | |
17 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $19,614,073,025 |
Receivable for fund shares sold | 135,000 |
Receivable from Adviser | 3,082 |
Prepaid expenses and other assets | 35,993 |
TOTAL ASSETS | 19,614,247,100 |
LIABILITIES | |
Payable for fund shares repurchased | 43,416 |
Administration fees payable | 779,143 |
Shareholder servicing fee payable | 247,110 |
Distribution fees payable | 4,675 |
Transfer agent fees payable | 254 |
Distribution payable | 3,662,713 |
Registration and filing fees payable | 240,980 |
Professional fees payable | 7,419 |
Printing fees payable | 9,969 |
Accrued expenses and other liabilities | 64,349 |
TOTAL LIABILITIES | 5,060,028 |
NET ASSETS | $19,609,187,072 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $19,609,192,001 |
Total distributable earnings (loss) | (4,929) |
NET ASSETS | $19,609,187,072 |
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 | $468,721,115 |
Shares Outstanding | 468,720,986 |
Net asset value, offering and redemption price per share | $1.00 |
Investment Class | |
Net Assets | $52,085,931 |
Shares Outstanding | 52,092,471 |
Net asset value, offering and redemption price per share | $1.00 |
Investor Class | |
Net Assets | $230,017,379 |
Shares Outstanding | 230,018,476 |
Net asset value, offering and redemption price per share | $1.00 |
Premier Class | |
Net Assets | $14,672,348,347 |
Shares Outstanding | 14,672,494,584 |
Net asset value, offering and redemption price per share | $1.00 |
Trust Class | |
Net Assets | $4,185,964,300 |
Shares Outstanding | 4,186,282,247 |
Net asset value, offering and redemption price per share | $1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $323,325,907 |
Expenses allocated from affiliated Portfolio | (9,758,421) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 313,567,486 |
EXPENSES | |
Administration fees | |
Administration Class | 25 |
Institutional Class | 126,827 |
Investment Class | 26,577 |
Investor Class | 158,131 |
Premier Class | 4,988,128 |
Trust Class | 2,080,502 |
Shareholder servicing fees | |
Administration Class | 99 |
Institutional Class | 76,193 |
Investment Class | 132,929 |
Investor Class | 253,872 |
Trust Class | 2,329,724 |
Distribution fees | |
Administration Class | 26 |
Investment Class | 53,171 |
Custodian fees | 34,506 |
Trustees’ fees and expenses | 18,049 |
Transfer agent fees | 9,295 |
Registration and filing fees | 151,399 |
Professional fees | 44,839 |
Printing and postage fees | 43,158 |
Insurance expense | 66,326 |
Miscellaneous expenses | 101,800 |
TOTAL EXPENSES | 10,695,576 |
Expenses waived/reimbursed by the Adviser | (6,789) |
NET EXPENSES | 10,688,787 |
NET INVESTMENT INCOME (LOSS) | $302,878,699 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (6,693) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $302,872,006 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $302,878,699 | $182,781,615 | |
Net realized gain (loss) | (6,693) | 947 | |
Net increase (decrease) in net assets resulting from operations | 302,872,006 | 182,782,562 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (926) | (378) | |
Institutional Class | (5,270,230) | (1,201,954) | |
Investment Class | (939,751) | (534,006) | |
Investor Class | (6,381,870) | (4,282,357) | |
Premier Class | (205,300,340) | (92,650,963) | |
Trust Class | (84,979,567) | (84,114,314) | |
Total distributions to shareholders | (302,872,684) | (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 | 3,468,482,556 | 1,512,358,000 | |
Shares redeemed | (3,094,315,570) | (1,417,804,000) | |
Net increase (decrease) from capital share transactions | 374,166,986 | 94,554,000 | |
Investment Class | |||
Shares sold | 92,118,238 | 101,688,338 | |
Reinvestment of distributions | 224,257 | 139,542 | |
Shares redeemed | (110,070,043) | (51,257,110) | |
Net increase (decrease) from capital share transactions | (17,727,548) | 50,570,770 | |
Investor Class | |||
Shares sold | 5,339,147,529 | 3,566,333,132 | |
Reinvestment of distributions | 6,360,933 | 4,277,715 | |
Shares redeemed | (5,890,375,775) | (3,124,489,496) | |
Net increase (decrease) from capital share transactions | (544,867,313) | 446,121,351 | |
Premier Class | |||
Shares sold | 128,661,731,285 | 61,825,178,064 | |
Reinvestment of distributions | 179,913,178 | 83,017,919 | |
Shares redeemed | (122,571,343,544) | (57,506,625,170) | |
Net increase (decrease) from capital share transactions | 6,270,300,919 | 4,401,570,813 | |
Trust Class | |||
Shares sold | 41,350,337,370 | 19,936,338,258 | |
Reinvestment of distributions | 78,314,112 | 75,701,491 | |
Shares redeemed | (41,724,097,211) | (22,433,895,799) | |
Net increase (decrease) from capital share transactions | (295,445,729) | (2,421,856,050) | |
Net increase (decrease) in net assets from beneficial interest transactions | 5,786,427,315 | 2,571,010,884 | |
Net increase (decrease) in net assets during the period | 5,786,426,637 | 2,571,009,474 | |
Net assets at beginning of period | 13,822,760,435 | 11,251,750,961 | |
NET ASSETS AT END OF PERIOD | $19,609,187,072 | $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 | 3,468,482,556 | 1,512,358,000 | |
Shares redeemed | (3,094,315,570) | (1,417,804,000) | |
Net increase (decrease) from share transactions | 374,166,986 | 94,554,000 | |
Investment Class | |||
Shares sold | 92,118,238 | 101,688,338 | |
Reinvestment of distributions | 224,257 | 139,542 | |
Shares redeemed | (110,070,043) | (51,257,110) | |
Net increase (decrease) from share transactions | (17,727,548) | 50,570,770 | |
Investor Class | |||
Shares sold | 5,339,147,529 | 3,566,333,132 | |
Reinvestment of distributions | 6,360,933 | 4,277,715 | |
Shares redeemed | (5,890,375,775) | (3,124,489,496) | |
Net increase (decrease) from share transactions | (544,867,313) | 446,121,351 |
Year Ended 12/31/19 | Year Ended 12/31/18(a) | ||
Premier Class | |||
Shares sold | 128,661,731,285 | 61,825,178,064 | |
Reinvestment of distributions | 179,913,178 | 83,017,919 | |
Shares redeemed | (122,571,343,544) | (57,506,625,170) | |
Net increase (decrease) from share transactions | 6,270,300,919 | 4,401,570,813 | |
Trust Class | |||
Shares sold | 41,350,337,370 | 19,936,338,258 | |
Reinvestment of distributions | 78,314,112 | 75,701,491 | |
Shares redeemed | (41,724,097,211) | (22,433,895,799) | |
Net increase (decrease) from share transactions | (295,445,729) | (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) | |||
Year Ended 12/31/19 | 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) | 0.0185 | 0.0076 | |
Net realized gain (loss) | (0.0000)(b) | — | |
Total from investment operations | 0.0185 | 0.0076 | |
Distributions to shareholders from: | |||
Net investment income | (0.0185) | (0.0076) | |
Total distributions | (0.0185) | (0.0076) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 1.86% | 0.76% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $50 | $50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.37% | 0.37%(d) | |
Net expenses | 0.37% | 0.37%(d) | |
Net investment income (loss) | 1.85% | 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) | |||
Year Ended 12/31/19 | 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) | 0.0207 | 0.0085 | |
Net realized gain (loss) | (0.0000)(b) | — | |
Total from investment operations | 0.0207 | 0.0085 | |
Distributions to shareholders from: | |||
Net investment income | (0.0207) | (0.0085) | |
Total distributions | (0.0207) | (0.0085) | |
Net asset value, end of period | $1.0000 | $1.0000 | |
Total return (c) | 2.09% | 0.85% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $468,721 | $94,554 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.15% | 0.15%(d) | |
Net expenses | 0.15% | 0.15%(d) | |
Net investment income (loss) | 2.09% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0180 | 0.0139 | 0.0042 | 0.0000(b) | 0.0000(b)(c) | ||||
Net realized gain (loss) | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0180 | 0.0139 | 0.0042 | 0.0000(b) | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0180) | (0.0139) | (0.0042) | (0.0000)(b) | — | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0180) | (0.0139) | (0.0042) | (0.0000)(b) | — | ||||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Total return (d) | 1.81% | 1.40% | 0.42% | 0.00%(e) | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $52,086 | $69,812 | $19,242 | $48,170 | $60,041 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.49% | 0.49% | ||||
Net expenses | 0.46% | 0.47% | 0.47% | 0.31% | 0.06% | ||||
Net investment income (loss) | 1.78% | 1.54% | 0.36% | 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 year. |
(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%. |
Investor Class(a) | |||||||
Year Ended 12/31/19 | 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) | 0.0202 | 0.0166 | 0.0069 | 0.0004 | |||
Net realized gain (loss) | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0202 | 0.0166 | 0.0069 | 0.0004 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0202) | (0.0166) | (0.0069) | (0.0004) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0202) | (0.0166) | (0.0069) | (0.0004) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 2.03% | 1.67% | 0.69% | 0.04% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $230,017 | $774,885 | $328,764 | $101,461 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20%(d) | |||
Net expenses | 0.20% | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 2.02% | 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) | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | $1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0210 | 0.0174 | 0.0077 | 0.0019 | 0.0000(b)(c) | ||||
Net realized gain (loss) | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0210 | 0.0174 | 0.0077 | 0.0019 | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0210) | (0.0174) | (0.0077) | (0.0019) | (0.0000)(b) | ||||
Net realized gains | — | — | (0.0000)(b) | — | — | ||||
Total distributions | (0.0210) | (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 | ||||
Total return (d) | 2.12% | 1.75% | 0.77% | 0.19% | 0.00%(e) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $14,672,348 | $8,402,049 | $4,000,478 | $2,515,246 | $1,684,652 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.14% | 0.14% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.06% | ||||
Net investment income (loss) | 2.07% | 1.80% | 0.81% | 0.20% | 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 year. |
(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%. |
Trust Class(a) | |||||||
Year Ended 12/31/19 | 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) | 0.0204 | 0.0168 | 0.0071 | 0.0007 | |||
Net realized gain (loss) | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | |||
Total from investment operations | 0.0204 | 0.0168 | 0.0071 | 0.0007 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0204) | (0.0168) | (0.0071) | (0.0007) | |||
Net realized gains | — | — | (0.0000)(b) | — | |||
Total distributions | (0.0204) | (0.0168) | (0.0071) | (0.0007) | |||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | $1.0000 | |||
Total return (c) | 2.06% | 1.69% | 0.71% | 0.07% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $4,185,964 | $4,481,410 | $6,903,267 | $7,962,822 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.18% | 0.18% | 0.18% | 0.18%(d) | |||
Net expenses | 0.18% | 0.18% | 0.18% | 0.18%(d) | |||
Net investment income (loss) | 2.05% | 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 Select 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 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $302,872,684 | $— | $302,872,684 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $ 182,783,972 | $ — | $ 182,783,972 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Plus Money Market Fund | $1,765 | $(6,693) | $— | $(1) | $(4,929) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Institutional Treasury Plus Money Market Fund | $6,692 | $1 |
February 27, 2020
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% | $1,008.20 | $1.87 | $1,023.30 | $1.89 | ||||
Institutional Class | 0.15 | 1,009.30 | 0.76 | 1,024.40 | 0.77 | ||||
Investment Class | 0.45 | 1,007.80 | 2.28 | 1,022.90 | 2.29 | ||||
Investor Class | 0.20 | 1,009.10 | 1.01 | 1,024.20 | 1.02 | ||||
Premier Class | 0.12 | 1,009.50 | 0.61 | 1,024.60 | 0.61 | ||||
Trust Class | 0.18 | 1,000.00 | 0.91 | 1,024.30 | 0.92 |
(a) | Expenses are equal to the Fund's annualized net expense ratio,which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
14 |
% of Net Assets | |||
Treasury Debt | 56.0% | ||
Treasury Repurchase Agreements | 38.6 | ||
Other Assets in Excess of Liabilities | 5.4 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 43.9% | ||
31 to 60 Days | 15.4 | ||
61 to 90 Days | 7.2 | ||
Over 90 Days | 28.1 | ||
Total | 94.6% | ||
Average days to maturity | 31 | ||
Weighted average life | 86 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—56.0% | ||||||||||
U.S. Treasury Bill(a) | 1.420% | 01/09/2020 | 01/09/2020 | $75,350,000 | $75,319,598 | |||||
U.S. Treasury Bill(a) | 1.498% | 01/28/2020 | 01/28/2020 | 628,100,000 | 627,374,195 | |||||
U.S. Treasury Bill(a) | 1.500% | 01/07/2020 | 01/07/2020 | 518,643,600 | 518,534,403 | |||||
U.S. Treasury Bill(a) | 1.515% | 06/04/2020 | 06/04/2020 | 250,000,000 | 248,325,250 | |||||
U.S. Treasury Bill(a) | 1.520% | 02/04/2020 | 02/04/2020 | 450,800,000 | 450,171,885 | |||||
U.S. Treasury Bill(a) | 1.521% | 02/06/2020 | 02/06/2020 | 160,000,000 | 159,740,405 | |||||
U.S. Treasury Bill(a) | 1.535% | 05/07/2020 | 05/07/2020 | 85,000,000 | 84,543,338 | |||||
U.S. Treasury Bill(a) | 1.540% | 05/21/2020 | 05/21/2020 | 250,000,000 | 248,496,545 | |||||
U.S. Treasury Bill(a) | 1.550% | 05/14/2020 | 05/14/2020 | 350,000,000 | 347,998,997 | |||||
U.S. Treasury Bill(a) | 1.580% | 05/28/2020 | 05/28/2020 | 250,000,000 | 248,387,083 | |||||
U.S. Treasury Bill(a) | 1.620% | 04/16/2020 | 04/16/2020 | 185,000,000 | 184,125,293 | |||||
U.S. Treasury Bill(a) | 1.680% | 04/09/2020 | 04/09/2020 | 70,000,000 | 69,679,322 | |||||
U.S. Treasury Bill(a) | 1.795% | 04/02/2020 | 04/02/2020 | 350,000,000 | 348,407,500 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/05/2020 | 03/05/2020 | 675,000,000 | 672,979,953 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/12/2020 | 03/12/2020 | 250,000,000 | 249,112,240 | |||||
U.S. Treasury Bill(a) | 1.832% | 02/13/2020 | 02/13/2020 | 299,850,000 | 299,302,524 | |||||
U.S. Treasury Bill(a) | 1.840% | 01/02/2020 | 01/02/2020 | 200,618,300 | 200,618,300 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/20/2020 | 02/20/2020 | 665,000,000 | 663,479,367 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/27/2020 | 02/27/2020 | 570,000,000 | 568,520,978 | |||||
U.S. Treasury Bill(a) | 1.860% | 03/26/2020 | 03/26/2020 | 400,000,000 | 398,264,000 | |||||
U.S. Treasury Bill(a) | 1.870% | 03/19/2020 | 03/19/2020 | 275,000,000 | 273,900,076 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/16/2020 | 01/16/2020 | 75,000,000 | 74,941,375 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/23/2020 | 01/23/2020 | 100,000,000 | 99,882,400 | |||||
U.S. Treasury Bill(a) | 2.035% | 01/30/2020 | 01/30/2020 | 80,000,000 | 79,873,378 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.526% | 01/01/2020 | 01/31/2020 | 965,200,000 | 965,190,438 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.559% | 01/01/2020 | 04/30/2020 | 810,900,000 | 810,901,889 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 1.569% | 01/01/2020 | 07/31/2020 | 470,550,000 | 470,498,947 | |||||
U.S. Treasury Note(a) | 1.598% | 04/30/2020 | 04/30/2020 | 117,000,000 | 116,819,776 | |||||
U.S. Treasury Note(a) | 1.608% | 04/30/2020 | 04/30/2020 | 209,500,000 | 209,342,645 | |||||
U.S. Treasury Note(a) | 1.616% | 08/31/2020 | 08/31/2020 | 60,057,000 | 59,962,019 | |||||
U.S. Treasury Note(a) | 1.638% | 05/15/2020 | 05/15/2020 | 720,800,000 | 725,782,156 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 1.641% | 01/01/2020 | 01/31/2021 | 157,200,000 | 157,050,552 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 1.665% | 01/01/2020 | 04/30/2021 | 767,000,000 | 766,243,718 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.672% | 01/31/2020 | 10/31/2020 | 144,500,000 | 144,406,880 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 1.746% | 01/01/2020 | 07/31/2021 | 818,500,000 | 818,317,894 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 1.826% | 01/01/2020 | 10/31/2021 | 225,000,000 | 225,221,780 | |||||
U.S. Treasury Note(a) | 1.861% | 03/31/2020 | 03/31/2020 | 300,000,000 | 299,468,256 | |||||
U.S. Treasury Note(a) | 1.870% | 03/31/2020 | 03/31/2020 | 92,000,000 | 92,084,022 | |||||
U.S. Treasury Note(a) | 1.912% | 01/31/2020 | 01/31/2020 | 302,000,000 | 301,873,842 | |||||
TOTAL TREASURY DEBT | 13,355,143,219 | |||||||||
TREASURY REPURCHASE AGREEMENTS—38.6% | ||||||||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/23/2019 (collateralized by U.S. Treasury Bonds, 2.500% – 7.875% due 02/15/2021 – 05/15/2046, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, and U.S. Treasury Notes, 1.750% – 2.250% due 07/31/2021 – 08/15/2027, valued at $76,500,054); expected proceeds $75,063,750(c) | 1.700% | 01/10/2020 | 01/10/2020 | 75,000,000 | 75,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and U.S. Treasury Notes, 1.750% – 3.125% due 12/31/2026 – 11/15/2028, valued at $255,000,039); expected proceeds $250,021,528 | 1.550% | 01/02/2020 | 01/02/2020 | 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 Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Inflation Index Bonds, 2.125% – 3.375% due 01/15/2029 – 02/15/2040, and U.S. Treasury Notes, 1.750% – 2.875% due 10/15/2021 – 12/31/2026, valued at $1,020,000,090); expected proceeds $1,000,083,333 | 1.500% | 01/02/2020 | 01/02/2020 | $1,000,000,000 | $1,000,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2045, U.S. Treasury Inflation Index Notes, 0.375% due 07/15/2023 – 07/15/2025, and a U.S. Treasury Strip, 0.000% due 02/15/2037, valued at $79,560,000); expected proceeds $78,006,717 | 1.550% | 01/02/2020 | 01/02/2020 | 78,000,000 | 78,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.500% - 1.875% due 07/31/2022 – 09/30/2024, valued at $305,958,130); expected proceeds $300,026,167 | 1.570% | 01/02/2020 | 01/02/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.625% – 2.375% due 03/15/2022 – 02/15/2026, valued at $1,530,000,072); expected proceeds $1,500,129,167 | 1.550% | 01/02/2020 | 01/02/2020 | 1,500,000,000 | 1,500,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 2.625% – 2.875% due 06/30/2023 – 10/31/2023, valued at $863,177,731); expected proceeds $846,704,872 | 1.580% | 01/02/2020 | 01/02/2020 | 846,630,556 | 846,630,556 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/18/2020 – 05/14/2020, U.S. Treasury Notes, 1.500% – 3.000% due 07/31/2020 – 11/15/2029, and U.S. Treasury Strips, 0.000% due 11/15/2022 – 02/15/2029, valued at $678,300,007); expected proceeds $665,196,544 | 1.550% | 01/07/2020 | 01/02/2020 | 665,000,000 | 665,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Strip, 0.000% due 02/15/2023, valued at $7,140,000); expected proceeds $7,000,603 | 1.550% | 01/02/2020 | 01/02/2020 | 7,000,000 | 7,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/01/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/27/2020 – 08/13/2020, a U.S. Treasury Bond, 6.250% due 05/15/2030, a U.S. Treasury Inflation Index Note, 0.500% due 01/15/2028, and U.S. Treasury Notes, 1.250% – 1.625% due 06/30/2020 – 11/15/2022, valued at $178,500,001); expected proceeds $175,908,201(c) | 1.570% | 01/01/2020 | 02/28/2020 | 175,000,000 | 175,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.375% – 5.375% due 02/15/2031 – 11/15/2049, and a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $221,340,021); expected proceeds $217,018,686 | 1.550% | 01/02/2020 | 01/02/2020 | 217,000,000 | 217,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.000% due 11/15/2042 – 02/15/2049, and U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 07/15/2023 – 07/15/2028, valued at $258,060,069); expected proceeds $253,022,208 | 1.580% | 01/02/2020 | 01/02/2020 | 253,000,000 | 253,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.750% due 07/31/2022 – 02/15/2028, valued at $117,372,054); expected proceeds $115,141,194(c) | 1.700% | 01/15/2020 | 01/15/2020 | $115,000,000 | $115,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.375% – 2.750% due 07/31/2022 – 02/15/2028, valued at $329,488,431); expected proceeds $323,027,814 | 1.550% | 01/02/2020 | 01/02/2020 | 323,000,000 | 323,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 10/16/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $25,500,001); expected proceeds $25,115,000(c) | 1.800% | 01/16/2020 | 01/16/2020 | 25,000,000 | 25,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 11/13/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, 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 $142,800,000); expected proceeds $140,608,222(c) | 1.700% | 02/13/2020 | 03/23/2020 | 140,000,000 | 140,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, 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 $66,300,002); expected proceeds $65,288,528(c) | 1.700% | 03/23/2020 | 02/13/2020 | 65,000,000 | 65,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (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 $110,124,147); expected proceeds $107,913,341 | 1.600% | 01/02/2020 | 01/02/2020 | 107,903,750 | 107,903,750 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2027 – 05/15/2029, valued at $92,861,100); expected proceeds $90,758,067 | 1.600% | 01/02/2020 | 01/02/2020 | 90,750,000 | 90,750,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 01/16/2020 – 12/03/2020, U.S. Treasury Bonds, 2.875% – 4.375% due 05/15/2041 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.625% – 1.375% due 02/15/2043 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 04/15/2020 – 07/15/2027, and U.S. Treasury Notes, 1.250% – 2.875% due 01/31/2020 – 11/15/2027, valued at $510,000,059); expected proceeds $500,043,056 | 1.550% | 01/02/2020 | 01/02/2020 | 500,000,000 | 500,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/05/2020, U.S. Treasury Bonds, 2.875% – 6.250% due 05/15/2030 – 11/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 07/15/2025, and U.S. Treasury Notes, 1.375% – 2.875% due 05/31/2020 – 05/15/2028, valued at $833,340,049); expected proceeds $817,070,353 | 1.550% | 01/02/2020 | 01/02/2020 | 817,000,000 | 817,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 10/08/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 04/23/2020, U.S. Treasury Bonds, 2.250% – 4.750% due 02/15/2036 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 3.625% due 04/15/2028 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.250% – 0.375% due 07/15/2025 – 07/15/2029, and U.S. Treasury Notes, 1.125% – 2.875% due 03/31/2020 – 08/15/2028, valued at $102,000,000); expected proceeds $100,480,444(c) | 1.840% | 01/10/2020 | 01/10/2020 | $100,000,000 | $100,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 03/26/2020 – 05/21/2020, U.S. Treasury Bonds, 2.375% – 6.250% due 08/15/2023 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2025 – 02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2028, and U.S. Treasury Notes, 1.250% – 3.125% due 08/15/2020 – 08/15/2028, valued at $663,000,000); expected proceeds $650,055,972 | 1.550% | 01/02/2020 | 01/02/2020 | 650,000,000 | 650,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/20/2020 – 09/10/2020, U.S. Treasury Bonds, 2.250% – 8.750% due 05/15/2020 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2026 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 07/15/2020 – 01/15/2027, U.S. Treasury Notes, 1.125% – 3.500% due 01/15/2020 – 11/15/2026, and U.S. Treasury Strips, 0.000% due 02/15/2020 – 02/15/2029, valued at $153,000,058); expected proceeds $150,012,917 | 1.550% | 01/02/2020 | 01/02/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/02/2020, and U.S. Treasury Notes, 1.125% – 1.625% due 03/31/2020 – 10/31/2023, valued at $765,065,934); expected proceeds $750,064,583 | 1.550% | 01/02/2020 | 01/02/2020 | 750,000,000 | 750,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 9,200,284,306 | |||||||||
TOTAL INVESTMENTS –94.6% (d)(e) | 22,555,427,525 | |||||||||
Other Assets in Excess of Liabilities —5.4% | 1,279,507,246 | |||||||||
NET ASSETS –100.0% | $23,834,934,771 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $695,000,000 or 2.9% of net assets as of December 31, 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 | $13,355,143,219 |
Repurchase agreements, at value and amortized cost | 9,200,284,306 |
Total Investments | 22,555,427,525 |
Cash | 1,258,303,421 |
Interest receivable — unaffiliated issuers | 22,319,197 |
Other Receivable | 53,507 |
Prepaid expenses and other assets | 3,745 |
TOTAL ASSETS | 23,836,107,395 |
LIABILITIES | |
Advisory and administrator fee payable | 956,987 |
Custody, sub-administration and transfer agent fees payable | 150,836 |
Trustees’ fees and expenses payable | 3,751 |
Professional fees payable | 33,202 |
Printing fees payable | 23,377 |
Accrued expenses and other liabilities | 4,471 |
TOTAL LIABILITIES | 1,172,624 |
NET ASSETS | $23,834,934,771 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $404,652,212 |
EXPENSES | |
Advisory and administrator fee | 9,225,128 |
Custodian, sub-administrator and transfer agent fees | 2,376,885 |
Trustees’ fees and expenses | 304,376 |
Professional fees | 194,276 |
Printing and postage fees | 61,145 |
Insurance expense | 7,123 |
Miscellaneous expenses | 26,725 |
TOTAL EXPENSES | 12,195,658 |
NET INVESTMENT INCOME (LOSS) | $392,456,554 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,190) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $392,449,364 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $392,456,554 | $250,070,855 | |
Net realized gain (loss) | (7,190) | 1,950 | |
Net increase (decrease) in net assets resulting from operations | 392,449,364 | 250,072,805 | |
CAPITAL TRANSACTIONS | |||
Contributions | 62,686,916,978 | 39,817,102,235 | |
Withdrawals | (56,691,696,503) | (36,800,190,630) | |
Net increase (decrease) in net assets from capital transactions | 5,995,220,475 | 3,016,911,605 | |
Net increase (decrease) in net assets during the period | 6,387,669,839 | 3,266,984,410 | |
Net assets at beginning of period | 17,447,264,932 | 14,180,280,522 | |
NET ASSETS AT END OF PERIOD | $23,834,934,771 | $17,447,264,932 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Total return (a) | 2.19% | 1.82% | 0.82% | 0.23% | (0.01)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.13% | 1.79% | 0.84% | 0.27% | (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. |
February 27, 2020
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% | $1,009.90 | $0.35 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
9 | |
10 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $4,220,860,669 |
Receivable from Adviser | 149,406 |
Prepaid expenses and other assets | 7,427 |
TOTAL ASSETS | 4,221,017,502 |
LIABILITIES | |
Advisory fee payable | 49 |
Administration fees payable | 183,125 |
Transfer agent fees payable | 228 |
Distribution payable | 195,233 |
Registration and filing fees payable | 33,411 |
Professional fees payable | 7,449 |
Printing fees payable | 11,748 |
Accrued expenses and other liabilities | 8,066 |
TOTAL LIABILITIES | 439,309 |
NET ASSETS | $4,220,578,193 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,220,576,607 |
Total distributable earnings (loss) | 1,586 |
NET ASSETS | $4,220,578,193 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $1.00 |
Shares outstanding | 4,220,576,607 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 81,326,285 |
Expenses allocated from affiliated Portfolio | (2,437,236) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 78,889,049 |
EXPENSES | |
Administration fees | 1,845,948 |
Custodian fees | 21,898 |
Trustees’ fees and expenses | 18,048 |
Registration and filing fees | 38,783 |
Professional fees and expenses | 41,285 |
Printing and postage fees | 15,089 |
Insurance expense | 17,456 |
Miscellaneous expenses | 12,311 |
TOTAL EXPENSES | 2,010,818 |
Expenses waived/reimbursed by the Adviser | (1,494,537) |
NET EXPENSES | 516,281 |
NET INVESTMENT INCOME (LOSS) | $78,372,768 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (499) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $78,372,269 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $78,372,768 | $58,298,055 | |
Net realized gain (loss) | (499) | 1,003 | |
Net increase (decrease) in net assets resulting from operations | 78,372,269 | 58,299,058 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (78,371,686) | (58,298,055) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 14,879,694,877 | 6,325,956,321 | |
Reinvestment of distributions | 77,871,119 | 57,954,475 | |
Cost of shares redeemed | (14,357,557,657) | (5,689,704,933) | |
Net increase (decrease) from share transactions | 600,008,339 | 694,205,863 | |
Net increase (decrease) in net assets during the period | 600,008,922 | 694,206,866 | |
Net assets at beginning of period | 3,620,569,271 | 2,926,362,405 | |
NET ASSETS AT END OF PERIOD | $4,220,578,193 | $3,620,569,271 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 14,879,694,877 | 6,325,956,321 | |
Reinvestment of distributions | 77,871,119 | 57,954,475 | |
Shares redeemed | (14,357,557,657) | (5,689,704,933) | |
Net increase (decrease) from share transactions | 600,008,339 | 694,205,863 |
Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | For the Period 10/05/17* - 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) | 0.0213 | 0.0178 | 0.0025 | ||
Net realized and unrealized gain (loss) | (0.0000)(b) | — | — | ||
Total from investment operations | 0.0213 | 0.0178 | 0.0025 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0213) | (0.0178) | (0.0025) | ||
Total distributions | (0.0213) | (0.0178) | (0.0025) | ||
Net asset value, end of period | $1.0000 | $1.0000 | $1.0000 | ||
Total return (c) | 2.16% | 1.79% | 0.25% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $4,220,578 | $3,620,569 | $2,926,362 | ||
Ratios to average net assets: | |||||
Total expenses | 0.12% | 0.13% | 0.16%(d) | ||
Net expenses | 0.08% | 0.08% | 0.08%(d) | ||
Net investment income (loss) | 2.13% | 1.77% | 1.08%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the 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 | Commencement of Operations | Diversification Classification |
State Street Treasury Obligations Money Market Fund | October 5, 2017 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $78,371,686 | $— | $78,371,686 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $ 58,298,055 | $ — | $ 58,298,055 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Treasury Obligations Money Market Fund | $2,085 | $(499) | $— | $— | $1,586 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Treasury Obligations Money Market Fund | $499 | $— |
February 27, 2020
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% | $1,009.70 | $0.41 | $1,024.80 | $0.41 |
(a) | Expenses are equal to the Fund's annualized net expense ratio,which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
14 |
% of Net Assets | |||
Treasury Debt | 56.0% | ||
Treasury Repurchase Agreements | 38.6 | ||
Other Assets in Excess of Liabilities | 5.4 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 43.9% | ||
31 to 60 Days | 15.4 | ||
61 to 90 Days | 7.2 | ||
Over 90 Days | 28.1 | ||
Total | 94.6% | ||
Average days to maturity | 31 | ||
Weighted average life | 86 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—56.0% | ||||||||||
U.S. Treasury Bill(a) | 1.420% | 01/09/2020 | 01/09/2020 | $75,350,000 | $75,319,598 | |||||
U.S. Treasury Bill(a) | 1.498% | 01/28/2020 | 01/28/2020 | 628,100,000 | 627,374,195 | |||||
U.S. Treasury Bill(a) | 1.500% | 01/07/2020 | 01/07/2020 | 518,643,600 | 518,534,403 | |||||
U.S. Treasury Bill(a) | 1.515% | 06/04/2020 | 06/04/2020 | 250,000,000 | 248,325,250 | |||||
U.S. Treasury Bill(a) | 1.520% | 02/04/2020 | 02/04/2020 | 450,800,000 | 450,171,885 | |||||
U.S. Treasury Bill(a) | 1.521% | 02/06/2020 | 02/06/2020 | 160,000,000 | 159,740,405 | |||||
U.S. Treasury Bill(a) | 1.535% | 05/07/2020 | 05/07/2020 | 85,000,000 | 84,543,338 | |||||
U.S. Treasury Bill(a) | 1.540% | 05/21/2020 | 05/21/2020 | 250,000,000 | 248,496,545 | |||||
U.S. Treasury Bill(a) | 1.550% | 05/14/2020 | 05/14/2020 | 350,000,000 | 347,998,997 | |||||
U.S. Treasury Bill(a) | 1.580% | 05/28/2020 | 05/28/2020 | 250,000,000 | 248,387,083 | |||||
U.S. Treasury Bill(a) | 1.620% | 04/16/2020 | 04/16/2020 | 185,000,000 | 184,125,293 | |||||
U.S. Treasury Bill(a) | 1.680% | 04/09/2020 | 04/09/2020 | 70,000,000 | 69,679,322 | |||||
U.S. Treasury Bill(a) | 1.795% | 04/02/2020 | 04/02/2020 | 350,000,000 | 348,407,500 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/05/2020 | 03/05/2020 | 675,000,000 | 672,979,953 | |||||
U.S. Treasury Bill(a) | 1.825% | 03/12/2020 | 03/12/2020 | 250,000,000 | 249,112,240 | |||||
U.S. Treasury Bill(a) | 1.832% | 02/13/2020 | 02/13/2020 | 299,850,000 | 299,302,524 | |||||
U.S. Treasury Bill(a) | 1.840% | 01/02/2020 | 01/02/2020 | 200,618,300 | 200,618,300 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/20/2020 | 02/20/2020 | 665,000,000 | 663,479,367 | |||||
U.S. Treasury Bill(a) | 1.840% | 02/27/2020 | 02/27/2020 | 570,000,000 | 568,520,978 | |||||
U.S. Treasury Bill(a) | 1.860% | 03/26/2020 | 03/26/2020 | 400,000,000 | 398,264,000 | |||||
U.S. Treasury Bill(a) | 1.870% | 03/19/2020 | 03/19/2020 | 275,000,000 | 273,900,076 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/16/2020 | 01/16/2020 | 75,000,000 | 74,941,375 | |||||
U.S. Treasury Bill(a) | 2.010% | 01/23/2020 | 01/23/2020 | 100,000,000 | 99,882,400 | |||||
U.S. Treasury Bill(a) | 2.035% | 01/30/2020 | 01/30/2020 | 80,000,000 | 79,873,378 | |||||
U.S. Treasury Note, 3 Month USD MMY(b) | 1.526% | 01/01/2020 | 01/31/2020 | 965,200,000 | 965,190,438 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b) | 1.559% | 01/01/2020 | 04/30/2020 | 810,900,000 | 810,901,889 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 1.569% | 01/01/2020 | 07/31/2020 | 470,550,000 | 470,498,947 | |||||
U.S. Treasury Note(a) | 1.598% | 04/30/2020 | 04/30/2020 | 117,000,000 | 116,819,776 | |||||
U.S. Treasury Note(a) | 1.608% | 04/30/2020 | 04/30/2020 | 209,500,000 | 209,342,645 | |||||
U.S. Treasury Note(a) | 1.616% | 08/31/2020 | 08/31/2020 | 60,057,000 | 59,962,019 | |||||
U.S. Treasury Note(a) | 1.638% | 05/15/2020 | 05/15/2020 | 720,800,000 | 725,782,156 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 1.641% | 01/01/2020 | 01/31/2021 | 157,200,000 | 157,050,552 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 1.665% | 01/01/2020 | 04/30/2021 | 767,000,000 | 766,243,718 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 1.672% | 01/31/2020 | 10/31/2020 | 144,500,000 | 144,406,880 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 1.746% | 01/01/2020 | 07/31/2021 | 818,500,000 | 818,317,894 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 1.826% | 01/01/2020 | 10/31/2021 | 225,000,000 | 225,221,780 | |||||
U.S. Treasury Note(a) | 1.861% | 03/31/2020 | 03/31/2020 | 300,000,000 | 299,468,256 | |||||
U.S. Treasury Note(a) | 1.870% | 03/31/2020 | 03/31/2020 | 92,000,000 | 92,084,022 | |||||
U.S. Treasury Note(a) | 1.912% | 01/31/2020 | 01/31/2020 | 302,000,000 | 301,873,842 | |||||
TOTAL TREASURY DEBT | 13,355,143,219 | |||||||||
TREASURY REPURCHASE AGREEMENTS—38.6% | ||||||||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/23/2019 (collateralized by U.S. Treasury Bonds, 2.500% – 7.875% due 02/15/2021 – 05/15/2046, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, and U.S. Treasury Notes, 1.750% – 2.250% due 07/31/2021 – 08/15/2027, valued at $76,500,054); expected proceeds $75,063,750(c) | 1.700% | 01/10/2020 | 01/10/2020 | 75,000,000 | 75,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and U.S. Treasury Notes, 1.750% – 3.125% due 12/31/2026 – 11/15/2028, valued at $255,000,039); expected proceeds $250,021,528 | 1.550% | 01/02/2020 | 01/02/2020 | 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 Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Inflation Index Bonds, 2.125% – 3.375% due 01/15/2029 – 02/15/2040, and U.S. Treasury Notes, 1.750% – 2.875% due 10/15/2021 – 12/31/2026, valued at $1,020,000,090); expected proceeds $1,000,083,333 | 1.500% | 01/02/2020 | 01/02/2020 | $1,000,000,000 | $1,000,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2045, U.S. Treasury Inflation Index Notes, 0.375% due 07/15/2023 – 07/15/2025, and a U.S. Treasury Strip, 0.000% due 02/15/2037, valued at $79,560,000); expected proceeds $78,006,717 | 1.550% | 01/02/2020 | 01/02/2020 | 78,000,000 | 78,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.500% - 1.875% due 07/31/2022 – 09/30/2024, valued at $305,958,130); expected proceeds $300,026,167 | 1.570% | 01/02/2020 | 01/02/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.625% – 2.375% due 03/15/2022 – 02/15/2026, valued at $1,530,000,072); expected proceeds $1,500,129,167 | 1.550% | 01/02/2020 | 01/02/2020 | 1,500,000,000 | 1,500,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 2.625% – 2.875% due 06/30/2023 – 10/31/2023, valued at $863,177,731); expected proceeds $846,704,872 | 1.580% | 01/02/2020 | 01/02/2020 | 846,630,556 | 846,630,556 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/18/2020 – 05/14/2020, U.S. Treasury Notes, 1.500% – 3.000% due 07/31/2020 – 11/15/2029, and U.S. Treasury Strips, 0.000% due 11/15/2022 – 02/15/2029, valued at $678,300,007); expected proceeds $665,196,544 | 1.550% | 01/07/2020 | 01/02/2020 | 665,000,000 | 665,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Strip, 0.000% due 02/15/2023, valued at $7,140,000); expected proceeds $7,000,603 | 1.550% | 01/02/2020 | 01/02/2020 | 7,000,000 | 7,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/01/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/27/2020 – 08/13/2020, a U.S. Treasury Bond, 6.250% due 05/15/2030, a U.S. Treasury Inflation Index Note, 0.500% due 01/15/2028, and U.S. Treasury Notes, 1.250% – 1.625% due 06/30/2020 – 11/15/2022, valued at $178,500,001); expected proceeds $175,908,201(c) | 1.570% | 01/01/2020 | 02/28/2020 | 175,000,000 | 175,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.375% – 5.375% due 02/15/2031 – 11/15/2049, and a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $221,340,021); expected proceeds $217,018,686 | 1.550% | 01/02/2020 | 01/02/2020 | 217,000,000 | 217,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.000% due 11/15/2042 – 02/15/2049, and U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 07/15/2023 – 07/15/2028, valued at $258,060,069); expected proceeds $253,022,208 | 1.580% | 01/02/2020 | 01/02/2020 | 253,000,000 | 253,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.750% due 07/31/2022 – 02/15/2028, valued at $117,372,054); expected proceeds $115,141,194(c) | 1.700% | 01/15/2020 | 01/15/2020 | $115,000,000 | $115,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.375% – 2.750% due 07/31/2022 – 02/15/2028, valued at $329,488,431); expected proceeds $323,027,814 | 1.550% | 01/02/2020 | 01/02/2020 | 323,000,000 | 323,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 10/16/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $25,500,001); expected proceeds $25,115,000(c) | 1.800% | 01/16/2020 | 01/16/2020 | 25,000,000 | 25,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 11/13/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, 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 $142,800,000); expected proceeds $140,608,222(c) | 1.700% | 02/13/2020 | 03/23/2020 | 140,000,000 | 140,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, 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 $66,300,002); expected proceeds $65,288,528(c) | 1.700% | 03/23/2020 | 02/13/2020 | 65,000,000 | 65,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (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 $110,124,147); expected proceeds $107,913,341 | 1.600% | 01/02/2020 | 01/02/2020 | 107,903,750 | 107,903,750 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2027 – 05/15/2029, valued at $92,861,100); expected proceeds $90,758,067 | 1.600% | 01/02/2020 | 01/02/2020 | 90,750,000 | 90,750,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 01/16/2020 – 12/03/2020, U.S. Treasury Bonds, 2.875% – 4.375% due 05/15/2041 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.625% – 1.375% due 02/15/2043 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 04/15/2020 – 07/15/2027, and U.S. Treasury Notes, 1.250% – 2.875% due 01/31/2020 – 11/15/2027, valued at $510,000,059); expected proceeds $500,043,056 | 1.550% | 01/02/2020 | 01/02/2020 | 500,000,000 | 500,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/05/2020, U.S. Treasury Bonds, 2.875% – 6.250% due 05/15/2030 – 11/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 07/15/2025, and U.S. Treasury Notes, 1.375% – 2.875% due 05/31/2020 – 05/15/2028, valued at $833,340,049); expected proceeds $817,070,353 | 1.550% | 01/02/2020 | 01/02/2020 | 817,000,000 | 817,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 10/08/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 04/23/2020, U.S. Treasury Bonds, 2.250% – 4.750% due 02/15/2036 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 3.625% due 04/15/2028 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.250% – 0.375% due 07/15/2025 – 07/15/2029, and U.S. Treasury Notes, 1.125% – 2.875% due 03/31/2020 – 08/15/2028, valued at $102,000,000); expected proceeds $100,480,444(c) | 1.840% | 01/10/2020 | 01/10/2020 | $100,000,000 | $100,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 03/26/2020 – 05/21/2020, U.S. Treasury Bonds, 2.375% – 6.250% due 08/15/2023 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2025 – 02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2028, and U.S. Treasury Notes, 1.250% – 3.125% due 08/15/2020 – 08/15/2028, valued at $663,000,000); expected proceeds $650,055,972 | 1.550% | 01/02/2020 | 01/02/2020 | 650,000,000 | 650,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/20/2020 – 09/10/2020, U.S. Treasury Bonds, 2.250% – 8.750% due 05/15/2020 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2026 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 07/15/2020 – 01/15/2027, U.S. Treasury Notes, 1.125% – 3.500% due 01/15/2020 – 11/15/2026, and U.S. Treasury Strips, 0.000% due 02/15/2020 – 02/15/2029, valued at $153,000,058); expected proceeds $150,012,917 | 1.550% | 01/02/2020 | 01/02/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/02/2020, and U.S. Treasury Notes, 1.125% – 1.625% due 03/31/2020 – 10/31/2023, valued at $765,065,934); expected proceeds $750,064,583 | 1.550% | 01/02/2020 | 01/02/2020 | 750,000,000 | 750,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 9,200,284,306 | |||||||||
TOTAL INVESTMENTS –94.6% (d)(e) | 22,555,427,525 | |||||||||
Other Assets in Excess of Liabilities —5.4% | 1,279,507,246 | |||||||||
NET ASSETS –100.0% | $23,834,934,771 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $695,000,000 or 2.9% of net assets as of December 31, 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 | $13,355,143,219 |
Repurchase agreements, at value and amortized cost | 9,200,284,306 |
Total Investments | 22,555,427,525 |
Cash | 1,258,303,421 |
Interest receivable — unaffiliated issuers | 22,319,197 |
Other Receivable | 53,507 |
Prepaid expenses and other assets | 3,745 |
TOTAL ASSETS | 23,836,107,395 |
LIABILITIES | |
Advisory and administrator fee payable | 956,987 |
Custody, sub-administration and transfer agent fees payable | 150,836 |
Trustees’ fees and expenses payable | 3,751 |
Professional fees payable | 33,202 |
Printing fees payable | 23,377 |
Accrued expenses and other liabilities | 4,471 |
TOTAL LIABILITIES | 1,172,624 |
NET ASSETS | $23,834,934,771 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $404,652,212 |
EXPENSES | |
Advisory and administrator fee | 9,225,128 |
Custodian, sub-administrator and transfer agent fees | 2,376,885 |
Trustees’ fees and expenses | 304,376 |
Professional fees | 194,276 |
Printing and postage fees | 61,145 |
Insurance expense | 7,123 |
Miscellaneous expenses | 26,725 |
TOTAL EXPENSES | 12,195,658 |
NET INVESTMENT INCOME (LOSS) | $392,456,554 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (7,190) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $392,449,364 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $392,456,554 | $250,070,855 | |
Net realized gain (loss) | (7,190) | 1,950 | |
Net increase (decrease) in net assets resulting from operations | 392,449,364 | 250,072,805 | |
CAPITAL TRANSACTIONS | |||
Contributions | 62,686,916,978 | 39,817,102,235 | |
Withdrawals | (56,691,696,503) | (36,800,190,630) | |
Net increase (decrease) in net assets from capital transactions | 5,995,220,475 | 3,016,911,605 | |
Net increase (decrease) in net assets during the period | 6,387,669,839 | 3,266,984,410 | |
Net assets at beginning of period | 17,447,264,932 | 14,180,280,522 | |
NET ASSETS AT END OF PERIOD | $23,834,934,771 | $17,447,264,932 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Total return (a) | 2.19% | 1.82% | 0.82% | 0.23% | (0.01)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 2.13% | 1.79% | 0.84% | 0.27% | (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. |
February 27, 2020
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% | $1,009.90 | $0.35 | $1,024.90 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 All Cap Equity ex- U.S. Index Fund (formerly, 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 All Cap Equity ex- U.S. Index Portfolio (formerly, State Street Global Equity ex-U.S. Index Portfolio) |
State Street Small/Mid Cap Equity Index Portfolio |
Management’s Discussion of Fund Performance & Performance Summaries | |
1 | |
3 | |
5 | |
7 | |
11 | |
Portfolio Statistics (Unaudited) | |
20 | |
21 | |
22 | |
Schedules of Investments | |
23 | |
71 | |
120 | |
148 | |
151 | |
154 | |
166 | |
168 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Aggregate Bond Index Fund Class A | 8.27% | 2.57% | 2.79% | ||
State Street Aggregate Bond Index Fund Class I | 8.55% | 2.88% | 3.07% | ||
State Street Aggregate Bond Index Fund Class K | 8.57% | 2.87% | 3.10% | ||
Bloomberg Barclays U.S. Aggregate Index(1) | 8.72% | 3.05% | 3.28% | ||
* | Inception date is September 19, 2014. |
(1) | The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Global All Cap Equity ex- U.S. Index Fund Class A | 21.01% | 5.22% | 3.32% | ||
State Street Global All Cap Equity ex- U.S. Index Fund Class I | 21.24% | 5.47% | 3.56% | ||
State Street Global All Cap Equity ex- U.S. Index Fund Class K | 21.49% | 5.57% | 3.66% | ||
MSCI ACWI ex USA Investable Market Index (the “New Index”)(1), (2) | 21.68% | 5.53% | 3.78% | ||
* | Inception date is September 17, 2014. |
(1) | The MSCI ACWI ex-USA Investable Market Index is a float-adjusted market capitalization index that is designed to measure the combined equity market performance of developed and emerging market countries excluding the United States. Index returns are net of dividend withholding taxes. |
(2) | Returns shown are reflective of the MSCI ACWI ex USA Investable Market Index for periods beginning on October 9, 2019 and the MSCI ACWI ex USA Index for periods prior to October 9, 2019. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Small/Mid Cap Equity Index Fund Class A | 27.42% | 10.91% | ||
State Street Small/Mid Cap Equity Index Fund Class I | 27.70% | 11.19% | ||
State Street Small/Mid Cap Equity Index Fund Class K | 27.84% | 9.59% | ||
Russell Small Cap Completeness Index(1) | 28.04% | 9.67% | ||
* | Inception date is October 16, 2015 for Class A and Class I and inception date is August 12, 2015 for Class K and the date used for the Russell Small Cap Completeness Index return. |
(1) | The Russell Small Cap Completeness Index is a float-adjusted, market capitalization index which measures the performance of the Russell 3000® Index companies excluding S&P 500® constituents. The Index is constructed to provide a comprehensive and unbiased barometer of the extended broad market beyond the S&P 500 exposure. The Index is completely reconstituted annually. |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||
ASSETS | |||||
Investment in corresponding affiliated Portfolio, at value* | $237,098,644 | $431,248,589 | $106,245,391 | ||
Cash | 67 | — | — | ||
Receivable for investments sold | — | 275,853 | 70,044 | ||
Receivable for fund shares sold | 234,359 | 164,672 | 669,628 | ||
Receivable from Adviser | 51,961 | 328,562 | 26,056 | ||
Prepaid expenses and other assets | 474 | 839 | 224 | ||
TOTAL ASSETS | 237,385,505 | 432,018,515 | 107,011,343 | ||
LIABILITIES | |||||
Payable for investments purchased | 54,644 | — | — | ||
Payable for fund shares repurchased | 175,205 | 435,998 | 725,166 | ||
Advisory fee payable | 5,447 | 19,193 | 2,671 | ||
Custodian fees payable | 3,501 | 3,227 | 3,232 | ||
Administration fees payable | 10,895 | 15,995 | 4,452 | ||
Distribution fees payable | 3,993 | 1,467 | 4,537 | ||
Transfer agent fees payable | 6,671 | 9,756 | 5,146 | ||
Sub-transfer agent fee payable | 13,703 | 3,139 | 15,858 | ||
Registration and filing fees payable | 11,580 | — | 4,984 | ||
Professional fees payable | 9,603 | 9,603 | 9,603 | ||
Printing and postage fees payable | 2,191 | 5,677 | 1,913 | ||
Accrued expenses and other liabilities | 480 | 255,147 | 398 | ||
TOTAL LIABILITIES | 297,913 | 759,202 | 777,960 | ||
NET ASSETS | $237,087,592 | $431,259,313 | $106,233,383 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $232,647,534 | $416,771,501 | $101,633,736 | ||
Total distributable earnings (loss) | 4,440,058 | 14,487,812 | 4,599,647 | ||
NET ASSETS | $237,087,592 | $431,259,313 | $106,233,383 | ||
Class A | |||||
Net Assets | $19,324,969 | $7,104,044 | $22,036,595 | ||
Shares Outstanding | 1,912,203 | 724,731 | 1,739,516 | ||
Net asset value, offering and redemption price per share | $10.11 | $9.80 | $12.67 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $10.50 | $10.34 | $13.37 | ||
Class I | |||||
Net Assets | $7,273,180 | $738,743 | $6,312,205 | ||
Shares Outstanding | 721,525 | 75,294 | 498,221 | ||
Net asset value, offering and redemption price per share | $10.08 | $9.81 | $12.67 | ||
Class K | |||||
Net Assets | $210,489,443 | $423,416,526 | $77,884,583 | ||
Shares Outstanding | 20,879,297 | 43,107,524 | 6,145,509 | ||
Net asset value, offering and redemption price per share | $10.08 | $9.82 | $12.67 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $231,981,592 | $415,104,979 | $103,524,346 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $1,771 | $76 | $28 | ||
Dividend income from corresponding affiliated Portfolio | 5,609,265 | 12,389,156 | 1,800,067 | ||
TOTAL INVESTMENT INCOME (LOSS) | 5,611,036 | 12,389,232 | 1,800,095 | ||
EXPENSES | |||||
Advisory fee | 47,045 | 236,971 | 24,694 | ||
Administration fees | 94,091 | 197,476 | 41,157 | ||
Sub-transfer agent fee | |||||
Class A | 7,927 | 10,031 | 31,898 | ||
Class I | 9,620 | 762 | 7,480 | ||
Distribution fees | |||||
Class A | 9,823 | 13,032 | 40,623 | ||
Custodian fees | 39,949 | 38,883 | 38,870 | ||
Trustees’ fees and expenses | 18,000 | 18,000 | 18,000 | ||
Transfer agent fees | 95,127 | 85,014 | 36,356 | ||
Registration and filing fees | 70,504 | 54,334 | 56,931 | ||
Professional fees and expenses | 50,688 | 50,688 | 50,088 | ||
Printing and postage fees | 10,826 | 21,544 | 7,780 | ||
Insurance expense | 797 | 2,156 | 317 | ||
Miscellaneous expenses | 6,151 | 362,081 | 5,586 | ||
TOTAL EXPENSES | 460,548 | 1,090,972 | 359,780 | ||
Expenses waived/reimbursed by the Adviser | (386,133) | (1,027,149) | (242,738) | ||
NET EXPENSES | 74,415 | 63,823 | 117,042 | ||
NET INVESTMENT INCOME (LOSS) | $5,536,621 | $12,325,409 | $1,683,053 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | 90,763 | 7,849,558 | 1,747,674 | ||
Capital gain distributions from corresponding affiliated Portfolio | — | — | 1,943,429 | ||
Net realized gain (loss) | 90,763 | 7,849,558 | 3,691,103 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | 8,264,351 | 55,075,154 | 12,029,745 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 8,355,114 | 62,924,712 | 15,720,848 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $13,891,735 | $75,250,121 | $17,403,901 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $5,536,621 | $3,313,604 | $12,325,409 | $11,853,723 | $1,683,053 | $851,141 | |||||
Net realized gain (loss) | 90,763 | (716,389) | 7,849,558 | 7,670,457 | 3,691,103 | 2,964,458 | |||||
Net change in unrealized appreciation/depreciation | 8,264,351 | (2,180,624) | 55,075,154 | (87,372,839) | 12,029,745 | (11,405,264) | |||||
Net increase (decrease) in net assets resulting from operations | 13,891,735 | 416,591 | 75,250,121 | (67,848,659) | 17,403,901 | (7,589,665) | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (122,467) | (15,298) | (295,877) | (239,408) | (1,084,071) | (291,904) | |||||
Class I | (278,785) | (292,330) | (33,133) | (61,342) | (337,036) | (180,583) | |||||
Class K | (5,103,124) | (3,009,769) | (19,410,272) | (31,433,325) | (4,269,044) | (1,357,502) | |||||
Total distributions to shareholders | (5,504,376) | (3,317,397) | (19,739,282) | (31,734,075) | (5,690,151) | (1,829,989) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 19,325,795 | 956,614 | 3,514,321 | 3,431,591 | 15,166,292 | 11,154,832 | |||||
Reinvestment of distributions | 120,008 | 15,113 | 295,877 | 239,408 | 1,078,801 | 291,840 | |||||
Cost of shares redeemed | (1,270,756) | (185,045) | (967,350) | (258,352) | (5,644,151) | (1,528,358) | |||||
Net increase (decrease) from capital share transactions | 18,175,047 | 786,682 | 2,842,848 | 3,412,647 | 10,600,942 | 9,918,314 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 652,191 | 1,295,351 | 199,110 | 27,666 | 1,143,157 | 1,881,040 | |||||
Reinvestment of distributions | 79,075 | 102,198 | 33,133 | 61,342 | 337,036 | 180,583 | |||||
Cost of shares redeemed | (4,693,496) | (1,294,529) | (229,932) | (246,039) | (1,258,349) | (362,509) | |||||
Net increase (decrease) from capital share transactions | (3,962,230) | 103,020 | 2,311 | (157,031) | 221,844 | 1,699,114 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 109,961,561 | 46,337,876 | 164,108,478 | 97,730,912 | 53,522,034 | 28,553,804 | |||||
Reinvestment of distributions | 5,100,827 | 3,009,769 | 19,257,505 | 31,214,470 | 4,221,079 | 1,332,147 | |||||
Cost of shares redeemed | (40,110,624) | (16,266,407) | (247,782,361) | (53,791,160) | (26,552,849) | (3,449,083) | |||||
Net increase (decrease) from capital share transactions | 74,951,764 | 33,081,238 | (64,416,378) | 75,154,222 | 31,190,264 | 26,436,868 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 89,164,581 | 33,970,940 | (61,571,219) | 78,409,838 | 42,013,050 | 38,054,296 | |||||
Net increase (decrease) in net assets during the period | 97,551,940 | 31,070,134 | (6,060,380) | (21,172,896) | 53,726,800 | 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 | $237,087,592 | $139,535,652 | $431,259,313 | $437,319,693 | $106,233,383 | $52,506,583 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 1,912,418 | 100,646 | 372,149 | 336,001 | 1,227,973 | 897,673 | |||||
Reinvestment of distributions | 11,900 | 1,594 | 30,099 | 28,604 | 85,012 | 28,251 | |||||
Shares redeemed | (129,489) | (19,456) | (103,068) | (25,912) | (459,068) | (123,003) | |||||
Net increase (decrease) from share transactions | 1,794,829 | 82,784 | 299,180 | 338,693 | 853,917 | 802,921 | |||||
Class I | |||||||||||
Shares sold | 66,452 | 136,002 | 21,133 | 2,568 | 94,907 | 148,991 | |||||
Reinvestment of distributions | 8,007 | 10,740 | 3,367 | 7,321 | 26,559 | 17,481 | |||||
Shares redeemed | (462,110) | (135,738) | (24,241) | (28,500) | (104,186) | (31,541) | |||||
Net increase (decrease) from share transactions | (387,651) | 11,004 | 259 | (18,611) | 17,280 | 134,931 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | ||||||
Class K | |||||||||||
Shares sold | 10,977,453 | 4,879,259 | 16,843,468 | 9,921,926 | 4,293,661 | 2,229,951 | |||||
Reinvestment of distributions | 510,673 | 316,549 | 1,955,077 | 3,720,438 | 332,630 | 128,959 | |||||
Shares redeemed | (3,995,607) | (1,704,883) | (26,815,306) | (5,266,494) | (2,126,545) | (281,909) | |||||
Net increase (decrease) from share transactions | 7,492,519 | 3,490,925 | (8,016,761) | 8,375,870 | 2,499,746 | 2,077,001 |
Class A | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $9.55 | $9.82 | $9.75 | $9.75 | $10.14 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.34 | 0.26 | 0.21 | 0.16 | 0.21 | ||||
Net realized and unrealized gain (loss) | 0.44 | (0.30) | 0.08 | 0.03 | (0.18) | ||||
Total from investment operations | 0.78 | (0.04) | 0.29 | 0.19 | 0.03 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.23) | (0.21) | (0.18) | (0.26) | ||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | ||||
Return of Capital | — | — | — | — | (0.02) | ||||
Total distributions | (0.22) | (0.23) | (0.22) | (0.19) | (0.42) | ||||
Net asset value, end of period | $10.11 | $9.55 | $9.82 | $9.75 | $9.75 | ||||
Total return (b) | 8.27% | (0.39)% | 2.93% | 1.91% | 0.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $19,325 | $1,121 | $340 | $211 | $184 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.68% | 0.55% | 0.58% | 0.67% | 0.66% | ||||
Net expenses (c) | 0.48% | 0.31% | 0.40% | 0.40% | 0.31% | ||||
Net investment income (loss) | 3.45% | 2.74% | 2.11% | 1.65% | 2.11% | ||||
Portfolio turnover rate (d) | 69% | 90% | 99% | 194% | 62%(e) |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
(e) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $9.55 | $9.84 | $9.76 | $9.74 | $10.13 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.27 | 0.27 | 0.23 | 0.18 | 0.20 | ||||
Net realized and unrealized gain (loss) | 0.54 | (0.29) | 0.09 | 0.06 | (0.14) | ||||
Total from investment operations | 0.81 | (0.02) | 0.32 | 0.24 | 0.06 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.27) | (0.23) | (0.21) | (0.29) | ||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | ||||
Return of Capital | — | — | — | — | (0.02) | ||||
Total distributions | (0.28) | (0.27) | (0.24) | (0.22) | (0.45) | ||||
Net asset value, end of period | $10.08 | $9.55 | $9.84 | $9.76 | $9.74 | ||||
Total return (b) | 8.55% | (0.20)% | 3.29% | 2.37% | 0.60% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $7,273 | $10,598 | $10,807 | $12,370 | $4,508 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.32% | 0.27% | 0.26% | 0.33% | 0.41% | ||||
Net expenses (c) | 0.12% | 0.04% | 0.08% | 0.06% | 0.06% | ||||
Net investment income (loss) | 2.73% | 2.78% | 2.30% | 1.83% | 1.95% | ||||
Portfolio turnover rate (d) | 69% | 90% | 99% | 194% | 62%(e) |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
(e) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $9.55 | $9.83 | $9.75 | $9.74 | $10.14 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.27 | 0.23 | 0.20 | 0.20 | ||||
Net realized and unrealized gain (loss) | 0.52 | (0.28) | 0.09 | 0.03 | (0.15) | ||||
Total from investment operations | 0.81 | (0.01) | 0.32 | 0.23 | 0.05 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.27) | (0.23) | (0.21) | (0.29) | ||||
Net realized gains | — | — | (0.01) | (0.01) | (0.14) | ||||
Return of Capital | — | — | — | — | (0.02) | ||||
Total distributions | (0.28) | (0.27) | (0.24) | (0.22) | (0.45) | ||||
Net asset value, end of period | $10.08 | $9.55 | $9.83 | $9.75 | $9.74 | ||||
Total return (b) | 8.57% | (0.10)% | 3.30% | 2.27% | 0.54% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $210,489 | $127,817 | $97,318 | $76,429 | $49,641 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.23% | 0.27% | 0.26% | 0.33% | 0.41% | ||||
Net expenses (c) | 0.03% | 0.04% | 0.08% | 0.06% | 0.06% | ||||
Net investment income (loss) | 2.94% | 2.83% | 2.37% | 1.98% | 1.88% | ||||
Portfolio turnover rate (d) | 69% | 90% | 99% | 194% | 62%(e) |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
(e) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class A | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.36 | 0.08 | 0.31 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.45 | (1.90) | 2.25 | 0.09 | (0.71) | ||||
Total from investment operations | 1.77 | (1.54) | 2.33 | 0.40 | (0.56) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.23) | (0.26) | (0.11) | (0.16) | ||||
Net realized gains | (0.18) | (0.44) | (0.14) | — | — | ||||
Total distributions | (0.43) | (0.67) | (0.40) | (0.11) | (0.16) | ||||
Net asset value, end of period | $9.80 | $8.46 | $10.67 | $8.74 | $8.45 | ||||
Total return (b) | 21.01% | (14.38)% | 26.68% | 4.75% | (6.17)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $7,104 | $3,599 | $927 | $1,564 | $42 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.71% | 0.57% | 0.53% | 0.58% | 0.70% | ||||
Net expenses (c) | 0.45% | 0.42% | 0.44% | 0.42% | 0.32% | ||||
Net investment income (loss) | 3.44% | 3.59% | 0.79% | 3.51% | 1.64% | ||||
Portfolio turnover rate (d) | 28% | 4% | 2% | 8% | 3% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $8.46 | $10.67 | $8.74 | $8.45 | $9.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.27 | 0.23 | 0.21 | 0.17 | 0.18 | ||||
Net realized and unrealized gain (loss) | 1.54 | (1.76) | 2.14 | 0.25 | (0.72) | ||||
Total from investment operations | 1.81 | (1.53) | 2.35 | 0.42 | (0.54) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.24) | (0.28) | (0.13) | (0.18) | ||||
Net realized gains | (0.18) | (0.44) | (0.14) | — | — | ||||
Total distributions | (0.46) | (0.68) | (0.42) | (0.13) | (0.18) | ||||
Net asset value, end of period | $9.81 | $8.46 | $10.67 | $8.74 | $8.45 | ||||
Total return (b) | 21.24% | (14.18)% | 27.00% | 5.02% | (5.94)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $739 | $635 | $999 | $501 | $42 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.38% | 0.43% | 0.23% | 0.32% | 0.45% | ||||
Net expenses (c) | 0.12% | 0.30% | 0.15% | 0.16% | 0.06% | ||||
Net investment income (loss) | 2.90% | 2.27% | 2.12% | 2.01% | 1.89% | ||||
Portfolio turnover rate (d) | 28% | 4% | 2% | 8% | 3% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $8.47 | $10.68 | $8.74 | $8.45 | $9.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.26 | 0.32 | 0.20 | 0.24 | ||||
Net realized and unrealized gain (loss) | 1.54 | (1.77) | 2.04 | 0.22 | (0.78) | ||||
Total from investment operations | 1.83 | (1.51) | 2.36 | 0.42 | (0.54) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.28) | (0.13) | (0.18) | ||||
Net realized gains | (0.18) | (0.44) | (0.14) | — | — | ||||
Total distributions | (0.48) | (0.70) | (0.42) | (0.13) | (0.18) | ||||
Net asset value, end of period | $9.82 | $8.47 | $10.68 | $8.74 | $8.45 | ||||
Total return (b) | 21.49% | (14.03)% | 27.11% | 5.02% | (5.94)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $423,417 | $433,086 | $456,567 | $222,297 | $57,219 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.27% | 0.18% | 0.18% | 0.23% | 0.45% | ||||
Net expenses (c) | 0.01% | 0.05% | 0.10% | 0.07% | 0.06% | ||||
Net investment income (loss) | 3.12% | 2.57% | 3.16% | 2.28% | 2.59% | ||||
Portfolio turnover rate (d) | 28% | 4% | 2% | 8% | 3% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class A | |||||||||
Year Ended 12/31/19 | 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) | 0.22 | 0.32 | 0.53 | 0.07 | 0.05 | ||||
Net realized and unrealized gain (loss) | 2.65 | (1.45) | 1.37 | 1.41 | (0.69) | ||||
Total from investment operations | 2.87 | (1.13) | 1.90 | 1.48 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.15) | (0.25) | (0.11) | (0.06) | ||||
Net realized gains | (0.44) | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | (0.67) | (0.35) | (0.62) | (0.11) | (0.06) | ||||
Net asset value, end of period | $12.67 | $10.47 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 27.42% | (9.35)% | 17.87% | 15.67% | (6.27)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $22,037 | $9,274 | $988 | $114 | $97 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.79% | 0.80% | 1.10% | 2.48% | 5.08%(e) | ||||
Net expenses (d) | 0.49% | 0.29% | 0.35% | 0.30% | 0.30%(e) | ||||
Net investment income (loss) | 1.76% | 2.65% | 4.60% | 0.69% | 2.55%(e) | ||||
Portfolio turnover rate (f) | 51% | 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 | |||||||||
Year Ended 12/31/19 | 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) | 0.19 | 0.20 | 0.40 | 0.14 | 0.06 | ||||
Net realized and unrealized gain (loss) | 2.72 | (1.29) | 1.53 | 1.37 | (0.70) | ||||
Total from investment operations | 2.91 | (1.09) | 1.93 | 1.51 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.18) | (0.28) | (0.14) | (0.06) | ||||
Net realized gains | (0.44) | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | (0.72) | (0.38) | (0.65) | (0.14) | (0.06) | ||||
Net asset value, end of period | $12.67 | $10.48 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 27.70% | (9.07)% | 18.16% | 15.96% | (6.18)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $6,312 | $5,038 | $4,135 | $297 | $97 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.46% | 0.61% | 0.90% | 2.22% | 4.83%(e) | ||||
Net expenses (d) | 0.17% | 0.07% | 0.11% | 0.05% | 0.05%(e) | ||||
Net investment income (loss) | 1.58% | 1.58% | 3.42% | 1.42% | 2.80%(e) | ||||
Portfolio turnover rate (f) | 51% | 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 | |||||||||
Year Ended 12/31/19 | 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) | 0.27 | 0.29 | 0.15 | 0.15 | 0.06 | ||||
Net realized and unrealized gain (loss) | 2.65 | (1.38) | 1.78 | 1.36 | (0.70) | ||||
Total from investment operations | 2.92 | (1.09) | 1.93 | 1.51 | (0.64) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.18) | (0.28) | (0.14) | (0.06) | ||||
Net realized gains | (0.44) | (0.20) | (0.37) | (0.00)(b) | — | ||||
Total distributions | (0.73) | (0.38) | (0.65) | (0.14) | (0.06) | ||||
Net asset value, end of period | $12.67 | $10.48 | $11.95 | $10.67 | $9.30 | ||||
Total return (c) | 27.84% | (9.03)% | 18.16% | 16.21% | (6.38)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $77,885 | $38,195 | $18,750 | $14,098 | $3,930 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.34% | 0.55% | 0.96% | 2.21% | 4.71%(e) | ||||
Net expenses (d) | 0.05% | 0.04% | 0.05% | 0.05% | 0.05%(e) | ||||
Net investment income (loss) | 2.17% | 2.37% | 1.29% | 1.51% | 1.49%(e) | ||||
Portfolio turnover rate (f) | 51% | 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 | 37.3% | ||
U.S. Government Agency Obligations | 29.4 | ||
Corporate Bonds & Notes | 26.1 | ||
Foreign Government Obligations | 4.1 | ||
Mortgage-Backed Securities | 1.3 | ||
Municipal Bonds & Notes | 0.6 | ||
Asset-Backed Securities | 0.4 | ||
Short-Term Investments | 5.0 | ||
Liabilities in Excess of Other Assets | (4.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.4% | ||
Electric | 1.8 | ||
Pharmaceuticals | 1.8 | ||
Oil & Gas | 1.6 | ||
Telecommunications | 1.2 | ||
TOTAL | 11.8% |
% of Net Assets | |||
Common Stocks | 95.9 *% | ||
Warrants | 0.0 * | ||
Rights | 0.0 | ||
Short-Term Investments | 6.9 | ||
Liabilities in Excess of Other Assets | (2.8) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Banks | 11.2% | ||
Pharmaceuticals | 5.6 | ||
Oil & Gas | 5.0 | ||
Insurance | 4.7 | ||
Food | 3.8 | ||
TOTAL | 30.3% |
% of Net Assets | |||
Common Stocks | 97.1% | ||
Rights | 0.0 * | ||
Short-Term Investments | 8.4 | ||
Liabilities in Excess of Other Assets | (5.5) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Equity Real Estate Investment Trusts (REITs) | 8.7% | ||
Software | 7.9 | ||
Banks | 6.3 | ||
Biotechnology | 5.3 | ||
Insurance | 3.8 | ||
TOTAL | 32.0% |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 26.1% | |||||
ADVERTISING — 0.0% (a) | |||||
Interpublic Group of Cos., Inc.: | |||||
3.75%, 10/1/2021 | $260,000 | $267,142 | |||
4.20%, 4/15/2024 | 25,000 | 26,899 | |||
4.65%, 10/1/2028 | 10,000 | 11,255 | |||
5.40%, 10/1/2048 | 25,000 | 30,652 | |||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 105,732 | |||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 25,919 | |||
467,599 | |||||
AEROSPACE & DEFENSE — 0.6% | |||||
Boeing Co.: | |||||
2.30%, 8/1/2021 | 30,000 | 30,167 | |||
2.60%, 10/30/2025 | 35,000 | 35,469 | |||
2.80%, 3/1/2023 | 25,000 | 25,489 | |||
2.95%, 2/1/2030 | 50,000 | 51,028 | |||
3.25%, 3/1/2028 | 25,000 | 26,057 | |||
3.38%, 6/15/2046 | 25,000 | 24,680 | |||
3.50%, 3/1/2039 | 250,000 | 257,565 | |||
3.55%, 3/1/2038 | 165,000 | 171,715 | |||
3.65%, 3/1/2047 | 100,000 | 102,409 | |||
3.75%, 2/1/2050 | 50,000 | 53,165 | |||
3.83%, 3/1/2059 | 250,000 | 258,385 | |||
Embraer Netherlands Finance B.V. 5.05%, 6/15/2025 | 50,000 | 54,865 | |||
General Dynamics Corp.: | |||||
2.25%, 11/15/2022 | 25,000 | 25,309 | |||
2.38%, 11/15/2024 | 250,000 | 254,870 | |||
3.75%, 5/15/2028 | 250,000 | 275,335 | |||
L3Harris Technologies, Inc.: | |||||
2.90%, 12/15/2029 | 15,000 | 15,202 | |||
3.83%, 4/27/2025 | 50,000 | 53,350 | |||
3.85%, 6/15/2023 (b) | 70,000 | 73,718 | |||
3.85%, 12/15/2026 (b) | 50,000 | 53,536 | |||
4.40%, 6/15/2028 | 100,000 | 111,510 | |||
4.95%, 2/15/2021 (b) | 25,000 | 25,607 | |||
Lockheed Martin Corp.: | |||||
3.55%, 1/15/2026 | 100,000 | 107,321 | |||
3.60%, 3/1/2035 | 50,000 | 54,684 | |||
4.70%, 5/15/2046 | 110,000 | 139,571 | |||
Northrop Grumman Corp.: | |||||
2.55%, 10/15/2022 | 150,000 | 152,255 | |||
2.93%, 1/15/2025 | 150,000 | 154,579 | |||
3.25%, 8/1/2023 | 200,000 | 208,024 | |||
3.25%, 1/15/2028 | 150,000 | 156,474 | |||
4.03%, 10/15/2047 | 100,000 | 111,622 | |||
4.75%, 6/1/2043 | 25,000 | 30,153 | |||
Raytheon Co. 4.20%, 12/15/2044 | 25,000 | 29,134 |
Security Description | Principal Amount | Value | |||
Rockwell Collins, Inc.: | |||||
2.80%, 3/15/2022 | $200,000 | $203,398 | |||
3.50%, 3/15/2027 | 136,000 | 144,624 | |||
4.35%, 4/15/2047 | 100,000 | 117,083 | |||
United Technologies Corp.: | |||||
1.95%, 11/1/2021 | 150,000 | 150,258 | |||
2.65%, 11/1/2026 | 50,000 | 51,263 | |||
2.80%, 5/4/2024 | 250,000 | 256,967 | |||
3.13%, 5/4/2027 | 200,000 | 209,576 | |||
3.35%, 8/16/2021 | 515,000 | 527,381 | |||
3.65%, 8/16/2023 | 340,000 | 358,557 | |||
3.95%, 8/16/2025 | 275,000 | 300,077 | |||
4.13%, 11/16/2028 | 60,000 | 67,546 | |||
4.45%, 11/16/2038 | 20,000 | 23,639 | |||
4.50%, 6/1/2042 | 100,000 | 120,029 | |||
4.63%, 11/16/2048 | 35,000 | 43,793 | |||
6.13%, 7/15/2038 | 50,000 | 69,661 | |||
5,767,100 | |||||
AGRICULTURE — 0.3% | |||||
Altria Group, Inc.: | |||||
2.85%, 8/9/2022 | 200,000 | 203,744 | |||
3.49%, 2/14/2022 | 15,000 | 15,441 | |||
3.80%, 2/14/2024 | 40,000 | 42,104 | |||
3.88%, 9/16/2046 | 100,000 | 93,553 | |||
4.00%, 1/31/2024 | 25,000 | 26,512 | |||
4.40%, 2/14/2026 | 225,000 | 244,314 | |||
4.50%, 5/2/2043 | 25,000 | 25,455 | |||
4.80%, 2/14/2029 | 40,000 | 44,532 | |||
5.80%, 2/14/2039 | 285,000 | 334,829 | |||
5.95%, 2/14/2049 | 75,000 | 90,850 | |||
6.20%, 2/14/2059 | 15,000 | 17,940 | |||
Archer-Daniels-Midland Co.: | |||||
3.38%, 3/15/2022 | 60,000 | 61,837 | |||
3.75%, 9/15/2047 | 50,000 | 54,323 | |||
4.02%, 4/16/2043 | 50,000 | 55,777 | |||
BAT Capital Corp.: | |||||
2.76%, 8/15/2022 | 100,000 | 101,493 | |||
2.79%, 9/6/2024 | 70,000 | 70,479 | |||
3.22%, 8/15/2024 | 50,000 | 51,144 | |||
3.22%, 9/6/2026 | 100,000 | 100,707 | |||
3.46%, 9/6/2029 | 100,000 | 101,320 | |||
3.56%, 8/15/2027 | 100,000 | 102,210 | |||
4.39%, 8/15/2037 | 100,000 | 101,534 | |||
4.54%, 8/15/2047 | 105,000 | 105,424 | |||
4.76%, 9/6/2049 (c) | 100,000 | 103,428 | |||
Bunge, Ltd. Finance Corp.: | |||||
3.75%, 9/25/2027 | 30,000 | 30,677 | |||
4.35%, 3/15/2024 | 100,000 | 105,276 | |||
Philip Morris International, Inc.: | |||||
2.13%, 5/10/2023 (c) | 75,000 | 75,206 | |||
2.63%, 2/18/2022 | 25,000 | 25,329 | |||
2.75%, 2/25/2026 | 125,000 | 127,007 | |||
3.13%, 3/2/2028 | 200,000 | 205,984 | |||
4.13%, 3/4/2043 | 25,000 | 26,984 | |||
4.25%, 11/10/2044 | 250,000 | 277,225 |
Security Description | Principal Amount | Value | |||
4.50%, 3/20/2042 | $50,000 | $56,594 | |||
Reynolds American, Inc.: | |||||
4.00%, 6/12/2022 | 50,000 | 52,071 | |||
5.70%, 8/15/2035 | 25,000 | 28,935 | |||
5.85%, 8/15/2045 | 175,000 | 200,354 | |||
3,360,592 | |||||
AIRLINES — 0.1% | |||||
American Airlines 2014-1 Pass Through Trust Series A, 3.70%, 4/1/2028 | 18,163 | 19,048 | |||
American Airlines 2017-2 Pass Through Trust Series AA, 3.35%, 4/15/2031 | 91,882 | 93,556 | |||
American Airlines 2019-1 Pass Through Trust Series AA, 3.15%, 8/15/2033 | 75,000 | 76,800 | |||
Delta Air Lines, Inc. 3.63%, 3/15/2022 | 100,000 | 102,480 | |||
United Airlines 2016-1 Pass Through Trust Series AA, 3.10%, 1/7/2030 | 44,723 | 45,624 | |||
United Airlines 2018-1 Pass Through Trust Series AA, 3.50%, 9/1/2031 | 110,148 | 114,549 | |||
United Airlines 2019-1 Pass Through Trust Series AA, 4.15%, 2/25/2033 | 72,627 | 78,368 | |||
United Airlines 2019-2 Pass Through Trust Series AA, 2.70%, 11/1/2033 | 65,000 | 65,268 | |||
595,693 | |||||
APPAREL — 0.0% (a) | |||||
NIKE, Inc.: | |||||
2.38%, 11/1/2026 | 50,000 | 50,836 | |||
3.88%, 11/1/2045 | 30,000 | 34,205 | |||
Ralph Lauren Corp. 3.75%, 9/15/2025 | 25,000 | 26,937 | |||
111,978 | |||||
AUTO MANUFACTURERS — 0.6% | |||||
American Honda Finance Corp.: | |||||
1.95%, 5/20/2022 (c) | 65,000 | 65,174 | |||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 100,080 | |||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 51,501 | |||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 316,725 | |||
Ford Motor Co.: | |||||
4.35%, 12/8/2026 (c) | 100,000 | 102,996 | |||
4.75%, 1/15/2043 | 50,000 | 44,457 | |||
5.29%, 12/8/2046 | 100,000 | 95,053 | |||
Ford Motor Credit Co. LLC: | |||||
2.98%, 8/3/2022 | 200,000 | 200,172 | |||
3.10%, 5/4/2023 | 100,000 | 99,755 |
Security Description | Principal Amount | Value | |||
3.34%, 3/18/2021 | $150,000 | $151,048 | |||
3.82%, 11/2/2027 | 250,000 | 241,640 | |||
4.06%, 11/1/2024 | 250,000 | 255,285 | |||
5.60%, 1/7/2022 | 600,000 | 631,644 | |||
Series GMTN, 4.39%, 1/8/2026 | 100,000 | 101,765 | |||
General Motors Co.: | |||||
5.15%, 4/1/2038 | 200,000 | 206,560 | |||
5.20%, 4/1/2045 | 200,000 | 202,232 | |||
6.60%, 4/1/2036 | 100,000 | 117,943 | |||
6.75%, 4/1/2046 | 25,000 | 29,372 | |||
General Motors Financial Co., Inc.: | |||||
3.15%, 6/30/2022 | 250,000 | 254,762 | |||
3.20%, 7/6/2021 | 100,000 | 101,307 | |||
3.45%, 1/14/2022 | 50,000 | 51,103 | |||
3.55%, 7/8/2022 | 50,000 | 51,485 | |||
3.70%, 5/9/2023 | 100,000 | 103,227 | |||
3.95%, 4/13/2024 | 150,000 | 156,703 | |||
4.00%, 1/15/2025 | 35,000 | 36,742 | |||
4.15%, 6/19/2023 | 200,000 | 210,230 | |||
4.20%, 11/6/2021 | 250,000 | 258,957 | |||
4.35%, 1/17/2027 | 185,000 | 193,832 | |||
5.25%, 3/1/2026 | 100,000 | 110,937 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 2.00%, 9/26/2022 | 30,000 | 30,167 | |||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 50,556 | |||
Series MTN, 2.65%, 5/10/2022 | 50,000 | 50,941 | |||
Series MTN, 3.10%, 5/10/2021 | 40,000 | 40,612 | |||
Toyota Motor Credit Corp.: | |||||
Series GMTN, 1.90%, 4/8/2021 | 275,000 | 275,401 | |||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 25,584 | |||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 52,741 | |||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 105,122 | |||
Series MTN, 1.80%, 10/7/2021 | 200,000 | 200,074 | |||
Series MTN, 2.15%, 9/8/2022 | 50,000 | 50,448 | |||
Series MTN, 2.60%, 1/11/2022 | 200,000 | 203,180 | |||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 51,846 | |||
Series MTN, 2.95%, 4/13/2021 | 50,000 | 50,738 | |||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 106,461 | |||
5,836,558 |
Security Description | Principal Amount | Value | |||
AUTO PARTS & EQUIPMENT — 0.0% (a) | |||||
Aptiv PLC: | |||||
4.25%, 1/15/2026 | $25,000 | $27,004 | |||
4.40%, 10/1/2046 | 30,000 | 29,000 | |||
Aptiv PLC 4.35%, 3/15/2029 | 45,000 | 48,813 | |||
Lear Corp.: | |||||
4.25%, 5/15/2029 | 25,000 | 25,867 | |||
5.25%, 1/15/2025 | 20,000 | 20,554 | |||
5.25%, 5/15/2049 | 30,000 | 31,240 | |||
182,478 | |||||
BANKS — 5.4% | |||||
Australia & New Zealand Banking Group, Ltd.: | |||||
2.63%, 5/19/2022 | 250,000 | 254,012 | |||
Series MTN, 2.30%, 6/1/2021 | 100,000 | 100,565 | |||
Banco Santander SA: | |||||
3.13%, 2/23/2023 | 200,000 | 203,988 | |||
4.38%, 4/12/2028 | 200,000 | 218,958 | |||
Bank of America Corp.: | |||||
6.11%, 1/29/2037 | 75,000 | 101,339 | |||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (d) | 250,000 | 259,497 | |||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (d) | 96,000 | 98,236 | |||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (d) | 250,000 | 261,755 | |||
3 Month USD LIBOR + 1.02%, 2.88%, 4/24/2023 (d) | 234,000 | 237,971 | |||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (d) | 100,000 | 113,931 | |||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (d) | 200,000 | 231,208 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 138,310 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (d) | 250,000 | 265,452 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 53,335 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 50,501 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 53,545 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 26,884 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 53,717 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 64,002 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 130,482 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 0.01%, 2.88%, 10/22/2030 (d) | $75,000 | $75,847 | |||
Series MTN, 3 Month USD LIBOR + 0.63%, 3.50%, 5/17/2022 (d) | 200,000 | 203,984 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (c) (d) | 75,000 | 75,465 | |||
Series MTN, 3 Month USD LIBOR + 0.97%, 3.46%, 3/15/2025 (d) | 500,000 | 522,145 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (d) | 250,000 | 258,470 | |||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (c) (d) | 200,000 | 203,968 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (d) | 100,000 | 103,546 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (d) | 150,000 | 164,691 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (d) | 500,000 | 555,825 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (d) | 150,000 | 170,527 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (d) | 150,000 | 183,396 | |||
Bank of America NA 3 Month USD LIBOR + 0.65%, 3.34%, 1/25/2023 (d) | 270,000 | 277,085 | |||
Bank of Montreal: | |||||
Series D, 3.10%, 4/13/2021 | 60,000 | 60,977 | |||
Series MTN, 1.90%, 8/27/2021 | 300,000 | 300,453 | |||
Series MTN, 2.05%, 11/1/2022 | 60,000 | 60,225 | |||
Series MTN, 2.50%, 6/28/2024 (c) | 65,000 | 65,840 | |||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 30,563 | |||
Series MTN, 2.90%, 3/26/2022 | 100,000 | 101,965 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 | 100,000 | 103,919 | |||
Series MTN, 2.05%, 5/3/2021 | 50,000 | 50,154 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 202,066 | |||
Series MTN, 2.60%, 2/7/2022 | 125,000 | 126,939 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 105,457 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 262,882 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (d) | $250,000 | $265,120 | |||
Bank of Nova Scotia: | |||||
2.70%, 3/7/2022 | 100,000 | 101,788 | |||
Series BKNT, 2.45%, 3/22/2021 | 200,000 | 201,410 | |||
Series BKNT, 2.50%, 1/8/2021 | 250,000 | 251,442 | |||
Barclays Bank PLC 2.65%, 1/11/2021 | 200,000 | 201,210 | |||
Barclays PLC: | |||||
3.20%, 8/10/2021 | 200,000 | 202,900 | |||
3.68%, 1/10/2023 | 200,000 | 205,068 | |||
4.38%, 1/12/2026 | 50,000 | 54,187 | |||
5.25%, 8/17/2045 | 25,000 | 30,311 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (d) | 250,000 | 263,390 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (d) | 250,000 | 262,660 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (d) | 200,000 | 225,654 | |||
BB&T Corp.: | |||||
Series MTN, 2.15%, 2/1/2021 | 275,000 | 275,789 | |||
Series MTN, 2.20%, 3/16/2023 | 100,000 | 100,615 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 101,294 | |||
Series MTN, 3.05%, 6/20/2022 | 150,000 | 153,795 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 53,001 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 109,131 | |||
BBVA USA 2.50%, 8/27/2024 | 250,000 | 248,272 | |||
BNP Paribas SA: | |||||
Series BKNT, 5.00%, 1/15/2021 | 100,000 | 103,142 | |||
Series MTN, 4.25%, 10/15/2024 | 250,000 | 267,395 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 268,112 | |||
Branch Banking & Trust Co. Series BKNT, 3.63%, 9/16/2025 | 25,000 | 26,613 | |||
Canadian Imperial Bank of Commerce: | |||||
2.55%, 6/16/2022 | 50,000 | 50,854 | |||
2.70%, 2/2/2021 | 85,000 | 85,712 | |||
3.10%, 4/2/2024 (c) | 100,000 | 103,411 | |||
3 Month USD LIBOR + 0.79%, 2.61%, 7/22/2023 (d) | 50,000 | 50,534 | |||
Capital One NA: |
Security Description | Principal Amount | Value | |||
2.15%, 9/6/2022 | $250,000 | $250,492 | |||
Series BKNT, 2.95%, 7/23/2021 | 75,000 | 76,093 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 | 250,000 | 264,642 | |||
Citigroup, Inc.: | |||||
2.35%, 8/2/2021 | 50,000 | 50,308 | |||
2.70%, 3/30/2021 | 175,000 | 176,549 | |||
2.70%, 10/27/2022 | 250,000 | 254,135 | |||
2.75%, 4/25/2022 | 300,000 | 304,743 | |||
2.90%, 12/8/2021 | 250,000 | 254,015 | |||
3.20%, 10/21/2026 | 300,000 | 311,220 | |||
3.75%, 6/16/2024 | 25,000 | 26,549 | |||
4.13%, 7/25/2028 | 70,000 | 76,186 | |||
4.30%, 11/20/2026 | 50,000 | 54,417 | |||
4.40%, 6/10/2025 | 250,000 | 271,865 | |||
4.45%, 9/29/2027 | 150,000 | 165,298 | |||
4.65%, 7/30/2045 | 25,000 | 30,885 | |||
5.30%, 5/6/2044 | 50,000 | 63,917 | |||
6.68%, 9/13/2043 | 175,000 | 255,948 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (d) | 250,000 | 260,180 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (d) | 100,000 | 101,668 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (d) | 250,000 | 263,522 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (d) | 250,000 | 274,062 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (d) | 100,000 | 106,463 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (d) | 250,000 | 269,300 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (d) | 150,000 | 178,189 | |||
SOFR + 0.87%, 2.31%, 11/4/2022 (d) | 50,000 | 50,153 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (d) | 100,000 | 101,539 | |||
Citizens Financial Group, Inc. 2.85%, 7/27/2026 | 25,000 | 25,448 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 52,619 | |||
4.00%, 2/1/2029 | 50,000 | 54,614 | |||
Commonwealth Bank of Australia Series BKNT, 2.55%, 3/15/2021 | 100,000 | 100,805 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 254,445 |
Security Description | Principal Amount | Value | |||
3.88%, 2/8/2022 | $50,000 | $51,957 | |||
4.38%, 8/4/2025 | 250,000 | 271,667 | |||
4.50%, 1/11/2021 (c) | 50,000 | 51,285 | |||
5.75%, 12/1/2043 | 50,000 | 66,191 | |||
Series GMTN, 2.50%, 1/19/2021 | 300,000 | 301,893 | |||
Credit Suisse AG Series MTN, 3.63%, 9/9/2024 (c) | 500,000 | 531,235 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.80%, 6/9/2023 | 150,000 | 157,099 | |||
Deutsche Bank AG: | |||||
3.30%, 11/16/2022 | 250,000 | 252,580 | |||
3.70%, 5/30/2024 | 50,000 | 50,732 | |||
3.95%, 2/27/2023 | 250,000 | 256,557 | |||
4.25%, 10/14/2021 | 200,000 | 205,576 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 | 250,000 | 257,582 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 26,017 | |||
Fifth Third Bancorp 3.95%, 3/14/2028 | 100,000 | 110,122 | |||
Fifth Third Bank: | |||||
Series BKNT, 2.25%, 6/14/2021 | 50,000 | 50,253 | |||
Series BKNT, 3.35%, 7/26/2021 | 200,000 | 204,312 | |||
Series BKNT, 3.85%, 3/15/2026 | 225,000 | 239,593 | |||
Goldman Sachs Group, Inc.: | |||||
2.35%, 11/15/2021 | 175,000 | 175,590 | |||
2.63%, 4/25/2021 | 150,000 | 151,173 | |||
2.88%, 2/25/2021 | 25,000 | 25,246 | |||
3.00%, 4/26/2022 | 250,000 | 253,037 | |||
3.50%, 1/23/2025 | 50,000 | 52,479 | |||
3.50%, 11/16/2026 | 250,000 | 263,122 | |||
3.63%, 1/22/2023 | 25,000 | 26,065 | |||
3.75%, 2/25/2026 | 50,000 | 53,131 | |||
4.00%, 3/3/2024 | 50,000 | 53,333 | |||
4.75%, 10/21/2045 | 50,000 | 61,193 | |||
5.15%, 5/22/2045 | 250,000 | 307,937 | |||
5.95%, 1/15/2027 | 50,000 | 59,707 | |||
6.25%, 2/1/2041 | 200,000 | 281,176 | |||
6.75%, 10/1/2037 | 150,000 | 207,841 | |||
3 Month USD LIBOR + 0.82%, 2.88%, 10/31/2022 (d) | 275,000 | 278,655 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (d) | 250,000 | 254,395 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (d) | 200,000 | 217,456 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (d) | $350,000 | $397,033 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (d) | 250,000 | 265,630 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (d) | 325,000 | 336,661 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 60,295 | |||
HSBC Holdings PLC: | |||||
2.95%, 5/25/2021 | 250,000 | 253,197 | |||
3.60%, 5/25/2023 | 250,000 | 260,607 | |||
4.30%, 3/8/2026 | 250,000 | 272,357 | |||
5.10%, 4/5/2021 | 50,000 | 51,844 | |||
5.25%, 3/14/2044 | 250,000 | 316,270 | |||
6.50%, 9/15/2037 | 200,000 | 274,870 | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (d) | 250,000 | 255,795 | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (d) | 250,000 | 262,682 | |||
3 Month USD LIBOR + 1.14%, 2.63%, 11/7/2025 (d) | 250,000 | 250,405 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (d) | 200,000 | 216,498 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (d) | 250,000 | 278,995 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (d) | 250,000 | 267,420 | |||
Huntington Bancshares, Inc.: | |||||
2.30%, 1/14/2022 | 25,000 | 25,129 | |||
4.00%, 5/15/2025 (c) | 100,000 | 108,166 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 262,467 | |||
Industrial & Commercial Bank of China, Ltd. 2.45%, 10/20/2021 | 250,000 | 250,340 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 209,592 | |||
4.55%, 10/2/2028 | 200,000 | 227,360 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 53,990 | |||
JPMorgan Chase & Co.: | |||||
2.70%, 5/18/2023 | 125,000 | 127,565 | |||
2.95%, 10/1/2026 | 350,000 | 361,046 | |||
2.97%, 1/15/2023 | 50,000 | 51,038 | |||
3.38%, 5/1/2023 | 75,000 | 78,054 | |||
3.88%, 2/1/2024 | 50,000 | 53,459 | |||
4.13%, 12/15/2026 | 50,000 | 54,877 | |||
4.25%, 10/1/2027 | 80,000 | 88,593 |
Security Description | Principal Amount | Value | |||
4.85%, 2/1/2044 | $50,000 | $63,786 | |||
4.95%, 6/1/2045 | 50,000 | 63,392 | |||
5.40%, 1/6/2042 | 50,000 | 67,279 | |||
5.50%, 10/15/2040 | 150,000 | 201,675 | |||
5.63%, 8/16/2043 | 250,000 | 335,520 | |||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (d) | 155,000 | 158,819 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (d) | 75,000 | 78,166 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (d) | 200,000 | 210,826 | |||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (d) | 338,000 | 343,225 | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (d) | 185,000 | 196,363 | |||
3 Month USD LIBOR + 1.00%, 4.02%, 12/5/2024 (d) | 500,000 | 533,285 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (d) | 100,000 | 103,653 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (d) | 125,000 | 134,711 | |||
3 Month USD LIBOR + 1.25%, 3.96%, 1/29/2027 (d) | 500,000 | 542,440 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (d) | 200,000 | 222,892 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (d) | 250,000 | 269,092 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (d) | 200,000 | 221,344 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (d) | 200,000 | 212,132 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (d) | 100,000 | 113,152 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (d) | 50,000 | 57,074 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (d) | 100,000 | 118,151 | |||
KeyBank NA: | |||||
Series BKNT, 2.30%, 9/14/2022 | 250,000 | 252,515 | |||
Series MTN, 3.40%, 5/20/2026 | 25,000 | 26,072 |
Security Description | Principal Amount | Value | |||
KeyCorp. Series MTN, 4.15%, 10/29/2025 | $65,000 | $71,177 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 25,267 | |||
2.25%, 10/1/2021 | 50,000 | 50,497 | |||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 49,583 | |||
Lloyds Banking Group PLC: | |||||
3.00%, 1/11/2022 | 200,000 | 203,142 | |||
3.75%, 1/11/2027 | 100,000 | 105,168 | |||
3.90%, 3/12/2024 | 250,000 | 264,367 | |||
4.05%, 8/16/2023 | 300,000 | 317,508 | |||
4.34%, 1/9/2048 | 200,000 | 216,604 | |||
4.55%, 8/16/2028 (c) | 250,000 | 280,337 | |||
4.65%, 3/24/2026 | 100,000 | 108,826 | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (d) | 200,000 | 202,952 | |||
Manufacturers & Traders Trust Co. Series BKNT, 2.63%, 1/25/2021 | 250,000 | 251,710 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
2.19%, 9/13/2021 | 50,000 | 50,121 | |||
2.67%, 7/25/2022 | 300,000 | 304,635 | |||
2.76%, 9/13/2026 | 25,000 | 25,183 | |||
3.00%, 2/22/2022 | 50,000 | 50,952 | |||
3.29%, 7/25/2027 | 50,000 | 52,042 | |||
3.41%, 3/7/2024 | 250,000 | 260,810 | |||
3.46%, 3/2/2023 | 50,000 | 51,764 | |||
3.54%, 7/26/2021 | 30,000 | 30,685 | |||
3.68%, 2/22/2027 | 50,000 | 53,085 | |||
3.74%, 3/7/2029 | 250,000 | 269,842 | |||
3.76%, 7/26/2023 | 100,000 | 105,231 | |||
3.78%, 3/2/2025 | 50,000 | 53,268 | |||
3.85%, 3/1/2026 | 25,000 | 26,862 | |||
3.96%, 3/2/2028 | 50,000 | 54,433 | |||
4.05%, 9/11/2028 | 100,000 | 110,103 | |||
4.29%, 7/26/2038 | 35,000 | 40,314 | |||
Mizuho Financial Group, Inc.: | |||||
2.95%, 2/28/2022 | 200,000 | 203,586 | |||
4.02%, 3/5/2028 | 200,000 | 218,070 | |||
3 Month USD LIBOR + 0.98%, 2.84%, 7/16/2025 (d) | 200,000 | 202,462 | |||
3 Month USD LIBOR + 1.31%, 2.87%, 9/13/2030 (d) | 200,000 | 199,680 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 106,549 | |||
3.95%, 4/23/2027 | 25,000 | 26,773 | |||
4.30%, 1/27/2045 | 50,000 | 59,088 | |||
4.38%, 1/22/2047 | 100,000 | 119,763 | |||
6.38%, 7/24/2042 | 65,000 | 95,704 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (d) | $250,000 | $261,207 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (d) | 100,000 | 106,217 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (d) | 250,000 | 294,537 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (d) | 100,000 | 111,390 | |||
Series GMTN, 2.50%, 4/21/2021 | 225,000 | 226,519 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 308,367 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 52,351 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 134,392 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 541,195 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 54,679 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (d) | 250,000 | 282,685 | |||
Series MTN, 2.63%, 11/17/2021 | 250,000 | 252,897 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 232,558 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 256,030 | |||
Series BKNT, 1.88%, 7/12/2021 | 250,000 | 250,057 | |||
Series BKNT, 2.50%, 7/12/2026 | 50,000 | 50,049 | |||
Northern Trust Corp.: | |||||
3.65%, 8/3/2028 | 100,000 | 109,461 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (d) | 63,000 | 64,937 | |||
PNC Bank NA: | |||||
Series BKNT, 2.15%, 4/29/2021 | 250,000 | 250,850 | |||
Series BKNT, 2.63%, 2/17/2022 | 250,000 | 253,552 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 263,270 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 (c) | 150,000 | 150,535 | |||
3.15%, 5/19/2027 (c) | 100,000 | 105,058 | |||
3.30%, 3/8/2022 | 50,000 | 51,361 | |||
3.45%, 4/23/2029 | 100,000 | 106,884 | |||
3.50%, 1/23/2024 | 50,000 | 52,742 | |||
3.90%, 4/29/2024 | 50,000 | 53,319 |
Security Description | Principal Amount | Value | |||
Regions Bank Series BKNT, 2.75%, 4/1/2021 | $250,000 | $252,000 | |||
Royal Bank of Canada: | |||||
2.30%, 3/22/2021 | 125,000 | 125,660 | |||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 529,050 | |||
Series GMTN, 4.65%, 1/27/2026 (c) | 100,000 | 110,999 | |||
Royal Bank of Scotland Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 78,529 | |||
5.13%, 5/28/2024 | 100,000 | 108,652 | |||
6.00%, 12/19/2023 | 95,000 | 105,515 | |||
6.10%, 6/10/2023 | 45,000 | 49,554 | |||
6.13%, 12/15/2022 | 105,000 | 114,879 | |||
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (d) | 250,000 | 256,165 | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (d) | 250,000 | 265,495 | |||
3 Month USD LIBOR + 1.76%, 4.27%, 3/22/2025 (d) | 300,000 | 318,582 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) (d) | 200,000 | 221,124 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 51,277 | |||
3.70%, 3/28/2022 | 60,000 | 61,687 | |||
4.40%, 7/13/2027 | 50,000 | 54,053 | |||
4.45%, 12/3/2021 | 30,000 | 31,173 | |||
4.50%, 7/17/2025 | 50,000 | 53,958 | |||
3.50%, 6/7/2024 | 70,000 | 72,048 | |||
Santander UK Group Holdings PLC: | |||||
3.57%, 1/10/2023 | 250,000 | 256,125 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) (d) | 200,000 | 210,756 | |||
Skandinaviska Enskilda Banken AB 1.88%, 9/13/2021 | 50,000 | 49,841 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
2.44%, 10/19/2021 | 70,000 | 70,596 | |||
2.45%, 9/27/2024 (c) | 200,000 | 200,768 | |||
2.78%, 7/12/2022 | 350,000 | 356,100 | |||
2.78%, 10/18/2022 | 100,000 | 101,934 | |||
2.85%, 1/11/2022 | 250,000 | 254,055 | |||
2.93%, 3/9/2021 | 100,000 | 101,154 | |||
3.01%, 10/19/2026 | 50,000 | 51,208 | |||
3.04%, 7/16/2029 | 200,000 | 204,338 | |||
3.10%, 1/17/2023 | 200,000 | 205,234 | |||
3.36%, 7/12/2027 | 50,000 | 52,224 | |||
3.75%, 7/19/2023 | 50,000 | 52,477 |
Security Description | Principal Amount | Value | |||
3.78%, 3/9/2026 | $30,000 | $32,006 | |||
3.94%, 7/19/2028 | 50,000 | 54,540 | |||
4.31%, 10/16/2028 | 100,000 | 111,759 | |||
SunTrust Bank: | |||||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 50,622 | |||
Series BKNT, 2.80%, 5/17/2022 | 100,000 | 101,922 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 102,593 | |||
Series BKNT, 4.05%, 11/3/2025 (c) | 40,000 | 43,910 | |||
SunTrust Banks, Inc.: | |||||
2.70%, 1/27/2022 | 50,000 | 50,677 | |||
4.00%, 5/1/2025 | 100,000 | 108,377 | |||
Synchrony Bank Series BKNT, 3.00%, 6/15/2022 | 250,000 | 254,837 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 15,218 | |||
Toronto-Dominion Bank: | |||||
Series GMTN, 2.55%, 1/25/2021 | 100,000 | 100,726 | |||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 52,606 | |||
Series MTN, 3.25%, 6/11/2021 | 100,000 | 102,105 | |||
US Bancorp: | |||||
2.40%, 7/30/2024 | 100,000 | 101,365 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 102,639 | |||
Series MTN, 2.35%, 1/29/2021 | 100,000 | 100,515 | |||
Series MTN, 3.10%, 4/27/2026 (c) | 50,000 | 52,116 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 26,600 | |||
Series V, 2.63%, 1/24/2022 | 300,000 | 305,070 | |||
US Bank NA: | |||||
Series BKNT, 3.15%, 4/26/2021 | 350,000 | 355,579 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 261,580 | |||
Wells Fargo & Co.: | |||||
2.10%, 7/26/2021 | 300,000 | 300,888 | |||
2.50%, 3/4/2021 | 50,000 | 50,342 | |||
3.00%, 4/22/2026 | 250,000 | 256,940 | |||
3.00%, 10/23/2026 | 250,000 | 256,500 | |||
3.07%, 1/24/2023 | 250,000 | 255,132 | |||
4.13%, 8/15/2023 | 25,000 | 26,537 | |||
4.48%, 1/16/2024 | 25,000 | 27,026 | |||
5.38%, 11/2/2043 | 150,000 | 193,252 | |||
5.61%, 1/15/2044 | 325,000 | 427,853 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 54,757 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 183,781 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.63%, 7/22/2022 | $365,000 | $370,720 | |||
Series MTN, 3.00%, 1/22/2021 | 50,000 | 50,569 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 157,342 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 52,983 | |||
Series MTN, 3.75%, 1/24/2024 | 550,000 | 581,696 | |||
Series MTN, 4.15%, 1/24/2029 (c) | 250,000 | 279,280 | |||
Series MTN, 3 Month USD LIBOR + 0.83%, 2.41%, 10/30/2025 (d) | 250,000 | 250,127 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (d) | 110,000 | 114,095 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (d) | 350,000 | 371,976 | |||
Wells Fargo Capital X 5.95%, 12/1/2086 | 25,000 | 30,622 | |||
Westpac Banking Corp.: | |||||
2.35%, 2/19/2025 (c) | 100,000 | 100,323 | |||
2.65%, 1/25/2021 | 100,000 | 100,734 | |||
2.80%, 1/11/2022 | 100,000 | 101,638 | |||
2.85%, 5/13/2026 | 50,000 | 51,178 | |||
3.30%, 2/26/2024 | 300,000 | 312,810 | |||
3.35%, 3/8/2027 | 150,000 | 158,323 | |||
3.40%, 1/25/2028 (c) | 100,000 | 106,167 | |||
3.65%, 5/15/2023 | 100,000 | 104,927 | |||
4.42%, 7/24/2039 | 25,000 | 27,436 | |||
5 year CMT + 2.00%, 4.11%, 7/24/2034 (d) | 30,000 | 31,524 | |||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 245,762 | |||
55,674,196 | |||||
BEVERAGES — 0.5% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.65%, 2/1/2026 | 250,000 | 266,815 | |||
4.70%, 2/1/2036 | 125,000 | 144,627 | |||
4.90%, 2/1/2046 | 475,000 | 565,093 | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.75%, 7/15/2042 | 50,000 | 51,160 | |||
4.00%, 4/13/2028 | 80,000 | 87,948 | |||
4.38%, 4/15/2038 | 215,000 | 241,892 | |||
4.60%, 4/15/2048 | 35,000 | 39,913 | |||
4.75%, 4/15/2058 | 125,000 | 146,012 | |||
4.90%, 1/23/2031 | 65,000 | 77,457 | |||
4.95%, 1/15/2042 | 250,000 | 295,762 | |||
5.80%, 1/23/2059 | 45,000 | 61,521 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 53,113 |
Security Description | Principal Amount | Value | |||
4.00%, 4/15/2038 | $50,000 | $55,982 | |||
Coca-Cola Co.: | |||||
1.55%, 9/1/2021 | 200,000 | 200,000 | |||
1.75%, 9/6/2024 | 150,000 | 149,388 | |||
2.13%, 9/6/2029 | 150,000 | 146,322 | |||
2.20%, 5/25/2022 | 200,000 | 201,910 | |||
2.25%, 9/1/2026 | 25,000 | 25,180 | |||
2.88%, 10/27/2025 | 25,000 | 26,156 | |||
3.20%, 11/1/2023 | 25,000 | 26,248 | |||
Constellation Brands, Inc.: | |||||
2.70%, 5/9/2022 | 50,000 | 50,624 | |||
3.15%, 8/1/2029 (c) | 100,000 | 101,291 | |||
3.75%, 5/1/2021 | 5,000 | 5,113 | |||
4.25%, 5/1/2023 | 25,000 | 26,560 | |||
4.50%, 5/9/2047 | 50,000 | 54,825 | |||
4.65%, 11/15/2028 | 30,000 | 33,741 | |||
Diageo Capital PLC: | |||||
2.63%, 4/29/2023 | 75,000 | 76,587 | |||
3.88%, 5/18/2028 | 200,000 | 220,000 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 28,937 | |||
Keurig Dr Pepper, Inc.: | |||||
3.13%, 12/15/2023 | 50,000 | 51,553 | |||
3.55%, 5/25/2021 | 200,000 | 204,330 | |||
4.06%, 5/25/2023 | 50,000 | 52,819 | |||
4.42%, 5/25/2025 | 200,000 | 218,624 | |||
5.09%, 5/25/2048 (c) | 25,000 | 30,215 | |||
Molson Coors Brewing Co.: | |||||
2.10%, 7/15/2021 | 250,000 | 250,172 | |||
3.00%, 7/15/2026 | 50,000 | 50,565 | |||
4.20%, 7/15/2046 | 30,000 | 29,914 | |||
PepsiCo, Inc.: | |||||
1.70%, 10/6/2021 | 150,000 | 149,884 | |||
2.00%, 4/15/2021 | 250,000 | 250,792 | |||
2.25%, 5/2/2022 | 300,000 | 303,033 | |||
2.63%, 7/29/2029 | 50,000 | 51,113 | |||
2.85%, 2/24/2026 | 85,000 | 88,494 | |||
2.88%, 10/15/2049 | 100,000 | 96,672 | |||
3.38%, 7/29/2049 | 35,000 | 36,707 | |||
3.45%, 10/6/2046 | 150,000 | 158,968 | |||
3.60%, 3/1/2024 | 25,000 | 26,624 | |||
4.45%, 4/14/2046 | 75,000 | 92,433 | |||
4.60%, 7/17/2045 | 25,000 | 30,956 | |||
5,634,045 | |||||
BIOTECHNOLOGY — 0.3% | |||||
Amgen, Inc.: | |||||
1.85%, 8/19/2021 | 200,000 | 199,776 | |||
2.65%, 5/11/2022 | 150,000 | 152,227 | |||
3.20%, 11/2/2027 (c) | 250,000 | 263,160 | |||
3.63%, 5/22/2024 | 100,000 | 105,714 | |||
4.40%, 5/1/2045 | 50,000 | 56,071 | |||
4.56%, 6/15/2048 | 200,000 | 232,878 | |||
4.66%, 6/15/2051 | 225,000 | 264,881 | |||
6.38%, 6/1/2037 | 50,000 | 68,040 |
Security Description | Principal Amount | Value | |||
Baxalta, Inc. 4.00%, 6/23/2025 | $8,000 | $8,625 | |||
Biogen, Inc.: | |||||
4.05%, 9/15/2025 | 50,000 | 54,405 | |||
5.20%, 9/15/2045 | 275,000 | 331,853 | |||
Gilead Sciences, Inc.: | |||||
1.95%, 3/1/2022 | 5,000 | 5,010 | |||
2.95%, 3/1/2027 | 25,000 | 25,974 | |||
3.25%, 9/1/2022 | 250,000 | 258,170 | |||
3.65%, 3/1/2026 | 85,000 | 91,449 | |||
4.15%, 3/1/2047 (c) | 120,000 | 133,522 | |||
4.40%, 12/1/2021 | 25,000 | 26,073 | |||
4.50%, 2/1/2045 | 25,000 | 29,023 | |||
4.60%, 9/1/2035 | 100,000 | 119,219 | |||
4.75%, 3/1/2046 | 175,000 | 210,341 | |||
4.80%, 4/1/2044 | 25,000 | 30,199 | |||
2,666,610 | |||||
BUILDING MATERIALS — 0.1% | |||||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 52,790 | |||
Johnson Controls International PLC: | |||||
4.50%, 2/15/2047 | 320,000 | 346,192 | |||
3.63%, 7/2/2024 (e) | 23,000 | 24,082 | |||
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | 100,000 | 104,818 | |||
Masco Corp.: | |||||
3.50%, 4/1/2021 | 30,000 | 30,438 | |||
4.38%, 4/1/2026 | 170,000 | 183,549 | |||
Owens Corning: | |||||
3.95%, 8/15/2029 | 70,000 | 73,032 | |||
4.30%, 7/15/2047 | 100,000 | 94,936 | |||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 113,223 | |||
1,023,060 | |||||
CHEMICALS — 0.4% | |||||
Albemarle Wodgina Pty, Ltd. 3.45%, 11/15/2029 (b) (c) | 50,000 | 50,112 | |||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 26,216 | |||
Celanese US Holdings LLC: | |||||
3.50%, 5/8/2024 | 30,000 | 30,995 | |||
4.63%, 11/15/2022 | 10,000 | 10,573 | |||
5.88%, 6/15/2021 | 10,000 | 10,500 | |||
Dow Chemical Co.: | |||||
3.00%, 11/15/2022 | 275,000 | 281,350 | |||
3.63%, 5/15/2026 | 100,000 | 105,174 | |||
4.25%, 10/1/2034 | 50,000 | 55,196 | |||
4.38%, 11/15/2042 | 50,000 | 53,545 | |||
4.80%, 11/30/2028 (c) | 100,000 | 114,363 | |||
4.80%, 5/15/2049 | 65,000 | 75,089 | |||
DowDuPont, Inc.: | |||||
4.49%, 11/15/2025 | 100,000 | 110,147 |
Security Description | Principal Amount | Value | |||
4.73%, 11/15/2028 | $150,000 | $170,283 | |||
5.42%, 11/15/2048 | 110,000 | 135,530 | |||
Eastman Chemical Co.: | |||||
3.50%, 12/1/2021 | 45,000 | 46,080 | |||
3.80%, 3/15/2025 | 25,000 | 26,371 | |||
4.50%, 12/1/2028 (c) | 100,000 | 111,049 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 151,534 | |||
2.70%, 11/1/2026 | 150,000 | 154,024 | |||
4.35%, 12/8/2021 | 20,000 | 20,936 | |||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 110,187 | |||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 21,304 | |||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 45,000 | 49,242 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 28,440 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 | 100,000 | 104,952 | |||
LYB International Finance III LLC 4.20%, 10/15/2049 | 50,000 | 52,169 | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | 25,000 | 26,621 | |||
5.75%, 4/15/2024 | 100,000 | 112,935 | |||
Methanex Corp. 5.25%, 12/15/2029 | 100,000 | 103,341 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 256,472 | |||
4.05%, 11/15/2027 (c) | 250,000 | 260,377 | |||
5.63%, 11/15/2043 | 25,000 | 29,580 | |||
Nutrien, Ltd.: | |||||
3.00%, 4/1/2025 | 50,000 | 50,955 | |||
4.00%, 12/15/2026 | 50,000 | 53,355 | |||
4.13%, 3/15/2035 | 25,000 | 26,146 | |||
4.20%, 4/1/2029 | 85,000 | 93,710 | |||
5.00%, 4/1/2049 | 150,000 | 177,988 | |||
PPG Industries, Inc. 2.80%, 8/15/2029 | 100,000 | 100,339 | |||
Praxair, Inc.: | |||||
3.20%, 1/30/2026 | 275,000 | 289,897 | |||
3.55%, 11/7/2042 | 25,000 | 26,002 | |||
RPM International, Inc.: | |||||
3.75%, 3/15/2027 (c) | 50,000 | 51,684 | |||
4.25%, 1/15/2048 | 200,000 | 196,944 | |||
5.25%, 6/1/2045 | 25,000 | 27,464 | |||
Sherwin-Williams Co.: | |||||
2.75%, 6/1/2022 | 90,000 | 91,546 | |||
2.95%, 8/15/2029 | 50,000 | 50,704 | |||
3.45%, 6/1/2027 | 30,000 | 31,730 | |||
3.80%, 8/15/2049 | 50,000 | 51,105 | |||
Westlake Chemical Corp.: | |||||
4.38%, 11/15/2047 | 150,000 | 151,275 |
Security Description | Principal Amount | Value | |||
5.00%, 8/15/2046 | $100,000 | $108,352 | |||
4,473,883 | |||||
COMMERCIAL SERVICES — 0.3% | |||||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 43,776 | |||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 162,954 | |||
Equifax, Inc.: | |||||
2.60%, 12/1/2024 | 50,000 | 50,245 | |||
3.95%, 6/15/2023 | 40,000 | 42,143 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 115,165 | |||
Global Payments, Inc. 2.65%, 2/15/2025 | 350,000 | 352,096 | |||
IHS Markit, Ltd. 4.25%, 5/1/2029 | 125,000 | 134,847 | |||
Massachusetts Institute of Technology: | |||||
3.96%, 7/1/2038 | 50,000 | 56,693 | |||
Series F, 2.99%, 7/1/2050 | 100,000 | 99,981 | |||
Moody's Corp.: | |||||
2.63%, 1/15/2023 | 250,000 | 253,732 | |||
2.75%, 12/15/2021 | 200,000 | 202,830 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 165,861 | |||
PayPal Holdings, Inc.: | |||||
2.20%, 9/26/2022 | 20,000 | 20,136 | |||
2.40%, 10/1/2024 | 35,000 | 35,341 | |||
2.65%, 10/1/2026 | 20,000 | 20,270 | |||
2.85%, 10/1/2029 | 30,000 | 30,240 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 229,180 | |||
RELX Capital, Inc.: | |||||
3.50%, 3/16/2023 | 30,000 | 31,218 | |||
4.00%, 3/18/2029 | 100,000 | 108,865 | |||
S&P Global, Inc.: | |||||
2.50%, 12/1/2029 | 55,000 | 55,289 | |||
3.25%, 12/1/2049 | 65,000 | 65,930 | |||
4.50%, 5/15/2048 | 50,000 | 60,407 | |||
Total System Services, Inc. 4.45%, 6/1/2028 | 100,000 | 110,350 | |||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 25,394 | |||
University of Southern California 3.03%, 10/1/2039 | 25,000 | 24,953 | |||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 120,000 | 131,813 | |||
2,629,709 |
Security Description | Principal Amount | Value | |||
COMPUTERS — 0.7% | |||||
Apple, Inc.: | |||||
1.55%, 8/4/2021 (c) | $50,000 | $49,902 | |||
2.25%, 2/23/2021 | 200,000 | 201,134 | |||
2.40%, 1/13/2023 | 200,000 | 203,064 | |||
2.40%, 5/3/2023 | 25,000 | 25,417 | |||
2.45%, 8/4/2026 | 200,000 | 203,062 | |||
2.50%, 2/9/2022 | 100,000 | 101,536 | |||
2.70%, 5/13/2022 | 250,000 | 255,702 | |||
2.75%, 1/13/2025 | 200,000 | 206,692 | |||
2.85%, 5/6/2021 | 25,000 | 25,382 | |||
2.85%, 2/23/2023 | 250,000 | 257,045 | |||
2.85%, 5/11/2024 | 200,000 | 206,858 | |||
3.00%, 2/9/2024 | 100,000 | 103,631 | |||
3.00%, 11/13/2027 | 100,000 | 104,981 | |||
3.20%, 5/11/2027 | 250,000 | 264,585 | |||
3.25%, 2/23/2026 | 150,000 | 158,761 | |||
3.45%, 5/6/2024 | 250,000 | 265,650 | |||
3.75%, 11/13/2047 | 200,000 | 223,048 | |||
3.85%, 5/4/2043 | 25,000 | 28,039 | |||
3.85%, 8/4/2046 | 150,000 | 169,101 | |||
4.38%, 5/13/2045 | 75,000 | 90,763 | |||
4.50%, 2/23/2036 (c) | 350,000 | 427,133 | |||
4.65%, 2/23/2046 | 75,000 | 94,147 | |||
Dell International LLC/EMC Corp.: | |||||
4.00%, 7/15/2024 (b) | 50,000 | 52,401 | |||
4.42%, 6/15/2021 (b) | 50,000 | 51,454 | |||
4.90%, 10/1/2026 (b) | 100,000 | 110,085 | |||
5.45%, 6/15/2023 (b) | 325,000 | 352,566 | |||
6.02%, 6/15/2026 (b) | 20,000 | 23,091 | |||
8.35%, 7/15/2046 (b) | 270,000 | 369,592 | |||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 50,379 | |||
Hewlett Packard Enterprise Co.: | |||||
4.40%, 10/15/2022 | 200,000 | 211,324 | |||
4.90%, 10/15/2025 | 70,000 | 77,819 | |||
6.20%, 10/15/2035 | 10,000 | 11,994 | |||
6.35%, 10/15/2045 | 10,000 | 12,087 | |||
HP, Inc.: | |||||
4.05%, 9/15/2022 | 25,000 | 26,181 | |||
6.00%, 9/15/2041 | 250,000 | 277,130 | |||
IBM Credit LLC 2.20%, 9/8/2022 | 100,000 | 100,692 | |||
International Business Machines Corp.: | |||||
2.25%, 2/19/2021 | 200,000 | 200,970 | |||
2.80%, 5/13/2021 | 100,000 | 101,299 | |||
2.85%, 5/13/2022 | 375,000 | 383,261 | |||
2.88%, 11/9/2022 | 100,000 | 102,570 | |||
3.00%, 5/15/2024 | 200,000 | 207,344 | |||
3.50%, 5/15/2029 | 215,000 | 231,073 | |||
3.63%, 2/12/2024 | 50,000 | 52,961 | |||
4.15%, 5/15/2039 | 100,000 | 112,663 | |||
4.70%, 2/19/2046 (c) | 325,000 | 390,842 |
Security Description | Principal Amount | Value | |||
5.88%, 11/29/2032 | $25,000 | $33,185 | |||
Seagate HDD Cayman: | |||||
4.25%, 3/1/2022 | 53,000 | 54,720 | |||
4.75%, 6/1/2023 (c) | 17,000 | 18,036 | |||
7,281,352 | |||||
COSMETICS/PERSONAL CARE — 0.1% | |||||
Colgate-Palmolive Co.: | |||||
Series GMTN, 2.25%, 11/15/2022 (c) | 30,000 | 30,411 | |||
Series MTN, 3.70%, 8/1/2047 (c) | 55,000 | 63,466 | |||
Estee Lauder Cos., Inc.: | |||||
2.00%, 12/1/2024 (c) | 45,000 | 45,125 | |||
2.38%, 12/1/2029 | 40,000 | 39,989 | |||
3.13%, 12/1/2049 | 60,000 | 60,097 | |||
Procter & Gamble Co.: | |||||
1.70%, 11/3/2021 | 100,000 | 100,303 | |||
1.85%, 2/2/2021 | 50,000 | 50,031 | |||
2.15%, 8/11/2022 | 150,000 | 151,755 | |||
2.45%, 11/3/2026 (c) | 150,000 | 154,629 | |||
3.50%, 10/25/2047 | 100,000 | 112,539 | |||
Unilever Capital Corp.: | |||||
1.38%, 7/28/2021 | 100,000 | 99,292 | |||
2.00%, 7/28/2026 (c) | 100,000 | 99,255 | |||
2.60%, 5/5/2024 | 250,000 | 255,977 | |||
2.90%, 5/5/2027 (c) | 150,000 | 156,667 | |||
3.10%, 7/30/2025 | 50,000 | 52,457 | |||
1,471,993 | |||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | |||||
WW Grainger, Inc. 4.60%, 6/15/2045 | 50,000 | 59,800 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.8% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||||
3.50%, 5/26/2022 | 150,000 | 154,125 | |||
3.65%, 7/21/2027 | 150,000 | 154,510 | |||
3.95%, 2/1/2022 | 150,000 | 154,974 | |||
4.50%, 5/15/2021 | 300,000 | 309,762 | |||
Air Lease Corp.: | |||||
2.75%, 1/15/2023 | 50,000 | 50,654 | |||
3.00%, 9/15/2023 | 25,000 | 25,560 | |||
3.25%, 3/1/2025 (c) | 100,000 | 103,069 | |||
3.63%, 4/1/2027 | 70,000 | 72,629 | |||
3.88%, 7/3/2023 | 50,000 | 52,498 | |||
4.25%, 9/15/2024 | 25,000 | 26,806 | |||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 156,915 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 26,282 | |||
4.25%, 6/15/2026 | 65,000 | 68,619 |
Security Description | Principal Amount | Value | |||
5.00%, 4/1/2023 | $25,000 | $26,712 | |||
5.13%, 3/15/2021 | 25,000 | 25,830 | |||
5.50%, 2/15/2022 (c) | 25,000 | 26,569 | |||
American Express Co.: | |||||
2.50%, 8/1/2022 | 250,000 | 252,935 | |||
2.50%, 7/30/2024 | 165,000 | 166,955 | |||
3.00%, 10/30/2024 | 100,000 | 103,409 | |||
3.40%, 2/27/2023 | 200,000 | 207,550 | |||
3.70%, 8/3/2023 | 50,000 | 52,804 | |||
4.20%, 11/6/2025 | 105,000 | 115,775 | |||
American Express Credit Corp. Series MTN, 2.25%, 5/5/2021 | 350,000 | 351,708 | |||
Ameriprise Financial, Inc.: | |||||
3.00%, 3/22/2022 | 35,000 | 35,787 | |||
3.70%, 10/15/2024 | 50,000 | 53,535 | |||
BlackRock, Inc.: | |||||
3.20%, 3/15/2027 | 56,000 | 59,347 | |||
3.25%, 4/30/2029 | 60,000 | 64,400 | |||
3.50%, 3/18/2024 | 25,000 | 26,633 | |||
Brookfield Finance, Inc.: | |||||
3.90%, 1/25/2028 | 50,000 | 53,826 | |||
4.70%, 9/20/2047 | 50,000 | 57,734 | |||
4.85%, 3/29/2029 | 100,000 | 115,198 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 257,165 | |||
3.30%, 10/30/2024 | 100,000 | 104,121 | |||
3.75%, 7/28/2026 | 125,000 | 131,621 | |||
3.80%, 1/31/2028 | 250,000 | 268,525 | |||
3.90%, 1/29/2024 | 200,000 | 212,318 | |||
Charles Schwab Corp.: | |||||
2.65%, 1/25/2023 | 100,000 | 102,057 | |||
3.20%, 1/25/2028 | 50,000 | 52,752 | |||
3.45%, 2/13/2026 | 50,000 | 52,919 | |||
3.85%, 5/21/2025 | 250,000 | 271,587 | |||
4.00%, 2/1/2029 (c) | 50,000 | 55,867 | |||
CME Group, Inc. 3.75%, 6/15/2028 | 100,000 | 110,743 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 73,437 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 52,254 | |||
4.10%, 2/9/2027 | 75,000 | 80,836 | |||
4.50%, 1/30/2026 | 50,000 | 54,649 | |||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 178,391 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 157,897 | |||
GE Capital International Funding Co. 4.42%, 11/15/2035 | 550,000 | 587,312 | |||
GE Capital International Funding Co. Unlimited Co. 3.37%, 11/15/2025 | 250,000 | 260,362 | |||
Intercontinental Exchange, Inc.: | |||||
3.10%, 9/15/2027 | 100,000 | 105,169 | |||
3.75%, 12/1/2025 | 180,000 | 194,890 |
Security Description | Principal Amount | Value | |||
4.25%, 9/21/2048 | $150,000 | $177,744 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 53,372 | |||
Jefferies Group LLC 6.50%, 1/20/2043 | 50,000 | 59,976 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 53,039 | |||
4.85%, 1/15/2027 | 90,000 | 99,309 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 111,033 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 99,770 | |||
2.95%, 6/1/2029 | 100,000 | 104,379 | |||
3.50%, 2/26/2028 | 30,000 | 32,430 | |||
3.65%, 6/1/2049 | 100,000 | 111,148 | |||
3.95%, 2/26/2048 | 30,000 | 34,812 | |||
ORIX Corp.: | |||||
2.90%, 7/18/2022 | 30,000 | 30,542 | |||
3.70%, 7/18/2027 | 50,000 | 52,930 | |||
Synchrony Financial: | |||||
2.85%, 7/25/2022 | 30,000 | 30,399 | |||
4.50%, 7/23/2025 | 50,000 | 54,041 | |||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 150,000 | 153,343 | |||
Visa, Inc.: | |||||
2.75%, 9/15/2027 (c) | 250,000 | 260,717 | |||
2.80%, 12/14/2022 | 75,000 | 77,185 | |||
3.15%, 12/14/2025 | 250,000 | 264,472 | |||
3.65%, 9/15/2047 | 100,000 | 112,311 | |||
4.15%, 12/14/2035 | 50,000 | 58,953 | |||
4.30%, 12/14/2045 | 50,000 | 61,614 | |||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 105,509 | |||
8,717,010 | |||||
ELECTRIC — 1.8% | |||||
AEP Texas, Inc.: | |||||
2.40%, 10/1/2022 | 150,000 | 151,161 | |||
3.80%, 10/1/2047 | 25,000 | 26,195 | |||
Series H, 3.45%, 1/15/2050 | 100,000 | 100,721 | |||
AEP Transmission Co. LLC: | |||||
3.75%, 12/1/2047 | 100,000 | 107,002 | |||
3.80%, 6/15/2049 | 50,000 | 53,983 | |||
4.25%, 9/15/2048 | 20,000 | 23,034 | |||
Alabama Power Co.: | |||||
3.85%, 12/1/2042 | 75,000 | 80,308 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 75,256 | |||
Ameren Corp. 3.65%, 2/15/2026 | 50,000 | 52,309 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 53,676 | |||
3.80%, 5/15/2028 (c) | 25,000 | 27,421 | |||
4.15%, 3/15/2046 | 50,000 | 57,231 | |||
4.50%, 3/15/2049 | 50,000 | 61,050 |
Security Description | Principal Amount | Value | |||
American Electric Power Co., Inc.: | |||||
Series F, 2.95%, 12/15/2022 | $50,000 | $51,153 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 111,063 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 28,212 | |||
7.00%, 4/1/2038 | 25,000 | 35,466 | |||
Arizona Public Service Co.: | |||||
3.75%, 5/15/2046 | 25,000 | 26,212 | |||
4.20%, 8/15/2048 | 25,000 | 28,113 | |||
4.25%, 3/1/2049 | 50,000 | 56,499 | |||
4.35%, 11/15/2045 | 50,000 | 57,241 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 51,619 | |||
Baltimore Gas & Electric Co. 6.35%, 10/1/2036 | 50,000 | 69,126 | |||
Berkshire Hathaway Energy Co.: | |||||
2.80%, 1/15/2023 | 40,000 | 40,908 | |||
3.25%, 4/15/2028 | 30,000 | 31,714 | |||
3.75%, 11/15/2023 | 350,000 | 371,063 | |||
4.50%, 2/1/2045 | 50,000 | 58,912 | |||
5.15%, 11/15/2043 | 150,000 | 190,134 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 25,187 | |||
3.88%, 10/15/2049 | 100,000 | 99,811 | |||
4.35%, 5/1/2033 | 30,000 | 33,007 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 55,899 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 102,795 | |||
Series AC, 4.25%, 2/1/2049 | 200,000 | 234,496 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 49,733 | |||
CenterPoint Energy, Inc.: | |||||
3.60%, 11/1/2021 | 10,000 | 10,266 | |||
3.85%, 2/1/2024 | 25,000 | 26,376 | |||
4.25%, 11/1/2028 | 25,000 | 27,137 | |||
Cleco Corporate Holdings LLC: | |||||
3.38%, 9/15/2029 (b) | 25,000 | 24,723 | |||
4.97%, 5/1/2046 | 20,000 | 22,200 | |||
CMS Energy Corp. 3.45%, 8/15/2027 (c) | 50,000 | 52,435 | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 | 125,000 | 140,686 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 161,464 | |||
Connecticut Light & Power Co.: | |||||
Series A, 3.20%, 3/15/2027 | 150,000 | 157,713 | |||
Series A, 4.15%, 6/1/2045 (c) | 100,000 | 115,525 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.70%, 11/15/2059 | 85,000 | 87,996 | |||
3.85%, 6/15/2046 | 50,000 | 53,895 | |||
4.45%, 3/15/2044 | 75,000 | 87,205 | |||
4.50%, 5/15/2058 | 100,000 | 116,023 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 33,750 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 113,860 |
Security Description | Principal Amount | Value | |||
Series D, 4.00%, 12/1/2028 | $100,000 | $111,226 | |||
Consolidated Edison, Inc. 2.00%, 5/15/2021 | 180,000 | 180,193 | |||
Consumers Energy Co.: | |||||
3.25%, 8/15/2046 | 50,000 | 50,387 | |||
3.75%, 2/15/2050 | 50,000 | 55,024 | |||
4.05%, 5/15/2048 | 100,000 | 115,197 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 (b) | 30,000 | 30,701 | |||
Dominion Energy, Inc.: | |||||
4.10%, 4/1/2021 (e) | 150,000 | 153,487 | |||
4.70%, 12/1/2044 | 130,000 | 151,009 | |||
Series B, 2.75%, 1/15/2022 | 150,000 | 152,092 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 25,281 | |||
DTE Electric Co. 3.70%, 6/1/2046 (c) | 75,000 | 81,371 | |||
DTE Energy Co.: | |||||
Series B, 3.30%, 6/15/2022 | 175,000 | 179,196 | |||
Series C, 3.40%, 6/15/2029 | 175,000 | 180,306 | |||
Series D, 3.70%, 8/1/2023 | 50,000 | 52,118 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 (c) | 150,000 | 149,352 | |||
3.88%, 3/15/2046 | 150,000 | 165,337 | |||
3.95%, 11/15/2028 | 100,000 | 111,113 | |||
4.25%, 12/15/2041 | 130,000 | 148,581 | |||
Duke Energy Corp.: | |||||
2.40%, 8/15/2022 | 200,000 | 201,850 | |||
2.65%, 9/1/2026 | 50,000 | 50,305 | |||
3.15%, 8/15/2027 | 100,000 | 103,171 | |||
3.95%, 8/15/2047 (c) | 150,000 | 159,418 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 149,652 | |||
3.20%, 1/15/2027 | 250,000 | 261,427 | |||
6.40%, 6/15/2038 | 50,000 | 72,085 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 29,782 | |||
Duke Energy Progress LLC: | |||||
2.80%, 5/15/2022 | 100,000 | 102,126 | |||
3.60%, 9/15/2047 | 50,000 | 52,399 | |||
3.70%, 9/1/2028 | 50,000 | 54,585 | |||
4.20%, 8/15/2045 | 150,000 | 170,790 | |||
Edison International: | |||||
2.95%, 3/15/2023 (c) | 50,000 | 50,001 | |||
3.55%, 11/15/2024 | 80,000 | 81,837 | |||
4.13%, 3/15/2028 (c) | 50,000 | 51,632 | |||
Emera US Finance L.P. 4.75%, 6/15/2046 | 130,000 | 150,266 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 55,619 | |||
Entergy Arkansas LLC 4.20%, 4/1/2049 | 25,000 | 29,016 | |||
Entergy Corp.: | |||||
2.95%, 9/1/2026 | 50,000 | 50,818 | |||
4.00%, 7/15/2022 | 50,000 | 52,215 | |||
Entergy Louisiana LLC: | |||||
3.05%, 6/1/2031 | 25,000 | 25,799 |
Security Description | Principal Amount | Value | |||
3.25%, 4/1/2028 | $200,000 | $209,644 | |||
4.20%, 4/1/2050 | 50,000 | 57,851 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 25,517 | |||
3.85%, 6/1/2049 | 125,000 | 136,406 | |||
Entergy Texas, Inc. 3.55%, 9/30/2049 | 25,000 | 25,561 | |||
Eversource Energy: | |||||
Series K, 2.75%, 3/15/2022 | 50,000 | 50,721 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 255,565 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 15,808 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 27,766 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 104,455 | |||
3.50%, 6/1/2022 | 200,000 | 205,302 | |||
3.95%, 6/15/2025 | 50,000 | 53,734 | |||
5.10%, 6/15/2045 | 330,000 | 394,789 | |||
Exelon Generation Co. LLC 3.40%, 3/15/2022 | 250,000 | 256,182 | |||
FirstEnergy Corp.: | |||||
Series B, 3.90%, 7/15/2027 | 280,000 | 299,718 | |||
Series B, 4.25%, 3/15/2023 | 10,000 | 10,543 | |||
Series C, 4.85%, 7/15/2047 | 50,000 | 59,041 | |||
Series C, 7.38%, 11/15/2031 | 20,000 | 28,203 | |||
Florida Power & Light Co.: | |||||
3.15%, 10/1/2049 | 30,000 | 30,218 | |||
3.25%, 6/1/2024 | 25,000 | 26,158 | |||
3.95%, 3/1/2048 | 85,000 | 96,888 | |||
3.99%, 3/1/2049 | 25,000 | 28,791 | |||
4.05%, 10/1/2044 | 50,000 | 57,547 | |||
4.13%, 6/1/2048 | 100,000 | 116,930 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 51,066 | |||
Georgia Power Co. Series A, 2.20%, 9/15/2024 | 100,000 | 99,948 | |||
Indiana Michigan Power Co. 4.25%, 8/15/2048 | 15,000 | 17,088 | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 | 50,000 | 48,877 | |||
3.70%, 9/15/2046 | 50,000 | 50,802 | |||
4.10%, 9/26/2028 | 50,000 | 54,741 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 52,038 | |||
Kansas City Power & Light Co.: | |||||
4.20%, 6/15/2047 | 25,000 | 28,839 | |||
4.20%, 3/15/2048 | 50,000 | 57,391 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 114,005 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 168,129 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
2.95%, 2/7/2024 | 100,000 | 103,039 | |||
3.40%, 2/7/2028 (c) | 50,000 | 53,101 | |||
3.90%, 11/1/2028 (c) | 100,000 | 109,822 | |||
4.02%, 11/1/2032 | 50,000 | 56,906 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (d) | $75,000 | $77,965 | |||
Series MTN, 2.90%, 3/15/2021 | 50,000 | 50,629 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
2.75%, 11/1/2029 | 165,000 | 165,559 | |||
2.80%, 1/15/2023 | 150,000 | 152,487 | |||
3.15%, 4/1/2024 | 100,000 | 103,656 | |||
3.50%, 4/1/2029 (c) | 100,000 | 105,996 | |||
3.55%, 5/1/2027 | 100,000 | 106,187 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (d) | 25,000 | 25,819 | |||
Northern States Power Co.: | |||||
2.90%, 3/1/2050 | 30,000 | 28,646 | |||
3.60%, 9/15/2047 | 50,000 | 53,532 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 52,372 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 117,501 | |||
Ohio Power Co. 4.00%, 6/1/2049 | 20,000 | 22,593 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 54,223 | |||
Oncor Electric Delivery Co. LLC: | |||||
3.70%, 11/15/2028 | 200,000 | 218,192 | |||
3.80%, 9/30/2047 | 100,000 | 110,014 | |||
7.50%, 9/1/2038 | 50,000 | 78,575 | |||
PECO Energy Co. 3.90%, 3/1/2048 | 125,000 | 139,030 | |||
PPL Capital Funding, Inc.: | |||||
3.50%, 12/1/2022 | 75,000 | 77,569 | |||
4.00%, 9/15/2047 | 250,000 | 255,500 | |||
5.00%, 3/15/2044 | 50,000 | 57,767 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 66,410 | |||
3.95%, 6/1/2047 | 50,000 | 55,246 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 52,513 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 164,500 | |||
Series 34, 3.20%, 3/1/2050 | 30,000 | 30,042 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 1.90%, 3/15/2021 | 50,000 | 50,068 | |||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 52,835 | |||
Series MTN, 3.20%, 8/1/2049 | 30,000 | 30,255 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 107,164 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 53,124 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 54,383 |
Security Description | Principal Amount | Value | |||
Public Service Enterprise Group, Inc.: | |||||
2.65%, 11/15/2022 | $100,000 | $101,551 | |||
2.88%, 6/15/2024 | 70,000 | 71,540 | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | 65,000 | 64,526 | |||
4.22%, 6/15/2048 | 65,000 | 74,977 | |||
5.80%, 3/15/2040 | 50,000 | 66,845 | |||
San Diego Gas & Electric Co. Series RRR, 3.75%, 6/1/2047 | 50,000 | 51,570 | |||
Sempra Energy: | |||||
2.90%, 2/1/2023 | 15,000 | 15,289 | |||
3.25%, 6/15/2027 | 300,000 | 309,399 | |||
3.40%, 2/1/2028 | 30,000 | 31,132 | |||
3.80%, 2/1/2038 | 100,000 | 104,436 | |||
4.00%, 2/1/2048 | 30,000 | 31,415 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 50,323 | |||
Southern California Edison Co.: | |||||
2.85%, 8/1/2029 (c) | 115,000 | 115,365 | |||
4.00%, 4/1/2047 | 191,000 | 200,900 | |||
4.50%, 9/1/2040 | 25,000 | 27,450 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 51,003 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 110,164 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 106,743 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 49,026 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 51,632 | |||
Southern Co.: | |||||
2.35%, 7/1/2021 | 75,000 | 75,395 | |||
3.25%, 7/1/2026 | 250,000 | 259,555 | |||
4.25%, 7/1/2036 | 250,000 | 269,585 | |||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (d) | 50,000 | 52,519 | |||
Southern Power Co. Series F, 4.95%, 12/15/2046 | 150,000 | 166,734 | |||
Southwestern Electric Power Co.: | |||||
Series K, 2.75%, 10/1/2026 | 50,000 | 49,871 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 27,325 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 | 50,000 | 51,943 | |||
3.75%, 6/15/2049 | 100,000 | 106,475 | |||
Tampa Electric Co.: | |||||
3.63%, 6/15/2050 (c) | 150,000 | 158,409 | |||
4.30%, 6/15/2048 | 50,000 | 57,819 | |||
4.45%, 6/15/2049 | 25,000 | 29,602 | |||
Tucson Electric Power Co. 4.85%, 12/1/2048 | 50,000 | 61,041 | |||
Union Electric Co.: | |||||
3.50%, 3/15/2029 | 250,000 | 268,790 | |||
4.00%, 4/1/2048 | 50,000 | 55,830 | |||
Virginia Electric & Power Co.: | |||||
3.30%, 12/1/2049 | 50,000 | 50,854 | |||
3.45%, 2/15/2024 | 50,000 | 52,357 | |||
8.88%, 11/15/2038 (c) | 50,000 | 84,729 |
Security Description | Principal Amount | Value | |||
Series B, 2.95%, 11/15/2026 (c) | $30,000 | $30,960 | |||
WEC Energy Group, Inc.: | |||||
3.38%, 6/15/2021 | 65,000 | 66,301 | |||
3.55%, 6/15/2025 | 25,000 | 26,540 | |||
Westar Energy, Inc.: | |||||
3.25%, 9/1/2049 | 25,000 | 24,604 | |||
4.13%, 3/1/2042 | 30,000 | 33,382 | |||
Wisconsin Electric Power Co.: | |||||
2.05%, 12/15/2024 | 50,000 | 50,053 | |||
4.30%, 10/15/2048 | 25,000 | 29,174 | |||
Wisconsin Public Service Corp. 3.35%, 11/21/2021 | 70,000 | 71,936 | |||
Xcel Energy, Inc.: | |||||
2.60%, 3/15/2022 | 200,000 | 202,360 | |||
2.60%, 12/1/2029 | 100,000 | 98,926 | |||
4.00%, 6/15/2028 (c) | 50,000 | 54,710 | |||
18,618,275 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a) | |||||
Emerson Electric Co.: | |||||
2.63%, 12/1/2021 | 50,000 | 50,776 | |||
2.63%, 2/15/2023 | 25,000 | 25,553 | |||
Hubbell, Inc. 3.35%, 3/1/2026 | 50,000 | 51,232 | |||
127,561 | |||||
ELECTRONICS — 0.1% | |||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 49,731 | |||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 51,123 | |||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 51,985 | |||
Amphenol Corp.: | |||||
2.80%, 2/15/2030 | 100,000 | 99,335 | |||
4.35%, 6/1/2029 (c) | 50,000 | 55,985 | |||
Arrow Electronics, Inc.: | |||||
3.25%, 9/8/2024 | 50,000 | 51,523 | |||
3.88%, 1/12/2028 | 25,000 | 25,643 | |||
Flex, Ltd. 4.88%, 6/15/2029 | 75,000 | 81,187 | |||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 51,200 | |||
Honeywell International, Inc.: | |||||
2.15%, 8/8/2022 | 45,000 | 45,411 | |||
2.30%, 8/15/2024 | 100,000 | 101,332 | |||
2.50%, 11/1/2026 | 150,000 | 152,592 | |||
2.70%, 8/15/2029 | 60,000 | 61,526 | |||
3.35%, 12/1/2023 (c) | 50,000 | 52,655 | |||
Jabil, Inc. 3.95%, 1/12/2028 | 25,000 | 25,665 | |||
Keysight Technologies, Inc.: | |||||
3.00%, 10/30/2029 | 50,000 | 50,246 | |||
4.60%, 4/6/2027 | 30,000 | 33,334 |
Security Description | Principal Amount | Value | |||
PerkinElmer, Inc. 3.30%, 9/15/2029 | $65,000 | $66,644 | |||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 54,533 | |||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 52,817 | |||
1,214,467 | |||||
ENGINEERING & CONSTRUCTION — 0.0% (a) | |||||
Fluor Corp. 4.25%, 9/15/2028 (c) | 100,000 | 101,588 | |||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Republic Services, Inc.: | |||||
2.90%, 7/1/2026 | 45,000 | 46,052 | |||
3.38%, 11/15/2027 | 60,000 | 63,602 | |||
3.55%, 6/1/2022 | 25,000 | 25,821 | |||
3.95%, 5/15/2028 | 150,000 | 165,259 | |||
Waste Connections, Inc. 3.50%, 5/1/2029 | 50,000 | 52,968 | |||
Waste Management, Inc.: | |||||
2.40%, 5/15/2023 | 150,000 | 151,506 | |||
2.95%, 6/15/2024 | 15,000 | 15,499 | |||
3.15%, 11/15/2027 | 200,000 | 209,054 | |||
3.50%, 5/15/2024 | 25,000 | 26,345 | |||
3.90%, 3/1/2035 | 50,000 | 55,129 | |||
4.00%, 7/15/2039 | 35,000 | 38,970 | |||
850,205 | |||||
FOOD — 0.5% | |||||
Campbell Soup Co.: | |||||
3.30%, 3/15/2021 | 35,000 | 35,520 | |||
3.65%, 3/15/2023 | 50,000 | 52,084 | |||
3.95%, 3/15/2025 | 100,000 | 106,650 | |||
4.15%, 3/15/2028 | 50,000 | 54,233 | |||
4.80%, 3/15/2048 (c) | 20,000 | 23,202 | |||
Conagra Brands, Inc.: | |||||
3.80%, 10/22/2021 | 20,000 | 20,629 | |||
5.30%, 11/1/2038 (c) | 265,000 | 314,690 | |||
5.40%, 11/1/2048 | 40,000 | 48,932 | |||
General Mills, Inc.: | |||||
3.20%, 4/16/2021 | 10,000 | 10,164 | |||
3.20%, 2/10/2027 (c) | 100,000 | 105,138 | |||
3.65%, 2/15/2024 | 50,000 | 52,588 | |||
3.70%, 10/17/2023 | 20,000 | 21,062 | |||
4.20%, 4/17/2028 | 25,000 | 27,845 | |||
4.55%, 4/17/2038 | 10,000 | 11,593 | |||
4.70%, 4/17/2048 (c) | 320,000 | 383,971 | |||
Hershey Co.: | |||||
3.20%, 8/21/2025 | 25,000 | 26,456 | |||
3.38%, 5/15/2023 | 50,000 | 52,314 | |||
JM Smucker Co.: | |||||
3.38%, 12/15/2027 (c) | 100,000 | 104,296 | |||
4.25%, 3/15/2035 | 50,000 | 54,217 |
Security Description | Principal Amount | Value | |||
Kellogg Co.: | |||||
4.30%, 5/15/2028 | $100,000 | $111,099 | |||
4.50%, 4/1/2046 | 100,000 | 111,158 | |||
Kraft Heinz Foods Co.: | |||||
3.00%, 6/1/2026 | 150,000 | 149,785 | |||
3.75%, 4/1/2030 (b) | 170,000 | 175,233 | |||
3.95%, 7/15/2025 | 50,000 | 52,743 | |||
4.38%, 6/1/2046 | 50,000 | 49,276 | |||
4.63%, 10/1/2039 (b) | 20,000 | 20,830 | |||
4.88%, 10/1/2049 (b) | 240,000 | 252,763 | |||
5.00%, 7/15/2035 (c) | 250,000 | 278,092 | |||
5.20%, 7/15/2045 | 200,000 | 217,918 | |||
6.88%, 1/26/2039 | 50,000 | 62,312 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 (c) | 50,000 | 50,233 | |||
2.80%, 8/1/2022 (c) | 200,000 | 203,620 | |||
3.70%, 8/1/2027 | 35,000 | 37,408 | |||
3.85%, 8/1/2023 | 75,000 | 79,152 | |||
4.45%, 2/1/2047 (c) | 100,000 | 106,146 | |||
4.65%, 1/15/2048 (c) | 100,000 | 109,334 | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | 200,000 | 203,146 | |||
3.40%, 8/15/2027 | 250,000 | 260,977 | |||
Mondelez International, Inc.: | |||||
3.63%, 2/13/2026 | 50,000 | 53,352 | |||
4.00%, 2/1/2024 | 100,000 | 106,721 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027 | 50,000 | 52,341 | |||
3.30%, 7/15/2026 | 100,000 | 105,385 | |||
3.55%, 3/15/2025 | 50,000 | 53,267 | |||
3.75%, 10/1/2025 | 5,000 | 5,373 | |||
4.45%, 3/15/2048 | 50,000 | 57,801 | |||
4.85%, 10/1/2045 | 5,000 | 6,010 | |||
Tyson Foods, Inc.: | |||||
3.55%, 6/2/2027 | 150,000 | 159,280 | |||
4.50%, 6/15/2022 | 30,000 | 31,595 | |||
4.55%, 6/2/2047 | 285,000 | 326,581 | |||
4,994,515 | |||||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Celulosa Arauco y Constitucion SA: | |||||
3.88%, 11/2/2027 | 200,000 | 202,126 | |||
4.50%, 8/1/2024 (c) | 50,000 | 52,561 | |||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 (c) | 25,000 | 27,386 | |||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 35,626 | |||
International Paper Co.: | |||||
3.00%, 2/15/2027 (c) | 150,000 | 154,746 | |||
3.65%, 6/15/2024 | 25,000 | 26,330 | |||
4.35%, 8/15/2048 | 50,000 | 53,199 | |||
4.40%, 8/15/2047 | 50,000 | 53,508 | |||
5.00%, 9/15/2035 | 100,000 | 117,775 | |||
723,257 |
Security Description | Principal Amount | Value | |||
GAS — 0.1% | |||||
Atmos Energy Corp.: | |||||
3.00%, 6/15/2027 (c) | $150,000 | $155,430 | |||
4.15%, 1/15/2043 | 25,000 | 28,150 | |||
CenterPoint Energy Resources Corp. 3.55%, 4/1/2023 | 100,000 | 103,484 | |||
Dominion Energy Gas Holdings LLC: | |||||
3.60%, 12/15/2024 | 50,000 | 52,541 | |||
4.80%, 11/1/2043 | 25,000 | 28,419 | |||
Series A, 2.50%, 11/15/2024 | 85,000 | 85,502 | |||
Series B, 3.00%, 11/15/2029 (c) | 35,000 | 34,899 | |||
Series C, 3.90%, 11/15/2049 (c) | 65,000 | 64,883 | |||
National Fuel Gas Co. 3.95%, 9/15/2027 | 50,000 | 50,679 | |||
NiSource, Inc.: | |||||
2.95%, 9/1/2029 | 100,000 | 100,059 | |||
3.49%, 5/15/2027 | 50,000 | 52,569 | |||
3.65%, 6/15/2023 | 25,000 | 26,010 | |||
4.38%, 5/15/2047 | 150,000 | 166,585 | |||
4.80%, 2/15/2044 | 30,000 | 34,768 | |||
ONE Gas, Inc. 4.50%, 11/1/2048 | 90,000 | 107,775 | |||
Southern California Gas Co.: | |||||
3.15%, 9/15/2024 | 25,000 | 26,113 | |||
3.20%, 6/15/2025 | 50,000 | 51,777 | |||
3.75%, 9/15/2042 | 30,000 | 31,505 | |||
5.13%, 11/15/2040 | 25,000 | 30,610 | |||
Series VV, 4.30%, 1/15/2049 | 50,000 | 57,072 | |||
Southern Co. Gas Capital Corp. 4.40%, 5/30/2047 | 150,000 | 165,690 | |||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 26,712 | |||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 50,178 | |||
1,531,410 | |||||
HAND & MACHINE TOOLS — 0.0% (a) | |||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 53,219 | |||
Stanley Black & Decker, Inc.: | |||||
3.40%, 3/1/2026 | 35,000 | 36,925 | |||
4.25%, 11/15/2028 | 100,000 | 112,719 | |||
202,863 | |||||
HEALTH CARE PRODUCTS — 0.3% | |||||
Abbott Laboratories: | |||||
2.95%, 3/15/2025 | 75,000 | 77,906 | |||
3.40%, 11/30/2023 | 35,000 | 36,855 | |||
3.75%, 11/30/2026 | 85,000 | 92,911 | |||
4.75%, 11/30/2036 | 250,000 | 311,435 |
Security Description | Principal Amount | Value | |||
4.75%, 4/15/2043 | $25,000 | $31,406 | |||
4.90%, 11/30/2046 | 300,000 | 393,360 | |||
Baxter International, Inc. 3.50%, 8/15/2046 | 50,000 | 48,733 | |||
Boston Scientific Corp.: | |||||
3.38%, 5/15/2022 | 50,000 | 51,546 | |||
3.45%, 3/1/2024 | 25,000 | 26,187 | |||
4.00%, 3/1/2029 | 35,000 | 38,743 | |||
4.55%, 3/1/2039 | 50,000 | 58,734 | |||
4.70%, 3/1/2049 | 35,000 | 42,514 | |||
Covidien International Finance SA 3.20%, 6/15/2022 | 50,000 | 51,296 | |||
DH Europe Finance II Sarl: | |||||
2.05%, 11/15/2022 | 50,000 | 50,106 | |||
2.20%, 11/15/2024 | 50,000 | 50,099 | |||
2.60%, 11/15/2029 | 30,000 | 29,946 | |||
3.25%, 11/15/2039 | 50,000 | 50,616 | |||
3.40%, 11/15/2049 | 50,000 | 51,258 | |||
Medtronic, Inc.: | |||||
3.15%, 3/15/2022 | 59,000 | 60,694 | |||
3.50%, 3/15/2025 | 67,000 | 71,790 | |||
4.38%, 3/15/2035 | 54,000 | 63,862 | |||
4.63%, 3/15/2045 | 345,000 | 433,541 | |||
Stryker Corp.: | |||||
3.38%, 11/1/2025 | 25,000 | 26,464 | |||
3.50%, 3/15/2026 | 25,000 | 26,637 | |||
3.65%, 3/7/2028 | 50,000 | 53,817 | |||
4.63%, 3/15/2046 | 25,000 | 30,099 | |||
Thermo Fisher Scientific, Inc.: | |||||
3.00%, 4/15/2023 | 250,000 | 256,740 | |||
4.10%, 8/15/2047 | 100,000 | 113,423 | |||
4.15%, 2/1/2024 | 25,000 | 26,831 | |||
Zimmer Biomet Holdings, Inc. 3.55%, 4/1/2025 | 100,000 | 105,500 | |||
2,763,049 | |||||
HEALTH CARE SERVICES — 0.5% | |||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 50,032 | |||
Aetna, Inc.: | |||||
2.80%, 6/15/2023 | 200,000 | 203,298 | |||
3.88%, 8/15/2047 | 100,000 | 101,347 | |||
4.13%, 11/15/2042 | 25,000 | 25,543 | |||
Anthem, Inc.: | |||||
2.95%, 12/1/2022 | 50,000 | 51,206 | |||
3.30%, 1/15/2023 | 50,000 | 51,718 | |||
3.35%, 12/1/2024 | 50,000 | 52,220 | |||
3.50%, 8/15/2024 | 25,000 | 26,212 | |||
3.65%, 12/1/2027 | 130,000 | 137,619 | |||
4.10%, 3/1/2028 | 100,000 | 108,709 | |||
4.38%, 12/1/2047 | 130,000 | 142,766 | |||
4.55%, 3/1/2048 | 50,000 | 56,514 | |||
4.65%, 1/15/2043 | 50,000 | 56,557 |
Security Description | Principal Amount | Value | |||
Ascension Health 3.95%, 11/15/2046 | $150,000 | $168,087 | |||
CommonSpirit Health: | |||||
2.76%, 10/1/2024 | 250,000 | 252,497 | |||
4.19%, 10/1/2049 | 250,000 | 251,332 | |||
4.35%, 11/1/2042 | 25,000 | 25,539 | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 50,000 | 56,256 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 35,000 | 37,177 | |||
4.50%, 2/15/2027 | 50,000 | 54,019 | |||
4.75%, 5/1/2023 | 55,000 | 58,914 | |||
5.00%, 3/15/2024 | 85,000 | 92,958 | |||
5.13%, 6/15/2039 | 25,000 | 27,648 | |||
5.25%, 4/15/2025 | 60,000 | 67,231 | |||
5.25%, 6/15/2026 | 65,000 | 72,873 | |||
5.25%, 6/15/2049 | 100,000 | 111,901 | |||
5.50%, 6/15/2047 | 65,000 | 74,974 | |||
Humana, Inc.: | |||||
2.90%, 12/15/2022 | 150,000 | 152,965 | |||
4.80%, 3/15/2047 | 100,000 | 117,077 | |||
4.95%, 10/1/2044 | 50,000 | 58,857 | |||
Kaiser Foundation Hospitals: | |||||
3.50%, 4/1/2022 | 50,000 | 51,542 | |||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 105,422 | |||
Laboratory Corp. of America Holdings: | |||||
2.30%, 12/1/2024 | 100,000 | 99,699 | |||
2.95%, 12/1/2029 | 100,000 | 100,484 | |||
3.25%, 9/1/2024 | 100,000 | 103,834 | |||
4.70%, 2/1/2045 | 25,000 | 28,032 | |||
Memorial Sloan-Kettering Cancer Center 4.13%, 7/1/2052 | 25,000 | 28,449 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 34,994 | |||
New York and Presbyterian Hospital Series 2019, 3.95%, 8/1/2119 | 35,000 | 34,997 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 53,803 | |||
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 104,407 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 78,602 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 35,071 | |||
4.20%, 6/30/2029 (c) | 100,000 | 110,316 | |||
4.70%, 3/30/2045 | 25,000 | 27,909 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 49,145 | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | 20,000 | 20,795 |
Security Description | Principal Amount | Value | |||
UnitedHealth Group, Inc.: | |||||
2.13%, 3/15/2021 | $150,000 | $150,448 | |||
2.38%, 10/15/2022 | 100,000 | 101,197 | |||
2.88%, 3/15/2022 | 25,000 | 25,496 | |||
3.10%, 3/15/2026 | 50,000 | 52,269 | |||
3.38%, 4/15/2027 | 100,000 | 106,528 | |||
3.50%, 2/15/2024 | 10,000 | 10,552 | |||
3.70%, 12/15/2025 | 10,000 | 10,802 | |||
3.75%, 7/15/2025 | 305,000 | 329,406 | |||
3.75%, 10/15/2047 | 50,000 | 53,580 | |||
3.88%, 12/15/2028 | 15,000 | 16,573 | |||
4.25%, 4/15/2047 | 100,000 | 114,850 | |||
4.45%, 12/15/2048 | 260,000 | 310,684 | |||
4.63%, 7/15/2035 | 200,000 | 242,702 | |||
4.75%, 7/15/2045 | 230,000 | 282,902 | |||
6.88%, 2/15/2038 | 25,000 | 37,034 | |||
5,656,570 | |||||
HOME BUILDERS — 0.0% (a) | |||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 100,008 | |||
HOME FURNISHINGS — 0.0% (a) | |||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 100,000 | 109,415 | |||
Whirlpool Corp.: | |||||
4.50%, 6/1/2046 | 25,000 | 26,005 | |||
4.75%, 2/26/2029 | 60,000 | 67,006 | |||
202,426 | |||||
HOUSEHOLD PRODUCTS & WARES — 0.0% (a) | |||||
Clorox Co.: | |||||
3.10%, 10/1/2027 | 50,000 | 52,022 | |||
3.90%, 5/15/2028 | 50,000 | 55,189 | |||
Kimberly-Clark Corp.: | |||||
2.75%, 2/15/2026 | 25,000 | 25,764 | |||
3.20%, 4/25/2029 (c) | 100,000 | 106,476 | |||
3.90%, 5/4/2047 | 50,000 | 56,033 | |||
3.95%, 11/1/2028 | 55,000 | 61,413 | |||
356,897 | |||||
INSURANCE — 0.9% | |||||
Aflac, Inc.: | |||||
3.63%, 6/15/2023 | 50,000 | 52,606 | |||
4.75%, 1/15/2049 | 75,000 | 91,474 | |||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 57,794 | |||
Allstate Corp.: | |||||
3.85%, 8/10/2049 | 125,000 | 139,645 | |||
4.20%, 12/15/2046 | 50,000 | 58,350 | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (d) | 25,000 | 26,913 | |||
American Financial Group, Inc.: | |||||
3.50%, 8/15/2026 | 15,000 | 15,473 |
Security Description | Principal Amount | Value | |||
4.50%, 6/15/2047 | $100,000 | $108,845 | |||
American International Group, Inc.: | |||||
3.30%, 3/1/2021 | 300,000 | 304,362 | |||
3.88%, 1/15/2035 | 200,000 | 212,534 | |||
3.90%, 4/1/2026 | 30,000 | 32,161 | |||
4.25%, 3/15/2029 (c) | 100,000 | 111,326 | |||
4.50%, 7/16/2044 | 50,000 | 57,663 | |||
4.88%, 6/1/2022 | 50,000 | 53,384 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (d) | 100,000 | 109,793 | |||
Aon Corp.: | |||||
2.20%, 11/15/2022 | 100,000 | 100,656 | |||
3.75%, 5/2/2029 | 100,000 | 107,051 | |||
Aon PLC: | |||||
3.50%, 6/14/2024 | 50,000 | 52,407 | |||
3.88%, 12/15/2025 | 150,000 | 161,419 | |||
Assurant, Inc.: | |||||
4.20%, 9/27/2023 | 100,000 | 105,046 | |||
4.90%, 3/27/2028 | 50,000 | 54,843 | |||
Athene Holding, Ltd. 4.13%, 1/12/2028 | 100,000 | 103,081 | |||
AXA Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 150,000 | 157,387 | |||
4.35%, 4/20/2028 | 150,000 | 162,304 | |||
5.00%, 4/20/2048 | 100,000 | 107,600 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 26,325 | |||
Berkshire Hathaway Finance Corp.: | |||||
4.20%, 8/15/2048 | 100,000 | 118,003 | |||
4.25%, 1/15/2049 | 200,000 | 237,940 | |||
Berkshire Hathaway, Inc.: | |||||
2.20%, 3/15/2021 | 155,000 | 155,818 | |||
2.75%, 3/15/2023 | 50,000 | 51,390 | |||
3.00%, 2/11/2023 | 25,000 | 25,889 | |||
3.13%, 3/15/2026 | 55,000 | 58,084 | |||
4.50%, 2/11/2043 | 180,000 | 219,393 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 | 150,000 | 149,566 | |||
4.70%, 6/22/2047 | 150,000 | 138,850 | |||
Brown & Brown, Inc. 4.50%, 3/15/2029 | 50,000 | 55,091 | |||
Chubb INA Holdings, Inc.: | |||||
2.88%, 11/3/2022 | 50,000 | 51,292 | |||
3.35%, 5/3/2026 | 250,000 | 266,030 | |||
4.15%, 3/13/2043 (c) | 25,000 | 29,043 | |||
4.35%, 11/3/2045 | 125,000 | 151,837 | |||
CNA Financial Corp.: | |||||
3.45%, 8/15/2027 | 100,000 | 104,009 | |||
4.50%, 3/1/2026 | 25,000 | 27,464 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 53,778 | |||
Fairfax Financial Holdings, Ltd. 4.85%, 4/17/2028 | 100,000 | 108,919 |
Security Description | Principal Amount | Value | |||
Fidelity National Financial, Inc. 4.50%, 8/15/2028 | $50,000 | $54,453 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 26,784 | |||
Globe Life, Inc. 4.55%, 9/15/2028 | 25,000 | 27,875 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 (c) | 70,000 | 70,914 | |||
4.40%, 3/15/2048 (c) | 100,000 | 115,416 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 101,168 | |||
3.80%, 3/1/2028 | 35,000 | 37,321 | |||
4.00%, 9/1/2023 | 15,000 | 15,974 | |||
4.35%, 3/1/2048 | 50,000 | 55,049 | |||
6.30%, 10/9/2037 | 50,000 | 65,058 | |||
Loews Corp. 3.75%, 4/1/2026 | 50,000 | 53,637 | |||
Manulife Financial Corp. USD 5 Year Swap Rate + 1.65%, 4.06%, 2/24/2032 (d) | 50,000 | 51,766 | |||
Markel Corp.: | |||||
3.50%, 11/1/2027 | 50,000 | 51,738 | |||
4.15%, 9/17/2050 | 50,000 | 51,616 | |||
5.00%, 5/20/2049 | 30,000 | 34,917 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.75%, 1/30/2022 | 30,000 | 30,493 | |||
3.30%, 3/14/2023 | 150,000 | 154,875 | |||
3.75%, 3/14/2026 | 25,000 | 26,800 | |||
3.88%, 3/15/2024 | 100,000 | 106,713 | |||
4.38%, 3/15/2029 | 250,000 | 285,225 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 52,633 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 (c) | 300,000 | 320,526 | |||
4.05%, 3/1/2045 | 150,000 | 173,850 | |||
4.88%, 11/13/2043 | 200,000 | 249,776 | |||
6.40%, 12/15/2066 | 100,000 | 122,668 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 54,208 | |||
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 50,000 | 54,444 | |||
Progressive Corp.: | |||||
3.75%, 8/23/2021 | 50,000 | 51,547 | |||
4.00%, 3/1/2029 (c) | 50,000 | 56,116 | |||
4.20%, 3/15/2048 | 100,000 | 117,481 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 109,144 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (d) | 170,000 | 177,417 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (d) | 200,000 | 216,282 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (d) | 80,000 | 86,229 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.50%, 5/15/2024 | $50,000 | $53,174 | |||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 105,290 | |||
Series MTN, 4.60%, 5/15/2044 (c) | 75,000 | 88,529 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 35,243 | |||
Reinsurance Group of America, Inc. 3.90%, 5/15/2029 | 50,000 | 53,668 | |||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 31,655 | |||
Travelers Cos., Inc.: | |||||
3.75%, 5/15/2046 | 10,000 | 10,867 | |||
4.00%, 5/30/2047 | 80,000 | 90,383 | |||
4.05%, 3/7/2048 | 100,000 | 114,955 | |||
4.10%, 3/4/2049 | 100,000 | 116,237 | |||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 34,853 | |||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 28,188 | |||
Unum Group: | |||||
4.00%, 6/15/2029 (c) | 70,000 | 73,832 | |||
4.50%, 12/15/2049 | 15,000 | 14,706 | |||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 52,920 | |||
Willis North America, Inc.: | |||||
3.60%, 5/15/2024 | 50,000 | 52,317 | |||
3.88%, 9/15/2049 | 70,000 | 70,145 | |||
4.50%, 9/15/2028 | 50,000 | 55,162 | |||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 158,916 | |||
9,073,991 | |||||
INTERNET — 0.3% | |||||
Alibaba Group Holding, Ltd.: | |||||
3.13%, 11/28/2021 | 25,000 | 25,461 | |||
3.40%, 12/6/2027 | 200,000 | 208,574 | |||
3.60%, 11/28/2024 | 75,000 | 78,848 | |||
4.20%, 12/6/2047 (c) | 60,000 | 67,028 | |||
4.40%, 12/6/2057 | 250,000 | 287,490 | |||
Alphabet, Inc.: | |||||
2.00%, 8/15/2026 | 250,000 | 248,907 | |||
3.63%, 5/19/2021 | 50,000 | 51,294 | |||
Amazon.com, Inc.: | |||||
2.40%, 2/22/2023 | 200,000 | 202,874 | |||
2.50%, 11/29/2022 | 25,000 | 25,481 | |||
2.80%, 8/22/2024 | 100,000 | 103,528 | |||
3.15%, 8/22/2027 | 100,000 | 105,905 | |||
3.80%, 12/5/2024 (c) | 30,000 | 32,461 | |||
3.88%, 8/22/2037 | 125,000 | 141,902 | |||
4.05%, 8/22/2047 | 125,000 | 147,519 | |||
4.95%, 12/5/2044 | 125,000 | 163,431 | |||
5.20%, 12/3/2025 | 50,000 | 58,356 |
Security Description | Principal Amount | Value | |||
Baidu, Inc. 2.88%, 7/6/2022 | $250,000 | $252,392 | |||
Booking Holdings, Inc. 3.60%, 6/1/2026 (c) | 250,000 | 267,260 | |||
eBay, Inc.: | |||||
2.75%, 1/30/2023 | 150,000 | 152,140 | |||
3.45%, 8/1/2024 | 25,000 | 26,090 | |||
3.80%, 3/9/2022 | 50,000 | 51,701 | |||
Expedia Group, Inc.: | |||||
3.25%, 2/15/2030 (b) | 35,000 | 33,767 | |||
3.80%, 2/15/2028 | 50,000 | 51,014 | |||
2,783,423 | |||||
INVESTMENT COMPANY SECURITY — 0.0% (a) | |||||
Ares Capital Corp.: | |||||
3.50%, 2/10/2023 | 50,000 | 50,952 | |||
4.20%, 6/10/2024 | 50,000 | 52,598 | |||
4.25%, 3/1/2025 | 50,000 | 52,580 | |||
FS KKR Capital Corp. 4.13%, 2/1/2025 | 100,000 | 101,536 | |||
Owl Rock Capital Corp. 4.00%, 3/30/2025 | 50,000 | 50,202 | |||
Prospect Capital Corp. 5.88%, 3/15/2023 | 25,000 | 26,594 | |||
334,462 | |||||
IRON/STEEL — 0.1% | |||||
ArcelorMittal: | |||||
4.25%, 7/16/2029 | 100,000 | 104,691 | |||
4.55%, 3/11/2026 | 50,000 | 53,245 | |||
6.13%, 6/1/2025 | 20,000 | 23,009 | |||
6.25%, 2/25/2022 | 30,000 | 32,349 | |||
7.00%, 10/15/2039 | 31,000 | 37,842 | |||
Nucor Corp.: | |||||
4.00%, 8/1/2023 | 25,000 | 26,444 | |||
5.20%, 8/1/2043 | 50,000 | 62,595 | |||
Steel Dynamics, Inc.: | |||||
2.80%, 12/15/2024 | 25,000 | 25,215 | |||
3.45%, 4/15/2030 | 40,000 | 40,553 | |||
Vale Overseas, Ltd.: | |||||
6.25%, 8/10/2026 | 150,000 | 175,704 | |||
6.88%, 11/10/2039 | 300,000 | 391,182 | |||
8.25%, 1/17/2034 | 25,000 | 35,091 | |||
1,007,920 | |||||
LEISURE TIME — 0.0% (a) | |||||
Royal Caribbean Cruises, Ltd. 3.70%, 3/15/2028 (c) | 150,000 | 155,161 | |||
LODGING — 0.1% | |||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 | 50,000 | 50,381 | |||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 54,292 | |||
Las Vegas Sands Corp.: | |||||
2.90%, 6/25/2025 | 65,000 | 65,792 | |||
3.20%, 8/8/2024 | 45,000 | 46,407 |
Security Description | Principal Amount | Value | |||
3.50%, 8/18/2026 | $30,000 | $31,034 | |||
3.90%, 8/8/2029 | 40,000 | 41,889 | |||
Marriott International, Inc.: | |||||
2.13%, 10/3/2022 | 65,000 | 64,962 | |||
2.30%, 1/15/2022 | 150,000 | 150,678 | |||
2.88%, 3/1/2021 | 50,000 | 50,466 | |||
3.75%, 3/15/2025 | 25,000 | 26,473 | |||
Sands China, Ltd. 5.13%, 8/8/2025 | 250,000 | 275,310 | |||
857,684 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
ABB Finance USA, Inc.: | |||||
2.88%, 5/8/2022 | 50,000 | 51,049 | |||
3.80%, 4/3/2028 | 100,000 | 109,712 | |||
Caterpillar Financial Services Corp.: | |||||
1.70%, 8/9/2021 | 150,000 | 149,679 | |||
Series MTN, 2.40%, 6/6/2022 (c) | 150,000 | 151,855 | |||
Series MTN, 2.85%, 5/17/2024 (c) | 350,000 | 361,214 | |||
Series MTN, 2.95%, 2/26/2022 | 150,000 | 153,423 | |||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 26,669 | |||
Caterpillar, Inc.: | |||||
2.60%, 9/19/2029 | 100,000 | 100,695 | |||
3.80%, 8/15/2042 (c) | 125,000 | 139,576 | |||
4.75%, 5/15/2064 | 25,000 | 31,580 | |||
1,275,452 | |||||
MACHINERY-DIVERSIFIED — 0.2% | |||||
CNH Industrial Capital LLC: | |||||
3.88%, 10/15/2021 | 10,000 | 10,272 | |||
4.20%, 1/15/2024 | 100,000 | 105,906 | |||
4.38%, 4/5/2022 | 15,000 | 15,667 | |||
4.88%, 4/1/2021 | 15,000 | 15,484 | |||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 (c) | 15,000 | 15,634 | |||
Deere & Co.: | |||||
2.60%, 6/8/2022 | 25,000 | 25,422 | |||
2.88%, 9/7/2049 | 35,000 | 33,138 | |||
3.90%, 6/9/2042 (c) | 225,000 | 253,609 | |||
John Deere Capital Corp.: | |||||
3.65%, 10/12/2023 (c) | 100,000 | 105,934 | |||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 26,182 | |||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 151,077 | |||
Series MTN, 2.25%, 9/14/2026 | 100,000 | 99,987 | |||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 66,438 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 153,888 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.80%, 7/18/2029 (c) | $50,000 | $51,308 | |||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 26,669 | |||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 106,550 | |||
nVent Finance Sarl 4.55%, 4/15/2028 | 50,000 | 51,931 | |||
Rockwell Automation, Inc.: | |||||
3.50%, 3/1/2029 | 85,000 | 91,555 | |||
4.20%, 3/1/2049 | 250,000 | 291,117 | |||
Roper Technologies, Inc.: | |||||
2.80%, 12/15/2021 | 50,000 | 50,721 | |||
2.95%, 9/15/2029 | 40,000 | 40,405 | |||
3.80%, 12/15/2026 | 30,000 | 32,264 | |||
4.20%, 9/15/2028 | 65,000 | 71,246 | |||
Wabtec Corp.: | |||||
4.40%, 3/15/2024 | 50,000 | 53,118 | |||
4.95%, 9/15/2028 | 300,000 | 330,141 | |||
2,275,663 | |||||
MEDIA — 0.9% | |||||
CBS Corp.: | |||||
2.50%, 2/15/2023 | 50,000 | 50,423 | |||
2.90%, 1/15/2027 | 125,000 | 125,130 | |||
3.70%, 6/1/2028 | 50,000 | 52,409 | |||
4.20%, 6/1/2029 (c) | 200,000 | 217,868 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||||
4.20%, 3/15/2028 | 250,000 | 266,542 | |||
4.46%, 7/23/2022 | 150,000 | 157,674 | |||
4.50%, 2/1/2024 | 100,000 | 107,582 | |||
4.80%, 3/1/2050 | 155,000 | 163,463 | |||
4.91%, 7/23/2025 | 50,000 | 55,109 | |||
5.05%, 3/30/2029 | 100,000 | 113,242 | |||
5.38%, 5/1/2047 | 150,000 | 168,628 | |||
6.48%, 10/23/2045 | 185,000 | 230,366 | |||
Comcast Corp.: | |||||
2.75%, 3/1/2023 | 175,000 | 179,048 | |||
3.00%, 2/1/2024 | 350,000 | 362,929 | |||
3.15%, 3/1/2026 | 225,000 | 235,910 | |||
3.15%, 2/15/2028 | 200,000 | 209,748 | |||
3.20%, 7/15/2036 | 250,000 | 255,827 | |||
3.30%, 2/1/2027 | 150,000 | 158,653 | |||
3.40%, 7/15/2046 | 100,000 | 101,330 | |||
3.45%, 10/1/2021 | 140,000 | 144,082 | |||
3.60%, 3/1/2024 | 25,000 | 26,512 | |||
3.90%, 3/1/2038 | 150,000 | 166,294 | |||
3.95%, 10/15/2025 | 350,000 | 381,930 | |||
4.00%, 11/1/2049 | 69,000 | 76,617 | |||
4.05%, 11/1/2052 | 150,000 | 168,498 | |||
4.20%, 8/15/2034 | 100,000 | 115,218 | |||
4.25%, 10/15/2030 | 50,000 | 57,142 | |||
4.25%, 1/15/2033 | 50,000 | 57,821 |
Security Description | Principal Amount | Value | |||
4.60%, 10/15/2038 | $305,000 | $363,761 | |||
4.65%, 7/15/2042 | 75,000 | 90,208 | |||
4.70%, 10/15/2048 | 305,000 | 376,321 | |||
4.95%, 10/15/2058 | 105,000 | 136,699 | |||
Discovery Communications LLC: | |||||
3.25%, 4/1/2023 | 25,000 | 25,686 | |||
3.80%, 3/13/2024 | 100,000 | 105,402 | |||
3.95%, 3/20/2028 | 30,000 | 32,071 | |||
4.95%, 5/15/2042 | 50,000 | 55,420 | |||
5.00%, 9/20/2037 | 170,000 | 192,652 | |||
5.20%, 9/20/2047 | 100,000 | 116,559 | |||
Fox Corp.: | |||||
3.67%, 1/25/2022 (b) | 15,000 | 15,504 | |||
4.03%, 1/25/2024 (b) | 25,000 | 26,634 | |||
4.71%, 1/25/2029 (b) | 40,000 | 45,647 | |||
5.48%, 1/25/2039 (b) | 275,000 | 336,479 | |||
5.58%, 1/25/2049 (b) | 25,000 | 31,805 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 52,193 | |||
6.13%, 1/31/2046 | 100,000 | 120,648 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 51,518 | |||
Time Warner Cable LLC: | |||||
4.00%, 9/1/2021 | 25,000 | 25,576 | |||
4.50%, 9/15/2042 | 100,000 | 102,378 | |||
5.50%, 9/1/2041 | 425,000 | 477,407 | |||
5.88%, 11/15/2040 | 50,000 | 58,179 | |||
6.75%, 6/15/2039 | 50,000 | 63,094 | |||
TWDC Enterprises 18 Corp.: | |||||
2.30%, 2/12/2021 (c) | 200,000 | 201,188 | |||
3.00%, 2/13/2026 (c) | 50,000 | 52,639 | |||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 26,571 | |||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 74,085 | |||
Viacom, Inc.: | |||||
4.25%, 9/1/2023 | 100,000 | 106,636 | |||
4.38%, 3/15/2043 | 25,000 | 26,479 | |||
5.85%, 9/1/2043 | 200,000 | 251,286 | |||
Walt Disney Co.: | |||||
1.65%, 9/1/2022 | 20,000 | 19,958 | |||
1.75%, 8/30/2024 | 50,000 | 49,533 | |||
2.00%, 9/1/2029 | 185,000 | 179,703 | |||
3.38%, 11/15/2026 | 100,000 | 107,100 | |||
3.70%, 10/15/2025 | 100,000 | 108,124 | |||
4.00%, 10/1/2023 | 100,000 | 106,857 | |||
5.40%, 10/1/2043 | 75,000 | 102,361 | |||
6.65%, 11/15/2037 | 250,000 | 371,370 | |||
9,091,726 | |||||
METAL FABRICATE & HARDWARE — 0.0% (a) | |||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 76,345 |
Security Description | Principal Amount | Value | |||
Timken Co. 4.50%, 12/15/2028 | $20,000 | $21,529 | |||
97,874 | |||||
MINING — 0.2% | |||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 30,032 | |||
Barrick North America Finance LLC 5.75%, 5/1/2043 | 250,000 | 320,217 | |||
BHP Billiton Finance USA, Ltd.: | |||||
4.13%, 2/24/2042 | 125,000 | 142,401 | |||
5.00%, 9/30/2043 | 50,000 | 64,339 | |||
Newmont Goldcorp Corp.: | |||||
2.80%, 10/1/2029 | 80,000 | 79,347 | |||
3.50%, 3/15/2022 | 25,000 | 25,647 | |||
3.70%, 3/15/2023 | 50,000 | 52,292 | |||
Newmont Mining Corp. 4.88%, 3/15/2042 | 50,000 | 58,467 | |||
Rio Tinto Finance USA PLC: | |||||
4.13%, 8/21/2042 (c) | 25,000 | 28,661 | |||
4.75%, 3/22/2042 | 150,000 | 183,728 | |||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 | 250,000 | 268,842 | |||
Southern Copper Corp. 5.88%, 4/23/2045 | 357,000 | 446,282 | |||
1,700,255 | |||||
MISCELLANEOUS MANUFACTURER — 0.3% | |||||
3M Co.: | |||||
1.75%, 2/14/2023 | 100,000 | 99,450 | |||
2.00%, 2/14/2025 | 100,000 | 99,305 | |||
2.38%, 8/26/2029 | 100,000 | 98,252 | |||
2.88%, 10/15/2027 | 225,000 | 233,703 | |||
3.25%, 8/26/2049 | 60,000 | 58,220 | |||
Series MTN, 3.38%, 3/1/2029 | 50,000 | 53,188 | |||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 25,786 | |||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 33,018 | |||
Eaton Corp.: | |||||
3.10%, 9/15/2027 | 100,000 | 104,044 | |||
4.15%, 11/2/2042 | 25,000 | 28,012 | |||
General Electric Co.: | |||||
2.70%, 10/9/2022 | 500,000 | 506,540 | |||
4.13%, 10/9/2042 | 18,000 | 18,663 | |||
5.30%, 2/11/2021 | 25,000 | 25,841 | |||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 51,943 | |||
Series MTN, 4.65%, 10/17/2021 | 50,000 | 52,098 | |||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 60,474 | |||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 325,000 | 375,531 |
Security Description | Principal Amount | Value | |||
Ingersoll-Rand Global Holding Co., Ltd. 5.75%, 6/15/2043 | $25,000 | $31,965 | |||
Ingersoll-Rand Luxembourg Finance SA 3.80%, 3/21/2029 (c) | 100,000 | 107,755 | |||
Parker-Hannifin Corp.: | |||||
2.70%, 6/14/2024 | 35,000 | 35,714 | |||
3.25%, 6/14/2029 | 285,000 | 297,258 | |||
4.00%, 6/14/2049 | 40,000 | 43,393 | |||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 52,120 | |||
Textron, Inc.: | |||||
3.90%, 9/17/2029 | 50,000 | 53,377 | |||
4.00%, 3/15/2026 | 50,000 | 53,276 | |||
2,598,926 | |||||
OIL & GAS — 1.6% | |||||
Apache Corp.: | |||||
4.25%, 1/15/2030 (c) | 100,000 | 103,463 | |||
4.75%, 4/15/2043 | 275,000 | 265,372 | |||
BP Capital Markets America, Inc.: | |||||
2.52%, 9/19/2022 | 250,000 | 253,977 | |||
3.02%, 1/16/2027 | 200,000 | 207,214 | |||
3.22%, 4/14/2024 | 200,000 | 208,558 | |||
3.59%, 4/14/2027 | 250,000 | 267,455 | |||
3.94%, 9/21/2028 | 100,000 | 110,549 | |||
BP Capital Markets PLC: | |||||
3.06%, 3/17/2022 | 200,000 | 205,186 | |||
3.81%, 2/10/2024 | 150,000 | 159,978 | |||
Canadian Natural Resources, Ltd.: | |||||
2.95%, 1/15/2023 (c) | 250,000 | 254,945 | |||
3.45%, 11/15/2021 | 25,000 | 25,584 | |||
3.85%, 6/1/2027 | 50,000 | 53,319 | |||
3.90%, 2/1/2025 | 25,000 | 26,708 | |||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 122,367 | |||
Cenovus Energy, Inc.: | |||||
3.00%, 8/15/2022 | 20,000 | 20,267 | |||
4.25%, 4/15/2027 (c) | 50,000 | 52,923 | |||
5.25%, 6/15/2037 | 100,000 | 110,458 | |||
5.40%, 6/15/2047 | 50,000 | 58,024 | |||
Chevron Corp.: | |||||
2.10%, 5/16/2021 (c) | 250,000 | 251,252 | |||
2.90%, 3/3/2024 | 150,000 | 155,496 | |||
2.95%, 5/16/2026 | 50,000 | 52,285 | |||
3.19%, 6/24/2023 | 25,000 | 26,054 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 | 250,000 | 259,130 | |||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 300,000 | 314,298 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 122,271 |
Security Description | Principal Amount | Value | |||
Concho Resources, Inc. 3.75%, 10/1/2027 | $300,000 | $315,729 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 230,060 | |||
5.95%, 3/15/2046 | 200,000 | 285,902 | |||
6.50%, 2/1/2039 | 75,000 | 109,196 | |||
ConocoPhillips Holding Co. 6.95%, 4/15/2029 | 50,000 | 68,019 | |||
Continental Resources, Inc.: | |||||
3.80%, 6/1/2024 | 40,000 | 41,383 | |||
4.38%, 1/15/2028 | 40,000 | 42,550 | |||
4.50%, 4/15/2023 | 60,000 | 62,872 | |||
4.90%, 6/1/2044 | 30,000 | 31,913 | |||
5.00%, 9/15/2022 | 44,000 | 44,338 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 29,196 | |||
5.85%, 12/15/2025 (c) | 50,000 | 59,295 | |||
Diamondback Energy, Inc.: | |||||
2.88%, 12/1/2024 | 60,000 | 60,700 | |||
3.25%, 12/1/2026 | 45,000 | 45,521 | |||
3.50%, 12/1/2029 | 100,000 | 101,838 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 | 100,000 | 105,339 | |||
5.88%, 5/28/2045 | 225,000 | 264,917 | |||
7.38%, 9/18/2043 | 50,000 | 67,612 | |||
Encana Corp. 3.90%, 11/15/2021 | 25,000 | 25,602 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 101,957 | |||
3.90%, 4/1/2035 | 25,000 | 27,785 | |||
EQT Corp.: | |||||
3.00%, 10/1/2022 (c) | 100,000 | 98,151 | |||
3.90%, 10/1/2027 (c) | 100,000 | 93,048 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 76,801 | |||
3.25%, 11/18/2049 | 55,000 | 55,497 | |||
3.63%, 9/10/2028 | 50,000 | 54,963 | |||
3.70%, 3/1/2024 | 300,000 | 319,686 | |||
3.95%, 5/15/2043 | 50,000 | 55,717 | |||
4.80%, 11/8/2043 | 30,000 | 37,769 | |||
Exxon Mobil Corp.: | |||||
1.90%, 8/16/2022 | 20,000 | 20,122 | |||
2.02%, 8/16/2024 | 50,000 | 50,169 | |||
2.22%, 3/1/2021 | 200,000 | 201,190 | |||
2.44%, 8/16/2029 (c) | 50,000 | 50,292 | |||
2.73%, 3/1/2023 | 150,000 | 153,591 | |||
3.00%, 8/16/2039 | 50,000 | 50,062 | |||
3.04%, 3/1/2026 | 250,000 | 262,270 | |||
3.10%, 8/16/2049 | 50,000 | 49,931 | |||
4.11%, 3/1/2046 | 125,000 | 146,399 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 88,333 | |||
5.80%, 4/1/2047 | 250,000 | 306,070 | |||
Husky Energy, Inc. 4.40%, 4/15/2029 | 100,000 | 107,800 |
Security Description | Principal Amount | Value | |||
Marathon Oil Corp.: | |||||
2.80%, 11/1/2022 | $25,000 | $25,437 | |||
4.40%, 7/15/2027 | 50,000 | 54,412 | |||
5.20%, 6/1/2045 (c) | 50,000 | 58,163 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 52,476 | |||
3.80%, 4/1/2028 | 30,000 | 31,526 | |||
4.50%, 4/1/2048 | 25,000 | 26,601 | |||
5.13%, 12/15/2026 | 150,000 | 170,089 | |||
Newfield Exploration Co. 5.63%, 7/1/2024 | 250,000 | 275,742 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 127,554 | |||
Noble Energy, Inc.: | |||||
4.95%, 8/15/2047 | 250,000 | 276,902 | |||
5.25%, 11/15/2043 | 50,000 | 55,999 | |||
Occidental Petroleum Corp.: | |||||
2.60%, 8/13/2021 | 50,000 | 50,363 | |||
2.60%, 4/15/2022 | 100,000 | 100,749 | |||
2.70%, 8/15/2022 | 295,000 | 298,221 | |||
2.90%, 8/15/2024 | 300,000 | 304,749 | |||
3.20%, 8/15/2026 | 65,000 | 65,753 | |||
3.50%, 8/15/2029 (c) | 65,000 | 66,290 | |||
4.40%, 4/15/2046 | 125,000 | 126,946 | |||
4.40%, 8/15/2049 (c) | 30,000 | 30,911 | |||
6.20%, 3/15/2040 | 25,000 | 29,866 | |||
6.60%, 3/15/2046 | 300,000 | 388,398 | |||
Series 1, 4.10%, 2/1/2021 | 25,000 | 25,423 | |||
Petro-Canada 5.35%, 7/15/2033 | 25,000 | 30,906 | |||
Petroleos Mexicanos: | |||||
2.46%, 12/15/2025 | 15,000 | 14,958 | |||
4.25%, 1/15/2025 (c) | 25,000 | 25,338 | |||
4.50%, 1/23/2026 | 75,000 | 74,648 | |||
6.35%, 2/12/2048 | 150,000 | 144,823 | |||
6.38%, 1/23/2045 | 250,000 | 242,197 | |||
6.50%, 3/13/2027 | 250,000 | 264,827 | |||
6.50%, 1/23/2029 | 75,000 | 78,872 | |||
6.75%, 9/21/2047 | 598,000 | 602,575 | |||
6.84%, 1/23/2030 (b) | 500,000 | 534,920 | |||
6.88%, 8/4/2026 | 250,000 | 275,075 | |||
7.69%, 1/23/2050 (b) | 500,000 | 546,705 | |||
Phillips 66: | |||||
3.90%, 3/15/2028 (c) | 50,000 | 54,572 | |||
4.30%, 4/1/2022 | 35,000 | 36,800 | |||
4.88%, 11/15/2044 | 95,000 | 114,649 | |||
Pioneer Natural Resources Co. 4.45%, 1/15/2026 | 50,000 | 54,795 | |||
Shell International Finance B.V.: | |||||
1.88%, 5/10/2021 | 250,000 | 250,417 | |||
2.00%, 11/7/2024 | 100,000 | 99,829 | |||
2.38%, 11/7/2029 | 100,000 | 99,079 | |||
2.50%, 9/12/2026 | 150,000 | 151,614 | |||
3.13%, 11/7/2049 | 100,000 | 98,621 | |||
3.25%, 5/11/2025 | 100,000 | 105,716 |
Security Description | Principal Amount | Value | |||
4.00%, 5/10/2046 | $100,000 | $113,886 | |||
4.13%, 5/11/2035 | 75,000 | 87,388 | |||
4.38%, 5/11/2045 | 250,000 | 298,230 | |||
5.50%, 3/25/2040 | 25,000 | 33,878 | |||
Suncor Energy, Inc.: | |||||
3.60%, 12/1/2024 | 25,000 | 26,540 | |||
4.00%, 11/15/2047 | 70,000 | 76,422 | |||
6.50%, 6/15/2038 | 50,000 | 69,519 | |||
Total Capital International SA 3.75%, 4/10/2024 | 375,000 | 401,786 | |||
Total Capital SA 3.88%, 10/11/2028 | 25,000 | 27,886 | |||
Valero Energy Corp.: | |||||
3.40%, 9/15/2026 (c) | 50,000 | 52,407 | |||
6.63%, 6/15/2037 | 250,000 | 331,927 | |||
16,151,093 | |||||
OIL & GAS SERVICES — 0.1% | |||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | |||||
2.77%, 12/15/2022 | 100,000 | 102,023 | |||
3.34%, 12/15/2027 | 50,000 | 52,169 | |||
4.08%, 12/15/2047 | 150,000 | 154,202 | |||
Halliburton Co.: | |||||
3.80%, 11/15/2025 (c) | 350,000 | 373,485 | |||
4.85%, 11/15/2035 | 150,000 | 168,960 | |||
5.00%, 11/15/2045 | 35,000 | 39,939 | |||
7.45%, 9/15/2039 | 25,000 | 36,045 | |||
National Oilwell Varco, Inc.: | |||||
2.60%, 12/1/2022 | 21,000 | 21,224 | |||
3.60%, 12/1/2029 | 100,000 | 100,433 | |||
Patterson-UTI Energy, Inc. 5.15%, 11/15/2029 | 50,000 | 51,086 | |||
1,099,566 | |||||
PACKAGING & CONTAINERS — 0.0% (a) | |||||
Packaging Corp. of America: | |||||
3.00%, 12/15/2029 | 25,000 | 25,208 | |||
3.40%, 12/15/2027 | 35,000 | 36,536 | |||
4.05%, 12/15/2049 | 10,000 | 10,422 | |||
WRKCo, Inc.: | |||||
3.38%, 9/15/2027 | 100,000 | 102,443 | |||
3.75%, 3/15/2025 | 100,000 | 105,298 | |||
4.20%, 6/1/2032 | 50,000 | 54,827 | |||
334,734 | |||||
PHARMACEUTICALS — 1.8% | |||||
AbbVie, Inc.: | |||||
2.15%, 11/19/2021 (b) (c) | 115,000 | 115,308 | |||
2.30%, 5/14/2021 | 325,000 | 326,176 | |||
2.60%, 11/21/2024 (b) | 105,000 | 105,919 | |||
2.90%, 11/6/2022 | 25,000 | 25,525 | |||
2.95%, 11/21/2026 (b) | 105,000 | 106,765 |
Security Description | Principal Amount | Value | |||
3.20%, 5/14/2026 | $200,000 | $207,088 | |||
3.20%, 11/21/2029 (b) | 245,000 | 250,022 | |||
3.38%, 11/14/2021 | 270,000 | 276,896 | |||
3.75%, 11/14/2023 | 235,000 | 247,439 | |||
4.05%, 11/21/2039 (b) | 605,000 | 635,189 | |||
4.25%, 11/14/2028 (c) | 35,000 | 38,803 | |||
4.25%, 11/21/2049 (b) | 90,000 | 95,452 | |||
4.30%, 5/14/2036 | 50,000 | 54,931 | |||
4.40%, 11/6/2042 | 50,000 | 54,144 | |||
4.45%, 5/14/2046 | 150,000 | 161,800 | |||
4.50%, 5/14/2035 | 50,000 | 56,213 | |||
4.88%, 11/14/2048 | 25,000 | 28,841 | |||
Allergan Funding SCS: | |||||
3.45%, 3/15/2022 | 200,000 | 204,652 | |||
3.80%, 3/15/2025 | 75,000 | 78,793 | |||
3.85%, 6/15/2024 | 50,000 | 52,542 | |||
4.55%, 3/15/2035 | 350,000 | 378,150 | |||
4.75%, 3/15/2045 | 75,000 | 81,608 | |||
AmerisourceBergen Corp. 3.45%, 12/15/2027 | 50,000 | 52,178 | |||
AstraZeneca PLC: | |||||
2.38%, 6/12/2022 | 400,000 | 404,452 | |||
3.38%, 11/16/2025 | 35,000 | 37,230 | |||
3.50%, 8/17/2023 | 50,000 | 52,343 | |||
4.00%, 1/17/2029 | 35,000 | 38,887 | |||
4.00%, 9/18/2042 | 25,000 | 27,646 | |||
4.38%, 8/17/2048 | 40,000 | 47,490 | |||
6.45%, 9/15/2037 | 25,000 | 35,369 | |||
Becton Dickinson and Co.: | |||||
2.89%, 6/6/2022 | 235,000 | 238,885 | |||
3.36%, 6/6/2024 | 50,000 | 52,068 | |||
3.70%, 6/6/2027 | 163,000 | 173,504 | |||
3.73%, 12/15/2024 | 50,000 | 53,103 | |||
4.67%, 6/6/2047 | 210,000 | 249,948 | |||
4.69%, 12/15/2044 | 20,000 | 23,272 | |||
Bristol-Myers Squibb Co.: | |||||
2.55%, 5/14/2021 (b) | 50,000 | 50,494 | |||
2.60%, 5/16/2022 (b) | 50,000 | 50,830 | |||
2.88%, 2/19/2021 (b) | 25,000 | 25,290 | |||
3.25%, 2/20/2023 (b) | 50,000 | 51,752 | |||
3.25%, 2/27/2027 (c) | 250,000 | 267,340 | |||
3.25%, 8/1/2042 | 50,000 | 50,514 | |||
3.40%, 7/26/2029 (b) | 355,000 | 380,283 | |||
3.63%, 5/15/2024 (b) | 25,000 | 26,415 | |||
3.88%, 8/15/2025 (b) | 25,000 | 27,047 | |||
3.90%, 2/20/2028 (b) | 100,000 | 109,644 | |||
4.13%, 6/15/2039 (b) | 35,000 | 40,350 | |||
4.35%, 11/15/2047 (b) | 225,000 | 267,210 | |||
4.55%, 2/20/2048 (b) | 100,000 | 122,576 | |||
4.63%, 5/15/2044 (b) | 50,000 | 60,584 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 257,412 | |||
3.41%, 6/15/2027 (c) | 300,000 | 307,101 | |||
4.90%, 9/15/2045 | 25,000 | 26,067 | |||
Cigna Corp.: |
Security Description | Principal Amount | Value | |||
3.05%, 10/15/2027 (b) | $50,000 | $50,636 | |||
3.30%, 2/25/2021 (b) | 25,000 | 25,319 | |||
3.40%, 9/17/2021 | 290,000 | 296,824 | |||
3.75%, 7/15/2023 | 100,000 | 104,976 | |||
4.38%, 10/15/2028 | 60,000 | 66,581 | |||
4.80%, 8/15/2038 | 60,000 | 69,951 | |||
4.90%, 12/15/2048 | 145,000 | 173,361 | |||
6.13%, 11/15/2041 (b) | 25,000 | 31,739 | |||
CVS Health Corp.: | |||||
2.13%, 6/1/2021 | 100,000 | 100,165 | |||
2.88%, 6/1/2026 | 210,000 | 213,007 | |||
3.35%, 3/9/2021 | 316,000 | 321,031 | |||
3.38%, 8/12/2024 | 25,000 | 26,038 | |||
3.50%, 7/20/2022 | 200,000 | 206,530 | |||
3.88%, 7/20/2025 | 20,000 | 21,333 | |||
4.00%, 12/5/2023 | 25,000 | 26,480 | |||
4.10%, 3/25/2025 | 250,000 | 268,860 | |||
4.30%, 3/25/2028 | 610,000 | 667,383 | |||
4.78%, 3/25/2038 | 175,000 | 199,110 | |||
4.88%, 7/20/2035 | 45,000 | 51,658 | |||
5.05%, 3/25/2048 | 300,000 | 355,875 | |||
5.13%, 7/20/2045 | 185,000 | 219,206 | |||
Eli Lilly & Co. 2.35%, 5/15/2022 | 300,000 | 303,810 | |||
Express Scripts Holding Co. 4.80%, 7/15/2046 | 150,000 | 162,109 | |||
GlaxoSmithKline Capital PLC: | |||||
2.88%, 6/1/2022 | 450,000 | 459,877 | |||
3.00%, 6/1/2024 | 70,000 | 72,645 | |||
3.13%, 5/14/2021 | 70,000 | 71,203 | |||
3.38%, 6/1/2029 | 85,000 | 91,165 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 25,622 | |||
3.38%, 5/15/2023 | 100,000 | 104,393 | |||
3.63%, 5/15/2025 | 55,000 | 58,940 | |||
3.88%, 5/15/2028 | 100,000 | 110,424 | |||
4.20%, 3/18/2043 | 25,000 | 29,310 | |||
6.38%, 5/15/2038 | 50,000 | 72,183 | |||
Johnson & Johnson: | |||||
2.25%, 3/3/2022 | 250,000 | 252,890 | |||
2.45%, 3/1/2026 | 30,000 | 30,521 | |||
2.90%, 1/15/2028 | 250,000 | 261,090 | |||
3.38%, 12/5/2023 (c) | 25,000 | 26,534 | |||
3.40%, 1/15/2038 | 100,000 | 107,304 | |||
3.55%, 3/1/2036 | 150,000 | 164,374 | |||
3.63%, 3/3/2037 | 200,000 | 220,886 | |||
3.75%, 3/3/2047 | 100,000 | 113,487 | |||
4.50%, 12/5/2043 | 50,000 | 61,778 | |||
McKesson Corp.: | |||||
2.85%, 3/15/2023 | 25,000 | 25,349 | |||
3.95%, 2/16/2028 | 60,000 | 64,009 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 29,803 | |||
Merck & Co., Inc.: | |||||
2.35%, 2/10/2022 | 50,000 | 50,711 |
Security Description | Principal Amount | Value | |||
2.40%, 9/15/2022 | $25,000 | $25,370 | |||
2.75%, 2/10/2025 | 325,000 | 336,937 | |||
2.90%, 3/7/2024 (c) | 45,000 | 46,793 | |||
3.40%, 3/7/2029 | 100,000 | 108,338 | |||
3.60%, 9/15/2042 | 25,000 | 27,132 | |||
3.70%, 2/10/2045 | 50,000 | 55,288 | |||
3.90%, 3/7/2039 | 100,000 | 114,316 | |||
4.00%, 3/7/2049 | 65,000 | 76,084 | |||
Mylan NV: | |||||
3.15%, 6/15/2021 | 380,000 | 384,875 | |||
5.25%, 6/15/2046 | 250,000 | 278,345 | |||
Novartis Capital Corp.: | |||||
2.40%, 5/17/2022 | 300,000 | 303,975 | |||
3.00%, 11/20/2025 | 25,000 | 26,307 | |||
3.10%, 5/17/2027 (c) | 30,000 | 31,763 | |||
3.40%, 5/6/2024 | 25,000 | 26,481 | |||
4.00%, 11/20/2045 | 50,000 | 58,030 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 51,589 | |||
Pfizer, Inc.: | |||||
2.20%, 12/15/2021 | 200,000 | 201,778 | |||
2.95%, 3/15/2024 | 100,000 | 103,783 | |||
3.00%, 9/15/2021 | 40,000 | 40,834 | |||
3.00%, 12/15/2026 | 150,000 | 157,425 | |||
3.20%, 9/15/2023 | 50,000 | 52,176 | |||
3.40%, 5/15/2024 | 25,000 | 26,443 | |||
3.45%, 3/15/2029 | 100,000 | 107,622 | |||
3.60%, 9/15/2028 | 100,000 | 109,469 | |||
3.90%, 3/15/2039 | 25,000 | 28,185 | |||
4.00%, 12/15/2036 | 150,000 | 170,442 | |||
4.00%, 3/15/2049 | 350,000 | 403,305 | |||
4.10%, 9/15/2038 | 200,000 | 228,864 | |||
4.20%, 9/15/2048 | 35,000 | 41,224 | |||
7.20%, 3/15/2039 | 75,000 | 117,745 | |||
Sanofi: | |||||
3.63%, 6/19/2028 | 100,000 | 110,726 | |||
4.00%, 3/29/2021 | 25,000 | 25,670 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.40%, 9/23/2021 | 300,000 | 301,734 | |||
2.88%, 9/23/2023 | 100,000 | 101,987 | |||
3.20%, 9/23/2026 | 30,000 | 30,919 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
4.40%, 11/26/2023 | 100,000 | 107,452 | |||
5.00%, 11/26/2028 | 100,000 | 116,515 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 34,076 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 51,339 | |||
3.90%, 8/20/2028 | 50,000 | 54,232 | |||
4.45%, 8/20/2048 | 25,000 | 29,173 | |||
4.70%, 2/1/2043 | 25,000 | 29,854 | |||
18,390,615 |
Security Description | Principal Amount | Value | |||
PIPELINES — 1.1% | |||||
Boardwalk Pipelines L.P. 4.80%, 5/3/2029 | $40,000 | $42,608 | |||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 (b) (c) | 90,000 | 92,063 | |||
Enable Midstream Partners L.P.: | |||||
4.15%, 9/15/2029 | 100,000 | 95,717 | |||
4.40%, 3/15/2027 | 50,000 | 49,814 | |||
4.95%, 5/15/2028 | 30,000 | 30,405 | |||
Enbridge Energy Partners L.P. 4.20%, 9/15/2021 | 25,000 | 25,746 | |||
Enbridge, Inc.: | |||||
2.90%, 7/15/2022 | 50,000 | 50,963 | |||
3.70%, 7/15/2027 | 50,000 | 52,997 | |||
4.00%, 11/15/2049 (c) | 100,000 | 104,873 | |||
4.25%, 12/1/2026 | 50,000 | 55,137 | |||
Energy Transfer Operating L.P.: | |||||
4.20%, 4/15/2027 | 50,000 | 52,353 | |||
4.75%, 1/15/2026 | 225,000 | 243,169 | |||
5.15%, 2/1/2043 | 25,000 | 25,608 | |||
5.15%, 3/15/2045 (c) | 225,000 | 236,306 | |||
5.20%, 2/1/2022 | 100,000 | 104,894 | |||
5.25%, 4/15/2029 | 275,000 | 309,314 | |||
5.88%, 1/15/2024 | 250,000 | 276,670 | |||
6.25%, 4/15/2049 | 275,000 | 333,385 | |||
Enterprise Products Operating LLC: | |||||
2.85%, 4/15/2021 | 75,000 | 75,821 | |||
3.13%, 7/31/2029 | 100,000 | 102,872 | |||
3.50%, 2/1/2022 | 25,000 | 25,768 | |||
3.75%, 2/15/2025 | 75,000 | 79,983 | |||
3.95%, 2/15/2027 | 200,000 | 216,190 | |||
4.15%, 10/16/2028 | 25,000 | 27,637 | |||
4.20%, 1/31/2050 | 65,000 | 70,168 | |||
4.80%, 2/1/2049 (c) | 25,000 | 29,462 | |||
4.85%, 3/15/2044 | 50,000 | 57,852 | |||
4.90%, 5/15/2046 | 50,000 | 58,728 | |||
5.10%, 2/15/2045 | 200,000 | 239,742 | |||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (d) | 250,000 | 247,237 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (d) | 150,000 | 151,090 | |||
EQM Midstream Partners L.P.: | |||||
4.75%, 7/15/2023 | 250,000 | 250,762 | |||
5.50%, 7/15/2028 | 15,000 | 14,735 | |||
6.50%, 7/15/2048 | 25,000 | 23,262 | |||
Kinder Morgan Energy Partners L.P.: | |||||
3.50%, 3/1/2021 | 275,000 | 278,924 | |||
5.40%, 9/1/2044 | 25,000 | 28,703 | |||
Kinder Morgan, Inc.: | |||||
3.15%, 1/15/2023 | 450,000 | 460,926 | |||
4.30%, 6/1/2025 | 300,000 | 325,053 |
Security Description | Principal Amount | Value | |||
5.05%, 2/15/2046 | $50,000 | $56,192 | |||
5.30%, 12/1/2034 | 200,000 | 235,592 | |||
5.55%, 6/1/2045 | 150,000 | 178,974 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 52,248 | |||
4.85%, 2/1/2049 (c) | 275,000 | 319,176 | |||
5.00%, 3/1/2026 | 50,000 | 56,439 | |||
MPLX L.P.: | |||||
3.50%, 12/1/2022 (b) | 75,000 | 77,285 | |||
4.00%, 3/15/2028 | 35,000 | 36,310 | |||
4.50%, 4/15/2038 | 180,000 | 183,551 | |||
4.70%, 4/15/2048 | 100,000 | 101,818 | |||
4.80%, 2/15/2029 | 105,000 | 115,209 | |||
4.88%, 6/1/2025 | 50,000 | 54,616 | |||
4.90%, 4/15/2058 | 25,000 | 25,616 | |||
5.20%, 3/1/2047 | 100,000 | 108,051 | |||
5.20%, 12/1/2047 (b) | 100,000 | 107,532 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 25,671 | |||
ONEOK, Inc.: | |||||
2.75%, 9/1/2024 | 100,000 | 100,765 | |||
3.40%, 9/1/2029 | 100,000 | 101,670 | |||
4.00%, 7/13/2027 | 30,000 | 31,851 | |||
4.45%, 9/1/2049 | 40,000 | 41,429 | |||
4.55%, 7/15/2028 | 50,000 | 54,964 | |||
4.95%, 7/13/2047 | 150,000 | 164,347 | |||
5.20%, 7/15/2048 | 25,000 | 28,507 | |||
Phillips 66 Partners L.P.: | |||||
2.45%, 12/15/2024 | 100,000 | 99,976 | |||
3.15%, 12/15/2029 | 100,000 | 99,627 | |||
3.55%, 10/1/2026 | 10,000 | 10,454 | |||
3.75%, 3/1/2028 | 25,000 | 26,083 | |||
4.90%, 10/1/2046 | 10,000 | 11,240 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 25,793 | |||
4.50%, 12/15/2026 | 50,000 | 53,188 | |||
4.65%, 10/15/2025 | 400,000 | 428,568 | |||
4.70%, 6/15/2044 | 25,000 | 24,318 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 | 100,000 | 106,103 | |||
5.63%, 2/1/2021 | 95,000 | 97,694 | |||
5.63%, 3/1/2025 | 200,000 | 224,836 | |||
5.75%, 5/15/2024 | 75,000 | 83,672 | |||
5.88%, 6/30/2026 | 250,000 | 287,445 | |||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 381,069 | |||
Sunoco Logistics Partners Operations L.P.: | |||||
4.00%, 10/1/2027 | 50,000 | 51,893 | |||
5.30%, 4/1/2044 | 25,000 | 26,460 | |||
5.35%, 5/15/2045 | 25,000 | 26,767 | |||
5.40%, 10/1/2047 | 150,000 | 162,876 | |||
TransCanada PipeLines, Ltd.: | |||||
2.50%, 8/1/2022 | 100,000 | 101,117 |
Security Description | Principal Amount | Value | |||
4.63%, 3/1/2034 | $250,000 | $285,647 | |||
4.75%, 5/15/2038 | 100,000 | 114,406 | |||
4.88%, 5/15/2048 (c) | 200,000 | 237,424 | |||
7.63%, 1/15/2039 | 25,000 | 37,598 | |||
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026 | 200,000 | 255,378 | |||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 55,076 | |||
Western Gas Partners L.P. 5.45%, 4/1/2044 | 25,000 | 22,040 | |||
Western Midstream Operating L.P.: | |||||
4.50%, 3/1/2028 | 20,000 | 19,501 | |||
4.75%, 8/15/2028 | 60,000 | 59,749 | |||
5.30%, 3/1/2048 | 50,000 | 43,407 | |||
Williams Cos., Inc.: | |||||
3.60%, 3/15/2022 | 100,000 | 102,746 | |||
3.70%, 1/15/2023 | 20,000 | 20,688 | |||
3.75%, 6/15/2027 | 200,000 | 208,670 | |||
3.90%, 1/15/2025 | 50,000 | 52,566 | |||
4.55%, 6/24/2024 | 65,000 | 70,136 | |||
5.10%, 9/15/2045 | 125,000 | 138,967 | |||
5.75%, 6/24/2044 | 25,000 | 29,508 | |||
11,287,436 | |||||
REAL ESTATE — 0.0% (a) | |||||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 55,964 | |||
REAL ESTATE INVESTMENT TRUSTS — 1.0% | |||||
Alexandria Real Estate Equities, Inc.: | |||||
3.38%, 8/15/2031 | 60,000 | 62,564 | |||
3.45%, 4/30/2025 | 100,000 | 105,399 | |||
4.00%, 2/1/2050 | 100,000 | 109,790 | |||
4.70%, 7/1/2030 | 35,000 | 40,244 | |||
American Campus Communities Operating Partnership L.P.: | |||||
3.30%, 7/15/2026 | 50,000 | 51,744 | |||
3.63%, 11/15/2027 | 30,000 | 31,589 | |||
American Tower Corp.: | |||||
2.25%, 1/15/2022 | 100,000 | 100,365 | |||
2.75%, 1/15/2027 | 200,000 | 200,232 | |||
3.00%, 6/15/2023 | 250,000 | 256,215 | |||
3.13%, 1/15/2027 | 100,000 | 102,230 | |||
3.38%, 10/15/2026 | 75,000 | 78,011 | |||
3.50%, 1/31/2023 | 50,000 | 51,814 | |||
AvalonBay Communities, Inc.: | |||||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 25,617 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 51,429 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 41,736 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.30%, 6/1/2029 | $65,000 | $68,805 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 54,678 | |||
Boston Properties L.P.: | |||||
2.75%, 10/1/2026 | 150,000 | 152,086 | |||
2.90%, 3/15/2030 | 35,000 | 34,905 | |||
3.40%, 6/21/2029 | 100,000 | 104,767 | |||
3.65%, 2/1/2026 | 100,000 | 105,923 | |||
3.85%, 2/1/2023 | 75,000 | 78,643 | |||
Brixmor Operating Partnership L.P.: | |||||
3.65%, 6/15/2024 | 50,000 | 52,334 | |||
4.13%, 6/15/2026 | 50,000 | 53,154 | |||
4.13%, 5/15/2029 | 100,000 | 107,456 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 67,610 | |||
4.10%, 10/15/2028 | 20,000 | 22,297 | |||
Crown Castle International Corp.: | |||||
3.20%, 9/1/2024 | 250,000 | 259,047 | |||
3.65%, 9/1/2027 | 150,000 | 158,856 | |||
3.70%, 6/15/2026 | 15,000 | 15,864 | |||
4.00%, 3/1/2027 | 20,000 | 21,563 | |||
4.75%, 5/15/2047 | 100,000 | 114,870 | |||
5.25%, 1/15/2023 | 100,000 | 108,663 | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 | 100,000 | 99,094 | |||
4.38%, 2/15/2029 | 30,000 | 32,910 | |||
CyrusOne L.P./CyrusOne Finance Corp.: | |||||
2.90%, 11/15/2024 | 150,000 | 150,733 | |||
3.45%, 11/15/2029 | 60,000 | 60,275 | |||
Digital Realty Trust L.P.: | |||||
2.75%, 2/1/2023 | 125,000 | 126,449 | |||
3.70%, 8/15/2027 | 150,000 | 159,373 | |||
3.95%, 7/1/2022 | 25,000 | 26,059 | |||
Duke Realty L.P. 4.00%, 9/15/2028 | 100,000 | 108,506 | |||
EPR Properties: | |||||
4.50%, 6/1/2027 | 50,000 | 53,574 | |||
4.95%, 4/15/2028 | 50,000 | 54,726 | |||
Equinix, Inc.: | |||||
2.63%, 11/18/2024 | 65,000 | 65,268 | |||
3.20%, 11/18/2029 | 45,000 | 45,200 | |||
5.38%, 5/15/2027 | 60,000 | 65,123 | |||
5.88%, 1/15/2026 | 80,000 | 85,081 | |||
ERP Operating L.P.: | |||||
3.00%, 7/1/2029 | 25,000 | 25,891 | |||
3.50%, 3/1/2028 | 100,000 | 106,903 | |||
4.00%, 8/1/2047 | 50,000 | 55,488 | |||
4.15%, 12/1/2028 (c) | 100,000 | 112,200 | |||
Essex Portfolio L.P.: | |||||
3.00%, 1/15/2030 | 25,000 | 25,275 | |||
3.63%, 5/1/2027 | 50,000 | 52,823 | |||
4.00%, 3/1/2029 | 65,000 | 70,588 | |||
4.50%, 3/15/2048 | 50,000 | 57,393 |
Security Description | Principal Amount | Value | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | $75,000 | $77,726 | |||
3.25%, 7/15/2027 | 50,000 | 51,929 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.35%, 9/1/2024 | 55,000 | 56,239 | |||
4.00%, 1/15/2030 | 65,000 | 66,570 | |||
5.25%, 6/1/2025 | 20,000 | 21,976 | |||
5.38%, 11/1/2023 | 20,000 | 21,813 | |||
5.38%, 4/15/2026 | 40,000 | 44,269 | |||
5.75%, 6/1/2028 | 20,000 | 22,719 | |||
HCP, Inc. 3.88%, 8/15/2024 | 50,000 | 53,179 | |||
Healthcare Trust of America Holdings L.P. 3.50%, 8/1/2026 | 25,000 | 26,164 | |||
Healthpeak Properties, Inc. 3.00%, 1/15/2030 | 250,000 | 250,197 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 24,678 | |||
3.88%, 3/1/2027 | 50,000 | 52,647 | |||
Hospitality Properties Trust: | |||||
4.38%, 2/15/2030 | 50,000 | 49,133 | |||
4.50%, 6/15/2023 (c) | 25,000 | 25,996 | |||
4.95%, 2/15/2027 | 70,000 | 72,257 | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | 50,000 | 52,761 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 151,387 | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | 200,000 | 198,832 | |||
4.65%, 4/1/2029 | 25,000 | 27,487 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 49,501 | |||
3.45%, 12/15/2024 | 50,000 | 52,053 | |||
4.75%, 12/15/2028 | 25,000 | 28,354 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 (c) | 50,000 | 50,245 | |||
3.30%, 2/1/2025 | 40,000 | 41,633 | |||
3.70%, 10/1/2049 | 100,000 | 97,520 | |||
3.80%, 4/1/2027 | 25,000 | 26,515 | |||
Liberty Property L.P. 4.38%, 2/1/2029 | 65,000 | 73,956 | |||
Life Storage L.P. 4.00%, 6/15/2029 | 100,000 | 106,940 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 53,250 | |||
3.95%, 3/15/2029 | 100,000 | 109,136 | |||
National Retail Properties, Inc.: | |||||
3.60%, 12/15/2026 | 50,000 | 52,503 | |||
4.30%, 10/15/2028 | 35,000 | 38,729 | |||
Office Properties Income Trust 4.25%, 5/15/2024 | 50,000 | 51,964 | |||
Omega Healthcare Investors, Inc.: | |||||
3.63%, 10/1/2029 | 50,000 | 50,777 | |||
4.38%, 8/1/2023 | 150,000 | 159,271 |
Security Description | Principal Amount | Value | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | $100,000 | $104,186 | |||
Prologis L.P.: | |||||
3.75%, 11/1/2025 | 50,000 | 54,163 | |||
4.25%, 8/15/2023 | 150,000 | 160,603 | |||
Public Storage 2.37%, 9/15/2022 | 125,000 | 126,392 | |||
Realty Income Corp.: | |||||
3.65%, 1/15/2028 | 100,000 | 107,898 | |||
3.88%, 4/15/2025 | 100,000 | 107,920 | |||
4.13%, 10/15/2026 | 50,000 | 54,795 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 54,022 | |||
4.40%, 2/1/2047 | 150,000 | 170,470 | |||
Sabra Health Care L.P. 5.13%, 8/15/2026 | 25,000 | 27,030 | |||
Sabra Health Care L.P./Sabra Capital Corp. 4.80%, 6/1/2024 | 25,000 | 26,592 | |||
Service Properties Trust 4.35%, 10/1/2024 | 100,000 | 102,952 | |||
Simon Property Group L.P.: | |||||
2.50%, 7/15/2021 | 350,000 | 352,961 | |||
2.63%, 6/15/2022 | 100,000 | 101,579 | |||
2.75%, 6/1/2023 | 200,000 | 204,680 | |||
4.25%, 11/30/2046 | 50,000 | 57,131 | |||
Spirit Realty L.P. 3.40%, 1/15/2030 | 100,000 | 100,418 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 54,615 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 (c) | 50,000 | 51,186 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 156,664 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 25,359 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 52,465 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 | 25,000 | 25,207 | |||
3.00%, 1/15/2030 | 50,000 | 49,812 | |||
3.10%, 1/15/2023 | 50,000 | 51,244 | |||
3.85%, 4/1/2027 | 100,000 | 105,805 | |||
4.00%, 3/1/2028 | 100,000 | 107,038 | |||
4.38%, 2/1/2045 | 75,000 | 80,935 | |||
VEREIT Operating Partnership L.P.: | |||||
3.10%, 12/15/2029 | 150,000 | 147,489 | |||
3.95%, 8/15/2027 | 40,000 | 42,072 | |||
4.60%, 2/6/2024 | 5,000 | 5,409 | |||
4.63%, 11/1/2025 | 50,000 | 54,795 | |||
4.88%, 6/1/2026 | 10,000 | 11,049 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 | 50,000 | 52,176 | |||
Welltower, Inc.: | |||||
2.70%, 2/15/2027 | 50,000 | 50,283 | |||
3.10%, 1/15/2030 | 55,000 | 55,775 |
Security Description | Principal Amount | Value | |||
4.00%, 6/1/2025 | $175,000 | $188,760 | |||
4.13%, 3/15/2029 | 100,000 | 109,314 | |||
Weyerhaeuser Co.: | |||||
4.00%, 11/15/2029 | 200,000 | 216,916 | |||
4.63%, 9/15/2023 | 25,000 | 26,924 | |||
WP Carey, Inc. 3.85%, 7/15/2029 | 100,000 | 105,646 | |||
10,660,468 | |||||
RETAIL — 0.7% | |||||
AutoNation, Inc. 3.35%, 1/15/2021 | 25,000 | 25,253 | |||
AutoZone, Inc.: | |||||
3.13%, 4/18/2024 | 100,000 | 104,018 | |||
3.75%, 6/1/2027 | 100,000 | 106,708 | |||
Best Buy Co., Inc. 4.45%, 10/1/2028 | 50,000 | 54,848 | |||
Costco Wholesale Corp. 2.30%, 5/18/2022 | 150,000 | 151,767 | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 | 15,000 | 15,746 | |||
4.55%, 2/15/2048 | 15,000 | 15,234 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 (c) | 70,000 | 77,066 | |||
4.15%, 11/1/2025 | 25,000 | 27,227 | |||
Dollar Tree, Inc.: | |||||
3.70%, 5/15/2023 | 95,000 | 99,008 | |||
4.00%, 5/15/2025 | 100,000 | 106,930 | |||
4.20%, 5/15/2028 | 45,000 | 48,338 | |||
Home Depot, Inc.: | |||||
2.00%, 4/1/2021 | 100,000 | 100,308 | |||
2.13%, 9/15/2026 | 150,000 | 149,709 | |||
2.63%, 6/1/2022 | 150,000 | 152,832 | |||
2.80%, 9/14/2027 | 250,000 | 259,757 | |||
3.00%, 4/1/2026 | 350,000 | 365,837 | |||
3.75%, 2/15/2024 | 25,000 | 26,732 | |||
3.90%, 6/15/2047 | 200,000 | 226,442 | |||
4.25%, 4/1/2046 | 35,000 | 41,260 | |||
5.95%, 4/1/2041 | 50,000 | 70,509 | |||
Kohl's Corp. 5.55%, 7/17/2045 | 20,000 | 20,358 | |||
Lowe's Cos., Inc.: | |||||
2.50%, 4/15/2026 | 50,000 | 50,286 | |||
3.10%, 5/3/2027 | 200,000 | 206,850 | |||
3.38%, 9/15/2025 | 25,000 | 26,413 | |||
3.70%, 4/15/2046 | 50,000 | 51,018 | |||
4.05%, 5/3/2047 | 300,000 | 324,105 | |||
4.25%, 9/15/2044 | 25,000 | 27,099 | |||
4.38%, 9/15/2045 | 25,000 | 27,766 | |||
4.65%, 4/15/2042 | 25,000 | 28,664 | |||
Macy's Retail Holdings, Inc.: | |||||
3.63%, 6/1/2024 (c) | 25,000 | 25,246 | |||
4.50%, 12/15/2034 | 6,000 | 5,721 | |||
McDonald's Corp.: | |||||
Series MTN, 2.63%, 9/1/2029 (c) | 75,000 | 75,069 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.35%, 4/1/2023 | $80,000 | $83,248 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 53,354 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 80,599 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 108,934 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 143,421 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 23,027 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 178,363 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 121,065 | |||
Nordstrom, Inc. 4.38%, 4/1/2030 | 55,000 | 56,065 | |||
O'Reilly Automotive, Inc.: | |||||
3.60%, 9/1/2027 | 50,000 | 53,459 | |||
4.35%, 6/1/2028 | 100,000 | 111,526 | |||
QVC, Inc. 5.45%, 8/15/2034 | 50,000 | 47,861 | |||
Starbucks Corp.: | |||||
3.80%, 8/15/2025 | 50,000 | 53,977 | |||
3.85%, 10/1/2023 | 25,000 | 26,536 | |||
4.00%, 11/15/2028 (c) | 50,000 | 55,463 | |||
4.45%, 8/15/2049 | 100,000 | 115,881 | |||
4.50%, 11/15/2048 | 30,000 | 34,702 | |||
Target Corp.: | |||||
2.50%, 4/15/2026 | 50,000 | 51,154 | |||
3.38%, 4/15/2029 | 100,000 | 108,695 | |||
3.90%, 11/15/2047 | 250,000 | 287,880 | |||
4.00%, 7/1/2042 | 50,000 | 57,431 | |||
TJX Cos., Inc. 2.25%, 9/15/2026 | 50,000 | 50,234 | |||
Walgreen Co. 3.10%, 9/15/2022 | 25,000 | 25,526 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.30%, 11/18/2021 | 200,000 | 203,882 | |||
3.45%, 6/1/2026 | 250,000 | 254,237 | |||
4.50%, 11/18/2034 | 25,000 | 25,898 | |||
4.65%, 6/1/2046 (c) | 25,000 | 25,126 | |||
Walmart, Inc.: | |||||
2.65%, 12/15/2024 | 150,000 | 154,815 | |||
3.13%, 6/23/2021 | 250,000 | 255,345 | |||
3.25%, 7/8/2029 | 80,000 | 86,039 | |||
3.30%, 4/22/2024 | 325,000 | 341,760 | |||
3.63%, 12/15/2047 | 250,000 | 277,007 | |||
3.70%, 6/26/2028 | 100,000 | 110,224 | |||
3.95%, 6/28/2038 | 125,000 | 145,280 | |||
4.05%, 6/29/2048 | 185,000 | 219,752 | |||
7,121,890 | |||||
SEMICONDUCTORS — 0.5% | |||||
Analog Devices, Inc. 2.95%, 1/12/2021 | 50,000 | 50,434 | |||
Applied Materials, Inc.: | |||||
3.90%, 10/1/2025 | 25,000 | 27,289 | |||
4.35%, 4/1/2047 (c) | 100,000 | 120,689 | |||
5.10%, 10/1/2035 | 50,000 | 62,873 |
Security Description | Principal Amount | Value | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd.: | |||||
2.65%, 1/15/2023 | $200,000 | $201,158 | |||
3.63%, 1/15/2024 | 350,000 | 362,488 | |||
Broadcom, Inc.: | |||||
3.13%, 4/15/2021 (b) | 250,000 | 253,027 | |||
3.63%, 10/15/2024 (b) | 150,000 | 155,803 | |||
4.75%, 4/15/2029 (b) (c) | 150,000 | 164,026 | |||
Intel Corp.: | |||||
2.35%, 5/11/2022 | 50,000 | 50,638 | |||
2.45%, 11/15/2029 | 150,000 | 149,799 | |||
2.88%, 5/11/2024 | 200,000 | 207,466 | |||
3.15%, 5/11/2027 | 200,000 | 211,904 | |||
3.25%, 11/15/2049 | 150,000 | 151,945 | |||
3.30%, 10/1/2021 | 25,000 | 25,703 | |||
4.10%, 5/19/2046 | 370,000 | 427,439 | |||
4.10%, 5/11/2047 | 50,000 | 57,744 | |||
KLA Corp. 4.10%, 3/15/2029 | 65,000 | 71,082 | |||
Lam Research Corp.: | |||||
3.75%, 3/15/2026 | 50,000 | 53,738 | |||
4.00%, 3/15/2029 | 280,000 | 308,241 | |||
4.88%, 3/15/2049 (c) | 25,000 | 31,429 | |||
Micron Technology, Inc. 4.66%, 2/15/2030 | 200,000 | 220,308 | |||
NVIDIA Corp. 3.20%, 9/16/2026 | 50,000 | 52,484 | |||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (b) | 100,000 | 108,932 | |||
QUALCOMM, Inc.: | |||||
2.60%, 1/30/2023 (c) | 200,000 | 203,582 | |||
2.90%, 5/20/2024 | 200,000 | 206,422 | |||
3.25%, 5/20/2027 | 50,000 | 52,605 | |||
3.45%, 5/20/2025 | 50,000 | 52,972 | |||
4.30%, 5/20/2047 | 50,000 | 57,291 | |||
4.80%, 5/20/2045 | 25,000 | 30,608 | |||
Texas Instruments, Inc.: | |||||
2.90%, 11/3/2027 | 70,000 | 73,337 | |||
3.88%, 3/15/2039 | 250,000 | 284,025 | |||
4.15%, 5/15/2048 | 150,000 | 179,173 | |||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 51,425 | |||
4,718,079 | |||||
SOFTWARE — 0.7% | |||||
Activision Blizzard, Inc.: | |||||
2.30%, 9/15/2021 | 250,000 | 251,235 | |||
4.50%, 6/15/2047 | 150,000 | 171,861 | |||
Adobe, Inc. 3.25%, 2/1/2025 | 25,000 | 26,405 | |||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 52,402 | |||
Broadridge Financial Solutions, Inc. 2.90%, 12/1/2029 | 50,000 | 50,100 |
Security Description | Principal Amount | Value | |||
Electronic Arts, Inc. 3.70%, 3/1/2021 | $25,000 | $25,459 | |||
Fidelity National Information Services, Inc.: | |||||
3.00%, 8/15/2026 | 200,000 | 206,778 | |||
3.75%, 5/21/2029 | 20,000 | 21,867 | |||
3.88%, 6/5/2024 | 7,000 | 7,465 | |||
Fiserv, Inc.: | |||||
2.75%, 7/1/2024 | 100,000 | 101,908 | |||
3.20%, 7/1/2026 | 275,000 | 285,582 | |||
3.50%, 7/1/2029 | 65,000 | 68,423 | |||
3.80%, 10/1/2023 | 150,000 | 158,454 | |||
4.20%, 10/1/2028 | 65,000 | 71,894 | |||
4.40%, 7/1/2049 | 60,000 | 68,242 | |||
Microsoft Corp.: | |||||
1.55%, 8/8/2021 | 200,000 | 199,686 | |||
2.00%, 8/8/2023 | 50,000 | 50,308 | |||
2.40%, 2/6/2022 | 300,000 | 304,266 | |||
2.40%, 8/8/2026 | 200,000 | 202,582 | |||
2.88%, 2/6/2024 | 300,000 | 311,340 | |||
3.13%, 11/3/2025 | 50,000 | 52,885 | |||
3.30%, 2/6/2027 | 280,000 | 299,594 | |||
3.45%, 8/8/2036 | 50,000 | 54,823 | |||
3.63%, 12/15/2023 | 25,000 | 26,604 | |||
3.70%, 8/8/2046 | 350,000 | 394,971 | |||
3.95%, 8/8/2056 | 75,000 | 88,591 | |||
4.00%, 2/12/2055 | 75,000 | 88,691 | |||
4.10%, 2/6/2037 | 250,000 | 295,232 | |||
4.20%, 11/3/2035 | 65,000 | 77,188 | |||
4.25%, 2/6/2047 | 150,000 | 184,183 | |||
4.45%, 11/3/2045 | 275,000 | 344,688 | |||
5.20%, 6/1/2039 | 50,000 | 67,377 | |||
Oracle Corp.: | |||||
1.90%, 9/15/2021 | 200,000 | 200,408 | |||
2.40%, 9/15/2023 | 200,000 | 203,212 | |||
2.50%, 5/15/2022 | 50,000 | 50,755 | |||
2.63%, 2/15/2023 | 235,000 | 239,982 | |||
2.65%, 7/15/2026 | 45,000 | 46,061 | |||
2.80%, 7/8/2021 | 250,000 | 253,842 | |||
2.95%, 11/15/2024 | 200,000 | 207,936 | |||
2.95%, 5/15/2025 | 10,000 | 10,418 | |||
3.80%, 11/15/2037 | 180,000 | 196,439 | |||
3.85%, 7/15/2036 | 150,000 | 164,902 | |||
3.90%, 5/15/2035 | 5,000 | 5,576 | |||
4.00%, 7/15/2046 | 180,000 | 199,942 | |||
4.30%, 7/8/2034 | 200,000 | 234,210 | |||
4.38%, 5/15/2055 | 10,000 | 11,860 | |||
salesforce.com, Inc.: | |||||
3.25%, 4/11/2023 | 275,000 | 285,829 | |||
3.70%, 4/11/2028 | 25,000 | 27,462 | |||
VMware, Inc. 3.90%, 8/21/2027 | 150,000 | 156,906 | |||
7,106,824 |
Security Description | Principal Amount | Value | |||
TELECOMMUNICATIONS — 1.2% | |||||
America Movil SAB de CV: | |||||
3.13%, 7/16/2022 | $100,000 | $102,436 | |||
4.38%, 7/16/2042 | 50,000 | 56,119 | |||
4.38%, 4/22/2049 | 200,000 | 228,570 | |||
6.13%, 3/30/2040 | 100,000 | 134,347 | |||
AT&T, Inc.: | |||||
2.95%, 7/15/2026 | 200,000 | 204,186 | |||
3.20%, 3/1/2022 | 250,000 | 256,000 | |||
3.40%, 5/15/2025 | 250,000 | 262,172 | |||
3.55%, 6/1/2024 | 25,000 | 26,287 | |||
3.80%, 2/15/2027 | 150,000 | 160,577 | |||
3.90%, 3/11/2024 | 25,000 | 26,567 | |||
4.10%, 2/15/2028 | 184,000 | 200,172 | |||
4.13%, 2/17/2026 | 350,000 | 379,484 | |||
4.35%, 3/1/2029 | 360,000 | 399,859 | |||
4.45%, 4/1/2024 | 25,000 | 27,070 | |||
4.50%, 5/15/2035 | 300,000 | 334,374 | |||
4.55%, 3/9/2049 | 208,000 | 230,988 | |||
4.65%, 6/1/2044 | 25,000 | 27,508 | |||
4.75%, 5/15/2046 | 30,000 | 33,924 | |||
4.80%, 6/15/2044 | 50,000 | 57,047 | |||
4.85%, 3/1/2039 | 70,000 | 80,866 | |||
4.85%, 7/15/2045 | 50,000 | 57,254 | |||
5.15%, 11/15/2046 | 300,000 | 358,377 | |||
5.15%, 2/15/2050 | 150,000 | 181,421 | |||
5.25%, 3/1/2037 | 400,000 | 478,700 | |||
5.45%, 3/1/2047 | 250,000 | 309,640 | |||
5.65%, 2/15/2047 | 150,000 | 190,465 | |||
Bell Canada, Inc.: | |||||
4.30%, 7/29/2049 | 55,000 | 62,438 | |||
4.46%, 4/1/2048 | 30,000 | 34,694 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 229,860 | |||
Cisco Systems, Inc.: | |||||
1.85%, 9/20/2021 | 200,000 | 200,324 | |||
2.20%, 2/28/2021 | 100,000 | 100,510 | |||
3.00%, 6/15/2022 | 25,000 | 25,743 | |||
3.50%, 6/15/2025 | 25,000 | 26,972 | |||
3.63%, 3/4/2024 | 25,000 | 26,750 | |||
5.50%, 1/15/2040 | 300,000 | 408,996 | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | 25,000 | 25,611 | |||
5.35%, 11/15/2048 | 100,000 | 125,342 | |||
5.75%, 8/15/2040 | 25,000 | 30,834 | |||
Juniper Networks, Inc. 3.75%, 8/15/2029 | 100,000 | 104,111 | |||
Motorola Solutions, Inc.: | |||||
4.00%, 9/1/2024 | 25,000 | 26,539 | |||
4.60%, 2/23/2028 | 125,000 | 135,669 | |||
4.60%, 5/23/2029 | 50,000 | 55,052 | |||
Orange SA 5.50%, 2/6/2044 (c) | 50,000 | 66,302 | |||
Rogers Communications, Inc.: |
Security Description | Principal Amount | Value | |||
3.00%, 3/15/2023 | $30,000 | $30,789 | |||
3.70%, 11/15/2049 | 50,000 | 50,719 | |||
4.30%, 2/15/2048 | 40,000 | 44,352 | |||
4.35%, 5/1/2049 | 155,000 | 173,205 | |||
5.00%, 3/15/2044 | 50,000 | 60,748 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 167,420 | |||
5.21%, 3/8/2047 | 300,000 | 357,042 | |||
5.52%, 3/1/2049 | 150,000 | 187,507 | |||
7.05%, 6/20/2036 | 25,000 | 35,061 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 35,909 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 176,787 | |||
Verizon Communications, Inc.: | |||||
2.63%, 8/15/2026 | 50,000 | 50,840 | |||
3.13%, 3/16/2022 | 250,000 | 256,600 | |||
3.38%, 2/15/2025 | 250,000 | 264,652 | |||
3.50%, 11/1/2024 | 50,000 | 53,021 | |||
3.88%, 2/8/2029 | 10,000 | 11,031 | |||
4.27%, 1/15/2036 | 28,000 | 31,699 | |||
4.33%, 9/21/2028 | 285,000 | 323,580 | |||
4.40%, 11/1/2034 | 250,000 | 290,777 | |||
4.50%, 8/10/2033 | 250,000 | 292,317 | |||
4.52%, 9/15/2048 | 25,000 | 29,939 | |||
4.81%, 3/15/2039 | 100,000 | 120,904 | |||
5.01%, 4/15/2049 | 150,000 | 191,991 | |||
5.15%, 9/15/2023 | 300,000 | 333,165 | |||
5.25%, 3/16/2037 | 150,000 | 188,257 | |||
5.50%, 3/16/2047 | 350,000 | 474,285 | |||
Vodafone Group PLC: | |||||
3.75%, 1/16/2024 | 170,000 | 179,605 | |||
4.13%, 5/30/2025 | 50,000 | 54,283 | |||
4.38%, 5/30/2028 | 305,000 | 338,065 | |||
4.38%, 2/19/2043 | 75,000 | 80,617 | |||
5.00%, 5/30/2038 | 250,000 | 289,125 | |||
5.25%, 5/30/2048 | 225,000 | 270,659 | |||
11,935,108 | |||||
TOYS/GAMES/HOBBIES — 0.0% (a) | |||||
Hasbro, Inc.: | |||||
3.50%, 9/15/2027 | 30,000 | 30,282 | |||
3.90%, 11/19/2029 | 100,000 | 100,761 | |||
131,043 | |||||
TRANSPORTATION — 0.6% | |||||
Burlington Northern Santa Fe LLC: | |||||
3.40%, 9/1/2024 | 100,000 | 105,833 | |||
3.75%, 4/1/2024 | 25,000 | 26,617 | |||
3.90%, 8/1/2046 | 100,000 | 110,034 | |||
4.05%, 6/15/2048 | 155,000 | 176,072 | |||
4.13%, 6/15/2047 | 150,000 | 170,451 | |||
4.15%, 12/15/2048 | 30,000 | 34,690 | |||
4.45%, 3/15/2043 | 50,000 | 58,526 |
Security Description | Principal Amount | Value | |||
4.55%, 9/1/2044 | $50,000 | $59,651 | |||
4.90%, 4/1/2044 | 125,000 | 154,965 | |||
Canadian National Railway Co.: | |||||
2.75%, 3/1/2026 | 100,000 | 102,841 | |||
2.95%, 11/21/2024 | 50,000 | 51,655 | |||
3.20%, 8/2/2046 | 25,000 | 25,812 | |||
3.65%, 2/3/2048 | 50,000 | 55,235 | |||
Canadian Pacific Railway Co.: | |||||
4.00%, 6/1/2028 | 100,000 | 110,640 | |||
4.80%, 9/15/2035 | 30,000 | 35,747 | |||
CSX Corp.: | |||||
2.40%, 2/15/2030 | 50,000 | 48,880 | |||
3.25%, 6/1/2027 | 50,000 | 52,514 | |||
3.35%, 9/15/2049 | 65,000 | 64,240 | |||
3.40%, 8/1/2024 | 25,000 | 26,438 | |||
3.80%, 3/1/2028 | 50,000 | 54,513 | |||
3.80%, 11/1/2046 | 100,000 | 105,851 | |||
4.10%, 3/15/2044 | 75,000 | 82,066 | |||
4.25%, 3/15/2029 | 95,000 | 107,105 | |||
4.30%, 3/1/2048 | 50,000 | 56,878 | |||
4.50%, 3/15/2049 | 125,000 | 146,387 | |||
4.65%, 3/1/2068 | 50,000 | 57,220 | |||
FedEx Corp.: | |||||
3.40%, 1/14/2022 | 150,000 | 154,192 | |||
3.40%, 2/15/2028 (c) | 50,000 | 51,059 | |||
3.90%, 2/1/2035 | 200,000 | 202,824 | |||
4.00%, 1/15/2024 | 25,000 | 26,733 | |||
4.05%, 2/15/2048 | 50,000 | 48,024 | |||
4.55%, 4/1/2046 | 100,000 | 103,068 | |||
4.75%, 11/15/2045 | 25,000 | 26,536 | |||
4.95%, 10/17/2048 | 100,000 | 109,550 | |||
Kansas City Southern: | |||||
2.88%, 11/15/2029 | 65,000 | 64,960 | |||
4.70%, 5/1/2048 | 50,000 | 58,339 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 154,557 | |||
3.00%, 4/1/2022 | 25,000 | 25,504 | |||
3.15%, 6/1/2027 | 50,000 | 52,189 | |||
3.40%, 11/1/2049 | 100,000 | 99,362 | |||
3.94%, 11/1/2047 | 100,000 | 107,406 | |||
4.45%, 6/15/2045 | 19,000 | 21,836 | |||
5.10%, 8/1/2118 | 50,000 | 58,925 | |||
Ryder System, Inc.: | |||||
Series MTN, 2.50%, 9/1/2024 | 40,000 | 40,275 | |||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 101,121 | |||
Series MTN, 3.45%, 11/15/2021 | 100,000 | 102,229 | |||
Union Pacific Corp.: | |||||
2.75%, 3/1/2026 | 50,000 | 51,067 | |||
2.95%, 3/1/2022 | 350,000 | 357,588 | |||
3.20%, 6/8/2021 | 35,000 | 35,655 | |||
3.50%, 6/8/2023 | 50,000 | 52,379 | |||
3.80%, 10/1/2051 | 52,000 | 55,217 | |||
3.84%, 3/20/2060 (b) | 130,000 | 131,984 | |||
3.95%, 9/10/2028 | 280,000 | 309,061 |
Security Description | Principal Amount | Value | |||
4.05%, 3/1/2046 | $175,000 | $189,341 | |||
4.10%, 9/15/2067 | 15,000 | 15,482 | |||
4.38%, 9/10/2038 | 110,000 | 125,297 | |||
United Parcel Service, Inc.: | |||||
2.05%, 4/1/2021 | 150,000 | 150,411 | |||
2.35%, 5/16/2022 | 50,000 | 50,557 | |||
2.40%, 11/15/2026 | 30,000 | 30,269 | |||
2.45%, 10/1/2022 | 125,000 | 126,990 | |||
2.50%, 4/1/2023 | 150,000 | 152,178 | |||
3.05%, 11/15/2027 | 50,000 | 52,580 | |||
3.75%, 11/15/2047 | 175,000 | 187,906 | |||
5,763,512 | |||||
TRUCKING & LEASING — 0.0% (a) | |||||
GATX Corp.: | |||||
3.85%, 3/30/2027 | 50,000 | 52,242 | |||
4.55%, 11/7/2028 | 50,000 | 54,580 | |||
4.70%, 4/1/2029 | 25,000 | 27,917 | |||
134,739 | |||||
WATER — 0.0% (a) | |||||
American Water Capital Corp.: | |||||
2.95%, 9/1/2027 | 121,000 | 123,431 | |||
3.40%, 3/1/2025 | 25,000 | 26,246 | |||
3.75%, 9/1/2028 | 100,000 | 107,767 | |||
3.75%, 9/1/2047 | 100,000 | 105,344 | |||
4.30%, 12/1/2042 | 25,000 | 28,174 | |||
390,962 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $255,726,811) | 269,931,317 | ||||
ASSET-BACKED SECURITIES — 0.4% | |||||
AUTOMOBILE — 0.2% | |||||
Ally Master Owner Trust Series 2018-1, Class A2, 2.70%, 1/17/2023 | 100,000 | 100,710 | |||
CarMax Auto Owner Trust 2017-2 Series 2017-2, Class B, 2.41%, 12/15/2022 | 200,000 | 200,774 | |||
Drive Auto Receivables Trust: | |||||
Series 2018-4, Class D, 4.09%, 1/15/2026 | 100,000 | 102,767 | |||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 50,000 | 50,037 | |||
Ford Credit Auto Lease Trust Series 2019-B, Class A3, 2.22%, 10/15/2022 | 200,000 | 200,244 | |||
GM Financial Automobile Leasing Trust Series 2019-1, Class A3, 2.98%, 12/20/2021 | 100,000 | 100,883 |
Security Description | Principal Amount | Value | |||
GM Financial Consumer Automobile Receivables Trust Series 2019-2, Class A3, 2.65%, 2/16/2024 | $200,000 | $201,646 | |||
Honda Auto Receivables Owner Trust Series 2019-3, Class A3, 1.78%, 8/15/2023 | 200,000 | 199,595 | |||
Hyundai Auto Receivables Trust Series 2019-B, Class A3, 1.94%, 2/15/2024 | 55,000 | 54,999 | |||
Mercedes-Benz Auto Receivables Trust Series 2019-1, Class A3, 1.94%, 3/15/2024 | 100,000 | 100,007 | |||
Nissan Auto Lease Trust 2018-A Series 2018-A, Class A4, 3.35%, 9/15/2023 | 200,000 | 202,892 | |||
Nissan Auto Receivables 2018-B Owner Trust Series 2018-B, Class A3, 3.06%, 3/15/2023 | 60,000 | 60,823 | |||
Nissan Auto Receivables 2019-A Owner Trust Series 2019-A, Class A3, 2.90%, 10/16/2023 | 100,000 | 101,545 | |||
Santander Drive Auto Receivables Trust Series 2018-1, Class D, 3.32%, 3/15/2024 | 85,000 | 86,028 | |||
Toyota Auto Receivables Owner Trust Series 2019-C, Class A3, 1.91%, 9/15/2023 | 400,000 | 400,137 | |||
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 | 50,567 | |||
2,325,897 | |||||
CREDIT CARD — 0.2% | |||||
American Express Credit Account Master Trust: | |||||
Series 2018-8, Class A, 3.18%, 4/15/2024 | 68,000 | 69,524 | |||
Series 2017-7, Class A, 2.35%, 5/15/2025 | 300,000 | 303,538 | |||
Series 2019-1, 2.87%, 10/15/2024 | 100,000 | 102,160 | |||
BA Credit Card Trust Series 2018-A2, Class A2, 3.00%, 9/15/2023 | 300,000 | 304,351 |
Security Description | Principal Amount | Value | |||
Capital One Multi-Asset Execution Trust Series 2016-A5, Class A5, 1.66%, 6/17/2024 | $200,000 | $199,344 | |||
Citibank Credit Card Issuance Trust: | |||||
Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 600,000 | 665,135 | |||
Series 2014-A1, Class A1, 2.88%, 1/23/2023 | 100,000 | 101,023 | |||
Synchrony Card Funding LLC Series 2019-A2, Class A, 2.34%, 6/15/2025 | 150,000 | 151,276 | |||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A, 2.21%, 5/15/2024 | 400,000 | 401,453 | |||
2,297,804 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $4,607,452) | 4,623,701 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 4.1% | |||||
AUSTRIA — 0.0% (a) | |||||
Oesterreichische Kontrollbank AG: | |||||
1.63%, 09/17/2022 | 40,000 | 39,923 | |||
1.88%, 01/20/2021 | 100,000 | 100,129 | |||
2.63%, 01/31/2022 | 200,000 | 203,678 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 103,595 | |||
447,325 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond 2.00%, 11/15/2022 | 275,000 | 277,717 | |||
Export Development Canada: | |||||
1.38%, 10/21/2021 | 50,000 | 49,756 | |||
1.50%, 05/26/2021 | 50,000 | 49,881 | |||
1.75%, 07/18/2022 | 150,000 | 150,345 | |||
2.00%, 05/17/2022 | 50,000 | 50,391 | |||
2.50%, 01/24/2023 | 200,000 | 204,864 | |||
Province of Alberta Canada: | |||||
2.20%, 07/26/2022 | 50,000 | 50,515 | |||
3.30%, 03/15/2028 | 650,000 | 704,593 | |||
Province of British Columbia Canada: | |||||
2.25%, 06/02/2026 (c) | 150,000 | 152,148 | |||
2.65%, 09/22/2021 | 50,000 | 50,814 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 (c) | 250,000 | 250,455 | |||
Series GX, 2.60%, 04/16/2024 | 100,000 | 102,862 |
Security Description | Principal Amount | Value | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | $50,000 | $54,834 | |||
Province of Ontario Canada: | |||||
2.00%, 10/02/2029 | 250,000 | 246,177 | |||
2.20%, 10/03/2022 (c) | 250,000 | 252,770 | |||
2.40%, 02/08/2022 | 350,000 | 354,525 | |||
2.50%, 09/10/2021 | 25,000 | 25,314 | |||
2.50%, 04/27/2026 (c) | 350,000 | 359,240 | |||
2.55%, 02/12/2021 | 200,000 | 201,706 | |||
Province of Quebec Canada: | |||||
2.38%, 01/31/2022 | 200,000 | 202,592 | |||
2.50%, 04/20/2026 | 250,000 | 256,865 | |||
2.63%, 02/13/2023 (c) | 250,000 | 256,640 | |||
2.75%, 08/25/2021 | 50,000 | 50,842 | |||
2.75%, 04/12/2027 | 200,000 | 208,956 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 209,188 | |||
4,773,990 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
3.13%, 01/21/2026 | 50,000 | 52,082 | |||
3.24%, 02/06/2028 | 200,000 | 210,648 | |||
3.86%, 06/21/2047 | 300,000 | 334,257 | |||
596,987 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond: | |||||
3.88%, 04/25/2027 | 200,000 | 211,578 | |||
4.00%, 02/26/2024 | 275,000 | 289,745 | |||
4.50%, 01/28/2026 | 250,000 | 272,283 | |||
4.50%, 03/15/2029 | 250,000 | 277,347 | |||
5.00%, 06/15/2045 | 200,000 | 232,680 | |||
5.20%, 05/15/2049 | 250,000 | 301,340 | |||
5.63%, 02/26/2044 | 200,000 | 248,770 | |||
1,833,743 | |||||
GERMANY — 0.5% | |||||
FMS Wertmanagement: | |||||
2.75%, 03/06/2023 | 300,000 | 309,855 | |||
2.75%, 01/30/2024 | 250,000 | 259,597 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
0.01%, 06/29/2037 (c) | 100,000 | 66,337 | |||
1.38%, 08/05/2024 (c) | 200,000 | 196,802 | |||
1.50%, 06/15/2021 | 700,000 | 698,425 | |||
2.00%, 05/02/2025 | 100,000 | 101,135 | |||
2.13%, 03/07/2022 | 250,000 | 252,525 | |||
2.13%, 06/15/2022 | 250,000 | 252,802 | |||
2.13%, 01/17/2023 | 100,000 | 101,345 | |||
2.38%, 12/29/2022 (c) | 250,000 | 255,222 | |||
2.50%, 02/15/2022 | 500,000 | 508,705 | |||
2.50%, 11/20/2024 | 300,000 | 310,497 | |||
2.63%, 04/12/2021 | 300,000 | 303,627 | |||
2.63%, 01/25/2022 | 50,000 | 50,974 |
Security Description | Principal Amount | Value | |||
2.63%, 02/28/2024 | $500,000 | $517,710 | |||
2.88%, 04/03/2028 | 490,000 | 525,133 | |||
Series GMTN, 3.13%, 12/15/2021 (c) | 500,000 | 514,270 | |||
Landwirtschaftliche Rentenbank: | |||||
3.13%, 11/14/2023 | 100,000 | 105,374 | |||
Series 36, 2.00%, 12/06/2021 | 150,000 | 150,953 | |||
Series 37, 2.50%, 11/15/2027 | 50,000 | 52,135 | |||
5,533,423 | |||||
HUNGARY — 0.0% (a) | |||||
Hungary Government International Bond: | |||||
5.38%, 03/25/2024 | 350,000 | 394,622 | |||
6.38%, 03/29/2021 | 150,000 | 158,337 | |||
552,959 | |||||
INDONESIA — 0.0% | |||||
Indonesia Government International Bond: | |||||
2.95%, 01/11/2023 | 275,000 | 279,532 | |||
4.75%, 02/11/2029 | 150,000 | 171,842 | |||
5.35%, 02/11/2049 (c) | 100,000 | 129,029 | |||
580,403 | |||||
ISRAEL — 0.0% (a) | |||||
Israel Government International Bond: | |||||
2.88%, 03/16/2026 | 100,000 | 104,401 | |||
3.25%, 01/17/2028 | 100,000 | 107,416 | |||
4.00%, 06/30/2022 | 50,000 | 52,513 | |||
4.13%, 01/17/2048 | 100,000 | 115,343 | |||
379,673 | |||||
ITALY — 0.1% | |||||
Republic of Italy Government International Bond: | |||||
2.38%, 10/17/2024 | 200,000 | 195,938 | |||
2.88%, 10/17/2029 | 200,000 | 189,906 | |||
4.00%, 10/17/2049 | 200,000 | 191,206 | |||
5.38%, 06/15/2033 (c) | 50,000 | 58,052 | |||
635,102 | |||||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
1.50%, 07/21/2021 (c) | 25,000 | 24,877 | |||
1.63%, 10/17/2022 | 200,000 | 198,594 | |||
1.75%, 10/17/2024 | 200,000 | 197,336 | |||
2.50%, 06/01/2022 | 200,000 | 202,904 | |||
2.50%, 05/23/2024 | 200,000 | 203,894 | |||
2.75%, 11/16/2027 | 200,000 | 207,660 | |||
2.88%, 07/21/2027 | 100,000 | 104,622 | |||
3.25%, 07/20/2023 | 150,000 | 156,750 | |||
3.38%, 10/31/2023 | 200,000 | 210,554 | |||
Series DTC, 1.88%, 04/20/2021 | 225,000 | 225,045 |
Security Description | Principal Amount | Value | |||
Series DTC, 2.38%, 04/20/2026 | $200,000 | $202,470 | |||
1,934,706 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
3.63%, 03/15/2022 | 100,000 | 103,068 | |||
3.75%, 01/11/2028 | 100,000 | 104,016 | |||
4.00%, 10/02/2023 | 80,000 | 84,308 | |||
4.13%, 01/21/2026 | 125,000 | 133,543 | |||
4.15%, 03/28/2027 | 400,000 | 428,880 | |||
4.50%, 04/22/2029 | 250,000 | 274,702 | |||
4.50%, 01/31/2050 | 250,000 | 270,815 | |||
4.60%, 02/10/2048 | 400,000 | 438,152 | |||
5.55%, 01/21/2045 (c) | 450,000 | 554,233 | |||
6.05%, 01/11/2040 | 30,000 | 39,005 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 110,592 | |||
2,541,314 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
3.16%, 01/23/2030 | 200,000 | 206,258 | |||
3.75%, 03/16/2025 | 150,000 | 159,336 | |||
3.88%, 03/17/2028 | 200,000 | 217,542 | |||
4.50%, 05/15/2047 | 50,000 | 59,510 | |||
4.50%, 04/16/2050 | 200,000 | 237,112 | |||
6.70%, 01/26/2036 | 50,000 | 70,108 | |||
949,866 | |||||
PERU — 0.0% (a) | |||||
Peruvian Government International Bond: | |||||
2.84%, 06/20/2030 (c) | 55,000 | 56,775 | |||
4.13%, 08/25/2027 | 150,000 | 168,087 | |||
5.63%, 11/18/2050 (c) | 150,000 | 219,340 | |||
6.55%, 03/14/2037 | 25,000 | 36,532 | |||
480,734 | |||||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond: | |||||
3.70%, 03/01/2041 | 200,000 | 226,800 | |||
3.70%, 02/02/2042 (c) | 100,000 | 113,486 | |||
3.75%, 01/14/2029 | 500,000 | 552,415 | |||
3.95%, 01/20/2040 | 200,000 | 229,616 | |||
4.00%, 01/15/2021 | 100,000 | 102,114 | |||
4.20%, 01/21/2024 | 300,000 | 323,451 | |||
5.00%, 01/13/2037 | 150,000 | 191,553 | |||
7.75%, 01/14/2031 | 100,000 | 147,885 | |||
1,887,320 | |||||
POLAND — 0.1% | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | 50,000 | 51,530 |
Security Description | Principal Amount | Value | |||
3.25%, 04/06/2026 | $175,000 | $185,614 | |||
4.00%, 01/22/2024 | 150,000 | 161,418 | |||
5.00%, 03/23/2022 | 50,000 | 53,450 | |||
5.13%, 04/21/2021 | 250,000 | 260,672 | |||
712,684 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
2.13%, 02/11/2021 | 100,000 | 100,162 | |||
2.38%, 04/21/2027 | 25,000 | 24,803 | |||
3.00%, 11/01/2022 (c) | 250,000 | 256,535 | |||
3.25%, 11/10/2025 | 150,000 | 158,156 | |||
3.50%, 11/27/2021 | 250,000 | 256,980 | |||
Korea Development Bank: | |||||
2.50%, 01/13/2021 | 100,000 | 100,524 | |||
2.75%, 03/19/2023 | 200,000 | 203,646 | |||
3.00%, 01/13/2026 | 100,000 | 102,913 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 217,808 | |||
1,421,527 | |||||
SUPRANATIONAL — 1.6% | |||||
African Development Bank: | |||||
3.00%, 09/20/2023 | 150,000 | 157,013 | |||
Series GDIF, 1.25%, 07/26/2021 | 25,000 | 24,839 | |||
Series GDIF, 2.63%, 03/22/2021 | 100,000 | 101,136 | |||
Series GMTN, 1.63%, 09/16/2022 | 210,000 | 209,769 | |||
Series GMTN, 3.00%, 12/06/2021 (c) | 30,000 | 30,762 | |||
Asian Development Bank: | |||||
1.50%, 10/18/2024 | 200,000 | 197,784 | |||
2.63%, 01/30/2024 | 200,000 | 206,930 | |||
Series GMTN, 1.63%, 03/16/2021 | 150,000 | 149,922 | |||
Series GMTN, 1.75%, 06/08/2021 | 100,000 | 100,119 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 250,567 | |||
Series GMTN, 2.00%, 02/16/2022 | 150,000 | 151,085 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 100,767 | |||
Series GMTN, 2.13%, 11/24/2021 | 75,000 | 75,670 | |||
Series GMTN, 2.25%, 01/20/2021 | 300,000 | 301,812 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 51,582 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 104,250 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 52,416 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 87,834 |
Security Description | Principal Amount | Value | |||
Series GMTN, 3.13%, 09/26/2028 | $50,000 | $54,711 | |||
Series MTN, 1.88%, 07/19/2022 | 400,000 | 402,116 | |||
Corp. Andina de Fomento: | |||||
2.13%, 09/27/2021 | 50,000 | 49,893 | |||
2.75%, 01/06/2023 | 100,000 | 101,030 | |||
Council Of Europe Development Bank: | |||||
1.63%, 03/16/2021 | 50,000 | 49,947 | |||
1.75%, 09/26/2022 | 100,000 | 100,227 | |||
2.50%, 02/27/2024 | 30,000 | 30,885 | |||
2.63%, 02/13/2023 | 60,000 | 61,717 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 1.88%, 02/23/2022 | 75,000 | 75,315 | |||
Series GMTN, 2.00%, 02/01/2021 | 250,000 | 250,785 | |||
Series GMTN, 2.75%, 04/26/2021 | 150,000 | 152,034 | |||
European Investment Bank: | |||||
1.63%, 06/15/2021 (c) | 150,000 | 149,952 | |||
1.88%, 02/10/2025 | 100,000 | 100,585 | |||
2.00%, 03/15/2021 (c) | 225,000 | 225,893 | |||
2.00%, 12/15/2022 | 250,000 | 252,412 | |||
2.13%, 10/15/2021 | 50,000 | 50,420 | |||
2.13%, 04/13/2026 (c) | 100,000 | 101,583 | |||
2.25%, 03/15/2022 (c) | 250,000 | 253,205 | |||
2.38%, 06/15/2022 (c) | 350,000 | 356,055 | |||
2.38%, 05/24/2027 | 100,000 | 103,356 | |||
2.50%, 04/15/2021 | 50,000 | 50,529 | |||
2.50%, 03/15/2023 | 145,000 | 148,742 | |||
2.50%, 10/15/2024 (c) | 25,000 | 25,856 | |||
2.63%, 05/20/2022 | 2,000,000 | 2,045,260 | |||
Series DIP, 1.38%, 09/15/2021 (c) | 200,000 | 199,086 | |||
Series GMTN, 2.38%, 05/13/2021 (c) | 250,000 | 252,425 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 364,528 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 369,106 | |||
Inter-American Development Bank: | |||||
1.88%, 03/15/2021 (c) | 250,000 | 250,612 | |||
1.88%, 07/23/2021 | 100,000 | 100,342 | |||
2.00%, 07/23/2026 | 100,000 | 100,720 | |||
2.25%, 06/18/2029 | 250,000 | 255,910 | |||
2.38%, 07/07/2027 | 100,000 | 103,273 | |||
2.50%, 01/18/2023 | 100,000 | 102,427 | |||
3.00%, 02/21/2024 | 100,000 | 104,967 | |||
3.13%, 09/18/2028 | 100,000 | 109,214 | |||
4.38%, 01/24/2044 | 75,000 | 99,926 |
Security Description | Principal Amount | Value | |||
Series GMTN, 1.75%, 09/14/2022 | $350,000 | $350,770 | |||
Series GMTN, 2.13%, 01/18/2022 | 350,000 | 353,339 | |||
Series GMTN, 2.63%, 04/19/2021 | 190,000 | 192,364 | |||
Series GMTN, 3.00%, 09/26/2022 | 100,000 | 103,547 | |||
International Bank for Reconstruction & Development: | |||||
2.00%, 01/26/2022 | 300,000 | 302,064 | |||
2.13%, 07/01/2022 | 200,000 | 202,300 | |||
3.00%, 09/27/2023 | 350,000 | 366,698 | |||
Series GDIF, 1.38%, 05/24/2021 | 275,000 | 273,919 | |||
Series GDIF, 1.38%, 09/20/2021 | 300,000 | 298,593 | |||
Series GDIF, 1.50%, 08/28/2024 | 400,000 | 395,604 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 244,707 | |||
Series GDIF, 1.88%, 06/19/2023 | 300,000 | 302,070 | |||
Series GDIF, 2.13%, 12/13/2021 | 400,000 | 403,700 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 310,392 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 207,480 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 260,932 | |||
Series GDIF, 2.75%, 07/23/2021 | 450,000 | 457,546 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 32,651 | |||
International Finance Corp.: | |||||
Series GMTN, 1.13%, 07/20/2021 | 125,000 | 124,005 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 101,655 | |||
Series GMTN, 2.25%, 01/25/2021 | 300,000 | 301,797 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 156,227 | |||
Nordic Investment Bank: | |||||
2.13%, 02/01/2022 | 200,000 | 201,822 | |||
2.25%, 02/01/2021 (c) | 300,000 | 301,695 | |||
16,205,178 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
1.63%, 11/14/2022 | 200,000 | 199,494 | |||
2.00%, 08/30/2022 | 200,000 | 201,398 | |||
Series GMTN, 3.13%, 11/08/2021 (c) | 250,000 | 256,410 | |||
657,302 |
Security Description | Principal Amount | Value | |||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | $225,000 | $248,222 | |||
4.38%, 01/23/2031 | 280,000 | 313,015 | |||
5.10%, 06/18/2050 | 175,000 | 210,459 | |||
771,696 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $41,519,321) | 42,895,932 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.4% | |||||
Federal Farm Credit Banks: | |||||
1.60%, 12/28/2021 | 100,000 | 99,873 | |||
1.84%, 11/14/2022 | 250,000 | 249,775 | |||
2.53%, 2/14/2022 | 500,000 | 508,360 | |||
2.59%, 8/27/2029 | 150,000 | 149,630 | |||
2.60%, 1/18/2022 | 150,000 | 152,733 | |||
2.65%, 8/13/2029 | 250,000 | 249,493 | |||
2.88%, 7/17/2023 | 100,000 | 103,513 | |||
3.08%, 8/12/2039 | 75,000 | 74,655 | |||
3.50%, 12/20/2023 | 50,000 | 53,444 | |||
Federal Home Loan Bank: | |||||
1.13%, 7/14/2021 (c) | 400,000 | 397,124 | |||
1.38%, 2/18/2021 | 100,000 | 99,740 | |||
1.50%, 8/15/2024 | 190,000 | 188,227 | |||
1.63%, 11/19/2021 | 340,000 | 340,170 | |||
1.63%, 12/20/2021 | 140,000 | 140,035 | |||
1.88%, 7/7/2021 | 230,000 | 230,913 | |||
2.00%, 9/13/2021 | 200,000 | 200,054 | |||
2.00%, 12/11/2024 | 150,000 | 149,897 | |||
2.05%, 9/26/2024 | 250,000 | 249,833 | |||
2.50%, 2/13/2024 | 220,000 | 226,877 | |||
2.88%, 9/13/2024 | 50,000 | 52,573 | |||
3.25%, 6/9/2028 | 500,000 | 544,600 | |||
3.25%, 11/16/2028 (c) | 30,000 | 32,841 | |||
3.38%, 12/8/2023 | 50,000 | 53,250 | |||
5.50%, 7/15/2036 | 135,000 | 189,464 | |||
Series 0000, 2.00%, 8/26/2022 | 100,000 | 100,013 | |||
Series 0000, 2.13%, 12/30/2024 | 250,000 | 249,920 | |||
Series 0000, 2.25%, 6/11/2021 | 75,000 | 75,675 | |||
Federal Home Loan Mortgage Corp.: | |||||
2.00%, 5/28/2024 | 200,000 | 199,978 | |||
2.13%, 10/21/2022 | 100,000 | 100,031 | |||
2.13%, 9/12/2024 | 350,000 | 349,972 | |||
2.38%, 2/16/2021 | 250,000 | 252,118 | |||
2.38%, 1/13/2022 | 325,000 | 329,774 | |||
2.50%, 10/1/2029 | 39,482 | 39,989 | |||
2.50%, 1/1/2031 | 79,884 | 80,927 |
Security Description | Principal Amount | Value | |||
2.50%, 5/1/2031 | $131,016 | $132,769 | |||
2.50%, 6/1/2031 | 239,139 | 242,340 | |||
2.50%, 10/1/2031 | 221,540 | 224,505 | |||
2.50%, 12/1/2031 | 257,286 | 260,730 | |||
2.50%, 12/1/2032 | 1,165,346 | 1,180,329 | |||
2.50%, 2/1/2033 | 1,394,460 | 1,412,388 | |||
2.50%, 9/1/2046 | 1,900,888 | 1,894,618 | |||
3.00%, 10/1/2030 | 499,727 | 516,259 | |||
3.00%, 12/1/2030 | 101,031 | 104,076 | |||
3.00%, 5/1/2031 | 79,318 | 81,599 | |||
3.00%, 12/1/2031 | 403,679 | 415,285 | |||
3.00%, 2/1/2032 | 619,841 | 637,661 | |||
3.00%, 5/1/2032 | 652,655 | 671,983 | |||
3.00%, 7/1/2032 | 199,659 | 205,572 | |||
3.00%, 1/1/2033 | 850,917 | 876,116 | |||
3.00%, 5/1/2035 | 59,758 | 61,609 | |||
3.00%, 4/1/2036 | 429,193 | 441,119 | |||
3.00%, 6/1/2036 | 261,697 | 268,969 | |||
3.00%, 2/1/2038 | 1,089,357 | 1,118,090 | |||
3.00%, 1/1/2043 | 2,889,428 | 2,978,686 | |||
3.00%, 7/1/2043 | 3,170,578 | 3,263,958 | |||
3.00%, 6/1/2045 | 93,713 | 96,162 | |||
3.00% 8/1/2045 | 514,590 | 529,576 | |||
3.00%, 4/1/2046 | 413,247 | 423,218 | |||
3.00% 6/1/2046 | 4,008,717 | 4,123,553 | |||
3.00%, 8/1/2046 | 717,365 | 734,675 | |||
3.00%, 9/1/2046 | 233,911 | 239,555 | |||
3.00%, 10/1/2046 | 399,165 | 408,797 | |||
3.00% 11/1/2046 | 1,283,851 | 1,314,829 | |||
3.00% 12/1/2046 | 1,134,484 | 1,161,858 | |||
3.00%, 1/1/2047 | 844,990 | 865,379 | |||
3.00% 2/1/2047 | 1,631,993 | 1,671,915 | |||
3.00%, 4/1/2047 | 2,787,430 | 2,858,507 | |||
3.00%, 11/1/2047 | 846,657 | 864,066 | |||
3.00%, 1/1/2048 | 1,312,575 | 1,339,564 | |||
3.00%, 2/1/2048 | 23,205 | 23,682 | |||
3.00%, 9/1/2049 | 980,309 | 994,467 | |||
3.50%, 4/1/2032 | 362,894 | 377,551 | |||
3.50%, 6/1/2033 | 911,746 | 945,761 | |||
3.50%, 9/1/2033 | 664,505 | 689,296 | |||
3.50%, 11/1/2034 | 245,775 | 257,363 | |||
3.50%, 3/1/2037 | 346,388 | 361,324 | |||
3.50%, 4/1/2042 | 269,184 | 283,761 | |||
3.50%, 12/1/2042 | 222,010 | 233,835 | |||
3.50%, 8/1/2043 | 597,372 | 629,214 | |||
3.50%, 5/1/2044 | 1,862,071 | 1,965,647 | |||
3.50%, 11/1/2044 | 48,872 | 51,222 | |||
3.50%, 1/1/2045 | 64,542 | 67,645 | |||
3.50% 7/1/2045 | 366,367 | 383,554 | |||
3.50%, 10/1/2045 | 65,318 | 68,312 | |||
3.50% 12/1/2045 | 741,011 | 775,352 | |||
3.50%, 1/1/2046 | 95,016 | 99,371 | |||
3.50%, 3/1/2046 | 198,184 | 206,755 | |||
3.50%, 4/1/2046 | 289,609 | 302,135 | |||
3.50%, 6/1/2046 | 325,158 | 339,221 |
Security Description | Principal Amount | Value | |||
3.50%, 8/1/2046 | $3,468,329 | $3,627,306 | |||
3.50%, 9/1/2046 | 46,312 | 48,434 | |||
3.50%, 12/1/2046 | 981,991 | 1,024,462 | |||
3.50%, 2/1/2047 | 694,652 | 724,695 | |||
3.50%, 3/1/2047 | 707,934 | 735,757 | |||
3.50%, 4/1/2047 | 462,968 | 481,164 | |||
3.50%, 6/1/2047 | 493,189 | 512,572 | |||
3.50% 10/1/2047 | 778,953 | 809,565 | |||
3.50%, 11/1/2047 | 211,178 | 219,478 | |||
3.50%, 12/1/2047 | 420,432 | 436,956 | |||
3.50%, 1/1/2048 | 2,077,273 | 2,158,913 | |||
3.50%, 7/1/2048 | 1,102,807 | 1,137,336 | |||
3.50%, 4/1/2049 | 1,124,608 | 1,157,288 | |||
3.50%, 7/1/2049 | 2,747,902 | 2,826,941 | |||
3.50%, 10/1/2049 | 220,949 | 227,304 | |||
4.00%, 4/1/2025 | 2,794 | 2,796 | |||
4.00%, 11/1/2033 | 725,502 | 758,566 | |||
4.00%, 4/1/2042 | 35,533 | 38,044 | |||
4.00%, 6/1/2042 | 94,731 | 101,465 | |||
4.00%, 7/1/2042 | 1,813,760 | 1,941,958 | |||
4.00%, 12/1/2044 | 42,248 | 44,961 | |||
4.00%, 4/1/2045 | 34,805 | 36,916 | |||
4.00%, 10/1/2045 | 85,076 | 90,237 | |||
4.00%, 12/1/2045 | 140,018 | 148,512 | |||
4.00%, 1/1/2046 | 580,384 | 615,591 | |||
4.00%, 2/1/2046 | 221,558 | 234,998 | |||
4.00%, 7/1/2046 | 18,392 | 19,410 | |||
4.00%, 1/1/2047 | 620,801 | 655,160 | |||
4.00%, 2/1/2047 | 301,162 | 317,830 | |||
4.00%, 6/1/2047 | 665,902 | 700,503 | |||
4.00%, 9/1/2047 | 737,392 | 775,708 | |||
4.00%, 11/1/2047 | 585,731 | 616,166 | |||
4.00%, 1/1/2048 | 1,526,076 | 1,605,374 | |||
4.00%, 8/1/2048 | 40,844 | 42,605 | |||
4.00%, 10/1/2048 | 4,493,505 | 4,687,278 | |||
4.00%, 4/1/2049 | 365,525 | 380,278 | |||
4.50%, 5/1/2042 | 809,592 | 882,672 | |||
4.50%, 5/1/2044 | 159,317 | 172,205 | |||
4.50%, 12/1/2045 | 509,274 | 550,470 | |||
4.50%, 9/1/2046 | 381,000 | 409,600 | |||
4.50%, 4/1/2047 | 317,815 | 338,553 | |||
4.50%, 10/1/2047 | 447,900 | 477,126 | |||
4.50%, 11/1/2047 | 366,474 | 390,387 | |||
4.50%, 12/1/2047 | 199,615 | 212,640 | |||
4.50%, 7/1/2048 | 1,372,421 | 1,448,124 | |||
4.50%, 11/1/2048 | 836,653 | 884,519 | |||
4.50%, 4/1/2049 | 60,374 | 63,700 | |||
4.50%, 11/1/2049 | 1,959,280 | 2,066,121 | |||
5.00%, 7/1/2041 | 146,189 | 161,608 | |||
5.00%, 11/1/2048 | 864,768 | 927,529 | |||
5.50%, 8/1/2038 | 446,436 | 500,112 | |||
6.00%, 7/1/2040 | 158,326 | 181,767 | |||
6.25%, 7/15/2032 | 460,000 | 661,880 | |||
Series 0000, 2.10%, 10/17/2022 | 150,000 | 150,029 |
Security Description | Principal Amount | Value | |||
Series 0002, 2.25%, 8/12/2024 | $100,000 | $100,041 | |||
Series 0007, 2.00%, 10/28/2021 | 100,000 | 100,027 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 127,111 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 103,049 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 420,035 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 602,976 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 208,242 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 513,807 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 427,683 | |||
Series K079, Class A2, 3.93%, 6/25/2028 | 400,000 | 442,816 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (d) | 250,000 | 279,087 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (d) | 160,001 | 176,518 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 175,946 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 373,215 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 104,394 | |||
Series K094, Class A2, 2.90%, 6/25/2029 | 352,767 | 366,624 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 99,993 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 101,418 | |||
Series K101, Class A2, 2.52%, 10/25/2029 | 200,000 | 201,505 | |||
Series K716, Class A2, 3.13%, 6/25/2021 | 250,000 | 251,795 | |||
Series K718, Class A2, 2.79%, 1/25/2022 | 500,000 | 505,028 | |||
Series K730, Class A2, 3.59%, 1/25/2025 (d) | 250,000 | 265,100 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 367,280 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 206,531 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 299,870 | |||
Federal National Mortgage Association: | |||||
1.25%, 5/6/2021 | 275,000 | 273,716 | |||
1.38%, 10/7/2021 | 325,000 | 323,684 | |||
2.00%, 1/5/2022 | 150,000 | 151,181 | |||
2.00%, 10/5/2022 (c) | 250,000 | 252,470 | |||
2.00%, 11/1/2031 | 135,920 | 134,796 |
Security Description | Principal Amount | Value | |||
2.05%, 9/13/2022 | $100,000 | $100,020 | |||
2.13%, 4/24/2026 | 200,000 | 203,032 | |||
2.25%, 4/12/2022 | 210,000 | 213,116 | |||
2.50%, 2/5/2024 | 750,000 | 773,130 | |||
2.50%, 3/1/2029 | 220,610 | 223,183 | |||
2.50%, 7/1/2030 | 1,252,109 | 1,267,300 | |||
2.50%, 2/1/2031 | 126,669 | 128,251 | |||
2.50%, 10/1/2031 | 213,165 | 215,898 | |||
2.50%, 12/1/2031 | 376,346 | 381,172 | |||
2.50%, 1/1/2032 | 127,994 | 129,635 | |||
2.50%, 4/1/2032 | 1,318,090 | 1,334,992 | |||
2.50%, 10/1/2032 | 548,601 | 555,353 | |||
2.50%, 12/1/2032 | 1,149,026 | 1,163,167 | |||
2.50%, 1/1/2033 | 620,624 | 628,262 | |||
2.50%, 12/1/2034 | 2,483,573 | 2,506,541 | |||
2.50%, 12/1/2049 | 1,994,783 | 1,972,689 | |||
2.63%, 1/11/2022 | 750,000 | 765,037 | |||
2.63%, 9/6/2024 | 250,000 | 260,330 | |||
2.88%, 9/12/2023 | 500,000 | 522,130 | |||
3.00%, 10/1/2028 | 76,312 | 78,428 | |||
3.00%, 8/1/2029 | 39,754 | 40,874 | |||
3.00%, 5/1/2030 | 235,713 | 242,180 | |||
3.00%, 6/1/2030 | 48,082 | 49,502 | |||
3.00%, 8/1/2030 | 596,446 | 614,395 | |||
3.00%, 9/1/2030 | 42,509 | 43,765 | |||
3.00%, 11/1/2030 | 88,135 | 90,739 | |||
3.00% 12/1/2030 | 462,999 | 476,899 | |||
3.00%, 4/1/2031 | 235,451 | 242,081 | |||
3.00%, 12/1/2031 | 366,203 | 376,514 | |||
3.00% 2/1/2032 | 1,446,158 | 1,488,416 | |||
3.00%, 5/1/2032 | 584,967 | 601,975 | |||
3.00%, 8/1/2032 | 204,336 | 210,277 | |||
3.00%, 10/1/2032 | 353,042 | 363,307 | |||
3.00%, 2/1/2033 | 1,131,400 | 1,164,297 | |||
3.00%, 7/1/2034 | 675,570 | 693,668 | |||
3.00%, 6/1/2036 | 78,406 | 80,539 | |||
3.00%, 8/1/2036 | 394,271 | 404,995 | |||
3.00%, 9/1/2036 | 734,590 | 754,571 | |||
3.00%, 10/1/2036 | 206,260 | 211,871 | |||
3.00%, 12/1/2036 | 355,569 | 365,240 | |||
3.00%, 11/1/2037 | 652,564 | 672,312 | |||
3.00%, 6/1/2042 | 1,361,136 | 1,402,327 | |||
3.00%, 6/1/2043 | 271,387 | 279,991 | |||
3.00%, 7/1/2043 | 79,242 | 81,525 | |||
3.00%, 2/1/2044 | 689,636 | 709,505 | |||
3.00%, 1/1/2045 | 1,147,954 | 1,181,027 | |||
3.00%, 5/1/2045 | 950,929 | 978,326 | |||
3.00%, 9/1/2045 | 80,296 | 82,344 | |||
3.00% 11/1/2045 | 616,960 | 632,693 | |||
3.00%, 12/1/2045 | 109,789 | 112,588 | |||
3.00%, 5/1/2046 | 773,218 | 791,390 | |||
3.00%, 7/1/2046 | 888,448 | 909,328 | |||
3.00%, 10/1/2046 | 556,980 | 570,070 | |||
3.00%, 11/1/2046 | 1,117,966 | 1,144,240 | |||
3.00% 12/1/2046 | 910,581 | 931,981 |
Security Description | Principal Amount | Value | |||
3.00% 1/1/2047 | $2,515,009 | $2,574,116 | |||
3.00%, 2/1/2047 | 786,625 | 805,112 | |||
3.00%, 5/1/2047 | 812,949 | 829,182 | |||
3.00%, 11/1/2047 | 606,778 | 618,894 | |||
3.00%, 2/1/2048 | 36,781 | 37,516 | |||
3.00%, 1/1/2050 | 4,250,000 | 4,311,379 | |||
3.50%, 11/1/2025 | 33,545 | 34,855 | |||
3.50%, 1/1/2027 | 35,876 | 37,278 | |||
3.50%, 5/1/2029 | 44,766 | 46,537 | |||
3.50%, 10/1/2029 | 36,168 | 37,600 | |||
3.50%, 2/1/2031 | 397,302 | 412,552 | |||
3.50%, 3/1/2032 | 304,635 | 316,309 | |||
3.50%, 4/1/2032 | 434,021 | 451,002 | |||
3.50%, 2/1/2033 | 892,057 | 927,643 | |||
3.50%, 4/1/2033 | 309,584 | 321,002 | |||
3.50%, 12/1/2035 | 50,276 | 52,585 | |||
3.50%, 1/1/2037 | 331,525 | 346,090 | |||
3.50%, 2/1/2037 | 504,799 | 527,017 | |||
3.50%, 7/1/2037 | 278,771 | 290,634 | |||
3.50%, 4/1/2038 | 647,708 | 672,500 | |||
3.50%, 2/1/2041 | 112,703 | 118,739 | |||
3.50%, 10/1/2044 | 40,064 | 41,965 | |||
3.50% 1/1/2045 | 116,588 | 122,118 | |||
3.50% 2/1/2045 | 4,113,333 | 4,329,811 | |||
3.50%, 5/1/2045 | 49,350 | 51,582 | |||
3.50% 8/1/2045 | 159,792 | 167,280 | |||
3.50%, 11/1/2045 | 63,864 | 66,752 | |||
3.50% 12/1/2045 | 827,268 | 864,677 | |||
3.50%, 1/1/2046 | 625,385 | 653,664 | |||
3.50% 2/1/2046 | 708,970 | 741,029 | |||
3.50% 4/1/2046 | 459,562 | 479,152 | |||
3.50% 5/1/2046 | 745,029 | 776,788 | |||
3.50%, 6/1/2046 | 188,373 | 196,403 | |||
3.50%, 7/1/2046 | 438,818 | 457,524 | |||
3.50%, 1/1/2047 | 651,311 | 679,075 | |||
3.50% 2/1/2047 | 2,167,979 | 2,274,550 | |||
3.50%, 3/1/2047 | 710,024 | 740,291 | |||
3.50%, 4/1/2047 | 1,435,128 | 1,490,598 | |||
3.50% 5/1/2047 | 3,857,562 | 4,022,003 | |||
3.50%, 6/1/2047 | 723,572 | 751,539 | |||
3.50%, 7/1/2047 | 1,136,317 | 1,196,124 | |||
3.50%, 9/1/2047 | 622,322 | 646,376 | |||
3.50%, 10/1/2047 | 731,908 | 760,198 | |||
3.50% 11/1/2047 | 192,924 | 200,520 | |||
3.50%, 12/1/2047 | 1,104,026 | 1,146,699 | |||
3.50%, 1/1/2048 | 322,729 | 335,203 | |||
3.50%, 2/1/2048 | 353,675 | 370,375 | |||
3.50% 6/1/2048 | 3,007,393 | 3,099,605 | |||
3.50%, 7/1/2049 | 1,390,604 | 1,430,603 | |||
3.50%, 8/1/2049 | 3,625,142 | 3,729,414 | |||
4.00%, 3/1/2021 | 6,920 | 6,964 | |||
4.00%, 3/1/2031 | 1,117,033 | 1,167,276 | |||
4.00%, 10/1/2033 | 151,147 | 160,712 | |||
4.00%, 10/1/2037 | 1,349,373 | 1,415,390 | |||
4.00%, 1/1/2039 | 255,766 | 267,983 |
Security Description | Principal Amount | Value | |||
4.00%, 2/1/2039 | $218,728 | $229,176 | |||
4.00%, 12/1/2040 | 62,650 | 67,151 | |||
4.00%, 2/1/2043 | 351,391 | 376,641 | |||
4.00% 10/1/2043 | 847,389 | 906,859 | |||
4.00%, 11/1/2043 | 276,489 | 295,157 | |||
4.00%, 12/1/2043 | 247,003 | 263,681 | |||
4.00% 10/1/2044 | 58,046 | 61,738 | |||
4.00%, 1/1/2045 | 816,314 | 873,801 | |||
4.00%, 3/1/2045 | 49,354 | 52,316 | |||
4.00%, 5/1/2045 | 1,896,539 | 2,017,177 | |||
4.00%, 7/1/2045 | 53,897 | 57,132 | |||
4.00% 9/1/2045 | 227,298 | 240,940 | |||
4.00% 12/1/2045 | 99,080 | 105,027 | |||
4.00%, 4/1/2046 | 248,481 | 262,053 | |||
4.00%, 7/1/2046 | 325,108 | 342,865 | |||
4.00% 11/1/2046 | 1,928,658 | 2,050,996 | |||
4.00%, 12/1/2046 | 618,842 | 652,643 | |||
4.00% 4/1/2047 | 1,504,174 | 1,581,435 | |||
4.00%, 7/1/2047 | 738,922 | 776,876 | |||
4.00%, 8/1/2047 | 638,258 | 671,042 | |||
4.00%, 9/1/2047 | 615,262 | 646,864 | |||
4.00%, 12/1/2047 | 807,066 | 848,521 | |||
4.00%, 2/1/2048 | 1,867,766 | 1,963,702 | |||
4.00%, 7/1/2048 | 819,473 | 855,247 | |||
4.00%, 8/1/2048 | 3,180,291 | 3,311,898 | |||
4.00%, 9/1/2048 | 1,610,883 | 1,677,545 | |||
4.00%, 3/1/2049 | 117,598 | 122,323 | |||
4.00%, 7/1/2049 | 3,030,774 | 3,152,539 | |||
4.00%, 8/1/2049 | 2,383,889 | 2,479,664 | |||
4.00%, 9/1/2049 | 967,789 | 1,006,671 | |||
4.50%, 5/1/2020 | 27 | 27 | |||
4.50%, 12/1/2040 | 121,431 | 131,899 | |||
4.50%, 1/1/2042 | 68,028 | 73,892 | |||
4.50% 9/1/2043 | 131,263 | 142,501 | |||
4.50%, 11/1/2043 | 76,101 | 82,453 | |||
4.50%, 5/1/2044 | 227,142 | 245,330 | |||
4.50%, 6/1/2044 | 72,759 | 78,585 | |||
4.50%, 2/1/2046 | 260,407 | 282,857 | |||
4.50%, 3/1/2046 | 863,095 | 935,131 | |||
4.50%, 7/1/2046 | 283,310 | 303,044 | |||
4.50%, 11/1/2047 | 962,097 | 1,024,305 | |||
4.50%, 4/1/2048 | 518,450 | 546,683 | |||
4.50% 8/1/2048 | 1,925,171 | 2,033,957 | |||
4.50%, 11/1/2048 | 2,494,469 | 2,635,426 | |||
4.50%, 12/1/2048 | 866,149 | 915,093 | |||
4.50%, 1/1/2049 | 316,045 | 333,903 | |||
4.50%, 4/1/2049 | 395,382 | 416,942 | |||
5.00%, 1/1/2039 | 557,308 | 615,614 | |||
5.00%, 6/1/2040 | 267,779 | 295,294 | |||
5.00%, 7/1/2041 | 41,320 | 45,566 | |||
5.00%, 5/1/2042 | 52,447 | 57,836 | |||
5.00%, 11/1/2044 | 673,992 | 743,247 | |||
5.00%, 1/1/2045 | 51,797 | 56,524 | |||
5.00%, 6/1/2048 | 925,314 | 989,804 | |||
5.00%, 9/1/2048 | 939,067 | 1,004,542 |
Security Description | Principal Amount | Value | |||
5.50%, 2/1/2037 | $28,127 | $31,485 | |||
5.50%, 4/1/2038 | 130,011 | 145,464 | |||
5.50%, 9/1/2040 | 40,931 | 45,783 | |||
5.50%, 9/1/2041 | 65,015 | 72,743 | |||
5.50% 5/1/2044 | 754,029 | 843,812 | |||
5.63%, 7/15/2037 | 80,000 | 115,744 | |||
6.63%, 11/15/2030 | 365,000 | 520,286 | |||
7.25%, 5/15/2030 | 75,000 | 110,135 | |||
Series 2013-M12, Class APT, 2.41%, 3/25/2023 (d) | 29,103 | 29,421 | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (d) | 142,492 | 144,118 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d) | 750,000 | 775,811 | |||
Series 2014-M3, Class A2, 3.48%, 1/25/2024 (d) | 38,718 | 40,543 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (d) | 250,000 | 258,323 | |||
Series 2017-M12, Class A2, 3.08%, 6/25/2027 (d) | 400,000 | 421,148 | |||
Series 2018-M2, Class A2, 2.90%, 1/25/2028 (d) | 250,000 | 260,402 | |||
Government National Mortgage Association: | |||||
2.50%, 12/20/2046 | 914,006 | 921,756 | |||
3.00%, 1/20/2043 | 558,630 | 578,641 | |||
3.00%, 5/20/2043 | 278,941 | 289,314 | |||
3.00%, 12/20/2044 | 59,337 | 61,375 | |||
3.00%, 3/20/2045 | 32,596 | 33,699 | |||
3.00%, 4/20/2045 | 95,412 | 98,642 | |||
3.00%, 6/20/2045 | 1,435,996 | 1,484,609 | |||
3.00%, 7/20/2045 | 90,120 | 93,171 | |||
3.00%, 8/20/2045 | 81,507 | 84,266 | |||
3.00%, 2/20/2046 | 2,109,094 | 2,187,529 | |||
3.00%, 3/20/2046 | 869,625 | 897,186 | |||
3.00%, 4/20/2046 | 83,344 | 85,985 | |||
3.00%, 5/20/2046 | 146,379 | 151,018 | |||
3.00%, 7/20/2046 | 93,273 | 96,229 | |||
3.00%, 8/20/2046 | 302,626 | 312,217 | |||
3.00%, 9/20/2046 | 213,733 | 220,507 | |||
3.00%, 10/20/2046 | 215,280 | 222,103 | |||
3.00%, 11/20/2046 | 386,536 | 398,786 | |||
3.00%, 12/20/2046 | 1,521,263 | 1,569,476 | |||
3.00%, 2/20/2047 | 733,116 | 756,351 | |||
3.00%, 4/20/2047 | 1,043,112 | 1,075,378 | |||
3.00%, 5/20/2047 | 13,976 | 14,409 | |||
3.00%, 6/20/2047 | 364,197 | 375,462 | |||
3.00%, 7/20/2047 | 730,577 | 753,176 | |||
3.00%, 8/20/2047 | 363,174 | 374,408 | |||
3.00%, 10/20/2047 | 546,284 | 563,182 | |||
3.00%, 1/20/2048 | 2,031,160 | 2,093,990 | |||
3.00%, 2/20/2048 | 1,231,843 | 1,269,948 | |||
3.00%, 3/20/2048 | 2,161,785 | 2,223,411 | |||
3.00%, 12/20/2049 | 2,000,000 | 2,055,437 | |||
3.50%, 10/20/2042 | 443,326 | 466,773 | |||
3.50%, 1/20/2043 | 1,824,234 | 1,920,713 |
Security Description | Principal Amount | Value | |||
3.50%, 5/20/2043 | $66,185 | $69,511 | |||
3.50%, 9/20/2043 | 45,224 | 47,497 | |||
3.50%, 11/20/2043 | 358,812 | 376,846 | |||
3.50%, 6/20/2044 | 2,098,011 | 2,198,455 | |||
3.50%, 10/20/2044 | 46,830 | 49,072 | |||
3.50%, 11/20/2044 | 45,025 | 47,181 | |||
3.50%, 12/20/2044 | 32,062 | 33,597 | |||
3.50%, 3/20/2045 | 29,240 | 30,519 | |||
3.50%, 4/20/2045 | 89,929 | 93,916 | |||
3.50%, 6/20/2045 | 1,294,406 | 1,351,064 | |||
3.50%, 10/20/2045 | 2,588,311 | 2,701,605 | |||
3.50%, 12/20/2045 | 44,264 | 46,201 | |||
3.50%, 1/20/2046 | 977,893 | 1,020,697 | |||
3.50%, 3/20/2046 | 212,362 | 221,423 | |||
3.50%, 4/20/2046 | 113,254 | 118,087 | |||
3.50%, 5/20/2046 | 117,313 | 122,319 | |||
3.50%, 6/20/2046 | 1,826,587 | 1,904,526 | |||
3.50%, 7/20/2046 | 291,612 | 304,055 | |||
3.50%, 10/20/2046 | 554,669 | 578,336 | |||
3.50%, 11/20/2046 | 359,219 | 374,547 | |||
3.50%, 12/20/2046 | 1,179,203 | 1,229,519 | |||
3.50%, 5/20/2047 | 1,011,470 | 1,050,634 | |||
3.50%, 6/20/2047 | 699,785 | 726,880 | |||
3.50%, 7/20/2047 | 542,596 | 563,605 | |||
3.50%, 8/20/2047 | 863,502 | 896,936 | |||
3.50%, 9/20/2047 | 367,232 | 381,451 | |||
3.50%, 10/20/2047 | 354,857 | 368,597 | |||
3.50%, 1/20/2048 | 3,206,255 | 3,330,399 | |||
3.50%, 2/20/2048 | 1,501,575 | 1,559,716 | |||
3.50%, 6/20/2048 | 540,983 | 560,875 | |||
3.50%, 8/20/2048 | 402,509 | 417,308 | |||
3.50%, 8/20/2049 | 1,779,337 | 1,844,249 | |||
3.50%, 9/20/2049 | 1,985,503 | 2,057,936 | |||
4.00%, 4/15/2040 | 49,918 | 52,775 | |||
4.00%, 2/20/2042 | 21,560 | 22,990 | |||
4.00%, 7/20/2042 | 15,002 | 15,966 | |||
4.00%, 7/15/2044 | 45,231 | 47,843 | |||
4.00%, 8/20/2044 | 29,682 | 31,373 | |||
4.00%, 10/20/2044 | 266,739 | 281,933 | |||
4.00%, 5/15/2045 | 47,968 | 50,699 | |||
4.00%, 6/15/2045 | 97,427 | 102,975 | |||
4.00%, 8/20/2045 | 31,007 | 32,672 | |||
4.00%, 11/20/2045 | 380,961 | 401,415 | |||
4.00%, 2/20/2046 | 288,367 | 303,850 | |||
4.00%, 5/20/2046 | 307,883 | 324,414 | |||
4.00%, 6/20/2046 | 209,696 | 220,174 | |||
4.00%, 1/20/2047 | 697,215 | 732,051 | |||
4.00%, 3/20/2047 | 336,521 | 353,335 | |||
4.00%, 4/20/2047 | 648,664 | 678,894 | |||
4.00%, 5/20/2047 | 443,733 | 464,413 | |||
4.00%, 6/20/2047 | 91,422 | 95,682 | |||
4.00%, 7/20/2047 | 457,320 | 478,633 | |||
4.00%, 8/20/2047 | 187,827 | 196,581 | |||
4.00%, 11/20/2047 | 2,373,011 | 2,483,604 | |||
4.00%, 1/20/2048 | 332,651 | 348,154 |
Security Description | Principal Amount | Value | |||
4.00%, 6/20/2048 | $176,916 | $184,190 | |||
4.00%, 8/20/2048 | 1,996,902 | 2,079,010 | |||
4.00%, 9/20/2048 | 1,713,976 | 1,784,451 | |||
4.00%, 10/20/2048 | 858,321 | 893,614 | |||
4.00%, 11/20/2048 | 688,779 | 717,100 | |||
4.00%, 4/20/2049 | 895,707 | 928,974 | |||
4.00%, 6/20/2049 | 1,949,412 | 2,021,815 | |||
4.50%, 1/20/2044 | 128,675 | 138,930 | |||
4.50%, 11/20/2044 | 38,828 | 41,865 | |||
4.50%, 12/20/2044 | 31,331 | 33,783 | |||
4.50%, 4/20/2046 | 187,183 | 201,827 | |||
4.50%, 6/20/2046 | 132,515 | 142,882 | |||
4.50%, 7/20/2046 | 171,838 | 185,282 | |||
4.50%, 4/20/2047 | 654,406 | 693,237 | |||
4.50%, 8/20/2047 | 200,639 | 211,324 | |||
4.50%, 11/20/2047 | 1,856,259 | 1,955,110 | |||
4.50%, 12/20/2047 | 114,759 | 120,870 | |||
4.50%, 9/20/2048 | 1,531,091 | 1,607,151 | |||
4.50%, 11/20/2048 | 904,542 | 949,477 | |||
4.50%, 12/20/2048 | 1,109,490 | 1,164,606 | |||
4.50%, 7/20/2049 | 1,015,763 | 1,067,652 | |||
5.00%, 6/15/2040 | 39,705 | 43,747 | |||
5.00%, 10/15/2041 | 90,425 | 98,713 | |||
5.00%, 3/20/2044 | 59,255 | 64,554 | |||
5.00%, 12/20/2045 | 205,084 | 224,257 | |||
5.00%, 1/20/2048 | 432,922 | 460,481 | |||
5.00%, 5/20/2048 | 413,185 | 435,877 | |||
5.00%, 9/20/2048 | 738,673 | 777,607 | |||
5.50%, 10/20/2043 | 50,639 | 56,949 | |||
5.50%, 5/20/2045 | 600,729 | 661,826 | |||
Iraq Government AID Bond 2.15%, 1/18/2022 | 200,000 | 201,766 | |||
Tennessee Valley Authority: | |||||
2.88%, 9/15/2024 | 100,000 | 104,764 | |||
3.50%, 12/15/2042 | 175,000 | 195,424 | |||
4.25%, 9/15/2065 | 100,000 | 130,022 | |||
5.25%, 9/15/2039 | 150,000 | 206,823 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 157,907 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $299,226,225) | 303,421,316 | ||||
U.S. TREASURY OBLIGATIONS — 37.3% | |||||
Treasury Bonds: | |||||
2.25%, 8/15/2046 | 1,425,000 | 1,388,484 | |||
2.25%, 8/15/2049 (c) | 2,000,000 | 1,946,250 | |||
2.50%, 2/15/2045 | 1,840,000 | 1,882,262 | |||
2.50%, 2/15/2046 | 1,400,000 | 1,432,812 | |||
2.50%, 5/15/2046 | 1,100,000 | 1,125,781 | |||
2.75%, 8/15/2042 | 900,000 | 963,141 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,604,531 | |||
2.75%, 8/15/2047 (c) | 1,700,000 | 1,827,766 | |||
2.75%, 11/15/2047 | 1,650,000 | 1,773,750 | |||
2.88%, 5/15/2043 | 1,850,000 | 2,019,680 | |||
2.88%, 8/15/2045 (c) | 3,480,000 | 3,813,319 |
Security Description | Principal Amount | Value | |||
2.88%, 11/15/2046 (c) | $2,750,000 | $3,024,141 | |||
2.88%, 5/15/2049 | 1,250,000 | 1,381,641 | |||
3.00%, 5/15/2042 (c) | 1,325,000 | 1,476,754 | |||
3.00%, 11/15/2044 (c) | 1,925,000 | 2,150,887 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,098,535 | |||
3.00%, 11/15/2045 | 2,400,000 | 2,691,000 | |||
3.00%, 2/15/2047 | 1,200,000 | 1,351,687 | |||
3.00%, 5/15/2047 | 2,700,000 | 3,040,875 | |||
3.00%, 2/15/2048 | 1,700,000 | 1,916,484 | |||
3.00%, 8/15/2048 | 1,950,000 | 2,202,281 | |||
3.00%, 2/15/2049 | 2,150,000 | 2,431,852 | |||
3.13%, 11/15/2041 | 1,200,000 | 1,363,687 | |||
3.13%, 2/15/2042 | 1,725,000 | 1,960,301 | |||
3.13%, 2/15/2043 | 1,825,000 | 2,073,941 | |||
3.13%, 8/15/2044 | 1,750,000 | 1,995,547 | |||
3.13%, 5/15/2048 | 2,375,000 | 2,742,012 | |||
3.38%, 5/15/2044 | 1,350,000 | 1,601,227 | |||
3.38%, 11/15/2048 | 2,100,000 | 2,540,016 | |||
3.63%, 8/15/2043 | 1,600,000 | 1,966,250 | |||
3.63%, 2/15/2044 | 1,475,000 | 1,816,555 | |||
3.75%, 8/15/2041 | 1,200,000 | 1,492,500 | |||
3.75%, 11/15/2043 | 1,425,000 | 1,785,703 | |||
3.88%, 8/15/2040 | 750,000 | 946,875 | |||
4.25%, 11/15/2040 | 1,000,000 | 1,325,781 | |||
4.38%, 2/15/2038 | 775,000 | 1,032,324 | |||
4.38%, 5/15/2040 | 575,000 | 773,285 | |||
4.38%, 5/15/2041 | 300,000 | 405,047 | |||
4.50%, 2/15/2036 (c) | 2,500,000 | 3,319,922 | |||
4.50%, 8/15/2039 | 650,000 | 883,391 | |||
4.75%, 2/15/2037 | 350,000 | 482,234 | |||
4.75%, 2/15/2041 | 650,000 | 918,430 | |||
5.25%, 11/15/2028 | 450,000 | 573,117 | |||
6.50%, 11/15/2026 | 1,500,000 | 1,955,391 | |||
Treasury Notes: | |||||
1.13%, 2/28/2021 | 850,000 | 845,053 | |||
1.13%, 6/30/2021 | 2,250,000 | 2,234,531 | |||
1.13%, 7/31/2021 | 1,175,000 | 1,166,279 | |||
1.13%, 8/31/2021 (c) | 2,350,000 | 2,331,732 | |||
1.13%, 9/30/2021 | 1,300,000 | 1,289,488 | |||
1.25%, 3/31/2021 (c) | 200,000 | 199,094 | |||
1.25%, 10/31/2021 | 1,400,000 | 1,391,578 | |||
1.25%, 7/31/2023 | 250,000 | 246,660 | |||
1.38%, 4/30/2021 | 525,000 | 523,462 | |||
1.38%, 5/31/2021 (c) | 3,775,000 | 3,763,498 | |||
1.38%, 10/15/2022 | 2,500,000 | 2,484,961 | |||
1.38%, 9/30/2023 | 550,000 | 544,629 | |||
1.50%, 8/31/2021 | 1,500,000 | 1,497,598 | |||
1.50%, 11/30/2021 (c) | 1,000,000 | 998,672 | |||
1.50%, 1/31/2022 | 450,000 | 449,332 | |||
1.50%, 9/15/2022 | 3,000,000 | 2,993,437 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,487,578 | |||
1.50%, 8/15/2026 | 4,150,000 | 4,069,594 | |||
1.63%, 8/31/2022 (c) | 1,150,000 | 1,151,168 | |||
1.63%, 4/30/2023 (c) | 2,500,000 | 2,500,195 | |||
1.63%, 5/31/2023 (c) | 1,250,000 | 1,250,098 |
Security Description | Principal Amount | Value | |||
1.63%, 2/15/2026 | $1,925,000 | $1,907,855 | |||
1.63%, 9/30/2026 | 3,750,000 | 3,705,469 | |||
1.63%, 10/31/2026 | 3,500,000 | 3,456,797 | |||
1.63%, 8/15/2029 | 2,250,000 | 2,193,750 | |||
1.75%, 11/30/2021 | 1,500,000 | 1,504,629 | |||
1.75%, 2/28/2022 | 300,000 | 301,102 | |||
1.75%, 3/31/2022 | 250,000 | 250,938 | |||
1.75%, 4/30/2022 | 300,000 | 301,172 | |||
1.75%, 5/31/2022 (c) | 1,000,000 | 1,004,063 | |||
1.75%, 6/15/2022 | 1,500,000 | 1,506,211 | |||
1.75%, 6/30/2022 (c) | 3,750,000 | 3,765,820 | |||
1.75%, 9/30/2022 | 1,750,000 | 1,757,246 | |||
1.75%, 1/31/2023 | 2,925,000 | 2,937,340 | |||
1.75%, 5/15/2023 | 250,000 | 250,977 | |||
1.75%, 6/30/2024 | 1,500,000 | 1,504,805 | |||
1.75%, 11/15/2029 | 3,000,000 | 2,957,344 | |||
1.88%, 1/31/2022 | 1,850,000 | 1,860,840 | |||
1.88%, 2/28/2022 | 5,500,000 | 5,533,945 | |||
1.88%, 3/31/2022 | 5,500,000 | 5,535,234 | |||
1.88%, 4/30/2022 (c) | 6,000,000 | 6,039,844 | |||
1.88%, 5/31/2022 | 100,000 | 100,695 | |||
1.88%, 7/31/2022 | 1,000,000 | 1,007,188 | |||
1.88%, 8/31/2022 | 150,000 | 151,113 | |||
1.88%, 9/30/2022 | 500,000 | 503,867 | |||
1.88%, 8/31/2024 | 850,000 | 857,371 | |||
2.00%, 2/28/2021 | 750,000 | 753,135 | |||
2.00%, 5/31/2021 | 350,000 | 351,955 | |||
2.00%, 8/31/2021 (c) | 300,000 | 301,957 | |||
2.00%, 10/31/2021 | 3,500,000 | 3,526,113 | |||
2.00%, 11/15/2021 | 500,000 | 503,906 | |||
2.00%, 12/31/2021 | 3,000,000 | 3,024,023 | |||
2.00%, 7/31/2022 | 100,000 | 101,039 | |||
2.00%, 10/31/2022 | 5,000,000 | 5,055,078 | |||
2.00%, 11/30/2022 | 2,000,000 | 2,022,812 | |||
2.00%, 2/15/2023 | 500,000 | 505,859 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,774,336 | |||
2.00%, 6/30/2024 | 350,000 | 354,840 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,409,697 | |||
2.00%, 8/15/2025 | 1,500,000 | 1,520,625 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,276,016 | |||
2.13%, 8/15/2021 (c) | 5,500,000 | 5,545,117 | |||
2.13%, 6/30/2022 | 4,500,000 | 4,559,766 | |||
2.13%, 12/31/2022 (c) | 3,900,000 | 3,959,719 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,017,891 | |||
2.13%, 3/31/2024 | 5,975,000 | 6,086,098 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,548,633 | |||
2.13%, 9/30/2024 (c) | 1,500,000 | 1,529,883 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,275,586 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,398,836 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,550,195 | |||
2.25%, 2/15/2021 | 2,000,000 | 2,013,594 | |||
2.25%, 3/31/2021 | 6,750,000 | 6,801,416 | |||
2.25%, 4/30/2021 | 3,000,000 | 3,025,547 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,790,059 | |||
2.25%, 1/31/2024 | 1,000,000 | 1,023,203 |
Security Description | Principal Amount | Value | |||
2.25%, 4/30/2024 | $1,000,000 | $1,024,141 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,282,715 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,283,398 | |||
2.25%, 11/15/2025 (c) | 1,975,000 | 2,029,004 | |||
2.25%, 3/31/2026 | 4,500,000 | 4,624,102 | |||
2.25%, 2/15/2027 | 3,000,000 | 3,084,844 | |||
2.25%, 8/15/2027 (c) | 2,000,000 | 2,057,187 | |||
2.25%, 11/15/2027 | 2,750,000 | 2,828,633 | |||
2.38%, 3/15/2021 | 1,000,000 | 1,008,750 | |||
2.38%, 4/15/2021 | 750,000 | 757,295 | |||
2.38%, 3/15/2022 | 8,000,000 | 8,138,750 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,534,219 | |||
2.38%, 2/29/2024 | 2,000,000 | 2,057,187 | |||
2.38%, 8/15/2024 | 1,950,000 | 2,009,871 | |||
2.38%, 5/15/2027 | 2,900,000 | 3,008,297 | |||
2.38%, 5/15/2029 | 3,750,000 | 3,900,586 | |||
2.50%, 2/28/2021 | 2,000,000 | 2,019,844 | |||
2.50%, 1/15/2022 | 8,000,000 | 8,145,000 | |||
2.50%, 2/15/2022 | 2,000,000 | 2,037,969 | |||
2.50%, 3/31/2023 | 1,250,000 | 1,284,766 | |||
2.50%, 8/15/2023 | 2,500,000 | 2,575,195 | |||
2.50%, 1/31/2024 | 6,000,000 | 6,198,281 | |||
2.50%, 1/31/2025 | 1,000,000 | 1,039,297 | |||
2.50%, 2/28/2026 | 2,500,000 | 2,605,273 | |||
2.63%, 5/15/2021 | 1,500,000 | 1,520,684 | |||
2.63%, 6/15/2021 | 1,350,000 | 1,369,670 | |||
2.63%, 7/15/2021 | 3,000,000 | 3,046,523 | |||
2.63%, 12/15/2021 | 2,500,000 | 2,549,609 | |||
2.63%, 2/28/2023 | 4,000,000 | 4,124,063 | |||
2.63%, 6/30/2023 | 3,600,000 | 3,721,781 | |||
2.63%, 12/31/2023 | 3,000,000 | 3,112,031 | |||
2.63%, 3/31/2025 | 1,000,000 | 1,045,938 | |||
2.63%, 12/31/2025 | 3,250,000 | 3,408,691 | |||
2.63%, 1/31/2026 | 3,500,000 | 3,671,445 | |||
2.63%, 2/15/2029 | 3,100,000 | 3,287,453 | |||
2.75%, 4/30/2023 | 3,250,000 | 3,368,066 | |||
2.75%, 5/31/2023 | 1,500,000 | 1,555,430 | |||
2.75%, 7/31/2023 | 1,000,000 | 1,038,594 | |||
2.75%, 8/31/2023 | 1,250,000 | 1,299,023 | |||
2.75%, 11/15/2023 | 1,500,000 | 1,561,172 | |||
2.75%, 2/15/2024 | 100,000 | 104,313 | |||
2.75%, 2/28/2025 | 5,000,000 | 5,258,594 | |||
2.75%, 6/30/2025 | 2,750,000 | 2,896,953 | |||
2.75%, 8/31/2025 | 2,500,000 | 2,635,547 | |||
2.75%, 2/15/2028 | 2,750,000 | 2,932,187 | |||
2.88%, 11/15/2021 | 2,000,000 | 2,047,187 | |||
2.88%, 9/30/2023 | 2,000,000 | 2,089,062 | |||
2.88%, 10/31/2023 | 2,000,000 | 2,090,625 | |||
2.88%, 11/30/2023 | 3,000,000 | 3,138,047 | |||
2.88%, 4/30/2025 | 1,250,000 | 1,323,633 | |||
2.88%, 5/31/2025 | 3,900,000 | 4,131,562 | |||
2.88%, 7/31/2025 | 4,000,000 | 4,241,875 | |||
2.88%, 11/30/2025 | 1,500,000 | 1,593,633 | |||
2.88%, 8/15/2028 | 2,750,000 | 2,966,133 | |||
3.00%, 9/30/2025 | 2,500,000 | 2,670,508 |
Security Description | Principal Amount | Value | ||||
3.00%, 10/31/2025 | $2,750,000 | $2,939,277 | ||||
3.13%, 11/15/2028 | 1,750,000 | 1,925,820 | ||||
3.63%, 2/15/2021 | 1,600,000 | �� | 1,634,875 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $373,683,418) | 385,253,243 | |||||
MUNICIPAL BONDS & NOTES — 0.6% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | 25,000 | 40,346 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 49,710 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 269,190 | ||||
7.30%, 10/1/2039 | 125,000 | 190,878 | ||||
7.50%, 4/1/2034 | 100,000 | 150,584 | ||||
7.55%, 4/1/2039 | 100,000 | 160,402 | ||||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | 100,000 | 109,414 | ||||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 134,543 | ||||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 32,015 | ||||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 72,199 | ||||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 282,664 | ||||
State of California 7.60%, 11/1/2040 | 250,000 | 412,677 | ||||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 314,145 | ||||
2,218,767 | ||||||
FLORIDA — 0.0% (a) | ||||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 133,831 | ||||
State Board of Administration Finance Corp. Series A, 2.64%, 7/1/2021 | 150,000 | 151,809 | ||||
285,640 | ||||||
GEORGIA — 0.0% (a) | ||||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 164,000 | 225,895 |
Security Description | Principal Amount | Value | |||
ILLINOIS — 0.1% | |||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | $50,000 | $60,614 | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | 50,000 | 60,327 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 271,125 | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | 50,000 | 53,902 | |||
6.63%, 2/1/2035 | 200,000 | 234,508 | |||
7.35%, 7/1/2035 | 100,000 | 121,380 | |||
801,856 | |||||
MASSACHUSETTS — 0.0% (a) | |||||
Massachusetts School Building Authority 3.40%, 10/15/2040 | 20,000 | 19,994 | |||
MISSOURI — 0.0% (a) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue 3.65%, 8/15/2057 | 100,000 | 105,086 | |||
NEW JERSEY — 0.1% | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 199,168 | |||
4.13%, 6/15/2042 | 160,000 | 158,707 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 152,504 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 34,444 | |||
544,823 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 34,365 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 99,144 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 107,457 | |||
Port Authority of New York & New Jersey: | |||||
4.46%, 10/1/2062 | 590,000 | 723,104 | |||
5.65%, 11/1/2040 | 100,000 | 133,485 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
4.03%, 9/1/2048 | 125,000 | 141,150 | |||
4.81%, 10/15/2065 | 25,000 | 31,492 | |||
1,270,197 |
Security Description | Principal Amount | Value | ||||
OHIO — 0.0% (a) | ||||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | $150,000 | $234,747 | ||||
PENNSYLVANIA — 0.0% (a) | ||||||
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038 | 125,000 | 137,191 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 96,964 | ||||
234,155 | ||||||
TEXAS — 0.1% | ||||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 132,233 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 246,748 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 158,040 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 50,499 | ||||
587,520 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 59,055 | ||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $6,219,567) | 6,587,735 | |||||
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 | 106,513 | ||||
BANK 2017-BNK8: | ||||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 95,713 | ||||
Series 2017-BNK8, Class B, 3.93%, 11/15/2050 (d) | 50,000 | 52,957 | ||||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (d) | 143,329 | 160,359 | ||||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (d) | 100,000 | 113,632 | ||||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 107,636 | ||||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 104,323 | ||||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2061 | 50,000 | 51,462 |
Security Description | Principal Amount | Value | |||
BANK 2019-BNK22 Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | $100,000 | $102,603 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 204,882 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 160,837 | |||
BENCHMARK Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (d) | 130,000 | 141,859 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 110,276 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 111,870 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 125,108 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 207,518 | |||
Cantor Commercial Real Estate Lending 2019-CF3 Series 2019-CF3, Class A4, 3.01%, 1/15/2053 | 100,000 | 102,604 | |||
CD Mortgage Trust: | |||||
Series 2017-CD6, Class A5, 3.46%, 11/13/2050 | 100,000 | 105,981 | |||
Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 204,015 | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 323,289 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 641,284 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 101,854 | |||
Series 2019-GC43, Clas A4, 3.04%, 11/10/2052 | 150,000 | 154,664 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 76,864 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 265,147 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 106,727 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 424,323 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 105,478 |
Security Description | Principal Amount | Value | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | $50,000 | $53,118 | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 300,000 | 312,670 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR8, Class A4, 3.33%, 6/10/2046 | 35,300 | 36,467 | |||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 423,986 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 111,471 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (d) | 150,000 | 158,113 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (d) | 250,000 | 264,590 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (d) | 50,000 | 56,820 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 204,920 | |||
GS Mortgage Securities Trust Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 154,134 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.05%, 7/10/2046 (d) | 80,000 | 85,204 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 93,403 | 99,410 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 153,861 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 204,707 | |||
GS Mortgage Securities Trust 2017-GS5 Series 2017-GS5, Class A2, 3.22%, 3/10/2050 | 300,000 | 304,374 | |||
GS Mortgage Securities Trust 2017-GS8 Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 264,110 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 64,081 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (d) | 50,000 | 53,245 |
Security Description | Principal Amount | Value | |||
JPMBB Commercial Mortgage Securities Trust 2015-C29 Series 2015-C29, Class A4, 3.61%, 5/15/2048 | $100,000 | $105,738 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 213,819 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 106,950 | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.74%, 3/15/2049 (d) | 300,000 | 326,944 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 529,757 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 207,557 | |||
Series 2016-C29, Class A2, 2.79%, 5/15/2049 | 200,000 | 200,742 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 Series 2012-C6, Class A4, 2.86%, 11/15/2045 | 167,098 | 169,428 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 305,491 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 231,326 | |||
Morgan Stanley Capital I Trust 2018-L1 Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 166,539 | |||
Morgan Stanley Capital I Trust 2019-H7 Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 208,901 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 438,816 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 107,435 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 179,583 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 203,445 |
Security Description | Principal Amount | Value | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | $100,000 | $102,789 | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 224,998 | 230,442 | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | 100,000 | 104,783 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 311,392 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 267,167 | |||
Wells Fargo Commercial Mortgage Trust 2018-C47 Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 170,410 | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 222,632 | |||
WFRBS Commercial Mortgage Trust 2014-C19: | |||||
Series 2014-C19, Class A3, 3.66%, 3/15/2047 | 63,814 | 64,610 | |||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 116,001 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 106,410 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,753,861) | 12,974,166 |
Shares | |||
SHORT-TERM INVESTMENTS — 5.0% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (f) (g) | 20,860,756 | 20,862,842 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 30,806,743 | $30,806,743 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $51,668,755) | 51,669,585 | |||||
TOTAL INVESTMENTS — 104.2% (Cost $1,045,405,410) | 1,077,356,995 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.2)% | (43,778,498) | |||||
NET ASSETS — 100.0% | $1,033,578,497 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.7% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(d) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2019. Maturity date shown is the final maturity. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
BKNT | Bank Notes |
CMT | Constant Maturity Treasury |
DMTN | Domestic Medium - Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $269,931,317 | $— | $269,931,317 | ||||
Asset-Backed Securities | — | 4,623,701 | — | 4,623,701 | ||||
Foreign Government Obligations | — | 42,895,932 | — | 42,895,932 | ||||
U.S. Government Agency Obligations | — | 303,421,316 | — | 303,421,316 | ||||
U.S. Treasury Obligations | — | 385,253,243 | — | 385,253,243 | ||||
Municipal Bonds & Notes | — | 6,587,735 | — | 6,587,735 | ||||
Mortgage-Backed Securities | — | 12,974,166 | — | 12,974,166 | ||||
Short-Term Investments | 51,669,585 | — | — | 51,669,585 | ||||
TOTAL INVESTMENTS | $51,669,585 | $1,025,687,410 | $— | $1,077,356,995 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $129,765,245 | $108,902,951 | $(282) | $830 | 20,860,756 | $20,862,842 | $177,633 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 12,039,221 | 12,039,221 | 199,822,396 | 211,861,617 | — | — | — | — | 237,488 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 258,961,509 | 228,154,766 | — | — | 30,806,743 | 30,806,743 | 76,982 | ||||||||
Total | $12,039,221 | $588,549,150 | $548,919,334 | $(282) | $830 | $51,669,585 | $492,103 |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.9% | |||||
ARGENTINA — 0.1% | |||||
Adecoagro SA (a) | 6,100 | $51,057 | |||
Banco Macro SA ADR | 4,500 | 163,125 | |||
Cresud SACIF y A ADR (a)(b) | 1,685 | 11,863 | |||
Despegar.com Corp. (a)(b) | 6,200 | 83,576 | |||
Globant SA (a) | 2,800 | 296,940 | |||
Grupo Financiero Galicia SA ADR | 10,200 | 165,546 | |||
Grupo Supervielle SA ADR (b) | 4,400 | 16,192 | |||
Pampa Energia SA ADR (a)(b) | 6,200 | 101,866 | |||
Telecom Argentina SA ADR | 8,700 | 98,745 | |||
Transportadora de Gas del Sur SA Class B, ADR (b) | 7,996 | 57,331 | |||
YPF SA ADR | 17,600 | 203,808 | |||
1,250,049 | |||||
AUSTRALIA — 4.4% | |||||
Abacus Property Group REIT | 26,147 | 66,168 | |||
Accent Group, Ltd. | 61,268 | 80,322 | |||
Afterpay, Ltd. (a) | 14,502 | 298,486 | |||
AGL Energy, Ltd. | 52,981 | 764,599 | |||
ALS, Ltd. | 25,469 | 164,354 | |||
Altium, Ltd. | 7,931 | 193,567 | |||
Alumina, Ltd. | 204,380 | 330,439 | |||
AMA Group, Ltd. | 78,145 | 49,164 | |||
AMP, Ltd. | 259,969 | 349,957 | |||
Ansell, Ltd. | 12,375 | 252,532 | |||
AP Eagers, Ltd. | 10,480 | 75,437 | |||
APA Group | 93,083 | 726,303 | |||
Appen, Ltd. | 8,335 | 131,595 | |||
Ardent Leisure Group, Ltd. (a)(b) | 107,857 | 98,564 | |||
Aristocrat Leisure, Ltd. | 44,821 | 1,060,838 | |||
ASX, Ltd. | 17,118 | 943,515 | |||
Atlas Arteria, Ltd. | 30,999 | 170,622 | |||
Aurizon Holdings, Ltd. | 168,146 | 618,177 | |||
AusNet Services | 182,153 | 217,676 | |||
Austal, Ltd. | 18,263 | 49,041 | |||
Australia & New Zealand Banking Group, Ltd. | 219,029 | 3,792,194 | |||
Aventus Group REIT | 53,330 | 106,842 | |||
Avita Medical, Ltd. (a)(b) | 181,421 | 82,257 | |||
Bank of Queensland, Ltd. (b) | 38,985 | 198,683 | |||
Bapcor, Ltd. | 14,687 | 66,075 | |||
Beach Energy, Ltd. | 116,482 | 205,521 | |||
Bendigo & Adelaide Bank, Ltd. | 50,810 | 349,311 | |||
BHP Group PLC | 162,171 | 3,817,209 | |||
BHP Group, Ltd. | 225,759 | 6,176,500 | |||
Bingo Industries, Ltd. (b) | 47,497 | 94,822 | |||
BlueScope Steel, Ltd. | 41,093 | 435,028 | |||
Boral, Ltd. | 88,214 | 277,805 | |||
Brambles, Ltd. | 125,031 | 1,030,077 | |||
Bravura Solutions, Ltd. | 26,755 | 97,799 | |||
Breville Group, Ltd. | 7,471 | 91,695 | |||
BWP Trust REIT | 26,213 | 72,232 |
Security Description | Shares | Value | |||
Caltex Australia, Ltd. | 19,388 | $462,698 | |||
carsales.com, Ltd. | 12,031 | 140,474 | |||
Castile Resources Pty, Ltd. (a) | 10,652 | — | |||
Cedar Woods Properties, Ltd. | 15,454 | 85,278 | |||
Centuria Industrial REIT | 35,284 | 82,842 | |||
Challenger, Ltd. | 45,247 | 257,314 | |||
Charter Hall Group REIT | 28,169 | 219,400 | |||
Charter Hall Long New Share REIT (a) | 1,960 | 7,578 | |||
Charter Hall Long Wale REIT | 29,409 | 113,702 | |||
Charter Hall Retail REIT | 26,002 | 78,048 | |||
Charter Hall Social Infrastructure REIT | 29,739 | 67,732 | |||
CIMIC Group, Ltd. | 10,985 | 255,904 | |||
Cleanaway Waste Management, Ltd. | 86,204 | 121,800 | |||
Clinuvel Pharmaceuticals, Ltd. (b) | 1,075 | 21,499 | |||
Coca-Cola Amatil, Ltd. | 40,801 | 317,213 | |||
Cochlear, Ltd. | 4,539 | 717,044 | |||
Coles Group, Ltd. | 89,064 | 929,096 | |||
Collins Foods, Ltd. | 10,417 | 65,245 | |||
Commonwealth Bank of Australia | 135,035 | 7,584,337 | |||
Computershare, Ltd. | 46,891 | 553,103 | |||
Cooper Energy, Ltd. (a)(b) | 188,865 | 80,321 | |||
Corporate Travel Management, Ltd. (b) | 5,721 | 82,442 | |||
Costa Group Holdings, Ltd. (b) | 29,584 | 51,366 | |||
Credit Corp. Group, Ltd. | 4,750 | 102,975 | |||
Cromwell Property Group REIT (b) | 81,852 | 67,607 | |||
Crown Resorts, Ltd. | 39,227 | 331,171 | |||
CSL, Ltd. | 34,888 | 6,762,883 | |||
CSR, Ltd. | 27,280 | 87,253 | |||
Dexus REIT | 88,544 | 728,232 | |||
Dicker Data, Ltd. | 13,173 | 63,894 | |||
Domino's Pizza Enterprises, Ltd. | 3,646 | 134,196 | |||
Downer EDI, Ltd. | 13,553 | 77,836 | |||
Elders, Ltd. (b) | 16,674 | 75,835 | |||
Emeco Holdings, Ltd. (a)(b) | 56,581 | 86,309 | |||
EML Payments, Ltd. (a) | 16,999 | 54,250 | |||
Estia Health, Ltd. | 39,221 | 67,272 | |||
Evolution Mining, Ltd. | 121,858 | 325,508 | |||
FlexiGroup, Ltd. | 43,874 | 56,748 | |||
Flight Centre Travel Group, Ltd. | 6,470 | 200,389 | |||
Fortescue Metals Group, Ltd. | 106,236 | 798,314 | |||
G8 Education, Ltd. (b) | 43,505 | 58,106 | |||
GDI Property Group REIT | 67,675 | 70,169 | |||
Genworth Mortgage Insurance Australia, Ltd. (b) | 30,544 | 78,369 | |||
Gold Road Resources, Ltd. (a) | 85,928 | 80,940 | |||
Goodman Group REIT | 127,636 | 1,199,580 | |||
GPT Group REIT | 159,190 | 626,655 | |||
GrainCorp, Ltd. Class A (a) | 13,140 | 70,015 | |||
GWA Group, Ltd. (b) | 31,664 | 73,897 |
Security Description | Shares | Value | |||
Hansen Technologies, Ltd. | 29,249 | $78,130 | |||
Harvey Norman Holdings, Ltd. (b) | 32,722 | 93,618 | |||
Healius, Ltd. | 33,727 | 65,435 | |||
IDP Education, Ltd. | 6,654 | 80,311 | |||
Iluka Resources, Ltd. | 30,283 | 197,973 | |||
Incitec Pivot, Ltd. | 139,521 | 311,883 | |||
Independence Group NL | 26,707 | 117,148 | |||
Infigen Energy | 154,541 | 70,612 | |||
Ingenia Communities Group REIT | 15,705 | 54,758 | |||
Insurance Australia Group, Ltd. | 187,662 | 1,010,484 | |||
Integrated Research, Ltd. | 33,401 | 76,542 | |||
InvoCare, Ltd. (b) | 7,613 | 70,587 | |||
IOOF Holdings, Ltd. (b) | 19,504 | 107,763 | |||
IPH, Ltd. | 12,788 | 73,712 | |||
JB Hi-Fi, Ltd. (b) | 6,787 | 179,721 | |||
Jumbo Interactive, Ltd. | 3,849 | 40,341 | |||
Jupiter Mines, Ltd. | 276,114 | 54,346 | |||
LendLease Group Stapled Security | 45,068 | 557,578 | |||
Link Administration Holdings, Ltd. | 22,709 | 93,545 | |||
Lovisa Holdings, Ltd. | 8,077 | 70,233 | |||
Lynas Corp., Ltd. (a)(b) | 55,830 | 91,442 | |||
Macquarie Group, Ltd. | 25,835 | 2,503,455 | |||
Magellan Financial Group, Ltd. | 9,546 | 382,155 | |||
Mayne Pharma Group, Ltd. (a)(b) | 178,522 | 54,589 | |||
McMillan Shakespeare, Ltd. | 6,570 | 60,501 | |||
Medibank Pvt, Ltd. | 223,385 | 496,210 | |||
Megaport, Ltd. (a) | 11,378 | 85,900 | |||
Mesoblast, Ltd. (a) | 25,558 | 37,369 | |||
Metcash, Ltd. | 65,236 | 117,854 | |||
Mineral Resources, Ltd. (b) | 10,004 | 116,033 | |||
Mirvac Group REIT | 311,469 | 696,252 | |||
Myer Holdings, Ltd. (a)(b) | 176,996 | 59,721 | |||
Nanosonics, Ltd. (a) | 20,915 | 93,359 | |||
National Australia Bank, Ltd. | 221,931 | 3,842,438 | |||
nearmap, Ltd. (a)(b) | 42,091 | 75,153 | |||
New South Resources, Ltd. (a) | 121,999 | 157,368 | |||
Newcrest Mining, Ltd. | 58,995 | 1,254,484 | |||
NEXTDC, Ltd. (a) | 17,143 | 79,293 | |||
nib holdings, Ltd. | 20,512 | 90,407 | |||
Nine Entertainment Co. Holdings, Ltd. | 110,179 | 138,636 | |||
Northern Star Resources, Ltd. | 54,719 | 435,036 | |||
NRW Holdings, Ltd. | 47,497 | 107,843 | |||
Nufarm, Ltd. (a)(b) | 23,020 | 93,693 | |||
OceanaGold Corp. | 52,900 | 104,025 | |||
Oil Search, Ltd. | 106,806 | 544,325 | |||
Orica, Ltd. | 31,933 | 493,392 | |||
Origin Energy, Ltd. | 138,264 | 821,278 | |||
Orora, Ltd. | 43,399 | 97,013 | |||
OZ Minerals, Ltd. | 14,186 | 105,205 | |||
Pact Group Holdings, Ltd. (a) | 44,824 | 85,705 | |||
Pendal Group, Ltd. | 12,541 | 75,727 |
Security Description | Shares | Value | |||
Perenti Global, Ltd. | 48,779 | $55,549 | |||
Perseus Mining, Ltd. (a) | 101,127 | 82,461 | |||
PolyNovo, Ltd. (a) | 44,951 | 62,249 | |||
Premier Investments, Ltd. | 5,493 | 72,438 | |||
Pro Medicus, Ltd. | 3,617 | 56,826 | |||
Qantas Airways, Ltd. | 20,140 | 100,659 | |||
QBE Insurance Group, Ltd. | 106,573 | 964,912 | |||
Qube Holdings, Ltd. | 30,750 | 71,116 | |||
Ramelius Resources, Ltd. | 75,907 | 65,898 | |||
Ramsay Health Care, Ltd. | 13,324 | 679,324 | |||
REA Group, Ltd. | 4,400 | 320,433 | |||
Regis Resources, Ltd. | 41,477 | 126,538 | |||
Resolute Mining, Ltd. (a) | 73,959 | 65,507 | |||
Rural Funds Group REIT (b) | 68,985 | 93,107 | |||
Sandfire Resources NL | 16,700 | 70,201 | |||
Santos, Ltd. | 136,424 | 784,456 | |||
Saracen Mineral Holdings, Ltd. (a)(b) | 77,691 | 180,769 | |||
Scentre Group REIT | 419,305 | 1,128,894 | |||
SEEK, Ltd. | 27,544 | 436,614 | |||
Select Harvests, Ltd. | 13,517 | 79,720 | |||
Senex Energy, Ltd. (a) | 304,537 | 73,856 | |||
Service Stream, Ltd. | 39,978 | 74,753 | |||
Shopping Centres Australasia Property Group REIT | 50,411 | 94,615 | |||
Sigma Healthcare, Ltd. | 183,261 | 74,718 | |||
Silver Lake Resources, Ltd. (a) | 111,938 | 105,440 | |||
SmartGroup Corp., Ltd. | 8,607 | 41,989 | |||
Sonic Healthcare, Ltd. | 38,347 | 774,986 | |||
South32, Ltd. (c) | 10,757 | 20,093 | |||
South32, Ltd. (c) | 453,240 | 860,234 | |||
Southern Cross Media Group, Ltd. | 90,037 | 52,532 | |||
Spark Infrastructure Group | 63,359 | 93,085 | |||
St Barbara, Ltd. | 50,420 | 96,404 | |||
Star Entertainment Grp, Ltd. | 24,843 | 80,332 | |||
Steadfast Group, Ltd. | 34,195 | 83,650 | |||
Stockland REIT | 183,502 | 595,947 | |||
Suncorp Group, Ltd. | 101,388 | 923,668 | |||
Super Retail Group, Ltd. | 10,831 | 77,050 | |||
Sydney Airport Stapled Security | 87,209 | 530,889 | |||
Tabcorp Holdings, Ltd. | 177,605 | 565,559 | |||
Tassal Group, Ltd. | 24,890 | 72,785 | |||
Technology One, Ltd. | 14,502 | 84,510 | |||
Telstra Corp., Ltd. | 326,166 | 811,646 | |||
TPG Telecom, Ltd. | 37,112 | 175,050 | |||
Transurban Group Stapled Security | 209,613 | 2,196,951 | |||
Treasury Wine Estates, Ltd. | 56,446 | 644,382 | |||
Vicinity Centres REIT | 268,740 | 470,388 | |||
Virtus Health, Ltd. | 24,830 | 81,686 | |||
Viva Energy Group, Ltd. (d) | 55,223 | 74,532 | |||
Viva Energy REIT | 52,828 | 98,780 | |||
Vocus Group, Ltd. (a) | 56,908 | 114,410 | |||
Washington H Soul Pattinson & Co., Ltd. | 10,211 | 154,323 |
Security Description | Shares | Value | |||
Webjet, Ltd. (b) | 10,201 | $93,364 | |||
Wesfarmers, Ltd. | 86,314 | 2,511,922 | |||
Western Areas, Ltd. | 33,727 | 71,836 | |||
Westgold Resources, Ltd. (a) | 42,610 | 68,592 | |||
Westpac Banking Corp. | 268,390 | 4,571,348 | |||
Whitehaven Coal, Ltd. | 33,294 | 61,787 | |||
WiseTech Global, Ltd. (b) | 11,601 | 190,581 | |||
Woodside Petroleum, Ltd. | 72,143 | 1,743,511 | |||
Woolworths Group, Ltd. | 97,554 | 2,479,694 | |||
Worley, Ltd. (b) | 25,995 | 279,763 | |||
Zip Co., Ltd. (a)(b) | 21,571 | 53,678 | |||
92,731,816 | |||||
AUSTRIA — 0.2% | |||||
ams AG (a) | 7,113 | 288,457 | |||
ANDRITZ AG | 6,184 | 266,555 | |||
AT&S Austria Technologie & Systemtechnik AG | 4,273 | 96,217 | |||
BAWAG Group AG (a)(d) | 1,842 | 83,946 | |||
CA Immobilien Anlagen AG | 2,750 | 115,604 | |||
DO & Co. AG | 757 | 72,992 | |||
Erste Group Bank AG | 24,136 | 909,229 | |||
FACC AG | 6,220 | 77,779 | |||
IMMOFINANZ AG (a) | 3,901 | 104,655 | |||
Lenzing AG | 919 | 85,415 | |||
Oesterreichische Post AG | 2,372 | 90,527 | |||
OMV AG | 11,572 | 650,517 | |||
Palfinger AG | 2,748 | 90,225 | |||
Porr AG (b) | 3,398 | 58,892 | |||
Raiffeisen Bank International AG | 13,226 | 332,406 | |||
S IMMO AG | 4,849 | 121,379 | |||
S&T AG | 4,086 | 97,602 | |||
Schoeller-Bleckmann Oilfield Equipment AG | 1,349 | 76,167 | |||
Telekom Austria AG (a) | 9,473 | 77,412 | |||
Verbund AG | 5,853 | 293,941 | |||
Voestalpine AG | 9,794 | 273,305 | |||
Wienerberger AG | 7,814 | 231,735 | |||
4,494,957 | |||||
BELGIUM — 0.7% | |||||
Ackermans & van Haaren NV | 753 | 118,080 | |||
Aedifica SA REIT | 2,187 | 277,895 | |||
Ageas | 16,222 | 959,260 | |||
AGFA-Gevaert NV (a) | 20,285 | 105,151 | |||
Anheuser-Busch InBev SA | 58,446 | 4,770,184 | |||
Barco NV | 624 | 153,396 | |||
Befimmo SA REIT | 2,488 | 151,089 | |||
Bekaert SA | 2,534 | 75,377 | |||
Biocartis NV (a)(d) | 10,226 | 65,658 | |||
bpost SA | 8,782 | 101,535 | |||
Cofinimmo SA REIT | 1,147 | 168,663 | |||
Colruyt SA | 4,589 | 239,426 | |||
D'ieteren SA | 1,327 | 93,246 | |||
Econocom Group SA | 27,987 | 76,402 | |||
Elia System Operator SA | 836 | 74,228 |
Security Description | Shares | Value | |||
Euronav NV | 13,661 | $168,372 | |||
Exmar NV (a) | 8,692 | 51,516 | |||
Fagron | 4,097 | 88,896 | |||
Galapagos NV (a)(b) | 3,291 | 688,958 | |||
Groupe Bruxelles Lambert SA | 7,988 | 842,495 | |||
Intervest Offices & Warehouses NV REIT | 5,176 | 148,738 | |||
Ion Beam Applications (a) | 4,121 | 60,321 | |||
KBC Group NV | 20,063 | 1,510,239 | |||
Kinepolis Group NV | 1,145 | 76,088 | |||
Melexis NV | 1,119 | 84,220 | |||
Montea CVA REIT | 1,553 | 141,203 | |||
Ontex Group NV | 5,109 | 107,528 | |||
Orange Belgium SA | 3,420 | 79,466 | |||
Proximus SADP | 13,334 | 381,968 | |||
Recticel SA | 8,030 | 74,904 | |||
Retail Estates NV REIT | 1,506 | 141,832 | |||
Sofina SA | 369 | 79,775 | |||
Solvay SA | 6,222 | 721,467 | |||
Telenet Group Holding NV | 5,514 | 247,950 | |||
Tessenderlo Group SA (a) | 2,269 | 80,102 | |||
UCB SA | 10,571 | 841,295 | |||
Umicore SA | 15,535 | 756,113 | |||
Warehouses De Pauw CVA REIT | 1,192 | 217,027 | |||
15,020,063 | |||||
BRAZIL — 2.0% | |||||
Alliar Medicos A Frente SA | 15,100 | 68,167 | |||
Alpargatas SA Preference Shares (a) | 8,600 | 70,977 | |||
Ambev SA | 369,567 | 1,715,220 | |||
Anima Holding SA | 14,200 | 105,158 | |||
Arcos Dorados Holdings, Inc. Class A | 12,340 | 99,954 | |||
Atacadao SA | 39,400 | 228,700 | |||
Azul SA Preference Shares (a) | 22,400 | 324,526 | |||
B2W Cia Digital (a) | 19,877 | 310,604 | |||
B3 SA - Brasil Bolsa Balcao | 161,901 | 1,729,407 | |||
Banco ABC Brasil SA | 16,200 | 81,308 | |||
Banco Bradesco SA Preference Shares | 312,107 | 2,806,302 | |||
Banco Bradesco SA | 94,751 | 802,488 | |||
Banco BTG Pactual SA | 16,600 | 314,157 | |||
Banco do Brasil SA | 67,900 | 891,560 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 13,200 | 71,042 | |||
Banco Inter SA | 5,800 | 67,203 | |||
Banco Santander Brasil SA | 35,400 | 435,779 | |||
BB Seguridade Participacoes SA | 58,700 | 550,126 | |||
BK Brasil Operacao e Assessoria a Restaurantes SA | 14,000 | 61,879 | |||
BR Malls Participacoes SA | 77,182 | 346,510 | |||
BR Properties SA (a) | 15,100 | 54,354 | |||
Bradespar SA Preference Shares | 12,600 | 119,902 |
Security Description | Shares | Value | |||
Braskem SA Class A, Preference Shares | 20,100 | $149,150 | |||
BRF SA (a) | 46,500 | 406,891 | |||
CCR SA | 101,300 | 477,956 | |||
Centrais Eletricas Brasileiras SA | 22,800 | 214,244 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 17,200 | 163,504 | |||
Cia Brasileira de Distribuicao Preference Shares | 16,500 | 359,516 | |||
Cia de Locacao das Americas | 31,800 | 179,526 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 29,000 | 436,582 | |||
Cia Energetica de Minas Gerais Preference Shares | 96,664 | 331,369 | |||
Cia Energetica de Sao Paulo Class B, Preference Shares | 9,800 | 77,811 | |||
Cia Hering | 9,000 | 76,158 | |||
Cia Paranaense de Energia Preference Shares | 3,200 | 54,944 | |||
Cia Siderurgica Nacional SA | 49,900 | 175,029 | |||
Cielo SA | 104,339 | 217,097 | |||
Cogna Educacao | 111,700 | 317,382 | |||
Cosan SA | 14,100 | 243,850 | |||
CVC Brasil Operadora e Agencia de Viagens SA | 10,000 | 108,882 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 16,900 | 124,732 | |||
Embraer SA (a) | 72,500 | 355,588 | |||
Energisa SA | 1,900 | 25,283 | |||
Eneva SA (a) | 4,900 | 53,218 | |||
Engie Brasil Energia SA | 24,466 | 308,965 | |||
Equatorial Energia SA | 88,500 | 501,383 | |||
Ez Tec Empreendimentos e Participacoes SA | 7,500 | 96,763 | |||
Gerdau SA Preference Shares | 93,100 | 462,873 | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (a) | 8,600 | 78,674 | |||
Grupo SBF SA (a) | 6,100 | 53,347 | |||
Hapvida Participacoes e Investimentos SA (d) | 13,300 | 211,269 | |||
Hypera SA | 34,200 | 303,428 | |||
IRB Brasil Resseguros SA | 54,200 | 524,794 | |||
Itau Unibanco Holding SA Preference Shares | 376,803 | 3,475,126 | |||
Itausa - Investimentos Itau SA Preference Shares | 358,265 | 1,254,867 | |||
JBS SA | 85,900 | 550,928 | |||
JHSF Participacoes SA | 30,100 | 53,350 | |||
JSL SA | 16,600 | 110,469 | |||
Klabin SA | 78,628 | 359,843 | |||
Light SA | 20,100 | 118,720 | |||
Linx SA | 12,700 | 111,824 | |||
Localiza Rent a Car SA | 49,666 | 585,344 | |||
Lojas Americanas SA Preference Shares | 74,181 | 477,796 | |||
Lojas Renner SA | 63,171 | 882,387 |
Security Description | Shares | Value | |||
M Dias Branco SA (a) | 7,900 | $74,921 | |||
Magazine Luiza SA | 55,988 | 663,889 | |||
Minerva SA (a) | 15,700 | 50,113 | |||
Movida Participacoes SA | 19,000 | 90,307 | |||
MRV Engenharia e Participacoes SA | 22,500 | 120,535 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 296,334 | |||
Natura & Co. Holding SA | 32,900 | 316,266 | |||
Notre Dame Intermedica Participacoes SA | 38,777 | 657,899 | |||
Omega Geracao SA (a) | 9,000 | 81,662 | |||
Petro Rio SA (a) | 4,400 | 36,161 | |||
Petrobras Distribuidora SA | 53,700 | 401,412 | |||
Petroleo Brasileiro SA Preference Shares | 320,200 | 2,402,276 | |||
Petroleo Brasileiro SA | 230,200 | 1,831,208 | |||
Porto Seguro SA | 12,800 | 199,635 | |||
Qualicorp Consultoria e Corretora de Seguros SA | 15,200 | 140,184 | |||
Raia Drogasil SA | 19,000 | 527,298 | |||
Rumo SA (a) | 91,187 | 591,638 | |||
Sul America SA | 21,591 | 321,608 | |||
Suzano SA | 43,209 | 426,215 | |||
Telefonica Brasil SA Preference Shares | 39,785 | 573,429 | |||
TIM Participacoes SA | 71,400 | 278,131 | |||
TOTVS SA | 12,100 | 194,162 | |||
Trisul SA | 13,700 | 52,107 | |||
Ultrapar Participacoes SA | 58,000 | 367,375 | |||
Vale SA | 244,906 | 3,244,957 | |||
Via Varejo SA (a) | 76,800 | 213,254 | |||
WEG SA | 69,370 | 597,699 | |||
Wiz Solucoes e Corretagem de Seguros SA | 25,800 | 90,560 | |||
YDUQS Part | 21,500 | 253,872 | |||
41,421,292 | |||||
CANADA — 6.4% | |||||
Advantage Oil & Gas, Ltd. (a) | 9,900 | 20,995 | |||
Agnico Eagle Mines, Ltd. | 17,929 | 1,105,812 | |||
Aimia, Inc. (a) | 56,200 | 157,321 | |||
Air Canada (a) | 10,300 | 385,312 | |||
Alamos Gold, Inc. Class A | 31,700 | 191,410 | |||
Algonquin Power & Utilities Corp. (b) | 39,600 | 560,981 | |||
Alimentation Couche-Tard, Inc. Class B | 66,700 | 2,119,689 | |||
Allied Properties Real Estate Investment Trust | 5,400 | 216,833 | |||
AltaGas, Ltd. | 20,900 | 318,799 | |||
Altius Minerals Corp. | 8,500 | 78,396 | |||
Altus Group, Ltd. | 3,200 | 93,674 | |||
Aphria, Inc. (a)(b) | 23,300 | 121,823 | |||
ARC Resources, Ltd. (b) | 25,000 | 157,702 | |||
Atco, Ltd. Class I | 6,300 | 241,798 |
Security Description | Shares | Value | |||
Aurinia Pharmaceuticals, Inc. (a) | 7,600 | $154,081 | |||
Aurora Cannabis, Inc. (a)(b) | 76,500 | 164,592 | |||
B2Gold Corp. | 81,500 | 327,446 | |||
Badger Daylighting, Ltd. | 2,400 | 65,036 | |||
Ballard Power Systems, Inc. (a)(b) | 10,300 | 73,710 | |||
Bank of Montreal | 48,500 | 3,764,056 | |||
Bank of Nova Scotia | 92,600 | 5,237,872 | |||
Barrick Gold Corp. (c) | 119,217 | 2,217,478 | |||
Barrick Gold Corp. (c) | 45,552 | 847,283 | |||
Bausch Health Cos., Inc. (a) | 24,800 | 743,378 | |||
Baytex Energy Corp. (a) | 52,100 | 75,132 | |||
BCE, Inc. | 11,079 | 513,987 | |||
BlackBerry, Ltd. (a) | 38,500 | 247,908 | |||
Bombardier, Inc. Class B (a) | 161,200 | 239,920 | |||
Brookfield Asset Management, Inc. Class A | 68,250 | 3,948,947 | |||
CAE, Inc. | 20,700 | 548,807 | |||
Cameco Corp. | 30,400 | 270,535 | |||
Canacol Energy, Ltd. | 13,000 | 46,817 | |||
Canada Goose Holdings, Inc. (a)(b) | 4,400 | 159,510 | |||
Canadian Apartment Properties REIT | 7,300 | 298,418 | |||
Canadian Imperial Bank of Commerce | 33,900 | 2,824,935 | |||
Canadian National Railway Co. | 54,600 | 4,946,105 | |||
Canadian Natural Resources, Ltd. | 89,900 | 2,911,741 | |||
Canadian Pacific Railway, Ltd. | 10,600 | 2,705,932 | |||
Canadian Tire Corp., Ltd. Class A | 4,400 | 474,185 | |||
Canadian Utilities, Ltd. Class A | 10,200 | 308,104 | |||
Canadian Western Bank | 8,200 | 201,656 | |||
Canfor Corp. (a) | 6,000 | 56,171 | |||
Canfor Pulp Products, Inc. | 10,400 | 67,048 | |||
Canopy Growth Corp. (a)(b) | 16,100 | 339,072 | |||
Capital Power Corp. (b) | 10,100 | 267,853 | |||
Cascades, Inc. | 8,200 | 70,886 | |||
CCL Industries, Inc. Class B | 12,400 | 528,990 | |||
Cenovus Energy, Inc. | 79,000 | 804,164 | |||
Centerra Gold, Inc. (a) | 16,600 | 132,237 | |||
CES Energy Solutions Corp. (b) | 47,100 | 84,629 | |||
CGI, Inc. (a) | 19,400 | 1,625,755 | |||
CI Financial Corp. (b) | 20,300 | 339,860 | |||
Cineplex, Inc. (b) | 6,000 | 156,622 | |||
Colliers International Group, Inc. (b) | 2,000 | 155,928 | |||
Computer Modelling Group, Ltd. | 15,200 | 96,352 | |||
Constellation Software, Inc. | 1,600 | 1,556,087 | |||
Continental Gold, Inc. (a) | 22,400 | 92,416 | |||
Corus Entertainment, Inc. Class B | 18,900 | 77,538 | |||
Crescent Point Energy Corp. | 46,300 | 206,730 |
Security Description | Shares | Value | |||
Crombie Real Estate Investment Trust | 11,500 | $141,361 | |||
Cronos Group, Inc. (a)(b) | 8,400 | 64,583 | |||
CT Real Estate Investment Trust | 8,000 | 99,572 | |||
Descartes Systems Group, Inc. (a) | 8,000 | 342,394 | |||
Detour Gold Corp. (a) | 14,600 | 283,049 | |||
DIRTT Environmental Solutions (a)(b) | 1,600 | 5,244 | |||
Dollarama, Inc. | 22,400 | 770,937 | |||
Dream Industrial Real Estate Investment Trust | 7,000 | 70,931 | |||
DREAM Unlimited Corp. Class A | 9,500 | 85,714 | |||
Dundee Precious Metals, Inc. (a) | 20,800 | 89,504 | |||
ECN Capital Corp. (b) | 21,700 | 80,157 | |||
Eldorado Gold Corp. (a) | 13,900 | 111,800 | |||
Element Fleet Management Corp. | 32,100 | 274,524 | |||
Emera, Inc. | 18,800 | 808,831 | |||
Empire Co., Ltd. Class A | 13,400 | 314,759 | |||
Enbridge, Inc. | 153,100 | 6,095,665 | |||
Encana Corp. (b)(c) | 108,600 | 509,187 | |||
Encana Corp. (c) | 34,334 | 161,026 | |||
Endeavour Silver Corp. (a)(b) | 40,100 | 96,790 | |||
Enerflex, Ltd. | 8,500 | 80,166 | |||
Enerplus Corp. (b) | 17,500 | 124,831 | |||
Enghouse Systems, Ltd. | 2,600 | 96,601 | |||
Equitable Group, Inc. (b) | 1,100 | 92,759 | |||
ERO Copper Corp. (a) | 5,200 | 94,677 | |||
Extendicare, Inc. (b) | 15,500 | 100,883 | |||
Fairfax Financial Holdings, Ltd. | 2,100 | 987,433 | |||
Finning International, Inc. | 9,700 | 189,250 | |||
First Capital Real Estate Investment Trust | 20,100 | 320,391 | |||
First Majestic Silver Corp. (a) | 14,800 | 181,811 | |||
First National Financial Corp. | 2,400 | 70,478 | |||
FirstService Corp. (b) | 2,100 | 195,773 | |||
Fortis, Inc. | 33,874 | 1,407,466 | |||
Fortuna Silver Mines, Inc. (a)(b) | 21,600 | 88,116 | |||
Franco-Nevada Corp. | 14,150 | 1,463,176 | |||
Genworth MI Canada, Inc. (b) | 1,800 | 78,871 | |||
George Weston, Ltd. | 6,627 | 526,480 | |||
Gibson Energy, Inc. (b) | 13,700 | 280,920 | |||
Gildan Activewear, Inc. | 16,800 | 497,360 | |||
goeasy, Ltd. | 1,900 | 101,905 | |||
Great Canadian Gaming Corp. (a) | 3,000 | 99,572 | |||
Great-West Lifeco, Inc. | 20,400 | 523,234 | |||
H&R Real Estate Investment Trust | 12,300 | 200,139 | |||
HEXO Corp. (a)(b) | 34,700 | 55,392 | |||
Home Capital Group, Inc. (a)(b) | 4,300 | 109,295 | |||
Hudbay Minerals, Inc. | 20,900 | 86,711 | |||
Hudson's Bay Co. | 9,700 | 73,905 | |||
Husky Energy, Inc. | 24,855 | 199,722 | |||
Hydro One, Ltd. (d) | 26,500 | 512,527 |
Security Description | Shares | Value | |||
iA Financial Corp., Inc. | 8,700 | $478,559 | |||
IAMGOLD Corp. (a) | 41,200 | 154,093 | |||
IGM Financial, Inc. (b) | 8,500 | 244,365 | |||
Imperial Oil, Ltd. | 19,300 | 511,243 | |||
Intact Financial Corp. | 10,700 | 1,158,661 | |||
Inter Pipeline, Ltd. (b) | 31,000 | 538,839 | |||
Interfor Corp. (a) | 7,200 | 81,453 | |||
InterRent Real Estate Investment Trust | 5,700 | 68,747 | |||
Intertape Polymer Group, Inc. | 8,100 | 103,815 | |||
Ivanhoe Mines, Ltd. Class A (a) | 37,600 | 123,231 | |||
Jamieson Wellness, Inc. | 3,900 | 77,444 | |||
Just Energy Group, Inc. (b) | 24,500 | 41,188 | |||
Kelt Exploration, Ltd. (a) | 3,000 | 11,267 | |||
Keyera Corp. | 16,200 | 425,004 | |||
Killam Apartment Real Estate Investment Trust | 4,500 | 65,726 | |||
Kinaxis, Inc. (a) | 1,400 | 107,984 | |||
Kinross Gold Corp. (a) | 94,500 | 448,907 | |||
Kirkland Lake Gold, Ltd. | 15,100 | 666,531 | |||
Knight Therapeutics, Inc. (a) | 24,000 | 140,289 | |||
Labrador Iron Ore Royalty Corp. (b) | 4,900 | 93,031 | |||
Linamar Corp. | 4,300 | 162,914 | |||
Lithium Americas Corp. (a)(b) | 23,000 | 73,784 | |||
Loblaw Cos., Ltd. | 13,900 | 718,180 | |||
Lundin Mining Corp. | 52,900 | 316,564 | |||
MAG Silver Corp. (a) | 7,200 | 85,173 | |||
Magna International, Inc. | 23,800 | 1,306,775 | |||
Major Drilling Group International, Inc. (a) | 20,700 | 90,510 | |||
Manulife Financial Corp. | 149,900 | 3,047,129 | |||
Maple Leaf Foods, Inc. | 7,700 | 153,673 | |||
MEG Energy Corp. (a) | 21,400 | 121,956 | |||
Methanex Corp. | 6,400 | 247,511 | |||
Metro, Inc. | 19,957 | 824,751 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 72,719 | |||
Morneau Shepell, Inc. (b) | 6,100 | 158,950 | |||
Mullen Group, Ltd. (b) | 9,800 | 70,057 | |||
National Bank of Canada (b) | 26,500 | 1,473,006 | |||
New Gold, Inc. (a) | 68,900 | 61,103 | |||
NexGen Energy, Ltd. (a) | 68,300 | 87,959 | |||
NFI Group, Inc. (b) | 3,900 | 80,150 | |||
Norbord, Inc. | 3,400 | 91,060 | |||
North West Co., Inc. (b) | 5,900 | 124,347 | |||
Northland Power, Inc. (b) | 14,400 | 302,047 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 10,300 | 94,759 | |||
Novagold Resources, Inc. (a) | 19,100 | 171,152 | |||
Nutrien, Ltd. | 43,718 | 2,095,969 | |||
Onex Corp. | 7,200 | 456,236 | |||
Open Text Corp. | 21,700 | 957,528 | |||
Osisko Gold Royalties, Ltd. | 7,400 | 72,017 | |||
Osisko Mining, Inc. (a) | 28,700 | 89,636 | |||
Pan American Silver Corp. | 16,400 | 389,022 |
Security Description | Shares | Value | |||
Parex Resources, Inc. (a) | 10,200 | $189,959 | |||
Parkland Fuel Corp. | 11,100 | 408,391 | |||
Pason Systems, Inc. | 6,300 | 63,692 | |||
Pembina Pipeline Corp. (b) | 40,449 | 1,501,279 | |||
Power Corp. of Canada | 23,723 | 611,941 | |||
Power Financial Corp. (b) | 20,600 | 555,052 | |||
PrairieSky Royalty, Ltd. (b) | 15,694 | 184,322 | |||
Premier Gold Mines, Ltd. (a) | 61,100 | 92,822 | |||
Premium Brands Holdings Corp. (b) | 1,400 | 98,202 | |||
Pretium Resources, Inc. (a) | 15,100 | 168,263 | |||
Quebecor, Inc. Class B | 14,100 | 360,342 | |||
Real Matters, Inc. (a) | 5,300 | 50,354 | |||
Restaurant Brands International, Inc. | 20,246 | 1,292,434 | |||
Richelieu Hardware, Ltd. | 4,800 | 100,423 | |||
RioCan Real Estate Investment Trust | 15,400 | 317,798 | |||
Ritchie Bros Auctioneers, Inc. | 7,900 | 339,455 | |||
Rogers Communications, Inc. Class B | 27,500 | 1,367,419 | |||
Rogers Sugar, Inc. (b) | 17,400 | 66,017 | |||
Royal Bank of Canada | 108,100 | 8,565,471 | |||
Sandstorm Gold, Ltd. (a)(b) | 14,800 | 110,593 | |||
Saputo, Inc. | 18,800 | 582,811 | |||
Savaria Corp. (b) | 7,800 | 83,910 | |||
Seabridge Gold, Inc. (a)(b) | 5,500 | 76,175 | |||
Secure Energy Services, Inc. (b) | 21,100 | 82,334 | |||
SEMAFO, Inc. (a) | 30,700 | 63,921 | |||
Seven Generations Energy, Ltd. Class A (a) | 24,600 | 160,680 | |||
Shaw Communications, Inc. Class B | 36,855 | 748,895 | |||
ShawCor, Ltd. | 6,500 | 62,807 | |||
Shopify, Inc. Class A (a) | 7,700 | 3,065,749 | |||
Sienna Senior Living, Inc. (b) | 9,300 | 130,957 | |||
Sierra Wireless, Inc. (a)(b) | 7,300 | 69,749 | |||
Silvercorp Metals, Inc. | 17,100 | 96,659 | |||
Sleep Country Canada Holdings, Inc. (d) | 3,500 | 54,548 | |||
SmartCentres Real Estate Investment Trust | 6,700 | 161,255 | |||
SNC-Lavalin Group, Inc. | 13,700 | 316,418 | |||
Spin Master Corp. (a)(d) | 2,300 | 70,131 | |||
Sprott, Inc. (b) | 29,700 | 68,252 | |||
SSR Mining, Inc. (a) | 9,600 | 185,004 | |||
Stantec, Inc. | 10,600 | 299,996 | |||
Stars Group, Inc. (a) | 17,700 | 462,582 | |||
Stella-Jones, Inc. | 2,400 | 69,441 | |||
Sun Life Financial, Inc. | 45,600 | 2,082,110 | |||
Suncor Energy, Inc. | 117,364 | 3,851,947 | |||
Superior Plus Corp. (b) | 16,500 | 159,815 | |||
Surge Energy, Inc. (b) | 49,900 | 43,868 | |||
Tamarack Valley Energy, Ltd. (a) | 49,000 | 75,574 | |||
TC Energy Corp. | 69,536 | 3,708,587 | |||
Teck Resources, Ltd. Class B | 38,500 | 668,610 | |||
TELUS Corp. | 15,100 | 585,485 |
Security Description | Shares | Value | |||
TFI International, Inc. | 7,900 | $266,654 | |||
Thomson Reuters Corp. | 14,730 | 1,055,153 | |||
Timbercreek Financial Corp. | 24,200 | 185,314 | |||
TMX Group, Ltd. | 4,500 | 390,226 | |||
Torex Gold Resources, Inc. (a) | 7,900 | 125,011 | |||
Toromont Industries, Ltd. | 7,600 | 413,714 | |||
Toronto-Dominion Bank | 137,900 | 7,744,945 | |||
Tourmaline Oil Corp. | 19,500 | 228,872 | |||
TransAlta Corp. | 18,700 | 133,824 | |||
TransAlta Renewables, Inc. | 12,500 | 149,605 | |||
Uni-Select, Inc. (b) | 9,000 | 79,051 | |||
Vermilion Energy, Inc. (b) | 11,800 | 193,186 | |||
Village Farms International, Inc. (a)(b) | 7,500 | 46,674 | |||
Wajax Corp. | 2,500 | 28,533 | |||
Wesdome Gold Mines, Ltd. (a) | 8,500 | 66,663 | |||
West Fraser Timber Co., Ltd. | 3,500 | 154,602 | |||
Western Forest Products, Inc. (b) | 157,600 | 148,272 | |||
Wheaton Precious Metals Corp. | 33,702 | 1,004,238 | |||
Whitecap Resources, Inc. (b) | 28,900 | 123,690 | |||
WPT Industrial Real Estate Investment Trust | 5,700 | 78,603 | |||
WSP Global, Inc. (b) | 8,700 | 594,894 | |||
Yamana Gold, Inc. | 79,300 | 314,326 | |||
133,587,889 | |||||
CAYMAN ISLANDS — 0.0% (e) | |||||
Endeavour Mining Corp. (a) | 5,700 | 107,824 | |||
CHILE — 0.3% | |||||
Aguas Andinas SA Class A | 220,856 | 93,694 | |||
Antofagasta PLC | 31,792 | 386,124 | |||
Banco de Chile | 3,201,524 | 339,333 | |||
Banco de Credito e Inversiones SA | 4,548 | 206,246 | |||
Banco Santander Chile | 6,282,882 | 359,284 | |||
Besalco SA | 117,648 | 63,835 | |||
Cencosud SA | 153,516 | 202,116 | |||
Cia Cervecerias Unidas SA | 13,362 | 130,963 | |||
Colbun SA | 622,750 | 99,382 | |||
Embotelladora Andina SA Class B, Preference Shares | 22,750 | 65,925 | |||
Empresa Nacional de Telecomunicaciones SA (a) | 21,891 | 155,693 | |||
Empresas CMPC SA | 127,700 | 312,478 | |||
Empresas COPEC SA | 37,051 | 332,594 | |||
Enel Americas SA | 3,623,507 | 804,742 | |||
Enel Chile SA | 2,451,823 | 229,874 | |||
Engie Energia Chile SA | 71,134 | 108,316 | |||
Forus SA | 37,877 | 55,409 | |||
Grupo Security SA | 204,548 | 53,213 | |||
Itau CorpBanca | 13,434,953 | 77,899 | |||
Latam Airlines Group SA | 20,380 | 204,491 | |||
Parque Arauco SA | 67,993 | 167,272 | |||
Ripley Corp. SA | 96,292 | 43,182 | |||
SACI Falabella | 73,961 | 318,781 | |||
Salfacorp SA | 67,825 | 38,866 |
Security Description | Shares | Value | |||
SMU SA | 287,875 | $56,269 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 12,495 | 334,164 | |||
SONDA SA | 96,773 | 83,492 | |||
Vina Concha y Toro SA | 42,844 | 80,668 | |||
5,404,305 | |||||
CHINA — 7.8% | |||||
3SBio, Inc. (a)(d) | 88,000 | 114,069 | |||
51job, Inc. ADR (a) | 2,100 | 178,290 | |||
58.com, Inc. ADR (a) | 7,400 | 479,002 | |||
AAC Technologies Holdings, Inc. | 56,000 | 488,719 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 111,121 | |||
Agile Group Holdings, Ltd. | 166,000 | 249,688 | |||
Agricultural Bank of China, Ltd. Class A | 405,600 | 214,879 | |||
Agricultural Bank of China, Ltd. Class H | 2,134,000 | 939,400 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 10,600 | 60,205 | |||
Air China, Ltd. Class H | 186,000 | 188,822 | |||
Alibaba Group Holding, Ltd. ADR (a) | 129,300 | 27,424,530 | |||
Alibaba Health Information Technology, Ltd. (a) | 277,500 | 320,529 | |||
A-Living Services Co., Ltd. Class H (d) | 36,500 | 126,011 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 462,000 | 158,313 | |||
Anhui Conch Cement Co., Ltd. Class A | 22,500 | 177,024 | |||
Anhui Conch Cement Co., Ltd. Class H | 93,000 | 677,943 | |||
ANTA Sports Products, Ltd. | 83,000 | 742,993 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 104,118 | |||
Autobio Diagnostics Co., Ltd. Class A | 2,800 | 38,745 | |||
Autohome, Inc. ADR (a)(b) | 4,300 | 344,043 | |||
AviChina Industry & Technology Co., Ltd. Class H | 188,000 | 84,689 | |||
BAIC Motor Corp., Ltd. Class H (d) | 155,000 | 87,926 | |||
Baidu, Inc. ADR (a) | 21,200 | 2,679,680 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 153,067 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 101,441 | |||
Bank of China, Ltd. Class A | 145,400 | 77,030 | |||
Bank of China, Ltd. Class H | 6,014,000 | 2,570,217 | |||
Bank of Communications Co., Ltd. Class A | 200,000 | 161,662 | |||
Bank of Communications Co., Ltd. Class H | 649,000 | 461,442 |
Security Description | Shares | Value | |||
Bank of Guiyang Co., Ltd. Class A | 100,600 | $138,078 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 77,460 | |||
Bank of Jiangsu Co., Ltd. Class A | 120,600 | 125,359 | |||
Bank of Ningbo Co., Ltd. Class A | 19,800 | 80,023 | |||
Baozun, Inc. ADR (a)(b) | 2,600 | 86,112 | |||
BBMG Corp. Class H | 322,000 | 98,768 | |||
BeiGene, Ltd. ADR (a)(b) | 2,800 | 464,128 | |||
Beijing Capital International Airport Co., Ltd. Class H | 160,000 | 155,035 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 266,113 | |||
Beijing Enterprises Water Group, Ltd. (a) | 662,000 | 334,747 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 10,500 | 42,120 | |||
BEST, Inc. ADR (a) | 18,400 | 102,304 | |||
BOC Hong Kong Holdings, Ltd. | 291,000 | 1,010,235 | |||
BOE Technology Group Co., Ltd. Class A | 165,500 | 107,876 | |||
Brilliance China Automotive Holdings, Ltd. | 248,000 | 257,173 | |||
BYD Co., Ltd. Class H (b) | 65,000 | 324,091 | |||
BYD Electronic International Co., Ltd. (b) | 72,000 | 138,422 | |||
Centre Testing International Group Co., Ltd. Class A | 42,800 | 91,620 | |||
CGN Power Co., Ltd. Class H (d) | 1,191,600 | 318,094 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,600 | 102,683 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 62,728 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 79,650 | |||
China Agri-Industries Holdings, Ltd. | 190,000 | 100,708 | |||
China Aoyuan Group, Ltd. | 128,000 | 208,630 | |||
China Avionics Systems Co., Ltd. Class A | 35,100 | 71,761 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,059,592 | 240,699 | |||
China CITIC Bank Corp., Ltd. Class H | 747,000 | 447,713 | |||
China Coal Energy Co., Ltd. Class H | 186,000 | 73,762 | |||
China Common Rich Renewable Energy Investment, Ltd. (a) | 68,000 | — | |||
China Communications Construction Co., Ltd. Class H | 482,000 | 392,810 | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 182,243 |
Security Description | Shares | Value | |||
China Conch Venture Holdings, Ltd. | 131,500 | $573,808 | |||
China Construction Bank Corp. Class H | 7,391,000 | 6,383,818 | |||
China Eastern Airlines Corp., Ltd. Class H (a) | 192,000 | 106,450 | |||
China Education Group Holdings, Ltd. | 64,000 | 83,780 | |||
China Enterprise Co., Ltd. Class A | 65,400 | 43,662 | |||
China Everbright Bank Co., Ltd. Class A | 176,700 | 111,878 | |||
China Everbright Bank Co., Ltd. Class H | 267,300 | 124,185 | |||
China Everbright International, Ltd. | 361,518 | 289,983 | |||
China Evergrande Group (a)(b) | 144,000 | 399,189 | |||
China Film Co., Ltd. Class A | 32,200 | 70,362 | |||
China Galaxy Securities Co., Ltd. Class H | 366,800 | 216,075 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 75,062 | |||
China Hongqiao Group, Ltd. | 206,000 | 124,259 | |||
China Huarong Asset Management Co., Ltd. Class H (d) | 1,024,000 | 161,647 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(f) | 66,000 | — | |||
China International Capital Corp., Ltd. Class H (b)(d) | 106,000 | 204,333 | |||
China International Marine Containers Group Co., Ltd. Class A | 48,900 | 68,943 | |||
China International Travel Service Corp., Ltd. Class A | 5,400 | 68,962 | |||
China Jinmao Holdings Group, Ltd. | 440,000 | 342,771 | |||
China Lesso Group Holdings, Ltd. | 102,000 | 130,776 | |||
China Life Insurance Co., Ltd. Class H | 590,000 | 1,639,352 | |||
China Literature, Ltd. (a)(b)(d) | 26,200 | 109,282 | |||
China Longyuan Power Group Corp., Ltd. Class H | 217,000 | 137,299 | |||
China Medical System Holdings, Ltd. | 144,000 | 207,356 | |||
China Meheco Co., Ltd. Class A | 57,200 | 107,171 | |||
China Mengniu Dairy Co., Ltd. | 217,000 | 877,268 | |||
China Merchants Bank Co., Ltd. Class A | 92,900 | 501,236 | |||
China Merchants Bank Co., Ltd. Class H | 299,500 | 1,539,436 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 51,000 | 60,481 | |||
China Merchants Port Holdings Co., Ltd. | 148,776 | 251,658 |
Security Description | Shares | Value | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 32,300 | $92,145 | |||
China Minsheng Banking Corp., Ltd. Class A | 200,000 | 181,188 | |||
China Minsheng Banking Corp., Ltd. Class H | 537,100 | 406,006 | |||
China Molybdenum Co., Ltd. Class H (b) | 354,000 | 151,744 | |||
China National Building Material Co., Ltd. Class H | 396,000 | 442,157 | |||
China National Software & Service Co., Ltd. Class A | 8,900 | 91,605 | |||
China Oilfield Services, Ltd. Class H | 118,000 | 185,061 | |||
China Oriental Group Co., Ltd. | 192,000 | 79,591 | |||
China Overseas Land & Investment, Ltd. | 296,000 | 1,152,956 | |||
China Pacific Insurance Group Co., Ltd. Class A | 28,300 | 153,747 | |||
China Pacific Insurance Group Co., Ltd. Class H | 203,000 | 799,828 | |||
China Petroleum & Chemical Corp. Class H | 2,034,000 | 1,224,295 | |||
China Power International Development, Ltd. | 606,000 | 129,883 | |||
China Railway Construction Corp., Ltd. Class H | 221,000 | 241,938 | |||
China Railway Group, Ltd. Class H | 423,000 | 261,125 | |||
China Railway Signal & Communication Corp., Ltd. Class H (d) | 210,000 | 117,239 | |||
China Reinsurance Group Corp. Class H | 499,000 | 81,973 | |||
China Resources Beer Holdings Co., Ltd. | 110,721 | 612,448 | |||
China Resources Gas Group, Ltd. | 68,000 | 373,521 | |||
China Resources Pharmaceutical Group, Ltd. (d) | 177,000 | 164,238 | |||
China Resources Power Holdings Co., Ltd. | 222,055 | 311,774 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | 78,687 | |||
China Shenhua Energy Co., Ltd. Class H | 272,000 | 568,310 | |||
China South Publishing & Media Group Co., Ltd. Class A | 41,182 | 70,596 | |||
China Southern Airlines Co., Ltd. Class H (b) | 192,000 | 129,120 | |||
China Spacesat Co., Ltd. Class A | 23,000 | 70,567 | |||
China State Construction Engineering Corp., Ltd. Class A | 120,300 | 97,067 | |||
China Taiping Insurance Holdings Co., Ltd. | 168,200 | 417,057 |
Security Description | Shares | Value | |||
China Telecom Corp., Ltd. Class H | 1,068,000 | $439,986 | |||
China Tower Corp., Ltd. Class H (d) | 3,188,000 | 703,735 | |||
China TransInfo Technology Co., Ltd. Class A | 19,700 | 51,024 | |||
China Unicom Hong Kong, Ltd. | 472,000 | 444,632 | |||
China United Network Communications, Ltd. Class A | 174,400 | 147,479 | |||
China Vanke Co., Ltd. Class A | 43,800 | 202,362 | |||
China Vanke Co., Ltd. Class H | 120,100 | 512,504 | |||
China Yangtze Power Co., Ltd. Class A | 80,000 | 211,108 | |||
China Zhongwang Holdings, Ltd. | 231,200 | 92,281 | |||
Chinese Universe Publishing and Media Group Co., Ltd. Class A | 47,500 | 92,816 | |||
Chongqing Brewery Co., Ltd. Class A | 7,200 | 53,712 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 257,000 | 131,274 | |||
CIFI Holdings Group Co., Ltd. | 233,923 | 197,843 | |||
CITIC Securities Co., Ltd. Class A | 55,100 | 200,144 | |||
CITIC Securities Co., Ltd. Class H | 158,000 | 360,538 | |||
CITIC, Ltd. | 450,000 | 601,786 | |||
CNOOC, Ltd. | 1,359,000 | 2,260,407 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 12,300 | 187,895 | |||
COSCO SHIPPING Development Co., Ltd. Class A | 224,100 | 83,332 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 116,000 | 54,786 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 227,000 | 92,061 | |||
COSCO SHIPPING Ports, Ltd. | 178,428 | 146,099 | |||
Country Garden Holdings Co., Ltd. | 595,744 | 954,194 | |||
Country Garden Services Holdings Co., Ltd. | 93,000 | 313,310 | |||
CRRC Corp., Ltd. Class A | 136,700 | 140,132 | |||
CRRC Corp., Ltd. Class H | 430,350 | 313,713 | |||
CSPC Pharmaceutical Group, Ltd. | 362,000 | 863,210 | |||
Dali Foods Group Co., Ltd. (d) | 142,000 | 105,154 | |||
Daqin Railway Co., Ltd. Class A | 79,300 | 93,473 | |||
Datang International Power Generation Co., Ltd. Class H | 428,000 | 81,845 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 71,381 | |||
Dongfeng Motor Group Co., Ltd. Class H | 200,000 | 188,146 | |||
ENN Energy Holdings, Ltd. | 59,600 | 651,318 |
Security Description | Shares | Value | |||
Eve Energy Co., Ltd. Class A (a) | 7,000 | $50,411 | |||
Fanhua, Inc. ADR (b) | 3,300 | 85,701 | |||
Far East Horizon, Ltd. | 238,000 | 222,978 | |||
Financial Street Holdings Co., Ltd. Class A | 118,527 | 138,179 | |||
Focus Media Information Technology Co., Ltd. Class A | 72,000 | 64,711 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 6,814 | 105,177 | |||
Fosun International, Ltd. | 260,500 | 379,794 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (d) | 52,800 | 161,616 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 68,568 | |||
GDS Holdings, Ltd. ADR (a) | 4,400 | 226,952 | |||
Geely Automobile Holdings, Ltd. | 386,000 | 754,978 | |||
Genscript Biotech Corp. (a)(b) | 94,000 | 213,532 | |||
GF Securities Co., Ltd. Class H | 178,200 | 217,038 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 68,193 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 1,800 | 52,950 | |||
Glodon Co., Ltd. Class A | 9,200 | 44,883 | |||
GoerTek, Inc. Class A | 28,300 | 80,937 | |||
GOME Retail Holdings, Ltd. (a)(b) | 972,000 | 89,817 | |||
Great Wall Motor Co., Ltd. Class H (b) | 249,000 | 184,070 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 16,900 | 159,121 | |||
Greentown Service Group Co., Ltd. | 134,000 | 146,351 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A | 43,700 | 64,247 | |||
Guanghui Energy Co., Ltd. Class A | 204,300 | 97,088 | |||
Guangshen Railway Co., Ltd. Class A | 261,700 | 114,973 | |||
Guangzhou Automobile Group Co., Ltd. Class H (b) | 218,800 | 272,384 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 79,455 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 48,535 | |||
Guangzhou R&F Properties Co., Ltd. Class H (b) | 98,800 | 182,338 | |||
Guotai Junan Securities Co., Ltd. Class H (d) | 63,200 | 111,933 | |||
Haidilao International Holding, Ltd. (d) | 37,000 | 148,631 | |||
Haier Smart Home Co., Ltd. Class A | 26,800 | 75,031 | |||
Haitian International Holdings, Ltd. | 76,000 | 184,153 |
Security Description | Shares | Value | |||
Haitong Securities Co., Ltd. Class H | 354,800 | $419,378 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 42,100 | 197,893 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 91,744 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 113,200 | 118,549 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 71,626 | |||
Hansoh Pharmaceutical Group Co., Ltd. (a)(d) | 44,000 | 146,256 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 12,200 | 68,487 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 13,300 | 55,433 | |||
Hengan International Group Co., Ltd. | 59,000 | 420,249 | |||
HengTen Networks Group, Ltd. (a)(b) | 2,024,000 | 28,833 | |||
Hengyi Petrochemical Co., Ltd. Class A | 38,300 | 76,543 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | 56,394 | |||
HLA Corp., Ltd. Class A | 79,800 | 87,990 | |||
Hua Hong Semiconductor, Ltd. (d) | 47,000 | 106,887 | |||
Huadian Power International Corp., Ltd. Class H | 300,000 | 113,966 | |||
Hualan Biological Engineering, Inc. Class A | 22,200 | 112,033 | |||
Huaneng Power International, Inc. Class H | 478,000 | 241,705 | |||
Huaneng Renewables Corp., Ltd. Class H | 500,629 | 194,680 | |||
Huangshi Dongbei Electrical Appliance Co., Ltd. Class B | 54,900 | 73,127 | |||
Huatai Securities Co., Ltd. Class H (b)(d) | 181,200 | 320,457 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 80,143 | |||
Huaxia Bank Co., Ltd. Class A | 91,800 | 101,090 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 67,166 | |||
Huazhu Group, Ltd. ADR (b) | 9,900 | 396,693 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 70,600 | 71,359 | |||
Hubei Energy Group Co., Ltd. Class A | 101,500 | 60,768 | |||
HUYA, Inc. ADR (a)(b) | 5,700 | 102,315 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 276,400 | 233,338 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 4,894,000 | 3,768,577 | |||
Industrial Bank Co., Ltd. Class A | 116,400 | 330,893 |
Security Description | Shares | Value | |||
INESA Intelligent Tech, Inc. Class B | 112,900 | $68,982 | |||
Inner Mongolia Eerduosi Resourses Co., Ltd. Class B | 87,500 | 76,387 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A (a) | 219,500 | 98,639 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 34,200 | 151,920 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | 141,183 | |||
Innovent Biologics, Inc. (a)(d) | 70,500 | 240,224 | |||
iQIYI, Inc. ADR (a)(b) | 10,000 | 211,100 | |||
Jafron Biomedical Co., Ltd. Class A | 5,000 | 51,571 | |||
JD.com, Inc. ADR (a) | 56,400 | 1,986,972 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 54,700 | 71,544 | |||
Jiangsu Expressway Co., Ltd. Class H | 158,000 | 216,566 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 9,100 | 64,999 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 19,804 | 248,845 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 4,800 | 76,151 | |||
Jiangxi Copper Co., Ltd. Class H | 121,000 | 166,472 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 25,800 | 60,007 | |||
Jinduicheng Molybdenum Co., Ltd. Class A | 72,600 | 83,491 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 45,759 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 37,500 | 100,787 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 34,900 | 70,901 | |||
JOYY, Inc. ADR (a) | 4,100 | 216,439 | |||
Kaisa Group Holdings, Ltd. (a) | 292,000 | 139,408 | |||
Kama Co., Ltd. Class B (a) | 67,100 | 32,074 | |||
Kingdee International Software Group Co., Ltd. (b) | 146,000 | 145,966 | |||
Kingsoft Corp., Ltd. (a)(b) | 67,000 | 173,695 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,798 | |||
Kunlun Energy Co., Ltd. | 330,000 | 291,383 | |||
Kweichow Moutai Co., Ltd. Class A | 5,700 | 968,120 | |||
KWG Group Holdings, Ltd. | 134,000 | 187,797 | |||
Legend Holdings Corp. Class H (d) | 60,300 | 136,824 | |||
Lenovo Group, Ltd. | 556,000 | 373,197 | |||
Li Ning Co., Ltd. | 152,500 | 457,003 | |||
Liaoning Cheng Da Co., Ltd. Class A (a) | 26,500 | 57,945 | |||
Lingyi iTech Guangdong Co. Class A (a) | 50,400 | 78,511 |
Security Description | Shares | Value | |||
Logan Property Holdings Co., Ltd. | 98,000 | $164,511 | |||
Longfor Group Holdings, Ltd. (d) | 141,000 | 660,502 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 19,000 | 67,733 | |||
Luthai Textile Co., Ltd. Class B | 49,300 | 45,049 | |||
Luxshare Precision Industry Co., Ltd. Class A | 39,900 | 209,091 | |||
Luye Pharma Group, Ltd. (b)(d) | 154,500 | 115,799 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,800 | 72,180 | |||
Meitu, Inc. (a)(b)(d) | 176,500 | 37,149 | |||
Meituan Dianping Class B (a) | 76,800 | 1,004,379 | |||
Metallurgical Corp. of China, Ltd. Class H | 400,000 | 89,838 | |||
Midea Group Co., Ltd. Class A | 19,400 | 162,243 | |||
Minth Group, Ltd. | 54,000 | 190,585 | |||
MMG, Ltd. (a) | 212,000 | 63,667 | |||
Momo, Inc. ADR | 11,800 | 395,300 | |||
Muyuan Foodstuff Co., Ltd. Class A | 11,128 | 141,857 | |||
NanJi E-Commerce Co., Ltd. Class A (a) | 28,100 | 44,015 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 20,100 | 119,703 | |||
NARI Technology Co., Ltd. Class A | 23,700 | 72,068 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 50,537 | |||
NetEase, Inc. ADR | 5,400 | 1,655,856 | |||
New China Life Insurance Co., Ltd. Class H | 95,100 | 408,872 | |||
New Hope Liuhe Co., Ltd. Class A | 42,400 | 121,445 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 10,800 | 1,309,500 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 76,111 | |||
Ninestar Corp. Class A | 16,800 | 79,403 | |||
NIO, Inc. ADR (a)(b) | 69,700 | 280,194 | |||
Noah Holdings, Ltd. ADR (a)(b) | 4,400 | 155,628 | |||
Oceanwide Holdings Co., Ltd. Class A | 115,300 | 75,320 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 97,903 | |||
OneSmart International Education Group, Ltd. ADR (a) | 6,800 | 45,356 | |||
Oppein Home Group, Inc. Class A | 4,500 | 75,591 | |||
Oriental Pearl Group Co., Ltd. Class A | 58,423 | 78,511 | |||
Ovctek China, Inc. Class A | 2,200 | 14,950 | |||
People's Insurance Co. Group of China, Ltd. Class H | 662,000 | 275,274 | |||
Perfect World Co., Ltd. Class A | 800 | 5,070 |
Security Description | Shares | Value | |||
PetroChina Co., Ltd. Class A | 124,800 | $104,461 | |||
PetroChina Co., Ltd. Class H | 1,780,000 | 893,221 | |||
PICC Property & Casualty Co., Ltd. Class H | 529,700 | 638,348 | |||
Pinduoduo, Inc. ADR (a) | 14,700 | 555,954 | |||
Ping An Bank Co., Ltd. Class A | 77,300 | 182,564 | |||
Ping An Healthcare and Technology Co., Ltd. (a)(b)(d) | 29,900 | 218,154 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 50,090 | 614,587 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 423,500 | 5,005,820 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 34,800 | 80,840 | |||
Postal Savings Bank of China Co., Ltd. Class H (d) | 597,000 | 406,081 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 88,605 | |||
Q Technology Group Co., Ltd. (a) | 28,000 | 46,356 | |||
Qudian, Inc. ADR (a)(b) | 14,100 | 66,411 | |||
SAIC Motor Corp., Ltd. Class A | 43,800 | 149,980 | |||
Sanan Optoelectronics Co., Ltd. Class A | 21,300 | 56,146 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 41,058 | |||
Sany Heavy Industry Co., Ltd. Class A | 34,900 | 85,432 | |||
Seazen Group, Ltd. (b) | 122,000 | 148,433 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 77,272 | |||
Semiconductor Manufacturing International Corp. (a) | 234,800 | 359,803 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 42,400 | 54,726 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 100,063 | |||
Shandong Gold Mining Co., Ltd. Class A | 12,000 | 56,200 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 82,987 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 17,000 | 55,770 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 204,000 | 244,534 | |||
Shandong Xinchao Energy Corp., Ltd. Class A (a) | 268,200 | 80,863 | |||
Shanghai Baosight Software Co., Ltd. Class A | 21,401 | 101,088 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 56,551 | |||
Shanghai Electric Group Co., Ltd. Class H | 358,000 | 117,621 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 66,000 | 199,055 |
Security Description | Shares | Value | |||
Shanghai Greencourt Investment Group Co., Ltd. Class B (a) | 257,441 | $96,025 | |||
Shanghai Haixin Group Co. Class B | 7,900 | 3,168 | |||
Shanghai Industrial Urban Development Group, Ltd. | 53,000 | 6,666 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 149,599 | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | 42,686 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 196,315 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 147,600 | 262,135 | |||
Shanghai Tunnel Engineering Co., Ltd. Class A | 200,000 | 173,435 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 71,712 | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 34,400 | 46,574 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 6,400 | 82,422 | |||
Shanxi Xishan Coal & Electricity Power Co., Ltd. Class A | 99,600 | 87,658 | |||
Shanying International Holding Co., Ltd. Class A (a) | 178,400 | 96,562 | |||
Shenergy Co., Ltd. Class A | 156,400 | 130,461 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 95,212 | |||
Shennan Circuits Co., Ltd. Class A | 3,400 | 69,365 | |||
Shenzhen Energy Group Co., Ltd. Class A | 43,500 | 38,784 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 2,627 | 77,809 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 20,500 | 90,180 | |||
Shenzhen Investment, Ltd. | 360,005 | 144,154 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,100 | 26,469 | |||
Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd. Class A | 209,200 | 129,152 | |||
Shenzhou International Group Holdings, Ltd. | 59,400 | 868,305 | |||
Shui On Land, Ltd. | 328,000 | 71,983 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 108,468 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 38,910 | |||
Silergy Corp. | 6,000 | 190,146 | |||
SINA Corp. (a) | 5,300 | 211,629 | |||
Sinochem International Corp. Class A | 68,200 | 51,896 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 118,904 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 84,028 |
Security Description | Shares | Value | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | $74,009 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 322,000 | 97,115 | |||
Sinopharm Group Co., Ltd. Class H | 122,000 | 445,455 | |||
Sinotrans, Ltd. Class H | 286,000 | 97,269 | |||
Sinotruk Hong Kong, Ltd. | 46,000 | 98,119 | |||
SITC International Holdings Co., Ltd. | 125,000 | 152,404 | |||
SOHO China, Ltd. | 353,000 | 133,194 | |||
Songcheng Performance Development Co., Ltd. Class A | 17,800 | 78,993 | |||
Spring Airlines Co., Ltd. Class A | 11,700 | 73,726 | |||
Sunac China Holdings, Ltd. | 189,000 | 1,129,129 | |||
Sunny Optical Technology Group Co., Ltd. | 54,700 | 947,025 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 52,968 | |||
Suzhou Gold Mantis Construction Decoration Co., Ltd. Class A | 54,900 | 69,520 | |||
TAL Education Group ADR (a) | 29,400 | 1,417,080 | |||
TBEA Co., Ltd. Class A | 113,000 | 107,887 | |||
TCL Corp. Class A | 139,900 | 89,783 | |||
Tech-Bank Food Co., Ltd. Class A (a) | 29,200 | 52,613 | |||
Tencent Holdings, Ltd. | 438,300 | 21,128,042 | |||
Tencent Music Entertainment Group ADR (a) | 4,400 | 51,656 | |||
Textainer Group Holdings, Ltd. (a) | 5,082 | 50,560 | |||
Tian Di Science & Technology Co., Ltd. Class A | 333,500 | 152,741 | |||
Tingyi Cayman Islands Holding Corp. | 158,000 | 269,694 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 50,137 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | 116,046 | |||
Towngas China Co., Ltd. (a) | 90,310 | 62,588 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 67,644 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 261,190 | |||
Trip.com Group, Ltd. ADR (a) | 35,900 | 1,204,086 | |||
Tsingtao Brewery Co., Ltd. Class H | 38,000 | 255,307 | |||
Tus Environmental Science And Technology Development Co., Ltd. Class A | 52,700 | 69,458 | |||
Uni-President China Holdings, Ltd. | 138,000 | 144,875 | |||
Venustech Group, Inc. Class A | 10,200 | 49,498 | |||
Vipshop Holdings, Ltd. ADR (a) | 33,800 | 478,946 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 101,999 |
Security Description | Shares | Value | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,300 | $91,128 | |||
Want Want China Holdings, Ltd. | 419,000 | 391,478 | |||
Wanxiang Qianchao Co., Ltd. Class A | 217,208 | 167,463 | |||
Weibo Corp. ADR (a)(b) | 4,510 | 209,038 | |||
Weichai Power Co., Ltd. Class H | 169,000 | 356,575 | |||
Weifu High-Technology Group Co., Ltd. Class A | 52,900 | 144,684 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 66,632 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 17,800 | 85,867 | |||
Will Semiconductor, Ltd. Class A | 4,000 | 82,353 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 132,434 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 14,000 | 42,210 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 200 | 773 | |||
Wuliangye Yibin Co., Ltd. Class A | 16,300 | 311,273 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 12,400 | 39,540 | |||
WuXi AppTec Co., Ltd. Class A | 3,900 | 51,581 | |||
WuXi AppTec Co., Ltd. Class H (d) | 16,240 | 201,442 | |||
Wuxi Biologics Cayman, Inc. (a)(d) | 43,000 | 544,412 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 14,800 | 95,491 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 88,272 | |||
Xiamen C & D, Inc. Class A | 72,000 | 92,931 | |||
Xiaomi Corp. Class B (a)(b)(d) | 593,400 | 820,972 | |||
Xinhu Zhongbao Co., Ltd. Class A | 172,300 | 93,508 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 115,200 | 133,802 | |||
Xinyi Solar Holdings, Ltd. | 327,425 | 232,380 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 225,300 | 187,659 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | 62,085 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 170,692 | |||
Yealink Network Technology Corp., Ltd. Class A | 5,600 | 58,218 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 3,800 | 39,947 | |||
Yihai International Holding, Ltd. | 45,000 | 263,931 | |||
Yonyou Network Technology Co., Ltd. Class A | 16,100 | 65,647 | |||
Yum China Holdings, Inc. | 27,500 | 1,320,275 | |||
Yunda Holding Co., Ltd. Class A | 14,500 | 69,324 |
Security Description | Shares | Value | |||
Yuzhou Properties Co., Ltd. | 264,657 | $145,715 | |||
Zai Lab, Ltd. ADR (a) | 2,500 | 103,975 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 95,000 | 104,976 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 5,900 | 60,566 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 156,729 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | 78,600 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 35,800 | 73,243 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(d) | 23,300 | 84,028 | |||
Zhongjin Gold Corp., Ltd. Class A | 37,500 | 45,656 | |||
Zhongsheng Group Holdings, Ltd. | 35,000 | 143,292 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 61,000 | 220,771 | |||
Zijin Mining Group Co., Ltd. Class H | 684,000 | 340,604 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 87,400 | 83,822 | |||
ZTE Corp. Class A (a) | 14,900 | 75,707 | |||
ZTE Corp. Class H (a) | 73,400 | 224,671 | |||
ZTO Express Cayman, Inc. ADR | 24,500 | 572,075 | |||
163,189,917 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA ADR | 500 | 27,395 | |||
Bancolombia SA | 17,669 | 236,915 | |||
Bancolombia SA Preference Shares | 45,715 | 638,046 | |||
Cementos Argos SA | 35,710 | 79,440 | |||
Ecopetrol SA ADR | 700 | 13,972 | |||
Ecopetrol SA | 462,200 | 466,918 | |||
Grupo Argos SA | 22,062 | 119,672 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 302,656 | 134,657 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 256,842 | |||
Interconexion Electrica SA ESP | 32,243 | 192,584 | |||
2,166,441 | |||||
CZECH REPUBLIC — 0.0% (e) | |||||
CEZ A/S | 15,240 | 342,959 | |||
Komercni banka A/S | 6,779 | 248,368 | |||
Moneta Money Bank A/S (d) | 69,836 | 262,187 | |||
853,514 | |||||
DENMARK — 1.2% | |||||
ALK-Abello A/S (a) | 530 | 130,171 | |||
Ambu A/S Class B (b) | 14,452 | 242,495 | |||
AP Moller - Maersk A/S Class A | 414 | 561,577 | |||
AP Moller - Maersk A/S Class B | 411 | 593,193 |
Security Description | Shares | Value | |||
Bavarian Nordic A/S (a)(b) | 2,839 | $73,118 | |||
Carlsberg A/S Class B | 8,412 | 1,255,798 | |||
Chr. Hansen Holding A/S | 8,332 | 662,605 | |||
Coloplast A/S Class B | 9,348 | 1,160,461 | |||
Danske Bank A/S | 50,713 | 821,220 | |||
Demant A/S (a)(b) | 7,997 | 252,031 | |||
Dfds A/S | 1,683 | 82,165 | |||
DSV Panalpina A/S | 16,882 | 1,947,123 | |||
FLSmidth & Co. A/S | 1,795 | 71,563 | |||
Genmab A/S (a) | 5,100 | 1,134,993 | |||
GN Store Nord A/S | 9,539 | 448,936 | |||
H Lundbeck A/S | 7,583 | 289,788 | |||
ISS A/S | 13,367 | 320,973 | |||
Jyske Bank A/S (a) | 3,323 | 121,349 | |||
Matas A/S | 12,409 | 102,709 | |||
Netcompany Group A/S (a)(d) | 2,124 | 101,143 | |||
Nilfisk Holding A/S (a) | 3,415 | 74,795 | |||
NKT A/S (a) | 3,679 | 88,866 | |||
NNIT A/S (d) | 5,944 | 99,647 | |||
Novo Nordisk A/S Class B | 136,000 | 7,899,114 | |||
Novozymes A/S Class B | 16,937 | 829,422 | |||
Orsted A/S (d) | 14,616 | 1,512,757 | |||
Pandora A/S | 7,861 | 342,214 | |||
Per Aarsleff Holding A/S | 2,547 | 82,069 | |||
Ringkjoebing Landbobank A/S | 2,371 | 183,070 | |||
Royal Unibrew A/S | 3,401 | 311,643 | |||
SimCorp A/S | 2,518 | 286,523 | |||
Spar Nord Bank A/S | 10,370 | 100,787 | |||
Sydbank A/S | 6,778 | 142,341 | |||
Tryg A/S | 10,908 | 323,619 | |||
Vestas Wind Systems A/S | 14,538 | 1,470,179 | |||
Zealand Pharma A/S (a) | 2,577 | 91,126 | |||
24,211,583 | |||||
EGYPT — 0.0% (e) | |||||
Centamin PLC | 99,056 | 166,655 | |||
Commercial International Bank Egypt SAE | 137,796 | 712,590 | |||
Eastern Co SAE | 112,565 | 106,043 | |||
ElSewedy Electric Co. | 69,110 | 48,269 | |||
1,033,557 | |||||
FAEROE ISLANDS — 0.0% (e) | |||||
Bakkafrost P/F | 3,822 | 282,715 | |||
FINLAND — 0.7% | |||||
Cargotec Oyj | 2,367 | 80,346 | |||
Caverion Oyj | 6,815 | 55,002 | |||
Cramo Oyj | 6,878 | 102,220 | |||
Elisa Oyj | 11,994 | 663,065 | |||
Fortum Oyj | 36,238 | 894,897 | |||
Huhtamaki Oyj | 6,409 | 297,692 | |||
Kesko Oyj Class B | 2,708 | 191,746 | |||
Kone Oyj Class B | 27,168 | 1,777,311 | |||
Konecranes Oyj | 2,768 | 85,134 | |||
Metso Oyj (b) | 10,362 | 409,190 | |||
Neste Oyj | 32,710 | 1,138,960 |
Security Description | Shares | Value | |||
Nokia Oyj (c) | 484,349 | $1,791,974 | |||
Nokia Oyj (c) | 12,368 | 45,911 | |||
Nokian Renkaat Oyj | 14,145 | 406,947 | |||
Nordea Bank Abp | 245,583 | 1,984,382 | |||
Nordea Bank Abp | 4,394 | 35,710 | |||
Orion Oyj Class B | 9,140 | 423,416 | |||
Outotec Oyj (a) | 13,108 | 84,722 | |||
Sampo Oyj Class A | 36,236 | 1,582,660 | |||
Stora Enso Oyj Class R | 49,933 | 726,685 | |||
Tokmanni Group Corp. | 6,629 | 93,906 | |||
UPM-Kymmene Oyj | 43,889 | 1,522,793 | |||
Uponor Oyj | 8,507 | 111,247 | |||
Valmet Oyj | 8,606 | 206,343 | |||
Wartsila OYJ Abp | 39,085 | 432,148 | |||
15,144,407 | |||||
FRANCE — 6.4% | |||||
Accor SA | 14,948 | 700,528 | |||
Aeroports de Paris | 2,501 | 494,378 | |||
Air France-KLM (a) | 11,909 | 132,663 | |||
Air Liquide SA | 36,315 | 5,144,362 | |||
Airbus SE | 44,760 | 6,555,717 | |||
Alstom SA | 15,233 | 722,092 | |||
Alten SA | 600 | 75,769 | |||
Altran Technologies SA | 14,708 | 233,778 | |||
Amundi SA (d) | 6,238 | 489,450 | |||
Arkema SA | 5,898 | 626,962 | |||
Atos SE | 8,050 | 671,565 | |||
AXA SA | 150,453 | 4,240,663 | |||
BioMerieux | 3,714 | 330,807 | |||
BNP Paribas SA | 86,679 | 5,140,208 | |||
Bollore SA | 103,045 | 449,948 | |||
Bollore SA (a) | 598 | 2,547 | |||
Bouygues SA | 18,816 | 800,062 | |||
Bureau Veritas SA | 24,504 | 639,783 | |||
Capgemini SE | 12,692 | 1,551,473 | |||
Carrefour SA | 49,243 | 826,365 | |||
Casino Guichard Perrachon SA (b) | 4,251 | 198,982 | |||
CGG SA (a) | 58,359 | 189,646 | |||
Cie de Saint-Gobain | 38,413 | 1,573,828 | |||
Cie Generale des Etablissements Michelin SCA | 13,726 | 1,680,950 | |||
Cie Plastic Omnium SA | 3,135 | 87,624 | |||
CNP Assurances | 17,239 | 343,089 | |||
Covivio REIT | 4,298 | 488,240 | |||
Credit Agricole SA | 91,845 | 1,332,515 | |||
Danone SA | 48,274 | 4,004,459 | |||
Dassault Aviation SA | 263 | 345,404 | |||
Dassault Systemes SE | 10,340 | 1,700,954 | |||
Edenred | 19,532 | 1,010,727 | |||
Eiffage SA | 7,045 | 806,617 | |||
Electricite de France SA | 49,171 | 547,970 | |||
Elior Group SA (d) | 4,080 | 59,995 | |||
Elis SA | 4,181 | 86,824 | |||
Engie SA | 142,336 | 2,300,718 | |||
EssilorLuxottica SA | 21,885 | 3,336,049 |
Security Description | Shares | Value | |||
Eurazeo SE | 5,311 | $363,657 | |||
Eutelsat Communications SA | 14,062 | 228,719 | |||
Faurecia SE | 5,766 | 310,866 | |||
Gaztransport Et Technigaz SA | 1,156 | 110,816 | |||
Gecina SA REIT | 3,814 | 683,282 | |||
Getlink SE | 36,559 | 636,491 | |||
Groupe Fnac SA (a) | 1,174 | 69,581 | |||
Hermes International | 2,502 | 1,871,019 | |||
ICADE REIT | 2,766 | 301,324 | |||
Iliad SA (b) | 2,110 | 273,677 | |||
Imerys SA | 2,234 | 94,489 | |||
Ingenico Group SA | 4,805 | 522,101 | |||
Innate Pharma SA (a)(b) | 9,314 | 62,312 | |||
Ipsen SA | 2,844 | 252,199 | |||
JCDecaux SA | 7,931 | 244,642 | |||
Kaufman & Broad SA | 1,893 | 78,621 | |||
Kering SA | 5,848 | 3,841,473 | |||
Klepierre SA REIT | 16,646 | 632,492 | |||
Legrand SA | 21,428 | 1,747,204 | |||
L'Oreal SA | 19,651 | 5,823,375 | |||
LVMH Moet Hennessy Louis Vuitton SE | 21,344 | 9,923,664 | |||
Maisons du Monde SA (d) | 4,452 | 64,816 | |||
Natixis SA | 76,845 | 341,411 | |||
Nexity SA | 1,285 | 64,591 | |||
Orange SA | 155,575 | 2,291,183 | |||
Orpea | 2,322 | 297,917 | |||
Pernod Ricard SA | 16,386 | 2,931,888 | |||
Peugeot SA | 46,549 | 1,112,951 | |||
Publicis Groupe SA | 17,621 | 798,303 | |||
Remy Cointreau SA | 1,717 | 211,043 | |||
Renault SA | 15,429 | 730,517 | |||
Rexel SA | 4,182 | 55,604 | |||
Rubis SCA | 4,438 | 272,745 | |||
Safran SA | 25,212 | 3,895,558 | |||
Sanofi | 86,782 | 8,730,131 | |||
Sartorius Stedim Biotech | 2,212 | 366,734 | |||
Schneider Electric SE | 42,794 | 4,395,316 | |||
SCOR SE | 14,101 | 592,297 | |||
SEB SA | 1,820 | 270,486 | |||
Societe BIC SA | 2,422 | 168,559 | |||
Societe Generale SA | 63,054 | 2,195,182 | |||
Sodexo SA | 7,276 | 862,876 | |||
SOITEC (a) | 1,500 | 157,767 | |||
Solocal Group (a)(b) | 88,981 | 55,134 | |||
Sopra Steria Group | 870 | 140,138 | |||
SPIE SA | 4,046 | 82,476 | |||
Suez | 29,919 | 452,881 | |||
Teleperformance | 4,517 | 1,102,290 | |||
Thales SA | 8,481 | 880,783 | |||
TOTAL SA | 183,034 | 10,108,414 | |||
Trigano SA | 508 | 53,659 | |||
Ubisoft Entertainment SA (a) | 6,678 | 461,607 | |||
Unibail-Rodamco-Westfield | 34,100 | 268,231 | |||
Unibail-Rodamco-Westfield REIT | 11,291 | 1,782,618 |
Security Description | Shares | Value | |||
Valeo SA | 19,387 | $683,541 | |||
Vallourec SA (a)(b) | 28,654 | 90,445 | |||
Veolia Environnement SA | 44,529 | 1,185,115 | |||
Vinci SA | 39,795 | 4,422,317 | |||
Virbac SA (a) | 319 | 84,685 | |||
Vivendi SA | 67,303 | 1,950,639 | |||
Wendel SA | 2,944 | 391,600 | |||
Worldline SA (a)(d) | 6,940 | 491,948 | |||
133,492,111 | |||||
GERMANY — 5.3% | |||||
Aareal Bank AG | 3,415 | 115,958 | |||
adidas AG | 13,868 | 4,511,265 | |||
ADLER Real Estate AG (a) | 5,632 | 85,978 | |||
ADO Properties SA (d) | 2,041 | 73,542 | |||
ADVA Optical Networking SE (a) | 10,788 | 97,966 | |||
AIXTRON SE (a) | 9,176 | 87,839 | |||
Allianz SE | 32,709 | 8,018,739 | |||
alstria office REIT-AG | 8,087 | 152,051 | |||
Amadeus Fire AG | 685 | 113,645 | |||
Aroundtown SA | 76,555 | 686,089 | |||
Aurubis AG | 2,664 | 163,631 | |||
BASF SE | 70,708 | 5,345,549 | |||
Bayer AG | 71,711 | 5,860,882 | |||
Bayerische Motoren Werke AG | 26,151 | 2,146,987 | |||
Bayerische Motoren Werke AG Preference Shares | 4,259 | 263,179 | |||
BayWa AG | 2,500 | 79,277 | |||
Bechtle AG | 1,786 | 250,999 | |||
Beiersdorf AG | 8,567 | 1,025,595 | |||
Bertrandt AG | 1,559 | 98,524 | |||
bet-at-home.com AG | 1,390 | 82,539 | |||
Bilfinger SE | 1,869 | 72,547 | |||
Borussia Dortmund GmbH & Co. KGaA | 6,662 | 65,807 | |||
Brenntag AG | 13,050 | 710,165 | |||
CANCOM SE | 1,869 | 110,352 | |||
Carl Zeiss Meditec AG | 3,178 | 405,602 | |||
CECONOMY AG (a) | 13,285 | 80,616 | |||
Cewe Stiftung & Co. KGaA | 785 | 93,227 | |||
Commerzbank AG | 81,763 | 506,344 | |||
CompuGroup Medical SE | 1,642 | 117,500 | |||
Continental AG | 8,992 | 1,163,379 | |||
Corestate Capital Holding SA | 2,251 | 94,753 | |||
Covestro AG (d) | 14,366 | 668,416 | |||
CropEnergies AG | 4,161 | 51,285 | |||
CTS Eventim AG & Co. KGaA | 2,844 | 178,933 | |||
Daimler AG | 70,223 | 3,891,604 | |||
Delivery Hero SE (a)(d) | 8,767 | 694,378 | |||
Deutsche Bank AG | 154,212 | 1,197,353 | |||
Deutsche Beteiligungs AG | 1,870 | 82,808 | |||
Deutsche Boerse AG | 14,856 | 2,337,121 | |||
Deutsche Lufthansa AG | 20,261 | 373,212 | |||
Deutsche Pfandbriefbank AG (d) | 8,231 | 134,524 | |||
Deutsche Post AG | 77,444 | 2,956,518 | |||
Deutsche Telekom AG | 256,461 | 4,194,373 |
Security Description | Shares | Value | |||
Deutsche Wohnen SE | 28,074 | $1,147,705 | |||
Deutz AG | 12,501 | 78,160 | |||
DIC Asset AG | 5,992 | 106,944 | |||
Duerr AG | 2,975 | 101,452 | |||
E.ON SE | 176,155 | 1,883,218 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 397 | 84,938 | |||
Encavis AG | 7,690 | 81,055 | |||
Evonik Industries AG | 15,480 | 472,809 | |||
Evotec SE (a)(b) | 8,750 | 226,394 | |||
Fraport AG Frankfurt Airport Services Worldwide | 4,505 | 383,209 | |||
Freenet AG | 8,010 | 183,781 | |||
Fresenius Medical Care AG & Co. KGaA | 16,869 | 1,248,982 | |||
Fresenius SE & Co. KGaA | 32,551 | 1,833,501 | |||
Fuchs Petrolub SE Preference Shares | 5,675 | 281,307 | |||
GEA Group AG | 12,456 | 412,185 | |||
Gerresheimer AG | 981 | 75,981 | |||
Grand City Properties SA | 3,728 | 89,468 | |||
GRENKE AG | 1,667 | 172,619 | |||
Hamborner REIT AG | 12,734 | 139,509 | |||
Hannover Rueck SE | 5,012 | 969,354 | |||
HeidelbergCement AG | 12,187 | 888,646 | |||
HelloFresh SE (a) | 12,377 | 259,247 | |||
Henkel AG & Co. KGaA Preference Shares | 13,978 | 1,446,645 | |||
Henkel AG & Co. KGaA | 7,948 | 749,417 | |||
HOCHTIEF AG | 2,491 | 317,922 | |||
Hornbach Holding AG & Co. KGaA | 1,214 | 87,895 | |||
HUGO BOSS AG | 6,469 | 314,130 | |||
Hypoport AG (a) | 274 | 96,883 | |||
Indus Holding AG | 1,771 | 77,232 | |||
Infineon Technologies AG | 96,966 | 2,210,627 | |||
Isra Vision AG | 1,734 | 75,638 | |||
Jenoptik AG | 4,194 | 119,954 | |||
JOST Werke AG (d) | 3,047 | 127,576 | |||
Jungheinrich AG Preference Shares | 3,727 | 89,946 | |||
K+S AG | 9,991 | 124,654 | |||
KION Group AG | 5,228 | 361,260 | |||
Kloeckner & Co. SE | 12,637 | 89,082 | |||
Knorr-Bremse AG | 3,963 | 403,698 | |||
Koenig & Bauer AG | 1,881 | 58,993 | |||
Lanxess AG | 7,071 | 474,803 | |||
LEG Immobilien AG | 3,805 | 450,816 | |||
Merck KGaA | 10,673 | 1,262,139 | |||
METRO AG | 13,930 | 224,383 | |||
MorphoSys AG (a) | 2,565 | 365,084 | |||
MTU Aero Engines AG | 4,086 | 1,167,731 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 11,272 | 3,327,690 | |||
Nemetschek SE | 3,890 | 256,752 | |||
New Work SE | 256 | 83,909 |
Security Description | Shares | Value | |||
Nordex SE (a) | 6,238 | $84,586 | |||
Norma Group SE | 2,753 | 117,429 | |||
OSRAM Licht AG (a) | 7,441 | 338,695 | |||
PATRIZIA AG | 3,685 | 82,149 | |||
Pfeiffer Vacuum Technology AG | 515 | 91,916 | |||
Porsche Automobil Holding SE Preference Shares | 12,861 | 962,046 | |||
ProSiebenSat.1 Media SE | 16,447 | 256,803 | |||
Puma SE | 6,587 | 505,373 | |||
Rational AG | 91 | 73,240 | |||
Rheinmetall AG | 3,479 | 399,890 | |||
RIB Software SE | 3,613 | 91,656 | |||
Rocket Internet SE (a)(d) | 2,702 | 67,029 | |||
RWE AG | 45,334 | 1,391,770 | |||
SAP SE | 75,403 | 10,183,864 | |||
Sartorius AG Preference Shares | 2,813 | 602,468 | |||
Scout24 AG (d) | 8,213 | 543,465 | |||
Siemens AG | 58,670 | 7,674,980 | |||
Siemens Healthineers AG (d) | 11,789 | 566,643 | |||
Siltronic AG | 1,334 | 134,348 | |||
Sirius Real Estate, Ltd. | 127,528 | 149,514 | |||
Sixt Leasing SE | 5,269 | 66,952 | |||
Sixt SE | 867 | 87,248 | |||
Stabilus SA | 2,256 | 153,588 | |||
STO SE & Co. KGaA Preference Shares | 608 | 77,803 | |||
STRATEC SE | 869 | 59,503 | |||
Stroeer SE & Co. KGaA | 1,566 | 126,652 | |||
Suedzucker AG | 3,761 | 69,278 | |||
Symrise AG | 10,271 | 1,081,438 | |||
TAG Immobilien AG | 2,687 | 66,838 | |||
Takkt AG | 5,349 | 75,533 | |||
Telefonica Deutschland Holding AG | 77,839 | 225,775 | |||
Thyssenkrupp AG | 32,007 | 432,571 | |||
TLG Immobilien AG | 2,550 | 81,435 | |||
TUI AG | 34,483 | 435,709 | |||
Uniper SE | 16,349 | 541,560 | |||
United Internet AG | 9,839 | 323,376 | |||
Varta AG (a) | 991 | 135,045 | |||
VERBIO Vereinigte BioEnergie AG | 7,261 | 95,524 | |||
Volkswagen AG | 2,700 | 525,077 | |||
Volkswagen AG Preference Shares | 14,188 | 2,806,802 | |||
Vonovia SE | 39,873 | 2,148,356 | |||
Vossloh AG | 1,786 | 74,177 | |||
Washtec AG | 1,430 | 86,198 | |||
Wirecard AG (b) | 9,054 | 1,092,534 | |||
Zalando SE (a)(d) | 10,813 | 548,376 | |||
zooplus AG (a) | 679 | 65,090 | |||
110,726,676 | |||||
GREECE — 0.1% | |||||
Aegean Airlines SA | 8,153 | 76,875 | |||
Alpha Bank AE (a) | 126,379 | 272,797 | |||
Eurobank Ergasias SA (a) | 157,393 | 162,540 |
Security Description | Shares | Value | |||
FF Group (a)(f) | 122 | $66 | |||
GEK Terna Holding Real Estate Construction SA (a) | 9,885 | 83,996 | |||
Hellenic Exchanges - Athens Stock Exchange SA | 14,327 | 74,540 | |||
Hellenic Telecommunications Organization SA | 15,227 | 243,736 | |||
Holding Co. ADMIE IPTO SA | 31,100 | 80,990 | |||
JUMBO SA | 9,840 | 204,892 | |||
LAMDA Development SA (a) | 12,062 | 111,431 | |||
Motor Oil Hellas Corinth Refineries SA | 5,457 | 126,307 | |||
National Bank of Greece SA (a) | 54,691 | 185,400 | |||
OPAP SA | 12,259 | 159,487 | |||
Piraeus Bank SA (a) | 26,546 | 89,096 | |||
Public Power Corp. SA (a) | 11,042 | 51,190 | |||
Terna Energy SA | 8,992 | 77,316 | |||
2,000,659 | |||||
HONG KONG — 2.5% | |||||
AIA Group, Ltd. | 922,800 | 9,687,754 | |||
Alibaba Pictures Group, Ltd. (a) | 1,680,000 | 295,387 | |||
ASM Pacific Technology, Ltd. | 23,700 | 328,803 | |||
Bank of East Asia, Ltd. | 126,340 | 282,132 | |||
Bosideng International Holdings, Ltd. (b) | 324,000 | 116,846 | |||
Budweiser Brewing Co. APAC, Ltd. (a)(d) | 95,600 | 322,683 | |||
Cafe de Coral Holdings, Ltd. | 26,000 | 61,598 | |||
Champion REIT | 192,000 | 126,903 | |||
China Ding Yi Feng Holdings, Ltd. (f) | 104,000 | 1,068 | |||
China Everbright, Ltd. | 90,000 | 168,177 | |||
China First Capital Group, Ltd. (a) | 390,000 | 13,514 | |||
China Gas Holdings, Ltd. | 137,800 | 516,410 | |||
China Mobile, Ltd. | 468,000 | 3,934,136 | |||
China Resources Cement Holdings, Ltd. | 276,000 | 351,385 | |||
China Resources Land, Ltd. | 215,333 | 1,072,271 | |||
China State Construction International Holdings, Ltd. | 230,750 | 209,670 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 238,000 | 114,849 | |||
China Youzan, Ltd. (a) | 1,120,000 | 71,152 | |||
CK Asset Holdings, Ltd. | 205,024 | 1,480,094 | |||
CK Hutchison Holdings, Ltd. | 207,524 | 1,978,879 | |||
CK Infrastructure Holdings, Ltd. | 57,000 | 405,638 | |||
CLP Holdings, Ltd. | 127,500 | 1,340,159 | |||
Dairy Farm International Holdings, Ltd. | 20,200 | 115,342 | |||
Esprit Holdings, Ltd. (a) | 358,900 | 72,316 | |||
Fairwood Holdings, Ltd. | 25,500 | 65,061 | |||
Galaxy Entertainment Group, Ltd. | 167,000 | 1,230,242 | |||
Guangdong Investment, Ltd. | 236,000 | 493,698 | |||
Haier Electronics Group Co., Ltd. | 99,000 | 309,383 |
Security Description | Shares | Value | |||
Hang Lung Group, Ltd. | 83,000 | $205,162 | |||
Hang Lung Properties, Ltd. | 170,000 | 373,084 | |||
Hang Seng Bank, Ltd. | 59,000 | 1,219,102 | |||
Henderson Land Development Co., Ltd. | 130,466 | 640,458 | |||
HK Electric Investments & HK Electric Investments, Ltd. Class SS, Stapled Security | 246,664 | 243,125 | |||
HKBN, Ltd. | 64,000 | 107,272 | |||
HKT Trust & HKT, Ltd. | 294,000 | 414,297 | |||
Hong Kong & China Gas Co., Ltd. | 758,505 | 1,481,615 | |||
Hong Kong Exchanges & Clearing, Ltd. | 92,932 | 3,017,505 | |||
Hongkong Land Holdings, Ltd. | 91,500 | 526,125 | |||
Hutchison China MediTech, Ltd. ADR (a) | 3,900 | 97,773 | |||
Hysan Development Co., Ltd. | 67,000 | 262,693 | |||
Jardine Matheson Holdings, Ltd. | 16,800 | 934,080 | |||
Jardine Strategic Holdings, Ltd. | 17,000 | 521,050 | |||
Kerry Properties, Ltd. | 75,500 | 239,819 | |||
Kingboard Holdings, Ltd. | 88,000 | 278,960 | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | 141,333 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 118,124 | |||
Link REIT | 160,500 | 1,699,383 | |||
Man Wah Holdings, Ltd. | 143,200 | 102,000 | |||
Melco International Development, Ltd. | 40,000 | 112,426 | |||
Melco Resorts & Entertainment, Ltd. ADR | 16,730 | 404,364 | |||
MTR Corp., Ltd. | 117,381 | 693,729 | |||
New World Development Co., Ltd. | 492,324 | 674,815 | |||
Nine Dragons Paper Holdings, Ltd. | 191,000 | 198,555 | |||
NOVA Group Holdings, Ltd. | 275,000 | 54,705 | |||
NWS Holdings, Ltd. | 158,968 | 222,789 | |||
Pacific Basin Shipping, Ltd. | 439,000 | 92,400 | |||
PCCW, Ltd. | 346,000 | 204,710 | |||
Power Assets Holdings, Ltd. | 114,000 | 833,954 | |||
Prosperity REIT | 191,000 | 74,764 | |||
Sands China, Ltd. | 188,000 | 1,004,928 | |||
Seaspan Corp. | 8,100 | 115,101 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 102,030 | |||
Shangri-La Asia, Ltd. | 76,000 | 79,396 | |||
Shenzhen International Holdings, Ltd. | 118,746 | 260,907 | |||
Shimao Property Holdings, Ltd. | 93,500 | 362,394 | |||
Sino Biopharmaceutical, Ltd. | 539,000 | 754,011 | |||
Sino Land Co., Ltd. | 268,965 | 390,755 | |||
SJM Holdings, Ltd. | 128,000 | 145,712 | |||
SSY Group, Ltd. | 204,000 | 165,204 | |||
Sun Art Retail Group, Ltd. | 251,500 | 305,023 | |||
Sun Hung Kai Properties, Ltd. | 123,500 | 1,890,905 |
Security Description | Shares | Value | |||
Sunlight Real Estate Investment Trust | 122,000 | $78,914 | |||
Swire Pacific, Ltd. Class A | 41,500 | 385,610 | |||
Swire Properties, Ltd. | 94,200 | 312,517 | |||
Techtronic Industries Co., Ltd. | 106,000 | 864,537 | |||
Vitasoy International Holdings, Ltd. | 74,000 | 268,295 | |||
VTech Holdings, Ltd. | 15,300 | 151,197 | |||
WH Group, Ltd. (d) | 745,500 | 770,204 | |||
Wharf Holdings, Ltd. | 90,000 | 228,933 | |||
Wharf Real Estate Investment Co., Ltd. | 96,000 | 585,847 | |||
Wheelock & Co., Ltd. | 84,000 | 560,050 | |||
Xinyi Glass Holdings, Ltd. | 88,000 | 116,553 | |||
Yue Yuen Industrial Holdings, Ltd. | 56,500 | 166,778 | |||
Yuexiu Property Co., Ltd. | 714,000 | 164,943 | |||
51,586,465 | |||||
HUNGARY — 0.1% | |||||
MOL Hungarian Oil & Gas PLC | 29,983 | 299,200 | |||
OTP Bank Nyrt | 17,129 | 897,092 | |||
Richter Gedeon Nyrt | 13,084 | 284,889 | |||
1,481,181 | |||||
INDIA — 2.4% | |||||
Aavas Financiers, Ltd. (a) | 1,169 | 32,736 | |||
Adani Ports & Special Economic Zone, Ltd. | 50,750 | 260,369 | |||
Adani Power, Ltd. (a) | 82,554 | 71,361 | |||
Adani Transmission, Ltd. (a) | 21,900 | 101,572 | |||
AIA Engineering, Ltd. | 3,825 | 88,415 | |||
Ambuja Cements, Ltd. | 52,062 | 143,178 | |||
Apollo Hospitals Enterprise, Ltd. | 6,404 | 129,097 | |||
Arvind Fashions, Ltd. (a) | 10,796 | 59,721 | |||
Ashok Leyland, Ltd. | 96,463 | 110,074 | |||
Asian Paints, Ltd. | 20,276 | 508,532 | |||
Astral Poly Technik, Ltd. | 7,155 | 118,184 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 47,174 | |||
Atul, Ltd. | 634 | 36,062 | |||
AU Small Finance Bank, Ltd. (d) | 13,987 | 157,549 | |||
Aurobindo Pharma, Ltd. | 23,836 | 152,711 | |||
Avenue Supermarts, Ltd. (a)(d) | 10,923 | 281,575 | |||
Axis Bank, Ltd. | 155,448 | 1,638,801 | |||
Bajaj Auto, Ltd. | 5,782 | 257,596 | |||
Bajaj Electricals, Ltd. | 12,996 | 65,382 | |||
Bajaj Finance, Ltd. | 12,465 | 737,826 | |||
Bajaj Finserv, Ltd. | 2,592 | 342,074 | |||
Balkrishna Industries, Ltd. | 7,352 | 101,971 | |||
Balrampur Chini Mills, Ltd. | 31,845 | 81,868 | |||
Bandhan Bank, Ltd. (d) | 35,286 | 252,021 | |||
BASF India, Ltd. | 5,048 | 69,767 | |||
Berger Paints India, Ltd. | 15,876 | 114,769 | |||
Bharat Forge, Ltd. | 16,336 | 110,611 | |||
Bharat Petroleum Corp., Ltd. | 52,710 | 362,917 |
Security Description | Shares | Value | |||
Bharti Airtel, Ltd. (a) | 154,266 | $985,530 | |||
Bharti Infratel, Ltd. | 17,640 | 62,401 | |||
Blue Dart Express, Ltd. | 2,241 | 68,318 | |||
Blue Star, Ltd. | 6,804 | 80,072 | |||
Bosch, Ltd. | 698 | 150,008 | |||
Brigade Enterprises, Ltd. | 38,845 | 119,183 | |||
Britannia Industries, Ltd. | 5,514 | 234,533 | |||
Can Fin Homes, Ltd. | 1,361 | 7,494 | |||
Carborundum Universal, Ltd. | 16,876 | 75,717 | |||
Century Plyboards India, Ltd. | 34,832 | 78,201 | |||
Chalet Hotels, Ltd. (a) | 15,751 | 76,131 | |||
Cipla, Ltd. | 30,767 | 205,995 | |||
City Union Bank, Ltd. | 9,416 | 30,968 | |||
Coal India, Ltd. | 75,457 | 223,533 | |||
Container Corp. Of India, Ltd. | 18,212 | 146,162 | |||
Crompton Greaves Consumer Electricals, Ltd. | 19,342 | 64,764 | |||
Dabur India, Ltd. | 47,756 | 306,428 | |||
DCB Bank, Ltd. | 34,567 | 83,296 | |||
Dish TV India, Ltd. (a) | 206,721 | 38,084 | |||
Divi's Laboratories, Ltd. | 7,572 | 194,996 | |||
DLF, Ltd. | 51,417 | 165,896 | |||
Dr Reddy's Laboratories, Ltd. | 8,889 | 357,356 | |||
Edelweiss Financial Services, Ltd. | 58,647 | 89,805 | |||
Eicher Motors, Ltd. | 941 | 295,307 | |||
EID Parry India, Ltd. | 2,695 | 7,589 | |||
Equitas Holdings, Ltd. (a) | 43,893 | 65,675 | |||
FDC, Ltd. (a) | 15,589 | 46,126 | |||
Federal Bank, Ltd. | 146,800 | 180,677 | |||
Finolex Industries, Ltd. | 9,992 | 77,063 | |||
Fortis Healthcare, Ltd. (a) | 45,663 | 84,765 | |||
GAIL India, Ltd. | 130,252 | 220,985 | |||
GAIL India, Ltd. GDR | 1,422 | 13,992 | |||
Galaxy Surfactants, Ltd. | 4,286 | 90,070 | |||
Glenmark Pharmaceuticals, Ltd. | 13,064 | 63,510 | |||
Godrej Consumer Products, Ltd. | 31,261 | 298,559 | |||
Godrej Properties, Ltd. (a) | 4,954 | 68,468 | |||
Granules India, Ltd. | 7,280 | 12,581 | |||
Grasim Industries, Ltd. | 21,952 | 229,121 | |||
Greaves Cotton, Ltd. | 44,707 | 84,211 | |||
Gulf Oil Lubricants India, Ltd. | 3,534 | 40,005 | |||
Havells India, Ltd. | 19,396 | 175,895 | |||
HCL Technologies, Ltd. | 82,354 | 656,495 | |||
HDFC Asset Management Co., Ltd. (d) | 3,753 | 167,727 | |||
HDFC Life Insurance Co., Ltd. (d) | 38,007 | 331,465 | |||
HeidelbergCement India, Ltd. | 37,912 | 92,897 | |||
Hero MotoCorp, Ltd. | 4,570 | 156,606 | |||
HFCL, Ltd. | 343,236 | 84,393 | |||
Hindalco Industries, Ltd. | 105,540 | 319,083 | |||
Hindustan Petroleum Corp., Ltd. | 57,590 | 213,124 | |||
Hindustan Unilever, Ltd. | 47,500 | 1,277,902 | |||
Housing Development Finance Corp., Ltd. | 123,187 | 4,164,529 |
Security Description | Shares | Value | |||
ICICI Bank, Ltd. ADR | 3,933 | $59,349 | |||
ICICI Bank, Ltd. | 360,763 | 2,722,472 | |||
ICICI Lombard General Insurance Co., Ltd. (d) | 14,666 | 283,773 | |||
ICICI Prudential Life Insurance Co., Ltd. (d) | 24,200 | 163,434 | |||
IDFC First Bank, Ltd. (a) | 188,111 | 119,516 | |||
IIFL Holdings, Ltd. | 39,096 | 76,710 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 113,962 | |||
Indiabulls Ventures, Ltd. | 21,764 | 65,358 | |||
Indian Hotels Co., Ltd. | 45,062 | 91,130 | |||
Indian Oil Corp., Ltd. | 128,597 | 226,465 | |||
Info Edge India, Ltd. | 5,735 | 204,057 | |||
Infosys, Ltd. ADR | 14,600 | 150,672 | |||
Infosys, Ltd. | 248,244 | 2,545,802 | |||
Inox Leisure, Ltd. | 20,361 | 108,540 | |||
InterGlobe Aviation, Ltd. (d) | 8,111 | 151,543 | |||
Ipca Laboratories, Ltd. | 4,108 | 65,550 | |||
ITC, Ltd. | 255,704 | 851,891 | |||
Jammu & Kashmir Bank, Ltd. (a) | 182,342 | 76,510 | |||
Jindal Steel & Power, Ltd. (a) | 42,048 | 98,761 | |||
JK Cement, Ltd. | 4,955 | 80,880 | |||
JK Lakshmi Cement, Ltd. | 9,900 | 38,766 | |||
JSW Steel, Ltd. | 57,596 | 217,867 | |||
Jubilant Foodworks, Ltd. | 6,372 | 147,565 | |||
Kajaria Ceramics, Ltd. | 12,979 | 95,663 | |||
Karnataka Bank, Ltd. | 39,607 | 39,952 | |||
Karur Vysya Bank, Ltd. | 19,609 | 16,552 | |||
Kaveri Seed Co., Ltd. | 11,051 | 78,341 | |||
KEI Industries, Ltd. | 9,323 | 59,749 | |||
KPIT Technologies, Ltd. | 52,895 | 68,918 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 66,926 | |||
Larsen & Toubro, Ltd., GDR | 3,180 | 58,448 | |||
Larsen & Toubro, Ltd. | 40,314 | 737,057 | |||
Lemon Tree Hotels, Ltd. (a)(d) | 47,030 | 42,103 | |||
LIC Housing Finance, Ltd. | 27,542 | 167,406 | |||
Lupin, Ltd. | 24,227 | 259,654 | |||
Mahindra & Mahindra Financial Services, Ltd. | 27,266 | 122,906 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 24,963 | |||
Mahindra & Mahindra, Ltd. | 70,227 | 522,682 | |||
Manappuram Finance, Ltd. | 37,333 | 92,603 | |||
Marico, Ltd. | 33,140 | 158,206 | |||
Maruti Suzuki India, Ltd. | 7,753 | 800,520 | |||
Max Financial Services, Ltd. (a) | 15,780 | 118,231 | |||
Motherson Sumi Systems, Ltd. | 82,206 | 168,839 | |||
Mphasis, Ltd. | 6,599 | 85,064 | |||
NESCO, Ltd. | 5,149 | 47,509 | |||
Nestle India, Ltd. | 1,599 | 330,917 | |||
NTPC, Ltd. | 152,569 | 254,359 | |||
Oil & Natural Gas Corp., Ltd. | 182,146 | 328,040 | |||
Orient Electric, Ltd. | 13,712 | 36,173 | |||
Page Industries, Ltd. | 490 | 159,539 | |||
Petronet LNG, Ltd. | 45,619 | 171,315 |
Security Description | Shares | Value | |||
Pfizer, Ltd. | 683 | $40,274 | |||
Phoenix Mills, Ltd. | 8,044 | 93,312 | |||
PI Industries, Ltd. | 5,742 | 116,243 | |||
Pidilite Industries, Ltd. | 10,715 | 208,211 | |||
Piramal Enterprises, Ltd. | 7,347 | 156,774 | |||
Power Grid Corp. of India, Ltd. | 132,400 | 353,546 | |||
Prestige Estates Projects, Ltd. | 13,088 | 61,939 | |||
Procter & Gamble Health, Ltd. | 760 | 46,051 | |||
PTC India, Ltd. | 128,482 | 100,621 | |||
PVR, Ltd. | 3,937 | 104,520 | |||
Rallis India, Ltd. | 37,687 | 88,861 | |||
RBL Bank, Ltd. (d) | 36,130 | 174,555 | |||
REC, Ltd. | 54,149 | 108,483 | |||
Redington India, Ltd. | 45,228 | 74,769 | |||
Reliance Industries, Ltd., GDR (d) | 6,884 | 292,914 | |||
Reliance Industries, Ltd. | 259,002 | 5,500,942 | |||
Repco Home Finance, Ltd. | 16,310 | 72,492 | |||
SBI Life Insurance Co., Ltd. (d) | 28,341 | 381,609 | |||
Shree Cement, Ltd. | 541 | 154,527 | |||
Shriram Transport Finance Co., Ltd. | 13,935 | 228,280 | |||
Sobha, Ltd. | 12,486 | 70,155 | |||
South Indian Bank, Ltd. | 63,667 | 9,053 | |||
SPANDANA SPHOORTY FINANCIAL COMMON STOCK INR10.0 (a) | 5,000 | 83,989 | |||
SpiceJet, Ltd. (a) | 6,570 | 10,401 | |||
State Bank of India (a) | 182,304 | 852,545 | |||
State Bank of India GDR (a)(b) | 1,020 | 47,736 | |||
Strides Pharma Science, Ltd. | 5,713 | 28,894 | |||
Sun Pharma Advanced Research Co., Ltd. (a) | 8,505 | 18,612 | |||
Sun Pharmaceutical Industries, Ltd. | 60,455 | 366,144 | |||
Sundaram Finance, Ltd. | 3,454 | 79,118 | |||
Sunteck Realty, Ltd. | 14,806 | 86,706 | |||
Suven Life Sciences, Ltd. | 5,563 | 23,958 | |||
Symphony, Ltd. | 3,877 | 63,007 | |||
Tata Communications, Ltd. | 6,812 | 37,897 | |||
Tata Consultancy Services, Ltd. | 68,302 | 2,071,696 | |||
Tata Global Beverages, Ltd. | 26,037 | 117,184 | |||
Tata Motors, Ltd. ADR (a) | 1,078 | 13,939 | |||
Tata Motors, Ltd. (a) | 143,863 | 372,163 | |||
Tata Power Co., Ltd. | 115,538 | 91,698 | |||
Tata Steel, Ltd. | 25,361 | 167,260 | |||
Tata Steel, Ltd. GDR | 1,300 | 8,788 | |||
TeamLease Services, Ltd. (a) | 1,645 | 57,040 | |||
Tech Mahindra, Ltd. | 35,560 | 379,223 | |||
Timken India, Ltd. | 6,375 | 82,525 | |||
Titan Co., Ltd. | 22,947 | 382,535 | |||
Tube Investments of India, Ltd. | 9,555 | 64,456 | |||
TV18 Broadcast, Ltd. (a) | 322,994 | 95,706 | |||
Ujjivan Financial Services, Ltd. | 1,086 | 5,286 | |||
UltraTech Cement, Ltd. | 7,217 | 409,998 | |||
United Spirits, Ltd. (a) | 25,960 | 217,891 | |||
UPL, Ltd. | 39,039 | 319,408 |
Security Description | Shares | Value | |||
Varun Beverages, Ltd. | 5,485 | $53,791 | |||
Vedanta, Ltd. | 114,419 | 244,056 | |||
Vedanta, Ltd. ADR | 1,433 | 12,367 | |||
Venky's India, Ltd. | 3,202 | 78,953 | |||
Vinati Organics, Ltd. | 2,345 | 65,348 | |||
V-Mart Retail, Ltd. | 2,562 | 59,296 | |||
Vodafone Idea, Ltd. (a) | 693,861 | 60,270 | |||
Wipro, Ltd. ADR | 7,834 | 29,377 | |||
Wipro, Ltd. | 89,084 | 307,147 | |||
Wockhardt, Ltd. (a) | 5,297 | 17,387 | |||
Yes Bank, Ltd. | 163,001 | 107,330 | |||
Zee Entertainment Enterprises, Ltd. | 67,492 | 276,102 | |||
49,876,170 | |||||
INDONESIA — 0.5% | |||||
Ace Hardware Indonesia Tbk PT | 438,100 | 47,179 | |||
Adaro Energy Tbk PT | 1,258,000 | 140,911 | |||
Astra International Tbk PT | 1,542,300 | 769,345 | |||
Bank Central Asia Tbk PT | 748,800 | 1,802,891 | |||
Bank Mandiri Persero Tbk PT | 1,439,600 | 795,889 | |||
Bank Negara Indonesia Persero Tbk PT | 651,900 | 368,623 | |||
Bank Rakyat Indonesia Persero Tbk PT | 4,252,300 | 1,347,749 | |||
Bank Tabungan Negara Persero Tbk PT | 370,200 | 56,533 | |||
Bank Tabungan Pensiunan Nasional Syariah Tbk PT (a) | 170,800 | 52,289 | |||
Barito Pacific Tbk PT (a) | 2,421,300 | 263,365 | |||
Bukit Asam Tbk PT | 469,600 | 89,979 | |||
Bumi Serpong Damai Tbk PT (a) | 1,332,000 | 120,415 | |||
Charoen Pokphand Indonesia Tbk PT | 574,800 | 269,130 | |||
Ciputra Development Tbk PT | 929,100 | 69,603 | |||
Gudang Garam Tbk PT | 43,700 | 166,836 | |||
Hanjaya Mandala Sampoerna Tbk PT | 833,400 | 126,068 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 239,400 | 132,784 | |||
Indocement Tunggal Prakarsa Tbk PT | 146,800 | 201,179 | |||
Indofood CBP Sukses Makmur Tbk PT | 220,400 | 177,019 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 233,768 | |||
Jasa Marga Persero Tbk PT | 150,175 | 55,981 | |||
Kalbe Farma Tbk PT | 1,941,600 | 226,572 | |||
Matahari Department Store Tbk PT | 260,400 | 78,969 | |||
Media Nusantara Citra Tbk PT | 419,700 | 49,279 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 98,587 | |||
Pakuwon Jati Tbk PT | 1,357,000 | 55,717 | |||
Perusahaan Gas Negara Tbk PT | 631,200 | 98,664 | |||
Semen Indonesia Persero Tbk PT | 217,000 | 187,574 |
Security Description | Shares | Value | |||
Summarecon Agung Tbk PT | 864,100 | $62,555 | |||
Surya Citra Media Tbk PT | 511,200 | 51,921 | |||
Telekomunikasi Indonesia Persero Tbk PT | 3,786,700 | 1,082,888 | |||
Tower Bersama Infrastructure Tbk PT | 785,500 | 69,596 | |||
Unilever Indonesia Tbk PT | 110,700 | 334,911 | |||
United Tractors Tbk PT | 146,700 | 227,460 | |||
XL Axiata Tbk PT (a) | 213,000 | 48,331 | |||
9,960,560 | |||||
IRELAND — 0.4% | |||||
AerCap Holdings NV (a) | 10,323 | 634,555 | |||
AIB Group PLC | 54,869 | 191,300 | |||
Bank of Ireland Group PLC | 73,987 | 405,452 | |||
C&C Group PLC | 16,149 | 86,964 | |||
COSMO Pharmaceuticals NV (a) | 890 | 70,494 | |||
CRH PLC | 63,393 | 2,538,228 | |||
Flutter Entertainment PLC | 6,271 | 762,697 | |||
Glanbia PLC | 14,863 | 171,175 | |||
Greencore Group PLC | 38,062 | 135,082 | |||
James Hardie Industries PLC | 34,851 | 682,774 | |||
Kerry Group PLC Class A | 12,734 | 1,588,053 | |||
Keywords Studios PLC | 4,784 | 94,937 | |||
Kingspan Group PLC | 12,170 | 743,831 | |||
Smurfit Kappa Group PLC | 18,699 | 719,104 | |||
UDG Healthcare PLC | 15,386 | 164,284 | |||
8,988,930 | |||||
ISRAEL — 0.5% | |||||
Africa Israel Properties, Ltd. (a) | 2,055 | 85,377 | |||
Airport City, Ltd. (a) | 3,589 | 67,354 | |||
Alony Hetz Properties & Investments, Ltd. | 4,892 | 77,332 | |||
Ashtrom Group, Ltd. | 6,844 | 102,462 | |||
Azrieli Group, Ltd. | 3,569 | 260,907 | |||
Bank Hapoalim BM | 91,066 | 755,368 | |||
Bank Leumi Le-Israel BM | 118,330 | 861,267 | |||
Bayside Land Corp. | 107 | 82,217 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. (a) | 180,889 | 145,329 | |||
Blue Square Real Estate, Ltd. | 992 | 70,164 | |||
Caesarstone, Ltd. | 3,675 | 55,382 | |||
Check Point Software Technologies, Ltd. (a) | 9,710 | 1,077,422 | |||
CyberArk Software, Ltd. (a) | 3,083 | 359,416 | |||
Elbit Systems, Ltd. | 2,027 | 315,494 | |||
Elco, Ltd. | 2,531 | 90,351 | |||
Energix-Renewable Energies, Ltd. (a) | 29,187 | 87,122 | |||
Equital, Ltd. (a) | 2,112 | 62,614 | |||
Formula Systems 1985, Ltd. | 1,091 | 74,228 | |||
Gilat Satellite Networks, Ltd. | 8,589 | 67,936 | |||
Hadera Paper, Ltd. | 1,596 | 63,627 | |||
Hilan, Ltd. | 1,722 | 69,299 |
Security Description | Shares | Value | |||
Industrial Buildings Corp., Ltd. (a) | 61,556 | $168,058 | |||
Israel Chemicals, Ltd. | 60,469 | 284,488 | |||
Israel Discount Bank, Ltd. Class A | 94,275 | 436,984 | |||
Ituran Location & Control, Ltd. | 2,800 | 70,364 | |||
Kornit Digital, Ltd. (a)(b) | 3,500 | 119,805 | |||
Matrix IT, Ltd. | 4,080 | 82,108 | |||
Maytronics, Ltd. | 9,751 | 81,447 | |||
Mehadrin, Ltd. (a) | 164 | 6,557 | |||
Mizrahi Tefahot Bank, Ltd. | 12,097 | 322,213 | |||
Naphtha Israel Petroleum Corp., Ltd. | 12,597 | 75,604 | |||
Nice, Ltd. (a) | 5,000 | 775,333 | |||
Norstar Holdings, Inc. | 3,895 | 83,335 | |||
Nova Measuring Instruments, Ltd. (a) | 2,278 | 86,662 | |||
Partner Communications Co., Ltd. (a) | 17,416 | 77,500 | |||
Paz Oil Co., Ltd. | 478 | 67,659 | |||
Plus500, Ltd. | 10,246 | 120,260 | |||
Property & Building Corp., Ltd. | 682 | 72,741 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 85,098 | |||
Reit 1, Ltd. | 26,757 | 159,891 | |||
Sapiens International Corp. NV | 3,605 | 81,410 | |||
Shikun & Binui, Ltd. | 18,876 | 86,838 | |||
Shufersal, Ltd. | 9,583 | 60,983 | |||
Summit Real Estate Holdings, Ltd. | 5,965 | 79,666 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a)(b) | 65,853 | 645,359 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 19,463 | 192,770 | |||
Tower Semiconductor, Ltd. (a) | 6,895 | 164,829 | |||
UroGen Pharma, Ltd. (a)(b) | 2,000 | 66,740 | |||
Wix.com, Ltd. (a) | 4,000 | 489,520 | |||
9,874,890 | |||||
ITALY — 1.4% | |||||
A2A SpA | 22,958 | 43,088 | |||
Amplifon SpA | 8,260 | 237,730 | |||
Anima Holding SpA (d) | 17,421 | 89,992 | |||
Arnoldo Mondadori Editore SpA (a) | 41,346 | 95,606 | |||
Ascopiave SpA | 16,517 | 70,731 | |||
Assicurazioni Generali SpA | 92,022 | 1,900,105 | |||
Atlantia SpA | 38,594 | 900,659 | |||
Azimut Holding SpA | 5,486 | 131,043 | |||
Banca Farmafactoring SpA (d) | 13,422 | 80,453 | |||
Banca Popolare di Sondrio SCPA | 56,342 | 133,318 | |||
Banco BPM SpA (a) | 118,186 | 269,042 | |||
BPER Banca | 25,952 | 130,595 | |||
Brunello Cucinelli SpA | 1,889 | 66,920 | |||
Cairo Communication SpA | 36,098 | 110,012 |
Security Description | Shares | Value | |||
Carel Industries SpA (d) | 5,036 | $78,349 | |||
Cerved Group SpA | 15,889 | 155,079 | |||
Credito Valtellinese SpA (a) | 1,064,360 | 85,066 | |||
Davide Campari-Milano SpA | 50,016 | 457,004 | |||
De' Longhi SpA | 5,153 | 109,033 | |||
DiaSorin SpA | 1,134 | 146,894 | |||
doValue SpA (d) | 6,479 | 89,454 | |||
El.En. SpA | 2,722 | 100,952 | |||
Enel SpA | 632,572 | 5,021,557 | |||
Eni SpA | 198,191 | 3,080,310 | |||
Falck Renewables SpA | 16,956 | 90,598 | |||
Ferrari NV | 9,465 | 1,571,357 | |||
Fila SpA | 4,681 | 75,453 | |||
FinecoBank Banca Fineco SpA | 51,331 | 615,947 | |||
Gruppo MutuiOnline SpA | 3,985 | 89,687 | |||
Hera SpA | 23,311 | 102,050 | |||
Illimity Bank SpA (a) | 8,543 | 97,909 | |||
IMA Industria Macchine Automatiche SpA | 2,085 | 150,020 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT | 13,675 | 95,171 | |||
Infrastrutture Wireless Italiane SpA (d) | 13,284 | 130,176 | |||
Interpump Group SpA | 3,589 | 113,769 | |||
Intesa Sanpaolo SpA | 1,168,251 | 3,079,732 | |||
Italgas SpA | 8,305 | 50,751 | |||
Italmobiliare SpA | 2,891 | 78,370 | |||
Juventus Football Club SpA (a) | 49,118 | 68,753 | |||
La Doria SpA | 7,554 | 79,112 | |||
Leonardo SpA | 32,213 | 377,862 | |||
MARR SpA | 3,554 | 81,184 | |||
Mediobanca Banca di Credito Finanziario SpA | 56,268 | 619,860 | |||
Moncler SpA | 14,634 | 658,216 | |||
OVS SpA (a)(d) | 23,827 | 53,652 | |||
Piaggio & C SpA | 24,484 | 75,524 | |||
Pirelli & C SpA (d) | 44,955 | 259,375 | |||
Poste Italiane SpA (d) | 44,763 | 508,494 | |||
Prysmian SpA | 19,818 | 478,060 | |||
RAI Way SpA (d) | 11,872 | 81,690 | |||
Recordati SpA | 9,463 | 399,077 | |||
Reply SpA | 1,123 | 87,546 | |||
Saipem SpA (a) | 29,916 | 146,278 | |||
Saras SpA | 44,370 | 71,421 | |||
Sesa SpA | 1,926 | 103,016 | |||
Snam SpA | 168,279 | 885,153 | |||
Technogym SpA (d) | 9,301 | 121,004 | |||
Telecom Italia SpA (a)(c) | 763,643 | 476,940 | |||
Telecom Italia SpA (a)(c) | 417,529 | 255,803 | |||
Terna Rete Elettrica Nazionale SpA | 126,622 | 846,261 | |||
Tinexta SpA | 5,449 | 70,951 | |||
UniCredit SpA | 156,195 | 2,282,781 | |||
Unione di Banche Italiane SpA (b) | 67,463 | 220,518 |
Security Description | Shares | Value | |||
Zignago Vetro SpA | 3,618 | $51,577 | |||
29,284,090 | |||||
JAPAN — 16.2% | |||||
ABC-Mart, Inc. | 2,900 | 198,537 | |||
Acom Co., Ltd. | 36,100 | 165,095 | |||
Activia Properties, Inc. REIT | 34 | 170,196 | |||
Adastria Co., Ltd. | 2,800 | 64,129 | |||
Advan Co., Ltd. | 7,300 | 83,966 | |||
Advance Residence Investment Corp. REIT | 73 | 231,074 | |||
Advantest Corp. | 15,400 | 872,915 | |||
Aeon Co., Ltd. | 51,100 | 1,060,557 | |||
AEON Financial Service Co., Ltd. | 10,500 | 166,860 | |||
Aeon Mall Co., Ltd. | 8,700 | 155,147 | |||
AEON REIT Investment Corp. | 76 | 103,991 | |||
AGC, Inc. | 14,800 | 535,210 | |||
Ai Holdings Corp. | 4,100 | 73,455 | |||
Aica Kogyo Co., Ltd. | 2,400 | 80,055 | |||
Aichi Bank, Ltd. | 2,200 | 75,914 | |||
Aichi Corp. | 11,000 | 75,510 | |||
Aida Engineering, Ltd. | 8,700 | 78,694 | |||
Aiful Corp. (a) | 30,500 | 71,286 | |||
Ain Holdings, Inc. | 1,700 | 108,406 | |||
Air Water, Inc. | 17,200 | 253,232 | |||
Aisin Seiki Co., Ltd. | 13,800 | 516,825 | |||
Ajinomoto Co., Inc. | 33,200 | 554,479 | |||
Akatsuki, Inc. (b) | 1,100 | 59,213 | |||
Akita Bank, Ltd. | 3,600 | 73,474 | |||
Alfresa Holdings Corp. | 15,700 | 321,873 | |||
Alpen Co., Ltd. (b) | 6,500 | 106,285 | |||
Alps Alpine Co., Ltd. | 17,300 | 396,702 | |||
Altech Corp. | 1,300 | 23,542 | |||
Amada Holdings Co., Ltd. | 31,200 | 358,868 | |||
Amano Corp. | 2,300 | 70,582 | |||
Amuse, Inc. | 2,700 | 74,783 | |||
ANA Holdings, Inc. | 12,400 | 415,558 | |||
Anest Iwata Corp. | 7,800 | 76,080 | |||
AnGes, Inc. (a)(b) | 16,700 | 98,195 | |||
Anicom Holdings, Inc. | 1,800 | 61,035 | |||
Anritsu Corp. (b) | 9,400 | 187,524 | |||
Aomori Bank, Ltd. | 2,800 | 75,414 | |||
Aozora Bank, Ltd. | 11,600 | 308,586 | |||
Arata Corp. | 1,900 | 79,199 | |||
Arcland Sakamoto Co., Ltd. | 7,200 | 82,816 | |||
Arcland Service Holdings Co., Ltd. | 4,100 | 71,003 | |||
Argo Graphics, Inc. | 2,900 | 90,462 | |||
Ariake Japan Co., Ltd. | 1,200 | 89,772 | |||
ARTERIA Networks Corp. | 5,200 | 84,214 | |||
Aruhi Corp. | 3,000 | 62,057 | |||
Asahi Co., Ltd. | 5,300 | 68,911 | |||
Asahi Diamond Industrial Co., Ltd. | 16,600 | 98,523 | |||
Asahi Group Holdings, Ltd. | 28,000 | 1,283,865 | |||
Asahi Intecc Co., Ltd. | 15,400 | 453,462 |
Security Description | Shares | Value | |||
Asahi Kasei Corp. | 99,300 | $1,127,547 | |||
Asics Corp. | 10,800 | 180,472 | |||
ASKA Pharmaceutical Co., Ltd. | 7,100 | 82,319 | |||
Astellas Pharma, Inc. | 147,800 | 2,543,234 | |||
Ateam, Inc. | 3,300 | 33,342 | |||
Avex, Inc. | 6,600 | 76,461 | |||
Axial Retailing, Inc. | 2,100 | 73,623 | |||
Azbil Corp. | 2,600 | 73,807 | |||
Bandai Namco Holdings, Inc. | 15,500 | 945,760 | |||
Bando Chemical Industries, Ltd. | 9,200 | 78,476 | |||
Bank of Kyoto, Ltd. | 5,500 | 237,865 | |||
Bank of Nagoya, Ltd. | 3,700 | 116,098 | |||
Bank of Okinawa, Ltd. | 2,300 | 77,884 | |||
Bank of Saga, Ltd. | 5,100 | 82,219 | |||
Bank of the Ryukyus, Ltd. | 7,800 | 86,200 | |||
BayCurrent Consulting, Inc. | 1,500 | 77,019 | |||
Belc Co., Ltd. | 1,500 | 76,743 | |||
Benefit One, Inc. | 4,200 | 87,382 | |||
Benesse Holdings, Inc. | 6,600 | 174,542 | |||
Bridgestone Corp. (b) | 47,000 | 1,760,202 | |||
Broadleaf Co., Ltd. (b) | 12,400 | 76,106 | |||
BRONCO BILLY Co., Ltd. (b) | 3,200 | 81,918 | |||
Brother Industries, Ltd. | 19,200 | 401,226 | |||
Bunka Shutter Co., Ltd. | 10,500 | 93,140 | |||
Calbee, Inc. | 6,600 | 215,901 | |||
Canon, Inc. (b) | 77,000 | 2,116,039 | |||
Capcom Co., Ltd. | 6,400 | 178,440 | |||
Casio Computer Co., Ltd. | 15,800 | 318,544 | |||
Cawachi, Ltd. | 5,300 | 107,926 | |||
Central Japan Railway Co. | 11,100 | 2,247,067 | |||
Central Security Patrols Co., Ltd. | 1,400 | 80,902 | |||
Chiba Bank, Ltd. | 52,500 | 305,797 | |||
Chiyoda Co., Ltd. | 5,100 | 75,556 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 70,287 | |||
Chubu Electric Power Co., Inc. | 51,600 | 731,920 | |||
Chubu Shiryo Co., Ltd. | 6,500 | 96,775 | |||
Chugai Pharmaceutical Co., Ltd. | 17,500 | 1,623,188 | |||
Chugoku Electric Power Co., Inc. (b) | 24,300 | 319,752 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 80,773 | |||
Chukyo Bank, Ltd. | 3,500 | 71,626 | |||
CI Takiron Corp. | 12,200 | 82,961 | |||
CKD Corp. | 5,700 | 96,403 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (b) | 9,400 | 241,412 | |||
cocokara fine, Inc. | 1,500 | 87,509 | |||
COLOPL, Inc. (b) | 4,900 | 52,303 | |||
Colowide Co., Ltd. | 3,600 | 74,899 | |||
Comforia Residential REIT, Inc. | 37 | 117,120 | |||
Computer Engineering & Consulting, Ltd. | 3,800 | 72,031 | |||
COMSYS Holdings Corp. | 3,400 | 98,081 | |||
Concordia Financial Group, Ltd. | 106,900 | 444,617 | |||
CONEXIO Corp. | 5,500 | 82,190 | |||
COOKPAD, Inc. (a) | 26,600 | 87,137 |
Security Description | Shares | Value | |||
Cosel Co., Ltd. | 7,800 | $84,693 | |||
Cosmo Energy Holdings Co., Ltd. | 4,000 | 92,570 | |||
Cosmos Pharmaceutical Corp. | 500 | 103,796 | |||
Credit Saison Co., Ltd. | 12,900 | 225,654 | |||
CyberAgent, Inc. | 7,700 | 270,306 | |||
CYBERDYNE, Inc. (a) | 11,000 | 57,391 | |||
Cybozu, Inc. (b) | 7,400 | 101,050 | |||
Dai Nippon Printing Co., Ltd. | 20,200 | 550,191 | |||
Daicel Corp. | 24,500 | 236,490 | |||
Daido Metal Co., Ltd. | 15,200 | 106,718 | |||
Daifuku Co., Ltd. | 8,200 | 502,526 | |||
Daihen Corp. | 2,300 | 76,614 | |||
Daiho Corp. | 2,700 | 71,528 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 84,803 | |||
Dai-ichi Life Holdings, Inc. | 84,700 | 1,415,758 | |||
Daiichi Sankyo Co., Ltd. | 43,500 | 2,893,195 | |||
Daiken Corp. | 4,000 | 73,172 | |||
Daikin Industries, Ltd. | 19,200 | 2,729,607 | |||
Daikokutenbussan Co., Ltd. (b) | 2,200 | 65,185 | |||
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 2,400 | 70,007 | |||
Daiseki Co., Ltd. | 2,800 | 81,546 | |||
Daito Trust Construction Co., Ltd. | 5,800 | 719,429 | |||
Daiwa House Industry Co., Ltd. | 44,300 | 1,381,891 | |||
Daiwa House REIT Investment Corp. | 155 | 404,490 | |||
Daiwa Industries, Ltd. (b) | 6,600 | 73,971 | |||
Daiwa Office Investment Corp. REIT | 10 | 76,743 | |||
Daiwa Securities Group, Inc. | 134,300 | 683,395 | |||
Daiwabo Holdings Co., Ltd. | 1,700 | 105,277 | |||
DeNA Co., Ltd. | 5,400 | 87,205 | |||
Denki Kogyo Co., Ltd. | 2,400 | 72,105 | |||
Denso Corp. | 35,900 | 1,640,482 | |||
Dentsu, Inc. (b) | 17,300 | 600,943 | |||
Denyo Co., Ltd. | 4,200 | 80,077 | |||
Dexerials Corp. | 9,400 | 95,406 | |||
Digital Arts, Inc. | 1,100 | 56,480 | |||
Digital Garage, Inc. | 2,100 | 88,599 | |||
Digital Hearts Holdings Co., Ltd. (b) | 8,100 | 74,758 | |||
Dip Corp. | 2,900 | 86,326 | |||
Disco Corp. | 2,100 | 500,483 | |||
DMG Mori Co., Ltd. (b) | 5,500 | 85,530 | |||
Doshisha Co., Ltd. (b) | 4,900 | 81,610 | |||
East Japan Railway Co. | 23,500 | 2,131,705 | |||
Ebara Corp. (b) | 3,700 | 113,205 | |||
eGuarantee, Inc. | 5,300 | 61,352 | |||
Ehime Bank, Ltd. | 6,900 | 74,857 | |||
Eisai Co., Ltd. | 19,500 | 1,472,077 | |||
Elan Corp. | 2,000 | 29,630 | |||
Electric Power Development Co., Ltd. | 12,800 | 311,770 | |||
EM Systems Co., Ltd. | 15,200 | 136,650 |
Security Description | Shares | Value | |||
Enigmo, Inc. (a)(b) | 2,600 | $21,293 | |||
en-japan, Inc. | 2,300 | 101,058 | |||
Enplas Corp. | 2,200 | 72,574 | |||
eRex Co., Ltd. | 3,000 | 50,269 | |||
ES-Con Japan, Ltd. (b) | 8,700 | 75,012 | |||
ESPEC Corp. | 4,100 | 84,886 | |||
F@N Communications, Inc. (b) | 14,400 | 63,867 | |||
FamilyMart Co., Ltd. | 19,700 | 475,845 | |||
Fancl Corp. | 3,800 | 101,823 | |||
FANUC Corp. | 15,000 | 2,806,073 | |||
Fast Retailing Co., Ltd. | 4,500 | 2,691,511 | |||
Feed One Co., Ltd. | 51,700 | 88,962 | |||
Financial Products Group Co., Ltd. | 7,200 | 69,764 | |||
Foster Electric Co., Ltd. | 3,100 | 54,968 | |||
FP Corp. | 1,200 | 71,663 | |||
France Bed Holdings Co., Ltd. | 7,600 | 67,625 | |||
Frontier Real Estate Investment Corp. REIT | 19 | 79,811 | |||
Fuji Co., Ltd. | 4,000 | 71,663 | |||
Fuji Electric Co., Ltd. | 12,500 | 384,748 | |||
Fuji Oil Holdings, Inc. | 2,400 | 64,839 | |||
Fuji Seal International, Inc. | 3,900 | 86,954 | |||
Fuji Soft, Inc. | 1,600 | 62,130 | |||
Fujicco Co., Ltd. | 4,500 | 80,828 | |||
FUJIFILM Holdings Corp. | 27,700 | 1,333,066 | |||
Fujimi, Inc. | 2,900 | 82,457 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 86,460 | |||
Fujio Food System Co., Ltd. (b) | 4,800 | 79,768 | |||
Fujita Kanko, Inc. (a) | 2,600 | 67,587 | |||
Fujitsu General, Ltd. (b) | 4,300 | 97,297 | |||
Fujitsu, Ltd. | 15,400 | 1,455,330 | |||
Fujiya Co., Ltd. (b) | 3,600 | 70,327 | |||
Fukuda Corp. (b) | 1,800 | 81,491 | |||
Fukui Computer Holdings, Inc. | 3,000 | 97,999 | |||
Fukuoka Financial Group, Inc. | 13,200 | 255,680 | |||
Fukuoka REIT Corp. | 76 | 129,377 | |||
Fukushima Industries Corp. | 2,400 | 90,545 | |||
FULLCAST Holdings Co., Ltd. | 3,600 | 82,518 | |||
Funai Soken Holdings, Inc. | 3,000 | 68,489 | |||
Furukawa Co., Ltd. | 5,200 | 69,190 | |||
Furukawa Electric Co., Ltd. | 2,900 | 75,252 | |||
Fuso Chemical Co., Ltd. | 3,100 | 92,280 | |||
Futaba Corp. | 6,000 | 74,865 | |||
Gakken Holdings Co., Ltd. | 600 | 42,954 | |||
Genki Sushi Co., Ltd. | 2,500 | 68,645 | |||
Genky DrugStores Co., Ltd. | 3,300 | 70,752 | |||
Geo Holdings Corp. | 5,700 | 70,703 | |||
Giken, Ltd. | 2,200 | 102,029 | |||
Global One Real Estate Investment Corp. REIT | 91 | 117,733 | |||
GLP J-REIT | 215 | 266,883 | |||
GMO internet, Inc. | 4,200 | 80,193 | |||
GMO Payment Gateway, Inc. | 2,600 | 178,956 | |||
GNI Group, Ltd. (a) | 3,600 | 86,923 | |||
Godo Steel, Ltd. | 3,600 | 93,482 |
Security Description | Shares | Value | |||
Goldcrest Co., Ltd. | 3,600 | $69,002 | |||
Goldwin, Inc. | 1,300 | 95,937 | |||
Gree, Inc. | 15,200 | 68,954 | |||
GungHo Online Entertainment, Inc. (a)(b) | 3,200 | 68,196 | |||
Gurunavi, Inc. | 3,800 | 33,988 | |||
Hakuhodo DY Holdings, Inc. | 18,800 | 305,851 | |||
Hamakyorex Co., Ltd. | 2,200 | 72,574 | |||
Hamamatsu Photonics KK | 11,500 | 475,661 | |||
Hankyu Hanshin Holdings, Inc. | 19,100 | 822,526 | |||
Hankyu Hanshin REIT, Inc. | 94 | 148,168 | |||
Harmonic Drive Systems, Inc. (b) | 2,700 | 130,932 | |||
Haseko Corp. | 9,400 | 127,236 | |||
Hazama Ando Corp. | 9,700 | 84,973 | |||
HEALIOS KK (a) | 3,200 | 43,962 | |||
Heiwa Real Estate Co., Ltd. | 2,900 | 80,055 | |||
Heiwa Real Estate REIT, Inc. | 115 | 143,704 | |||
Hibiya Engineering, Ltd. | 4,100 | 74,964 | |||
Hiday Hidaka Corp. | 3,500 | 65,024 | |||
Hikari Tsushin, Inc. | 1,600 | 403,846 | |||
Hino Motors, Ltd. | 29,300 | 313,288 | |||
Hioki EE Corp. | 2,100 | 73,430 | |||
Hirata Corp. | 1,100 | 71,562 | |||
Hirose Electric Co., Ltd. | 3,300 | 426,032 | |||
Hisamitsu Pharmaceutical Co., Inc. | 5,400 | 265,839 | |||
Hitachi Chemical Co., Ltd. | 8,300 | 349,413 | |||
Hitachi Construction Machinery Co., Ltd. | 9,600 | 290,186 | |||
Hitachi High-Technologies Corp. | 5,600 | 398,841 | |||
Hitachi Metals, Ltd. | 17,900 | 265,679 | |||
Hitachi, Ltd. | 74,200 | 3,158,493 | |||
Hochiki Corp. | 5,300 | 85,883 | |||
Hodogaya Chemical Co., Ltd. | 2,200 | 85,631 | |||
Hokuetsu Corp. | 13,800 | 71,746 | |||
Hokuriku Electric Power Co. (a) | 11,800 | 86,430 | |||
Hokuto Corp. | 6,300 | 114,667 | |||
Honda Motor Co., Ltd. | 126,700 | 3,613,005 | |||
Horiba, Ltd. | 1,900 | 128,153 | |||
Hoshino Resorts REIT, Inc. | 28 | 144,541 | |||
Hoshizaki Corp. | 4,500 | 403,313 | |||
Hosiden Corp. | 7,100 | 90,551 | |||
Hosokawa Micron Corp. | 2,600 | 112,326 | |||
Hoya Corp. | 29,300 | 2,817,437 | |||
Hulic Co., Ltd. | 26,300 | 318,480 | |||
Hulic Reit, Inc. | 63 | 114,319 | |||
Hyakugo Bank, Ltd. | 22,900 | 73,331 | |||
Hyakujushi Bank, Ltd. | 4,200 | 83,710 | |||
Ibiden Co., Ltd. | 7,400 | 177,382 | |||
Ichigo Office REIT Investment | 122 | 126,631 | |||
Ichigo, Inc. | 17,400 | 73,811 | |||
Ichiyoshi Securities Co., Ltd. | 12,500 | 74,074 | |||
Icom, Inc. | 3,400 | 85,098 | |||
Idec Corp. | 3,800 | 79,095 |
Security Description | Shares | Value | |||
Idemitsu Kosan Co., Ltd. | 15,377 | $428,731 | |||
IHI Corp. | 11,600 | 274,749 | |||
Iida Group Holdings Co., Ltd. | 13,600 | 240,151 | |||
Inaba Denki Sangyo Co., Ltd. | 3,200 | 81,859 | |||
Inabata & Co., Ltd. | 5,700 | 85,965 | |||
Industrial & Infrastructure Fund Investment Corp. REIT | 79 | 120,454 | |||
Ines Corp. | 6,800 | 85,598 | |||
Infomart Corp. | 13,600 | 123,267 | |||
Inpex Corp. | 78,700 | 823,028 | |||
Insource Co., Ltd. | 1,600 | 52,045 | |||
Internet Initiative Japan, Inc. | 3,000 | 81,297 | |||
Invesco Office J-Reit, Inc. | 835 | 172,724 | |||
Invincible Investment Corp. REIT | 389 | 221,570 | |||
IR Japan Holdings, Ltd. | 1,100 | 49,142 | |||
Iriso Electronics Co., Ltd. | 1,500 | 66,805 | |||
Iseki & Co., Ltd. | 5,100 | 78,418 | |||
Isetan Mitsukoshi Holdings, Ltd. | 28,000 | 253,527 | |||
Istyle, Inc. (a) | 10,000 | 60,271 | |||
Isuzu Motors, Ltd. | 46,200 | 552,232 | |||
Ito En, Ltd. | 1,800 | 90,766 | |||
ITOCHU Corp. | 103,700 | 2,418,474 | |||
Itochu Techno-Solutions Corp. | 9,500 | 268,806 | |||
Itokuro, Inc. (a) | 4,800 | 62,542 | |||
J Front Retailing Co., Ltd. | 21,300 | 299,876 | |||
JAC Recruitment Co., Ltd. | 3,700 | 66,152 | |||
Jaccs Co., Ltd. | 3,300 | 85,024 | |||
Japan Airlines Co., Ltd. | 12,500 | 390,729 | |||
Japan Airport Terminal Co., Ltd. | 3,700 | 207,343 | |||
Japan Best Rescue System Co., Ltd. | 2,200 | 22,936 | |||
Japan Cash Machine Co., Ltd. (b) | 9,100 | 75,446 | |||
Japan Elevator Service Holdings Co., Ltd. | 2,800 | 70,673 | |||
Japan Excellent, Inc. REIT | 71 | 114,854 | |||
Japan Exchange Group, Inc. | 43,100 | 765,429 | |||
Japan Hotel REIT Investment Corp. | 274 | 204,728 | |||
Japan Lifeline Co., Ltd. | 4,500 | 61,822 | |||
Japan Logistics Fund, Inc. REIT | 46 | 117,291 | |||
Japan Material Co., Ltd. | 5,700 | 95,826 | |||
Japan Meat Co., Ltd. | 4,100 | 85,490 | |||
Japan Petroleum Exploration Co., Ltd. | 2,300 | 62,540 | |||
Japan Post Bank Co., Ltd. | 32,300 | 312,077 | |||
Japan Post Holdings Co., Ltd. | 120,800 | 1,140,472 | |||
Japan Post Insurance Co., Ltd. | 7,200 | 123,362 | |||
Japan Prime Realty Investment Corp. REIT | 67 | 293,770 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 77,295 | |||
Japan Real Estate Investment Corp. REIT | 103 | 682,402 | |||
Japan Rental Housing Investments, Inc. REIT | 133 | 130,093 |
Security Description | Shares | Value | |||
Japan Retail Fund Investment Corp. REIT | 213 | $457,262 | |||
Japan Steel Works, Ltd. | 3,600 | 71,453 | |||
Japan Tobacco, Inc. (b) | 95,300 | 2,133,124 | |||
JCR Pharmaceuticals Co., Ltd. | 1,000 | 81,527 | |||
JCU Corp. | 3,500 | 104,348 | |||
Jeol, Ltd. | 3,000 | 91,787 | |||
JFE Holdings, Inc. | 40,400 | 524,540 | |||
JGC Holdings Corp. | 20,200 | 326,211 | |||
JINS, Inc. | 1,200 | 81,491 | |||
J-Oil Mills, Inc. | 1,800 | 71,636 | |||
Joshin Denki Co., Ltd. | 3,500 | 83,897 | |||
JSR Corp. | 18,200 | 336,953 | |||
JTEKT Corp. | 23,200 | 277,738 | |||
Justsystems Corp. | 2,100 | 118,261 | |||
JVC Kenwood Corp. | 20,000 | 50,426 | |||
JXTG Holdings, Inc. | 245,100 | 1,122,938 | |||
Kadokawa Dwango (a) | 4,800 | 92,356 | |||
Kagome Co., Ltd. (b) | 2,700 | 65,043 | |||
Kajima Corp. | 39,600 | 531,279 | |||
Kakaku.com, Inc. | 9,400 | 241,585 | |||
Kamakura Shinsho, Ltd. (b) | 2,000 | 31,728 | |||
Kameda Seika Co., Ltd. | 1,600 | 73,393 | |||
Kamigumi Co., Ltd. | 10,700 | 236,202 | |||
Kanamoto Co., Ltd. | 3,000 | 77,874 | |||
Kaneka Corp. | 5,200 | 168,429 | |||
Kanematsu Corp. | 6,200 | 84,036 | |||
Kansai Electric Power Co., Inc. | 55,400 | 644,613 | |||
Kansai Paint Co., Ltd. | 14,500 | 357,180 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 85,829 | |||
Kao Corp. | 37,500 | 3,114,217 | |||
Kappa Create Co., Ltd. | 7,600 | 105,739 | |||
Katakura Industries Co., Ltd. | 5,600 | 70,338 | |||
Katitas Co., Ltd. (b) | 1,900 | 84,182 | |||
Kawasaki Heavy Industries, Ltd. | 15,500 | 343,446 | |||
Kawasaki Kisen Kaisha, Ltd. (a) | 6,700 | 114,857 | |||
KDDI Corp. | 134,800 | 4,035,007 | |||
Keihan Holdings Co., Ltd. | 8,400 | 409,662 | |||
Keihanshin Building Co., Ltd. | 6,200 | 81,754 | |||
Keikyu Corp. | 19,100 | 370,840 | |||
Keio Corp. | 7,400 | 450,094 | |||
Keisei Electric Railway Co., Ltd. | 10,900 | 425,268 | |||
Keiyo Co., Ltd. | 15,400 | 81,198 | |||
Kenedix Office Investment Corp. REIT | 21 | 161,932 | |||
Kenedix Residential Next Investment Corp. REIT | 73 | 137,435 | |||
Kenedix Retail REIT Corp. | 49 | 124,670 | |||
Kenedix, Inc. | 15,700 | 82,202 | |||
Kenko Mayonnaise Co., Ltd. | 3,000 | 68,019 | |||
Key Coffee, Inc. | 8,000 | 170,490 | |||
Keyence Corp. | 13,900 | 4,923,037 | |||
KH Neochem Co., Ltd. (b) | 3,300 | 70,934 | |||
Kikkoman Corp. | 12,000 | 592,961 | |||
Kintetsu Group Holdings Co., Ltd. | 13,600 | 740,851 |
Security Description | Shares | Value | |||
Kirin Holdings Co., Ltd. | 63,500 | $1,396,503 | |||
Kisoji Co., Ltd. | 6,300 | 172,000 | |||
Kiyo Bank, Ltd. | 5,000 | 76,375 | |||
KNT-CT Holdings Co., Ltd. (a) | 4,900 | 66,641 | |||
Kobayashi Pharmaceutical Co., Ltd. | 4,600 | 392,381 | |||
Kobe Bussan Co., Ltd. | 4,000 | 138,026 | |||
Kobe Steel, Ltd. | 35,800 | 194,030 | |||
Koito Manufacturing Co., Ltd. | 9,500 | 445,825 | |||
Komatsu, Ltd. | 72,800 | 1,769,842 | |||
Konami Holdings Corp. | 7,700 | 317,778 | |||
Konica Minolta, Inc. | 34,900 | 228,974 | |||
Konishi Co., Ltd. | 5,200 | 74,166 | |||
Konoike Transport Co., Ltd. | 4,700 | 71,792 | |||
Kose Corp. | 3,100 | 456,407 | |||
Koshidaka Holdings Co., Ltd. | 4,300 | 65,286 | |||
Kotobuki Spirits Co., Ltd. | 1,400 | 103,704 | |||
Kourakuen Holdings Corp. (b) | 1,800 | 34,352 | |||
K's Holdings Corp. | 11,700 | 154,062 | |||
Kubota Corp. | 81,700 | 1,297,577 | |||
Kumiai Chemical Industry Co., Ltd. | 7,900 | 72,912 | |||
Kuraray Co., Ltd. | 26,200 | 320,885 | |||
Kureha Corp. | 1,200 | 72,657 | |||
Kurita Water Industries, Ltd. | 9,500 | 284,541 | |||
Kusuri no Aoki Holdings Co., Ltd. | 1,000 | 62,940 | |||
Kyocera Corp. | 25,100 | 1,727,610 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 85,873 | |||
Kyokuto Securities Co., Ltd. | 8,600 | 58,797 | |||
Kyoritsu Maintenance Co., Ltd. | 1,600 | 76,264 | |||
Kyowa Exeo Corp. | 2,900 | 73,838 | |||
Kyowa Kirin Co., Ltd. | 20,800 | 492,463 | |||
Kyushu Electric Power Co., Inc. | 33,000 | 286,957 | |||
Kyushu Railway Co. | 13,600 | 456,775 | |||
LaSalle Logiport REIT | 93 | 138,035 | |||
Lasertec Corp. | 5,800 | 296,738 | |||
Lawson, Inc. | 3,800 | 216,444 | |||
LEC, Inc. | 7,500 | 91,856 | |||
Leopalace21 Corp. (a)(b) | 27,000 | 88,199 | |||
LIFULL Co., Ltd. (b) | 11,100 | 56,687 | |||
LINE Corp. (a) | 3,900 | 191,994 | |||
Lion Corp. | 18,400 | 359,788 | |||
LIXIL Group Corp. | 20,900 | 363,286 | |||
LIXIL VIVA Corp. | 4,700 | 84,680 | |||
M&A Capital Partners Co., Ltd. (a) | 1,300 | 52,993 | |||
M3, Inc. | 33,700 | 1,024,877 | |||
Maeda Kosen Co., Ltd. (b) | 1,800 | 36,157 | |||
Makita Corp. | 17,800 | 624,044 | |||
Mani, Inc. | 4,700 | 135,367 | |||
Mars Group Holdings Corp. | 3,900 | 73,353 | |||
Marubeni Corp. | 131,300 | 979,358 | |||
Marudai Food Co., Ltd. | 4,400 | 92,190 | |||
Marui Group Co., Ltd. | 14,800 | 363,344 |
Security Description | Shares | Value | |||
Maruichi Steel Tube, Ltd. | 5,100 | $144,541 | |||
Maruwa Co., Ltd. | 1,000 | 78,123 | |||
Maruwa Unyu Kikan Co., Ltd. (b) | 2,700 | 59,578 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 76,798 | |||
Marvelous, Inc. | 9,200 | 61,630 | |||
Matsumotokiyoshi Holdings Co., Ltd. | 3,900 | 151,981 | |||
Matsuya Co., Ltd. | 8,800 | 71,015 | |||
Matsuyafoods Holdings Co., Ltd. | 2,200 | 91,705 | |||
Max Co., Ltd. | 4,200 | 84,792 | |||
Mazda Motor Corp. | 51,400 | 443,646 | |||
McDonald's Holdings Co. Japan, Ltd. | 6,300 | 303,768 | |||
MCUBS MidCity Investment Corp. REIT | 131 | 142,241 | |||
Mebuki Financial Group, Inc. | 86,200 | 222,093 | |||
Medical Data Vision Co., Ltd. (a) | 10,000 | 81,251 | |||
Medipal Holdings Corp. | 18,600 | 412,991 | |||
Meidensha Corp. | 4,000 | 89,147 | |||
MEIJI Holdings Co., Ltd. | 10,300 | 699,462 | |||
Meiko Network Japan Co., Ltd. | 10,500 | 99,807 | |||
Menicon Co., Ltd. | 2,000 | 84,288 | |||
Mercari, Inc. (a) | 7,400 | 152,188 | |||
METAWATER Co., Ltd. | 2,100 | 84,444 | |||
Micronics Japan Co., Ltd. (b) | 8,600 | 97,178 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 110,322 | |||
Milbon Co., Ltd. | 1,300 | 74,166 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 87,009 | |||
MINEBEA MITSUMI, Inc. | 29,500 | 618,095 | |||
Ministop Co., Ltd. (b) | 11,400 | 153,993 | |||
Mirai Corp. REIT | 175 | 98,229 | |||
Miroku Jyoho Service Co., Ltd. | 2,500 | 75,684 | |||
MISUMI Group, Inc. | 23,100 | 578,589 | |||
Mitsubishi Chemical Holdings Corp. | 101,700 | 765,031 | |||
Mitsubishi Corp. | 105,200 | 2,807,269 | |||
Mitsubishi Electric Corp. | 143,600 | 1,980,075 | |||
Mitsubishi Estate Co., Ltd. | 92,100 | 1,770,812 | |||
Mitsubishi Estate Logistics REIT Investment Corp. | 37 | 121,376 | |||
Mitsubishi Gas Chemical Co., Inc. | 16,900 | 260,323 | |||
Mitsubishi Heavy Industries, Ltd. | 25,600 | 1,000,679 | |||
Mitsubishi Materials Corp. | 11,800 | 323,245 | |||
Mitsubishi Motors Corp. | 64,600 | 272,250 | |||
Mitsubishi Tanabe Pharma Corp. | 25,300 | 467,471 | |||
Mitsubishi UFJ Financial Group, Inc. | 946,400 | 5,165,903 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 40,900 | 265,704 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 81,469 | |||
Mitsui & Co., Ltd. | 130,500 | 2,336,812 |
Security Description | Shares | Value | |||
Mitsui Chemicals, Inc. | 18,500 | $456,223 | |||
Mitsui Fudosan Co., Ltd. | 69,200 | 1,701,425 | |||
Mitsui Fudosan Logistics Park, Inc. REIT | 29 | 128,755 | |||
Mitsui Mining & Smelting Co., Ltd. | 3,300 | 88,790 | |||
Mitsui OSK Lines, Ltd. | 10,800 | 300,621 | |||
Mitsui-Soko Holdings Co., Ltd. | 2,000 | 37,966 | |||
Mitsuuroko Group Holdings Co., Ltd. | 3,800 | 45,247 | |||
Miura Co., Ltd. | 4,300 | 150,357 | |||
Miyazaki Bank, Ltd. | 3,100 | 77,931 | |||
Mizuho Financial Group, Inc. | 1,863,700 | 2,886,227 | |||
Mizuno Corp. | 3,400 | 86,443 | |||
Money Forward, Inc. (a) | 2,200 | 106,685 | |||
Monogatari Corp (b) | 700 | 54,493 | |||
MonotaRO Co., Ltd. | 8,200 | 220,553 | |||
Mori Hills REIT Investment Corp. | 81 | 134,534 | |||
Mori Trust Hotel Reit, Inc. | 98 | 135,987 | |||
Mori Trust Sogo Reit, Inc. | 38 | 68,115 | |||
Morinaga & Co., Ltd. | 1,700 | 81,969 | |||
Morinaga Milk Industry Co., Ltd. | 2,300 | 94,180 | |||
Morita Holdings Corp. | 4,400 | 73,850 | |||
MOS Food Services, Inc. | 3,100 | 86,004 | |||
MS&AD Insurance Group Holdings, Inc. | 38,200 | 1,269,291 | |||
MTI, Ltd. | 10,500 | 69,082 | |||
Murata Manufacturing Co., Ltd. | 44,100 | 2,737,507 | |||
Nabtesco Corp. (b) | 9,700 | 291,424 | |||
Nagaileben Co., Ltd. | 3,300 | 72,878 | |||
Nagoya Railroad Co., Ltd. | 15,500 | 483,506 | |||
Nakanishi, Inc. | 4,700 | 90,043 | |||
Nankai Electric Railway Co., Ltd. | 1,000 | 27,292 | |||
Nanto Bank, Ltd. | 3,100 | 79,386 | |||
NEC Capital Solutions, Ltd. | 3,800 | 87,487 | |||
NEC Corp. | 19,600 | 815,201 | |||
NET One Systems Co., Ltd. | 5,300 | 136,408 | |||
Nexon Co., Ltd. (a) | 38,600 | 515,022 | |||
Nextage Co., Ltd. | 6,800 | 80,405 | |||
NGK Insulators, Ltd. | 22,700 | 397,707 | |||
NGK Spark Plug Co., Ltd. | 14,900 | 292,584 | |||
NH Foods, Ltd. | 7,700 | 319,549 | |||
Nichias Corp. | 4,100 | 105,070 | |||
Nichiban Co., Ltd. | 4,600 | 78,899 | |||
Nichiden Corp. | 3,800 | 72,940 | |||
Nichiha Corp. | 2,600 | 64,213 | |||
NichiiGakkan Co., Ltd. | 4,200 | 63,884 | |||
Nichirei Corp. | 4,600 | 107,937 | |||
Nidec Corp. | 17,200 | 2,374,842 | |||
Nihon Chouzai Co., Ltd. | 2,000 | 70,209 | |||
Nihon Kohden Corp. | 5,000 | 139,406 | |||
Nihon M&A Center, Inc. | 10,800 | 374,161 | |||
Nihon Nohyaku Co., Ltd. | 15,600 | 83,401 | |||
Nihon Trim Co., Ltd. | 1,800 | 78,095 |
Security Description | Shares | Value | |||
Nihon Unisys, Ltd. | 3,600 | $113,458 | |||
Nikon Corp. | 25,700 | 317,836 | |||
Nintendo Co., Ltd. | 8,600 | 3,479,568 | |||
Nippon Accommodations Fund, Inc. REIT | 28 | 176,747 | |||
Nippon Building Fund, Inc. REIT | 104 | 760,801 | |||
Nippon Ceramic Co., Ltd. (b) | 2,800 | 69,952 | |||
Nippon Electric Glass Co., Ltd. (b) | 7,500 | 168,461 | |||
Nippon Express Co., Ltd. | 6,400 | 378,081 | |||
Nippon Gas Co., Ltd. | 2,500 | 80,630 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 72,657 | |||
Nippon Koei Co., Ltd. | 2,400 | 82,153 | |||
Nippon Paint Holdings Co., Ltd. (b) | 11,500 | 596,825 | |||
Nippon Paper Industries Co., Ltd. | 5,100 | 86,725 | |||
Nippon Parking Development Co., Ltd. | 44,800 | 63,897 | |||
Nippon Prologis REIT, Inc. | 161 | 409,481 | |||
NIPPON REIT Investment Corp. | 38 | 167,141 | |||
Nippon Road Co., Ltd. (b) | 1,200 | 75,418 | |||
Nippon Sharyo, Ltd. (a) | 2,900 | 86,726 | |||
Nippon Shinyaku Co., Ltd. | 3,200 | 278,850 | |||
Nippon Signal Co., Ltd. | 6,300 | 84,696 | |||
Nippon Steel Corp. | 65,100 | 990,802 | |||
Nippon Suisan Kaisha, Ltd. | 14,200 | 85,193 | |||
Nippon Telegraph & Telephone Corp. | 112,700 | 2,859,111 | |||
Nippon Thompson Co., Ltd. | 17,300 | 82,779 | |||
Nippon Yusen KK | 17,500 | 319,002 | |||
Nishimatsuya Chain Co., Ltd. | 9,000 | 77,681 | |||
Nishimoto Co., Ltd. (b) | 2,200 | 72,372 | |||
Nishio Rent All Co., Ltd. | 2,900 | 83,124 | |||
Nissan Chemical Corp. | 10,900 | 460,874 | |||
Nissan Motor Co., Ltd. | 184,000 | 1,076,995 | |||
Nisshin Seifun Group, Inc. | 16,400 | 287,632 | |||
Nissin Corp. | 4,900 | 85,758 | |||
Nissin Foods Holdings Co., Ltd. | 5,400 | 403,478 | |||
Nitori Holdings Co., Ltd. | 6,200 | 982,701 | |||
Nitto Boseki Co., Ltd. (b) | 2,300 | 98,413 | |||
Nitto Denko Corp. | 12,800 | 727,895 | |||
Nitto Kogyo Corp. | 3,700 | 86,546 | |||
Nittoku Co., Ltd. | 2,600 | 91,033 | |||
NOF Corp. | 2,800 | 94,042 | |||
Nomura Co., Ltd. | 5,300 | 70,959 | |||
Nomura Holdings, Inc. | 258,300 | 1,339,096 | |||
Nomura Real Estate Holdings, Inc. | 11,300 | 272,427 | |||
Nomura Real Estate Master Fund, Inc. REIT | 322 | 549,926 | |||
Nomura Research Institute, Ltd. | 27,400 | 589,475 | |||
Noritz Corp. (b) | 6,800 | 91,480 | |||
NSD Co., Ltd. | 4,800 | 79,415 | |||
NSK, Ltd. | 38,700 | 370,708 |
Security Description | Shares | Value | |||
NTT Data Corp. | 51,300 | $692,497 | |||
NTT DOCOMO, Inc. | 101,400 | 2,834,628 | |||
Obayashi Corp. | 57,200 | 640,556 | |||
Obic Co., Ltd. | 5,200 | 706,253 | |||
Odakyu Electric Railway Co., Ltd. | 24,600 | 577,452 | |||
Oiles Corp. | 4,900 | 74,982 | |||
Oisix ra daichi, Inc. (a) | 400 | 4,468 | |||
Oita Bank, Ltd. | 2,700 | 69,143 | |||
Oji Holdings Corp. | 68,900 | 377,230 | |||
Okabe Co., Ltd. (b) | 8,900 | 75,098 | |||
Okamoto Industries, Inc. | 1,900 | 70,895 | |||
Oki Electric Industry Co., Ltd. | 5,300 | 74,081 | |||
Okinawa Electric Power Co., Inc. | 4,700 | 88,572 | |||
Okuwa Co., Ltd. | 6,200 | 83,522 | |||
Olympus Corp. | 89,500 | 1,390,987 | |||
Omron Corp. | 15,200 | 897,943 | |||
One REIT, Inc. | 31 | 102,121 | |||
Ono Pharmaceutical Co., Ltd. | 30,800 | 709,101 | |||
Open House Co., Ltd. | 4,400 | 126,726 | |||
Optex Group Co., Ltd. | 4,700 | 71,576 | |||
Optorun Co., Ltd. | 2,400 | 66,584 | |||
Oracle Corp. Japan | 2,900 | 265,516 | |||
Organo Corp. | 1,500 | 92,892 | |||
Oriental Land Co., Ltd. | 15,300 | 2,094,907 | |||
ORIX Corp. | 103,700 | 1,728,095 | |||
Orix JREIT, Inc. | 140 | 303,124 | |||
Osaka Gas Co., Ltd. | 30,200 | 581,074 | |||
Osaka Soda Co., Ltd. | 2,700 | 78,261 | |||
Osaki Electric Co., Ltd. | 12,500 | 79,365 | |||
OSJB Holdings Corp. | 38,400 | 95,757 | |||
Otsuka Corp. | 8,900 | 358,293 | |||
Otsuka Holdings Co., Ltd. | 30,700 | 1,379,417 | |||
Outsourcing, Inc. (b) | 8,200 | 87,376 | |||
Oyo Corp. | 6,900 | 97,079 | |||
Pack Corp. (b) | 2,300 | 83,598 | |||
PAL GROUP Holdings Co., Ltd. | 2,200 | 77,230 | |||
PALTAC Corp. | 1,400 | 67,504 | |||
Pan Pacific International Holdings Corp. | 33,200 | 553,257 | |||
Panasonic Corp. | 171,200 | 1,621,812 | |||
Park24 Co., Ltd. | 10,500 | 257,874 | |||
Pasona Group, Inc. (b) | 4,800 | 70,493 | |||
Pepper Food Service Co., Ltd. (b) | 2,300 | 26,646 | |||
PeptiDream, Inc. (a) | 7,200 | 371,014 | |||
Persol Holdings Co., Ltd. | 17,000 | 320,837 | |||
Pigeon Corp. (b) | 9,100 | 336,200 | |||
PKSHA Technology, Inc. (a)(b) | 1,700 | 62,103 | |||
Plenus Co., Ltd. | 4,100 | 73,908 | |||
Pola Orbis Holdings, Inc. | 9,700 | 233,318 | |||
Premier Investment Corp. REIT | 96 | 135,685 | |||
Pressance Corp. | 4,300 | 52,941 | |||
Prestige International, Inc. | 8,800 | 80,166 | |||
Proto Corp. | 3,000 | 33,182 |
Security Description | Shares | Value | |||
Raiznext Corp. | 6,900 | $84,381 | |||
Raksul, Inc. (a) | 2,100 | 72,560 | |||
Rakus Co., Ltd. (b) | 4,800 | 88,381 | |||
Rakuten, Inc. (b) | 66,500 | 572,142 | |||
Raysum Co., Ltd. | 6,800 | 67,202 | |||
Recruit Holdings Co., Ltd. | 103,600 | 3,907,581 | |||
Relia, Inc. | 5,700 | 72,801 | |||
Relo Group, Inc. | 6,200 | 174,005 | |||
Renaissance, Inc. | 5,300 | 85,346 | |||
Renesas Electronics Corp. (a) | 59,800 | 412,698 | |||
Rengo Co., Ltd. | 9,900 | 75,975 | |||
Resona Holdings, Inc. | 175,500 | 773,540 | |||
Retail Partners Co., Ltd. | 8,600 | 70,905 | |||
Rheon Automatic Machinery Co., Ltd. | 4,900 | 71,105 | |||
Ricoh Co., Ltd. | 53,400 | 585,717 | |||
Riken Keiki Co., Ltd. | 3,700 | 80,520 | |||
Riken Vitamin Co., Ltd. | 2,200 | 84,518 | |||
Ringer Hut Co., Ltd. (b) | 4,000 | 92,754 | |||
Rinnai Corp. | 2,600 | 204,555 | |||
Riso Kyoiku Co., Ltd. | 12,100 | 42,978 | |||
Rock Field Co., Ltd. | 6,900 | 97,143 | |||
Rohm Co., Ltd. | 7,500 | 605,935 | |||
Rohto Pharmaceutical Co., Ltd. | 1,500 | 45,825 | |||
Roland DG Corp. | 4,200 | 84,251 | |||
Round One Corp. | 4,900 | 47,704 | |||
Ryohin Keikaku Co., Ltd. | 18,500 | 435,114 | |||
Ryosan Co., Ltd. | 2,800 | 72,812 | |||
Ryoyo Electro Corp. | 4,900 | 91,485 | |||
Saizeriya Co., Ltd. | 2,700 | 66,161 | |||
Sakai Chemical Industry Co., Ltd. (b) | 3,000 | 69,096 | |||
Sakai Moving Service Co., Ltd. (b) | 1,200 | 76,963 | |||
Sakata INX Corp. (b) | 6,900 | 75,429 | |||
SAMTY Co., Ltd. | 4,100 | 84,735 | |||
Samty Residential Investment Corp. REIT | 80 | 84,951 | |||
San ju San Financial Group, Inc. | 5,200 | 82,922 | |||
San-Ai Oil Co., Ltd. | 7,300 | 80,204 | |||
SanBio Co., Ltd. (a)(b) | 2,600 | 62,993 | |||
Sangetsu Corp. | 5,700 | 108,362 | |||
Sanken Electric Co., Ltd. | 3,300 | 101,877 | |||
Sankyo Co., Ltd. | 3,800 | 126,754 | |||
Sankyo Tateyama, Inc. | 6,600 | 74,700 | |||
Sankyu, Inc. | 1,400 | 70,853 | |||
Sanshin Electronics Co., Ltd. | 5,100 | 84,003 | |||
Santen Pharmaceutical Co., Ltd. | 31,000 | 595,040 | |||
Sanwa Holdings Corp. | 6,200 | 70,115 | |||
Sapporo Holdings, Ltd. (b) | 2,700 | 64,075 | |||
Sato Holdings Corp. | 2,600 | 82,061 | |||
SBI Holdings, Inc. | 19,900 | 423,911 | |||
SBS Holdings, Inc. (b) | 4,500 | 78,592 | |||
SCREEN Holdings Co., Ltd. (b) | 2,500 | 172,303 | |||
SCSK Corp. | 500 | 26,087 | |||
Secom Co., Ltd. | 16,400 | 1,475,434 |
Security Description | Shares | Value | |||
Sega Sammy Holdings, Inc. | 18,200 | $265,108 | |||
Seibu Holdings, Inc. | 17,600 | 290,702 | |||
Seiko Epson Corp. | 23,200 | 353,310 | |||
Sekisui Chemical Co., Ltd. | 30,700 | 537,868 | |||
Sekisui House Reit, Inc. | 238 | 200,167 | |||
Sekisui House, Ltd. | 48,600 | 1,043,553 | |||
Sekisui Jushi Corp. | 3,600 | 76,754 | |||
Sekisui Plastics Co., Ltd. | 10,300 | 78,666 | |||
Senko Group Holdings Co., Ltd. | 8,900 | 76,409 | |||
Seria Co., Ltd. | 2,700 | 73,789 | |||
Seven & i Holdings Co., Ltd. | 58,100 | 2,140,090 | |||
Seven Bank, Ltd. | 72,000 | 237,184 | |||
SG Holdings Co., Ltd. | 11,600 | 262,581 | |||
Sharp Corp. (b) | 16,900 | 262,034 | |||
SHIFT, Inc. (a) | 1,300 | 95,459 | |||
Shikoku Bank, Ltd. | 8,000 | 76,853 | |||
Shikoku Chemicals Corp. | 6,600 | 83,810 | |||
Shikoku Electric Power Co., Inc. | 8,500 | 84,316 | |||
Shimadzu Corp. | 17,700 | 560,276 | |||
Shimamura Co., Ltd. | 2,300 | 176,085 | |||
Shimano, Inc. | 5,800 | 948,387 | |||
Shimizu Corp. | 51,800 | 531,942 | |||
Shin-Etsu Chemical Co., Ltd. | 27,900 | 3,096,149 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 103,533 | |||
Shinsei Bank, Ltd. (b) | 14,900 | 229,653 | |||
Shionogi & Co., Ltd. | 21,700 | 1,351,221 | |||
Ship Healthcare Holdings, Inc. | 1,700 | 78,997 | |||
Shiseido Co., Ltd. | 31,000 | 2,219,848 | |||
Shizuoka Bank, Ltd. | 39,800 | 299,576 | |||
Shizuoka Gas Co., Ltd. (b) | 8,100 | 70,882 | |||
Shoei Co., Ltd. (b) | 1,600 | 76,411 | |||
Shoei Foods Corp. | 2,300 | 85,926 | |||
Showa Corp. | 3,400 | 71,082 | |||
Showa Denko KK (b) | 11,800 | 314,775 | |||
Showa Sangyo Co., Ltd. | 2,400 | 68,903 | |||
Sinko Industries, Ltd. | 3,500 | 61,868 | |||
Sintokogio, Ltd. | 7,900 | 77,128 | |||
Skylark Holdings Co., Ltd. (b) | 6,600 | 129,662 | |||
SMC Corp. | 4,400 | 2,036,126 | |||
SMS Co., Ltd. | 5,500 | 153,094 | |||
Sodick Co., Ltd. | 9,700 | 86,936 | |||
Softbank Corp. | 127,800 | 1,716,348 | |||
SoftBank Group Corp. | 120,100 | 5,255,998 | |||
Sogo Medical Holdings Co., Ltd. | 4,400 | 81,502 | |||
Sohgo Security Services Co., Ltd. | 6,100 | 332,294 | |||
Sojitz Corp. | 44,500 | 144,136 | |||
Solasto Corp. | 6,300 | 74,377 | |||
Sompo Holdings, Inc. | 26,600 | 1,052,496 | |||
Sony Corp. | 97,300 | 6,626,338 | |||
Sony Financial Holdings, Inc. | 13,000 | 314,369 | |||
Sosei Group Corp. (a) | 6,100 | 121,860 | |||
S-Pool, Inc. | 7,200 | 55,983 | |||
Square Enix Holdings Co., Ltd. | 7,300 | 364,748 | |||
St Marc Holdings Co., Ltd. | 4,800 | 102,912 |
Security Description | Shares | Value | |||
Stanley Electric Co., Ltd. | 13,000 | $380,400 | |||
Star Asia Investment Corp. REIT (b) | 82 | 88,206 | |||
Star Micronics Co., Ltd. | 4,800 | 69,565 | |||
Starts Corp., Inc. | 2,800 | 71,755 | |||
Starts Proceed Investment Corp. REIT | 62 | 115,357 | |||
Starzen Co., Ltd. | 1,700 | 69,142 | |||
Stella Chemifa Corp. | 2,900 | 85,926 | |||
Strike Co., Ltd. | 1,300 | 65,793 | |||
Studio Alice Co., Ltd. | 4,800 | 83,876 | |||
Subaru Corp. | 47,900 | 1,196,012 | |||
SUMCO Corp. (b) | 23,600 | 396,536 | |||
Sumitomo Bakelite Co., Ltd. | 1,800 | 68,157 | |||
Sumitomo Chemical Co., Ltd. | 135,600 | 621,383 | |||
Sumitomo Corp. | 95,500 | 1,427,118 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 13,200 | 258,716 | |||
Sumitomo Electric Industries, Ltd. | 69,400 | 1,054,969 | |||
Sumitomo Heavy Industries, Ltd. | 9,500 | 273,614 | |||
Sumitomo Metal Mining Co., Ltd. | 18,800 | 613,087 | |||
Sumitomo Mitsui Financial Group, Inc. | 102,700 | 3,815,989 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 27,200 | 1,085,497 | |||
Sumitomo Realty & Development Co., Ltd. | 26,800 | 940,065 | |||
Sumitomo Rubber Industries, Ltd. (b) | 21,500 | 264,509 | |||
Sumitomo Seika Chemicals Co., Ltd. | 2,400 | 78,288 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 69,862 | |||
Sundrug Co., Ltd. | 5,600 | 203,800 | |||
Suntory Beverage & Food, Ltd. | 11,100 | 464,224 | |||
Suruga Bank, Ltd. (a) | 13,500 | 61,863 | |||
Sushiro Global Holdings, Ltd. | 1,900 | 163,819 | |||
Suzuken Co., Ltd. | 6,100 | 250,623 | |||
Suzuki Motor Corp. | 28,500 | 1,197,695 | |||
Sysmex Corp. | 12,800 | 877,361 | |||
Systena Corp. | 4,700 | 76,809 | |||
T Hasegawa Co., Ltd. | 4,000 | 78,436 | |||
T&D Holdings, Inc. | 45,100 | 578,923 | |||
Taihei Dengyo Kaisha, Ltd. | 3,100 | 66,093 | |||
Taiheiyo Cement Corp. | 9,100 | 269,211 | |||
Taisei Corp. | 15,500 | 648,240 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,800 | 283,579 | |||
Taiyo Nippon Sanso Corp. | 10,600 | 236,824 | |||
Taiyo Yuden Co., Ltd. (b) | 9,200 | 284,021 | |||
Takara Bio, Inc. (b) | 5,600 | 105,997 | |||
Takara Holdings, Inc. | 10,300 | 95,252 | |||
Takara Leben Co., Ltd. | 21,500 | 100,304 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 98,864 |
Security Description | Shares | Value | |||
Takasago International Corp. | 2,900 | $67,994 | |||
Takeda Pharmaceutical Co., Ltd. | 115,038 | 4,585,642 | |||
Takuma Co., Ltd. | 6,200 | 74,851 | |||
Tamron Co., Ltd. | 2,900 | 67,220 | |||
Tamura Corp. | 13,300 | 87,504 | |||
Tanseisha Co., Ltd. | 6,300 | 76,580 | |||
Tatsuta Electric Wire and Cable Co., Ltd. | 19,100 | 106,507 | |||
Tayca Corp. | 3,800 | 67,730 | |||
TDK Corp. | 10,100 | 1,151,498 | |||
TechnoPro Holdings, Inc. | 2,400 | 168,944 | |||
Teijin, Ltd. | 18,900 | 355,652 | |||
Teikoku Sen-I Co., Ltd. (b) | 4,100 | 89,149 | |||
Tekken Corp. | 3,100 | 80,499 | |||
Tenma Corp. | 3,800 | 70,528 | |||
Terumo Corp. | 49,800 | 1,780,290 | |||
THK Co., Ltd. | 10,300 | 281,301 | |||
TIS, Inc. | 4,500 | 266,253 | |||
Tobu Railway Co., Ltd. | 16,100 | 585,926 | |||
TOC Co., Ltd. | 8,700 | 71,970 | |||
Tocalo Co., Ltd. | 8,100 | 83,776 | |||
Toho Bank, Ltd. | 30,200 | 75,865 | |||
Toho Co., Ltd. | 9,200 | 384,762 | |||
Toho Gas Co., Ltd. | 6,000 | 246,239 | |||
Tohoku Electric Power Co., Inc. | 35,200 | 350,461 | |||
Tokai Carbon Co., Ltd. (b) | 12,800 | 128,972 | |||
Token Corp. | 1,100 | 74,599 | |||
Tokio Marine Holdings, Inc. | 49,200 | 2,770,230 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 74,718 | |||
Tokuyama Corp. | 3,300 | 86,937 | |||
Tokyo Century Corp. | 3,700 | 199,172 | |||
Tokyo Dome Corp. | 7,300 | 72,950 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 124,800 | 536,293 | |||
Tokyo Electron, Ltd. | 12,100 | 2,663,837 | |||
Tokyo Gas Co., Ltd. | 29,500 | 719,754 | |||
Tokyo Kiraboshi Financial Group, Inc. | 5,600 | 78,789 | |||
Tokyo Ohka Kogyo Co., Ltd. | 2,200 | 86,644 | |||
Tokyo Seimitsu Co., Ltd. | 2,400 | 94,079 | |||
Tokyo Tatemono Co., Ltd. (b) | 9,700 | 152,540 | |||
Tokyu Corp. | 40,300 | 748,707 | |||
Tokyu Fudosan Holdings Corp. | 52,900 | 367,513 | |||
Tokyu REIT, Inc. | 63 | 119,362 | |||
TOMONY Holdings, Inc. | 28,300 | 108,330 | |||
Tomy Co., Ltd. | 8,100 | 105,615 | |||
Tonami Holdings Co., Ltd. | 1,700 | 84,628 | |||
Topcon Corp. | 7,000 | 91,659 | |||
Toppan Printing Co., Ltd. | 22,200 | 461,874 | |||
Toray Industries, Inc. | 109,600 | 747,408 | |||
Tosei Corp. | 5,700 | 78,255 | |||
Toshiba Corp. | 38,100 | 1,298,923 | |||
Tosoh Corp. | 27,200 | 424,237 | |||
TOTO, Ltd. | 11,900 | 508,084 | |||
Towa Bank, Ltd. | 9,500 | 76,227 | |||
Toyo Construction Co., Ltd. | 16,800 | 80,850 |
Security Description | Shares | Value | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | $288,696 | |||
Toyo Suisan Kaisha, Ltd. | 8,200 | 349,354 | |||
Toyoda Gosei Co., Ltd. | 5,300 | 133,872 | |||
Toyota Industries Corp. | 13,100 | 763,037 | |||
Toyota Motor Corp. | 175,988 | 12,492,031 | |||
Toyota Tsusho Corp. | 17,600 | 625,130 | |||
Trancom Co., Ltd. | 1,300 | 98,928 | |||
Trend Micro, Inc. | 10,500 | 541,063 | |||
Trusco Nakayama Corp. | 2,900 | 74,772 | |||
Trust Tech, Inc. | 5,700 | 66,716 | |||
Tsubaki Nakashima Co., Ltd. (b) | 4,800 | 70,625 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 78,999 | |||
Tsukui Corp. | 17,600 | 95,875 | |||
Tsuruha Holdings, Inc. (b) | 2,800 | 361,224 | |||
UKC Holdings Corp. (b) | 4,300 | 80,322 | |||
Ulvac, Inc. | 2,100 | 83,961 | |||
Unicharm Corp. | 31,400 | 1,069,059 | |||
Union Tool Co. (b) | 2,400 | 75,086 | |||
United Arrows, Ltd. | 2,300 | 65,397 | |||
United Urban Investment Corp. REIT | 243 | 455,255 | |||
Unizo Holdings Co., Ltd. | 2,000 | 94,226 | |||
USS Co., Ltd. | 18,800 | 357,403 | |||
UT Group Co., Ltd. | 3,200 | 96,876 | |||
UUUM, Inc. (a)(b) | 1,500 | 65,700 | |||
Valqua, Ltd. | 4,600 | 111,111 | |||
ValueCommerce Co., Ltd. (b) | 1,500 | 32,353 | |||
Vector, Inc. (a) | 3,200 | 31,389 | |||
Vision, Inc. (a) | 2,300 | 38,349 | |||
Vital KSK Holdings, Inc. | 7,300 | 70,464 | |||
VT Holdings Co., Ltd. | 20,000 | 89,441 | |||
Wakita & Co., Ltd. | 7,000 | 72,013 | |||
Warabeya Nichiyo Holdings Co., Ltd. | 5,500 | 88,213 | |||
WATAMI Co., Ltd. | 10,500 | 125,314 | |||
WDB Holdings Co., Ltd. (b) | 2,600 | 64,788 | |||
Welcia Holdings Co., Ltd. | 4,500 | 287,785 | |||
West Japan Railway Co. | 13,000 | 1,129,358 | |||
World Co., Ltd. | 3,100 | 76,762 | |||
Xebio Holdings Co., Ltd. | 7,300 | 88,668 | |||
Yakult Honsha Co., Ltd. | 9,900 | 549,317 | |||
YAKUODO Holdings Co., Ltd. | 3,100 | 69,659 | |||
YAMABIKO Corp. (b) | 6,300 | 69,333 | |||
YAMADA Consulting Group Co., Ltd. (b) | 4,400 | 65,631 | |||
Yamada Denki Co., Ltd. | 59,400 | 315,925 | |||
Yamagata Bank, Ltd. | 5,300 | 78,957 | |||
Yamaha Corp. | 11,600 | 648,981 | |||
Yamaha Motor Co., Ltd. (b) | 23,700 | 480,433 | |||
Yamanashi Chuo Bank, Ltd. | 7,300 | 78,592 | |||
Yamashin-Filter Corp. (b) | 8,400 | 66,937 | |||
Yamato Holdings Co., Ltd. | 25,400 | 436,363 | |||
Yamazaki Baking Co., Ltd. | 11,200 | 200,863 | |||
Yamazen Corp. | 8,300 | 83,630 | |||
Yaskawa Electric Corp. | 18,900 | 725,217 |
Security Description | Shares | Value | |||
Yellow Hat, Ltd. | 4,700 | $84,680 | |||
Yokogawa Electric Corp. | 19,200 | 340,803 | |||
Yokohama Reito Co., Ltd. (b) | 11,000 | 101,219 | |||
Yokohama Rubber Co., Ltd. | 10,800 | 211,776 | |||
Yokowo Co., Ltd. | 1,700 | 50,761 | |||
Yomiuri Land Co., Ltd. | 2,600 | 108,378 | |||
Yonex Co., Ltd. (b) | 14,000 | 88,631 | |||
Yoshinoya Holdings Co., Ltd. | 3,700 | 98,803 | |||
Yuasa Trading Co., Ltd. | 3,200 | 108,507 | |||
Yumeshin Holdings Co., Ltd. (b) | 8,100 | 66,112 | |||
Yushin Precision Equipment Co., Ltd. | 8,100 | 75,801 | |||
Z Holdings Corp. | 204,300 | 866,642 | |||
Zenkoku Hosho Co., Ltd. | 2,100 | 89,855 | |||
Zensho Holdings Co., Ltd. | 3,300 | 74,973 | |||
Zeon Corp. | 5,900 | 74,161 | |||
ZIGExN Co., Ltd. | 13,400 | 67,200 | |||
Zojirushi Corp. (b) | 5,000 | 94,686 | |||
ZOZO, Inc. | 8,300 | 159,394 | |||
338,928,457 | |||||
JORDAN — 0.0% (e) | |||||
Hikma Pharmaceuticals PLC | 9,140 | 241,075 | |||
KAZAKHSTAN — 0.0% (e) | |||||
KAZ Minerals PLC | 18,265 | 128,581 | |||
LIECHTENSTEIN — 0.0% (e) | |||||
Liechtensteinische Landesbank AG | 1,120 | 72,172 | |||
LUXEMBOURG — 0.1% | |||||
APERAM SA | 2,741 | 87,719 | |||
ArcelorMittal SA | 52,380 | 919,695 | |||
Corp. America Airports SA (a) | 4,896 | 29,376 | |||
Eurofins Scientific SE (b) | 905 | 502,039 | |||
Millicom International Cellular SA SDR | 7,354 | 352,418 | |||
Reinet Investments SCA | 15,345 | 304,519 | |||
SES SA | 28,118 | 394,531 | |||
Solutions 30 SE (a)(b) | 7,448 | 83,269 | |||
Tenaris SA | 37,542 | 423,516 | |||
3,097,082 | |||||
MACAU — 0.0% (e) | |||||
Wynn Macau, Ltd. | 124,400 | 306,538 | |||
MALAYSIA — 0.5% | |||||
AirAsia Group Bhd | 140,400 | 58,350 | |||
Alliance Bank Malaysia Bhd | 140,600 | 90,399 | |||
AMMB Holdings Bhd | 132,400 | 126,558 | |||
Axiata Group Bhd | 190,711 | 193,019 | |||
Berjaya Corp. Bhd (a) | 1,246,700 | 76,195 | |||
Berjaya Sports Toto Bhd | 114,400 | 72,155 | |||
BerMaz Motor Sdn Bhd | 173,300 | 88,970 | |||
British American Tobacco Malaysia Bhd | 23,500 | 86,635 | |||
Carlsberg Brewery Malaysia Bhd Class B | 11,200 | 80,499 | |||
CIMB Group Holdings Bhd | 359,848 | 453,054 |
Security Description | Shares | Value | |||
Dialog Group Bhd | 232,400 | $196,010 | |||
DiGi.Com Bhd | 217,800 | 237,474 | |||
Eco World Development Group Bhd (a) | 487,200 | 88,733 | |||
Fraser & Neave Holdings Bhd | 17,600 | 149,904 | |||
Gamuda Bhd | 128,616 | 122,626 | |||
Genting Bhd | 190,200 | 281,313 | |||
Genting Malaysia Bhd | 259,500 | 208,716 | |||
Genting Plantations Bhd | 900 | 2,328 | |||
Globetronics Technology Bhd | 140,900 | 80,258 | |||
HAP Seng Consolidated Bhd | 66,200 | 161,515 | |||
Hartalega Holdings Bhd | 138,200 | 185,145 | |||
Hengyuan Refining Co. Bhd (a) | 67,000 | 69,121 | |||
Hibiscus Petroleum Bhd (a) | 308,400 | 70,871 | |||
Hong Leong Bank Bhd | 37,832 | 160,003 | |||
Hong Leong Financial Group Bhd | 20,700 | 85,523 | |||
IGB Real Estate Investment Trust | 237,700 | 109,828 | |||
IHH Healthcare Bhd | 160,100 | 214,093 | |||
IJM Corp. Bhd | 331,300 | 175,754 | |||
Inari Amertron Bhd | 243,500 | 101,198 | |||
IOI Corp. Bhd | 149,800 | 168,825 | |||
Kuala Lumpur Kepong Bhd | 43,300 | 262,520 | |||
Magnum Bhd | 109,300 | 68,672 | |||
Malayan Banking Bhd | 257,264 | 543,396 | |||
Malaysia Airports Holdings Bhd | 66,124 | 122,856 | |||
Maxis Bhd | 145,300 | 188,973 | |||
MISC Bhd | 86,500 | 176,574 | |||
My EG Services Bhd | 206,300 | 55,477 | |||
Nestle Malaysia Bhd | 6,300 | 226,403 | |||
Pavilion Real Estate Investment Trust | 207,000 | 88,053 | |||
Petronas Chemicals Group Bhd | 170,900 | 307,081 | |||
Petronas Dagangan Bhd | 22,600 | 127,627 | |||
Petronas Gas Bhd | 53,600 | 217,781 | |||
PPB Group Bhd | 44,280 | 203,945 | |||
Press Metal Aluminium Holdings Bhd | 136,100 | 154,716 | |||
Public Bank Bhd | 226,400 | 1,075,960 | |||
QL Resources Bhd | 61,700 | 122,631 | |||
RHB Bank Bhd | 128,959 | 182,223 | |||
Sime Darby Bhd | 142,535 | 77,357 | |||
Sime Darby Plantation Bhd | 131,135 | 174,718 | |||
Sime Darby Property Bhd | 142,535 | 31,883 | |||
SKP Resources Bhd | 271,300 | 90,201 | |||
SP Setia Bhd Group | 134,214 | 52,498 | |||
Sunway Real Estate Investment Trust | 264,700 | 117,774 | |||
Supermax Corp. Bhd | 189,470 | 64,384 | |||
Telekom Malaysia Bhd | 91,003 | 84,985 | |||
Tenaga Nasional Bhd | 235,900 | 764,707 | |||
TIME dotCom Bhd | 41,100 | 92,639 | |||
Top Glove Corp. Bhd | 123,600 | 142,017 | |||
ViTrox Corp. Bhd | 35,300 | 68,348 | |||
VS Industry Bhd | 222,000 | 72,725 | |||
Westports Holdings Bhd | 92,500 | 95,202 |
Security Description | Shares | Value | |||
Yinson Holdings Bhd | 43,900 | $69,545 | |||
YTL Corp. Bhd | 36,408 | 8,723 | |||
10,327,666 | |||||
MALTA — 0.0% (e) | |||||
Kindred Group PLC | 18,874 | 115,651 | |||
MEXICO — 0.6% | |||||
Alfa SAB de CV Class A | 218,200 | 180,948 | |||
Alsea SAB de CV (a) | 45,700 | 120,591 | |||
America Movil SAB de CV Series L | 2,630,500 | 2,103,397 | |||
Arca Continental SAB de CV | 54,500 | 288,633 | |||
Cemex SAB de CV Series CPO | 1,325,364 | 496,906 | |||
Coca-Cola Femsa SAB de CV | 62,500 | 379,951 | |||
Controladora Vuela Cia de Aviacion SAB de CV Class A (a) | 71,100 | 74,474 | |||
El Puerto de Liverpool SAB de CV Series C1 (b) | 24,300 | 120,702 | |||
Fibra Uno Administracion SA de CV REIT | 265,500 | 411,663 | |||
Fomento Economico Mexicano SAB de CV | 156,300 | 1,476,010 | |||
Gentera SAB de CV | 114,600 | 117,671 | |||
Gruma SAB de CV Class B | 24,445 | 250,858 | |||
Grupo Aeroportuario del Centro Norte SAB de CV | 7,500 | 56,222 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 30,700 | 365,379 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 17,620 | 330,529 | |||
Grupo Bimbo SAB de CV Class A (b) | 137,100 | 250,111 | |||
Grupo Carso SAB de CV Series A1 | 33,700 | 124,724 | |||
Grupo Financiero Banorte SAB de CV Series O | 201,000 | 1,123,573 | |||
Grupo Financiero Inbursa SAB de CV Series O | 190,100 | 233,548 | |||
Grupo Mexico SAB de CV Class B | 279,400 | 769,075 | |||
Grupo Televisa SAB Series CPO | 195,100 | 457,995 | |||
Industrias Penoles SAB de CV | 10,095 | 105,857 | |||
Infraestructura Energetica Nova SAB de CV | 45,800 | 215,321 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 125,400 | 249,884 | |||
Macquarie Mexico Real Estate Management SA de CV REIT (d) | 51,200 | 67,023 | |||
Megacable Holdings SAB de CV | 45,900 | 188,228 | |||
Orbia Advance Corp. SAB de CV | 82,157 | 175,417 | |||
PLA Administradora Industrial S de RL de CV REIT | 49,400 | 81,095 | |||
Promotora y Operadora de Infraestructura SAB de CV | 26,395 | 270,492 |
Security Description | Shares | Value | |||
Wal-Mart de Mexico SAB de CV | 409,700 | $1,177,638 | |||
12,263,915 | |||||
NETHERLANDS — 2.9% | |||||
Aalberts NV | 3,767 | 169,180 | |||
ABN AMRO Bank NV (d) | 35,221 | 641,267 | |||
Accell Group NV | 2,918 | 84,507 | |||
Adyen NV (a)(b)(d) | 830 | 681,054 | |||
Aegon NV | 157,174 | 717,532 | |||
Akzo Nobel NV | 18,201 | 1,851,831 | |||
Altice Europe NV (a) | 57,747 | 372,591 | |||
Arcadis NV | 3,904 | 91,063 | |||
Argenx SE (a) | 3,471 | 559,494 | |||
ASM International NV | 2,464 | 276,999 | |||
ASML Holding NV | 32,657 | 9,666,574 | |||
ASR Nederland NV | 7,281 | 272,649 | |||
Basic-Fit NV (a)(d) | 2,445 | 92,902 | |||
BE Semiconductor Industries NV | 4,001 | 154,764 | |||
Brack Capital Properties NV (a) | 593 | 60,776 | |||
Corbion NV | 2,466 | 77,838 | |||
Eurocommercial Properties NV REIT | 4,112 | 115,393 | |||
Euronext NV (d) | 2,149 | 175,250 | |||
EXOR NV | 9,071 | 703,386 | |||
Flow Traders (d) | 2,816 | 68,087 | |||
Fugro NV (a) | 10,722 | 120,090 | |||
Heineken Holding NV | 9,667 | 937,544 | |||
Heineken NV | 20,266 | 2,159,295 | |||
IMCD NV | 2,718 | 237,364 | |||
ING Groep NV | 303,265 | 3,638,353 | |||
Intertrust NV (d) | 3,887 | 75,526 | |||
InterXion Holding NV (a) | 4,400 | 368,764 | |||
Koninklijke Ahold Delhaize NV | 92,035 | 2,303,279 | |||
Koninklijke DSM NV | 14,319 | 1,866,083 | |||
Koninklijke KPN NV | 288,966 | 853,402 | |||
Koninklijke Philips NV | 70,358 | 3,437,071 | |||
Koninklijke Vopak NV | 5,679 | 308,088 | |||
NN Group NV | 26,576 | 1,008,903 | |||
NSI NV REIT | 1,602 | 78,044 | |||
NXP Semiconductors NV | 21,454 | 2,730,236 | |||
OCI NV (a) | 3,770 | 79,347 | |||
Pharming Group NV (a) | 79,859 | 140,513 | |||
PostNL NV | 37,836 | 85,451 | |||
Prosus NV (a) | 37,425 | 2,794,895 | |||
Randstad NV | 10,038 | 613,411 | |||
Royal Dutch Shell PLC Class A | 292,969 | 8,674,278 | |||
Royal Dutch Shell PLC Class B | 318,185 | 9,439,846 | |||
SBM Offshore NV | 9,410 | 175,236 | |||
Shop Apotheke Europe NV (a)(d) | 1,829 | 89,308 | |||
SIF Holding NV | 5,076 | 71,223 | |||
Signify NV (d) | 7,990 | 249,870 | |||
Takeaway.com NV (a)(b)(d) | 2,581 | 238,147 | |||
TKH Group NV | 1,564 | 87,604 | |||
TomTom NV (a) | 6,283 | 66,436 |
Security Description | Shares | Value | |||
Vastned Retail NV REIT | 2,401 | $71,960 | |||
Wolters Kluwer NV | 21,986 | 1,604,646 | |||
61,437,350 | |||||
NEW ZEALAND — 0.2% | |||||
a2 Milk Co., Ltd. (a)(b) | 55,901 | 566,458 | |||
Air New Zealand, Ltd. | 39,625 | 78,328 | |||
Argosy Property, Ltd. | 73,333 | 68,274 | |||
Auckland International Airport, Ltd. | 69,639 | 411,092 | |||
Chorus, Ltd. | 37,139 | 154,845 | |||
Contact Energy, Ltd. | 48,333 | 232,494 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 43,092 | 645,399 | |||
Fletcher Building, Ltd. | 64,807 | 222,545 | |||
Genesis Energy, Ltd. | 43,952 | 89,698 | |||
Goodman Property Trust REIT | 64,999 | 97,350 | |||
Infratil, Ltd. | 59,377 | 201,896 | |||
Kiwi Property Group, Ltd. | 146,941 | 154,649 | |||
Mercury NZ, Ltd. | 43,480 | 148,136 | |||
Meridian Energy, Ltd. | 89,037 | 300,344 | |||
Metlifecare, Ltd. | 25,266 | 116,422 | |||
New Zealand Refining Co., Ltd. | 46,675 | 59,200 | |||
Precinct Properties New Zealand, Ltd. | 115,966 | 143,564 | |||
Pushpay Holdings, Ltd. (a) | 35,356 | 95,889 | |||
Ryman Healthcare, Ltd. | 36,039 | 397,043 | |||
SKY Network Television, Ltd. | 98,806 | 47,328 | |||
SKYCITY Entertainment Group, Ltd. | 46,759 | 125,237 | |||
Spark New Zealand, Ltd. | 131,492 | 384,119 | |||
Summerset Group Holdings, Ltd. | 23,031 | 138,287 | |||
Synlait Milk, Ltd. (a) | 12,214 | 73,255 | |||
Z Energy, Ltd. | 34,119 | 101,281 | |||
5,053,133 | |||||
NORWAY — 0.5% | |||||
Aker BP ASA | 8,518 | 279,174 | |||
Atea ASA (a) | 5,283 | 77,315 | |||
Austevoll Seafood ASA | 4,948 | 50,706 | |||
Axactor SE (a) | 31,604 | 68,335 | |||
B2Holding ASA (b) | 14,628 | 15,906 | |||
Borregaard ASA | 6,265 | 67,731 | |||
BW Offshore, Ltd. (a) | 10,003 | 75,131 | |||
DNB ASA | 73,938 | 1,379,927 | |||
DNO ASA | 50,331 | 66,269 | |||
Entra ASA (d) | 5,730 | 94,551 | |||
Equinor ASA | 75,266 | 1,503,213 | |||
Europris ASA (d) | 25,386 | 99,668 | |||
Fjordkraft Holding ASA (d) | 8,055 | 53,166 | |||
Frontline, Ltd. | 6,937 | 87,548 | |||
Gjensidige Forsikring ASA | 17,734 | 371,842 | |||
Grieg Seafood ASA | 5,761 | 91,981 | |||
Hoegh LNG Holdings, Ltd. | 15,159 | 57,791 | |||
Kongsberg Gruppen ASA | 4,994 | 78,428 | |||
Kvaerner ASA | 56,942 | 72,058 |
Security Description | Shares | Value | |||
Leroy Seafood Group ASA | 17,233 | $114,334 | |||
Mowi ASA | 34,907 | 906,510 | |||
NEL ASA (a) | 115,394 | 113,591 | |||
Nordic Semiconductor ASA (a) | 12,998 | 82,390 | |||
Norsk Hydro ASA | 110,116 | 409,021 | |||
Norwegian Finans Holding ASA (a) | 13,593 | 147,419 | |||
Odfjell Drilling, Ltd. (a) | 17,234 | 64,172 | |||
Orkla ASA | 64,009 | 648,008 | |||
PGS ASA (a) | 50,251 | 98,360 | |||
Protector Forsikring ASA (a) | 9,425 | 56,256 | |||
Salmar ASA | 3,775 | 193,018 | |||
Sbanken ASA (d) | 8,291 | 70,387 | |||
Scatec Solar ASA (d) | 6,250 | 88,267 | |||
Schibsted ASA Class B | 7,902 | 226,432 | |||
Selvaag Bolig ASA | 6,732 | 56,692 | |||
SpareBank 1 Nord Norge | 9,611 | 85,858 | |||
SpareBank 1 SMN | 10,865 | 123,892 | |||
SpareBank 1 SR-Bank ASA | 7,015 | 79,831 | |||
Storebrand ASA | 11,354 | 89,180 | |||
Telenor ASA | 56,191 | 1,006,825 | |||
TGS Nopec Geophysical Co. ASA | 8,279 | 251,650 | |||
Tomra Systems ASA | 6,675 | 211,478 | |||
Veidekke ASA | 6,993 | 95,099 | |||
Yara International ASA | 14,270 | 593,061 | |||
10,402,471 | |||||
PAKISTAN — 0.0% (e) | |||||
Bank Alfalah, Ltd. | 325,000 | 95,906 | |||
Habib Bank, Ltd. | 53,000 | 53,875 | |||
MCB Bank, Ltd. | 39,200 | 51,875 | |||
Millat Tractors, Ltd. | 5,850 | 26,609 | |||
Nishat Mills, Ltd. | 114,900 | 78,749 | |||
Oil & Gas Development Co., Ltd. | 90,100 | 82,801 | |||
Pakistan Oilfields, Ltd. | 24,150 | 69,663 | |||
Pakistan State Oil Co., Ltd. | 58,500 | 72,392 | |||
531,870 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR | 15,800 | 238,580 | |||
Credicorp, Ltd. | 5,400 | 1,150,902 | |||
Hochschild Mining PLC | 31,281 | 75,834 | |||
Southern Copper Corp. | 7,000 | 297,360 | |||
1,762,676 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 183,263 | |||
Aboitiz Power Corp. | 208,000 | 140,460 | |||
Alliance Global Group, Inc. (a) | 450,900 | 103,811 | |||
Altus San Nicolas Corp. (a) | 3,778 | 387 | |||
Ayala Corp. | 25,640 | 397,674 | |||
Ayala Land, Inc. | 567,000 | 509,399 | |||
Bank of the Philippine Islands | 68,567 | 119,006 | |||
BDO Unibank, Inc. | 146,483 | 456,991 |
Security Description | Shares | Value | |||
Globe Telecom, Inc. | 2,995 | $119,457 | |||
GT Capital Holdings, Inc. | 6,657 | 111,333 | |||
International Container Terminal Services, Inc. | 76,460 | 194,151 | |||
JG Summit Holdings, Inc. | 250,410 | 399,509 | |||
Jollibee Foods Corp. | 33,510 | 142,920 | |||
Manila Electric Co. | 24,040 | 150,472 | |||
Megaworld Corp. | 1,020,000 | 80,762 | |||
Metro Pacific Investments Corp. | 974,000 | 66,927 | |||
Metropolitan Bank & Trust Co. | 134,886 | 176,581 | |||
PLDT, Inc. | 6,380 | 124,463 | |||
Robinsons Land Corp. | 196,244 | 106,753 | |||
Security Bank Corp. | 5,920 | 22,794 | |||
SM Investments Corp. | 16,835 | 346,706 | |||
SM Prime Holdings, Inc. | 763,800 | 634,929 | |||
Universal Robina Corp. | 80,890 | 231,593 | |||
4,820,341 | |||||
POLAND — 0.2% | |||||
Alior Bank SA (a) | 13,668 | 103,503 | |||
Bank Millennium SA (a) | 64,815 | 100,116 | |||
Bank Polska Kasa Opieki SA | 14,812 | 392,857 | |||
CCC SA | 4,227 | 122,771 | |||
CD Projekt SA | 5,333 | 393,572 | |||
Cyfrowy Polsat SA | 22,810 | 168,276 | |||
Dino Polska SA (a)(d) | 4,010 | 152,467 | |||
Grupa Lotos SA | 7,458 | 164,587 | |||
Jastrzebska Spolka Weglowa SA | 9,529 | 53,793 | |||
KGHM Polska Miedz SA (a) | 10,428 | 263,171 | |||
LPP SA | 100 | 232,884 | |||
mBank SA (a) | 1,138 | 117,006 | |||
Orange Polska SA (a) | 52,083 | 97,914 | |||
PGE Polska Grupa Energetyczna SA (a) | 65,340 | 137,329 | |||
PLAY Communications SA (d) | 5,658 | 52,288 | |||
Polski Koncern Naftowy ORLEN SA | 23,216 | 526,073 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 131,811 | 150,629 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 70,533 | 641,768 | |||
Powszechny Zaklad Ubezpieczen SA | 52,889 | 559,012 | |||
Santander Bank Polska SA | 3,603 | 292,441 | |||
4,722,457 | |||||
PORTUGAL — 0.1% | |||||
Banco Comercial Portugues SA Class R | 427,256 | 97,262 | |||
CTT-Correios de Portugal SA | 13,428 | 48,082 | |||
EDP - Energias de Portugal SA | 229,074 | 993,571 | |||
Galp Energia SGPS SA | 41,870 | 700,286 | |||
Jeronimo Martins SGPS SA | 26,225 | 431,702 | |||
2,270,903 | |||||
QATAR — 0.2% | |||||
Al Meera Consumer Goods Co. QSC | 25,614 | 107,634 |
Security Description | Shares | Value | |||
Barwa Real Estate Co. | 230,600 | $224,203 | |||
Commercial Bank PQSC | 165,450 | 213,572 | |||
Doha Bank QPSC | 98,027 | 68,115 | |||
Gulf International Services QSC (a) | 149,047 | 70,410 | |||
Industries Qatar QSC | 139,140 | 392,848 | |||
Masraf Al Rayan QSC | 321,190 | 349,331 | |||
Mesaieed Petrochemical Holding Co. | 329,378 | 227,064 | |||
Ooredoo QSC | 58,320 | 113,404 | |||
Qatar Electricity & Water Co. QSC | 43,520 | 192,320 | |||
Qatar Fuel QSC | 33,948 | 213,515 | |||
Qatar Gas Transport Co., Ltd. | 107,088 | 70,294 | |||
Qatar Insurance Co. SAQ | 97,370 | 84,507 | |||
Qatar International Islamic Bank QSC | 40,744 | 108,322 | |||
Qatar Islamic Bank SAQ | 104,670 | 440,701 | |||
Qatar National Bank QPSC | 341,306 | 1,930,099 | |||
Qatar Navigation QSC | 38,565 | 64,610 | |||
Vodafone Qatar QSC | 240,260 | 76,545 | |||
4,947,494 | |||||
ROMANIA — 0.0% (e) | |||||
NEPI Rockcastle PLC | 28,733 | 254,443 | |||
RUSSIA — 1.0% | |||||
Alrosa PJSC | 223,022 | 302,587 | |||
Evraz PLC | 37,704 | 201,792 | |||
Gazprom PJSC ADR | 845 | 6,953 | |||
Gazprom PJSC | 819,060 | 3,381,407 | |||
Inter RAO UES PJSC | 2,290,000 | 184,771 | |||
LUKOIL PJSC | 32,561 | 3,226,153 | |||
Magnit PJSC GDR | 27,548 | 332,091 | |||
Magnitogorsk Iron & Steel Works PJSC | 226,900 | 153,376 | |||
MMC Norilsk Nickel PJSC | 6,245 | 1,923,232 | |||
Mobile TeleSystems PJSC ADR | 26,400 | 267,960 | |||
Mobile TeleSystems PJSC | 31,200 | 160,744 | |||
Moscow Exchange MICEX | 132,585 | 229,879 | |||
Novatek PJSC GDR | 7,270 | 1,475,810 | |||
Novolipetsk Steel PJSC | 113,250 | 261,722 | |||
PhosAgro PJSC GDR | 11,644 | 147,879 | |||
Polymetal International PLC | 17,213 | 272,495 | |||
Polyus PJSC (a) | 2,617 | 299,110 | |||
Rosneft Oil Co. PJSC | 120,780 | 874,573 | |||
Sberbank of Russia PJSC | 831,560 | 3,410,786 | |||
Severstal PJSC | 18,520 | 279,926 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 488,857 | |||
Surgutneftegas PJSC | 888,900 | 722,440 | |||
Tatneft PJSC | 129,220 | 1,579,902 | |||
Transneft PJSC Preference Shares | 30 | 85,250 | |||
VTB Bank PJSC | 437,390,000 | 323,231 | |||
X5 Retail Group NV GDR | 9,438 | 325,611 | |||
20,918,537 |
Security Description | Shares | Value | |||
SAUDI ARABIA — 0.7% | |||||
Abdullah Al Othaim Markets Co. | 1,991 | $43,256 | |||
Advanced Petrochemical Co. | 8,106 | 106,746 | |||
Al Hammadi Co. for Development and Investment (a) | 20,250 | 113,577 | |||
Al Rajhi Bank | 89,714 | 1,564,070 | |||
Al Rajhi Co. for Co-operative Insurance (a) | 4,209 | 71,248 | |||
Aldrees Petroleum and Transport Services Co. | 5,468 | 91,102 | |||
Alinma Bank | 42,891 | 289,843 | |||
Almarai Co. JSC | 10,681 | 140,940 | |||
Alujain Corp. (a) | 7,396 | 59,148 | |||
Arab National Bank | 43,104 | 314,837 | |||
Arabian Cement Co. | 9,227 | 90,516 | |||
Arriyadh Development Co. | 18,294 | 73,151 | |||
Aseer Trading Tourism & Manufacturing Co. (a) | 26,480 | 64,095 | |||
Bank AlBilad | 27,799 | 199,342 | |||
Bank Al-Jazira | 22,911 | 91,857 | |||
Banque Saudi Fransi | 41,562 | 419,908 | |||
Bupa Arabia for Cooperative Insurance Co. | 2,387 | 65,158 | |||
City Cement Co. | 8,580 | 40,941 | |||
Co. for Cooperative Insurance (a) | 5,049 | 103,233 | |||
Dallah Healthcare Co. | 6,173 | 77,012 | |||
Dar Al Arkan Real Estate Development Co. (a) | 39,088 | 114,618 | |||
Dur Hospitality Co. | 12,960 | 80,842 | |||
Eastern Province Cement Co. | 9,470 | 90,880 | |||
Emaar Economic City (a) | 34,732 | 88,420 | |||
Etihad Etisalat Co. (a) | 32,700 | 217,924 | |||
Fawaz Abdulaziz Al Hokair & Co. (a) | 11,570 | 78,957 | |||
Herfy Food Services Co. | 2,033 | 29,102 | |||
Jarir Marketing Co. | 4,275 | 188,719 | |||
Leejam Sports Co. JSC | 3,769 | 81,483 | |||
Maharah Human Resources Co. | 2,209 | 50,701 | |||
Middle East Healthcare Co. (a) | 11,802 | 93,439 | |||
Mobile Telecommunications Co. (a) | 33,673 | 105,382 | |||
Mouwasat Medical Services Co. | 4,245 | 99,581 | |||
Najran Cement Co. (a) | 15,550 | 49,577 | |||
National Agriculture Development Co (a) | 17,326 | 127,475 | |||
National Commercial Bank | 88,573 | 1,162,856 | |||
National Gas & Industrialization Co. | 2,926 | 24,102 | |||
National Medical Care Co. | 5,781 | 74,896 | |||
Northern Region Cement Co. (a) | 17,439 | 55,042 | |||
Qassim Cement Co. | 1,837 | 32,369 | |||
Rabigh Refining & Petrochemical Co. (a) | 13,507 | 77,989 | |||
Riyad Bank | 92,279 | 590,381 |
Security Description | Shares | Value | |||
Sahara International Petrochemical Co. | 26,583 | $127,271 | |||
Samba Financial Group | 73,401 | 634,943 | |||
Saudi Airlines Catering Co. | 4,009 | 109,862 | |||
Saudi Arabian Fertilizer Co. | 11,100 | 229,321 | |||
Saudi Arabian Mining Co. (a) | 30,553 | 361,622 | |||
Saudi Arabian Oil Co. (a)(d) | 50,030 | 470,119 | |||
Saudi Basic Industries Corp. | 53,789 | 1,346,410 | |||
Saudi British Bank | 48,448 | 448,150 | |||
Saudi Cement Co. | 5,941 | 111,019 | |||
Saudi Ceramic Co. (a) | 1,873 | 18,099 | |||
Saudi Chemical Co. Holding (a) | 16,716 | 106,856 | |||
Saudi Co. For Hardware CJSC | 5,311 | 73,762 | |||
Saudi Electricity Co. | 39,000 | 210,215 | |||
Saudi Industrial Investment Group | 16,632 | 106,408 | |||
Saudi Kayan Petrochemical Co. (a) | 32,586 | 96,421 | |||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 73,782 | |||
Saudi Public Transport Co. (a) | 5,953 | 28,533 | |||
Saudi Real Estate Co. (a) | 15,161 | 55,127 | |||
Saudi Research & Marketing Group (a) | 4,483 | 92,856 | |||
Saudi Telecom Co. | 28,949 | 785,597 | |||
Saudia Dairy & Foodstuff Co. | 534 | 20,356 | |||
Savola Group (a) | 18,971 | 173,714 | |||
Seera Group Holding | 14,011 | 81,796 | |||
Southern Province Cement Co. | 6,007 | 103,124 | |||
United Electronics Co. | 4,731 | 94,461 | |||
United International Transportation Co. | 1,592 | 15,490 | |||
Yamama Cement Co. (a) | 14,880 | 102,736 | |||
Yanbu Cement Co. | 10,069 | 102,400 | |||
Yanbu National Petrochemical Co. | 9,301 | 138,599 | |||
13,853,764 | |||||
SINGAPORE — 0.8% | |||||
Ascendas Real Estate Investment Trust | 228,851 | 505,475 | |||
Ascott Residence Trust Unit | 82,517 | 82,232 | |||
BOC Aviation, Ltd. (d) | 14,300 | 145,445 | |||
BW LPG, Ltd. (d) | 11,460 | 96,312 | |||
Cache Logistics Trust REIT | 133,200 | 70,827 | |||
CapitaLand Commercial Trust REIT | 220,890 | 326,904 | |||
CapitaLand Mall Trust REIT | 199,000 | 364,065 | |||
CapitaLand, Ltd. | 230,600 | 643,104 | |||
City Developments, Ltd. | 39,900 | 324,921 | |||
ComfortDelGro Corp., Ltd. | 179,700 | 318,065 | |||
DBS Group Holdings, Ltd. | 139,048 | 2,676,207 | |||
EAGLE HOSPITALITY TRUST UNIT (a) | 112,600 | 61,367 | |||
Far East Hospitality Trust | 140,900 | 77,541 | |||
First Real Estate Investment Trust | 67,100 | 49,652 |
Security Description | Shares | Value | |||
Frasers Commercial Trust REIT | 121,200 | $149,624 | |||
Frasers Hospitality Trust | 135,000 | 71,282 | |||
Frasers Logistics & Industrial Trust REIT | 135,700 | 125,139 | |||
Genting Singapore, Ltd. | 514,600 | 352,086 | |||
Golden Agri-Resources, Ltd. | 606,500 | 105,996 | |||
Jardine Cycle & Carriage, Ltd. | 11,711 | 262,151 | |||
Keppel Corp., Ltd. (b) | 125,000 | 629,346 | |||
Keppel DC REIT | 105,200 | 162,731 | |||
Lippo Malls Indonesia Retail Trust REIT | 332,900 | 55,704 | |||
Manulife US Real Estate Investment Trust | 204,200 | 204,200 | |||
Mapletree Commercial Trust REIT | 97,568 | 173,419 | |||
Mapletree Industrial Trust REIT | 5,500 | 10,635 | |||
Mapletree Logistics Trust REIT | 45,200 | 58,490 | |||
Oversea-Chinese Banking Corp., Ltd. | 255,632 | 2,087,413 | |||
Parkway Life Real Estate Investment Trust | 51,200 | 126,415 | |||
SATS, Ltd. | 81,900 | 308,195 | |||
Sembcorp Industries, Ltd. | 92,900 | 158,213 | |||
Singapore Airlines, Ltd. | 58,600 | 393,964 | |||
Singapore Exchange, Ltd. | 66,800 | 440,150 | |||
Singapore Press Holdings, Ltd. (b) | 178,700 | 289,716 | |||
Singapore Technologies Engineering, Ltd. | 131,100 | 384,140 | |||
Singapore Telecommunications, Ltd. | 622,500 | 1,560,127 | |||
Soilbuild Business Space REIT | 183,900 | 71,117 | |||
Starhill Global REIT | 183,300 | 98,831 | |||
Suntec Real Estate Investment Trust | 238,200 | 325,949 | |||
United Overseas Bank, Ltd. | 99,793 | 1,960,014 | |||
UOL Group, Ltd. | 49,233 | 304,628 | |||
Venture Corp., Ltd. | 22,000 | 265,050 | |||
Wilmar International, Ltd. | 158,200 | 484,724 | |||
Yoma Strategic Holdings, Ltd. (a)(b) | 306,500 | 79,779 | |||
17,441,345 | |||||
SOUTH AFRICA — 1.3% | |||||
Absa Group, Ltd. | 58,664 | 626,348 | |||
Anglo American Platinum, Ltd. | 4,124 | 385,556 | |||
Anglo American PLC | 79,866 | 2,299,089 | |||
AngloGold Ashanti, Ltd. | 31,655 | 716,474 | |||
Aspen Pharmacare Holdings, Ltd. (a) | 37,164 | 316,851 | |||
Barloworld, Ltd. | 19,472 | 156,976 | |||
Bid Corp., Ltd. | 27,223 | 642,851 | |||
Bidvest Group, Ltd. | 24,928 | 365,038 | |||
Capitec Bank Holdings, Ltd. | 3,942 | 407,683 | |||
Cashbuild, Ltd. | 4,789 | 77,047 | |||
Clicks Group, Ltd. | 21,009 | 385,504 | |||
DataTec, Ltd. | 38,866 | 92,277 |
Security Description | Shares | Value | |||
Discovery, Ltd. | 26,711 | $230,425 | |||
Emira Property Fund, Ltd. REIT | 93,984 | 88,785 | |||
Equites Property Fund, Ltd. REIT | 80,348 | 114,918 | |||
Exxaro Resources, Ltd. | 20,118 | 188,671 | |||
FirstRand, Ltd. | 262,188 | 1,177,488 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 159,038 | |||
Foschini Group, Ltd. (b) | 19,612 | 209,661 | |||
Gold Fields, Ltd. | 63,288 | 433,899 | |||
Growthpoint Properties, Ltd. REIT | 265,098 | 419,160 | |||
Harmony Gold Mining Co., Ltd. (a) | 46,490 | 170,221 | |||
Impala Platinum Holdings, Ltd. (a) | 60,594 | 621,908 | |||
Investec PLC | 52,375 | 307,440 | |||
Investec, Ltd. | 34,578 | 205,141 | |||
Kumba Iron Ore, Ltd. (b) | 6,528 | 194,694 | |||
Liberty Holdings, Ltd. | 15,761 | 124,715 | |||
Life Healthcare Group Holdings, Ltd. | 124,734 | 219,880 | |||
Momentum Metropolitan Holdings | 83,371 | 130,212 | |||
Mr. Price Group, Ltd. | 20,308 | 265,042 | |||
MTN Group, Ltd. (b) | 133,037 | 784,798 | |||
MultiChoice Group, Ltd. (a) | 31,809 | 265,009 | |||
Nampak, Ltd. (a) | 108,950 | 53,215 | |||
Naspers, Ltd. Class N | 33,619 | 5,507,496 | |||
Nedbank Group, Ltd. | 32,083 | 491,679 | |||
Netcare, Ltd. (b) | 112,609 | 156,711 | |||
Northam Platinum, Ltd. (a) | 31,026 | 274,283 | |||
Old Mutual, Ltd. (c) | 49,270 | 69,271 | |||
Old Mutual, Ltd. (b)(c) | 315,585 | 441,065 | |||
Pick n Pay Stores, Ltd. | 29,885 | 136,543 | |||
PSG Group, Ltd. | 17,508 | 293,179 | |||
Rand Merchant Investment Holdings, Ltd. | 71,980 | 158,749 | |||
Redefine Properties, Ltd. REIT | 565,715 | 305,847 | |||
Remgro, Ltd. | 45,015 | 627,735 | |||
Resilient REIT, Ltd. | 33,248 | 161,776 | |||
RMB Holdings, Ltd. | 75,393 | 433,698 | |||
SA Corporate Real Estate, Ltd. REIT | 341,441 | 74,717 | |||
Sanlam, Ltd. | 150,530 | 851,498 | |||
Sappi, Ltd. | 32,283 | 100,819 | |||
Sasol, Ltd. | 43,363 | 941,095 | |||
Shoprite Holdings, Ltd. | 34,948 | 314,703 | |||
Sibanye Gold, Ltd. (a) | 165,778 | 425,485 | |||
SPAR Group, Ltd. | 17,617 | 248,831 | |||
Standard Bank Group, Ltd. | 102,585 | 1,234,820 | |||
Telkom SA SOC, Ltd. | 39,144 | 97,472 | |||
Tiger Brands, Ltd. (b) | 17,906 | 269,816 | |||
Trencor, Ltd. (a) | 36,329 | 23,642 | |||
Truworths International, Ltd. | 30,269 | 106,499 | |||
Vodacom Group, Ltd. | 54,964 | 453,202 |
Security Description | Shares | Value | |||
Woolworths Holdings, Ltd. | 67,684 | $235,237 | |||
27,271,882 | |||||
SOUTH KOREA — 3.2% | |||||
AfreecaTV Co., Ltd. | 572 | 34,079 | |||
Ahnlab, Inc. (a) | 2,297 | 130,099 | |||
Alteogen, Inc. (a) | 982 | 56,808 | |||
Amorepacific Corp. (a) | 2,583 | 446,712 | |||
Amorepacific Corp. Preference Shares | 740 | 57,206 | |||
AMOREPACIFIC Group (a) | 2,522 | 180,353 | |||
Ananti, Inc. (a) | 6,092 | 54,786 | |||
BGF retail Co., Ltd. (a) | 795 | 116,523 | |||
BH Co., Ltd. (a) | 730 | 13,856 | |||
BNK Financial Group, Inc. | 27,622 | 182,960 | |||
Celltrion Healthcare Co., Ltd. (a) | 5,707 | 261,551 | |||
Celltrion Pharm, Inc. (a) | 1,414 | 48,664 | |||
Celltrion, Inc. (a)(b) | 7,477 | 1,170,251 | |||
Cheil Worldwide, Inc. | 7,506 | 156,098 | |||
CJ CheilJedang Corp. (a) | 942 | 205,677 | |||
CJ Corp. (a) | 1,354 | 113,102 | |||
CJ Corp. Preference Shares (a) | 203 | 12,709 | |||
CJ ENM Co., Ltd. | 1,018 | 140,493 | |||
CJ Freshway Corp. | 3,203 | 79,351 | |||
CJ Logistics Corp. (a) | 1,096 | 146,898 | |||
Com2uSCorp | 2,104 | 195,581 | |||
Daelim Industrial Co., Ltd. | 2,706 | 211,763 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 24,328 | 99,714 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 3,568 | 85,926 | |||
DB Insurance Co., Ltd. | 5,525 | 249,866 | |||
DIO Corp. (a) | 4,286 | 155,659 | |||
Dongjin Semichem Co., Ltd. | 5,592 | 80,994 | |||
Doosan Bobcat, Inc. (a) | 4,079 | 121,158 | |||
Douzone Bizon Co., Ltd. | 2,524 | 176,786 | |||
E-MART, Inc. (a) | 2,133 | 235,166 | |||
Eo Technics Co., Ltd. | 1,483 | 132,469 | |||
F&F Co., Ltd. | 610 | 59,077 | |||
Feelux Co., Ltd. (a) | 7,699 | 50,530 | |||
Fila Korea, Ltd. | 5,207 | 238,636 | |||
GemVax & Kael Co., Ltd. (a) | 2,866 | 95,537 | |||
GS Engineering & Construction Corp. | 5,552 | 149,068 | |||
GS Holdings Corp. | 5,913 | 263,834 | |||
GS Retail Co., Ltd. | 3,570 | 121,166 | |||
Hana Financial Group, Inc. | 24,578 | 784,235 | |||
Hancom, Inc. | 8,253 | 71,365 | |||
Hanjin Kal Corp. | 4,802 | 166,095 | |||
Hankook Shell Oil Co., Ltd. | 332 | 92,729 | |||
Hankook Tire & Technology Co., Ltd. | 8,351 | 242,273 | |||
Hanmi Pharm Co., Ltd. (a) | 616 | 157,935 | |||
Hanon Systems | 16,734 | 161,342 | |||
Hansol Chemical Co., Ltd. | 1,234 | 113,108 | |||
Hansol Paper Co., Ltd. | 6,147 | 76,808 |
Security Description | Shares | Value | |||
Hanssem Co., Ltd. | 2,499 | $134,409 | |||
Hanwha Aerospace Co., Ltd. (a) | 4,757 | 144,176 | |||
Hanwha Chemical Corp. (a) | 13,246 | 215,908 | |||
Hanwha Corp. | 3,640 | 78,689 | |||
Hanwha Life Insurance Co., Ltd. | 31,079 | 62,080 | |||
HDC Hyundai Development Co-Engineering & Construction (a) | 2,174 | 48,219 | |||
Helixmith Co., Ltd. (a)(b) | 2,003 | 160,559 | |||
HLB Life Science Co., Ltd. (a) | 4,660 | 111,821 | |||
HLB, Inc. (a)(b) | 3,398 | 337,611 | |||
Hotel Shilla Co., Ltd. | 3,574 | 280,617 | |||
Hugel, Inc. (a) | 432 | 148,564 | |||
Hyosung Chemical Corp. | 809 | 101,086 | |||
Hyundai Bioscience Co., Ltd. (a) | 4,204 | 51,075 | |||
Hyundai Department Store Co., Ltd. (a) | 1,309 | 94,062 | |||
Hyundai Elevator Co., Ltd. | 1,959 | 115,699 | |||
Hyundai Engineering & Construction Co., Ltd. (a) | 7,969 | 291,486 | |||
Hyundai Glovis Co., Ltd. | 1,744 | 215,653 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (a) | 1,006 | 294,027 | |||
Hyundai Livart Furniture Co., Ltd. | 6,251 | 72,161 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,728 | 133,486 | |||
Hyundai Mobis Co., Ltd. | 5,320 | 1,177,673 | |||
Hyundai Motor Co. | 11,457 | 1,193,799 | |||
Hyundai Motor Co. Preference Shares (c) | 3,845 | 263,992 | |||
Hyundai Motor Co. Preference Shares (c) | 2,761 | 171,182 | |||
Hyundai Rotem Co., Ltd. (a) | 7,810 | 105,353 | |||
Hyundai Steel Co. | 8,186 | 222,621 | |||
InBody Co., Ltd. | 1,717 | 35,114 | |||
Industrial Bank of Korea | 28,125 | 286,977 | |||
Kakao Corp. (a) | 4,133 | 548,589 | |||
Kangwon Land, Inc. (a) | 9,224 | 236,094 | |||
KB Financial Group, Inc. | 31,496 | 1,297,751 | |||
KCC Corp. | 684 | 138,107 | |||
Kia Motors Corp. | 21,093 | 808,007 | |||
KMW Co., Ltd. (a) | 2,663 | 117,670 | |||
Koentec Co., Ltd. | 12,880 | 110,596 | |||
Koh Young Technology, Inc. (a) | 1,079 | 98,434 | |||
Korea Aerospace Industries, Ltd. (a) | 7,786 | 229,248 | |||
Korea Asset In Trust Co., Ltd. | 45,191 | 131,691 | |||
Korea Electric Power Corp. | 20,743 | 498,643 | |||
Korea Gas Corp. | 2,420 | 79,205 | |||
Korea Investment Holdings Co., Ltd. (a) | 3,949 | 247,229 | |||
Korea Real Estate Investment & Trust Co., Ltd. | 40,468 | 73,486 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 3,817 | 417,528 |
Security Description | Shares | Value | |||
Korea Zinc Co., Ltd. (a) | 874 | $321,198 | |||
Korean Air Lines Co., Ltd. (a) | 4,004 | 98,676 | |||
KT&G Corp. | 10,039 | 814,266 | |||
Kuk-il Paper Manufacturing Co., Ltd. (a) | 9,131 | 47,216 | |||
Kumho Petrochemical Co., Ltd. | 1,926 | 129,072 | |||
Kwang Dong Pharmaceutical Co., Ltd. | 12,503 | 71,897 | |||
LG Chem, Ltd. | 3,605 | 989,742 | |||
LG Chem, Ltd. Preference Shares (a) | 786 | 117,582 | |||
LG Corp. (a) | 8,628 | 550,604 | |||
LG Display Co., Ltd. (a) | 25,728 | 361,520 | |||
LG Electronics, Inc. | 8,819 | 549,829 | |||
LG Hausys, Ltd. | 1,772 | 83,815 | |||
LG Household & Health Care, Ltd. (a) | 764 | 833,070 | |||
LG Household & Health Care, Ltd. Preference Shares | 184 | 122,672 | |||
LG Innotek Co., Ltd. | 1,707 | 206,650 | |||
LG International Corp. | 14,247 | 185,410 | |||
LG Uplus Corp. (a) | 11,063 | 135,842 | |||
Lock&Lock Co., Ltd. | 10,907 | 134,870 | |||
Lotte Chemical Corp. (a) | 1,252 | 242,508 | |||
Lotte Corp. | 2,576 | 86,761 | |||
Lotte Shopping Co., Ltd. (a) | 983 | 115,177 | |||
Mando Corp. | 5,035 | 153,255 | |||
Mcnex Co., Ltd. | 1,909 | 62,315 | |||
Medy-Tox, Inc. | 516 | 134,259 | |||
MegaStudyEdu Co., Ltd. | 453 | 16,256 | |||
Mezzion Pharma Co., Ltd. (a) | 617 | 102,064 | |||
Mirae Asset Daewoo Co., Ltd. (a) | 47,797 | 312,048 | |||
Mirae Asset Maps Asia Pacific Real Estate 1 Investment | 27,768 | 118,736 | |||
Modetour Network, Inc. (a) | 8,749 | 137,690 | |||
Moorim P&P Co., Ltd. | 19,213 | 70,193 | |||
NAVER Corp. | 10,863 | 1,751,870 | |||
NCSoft Corp. (a) | 1,230 | 575,407 | |||
Netmarble Corp. (a)(d) | 2,574 | 205,662 | |||
NH Investment & Securities Co., Ltd. (a) | 14,985 | 164,564 | |||
NICE Information Service Co., Ltd. | 10,100 | 121,834 | |||
NKMax Co., Ltd. (a) | 9,231 | 86,208 | |||
OCI Co., Ltd. (a) | 1,629 | 88,180 | |||
Orange Life Insurance, Ltd. (d) | 3,399 | 82,738 | |||
Orion Corp/Republic of Korea (a) | 2,349 | 214,293 | |||
Ottogi Corp. (a) | 114 | 54,612 | |||
Pan Ocean Co., Ltd. (a) | 24,680 | 96,996 | |||
Partron Co., Ltd. | 11,769 | 134,334 | |||
Pearl Abyss Corp. (a) | 338 | 54,129 | |||
PharmAbcine (a) | 3,224 | 107,750 | |||
Pharmicell Co., Ltd. (a) | 11,563 | 84,889 | |||
POSCO | 6,281 | 1,284,497 | |||
POSCO Chemtech Co., Ltd. | 2,247 | 95,693 |
Security Description | Shares | Value | |||
Posco International Corp. | 6,646 | $107,180 | |||
S-1 Corp. | 1,546 | 125,263 | |||
Samchully Co., Ltd. | 996 | 72,776 | |||
Samsung Biologics Co., Ltd. (a)(d) | 1,296 | 485,251 | |||
Samsung C&T Corp. | 8,160 | 765,584 | |||
Samsung Card Co., Ltd. | 3,804 | 126,970 | |||
Samsung Electro-Mechanics Co., Ltd. | 4,576 | 494,617 | |||
Samsung Electronics Co., Ltd. Preference Shares | 63,253 | 2,483,191 | |||
Samsung Electronics Co., Ltd. | 365,518 | 17,636,650 | |||
Samsung Engineering Co., Ltd. (a) | 16,699 | 277,246 | |||
Samsung Fire & Marine Insurance Co., Ltd. (a) | 2,526 | 531,870 | |||
Samsung Heavy Industries Co., Ltd. (a) | 32,571 | 204,757 | |||
Samsung Life Insurance Co., Ltd. | 6,076 | 391,424 | |||
Samsung SDI Co., Ltd. | 4,344 | 886,492 | |||
Samsung SDS Co., Ltd. | 3,098 | 521,044 | |||
Samsung Securities Co., Ltd. (a) | 7,238 | 241,590 | |||
Sangsangin Co., Ltd. (a) | 7,698 | 57,713 | |||
Sejong Telecom, Inc. (a) | 731,991 | 241,159 | |||
Shinhan Financial Group Co., Ltd. (a) | 36,120 | 1,353,973 | |||
Shinsegae, Inc. | 786 | 196,424 | |||
SillaJen, Inc. (a) | 6,523 | 82,070 | |||
SK Holdings Co., Ltd. | 3,256 | 737,664 | |||
SK Hynix, Inc. | 42,075 | 3,423,631 | |||
SK Innovation Co., Ltd. | 4,187 | 543,084 | |||
SK Telecom Co., Ltd. | 2,206 | 454,000 | |||
SM Entertainment Co., Ltd. (a) | 1,656 | 55,059 | |||
S-Oil Corp. | 3,210 | 264,528 | |||
Soulbrain Co., Ltd. | 1,026 | 74,791 | |||
Suheung Co., Ltd. | 2,578 | 79,138 | |||
Telcon RF Pharmaceutical, Inc. (a) | 8,430 | 35,427 | |||
Value Added Technology Co., Ltd. | 3,331 | 84,107 | |||
Vieworks Co., Ltd. | 3,440 | 93,701 | |||
Whanin Pharmaceutical Co., Ltd. (a) | 5,285 | 70,607 | |||
WONIK IPS Co., Ltd. | 5,486 | 170,066 | |||
Woongjin Coway Co., Ltd. | 4,173 | 335,947 | |||
Woori Financial Group, Inc. | 47,991 | 481,383 | |||
Y G-1 Co., Ltd. | 11,677 | 76,739 | |||
Yuhan Corp. | 1,081 | 221,070 | |||
66,770,408 | |||||
SPAIN — 1.7% | |||||
ACS Actividades de Construccion y Servicios SA | 22,570 | 903,186 | |||
Aena SME SA (d) | 5,808 | 1,111,571 | |||
Amadeus IT Group SA | 34,534 | 2,822,048 | |||
Applus Services SA | 5,006 | 64,059 |
Security Description | Shares | Value | |||
Banco Bilbao Vizcaya Argentaria SA | 527,011 | $2,947,791 | |||
Banco de Sabadell SA | 460,492 | 537,578 | |||
Banco Santander SA | 1,291,814 | 5,408,726 | |||
Bankia SA | 92,513 | 197,567 | |||
Bankinter SA | 68,461 | 501,968 | |||
Befesa SA (d) | 2,005 | 85,523 | |||
Bolsas y Mercados Espanoles SHMSF SA | 4,414 | 170,343 | |||
CaixaBank SA | 287,629 | 903,372 | |||
Cellnex Telecom SA (d) | 19,617 | 844,910 | |||
Distribuidora Internacional de Alimentacion SA (a) | 401,966 | 46,068 | |||
eDreams ODIGEO SA (a) | 11,015 | 52,796 | |||
Enagas SA | 20,597 | 525,752 | |||
Endesa SA | 29,882 | 797,977 | |||
Ferrovial SA | 41,481 | 1,255,788 | |||
Grifols SA | 25,071 | 884,509 | |||
Iberdrola SA | 475,495 | 4,899,760 | |||
Indra Sistemas SA (a)(b) | 6,316 | 72,173 | |||
Industria de Diseno Textil SA | 84,145 | 2,970,538 | |||
Inmobiliaria Colonial Socimi SA REIT | 5,216 | 66,512 | |||
Lar Espana Real Estate Socimi SA REIT | 11,653 | 92,871 | |||
Mapfre SA | 127,893 | 338,801 | |||
Masmovil Ibercom SA (a) | 5,844 | 133,428 | |||
Merlin Properties Socimi SA REIT | 16,246 | 233,240 | |||
Naturgy Energy Group SA | 23,145 | 581,958 | |||
Neinor Homes SA (a)(d) | 7,187 | 88,741 | |||
Red Electrica Corp. SA | 39,420 | 793,162 | |||
Repsol SA | 109,891 | 1,718,302 | |||
Sacyr SA | 20,752 | 60,565 | |||
Siemens Gamesa Renewable Energy SA | 17,884 | 313,869 | |||
Solaria Energia y Medio Ambiente SA (a) | 9,631 | 73,513 | |||
Talgo SA (a)(d) | 12,764 | 87,255 | |||
Tecnicas Reunidas SA (a) | 2,480 | 66,254 | |||
Telefonica SA | 373,539 | 2,610,965 | |||
Viscofan SA | 1,451 | 76,714 | |||
35,340,153 | |||||
SWEDEN — 1.9% | |||||
AAK AB | 7,843 | 149,134 | |||
AcadeMedia AB (d) | 15,147 | 89,157 | |||
Adapteo Oyj (a) | 6,042 | 74,213 | |||
AF POYRY AB | 4,816 | 112,464 | |||
Alfa Laval AB | 25,668 | 646,838 | |||
Alimak Group AB (d) | 6,075 | 90,596 | |||
Arjo AB Class B | 22,985 | 110,640 | |||
Assa Abloy AB Class B | 78,040 | 1,825,731 | |||
Atlas Copco AB Class A | 44,711 | 1,784,418 | |||
Atlas Copco AB Class B | 38,700 | 1,344,426 | |||
Avanza Bank Holding AB | 9,251 | 96,650 | |||
Axfood AB | 3,395 | 75,581 |
Security Description | Shares | Value | |||
Beijer Ref AB | 4,488 | $131,748 | |||
Betsson AB (a) | 15,247 | 71,145 | |||
Bilia AB Class A | 10,517 | 119,426 | |||
BillerudKorsnas AB | 13,015 | 153,841 | |||
BioGaia AB Class B | 1,663 | 75,413 | |||
Boliden AB | 22,690 | 602,333 | |||
Bonava AB Class B | 9,858 | 104,782 | |||
Boozt AB (a)(b)(d) | 10,974 | 62,132 | |||
Bravida Holding AB (d) | 10,044 | 97,585 | |||
Bufab AB | 6,983 | 97,423 | |||
Bure Equity AB | 4,779 | 108,230 | |||
Castellum AB | 14,063 | 330,504 | |||
Catena AB | 1,171 | 51,726 | |||
Cellavision AB | 1,868 | 63,756 | |||
Clas Ohlson AB Class B | 7,371 | 88,820 | |||
Climeon AB (a)(b) | 9,189 | 67,143 | |||
Cloetta AB Class B | 28,896 | 97,853 | |||
Collector AB (a)(b) | 14,065 | 75,876 | |||
Dios Fastigheter AB | 9,118 | 83,572 | |||
Dometic Group AB (d) | 19,845 | 199,954 | |||
Dustin Group AB (d) | 10,657 | 85,554 | |||
Electrolux AB Class B | 18,389 | 451,619 | |||
Elekta AB Class B | 24,420 | 321,781 | |||
Eltel AB (a)(d) | 24,394 | 49,616 | |||
Embracer Group AB (a) | 11,520 | 87,104 | |||
Epiroc AB Class A | 49,054 | 599,220 | |||
Epiroc AB Class B | 32,351 | 383,779 | |||
Essity AB Class B | 47,226 | 1,522,565 | |||
Evolution Gaming Group AB (d) | 8,583 | 258,561 | |||
Fabege AB | 12,540 | 208,575 | |||
Fastighets AB Balder Class B (a) | 5,195 | 240,408 | |||
Fingerprint Cards AB Class B (a)(b) | 31,312 | 63,152 | |||
Fortnox AB (a) | 4,202 | 75,412 | |||
Getinge AB Class B | 16,134 | 299,893 | |||
Granges AB | 8,487 | 89,711 | |||
Hemfosa Fastigheter AB | 11,042 | 143,082 | |||
Hennes & Mauritz AB Class B (b) | 61,753 | 1,256,559 | |||
Hexagon AB Class B | 20,256 | 1,136,026 | |||
Hexpol AB | 14,733 | 144,481 | |||
Hoist Finance AB (a)(b)(d) | 12,565 | 67,033 | |||
Holmen AB Class B | 4,793 | 146,027 | |||
Humana AB | 12,622 | 82,115 | |||
Husqvarna AB Class B | 32,673 | 261,843 | |||
ICA Gruppen AB | 7,044 | 328,984 | |||
Industrivarden AB Class C | 19,084 | 460,533 | |||
Indutrade AB | 4,495 | 160,957 | |||
Intrum AB | 2,882 | 86,019 | |||
Investor AB Class B | 36,965 | 2,018,631 | |||
Inwido AB | 4,681 | 36,054 | |||
JM AB | 4,617 | 136,818 | |||
John Mattson Fastighetsforetagen AB (a) | 3,703 | 55,539 | |||
Karo Pharma AB (a) | 17,994 | 77,888 | |||
Kinnevik AB Class B | 20,120 | 492,197 |
Security Description | Shares | Value | |||
Kungsleden AB | 7,867 | $82,695 | |||
L E Lundbergforetagen AB Class B | 9,305 | 408,539 | |||
LeoVegas AB (b)(d) | 19,551 | 61,633 | |||
Lifco AB Class B | 2,202 | 134,552 | |||
Lindab International AB | 8,991 | 114,872 | |||
Loomis AB Class B | 3,177 | 131,614 | |||
Lundin Petroleum AB | 14,272 | 485,285 | |||
Mekonomen AB (a) | 8,779 | 87,264 | |||
Modern Times Group MTG AB Class B (a) | 8,909 | 106,258 | |||
Munters Group AB (a)(d) | 17,152 | 89,891 | |||
Mycronic AB | 6,388 | 126,313 | |||
NetEnt AB | 24,310 | 67,131 | |||
Nibe Industrier AB Class B | 13,686 | 237,431 | |||
Nobia AB | 16,815 | 125,380 | |||
Nobina AB (d) | 12,721 | 87,583 | |||
Nolato AB Class B | 1,677 | 98,531 | |||
Nordic Entertainment Group AB Class B | 4,335 | 140,223 | |||
Nyfosa AB (a) | 17,984 | 155,613 | |||
Pandox AB | 3,623 | 82,050 | |||
Paradox Interactive AB (b) | 5,166 | 82,779 | |||
PowerCell Sweden AB (a) | 3,453 | 56,880 | |||
RaySearch Laboratories AB (a) | 4,162 | 47,662 | |||
Recipharm AB Class B | 6,077 | 96,728 | |||
Resurs Holding AB (d) | 13,518 | 86,861 | |||
Saab AB Class B (b) | 2,620 | 87,827 | |||
Sandvik AB | 88,341 | 1,723,683 | |||
Scandi Standard AB | 10,379 | 82,491 | |||
Scandic Hotels Group AB (d) | 8,933 | 99,626 | |||
Securitas AB Class B | 31,343 | 540,573 | |||
Skandinaviska Enskilda Banken AB Class A | 128,334 | 1,207,520 | |||
Skanska AB Class B | 29,676 | 671,122 | |||
SKF AB Class B | 33,123 | 670,170 | |||
SkiStar AB | 6,323 | 80,244 | |||
SSAB AB Class A | 51,377 | 180,293 | |||
Stillfront Group AB (a) | 2,830 | 111,101 | |||
Storytel AB (a) | 6,381 | 97,613 | |||
Svenska Cellulosa AB SCA Class B | 33,799 | 343,007 | |||
Svenska Handelsbanken AB Class A | 120,442 | 1,298,209 | |||
Sweco AB Class B | 3,898 | 150,406 | |||
Swedbank AB Class A | 71,130 | 1,059,612 | |||
Swedish Match AB | 13,734 | 708,337 | |||
Swedish Orphan Biovitrum AB (a) | 14,226 | 234,794 | |||
Tele2 AB Class B | 39,986 | 580,287 | |||
Telefonaktiebolaget LM Ericsson Class B | 231,964 | 2,021,032 | |||
Telia Co. AB | 222,979 | 958,750 | |||
Thule Group AB (d) | 8,437 | 194,678 | |||
Tobii AB (a)(b) | 20,023 | 80,340 | |||
Trelleborg AB Class B | 8,591 | 154,685 | |||
Troax Group AB | 7,112 | 91,777 |
Security Description | Shares | Value | |||
Vitrolife AB | 6,363 | $134,247 | |||
Volvo AB Class B | 116,411 | 1,951,158 | |||
Wihlborgs Fastigheter AB | 6,292 | 115,945 | |||
Xvivo Perfusion AB (a) | 4,152 | 75,402 | |||
39,809,543 | |||||
SWITZERLAND — 5.7% | |||||
ABB, Ltd. | 142,095 | 3,429,297 | |||
Adecco Group AG | 12,565 | 794,371 | |||
Alcon, Inc. (a) | 32,498 | 1,839,098 | |||
Allreal Holding AG (a) | 126 | 25,035 | |||
ALSO Holding AG (a) | 495 | 83,527 | |||
Arbonia AG (a) | 6,222 | 80,960 | |||
Aryzta AG (b) | 102,583 | 114,623 | |||
Ascom Holding AG | 3,750 | 40,739 | |||
Baloise Holding AG | 4,239 | 766,071 | |||
Barry Callebaut AG | 250 | 551,970 | |||
Basilea Pharmaceutica AG (a)(b) | 1,356 | 65,619 | |||
Belimo Holding AG | 46 | 346,300 | |||
BKW AG | 999 | 73,660 | |||
Bobst Group SA (b) | 1,422 | 82,749 | |||
Bossard Holding AG Class A | 975 | 175,900 | |||
Burckhardt Compression Holding AG | 438 | 119,864 | |||
Cembra Money Bank AG | 1,377 | 150,733 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 77 | 597,568 | |||
Chocoladefabriken Lindt & Spruengli AG (c) | 9 | 794,651 | |||
Cie Financiere Richemont SA | 40,518 | 3,182,526 | |||
Clariant AG | 18,240 | 406,861 | |||
Coca-Cola HBC AG | 15,960 | 542,318 | |||
Comet Holding AG | 901 | 114,073 | |||
Conzzeta AG | 127 | 151,610 | |||
Credit Suisse Group AG | 201,370 | 2,725,207 | |||
Daetwyler Holding AG | 462 | 88,931 | |||
DKSH Holding AG | 1,446 | 78,695 | |||
dormakaba Holding AG (a) | 228 | 163,050 | |||
Dufry AG | 3,316 | 328,809 | |||
EMS-Chemie Holding AG | 717 | 471,287 | |||
Flughafen Zurich AG | 623 | 113,682 | |||
Forbo Holding AG | 88 | 149,764 | |||
Galenica AG (d) | 602 | 37,207 | |||
GAM Holding AG (a) | 19,107 | 55,327 | |||
Geberit AG | 2,907 | 1,630,694 | |||
Georg Fischer AG | 190 | 192,874 | |||
Givaudan SA | 713 | 2,231,737 | |||
Glencore PLC (a) | 834,073 | 2,600,473 | |||
Gurit Holding AG | 85 | 131,141 | |||
Helvetia Holding AG | 1,677 | 236,912 | |||
Huber + Suhner AG | 1,498 | 118,807 | |||
Idorsia, Ltd. (a) | 7,258 | 224,407 | |||
Implenia AG | 1,966 | 79,708 | |||
Inficon Holding AG | 157 | 124,598 | |||
Interroll Holding AG | 61 | 137,011 | |||
Intershop Holding AG | 132 | 77,290 | |||
IWG PLC | 45,322 | 261,476 |
Security Description | Shares | Value | |||
Julius Baer Group, Ltd. | 18,344 | $945,852 | |||
Kardex AG | 794 | 133,652 | |||
Komax Holding AG (b) | 565 | 137,931 | |||
Kuehne + Nagel International AG | 4,556 | 767,841 | |||
LafargeHolcim, Ltd. (c) | 34,706 | 1,924,627 | |||
LafargeHolcim, Ltd. (c) | 3,311 | 181,927 | |||
Landis+Gyr Group AG (a) | 1,625 | 168,986 | |||
LEM Holding SA | 58 | 85,291 | |||
Logitech International SA | 9,931 | 470,014 | |||
Lonza Group AG | 5,715 | 2,084,513 | |||
Mediclinic International PLC (c) | 19,928 | 108,661 | |||
Meyer Burger Technology AG (a)(b) | 170,161 | 65,896 | |||
Mobilezone Holding AG (a) | 8,564 | 96,045 | |||
Mobimo Holding AG | 247 | 73,589 | |||
Nestle SA | 227,414 | 24,607,259 | |||
Novartis AG | 164,821 | 15,642,123 | |||
Orior AG (a) | 1,109 | 102,500 | |||
Pargesa Holding SA | 4,579 | 380,421 | |||
Partners Group Holding AG (b) | 1,523 | 1,395,684 | |||
PSP Swiss Property AG | 2,141 | 295,387 | |||
Rieter Holding AG | 687 | 97,976 | |||
Roche Holding AG | 53,871 | 17,468,368 | |||
Schindler Holding AG (c) | 3,293 | 837,235 | |||
Schindler Holding AG (c) | 1,468 | 359,591 | |||
Schweiter Technologies AG | 124 | 156,993 | |||
SGS SA | 416 | 1,138,861 | |||
SIG Combibloc Group AG (a) | 11,956 | 190,881 | |||
Sika AG | 9,876 | 1,854,650 | |||
Sonova Holding AG | 4,360 | 997,305 | |||
STMicroelectronics NV | 53,441 | 1,437,900 | |||
Straumann Holding AG | 852 | 836,207 | |||
Sunrise Communications Group AG (d) | 1,152 | 90,473 | |||
Swatch Group AG (c) | 1,998 | 557,092 | |||
Swatch Group AG (c) | 6,411 | 338,641 | |||
Swiss Life Holding AG | 2,788 | 1,398,679 | |||
Swiss Prime Site AG (a) | 6,759 | 781,052 | |||
Swiss Re AG | 22,870 | 2,567,222 | |||
Swisscom AG (b) | 2,089 | 1,105,821 | |||
Tecan Group AG | 1,108 | 311,226 | |||
Temenos AG | 5,154 | 815,400 | |||
u-blox Holding AG | 976 | 98,573 | |||
UBS Group AG (a) | 303,003 | 3,825,282 | |||
Valiant Holding AG | 1,670 | 169,699 | |||
Valora Holding AG (a) | 403 | 112,366 | |||
VAT Group AG (d) | 2,015 | 340,324 | |||
Vetropack Holding AG | 43 | 134,992 | |||
Vifor Pharma AG | 3,758 | 685,548 | |||
Zehnder Group AG | 1,784 | 84,009 | |||
Zur Rose Group AG (a)(b) | 1,188 | 131,271 | |||
Zurich Insurance Group AG | 11,522 | 4,724,930 | |||
120,105,976 | |||||
TAIWAN — 3.3% | |||||
AcBel Polytech, Inc. | 136,000 | 109,564 |
Security Description | Shares | Value | |||
Accton Technology Corp. | 40,000 | $224,172 | |||
Acer, Inc. | 311,000 | 185,187 | |||
A-DATA Technology Co., Ltd. | 43,000 | 98,546 | |||
Advanced Ceramic X Corp. | 8,000 | 93,939 | |||
Advantech Co., Ltd. | 33,199 | 334,460 | |||
Airtac International Group | 12,000 | 186,743 | |||
AmTRAN Technology Co., Ltd. (a) | 189,000 | 67,146 | |||
Arcadyan Technology Corp. | 25,487 | 80,006 | |||
ASE Technology Holding Co., Ltd. | 266,325 | 739,175 | |||
Asia Cement Corp. | 233,000 | 372,697 | |||
Asia Optical Co., Inc. | 27,000 | 97,275 | |||
ASPEED Technology, Inc. | 3,000 | 95,974 | |||
Asustek Computer, Inc. | 56,000 | 432,465 | |||
AU Optronics Corp. | 922,000 | 309,107 | |||
Brighton-Best International Taiwan, Inc. | 68,000 | 63,515 | |||
Career Technology MFG. Co., Ltd. | 60,000 | 71,555 | |||
Catcher Technology Co., Ltd. | 50,000 | 378,624 | |||
Cathay Financial Holding Co., Ltd. | 600,523 | 852,395 | |||
Chailease Holding Co., Ltd. | 94,423 | 434,679 | |||
Chang Hwa Commercial Bank, Ltd. | 470,817 | 356,525 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 71,251 | |||
Cheng Loong Corp. | 121,000 | 77,903 | |||
Cheng Shin Rubber Industry Co., Ltd. | 207,000 | 288,641 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 90,142 | |||
Chicony Electronics Co., Ltd. | 62,491 | 185,532 | |||
China Airlines, Ltd. | 434,000 | 131,169 | |||
China Development Financial Holding Corp. | 1,476,000 | 479,083 | |||
China General Plastics Corp. | 131,000 | 90,896 | |||
China Life Insurance Co., Ltd. (a) | 268,557 | 229,344 | |||
China Man-Made Fiber Corp. | 267,000 | 73,927 | |||
China Steel Corp. | 1,066,000 | 849,898 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 96,989 | |||
Chipbond Technology Corp. | 37,000 | 82,944 | |||
ChipMOS Techinologies, Inc. | 67,000 | 76,550 | |||
Chroma ATE, Inc. | 29,000 | 140,274 | |||
Chung Hwa Pulp Corp. | 235,000 | 70,397 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 103,079 | |||
Chunghwa Telecom Co., Ltd. | 285,000 | 1,045,802 | |||
Cleanaway Co., Ltd. | 14,000 | 72,856 | |||
Compal Electronics, Inc. | 446,000 | 280,452 | |||
Compeq Manufacturing Co., Ltd. | 80,000 | 120,359 | |||
CTBC Financial Holding Co., Ltd. | 1,468,009 | 1,096,954 | |||
Delta Electronics, Inc. | 148,630 | 751,157 |
Security Description | Shares | Value | |||
E Ink Holdings, Inc. | 75,000 | $78,185 | |||
E.Sun Financial Holding Co., Ltd. | 827,555 | 770,217 | |||
Eclat Textile Co., Ltd. | 19,182 | 257,876 | |||
Egis Technology, Inc. | 8,000 | 63,115 | |||
Elan Microelectronics Corp. | 24,000 | 73,016 | |||
Elite Material Co., Ltd. | 22,000 | 100,544 | |||
Elite Semiconductor Memory Technology, Inc. | 103,000 | 133,659 | |||
eMemory Technology, Inc. | 7,000 | 83,247 | |||
Epistar Corp. | 86,000 | 92,808 | |||
Eva Airways Corp. | 323,121 | 148,211 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 369,683 | 152,920 | |||
Everlight Electronics Co., Ltd. | 90,000 | 104,330 | |||
Far Eastern New Century Corp. | 341,620 | 340,173 | |||
Far EasTone Telecommunications Co., Ltd. | 131,000 | 315,078 | |||
Faraday Technology Corp. | 37,000 | 69,490 | |||
Feng TAY Enterprise Co., Ltd. | 38,800 | 252,394 | |||
Firich Enterprises Co., Ltd. | 58,000 | 71,685 | |||
First Financial Holding Co., Ltd. | 805,518 | 636,847 | |||
FLEXium Interconnect, Inc. | 23,000 | 87,851 | |||
Formosa Chemicals & Fibre Corp. | 274,000 | 799,780 | |||
Formosa Petrochemical Corp. | 88,000 | 286,219 | |||
Formosa Plastics Corp. | 343,000 | 1,141,922 | |||
Formosa Taffeta Co., Ltd. | 76,000 | 86,706 | |||
Foxconn Technology Co., Ltd. | 84,180 | 185,900 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 112,820 | |||
Fubon Financial Holding Co., Ltd. | 517,000 | 800,240 | |||
General Interface Solution Holding, Ltd. | 20,000 | 75,391 | |||
Genius Electronic Optical Co., Ltd. | 5,396 | 105,663 | |||
Giant Manufacturing Co., Ltd. | 37,000 | 262,902 | |||
Gigabyte Technology Co., Ltd. | 43,000 | 71,291 | |||
Global Unichip Corp. | 8,000 | 64,316 | |||
Globalwafers Co., Ltd. | 23,000 | 293,475 | |||
Highwealth Construction Corp. | 72,900 | 112,595 | |||
Hiwin Technologies Corp. | 24,322 | 227,991 | |||
Holtek Semiconductor, Inc. | 33,000 | 75,628 | |||
Hon Hai Precision Industry Co., Ltd. | 949,320 | 2,875,480 | |||
Hotai Motor Co., Ltd. | 23,000 | 524,035 | |||
Hua Nan Financial Holdings Co., Ltd. | 800,618 | 587,570 | |||
Huaku Development Co., Ltd. | 35,000 | 108,116 | |||
Hung Sheng Construction, Ltd. | 97,600 | 84,163 | |||
IEI Integration Corp. | 41,000 | 72,352 | |||
Innolux Corp. | 942,000 | 261,763 | |||
International Games System Co., Ltd. | 5,000 | 65,050 | |||
Inventec Corp. | 291,000 | 221,815 | |||
ITEQ Corp. | 15,000 | 63,799 |
Security Description | Shares | Value | |||
King Yuan Electronics Co., Ltd. | 73,000 | $91,442 | |||
Kinpo Electronics | 141,000 | 60,441 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 94,439 | |||
Land Mark Optoelectronics Corp. | 8,000 | 82,463 | |||
Largan Precision Co., Ltd. | 8,000 | 1,334,356 | |||
Lite-On Technology Corp. | 225,419 | 371,099 | |||
Lotes Co., Ltd. | 8,000 | 86,066 | |||
Macronix International | 136,000 | 168,769 | |||
MediaTek, Inc. | 115,000 | 1,701,388 | |||
Mega Financial Holding Co., Ltd. | 849,601 | 867,258 | |||
Merida Industry Co., Ltd. | 17,000 | 100,093 | |||
Merry Electronics Co., Ltd. | 15,000 | 83,814 | |||
Micro-Star International Co., Ltd. | 72,000 | 208,240 | |||
Namchow Holdings Co., Ltd. | 43,000 | 73,013 | |||
Nan Ya Plastics Corp. | 397,000 | 964,126 | |||
Nantex Industry Co., Ltd. | 69,000 | 69,283 | |||
Nanya Technology Corp. | 131,000 | 364,459 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 157,087 | |||
Novatek Microelectronics Corp. | 44,000 | 321,446 | |||
Pan-International Industrial Corp. | 108,000 | 83,944 | |||
Parade Technologies, Ltd. | 5,000 | 102,579 | |||
PChome Online, Inc. (a) | 17,000 | 53,705 | |||
Pegatron Corp. | 151,000 | 344,544 | |||
PharmaEssentia Corp. (a) | 19,000 | 69,720 | |||
Phison Electronics Corp. | 13,000 | 147,663 | |||
Pou Chen Corp. | 235,000 | 307,302 | |||
Powertech Technology, Inc. | 87,000 | 289,642 | |||
Poya International Co., Ltd. | 5,000 | 70,304 | |||
President Chain Store Corp. | 45,000 | 456,350 | |||
Primax Electronics, Ltd. | 35,000 | 74,023 | |||
Quanta Computer, Inc. | 204,000 | 437,575 | |||
Radiant Opto-Electronics Corp. | 31,000 | 124,095 | |||
Radium Life Tech Co., Ltd. | 184,000 | 71,508 | |||
Realtek Semiconductor Corp. | 38,000 | 297,895 | |||
Ruentex Development Co., Ltd. (a) | 77,361 | 116,647 | |||
Ruentex Industries, Ltd. (a) | 47,400 | 116,219 | |||
SDI Corp. | 35,000 | 75,775 | |||
Sercomm Corp. | 27,000 | 69,984 | |||
Shanghai Commercial & Savings Bank, Ltd. | 260,649 | 452,138 | |||
Shin Kong Financial Holding Co., Ltd. | 1,164,959 | 402,219 | |||
Shin Zu Shing Co., Ltd. | 18,000 | 77,459 | |||
Shining Building Business Co., Ltd. (a) | 188,000 | 68,673 | |||
Sigurd Microelectronics Corp. | 67,078 | 83,017 | |||
Simplo Technology Co., Ltd. | 12,000 | 121,293 | |||
Sinbon Electronics Co., Ltd. | 22,000 | 91,003 | |||
Sino-American Silicon Products, Inc. | 36,000 | 119,372 |
Security Description | Shares | Value | |||
SinoPac Financial Holdings Co., Ltd. | 1,182,281 | $512,715 | |||
Sitronix Technology Corp. | 12,000 | 67,051 | |||
Soft-World International Corp. | 32,000 | 88,815 | |||
Sporton International, Inc. | 11,000 | 78,160 | |||
Standard Foods Corp. | 51,417 | 119,379 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 62,448 | |||
Supreme Electronics Co., Ltd. | 122,000 | 122,704 | |||
Syncmold Enterprise Corp. | 28,000 | 84,999 | |||
Synnex Technology International Corp. | 128,550 | 160,811 | |||
Taigen Biopharmaceuticals Holdings, Ltd. (a) | 126,000 | 77,339 | |||
TaiMed Biologics, Inc. (a) | 15,000 | 49,588 | |||
Taishin Financial Holding Co., Ltd. | 1,077,405 | 521,145 | |||
Taiwan Business Bank | 679,269 | 285,512 | |||
Taiwan Cement Corp. | 403,235 | 587,830 | |||
Taiwan Cogeneration Corp. | 134,000 | 133,656 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 781,731 | 541,112 | |||
Taiwan High Speed Rail Corp. | 226,000 | 289,502 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 208,894 | |||
Taiwan Mobile Co., Ltd. | 124,000 | 463,289 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,880,000 | 20,758,582 | |||
Taiwan Styrene Monomer | 154,000 | 107,369 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 117,090 | |||
Taiwan TEA Corp. | 161,000 | 88,349 | |||
Taiwan Union Technology Corp. | 21,000 | 103,680 | |||
Tatung Co., Ltd. (a) | 177,000 | 123,995 | |||
TCI Co., Ltd. | 7,000 | 66,551 | |||
Test Research, Inc. | 44,000 | 78,087 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 84,391 | |||
Ton Yi Industrial Corp. | 184,000 | 71,508 | |||
Tong Hsing Electronic Industries, Ltd. | 18,000 | 93,972 | |||
Topco Scientific Co., Ltd. | 22,000 | 77,426 | |||
Tripod Technology Corp. | 24,000 | 100,477 | |||
TXC Corp. | 39,000 | 61,537 | |||
Unimicron Technology Corp. | 109,000 | 152,717 | |||
Uni-President Enterprises Corp. | 380,880 | 942,766 | |||
Unitech Printed Circuit Board Corp. | 61,000 | 68,474 | |||
United Integrated Services Co., Ltd. | 13,000 | 84,999 | |||
United Microelectronics Corp. | 861,000 | 472,477 | |||
United Renewable Energy Co., Ltd. (a) | 273,450 | 69,874 | |||
USI Corp. | 244,000 | 112,733 | |||
Vanguard International Semiconductor Corp. | 105,000 | 277,763 |
Security Description | Shares | Value | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | $78,727 | |||
Voltronic Power Technology Corp. | 4,000 | 95,406 | |||
Walsin Technology Corp. | 28,000 | 223,238 | |||
Win Semiconductors Corp. | 36,000 | 353,071 | |||
Winbond Electronics Corp. | 274,000 | 178,694 | |||
Wistron Corp. | 302,842 | 286,405 | |||
Wiwynn Corp. | 6,000 | 127,097 | |||
WPG Holdings, Ltd. | 160,480 | 209,319 | |||
Xxentria Technology Materials Corp. | 32,000 | 70,241 | |||
Yageo Corp. | 23,962 | 349,314 | |||
YC INOX Co., Ltd. | 82,000 | 71,121 | |||
Yuanta Financial Holding Co., Ltd. | 853,022 | 574,809 | |||
Zhen Ding Technology Holding, Ltd. | 40,000 | 190,813 | |||
68,789,927 | |||||
THAILAND — 0.8% | |||||
Advanced Info Service PCL | 106,700 | 758,740 | |||
AEON Thana Sinsap Thailand PCL | 10,400 | 66,316 | |||
Airports of Thailand PCL | 432,600 | 1,072,338 | |||
Amata Corp. PCL | 98,300 | 65,963 | |||
Ananda Development PCL | 700,900 | 61,306 | |||
AP Thailand PCL NVDR | 15,474 | 3,849 | |||
Asia Aviation PCL NVDR (a) | 705,600 | 52,766 | |||
Bangchak Corp. PCL | 98,500 | 92,075 | |||
Bangkok Bank PCL NVDR | 96 | 513 | |||
Bangkok Dusit Medical Services PCL Class F | 729,500 | 633,209 | |||
Bangkok Expressway & Metro PCL | 782,100 | 284,602 | |||
Bangkok Land PCL | 1,469,600 | 65,253 | |||
Banpu PCL | 243,400 | 96,698 | |||
BEC World PCL (a) | 306,700 | 60,411 | |||
Berli Jucker PCL | 104,700 | 146,806 | |||
BTS Group Holdings PCL | 619,900 | 273,177 | |||
Bumrungrad Hospital PCL | 31,200 | 153,116 | |||
Central Pattana PCL | 150,100 | 311,938 | |||
Charoen Pokphand Foods PCL | 359,700 | 330,234 | |||
Chularat Hospital PCL Class F | 887,900 | 76,477 | |||
Com7 PCL Class F | 84,500 | 74,757 | |||
CP ALL PCL | 524,300 | 1,264,639 | |||
Eastern Polymer Group PCL | 280,400 | 58,507 | |||
Electricity Generating PCL | 11,900 | 130,308 | |||
Energy Absolute PCL | 112,813 | 164,773 | |||
Erawan Group PCL | 394,000 | 78,264 | |||
GFPT PCL | 131,000 | 53,793 | |||
Global Green Chemicals PCL Class F | 177,600 | 74,707 | |||
Global Power Synergy PCL NVDR | 33,100 | 94,757 | |||
Gulf Energy Development PCL | 40,600 | 225,000 | |||
Gunkul Engineering PCL | 705,600 | 70,198 |
Security Description | Shares | Value | |||
Hana Microelectronics PCL | 82,100 | $94,561 | |||
Home Product Center PCL | 417,200 | 222,850 | |||
Indorama Ventures PCL | 175,900 | 205,533 | |||
Intouch Holdings PCL Class F | 115,700 | 221,135 | |||
IRPC PCL | 971,500 | 119,355 | |||
Italian-Thai Development PCL | 1,133,500 | 56,384 | |||
Jasmine International PCL | 363,100 | 60,610 | |||
Kasikornbank PCL | 49,300 | 247,703 | |||
Kasikornbank PCL NVDR | 52,500 | 264,658 | |||
Krung Thai Bank PCL | 364,900 | 199,787 | |||
Land & Houses PCL | 567,800 | 185,768 | |||
LPN Development PCL | 532,800 | 77,909 | |||
Major Cineplex Group PCL NVDR | 1,245 | 1,049 | |||
MBK PCL | 114,100 | 80,755 | |||
Minor International PCL | 236,350 | 284,058 | |||
Muangthai Capital PCL | 60,500 | 128,761 | |||
Origin Property PCL Class F | 286,100 | 66,860 | |||
Plan B Media PCL Class F | 267,000 | 67,744 | |||
PTG Energy PCL | 109,300 | 58,748 | |||
PTT Exploration & Production PCL | 145,100 | 603,095 | |||
PTT Global Chemical PCL | 213,000 | 405,325 | |||
PTT PCL | 1,103,600 | 1,621,113 | |||
Quality Houses PCL | 981,000 | 83,841 | |||
Ratchthani Leasing PCL | 298,000 | 57,702 | |||
Robinson PCL | 63,300 | 139,475 | |||
Sansiri PCL | 1,966,900 | 71,574 | |||
Siam Cement PCL | 67,165 | 878,978 | |||
Siam Commercial Bank PCL | 191,100 | 778,340 | |||
Siamgas & Petrochemicals PCL (b) | 242,200 | 78,432 | |||
Singha Estate PCL | 705,600 | 61,246 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 49,540 | |||
SPCG PCL NVDR | 112,855 | 73,846 | |||
Srisawad Corp. PCL | 84,900 | 194,154 | |||
Supalai PCL | 161,300 | 96,391 | |||
Super Energy Corp. PCL | 3,551,400 | 66,395 | |||
Thai Airways International PCL (a) | 242,200 | 55,388 | |||
Thai Oil PCL | 117,200 | 272,911 | |||
Thai Union Group PCL Class F | 244,000 | 109,970 | |||
Thai Vegetable Oil PCL | 83,600 | 76,752 | |||
Thonburi Healthcare Group PCL | 111,000 | 99,128 | |||
Thoresen Thai Agencies PCL | 422,000 | 62,552 | |||
TMB Bank PCL | 2,510,814 | 140,823 | |||
Total Access Communication PCL | 45,600 | 81,065 | |||
True Corp. PCL (b) | 1,001,312 | 153,772 | |||
U City PCL Class F (a) | 1,076,200 | 61,438 | |||
Unique Engineering & Construction PCL | 228,000 | 54,804 | |||
Univentures PCL | 358,100 | 77,110 | |||
Vinythai PCL | 85,300 | 71,905 |
Security Description | Shares | Value | |||
WHA Corp. PCL | 459,200 | $59,482 | |||
16,176,265 | |||||
TURKEY — 0.1% | |||||
Akbank T.A.S. (a) | 237,316 | 323,413 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | 89,279 | |||
Arcelik A/S (a) | 21,397 | 74,931 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 44,184 | 155,472 | |||
BIM Birlesik Magazalar A/S | 41,200 | 323,037 | |||
Eregli Demir ve Celik Fabrikalari TAS | 122,270 | 185,737 | |||
Ford Otomotiv Sanayi A/S | 6,094 | 72,553 | |||
Haci Omer Sabanci Holding A/S | 140,790 | 225,699 | |||
KOC Holding A/S | 71,562 | 244,352 | |||
TAV Havalimanlari Holding A/S | 12,185 | 59,748 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 12,883 | 274,503 | |||
Turk Hava Yollari AO (a) | 85,741 | 208,337 | |||
Turkcell Iletisim Hizmetleri A/S | 100,945 | 234,085 | |||
Turkiye Garanti Bankasi A/S (a) | 190,042 | 355,750 | |||
Turkiye Is Bankasi A/S Class C (a) | 164,039 | 176,691 | |||
3,003,587 | |||||
UNITED ARAB EMIRATES — 0.2% | |||||
Abu Dhabi Commercial Bank PJSC | 226,966 | 489,381 | |||
Air Arabia PJSC (a) | 303,107 | 132,857 | |||
Aldar Properties PJSC | 307,385 | 180,758 | |||
Amanat Holdings PJSC | 296,164 | 66,358 | |||
Borr Drilling, Ltd. (a)(b) | 8,712 | 75,111 | |||
Dana Gas PJSC | 290,758 | 75,912 | |||
Deyaar Development PJSC (a) | 788,713 | 80,522 | |||
DP World PLC | 14,508 | 190,055 | |||
Dubai Islamic Bank PJSC | 117,687 | 176,539 | |||
Emaar Malls PJSC | 267,179 | 133,111 | |||
Emaar Properties PJSC | 256,763 | 281,009 | |||
Emirates Telecommunications Group Co. PJSC | 116,409 | 518,479 | |||
Eshraq Properties Co. PJSC (a) | 830,947 | 73,070 | |||
First Abu Dhabi Bank PJSC | 196,038 | 809,097 | |||
National Central Cooling Co. PJSC | 146,926 | 76,800 | |||
Network International Holdings PLC (a)(d) | 19,295 | 163,846 | |||
NMC Health PLC (b) | 7,420 | 173,690 | |||
RAK Properties PJSC (a) | 457,854 | 54,222 | |||
Union Properties PJSC (a) | 971,470 | 72,203 | |||
3,823,020 | |||||
UNITED KINGDOM — 9.7% | |||||
3i Group PLC | 78,111 | 1,136,184 | |||
888 Holdings PLC | 47,272 | 103,329 | |||
A.G. Barr PLC | 16,160 | 124,166 | |||
AA PLC | 120,393 | 92,744 |
Security Description | Shares | Value | |||
AB Dynamics PLC | 2,636 | $73,333 | |||
Abcam PLC | 16,250 | 291,048 | |||
Admiral Group PLC | 16,286 | 498,164 | |||
Advanced Medical Solutions Group PLC | 26,844 | 105,262 | |||
Aggreko PLC | 11,794 | 130,086 | |||
Alfa Financial Software Holdings PLC (a)(d) | 72,989 | 116,031 | |||
Alliance Pharma PLC | 112,662 | 125,518 | |||
Amigo Holdings PLC (d) | 81,271 | 71,489 | |||
Anglo Pacific Group PLC | 29,575 | 75,225 | |||
Arrow Global Group PLC | 8,238 | 27,960 | |||
Ascential PLC (d) | 30,220 | 156,853 | |||
Ashmore Group PLC | 13,480 | 92,503 | |||
Ashtead Group PLC | 35,990 | 1,150,942 | |||
ASOS PLC (a) | 5,014 | 224,045 | |||
Associated British Foods PLC | 28,388 | 977,030 | |||
Assura PLC REIT | 222,728 | 229,556 | |||
AstraZeneca PLC | 100,543 | 10,132,099 | |||
Auto Trader Group PLC (d) | 73,019 | 575,168 | |||
Avast PLC (d) | 35,155 | 210,876 | |||
AVEVA Group PLC | 2,456 | 151,487 | |||
Aviva PLC | 311,327 | 1,726,847 | |||
B&M European Value Retail SA | 53,044 | 287,826 | |||
Babcock International Group PLC | 10,844 | 90,417 | |||
BAE Systems PLC | 248,517 | 1,859,452 | |||
Balfour Beatty PLC | 33,378 | 115,585 | |||
Bank of Georgia Group PLC | 5,714 | 123,006 | |||
Barclays PLC | 1,320,437 | 3,142,352 | |||
Barratt Developments PLC | 78,731 | 778,696 | |||
BBA Aviation PLC (a) | 96,589 | 405,878 | |||
Beazley PLC | 25,648 | 188,913 | |||
Bellway PLC | 7,243 | 365,288 | |||
Berkeley Group Holdings PLC | 9,391 | 604,495 | |||
Biffa PLC (d) | 23,119 | 83,918 | |||
Big Yellow Group PLC REIT | 14,991 | 238,312 | |||
Blue Prism Group PLC (a) | 6,473 | 97,156 | |||
Bodycote PLC | 9,538 | 120,290 | |||
boohoo Group PLC (a) | 61,003 | 240,744 | |||
Bovis Homes Group PLC | 11,282 | 202,964 | |||
BP PLC | 1,551,884 | 9,695,433 | |||
British American Tobacco PLC | 175,797 | 7,525,750 | |||
British Land Co. PLC REIT | 70,342 | 595,270 | |||
Britvic PLC | 11,396 | 136,551 | |||
BT Group PLC | 648,873 | 1,654,205 | |||
Bunzl PLC | 26,997 | 738,533 | |||
Burberry Group PLC | 32,429 | 947,275 | |||
Cairn Energy PLC | 56,269 | 152,812 | |||
Capita PLC (a) | 140,018 | 304,387 | |||
Capital & Counties Properties PLC | 36,111 | 125,192 | |||
Card Factory PLC | 45,059 | 88,284 | |||
Centrica PLC | 458,608 | 542,534 | |||
Cineworld Group PLC (b) | 58,020 | 168,405 |
Security Description | Shares | Value | |||
Civitas Social Housing PLC REIT | 94,438 | $114,222 | |||
Clinigen Healthcare, Ltd. (a) | 6,639 | 81,310 | |||
Close Brothers Group PLC | 1,484 | 31,416 | |||
CNH Industrial NV | 83,485 | 917,439 | |||
Coats Group PLC | 90,858 | 89,792 | |||
Cobham PLC | 146,732 | 319,275 | |||
Coca-Cola European Partners PLC (c) | 9,300 | 473,184 | |||
Coca-Cola European Partners PLC (c) | 11,838 | 593,316 | |||
Compass Group PLC | 121,601 | 3,044,620 | |||
Computacenter PLC | 4,544 | 106,729 | |||
ConvaTec Group PLC (d) | 109,292 | 287,325 | |||
Countryside Properties PLC (d) | 43,262 | 260,881 | |||
Craneware PLC | 1,700 | 58,104 | |||
Cranswick PLC | 3,482 | 156,373 | |||
Crest Nicholson Holdings PLC | 28,002 | 160,179 | |||
Croda International PLC | 10,490 | 711,508 | |||
Custodian Reit PLC | 48,411 | 73,111 | |||
CVS Group PLC | 6,658 | 100,991 | |||
Daily Mail & General Trust PLC Class A | 6,851 | 75,239 | |||
Dart Group PLC | 7,820 | 175,491 | |||
DCC PLC | 7,646 | 662,845 | |||
De La Rue PLC | 25,937 | 48,929 | |||
Dechra Pharmaceuticals PLC | 7,491 | 287,788 | |||
Derwent London PLC REIT | 6,269 | 333,025 | |||
Diageo PLC | 180,476 | 7,651,938 | |||
Dialog Semiconductor PLC (a) | 6,000 | 303,816 | |||
Dignity PLC | 11,318 | 87,787 | |||
Diploma PLC | 9,179 | 246,116 | |||
Direct Line Insurance Group PLC | 115,936 | 479,957 | |||
Dixons Carphone PLC | 75,099 | 143,461 | |||
Domino's Pizza Group PLC | 38,448 | 163,091 | |||
Drax Group PLC | 32,404 | 134,791 | |||
DS Smith PLC | 101,297 | 515,571 | |||
Dunelm Group PLC | 6,935 | 106,203 | |||
easyJet PLC | 12,809 | 241,720 | |||
EI Group PLC (a) | 25,370 | 95,382 | |||
Electrocomponents PLC | 24,703 | 221,747 | |||
Elementis PLC | 57,380 | 136,065 | |||
EMIS Group PLC | 9,755 | 143,186 | |||
Empiric Student Property PLC REIT | 78,997 | 102,035 | |||
EnQuest PLC (a) | 305,590 | 87,200 | |||
Equiniti Group PLC (d) | 29,179 | 79,784 | |||
Essentra PLC | 20,843 | 120,222 | |||
Euromoney Institutional Investor PLC | 8,298 | 143,126 | |||
Experian PLC | 69,537 | 2,350,882 | |||
Fevertree Drinks PLC | 9,051 | 250,957 | |||
Fiat Chrysler Automobiles NV | 85,257 | 1,262,678 | |||
First Derivatives PLC | 2,570 | 93,286 | |||
Firstgroup PLC (a) | 94,834 | 157,542 | |||
FLEX LNG, Ltd. (b) | 7,577 | 78,380 |
Security Description | Shares | Value | |||
Forterra PLC (d) | 29,434 | $135,110 | |||
Frasers Group PLC (a) | 19,990 | 121,445 | |||
Frontier Developments PLC (a) | 5,571 | 90,186 | |||
Funding Circle Holdings PLC (a)(d) | 129,936 | 150,444 | |||
Future PLC | 9,077 | 174,359 | |||
G4S PLC | 130,844 | 377,872 | |||
Galliford Try PLC | 9,905 | 112,781 | |||
Games Workshop Group PLC | 2,919 | 236,077 | |||
GB Group PLC (b) | 14,835 | 153,291 | |||
GCP Student Living PLC REIT | 70,906 | 185,987 | |||
Genus PLC | 4,421 | 186,010 | |||
GlaxoSmithKline PLC | 382,904 | 9,024,019 | |||
Go-Ahead Group PLC | 4,113 | 120,307 | |||
Gocompare.Com Group PLC | 68,401 | 94,239 | |||
Grafton Group PLC | 19,660 | 225,807 | |||
Grainger PLC | 37,457 | 155,414 | |||
Great Portland Estates PLC REIT | 14,956 | 170,392 | |||
Greggs PLC | 7,202 | 219,249 | |||
Gulf Keystone Petroleum, Ltd. | 25,819 | 72,683 | |||
GVC Holdings PLC | 45,480 | 532,728 | |||
Halfords Group PLC | 44,124 | 98,961 | |||
Halma PLC | 29,869 | 837,280 | |||
Hammerson PLC REIT | 65,689 | 268,636 | |||
Hansteen Holdings PLC REIT | 61,415 | 94,703 | |||
Hargreaves Lansdown PLC | 22,492 | 576,558 | |||
Hays PLC | 80,561 | 193,809 | |||
Helical PLC | 16,644 | 104,513 | |||
Hill & Smith Holdings PLC | 6,431 | 125,492 | |||
Hiscox, Ltd. | 16,105 | 303,812 | |||
HomeServe PLC | 15,338 | 256,832 | |||
Hotel Chocolat Group PLC (b) | 15,284 | 90,101 | |||
Howden Joinery Group PLC | 41,841 | 372,815 | |||
HSBC Holdings PLC | 1,544,050 | 12,107,204 | |||
Hunting PLC | 13,720 | 75,865 | |||
Hurricane Energy PLC (a)(b) | 148,745 | 66,012 | |||
Ibstock PLC (d) | 26,496 | 110,567 | |||
IG Design Group PLC (b) | 11,749 | 110,819 | |||
IG Group Holdings PLC | 26,209 | 241,307 | |||
IMI PLC | 8,960 | 139,945 | |||
Imperial Brands PLC | 74,499 | 1,844,565 | |||
Inchcape PLC | 21,709 | 203,039 | |||
Indivior PLC (a) | 116,804 | 60,347 | |||
Informa PLC | 97,723 | 1,109,460 | |||
InterContinental Hotels Group PLC | 13,938 | 961,625 | |||
Intermediate Capital Group PLC | 14,951 | 318,882 | |||
International Personal Finance PLC | 52,617 | 112,224 | |||
Intertek Group PLC | 12,362 | 958,357 | |||
Intu Properties PLC REIT (a) | 136,789 | 61,612 | |||
iomart Group PLC (b) | 15,727 | 77,608 | |||
IQE PLC (a)(b) | 95,123 | 61,747 | |||
ITE Group PLC | 92,034 | 124,361 | |||
ITV PLC | 291,131 | 582,371 |
Security Description | Shares | Value | |||
J D Wetherspoon PLC | 3,719 | $81,932 | |||
J Sainsbury PLC | 144,005 | 438,582 | |||
JD Sports Fashion PLC | 35,004 | 388,316 | |||
John Laing Group PLC (d) | 15,956 | 80,323 | |||
John Menzies PLC | 4,460 | 27,947 | |||
John Wood Group PLC | 48,311 | 255,040 | |||
Johnson Matthey PLC | 15,668 | 621,856 | |||
JPJ Group PLC (a) | 8,539 | 79,976 | |||
Just Eat PLC (a) | 49,502 | 547,444 | |||
Just Group PLC (a) | 106,609 | 111,572 | |||
Kainos Group PLC | 12,651 | 124,355 | |||
Keller Group PLC | 10,427 | 103,599 | |||
Kingfisher PLC | 168,908 | 485,561 | |||
Lancashire Holdings, Ltd. | 9,903 | 100,623 | |||
Land Securities Group PLC REIT | 54,568 | 715,661 | |||
Learning Technologies Group PLC | 39,365 | 74,573 | |||
Legal & General Group PLC | 463,762 | 1,861,538 | |||
Lloyds Banking Group PLC | 5,363,693 | 4,440,973 | |||
London Stock Exchange Group PLC | 24,236 | 2,488,266 | |||
LondonMetric Property PLC REIT | 51,511 | 161,454 | |||
Lookers PLC | 98,839 | 72,015 | |||
LXI REIT PLC | 73,462 | 136,246 | |||
M&G PLC (a) | 211,673 | 665,142 | |||
Man Group PLC | 74,441 | 155,813 | |||
Marks & Spencer Group PLC | 149,883 | 423,920 | |||
Marshalls PLC | 11,929 | 135,905 | |||
Marston's PLC | 55,445 | 93,429 | |||
McCarthy & Stone PLC (d) | 54,789 | 108,147 | |||
Meggitt PLC | 64,866 | 564,397 | |||
Melrose Industries PLC | 377,318 | 1,200,145 | |||
Micro Focus International PLC ADR (b) | 15,603 | 218,910 | |||
Micro Focus International PLC | 27,764 | 391,270 | |||
Mitchells & Butlers PLC (a) | 14,523 | 88,405 | |||
Mitie Group PLC | 40,206 | 77,231 | |||
Mondi PLC | 22,277 | 523,091 | |||
Mondi PLC | 15,186 | 354,349 | |||
Moneysupermarket.com Group PLC | 36,886 | 161,547 | |||
Morgan Advanced Materials PLC | 31,654 | 132,930 | |||
Morgan Sindall Group PLC | 4,942 | 106,060 | |||
National Express Group PLC | 17,366 | 108,034 | |||
National Grid PLC | 260,822 | 3,262,784 | |||
NCC Group PLC | 31,770 | 94,907 | |||
NewRiver REIT PLC | 51,107 | 135,747 | |||
Next PLC | 10,087 | 937,799 | |||
Northern Drilling, Ltd. (a) | 26,942 | 63,313 | |||
Northgate PLC | 17,544 | 72,281 | |||
Numis Corp. PLC | 24,944 | 98,803 | |||
Ocado Group PLC (a) | 35,490 | 601,327 | |||
On the Beach Group PLC (d) | 15,830 | 102,212 | |||
OneSavings Bank PLC | 30,027 | 172,399 |
Security Description | Shares | Value | |||
Oxford Biomedica PLC (a) | 16,489 | $140,893 | |||
P2P Global Investments PLC | 6,909 | 75,967 | |||
Pagegroup PLC | 21,792 | 150,985 | |||
Paragon Banking Group PLC | 23,278 | 166,214 | |||
Pearson PLC | 63,737 | 537,855 | |||
Pennon Group PLC | 19,455 | 264,173 | |||
Persimmon PLC | 24,586 | 877,770 | |||
Petrofac, Ltd. | 14,738 | 74,758 | |||
Pets at Home Group PLC | 44,934 | 166,436 | |||
Phoenix Group Holdings PLC | 26,401 | 261,961 | |||
Photo-Me International PLC | 61,020 | 78,411 | |||
Picton Property Income, Ltd. REIT (a) | 95,313 | 122,478 | |||
Playtech PLC | 22,457 | 118,107 | |||
Polypipe Group PLC | 19,986 | 142,973 | |||
Premier Oil PLC (a)(b) | 77,550 | 100,885 | |||
Primary Health Properties PLC REIT | 114,566 | 242,834 | |||
Provident Financial PLC | 25,086 | 151,907 | |||
Prudential PLC | 200,158 | 3,842,160 | |||
Purplebricks Group PLC (a) | 52,714 | 89,805 | |||
QinetiQ Group PLC | 18,666 | 88,476 | |||
Quilter PLC (d) | 92,093 | 196,481 | |||
Rathbone Brothers PLC | 2,570 | 72,518 | |||
RDI REIT PLC | 50,651 | 87,901 | |||
Reckitt Benckiser Group PLC | 54,275 | 4,406,803 | |||
Redde PLC | 61,923 | 86,954 | |||
Redrow PLC | 12,613 | 124,483 | |||
Regional REIT, Ltd. (d) | 91,945 | 137,882 | |||
RELX PLC (c) | 130,593 | 3,296,575 | |||
RELX PLC (c) | 16,922 | 426,626 | |||
Renishaw PLC | 2,251 | 112,362 | |||
Rentokil Initial PLC | 145,143 | 871,021 | |||
Restaurant Group PLC | 51,115 | 110,375 | |||
Restore PLC | 14,057 | 102,421 | |||
Rightmove PLC | 54,009 | 453,331 | |||
Rio Tinto PLC | 86,554 | 5,163,251 | |||
Rio Tinto, Ltd. | 28,773 | 2,030,689 | |||
Rolls-Royce Holdings PLC | 133,825 | 1,211,209 | |||
Rotork PLC | 25,478 | 113,069 | |||
Royal Bank of Scotland Group PLC | 371,133 | 1,181,456 | |||
Royal Mail PLC | 70,186 | 210,411 | |||
RPS Group PLC | 45,184 | 102,117 | |||
RSA Insurance Group PLC | 86,684 | 649,505 | |||
RWS Holdings PLC | 12,158 | 98,087 | |||
Sabre Insurance Group PLC (d) | 20,082 | 81,939 | |||
Safestore Holdings PLC REIT | 14,866 | 158,732 | |||
Saga PLC | 124,644 | 87,515 | |||
Sage Group PLC | 88,805 | 881,157 | |||
Sanne Group PLC | 12,797 | 114,771 | |||
Savills PLC | 10,943 | 164,538 | |||
Scapa Group PLC (b) | 28,695 | 92,753 | |||
Schroder Real Estate Investment Trust, Ltd. | 105,428 | 77,235 | |||
Schroders PLC | 12,534 | 553,592 |
Security Description | Shares | Value | |||
Segro PLC REIT | 86,987 | $1,033,898 | |||
Senior PLC | 31,367 | 71,846 | |||
Serco Group PLC (a) | 87,519 | 187,708 | |||
Serica Energy PLC (a) | 48,012 | 82,176 | |||
Severn Trent PLC | 20,152 | 671,414 | |||
SIG PLC | 71,606 | 116,678 | |||
Signature Aviation PLC | 142,333 | 598,099 | |||
Smart Metering Systems PLC (b) | 13,920 | 104,189 | |||
Smith & Nephew PLC | 67,932 | 1,649,121 | |||
Smiths Group PLC | 32,901 | 735,289 | |||
Softcat PLC | 5,833 | 89,018 | |||
Sophos Group PLC (d) | 35,301 | 260,949 | |||
Spectris PLC | 6,740 | 259,471 | |||
Spirax-Sarco Engineering PLC | 5,889 | 693,550 | |||
Spire Healthcare Group PLC (d) | 49,079 | 92,325 | |||
Spirent Communications PLC | 37,618 | 125,334 | |||
SSE PLC | 80,128 | 1,526,962 | |||
SSP Group PLC | 22,847 | 196,733 | |||
St James's Place PLC | 45,874 | 707,685 | |||
St Modwen Properties PLC | 17,643 | 116,162 | |||
Stagecoach Group PLC | 45,711 | 96,889 | |||
Standard Chartered PLC | 210,531 | 1,986,891 | |||
Standard Life Aberdeen PLC | 194,372 | 844,839 | |||
Standard Life Investment Property Income Trust, Ltd. REIT | 64,848 | 78,176 | |||
Stobart Group, Ltd. | 4,513 | 6,445 | |||
Subsea 7 SA | 16,394 | 195,800 | |||
Superdry PLC | 20,715 | 138,172 | |||
Synthomer PLC | 20,813 | 97,550 | |||
TalkTalk Telecom Group PLC | 67,139 | 103,262 | |||
Tate & Lyle PLC | 21,229 | 213,792 | |||
Taylor Wimpey PLC | 256,462 | 657,073 | |||
Telecom Plus PLC | 4,674 | 93,002 | |||
Tesco PLC | 754,308 | 2,550,137 | |||
TORM PLC (a) | 8,442 | 94,476 | |||
TP ICAP PLC | 26,809 | 145,151 | |||
Trainline PLC (a)(d) | 25,841 | 173,561 | |||
Travis Perkins PLC | 16,011 | 339,794 | |||
Tritax Big Box REIT PLC | 92,068 | 181,487 | |||
Tullow Oil PLC | 111,829 | 94,813 | |||
UK Commercial Property REIT, Ltd. | 128,022 | 150,602 | |||
Ultra Electronics Holdings PLC | 5,270 | 147,588 | |||
Unilever NV | 113,385 | 6,520,278 | |||
Unilever PLC | 85,689 | 4,938,538 | |||
UNITE Group PLC REIT | 11,698 | 195,261 | |||
United Utilities Group PLC | 56,672 | 708,270 | |||
Urban & Civic PLC | 24,078 | 110,046 | |||
Vectura Group PLC | 109,978 | 135,058 | |||
Victoria PLC (a) | 5,835 | 33,239 | |||
Victrex PLC | 5,861 | 193,643 | |||
Virgin Money UK PLC | 115,808 | 289,267 | |||
Vodafone Group PLC | 2,047,018 | 3,979,821 | |||
Watkin Jones PLC | 28,675 | 92,309 |
Security Description | Shares | Value | |||
Weir Group PLC | 21,426 | $428,458 | |||
WH Smith PLC | 5,357 | 184,514 | |||
Whitbread PLC | 10,760 | 690,764 | |||
William Hill PLC | 67,820 | 169,312 | |||
Wm Morrison Supermarkets PLC | 197,023 | 521,491 | |||
Workspace Group PLC REIT | 11,884 | 187,031 | |||
WPP PLC | 98,454 | 1,391,004 | |||
204,045,079 | |||||
UNITED STATES — 0.2% | |||||
Alacer Gold Corp. (a) | 26,200 | 139,410 | |||
Bizlink Holding, Inc. | 10,000 | 75,224 | |||
BRP, Inc. | 2,900 | 132,303 | |||
Burford Capital, Ltd. | 18,434 | 173,874 | |||
Carnival PLC | 12,859 | 620,754 | |||
Constellium SE (a) | 9,200 | 123,280 | |||
Cott Corp. | 7,600 | 103,971 | |||
Diversified Gas & Oil PLC | 66,708 | 94,116 | |||
Ferguson PLC | 17,703 | 1,606,466 | |||
QIAGEN NV (a) | 17,786 | 608,127 | |||
Reliance Worldwide Corp., Ltd. (b) | 59,318 | 168,458 | |||
Sims Metal Management, Ltd. (b) | 10,544 | 79,085 | |||
3,925,068 | |||||
ZAMBIA — 0.0% (e) | |||||
First Quantum Minerals, Ltd. | 53,200 | 540,308 | |||
TOTAL COMMON STOCKS (Cost $1,713,076,906) | 2,011,671,198 |
RIGHTS — 0.0% (e) | |||
BRAZIL — 0.0% (e) | |||
Lojas Americanas SA (expiring 1/8/20) (a) | 715 | 1,671 | |
CHINA — 0.0% (e) | |||
Legend Holdings Corp. (expiring 5/19/23) (a) (f) | 4,638 | — | |
INDIA — 0.0% (e) | |||
Piramal Enterprises, Ltd. (expiring 1/20/20) (a) | 973 | 3,048 | |
SPAIN — 0.0% (e) | |||
Repsol SA, (expiring 1/21/20) (a) | 149,734 | 71,096 | |
TOTAL RIGHTS (Cost $70,709) | 75,815 | ||
WARRANTS — 0.0% (e) | |||
THAILAND — 0.0% (e) | |||
BTS Group Holdings PCL (expiring 12/16/20) (a) | 61,990 | — |
Security Description | Shares | Value | ||||
Minor International PCL (expiring 12/31/21) (a) | 2,000 | $215 | ||||
Minor International PCL (expiring 9/30/21) (a) | 9,818 | 1,055 | ||||
TOTAL WARRANTS (Cost $0) | 1,270 | |||||
SHORT-TERM INVESTMENTS — 6.9% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (g) (h) | 118,930,112 | 118,942,005 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 25,878,290 | 25,878,290 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $144,820,393) | 144,820,295 | |||||
TOTAL INVESTMENTS — 102.8% (Cost $1,857,968,008) | 2,156,568,578 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.8)% | (59,269,676) | |||||
NET ASSETS — 100.0% | $2,097,298,902 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(c) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.5% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(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. Security value is determined based on Level 3 inputs. As of December 31, 2019, total aggregate fair value of the security is $1,134, representing less than 0.05% of the Fund's net assets. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(i) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non Voting Depositary Receipt |
REIT | Real Estate Investment Trust |
SDR | Swedish Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
S&P/TSX 60 Index Future (long) | 39 | 03/19/2020 | $6,085,089 | $6,089,624 | $4,535 | |||||
Mini MSCI Emerging Markets (long) | 311 | 03/20/2020 | 17,298,558 | 17,419,110 | 120,552 | |||||
Mini MSCI EAFE (long) | 596 | 03/20/2020 | 60,158,153 | 60,687,700 | 529,547 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $654,634 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,995,377,692 | $16,292,372 | $1,134 | $2,011,671,198 | ||||
Rights | 72,767 | 3,048 | 0(a) | 75,815 | ||||
Warrants | 1,270 | — | — | 1,270 | ||||
Short-Term Investments | 144,820,295 | — | — | 144,820,295 | ||||
TOTAL INVESTMENTS | $2,140,272,024 | $16,295,420 | $1,134 | $2,156,568,578 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 654,634 | — | — | 654,634 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $654,634 | $— | $— | $654,634 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $2,140,926,658 | $16,295,420 | $1,134 | $2,157,223,212 |
(a) | Fund held a Level 3 security that was valued at $0 at December 31, 2019. |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $348,498,995 | $229,558,928 | $2,036 | $(98) | 118,930,112 | $118,942,005 | $527,132 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 60,832,438 | 60,832,438 | 357,336,232 | 418,168,670 | — | — | — | — | 1,088,789 | ||||||||
State Street Navigator Securities Lending Portfolio II | 40,202,405 | 40,202,405 | 542,034,588 | 556,358,703 | — | — | 25,878,290 | 25,878,290 | 715,164 | ||||||||
Total | $101,034,843 | $1,247,869,815 | $1,204,086,301 | $2,036 | $(98) | $144,820,295 | $2,331,085 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.1% | ||||||
AEROSPACE & DEFENSE — 1.4% | ||||||
AAR Corp. | 4,660 | $210,166 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) | 10,279 | 469,339 | ||||
AeroVironment, Inc. (a) | 3,000 | 185,220 | ||||
Astronics Corp. (a) | 3,268 | 91,341 | ||||
Axon Enterprise, Inc. (a) | 8,192 | 600,310 | ||||
BWX Technologies, Inc. (b) | 13,526 | 839,694 | ||||
Cubic Corp. | 4,400 | 279,708 | ||||
Curtiss-Wright Corp. | 6,040 | 850,976 | ||||
Ducommun, Inc. (a) | 1,500 | 75,795 | ||||
HEICO Corp. | 5,482 | 625,770 | ||||
HEICO Corp. Class A | 10,797 | 966,656 | ||||
Hexcel Corp. | 12,017 | 880,966 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 12,700 | 228,727 | ||||
Maxar Technologies, Inc. (a) | 8,400 | 131,628 | ||||
Mercury Systems, Inc. (a) | 7,700 | 532,147 | ||||
Moog, Inc. Class A | 4,554 | 388,593 | ||||
National Presto Industries, Inc. (b) | 665 | 58,779 | ||||
Park Aerospace Corp. | 2,600 | 42,302 | ||||
Parsons Corp. (a) | 2,720 | 112,282 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 14,639 | 1,066,890 | ||||
Teledyne Technologies, Inc. (a) | 5,065 | 1,755,225 | ||||
Triumph Group, Inc. | 7,045 | 178,027 | ||||
Vectrus, Inc. (a) | 1,600 | 82,016 | ||||
Wesco Aircraft Holdings, Inc. (a) | 7,500 | 82,650 | ||||
10,735,207 | ||||||
AIR FREIGHT & LOGISTICS — 0.3% | ||||||
Air Transport Services Group, Inc. (a) | 8,200 | 192,372 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,282 | 90,485 | ||||
Echo Global Logistics, Inc. (a) | 3,736 | 77,335 | ||||
Forward Air Corp. | 4,000 | 279,800 | ||||
Hub Group, Inc. Class A (a) | 4,517 | 231,677 | ||||
Radiant Logistics, Inc. (a) | 5,553 | 30,930 | ||||
XPO Logistics, Inc. (a) (b) | 12,959 | 1,032,832 | ||||
1,935,431 | ||||||
AIRLINES — 0.3% | ||||||
Allegiant Travel Co. | 1,876 | 326,499 | ||||
Copa Holdings SA Class A | 4,446 | 480,524 | ||||
Hawaiian Holdings, Inc. (b) | 6,545 | 191,703 | ||||
JetBlue Airways Corp. (a) | 40,836 | 764,450 | ||||
Mesa Air Group, Inc. (a) | 3,300 | 29,502 | ||||
SkyWest, Inc. | 7,000 | 452,410 | ||||
Spirit Airlines, Inc. (a) | 9,690 | 390,604 | ||||
2,635,692 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC (a) | 12,400 | 263,500 | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 15,750 | 169,470 |
Security Description | Shares | Value | ||||
Cooper Tire & Rubber Co. | 7,100 | $204,125 | ||||
Cooper-Standard Holdings, Inc. (a) | 2,390 | 79,252 | ||||
Dana, Inc. | 20,347 | 370,315 | ||||
Dorman Products, Inc. (a) | 3,799 | 287,660 | ||||
Fox Factory Holding Corp. (a) | 5,300 | 368,721 | ||||
Gentex Corp. | 35,923 | 1,041,049 | ||||
Gentherm, Inc. (a) | 4,654 | 206,591 | ||||
Goodyear Tire & Rubber Co. | 33,000 | 513,315 | ||||
LCI Industries | 3,398 | 364,028 | ||||
Lear Corp. | 8,629 | 1,183,899 | ||||
Modine Manufacturing Co. (a) | 6,983 | 53,769 | ||||
Motorcar Parts of America, Inc. (a) (b) | 2,600 | 57,278 | ||||
Standard Motor Products, Inc. | 3,008 | 160,086 | ||||
Stoneridge, Inc. (a) | 3,782 | 110,888 | ||||
Tenneco, Inc. Class A | 7,168 | 93,901 | ||||
Visteon Corp. (a) | 3,937 | 340,905 | ||||
5,868,752 | ||||||
AUTOMOBILES — 1.2% | ||||||
Tesla, Inc. (a) | 20,167 | 8,436,461 | ||||
Thor Industries, Inc. (b) | 7,508 | 557,769 | ||||
Winnebago Industries, Inc. (b) | 4,400 | 233,112 | ||||
9,227,342 | ||||||
BANKS — 6.3% | ||||||
1st Constitution Bancorp | 1,200 | 26,556 | ||||
1st Source Corp. | 2,020 | 104,798 | ||||
ACNB Corp. | 920 | 34,794 | ||||
Allegiance Bancshares, Inc. (a) (b) | 2,700 | 101,520 | ||||
Amalgamated Bank Class A | 2,000 | 38,900 | ||||
Amerant Bancorp, Inc. (a) | 2,700 | 58,833 | ||||
American National Bankshares, Inc. | 1,500 | 59,355 | ||||
Ameris Bancorp | 8,644 | 367,716 | ||||
Ames National Corp. | 1,202 | 33,728 | ||||
Arrow Financial Corp. | 1,837 | 69,439 | ||||
Associated Banc-Corp. | 22,330 | 492,153 | ||||
Atlantic Capital Bancshares, Inc. (a) | 3,000 | 55,050 | ||||
Atlantic Union Bankshares Corp. | 11,319 | 425,028 | ||||
Banc of California, Inc. | 6,413 | 110,175 | ||||
BancFirst Corp. | 2,652 | 165,591 | ||||
Bancorp, Inc. (a) | 7,100 | 92,087 | ||||
BancorpSouth Bank | 13,955 | 438,327 | ||||
Bank Firstl Corp. (b) | 800 | 56,008 | ||||
Bank of Commerce Holdings | 2,429 | 28,104 | ||||
Bank of Hawaii Corp. (b) | 5,626 | 535,370 | ||||
Bank of Marin Bancorp | 1,844 | 83,072 | ||||
Bank of NT Butterfield & Son, Ltd. | 7,800 | 288,756 | ||||
Bank of Princeton (b) | 900 | 28,341 | ||||
Bank OZK | 17,257 | 526,425 | ||||
Bank7 Corp. | 500 | 9,480 | ||||
BankFinancial Corp. | 2,191 | 28,658 | ||||
BankUnited, Inc. | 13,327 | 487,235 | ||||
Bankwell Financial Group, Inc. | 900 | 25,956 | ||||
Banner Corp. | 5,000 | 282,950 | ||||
Bar Harbor Bankshares | 2,180 | 55,350 | ||||
Baycom Corp. (a) | 1,520 | 34,565 |
Security Description | Shares | Value | |||
BCB Bancorp, Inc. | 2,000 | $27,580 | |||
Berkshire Hills Bancorp, Inc. | 6,316 | 207,670 | |||
BOK Financial Corp. | 4,608 | 402,739 | |||
Boston Private Financial Holdings, Inc. | 11,665 | 140,330 | |||
Bridge Bancorp, Inc. | 2,300 | 77,119 | |||
Brookline Bancorp, Inc. | 11,100 | 182,706 | |||
Bryn Mawr Bank Corp. | 2,805 | 115,678 | |||
Business First Bancshares, Inc. | 1,800 | 44,874 | |||
Byline Bancorp, Inc. | 3,300 | 64,581 | |||
C&F Financial Corp. | 500 | 27,665 | |||
Cadence BanCorp | 17,700 | 320,901 | |||
Cambridge Bancorp | 600 | 48,090 | |||
Camden National Corp. | 2,102 | 96,818 | |||
Capital Bancorp, Inc. (a) | 1,100 | 16,379 | |||
Capital City Bank Group, Inc. | 1,900 | 57,950 | |||
Capstar Financial Holdings, Inc. | 2,100 | 34,965 | |||
Carolina Financial Corp. | 3,300 | 142,659 | |||
Carter Bank & Trust (a) | 3,200 | 75,904 | |||
Cathay General Bancorp | 10,854 | 412,995 | |||
CBTX, Inc. | 2,490 | 77,489 | |||
CenterState Bank Corp. | 17,029 | 425,384 | |||
Central Pacific Financial Corp. | 3,954 | 116,959 | |||
Central Valley Community Bancorp | 1,600 | 34,672 | |||
Century Bancorp, Inc. Class A | 436 | 39,223 | |||
Chemung Financial Corp. | 600 | 25,500 | |||
CIT Group, Inc. | 13,459 | 614,134 | |||
Citizens & Northern Corp. | 1,700 | 48,025 | |||
City Holding Co. | 2,249 | 184,306 | |||
Civista Bancshares, Inc. | 2,200 | 52,800 | |||
CNB Financial Corp. | 2,000 | 65,360 | |||
Coastal Financial Corp. (a) | 1,100 | 18,117 | |||
Codorus Valley Bancorp, Inc. | 1,514 | 34,867 | |||
Colony Bankcorp, Inc. | 1,200 | 19,800 | |||
Columbia Banking System, Inc. | 10,158 | 413,278 | |||
Commerce Bancshares, Inc. (b) | 14,380 | 976,947 | |||
Community Bank System, Inc. | 7,139 | 506,441 | |||
Community Bankers Trust Corp. | 2,999 | 26,631 | |||
Community Financial Corp. | 800 | 28,456 | |||
Community Trust Bancorp, Inc. | 2,203 | 102,748 | |||
ConnectOne Bancorp, Inc. | 4,834 | 124,330 | |||
CrossFirst Bankshares, Inc. (a) (b) | 1,000 | 14,420 | |||
Cullen/Frost Bankers, Inc. (b) | 8,056 | 787,716 | |||
Customers Bancorp, Inc. (a) | 4,000 | 95,240 | |||
CVB Financial Corp. | 18,800 | 405,704 | |||
Dime Community Bancshares, Inc. | 4,500 | 94,005 | |||
Eagle Bancorp, Inc. | 4,600 | 223,698 | |||
East West Bancorp, Inc. | 20,586 | 1,002,538 | |||
Enterprise Bancorp, Inc. | 1,278 | 43,286 | |||
Enterprise Financial Services Corp. | 3,400 | 163,914 | |||
Equity Bancshares, Inc. Class A (a) | 2,100 | 64,827 | |||
Esquire Financial Holdings, Inc. (a) | 1,000 | 26,070 | |||
Evans Bancorp, Inc. | 700 | 28,070 | |||
Farmers & Merchants Bancorp, Inc. (b) | 1,424 | 42,934 | |||
Farmers National Banc Corp. | 3,566 | 58,197 |
Security Description | Shares | Value | |||
FB Financial Corp. | 2,400 | $95,016 | |||
Fidelity D&D Bancorp, Inc. (b) | 400 | 24,884 | |||
Financial Institutions, Inc. | 2,180 | 69,978 | |||
First BanCorp | 30,300 | 320,877 | |||
First Bancorp, Inc. | 1,400 | 42,322 | |||
First BanCorp/Southern Pines | 4,113 | 164,150 | |||
First Bancshares, Inc. | 2,300 | 81,696 | |||
First Bank | 2,300 | 25,415 | |||
First Busey Corp. | 7,249 | 199,347 | |||
First Business Financial Services, Inc. | 1,200 | 31,596 | |||
First Capital, Inc. (b) | 500 | 36,500 | |||
First Choice Bancorp | 1,420 | 38,283 | |||
First Citizens BancShares, Inc. Class A | 990 | 526,888 | |||
First Commonwealth Financial Corp. | 13,800 | 200,238 | |||
First Community Bankshares, Inc. | 2,100 | 65,142 | |||
First Financial Bancorp | 13,782 | 350,614 | |||
First Financial Bankshares, Inc. (b) | 18,402 | 645,910 | |||
First Financial Corp. | 1,800 | 82,296 | |||
First Financial Northwest, Inc. | 1,165 | 17,405 | |||
First Foundation, Inc. | 5,550 | 96,570 | |||
First Guaranty Bancshares, Inc. | 803 | 17,481 | |||
First Hawaiian, Inc. | 18,600 | 536,610 | |||
First Horizon National Corp. | 43,655 | 722,927 | |||
First Internet Bancorp | 1,500 | 35,565 | |||
First Interstate BancSystem, Inc. Class A | 5,382 | 225,613 | |||
First Merchants Corp. | 7,720 | 321,075 | |||
First Mid-Illinois Bancshares, Inc. | 2,100 | 74,025 | |||
First Midwest Bancorp, Inc. | 15,034 | 346,684 | |||
First Northwest Bancorp | 1,202 | 21,792 | |||
First of Long Island Corp. | 3,250 | 81,510 | |||
Flushing Financial Corp. | 3,800 | 82,099 | |||
FNB Corp. | 45,933 | 583,349 | |||
FNCB Bancorp, Inc. | 2,700 | 22,815 | |||
Franklin Financial Network, Inc. | 1,855 | 63,682 | |||
Franklin Financial Services Corp. | 600 | 23,214 | |||
Fulton Financial Corp. | 22,600 | 393,918 | |||
FVCBankcorp, Inc. (a) | 1,700 | 29,699 | |||
German American Bancorp, Inc. | 3,504 | 124,812 | |||
Glacier Bancorp, Inc. | 12,300 | 565,677 | |||
Great Southern Bancorp, Inc. | 1,568 | 99,286 | |||
Great Western Bancorp, Inc. | 8,015 | 278,441 | |||
Guaranty Bancshares, Inc. | 1,150 | 37,812 | |||
Hancock Whitney Corp. | 12,286 | 539,110 | |||
Hanmi Financial Corp. | 4,300 | 85,979 | |||
HarborOne Bancorp, Inc. (a) | 3,729 | 40,982 | |||
Hawthorn Bancshares, Inc. | 900 | 22,950 | |||
HBT Financial, Inc. (a) (b) | 1,300 | 24,687 | |||
Heartland Financial USA, Inc. | 4,900 | 243,726 | |||
Heritage Commerce Corp. | 7,766 | 99,638 | |||
Heritage Financial Corp. | 5,200 | 147,160 | |||
Hilltop Holdings, Inc. | 9,900 | 246,807 | |||
Home BancShares, Inc. | 21,914 | 430,829 | |||
HomeTrust Bancshares, Inc. | 2,209 | 59,267 |
Security Description | Shares | Value | |||
Hope Bancorp, Inc. | 17,021 | $252,932 | |||
Horizon Bancorp, Inc. | 5,240 | 99,560 | |||
Howard Bancorp, Inc. (a) | 1,781 | 30,063 | |||
IBERIABANK Corp. | 7,392 | 553,143 | |||
Independent Bank Corp. | 3,018 | 68,358 | |||
Independent Bank Corp. (Massachusetts) | 4,692 | 390,609 | |||
Independent Bank Group, Inc. | 5,036 | 279,196 | |||
International Bancshares Corp. | 7,890 | 339,822 | |||
Investar Holding Corp. | 1,300 | 31,200 | |||
Investors Bancorp, Inc. | 32,114 | 382,638 | |||
Lakeland Bancorp, Inc. | 6,900 | 119,922 | |||
Lakeland Financial Corp. | 3,428 | 167,732 | |||
LCNB Corp. | 1,700 | 32,810 | |||
Level One Bancorp, Inc. | 700 | 17,612 | |||
Live Oak Bancshares, Inc. (b) | 3,690 | 70,147 | |||
Macatawa Bank Corp. | 3,666 | 40,803 | |||
Mackinac Financial Corp. | 1,400 | 24,444 | |||
MainStreet Bancshares, Inc. (a) | 1,100 | 25,300 | |||
Malvern Bancorp, Inc. (a) | 1,100 | 25,399 | |||
Mercantile Bank Corp. | 2,300 | 83,881 | |||
Metrocity Bankshares, Inc. (b) | 2,200 | 38,522 | |||
Metropolitan Bank Holding Corp. (a) | 1,000 | 48,230 | |||
Mid Penn Bancorp, Inc. | 1,100 | 31,680 | |||
Midland States Bancorp, Inc. | 3,102 | 89,834 | |||
MidWestOne Financial Group, Inc. | 1,651 | 59,816 | |||
MutualFirst Financial, Inc. | 836 | 33,164 | |||
MVB Financial Corp. | 1,330 | 33,144 | |||
National Bank Holdings Corp. Class A | 4,200 | 147,924 | |||
National Bankshares, Inc. | 937 | 42,099 | |||
NBT Bancorp, Inc. | 6,000 | 243,360 | |||
Nicolet Bankshares, Inc. (a) | 1,300 | 96,005 | |||
Northeast Bank (a) | 1,200 | 26,388 | |||
Northrim BanCorp, Inc. | 900 | 34,470 | |||
Norwood Financial Corp. | 850 | 33,065 | |||
Oak Valley Bancorp | 1,100 | 21,406 | |||
OFG Bancorp | 7,100 | 167,631 | |||
Ohio Valley Banc Corp. | 600 | 23,772 | |||
Old National Bancorp | 23,861 | 436,418 | |||
Old Second Bancorp, Inc. | 4,100 | 55,227 | |||
Opus Bank | 3,100 | 80,197 | |||
Origin Bancorp, Inc. (b) | 2,700 | 102,168 | |||
Orrstown Financial Services, Inc. | 1,400 | 31,668 | |||
Pacific Mercantile Bancorp (a) | 3,100 | 25,172 | |||
Pacific Premier Bancorp, Inc. | 8,251 | 269,024 | |||
PacWest Bancorp | 16,734 | 640,410 | |||
Park National Corp. | 1,899 | 194,420 | |||
Parke Bancorp, Inc. | 1,420 | 36,054 | |||
PCB Bancorp | 1,930 | 33,350 | |||
Peapack Gladstone Financial Corp. | 2,600 | 80,340 | |||
Penns Woods Bancorp, Inc. | 970 | 34,493 | |||
Peoples Bancorp of North Carolina, Inc. | 730 | 23,981 | |||
Peoples Bancorp, Inc. | 2,500 | 86,650 | |||
Peoples Financial Services Corp. | 939 | 47,279 |
Security Description | Shares | Value | |||
People's Utah Bancorp | 2,241 | $67,499 | |||
Pinnacle Financial Partners, Inc. | 10,639 | 680,896 | |||
Popular, Inc. | 13,510 | 793,712 | |||
Preferred Bank | 1,930 | 115,974 | |||
Premier Financial Bancorp, Inc. | 1,812 | 32,870 | |||
Prosperity Bancshares, Inc. | 12,940 | 930,257 | |||
QCR Holdings, Inc. | 2,120 | 92,983 | |||
RBB Bancorp | 2,300 | 48,691 | |||
Red River Bancshares, Inc. (a) (b) | 700 | 39,242 | |||
Reliant Bancorp, Inc. (b) | 1,400 | 31,136 | |||
Renasant Corp. | 7,861 | 278,437 | |||
Republic Bancorp, Inc. Class A | 1,400 | 65,520 | |||
Republic First Bancorp, Inc. (a) | 7,000 | 29,260 | |||
Richmond Mutual Bancorporation, Inc. (a) (b) | 1,900 | 30,324 | |||
S&T Bancorp, Inc. | 5,363 | 216,075 | |||
Sandy Spring Bancorp, Inc. | 4,997 | 189,286 | |||
SB One Bancorp | 1,300 | 32,396 | |||
Seacoast Banking Corp. of Florida (a) | 7,100 | 217,047 | |||
Select Bancorp, Inc. (a) | 2,551 | 31,377 | |||
ServisFirst Bancshares, Inc. | 6,700 | 252,456 | |||
Shore Bancshares, Inc. | 1,755 | 30,467 | |||
Sierra Bancorp | 2,000 | 58,240 | |||
Signature Bank | 7,474 | 1,021,023 | |||
Silvergate Capital Corp. Class A (a) (b) | 600 | 9,546 | |||
Simmons First National Corp. Class A | 13,486 | 361,290 | |||
SmartFinancial, Inc. | 1,802 | 42,617 | |||
South Plains Financial, Inc. | 1,400 | 29,218 | |||
South State Corp. | 4,745 | 411,629 | |||
Southern First Bancshares, Inc. (a) | 1,000 | 42,490 | |||
Southern National Bancorp of Virginia, Inc. | 2,825 | 46,189 | |||
Southside Bancshares, Inc. | 4,504 | 167,279 | |||
Spirit of Texas Bancshares, Inc. (a) | 1,900 | 43,700 | |||
Sterling Bancorp | 28,305 | 596,669 | |||
Stock Yards Bancorp, Inc. | 2,900 | 119,074 | |||
Summit Financial Group, Inc. | 1,500 | 40,635 | |||
Synovus Financial Corp. | 19,839 | 777,689 | |||
TCF Financial Corp. | 21,463 | 1,004,468 | |||
Texas Capital Bancshares, Inc. (a) | 7,148 | 405,792 | |||
Tompkins Financial Corp. | 1,993 | 182,360 | |||
Towne Bank | 9,390 | 261,230 | |||
TriCo Bancshares | 3,762 | 153,527 | |||
TriState Capital Holdings, Inc. (a) | 3,400 | 88,808 | |||
Triumph Bancorp, Inc. (a) | 3,321 | 126,264 | |||
Trustmark Corp. | 9,077 | 313,247 | |||
UMB Financial Corp. | 6,289 | 431,677 | |||
Umpqua Holdings Corp. | 31,287 | 553,780 | |||
Union Bankshares, Inc. | 600 | 21,756 | |||
United Bankshares, Inc. | 13,800 | 533,508 | |||
United Community Banks, Inc. | 11,161 | 344,652 | |||
United Security Bancshares | 2,100 | 22,533 | |||
Unity Bancorp, Inc. | 1,200 | 27,084 |
Security Description | Shares | Value | ||||
Univest Financial Corp. | 4,040 | $108,191 | ||||
Valley National Bancorp | 54,642 | 625,651 | ||||
Veritex Holdings, Inc. | 7,086 | 206,415 | ||||
Washington Trust Bancorp, Inc. | 2,123 | 114,196 | ||||
Webster Financial Corp. | 12,957 | 691,386 | ||||
WesBanco, Inc. | 9,102 | 343,965 | ||||
West Bancorp, Inc. | 2,300 | 58,949 | ||||
Westamerica Bancorporation | 3,685 | 249,732 | ||||
Western Alliance Bancorp | 13,518 | 770,526 | ||||
Wintrust Financial Corp. | 7,928 | 562,095 | ||||
46,930,274 | ||||||
BEVERAGES — 0.2% | ||||||
Boston Beer Co., Inc. Class A (a) (b) | 1,159 | 437,928 | ||||
Celsius Holdings, Inc. (a) (b) | 4,100 | 19,803 | ||||
Coca-Cola Consolidated, Inc. | 643 | 182,644 | ||||
Craft Brew Alliance, Inc. (a) | 1,600 | 26,400 | ||||
Keurig Dr. Pepper, Inc. (b) | 29,000 | 839,550 | ||||
MGP Ingredients, Inc. (b) | 1,800 | 87,210 | ||||
National Beverage Corp. (a) (b) | 1,670 | 85,203 | ||||
New Age Beverages Corp. (a) (b) | 11,300 | 20,566 | ||||
Primo Water Corp. (a) (b) | 4,900 | 55,003 | ||||
1,754,307 | ||||||
BIOTECHNOLOGY — 5.3% | ||||||
89bio, Inc. (a) (b) | 500 | 13,145 | ||||
Abeona Therapeutics, Inc. (a) (b) | 5,786 | 18,920 | ||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 15,909 | 680,587 | ||||
Acceleron Pharma, Inc. (a) (b) | 6,400 | 339,328 | ||||
Achillion Pharmaceuticals, Inc. (a) | 19,264 | 116,162 | ||||
Acorda Therapeutics, Inc. (a) (b) | 7,000 | 14,280 | ||||
Adamas Pharmaceuticals, Inc. (a) | 3,300 | 12,507 | ||||
ADMA Biologics, Inc. (a) | 7,100 | 28,400 | ||||
Aduro Biotech, Inc. (a) | 10,454 | 12,336 | ||||
Adverum Biotechnologies, Inc. (a) (b) | 7,600 | 87,552 | ||||
Aeglea BioTherapeutics, Inc. (a) | 3,700 | 28,268 | ||||
Affimed NV (a) | 10,400 | 28,496 | ||||
Agenus, Inc. (a) (b) | 15,100 | 61,457 | ||||
AgeX Therapeutics, Inc. (a) (b) | 3,010 | 5,478 | ||||
Agios Pharmaceuticals, Inc. (a) (b) | 8,504 | 406,066 | ||||
Aimmune Therapeutics, Inc. (a) (b) | 6,300 | 210,861 | ||||
Akcea Therapeutics, Inc. (a) (b) | 2,000 | 33,880 | ||||
Akebia Therapeutics, Inc. (a) (b) | 16,617 | 105,019 | ||||
Akero Therapeutics, Inc. (a) | 700 | 15,537 | ||||
Albireo Pharma, Inc. (a) | 1,500 | 38,130 | ||||
Aldeyra Therapeutics, Inc. (a) | 3,740 | 21,729 | ||||
Alector, Inc. (a) (b) | 4,299 | 74,072 | ||||
Alkermes PLC (a) | 22,162 | 452,105 | ||||
Allakos, Inc. (a) (b) | 2,700 | 257,472 | ||||
Allogene Therapeutics, Inc. (a) (b) | 5,500 | 142,890 | ||||
Alnylam Pharmaceuticals, Inc. (a) | 15,069 | 1,735,497 | ||||
AMAG Pharmaceuticals, Inc. (a) (b) | 4,699 | 57,187 | ||||
Amicus Therapeutics, Inc. (a) | 36,041 | 351,039 | ||||
AnaptysBio, Inc. (a) | 3,514 | 57,102 | ||||
Anavex Life Sciences Corp. (a) (b) | 6,700 | 17,353 |
Security Description | Shares | Value | |||
Anika Therapeutics, Inc. (a) | 1,847 | $95,767 | |||
Apellis Pharmaceuticals, Inc. (a) | 6,900 | 211,278 | |||
Applied Therapeutics, Inc. (a) (b) | 941 | 25,670 | |||
Aprea Therapeutics, Inc. (a) (b) | 900 | 41,301 | |||
Arcus Biosciences, Inc. (a) | 4,600 | 46,460 | |||
Ardelyx, Inc. (a) | 6,700 | 50,283 | |||
Arena Pharmaceuticals, Inc. (a) | 7,130 | 323,845 | |||
ArQule, Inc. (a) | 15,800 | 315,368 | |||
Arrowhead Pharmaceuticals, Inc. (a) (b) | 13,200 | 837,276 | |||
Assembly Biosciences, Inc. (a) | 3,200 | 65,472 | |||
Atara Biotherapeutics, Inc. (a) (b) | 7,300 | 120,231 | |||
Athenex, Inc. (a) (b) | 9,598 | 146,561 | |||
Athersys, Inc. (a) (b) | 18,881 | 23,224 | |||
Atreca, Inc. Class A (a) (b) | 900 | 13,923 | |||
Audentes Therapeutics, Inc. (a) | 6,300 | 376,992 | |||
Avid Bioservices, Inc. (a) (b) | 7,868 | 60,348 | |||
Avrobio, Inc. (a) (b) | 2,898 | 58,337 | |||
Axcella Health, Inc. (a) (b) | 300 | 1,203 | |||
Baudax Bio, Inc. (a) (b) | 1,360 | 9,411 | |||
Beyondspring, Inc. (a) | 1,800 | 27,900 | |||
BioCryst Pharmaceuticals, Inc. (a) | 20,845 | 71,915 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 5,500 | 299,420 | |||
BioMarin Pharmaceutical, Inc. (a) | 25,380 | 2,145,879 | |||
BioSpecifics Technologies Corp. (a) | 826 | 47,032 | |||
Bioxcel Therapeutics, Inc. (a) | 995 | 14,537 | |||
Bluebird Bio, Inc. (a) (b) | 7,821 | 686,293 | |||
Blueprint Medicines Corp. (a) | 6,842 | 548,113 | |||
Bridgebio Pharma, Inc. (a) | 3,200 | 112,160 | |||
Cabaletta Bio, Inc. (a) (b) | 1,200 | 16,764 | |||
Calithera Biosciences, Inc. (a) | 6,700 | 38,257 | |||
Calyxt, Inc. (a) (b) | 1,300 | 9,113 | |||
CareDx, Inc. (a) | 5,800 | 125,106 | |||
CASI Pharmaceuticals, Inc. (a) (b) | 7,500 | 23,175 | |||
Castle Biosciences, Inc. (a) | 600 | 20,622 | |||
Catalyst Pharmaceuticals, Inc. (a) | 13,647 | 51,176 | |||
Celcuity, Inc. (a) | 1,015 | 10,800 | |||
Cellular Biomedicine Group, Inc. (a) (b) | 1,700 | 27,608 | |||
CEL-SCI Corp. (a) (b) | 3,795 | 34,724 | |||
Checkpoint Therapeutics, Inc. (a) (b) | 3,775 | 6,493 | |||
ChemoCentryx, Inc. (a) | 5,700 | 225,435 | |||
Chimerix, Inc. (a) | 8,597 | 17,452 | |||
Clovis Oncology, Inc. (a) (b) | 7,080 | 73,809 | |||
Coherus Biosciences, Inc. (a) (b) | 8,800 | 158,444 | |||
Concert Pharmaceuticals, Inc. (a) | 2,998 | 27,657 | |||
Constellation Pharmaceuticals, Inc. (a) (b) | 2,200 | 103,642 | |||
Corbus Pharmaceuticals Holdings, Inc. (a) (b) | 8,396 | 45,842 | |||
Cortexyme, Inc. (a) (b) | 1,600 | 89,824 | |||
Crinetics Pharmaceuticals, Inc. (a) (b) | 1,600 | 40,144 | |||
Cue Biopharma, Inc. (a) | 2,785 | 44,212 | |||
Cyclerion Therapeutics, Inc. (a) | 3,340 | 9,085 | |||
Cytokinetics, Inc. (a) (b) | 7,896 | 83,777 |
Security Description | Shares | Value | |||
CytomX Therapeutics, Inc. (a) | 6,375 | $52,976 | |||
Deciphera Pharmaceuticals, Inc. (a) | 2,800 | 174,272 | |||
Denali Therapeutics, Inc. (a) (b) | 6,800 | 118,456 | |||
Dicerna Pharmaceuticals, Inc. (a) | 7,300 | 160,819 | |||
Dynavax Technologies Corp. (a) (b) | 11,738 | 67,141 | |||
Eagle Pharmaceuticals, Inc. (a) (b) | 1,305 | 78,404 | |||
Editas Medicine, Inc. (a) (b) | 7,300 | 216,153 | |||
Eidos Therapeutics, Inc. (a) (b) | 1,540 | 88,381 | |||
Eiger BioPharmaceuticals, Inc. (a) | 3,275 | 48,797 | |||
Emergent BioSolutions, Inc. (a) | 6,400 | 345,280 | |||
Enanta Pharmaceuticals, Inc. (a) | 2,400 | 148,272 | |||
Enochian Biosciences, Inc. (a) (b) | 2,510 | 12,600 | |||
Epizyme, Inc. (a) (b) | 10,938 | 269,075 | |||
Esperion Therapeutics, Inc. (a) (b) | 3,600 | 214,668 | |||
Evelo Biosciences, Inc. (a) (b) | 2,135 | 8,668 | |||
Exact Sciences Corp. (a) (b) | 19,803 | 1,831,381 | |||
Exelixis, Inc. (a) | 42,385 | 746,824 | |||
Fate Therapeutics, Inc. (a) (b) | 8,560 | 167,519 | |||
FibroGen, Inc. (a) | 11,108 | 476,422 | |||
Five Prime Therapeutics, Inc. (a) | 4,947 | 22,707 | |||
Flexion Therapeutics, Inc. (a) (b) | 4,800 | 99,360 | |||
Forty Seven, Inc. (a) (b) | 3,161 | 124,449 | |||
Frequency Therapeutics, Inc. (a) (b) | 1,000 | 17,530 | |||
G1 Therapeutics, Inc. (a) (b) | 4,785 | 126,468 | |||
Galectin Therapeutics, Inc. (a) (b) | 7,145 | 20,435 | |||
Geron Corp. (a) (b) | 26,083 | 35,473 | |||
Global Blood Therapeutics, Inc. (a) (b) | 8,138 | 646,890 | |||
GlycoMimetics, Inc. (a) | 4,791 | 25,344 | |||
Gossamer Bio, Inc. (a) (b) | 6,000 | 93,780 | |||
Gritstone Oncology, Inc. (a) (b) | 3,500 | 31,395 | |||
Halozyme Therapeutics, Inc. (a) | 20,152 | 357,295 | |||
Harpoon Therapeutics, Inc. (a) (b) | 1,190 | 17,600 | |||
Heron Therapeutics, Inc. (a) (b) | 11,826 | 277,911 | |||
Homology Medicines, Inc. (a) (b) | 3,500 | 72,450 | |||
Hookipa Pharma, Inc. (a) (b) | 1,385 | 16,939 | |||
IGM Biosciences, Inc. (a) (b) | 700 | 26,712 | |||
ImmunoGen, Inc. (a) (b) | 20,500 | 104,652 | |||
Immunomedics, Inc. (a) (b) | 24,672 | 522,060 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 13,111 | 43,266 | |||
Insmed, Inc. (a) (b) | 12,533 | 299,288 | |||
Intellia Therapeutics, Inc. (a) (b) | 5,500 | 80,685 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 3,517 | 435,827 | |||
Intrexon Corp. (a) (b) | 10,241 | 56,121 | |||
Invitae Corp. (a) (b) | 12,200 | 196,786 | |||
Ionis Pharmaceuticals, Inc. (a) | 18,173 | 1,097,831 | |||
Iovance Biotherapeutics, Inc. (a) | 16,500 | 456,720 | |||
Ironwood Pharmaceuticals, Inc. (a) (b) | 21,700 | 288,827 | |||
Jounce Therapeutics, Inc. (a) (b) | 2,300 | 20,079 | |||
Kadmon Holdings, Inc. (a) | 22,100 | 100,113 | |||
KalVista Pharmaceuticals, Inc. (a) (b) | 1,800 | 32,058 | |||
Karuna Therapeutics, Inc. (a) (b) | 600 | 45,204 |
Security Description | Shares | Value | |||
Karyopharm Therapeutics, Inc. (a) (b) | 8,400 | $161,028 | |||
Kezar Life Sciences, Inc. (a) | 2,030 | 8,140 | |||
Kindred Biosciences, Inc. (a) | 5,200 | 44,096 | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) | 2,125 | 23,502 | |||
Kodiak Sciences, Inc. (a) (b) | 3,300 | 237,435 | |||
Krystal Biotech, Inc. (a) (b) | 1,500 | 83,070 | |||
Kura Oncology, Inc. (a) | 4,800 | 66,000 | |||
La Jolla Pharmaceutical Co. (a) (b) | 3,645 | 14,325 | |||
Lexicon Pharmaceuticals, Inc. (a) (b) | 6,521 | 27,062 | |||
Ligand Pharmaceuticals, Inc. (a) (b) | 2,379 | 248,106 | |||
Lineage Cell Therapeutics, Inc. (a) (b) | 19,322 | 17,197 | |||
LogicBio Therapeutics, Inc. (a) (b) | 1,475 | 10,620 | |||
MacroGenics, Inc. (a) | 6,734 | 73,266 | |||
Madrigal Pharmaceuticals, Inc. (a) (b) | 1,100 | 100,221 | |||
Magenta Therapeutics, Inc. (a) | 2,700 | 40,932 | |||
MannKind Corp. (a) (b) | 26,400 | 34,056 | |||
Marker Therapeutics, Inc. (a) (b) | 4,870 | 14,026 | |||
Medicines Co. (a) (b) | 13,759 | 1,168,689 | |||
MediciNova, Inc. (a) (b) | 5,900 | 39,766 | |||
MEI Pharma, Inc. (a) | 9,914 | 24,587 | |||
MeiraGTx Holdings PLC (a) | 2,400 | 48,048 | |||
Mersana Therapeutics, Inc. (a) | 5,600 | 32,088 | |||
Millendo Therapeutics, Inc. (a) | 1,520 | 10,245 | |||
Minerva Neurosciences, Inc. (a) | 4,580 | 32,564 | |||
Mirati Therapeutics, Inc. (a) (b) | 3,800 | 489,668 | |||
Mirum Pharmaceuticals, Inc. (a) (b) | 497 | 12,186 | |||
Moderna, Inc. (a) (b) | 29,300 | 573,108 | |||
Molecular Templates, Inc. (a) | 2,700 | 37,759 | |||
Momenta Pharmaceuticals, Inc. (a) | 13,887 | 273,991 | |||
Morphic Holding, Inc. (a) (b) | 700 | 12,012 | |||
Mustang Bio, Inc. (a) (b) | 4,805 | 19,604 | |||
Myriad Genetics, Inc. (a) | 10,051 | 273,689 | |||
Natera, Inc. (a) | 8,800 | 296,472 | |||
Neon Therapeutics, Inc. (a) (b) | 2,300 | 2,714 | |||
Neurocrine Biosciences, Inc. (a) | 12,871 | 1,383,504 | |||
NextCure, Inc. (a) | 2,000 | 112,660 | |||
Novavax, Inc. (a) (b) | 4,272 | 17,003 | |||
Oncocyte Corp. (a) (b) | 3,885 | 8,741 | |||
OPKO Health, Inc. (a) (b) | 54,380 | 79,939 | |||
Organogenesis Holdings, Inc. (a) | 1,898 | 9,129 | |||
Oyster Point Pharma, Inc. (a) (b) | 800 | 19,552 | |||
Palatin Technologies, Inc. (a) (b) | 32,200 | 25,187 | |||
PDL BioPharma, Inc. (a) | 15,855 | 51,449 | |||
Pfenex, Inc. (a) | 4,197 | 46,083 | |||
PhaseBio Pharmaceuticals, Inc. (a) (b) | 2,496 | 15,251 | |||
Pieris Pharmaceuticals, Inc. (a) | 6,500 | 23,530 | |||
PolarityTE, Inc. (a) (b) | 1,700 | 4,420 | |||
Portola Pharmaceuticals, Inc. (a) (b) | 10,741 | 256,495 | |||
Precision BioSciences, Inc. (a) (b) | 5,100 | 70,839 | |||
Prevail Therapeutics, Inc. (a) (b) | 1,000 | 15,830 | |||
Principia Biopharma, Inc. (a) | 2,600 | 142,428 |
Security Description | Shares | Value | |||
Progenics Pharmaceuticals, Inc. (a) | 12,300 | $62,607 | |||
Protagonist Therapeutics, Inc. (a) | 3,068 | 21,629 | |||
Prothena Corp. PLC (a) | 5,700 | 90,231 | |||
PTC Therapeutics, Inc. (a) | 8,500 | 408,255 | |||
Puma Biotechnology, Inc. (a) (b) | 4,307 | 37,686 | |||
Ra Pharmaceuticals, Inc. (a) | 4,900 | 229,957 | |||
Radius Health, Inc. (a) (b) | 6,355 | 128,117 | |||
REGENXBIO, Inc. (a) (b) | 4,700 | 192,559 | |||
Replimenu Group, Inc. (a) | 1,800 | 25,830 | |||
Retrophin, Inc. (a) | 5,798 | 82,332 | |||
Rhythm Pharmaceuticals, Inc. (a) (b) | 4,100 | 94,136 | |||
Rigel Pharmaceuticals, Inc. (a) (b) | 23,689 | 50,694 | |||
Rocket Pharmaceuticals, Inc. (a) (b) | 4,200 | 95,592 | |||
Rubius Therapeutics, Inc. (a) (b) | 4,900 | 46,550 | |||
Sage Therapeutics, Inc. (a) (b) | 7,274 | 525,110 | |||
Sangamo Therapeutics, Inc. (a) (b) | 16,209 | 135,669 | |||
Sarepta Therapeutics, Inc. (a) (b) | 10,047 | 1,296,465 | |||
Savara, Inc. (a) (b) | 4,845 | 21,706 | |||
Scholar Rock Holding Corp. (a) (b) | 2,445 | 32,225 | |||
Seattle Genetics, Inc. (a) | 16,337 | 1,866,666 | |||
Seres Therapeutics, Inc. (a) (b) | 6,046 | 20,859 | |||
Solid Biosciences, Inc. (a) (b) | 2,800 | 12,460 | |||
Sorrento Therapeutics, Inc. (a) (b) | 17,600 | 59,488 | |||
Spectrum Pharmaceuticals, Inc. (a) | 15,732 | 57,264 | |||
Spero Therapeutics, Inc. (a) | 1,731 | 16,644 | |||
SpringWorks Therapeutics, Inc. (a) (b) | 1,500 | 57,735 | |||
Stemline Therapeutics, Inc. (a) (b) | 6,522 | 69,329 | |||
Stoke Therapeutics, Inc. (a) (b) | 1,300 | 36,816 | |||
Sutro Biopharma, Inc. (a) | 1,500 | 16,500 | |||
Syndax Pharmaceuticals, Inc. (a) | 3,200 | 28,096 | |||
Synlogic, Inc. (a) (b) | 2,585 | 6,669 | |||
Synthorx, Inc. (a) | 1,300 | 90,857 | |||
Syros Pharmaceuticals, Inc. (a) | 5,400 | 37,314 | |||
TCR2 Therapeutics, Inc. (a) | 1,700 | 24,276 | |||
TG Therapeutics, Inc. (a) (b) | 12,130 | 134,643 | |||
Tocagen, Inc. (a) (b) | 3,800 | 2,026 | |||
Translate Bio, Inc. (a) (b) | 4,900 | 39,886 | |||
Turning Point Therapeutics, Inc. (a) (b) | 3,900 | 242,931 | |||
Twist Bioscience Corp. (a) (b) | 3,140 | 65,940 | |||
Tyme Technologies, Inc. (a) (b) | 8,300 | 11,620 | |||
Ultragenyx Pharmaceutical, Inc. (a) | 7,754 | 331,173 | |||
United Therapeutics Corp. (a) | 6,097 | 537,024 | |||
UNITY Biotechnology, Inc. (a) (b) | 3,990 | 28,768 | |||
UroGen Pharma, Ltd. (a) (b) | 2,600 | 86,762 | |||
Vanda Pharmaceuticals, Inc. (a) | 7,375 | 121,024 | |||
VBI Vaccines, Inc. (a) (b) | 21,606 | 29,816 | |||
Veracyte, Inc. (a) (b) | 6,700 | 187,064 | |||
Vericel Corp. (a) | 6,273 | 109,150 | |||
Viela Bio, Inc. (a) | 800 | 21,720 | |||
Viking Therapeutics, Inc. (a) (b) | 9,114 | 73,094 | |||
Vir Biotechnology, Inc. (a) | 1,300 | 16,347 | |||
Voyager Therapeutics, Inc. (a) (b) | 3,400 | 47,430 | |||
X4 Pharmaceuticals, Inc. (a) (b) | 1,708 | 18,276 | |||
XBiotech, Inc. (a) (b) | 2,700 | 50,395 |
Security Description | Shares | Value | ||||
Xencor, Inc. (a) (b) | 6,685 | $229,897 | ||||
Y-mAbs Therapeutics, Inc. (a) | 3,300 | 103,125 | ||||
ZIOPHARM Oncology, Inc. (a) (b) | 22,656 | 106,936 | ||||
39,906,260 | ||||||
BUILDING PRODUCTS — 1.0% | ||||||
AAON, Inc. (b) | 5,800 | 286,578 | ||||
Advanced Drainage Systems, Inc. | 6,100 | 236,924 | ||||
American Woodmark Corp. (a) | 2,359 | 246,539 | ||||
Apogee Enterprises, Inc. | 3,709 | 120,543 | ||||
Armstrong Flooring, Inc. (a) | 3,127 | 13,352 | ||||
Armstrong World Industries, Inc. | 6,955 | 653,561 | ||||
Builders FirstSource, Inc. (a) | 16,100 | 409,101 | ||||
Caesarstone, Ltd. (b) | 3,227 | 48,631 | ||||
Continental Building Products, Inc. (a) | 4,900 | 178,507 | ||||
Cornerstone Building Brands, Inc. (a) | 6,528 | 55,553 | ||||
CSW Industrials, Inc. | 2,137 | 164,549 | ||||
Gibraltar Industries, Inc. (a) | 4,600 | 232,024 | ||||
Griffon Corp. | 5,100 | 103,683 | ||||
Insteel Industries, Inc. | 2,587 | 55,595 | ||||
JELD-WEN Holding, Inc. (a) | 9,500 | 222,395 | ||||
Lennox International, Inc. | 4,966 | 1,211,555 | ||||
Masonite International Corp. (a) | 3,493 | 252,230 | ||||
Owens Corning | 15,276 | 994,773 | ||||
Patrick Industries, Inc. | 3,200 | 167,776 | ||||
PGT Innovations, Inc. (a) | 7,957 | 118,639 | ||||
Quanex Building Products Corp. | 4,668 | 79,730 | ||||
Resideo Technologies, Inc. (a) | 17,400 | 207,582 | ||||
Simpson Manufacturing Co., Inc. | 6,300 | 505,449 | ||||
Trex Co., Inc. (a) | 8,298 | 745,824 | ||||
Universal Forest Products, Inc. | 8,409 | 401,109 | ||||
7,712,202 | ||||||
CAPITAL MARKETS — 1.9% | ||||||
Affiliated Managers Group, Inc. | 6,900 | 584,706 | ||||
Ares Management Corp. Class A | 10,100 | 360,469 | ||||
Artisan Partners Asset Management, Inc. Class A | 7,055 | 228,018 | ||||
Assetmark Financial Holdings, Inc. (a) (b) | 1,900 | 55,138 | ||||
Associated Capital Group, Inc. Class A (b) | 300 | 11,760 | ||||
B. Riley Financial, Inc. | 2,934 | 73,878 | ||||
BGC Partners, Inc. Class A | 41,700 | 247,698 | ||||
Blucora, Inc. (a) | 6,900 | 180,366 | ||||
Brightsphere Investment Group, Inc. (a) | 9,298 | 95,026 | ||||
Cohen & Steers, Inc. | 3,209 | 201,397 | ||||
Cowen, Inc. Class A (a) | 3,950 | 62,212 | ||||
Diamond Hill Investment Group, Inc. | 403 | 56,605 | ||||
Donnelley Financial Solutions, Inc. (a) | 4,412 | 46,194 | ||||
Eaton Vance Corp. | 15,620 | 729,298 | ||||
Evercore, Inc. Class A | 5,443 | 406,919 | ||||
FactSet Research Systems, Inc. (b) | 5,273 | 1,414,746 |
Security Description | Shares | Value | ||||
Federated Investors, Inc. Class B | 13,600 | $443,224 | ||||
Focus Financial Partners, Inc. Class A (a) | 4,300 | 126,721 | ||||
GAIN Capital Holdings, Inc. (b) | 2,700 | 10,665 | ||||
GAMCO Investors, Inc. Class A | 882 | 17,190 | ||||
Greenhill & Co., Inc. | 2,117 | 36,158 | ||||
Hamilton Lane, Inc. Class A | 3,100 | 184,760 | ||||
Houlihan Lokey, Inc. | 5,900 | 288,333 | ||||
Interactive Brokers Group, Inc. Class A (b) | 10,606 | 494,452 | ||||
INTL. FCStone, Inc. (a) | 2,202 | 107,524 | ||||
Janus Henderson Group PLC | 22,300 | 545,235 | ||||
Ladenburg Thalmann Financial Services, Inc. | 16,800 | 58,464 | ||||
Lazard, Ltd. Class A | 14,402 | 575,504 | ||||
Legg Mason, Inc. | 12,200 | 438,102 | ||||
LPL Financial Holdings, Inc. | 11,429 | 1,054,325 | ||||
Moelis & Co. Class A | 6,700 | 213,864 | ||||
Morningstar, Inc. | 2,792 | 422,458 | ||||
Oppenheimer Holdings, Inc. Class A | 1,300 | 35,724 | ||||
Piper Jaffray Cos. | 1,900 | 151,886 | ||||
PJT Partners, Inc. Class A | 3,219 | 145,273 | ||||
Pzena Investment Management, Inc. Class A | 2,600 | 22,412 | ||||
Safeguard Scientifics, Inc. | 2,700 | 29,646 | ||||
Sculptor Capital Management, Inc. | 2,385 | 52,708 | ||||
SEI Investments Co. | 18,087 | 1,184,337 | ||||
Siebert Financial Corp. (a) | 1,020 | 8,823 | ||||
Silvercrest Asset Management Group, Inc. Class A | 1,504 | 18,920 | ||||
Stifel Financial Corp. | 9,354 | 567,320 | ||||
TD Ameritrade Holding Corp. | 37,884 | 1,882,835 | ||||
Value Line, Inc. | 100 | 2,891 | ||||
Virtu Financial, Inc. Class A (b) | 7,197 | 115,080 | ||||
Virtus Investment Partners, Inc. | 961 | 116,973 | ||||
Waddell & Reed Financial, Inc. Class A (b) | 9,839 | 164,508 | ||||
Westwood Holdings Group, Inc. | 1,105 | 32,730 | ||||
WisdomTree Investments, Inc. (b) | 18,799 | 90,987 | ||||
14,394,462 | ||||||
CHEMICALS — 1.8% | ||||||
Advanced Emissions Solutions, Inc. (b) | 2,300 | 24,150 | ||||
AdvanSix, Inc. (a) | 3,900 | 77,844 | ||||
American Vanguard Corp. | 4,052 | 78,892 | ||||
Amyris, Inc. (a) (b) | 8,400 | 25,956 | ||||
Ashland Global Holdings, Inc. | 8,531 | 652,877 | ||||
Axalta Coating Systems, Ltd. (a) | 29,302 | 890,781 | ||||
Balchem Corp. | 4,558 | 463,230 | ||||
Cabot Corp. | 7,998 | 380,065 | ||||
Chase Corp. | 1,048 | 124,167 | ||||
Chemours Co. (b) | 23,143 | 418,657 | ||||
Element Solutions, Inc. (a) | 31,200 | 364,416 | ||||
Ferro Corp. (a) | 11,509 | 170,678 | ||||
Flotek Industries, Inc. (a) | 9,610 | 19,220 | ||||
FutureFuel Corp. | 3,600 | 44,604 |
Security Description | Shares | Value | ||||
GCP Applied Technologies, Inc. (a) | 7,597 | $172,528 | ||||
Hawkins, Inc. | 1,400 | 64,134 | ||||
HB Fuller Co. (b) | 7,199 | 371,252 | ||||
Huntsman Corp. | 30,626 | 739,924 | ||||
Ingevity Corp. (a) | 5,938 | 518,862 | ||||
Innophos Holdings, Inc. | 2,800 | 89,544 | ||||
Innospec, Inc. | 3,417 | 353,454 | ||||
Intrepid Potash, Inc. (a) | 13,400 | 36,314 | ||||
Koppers Holdings, Inc. (a) | 2,630 | 100,519 | ||||
Kraton Corp. (a) | 4,385 | 111,028 | ||||
Kronos Worldwide, Inc. (b) | 3,200 | 42,880 | ||||
Livent Corp. (a) (b) | 20,700 | 176,985 | ||||
LSB Industries, Inc. (a) | 4,000 | 16,800 | ||||
Marrone Bio Innovations, Inc. (a) | 9,293 | 9,386 | ||||
Minerals Technologies, Inc. | 4,943 | 284,865 | ||||
NewMarket Corp. | 949 | 461,707 | ||||
Olin Corp. | 22,600 | 389,850 | ||||
OMNOVA Solutions, Inc. (a) | 6,150 | 62,177 | ||||
Orion Engineered Carbons SA | 8,500 | 164,050 | ||||
PolyOne Corp. | 10,833 | 398,546 | ||||
PQ Group Holdings, Inc. (a) | 5,350 | 91,913 | ||||
Quaker Chemical Corp. (b) | 1,892 | 311,272 | ||||
Rayonier Advanced Materials, Inc. | 7,700 | 29,568 | ||||
RPM International, Inc. | 18,085 | 1,388,205 | ||||
Scotts Miracle-Gro Co. | 5,633 | 598,112 | ||||
Sensient Technologies Corp. | 6,019 | 397,796 | ||||
Stepan Co. | 2,882 | 295,232 | ||||
Trecora Resources (a) | 2,970 | 21,236 | ||||
Tredegar Corp. | 3,707 | 82,851 | ||||
Trinseo SA | 5,574 | 207,409 | ||||
Tronox Holdings PLC Class A (a) | 12,869 | 146,964 | ||||
Valhi, Inc. | 4,300 | 8,041 | ||||
Valvoline, Inc. | 26,741 | 572,525 | ||||
Westlake Chemical Corp. | 4,996 | 350,469 | ||||
WR Grace & Co. | 8,076 | 564,109 | ||||
13,366,044 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.5% | ||||||
ABM Industries, Inc. | 9,400 | 354,474 | ||||
ACCO Brands Corp. | 13,616 | 127,446 | ||||
ADT, Inc. (b) | 15,700 | 124,501 | ||||
Advanced Disposal Services, Inc. (a) | 10,300 | 338,561 | ||||
Brady Corp. Class A | 6,700 | 383,642 | ||||
BrightView Holdings, Inc. (a) (b) | 4,400 | 74,228 | ||||
Brink's Co. | 7,014 | 636,029 | ||||
Casella Waste Systems, Inc. Class A (a) | 6,500 | 299,195 | ||||
CECO Environmental Corp. (a) | 4,343 | 33,267 | ||||
Charah Solutions, Inc. (a) (b) | 900 | 2,196 | ||||
Cimpress PLC (a) (b) | 2,762 | 347,377 | ||||
Clean Harbors, Inc. (a) | 7,324 | 628,033 | ||||
CompX International, Inc. | 200 | 2,918 | ||||
Covanta Holding Corp. | 16,600 | 246,344 | ||||
Deluxe Corp. | 5,976 | 298,322 | ||||
Ennis, Inc. | 3,597 | 77,875 | ||||
Harsco Corp. (a) | 10,991 | 252,903 |
Security Description | Shares | Value | ||||
Healthcare Services Group, Inc. (b) | 10,465 | $254,509 | ||||
Heritage-Crystal Clean, Inc. (a) | 2,134 | 66,944 | ||||
Herman Miller, Inc. | 8,300 | 345,695 | ||||
HNI Corp. | 6,089 | 228,094 | ||||
IAA, Inc. (a) | 18,787 | 884,116 | ||||
Interface, Inc. | 8,162 | 135,408 | ||||
KAR Auction Services, Inc. (b) | 18,192 | 396,404 | ||||
Kimball International, Inc. Class B | 5,065 | 104,693 | ||||
Knoll, Inc. | 6,890 | 174,041 | ||||
Matthews International Corp. Class A | 4,331 | 165,314 | ||||
McGrath RentCorp | 3,400 | 260,236 | ||||
Mobile Mini, Inc. | 6,200 | 235,042 | ||||
MSA Safety, Inc. | 5,021 | 634,454 | ||||
NL Industries, Inc. (a) | 1,231 | 4,813 | ||||
PICO Holdings, Inc. (a) | 2,530 | 28,134 | ||||
Pitney Bowes, Inc. (b) | 24,164 | 97,381 | ||||
Quad/Graphics, Inc. (b) | 5,400 | 25,218 | ||||
RR Donnelley & Sons Co. (b) | 9,933 | 39,235 | ||||
SP Plus Corp. (a) | 3,200 | 135,776 | ||||
Steelcase, Inc. Class A | 12,300 | 251,658 | ||||
Stericycle, Inc. (a) (b) | 12,700 | 810,387 | ||||
Team, Inc. (a) (b) | 4,200 | 67,074 | ||||
Tetra Tech, Inc. | 7,686 | 662,226 | ||||
UniFirst Corp. | 2,108 | 425,774 | ||||
US Ecology, Inc. | 3,409 | 197,415 | ||||
Viad Corp. | 2,854 | 192,645 | ||||
VSE Corp. | 1,180 | 44,887 | ||||
11,094,884 | ||||||
COMMUNICATIONS EQUIPMENT — 0.8% | ||||||
Acacia Communications, Inc. (a) | 5,300 | 359,393 | ||||
ADTRAN, Inc. | 6,737 | 66,629 | ||||
Applied Optoelectronics, Inc. (a) (b) | 2,697 | 32,040 | ||||
CalAmp Corp. (a) | 4,700 | 45,026 | ||||
Calix, Inc. (a) | 6,600 | 52,800 | ||||
Casa Systems, Inc. (a) | 4,499 | 18,401 | ||||
Ciena Corp. (a) | 21,991 | 938,796 | ||||
Clearfield, Inc. (a) | 1,800 | 25,092 | ||||
CommScope Holding Co., Inc. (a) | 27,034 | 383,612 | ||||
Comtech Telecommunications Corp. | 3,298 | 117,046 | ||||
DASAN Zhone Solutions, Inc. (a) | 1,360 | 12,050 | ||||
Digi International, Inc. (a) | 3,870 | 68,576 | ||||
EchoStar Corp. Class A (a) | 6,938 | 300,485 | ||||
Extreme Networks, Inc. (a) | 16,900 | 124,553 | ||||
Harmonic, Inc. (a) | 12,400 | 96,720 | ||||
Infinera Corp. (a) (b) | 25,200 | 200,088 | ||||
Inseego Corp. (a) (b) | 6,304 | 46,208 | ||||
InterDigital, Inc. | 4,438 | 241,827 | ||||
KVH Industries, Inc. (a) | 2,532 | 28,181 | ||||
Lumentum Holdings, Inc. (a) | 10,882 | 862,943 | ||||
NETGEAR, Inc. (a) | 4,196 | 102,844 | ||||
NetScout Systems, Inc. (a) | 10,107 | 243,275 | ||||
Plantronics, Inc. (b) | 4,748 | 129,810 | ||||
Ribbon Communications, Inc. (a) | 9,500 | 29,450 | ||||
TESSCO Technologies, Inc. | 1,157 | 12,982 | ||||
Ubiquiti, Inc. (b) | 1,204 | 227,532 |
Security Description | Shares | Value | ||||
ViaSat, Inc. (a) | 8,011 | $586,365 | ||||
Viavi Solutions, Inc. (a) | 32,400 | 486,000 | ||||
5,838,724 | ||||||
CONSTRUCTION & ENGINEERING — 0.7% | ||||||
AECOM (a) | 22,104 | 953,346 | ||||
Aegion Corp. (a) | 4,300 | 96,191 | ||||
Ameresco, Inc. Class A (a) | 3,200 | 56,000 | ||||
Arcosa, Inc. | 6,889 | 306,905 | ||||
Argan, Inc. | 2,039 | 81,845 | ||||
Comfort Systems USA, Inc. | 5,143 | 256,379 | ||||
Concrete Pumping Holdings, Inc. (a) | 2,431 | 13,298 | ||||
Construction Partners, Inc. Class A (a) (b) | 2,498 | 42,141 | ||||
Dycom Industries, Inc. (a) | 4,252 | 200,482 | ||||
EMCOR Group, Inc. | 7,853 | 677,714 | ||||
Fluor Corp. | 19,800 | 373,824 | ||||
Granite Construction, Inc. (b) | 6,579 | 182,041 | ||||
Great Lakes Dredge & Dock Corp. (a) | 8,550 | 96,871 | ||||
IES Holdings, Inc. (a) | 1,300 | 33,358 | ||||
MasTec, Inc. (a) | 8,476 | 543,820 | ||||
MYR Group, Inc. (a) | 2,300 | 74,957 | ||||
Northwest Pipe Co. (a) | 1,300 | 43,303 | ||||
NV5 Global, Inc. (a) | 1,500 | 75,675 | ||||
Primoris Services Corp. | 6,267 | 139,378 | ||||
Sterling Construction Co., Inc. (a) | 3,700 | 52,096 | ||||
Tutor Perini Corp. (a) (b) | 5,600 | 72,016 | ||||
Valmont Industries, Inc. | 3,016 | 451,736 | ||||
Willscot Corp. (a) | 7,300 | 134,977 | ||||
4,958,353 | ||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||
Eagle Materials, Inc. | 5,964 | 540,696 | ||||
Forterra, Inc. (a) | 2,600 | 30,056 | ||||
Summit Materials, Inc. Class A (a) | 15,912 | 380,297 | ||||
United States Lime & Minerals, Inc. | 321 | 28,986 | ||||
US Concrete, Inc. (a) | 2,239 | 93,277 | ||||
1,073,312 | ||||||
CONSUMER FINANCE — 0.7% | ||||||
Ally Financial, Inc. | 53,975 | 1,649,476 | ||||
Credit Acceptance Corp. (a) (b) | 1,523 | 673,669 | ||||
Curo Group Holdings Corp. (a) (b) | 2,200 | 26,796 | ||||
Elevate Credit, Inc. (a) | 4,000 | 17,800 | ||||
Encore Capital Group, Inc. (a) (b) | 4,392 | 155,301 | ||||
Enova International, Inc. (a) | 4,600 | 110,676 | ||||
EZCORP, Inc. Class A (a) (b) | 7,200 | 49,104 | ||||
FirstCash, Inc. | 5,878 | 473,943 | ||||
Green Dot Corp. Class A (a) | 6,800 | 158,440 | ||||
LendingClub Corp. (a) | 9,506 | 119,966 | ||||
Medallion Financial Corp. (a) | 3,200 | 23,264 | ||||
Navient Corp. | 27,600 | 377,568 | ||||
Nelnet, Inc. Class A | 2,514 | 146,415 | ||||
OneMain Holdings, Inc. | 9,262 | 390,393 | ||||
Oportun Financial Corp. (a) (b) | 1,000 | 23,800 | ||||
PRA Group, Inc. (a) (b) | 6,314 | 229,198 |
Security Description | Shares | Value | ||||
Regional Management Corp. (a) | 1,200 | $36,036 | ||||
Santander Consumer USA Holdings, Inc. | 14,516 | 339,239 | ||||
SLM Corp. | 59,800 | 532,818 | ||||
World Acceptance Corp. (a) (b) | 771 | 66,615 | ||||
�� | 5,600,517 | |||||
CONTAINERS & PACKAGING — 0.8% | ||||||
AptarGroup, Inc. | 9,056 | 1,047,055 | ||||
Ardagh Group SA | 2,600 | 50,908 | ||||
Berry Global Group, Inc. (a) | 18,663 | 886,306 | ||||
Crown Holdings, Inc. (a) | 18,465 | 1,339,451 | ||||
Graphic Packaging Holding Co. | 40,967 | 682,101 | ||||
Greif, Inc. Class A | 3,600 | 159,120 | ||||
Greif, Inc. Class B | 900 | 46,593 | ||||
Myers Industries, Inc. | 4,995 | 83,317 | ||||
O-I Glass, Inc. | 21,928 | 261,601 | ||||
Silgan Holdings, Inc. | 11,068 | 343,993 | ||||
Sonoco Products Co. | 14,095 | 869,943 | ||||
UFP Technologies, Inc. (a) | 1,000 | 49,610 | ||||
5,819,998 | ||||||
DISTRIBUTORS — 0.2% | ||||||
Core-Mark Holding Co., Inc. | 6,352 | 172,711 | ||||
Funko, Inc. Class A (a) (b) | 3,050 | 52,338 | ||||
Greenlane Holdings, Inc. Class A (a) (b) | 1,100 | 3,581 | ||||
Pool Corp. | 5,435 | 1,154,285 | ||||
Weyco Group, Inc. | 943 | 24,942 | ||||
1,407,857 | ||||||
DIVERSIFIED CONSUMER SERVICES — 1.0% | ||||||
Adtalem Global Education, Inc. (a) | 7,600 | 265,772 | ||||
American Public Education, Inc. (a) | 2,100 | 57,519 | ||||
Bright Horizons Family Solutions, Inc. (a) | 8,194 | 1,231,476 | ||||
Carriage Services, Inc. | 2,296 | 58,778 | ||||
Chegg, Inc. (a) | 16,700 | 633,097 | ||||
Collectors Universe, Inc. | 1,315 | 30,311 | ||||
frontdoor, Inc. (a) | 12,006 | 569,324 | ||||
Graham Holdings Co. Class B | 634 | 405,120 | ||||
Grand Canyon Education, Inc. (a) | 6,769 | 648,402 | ||||
Houghton Mifflin Harcourt Co. (a) | 14,699 | 91,869 | ||||
K12, Inc. (a) | 5,500 | 111,925 | ||||
Laureate Education, Inc. Class A (a) | 16,700 | 294,087 | ||||
OneSpaWorld Holdings, Ltd. (a) (b) | 6,400 | 107,776 | ||||
Perdoceo Education Corp. (a) | 9,700 | 178,383 | ||||
Regis Corp. (a) | 3,306 | 59,078 | ||||
Select Interior Concepts, Inc. Class A (a) | 3,300 | 29,667 | ||||
Service Corp. International | 25,200 | 1,159,956 | ||||
ServiceMaster Global Holdings, Inc. (a) | 19,312 | 746,602 | ||||
Strategic Education, Inc. | 3,024 | 480,514 | ||||
WW International, Inc. (a) | 6,600 | 252,186 | ||||
7,411,842 |
Security Description | Shares | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.5% | ||||||
Alerus Financial Corp. (b) | 500 | $11,425 | ||||
AXA Equitable Holdings, Inc. | 58,800 | 1,457,064 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 4,400 | 94,072 | ||||
Cannae Holdings, Inc. (a) | 9,500 | 353,305 | ||||
FGL Holdings (b) | 20,600 | 219,390 | ||||
GWG Holdings, Inc. (a) (b) | 300 | 2,946 | ||||
Jefferies Financial Group, Inc. | 37,600 | 803,512 | ||||
Marlin Business Services Corp. | 1,400 | 30,772 | ||||
On Deck Capital, Inc. (a) | 8,900 | 36,846 | ||||
Voya Financial, Inc. | 19,041 | 1,161,120 | ||||
4,170,452 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.5% | ||||||
Anterix, Inc. (a) (b) | 1,470 | 63,519 | ||||
ATN International, Inc. | 1,609 | 89,122 | ||||
Bandwidth, Inc. Class A (a) (b) | 2,300 | 147,315 | ||||
Cincinnati Bell, Inc. (a) (b) | 6,951 | 72,777 | ||||
Cogent Communications Holdings, Inc. | 5,996 | 394,597 | ||||
Consolidated Communications Holdings, Inc. | 9,949 | 38,602 | ||||
Frontier Communications Corp. (a) (b) | 16,967 | 15,094 | ||||
GCI Liberty, Inc. Class A (a) | 13,896 | 984,532 | ||||
IDT Corp. Class B (a) | 2,900 | 20,909 | ||||
Intelsat SA (a) (b) | 9,447 | 66,412 | ||||
Iridium Communications, Inc. (a) | 14,019 | 345,428 | ||||
Ooma, Inc. (a) (b) | 2,800 | 37,044 | ||||
ORBCOMM, Inc. (a) | 10,311 | 43,409 | ||||
Pareteum Corp. (a) (b) | 17,700 | 7,740 | ||||
Vonage Holdings Corp. (a) | 31,900 | 236,379 | ||||
Zayo Group Holdings, Inc. (a) | 32,024 | 1,109,632 | ||||
3,672,511 | ||||||
ELECTRIC UTILITIES — 0.9% | ||||||
ALLETE, Inc. | 7,322 | 594,327 | ||||
Avangrid, Inc. | 8,000 | 409,280 | ||||
El Paso Electric Co. | 5,763 | 391,250 | ||||
Genie Energy, Ltd. Class B (b) | 1,998 | 15,445 | ||||
Hawaiian Electric Industries, Inc. | 15,383 | 720,847 | ||||
IDACORP, Inc. | 7,099 | 758,173 | ||||
MGE Energy, Inc. | 4,962 | 391,105 | ||||
OGE Energy Corp. | 28,343 | 1,260,413 | ||||
Otter Tail Corp. | 5,576 | 285,993 | ||||
PG&E Corp. (a) (b) | 75,222 | 817,663 | ||||
PNM Resources, Inc. | 11,251 | 570,538 | ||||
Portland General Electric Co. | 12,621 | 704,126 | ||||
Spark Energy, Inc. Class A (b) | 2,096 | 19,346 | ||||
6,938,506 | ||||||
ELECTRICAL EQUIPMENT — 0.9% | ||||||
Acuity Brands, Inc. | 5,632 | 777,216 | ||||
Allied Motion Technologies, Inc. | 962 | 46,657 | ||||
American Superconductor Corp. (a) (b) | 3,300 | 25,905 |
Security Description | Shares | Value | ||||
Atkore International Group, Inc. (a) | 6,600 | $267,036 | ||||
AZZ, Inc. | 3,640 | 167,258 | ||||
Bloom Energy Corp. Class A (a) (b) | 7,802 | 58,281 | ||||
Encore Wire Corp. | 2,854 | 163,820 | ||||
Energous Corp. (a) (b) | 4,960 | 8,779 | ||||
EnerSys | 6,041 | 452,048 | ||||
Generac Holdings, Inc. (a) | 8,649 | 870,003 | ||||
GrafTech International, Ltd. (b) | 8,650 | 100,513 | ||||
Hubbell, Inc. | 7,681 | 1,135,406 | ||||
nVent Electric PLC | 21,500 | 549,970 | ||||
Plug Power, Inc. (a) (b) | 34,501 | 109,023 | ||||
Powell Industries, Inc. | 1,300 | 63,687 | ||||
Preformed Line Products Co. | 500 | 30,175 | ||||
Regal Beloit Corp. | 5,794 | 496,024 | ||||
Sensata Technologies Holding PLC (a) | 22,128 | 1,192,035 | ||||
Sunrun, Inc. (a) (b) | 15,900 | 219,579 | ||||
Thermon Group Holdings, Inc. (a) | 4,625 | 123,950 | ||||
TPI Composites, Inc. (a) | 4,100 | 75,891 | ||||
Vicor Corp. (a) | 2,510 | 117,267 | ||||
Vivint Solar, Inc. (a) (b) | 6,273 | 45,542 | ||||
7,096,065 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.2% | ||||||
Airgain, Inc. (a) | 1,490 | 15,928 | ||||
Akoustis Technologies, Inc. (a) (b) | 3,600 | 28,800 | ||||
Anixter International, Inc. (a) | 4,286 | 394,741 | ||||
Arlo Technologies, Inc. (a) | 10,617 | 44,698 | ||||
Arrow Electronics, Inc. (a) | 11,410 | 966,883 | ||||
Avnet, Inc. | 14,197 | 602,521 | ||||
AVX Corp. | 6,600 | 135,102 | ||||
Badger Meter, Inc. | 4,076 | 264,655 | ||||
Bel Fuse, Inc. Class B | 1,400 | 28,700 | ||||
Belden, Inc. | 5,463 | 300,465 | ||||
Benchmark Electronics, Inc. | 5,180 | 177,985 | ||||
Coda Octopus Group, Inc. (a) (b) | 710 | 5,943 | ||||
Cognex Corp. | 23,301 | 1,305,788 | ||||
Coherent, Inc. (a) | 3,408 | 566,921 | ||||
CTS Corp. | 4,576 | 137,326 | ||||
Daktronics, Inc. | 5,145 | 31,333 | ||||
Dolby Laboratories, Inc. Class A | 8,879 | 610,875 | ||||
ePlus, Inc. (a) | 1,860 | 156,779 | ||||
Fabrinet (a) | 5,100 | 330,684 | ||||
FARO Technologies, Inc. (a) | 2,400 | 120,840 | ||||
Fitbit, Inc. Class A (a) | 31,709 | 208,328 | ||||
II-VI, Inc. (a) (b) | 12,597 | 424,141 | ||||
Insight Enterprises, Inc. (a) | 4,952 | 348,076 | ||||
Iteris, Inc. (a) | 5,700 | 28,443 | ||||
Itron, Inc. (a) | 4,799 | 402,876 | ||||
Jabil, Inc. | 21,167 | 874,832 | ||||
KEMET Corp. | 8,000 | 216,400 | ||||
Kimball Electronics, Inc. (a) | 3,444 | 60,442 | ||||
Knowles Corp. (a) | 11,468 | 242,548 | ||||
Littelfuse, Inc. | 3,331 | 637,220 | ||||
Methode Electronics, Inc. | 5,149 | 202,613 | ||||
MTS Systems Corp. | 2,543 | 122,140 |
Security Description | Shares | Value | ||||
Napco Security Technologies, Inc. (a) | 1,678 | $49,317 | ||||
National Instruments Corp. | 18,462 | 781,681 | ||||
nLight, Inc. (a) (b) | 4,700 | 95,316 | ||||
Novanta, Inc. (a) | 4,800 | 424,512 | ||||
OSI Systems, Inc. (a) | 2,397 | 241,474 | ||||
PAR Technology Corp. (a) | 1,600 | 49,184 | ||||
PC Connection, Inc. | 1,615 | 80,201 | ||||
Plexus Corp. (a) | 4,100 | 315,454 | ||||
Rogers Corp. (a) | 2,621 | 326,917 | ||||
Sanmina Corp. (a) | 9,710 | 332,470 | ||||
ScanSource, Inc. (a) | 3,609 | 133,353 | ||||
SYNNEX Corp. | 5,868 | 755,798 | ||||
Tech Data Corp. (a) | 4,982 | 715,415 | ||||
Trimble, Inc. (a) | 35,636 | 1,485,665 | ||||
TTM Technologies, Inc. (a) | 14,000 | 210,700 | ||||
Vishay Intertechnology, Inc. | 18,745 | 399,081 | ||||
Vishay Precision Group, Inc. (a) | 1,500 | 51,000 | ||||
Wrap Technologies, Inc. (a) (b) | 1,500 | 9,585 | ||||
16,452,149 | ||||||
ENERGY EQUIPMENT & SERVICES — 0.6% | ||||||
Apergy Corp. (a) | 11,000 | 371,580 | ||||
Archrock, Inc. | 18,200 | 182,728 | ||||
Cactus, Inc. Class A | 6,600 | 226,512 | ||||
Covia Holdings Corp. (a) (b) | 7,218 | 14,725 | ||||
Diamond Offshore Drilling, Inc. (a) (b) | 9,200 | 66,148 | ||||
DMC Global, Inc. (b) | 2,000 | 89,880 | ||||
Dril-Quip, Inc. (a) | 5,075 | 238,068 | ||||
Era Group, Inc. (a) | 2,799 | 28,466 | ||||
Exterran Corp. (a) | 4,100 | 32,103 | ||||
Forum Energy Technologies, Inc. (a) | 12,039 | 20,226 | ||||
Frank's International NV (a) | 15,000 | 77,550 | ||||
FTS International, Inc. (a) (b) | 5,100 | 5,304 | ||||
Geospace Technologies Corp. (a) | 2,100 | 35,217 | ||||
Helix Energy Solutions Group, Inc. (a) | 20,009 | 192,687 | ||||
Independence Contract Drilling, Inc. (a) | 6,400 | 6,380 | ||||
KLX Energy Services Holdings, Inc. (a) | 2,997 | 19,301 | ||||
Liberty Oilfield Services, Inc. Class A (b) | 7,500 | 83,400 | ||||
Mammoth Energy Services, Inc. (b) | 2,297 | 5,053 | ||||
Matrix Service Co. (a) | 3,800 | 86,944 | ||||
McDermott International, Inc. (a) (b) | 25,632 | 17,343 | ||||
Nabors Industries, Ltd. | 49,730 | 143,222 | ||||
National Energy Services Reunited Corp. (a) (b) | 3,700 | 33,744 | ||||
Natural Gas Services Group, Inc. (a) | 1,900 | 23,294 | ||||
NCS Multistage Holdings, Inc. (a) (b) | 1,470 | 3,087 | ||||
Newpark Resources, Inc. (a) | 12,500 | 78,375 | ||||
NexTier Oilfield Solutions, Inc. (a) | 22,459 | 150,475 | ||||
Nine Energy Service, Inc. (a) (b) | 2,465 | 19,276 | ||||
Noble Corp. PLC (a) (b) | 35,001 | 42,701 | ||||
Oceaneering International, Inc. (a) | 13,981 | 208,457 |
Security Description | Shares | Value | ||||
Oil States International, Inc. (a) | 8,466 | $138,081 | ||||
Pacific Drilling SA (a) | 4,700 | 19,176 | ||||
Parker Drilling Co. (a) | 1,500 | 33,750 | ||||
Patterson-UTI Energy, Inc. | 27,100 | 284,550 | ||||
ProPetro Holding Corp. (a) | 11,299 | 127,114 | ||||
RigNet, Inc. (a) | 2,472 | 16,315 | ||||
RPC, Inc. (b) | 8,210 | 43,020 | ||||
SEACOR Holdings, Inc. (a) | 2,468 | 106,494 | ||||
SEACOR Marine Holdings, Inc. (a) | 2,799 | 38,598 | ||||
Seadrill, Ltd. (a) (b) | 8,253 | 20,963 | ||||
Select Energy Services, Inc. Class A (a) | 8,400 | 77,952 | ||||
Smart Sand, Inc. (a) (b) | 3,829 | 9,649 | ||||
Solaris Oilfield Infrastructure, Inc. Class A (b) | 4,400 | 61,600 | ||||
TETRA Technologies, Inc. (a) | 17,090 | 33,496 | ||||
Tidewater, Inc. (a) | 5,525 | 106,522 | ||||
Transocean, Ltd. (a) (b) | 82,089 | 564,772 | ||||
US Silica Holdings, Inc. (b) | 10,388 | 63,886 | ||||
US Well Service, Inc. (a) | 3,527 | 6,666 | ||||
4,254,850 | ||||||
ENTERTAINMENT — 1.2% | ||||||
AMC Entertainment Holdings, Inc. Class A (b) | 7,284 | 52,736 | ||||
Cinemark Holdings, Inc. (b) | 15,116 | 511,677 | ||||
Eros International PLC (a) (b) | 10,247 | 34,737 | ||||
Gaia, Inc. (a) (b) | 1,300 | 10,387 | ||||
Glu Mobile, Inc. (a) | 16,300 | 98,615 | ||||
IMAX Corp. (a) | 7,400 | 151,182 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) | 1,438 | 42,637 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 5,110 | 150,949 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) (b) | 3,536 | 154,806 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 27,986 | 1,286,377 | ||||
Lions Gate Entertainment Corp. Class A (a) | 7,124 | 75,942 | ||||
Lions Gate Entertainment Corp. Class B (a) | 16,089 | 159,764 | ||||
LiveXLive Media, Inc. (a) (b) | 5,299 | 8,187 | ||||
Madison Square Garden Co. Class A (a) | 2,642 | 777,250 | ||||
Marcus Corp. | 3,137 | 99,662 | ||||
Reading International, Inc. Class A (a) | 2,500 | 27,975 | ||||
Roku, Inc. (a) (b) | 12,100 | 1,620,190 | ||||
Spotify Technology SA (a) | 16,700 | 2,497,485 | ||||
World Wrestling Entertainment, Inc. Class A (b) | 6,227 | 403,945 | ||||
Zynga, Inc. Class A (a) | 121,632 | 744,388 | ||||
8,908,891 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 8.7% | ||||||
Acadia Realty Trust REIT | 12,047 | 312,379 |
Security Description | Shares | Value | |||
Agree Realty Corp. REIT | 5,856 | $410,916 | |||
Alexander & Baldwin, Inc. REIT | 9,638 | 202,012 | |||
Alexander's, Inc. REIT | 325 | 107,364 | |||
American Assets Trust, Inc. REIT | 6,842 | 314,048 | |||
American Campus Communities, Inc. REIT | 19,410 | 912,852 | |||
American Finance Trust, Inc. REIT (b) | 15,100 | 200,226 | |||
American Homes 4 Rent Class A REIT | 36,497 | 956,586 | |||
Americold Realty Trust REIT (b) | 27,200 | 953,632 | |||
Apple Hospitality REIT, Inc. | 29,800 | 484,250 | |||
Armada Hoffler Properties, Inc. REIT | 7,800 | 143,130 | |||
Ashford Hospitality Trust, Inc. REIT | 12,733 | 35,525 | |||
Bluerock Residential Growth REIT, Inc. | 3,200 | 38,560 | |||
Braemar Hotels & Resorts, Inc. REIT | 4,223 | 37,711 | |||
Brandywine Realty Trust REIT | 24,700 | 389,025 | |||
Brixmor Property Group, Inc. REIT | 42,048 | 908,657 | |||
Brookfield Property REIT, Inc. Class A (b) | 9,300 | 171,539 | |||
BRT Apartments Corp. REIT | 1,500 | 25,455 | |||
Camden Property Trust REIT | 13,252 | 1,406,037 | |||
CareTrust REIT, Inc. | 13,500 | 278,505 | |||
CatchMark Timber Trust, Inc. Class A REIT | 6,900 | 79,143 | |||
CBL & Associates Properties, Inc. REIT (b) | 23,900 | 25,095 | |||
Cedar Realty Trust, Inc. REIT | 12,057 | 35,568 | |||
Chatham Lodging Trust REIT | 6,460 | 118,476 | |||
CIM Commercial Trust Corp. REIT | 200 | 2,900 | |||
City Office REIT, Inc. | 7,500 | 101,400 | |||
Clipper Realty, Inc. REIT | 1,993 | 21,126 | |||
Colony Capital, Inc. REIT | 67,718 | 321,661 | |||
Columbia Property Trust, Inc. REIT | 16,472 | 344,430 | |||
Community Healthcare Trust, Inc. REIT | 2,700 | 115,722 | |||
CoreCivic, Inc. REIT | 16,825 | 292,419 | |||
CorEnergy Infrastructure Trust, Inc. REIT | 1,860 | 83,161 | |||
CorePoint Lodging, Inc. REIT | 5,680 | 60,662 | |||
CoreSite Realty Corp. REIT | 5,288 | 592,891 | |||
Corporate Office Properties Trust REIT | 15,900 | 467,142 | |||
Cousins Properties, Inc. REIT | 20,674 | 851,769 | |||
CubeSmart REIT | 27,225 | 857,043 | |||
CyrusOne, Inc. REIT | 15,915 | 1,041,318 | |||
DiamondRock Hospitality Co. REIT | 28,400 | 314,672 | |||
Diversified Healthcare Trust REIT | 33,377 | 281,702 | |||
Douglas Emmett, Inc. REIT | 23,537 | 1,033,274 | |||
Easterly Government Properties, Inc. REIT | 10,500 | 249,165 | |||
EastGroup Properties, Inc. REIT | 5,362 | 711,377 | |||
Empire State Realty Trust, Inc. Class A REIT | 21,224 | 296,287 | |||
EPR Properties REIT | 11,049 | 780,501 |
Security Description | Shares | Value | |||
Equity Commonwealth REIT | 17,081 | $560,769 | |||
Equity LifeStyle Properties, Inc. REIT | 24,568 | 1,729,342 | |||
Essential Properties Realty Trust, Inc. REIT (b) | 11,400 | 282,834 | |||
Farmland Partners, Inc. REIT (b) | 3,900 | 26,442 | |||
First Industrial Realty Trust, Inc. REIT | 17,815 | 739,501 | |||
Four Corners Property Trust, Inc. REIT | 9,709 | 273,697 | |||
Franklin Street Properties Corp. REIT | 14,661 | 125,498 | |||
Front Yard Residential Corp. REIT | 7,027 | 86,713 | |||
Gaming and Leisure Properties, Inc. REIT | 28,694 | 1,235,277 | |||
GEO Group, Inc. REIT | 16,800 | 279,048 | |||
Getty Realty Corp. REIT | 4,705 | 154,653 | |||
Gladstone Commercial Corp. REIT | 4,330 | 94,654 | |||
Gladstone Land Corp. REIT | 2,600 | 33,722 | |||
Global Medical REIT, Inc. | 4,600 | 60,858 | |||
Global Net Lease, Inc. REIT | 12,741 | 258,387 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 8,897 | 286,305 | |||
Healthcare Realty Trust, Inc. REIT | 18,682 | 623,418 | |||
Healthcare Trust of America, Inc. Class A REIT (b) | 29,170 | 883,268 | |||
Hersha Hospitality Trust REIT | 4,876 | 70,946 | |||
Highwoods Properties, Inc. REIT | 14,470 | 707,728 | |||
Hudson Pacific Properties, Inc. REIT | 21,537 | 810,868 | |||
Independence Realty Trust, Inc. REIT | 12,873 | 181,252 | |||
Industrial Logistics Properties Trust REIT | 9,128 | 204,650 | |||
Innovative Industrial Properties, Inc. REIT (b) | 1,600 | 121,392 | |||
Investors Real Estate Trust REIT | 1,650 | 119,625 | |||
Invitation Homes, Inc. REIT | 75,863 | 2,273,614 | |||
iStar, Inc. REIT | 8,375 | 121,521 | |||
JBG SMITH Properties REIT | 17,343 | 691,812 | |||
Jernigan Capital, Inc. REIT (b) | 3,000 | 57,420 | |||
Kilroy Realty Corp. REIT | 14,740 | 1,236,686 | |||
Kite Realty Group Trust REIT | 11,683 | 228,169 | |||
Lamar Advertising Co. Class A REIT | 12,074 | 1,077,725 | |||
Lexington Realty Trust REIT | 34,100 | 362,142 | |||
Liberty Property Trust REIT | 22,064 | 1,324,943 | |||
Life Storage, Inc. REIT | 6,565 | 710,858 | |||
LTC Properties, Inc. REIT | 5,554 | 248,653 | |||
Macerich Co. REIT | 20,000 | 538,400 | |||
Mack-Cali Realty Corp. REIT | 12,200 | 282,186 | |||
Medical Properties Trust, Inc. REIT | 72,777 | 1,536,322 | |||
Monmouth Real Estate Investment Corp. REIT | 13,079 | 189,384 | |||
National Health Investors, Inc. REIT | 6,000 | 488,880 | |||
National Retail Properties, Inc. REIT | 24,262 | 1,300,928 | |||
National Storage Affiliates Trust REIT | 8,400 | 282,408 |
Security Description | Shares | Value | |||
New Senior Investment Group, Inc. REIT | 11,807 | $90,324 | |||
NexPoint Residential Trust, Inc. REIT | 2,800 | 126,000 | |||
Office Properties Income Trust REIT | 6,727 | 216,206 | |||
Omega Healthcare Investors, Inc. REIT | 30,892 | 1,308,276 | |||
One Liberty Properties, Inc. REIT | 2,200 | 59,818 | |||
Outfront Media, Inc. REIT | 20,267 | 543,561 | |||
Paramount Group, Inc. REIT | 27,700 | 385,584 | |||
Park Hotels & Resorts, Inc. REIT | 33,834 | 875,286 | |||
Pebblebrook Hotel Trust REIT | 18,357 | 492,151 | |||
Pennsylvania Real Estate Investment Trust (b) | 9,813 | 52,303 | |||
Physicians Realty Trust REIT | 26,617 | 504,126 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 17,705 | 393,759 | |||
PotlatchDeltic Corp. REIT | 9,328 | 403,623 | |||
Preferred Apartment Communities, Inc. Class A REIT | 6,497 | 86,540 | |||
PS Business Parks, Inc. REIT | 2,784 | 458,998 | |||
QTS Realty Trust, Inc. Class A REIT | 8,148 | 442,192 | |||
Rayonier, Inc. REIT | 18,409 | 603,079 | |||
Retail Opportunity Investments Corp. REIT | 16,100 | 284,326 | |||
Retail Properties of America, Inc. Class A REIT | 30,203 | 404,720 | |||
Retail Value, Inc. REIT | 2,150 | 79,120 | |||
Rexford Industrial Realty, Inc. REIT | 15,588 | 711,904 | |||
RLJ Lodging Trust REIT | 23,868 | 422,941 | |||
RPT Realty REIT | 11,000 | 165,440 | |||
Ryman Hospitality Properties, Inc. REIT | 6,427 | 556,964 | |||
Sabra Health Care REIT, Inc. | 27,240 | 581,302 | |||
Safehold, Inc. REIT | 1,500 | 60,450 | |||
Saul Centers, Inc. REIT | 1,712 | 90,359 | |||
Seritage Growth Properties Class A REIT (b) | 4,738 | 189,899 | |||
Service Properties Trust REIT | 23,074 | 561,390 | |||
SITE Centers Corp. REIT | 21,301 | 298,640 | |||
Spirit Realty Capital, Inc. REIT | 14,075 | 692,208 | |||
STAG Industrial, Inc. REIT | 18,850 | 595,094 | |||
STORE Capital Corp. REIT | 30,393 | 1,131,835 | |||
Summit Hotel Properties, Inc. REIT (b) | 14,600 | 180,164 | |||
Sun Communities, Inc. REIT | 12,793 | 1,920,229 | |||
Sunstone Hotel Investors, Inc. REIT | 31,719 | 441,528 | |||
Tanger Factory Outlet Centers, Inc. REIT (b) | 12,687 | 186,880 | |||
Taubman Centers, Inc. REIT (b) | 8,295 | 257,892 | |||
Terreno Realty Corp. REIT | 9,271 | 501,932 | |||
UMH Properties, Inc. REIT | 5,100 | 80,223 | |||
Uniti Group, Inc. REIT (b) | 26,070 | 214,035 | |||
Universal Health Realty Income Trust REIT | 1,800 | 211,248 | |||
Urban Edge Properties REIT | 16,200 | 310,716 |
Security Description | Shares | Value | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 4,140 | $102,838 | ||||
VEREIT, Inc. | 151,571 | 1,400,516 | ||||
VICI Properties, Inc. REIT (b) | 65,503 | 1,673,602 | ||||
Washington Prime Group, Inc. REIT (b) | 26,400 | 96,096 | ||||
Washington Real Estate Investment Trust | 11,302 | 329,792 | ||||
Weingarten Realty Investors REIT | 17,148 | 535,704 | ||||
Whitestone REIT (b) | 5,400 | 73,548 | ||||
WP Carey, Inc. REIT | 24,202 | 1,937,128 | ||||
Xenia Hotels & Resorts, Inc. REIT | 16,000 | 345,760 | ||||
64,938,460 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Andersons, Inc. | 4,485 | 113,381 | ||||
BJ's Wholesale Club Holdings, Inc. (a) (b) | 15,700 | 357,018 | ||||
Casey's General Stores, Inc. | 5,148 | 818,481 | ||||
Chefs' Warehouse, Inc. (a) | 3,400 | 129,574 | ||||
Grocery Outlet Holding Corp. (a) | 4,545 | 147,485 | ||||
HF Foods Group, Inc. (a) | 1,200 | 23,400 | ||||
Ingles Markets, Inc. Class A | 1,956 | 92,930 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 1,100 | 10,857 | ||||
Performance Food Group Co. (a) | 14,511 | 747,026 | ||||
PriceSmart, Inc. | 3,191 | 226,625 | ||||
Rite Aid Corp. (a) (b) | 7,750 | 119,892 | ||||
SpartanNash Co. | 5,100 | 72,624 | ||||
Sprouts Farmers Market, Inc. (a) | 16,675 | 322,661 | ||||
United Natural Foods, Inc. (a) | 7,508 | 65,770 | ||||
US Foods Holding Corp. (a) | 30,954 | 1,296,663 | ||||
Village Super Market, Inc. Class A | 1,269 | 29,441 | ||||
Weis Markets, Inc. | 1,315 | 53,244 | ||||
4,627,072 | ||||||
FOOD PRODUCTS — 1.2% | ||||||
Alico, Inc. | 600 | 21,498 | ||||
B&G Foods, Inc. (b) | 9,000 | 161,370 | ||||
Beyond Meat, Inc. (a) (b) | 6,710 | 507,276 | ||||
Bridgford Foods Corp. (a) | 300 | 7,437 | ||||
Bunge, Ltd. | 19,512 | 1,122,916 | ||||
Calavo Growers, Inc. (b) | 2,242 | 203,103 | ||||
Cal-Maine Foods, Inc. | 4,400 | 188,100 | ||||
Darling Ingredients, Inc. (a) | 23,200 | 651,456 | ||||
Farmer Brothers Co. (a) | 1,525 | 22,967 | ||||
Flowers Foods, Inc. | 27,631 | 600,698 | ||||
Fresh Del Monte Produce, Inc. | 4,334 | 151,603 | ||||
Freshpet, Inc. (a) (b) | 4,900 | 289,541 | ||||
Hain Celestial Group, Inc. (a) (b) | 11,801 | 306,295 | ||||
Hostess Brands, Inc. (a) | 16,900 | 245,726 | ||||
Ingredion, Inc. | 9,452 | 878,563 | ||||
J&J Snack Foods Corp. | 2,132 | 392,864 | ||||
John B Sanfilippo & Son, Inc. | 1,178 | 107,528 | ||||
Lancaster Colony Corp. | 2,713 | 434,351 | ||||
Landec Corp. (a) | 3,700 | 41,847 | ||||
Limoneira Co. | 2,200 | 42,306 |
Security Description | Shares | Value | ||||
Pilgrim's Pride Corp. (a) | 7,600 | $248,634 | ||||
Post Holdings, Inc. (a) | 9,235 | 1,007,538 | ||||
Sanderson Farms, Inc. | 2,821 | 497,117 | ||||
Seaboard Corp. | 37 | 157,270 | ||||
Seneca Foods Corp. Class A (a) | 949 | 38,710 | ||||
Simply Good Foods Co. (a) | 11,600 | 331,064 | ||||
Tootsie Roll Industries, Inc. (b) | 2,269 | 77,464 | ||||
TreeHouse Foods, Inc. (a) | 7,881 | 382,228 | ||||
9,117,470 | ||||||
GAS UTILITIES — 0.7% | ||||||
Chesapeake Utilities Corp. | 2,238 | 214,467 | ||||
National Fuel Gas Co. | 11,570 | 538,468 | ||||
New Jersey Resources Corp. | 12,544 | 559,086 | ||||
Northwest Natural Holding Co. | 4,260 | 314,090 | ||||
ONE Gas, Inc. | 7,387 | 691,202 | ||||
RGC Resources, Inc. | 1,100 | 31,438 | ||||
South Jersey Industries, Inc. (b) | 13,062 | 430,785 | ||||
Southwest Gas Holdings, Inc. | 7,639 | 580,335 | ||||
Spire, Inc. | 7,039 | 586,419 | ||||
UGI Corp. | 29,532 | 1,333,665 | ||||
5,279,955 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 3.0% | ||||||
Accuray, Inc. (a) | 12,421 | 35,027 | ||||
Alphatec Holdings, Inc. (a) | 5,500 | 39,023 | ||||
AngioDynamics, Inc. (a) | 5,197 | 83,204 | ||||
Antares Pharma, Inc. (a) | 22,800 | 107,160 | ||||
Apyx Medical Corp. (a) | 4,695 | 39,720 | ||||
AtriCure, Inc. (a) | 5,400 | 175,554 | ||||
Atrion Corp. | 242 | 181,863 | ||||
Avanos Medical, Inc. (a) | 6,700 | 225,790 | ||||
AxoGen, Inc. (a) | 4,800 | 85,872 | ||||
Axonics Modulation Technologies, Inc. (a) (b) | 2,157 | 59,770 | ||||
BioLife Solutions, Inc. (a) (b) | 1,120 | 18,122 | ||||
BioSig Technologies, Inc. (a) (b) | 2,800 | 16,576 | ||||
Cantel Medical Corp. (b) | 5,348 | 379,173 | ||||
Cardiovascular Systems, Inc. (a) | 4,850 | 235,661 | ||||
Cerus Corp. (a) | 19,809 | 83,594 | ||||
Conformis, Inc. (a) | 10,500 | 15,750 | ||||
CONMED Corp. | 3,848 | 430,322 | ||||
CryoLife, Inc. (a) | 5,100 | 138,159 | ||||
CryoPort, Inc. (a) (b) | 4,400 | 72,424 | ||||
Cutera, Inc. (a) | 2,000 | 71,620 | ||||
CytoSorbents Corp. (a) (b) | 4,360 | 16,786 | ||||
DexCom, Inc. (a) | 12,813 | 2,802,716 | ||||
ElectroCore LLC (a) (b) | 1,940 | 3,085 | ||||
Envista Holdings Corp. (a) | 20,400 | 604,656 | ||||
GenMark Diagnostics, Inc. (a) (b) | 7,800 | 37,518 | ||||
Glaukos Corp. (a) | 5,442 | 296,426 | ||||
Globus Medical, Inc. Class A (a) | 10,732 | 631,900 | ||||
Haemonetics Corp. (a) | 7,261 | 834,289 | ||||
Heska Corp. (a) | 1,002 | 96,132 | ||||
Hill-Rom Holdings, Inc. | 9,476 | 1,075,810 | ||||
ICU Medical, Inc. (a) | 2,698 | 504,850 |
Security Description | Shares | Value | ||||
Inogen, Inc. (a) | 2,592 | $177,111 | ||||
Insulet Corp. (a) | 8,400 | 1,438,080 | ||||
Integer Holdings Corp. (a) | 4,592 | 369,335 | ||||
Integra LifeSciences Holdings Corp. (a) | 10,093 | 588,220 | ||||
IntriCon Corp. (a) (b) | 1,123 | 20,214 | ||||
Invacare Corp. | 4,700 | 42,394 | ||||
iRadimed Corp. (a) (b) | 600 | 14,028 | ||||
iRhythm Technologies, Inc. (a) (b) | 3,700 | 251,933 | ||||
Lantheus Holdings, Inc. (a) | 5,396 | 110,672 | ||||
LeMaitre Vascular, Inc. | 2,300 | 82,685 | ||||
LivaNova PLC (a) | 6,850 | 516,695 | ||||
Masimo Corp. (a) | 6,677 | 1,055,367 | ||||
Meridian Bioscience, Inc. | 5,900 | 57,643 | ||||
Merit Medical Systems, Inc. (a) | 7,600 | 237,272 | ||||
Mesa Laboratories, Inc. (b) | 568 | 141,659 | ||||
Misonix, Inc. (a) | 1,100 | 20,471 | ||||
Natus Medical, Inc. (a) | 4,734 | 156,175 | ||||
Neogen Corp. (a) | 7,210 | 470,525 | ||||
Neuronetics, Inc. (a) | 2,160 | 9,698 | ||||
Nevro Corp. (a) | 4,197 | 493,315 | ||||
Novocure, Ltd. (a) | 12,222 | 1,029,948 | ||||
NuVasive, Inc. (a) | 7,280 | 563,035 | ||||
OraSure Technologies, Inc. (a) | 8,700 | 69,861 | ||||
Orthofix Medical, Inc. (a) | 2,560 | 118,221 | ||||
OrthoPediatrics Corp. (a) (b) | 1,229 | 57,751 | ||||
Penumbra, Inc. (a) (b) | 4,487 | 737,079 | ||||
Pulse Biosciences, Inc. (a) | 1,591 | 21,335 | ||||
Quidel Corp. (a) | 5,000 | 375,150 | ||||
Rockwell Medical, Inc. (a) (b) | 10,200 | 24,888 | ||||
RTI Surgical Holdings, Inc. (a) | 8,500 | 23,290 | ||||
SeaSpine Holdings Corp. (a) | 2,200 | 26,422 | ||||
Senseonics Holdings, Inc. (a) (b) | 22,037 | 20,186 | ||||
Shockwave Medical, Inc. (a) (b) | 3,598 | 158,024 | ||||
SI-BONE, Inc. (a) | 2,260 | 48,590 | ||||
Sientra, Inc. (a) | 5,400 | 48,276 | ||||
Silk Road Medical, Inc. (a) (b) | 2,300 | 92,874 | ||||
Solition, Inc. (a) (b) | 995 | 10,925 | ||||
STAAR Surgical Co. (a) (b) | 6,300 | 221,571 | ||||
Surmodics, Inc. (a) | 1,846 | 76,480 | ||||
Tactile Systems Technology, Inc. (a) | 2,600 | 175,526 | ||||
Tandem Diabetes Care, Inc. (a) (b) | 7,891 | 470,383 | ||||
TransEnterix, Inc. (a) (b) | 2,437 | 3,582 | ||||
TransMedics Group, Inc. (a) (b) | 2,000 | 38,020 | ||||
Utah Medical Products, Inc. | 537 | 57,942 | ||||
Vapotherm, Inc. (a) | 2,100 | 25,536 | ||||
Varex Imaging Corp. (a) | 5,300 | 157,993 | ||||
ViewRay, Inc. (a) (b) | 9,977 | 42,103 | ||||
West Pharmaceutical Services, Inc. | 10,427 | 1,567,491 | ||||
Wright Medical Group NV (a) | 17,809 | 542,818 | ||||
Zynex, Inc. (a) (b) | 2,400 | 18,888 | ||||
22,476,232 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.5% | ||||||
Acadia Healthcare Co., Inc. (a) (b) | 12,282 | 408,008 | ||||
Addus HomeCare Corp. (a) | 1,767 | 171,788 |
Security Description | Shares | Value | ||||
Amedisys, Inc. (a) | 4,405 | $735,283 | ||||
American Renal Associates Holdings, Inc. (a) | 2,900 | 30,073 | ||||
AMN Healthcare Services, Inc. (a) | 6,448 | 401,775 | ||||
Apollo Medical Holdings, Inc. (a) (b) | 1,100 | 20,251 | ||||
Avalon GloboCare Corp. (a) | 3,520 | 6,794 | ||||
BioTelemetry, Inc. (a) | 4,700 | 217,610 | ||||
Brookdale Senior Living, Inc. (a) | 26,062 | 189,471 | ||||
Catasys, Inc. (a) (b) | 1,238 | 20,192 | ||||
Chemed Corp. | 2,177 | 956,269 | ||||
Community Health Systems, Inc. (a) | 12,167 | 35,284 | ||||
CorVel Corp. (a) | 1,294 | 113,044 | ||||
Covetrus, Inc. (a) (b) | 13,700 | 180,840 | ||||
Cross Country Healthcare, Inc. (a) | 5,058 | 58,774 | ||||
Diplomat Pharmacy, Inc. (a) | 8,263 | 33,052 | ||||
Encompass Health Corp. | 13,903 | 963,061 | ||||
Ensign Group, Inc. | 7,170 | 325,303 | ||||
Enzo Biochem, Inc. (a) | 7,000 | 18,410 | ||||
Exagen, Inc. (a) | 600 | 15,240 | ||||
Genesis Healthcare, Inc. (a) | 11,800 | 19,352 | ||||
Guardant Health, Inc. (a) | 5,200 | 406,328 | ||||
Hanger, Inc. (a) | 5,150 | 142,191 | ||||
HealthEquity, Inc. (a) | 9,763 | 723,145 | ||||
Joint Corp (a) | 1,850 | 29,859 | ||||
LHC Group, Inc. (a) | 4,258 | 586,582 | ||||
Magellan Health, Inc. (a) | 3,085 | 241,401 | ||||
MEDNAX, Inc. (a) | 11,574 | 321,641 | ||||
Molina Healthcare, Inc. (a) | 8,887 | 1,205,877 | ||||
National HealthCare Corp. | 1,758 | 151,944 | ||||
National Research Corp. Class A | 1,700 | 112,098 | ||||
Option Care Health, Inc. (a) | 17,400 | 64,902 | ||||
Owens & Minor, Inc. | 8,719 | 45,077 | ||||
Patterson Cos., Inc. (b) | 11,800 | 241,664 | ||||
PetIQ, Inc. (a) (b) | 2,800 | 70,140 | ||||
Premier, Inc. Class A (a) | 8,745 | 331,261 | ||||
Progyny, Inc. (a) (b) | 1,600 | 43,920 | ||||
Providence Service Corp. (a) | 1,685 | 99,718 | ||||
R1 RCM, Inc. (a) | 14,600 | 189,508 | ||||
RadNet, Inc. (a) | 5,976 | 121,313 | ||||
Select Medical Holdings Corp. (a) | 15,500 | 361,770 | ||||
Surgery Partners, Inc. (a) (b) | 3,371 | 52,773 | ||||
Tenet Healthcare Corp. (a) | 14,469 | 550,256 | ||||
The Pennant Group, Inc. (a) | 3,617 | 119,614 | ||||
Tivity Health, Inc. (a) (b) | 6,737 | 137,064 | ||||
Triple-S Management Corp. Class B (a) | 3,257 | 60,222 | ||||
US Physical Therapy, Inc. | 1,800 | 205,830 | ||||
11,535,972 | ||||||
HEALTH CARE TECHNOLOGY — 0.8% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 22,845 | 224,224 | ||||
Castlight Health, Inc. Class B (a) | 15,800 | 21,014 | ||||
Change Healthcare, Inc. (a) | 6,900 | 113,091 | ||||
Computer Programs & Systems, Inc. | 1,804 | 47,625 | ||||
Evolent Health, Inc. Class A (a) (b) | 10,400 | 94,120 | ||||
Health Catalyst, Inc. (a) | 1,200 | 41,640 |
Security Description | Shares | Value | ||||
HealthStream, Inc. (a) | 3,699 | $100,613 | ||||
HMS Holdings Corp. (a) | 12,341 | 365,293 | ||||
Inovalon Holdings, Inc. Class A (a) (b) | 10,300 | 193,846 | ||||
Inspire Medical Systems, Inc. (a) | 1,900 | 140,999 | ||||
Livongo Health, Inc. (a) | 2,100 | 52,626 | ||||
NextGen Healthcare, Inc. (a) | 7,700 | 123,739 | ||||
Omnicell, Inc. (a) | 5,864 | 479,206 | ||||
OptimizeRx Corp. (a) (b) | 1,996 | 20,499 | ||||
Phreesia, Inc. (a) (b) | 1,400 | 37,296 | ||||
Simulations Plus, Inc. | 1,697 | 49,332 | ||||
Tabula Rasa HealthCare, Inc. (a) (b) | 2,800 | 136,304 | ||||
Teladoc Health, Inc. (a) (b) | 10,192 | 853,274 | ||||
Veeva Systems, Inc. Class A (a) | 18,621 | 2,619,230 | ||||
Vocera Communications, Inc. (a) (b) | 4,434 | 92,050 | ||||
5,806,021 | ||||||
HOTELS, RESTAURANTS & LEISURE — 3.0% | ||||||
Aramark | 34,751 | 1,508,193 | ||||
BBX Capital Corp. | 9,100 | 43,407 | ||||
Biglari Holdings, Inc. Class B (a) | 136 | 15,561 | ||||
BJ's Restaurants, Inc. | 2,706 | 102,720 | ||||
Bloomin' Brands, Inc. | 12,300 | 271,461 | ||||
Bluegreen Vacations Corp. (b) | 1,074 | 11,105 | ||||
Boyd Gaming Corp. (b) | 11,398 | 341,256 | ||||
Brinker International, Inc. (b) | 5,230 | 219,660 | ||||
Caesars Entertainment Corp. (a) | 81,650 | 1,110,440 | ||||
Carrols Restaurant Group, Inc. (a) (b) | 4,900 | 34,545 | ||||
Century Casinos, Inc. (a) | 3,812 | 30,191 | ||||
Cheesecake Factory, Inc. (b) | 5,855 | 227,525 | ||||
Choice Hotels International, Inc. (b) | 4,749 | 491,189 | ||||
Churchill Downs, Inc. | 4,970 | 681,884 | ||||
Chuy's Holdings, Inc. (a) | 2,353 | 60,990 | ||||
Cracker Barrel Old Country Store, Inc. (b) | 3,412 | 524,561 | ||||
Dave & Buster's Entertainment, Inc. (b) | 4,348 | 174,659 | ||||
Del Taco Restaurants, Inc. (a) | 4,100 | 32,411 | ||||
Denny's Corp. (a) | 8,200 | 163,016 | ||||
Dine Brands Global, Inc. (b) | 2,295 | 191,678 | ||||
Domino's Pizza, Inc. | 5,802 | 1,704,512 | ||||
Drive Shack, Inc. (a) (b) | 8,494 | 31,088 | ||||
Dunkin' Brands Group, Inc. | 11,746 | 887,293 | ||||
El Pollo Loco Holdings, Inc. (a) | 2,800 | 42,392 | ||||
Eldorado Resorts, Inc. (a) (b) | 9,300 | 554,652 | ||||
Everi Holdings, Inc. (a) | 9,695 | 130,204 | ||||
Extended Stay America, Inc. | 25,800 | 383,388 | ||||
Fiesta Restaurant Group, Inc. (a) | 3,297 | 32,607 | ||||
Golden Entertainment, Inc. (a) | 2,425 | 46,609 | ||||
Habit Restaurants, Inc. Class A (a) | 2,943 | 30,695 | ||||
Hilton Grand Vacations, Inc. (a) | 12,141 | 417,529 | ||||
Hyatt Hotels Corp. Class A | 5,129 | 460,123 | ||||
Inspired Entertainment, Inc. (a) | 1,420 | 9,585 | ||||
International Game Technology PLC (b) | 13,901 | 208,098 | ||||
J Alexander's Holdings, Inc. (a) | 2,224 | 21,261 | ||||
Jack in the Box, Inc. | 3,680 | 287,150 |
Security Description | Shares | Value | ||||
Kura Sushi USA, Inc. Class A (a) | 600 | $15,270 | ||||
Lindblad Expeditions Holdings, Inc. (a) | 3,193 | 52,206 | ||||
Marriott Vacations Worldwide Corp. | 5,855 | 753,890 | ||||
Monarch Casino & Resort, Inc. (a) | 1,600 | 77,680 | ||||
Nathan's Famous, Inc. | 400 | 28,352 | ||||
Noodles & Co. (a) (b) | 4,500 | 24,930 | ||||
Papa John's International, Inc. | 3,110 | 196,397 | ||||
Penn National Gaming, Inc. (a) | 15,514 | 396,538 | ||||
Planet Fitness, Inc. Class A (a) | 11,585 | 865,168 | ||||
PlayAGS, Inc. (a) | 3,726 | 45,196 | ||||
Potbelly Corp. (a) | 3,799 | 16,032 | ||||
RCI Hospitality Holdings, Inc. | 1,400 | 28,700 | ||||
Red Lion Hotels Corp. (a) | 4,257 | 15,879 | ||||
Red Robin Gourmet Burgers, Inc. (a) | 1,836 | 60,625 | ||||
Red Rock Resorts, Inc. Class A | 9,886 | 236,770 | ||||
Ruth's Hospitality Group, Inc. | 3,900 | 84,884 | ||||
Scientific Games Corp. Class A (a) | 7,900 | 211,562 | ||||
SeaWorld Entertainment, Inc. (a) | 6,690 | 212,140 | ||||
Shake Shack, Inc. Class A (a) (b) | 4,130 | 246,024 | ||||
Six Flags Entertainment Corp. | 11,258 | 507,848 | ||||
Target Hospitality Corp. (a) | 5,100 | 25,500 | ||||
Texas Roadhouse, Inc. (b) | 9,341 | 526,085 | ||||
Twin River Worldwide Holdings, Inc. (b) | 2,505 | 64,253 | ||||
Vail Resorts, Inc. | 5,734 | 1,375,185 | ||||
Wendy's Co. | 26,358 | 585,411 | ||||
Wingstop, Inc. | 4,170 | 359,579 | ||||
Wyndham Destinations, Inc. | 12,700 | 656,463 | ||||
Wyndham Hotels & Resorts, Inc. | 13,251 | 832,295 | ||||
Yum China Holdings, Inc. | 51,424 | 2,468,866 | ||||
22,453,366 | ||||||
HOUSEHOLD DURABLES — 0.9% | ||||||
Bassett Furniture Industries, Inc. | 1,500 | 25,020 | ||||
Beazer Homes USA, Inc. (a) | 4,096 | 57,876 | ||||
Cavco Industries, Inc. (a) | 1,195 | 233,479 | ||||
Century Communities, Inc. (a) | 3,814 | 104,313 | ||||
Ethan Allen Interiors, Inc. | 3,400 | 64,804 | ||||
Flexsteel Industries, Inc. | 1,200 | 23,904 | ||||
GoPro, Inc. Class A (a) (b) | 18,022 | 78,216 | ||||
Green Brick Partners, Inc. (a) | 3,400 | 39,032 | ||||
Hamilton Beach Brands Holding Co. Class A | 1,127 | 21,526 | ||||
Helen of Troy, Ltd. (a) | 3,544 | 637,176 | ||||
Hooker Furniture Corp. | 1,600 | 41,104 | ||||
Installed Building Products, Inc. (a) | 3,200 | 220,384 | ||||
iRobot Corp. (a) (b) | 3,900 | 197,457 | ||||
KB Home | 12,100 | 414,667 | ||||
La-Z-Boy, Inc. | 6,333 | 199,363 | ||||
Legacy Housing Corp. (a) (b) | 820 | 13,645 | ||||
LGI Homes, Inc. (a) (b) | 2,800 | 197,820 | ||||
Lifetime Brands, Inc. | 1,500 | 10,425 | ||||
Lovesac Co. (a) (b) | 1,520 | 24,396 | ||||
M/I Homes, Inc. (a) | 3,800 | 149,530 | ||||
MDC Holdings, Inc. | 7,171 | 273,645 | ||||
Meritage Homes Corp. (a) | 5,158 | 315,205 |
Security Description | Shares | Value | ||||
NVR, Inc. (a) | 10 | $38,084 | ||||
Purple Innovation, Inc. (a) (b) | 696 | 6,062 | ||||
Skyline Champion Corp. (a) | 7,100 | 225,070 | ||||
Sonos, Inc. (a) | 9,930 | 155,107 | ||||
Taylor Morrison Home Corp. Class A (a) | 14,800 | 323,528 | ||||
Tempur Sealy International, Inc. (a) | 6,449 | 561,450 | ||||
Toll Brothers, Inc. | 18,383 | 726,312 | ||||
TopBuild Corp. (a) | 4,752 | 489,836 | ||||
TRI Pointe Group, Inc. (a) | 19,483 | 303,545 | ||||
Tupperware Brands Corp. | 6,881 | 59,039 | ||||
Universal Electronics, Inc. (a) | 1,939 | 101,332 | ||||
William Lyon Homes Class A (a) | 4,460 | 89,111 | ||||
ZAGG, Inc. (a) (b) | 3,962 | 32,132 | ||||
6,453,595 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 1,500 | 46,605 | ||||
Central Garden & Pet Co. Class A (a) | 5,900 | 173,224 | ||||
Energizer Holdings, Inc. (b) | 8,912 | 447,561 | ||||
Oil-Dri Corp. of America | 748 | 27,115 | ||||
Spectrum Brands Holdings, Inc. | 5,969 | 383,747 | ||||
WD-40 Co. (b) | 1,957 | 379,932 | ||||
1,458,184 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.3% | ||||||
Atlantic Power Corp. (a) (b) | 15,056 | 35,081 | ||||
Clearway Energy, Inc. Class A | 4,900 | 93,688 | ||||
Clearway Energy, Inc. Class C | 10,400 | 207,480 | ||||
Ormat Technologies, Inc. | 5,642 | 420,442 | ||||
Pattern Energy Group, Inc. Class A | 12,411 | 332,056 | ||||
Sunnova Energy International, Inc. (a) (b) | 1,900 | 21,204 | ||||
TerraForm Power, Inc. Class A | 11,159 | 171,737 | ||||
Vistra Energy Corp. | 60,105 | 1,381,814 | ||||
2,663,502 | ||||||
INDUSTRIAL CONGLOMERATES — 0.2% | ||||||
Carlisle Cos., Inc. | 7,981 | 1,291,645 | ||||
Raven Industries, Inc. | 5,100 | 175,746 | ||||
1,467,391 | ||||||
INSURANCE — 3.8% | ||||||
Alleghany Corp. (a) | 1,948 | 1,557,562 | ||||
Ambac Financial Group, Inc. (a) | 6,394 | 137,919 | ||||
American Equity Investment Life Holding Co. | 12,672 | 379,273 | ||||
American Financial Group, Inc. | 10,444 | 1,145,185 | ||||
American National Insurance Co. | 1,035 | 121,799 | ||||
AMERISAFE, Inc. | 2,681 | 177,026 | ||||
Arch Capital Group, Ltd. (a) | 54,383 | 2,332,487 | ||||
Argo Group International Holdings, Ltd. | 4,560 | 299,820 | ||||
Assured Guaranty, Ltd. | 13,219 | 647,995 | ||||
Athene Holding, Ltd. Class A (a) | 20,401 | 959,459 | ||||
Axis Capital Holdings, Ltd. | 11,699 | 695,389 | ||||
Brighthouse Financial, Inc. (a) | 15,373 | 603,083 |
Security Description | Shares | Value | |||
Brown & Brown, Inc. | 33,402 | $1,318,711 | |||
BRP Group, Inc. Class A (a) (b) | 2,100 | 33,705 | |||
Citizens, Inc. (a) (b) | 7,000 | 47,250 | |||
CNA Financial Corp. | 3,991 | 178,837 | |||
CNO Financial Group, Inc. | 21,379 | 387,601 | |||
Crawford & Co. Class A | 2,600 | 29,822 | |||
Donegal Group, Inc. Class A | 1,500 | 22,230 | |||
eHealth, Inc. (a) | 3,200 | 307,456 | |||
Employers Holdings, Inc. | 4,500 | 187,875 | |||
Enstar Group, Ltd. (a) | 1,651 | 341,526 | |||
Erie Indemnity Co. Class A (b) | 3,516 | 583,656 | |||
FBL Financial Group, Inc. Class A | 1,326 | 78,141 | |||
FedNat Holding Co. | 1,790 | 29,768 | |||
Fidelity National Financial, Inc. | 37,440 | 1,697,904 | |||
First American Financial Corp. | 15,448 | 900,927 | |||
Genworth Financial, Inc. Class A (a) | 71,400 | 314,160 | |||
Global Indemnity, Ltd. | 1,154 | 34,193 | |||
Goosehead Insurance, Inc. Class A (b) | 1,600 | 67,840 | |||
Greenlight Capital Re, Ltd. Class A (a) (b) | 4,100 | 41,451 | |||
Hallmark Financial Services, Inc. (a) | 1,841 | 32,346 | |||
Hanover Insurance Group, Inc. | 5,590 | 763,985 | |||
HCI Group, Inc. | 845 | 38,574 | |||
Health Insurance Innovations, Inc. Class A (a) (b) | 1,400 | 27,006 | |||
Heritage Insurance Holdings, Inc. | 3,699 | 49,012 | |||
Horace Mann Educators Corp. | 5,800 | 253,228 | |||
Independence Holding Co. | 800 | 33,664 | |||
Investors Title Co. | 242 | 38,526 | |||
James River Group Holdings, Ltd. | 4,200 | 173,082 | |||
Kemper Corp. | 8,968 | 695,020 | |||
Kinsale Capital Group, Inc. | 2,900 | 294,814 | |||
Markel Corp. (a) | 1,921 | 2,196,030 | |||
MBIA, Inc. (a) | 10,563 | 98,236 | |||
Mercury General Corp. | 3,837 | 186,977 | |||
National General Holdings Corp. | 9,599 | 212,138 | |||
National Western Life Group, Inc. Class A | 296 | 86,101 | |||
NI Holdings, Inc. (a) | 1,500 | 25,800 | |||
Old Republic International Corp. | 39,962 | 893,950 | |||
Palomar Holdings, Inc. (a) (b) | 1,810 | 91,387 | |||
Primerica, Inc. | 5,857 | 764,690 | |||
ProAssurance Corp. | 7,531 | 272,170 | |||
ProSight Global, Inc. (a) (b) | 1,300 | 20,969 | |||
Protective Insurance Corp. Class B | 1,400 | 22,526 | |||
Reinsurance Group of America, Inc. | 8,916 | 1,453,843 | |||
RenaissanceRe Holdings, Ltd. | 6,223 | 1,219,832 | |||
RLI Corp. | 5,618 | 505,732 | |||
Safety Insurance Group, Inc. | 2,038 | 188,576 | |||
Selective Insurance Group, Inc. | 8,298 | 540,947 | |||
State Auto Financial Corp. | 2,400 | 74,448 | |||
Stewart Information Services Corp. | 3,349 | 136,606 | |||
Third Point Reinsurance, Ltd. (a) | 10,400 | 109,408 | |||
Tiptree, Inc. | 3,900 | 31,746 | |||
Trupanion, Inc. (a) (b) | 4,069 | 152,425 |
Security Description | Shares | Value | ||||
United Fire Group, Inc. | 3,017 | $131,933 | ||||
United Insurance Holdings Corp. | 2,900 | 36,569 | ||||
Universal Insurance Holdings, Inc. | 4,217 | 118,034 | ||||
Watford Holdings, Ltd. (a) | 2,700 | 67,932 | ||||
White Mountains Insurance Group, Ltd. | 434 | 484,131 | ||||
28,182,443 | ||||||
INTERACTIVE MEDIA & SERVICES — 0.8% | ||||||
Care.com, Inc. (a) | 3,117 | 46,849 | ||||
Cargurus, Inc. (a) (b) | 10,600 | 372,908 | ||||
Cars.com, Inc. (a) | 9,500 | 116,090 | ||||
DHI Group, Inc. (a) | 8,000 | 24,080 | ||||
Eventbrite, Inc. Class A (a) | 5,200 | 104,884 | ||||
EverQuote, Inc. Class A (a) | 1,200 | 41,220 | ||||
IAC/InterActiveCorp (a) | 10,531 | 2,623,377 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 10,200 | 74,970 | ||||
Match Group, Inc. (a) (b) | 7,600 | 624,036 | ||||
Meet Group, Inc. (a) | 9,700 | 48,597 | ||||
QuinStreet, Inc. (a) (b) | 6,498 | 99,484 | ||||
Travelzoo (a) | 896 | 9,587 | ||||
TripAdvisor, Inc. | 15,000 | 455,700 | ||||
TrueCar, Inc. (a) (b) | 14,766 | 70,139 | ||||
Yelp, Inc. (a) | 9,691 | 337,538 | ||||
Zillow Group, Inc. Class A (a) (b) | 7,983 | 365,142 | ||||
Zillow Group, Inc. Class C (a) (b) | 17,783 | 816,951 | ||||
6,231,552 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.5% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 3,500 | 50,750 | ||||
Duluth Holdings, Inc. Class B (a) (b) | 1,896 | 19,965 | ||||
Etsy, Inc. (a) | 16,661 | 738,082 | ||||
Groupon, Inc. (a) | 63,722 | 152,296 | ||||
GrubHub, Inc. (a) (b) | 12,964 | 630,569 | ||||
Lands' End, Inc. (a) | 1,500 | 25,200 | ||||
Leaf Group, Ltd. (a) | 3,096 | 12,384 | ||||
Liquidity Services, Inc. (a) | 3,824 | 22,791 | ||||
Overstock.com, Inc. (a) | 3,747 | 26,416 | ||||
PetMed Express, Inc. (b) | 2,800 | 65,856 | ||||
Quotient Technology, Inc. (a) | 10,571 | 104,230 | ||||
Qurate Retail, Inc. Class A (a) | 54,316 | 457,884 | ||||
RealReal, Inc. (a) (b) | 2,500 | 47,125 | ||||
Rubicon Project, Inc. (a) | 6,900 | 56,304 | ||||
Shutterstock, Inc. (a) | 2,650 | 113,632 | ||||
Stamps.com, Inc. (a) | 2,284 | 190,760 | ||||
Stitch Fix, Inc. Class A (a) (b) | 5,800 | 148,828 | ||||
Waitr Holdings, Inc. (a) (b) | 10,013 | 3,224 | ||||
Wayfair, Inc. Class A (a) (b) | 8,991 | 812,517 | ||||
3,678,813 | ||||||
IT SERVICES — 3.6% | ||||||
Amdocs, Ltd. | 19,183 | 1,384,821 | ||||
Black Knight, Inc. (a) | 20,366 | 1,313,200 | ||||
Booz Allen Hamilton Holding Corp. | 19,346 | 1,376,081 | ||||
Brightcove, Inc. (a) | 5,526 | 48,021 |
Security Description | Shares | Value | ||||
CACI International, Inc. Class A (a) | 3,491 | $872,715 | ||||
Cardtronics PLC Class A (a) | 5,228 | 233,430 | ||||
Cass Information Systems, Inc. | 1,960 | 113,170 | ||||
Conduent, Inc. (a) | 24,400 | 151,280 | ||||
CoreLogic, Inc. (a) | 11,200 | 489,552 | ||||
CSG Systems International, Inc. | 4,600 | 238,188 | ||||
Endurance International Group Holdings, Inc. (a) | 10,135 | 47,635 | ||||
EPAM Systems, Inc. (a) | 7,364 | 1,562,346 | ||||
Euronet Worldwide, Inc. (a) | 7,063 | 1,112,846 | ||||
EVERTEC, Inc. | 8,600 | 292,744 | ||||
Evo Payments, Inc. Class A (a) | 5,000 | 132,050 | ||||
Exela Technologies, Inc. (a) (b) | 8,098 | 3,302 | ||||
ExlService Holdings, Inc. (a) | 4,737 | 329,032 | ||||
Genpact, Ltd. | 26,560 | 1,120,035 | ||||
GoDaddy, Inc. Class A (a) | 24,222 | 1,645,158 | ||||
GTT Communications, Inc. (a) (b) | 4,795 | 54,423 | ||||
Hackett Group, Inc. | 3,490 | 56,329 | ||||
I3 Verticals, Inc. Class A (a) | 2,000 | 56,500 | ||||
Information Services Group, Inc. (a) | 5,100 | 12,903 | ||||
International Money Express, Inc. (a) | 2,500 | 30,100 | ||||
KBR, Inc. | 20,026 | 610,793 | ||||
Limelight Networks, Inc. (a) | 16,010 | 65,321 | ||||
LiveRamp Holdings, Inc. (a) | 9,485 | 455,944 | ||||
ManTech International Corp. Class A | 3,758 | 300,189 | ||||
MAXIMUS, Inc. | 8,926 | 664,005 | ||||
MongoDB, Inc. (a) (b) | 5,900 | 776,499 | ||||
NIC, Inc. | 9,300 | 207,855 | ||||
Okta, Inc. (a) | 14,900 | 1,719,013 | ||||
Paysign, Inc. (a) (b) | 4,300 | 43,645 | ||||
Perficient, Inc. (a) | 4,500 | 207,315 | ||||
Perspecta, Inc. | 19,700 | 520,868 | ||||
PRGX Global, Inc. (a) | 3,185 | 15,670 | ||||
Priority Technology Holdings, Inc. (a) | 1,165 | 2,854 | ||||
Sabre Corp. | 39,035 | 875,945 | ||||
Science Applications International Corp. | 8,182 | 711,998 | ||||
Square, Inc. Class A (a) | 48,763 | 3,050,613 | ||||
StarTek, Inc. (a) | 2,500 | 19,950 | ||||
Switch, Inc. Class A (b) | 8,300 | 123,006 | ||||
Sykes Enterprises, Inc. (a) | 5,353 | 198,008 | ||||
TTEC Holdings, Inc. | 2,055 | 81,419 | ||||
Tucows, Inc. Class A (a) (b) | 1,324 | 81,797 | ||||
Twilio, Inc. Class A (a) (b) | 17,382 | 1,708,303 | ||||
Unisys Corp. (a) | 7,200 | 85,392 | ||||
Verra Mobility Corp. (a) (b) | 18,000 | 251,820 | ||||
Virtusa Corp. (a) | 4,000 | 181,320 | ||||
WEX, Inc. (a) | 6,059 | 1,269,118 | ||||
26,904,521 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.4% | ||||||
Acushnet Holdings Corp. | 5,000 | 162,500 | ||||
American Outdoor Brands Corp. (a) | 7,588 | 70,417 | ||||
Brunswick Corp. | 11,438 | 686,051 | ||||
Callaway Golf Co. | 13,212 | 280,094 | ||||
Clarus Corp. | 3,350 | 45,426 |
Security Description | Shares | Value | ||||
Escalade, Inc. | 1,700 | $16,711 | ||||
Johnson Outdoors, Inc. Class A | 708 | 54,304 | ||||
Malibu Boats, Inc. Class A (a) | 2,899 | 118,714 | ||||
Marine Products Corp. | 1,080 | 15,552 | ||||
MasterCraft Boat Holdings, Inc. (a) | 2,565 | 40,399 | ||||
Mattel, Inc. (a) (b) | 48,700 | 659,885 | ||||
Polaris, Inc. | 8,193 | 833,228 | ||||
Sturm Ruger & Co., Inc. | 2,385 | 112,166 | ||||
Vista Outdoor, Inc. (a) | 8,121 | 60,745 | ||||
YETI Holdings, Inc. (a) (b) | 5,800 | 201,724 | ||||
3,357,916 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.3% | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 3,800 | 64,220 | ||||
Adaptive Biotechnologies Corp. (a) | 2,300 | 68,816 | ||||
Avantor, Inc. (a) | 44,700 | 811,305 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 3,012 | 1,114,530 | ||||
Bio-Techne Corp. | 5,302 | 1,163,842 | ||||
Bruker Corp. | 14,508 | 739,473 | ||||
Charles River Laboratories International, Inc. (a) | 6,800 | 1,038,768 | ||||
ChromaDex Corp. (a) (b) | 5,800 | 24,998 | ||||
Codexis, Inc. (a) (b) | 7,500 | 119,925 | ||||
Fluidigm Corp. (a) | 10,744 | 37,389 | ||||
Luminex Corp. | 5,951 | 137,825 | ||||
Medpace Holdings, Inc. (a) | 3,900 | 327,834 | ||||
NanoString Technologies, Inc. (a) | 4,700 | 130,754 | ||||
NeoGenomics, Inc. (a) | 13,400 | 391,950 | ||||
Pacific Biosciences of California, Inc. (a) | 20,100 | 103,314 | ||||
Personalis, Inc. (a) | 1,300 | 14,170 | ||||
PRA Health Sciences, Inc. (a) | 8,894 | 988,568 | ||||
QIAGEN NV (a) | 31,381 | 1,060,678 | ||||
Quanterix Corp. (a) (b) | 1,900 | 44,897 | ||||
Repligen Corp. (a) | 7,400 | 684,500 | ||||
Syneos Health, Inc. (a) | 8,794 | 523,023 | ||||
9,590,779 | ||||||
MACHINERY — 3.4% | ||||||
Actuant Corp. Class A | 7,800 | 203,034 | ||||
AGCO Corp. | 8,875 | 685,594 | ||||
Alamo Group, Inc. | 1,392 | 174,766 | ||||
Albany International Corp. Class A | 4,348 | 330,100 | ||||
Allison Transmission Holdings, Inc. | 15,512 | 749,540 | ||||
Altra Industrial Motion Corp. | 9,074 | 328,570 | ||||
Astec Industries, Inc. | 3,140 | 131,880 | ||||
Barnes Group, Inc. | 6,614 | 409,803 | ||||
Blue Bird Corp. (a) | 2,122 | 48,636 | ||||
Briggs & Stratton Corp. (b) | 5,800 | 38,628 | ||||
Chart Industries, Inc. (a) | 5,100 | 344,199 | ||||
CIRCOR International, Inc. (a) | 2,747 | 127,021 | ||||
Colfax Corp. (a) | 13,127 | 477,560 | ||||
Columbus McKinnon Corp. | 3,220 | 128,897 | ||||
Commercial Vehicle Group, Inc. (a) | 4,800 | 30,480 | ||||
Crane Co. | 7,148 | 617,444 | ||||
Donaldson Co., Inc. | 17,879 | 1,030,188 |
Security Description | Shares | Value | |||
Douglas Dynamics, Inc. | 3,177 | $174,735 | |||
Eastern Co. | 721 | 22,012 | |||
Energy Recovery, Inc. (a) (b) | 5,300 | 51,887 | |||
EnPro Industries, Inc. | 2,945 | 196,962 | |||
ESCO Technologies, Inc. | 3,643 | 336,978 | |||
Evoqua Water Technologies Corp. (a) | 10,600 | 200,870 | |||
Federal Signal Corp. | 8,400 | 270,900 | |||
Franklin Electric Co., Inc. | 6,549 | 375,389 | |||
Gardner Denver Holdings, Inc. (a) (b) | 18,667 | 684,706 | |||
Gates Industrial Corp. PLC (a) (b) | 6,500 | 89,440 | |||
Gencor Industries, Inc. (a) | 1,261 | 14,716 | |||
Gorman-Rupp Co. | 2,500 | 93,750 | |||
Graco, Inc. | 23,354 | 1,214,408 | |||
Graham Corp. | 1,400 | 30,632 | |||
Greenbrier Cos., Inc. | 4,494 | 145,740 | |||
Helios Technologies, Inc. | 4,148 | 191,762 | |||
Hillenbrand, Inc. | 10,268 | 342,027 | |||
Hurco Cos., Inc. | 856 | 32,836 | |||
Hyster-Yale Materials Handling, Inc. | 1,389 | 81,895 | |||
ITT, Inc. | 12,488 | 922,988 | |||
John Bean Technologies Corp. | 4,390 | 494,577 | |||
Kadant, Inc. | 1,600 | 168,544 | |||
Kennametal, Inc. | 11,617 | 428,551 | |||
LB Foster Co. Class A (a) | 1,600 | 31,008 | |||
Lincoln Electric Holdings, Inc. | 8,344 | 807,115 | |||
Lindsay Corp. (b) | 1,570 | 150,704 | |||
Luxfer Holdings PLC | 3,831 | 70,912 | |||
Lydall, Inc. (a) | 2,445 | 50,171 | |||
Manitowoc Co., Inc (a) | 4,975 | 87,063 | |||
Meritor, Inc. (a) | 10,600 | 277,614 | |||
Middleby Corp. (a) | 7,810 | 855,351 | |||
Miller Industries, Inc. | 1,565 | 58,108 | |||
Mueller Industries, Inc. | 7,784 | 247,142 | |||
Mueller Water Products, Inc. Class A | 22,100 | 264,758 | |||
Navistar International Corp. (a) | 7,000 | 202,580 | |||
NN, Inc. (b) | 5,916 | 54,723 | |||
Nordson Corp. | 8,089 | 1,317,213 | |||
Omega Flex, Inc. | 400 | 42,916 | |||
Oshkosh Corp. | 9,632 | 911,669 | |||
Park-Ohio Holdings Corp. | 1,211 | 40,750 | |||
Proto Labs, Inc. (a) | 3,803 | 386,195 | |||
RBC Bearings, Inc. (a) | 3,394 | 537,406 | |||
REV Group, Inc. (b) | 3,800 | 46,474 | |||
Rexnord Corp. (a) | 14,990 | 488,974 | |||
Spartan Motors, Inc. | 4,800 | 86,784 | |||
SPX Corp. (a) | 6,200 | 315,456 | |||
SPX FLOW, Inc. (a) | 5,900 | 288,333 | |||
Standex International Corp. | 1,715 | 136,085 | |||
Tennant Co. | 2,576 | 200,722 | |||
Terex Corp. | 8,890 | 264,744 | |||
Timken Co. | 9,392 | 528,864 | |||
Titan International, Inc. | 7,100 | 25,702 | |||
Toro Co. | 15,037 | 1,197,998 | |||
TriMas Corp. (a) | 6,300 | 197,883 | |||
Trinity Industries, Inc. | 14,269 | 316,058 |
Security Description | Shares | Value | ||||
Twin Disc, Inc. (a) | 1,460 | $16,089 | ||||
Wabash National Corp. | 7,587 | 111,453 | ||||
WABCO Holdings, Inc. (a) | 7,261 | 983,866 | ||||
Watts Water Technologies, Inc. Class A | 3,883 | 387,368 | ||||
Welbilt, Inc. (a) | 18,300 | 285,663 | ||||
Woodward, Inc. | 7,850 | 929,754 | ||||
25,624,313 | ||||||
MARINE — 0.2% | ||||||
Costamare, Inc. | 7,300 | 69,569 | ||||
Eagle Bulk Shipping, Inc. (a) (b) | 7,100 | 32,660 | ||||
Genco Shipping & Trading, Ltd. | 2,400 | 25,488 | ||||
Kirby Corp. (a) | 8,440 | 755,633 | ||||
Matson, Inc. | 5,982 | 244,065 | ||||
Safe Bulkers, Inc. (a) | 9,060 | 15,402 | ||||
Scorpio Bulkers, Inc. | 7,653 | 48,750 | ||||
1,191,567 | ||||||
MEDIA — 1.7% | ||||||
Altice USA, Inc. Class A (a) | 42,800 | 1,170,152 | ||||
AMC Networks, Inc. Class A (a) | 5,986 | 236,447 | ||||
Boston Omaha Corp. Class A (a) (b) | 1,500 | 31,560 | ||||
Cable One, Inc. | 664 | 988,344 | ||||
Cardlytics, Inc. (a) | 2,000 | 125,720 | ||||
Central European Media Enterprises, Ltd. Class A (a) | 12,500 | 56,625 | ||||
Clear Channel Outdoor Holding, Inc. (a) | 6,900 | 19,734 | ||||
comScore, Inc. (a) | 6,900 | 34,086 | ||||
Cumulus Media, Inc. Class A (a) | 2,010 | 35,316 | ||||
Daily Journal Corp. (a) (b) | 159 | 46,177 | ||||
Emerald Expositions Events, Inc. | 3,500 | 36,925 | ||||
Entercom Communications Corp. Class A (b) | 16,800 | 77,952 | ||||
Entravision Communications Corp. Class A | 9,500 | 24,890 | ||||
EW Scripps Co. Class A | 7,697 | 120,920 | ||||
Fluent, Inc. (a) (b) | 7,613 | 19,033 | ||||
Gannett Co., Inc. | 16,514 | 105,359 | ||||
Gray Television, Inc. (a) | 12,800 | 274,432 | ||||
Hemisphere Media Group, Inc. (a) | 2,500 | 37,125 | ||||
John Wiley & Sons, Inc. Class A | 6,150 | 298,398 | ||||
Lee Enterprises, Inc. (a) | 8,300 | 11,786 | ||||
Liberty Broadband Corp. Class A (a) | 3,444 | 428,985 | ||||
Liberty Broadband Corp. Class C (a) | 15,003 | 1,886,627 | ||||
Liberty Latin America, Ltd. Class A (a) | 6,488 | 125,218 | ||||
Liberty Latin America, Ltd. Class C (a) | 16,100 | 313,306 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 12,004 | 580,273 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 21,870 | 1,052,822 | ||||
Loral Space & Communications, Inc. (a) | 1,800 | 58,176 | ||||
Marchex, Inc. Class B (a) | 5,400 | 20,412 | ||||
MDC Partners, Inc. Class A (a) | 8,800 | 24,464 |
Security Description | Shares | Value | ||||
Meredith Corp. (b) | 5,601 | $181,864 | ||||
MSG Networks, Inc. Class A (a) (b) | 6,021 | 104,765 | ||||
National CineMedia, Inc. | 8,800 | 64,152 | ||||
New York Times Co. Class A (b) | 22,969 | 738,913 | ||||
Nexstar Media Group, Inc. Class A | 6,311 | 739,965 | ||||
Saga Communications, Inc. Class A | 644 | 19,578 | ||||
Scholastic Corp. | 4,195 | 161,298 | ||||
Sinclair Broadcast Group, Inc. Class A | 8,662 | 288,791 | ||||
Sirius XM Holdings, Inc. (b) | 194,228 | 1,388,730 | ||||
TechTarget, Inc. (a) | 3,200 | 83,520 | ||||
TEGNA, Inc. | 30,683 | 512,099 | ||||
WideOpenWest, Inc. (a) | 3,500 | 25,970 | ||||
Tribune Publishing Co. | 2,500 | 32,900 | ||||
12,583,809 | ||||||
METALS & MINING — 1.1% | ||||||
AK Steel Holding Corp. (a) (b) | 44,400 | 146,076 | ||||
Alcoa Corp. (a) | 26,321 | 566,165 | ||||
Allegheny Technologies, Inc. (a) (b) | 17,737 | 366,446 | ||||
Carpenter Technology Corp. | 6,655 | 331,286 | ||||
Century Aluminum Co. (a) | 7,100 | 53,357 | ||||
Cleveland-Cliffs, Inc. (b) | 37,942 | 318,713 | ||||
Coeur Mining, Inc. (a) | 33,600 | 271,488 | ||||
Commercial Metals Co. | 16,647 | 370,729 | ||||
Compass Minerals International, Inc. (b) | 4,814 | 293,461 | ||||
Ferroglobe Representation & Warranty Insurance Trust (a) (c) | 2,200 | — | ||||
Gold Resource Corp. | 8,600 | 47,644 | ||||
Haynes International, Inc. | 1,800 | 64,404 | ||||
Hecla Mining Co. | 69,237 | 234,713 | ||||
Kaiser Aluminum Corp. | 2,258 | 250,390 | ||||
Materion Corp. | 2,855 | 169,730 | ||||
Mayville Engineering Co., Inc. (a) | 1,090 | 10,224 | ||||
Novagold Resources, Inc. (a) | 32,600 | 292,096 | ||||
Olympic Steel, Inc. | 1,400 | 25,088 | ||||
Ramaco Resources, Inc. (a) | 1,233 | 4,414 | ||||
Reliance Steel & Aluminum Co. | 9,277 | 1,111,014 | ||||
Royal Gold, Inc. | 9,258 | 1,131,790 | ||||
Ryerson Holding Corp. (a) | 2,500 | 29,575 | ||||
Schnitzer Steel Industries, Inc. Class A | 3,672 | 79,609 | ||||
Southern Copper Corp. | 11,669 | 495,699 | ||||
Steel Dynamics, Inc. | 29,206 | 994,172 | ||||
SunCoke Energy, Inc. | 10,300 | 64,169 | ||||
Synalloy Corp. (a) | 1,300 | 16,783 | ||||
TimkenSteel Corp. (a) (b) | 5,714 | 44,912 | ||||
United States Steel Corp. (b) | 23,999 | 273,829 | ||||
Warrior Met Coal, Inc. | 7,300 | 154,249 | ||||
Worthington Industries, Inc. | 5,500 | 231,990 | ||||
8,444,215 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 1.4% | ||||||
AG Mortgage Investment Trust, Inc. REIT | 4,600 | 70,932 |
Security Description | Shares | Value | ||||
AGNC Investment Corp. REIT | 76,779 | $1,357,453 | ||||
Annaly Capital Management, Inc. REIT | 202,852 | 1,910,866 | ||||
Anworth Mortgage Asset Corp. REIT | 13,800 | 48,576 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 21,740 | 397,625 | ||||
Ares Commercial Real Estate Corp. REIT (b) | 3,800 | 60,192 | ||||
Arlington Asset Investment Corp. Class A (b) | 5,700 | 31,749 | ||||
ARMOUR Residential REIT, Inc. (b) | 8,300 | 148,321 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT (b) | 17,766 | 661,251 | ||||
Capstead Mortgage Corp. REIT | 13,211 | 104,631 | ||||
Cherry Hill Mortgage Investment Corp. REIT (b) | 2,200 | 32,098 | ||||
Chimera Investment Corp. REIT (b) | 26,445 | 543,709 | ||||
Colony Credit Real Estate, Inc. REIT (b) | 11,400 | 150,024 | ||||
Dynex Capital, Inc. REIT | 3,200 | 54,208 | ||||
Ellington Financial, Inc. | 4,300 | 78,819 | ||||
Exantas Capital Corp. REIT | 4,275 | 50,488 | ||||
Granite Point Mortgage Trust, Inc. REIT | 7,634 | 140,313 | ||||
Great Ajax Corp. REIT | 2,400 | 35,544 | ||||
Invesco Mortgage Capital, Inc. REIT | 20,300 | 337,995 | ||||
KKR Real Estate Finance Trust, Inc. REIT (b) | 3,600 | 73,512 | ||||
Ladder Capital Corp. REIT | 14,527 | 262,067 | ||||
MFA Financial, Inc. REIT | 63,636 | 486,815 | ||||
New Residential Investment Corp. REIT (b) | 58,800 | 947,268 | ||||
New York Mortgage Trust, Inc. REIT | 37,100 | 231,133 | ||||
Orchid Island Capital, Inc. REIT (b) | 8,900 | 52,065 | ||||
PennyMac Mortgage Investment Trust REIT | 12,641 | 281,768 | ||||
Ready Capital Corp. REIT | 4,500 | 69,390 | ||||
Redwood Trust, Inc. REIT | 15,800 | 261,332 | ||||
TPG RE Finance Trust, Inc. REIT | 7,000 | 141,890 | ||||
Two Harbors Investment Corp. REIT | 38,457 | 562,241 | ||||
Western Asset Mortgage Capital Corp. REIT (b) | 7,356 | 75,987 | ||||
Starwood Property Trust, Inc. REIT | 38,648 | 960,789 | ||||
10,621,051 | ||||||
MULTI-UTILITIES — 0.3% | ||||||
Avista Corp. | 9,400 | 452,046 | ||||
Black Hills Corp. | 8,605 | 675,837 | ||||
MDU Resources Group, Inc. | 28,200 | 837,822 | ||||
NorthWestern Corp. | 7,155 | 512,799 | ||||
Unitil Corp. | 2,100 | 129,822 | ||||
2,608,326 | ||||||
MULTILINE RETAIL — 0.1% | ||||||
Big Lots, Inc. | 5,520 | 158,534 | ||||
Dillard's, Inc. Class A (b) | 1,405 | 103,239 | ||||
JC Penney Co., Inc. (a) (b) | 45,400 | 50,848 |
Security Description | Shares | Value | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 7,495 | $489,499 | ||||
802,120 | ||||||
OIL, GAS & CONSUMABLE FUELS — 2.0% | ||||||
Abraxas Petroleum Corp. (a) | 27,744 | 9,741 | ||||
Altus Midstream Co. Class A (a) (b) | 8,589 | 24,564 | ||||
Amplify Energy Corp. | 2,303 | 15,223 | ||||
Antero Midstream Corp. (b) | 35,900 | 272,481 | ||||
Antero Resources Corp. (a) (b) | 36,874 | 105,091 | ||||
Arch Coal, Inc. Class A (b) | 2,096 | 150,367 | ||||
Ardmore Shipping Corp. (a) | 4,700 | 42,535 | ||||
Berry Petroleum Corp. | 8,800 | 82,984 | ||||
Bonanza Creek Energy, Inc. (a) | 2,700 | 63,018 | ||||
Brigham Minerals, Inc. Class A | 2,300 | 49,312 | ||||
California Resources Corp. (a) (b) | 6,847 | 61,828 | ||||
Callon Petroleum Co. (a) (b) | 54,185 | 261,714 | ||||
Centennial Resource Development, Inc. Class A (a) | 27,068 | 125,054 | ||||
Chaparral Energy, Inc. Class A (a) (b) | 4,800 | 8,448 | ||||
Cheniere Energy, Inc. (a) | 32,747 | 1,999,859 | ||||
Chesapeake Energy Corp. (a) (b) | 184,844 | 152,607 | ||||
Clean Energy Fuels Corp. (a) | 18,900 | 44,226 | ||||
CNX Resources Corp. (a) | 26,300 | 232,755 | ||||
Comstock Resources, Inc. (a) (b) | 2,700 | 22,221 | ||||
CONSOL Energy, Inc. (a) | 3,625 | 52,599 | ||||
Continental Resources, Inc. | 12,147 | 416,642 | ||||
Contura Energy, Inc. (a) | 2,575 | 23,304 | ||||
CVR Energy, Inc. | 4,200 | 169,806 | ||||
Delek US Holdings, Inc. | 10,408 | 348,980 | ||||
Denbury Resources, Inc. (a) (b) | 67,965 | 95,831 | ||||
DHT Holdings, Inc. | 12,892 | 106,746 | ||||
Diamond Shipping, Inc. (a) | 3,096 | 51,827 | ||||
Dorian LPG, Ltd. (a) | 3,858 | 59,722 | ||||
Earthstone Energy, Inc. Class A (a) | 2,785 | 17,629 | ||||
Energy Fuels, Inc. (a) (b) | 13,301 | 25,405 | ||||
EQT Corp. (b) | 36,100 | 393,490 | ||||
Equitrans Midstream Corp. (b) | 28,940 | 386,638 | ||||
Evolution Petroleum Corp. | 3,829 | 20,945 | ||||
Extraction Oil & Gas, Inc. (a) (b) | 11,900 | 25,228 | ||||
Falcon Minerals Corp. | 5,400 | 38,124 | ||||
GasLog, Ltd. | 5,700 | 55,803 | ||||
Golar LNG, Ltd. | 13,398 | 190,520 | ||||
Goodrich Petroleum Corp. (a) | 1,102 | 11,064 | ||||
Green Plains, Inc. | 4,838 | 74,650 | ||||
Gulfport Energy Corp. (a) (b) | 22,600 | 68,704 | ||||
Hallador Energy Co. | 3,350 | 9,949 | ||||
HighPoint Resources Corp. (a) | 15,882 | 26,841 | ||||
International Seaways, Inc. (a) | 3,597 | 107,047 | ||||
Jagged Peak Energy, Inc. (a) (b) | 9,200 | 78,108 | ||||
Kosmos Energy, Ltd. | 51,300 | 292,410 | ||||
Laredo Petroleum, Inc. (a) | 25,500 | 73,185 | ||||
Magnolia Oil & Gas Corp. Class A (a) (b) | 14,300 | 179,894 | ||||
Matador Resources Co. (a) (b) | 15,700 | 282,129 | ||||
Montage Resources Corp. (a) (b) | 3,050 | 24,217 |
Security Description | Shares | Value | ||||
Murphy Oil Corp. (b) | 21,200 | $568,160 | ||||
NACCO Industries, Inc. Class A | 541 | 25,335 | ||||
NextDecade Corp. (a) | 2,007 | 12,323 | ||||
Nordic American Tankers, Ltd. | 19,640 | 96,629 | ||||
Northern Oil and Gas, Inc. (a) (b) | 41,800 | 97,812 | ||||
Oasis Petroleum, Inc. (a) | 45,000 | 146,700 | ||||
Overseas Shipholding Group, Inc. Class A (a) | 9,141 | 21,024 | ||||
Panhandle Oil and Gas, Inc. Class A | 2,300 | 25,783 | ||||
Par Pacific Holdings, Inc. (a) | 4,989 | 115,944 | ||||
Parsley Energy, Inc. Class A | 38,192 | 722,211 | ||||
PBF Energy, Inc. Class A | 16,952 | 531,784 | ||||
PDC Energy, Inc. (a) | 8,712 | 227,993 | ||||
Peabody Energy Corp. | 9,003 | 82,107 | ||||
Penn Virginia Corp. (a) | 1,895 | 57,513 | ||||
PrimeEnergy Resources Corp. (a) | 100 | 15,126 | ||||
QEP Resources, Inc. | 33,765 | 151,942 | ||||
Range Resources Corp. (b) | 29,400 | 142,590 | ||||
Renewable Energy Group, Inc. (a) (b) | 5,225 | 140,814 | ||||
REX American Resources Corp. (a) | 804 | 65,896 | ||||
Ring Energy, Inc. (a) (b) | 8,475 | 22,374 | ||||
Rosehill Resources, Inc. (a) | 1,863 | 2,385 | ||||
SandRidge Energy, Inc. (a) | 4,800 | 20,352 | ||||
Scorpio Tankers, Inc. | 6,199 | 243,869 | ||||
SFL Corp., Ltd. | 11,500 | 167,210 | ||||
SilverBow Resources, Inc. (a) | 1,205 | 11,929 | ||||
SM Energy Co. | 15,856 | 178,221 | ||||
Southwestern Energy Co. (a) (b) | 76,700 | 185,614 | ||||
SRC Energy, Inc. (a) | 34,102 | 140,500 | ||||
Talos Energy, Inc. (a) | 2,800 | 84,420 | ||||
Targa Resources Corp. | 32,418 | 1,323,627 | ||||
Teekay Corp. | 9,734 | 51,785 | ||||
Teekay Tankers, Ltd. Class A (a) | 3,362 | 80,587 | ||||
Tellurian, Inc. (a) (b) | 13,327 | 97,021 | ||||
Unit Corp. (a) | 9,469 | 6,587 | ||||
Uranium Energy Corp. (a) (b) | 25,100 | 23,072 | ||||
W&T Offshore, Inc. (a) | 13,300 | 73,948 | ||||
Whiting Petroleum Corp. (a) (b) | 12,800 | 93,952 | ||||
World Fuel Services Corp. | 9,149 | 397,250 | ||||
WPX Energy, Inc. (a) | 58,732 | 806,978 | ||||
14,690,832 | ||||||
PAPER & FOREST PRODUCTS — 0.2% | ||||||
Boise Cascade Co. | 5,500 | 200,915 | ||||
Clearwater Paper Corp. (a) | 2,207 | 47,142 | ||||
Domtar Corp. | 8,113 | 310,241 | ||||
Louisiana-Pacific Corp. | 16,702 | 495,548 | ||||
Neenah, Inc. | 2,346 | 165,229 | ||||
PH Glatfelter Co. | 6,100 | 111,630 | ||||
Schweitzer-Mauduit International, Inc. | 4,400 | 184,756 | ||||
Verso Corp. Class A (a) | 4,929 | 88,870 | ||||
1,604,331 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
BellRing Brands, Inc. Class A (a) | 5,600 | 119,224 | ||||
Edgewell Personal Care Co. (a) | 7,579 | 234,646 |
Security Description | Shares | Value | ||||
elf Beauty, Inc. (a) | 3,700 | $59,681 | ||||
Herbalife Nutrition, Ltd. (a) | 14,076 | 671,003 | ||||
Inter Parfums, Inc. | 2,500 | 181,775 | ||||
Lifevantage Corp. (a) | 2,200 | 34,342 | ||||
Medifast, Inc. (b) | 1,548 | 169,630 | ||||
Nature's Sunshine Products, Inc. (a) | 1,300 | 11,609 | ||||
Nu Skin Enterprises, Inc. Class A | 7,758 | 317,922 | ||||
Revlon, Inc. Class A (a) (b) | 1,000 | 21,420 | ||||
USANA Health Sciences, Inc. (a) | 1,800 | 141,390 | ||||
Youngevity International, Inc. (a) (b) | 1,300 | 4,238 | ||||
1,966,880 | ||||||
PHARMACEUTICALS — 1.5% | ||||||
AcelRx Pharmaceuticals, Inc. (a) (b) | 12,200 | 25,742 | ||||
Acer Therapeutics, Inc. (a) | 900 | 3,609 | ||||
Aclaris Therapeutics, Inc. (a) (b) | 5,558 | 10,505 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 6,000 | 145,020 | ||||
Akorn, Inc. (a) | 15,244 | 22,866 | ||||
Amneal Pharmaceuticals, Inc. (a) (b) | 16,690 | 80,446 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 5,100 | 98,379 | ||||
ANI Pharmaceuticals, Inc. (a) | 1,286 | 79,308 | ||||
Arvinas Holding Co. LLC (a) | 3,000 | 123,270 | ||||
Assertio Therapeutics, Inc. (a) | 11,593 | 14,491 | ||||
Axsome Therapeutics, Inc. (a) (b) | 3,500 | 361,760 | ||||
BioDelivery Sciences International, Inc. (a) | 11,800 | 74,576 | ||||
Cara Therapeutics, Inc. (a) (b) | 5,600 | 90,216 | ||||
Catalent, Inc. (a) | 20,599 | 1,159,724 | ||||
cbdMD, Inc. (a) (b) | 1,500 | 3,390 | ||||
Cerecor, Inc. (a) | 3,300 | 17,787 | ||||
Chiasma, Inc. (a) (b) | 4,800 | 23,808 | ||||
Collegium Pharmaceutical, Inc. (a) | 4,567 | 93,989 | ||||
Corcept Therapeutics, Inc. (a) (b) | 13,500 | 163,350 | ||||
CorMedix, Inc. (a) (b) | 3,600 | 26,208 | ||||
Cymabay Therapeutics, Inc. (a) | 9,730 | 19,071 | ||||
Dermira, Inc. (a) (b) | 6,700 | 101,572 | ||||
Elanco Animal Health, Inc. (a) | 53,000 | 1,560,850 | ||||
Eloxx Pharmaceuticals, Inc. (a) (b) | 3,539 | 26,047 | ||||
Endo International PLC (a) | 31,700 | 148,673 | ||||
Evofem Biosciences, Inc. (a) (b) | 2,500 | 15,425 | ||||
Evolus, Inc. (a) (b) | 2,600 | 31,642 | ||||
EyePoint Pharmaceuticals, Inc. (a) (b) | 10,150 | 15,732 | ||||
Fulcrum Therapeutics, Inc. (a) (b) | 820 | 13,645 | ||||
Horizon Therapeutics PLC (a) | 26,424 | 956,549 | ||||
Innoviva, Inc. (a) | 9,053 | 128,190 | ||||
Intersect ENT, Inc. (a) | 4,330 | 107,817 | ||||
Intra-Cellular Therapies, Inc. (a) (b) | 6,255 | 214,609 | ||||
Jazz Pharmaceuticals PLC (a) | 7,818 | 1,167,071 | ||||
Kala Pharmaceuticals, Inc. (a) (b) | 3,100 | 11,439 | ||||
Kaleido Biosciences, Inc. (a) (b) | 2,000 | 10,040 | ||||
Lannett Co., Inc. (a) (b) | 4,597 | 40,546 | ||||
Liquidia Technologies, Inc. (a) | 1,900 | 8,122 | ||||
Mallinckrodt PLC (a) (b) | 11,827 | 41,276 | ||||
Marinus Pharmaceuticals, Inc. (a) (b) | 8,190 | 17,690 | ||||
Menlo Therapeutics, Inc. (a) | 2,193 | 10,175 | ||||
MyoKardia, Inc. (a) (b) | 6,300 | 459,175 |
Security Description | Shares | Value | ||||
Nektar Therapeutics (a) (b) | 23,800 | $513,723 | ||||
NGM Biopharmaceuticals, Inc. (a) (b) | 3,425 | 63,328 | ||||
Ocular Therapeutix, Inc. (a) (b) | 6,400 | 25,280 | ||||
Odonate Therapeutics, Inc. (a) (b) | 1,700 | 55,165 | ||||
Omeros Corp. (a) (b) | 6,662 | 93,868 | ||||
Optinose, Inc. (a) (b) | 3,500 | 32,270 | ||||
Osmotica Pharmaceuticals PLC (a) (b) | 1,300 | 9,087 | ||||
Pacira BioSciences, Inc. (a) | 5,737 | 259,886 | ||||
Paratek Pharmaceuticals, Inc. (a) (b) | 5,500 | 22,165 | ||||
Phathom Pharmaceuticals, Inc. (a) (b) | 1,500 | 46,710 | ||||
Phibro Animal Health Corp. Class A | 2,900 | 72,007 | ||||
Prestige Consumer Healthcare, Inc. (a) (b) | 7,116 | 288,198 | ||||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 3,200 | 654,176 | ||||
Recro Pharma, Inc. (a) | 2,800 | 51,324 | ||||
resTORbio, Inc. (a) | 2,300 | 3,427 | ||||
Revance Therapeutics, Inc. (a) (b) | 6,374 | 103,450 | ||||
Satsuma Pharmaceuticals, Inc. (a) (b) | 800 | 15,744 | ||||
SIGA Technologies, Inc. (a) (b) | 7,800 | 37,206 | ||||
Strongbridge Biopharma PLC (a) | 6,500 | 13,585 | ||||
Supernus Pharmaceuticals, Inc. (a) | 7,000 | 166,040 | ||||
TherapeuticsMD, Inc. (a) (b) | 31,200 | 75,504 | ||||
Theravance Biopharma, Inc. (a) (b) | 6,304 | 163,211 | ||||
Tricida, Inc. (a) (b) | 3,070 | 115,862 | ||||
Verrica Pharmaceuticals, Inc. (a) (b) | 1,800 | 28,602 | ||||
WaVe Life Sciences, Ltd. (a) (b) | 3,210 | 25,728 | ||||
Xeris Pharmaceuticals, Inc. (a) (b) | 4,200 | 29,610 | ||||
Zogenix, Inc. (a) (b) | 5,969 | 311,164 | ||||
Zynerba Pharmaceuticals, Inc. (a) (b) | 3,315 | 20,023 | ||||
11,020,143 | ||||||
PROFESSIONAL SERVICES — 1.4% | ||||||
Acacia Research Corp. (a) | 7,700 | 20,482 | ||||
ASGN, Inc. (a) | 7,186 | 509,991 | ||||
Barrett Business Services, Inc. | 1,039 | 93,988 | ||||
BG Staffing, Inc. | 1,600 | 35,024 | ||||
CBIZ, Inc. (a) | 7,200 | 194,112 | ||||
CoStar Group, Inc. (a) | 5,124 | 3,065,689 | ||||
CRA International, Inc. | 1,045 | 56,921 | ||||
Exponent, Inc. | 7,250 | 500,323 | ||||
Forrester Research, Inc. | 1,500 | 62,550 | ||||
Franklin Covey Co. (a) | 1,383 | 44,574 | ||||
FTI Consulting, Inc. (a) | 5,300 | 586,498 | ||||
GP Strategies Corp. (a) | 1,800 | 23,814 | ||||
Heidrick & Struggles International, Inc. | 2,700 | 87,750 | ||||
Huron Consulting Group, Inc. (a) | 3,120 | 214,406 | ||||
ICF International, Inc. | 2,602 | 238,395 | ||||
InnerWorkings, Inc. (a) | 6,200 | 34,162 | ||||
Insperity, Inc. | 5,310 | 456,872 | ||||
Kelly Services, Inc. Class A | 4,695 | 106,013 | ||||
Kforce, Inc. | 2,900 | 115,130 | ||||
Korn Ferry | 7,955 | 337,292 |
Security Description | Shares | Value | ||||
ManpowerGroup, Inc. | 8,316 | $807,484 | ||||
Mistras Group, Inc. (a) | 2,587 | 36,917 | ||||
Resources Connection, Inc. | 4,300 | 70,219 | ||||
TransUnion | 26,564 | 2,274,144 | ||||
TriNet Group, Inc. (a) | 6,300 | 356,643 | ||||
TrueBlue, Inc. (a) | 5,500 | 132,330 | ||||
Upwork, Inc. (a) (b) | 8,100 | 86,427 | ||||
Willdan Group, Inc. (a) | 1,400 | 44,492 | ||||
10,592,642 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% | ||||||
Altisource Portfolio Solutions SA (a) | 800 | 15,464 | ||||
American Realty Investors, Inc. (a) | 300 | 5,139 | ||||
Consolidated-Tomoka Land Co. | 723 | 43,611 | ||||
Cushman & Wakefield PLC (a) (b) | 15,900 | 324,996 | ||||
eXp World Holdings, Inc. (a) (b) | 2,900 | 32,857 | ||||
Forestar Group, Inc. (a) | 1,706 | 35,570 | ||||
FRP Holdings, Inc. (a) | 945 | 47,070 | ||||
Griffin Industrial Realty, Inc. | 120 | 4,746 | ||||
Howard Hughes Corp. (a) | 5,641 | 715,279 | ||||
Jones Lang LaSalle, Inc. | 7,250 | 1,262,153 | ||||
Kennedy-Wilson Holdings, Inc. | 17,342 | 386,727 | ||||
Marcus & Millichap, Inc. (a) | 3,200 | 119,200 | ||||
Maui Land & Pineapple Co., Inc. (a) | 736 | 8,280 | ||||
Newmark Group, Inc. Class A | 20,261 | 272,612 | ||||
Rafael Holdings, Inc. Class B (a) | 1,702 | 30,364 | ||||
RE/MAX Holdings, Inc. Class A | 2,500 | 96,225 | ||||
Realogy Holdings Corp. (b) | 16,061 | 155,470 | ||||
Redfin Corp. (a) (b) | 12,600 | 266,364 | ||||
RMR Group, Inc. Class A | 2,166 | 98,856 | ||||
St. Joe Co. (a) (b) | 4,700 | 93,201 | ||||
Stratus Properties, Inc. (a) | 900 | 27,882 | ||||
Tejon Ranch Co. (a) | 3,000 | 47,940 | ||||
Transcontinental Realty Investors, Inc. (a) | 207 | 8,255 | ||||
4,098,261 | ||||||
ROAD & RAIL — 1.2% | ||||||
AMERCO | 1,213 | 455,870 | ||||
ArcBest Corp. | 3,598 | 99,305 | ||||
Avis Budget Group, Inc. (a) | 8,102 | 261,208 | ||||
Covenant Transportation Group, Inc. Class A (a) | 1,745 | 22,554 | ||||
Daseke, Inc. (a) (b) | 6,464 | 20,426 | ||||
Heartland Express, Inc. | 6,440 | 135,562 | ||||
Hertz Global Holdings, Inc. (a) | 14,330 | 225,697 | ||||
Knight-Swift Transportation Holdings, Inc. (b) | 17,471 | 626,161 | ||||
Landstar System, Inc. | 5,625 | 640,519 | ||||
Lyft, Inc. Class A (a) (b) | 27,000 | 1,161,540 | ||||
Marten Transport, Ltd. | 5,504 | 118,281 | ||||
PAM Transportation Services, Inc. (a) | 250 | 14,427 | ||||
Roadrunner Transportation Systems, Inc. (a) (b) | 600 | 5,526 | ||||
Ryder System, Inc. | 7,345 | 398,907 |
Security Description | Shares | Value | ||||
Saia, Inc. (a) | 3,700 | $344,544 | ||||
Schneider National, Inc. Class B | 7,900 | 172,378 | ||||
Uber Technologies, Inc. (a) | 134,600 | 4,003,004 | ||||
Universal Logistics Holdings, Inc. | 1,329 | 25,198 | ||||
US Xpress Enterprises, Inc. Class A (a) (b) | 3,899 | 19,612 | ||||
Werner Enterprises, Inc. | 6,400 | 232,896 | ||||
YRC Worldwide, Inc. (a) (b) | 5,961 | 15,201 | ||||
8,998,816 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 2.8% | ||||||
Adesto Technologies Corp. (a) (b) | 3,800 | 32,300 | ||||
Advanced Energy Industries, Inc. (a) | 5,400 | 384,480 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 2,887 | 39,321 | ||||
Ambarella, Inc. (a) | 4,480 | 271,309 | ||||
Amkor Technology, Inc. (a) | 13,852 | 180,076 | ||||
Axcelis Technologies, Inc. (a) | 4,585 | 110,476 | ||||
AXT, Inc. (a) | 6,253 | 27,201 | ||||
Brooks Automation, Inc. | 10,000 | 419,600 | ||||
Cabot Microelectronics Corp. | 4,112 | 593,444 | ||||
CEVA, Inc. (a) | 3,099 | 83,549 | ||||
Cirrus Logic, Inc. (a) | 8,240 | 679,058 | ||||
Cohu, Inc. | 5,691 | 130,039 | ||||
Cree, Inc. (a) | 15,315 | 706,787 | ||||
Cypress Semiconductor Corp. | 52,285 | 1,219,809 | ||||
Diodes, Inc. (a) | 5,792 | 326,495 | ||||
DSP Group, Inc. (a) | 3,096 | 48,731 | ||||
Enphase Energy, Inc. (a) (b) | 13,000 | 339,690 | ||||
Entegris, Inc. | 19,098 | 956,619 | ||||
First Solar, Inc. (a) (b) | 11,651 | 651,990 | ||||
FormFactor, Inc. (a) | 10,665 | 276,970 | ||||
GSI Technology, Inc. (a) | 2,400 | 17,016 | ||||
Ichor Holdings, Ltd. (a) | 3,099 | 103,104 | ||||
Impinj, Inc. (a) (b) | 2,400 | 62,064 | ||||
Inphi Corp. (a) | 6,349 | 469,953 | ||||
Lattice Semiconductor Corp. (a) | 17,780 | 340,309 | ||||
MACOM Technology Solutions Holdings, Inc. (a) | 6,452 | 171,623 | ||||
Marvell Technology Group, Ltd. | 94,142 | 2,500,412 | ||||
MaxLinear, Inc. (a) | 9,300 | 197,346 | ||||
MKS Instruments, Inc. | 7,649 | 841,467 | ||||
Monolithic Power Systems, Inc. | 5,923 | 1,054,412 | ||||
NeoPhotonics Corp. (a) | 5,600 | 49,392 | ||||
NVE Corp. | 686 | 48,980 | ||||
ON Semiconductor Corp. (a) | 57,901 | 1,411,626 | ||||
Onto Innovation, Inc. (a) | 6,824 | 249,349 | ||||
PDF Solutions, Inc. (a) | 4,029 | 68,050 | ||||
Photronics, Inc. (a) | 9,200 | 144,992 | ||||
Power Integrations, Inc. | 4,000 | 395,640 | ||||
Rambus, Inc. (a) | 15,600 | 214,890 | ||||
Semtech Corp. (a) | 9,258 | 489,748 | ||||
Silicon Laboratories, Inc. (a) | 6,069 | 703,883 | ||||
SMART Global Holdings, Inc. (a) | 1,890 | 71,707 | ||||
SunPower Corp. (a) (b) | 8,855 | 69,069 | ||||
Synaptics, Inc. (a) (b) | 4,738 | 311,618 |
Security Description | Shares | Value | ||||
Teradyne, Inc. | 23,723 | $1,617,671 | ||||
Ultra Clean Holdings, Inc. (a) | 5,580 | 130,963 | ||||
Universal Display Corp. | 6,079 | 1,252,700 | ||||
Veeco Instruments, Inc. (a) | 6,808 | 99,975 | ||||
Xperi Corp. | 6,942 | 128,427 | ||||
20,694,330 | ||||||
SOFTWARE — 7.9% | ||||||
2U, Inc. (a) (b) | 7,905 | 189,641 | ||||
8x8, Inc. (a) (b) | 13,200 | 241,560 | ||||
A10 Networks, Inc. (a) | 6,900 | 47,403 | ||||
ACI Worldwide, Inc. (a) | 16,266 | 616,237 | ||||
Agilysys, Inc. (a) | 2,957 | 75,137 | ||||
Alarm.com Holdings, Inc. (a) | 5,200 | 223,444 | ||||
Altair Engineering, Inc. Class A (a) (b) | 5,600 | 201,096 | ||||
Alteryx, Inc. Class A (a) (b) | 6,475 | 647,953 | ||||
American Software, Inc. Class A | 4,100 | 61,008 | ||||
Anaplan, Inc. (a) | 12,124 | 635,298 | ||||
Appfolio, Inc. Class A (a) (b) | 2,185 | 240,241 | ||||
Appian Corp. (a) (b) | 4,800 | 183,408 | ||||
Aspen Technology, Inc. (a) | 9,653 | 1,167,337 | ||||
Atlassian Corp. PLC Class A (a) | 16,700 | 2,009,678 | ||||
Avalara, Inc. (a) | 6,681 | 489,383 | ||||
Avaya Holdings Corp. (a) (b) | 15,600 | 210,600 | ||||
Benefitfocus, Inc. (a) (b) | 4,141 | 90,854 | ||||
Blackbaud, Inc. | 6,890 | 548,444 | ||||
Blackline, Inc. (a) | 6,100 | 314,516 | ||||
Bottomline Technologies DE, Inc. (a) | 6,100 | 326,960 | ||||
Box, Inc. Class A (a) | 20,165 | 338,369 | ||||
CDK Global, Inc. | 17,273 | 944,488 | ||||
Cerence, Inc. (a) | 5,120 | 115,866 | ||||
Ceridian HCM Holding, Inc. (a) (b) | 13,248 | 899,274 | ||||
ChannelAdvisor Corp. (a) | 3,800 | 34,352 | ||||
Cision, Ltd. (a) | 12,900 | 128,613 | ||||
Cloudera, Inc. (a) (b) | 33,921 | 394,501 | ||||
CommVault Systems, Inc. (a) | 5,742 | 256,323 | ||||
Cornerstone OnDemand, Inc. (a) | 8,075 | 472,791 | ||||
Coupa Software, Inc. (a) (b) | 8,900 | 1,301,625 | ||||
Digimarc Corp. (a) (b) | 1,640 | 55,038 | ||||
Digital Turbine, Inc. (a) | 11,100 | 79,143 | ||||
DocuSign, Inc. (a) | 22,024 | 1,632,199 | ||||
Domo, Inc. Class B (a) | 2,500 | 54,300 | ||||
Dropbox, Inc. Class A (a) | 30,024 | 537,730 | ||||
Dynatrace, Inc. (a) (b) | 9,100 | 230,230 | ||||
Ebix, Inc. (b) | 3,298 | 110,186 | ||||
eGain Corp. (a) | 2,894 | 22,920 | ||||
Elastic NV (a) | 6,400 | 411,520 | ||||
Envestnet, Inc. (a) | 6,852 | 477,105 | ||||
Everbridge, Inc. (a) (b) | 4,700 | 366,976 | ||||
Fair Isaac Corp. (a) | 4,005 | 1,500,593 | ||||
FireEye, Inc. (a) | 28,247 | 466,923 | ||||
Five9, Inc. (a) | 8,408 | 551,397 | ||||
ForeScout Technologies, Inc. (a) (b) | 6,000 | 196,800 | ||||
GTY Technology Holdings, Inc. (a) (b) | 5,600 | 32,984 | ||||
Guidewire Software, Inc. (a) (b) | 11,692 | 1,283,431 |
Security Description | Shares | Value | |||
HubSpot, Inc. (a) | 5,753 | $911,850 | |||
Ideanomics, Inc. (a) (b) | 9,200 | 7,872 | |||
Instructure, Inc. (a) (b) | 4,900 | 236,229 | |||
Intelligent Systems Corp. (a) | 945 | 37,743 | |||
j2 Global, Inc. (b) | 6,569 | 615,581 | |||
LivePerson, Inc. (a) (b) | 8,800 | 325,600 | |||
LogMeIn, Inc. | 6,783 | 581,574 | |||
Majesco (a) | 1,200 | 9,900 | |||
Manhattan Associates, Inc. (a) | 9,032 | 720,302 | |||
Medallia, Inc. (a) | 2,320 | 72,175 | |||
MicroStrategy, Inc. Class A (a) | 1,164 | 166,021 | |||
Mitek Systems, Inc. (a) | 5,261 | 40,247 | |||
MobileIron, Inc. (a) | 13,904 | 67,573 | |||
Model N, Inc. (a) | 4,700 | 164,829 | |||
New Relic, Inc. (a) | 7,031 | 462,007 | |||
Nuance Communications, Inc. (a) | 40,546 | 722,935 | |||
Nutanix, Inc. Class A (a) | 24,000 | 750,240 | |||
OneSpan, Inc. (a) | 4,600 | 78,752 | |||
Pagerduty, Inc. (a) (b) | 5,998 | 140,293 | |||
Palo Alto Networks, Inc. (a) | 13,459 | 3,112,394 | |||
Paycom Software, Inc. (a) | 6,985 | 1,849,349 | |||
Paylocity Holding Corp. (a) | 4,874 | 588,877 | |||
Pegasystems, Inc. (b) | 5,361 | 427,004 | |||
Phunware, Inc. (a) (b) | 5,765 | 6,860 | |||
Ping Identity Holding Corp. (a) | 1,900 | 46,170 | |||
Pluralsight, Inc. Class A (a) (b) | 8,800 | 151,448 | |||
Progress Software Corp. | 6,300 | 261,765 | |||
Proofpoint, Inc. (a) | 7,902 | 906,992 | |||
PROS Holdings, Inc. (a) | 4,600 | 275,632 | |||
PTC, Inc. (a) | 14,729 | 1,103,055 | |||
Q2 Holdings, Inc. (a) (b) | 6,200 | 502,696 | |||
QAD, Inc. Class A | 1,600 | 81,488 | |||
Qualys, Inc. (a) | 4,761 | 396,925 | |||
Rapid7, Inc. (a) | 6,925 | 387,939 | |||
RealPage, Inc. (a) | 11,276 | 606,085 | |||
Rimini Street, Inc. (a) | 2,900 | 11,252 | |||
RingCentral, Inc. Class A (a) | 10,551 | 1,779,637 | |||
Rosetta Stone, Inc. (a) | 2,900 | 52,606 | |||
SailPoint Technologies Holding, Inc. (a) | 12,100 | 285,560 | |||
SecureWorks Corp. Class A (a) (b) | 1,198 | 19,959 | |||
SharpSpring, Inc. (a) (b) | 1,360 | 15,599 | |||
ShotSpotter, Inc. (a) (b) | 1,100 | 28,050 | |||
Smartsheet, Inc. Class A (a) | 12,380 | 556,110 | |||
SolarWinds Corp. (a) (b) | 6,400 | 118,720 | |||
Splunk, Inc. (a) | 21,932 | 3,284,756 | |||
SPS Commerce, Inc. (a) | 4,902 | 271,669 | |||
SS&C Technologies Holdings, Inc. | 31,408 | 1,928,451 | |||
SVMK, Inc. (a) | 12,200 | 218,014 | |||
Synchronoss Technologies, Inc. (a) | 6,000 | 28,500 | |||
Telaria, Inc. (a) | 6,200 | 54,622 | |||
Telenav, Inc. (a) | 4,752 | 23,095 | |||
Tenable Holdings, Inc. (a) | 5,300 | 126,988 | |||
Teradata Corp. (a) | 15,867 | 424,760 | |||
TiVo Corp. | 17,569 | 148,985 | |||
Trade Desk, Inc. Class A (a) (b) | 5,549 | 1,441,519 |
Security Description | Shares | Value | ||||
Tyler Technologies, Inc. (a) | 5,402 | $1,620,708 | ||||
Upland Software, Inc. (a) (b) | 3,200 | 114,272 | ||||
Varonis Systems, Inc. (a) | 4,190 | 325,605 | ||||
Verint Systems, Inc. (a) | 9,329 | 516,453 | ||||
VirnetX Holding Corp. (a) (b) | 8,700 | 33,060 | ||||
VMware, Inc. Class A (a) (b) | 10,899 | 1,654,359 | ||||
Workday, Inc. Class A (a) | 23,078 | 3,795,177 | ||||
Workiva, Inc. (a) | 5,200 | 218,660 | ||||
Yext, Inc. (a) (b) | 13,300 | 191,786 | ||||
Zendesk, Inc. (a) | 15,687 | 1,202,095 | ||||
Zix Corp. (a) | 7,500 | 50,850 | ||||
Zscaler, Inc. (a) (b) | 8,900 | 413,850 | ||||
Zuora, Inc. Class A (a) | 12,500 | 179,125 | ||||
59,367,129 | ||||||
SPECIALTY RETAIL — 1.9% | ||||||
Aaron's, Inc. | 9,497 | 542,374 | ||||
Abercrombie & Fitch Co. Class A | 8,896 | 153,812 | ||||
American Eagle Outfitters, Inc. | 22,466 | 330,250 | ||||
America's Car-Mart, Inc. (a) | 889 | 97,488 | ||||
Asbury Automotive Group, Inc. (a) | 2,722 | 304,292 | ||||
Ascena Retail Group, Inc. (a) (b) | 1,408 | 10,793 | ||||
At Home Group, Inc. (a) (b) | 6,700 | 36,850 | ||||
AutoNation, Inc. (a) | 7,669 | 372,943 | ||||
Barnes & Noble Education, Inc. (a) | 5,800 | 24,766 | ||||
Bed Bath & Beyond, Inc. | 17,158 | 296,833 | ||||
Boot Barn Holdings, Inc. (a) | 3,900 | 173,667 | ||||
Buckle, Inc. (b) | 4,109 | 111,107 | ||||
Burlington Stores, Inc. (a) | 9,309 | 2,122,731 | ||||
Caleres, Inc. | 5,590 | 132,762 | ||||
Camping World Holdings, Inc. Class A | 4,600 | 67,804 | ||||
Carvana Co. (a) (b) | 6,404 | 589,488 | ||||
Cato Corp. Class A | 3,100 | 53,940 | ||||
Chico's FAS, Inc. | 16,500 | 62,865 | ||||
Children's Place, Inc. (b) | 2,142 | 133,918 | ||||
Citi Trends, Inc. | 1,600 | 36,992 | ||||
Conn's, Inc. (a) (b) | 2,543 | 31,508 | ||||
Container Store Group, Inc. (a) (b) | 2,873 | 12,124 | ||||
Designer Brands, Inc. Class A | 8,800 | 138,512 | ||||
Dick's Sporting Goods, Inc. (b) | 9,044 | 447,588 | ||||
Express, Inc. (a) | 9,249 | 45,043 | ||||
Five Below, Inc. (a) | 7,783 | 995,134 | ||||
Floor & Decor Holdings, Inc. Class A (a) | 9,700 | 492,857 | ||||
Foot Locker, Inc. | 15,100 | 588,749 | ||||
GameStop Corp. Class A (b) | 12,665 | 77,003 | ||||
Genesco, Inc. (a) | 2,005 | 96,080 | ||||
GNC Holdings, Inc. Class A (a) (b) | 11,512 | 31,082 | ||||
Group 1 Automotive, Inc. | 2,452 | 245,200 | ||||
Guess?, Inc. (b) | 6,500 | 145,470 | ||||
Haverty Furniture Cos., Inc. | 2,555 | 51,509 | ||||
Hibbett Sports, Inc. (a) | 2,434 | 68,249 | ||||
Hudson, Ltd. Class A (a) | 5,600 | 85,904 | ||||
J. Jill, Inc. (b) | 3,000 | 3,390 | ||||
Lithia Motors, Inc. Class A | 3,114 | 457,758 |
Security Description | Shares | Value | ||||
Lumber Liquidators Holdings, Inc. (a) (b) | 3,976 | $38,846 | ||||
MarineMax, Inc. (a) | 2,976 | 49,669 | ||||
Michaels Cos., Inc. (a) | 11,885 | 96,150 | ||||
Monro, Inc. | 4,598 | 359,564 | ||||
Murphy USA, Inc. (a) | 4,086 | 478,062 | ||||
National Vision Holdings, Inc. (a) | 11,005 | 356,892 | ||||
Office Depot, Inc. | 76,698 | 210,153 | ||||
Party City Holdco, Inc. (a) (b) | 9,070 | 21,224 | ||||
Penske Automotive Group, Inc. (b) | 4,777 | 239,901 | ||||
Rent-A-Center, Inc. | 7,000 | 201,880 | ||||
RH (a) (b) | 2,329 | 497,241 | ||||
RTW RetailWinds, Inc. (a) | 4,366 | 3,497 | ||||
Sally Beauty Holdings, Inc. (a) (b) | 17,007 | 310,378 | ||||
Shoe Carnival, Inc. (b) | 1,300 | 48,464 | ||||
Signet Jewelers, Ltd. (b) | 7,300 | 158,702 | ||||
Sleep Number Corp. (a) | 3,976 | 195,778 | ||||
Sonic Automotive, Inc. Class A | 3,395 | 105,245 | ||||
Sportsman's Warehouse Holdings, Inc. (a) | 5,970 | 47,939 | ||||
Tailored Brands, Inc. (b) | 7,052 | 29,195 | ||||
Tilly's, Inc. Class A | 3,098 | 37,951 | ||||
Urban Outfitters, Inc. (a) (b) | 9,714 | 269,758 | ||||
Williams-Sonoma, Inc. (b) | 11,048 | 811,365 | ||||
Winmark Corp. | 399 | 79,122 | ||||
Zumiez, Inc. (a) | 2,800 | 96,712 | ||||
14,412,523 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.4% | ||||||
3D Systems Corp. (a) (b) | 16,200 | 141,750 | ||||
AstroNova, Inc. | 1,120 | 15,366 | ||||
Avid Technology, Inc. (a) | 3,997 | 34,294 | ||||
Dell Technologies, Inc. Class C (a) | 21,547 | 1,107,300 | ||||
Diebold Nixdorf, Inc. (a) (b) | 10,836 | 114,428 | ||||
Immersion Corp. (a) | 4,435 | 32,952 | ||||
NCR Corp. (a) (b) | 18,067 | 635,236 | ||||
Pure Storage, Inc. Class A (a) | 32,900 | 562,919 | ||||
Sonim Technologies, Inc. (a) (b) | 600 | 2,178 | ||||
Stratasys, Ltd. (a) | 7,282 | 147,279 | ||||
2,793,702 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.2% | ||||||
Carter's, Inc. | 6,129 | 670,145 | ||||
Centric Brands, Inc. (a) (b) | 2,815 | 6,108 | ||||
Columbia Sportswear Co. | 4,165 | 417,291 | ||||
Crocs, Inc. (a) | 9,700 | 406,333 | ||||
Culp, Inc. | 1,700 | 23,154 | ||||
Deckers Outdoor Corp. (a) | 3,957 | 668,179 | ||||
Delta Apparel, Inc. (a) | 1,000 | 31,100 | ||||
Fossil Group, Inc. (a) (b) | 6,600 | 52,008 | ||||
G-III Apparel Group, Ltd. (a) | 6,181 | 207,063 | ||||
Kontoor Brands, Inc. (a) (b) | 6,200 | 260,338 | ||||
Lululemon Athletica, Inc. (a) | 16,764 | 3,883,716 | ||||
Movado Group, Inc. | 2,200 | 47,828 | ||||
Oxford Industries, Inc. (b) | 2,330 | 175,729 |
Security Description | Shares | Value | ||||
Rocky Brands, Inc. | 1,105 | $32,520 | ||||
Skechers U.S.A., Inc. Class A (a) | 18,647 | 805,364 | ||||
Steven Madden, Ltd. | 11,813 | 508,077 | ||||
Superior Group of Cos., Inc. | 1,500 | 20,310 | ||||
Unifi, Inc. (a) | 2,010 | 50,773 | ||||
Vera Bradley, Inc. (a) | 2,900 | 34,220 | ||||
Vince Holding Corp. (a) | 515 | 8,915 | ||||
Wolverine World Wide, Inc. | 11,280 | 380,587 | ||||
8,689,758 | ||||||
THRIFTS & MORTGAGE FINANCE — 1.1% | ||||||
Axos Financial, Inc. (a) | 8,200 | 248,296 | ||||
Bridgewater Bancshares, Inc. (a) | 3,150 | 43,407 | ||||
Capitol Federal Financial, Inc. | 18,600 | 255,378 | ||||
Columbia Financial, Inc. (a) | 7,400 | 125,356 | ||||
Entegra Financial Corp. (a) | 1,100 | 33,176 | ||||
ESSA Bancorp, Inc. | 1,400 | 23,730 | ||||
Essent Group, Ltd. | 13,608 | 707,480 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,295 | 108,132 | ||||
First Defiance Financial Corp. | 2,771 | 87,259 | ||||
Flagstar Bancorp, Inc. | 4,900 | 187,425 | ||||
FS Bancorp, Inc. | 600 | 38,274 | ||||
Greene County Bancorp, Inc. | 600 | 17,274 | ||||
Hingham Institution for Savings | 239 | 50,238 | ||||
Home Bancorp, Inc. | 1,100 | 43,109 | ||||
HomeStreet, Inc. (a) | 3,174 | 107,916 | ||||
Kearny Financial Corp. | 11,224 | 155,228 | ||||
LendingTree, Inc. (a) (b) | 1,133 | 343,797 | ||||
Luther Burbank Corp. | 2,800 | 32,284 | ||||
Merchants Bancorp | 1,200 | 23,652 | ||||
Meridian Bancorp, Inc. | 6,730 | 135,206 | ||||
Meta Financial Group, Inc. | 4,943 | 180,469 | ||||
MGIC Investment Corp. | 49,262 | 698,043 | ||||
MMA Capital Holdings, Inc. (a) | 800 | 25,440 | ||||
Mr Cooper Group, Inc. (a) | 10,694 | 133,782 | ||||
New York Community Bancorp, Inc. | 64,323 | 773,162 | ||||
NMI Holdings, Inc. Class A (a) | 9,200 | 305,256 | ||||
Northfield Bancorp, Inc. | 6,180 | 104,813 | ||||
Northwest Bancshares, Inc. | 14,200 | 236,146 | ||||
OceanFirst Financial Corp. | 7,707 | 196,837 | ||||
Ocwen Financial Corp. (a) | 21,400 | 29,318 | ||||
OP Bancorp | 2,000 | 20,740 | ||||
PCSB Financial Corp. | 2,296 | 46,494 | ||||
PennyMac Financial Services, Inc. | 3,497 | 119,038 | ||||
Pioneer Bancorp, Inc. (a) (b) | 1,600 | 24,496 | ||||
Ponce de Leon Federal Bank (a) | 1,400 | 20,580 | ||||
Provident Bancorp, Inc. (a) | 1,414 | 17,604 | ||||
Provident Financial Holdings, Inc. | 900 | 19,710 | ||||
Provident Financial Services, Inc. | 8,600 | 211,990 | ||||
Prudential Bancorp, Inc. | 1,400 | 25,942 | ||||
Radian Group, Inc. | 28,508 | 717,261 | ||||
Riverview Bancorp, Inc. | 3,300 | 27,093 | ||||
Southern Missouri Bancorp, Inc. | 1,100 | 42,196 | ||||
Sterling Bancorp, Inc. | 2,300 | 18,630 | ||||
Territorial Bancorp, Inc. | 1,055 | 32,642 | ||||
TFS Financial Corp. | 6,929 | 136,363 |
Security Description | Shares | Value | ||||
Timberland Bancorp, Inc. | 1,000 | $29,740 | ||||
TrustCo Bank Corp. NY | 13,400 | 116,178 | ||||
United Community Financial Corp. | 6,600 | 76,956 | ||||
Walker & Dunlop, Inc. | 3,900 | 252,252 | ||||
Washington Federal, Inc. | 11,117 | 407,438 | ||||
Waterstone Financial, Inc. | 3,300 | 62,799 | ||||
Western New England Bancorp, Inc. | 3,400 | 32,742 | ||||
WSFS Financial Corp. | 7,263 | 319,499 | ||||
8,228,266 | ||||||
TOBACCO — 0.1% | ||||||
22nd Century Group, Inc. (a) (b) | 19,400 | 21,340 | ||||
Pyxus International, Inc. (a) (b) | 1,500 | 13,410 | ||||
Turning Point Brands, Inc. (b) | 1,300 | 37,180 | ||||
Universal Corp. | 3,441 | 196,344 | ||||
Vector Group, Ltd. (b) | 15,696 | 210,169 | ||||
478,443 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 1.1% | ||||||
Air Lease Corp. | 14,956 | 710,709 | ||||
Aircastle, Ltd. | 7,400 | 236,874 | ||||
Applied Industrial Technologies, Inc. | 5,415 | 361,126 | ||||
Beacon Roofing Supply, Inc. (a) | 9,549 | 305,377 | ||||
BlueLinx Holdings, Inc. (a) (b) | 1,300 | 18,525 | ||||
BMC Stock Holdings, Inc. (a) | 9,425 | 270,403 | ||||
CAI International, Inc. (a) | 2,303 | 66,741 | ||||
DXP Enterprises, Inc. (a) | 2,300 | 91,563 | ||||
EVI Industries, Inc. (b) | 620 | 16,765 | ||||
Foundation Building Materials, Inc. (a) | 2,900 | 56,115 | ||||
GATX Corp. (b) | 4,985 | 413,007 | ||||
General Finance Corp. (a) | 2,000 | 22,140 | ||||
GMS, Inc. (a) | 5,700 | 154,356 | ||||
H&E Equipment Services, Inc. | 4,500 | 150,435 | ||||
HD Supply Holdings, Inc. (a) | 23,469 | 943,923 | ||||
Herc Holdings, Inc. (a) | 3,438 | 168,256 | ||||
Kaman Corp. | 3,899 | 257,022 | ||||
Lawson Products, Inc. (a) | 600 | 31,260 | ||||
MRC Global, Inc. (a) | 11,100 | 151,404 | ||||
MSC Industrial Direct Co., Inc. Class A | 6,199 | 486,436 | ||||
NOW, Inc. (a) | 15,300 | 171,972 | ||||
Rush Enterprises, Inc. Class A | 3,800 | 176,700 | ||||
Rush Enterprises, Inc. Class B | 600 | 27,420 | ||||
SiteOne Landscape Supply, Inc. (a) (b) | 5,800 | 525,770 | ||||
Systemax, Inc. | 1,700 | 42,772 | ||||
Textainer Group Holdings, Ltd. (a) | 7,465 | 79,950 | ||||
Titan Machinery, Inc. (a) | 2,700 | 39,906 | ||||
Transcat, Inc. (a) | 1,100 | 35,046 | ||||
Triton International, Ltd. | 7,600 | 305,520 | ||||
Univar, Inc. (a) (b) | 24,064 | 583,311 | ||||
Veritiv Corp. (a) | 1,791 | 35,229 | ||||
Watsco, Inc. | 4,570 | 823,286 | ||||
WESCO International, Inc. (a) | 5,928 | 352,064 |
Security Description | Shares | Value | ||||
Willis Lease Finance Corp. (a) | 410 | $24,153 | ||||
8,135,536 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.1% | ||||||
Macquarie Infrastructure Corp. | 10,420 | 446,393 | ||||
WATER UTILITIES — 0.4% | ||||||
American States Water Co. | 5,146 | 445,849 | ||||
Aqua America, Inc. | 30,637 | 1,438,101 | ||||
AquaVenture Holdings, Ltd. (a) | 2,000 | 54,240 | ||||
Artesian Resources Corp. Class A | 1,151 | 42,829 | ||||
Cadiz, Inc. (a) (b) | 1,900 | 20,938 | ||||
California Water Service Group | 6,776 | 349,370 | ||||
Consolidated Water Co., Ltd. | 2,000 | 32,600 | ||||
Global Water Resources, Inc. | 1,700 | 22,355 | ||||
Middlesex Water Co. | 2,310 | 146,847 | ||||
Pure Cycle Corp. (a) | 2,400 | 30,216 | ||||
SJW Group | 3,700 | 262,922 | ||||
York Water Co. | 1,800 | 82,998 | ||||
2,929,265 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.2% | ||||||
Boingo Wireless, Inc. (a) | 6,100 | 66,795 | ||||
Gogo, Inc. (a) (b) | 7,710 | 49,344 | ||||
Shenandoah Telecommunications Co. | 6,750 | 280,867 | ||||
Spok Holdings, Inc. | 2,500 | 30,575 | ||||
Sprint Corp. (a) (b) | 80,403 | 418,900 | ||||
Telephone & Data Systems, Inc. | 14,200 | 361,106 | ||||
United States Cellular Corp. (a) | 2,135 | 77,351 | ||||
1,284,938 | ||||||
TOTAL COMMON STOCKS (Cost $618,035,423) | 727,695,717 | |||||
RIGHTS — 0.0% (d) | ||||||
BIOTECHNOLOGY — 0.0% (d) | ||||||
GTX, Inc. | 85 | 161 | ||||
Tobira Therapeutics, Inc. (CVR) (a) | 200 | 2,784 | ||||
2,945 | ||||||
CHEMICALS — 0.0% (d) | ||||||
A Schulman, Inc. (CVR) (a) | 3,090 | 1,616 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) | ||||||
NewStar Financial, Inc. (CVR) (a) | 2,400 | 579 | ||||
MEDIA — 0.0% (d) | ||||||
Media General, Inc. (CVR) (a) | 6,500 | 650 | ||||
PHARMACEUTICALS — 0.0% (d) | ||||||
Corium International, Inc. (CVR) (a) (b) | 3,400 | 612 | ||||
TOTAL RIGHTS (Cost $2,716) | 6,402 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 8.4% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (e) (f) | 18,312,980 | $18,314,812 | ||||
State Street Navigator Securities Lending Portfolio II (g) (h) | 44,562,252 | 44,562,252 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $62,875,638) | 62,877,064 | |||||
TOTAL INVESTMENTS — 105.5% (Cost $680,913,777) | 790,579,183 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.5)% | (41,377,111) | |||||
NET ASSETS — 100.0% | $749,202,072 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019, total aggregate fair value of the security is $0. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(g) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(h) | 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) | 92 | 03/20/2020 | $7,561,880 | $7,684,760 | $122,880 | |||||
E-mini S&P MidCap 400 Index (long) | 45 | 03/20/2020 | 9,183,027 | 9,291,600 | 108,573 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $231,453 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $727,695,717 | $— | $0(a) | $727,695,717 | ||||
Rights | — | 6,402 | — | 6,402 | ||||
Short-Term Investments | 62,877,064 | — | — | 62,877,064 | ||||
TOTAL INVESTMENTS | $790,572,781 | $6,402 | $0 | $790,579,183 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 231,453 | — | — | 231,453 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $231,453 | $— | $— | $231,453 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $790,804,234 | $6,402 | $— | $790,810,636 |
(a) | Fund held a Level 3 security that was valued at $0 at December 31, 2019. |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $88,246,877 | $69,933,182 | $(309) | $1,426 | 18,312,980 | $18,314,812 | $165,611 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 16,927,293 | 16,927,293 | 202,202,906 | 219,130,199 | — | — | — | — | 217,139 | ||||||||
State Street Navigator Securities Lending Portfolio II | 24,606,690 | 24,606,690 | 235,462,274 | 215,506,712 | — | — | 44,562,252 | 44,562,252 | 541,970 | ||||||||
Total | $41,533,983 | $525,912,057 | $504,570,093 | $(309) | $1,426 | $62,877,064 | $924,720 |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $1,025,687,410 | $2,011,748,283 | $727,702,119 | ||
Investments in affiliated issuers, at value | 51,669,585 | 144,820,295 | 62,877,064 | ||
Total Investments | 1,077,356,995 | 2,156,568,578 | 790,579,183 | ||
Foreign currency, at value | — | 11,651,187 | — | ||
Net cash at broker | — | 5,631,012 | 386,937 | ||
Cash | 8,011 | — | 1,563 | ||
Receivable from broker — accumulated variation margin on open futures contracts | — | 656,764 | 231,765 | ||
Receivable for investments sold | 158,108,692 | 454,592,395 | 201,683,280 | ||
Receivable for fund shares sold | 594,644 | 2,440,000 | 1,883,000 | ||
Dividends receivable — unaffiliated issuers | — | 2,639,256 | 1,173,475 | ||
Dividends receivable — affiliated issuers | 64,044 | 169,289 | 66,608 | ||
Interest receivable — unaffiliated issuers | 6,082,387 | — | — | ||
Securities lending income receivable — unaffiliated issuers | 4,838 | 23,845 | 9,533 | ||
Securities lending income receivable — affiliated issuers | 12,394 | 59,439 | 56,673 | ||
Receivable from Adviser | 35,728 | — | 35,511 | ||
Receivable for foreign taxes recoverable | 239 | 2,936,510 | — | ||
Other Receivable | 439 | — | — | ||
Prepaid expenses and other assets | 2,743 | 5,575 | 2,052 | ||
TOTAL ASSETS | 1,242,271,154 | 2,637,373,850 | 996,109,580 | ||
LIABILITIES | |||||
Due to custodian | — | 92,171 | — | ||
Payable upon return of securities loaned | 30,806,743 | 25,878,290 | 44,562,252 | ||
Payable for investments purchased | 14,270,691 | 369,001 | — | ||
Payable for fund shares repurchased | 163,523,307 | 512,220,853 | 202,266,044 | ||
Deferred foreign taxes payable | — | 494,086 | — | ||
Custodian, sub-administration and transfer agent fees payable | 12,743 | 62,065 | 14,407 | ||
Accrued Trustees' fees and expenses | 210 | 463 | 157 | ||
Registration and filing fees payable | 35,283 | 26,053 | 14,510 | ||
Professional fees payable | 34,572 | 34,449 | 34,458 | ||
Printing and postage fees payable | 7,573 | 17,734 | 5,551 | ||
Accrued expenses and other liabilities | 1,535 | 879,783 | 10,129 | ||
TOTAL LIABILITIES | 208,692,657 | 540,074,948 | 246,907,508 | ||
NET ASSETS | $1,033,578,497 | $2,097,298,902 | $749,202,072 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $1,004,515,228 | $1,869,428,927 | $640,837,443 | ||
Total distributable earnings (loss)** | 29,063,269 | 227,869,975 | 108,364,629 | ||
NET ASSETS | $1,033,578,497 | $2,097,298,902 | $749,202,072 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $10.26 | $10.66 | $12.73 | ||
Shares of beneficial interest | 100,772,654 | 196,746,111 | 58,838,383 | ||
Net Assets | $1,033,578,497 | $2,097,298,902 | $749,202,072 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $993,736,655 | $1,713,147,615 | $618,038,139 | ||
Investments in affiliated issuers | 51,668,755 | 144,820,393 | 62,875,638 | ||
Total cost of investments | $1,045,405,410 | $1,857,968,008 | $680,913,777 | ||
Foreign currency, at cost | $— | $11,571,480 | $— | ||
* Includes investments in securities on loan, at value | $74,296,803 | $54,906,115 | $111,738,842 | ||
** Includes deferred foreign taxes | $— | $494,086 | $— |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $29,000,287 | $72,381 | $11,060 | ||
Dividend income — unaffiliated issuers | — | 76,254,909 | 10,991,750 | ||
Dividend income — affiliated issuers | 415,121 | 1,615,921 | 382,750 | ||
Unaffiliated securities lending income | 28,935 | 156,168 | 109,565 | ||
Affiliated securities lending income | 76,982 | 715,164 | 541,970 | ||
Foreign taxes withheld | — | (6,892,569) | (7,923) | ||
TOTAL INVESTMENT INCOME (LOSS) | 29,521,325 | 71,921,974 | 12,029,172 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 161,180 | 876,304 | 129,340 | ||
Trustees’ fees and expenses | 36,681 | 58,983 | 31,864 | ||
Registration and filing fees | 18,644 | — | 3,045 | ||
Professional fees and expenses | 205,503 | 202,482 | 199,227 | ||
Printing and postage fees | 18,299 | 44,527 | 14,315 | ||
Insurance expense | 5,119 | 11,164 | 3,826 | ||
Miscellaneous expenses | 16,804 | 66,583 | 21,384 | ||
TOTAL EXPENSES | 462,230 | 1,260,043 | 403,001 | ||
Expenses waived/reimbursed by the Adviser | (197,621) | — | (164,709) | ||
NET EXPENSES | 264,609 | 1,260,043 | 238,292 | ||
NET INVESTMENT INCOME (LOSS) | $29,256,716 | $70,661,931 | $11,790,880 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | 4,200,299 | (47,390,839) | 18,851,421 | ||
Investments — affiliated issuers | (282) | 2,036 | (309) | ||
Foreign currency transactions | — | (195,303) | — | ||
Futures contracts | — | 8,082,997 | 1,926,004 | ||
Net realized gain (loss) | 4,200,017 | (39,501,109) | 20,777,116 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | 51,902,519 | 394,870,691 | 153,016,672 | ||
Investments — affiliated issuers | 830 | (98) | 1,426 | ||
Foreign currency translations | — | 57,635 | — | ||
Futures contracts | — | 2,598,889 | 898,832 | ||
Net change in unrealized appreciation/depreciation | 51,903,349 | 397,527,117 | 153,916,930 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 56,103,366 | 358,026,008 | 174,694,046 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $85,360,082 | $428,687,939 | $186,484,926 | ||
** Includes foreign deferred taxes | $— | $(159,332) | $— |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $29,256,716 | $22,747,408 | $70,661,931 | $56,416,890 | $11,790,880 | $9,258,320 | |||||
Net realized gain (loss) | 4,200,017 | (3,210,271) | (39,501,109) | (20,725,327) | 20,777,116 | 23,638,032 | |||||
Net change in unrealized appreciation/depreciation | 51,903,349 | (17,781,652) | 397,527,117 | (332,439,999) | 153,916,930 | (92,935,148) | |||||
Net increase (decrease) in net assets resulting from operations | 85,360,082 | 1,755,485 | 428,687,939 | (296,748,436) | 186,484,926 | (60,038,796) | |||||
Distributions to shareholders | (31,375,273) | (23,874,830) | (74,874,677) | (54,663,652) | (33,388,501) | (33,894,404) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from sale of shares sold | 350,758,636 | 316,690,779 | 614,713,722 | 722,635,717 | 237,969,754 | 309,094,040 | |||||
Reinvestment of distributions | 31,375,273 | 23,874,830 | 74,874,677 | 54,663,652 | 33,388,500 | 33,894,404 | |||||
Cost of shares redeemed | (249,299,011) | (159,228,020) | (853,701,487) | (173,549,380) | (303,985,012) | (85,192,583) | |||||
Net increase (decrease) in net assets from capital transactions | 132,834,898 | 181,337,589 | (164,113,088) | 603,749,989 | (32,626,758) | 257,795,861 | |||||
Net increase (decrease) in net assets during the period | 186,819,707 | 159,218,244 | 189,700,174 | 252,337,901 | 120,469,667 | 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 | $1,033,578,497 | $846,758,790 | $2,097,298,902 | $1,907,598,728 | $749,202,072 | $628,732,405 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 34,872,351 | 32,365,364 | 60,940,263 | 68,580,109 | 19,619,551 | 25,863,265 | |||||
Reinvestment of distributions | 3,098,209 | 2,467,864 | 7,070,319 | 6,176,684 | 2,620,761 | 3,434,084 | |||||
Shares redeemed | (24,423,487) | (16,375,548) | (82,657,190) | (16,515,326) | (24,375,104) | (6,729,051) | |||||
Net increase (decrease) from share transactions | 13,547,073 | 18,457,680 | (14,646,608) | 58,241,467 | (2,134,792) | 22,568,298 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $9.71 | $10.00 | $9.91 | $9.89 | $10.14 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.28 | 0.26 | 0.23 | 0.23 | 0.20 | ||||
Net realized and unrealized gain (loss) | 0.57 | (0.28) | 0.10 | 0.01 | (0.13) | ||||
Total from investment operations | 0.85 | (0.02) | 0.33 | 0.24 | 0.07 | ||||
Voluntary contribution from Adviser | — | — | — | — | 0.00(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.27) | (0.24) | (0.21) | (0.19) | ||||
Net realized gains | — | — | — | (0.01) | (0.11) | ||||
Return of Capital | — | — | — | — | (0.02) | ||||
Total distributions | (0.30) | (0.27) | (0.24) | (0.22) | (0.32) | ||||
Net asset value, end of period | $10.26 | $9.71 | $10.00 | $9.91 | $9.89 | ||||
Total return (c) | 8.69% | (0.12)% | 3.38% | 2.39% | 0.65%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,033,578 | $846,759 | $687,541 | $249,906 | $83,842 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.04% | 0.04% | 0.06% | 0.14% | 0.17% | ||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.01% | 0.03% | ||||
Net investment income (loss) | 2.76% | 2.73% | 2.31% | 2.24% | 2.00% | ||||
Portfolio turnover rate | 69% | 90% | 99% | 194% | 62%(e) |
(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) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $9.02 | $10.81 | $8.73 | $8.45 | $9.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.30 | 0.26 | 0.22 | 0.25 | ||||
Net realized and unrealized gain (loss) | 1.64 | (1.82) | 2.12 | 0.20 | (0.79) | ||||
Total from investment operations | 1.96 | (1.52) | 2.38 | 0.42 | (0.54) | ||||
Voluntary contribution from Adviser | — | — | — | — | 0.00(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.27) | (0.25) | (0.14) | (0.18) | ||||
Net realized gains | — | (0.00)(b) | (0.05) | — | — | ||||
Total distributions | (0.32) | (0.27) | (0.30) | (0.14) | (0.18) | ||||
Net asset value, end of period | $10.66 | $9.02 | $10.81 | $8.73 | $8.45 | ||||
Total return (c) | 21.70% | (13.99)% | 27.20% | 5.06% | (5.84)%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,097,299 | $1,907,599 | $1,655,261 | $552,700 | $117,461 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.06% | 0.06% | 0.23% | 0.48% | ||||
Net expenses | 0.06% | 0.06% | 0.06% | 0.08% | 0.08% | ||||
Net investment income (loss) | 3.19% | 2.89% | 2.59% | 2.51% | 2.73% | ||||
Portfolio turnover rate | 28% | 4% | 2% | 8% | 3% |
(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%. |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | For the Period 08/12/15* - 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) | 0.18 | 0.19 | 0.17 | 0.15 | 0.06 | ||||
Net realized and unrealized gain (loss) | 2.71 | (1.31) | 1.76 | 1.38 | (0.69) | ||||
Total from investment operations | 2.89 | (1.12) | 1.93 | 1.53 | (0.63) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.17) | (0.19) | (0.15) | (0.09) | (0.06) | ||||
Net realized gains | (0.30) | (0.48) | (0.33) | (0.09) | (0.01) | ||||
Total distributions | (0.47) | (0.67) | (0.48) | (0.18) | (0.07) | ||||
Net asset value, end of period | $12.73 | $10.31 | $12.10 | $10.65 | $9.30 | ||||
Total return (b) | 27.98% | (9.07)% | 18.20% | 16.46% | 6.30% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $749,202 | $628,732 | $464,870 | $142,269 | $28,151 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05% | 0.05% | 0.07% | 0.22% | 0.41%(c) | ||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.03% | 0.03%(c) | ||||
Net investment income (loss) | 1.48% | 1.52% | 1.46% | 1.55% | 1.61%(c) | ||||
Portfolio turnover rate | 51% | 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/Portfolio | 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 All Cap Equity ex-U.S. Index Fund (formerly, 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 All Cap Equity ex-U.S. Index Portfolio (formerly, 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 December 31, 2019 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 22.94% | ||
State Street Global All Cap Equity ex- U.S. Index Fund | State Street Global All Cap Equity ex- U.S. Index Portfolio | 20.56% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 14.18% |
Name | Frequency |
State Street Aggregate Bond Index Fund | Monthly |
State Street Global All Cap 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 All Cap Equity ex-U.S. Index Portfolio | Annually |
State Street Small/Mid Cap Equity Index Portfolio | Annually |
Portfolios | Strategies |
State Street Global All Cap 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 All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $656,764 | $— | $656,764 |
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 | $— | $— | $— | $231,765 | $— | $231,765 |
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 All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $8,082,997 | $— | $8,082,997 |
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 | $— | $— | $— | $1,926,004 | $— | $1,926,004 |
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 All Cap Equity ex- U.S. Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $2,598,889 | $— | $2,598,889 |
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 | $— | $— | $— | $898,832 | $— | $898,832 |
Annual Rate | |
State Street Aggregate Bond Index Fund | 0.025% |
State Street Global All Cap 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 | $660,403,241 | $624,962,515 | $110,385,176 | $87,666,592 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 576,979,617 | 696,658,056 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 390,524,391 | 386,957,734 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $5,504,376 | $— | $5,504,376 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 12,373,392 | 7,365,890 | 19,739,282 | ||
State Street Small/Mid Cap Equity Index Fund | 2,155,987 | 3,534,164 | 5,690,151 | ||
State Street Aggregate Bond Index Portfolio | 31,375,273 | — | 31,375,273 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 74,874,677 | — | 74,874,677 | ||
State Street Small/Mid Cap Equity Index Portfolio | 16,054,927 | 17,333,574 | 33,388,501 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $ 3,317,397 | $ — | $ 3,317,397 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 11,810,200 | 19,923,875 | 31,734,075 | ||
State Street Small/Mid Cap Equity Index Fund | 844,667 | 985,322 | 1,829,989 | ||
State Street Aggregate Bond Index Portfolio | 23,874,830 | — | 23,874,830 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 54,663,652 | — | 54,663,652 | ||
State Street Small/Mid Cap Equity Index Portfolio | 14,540,060 | 19,354,344 | 33,894,404 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Aggregate Bond Index Fund | $32,245 | $(566) | $— | $4,408,379 | $4,440,058 | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | 44,467 | — | 117,158 | 14,326,187 | 14,487,812 | ||||
State Street Small/Mid Cap Equity Index Fund | — | — | 1,951,555 | 2,648,092 | 4,599,647 | ||||
State Street Aggregate Bond Index Portfolio | — | (2,635,567) | — | 31,698,836 | 29,063,269 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 61,829 | (60,075,419) | — | 287,883,565 | 227,869,975 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 1,669,490 | — | 16,847,893 | 89,847,246 | 108,364,629 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Aggregate Bond Index Fund | $— | $566 | |
State Street Aggregate Bond Index Portfolio | 1,513,267 | 1,122,300 | |
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | 60,075,419 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $232,690,265 | $4,408,379 | $— | $4,408,379 | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 416,922,402 | 14,326,187 | — | 14,326,187 | |||
State Street Small/Mid Cap Equity Index Fund | 103,597,299 | 2,648,092 | — | 2,648,092 | |||
State Street Aggregate Bond Index Portfolio | 1,045,658,159 | 33,176,904 | 1,478,068 | 31,698,836 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 1,868,896,151 | 378,949,451 | 91,450,342 | 287,499,109 | |||
State Street Small/Mid Cap Equity Index Portfolio | 700,963,401 | 141,561,243 | 51,713,997 | 89,847,246 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 74,296,803 | $ 30,806,743 | $ 45,138,135 | $ 75,944,878 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 54,906,115 | 25,878,290 | 31,918,031 | 57,796,321 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 111,738,842 | 44,562,252 | 69,843,181 | 114,405,433 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 2019 | ||||||||||||||
Portfolio | 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 | $15,368,900 | $— | $— | $— | $15,368,900 | $15,368,900 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 5,781,603 | — | — | — | 5,781,603 | 5,781,603 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 1,630,553 | — | — | — | 1,630,553 | 1,630,553 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 8,025,687 | — | — | — | 8,025,687 | 8,025,687 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Common Stocks | 25,878,290 | — | — | — | 25,878,290 | 25,878,290 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 44,562,073 | — | — | — | 44,562,073 | 44,562,073 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 179 | — | — | — | 179 | 179 |
Individual fund or portfolio constituting the State Street Institutional Investment Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
State Street Aggregate Bond Index Fund | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the five years in the period ended December 31, 2019 |
State Street Global All Cap Equity ex-U.S. Index Fund | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the five years in the period ended December 31, 2019 |
State Street Small/Mid Cap Equity Index Fund | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the four years in the period ended December 31, 2019 and the period from August 12, 2015 (commencement of operations) through December 31, 2015 |
State Street Aggregate Bond Index Portfolio | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the five years in the period ended December 31, 2019 |
State Street Global All Cap Equity ex-U.S. Index Portfolio | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the five years in the period ended December 31, 2019 |
State Street Small/Mid Cap Equity Index Portfolio | For the year ended December 31, 2019 | For each of the two years in the period ended December 31, 2019 | For each of the four years in the period ended December 31, 2019 and the period from August 12, 2015 (commencement of operations) through December 31, 2015 |
February 27, 2020
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 | 0.54% | $1,021.10 | $2.75(a) | $1,022.50 | $2.75(a) | ||||
Class I | 0.23 | 1,022.10 | 1.17(a) | 1,024.00 | 1.17(a) | ||||
Class K | 0.03 | 1,023.40 | 0.15(a) | 1,025.10 | 0.15(a) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | |||||||||
Class A | 0.57 | 1,066.40 | 2.97(a) | 1,022.30 | 2.91(a) | ||||
Class I | 0.13 | 1,068.60 | 0.68(a) | 1,024.60 | 0.66(a) | ||||
Class K | 0.00 | 1,068.50 | 0.00(a) | 1,025.20 | 0.00(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.60 | 1,067.30 | 3.13(a) | 1,022.20 | 3.06(a) | ||||
Class I | 0.26 | 1,069.00 | 1.36(a) | 1,023.90 | 1.33(a) | ||||
Class K | 0.05 | 1,069.30 | 0.26(a) | 1,025.00 | 0.26(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.02 | 1,024.20 | 0.10(b) | 1,025.10 | 0.10(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.06 | 1,068.90 | 0.31(b) | 1,024.90 | 0.31(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,070.10 | 0.16(b) | 1,025.10 | 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 184, 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 184, then divided by 365. |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $7,365,890 |
State Street Small/Mid Cap Equity Index Fund | 3,534,164 |
State Street Small/Mid Cap Equity Index Portfolio | 17,333,574 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $845,164 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 5,107,806 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $10,508,315 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 63,507,693 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' and Portfolios' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 | |
4 | |
23 | |
24 | |
25 | |
26 | |
27 | |
35 | |
36 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Emerging Markets Equity Index Fund Class K | 18.13% | 11.15% | ||
MSCI Emerging Markets Index(1) | 18.42% | 11.58% | ||
* | Inception date is December 18, 2015. |
(1) | The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging market countries. Index returns are net of dividend withholding taxes. |
% of Net Assets | |||
Common Stocks | 96.0% | ||
Warrants | 1.8 | ||
Rights | 0.0 * | ||
Short-Term Investments | 2.5 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Financials | 23.9% | ||
Information Technology | 15.2 | ||
Consumer Discretionary | 14.3 | ||
Communication Services | 11.1 | ||
Energy | 7.6 | ||
TOTAL | 72.1% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.0% | |||||
ARGENTINA — 0.2% | |||||
Banco Macro SA ADR | 5,500 | $199,375 | |||
Globant SA (a) | 4,300 | 456,015 | |||
Grupo Financiero Galicia SA ADR (b) | 12,200 | 198,006 | |||
Telecom Argentina SA ADR | 10,300 | 116,905 | |||
YPF SA ADR (b) | 21,000 | 243,180 | |||
1,213,481 | |||||
BRAZIL — 7.3% | |||||
Ambev SA | 545,685 | 2,532,612 | |||
Atacadao SA | 49,200 | 285,584 | |||
B2W Cia Digital (a) | 26,160 | 408,785 | |||
B3 SA - Brasil Bolsa Balcao | 238,292 | 2,545,407 | |||
Banco Bradesco SA Preference Shares | 467,036 | 4,199,342 | |||
Banco Bradesco SA | 139,108 | 1,178,166 | |||
Banco BTG Pactual SA | 27,400 | 518,548 | |||
Banco do Brasil SA | 98,898 | 1,298,579 | |||
Banco Santander Brasil SA | 47,000 | 578,577 | |||
BB Seguridade Participacoes SA | 80,037 | 750,092 | |||
BR Malls Participacoes SA | 98,603 | 442,680 | |||
Braskem SA Class A, Preference Shares | 22,500 | 166,959 | |||
BRF SA (a) | 69,423 | 607,475 | |||
CCR SA | 147,969 | 698,151 | |||
Centrais Eletricas Brasileiras SA | 26,800 | 251,831 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 30,200 | 287,083 | |||
Cia Brasileira de Distribuicao Preference Shares | 19,900 | 433,598 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 41,900 | 630,786 | |||
Cia Energetica de Minas Gerais Preference Shares | 113,726 | 389,858 | |||
Cia Siderurgica Nacional SA | 76,900 | 269,734 | |||
Cielo SA | 154,656 | 321,792 | |||
Cogna Educacao | 185,321 | 526,566 | |||
Cosan SA | 19,700 | 340,699 | |||
Embraer SA (a) | 86,617 | 424,827 | |||
Energisa SA | 21,600 | 287,431 | |||
Engie Brasil Energia SA | 24,587 | 310,493 | |||
Equatorial Energia SA | 105,000 | 594,862 | |||
Gerdau SA Preference Shares | 123,700 | 615,010 | |||
Hapvida Participacoes e Investimentos SA (c) | 24,800 | 393,944 | |||
Hypera SA | 45,900 | 407,232 | |||
IRB Brasil Resseguros SA | 80,400 | 778,477 | |||
Itau Unibanco Holding SA Preference Shares | 561,661 | 5,180,009 | |||
Itausa - Investimentos Itau SA Preference Shares | 509,863 | 1,785,858 | |||
Itausa - Investimentos Itau SA | 253 | 884 | |||
JBS SA | 125,200 | 802,983 | |||
Klabin SA | 86,407 | 395,444 | |||
Localiza Rent a Car SA | 69,408 | 818,016 |
Security Description | Shares | Value | |||
Lojas Americanas SA Preference Shares | 92,873 | $598,190 | |||
Lojas Renner SA | 91,541 | 1,278,666 | |||
Magazine Luiza SA | 80,489 | 954,415 | |||
Multiplan Empreendimentos Imobiliarios SA | 31,354 | 257,990 | |||
Natura & Co. Holding SA | 48,700 | 468,150 | |||
Notre Dame Intermedica Participacoes SA | 47,070 | 798,600 | |||
Petrobras Distribuidora SA | 79,600 | 595,016 | |||
Petroleo Brasileiro SA Preference Shares | 486,598 | 3,650,664 | |||
Petroleo Brasileiro SA | 344,414 | 2,739,764 | |||
Porto Seguro SA | 12,500 | 194,956 | |||
Raia Drogasil SA | 28,200 | 782,621 | |||
Rumo SA (a) | 124,922 | 810,516 | |||
Sul America SA | 32,533 | 484,594 | |||
Suzano SA | 62,124 | 612,792 | |||
Telefonica Brasil SA Preference Shares | 51,255 | 738,749 | |||
TIM Participacoes SA | 106,700 | 415,639 | |||
Ultrapar Participacoes SA | 90,964 | 576,171 | |||
Vale SA | 367,384 | 4,867,767 | |||
WEG SA | 96,030 | 827,404 | |||
54,111,038 | |||||
CHILE — 0.7% | |||||
Aguas Andinas SA Class A | 321,689 | 136,470 | |||
Banco de Chile | 5,190,834 | 550,182 | |||
Banco de Credito e Inversiones SA | 6,057 | 274,678 | |||
Banco Santander Chile | 8,177,305 | 467,616 | |||
Cencosud SA | 172,446 | 227,038 | |||
Cia Cervecerias Unidas SA | 17,663 | 173,118 | |||
Colbun SA | 950,433 | 151,675 | |||
Embotelladora Andina SA Class B, Preference Shares | 43,538 | 126,164 | |||
Empresa Nacional de Telecomunicaciones SA (a) | 19,073 | 135,651 | |||
Empresas CMPC SA | 135,700 | 332,054 | |||
Empresas COPEC SA | 47,851 | 429,542 | |||
Enel Americas SA | 4,366,406 | 969,732 | |||
Enel Chile SA | 3,374,031 | 316,337 | |||
Itau CorpBanca | 18,907,140 | 109,629 | |||
Latam Airlines Group SA | 29,078 | 291,766 | |||
SACI Falabella | 92,102 | 396,971 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 14,295 | 382,303 | |||
5,470,926 | |||||
CHINA — 29.4% | |||||
360 Security Technology, Inc. Class A | 6,200 | 20,927 | |||
3SBio, Inc. (a)(c) | 156,800 | 203,250 | |||
51job, Inc. ADR (a)(b) | 3,200 | 271,680 | |||
58.com, Inc. ADR (a) | 11,600 | 750,868 |
Security Description | Shares | Value | |||
AAC Technologies Holdings, Inc. (b) | 89,000 | $776,714 | |||
AECC Aviation Power Co., Ltd. Class A | 5,200 | 16,186 | |||
Agile Group Holdings, Ltd. | 162,000 | 243,672 | |||
Agricultural Bank of China, Ltd. Class A | 278,400 | 147,491 | |||
Agricultural Bank of China, Ltd. Class H | 3,367,500 | 1,482,395 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 10,878 | 61,784 | |||
Air China, Ltd. Class A | 18,400 | 25,598 | |||
Air China, Ltd. Class H | 226,000 | 229,428 | |||
Aisino Corp. Class A | 4,300 | 14,304 | |||
Alibaba Group Holding, Ltd. ADR (a) | 196,482 | 41,673,832 | |||
Alibaba Health Information Technology, Ltd. (a) | 426,500 | 492,633 | |||
A-Living Services Co., Ltd. Class H (c) | 42,500 | 146,725 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 29,900 | 15,197 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 454,000 | 155,571 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 14,531 | |||
Anhui Conch Cement Co., Ltd. Class A | 14,500 | 114,082 | |||
Anhui Conch Cement Co., Ltd. Class H | 142,000 | 1,035,140 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 900 | 17,563 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 1,100 | 8,672 | |||
ANTA Sports Products, Ltd. | 124,000 | 1,110,013 | |||
Anxin Trust Co., Ltd. Class A (a) | 21,900 | 13,960 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 500 | 9,296 | |||
Autobio Diagnostics Co., Ltd. Class A | 400 | 5,535 | |||
Autohome, Inc. ADR (a)(b) | 7,200 | 576,072 | |||
AVIC Aircraft Co., Ltd. Class A | 6,300 | 14,816 | |||
Avic Capital Co., Ltd. Class A | 20,500 | 14,275 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 14,448 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 2,400 | 13,459 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A (a) | 4,000 | 18,147 | |||
AviChina Industry & Technology Co., Ltd. Class H | 313,000 | 140,998 | |||
AVICOPTER PLC Class A | 2,300 | 15,755 | |||
BAIC Motor Corp., Ltd. Class H (c) | 187,000 | 106,078 | |||
Baidu, Inc. ADR (a) | 32,000 | 4,044,800 | |||
Bank of Beijing Co., Ltd. Class A | 71,740 | 58,503 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 20,054 | |||
Bank of China, Ltd. Class A | 121,000 | 64,103 |
Security Description | Shares | Value | |||
Bank of China, Ltd. Class H | 9,203,000 | $3,933,108 | |||
Bank of Communications Co., Ltd. Class A | 144,012 | 116,406 | |||
Bank of Communications Co., Ltd. Class H | 1,066,000 | 757,930 | |||
Bank of Guiyang Co., Ltd. Class A | 5,100 | 7,000 | |||
Bank of Hangzhou Co., Ltd. Class A | 11,700 | 15,387 | |||
Bank of Jiangsu Co., Ltd. Class A | 36,000 | 37,421 | |||
Bank of Nanjing Co., Ltd. Class A | 25,440 | 32,032 | |||
Bank of Ningbo Co., Ltd. Class A | 20,000 | 80,831 | |||
Bank of Shanghai Co., Ltd. Class A | 49,008 | 66,773 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 61,000 | 50,270 | |||
Baozun, Inc. ADR (a)(b) | 5,100 | 168,912 | |||
BBMG Corp. Class A | 33,400 | 17,886 | |||
BBMG Corp. Class H (b) | 275,000 | 84,351 | |||
Beijing Capital International Airport Co., Ltd. Class H | 216,000 | 209,297 | |||
Beijing Enlight Media Co., Ltd. Class A | 4,500 | 7,624 | |||
Beijing Enterprises Holdings, Ltd. | 61,000 | 279,878 | |||
Beijing Enterprises Water Group, Ltd. (a) | 562,000 | 284,181 | |||
Beijing New Building Materials PLC Class A | 3,500 | 12,789 | |||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. Class A | 3,000 | 11,332 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 13,858 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 4,000 | 22,397 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 12,101 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 2,300 | 6,627 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 1,600 | 6,418 | |||
Beijing Tongrentang Co., Ltd. Class A | 6,000 | 24,275 | |||
BEST, Inc. ADR (a)(b) | 21,000 | 116,760 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 600 | 5,660 | |||
BGI Genomics Co., Ltd. Class A | 1,600 | 15,781 | |||
BOE Technology Group Co., Ltd. Class A | 116,100 | 75,676 | |||
Brilliance China Automotive Holdings, Ltd. | 370,000 | 383,685 | |||
BYD Co., Ltd. Class A | 5,600 | 38,327 | |||
BYD Co., Ltd. Class H (b) | 80,000 | 398,881 | |||
BYD Electronic International Co., Ltd. | 87,500 | 168,222 | |||
By-health Co., Ltd. Class A | 6,300 | 14,734 | |||
Caitong Securities Co., Ltd. Class A | 13,000 | 21,165 |
Security Description | Shares | Value | |||
Centre Testing International Group Co., Ltd. Class A | 6,600 | $14,128 | |||
CGN Power Co., Ltd. Class H (c) | 1,287,700 | 343,748 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 700 | 44,924 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 20,195 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 15,000 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 24,631 | |||
Chengdu Kanghong Pharmaceutical Group Co., Ltd. Class A | 2,900 | 15,393 | |||
China Agri-Industries Holdings, Ltd. | 319,000 | 169,084 | |||
China Aoyuan Group, Ltd. | 141,000 | 229,819 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,093,481 | 248,397 | |||
China CITIC Bank Corp., Ltd. Class A | 23,400 | 20,729 | |||
China CITIC Bank Corp., Ltd. Class H | 1,091,000 | 653,889 | |||
China Coal Energy Co., Ltd. Class H | 245,000 | 97,160 | |||
China Communications Construction Co., Ltd. Class A | 11,000 | 14,466 | |||
China Communications Construction Co., Ltd. Class H | 544,000 | 443,338 | |||
China Communications Services Corp., Ltd. Class H | 292,000 | 212,860 | |||
China Conch Venture Holdings, Ltd. | 186,000 | 811,622 | |||
China Construction Bank Corp. Class A | 28,400 | 29,480 | |||
China Construction Bank Corp. Class H | 11,158,500 | 9,637,915 | |||
China East Education Holdings, Ltd. (a)(b)(c) | 46,000 | 96,347 | |||
China Eastern Airlines Corp., Ltd. Class A (a) | 22,400 | 18,685 | |||
China Eastern Airlines Corp., Ltd. Class H (a) | 234,000 | 129,736 | |||
China Education Group Holdings, Ltd. | 70,000 | 91,635 | |||
China Everbright Bank Co., Ltd. Class A | 142,600 | 90,287 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 173,292 | |||
China Everbright International, Ltd. | 455,222 | 365,145 | |||
China Evergrande Group (a)(b) | 209,000 | 579,378 | |||
China Fortune Land Development Co., Ltd. Class A | 9,500 | 39,145 | |||
China Galaxy Securities Co., Ltd. Class H | 433,000 | 255,072 |
Security Description | Shares | Value | |||
China Gezhouba Group Co., Ltd. Class A | 6,400 | $6,138 | |||
China Grand Automotive Services Group Co., Ltd. Class A | 33,900 | 15,867 | |||
China Greatwall Technology Group Co., Ltd. Class A | 7,100 | 15,861 | |||
China Hongqiao Group, Ltd. | 203,000 | 122,449 | |||
China Huarong Asset Management Co., Ltd. Class H (c) | 1,217,500 | 192,192 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(b)(d) | 406,100 | — | |||
China International Capital Corp., Ltd. Class H (b)(c) | 153,200 | 295,319 | |||
China International Travel Service Corp., Ltd. Class A | 7,100 | 90,672 | |||
China Jinmao Holdings Group, Ltd. | 636,000 | 495,459 | |||
China Jushi Co., Ltd. Class A | 6,500 | 10,172 | |||
China Lesso Group Holdings, Ltd. | 117,000 | 150,008 | |||
China Life Insurance Co., Ltd. Class A | 9,000 | 45,057 | |||
China Life Insurance Co., Ltd. Class H | 865,000 | 2,403,456 | |||
China Literature, Ltd. (a)(b)(c) | 29,600 | 123,463 | |||
China Longyuan Power Group Corp., Ltd. Class H | 387,000 | 244,861 | |||
China Medical System Holdings, Ltd. | 171,000 | 246,236 | |||
China Mengniu Dairy Co., Ltd. | 317,000 | 1,281,540 | |||
China Merchants Bank Co., Ltd. Class A | 80,700 | 435,411 | |||
China Merchants Bank Co., Ltd. Class H | 451,000 | 2,318,149 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 12,300 | 14,587 | |||
China Merchants Port Holdings Co., Ltd. | 168,360 | 284,785 | |||
China Merchants Securities Co., Ltd. Class A | 18,500 | 48,580 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 27,812 | 79,341 | |||
China Minsheng Banking Corp., Ltd. Class A | 130,300 | 118,044 | |||
China Minsheng Banking Corp., Ltd. Class H (b) | 807,200 | 610,181 | |||
China Molybdenum Co., Ltd. Class A | 50,000 | 31,299 | |||
China Molybdenum Co., Ltd. Class H (b) | 465,000 | 199,325 | |||
China National Building Material Co., Ltd. Class H | 474,000 | 529,249 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 19,602 | |||
China National Nuclear Power Co., Ltd. Class A | 36,900 | 26,489 | |||
China National Software & Service Co., Ltd. Class A | 1,000 | 10,293 |
Security Description | Shares | Value | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A | 8,300 | $12,917 | |||
China Oilfield Services, Ltd. Class H | 208,000 | 326,210 | |||
China Overseas Land & Investment, Ltd. | 442,000 | 1,721,643 | |||
China Pacific Insurance Group Co., Ltd. Class A | 23,100 | 125,497 | |||
China Pacific Insurance Group Co., Ltd. Class H | 303,400 | 1,195,408 | |||
China Petroleum & Chemical Corp. Class A | 87,200 | 63,974 | |||
China Petroleum & Chemical Corp. Class H | 2,946,000 | 1,773,241 | |||
China Power International Development, Ltd. | 523,000 | 112,093 | |||
China Railway Construction Corp., Ltd. Class A | 46,100 | 67,113 | |||
China Railway Construction Corp., Ltd. Class H | 250,500 | 274,233 | |||
China Railway Group, Ltd. Class A | 95,000 | 81,018 | |||
China Railway Group, Ltd. Class H | 462,000 | 285,200 | |||
China Railway Hi-tech Industry Co., Ltd. Class A | 8,900 | 14,695 | |||
China Railway Signal & Communication Corp., Ltd. Class H (c) | 174,000 | 97,141 | |||
China Reinsurance Group Corp. Class H | 669,000 | 109,900 | |||
China Resources Beer Holdings Co., Ltd. | 167,333 | 925,595 | |||
China Resources Gas Group, Ltd. | 102,000 | 560,281 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 199,500 | 185,116 | |||
China Resources Power Holdings Co., Ltd. | 242,000 | 339,778 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 19,103 | |||
China Shenhua Energy Co., Ltd. Class A | 13,300 | 34,848 | |||
China Shenhua Energy Co., Ltd. Class H | 389,500 | 813,812 | |||
China Shipbuilding Industry Co., Ltd. Class A | 78,000 | 58,681 | |||
China Southern Airlines Co., Ltd. Class A | 34,500 | 35,564 | |||
China Southern Airlines Co., Ltd. Class H (b) | 188,000 | 126,430 | |||
China Spacesat Co., Ltd. Class A | 4,600 | 14,113 | |||
China State Construction Engineering Corp., Ltd. Class A | 153,900 | 124,178 | |||
China Taiping Insurance Holdings Co., Ltd. | 183,600 | 455,242 |
Security Description | Shares | Value | |||
China Telecom Corp., Ltd. Class H | 1,586,000 | $653,387 | |||
China Tower Corp., Ltd. Class H (c) | 4,830,000 | 1,066,198 | |||
China TransInfo Technology Co., Ltd. Class A | 6,000 | 15,540 | |||
China Unicom Hong Kong, Ltd. | 700,000 | 659,411 | |||
China United Network Communications, Ltd. Class A | 112,200 | 94,881 | |||
China Vanke Co., Ltd. Class A | 36,300 | 167,711 | |||
China Vanke Co., Ltd. Class H | 171,400 | 731,416 | |||
China Yangtze Power Co., Ltd. Class A | 84,105 | 221,941 | |||
China Zhongwang Holdings, Ltd. | 192,800 | 76,954 | |||
Chongqing Brewery Co., Ltd. Class A | 2,000 | 14,920 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 16,700 | 24,048 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 310,000 | 158,346 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 5,400 | 38,501 | |||
CIFI Holdings Group Co., Ltd. | 341,425 | 288,764 | |||
CITIC Securities Co., Ltd. Class A | 36,100 | 131,129 | |||
CITIC Securities Co., Ltd. Class H | 256,000 | 584,163 | |||
CITIC, Ltd. | 668,000 | 893,319 | |||
CNOOC, Ltd. | 2,068,000 | 3,439,678 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 7,600 | 116,098 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 146,000 | 68,955 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 27,000 | 20,429 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 304,750 | 123,593 | |||
COSCO SHIPPING Ports, Ltd. | 211,351 | 173,056 | |||
Country Garden Holdings Co., Ltd. | 873,656 | 1,399,321 | |||
Country Garden Services Holdings Co., Ltd. | 148,000 | 498,601 | |||
CRRC Corp., Ltd. Class A | 86,909 | 89,091 | |||
CRRC Corp., Ltd. Class H | 539,000 | 392,916 | |||
CSC Financial Co., Ltd. Class A | 7,900 | 34,480 | |||
CSPC Pharmaceutical Group, Ltd. | 540,000 | 1,287,661 | |||
Dali Foods Group Co., Ltd. (c) | 252,300 | 186,834 | |||
Daqin Railway Co., Ltd. Class A | 59,600 | 70,252 | |||
Datang International Power Generation Co., Ltd. Class H | 360,000 | 68,842 | |||
Dawning Information Industry Co., Ltd. Class A | 1,500 | 7,447 | |||
DHC Software Co., Ltd. Class A | 4,400 | 6,519 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 13,711 | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | 14,646 | |||
Dongfeng Motor Group Co., Ltd. Class H | 332,000 | 312,323 |
Security Description | Shares | Value | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | $21,884 | |||
East Money Information Co., Ltd. Class A | 26,900 | 60,905 | |||
ENN Energy Holdings, Ltd. | 90,600 | 990,091 | |||
Eve Energy Co., Ltd. Class A (a) | 2,200 | 15,843 | |||
Everbright Securities Co., Ltd. Class A | 8,999 | 16,925 | |||
Fangda Carbon New Material Co., Ltd. Class A (a) | 12,400 | 21,648 | |||
Far East Horizon, Ltd. | 260,000 | 243,589 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 2,000 | 7,882 | |||
Financial Street Holdings Co., Ltd. Class A | 11,900 | 13,873 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 16,762 | |||
Focus Media Information Technology Co., Ltd. Class A | 46,800 | 42,062 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 8,500 | 131,201 | |||
Fosun International, Ltd. | 315,500 | 459,981 | |||
Founder Securities Co., Ltd. Class A | 33,000 | 41,077 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 11,300 | 29,641 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 14,175 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 4,600 | 15,844 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (c) | 62,456 | 191,172 | |||
Ganfeng Lithium Co., Ltd. Class A | 1,600 | 8,001 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 12,856 | |||
GCL System Integration Technology Co., Ltd. Class A (a) | 9,500 | 8,061 | |||
GD Power Development Co., Ltd. Class A | 45,000 | 15,118 | |||
GDS Holdings, Ltd. ADR (a)(b) | 7,200 | 371,376 | |||
Geely Automobile Holdings, Ltd. | 577,000 | 1,128,556 | |||
Gemdale Corp. Class A | 18,100 | 37,680 | |||
Genscript Biotech Corp. (a) | 110,000 | 249,878 | |||
GF Securities Co., Ltd. Class A | 18,200 | 39,639 | |||
GF Securities Co., Ltd. Class H | 174,600 | 212,654 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 14,002 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 864 | 25,416 | |||
Glodon Co., Ltd. Class A | 2,500 | 12,196 | |||
GoerTek, Inc. Class A | 9,400 | 26,884 | |||
GOME Retail Holdings, Ltd. (a)(b) | 1,257,000 | 116,153 | |||
Grandjoy Holdings Group Co., Ltd. Class A | 13,100 | 13,504 |
Security Description | Shares | Value | |||
Great Wall Motor Co., Ltd. Class H (b) | 394,000 | $291,260 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 10,800 | 101,687 | |||
Greenland Holdings Corp., Ltd. Class A | 32,500 | 32,429 | |||
Greentown Service Group Co., Ltd. | 142,000 | 155,089 | |||
Guangdong Haid Group Co., Ltd. Class A | 4,100 | 21,191 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A | 12,100 | 17,789 | |||
Guanghui Energy Co., Ltd. Class A | 27,300 | 12,974 | |||
Guangzhou Automobile Group Co., Ltd. Class A | 10,100 | 16,951 | |||
Guangzhou Automobile Group Co., Ltd. Class H (b) | 358,800 | 446,670 | |||
Guangzhou Baiyun International Airport Co., Ltd. Class A | 4,200 | 10,522 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 3,200 | 16,360 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | 14,305 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 12,501 | |||
Guangzhou R&F Properties Co., Ltd. Class H (b) | 119,600 | 220,725 | |||
Guosen Securities Co., Ltd. Class A | 9,400 | 16,937 | |||
Guotai Junan Securities Co., Ltd. Class A | 25,800 | 68,490 | |||
Guotai Junan Securities Co., Ltd. Class H (c) | 98,200 | 173,921 | |||
Guoyuan Securities Co., Ltd. Class A | 14,400 | 19,165 | |||
Haidilao International Holding, Ltd. (b)(c) | 47,000 | 188,801 | |||
Haier Smart Home Co., Ltd. Class A | 20,400 | 57,113 | |||
Haitian International Holdings, Ltd. | 83,000 | 201,114 | |||
Haitong Securities Co., Ltd. Class A | 32,500 | 72,138 | |||
Haitong Securities Co., Ltd. Class H | 365,200 | 431,671 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 35,300 | 165,929 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 1,500 | 7,281 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 16,320 | |||
Hansoh Pharmaceutical Group Co., Ltd. (a)(c) | 54,000 | 179,496 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 2,700 | 15,157 |
Security Description | Shares | Value | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 8,797 | $36,665 | |||
Hengan International Group Co., Ltd. | 81,500 | 580,514 | |||
Hengli Petrochemical Co., Ltd. Class A | 20,300 | 46,865 | |||
Hengtong Optic-electric Co., Ltd. Class A | 8,100 | 18,909 | |||
Hengyi Petrochemical Co., Ltd. Class A | 12,700 | 25,381 | |||
Hesteel Co., Ltd. Class A | 42,500 | 15,743 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 32,897 | |||
HLA Corp., Ltd. Class A | 11,700 | 12,901 | |||
Hua Hong Semiconductor, Ltd. (b)(c) | 55,000 | 125,080 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 14,332 | |||
Huadian Power International Corp., Ltd. Class H | 194,000 | 73,698 | |||
Huadong Medicine Co., Ltd. Class A | 3,960 | 13,861 | |||
Hualan Biological Engineering, Inc. Class A | 3,700 | 18,672 | |||
Huaneng Power International, Inc. Class A | 6,600 | 5,287 | |||
Huaneng Power International, Inc. Class H | 444,000 | 224,513 | |||
Huaneng Renewables Corp., Ltd. Class H | 596,000 | 231,767 | |||
Huatai Securities Co., Ltd. Class A | 25,218 | 73,534 | |||
Huatai Securities Co., Ltd. Class H (b)(c) | 198,300 | 350,699 | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | 16,440 | |||
Huaxia Bank Co., Ltd. Class A | 41,700 | 45,920 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 20,491 | |||
Huayu Automotive Systems Co., Ltd. Class A | 9,900 | 36,941 | |||
Huazhu Group, Ltd. ADR (b) | 16,200 | 649,134 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 13,782 | 13,930 | |||
Hundsun Technologies, Inc. Class A | 3,200 | 35,712 | |||
HUYA, Inc. ADR (a)(b) | 6,600 | 118,470 | |||
Iflytek Co., Ltd. Class A | 6,650 | 32,920 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 203,542 | 171,831 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 7,548,000 | 5,812,264 | |||
Industrial Bank Co., Ltd. Class A | 79,499 | 225,994 | |||
Industrial Securities Co., Ltd. Class A | 15,300 | 15,552 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A | 126,100 | 23,898 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A (a) | 33,800 | 15,189 |
Security Description | Shares | Value | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 22,000 | $97,727 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 134,300 | 108,783 | |||
Innovent Biologics, Inc. (a)(c) | 84,500 | 287,928 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 2,900 | 12,532 | |||
iQIYI, Inc. ADR (a)(b) | 15,800 | 333,538 | |||
Jafron Biomedical Co., Ltd. Class A | 800 | 8,251 | |||
JD.com, Inc. ADR (a) | 85,367 | 3,007,479 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 11,000 | 14,387 | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | 202,859 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 1,800 | 12,857 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 17,000 | 213,612 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 2,800 | 13,153 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,300 | 84,083 | |||
Jiangsu Zhongnan Construction Group Co., Ltd. Class A | 6,200 | 9,391 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 14,776 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 21,390 | |||
Jiangxi Copper Co., Ltd. Class H | 155,000 | 213,250 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 5,000 | 11,629 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 26,022 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 4,600 | 12,363 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 7,500 | 15,237 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. Class A | 1,600 | 9,039 | |||
JOYY, Inc. ADR (a) | 7,000 | 369,530 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 15,339 | |||
Juneyao Airlines Co., Ltd. Class A (a) | 6,600 | 14,214 | |||
Kaisa Group Holdings, Ltd. (a) | 305,000 | 145,615 | |||
Kingdee International Software Group Co., Ltd. | 282,000 | 281,935 | |||
Kingsoft Corp., Ltd. (a)(b) | 103,000 | 267,024 | |||
Kunlun Energy Co., Ltd. | 406,000 | 358,490 | |||
Kweichow Moutai Co., Ltd. Class A | 4,999 | 849,058 | |||
KWG Group Holdings, Ltd. | 155,250 | 217,579 | |||
Legend Holdings Corp. Class H (c) | 44,800 | 101,654 | |||
Lenovo Group, Ltd. | 880,000 | 590,672 | |||
Lens Technology Co., Ltd. Class A | 14,200 | 28,175 |
Security Description | Shares | Value | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | $25,172 | |||
Li Ning Co., Ltd. | 225,000 | 674,267 | |||
Lingyi iTech Guangdong Co. Class A (a) | 16,300 | 25,391 | |||
Logan Property Holdings Co., Ltd. | 166,000 | 278,662 | |||
Lomon Billions Group Co., Ltd. Class A | 8,200 | 18,118 | |||
Longfor Group Holdings, Ltd. (c) | 205,500 | 962,647 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 11,400 | 40,640 | |||
Luxshare Precision Industry Co., Ltd. Class A | 19,440 | 101,873 | |||
Luye Pharma Group, Ltd. (b)(c) | 143,500 | 107,554 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,100 | 63,469 | |||
Maanshan Iron & Steel Co., Ltd. Class H (b) | 100,000 | 40,555 | |||
Mango Excellent Media Co., Ltd. Class A (a) | 5,440 | 27,305 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A | 15,000 | 32,067 | |||
Meituan Dianping Class B (a)(b) | 116,700 | 1,526,185 | |||
Metallurgical Corp. of China, Ltd. Class A | 40,900 | 16,442 | |||
Metallurgical Corp. of China, Ltd. Class H | 338,000 | 75,913 | |||
Midea Group Co., Ltd. Class A | 12,600 | 105,375 | |||
Momo, Inc. ADR | 18,400 | 616,400 | |||
Muyuan Foodstuff Co., Ltd. Class A | 6,200 | 79,036 | |||
NanJi E-Commerce Co., Ltd. Class A (a) | 9,800 | 15,350 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 2,400 | 14,293 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 24,342 | |||
NARI Technology Co., Ltd. Class A | 15,402 | 46,835 | |||
NAURA Technology Group Co., Ltd. Class A | 800 | 10,107 | |||
NavInfo Co., Ltd. Class A | 3,500 | 8,090 | |||
NetEase, Inc. ADR | 8,173 | 2,506,169 | |||
New China Life Insurance Co., Ltd. Class A | 6,800 | 47,985 | |||
New China Life Insurance Co., Ltd. Class H | 103,300 | 444,127 | |||
New Hope Liuhe Co., Ltd. Class A | 13,700 | 39,240 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 16,400 | 1,988,500 | |||
Nexteer Automotive Group, Ltd. | 124,000 | 112,354 | |||
Ninestar Corp. Class A | 4,400 | 20,796 | |||
Ningbo Zhoushan Port Co., Ltd. Class A | 46,500 | 25,369 | |||
NIO, Inc. ADR (a)(b) | 84,100 | 338,082 | |||
Noah Holdings, Ltd. ADR (a)(b) | 4,400 | 155,628 |
Security Description | Shares | Value | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | $6,569 | |||
OFILM Group Co., Ltd. Class A (a) | 12,400 | 27,773 | |||
Oppein Home Group, Inc. Class A | 1,200 | 20,158 | |||
Orient Securities Co., Ltd. Class A | 23,900 | 36,922 | |||
Oriental Pearl Group Co., Ltd. Class A | 14,200 | 19,082 | |||
Ovctek China, Inc. Class A | 1,600 | 10,872 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (a) | 33,400 | 14,002 | |||
People's Insurance Co. Group of China, Ltd. Class H | 1,020,000 | 424,138 | |||
Perfect World Co., Ltd. Class A | 3,200 | 20,279 | |||
PetroChina Co., Ltd. Class A | 51,800 | 43,358 | |||
PetroChina Co., Ltd. Class H | 2,430,000 | 1,219,397 | |||
PICC Property & Casualty Co., Ltd. Class H | 793,000 | 955,655 | |||
Pinduoduo, Inc. ADR (a) | 22,100 | 835,822 | |||
Ping An Bank Co., Ltd. Class A | 64,200 | 151,625 | |||
Ping An Healthcare and Technology Co., Ltd. (a)(b)(c) | 35,800 | 261,202 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 42,200 | 517,780 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 649,000 | 7,671,257 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 42,600 | 98,960 | |||
Postal Savings Bank of China Co., Ltd. Class H (c) | 970,000 | 659,796 | |||
Power Construction Corp. of China, Ltd. Class A | 51,100 | 31,841 | |||
Qudian, Inc. ADR (a)(b) | 15,300 | 72,063 | |||
RiseSun Real Estate Development Co., Ltd. Class A | 19,300 | 27,238 | |||
Rongsheng Petro Chemical Co., Ltd. Class A | 13,370 | 23,783 | |||
SAIC Motor Corp., Ltd. Class A | 27,800 | 95,192 | |||
Sanan Optoelectronics Co., Ltd. Class A | 12,000 | 31,632 | |||
Sangfor Technologies, Inc. Class A | 750 | 12,317 | |||
Sany Heavy Industry Co., Ltd. Class A | 28,555 | 69,900 | |||
SDIC Capital Co., Ltd. Class A | 8,100 | 17,607 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 35,849 | |||
Seazen Group, Ltd. (b) | 218,000 | 265,233 | |||
Seazen Holdings Co., Ltd. Class A | 6,800 | 37,802 | |||
Semiconductor Manufacturing International Corp. (a)(b) | 371,300 | 568,973 | |||
SF Holding Co., Ltd. Class A | 4,700 | 25,095 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 24,700 | 31,881 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 13,618 |
Security Description | Shares | Value | |||
Shandong Gold Mining Co., Ltd. Class A | 8,020 | $37,560 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 6,500 | 18,543 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 15,802 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 15,401 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 3,890 | 12,762 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 14,834 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 260,000 | 311,661 | |||
Shanghai Baosight Software Co., Ltd. Class A | 1,300 | 6,141 | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | 23,989 | |||
Shanghai Electric Group Co., Ltd. Class A | 19,000 | 13,585 | |||
Shanghai Electric Group Co., Ltd. Class H | 318,000 | 104,479 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 30,247 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H (b) | 66,000 | 199,055 | |||
Shanghai Industrial Urban Development Group, Ltd. | 57,000 | 7,169 | |||
Shanghai International Airport Co., Ltd. Class A | 2,968 | 33,557 | |||
Shanghai International Port Group Co., Ltd. Class A | 19,400 | 16,071 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 137,345 | |||
Shanghai M&G Stationery, Inc. Class A | 2,300 | 16,095 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 22,682 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 105,800 | 205,848 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 111,600 | 198,200 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 14,633 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 13,628 | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 7,400 | 10,019 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 13,388 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 2,700 | 34,772 | |||
Shenergy Co., Ltd. Class A | 7,100 | 5,922 | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | 18,021 |
Security Description | Shares | Value | |||
Shennan Circuits Co., Ltd. Class A | 900 | $18,361 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 75,100 | 55,205 | |||
Shenzhen Expressway Co., Ltd. Class H | 74,000 | 106,178 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 1,200 | 35,543 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 5,900 | 25,954 | |||
Shenzhen Investment, Ltd. | 347,732 | 139,239 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,449 | 30,868 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 1,300 | 33,950 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 36,796 | |||
Shenzhen Sunway Communication Co., Ltd. Class A (a) | 2,100 | 13,682 | |||
Shenzhou International Group Holdings, Ltd. | 86,600 | 1,265,913 | |||
Shui On Land, Ltd. | 425,800 | 93,447 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 14,142 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 17,537 | |||
Sichuan Swellfun Co., Ltd. Class A | 800 | 5,944 | |||
SINA Corp. (a) | 7,800 | 311,454 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 16,290 | |||
Sino-Ocean Group Holding, Ltd. | 379,500 | 152,447 | |||
Sinopec Engineering Group Co., Ltd. Class H | 163,500 | 97,784 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | 13,613 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 428,000 | 129,084 | |||
Sinopharm Group Co., Ltd. Class H | 146,000 | 533,086 | |||
Sinotrans, Ltd. Class H | 239,500 | 81,454 | |||
Sinotruk Hong Kong, Ltd. | 86,500 | 184,506 | |||
SOHO China, Ltd. | 241,000 | 90,934 | |||
Songcheng Performance Development Co., Ltd. Class A | 6,300 | 27,958 | |||
SooChow Securities Co., Ltd. Class A | 12,000 | 17,211 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 22,280 | |||
Spring Airlines Co., Ltd. Class A | 3,300 | 20,795 | |||
Sunac China Holdings, Ltd. | 281,700 | 1,682,940 | |||
Suning.com Co., Ltd. Class A | 30,200 | 43,836 | |||
Sunny Optical Technology Group Co., Ltd. | 82,200 | 1,423,135 | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | 17,376 |
Security Description | Shares | Value | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | $23,931 | |||
TAL Education Group ADR (a) | 44,500 | 2,144,900 | |||
Tasly Pharmaceutical Group Co., Ltd. Class A | 5,944 | 13,159 | |||
TBEA Co., Ltd. Class A | 14,887 | 14,213 | |||
TCL Corp. Class A | 31,000 | 19,895 | |||
Tencent Holdings, Ltd. | 665,700 | 32,089,751 | |||
Tencent Music Entertainment Group ADR (a) | 11,700 | 137,358 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 4,500 | 7,630 | |||
Tianma Microelectronics Co., Ltd. Class A | 8,800 | 20,581 | |||
Tianqi Lithium Corp. Class A | 4,800 | 20,798 | |||
Tingyi Cayman Islands Holding Corp. | 246,000 | 419,903 | |||
Toly Bread Co., Ltd. Class A | 2,200 | 13,405 | |||
Tonghua Dongbao Pharmaceutical Co., Ltd. Class A | 8,900 | 16,164 | |||
Tongkun Group Co., Ltd. Class A | 7,400 | 15,926 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 14,117 | |||
Tongwei Co., Ltd. Class A | 8,900 | 16,777 | |||
Topchoice Medical Corp. Class A (a) | 300 | 4,416 | |||
Towngas China Co., Ltd. (a) | 116,803 | 80,949 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 13,028 | |||
TravelSky Technology, Ltd. Class H | 113,000 | 275,836 | |||
Trip.com Group, Ltd. ADR (a) | 54,367 | 1,823,469 | |||
Tsingtao Brewery Co., Ltd. Class A | 3,200 | 23,431 | |||
Tsingtao Brewery Co., Ltd. Class H | 48,000 | 322,493 | |||
Tunghsu Optoelectronic Technology Co., Ltd. Class A | 22,800 | 10,999 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 900 | 6,569 | |||
Uni-President China Holdings, Ltd. | 163,000 | 171,121 | |||
Unisplendour Corp., Ltd. Class A | 4,400 | 19,962 | |||
Universal Scientific Industrial Shanghai Co., Ltd. Class A | 5,800 | 16,013 | |||
Venustech Group, Inc. Class A | 1,500 | 7,279 | |||
Vipshop Holdings, Ltd. ADR (a) | 53,588 | 759,342 | |||
Walvax Biotechnology Co., Ltd. Class A | 3,500 | 16,301 | |||
Wanda Film Holding Co., Ltd. Class A (a) | 3,400 | 8,860 | |||
Wangsu Science & Technology Co., Ltd. Class A | 9,795 | 13,402 | |||
Wanhua Chemical Group Co., Ltd. Class A | 16,100 | 129,837 | |||
Want Want China Holdings, Ltd. (b) | 609,000 | 568,998 | |||
Weibo Corp. ADR (a)(b) | 6,860 | 317,961 |
Security Description | Shares | Value | |||
Weichai Power Co., Ltd. Class A | 18,400 | $41,951 | |||
Weichai Power Co., Ltd. Class H | 238,000 | 502,159 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 19,200 | 92,621 | |||
Western Securities Co., Ltd. Class A | 14,600 | 20,542 | |||
Will Semiconductor, Ltd. Class A | 1,700 | 35,000 | |||
Winning Health Technology Group Co., Ltd. Class A | 6,500 | 13,980 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 15,301 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 35,184 | |||
Wuliangye Yibin Co., Ltd. Class A | 15,000 | 286,448 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 3,800 | 12,117 | |||
WuXi AppTec Co., Ltd. Class A | 7,499 | 99,181 | |||
WuXi AppTec Co., Ltd. Class H (b)(c) | 19,520 | 242,127 | |||
Wuxi Biologics Cayman, Inc. (a)(c) | 64,000 | 810,288 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 3,700 | 23,873 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 27,565 | |||
Xiamen C & D, Inc. Class A | 11,400 | 14,714 | |||
Xiaomi Corp. Class B (a)(b)(c) | 895,100 | 1,238,376 | |||
Xinhu Zhongbao Co., Ltd. Class A | 16,000 | 8,683 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 7,800 | 13,382 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 101,000 | 117,309 | |||
Xinyi Solar Holdings, Ltd. | 401,096 | 284,666 | |||
Yango Group Co., Ltd. Class A | 16,200 | 19,770 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 1,600 | 8,490 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 15,010 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 224,000 | 201,237 | |||
Yealink Network Technology Corp., Ltd. Class A | 1,000 | 10,396 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 700 | 7,359 | |||
Yihai International Holding, Ltd. | 59,000 | 346,043 | |||
Yintai Gold Co., Ltd. Class A | 7,900 | 15,437 | |||
Yonghui Superstores Co., Ltd. Class A | 28,800 | 31,177 | |||
Yonyou Network Technology Co., Ltd. Class A | 7,599 | 30,984 | |||
Yum China Holdings, Inc. | 41,600 | 1,997,216 | |||
Yunda Holding Co., Ltd. Class A | 7,200 | 34,423 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,299 | 55,198 | |||
Yunnan Energy New Material Co., Ltd. | 2,700 | 19,576 |
Security Description | Shares | Value | |||
Yuzhou Properties Co., Ltd. | 233,777 | $128,713 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,400 | 37,858 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 125,500 | 138,678 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 5,000 | 19,239 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 34,251 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,400 | 14,372 | |||
Zhejiang Expressway Co., Ltd. Class H | 180,000 | 164,019 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A (a) | 5,300 | 13,134 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 4,600 | 26,389 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 7,400 | 15,373 | |||
Zhejiang NHU Co., Ltd. Class A | 5,400 | 18,033 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 6,300 | 15,675 | |||
Zhejiang Supor Co., Ltd. Class A | 1,300 | 14,330 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 5,705 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 9,300 | 19,027 | |||
Zhenro Properties Group, Ltd. | 162,000 | 116,430 | |||
Zheshang Securities Co., Ltd. Class A | 11,100 | 17,737 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 35,500 | 128,026 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 16,472 | |||
Zhongjin Gold Corp., Ltd. Class A | 14,600 | 17,775 | |||
Zhongsheng Group Holdings, Ltd. | 69,500 | 284,536 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 66,200 | 239,590 | |||
Zijin Mining Group Co., Ltd. Class A | 57,700 | 38,024 | |||
Zijin Mining Group Co., Ltd. Class H | 712,000 | 354,547 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 28,400 | 27,237 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 147,600 | 123,698 | |||
ZTE Corp. Class A (a) | 13,800 | 70,118 | |||
ZTE Corp. Class H (a) | 96,600 | 295,684 | |||
ZTO Express Cayman, Inc. ADR | 36,300 | 847,605 | |||
218,648,503 | |||||
COLOMBIA — 0.4% | |||||
Bancolombia SA | 28,086 | 376,591 |
Security Description | Shares | Value | |||
Bancolombia SA Preference Shares | 55,088 | $768,865 | |||
Ecopetrol SA | 604,005 | 610,171 | |||
Grupo Argos SA | 35,158 | 190,709 | |||
Grupo Aval Acciones y Valores SA Preference Shares | 460,915 | 205,070 | |||
Grupo de Inversiones Suramericana SA | 28,763 | 298,017 | |||
Interconexion Electrica SA ESP | 55,850 | 333,585 | |||
2,783,008 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S | 19,840 | 446,477 | |||
Komercni banka A/S | 9,286 | 340,219 | |||
Moneta Money Bank A/S (c) | 65,696 | 246,644 | |||
1,033,340 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE | 158,922 | 821,840 | |||
Eastern Co SAE | 120,063 | 113,106 | |||
ElSewedy Electric Co. | 98,402 | 68,728 | |||
1,003,674 | |||||
GREECE — 0.3% | |||||
Alpha Bank AE (a) | 171,194 | 369,534 | |||
Eurobank Ergasias SA (a) | 322,051 | 332,582 | |||
FF Group (a)(d) | 3,869 | 2,084 | |||
Hellenic Telecommunications Organization SA | 30,183 | 483,134 | |||
JUMBO SA | 13,832 | 288,015 | |||
Motor Oil Hellas Corinth Refineries SA | 7,510 | 173,826 | |||
National Bank of Greece SA (a) | 64,316 | 218,028 | |||
OPAP SA | 21,485 | 279,515 | |||
2,146,718 | |||||
HONG KONG — 2.0% | |||||
Alibaba Pictures Group, Ltd. (a) | 1,855,900 | 326,315 | |||
Bosideng International Holdings, Ltd. (b) | 412,000 | 148,582 | |||
China Ding Yi Feng Holdings, Ltd. (d) | 112,000 | 1,150 | |||
China Everbright, Ltd. | 114,000 | 213,024 | |||
China First Capital Group, Ltd. (a) | 382,000 | 13,237 | |||
China Gas Holdings, Ltd. | 209,800 | 786,232 | |||
China Mobile, Ltd. | 712,000 | 5,985,267 | |||
China Resources Cement Holdings, Ltd. | 299,000 | 380,667 | |||
China Resources Land, Ltd. | 320,000 | 1,593,470 | |||
China State Construction International Holdings, Ltd. | 240,000 | 218,075 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 278,000 | 134,151 | |||
Guangdong Investment, Ltd. | 338,000 | 707,077 | |||
Haier Electronics Group Co., Ltd. | 153,000 | 478,137 | |||
Hutchison China MediTech, Ltd. ADR (a) | 7,700 | 193,039 |
Security Description | Shares | Value | |||
Kingboard Holdings, Ltd. | 84,500 | $267,865 | |||
Kingboard Laminates Holdings, Ltd. | 133,800 | 165,880 | |||
Lee & Man Paper Manufacturing, Ltd. | 179,000 | 135,540 | |||
Nine Dragons Paper Holdings, Ltd. | 211,000 | 219,346 | |||
Shanghai Industrial Holdings, Ltd. | 57,000 | 109,731 | |||
Shenzhen International Holdings, Ltd. | 122,039 | 268,142 | |||
Shimao Property Holdings, Ltd. | 131,500 | 509,677 | |||
Sino Biopharmaceutical, Ltd. | 797,000 | 1,114,928 | |||
SSY Group, Ltd. | 184,000 | 149,008 | |||
Sun Art Retail Group, Ltd. | 290,000 | 351,716 | |||
Wharf Holdings, Ltd. | 120,000 | 305,244 | |||
Yuexiu Property Co., Ltd. | 895,000 | 206,756 | |||
14,982,256 | |||||
HUNGARY — 0.3% | |||||
MOL Hungarian Oil & Gas PLC | 50,228 | 501,224 | |||
OTP Bank Nyrt | 25,802 | 1,351,320 | |||
Richter Gedeon Nyrt | 16,921 | 368,436 | |||
2,220,980 | |||||
INDIA — 8.5% | |||||
Adani Ports & Special Economic Zone, Ltd. | 77,432 | 397,259 | |||
Ambuja Cements, Ltd. | 70,151 | 192,925 | |||
Ashok Leyland, Ltd. | 144,420 | 164,798 | |||
Asian Paints, Ltd. | 33,001 | 827,682 | |||
Aurobindo Pharma, Ltd. | 31,970 | 204,823 | |||
Avenue Supermarts, Ltd. (a)(c) | 15,359 | 395,927 | |||
Axis Bank, Ltd. | 241,335 | 2,544,260 | |||
Bajaj Auto, Ltd. | 10,548 | 469,929 | |||
Bajaj Finance, Ltd. | 20,030 | 1,185,611 | |||
Bajaj Finserv, Ltd. | 4,356 | 574,875 | |||
Bandhan Bank, Ltd. (c) | 47,726 | 340,871 | |||
Berger Paints India, Ltd. | 25,564 | 184,805 | |||
Bharat Forge, Ltd. | 25,984 | 175,937 | |||
Bharat Petroleum Corp., Ltd. | 74,248 | 511,209 | |||
Bharti Airtel, Ltd. (a) | 236,773 | 1,512,627 | |||
Bharti Infratel, Ltd. | 40,967 | 144,921 | |||
Bosch, Ltd. | 845 | 181,600 | |||
Britannia Industries, Ltd. | 6,960 | 296,037 | |||
Cipla, Ltd. | 44,017 | 294,708 | |||
Coal India, Ltd. | 154,997 | 459,162 | |||
Colgate-Palmolive India, Ltd. | 7,108 | 145,091 | |||
Container Corp. Of India, Ltd. | 25,257 | 202,702 | |||
Dabur India, Ltd. | 66,144 | 424,415 | |||
Divi's Laboratories, Ltd. | 9,808 | 252,578 | |||
DLF, Ltd. | 65,554 | 211,509 | |||
Dr Reddy's Laboratories, Ltd. ADR | 428 | 17,368 | |||
Dr Reddy's Laboratories, Ltd. | 12,624 | 507,511 | |||
Eicher Motors, Ltd. | 1,519 | 476,696 | |||
GAIL India, Ltd. | 169,014 | 286,749 | |||
GAIL India, Ltd. GDR | 3,808 | 37,471 |
Security Description | Shares | Value | |||
Godrej Consumer Products, Ltd. | 44,972 | $429,507 | |||
Grasim Industries, Ltd. | 37,358 | 389,919 | |||
Havells India, Ltd. | 30,412 | 275,794 | |||
HCL Technologies, Ltd. | 124,750 | 994,461 | |||
HDFC Asset Management Co., Ltd. (c) | 4,737 | 211,704 | |||
HDFC Life Insurance Co., Ltd. (c) | 61,883 | 539,691 | |||
Hero MotoCorp, Ltd. | 12,005 | 411,390 | |||
Hindalco Industries, Ltd. | 145,979 | 441,343 | |||
Hindustan Petroleum Corp., Ltd. | 75,023 | 277,639 | |||
Hindustan Unilever, Ltd. | 75,076 | 2,019,784 | |||
Housing Development Finance Corp., Ltd. | 190,511 | 6,440,522 | |||
ICICI Bank, Ltd. ADR | 286 | 4,316 | |||
ICICI Bank, Ltd. | 552,930 | 4,172,646 | |||
ICICI Lombard General Insurance Co., Ltd. (c) | 20,575 | 398,107 | |||
ICICI Prudential Life Insurance Co., Ltd. (c) | 38,573 | 260,501 | |||
Indian Oil Corp., Ltd. | 235,032 | 413,902 | |||
Info Edge India, Ltd. | 6,821 | 242,697 | |||
Infosys, Ltd. ADR | 1,518 | 15,666 | |||
Infosys, Ltd. | 393,174 | 4,032,093 | |||
InterGlobe Aviation, Ltd. (c) | 11,358 | 212,208 | |||
ITC, Ltd. | 396,639 | 1,321,423 | |||
JSW Steel, Ltd. | 106,115 | 401,398 | |||
Larsen & Toubro, Ltd. GDR | 1,235 | 22,699 | |||
Larsen & Toubro, Ltd. | 53,654 | 980,951 | |||
LIC Housing Finance, Ltd. | 38,049 | 231,269 | |||
Lupin, Ltd. | 26,873 | 288,013 | |||
Mahindra & Mahindra Financial Services, Ltd. | 38,757 | 174,704 | |||
Mahindra & Mahindra, Ltd. GDR | 2,150 | 16,254 | |||
Mahindra & Mahindra, Ltd. | 83,139 | 618,783 | |||
Marico, Ltd. | 54,929 | 262,224 | |||
Maruti Suzuki India, Ltd. | 12,179 | 1,257,517 | |||
Motherson Sumi Systems, Ltd. | 120,996 | 248,508 | |||
Nestle India, Ltd. | 2,636 | 545,527 | |||
NTPC, Ltd. | 296,399 | 494,150 | |||
Oil & Natural Gas Corp., Ltd. | 286,783 | 516,488 | |||
Page Industries, Ltd. | 700 | 227,913 | |||
Petronet LNG, Ltd. | 76,072 | 285,677 | |||
Pidilite Industries, Ltd. | 14,662 | 284,908 | |||
Piramal Enterprises, Ltd. | 11,410 | 243,472 | |||
Power Grid Corp. of India, Ltd. | 208,957 | 557,975 | |||
REC, Ltd. | 86,724 | 173,744 | |||
Reliance Industries, Ltd. GDR (c) | 615 | 26,168 | |||
Reliance Industries, Ltd. | 329,648 | 7,001,391 | |||
SBI Life Insurance Co., Ltd. (c) | 39,876 | 536,927 | |||
Shree Cement, Ltd. | 1,040 | 297,058 | |||
Shriram Transport Finance Co., Ltd. | 20,568 | 336,940 | |||
Siemens, Ltd. | 7,799 | 163,567 | |||
State Bank of India (a) | 208,457 | 974,849 | |||
Sun Pharmaceutical Industries, Ltd. | 95,916 | 580,913 | |||
Tata Consultancy Services, Ltd. | 104,261 | 3,162,383 |
Security Description | Shares | Value | |||
Tata Motors, Ltd. ADR (a) | 541 | $6,995 | |||
Tata Motors, Ltd. (a) | 177,384 | 458,879 | |||
Tata Power Co., Ltd. | 138,650 | 110,041 | |||
Tata Steel, Ltd. | 32,077 | 211,553 | |||
Tata Steel, Ltd. GDR | 10,534 | 71,210 | |||
Tech Mahindra, Ltd. | 52,835 | 563,450 | |||
Titan Co., Ltd. | 35,463 | 591,181 | |||
UltraTech Cement, Ltd. | 11,876 | 674,677 | |||
United Spirits, Ltd. (a) | 35,264 | 295,982 | |||
UPL, Ltd. | 66,571 | 544,669 | |||
Vedanta, Ltd. | 230,397 | 491,438 | |||
Vedanta, Ltd. ADR | 366 | 3,159 | |||
Wipro, Ltd. ADR (b) | 9,561 | 35,854 | |||
Wipro, Ltd. | 119,363 | 411,544 | |||
Zee Entertainment Enterprises, Ltd. | 81,290 | 332,548 | |||
62,842,919 | |||||
INDONESIA — 1.9% | |||||
Ace Hardware Indonesia Tbk PT | 711,000 | 76,567 | |||
Adaro Energy Tbk PT | 1,859,800 | 208,319 | |||
Astra International Tbk PT | 2,329,500 | 1,162,023 | |||
Bank Central Asia Tbk PT | 1,141,000 | 2,747,194 | |||
Bank Mandiri Persero Tbk PT | 2,148,000 | 1,187,531 | |||
Bank Negara Indonesia Persero Tbk PT | 928,100 | 524,804 | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,413,400 | 2,032,700 | |||
Bank Tabungan Negara Persero Tbk PT | 468,600 | 71,560 | |||
Barito Pacific Tbk PT (a) | 3,394,400 | 369,209 | |||
Bukit Asam Tbk PT | 383,100 | 73,405 | |||
Bumi Serpong Damai Tbk PT (a) | 1,003,000 | 90,673 | |||
Charoen Pokphand Indonesia Tbk PT | 837,700 | 392,224 | |||
Gudang Garam Tbk PT | 59,000 | 225,248 | |||
Hanjaya Mandala Sampoerna Tbk PT | 1,148,100 | 173,673 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 322,100 | 178,654 | |||
Indocement Tunggal Prakarsa Tbk PT | 226,400 | 310,266 | |||
Indofood CBP Sukses Makmur Tbk PT | 296,900 | 238,461 | |||
Indofood Sukses Makmur Tbk PT | 552,900 | 315,630 | |||
Jasa Marga Persero Tbk PT | 247,489 | 92,257 | |||
Kalbe Farma Tbk PT | 2,654,400 | 309,752 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 177,100 | 131,079 | |||
Pakuwon Jati Tbk PT | 2,231,900 | 91,639 | |||
Perusahaan Gas Negara Tbk PT | 1,369,000 | 213,991 | |||
Semen Indonesia Persero Tbk PT | 364,300 | 314,900 | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,718,300 | 1,635,271 | |||
Unilever Indonesia Tbk PT | 189,000 | 571,799 | |||
United Tractors Tbk PT | 205,000 | 317,855 | |||
XL Axiata Tbk PT (a) | 394,000 | 89,400 | |||
14,146,084 |
Security Description | Shares | Value | |||
LUXEMBOURG — 0.1% | |||||
Reinet Investments SCA | 18,450 | $366,137 | |||
MALAYSIA — 1.8% | |||||
AirAsia Group Bhd | 175,900 | 73,103 | |||
AMMB Holdings Bhd | 195,200 | 186,586 | |||
Axiata Group Bhd | 338,293 | 342,387 | |||
British American Tobacco Malaysia Bhd | 18,500 | 68,202 | |||
CIMB Group Holdings Bhd | 557,103 | 701,401 | |||
Dialog Group Bhd | 444,400 | 374,815 | |||
DiGi.Com Bhd | 390,600 | 425,883 | |||
Fraser & Neave Holdings Bhd | 18,500 | 157,570 | |||
Gamuda Bhd | 202,900 | 193,451 | |||
Genting Bhd | 268,000 | 396,382 | |||
Genting Malaysia Bhd | 366,800 | 295,018 | |||
Genting Plantations Bhd | 28,800 | 74,491 | |||
HAP Seng Consolidated Bhd | 77,700 | 189,572 | |||
Hartalega Holdings Bhd | 186,100 | 249,316 | |||
Hong Leong Bank Bhd | 78,500 | 332,001 | |||
Hong Leong Financial Group Bhd | 26,800 | 110,725 | |||
IHH Healthcare Bhd | 274,500 | 367,074 | |||
IJM Corp. Bhd | 320,100 | 169,812 | |||
IOI Corp. Bhd | 239,900 | 270,368 | |||
Kuala Lumpur Kepong Bhd | 52,600 | 318,905 | |||
Malayan Banking Bhd | 452,081 | 954,890 | |||
Malaysia Airports Holdings Bhd | 126,200 | 234,475 | |||
Maxis Bhd | 286,700 | 372,875 | |||
MISC Bhd | 141,800 | 289,458 | |||
Nestle Malaysia Bhd | 8,700 | 312,651 | |||
Petronas Chemicals Group Bhd | 299,000 | 537,257 | |||
Petronas Dagangan Bhd | 29,200 | 164,899 | |||
Petronas Gas Bhd | 75,000 | 304,730 | |||
PPB Group Bhd | 68,720 | 316,510 | |||
Press Metal Aluminium Holdings Bhd | 179,900 | 204,507 | |||
Public Bank Bhd | 358,600 | 1,704,238 | |||
QL Resources Bhd | 81,800 | 162,580 | |||
RHB Bank Bhd | 203,510 | 287,566 | |||
Sime Darby Bhd | 334,969 | 181,795 | |||
Sime Darby Plantation Bhd | 261,069 | 347,837 | |||
Telekom Malaysia Bhd | 127,600 | 119,162 | |||
Tenaga Nasional Bhd | 360,200 | 1,167,645 | |||
Top Glove Corp. Bhd | 180,700 | 207,625 | |||
Westports Holdings Bhd | 98,400 | 101,275 | |||
YTL Corp. Bhd | 321,196 | 76,952 | |||
13,345,989 | |||||
MEXICO — 2.3% | |||||
Alfa SAB de CV Class A | 381,040 | 315,986 | |||
Alsea SAB de CV (a) | 69,700 | 183,920 | |||
America Movil SAB de CV Series L | 3,896,221 | 3,115,491 | |||
Arca Continental SAB de CV | 55,700 | 294,988 | |||
Cemex SAB de CV Series CPO | 1,730,117 | 648,656 | |||
Coca-Cola Femsa SAB de CV | 66,200 | 402,444 |
Security Description | Shares | Value | |||
El Puerto de Liverpool SAB de CV Series C1 (b) | 22,100 | $109,774 | |||
Fibra Uno Administracion SA de CV REIT | 388,858 | 602,932 | |||
Fomento Economico Mexicano SAB de CV | 224,880 | 2,123,642 | |||
Gruma SAB de CV Class B | 26,060 | 267,431 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 44,900 | 534,382 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 26,160 | 490,729 | |||
Grupo Bimbo SAB de CV Class A (b) | 206,215 | 376,197 | |||
Grupo Carso SAB de CV Series A1 | 53,700 | 198,745 | |||
Grupo Financiero Banorte SAB de CV Series O | 299,603 | 1,674,756 | |||
Grupo Financiero Inbursa SAB de CV Series O | 292,926 | 359,875 | |||
Grupo Mexico SAB de CV Class B | 403,136 | 1,109,670 | |||
Grupo Televisa SAB Series CPO (b) | 274,629 | 644,689 | |||
Industrias Penoles SAB de CV (b) | 17,115 | 179,470 | |||
Infraestructura Energetica Nova SAB de CV | 65,700 | 308,878 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 192,189 | 382,974 | |||
Megacable Holdings SAB de CV | 37,300 | 152,961 | |||
Orbia Advance Corp. SAB de CV | 133,110 | 284,209 | |||
Promotora y Operadora de Infraestructura SAB de CV | 28,350 | 290,526 | |||
Wal-Mart de Mexico SAB de CV | 604,894 | 1,738,702 | |||
16,792,027 | |||||
PAKISTAN — 0.0% (e) | |||||
Habib Bank, Ltd. | 66,000 | 67,089 | |||
MCB Bank, Ltd. | 48,800 | 64,579 | |||
Oil & Gas Development Co., Ltd. | 76,400 | 70,211 | |||
201,879 | |||||
PERU — 0.3% | |||||
Cia de Minas Buenaventura SAA ADR | 27,200 | 410,720 | |||
Credicorp, Ltd. | 7,800 | 1,662,414 | |||
Southern Copper Corp. | 10,267 | 436,142 | |||
2,509,276 | |||||
PHILIPPINES — 0.9% | |||||
Aboitiz Equity Ventures, Inc. | 249,940 | 254,160 | |||
Aboitiz Power Corp. | 192,500 | 129,993 | |||
Altus San Nicolas Corp. (a) | 4,817 | 494 | |||
Ayala Corp. | 32,165 | 498,877 | |||
Ayala Land, Inc. | 844,400 | 758,618 | |||
Bank of the Philippine Islands | 115,059 | 199,698 | |||
BDO Unibank, Inc. | 225,609 | 703,845 | |||
Globe Telecom, Inc. | 3,920 | 156,351 | |||
GT Capital Holdings, Inc. | 12,002 | 200,725 |
Security Description | Shares | Value | |||
International Container Terminal Services, Inc. | 124,890 | $317,126 | |||
JG Summit Holdings, Inc. | 326,140 | 520,330 | |||
Jollibee Foods Corp. | 53,440 | 227,921 | |||
Manila Electric Co. | 26,550 | 166,183 | |||
Megaworld Corp. | 1,462,000 | 115,759 | |||
Metro Pacific Investments Corp. | 1,727,000 | 118,668 | |||
Metropolitan Bank & Trust Co. | 217,087 | 284,191 | |||
PLDT, Inc. | 11,066 | 215,879 | |||
Robinsons Land Corp. | 250,186 | 136,097 | |||
Security Bank Corp. | 29,670 | 114,239 | |||
SM Investments Corp. | 27,500 | 566,344 | |||
SM Prime Holdings, Inc. | 1,161,100 | 965,195 | |||
Universal Robina Corp. | 111,700 | 319,804 | |||
6,970,497 | |||||
POLAND — 0.9% | |||||
Bank Millennium SA (a) | 70,894 | 109,505 | |||
Bank Polska Kasa Opieki SA | 19,437 | 515,525 | |||
CCC SA | 3,605 | 104,705 | |||
CD Projekt SA | 8,245 | 608,475 | |||
Cyfrowy Polsat SA | 32,938 | 242,993 | |||
Dino Polska SA (a)(c) | 6,152 | 233,910 | |||
Grupa Lotos SA | 11,534 | 254,538 | |||
KGHM Polska Miedz SA (a) | 17,033 | 429,861 | |||
LPP SA | 159 | 370,285 | |||
mBank SA (a) | 1,908 | 196,176 | |||
Orange Polska SA (a) | 76,094 | 143,054 | |||
PGE Polska Grupa Energetyczna SA (a) | 104,212 | 219,029 | |||
Polski Koncern Naftowy ORLEN SA | 34,368 | 778,777 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 213,120 | 243,546 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 100,592 | 915,270 | |||
Powszechny Zaklad Ubezpieczen SA | 69,183 | 731,232 | |||
Santander Bank Polska SA | 4,506 | 365,734 | |||
6,462,615 | |||||
QATAR — 0.9% | |||||
Barwa Real Estate Co. | 231,020 | 224,612 | |||
Commercial Bank PQSC | 245,580 | 317,008 | |||
Industries Qatar QSC | 207,197 | 585,000 | |||
Masraf Al Rayan QSC | 451,610 | 491,177 | |||
Mesaieed Petrochemical Holding Co. | 549,861 | 379,058 | |||
Ooredoo QSC | 96,940 | 188,502 | |||
Qatar Electricity & Water Co. QSC | 65,618 | 289,973 | |||
Qatar Fuel QSC | 61,373 | 386,004 | |||
Qatar Insurance Co. SAQ | 200,420 | 173,943 | |||
Qatar International Islamic Bank QSC | 82,218 | 218,586 | |||
Qatar Islamic Bank SAQ | 132,092 | 556,158 |
Security Description | Shares | Value | |||
Qatar National Bank QPSC | 523,811 | $2,962,172 | |||
6,772,193 | |||||
ROMANIA — 0.1% | |||||
NEPI Rockcastle PLC | 43,056 | 381,280 | |||
RUSSIA — 3.9% | |||||
Alrosa PJSC | 322,050 | 436,944 | |||
Gazprom PJSC | 1,234,818 | 5,097,821 | |||
Inter RAO UES PJSC | 4,473,928 | 360,983 | |||
LUKOIL PJSC | 45,572 | 4,515,286 | |||
Magnit PJSC | 9,412 | 519,082 | |||
Magnitogorsk Iron & Steel Works PJSC | 287,300 | 194,204 | |||
MMC Norilsk Nickel PJSC | 7,316 | 2,253,061 | |||
Mobile TeleSystems PJSC ADR | 45,470 | 461,521 | |||
Mobile TeleSystems PJSC | 31,501 | 162,295 | |||
Moscow Exchange MICEX | 173,801 | 301,340 | |||
Novatek PJSC GDR | 600 | 121,800 | |||
Novatek PJSC | 101,850 | 2,069,755 | |||
Novolipetsk Steel PJSC | 146,523 | 338,617 | |||
PhosAgro PJSC GDR | 14,306 | 181,686 | |||
Polymetal International PLC | 25,736 | 407,421 | |||
Polyus PJSC (a) | 3,245 | 370,887 | |||
Rosneft Oil Co. PJSC | 133,971 | 970,089 | |||
Sberbank of Russia PJSC | 1,251,014 | 5,131,249 | |||
Severstal PJSC | 25,560 | 386,335 | |||
Surgutneftegas PJSC Preference Shares | 864,900 | 527,131 | |||
Surgutneftegas PJSC | 876,100 | 712,037 | |||
Tatneft PJSC | 176,294 | 2,155,450 | |||
Transneft PJSC Preference Shares | 60 | 170,501 | |||
VTB Bank PJSC | 411,300,000 | 303,951 | |||
X5 Retail Group NV GDR | 14,967 | 516,362 | |||
28,665,808 | |||||
SAUDI ARABIA — 2.6% | |||||
Advanced Petrochemical Co. | 13,629 | 179,477 | |||
Al Rajhi Bank | 141,697 | 2,470,339 | |||
Alinma Bank | 89,985 | 608,088 | |||
Almarai Co. JSC | 31,215 | 411,895 | |||
Arab National Bank | 68,159 | 497,842 | |||
Bank AlBilad | 46,186 | 331,193 | |||
Bank Al-Jazira | 51,507 | 206,506 | |||
Banque Saudi Fransi | 66,230 | 669,133 | |||
Bupa Arabia for Cooperative Insurance Co. | 3,135 | 85,577 | |||
Co. for Cooperative Insurance (a) | 7,040 | 143,942 | |||
Dar Al Arkan Real Estate Development Co. (a) | 67,534 | 198,031 | |||
Emaar Economic City (a) | 43,855 | 111,645 | |||
Etihad Etisalat Co. (a) | 47,529 | 316,750 | |||
Jarir Marketing Co. | 7,402 | 326,759 | |||
National Commercial Bank | 138,566 | 1,819,203 | |||
National Industrialization Co. (a) | 37,774 | 137,752 | |||
Rabigh Refining & Petrochemical Co. (a) | 25,187 | 145,430 | |||
Riyad Bank | 137,651 | 880,661 |
Security Description | Shares | Value | |||
Sahara International Petrochemical Co. | 45,878 | $219,649 | |||
Samba Financial Group | 112,566 | 973,733 | |||
Saudi Airlines Catering Co. | 4,598 | 126,003 | |||
Saudi Arabian Fertilizer Co. | 20,474 | 422,983 | |||
Saudi Arabian Mining Co. (a) | 49,940 | 591,085 | |||
Saudi Arabian Oil Co. (a)(c) | 115,000 | 1,080,625 | |||
Saudi Basic Industries Corp. | 86,716 | 2,170,616 | |||
Saudi British Bank | 82,438 | 762,562 | |||
Saudi Cement Co. | 9,637 | 180,085 | |||
Saudi Electricity Co. | 101,879 | 549,141 | |||
Saudi Industrial Investment Group | 28,368 | 181,492 | |||
Saudi Kayan Petrochemical Co. (a) | 93,520 | 276,723 | |||
Saudi Telecom Co. | 46,081 | 1,250,512 | |||
Savola Group (a) | 33,200 | 304,007 | |||
Yanbu National Petrochemical Co. | 28,105 | 418,807 | |||
19,048,246 | |||||
SINGAPORE — 0.0% (e) | |||||
BOC Aviation, Ltd. (c) | 26,200 | 266,479 | |||
SOUTH AFRICA — 4.5% | |||||
Absa Group, Ltd. | 82,792 | 883,959 | |||
Anglo American Platinum, Ltd. | 6,599 | 616,946 | |||
AngloGold Ashanti, Ltd. | 47,701 | 1,079,656 | |||
Aspen Pharmacare Holdings, Ltd. (a) | 49,333 | 420,601 | |||
Bid Corp., Ltd. | 38,526 | 909,763 | |||
Bidvest Group, Ltd. | 32,799 | 480,298 | |||
Capitec Bank Holdings, Ltd. | 5,272 | 545,233 | |||
Clicks Group, Ltd. | 29,873 | 548,154 | |||
Discovery, Ltd. | 48,727 | 420,348 | |||
Exxaro Resources, Ltd. | 30,772 | 288,586 | |||
FirstRand, Ltd. | 388,724 | 1,745,762 | |||
Fortress REIT, Ltd. Class A, | 149,753 | 206,260 | |||
Foschini Group, Ltd. (b) | 29,345 | 313,711 | |||
Gold Fields, Ltd. | 101,420 | 695,329 | |||
Growthpoint Properties, Ltd. REIT | 338,550 | 535,298 | |||
Impala Platinum Holdings, Ltd. (a) | 91,505 | 939,164 | |||
Investec, Ltd. | 35,166 | 208,630 | |||
Kumba Iron Ore, Ltd. (b) | 8,059 | 240,355 | |||
Liberty Holdings, Ltd. | 16,199 | 128,181 | |||
Life Healthcare Group Holdings, Ltd. | 173,849 | 306,460 | |||
Momentum Metropolitan Holdings | 104,070 | 162,541 | |||
Mr. Price Group, Ltd. | 32,243 | 420,806 | |||
MTN Group, Ltd. (b) | 195,429 | 1,152,854 | |||
MultiChoice Group, Ltd. (a) | 54,744 | 456,086 | |||
Naspers, Ltd. Class N | 50,886 | 8,336,192 | |||
Nedbank Group, Ltd. | 42,684 | 654,141 | |||
Northam Platinum, Ltd. (a) | 40,047 | 354,032 | |||
Old Mutual, Ltd. | 553,789 | 778,596 | |||
Pepkor Holdings, Ltd. (c) | 91,822 | 118,656 | |||
Pick n Pay Stores, Ltd. | 44,061 | 201,313 |
Security Description | Shares | Value | |||
PSG Group, Ltd. | 18,510 | $309,958 | |||
Rand Merchant Investment Holdings, Ltd. | 93,926 | 207,150 | |||
Redefine Properties, Ltd. REIT | 686,502 | 371,149 | |||
Remgro, Ltd. | 60,706 | 846,546 | |||
RMB Holdings, Ltd. | 88,461 | 508,871 | |||
Sanlam, Ltd. | 215,969 | 1,221,665 | |||
Sasol, Ltd. | 64,778 | 1,405,859 | |||
Shoprite Holdings, Ltd. | 58,005 | 522,329 | |||
Sibanye Gold, Ltd. (a) | 258,517 | 663,509 | |||
SPAR Group, Ltd. | 23,362 | 329,977 | |||
Standard Bank Group, Ltd. | 149,630 | 1,801,103 | |||
Telkom SA SOC, Ltd. | 36,105 | 89,904 | |||
Tiger Brands, Ltd. (b) | 19,448 | 293,052 | |||
Vodacom Group, Ltd. | 73,494 | 605,990 | |||
Woolworths Holdings, Ltd. | 122,234 | 424,827 | |||
33,749,800 | |||||
SOUTH KOREA — 11.5% | |||||
Amorepacific Corp. (a) | 3,669 | 634,528 | |||
Amorepacific Corp. Preference Shares | 1,181 | 91,298 | |||
AMOREPACIFIC Group (a) | 3,621 | 258,945 | |||
BGF retail Co., Ltd. (a) | 940 | 137,775 | |||
BNK Financial Group, Inc. | 34,469 | 228,313 | |||
Celltrion Healthcare Co., Ltd. (a) | 6,681 | 306,190 | |||
Celltrion, Inc. (a)(b) | 10,888 | 1,704,119 | |||
Cheil Worldwide, Inc. | 8,082 | 168,077 | |||
CJ CheilJedang Corp. (a) | 1,023 | 223,362 | |||
CJ Corp. (a) | 1,927 | 160,965 | |||
CJ Corp. Preference Shares (a) | 253 | 15,839 | |||
CJ ENM Co., Ltd. | 1,368 | 188,796 | |||
CJ Logistics Corp. (a) | 1,140 | 152,795 | |||
Daelim Industrial Co., Ltd. | 3,456 | 270,455 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 25,312 | 103,748 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 4,419 | 106,420 | |||
DB Insurance Co., Ltd. | 6,060 | 274,061 | |||
Doosan Bobcat, Inc. (a) | 6,257 | 185,851 | |||
E-MART, Inc. (a) | 2,554 | 281,582 | |||
Fila Korea, Ltd. | 5,908 | 270,763 | |||
GS Engineering & Construction Corp. | 7,569 | 203,223 | |||
GS Holdings Corp. | 6,485 | 289,356 | |||
GS Retail Co., Ltd. | 3,214 | 109,083 | |||
Hana Financial Group, Inc. | 34,549 | 1,102,389 | |||
Hankook Tire & Technology Co., Ltd. | 9,159 | 265,714 | |||
Hanmi Pharm Co., Ltd. (a) | 802 | 205,623 | |||
Hanon Systems | 22,868 | 220,484 | |||
Hanwha Chemical Corp. (a) | 12,733 | 207,546 | |||
Hanwha Corp. | 5,038 | 108,911 | |||
Hanwha Life Insurance Co., Ltd. | 34,930 | 69,772 | |||
HDC Hyundai Development Co-Engineering & Construction (a) | 3,370 | 74,746 |
Security Description | Shares | Value | |||
Helixmith Co., Ltd. (a)(b) | 2,369 | $189,897 | |||
HLB, Inc. (a)(b) | 3,786 | 376,161 | |||
Hotel Shilla Co., Ltd. | 3,859 | 302,994 | |||
Hyundai Construction Equipment Co., Ltd. | 4 | 103 | |||
Hyundai Department Store Co., Ltd. (a) | 1,795 | 128,985 | |||
Hyundai Engineering & Construction Co., Ltd. (a) | 9,829 | 359,520 | |||
Hyundai Glovis Co., Ltd. | 2,379 | 294,174 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (a) | 1,225 | 358,035 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 7,982 | 186,013 | |||
Hyundai Mobis Co., Ltd. | 7,703 | 1,705,191 | |||
Hyundai Motor Co. | 17,278 | 1,800,336 | |||
Hyundai Motor Co. Preference Shares (f) | 4,501 | 309,031 | |||
Hyundai Motor Co. Preference Shares (f) | 2,966 | 183,892 | |||
Hyundai Steel Co. | 9,783 | 266,052 | |||
Industrial Bank of Korea | 32,587 | 332,506 | |||
Kakao Corp. (a) | 5,764 | 765,078 | |||
Kangwon Land, Inc. (a) | 14,360 | 367,552 | |||
KB Financial Group, Inc. | 45,879 | 1,890,384 | |||
KCC Corp. | 749 | 151,231 | |||
Kia Motors Corp. | 30,333 | 1,161,963 | |||
KMW Co., Ltd. (a) | 2,751 | 121,558 | |||
Korea Aerospace Industries, Ltd. (a) | 9,041 | 266,199 | |||
Korea Electric Power Corp. | 29,404 | 706,845 | |||
Korea Gas Corp. | 3,203 | 104,833 | |||
Korea Investment Holdings Co., Ltd. (a) | 5,047 | 315,969 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,875 | 533,259 | |||
Korea Zinc Co., Ltd. (a) | 1,035 | 380,367 | |||
Korean Air Lines Co., Ltd. (a) | 5,857 | 144,342 | |||
KT&G Corp. | 13,435 | 1,089,717 | |||
Kumho Petrochemical Co., Ltd. | 2,301 | 154,203 | |||
LG Chem, Ltd. | 5,291 | 1,452,629 | |||
LG Chem, Ltd. Preference Shares (a) | 922 | 137,927 | |||
LG Corp. (a) | 10,862 | 693,169 | |||
LG Display Co., Ltd. (a) | 28,251 | 396,972 | |||
LG Electronics, Inc. | 12,188 | 759,873 | |||
LG Household & Health Care, Ltd. (a) | 1,079 | 1,176,548 | |||
LG Household & Health Care, Ltd. Preference Shares | 263 | 175,341 | |||
LG Innotek Co., Ltd. | 1,822 | 220,572 | |||
LG Uplus Corp. (a) | 13,330 | 163,679 | |||
Lotte Chemical Corp. (a) | 2,107 | 408,118 | |||
Lotte Corp. | 3,364 | 113,302 | |||
Lotte Shopping Co., Ltd. (a)(b) | 1,454 | 170,364 | |||
Medy-Tox, Inc. | 571 | 148,570 | |||
Meritz Securities Co., Ltd. | 35,505 | 116,360 |
Security Description | Shares | Value | |||
Mirae Asset Daewoo Co., Ltd. (a) | 48,701 | $317,949 | |||
NAVER Corp. | 16,202 | 2,612,887 | |||
NCSoft Corp. (a) | 1,891 | 884,631 | |||
Netmarble Corp. (a)(c) | 3,142 | 251,045 | |||
NH Investment & Securities Co., Ltd. (a) | 16,570 | 181,970 | |||
OCI Co., Ltd. (a) | 2,194 | 118,764 | |||
Orange Life Insurance, Ltd. (c) | 3,722 | 90,600 | |||
Orion Corp/Republic of Korea (a) | 2,899 | 264,468 | |||
Ottogi Corp. (a) | 142 | 68,025 | |||
Pan Ocean Co., Ltd. (a) | 33,430 | 131,384 | |||
Pearl Abyss Corp. (a) | 814 | 130,358 | |||
POSCO | 9,061 | 1,853,021 | |||
POSCO Chemtech Co., Ltd. | 3,021 | 128,656 | |||
Posco International Corp. | 5,887 | 94,939 | |||
S-1 Corp. | 2,014 | 163,182 | |||
Samsung Biologics Co., Ltd. (a)(c) | 2,024 | 757,830 | |||
Samsung C&T Corp. | 9,799 | 919,358 | |||
Samsung Card Co., Ltd. | 3,365 | 112,317 | |||
Samsung Electro-Mechanics Co., Ltd. | 6,399 | 691,664 | |||
Samsung Electronics Co., Ltd. Preference Shares | 95,303 | 3,741,412 | |||
Samsung Electronics Co., Ltd. | 554,521 | 26,756,256 | |||
Samsung Engineering Co., Ltd. (a) | 19,505 | 323,832 | |||
Samsung Fire & Marine Insurance Co., Ltd. (a) | 3,527 | 742,639 | |||
Samsung Heavy Industries Co., Ltd. (a) | 53,830 | 338,401 | |||
Samsung Life Insurance Co., Ltd. | 7,969 | 513,373 | |||
Samsung SDI Co., Ltd. | 6,339 | 1,293,618 | |||
Samsung SDS Co., Ltd. | 3,985 | 670,226 | |||
Samsung Securities Co., Ltd. (a) | 7,444 | 248,466 | |||
Shinhan Financial Group Co., Ltd. (a) | 52,058 | 1,951,415 | |||
Shinsegae, Inc. | 883 | 220,664 | |||
SK Holdings Co., Ltd. | 4,043 | 915,964 | |||
SK Hynix, Inc. | 63,278 | 5,148,912 | |||
SK Innovation Co., Ltd. | 6,367 | 825,846 | |||
SK Telecom Co., Ltd. | 2,296 | 472,522 | |||
S-Oil Corp. | 5,525 | 455,301 | |||
Woongjin Coway Co., Ltd. | 6,271 | 504,847 | |||
Woori Financial Group, Inc. | 54,330 | 544,968 | |||
Yuhan Corp. | 1,105 | 225,978 | |||
85,368,231 | |||||
SPAIN — 0.0% (e) | |||||
AmRest Holdings SE (a) | 8,041 | 91,932 | |||
TAIWAN — 11.4% | |||||
Accton Technology Corp. | 58,000 | 325,049 | |||
Acer, Inc. | 356,000 | 211,983 | |||
Advantech Co., Ltd. | 42,098 | 424,112 | |||
Airtac International Group | 15,000 | 233,429 | |||
ASE Technology Holding Co., Ltd. | 398,307 | 1,105,486 | |||
Asia Cement Corp. | 273,000 | 436,680 |
Security Description | Shares | Value | |||
Asustek Computer, Inc. | 81,000 | $625,530 | |||
AU Optronics Corp. | 1,058,000 | 354,702 | |||
Catcher Technology Co., Ltd. | 75,000 | 567,935 | |||
Cathay Financial Holding Co., Ltd. | 898,087 | 1,274,764 | |||
Chailease Holding Co., Ltd. | 145,806 | 671,222 | |||
Chang Hwa Commercial Bank, Ltd. | 673,636 | 510,109 | |||
Cheng Shin Rubber Industry Co., Ltd. | 240,000 | 334,657 | |||
Chicony Electronics Co., Ltd. | 71,788 | 213,134 | |||
China Airlines, Ltd. | 333,000 | 100,643 | |||
China Development Financial Holding Corp. | 1,446,000 | 469,346 | |||
China Life Insurance Co., Ltd. (a) | 333,386 | 284,708 | |||
China Steel Corp. | 1,358,000 | 1,082,703 | |||
Chunghwa Telecom Co., Ltd. | 439,000 | 1,610,902 | |||
Compal Electronics, Inc. | 514,000 | 323,211 | |||
CTBC Financial Holding Co., Ltd. | 2,137,040 | 1,596,881 | |||
Delta Electronics, Inc. | 224,000 | 1,132,068 | |||
E.Sun Financial Holding Co., Ltd. | 1,203,240 | 1,119,872 | |||
Eclat Textile Co., Ltd. | 23,550 | 316,598 | |||
Eva Airways Corp. | 265,619 | 121,835 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 279,252 | 115,513 | |||
Far Eastern New Century Corp. | 392,000 | 390,339 | |||
Far EasTone Telecommunications Co., Ltd. | 200,000 | 481,035 | |||
Feng TAY Enterprise Co., Ltd. | 39,468 | 256,739 | |||
First Financial Holding Co., Ltd. | 1,144,941 | 905,197 | |||
Formosa Chemicals & Fibre Corp. | 405,000 | 1,182,156 | |||
Formosa Petrochemical Corp. | 155,000 | 504,136 | |||
Formosa Plastics Corp. | 514,000 | 1,711,219 | |||
Formosa Taffeta Co., Ltd. | 98,000 | 111,806 | |||
Foxconn Technology Co., Ltd. | 117,830 | 260,211 | |||
Fubon Financial Holding Co., Ltd. | 766,000 | 1,185,656 | |||
Giant Manufacturing Co., Ltd. | 38,000 | 270,007 | |||
Globalwafers Co., Ltd. | 27,000 | 344,514 | |||
Highwealth Construction Corp. | 94,000 | 145,185 | |||
Hiwin Technologies Corp. | 29,186 | 273,585 | |||
Hon Hai Precision Industry Co., Ltd. | 1,445,800 | 4,379,312 | |||
Hotai Motor Co., Ltd. | 34,000 | 774,661 | |||
Hua Nan Financial Holdings Co., Ltd. | 905,041 | 664,206 | |||
Innolux Corp. | 1,084,000 | 301,222 | |||
Inventec Corp. | 321,000 | 244,683 | |||
Largan Precision Co., Ltd. | 12,000 | 2,001,535 | |||
Lite-On Technology Corp. | 258,958 | 426,313 | |||
MediaTek, Inc. | 175,000 | 2,589,068 | |||
Mega Financial Holding Co., Ltd. | 1,254,000 | 1,280,061 | |||
Micro-Star International Co., Ltd. | 84,000 | 242,946 | |||
Nan Ya Plastics Corp. | 594,000 | 1,442,546 | |||
Nanya Technology Corp. | 150,000 | 417,320 | |||
Nien Made Enterprise Co., Ltd. | 20,000 | 184,808 | |||
Novatek Microelectronics Corp. | 71,000 | 518,698 | |||
Pegatron Corp. | 223,000 | 508,830 |
Security Description | Shares | Value | |||
Phison Electronics Corp. | 19,000 | $215,815 | |||
Pou Chen Corp. | 272,000 | 355,686 | |||
Powertech Technology, Inc. | 88,000 | 292,971 | |||
President Chain Store Corp. | 65,000 | 659,172 | |||
Quanta Computer, Inc. | 309,000 | 662,798 | |||
Realtek Semiconductor Corp. | 59,000 | 462,521 | |||
Ruentex Development Co., Ltd. (a) | 63,840 | 96,259 | |||
Ruentex Industries, Ltd. (a) | 42,600 | 104,450 | |||
Shanghai Commercial & Savings Bank, Ltd. | 380,736 | 660,449 | |||
Shin Kong Financial Holding Co., Ltd. | 1,339,180 | 462,372 | |||
SinoPac Financial Holdings Co., Ltd. | 1,219,457 | 528,837 | |||
Standard Foods Corp. | 48,512 | 112,634 | |||
Synnex Technology International Corp. | 170,700 | 213,539 | |||
Taishin Financial Holding Co., Ltd. | 1,092,408 | 528,402 | |||
Taiwan Business Bank | 678,558 | 285,213 | |||
Taiwan Cement Corp. | 563,740 | 821,811 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,037,774 | 718,344 | |||
Taiwan High Speed Rail Corp. | 250,000 | 320,246 | |||
Taiwan Mobile Co., Ltd. | 187,000 | 698,669 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,860,000 | 31,579,544 | |||
Tatung Co., Ltd. (a) | 226,000 | 158,321 | |||
Uni-President Enterprises Corp. | 557,000 | 1,378,704 | |||
United Microelectronics Corp. | 1,273,000 | 698,564 | |||
Vanguard International Semiconductor Corp. | 110,000 | 290,990 | |||
Walsin Technology Corp. | 39,000 | 310,938 | |||
Win Semiconductors Corp. | 38,000 | 372,686 | |||
Winbond Electronics Corp. | 358,000 | 233,476 | |||
Wistron Corp. | 352,101 | 332,991 | |||
Wiwynn Corp. | 9,000 | 190,646 | |||
WPG Holdings, Ltd. | 191,880 | 250,275 | |||
Yageo Corp. | 32,556 | 474,596 | |||
Yuanta Financial Holding Co., Ltd. | 1,138,000 | 766,841 | |||
Zhen Ding Technology Holding, Ltd. | 67,000 | 319,612 | |||
85,119,438 | |||||
THAILAND — 2.5% | |||||
Advanced Info Service PCL | 136,800 | 972,780 | |||
Airports of Thailand PCL | 494,000 | 1,224,538 | |||
B Grimm Power PCL | 85,100 | 149,155 | |||
Bangkok Bank PCL | 12,400 | 66,028 | |||
Bangkok Bank PCL NVDR | 47,800 | 255,327 | |||
Bangkok Dusit Medical Services PCL Class F | 1,080,800 | 938,140 | |||
Bangkok Expressway & Metro PCL | 924,999 | 336,602 | |||
Banpu PCL (b) | 518,400 | 205,950 |
Security Description | Shares | Value | |||
Berli Jucker PCL | 149,600 | $209,763 | |||
BTS Group Holdings PCL | 795,184 | 350,421 | |||
Bumrungrad Hospital PCL | 51,700 | 253,721 | |||
Central Pattana PCL | 255,800 | 531,605 | |||
Charoen Pokphand Foods PCL | 469,100 | 430,672 | |||
CP ALL PCL | 674,200 | 1,626,205 | |||
Electricity Generating PCL | 36,300 | 397,493 | |||
Energy Absolute PCL (b) | 209,600 | 306,139 | |||
Global Power Synergy PCL Class F | 78,400 | 224,439 | |||
Gulf Energy Development PCL | 66,900 | 370,752 | |||
Home Product Center PCL | 745,000 | 397,947 | |||
Indorama Ventures PCL | 216,400 | 252,856 | |||
Intouch Holdings PCL Class F | 255,800 | 488,905 | |||
IRPC PCL | 1,451,700 | 178,350 | |||
Kasikornbank PCL | 235,200 | 1,181,742 | |||
Krung Thai Bank PCL | 446,900 | 244,683 | |||
Land & Houses PCL | 1,050,253 | 343,612 | |||
Minor International PCL | 348,600 | 418,966 | |||
Muangthai Capital PCL | 74,900 | 159,408 | |||
Osotspa PCL | 79,900 | 108,032 | |||
PTT Exploration & Production PCL | 158,800 | 660,038 | |||
PTT Global Chemical PCL | 276,400 | 525,971 | |||
PTT PCL | 1,320,000 | 1,938,989 | |||
Ratch Group PCL | 85,200 | 195,551 | |||
Robinson PCL | 64,900 | 143,000 | |||
Siam Cement PCL | 89,779 | 1,174,924 | |||
Siam Commercial Bank PCL | 106,800 | 434,991 | |||
Srisawad Corp. PCL | 79,900 | 182,720 | |||
Thai Oil PCL | 138,400 | 322,277 | |||
Thai Union Group PCL Class F | 394,200 | 177,664 | |||
TMB Bank PCL | 2,025,518 | 113,604 | |||
Total Access Communication PCL | 83,100 | 147,730 | |||
True Corp. PCL (b) | 1,492,537 | 229,209 | |||
18,870,899 | |||||
TURKEY — 0.5% | |||||
Akbank T.A.S. (a) | 355,363 | 484,287 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 25,464 | 98,758 | |||
Arcelik A/S (a) | 23,873 | 83,602 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 40,275 | 141,717 | |||
BIM Birlesik Magazalar A/S | 53,121 | 416,506 | |||
Eregli Demir ve Celik Fabrikalari TAS | 174,073 | 264,429 | |||
Ford Otomotiv Sanayi A/S | 8,854 | 105,412 | |||
Haci Omer Sabanci Holding A/S | 117,588 | 188,504 | |||
KOC Holding A/S | 95,641 | 326,571 | |||
TAV Havalimanlari Holding A/S | 21,391 | 104,888 | |||
Tupras Turkiye Petrol Rafinerileri A/S | 15,777 | 336,166 | |||
Turk Hava Yollari AO (a) | 65,005 | 157,952 | |||
Turkcell Iletisim Hizmetleri A/S | 138,361 | 320,851 | |||
Turkiye Garanti Bankasi A/S (a) | 283,550 | 530,793 |
Security Description | Shares | Value | |||
Turkiye Is Bankasi A/S Class C (a) | 202,605 | $218,232 | |||
3,778,668 | |||||
UNITED ARAB EMIRATES — 0.6% | |||||
Abu Dhabi Commercial Bank PJSC | 318,366 | 686,457 | |||
Aldar Properties PJSC | 475,067 | 279,364 | |||
DP World PLC | 20,095 | 263,244 | |||
Dubai Islamic Bank PJSC | 205,183 | 307,790 | |||
Emaar Malls PJSC | 305,084 | 151,996 | |||
Emaar Properties PJSC | 428,953 | 469,458 | |||
Emirates Telecommunications Group Co. PJSC | 199,788 | 889,844 | |||
First Abu Dhabi Bank PJSC | 314,670 | 1,298,721 | |||
4,346,874 | |||||
UNITED STATES — 0.0% (e) | |||||
Titan Cement International SA (a) | 5,183 | 110,308 | |||
TOTAL COMMON STOCKS (Cost $558,534,268) | 713,821,503 |
RIGHTS — 0.0% (e) | |||
BRAZIL — 0.0% (e) | |||
Lojas Americanas SA (expiring 1/8/20) (a) | 896 | 2,094 | |
CHINA — 0.0% (e) | |||
Legend Holdings Corp. (expiring 5/19/23) (a) (d) | 3,446 | — | |
INDIA — 0.0% (e) | |||
Piramal Enterprises, Ltd. (expiring 1/20/20) (a) | 1,512 | 4,735 | |
TOTAL RIGHTS (Cost $0) | 6,829 | ||
WARRANTS — 1.8% | |||
SWITZERLAND — 1.8% | |||
UBS AG (expiring 11/26/20) (a) | 3,600 | 3,730,385 | |
UBS AG (expiring 5/28/20) (a) | 2,190 | 2,269,398 | |
UBS AG (expiring 5/29/20) (a) | 2,012 | 2,084,945 | |
UBS AG (expiring 8/31/20) (a) | 5,200 | 5,388,370 | |
13,473,098 | |||
THAILAND — 0.0% (e) | |||
BTS Group Holdings PCL (expiring 12/16/20) (a) | 79,518 | — | |
Minor International PCL (expiring 9/30/21) (a) | 13,725 | 1,476 | |
1,476 | |||
TOTAL WARRANTS (Cost $12,202,089) | 13,474,574 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (g) (h) | 13,395,448 | $13,396,788 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 4,915,751 | 4,915,751 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,312,389) | 18,312,539 | |||||
TOTAL INVESTMENTS — 100.3% (Cost $589,048,746) | 745,615,445 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)% | (1,903,419) | |||||
NET ASSETS — 100.0% | $743,712,026 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.1% of net assets as of December 31, 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 December 31, 2019, total aggregate fair value of the security is $3,234, representing less than 0.05% of the Fund's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non Voting Depositary Receipt |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets (long) | 333 | 03/20/2020 | $17,849,359 | $18,651,330 | $801,971 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $696,438,974 | $17,379,295 | $3,234 | $713,821,503 | ||||
Rights | 2,094 | 4,735 | — | 6,829 | ||||
Warrants | 13,474,574 | — | — | 13,474,574 | ||||
Short-Term Investments | 18,312,539 | — | — | 18,312,539 | ||||
TOTAL INVESTMENTS | $728,228,181 | $17,384,030 | $3,234 | $745,615,445 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 801,971 | — | — | 801,971 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $801,971 | $— | $— | $801,971 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $729,030,152 | $17,384,030 | $3,234 | $746,417,416 |
(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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $117,414,812 | $104,017,340 | $(834) | $150 | 13,395,448 | $13,396,788 | $161,218 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 9,025,892 | 9,025,892 | 115,890,449 | 124,916,341 | — | — | — | — | 298,388 | ||||||||
State Street Navigator Securities Lending Portfolio II | 5,297,343 | 5,297,343 | 51,528,389 | 51,909,981 | — | — | 4,915,751 | 4,915,751 | 112,792 | ||||||||
Total | $14,323,235 | $284,833,650 | $280,843,662 | $(834) | $150 | $18,312,539 | $572,398 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $727,302,906 |
Investments in affiliated issuers, at value | 18,312,539 |
Total Investments | 745,615,445 |
Foreign currency, at value | 1,216,363 |
Net cash at broker | 114,643 |
Cash | 50 |
Receivable from broker — accumulated variation margin on open futures contracts | 802,795 |
Receivable for investments sold | 139,680 |
Receivable for fund shares sold | 101,931 |
Dividends receivable — unaffiliated issuers | 1,768,671 |
Dividends receivable — affiliated issuers | 17,996 |
Securities lending income receivable — unaffiliated issuers | 12,963 |
Securities lending income receivable — affiliated issuers | 12,623 |
Receivable from Adviser | 186,273 |
Receivable for foreign taxes recoverable | 11,666 |
Prepaid expenses and other assets | 1,769 |
TOTAL ASSETS | 750,002,868 |
LIABILITIES | |
Payable upon return of securities loaned | 4,915,751 |
Payable for fund shares repurchased | 520,787 |
Deferred foreign taxes payable | 572,218 |
Advisory fee payable | 86,301 |
Custodian fees payable | 18,085 |
Administration fees payable | 30,822 |
Trustees’ fees and expenses payable | 143 |
Transfer agent fees payable | 1,221 |
Registration and filing fees payable | 13,694 |
Professional fees payable | 9,603 |
Printing and postage fees payable | 8,535 |
Accrued expenses and other liabilities | 113,682 |
TOTAL LIABILITIES | 6,290,842 |
NET ASSETS | $743,712,026 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $609,867,933 |
Total distributable earnings (loss)** | 133,844,093 |
NET ASSETS | $743,712,026 |
Class K | |
Net Assets | $743,712,026 |
Shares Outstanding | 54,113,619 |
Net asset value, offering and redemption price per share | $13.74 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $570,736,357 |
Investments in affiliated issuers | 18,312,389 |
Total cost of investments | $589,048,746 |
Foreign currency, at cost | $1,197,222 |
* Includes investments in securities on loan, at value | $17,619,769 |
** Includes deferred foreign taxes | $572,218 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $489,105 |
Dividend income — unaffiliated issuers | 23,287,125 |
Dividend income — affiliated issuers | 459,606 |
Unaffiliated securities lending income | 120,316 |
Affiliated securities lending income | 112,792 |
Foreign taxes withheld | (2,428,107) |
Other income | 433 |
TOTAL INVESTMENT INCOME (LOSS) | 22,041,270 |
EXPENSES | |
Advisory fee | 943,408 |
Administration fees | 336,931 |
Custodian fees | 534,877 |
Trustees’ fees and expenses | 30,408 |
Transfer agent fees | 9,399 |
Registration and filing fees | 52,832 |
Professional fees | 62,692 |
Printing and postage fees | 27,524 |
Insurance expense | 3,486 |
Miscellaneous expenses | 247,230 |
TOTAL EXPENSES | 2,248,787 |
Expenses waived/reimbursed by the Adviser | (1,099,736) |
NET EXPENSES | 1,149,051 |
NET INVESTMENT INCOME (LOSS) | $20,892,219 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (15,975,008) |
Investments — affiliated issuers | (834) |
Foreign currency transactions | (359,821) |
Futures contracts | 354,489 |
Net realized gain (loss) | (15,981,174) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | 104,658,679 |
Investments — affiliated issuers | 150 |
Foreign currency translations | 9,361 |
Futures contracts | 1,153,871 |
Net change in unrealized appreciation/depreciation | 105,822,061 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 89,840,887 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $110,733,106 |
** Includes foreign deferred taxes | $(113,519) |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $20,892,219 | $14,391,895 | |
Net realized gain (loss) | (15,981,174) | (3,634,282) | |
Net change in unrealized appreciation/depreciation | 105,822,061 | (106,456,557) | |
Net increase (decrease) in net assets resulting from operations | 110,733,106 | (95,698,944) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (20,604,294) | (16,909,652) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 207,852,420 | 272,145,135 | |
Reinvestment of distributions | 20,544,136 | 16,751,324 | |
Cost of shares redeemed | (155,243,629) | (203,804,151) | |
Net increase (decrease) in net assets from beneficial interest transactions | 73,152,927 | 85,092,308 | |
Net increase (decrease) in net assets during the period | 163,281,739 | (27,516,288) | |
Net assets at beginning of period | 580,430,287 | 607,946,575 | |
NET ASSETS AT END OF PERIOD | $743,712,026 | $580,430,287 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 16,016,865 | 19,942,284 | |
Reinvestment of distributions | 1,489,785 | 1,413,614 | |
Shares redeemed | (11,923,312) | (14,873,414) | |
Net increase (decrease) from share transactions | 5,583,338 | 6,482,484 |
Class K | |||||||||
Year Ended 12/31/19 | 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) | 0.40 | 0.32 | 0.29 | 0.21 | 0.02 | ||||
Net realized and unrealized gain (loss) | 1.77 | (2.46) | 3.72 | 0.87 | (0.01) | ||||
Total from investment operations | 2.17 | (2.14) | 4.01 | 1.08 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.39) | (0.27) | (0.30) | (0.22) | (0.02) | ||||
Net realized gains | — | (0.09) | (0.07) | (0.03) | — | ||||
Total distributions | (0.39) | (0.36) | (0.37) | (0.25) | (0.02) | ||||
Net asset value, end of period | $13.74 | $11.96 | $14.46 | $10.82 | $9.99 | ||||
Total return (b) | 18.13% | (14.77)% | 37.19% | 10.81% | 0.14% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $743,712 | $580,430 | $607,947 | $374,808 | $165,807 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.33% | 0.33% | 0.34% | 0.56% | 0.83%(c) | ||||
Net expenses | 0.17% | 0.17% | 0.17% | 0.18% | 0.17%(c) | ||||
Net investment income (loss) | 3.10% | 2.36% | 2.23% | 1.98% | 8.03%(c) | ||||
Portfolio turnover rate | 13% | 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) | Amount shown represents less than 0.5%. |
(e) | Not annualized. |
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 | $— | $— | $— | $802,795 | $— | $802,795 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $354,489 | $— | $354,489 |
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 | $— | $— | $— | $1,153,871 | $— | $1,153,871 |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $148,832,165 | $84,580,073 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $20,604,294 | $— | $20,604,294 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $ 12,854,485 | $ 4,055,167 | $ 16,909,652 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Emerging Markets Equity Index Fund | $1,441,312 | $(14,375,848) | $— | $146,778,629 | $133,844,093 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Emerging Markets Equity Index Fund | $3,672,926 | $10,702,922 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $599,093,959 | $183,136,507 | $36,385,267 | $146,751,240 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 17,619,769 | $ 4,915,751 | $ 13,781,092 | $ 18,696,843 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $4,915,751 | $— | $— | $— | $4,915,751 | $4,915,751 |
February 27, 2020
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% | $1,069.50 | $0.89 | $1,024.30 | $0.87 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Emerging Markets Equity Index Fund | $2,243,353 |
Amount | |
State Street Emerging Markets Equity Index Fund | $22,844,302 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 | |
4 | |
6 | |
7 | |
8 | |
9 | |
10 | |
16 | |
17 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street International Value Spotlight Fund Class K | 20.39% | 9.99% | ||
MSCI ACWI ex USA Index(1) | 21.51% | 9.40% | ||
* | Inception date is July 13, 2016. |
(1) | The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries, excluding the US., and 23 Emerging Markets countries. The index covers approximately 85% of the global equity opportunity set outside the U.S. Index returns are net of dividend withholding taxes. |
% of Net Assets | |||
Common Stocks | 98.4% | ||
Short-Term Investment | 0.6 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Financials | 27.2% | ||
Industrials | 20.8 | ||
Health Care | 10.0 | ||
Information Technology | 9.3 | ||
Consumer Discretionary | 8.7 | ||
Materials | 8.1 | ||
Energy | 6.0 | ||
Consumer Staples | 5.5 | ||
Communication Services | 2.8 | ||
Short-Term Investment | 0.6 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.4% | |||||
AUSTRALIA — 3.2% | |||||
Woodside Petroleum, Ltd. | 2,481 | $59,959 | |||
CHINA — 11.0% | |||||
China Construction Bank Corp. Class H | 59,000 | 50,960 | |||
CITIC Securities Co., Ltd. Class H | 27,000 | 61,611 | |||
Dali Foods Group Co., Ltd. (a) | 72,000 | 53,318 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 12,300 | 44,516 | |||
210,405 | |||||
FRANCE — 13.2% | |||||
BNP Paribas SA | 1,076 | 63,808 | |||
Nexans SA | 1,252 | 61,119 | |||
Sanofi | 621 | 62,472 | |||
Societe Generale SA | 1,838 | 63,989 | |||
251,388 | |||||
GERMANY — 8.6% | |||||
Bayerische Motoren Werke AG | 714 | 58,619 | |||
Continental AG | 436 | 56,410 | |||
HeidelbergCement AG | 678 | 49,438 | |||
164,467 | |||||
HONG KONG — 5.5% | |||||
Shanghai Industrial Holdings, Ltd. | 28,000 | 53,903 | |||
WH Group, Ltd. (a) | 49,500 | 51,140 | |||
105,043 | |||||
HUNGARY — 3.4% | |||||
Richter Gedeon Nyrt | 2,989 | 65,082 | |||
JAPAN — 18.1% | |||||
Hitachi High-Technologies Corp. | 900 | 64,099 | |||
KDDI Corp. | 1,800 | 53,880 | |||
Ono Pharmaceutical Co., Ltd. | 2,700 | 62,162 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,500 | 55,735 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 1,400 | 55,871 | |||
Zeon Corp. | 4,300 | 54,049 | |||
345,796 | |||||
NETHERLANDS — 3.3% | |||||
Boskalis Westminster | 2,439 | 62,421 | |||
SOUTH KOREA — 8.8% | |||||
Hyundai Motor Co. | 496 | 51,682 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,477 | 57,984 | |||
Samsung Fire & Marine Insurance Co., Ltd. (b) | 275 | 57,904 | |||
167,570 |
Security Description | Shares | Value | |||
SPAIN — 5.8% | |||||
Banco Bilbao Vizcaya Argentaria SA | 9,054 | $50,643 | |||
Siemens Gamesa Renewable Energy SA | 3,389 | 59,478 | |||
110,121 | |||||
SWITZERLAND — 6.1% | |||||
ABB, Ltd. | 2,349 | 56,691 | |||
Credit Suisse Group AG | 4,401 | 59,560 | |||
116,251 | |||||
TAIWAN — 2.8% | |||||
Catcher Technology Co., Ltd. | 7,000 | 53,007 | |||
UNITED KINGDOM — 5.9% | |||||
easyJet PLC | 3,143 | 59,312 | |||
TechnipFMC PLC | 2,461 | 52,238 | |||
111,550 | |||||
UNITED STATES — 2.7% | |||||
Newmont Goldcorp Corp. | 1,198 | 52,142 | |||
TOTAL COMMON STOCKS (Cost $1,725,805) | 1,875,202 |
SHORT-TERM INVESTMENT — 0.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c) (d) (Cost $11,937) | 11,937 | 11,937 | |
TOTAL INVESTMENTS — 99.0% (Cost $1,737,742) | 1,887,139 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 19,941 | ||
NET ASSETS — 100.0% | $1,907,080 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.5% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,875,202 | $— | $— | $1,875,202 | ||||
Short-Term Investment | 11,937 | — | — | 11,937 | ||||
TOTAL INVESTMENTS | $1,887,139 | $— | $— | $1,887,139 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $465,858 | $453,921 | $— | $— | 11,937 | $11,937 | $1,558 |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,875,202 |
Investments in affiliated issuers, at value | 11,937 |
Total Investments | 1,887,139 |
Foreign currency, at value | 17,444 |
Dividends receivable — unaffiliated issuers | 3,085 |
Dividends receivable — affiliated issuers | 128 |
Receivable from Adviser | 22,299 |
Receivable for foreign taxes recoverable | 3,287 |
Prepaid expenses and other assets | 5 |
TOTAL ASSETS | 1,933,387 |
LIABILITIES | |
Advisory fee payable | 1,201 |
Custodian fees payable | 4,325 |
Administration fees payable | 80 |
Transfer agent fees payable | 12 |
Registration and filing fees payable | 160 |
Professional fees payable | 9,603 |
Printing and postage fees payable | 6,537 |
Accrued expenses and other liabilities | 4,389 |
TOTAL LIABILITIES | 26,307 |
NET ASSETS | $1,907,080 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,999,662 |
Total distributable earnings (loss) | (92,582) |
NET ASSETS | $1,907,080 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $1,907,080 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $9.54 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,725,805 |
Investments in affiliated issuers | 11,937 |
Total cost of investments | $1,737,742 |
Foreign currency, at cost | $17,297 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $51,117 |
Dividend income — affiliated issuers | 1,558 |
Dividend income — non-cash transactions | 3,581 |
Foreign taxes withheld | (6,749) |
TOTAL INVESTMENT INCOME (LOSS) | 49,507 |
EXPENSES | |
Advisory fee | 13,095 |
Administration fees | 873 |
Custodian fees | 55,720 |
Trustees’ fees and expenses | 18,037 |
Transfer agent fees | 512 |
Registration and filing fees | 28,469 |
Professional fees | 75,836 |
Printing and postage fees | 17,285 |
Insurance expense | 11 |
Miscellaneous expenses | 12,527 |
TOTAL EXPENSES | 222,365 |
Expenses waived/reimbursed by the Adviser | (209,270) |
NET EXPENSES | 13,095 |
NET INVESTMENT INCOME (LOSS) | $36,412 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (87,359) |
Foreign currency transactions | 131 |
Net realized gain (loss) | (87,228) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 378,700 |
Foreign currency translations | (246) |
Net change in unrealized appreciation/depreciation | 378,454 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 291,226 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $327,638 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $36,412 | $42,474 | |
Net realized gain (loss) | (87,228) | 143,121 | |
Net change in unrealized appreciation/depreciation | 378,454 | (675,620) | |
Net increase (decrease) in net assets resulting from operations | 327,638 | (490,025) | |
Distributions to shareholders | (37,400) | (405,520) | |
Net increase (decrease) in net assets during the period | 290,238 | (895,545) | |
Net assets at beginning of period | 1,616,842 | 2,512,387 | |
NET ASSETS AT END OF PERIOD | $1,907,080 | $1,616,842 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | — | |
Shares redeemed | — | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 07/14/16* - 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) | 0.18 | 0.21 | 0.24 | 0.02 | |||
Net realized and unrealized gain (loss) | 1.47 | (2.66) | 2.56 | 1.44 | |||
Total from investment operations | 1.65 | (2.45) | 2.80 | 1.46 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.19) | (0.22) | (0.24) | (0.02) | |||
Net realized gains | — | (1.81) | (1.25) | (0.19) | |||
Total distributions | (0.19) | (2.03) | (1.49) | (0.21) | |||
Net asset value, end of period | $9.54 | $8.08 | $12.56 | $11.25 | |||
Total return (b) | 20.39% | (19.32)% | 25.03% | 14.57% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $1,907 | $1,617 | $2,512 | $2,250 | |||
Ratios to average net assets: | |||||||
Total expenses | 12.74% | 7.58% | 7.26% | 7.76%(c) | |||
Net expenses | 0.75% | 0.75% | 0.75% | 0.75%(c) | |||
Net investment income (loss) | 2.09% | 1.76% | 1.86% | 0.44%(c) | |||
Portfolio turnover rate | 35% | 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 | $586,363 | $626,396 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $37,400 | $— | $37,400 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $ 99,951 | $ 305,569 | $ 405,520 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street International Value Spotlight Fund | $— | $(232,516) | $— | $139,934 | $(92,582) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street International Value Spotlight Fund | $145,276 | $87,240 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,747,400 | $218,798 | $79,059 | $139,739 |
February 27, 2020
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% | $1,105.40 | $3.98 | $1,021.40 | $3.82 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street International Value Spotlight Fund | $6,749 |
Amount | |
State Street International Value Spotlight Fund | $54,115 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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33 | |
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41 | |
Schedules of Investments | |
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108 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement Fund Class I | 13.98% | 4.88% | 4.78% | ||
State Street Target Retirement Fund Class K | 14.00% | 4.85% | 4.76% | ||
Bloomberg Barclays U.S. Aggregate Index(b) | 8.72% | 3.05% | 3.25% | ||
State Street Target Retirement Composite Index | 14.03% | 4.95% | 4.95% | ||
* | Inception date is September 30, 2014. |
(b) | The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) |
% of Net Assets | |||
Domestic Fixed Income | 46.8% | ||
Domestic Equity | 19.9 | ||
Inflation Linked | 18.0 | ||
International Equity | 10.1 | ||
Real Estate | 5.0 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2015 Fund Class I | 14.59% | 5.30% | 5.21% | ||
State Street Target Retirement 2015 Fund Class K | 14.49% | 5.29% | 5.21% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2015 Composite Index | 14.51% | 5.35% | 5.38% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Fixed Income | 46.9% | ||
Domestic Equity | 20.0 | ||
Inflation Linked | 18.1 | ||
International Equity | 10.1 | ||
Real Estate | 5.1 | ||
Short Term Investments | 1.4 | ||
Liabilities in Excess of Other Assets | (1.6) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2020 Fund Class I | 17.53% | 6.17% | 6.21% | ||
State Street Target Retirement 2020 Fund Class K | 17.55% | 6.20% | 6.23% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2020 Composite Index | 17.65% | 6.32% | 6.41% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Fixed Income | 34.4% | ||
Domestic Equity | 27.5 | ||
Inflation Linked | 18.1 | ||
International Equity | 15.1 | ||
Real Estate | 5.0 | ||
Short Term Investments | 0.8 | ||
Liabilities in Excess of Other Assets | (0.9) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2025 Fund Class I | 20.76% | 7.11% | 7.16% | ||
State Street Target Retirement 2025 Fund Class K | 20.63% | 7.13% | 7.18% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2025 Composite Index | 20.74% | 7.25% | 7.36% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 36.4% | ||
Domestic Fixed Income | 29.9 | ||
International Equity | 21.4 | ||
Inflation Linked | 10.1 | ||
Real Estate | 2.5 | ||
Short Term Investments | 0.8 | ||
Liabilities in Excess of Other Assets | (1.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2030 Fund Class I | 22.55% | 7.60% | 7.66% | ||
State Street Target Retirement 2030 Fund Class K | 22.52% | 7.63% | 7.70% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2030 Composite Index | 22.60% | 7.73% | 7.83% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 43.4% | ||
Domestic Fixed Income | 27.4 | ||
International Equity | 26.5 | ||
Inflation Linked | 2.9 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2035 Fund Class I | 23.62% | 7.93% | 7.98% | ||
State Street Target Retirement 2035 Fund Class K | 23.61% | 7.99% | 8.04% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2035 Composite Index | 23.77% | 8.05% | 8.15% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 47.9% | ||
International Equity | 29.5 | ||
Domestic Fixed Income | 21.9 | ||
Inflation Linked | 0.8 | ||
Short Term Investments | 0.8 | ||
Liabilities in Excess of Other Assets | (0.9) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2040 Fund Class I | 24.64% | 8.18% | 8.22% | ||
State Street Target Retirement 2040 Fund Class K | 24.66% | 8.18% | 8.24% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2040 Composite Index | 24.74% | 8.30% | 8.39% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 51.5% | ||
International Equity | 31.9 | ||
Domestic Fixed Income | 16.7 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2045 Fund Class I | 25.45% | 8.39% | 8.42% | ||
State Street Target Retirement 2045 Fund Class K | 25.49% | 8.40% | 8.44% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2045 Composite Index | 25.62% | 8.51% | 8.60% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 54.5% | ||
International Equity | 33.9 | ||
Domestic Fixed Income | 11.8 | ||
Short Term Investments | 0.8 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2050 Fund Class I | 25.76% | 8.33% | 8.36% | ||
State Street Target Retirement 2050 Fund Class K | 25.81% | 8.35% | 8.38% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2050 Composite Index | 25.85% | 8.53% | 8.61% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 55.8% | ||
International Equity | 34.8 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 1.0 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2055 Fund Class I | 25.65% | 8.41% | 8.43% | ||
State Street Target Retirement 2055 Fund Class K | 25.70% | 8.38% | 8.41% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2055 Composite Index | 25.85% | 8.53% | 8.61% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 55.8% | ||
International Equity | 34.8 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 1.2 | ||
Liabilities in Excess of Other Assets | (1.5) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Average Annual Total Return Five Years Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Target Retirement 2060 Fund Class I | 25.86% | 8.35% | 8.37% | ||
State Street Target Retirement 2060 Fund Class K | 25.87% | 8.35% | 8.38% | ||
S&P 500 Index(b) | 31.49% | 11.70% | 12.13% | ||
State Street Target Retirement 2060 Composite Index | 25.85% | 8.53% | 8.61% | ||
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Domestic Equity | 55.3% | ||
International Equity | 34.5 | ||
Domestic Fixed Income | 9.6 | ||
Short Term Investments | 0.9 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 19.9% | ||||||
State Street Equity 500 Index II Portfolio | 2,433,925 | $36,776,602 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 544,010 | 6,925,254 | ||||
43,701,856 | ||||||
DOMESTIC FIXED INCOME — 46.8% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 140,001 | 15,335,709 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 284,632 | 8,778,051 | ||||
SPDR Portfolio Short Term Treasury ETF | 1,156,208 | 34,639,992 | ||||
State Street Aggregate Bond Index Portfolio | 4,270,245 | 43,770,015 | ||||
102,523,767 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,011,577 | 39,447,025 | ||||
INTERNATIONAL EQUITY — 10.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,074,612 | 22,115,361 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF | 213,856 | 11,017,861 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $209,578,619) | 218,805,870 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b)(c) (Cost $885,816) | 885,816 | $885,816 | ||||
TOTAL INVESTMENTS—100.2% (Cost $210,464,435) | 219,691,686 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)% | (547,128) | |||||
NET ASSETS—100.0% | $219,144,558 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $218,805,870 | $— | $— | $218,805,870 | ||||
Short-Term Investment | 885,816 | — | — | 885,816 | ||||
TOTAL INVESTMENTS | $219,691,686 | $— | $— | $219,691,686 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 1,874,241 | $35,366,928 | $9,444,814 | $6,836,294 | $49,463 | $1,422,114 | 2,011,577 | $39,447,025 | $1,041,008 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 408,730 | 13,729,241 | 6,299,754 | 5,920,880 | (209,293) | 1,436,887 | 140,001 | 15,335,709 | 872,759 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 222,345 | 9,840,990 | 2,891,055 | 3,340,743 | 78,079 | 1,548,480 | 213,856 | 11,017,861 | 465,047 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 260,343 | 7,846,738 | 2,431,610 | 1,693,999 | 10,703 | 182,999 | 284,632 | 8,778,051 | 249,600 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 1,046,385 | 30,952,068 | 11,957,341 | 8,695,879 | 2,506 | 423,956 | 1,156,208 | 34,639,992 | 781,872 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 4,053,942 | 39,363,780 | 10,572,632 | 8,529,215 | 159,008 | 2,203,810 | 4,270,245 | 43,770,015 | 1,313,547 | — | |||||||||
State Street Equity 500 Index II Portfolio | 2,948,627 | 34,705,348 | 7,295,456 | 14,599,304 | 848,030 | 8,527,072 | 2,433,925 | 36,776,602 | 783,607 | 204,298 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,272,730 | 20,500,023 | 5,448,052 | 7,572,000 | (354,846) | 4,094,132 | 2,074,612 | 22,115,361 | 745,055 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 689,450 | 689,450 | 52,637,412 | 52,441,046 | — | — | 885,816 | 885,816 | 13,332 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 15,212,002 | 15,212,002 | 280,609,773 | 295,821,775 | — | — | — | — | 83,546 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 638,270 | 6,580,561 | 1,574,820 | 2,715,000 | 6,202 | 1,478,671 | 544,010 | 6,925,254 | 136,956 | 147,863 | |||||||||
Total | $214,787,129 | $391,162,719 | $408,166,135 | $589,852 | $21,318,121 | $219,691,686 | $6,486,329 | $352,161 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.2% (a) | ||||||
DOMESTIC EQUITY — 20.0% | ||||||
State Street Equity 500 Index II Portfolio | 2,495,773 | $37,711,125 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 556,669 | 7,086,396 | ||||
44,797,521 | ||||||
DOMESTIC FIXED INCOME — 46.9% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 143,847 | 15,757,001 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 292,392 | 9,017,369 | ||||
SPDR Portfolio Short Term Treasury ETF | 1,187,899 | 35,589,454 | ||||
State Street Aggregate Bond Index Portfolio | 4,381,859 | 44,914,058 | ||||
105,277,882 | ||||||
INFLATION LINKED — 18.1% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 2,064,829 | 40,491,297 | ||||
INTERNATIONAL EQUITY — 10.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,127,274 | 22,676,742 | ||||
REAL ESTATE — 5.1% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 219,729 | 11,320,438 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $214,188,842) | 224,563,880 | |||||
SHORT-TERM INVESTMENTS — 1.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 872,659 | 872,659 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 2,331,375 | $2,331,375 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,204,033) | $3,204,034 | ||||
TOTAL INVESTMENTS—101.6% (Cost $217,392,875) | 227,767,914 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.6)% | (3,525,093) | ||||
NET ASSETS—100.0% | $224,242,821 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $224,563,880 | $— | $— | $224,563,880 | ||||
Short-Term Investments | 3,204,034 | — | — | 3,204,034 | ||||
TOTAL INVESTMENTS | $227,767,914 | $— | $— | $227,767,914 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,595,101 | $48,969,556 | $7,231,331 | $17,669,595 | $(39,842) | $1,999,847 | 2,064,829 | $40,491,297 | $1,321,084 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 522,395 | 17,547,248 | 5,353,877 | 8,689,426 | (157,396) | 1,702,698 | 143,847 | 15,757,001 | 1,062,648 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 283,875 | 12,564,308 | 2,320,187 | 5,641,261 | 269,939 | 1,807,265 | 219,729 | 11,320,438 | 553,156 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 249,519 | 7,520,503 | 3,577,358 | 2,269,301 | 18,883 | 169,926 | 292,392 | 9,017,369 | 260,707 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 999,092 | 29,553,141 | 16,530,275 | 10,898,294 | (73,733) | 478,065 | 1,187,899 | 35,589,454 | 812,428 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 5,441,118 | 52,833,258 | 8,557,204 | 19,548,261 | 439,462 | 2,632,395 | 4,381,859 | 44,914,058 | 1,638,654 | — | |||||||||
State Street Equity 500 Index II Portfolio | 4,104,579 | 48,310,895 | 4,992,342 | 27,958,231 | 3,027,697 | 9,338,422 | 2,495,773 | 37,711,125 | 924,514 | 241,035 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,193,822 | 28,808,277 | 3,783,136 | 14,888,639 | 756,449 | 4,217,519 | 2,127,274 | 22,676,742 | 881,921 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,054,483 | 1,054,483 | 52,404,132 | 52,585,956 | — | — | 872,659 | 872,659 | 12,931 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 16,185,625 | 16,185,625 | 357,796,940 | 371,651,190 | — | — | 2,331,375 | 2,331,375 | 107,343 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 834,650 | 8,605,234 | 1,000,090 | 4,430,000 | 300,653 | 1,610,419 | 556,669 | 7,086,396 | 159,357 | 172,048 | |||||||||
Total | $271,952,528 | $463,546,872 | $536,230,154 | $4,542,112 | $23,956,556 | $227,767,914 | $7,734,743 | $413,083 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.1% (a) | ||||||
DOMESTIC EQUITY — 27.5% | ||||||
State Street Equity 500 Index II Portfolio | 11,935,738 | $180,349,008 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 2,766,643 | 35,219,362 | ||||
215,568,370 | ||||||
DOMESTIC FIXED INCOME — 34.4% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 504,405 | 55,252,524 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 127,963 | 3,946,379 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 474,514 | 14,216,439 | ||||
State Street Aggregate Bond Index Portfolio | 19,207,489 | 196,876,757 | ||||
270,292,099 | ||||||
INFLATION LINKED — 18.1% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 7,242,468 | 142,024,798 | ||||
INTERNATIONAL EQUITY — 15.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 11,138,131 | 118,732,478 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 770,441 | 39,693,119 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $741,502,258) | 786,310,864 | |||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 2,011,720 | 2,011,720 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 4,036,500 | $4,036,500 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,048,220) | $6,048,220 | ||||
TOTAL INVESTMENTS—100.9% (Cost $747,550,478) | 792,359,084 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.9)% | (7,210,388) | ||||
NET ASSETS—100.0% | $785,148,696 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $786,310,864 | $— | $— | $786,310,864 | ||||
Short-Term Investments | 6,048,220 | — | — | 6,048,220 | ||||
TOTAL INVESTMENTS | $792,359,084 | $— | $— | $792,359,084 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,629,950 | $143,977,157 | $38,403,720 | $46,437,452 | $(89,180) | $6,170,553 | 7,242,468 | $142,024,798 | $4,355,171 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,590,079 | 53,410,754 | 23,971,799 | 27,037,627 | (442,709) | 5,350,307 | 504,405 | 55,252,524 | 3,577,383 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 837,065 | 37,048,497 | 12,967,521 | 16,691,104 | 899,842 | 5,468,363 | 770,441 | 39,693,119 | 1,872,523 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 189,337 | 6,634,368 | 749,163 | 8,142,908 | 613,584 | 145,793 | — | — | 116,371 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | — | — | 3,933,126 | — | — | 13,253 | 127,963 | 3,946,379 | 58,469 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | — | — | 14,471,806 | 269,738 | 1,086 | 13,285 | 474,514 | 14,216,439 | 156,403 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 21,231,286 | 206,155,787 | 48,680,886 | 70,524,712 | 1,926,635 | 10,638,161 | 19,207,489 | 196,876,757 | 6,998,066 | — | |||||||||
State Street Equity 500 Index II Portfolio | 17,924,338 | 210,969,455 | 28,278,678 | 116,180,753 | 20,398,347 | 36,883,281 | 11,935,738 | 180,349,008 | 4,585,218 | 1,195,437 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 15,432,561 | 139,201,704 | 23,217,055 | 69,092,800 | 9,377,256 | 16,029,263 | 11,138,131 | 118,732,478 | 4,790,550 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,856,701 | 3,856,701 | 157,818,020 | 159,663,001 | — | — | 2,011,720 | 2,011,720 | 47,126 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 42,621,043 | 42,621,043 | 610,559,019 | 649,143,562 | — | — | 4,036,500 | 4,036,500 | 207,574 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 4,208,975 | 43,394,534 | 5,596,883 | 23,579,379 | 2,469,184 | 7,338,140 | 2,766,643 | 35,219,362 | 839,992 | 906,891 | |||||||||
Total | $887,270,000 | $968,647,676 | $1,186,763,036 | $35,154,045 | $88,050,399 | $792,359,084 | $27,604,846 | $2,102,328 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.3% (a) | ||||||
DOMESTIC EQUITY — 36.4% | ||||||
State Street Equity 500 Index II Portfolio | 20,206,795 | $305,324,680 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 5,670,365 | 72,183,742 | ||||
377,508,422 | ||||||
DOMESTIC FIXED INCOME — 29.9% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 571,127 | 62,561,251 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,273,299 | 49,493,132 | ||||
State Street Aggregate Bond Index Portfolio | 19,295,451 | 197,778,370 | ||||
309,832,753 | ||||||
INFLATION LINKED — 10.1% | ||||||
SPDR Portfolio TIPS ETF | 3,656,543 | 104,394,303 | ||||
INTERNATIONAL EQUITY — 21.4% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 20,861,867 | 222,387,502 | ||||
REAL ESTATE — 2.5% | ||||||
SPDR Dow Jones Global Real Estate ETF | 508,118 | 26,178,239 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $972,097,412) | 1,040,301,219 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b)(c) (Cost $7,868,313) | 7,868,313 | $7,868,313 | ||||
TOTAL INVESTMENTS—101.1% (Cost $979,965,725) | 1,048,169,532 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.1)% | (10,962,099) | |||||
NET ASSETS—100.0% | $1,037,207,433 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $1,040,301,219 | $— | $— | $1,040,301,219 | ||||
Short-Term Investment | 7,868,313 | — | — | 7,868,313 | ||||
TOTAL INVESTMENTS | $1,048,169,532 | $— | $— | $1,048,169,532 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,726,491 | $57,992,833 | $22,013,670 | $22,883,226 | $(382,069) | $5,820,043 | 571,127 | $62,561,251 | $4,008,777 | $— | |||||||||
SPDR Dow Jones Global Real Estate ETF | 437,542 | 19,365,609 | 13,228,838 | 9,880,927 | 488,604 | 2,976,115 | 508,118 | 26,178,239 | 1,132,179 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,615,726 | 56,615,039 | 24,641,283 | 38,974,021 | 2,224,487 | 4,986,344 | 1,273,299 | 49,493,132 | 1,610,646 | — | |||||||||
SPDR Portfolio TIPS ETF | 1,525,330 | 82,200,034 | 43,426,554 | 26,902,303 | (17,706) | 5,687,724 | 3,656,543 | 104,394,303 | 2,953,941 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 16,976,734 | 164,844,088 | 73,841,340 | 51,610,941 | 1,267,323 | 9,436,560 | 19,295,451 | 197,778,370 | 6,304,734 | — | |||||||||
State Street Equity 500 Index II Portfolio | 26,638,196 | 313,531,564 | 66,737,870 | 163,958,187 | 30,854,372 | 58,159,061 | 20,206,795 | 305,324,680 | 7,583,944 | 1,977,252 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 25,109,397 | 226,486,759 | 59,696,474 | 106,959,599 | 15,316,349 | 27,847,519 | 20,861,867 | 222,387,502 | 8,754,921 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,371,562 | 3,371,562 | 203,911,415 | 199,414,664 | — | — | 7,868,313 | 7,868,313 | 72,025 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 37,759,701 | 37,759,701 | 699,605,538 | 737,365,239 | — | — | — | — | 249,649 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,387,038 | 76,160,363 | 18,264,198 | 40,000,000 | 4,503,375 | 13,255,806 | 5,670,365 | 72,183,742 | 1,671,603 | 1,804,734 | |||||||||
Total | $1,038,327,552 | $1,225,367,180 | $1,397,949,107 | $54,254,735 | $128,169,172 | $1,048,169,532 | $34,342,419 | $3,781,986 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.2% (a) | ||||||
DOMESTIC EQUITY — 43.4% | ||||||
State Street Equity 500 Index II Portfolio | 24,144,263 | $364,819,813 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,955,106 | 101,268,501 | ||||
466,088,314 | ||||||
DOMESTIC FIXED INCOME — 27.4% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 404,416 | 44,299,729 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,691,017 | 104,599,831 | ||||
State Street Aggregate Bond Index Portfolio | 14,212,438 | 145,677,484 | ||||
294,577,044 | ||||||
INFLATION LINKED — 2.9% | ||||||
SPDR Portfolio TIPS ETF | 1,099,008 | 31,376,678 | ||||
INTERNATIONAL EQUITY — 26.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 26,713,912 | 284,770,304 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $995,976,530) | 1,076,812,340 | |||||
SHORT-TERM INVESTMENTS — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 5,267,668 | 5,267,668 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 212,325 | $212,325 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,479,993) | $5,479,993 | ||||
TOTAL INVESTMENTS—100.7% (Cost $1,001,456,523) | 1,082,292,333 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.7)% | (7,122,751) | ||||
NET ASSETS—100.0% | $1,075,169,582 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $1,076,812,340 | $— | $— | $1,076,812,340 | ||||
Short-Term Investments | 5,479,993 | — | — | 5,479,993 | ||||
TOTAL INVESTMENTS | $1,082,292,333 | $— | $— | $1,082,292,333 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 956,744 | $32,137,031 | $18,922,657 | $9,891,319 | $(78,717) | $3,210,077 | 404,416 | $44,299,729 | $2,477,436 | $— | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,593,665 | 90,882,022 | 59,021,940 | 57,073,658 | 2,666,250 | 9,103,277 | 2,691,017 | 104,599,831 | 2,890,850 | — | |||||||||
SPDR Portfolio TIPS ETF | 426,260 | 22,971,151 | 13,083,901 | 6,287,185 | (2,850) | 1,611,661 | 1,099,008 | 31,376,678 | 847,914 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 12,335,296 | 119,775,729 | 53,223,412 | 35,130,000 | 861,133 | 6,947,210 | 14,212,438 | 145,677,484 | 4,586,522 | — | |||||||||
State Street Equity 500 Index II Portfolio | 28,381,227 | 334,047,047 | 89,996,707 | 157,890,224 | 34,301,141 | 64,365,142 | 24,144,263 | 364,819,813 | 8,829,872 | 2,302,085 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 28,504,335 | 257,109,098 | 89,015,185 | 112,511,155 | 18,230,136 | 32,927,040 | 26,713,912 | 284,770,304 | 10,916,063 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,882,987 | 3,882,987 | 218,429,199 | 217,044,518 | — | — | 5,267,668 | 5,267,668 | 76,602 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 19,640,778 | 19,640,778 | 726,955,421 | 746,383,874 | — | — | 212,325 | 212,325 | 156,232 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 9,299,159 | 95,874,330 | 29,923,134 | 47,501,550 | 6,642,596 | 16,329,991 | 7,955,106 | 101,268,501 | 2,289,617 | 2,471,966 | |||||||||
Total | $976,320,173 | $1,298,571,556 | $1,389,713,483 | $62,619,689 | $134,494,398 | $1,082,292,333 | $33,071,108 | $4,774,051 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.1% (a) | ||||||
DOMESTIC EQUITY — 47.9% | ||||||
State Street Equity 500 Index II Portfolio | 21,863,367 | $330,355,480 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 8,217,694 | 104,611,247 | ||||
434,966,727 | ||||||
DOMESTIC FIXED INCOME — 21.9% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 95,734 | 10,486,702 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,273,624 | 88,375,765 | ||||
State Street Aggregate Bond Index Portfolio | 9,773,612 | 100,179,518 | ||||
199,041,985 | ||||||
INFLATION LINKED — 0.8% | ||||||
SPDR Portfolio TIPS ETF | 271,623 | 7,754,837 | ||||
INTERNATIONAL EQUITY — 29.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 25,129,154 | 267,876,782 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $841,419,877) | 909,640,331 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) (Cost $7,473,779) | 7,473,779 | $7,473,779 | ||||
TOTAL INVESTMENTS—100.9% (Cost $848,893,656) | 917,114,110 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.9)% | (8,552,728) | |||||
NET ASSETS—100.0% | $908,561,382 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $909,640,331 | $— | $— | $909,640,331 | ||||
Short-Term Investment | 7,473,779 | — | — | 7,473,779 | ||||
TOTAL INVESTMENTS | $917,114,110 | $— | $— | $917,114,110 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 113,039 | $3,796,980 | $6,739,115 | $459,706 | $6,409 | $403,904 | 95,734 | $10,486,702 | $429,005 | $— | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,142,736 | 75,081,469 | 47,203,684 | 43,809,436 | 1,910,951 | 7,989,097 | 2,273,624 | 88,375,765 | 2,383,854 | — | |||||||||
SPDR Portfolio TIPS ETF | — | — | 7,673,496 | — | — | 81,341 | 271,623 | 7,754,837 | 99,570 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 8,623,437 | 83,733,570 | 33,418,313 | 22,440,000 | 562,996 | 4,904,639 | 9,773,612 | 100,179,518 | 3,143,570 | — | |||||||||
State Street Equity 500 Index II Portfolio | 25,094,581 | 295,363,217 | 72,542,339 | 124,103,024 | 26,506,178 | 60,046,770 | 21,863,367 | 330,355,480 | 7,723,007 | 2,013,508 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 26,185,518 | 236,193,372 | 75,886,269 | 90,642,812 | 14,912,921 | 31,527,032 | 25,129,154 | 267,876,782 | 9,919,115 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,267,995 | 3,267,995 | 168,639,244 | 164,433,460 | — | — | 7,473,779 | 7,473,779 | 59,378 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 153,570,466 | 153,570,466 | — | — | — | — | 15,252 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 9,409,735 | 97,014,373 | 27,881,789 | 43,340,000 | 5,839,037 | 17,216,048 | 8,217,694 | 104,611,247 | 2,286,111 | 2,468,182 | |||||||||
Total | $794,450,976 | $593,554,715 | $642,798,904 | $49,738,492 | $122,168,831 | $917,114,110 | $26,058,862 | $4,481,690 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.1% (a) | ||||||
DOMESTIC EQUITY — 51.5% | ||||||
State Street Equity 500 Index II Portfolio | 19,446,130 | $293,831,019 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 8,471,002 | 107,835,854 | ||||
401,666,873 | ||||||
DOMESTIC FIXED INCOME — 16.7% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,951,123 | 75,840,151 | ||||
State Street Aggregate Bond Index Portfolio | 5,348,069 | 54,817,705 | ||||
130,657,856 | ||||||
INTERNATIONAL EQUITY — 31.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 23,335,005 | 248,751,155 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $719,192,748) | 781,075,884 | |||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) (Cost $4,517,621) | 4,517,621 | 4,517,621 | ||||
TOTAL INVESTMENTS—100.7% (Cost $723,710,369) | 785,593,505 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.7)% | (5,219,219) | |||||
NET ASSETS—100.0% | $780,374,286 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $781,075,884 | $— | $— | $781,075,884 | ||||
Short-Term Investment | 4,517,621 | — | — | 4,517,621 | ||||
TOTAL INVESTMENTS | $785,593,505 | $— | $— | $785,593,505 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 1,703,593 | $59,693,899 | $40,331,649 | $32,039,979 | $1,687,452 | $6,167,130 | 1,951,123 | $75,840,151 | $1,960,774 | $— | |||||||||
State Street Aggregate Bond Index Portfolio | 3,740,116 | 36,316,524 | 23,892,227 | 7,840,000 | 201,394 | 2,247,560 | 5,348,069 | 54,817,705 | 1,521,890 | — | |||||||||
State Street Equity 500 Index II Portfolio | 20,572,466 | 242,137,916 | 76,780,301 | 98,475,245 | 22,485,958 | 50,902,089 | 19,446,130 | 293,831,019 | 6,770,651 | 1,765,214 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 22,354,298 | 201,635,770 | 79,927,817 | 74,080,038 | 12,547,146 | 28,720,460 | 23,335,005 | 248,751,155 | 9,076,696 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,484,650 | 2,484,650 | 159,537,943 | 157,504,972 | — | — | 4,517,621 | 4,517,621 | 50,930 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 16,525,675 | 16,525,675 | — | — | — | — | 1,824 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,860,607 | 91,352,859 | 33,517,701 | 39,393,304 | 5,999,830 | 16,358,768 | 8,471,002 | 107,835,854 | 2,318,882 | 2,503,564 | |||||||||
Total | $633,621,618 | $430,513,313 | $425,859,213 | $42,921,780 | $104,396,007 | $785,593,505 | $21,701,647 | $4,268,778 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.2% (a) | ||||||
DOMESTIC EQUITY — 54.5% | ||||||
State Street Equity 500 Index II Portfolio | 14,904,611 | $225,208,677 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 7,509,057 | 95,590,294 | ||||
320,798,971 | ||||||
DOMESTIC FIXED INCOME — 11.8% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,472,359 | 57,230,594 | ||||
State Street Aggregate Bond Index Portfolio | 1,151,918 | 11,807,156 | ||||
69,037,750 | ||||||
INTERNATIONAL EQUITY — 33.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 18,711,759 | 199,467,354 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $545,963,506) | 589,304,075 | |||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b)(c) (Cost $4,825,017) | 4,825,017 | 4,825,017 | ||||
TOTAL INVESTMENTS—101.0% (Cost $550,788,523) | 594,129,092 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.0)% | (5,679,110) | |||||
NET ASSETS—100.0% | $588,449,982 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $589,304,075 | $— | $— | $589,304,075 | ||||
Short-Term Investment | 4,825,017 | — | — | 4,825,017 | ||||
TOTAL INVESTMENTS | $594,129,092 | $— | $— | $594,129,092 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 1,242,947 | $43,552,863 | $30,990,728 | $23,310,052 | $1,176,077 | $4,820,978 | 1,472,359 | $57,230,594 | $1,473,023 | $— | |||||||||
State Street Aggregate Bond Index Portfolio | 454,389 | 4,412,120 | 7,274,027 | 220,000 | 6,178 | 334,831 | 1,151,918 | 11,807,156 | 259,026 | — | |||||||||
State Street Equity 500 Index II Portfolio | 15,289,570 | 179,958,234 | 64,012,228 | 74,013,728 | 15,829,080 | 39,422,863 | 14,904,611 | 225,208,677 | 5,173,568 | 1,348,829 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 17,325,315 | 156,274,342 | 69,801,986 | 58,884,881 | 9,149,504 | 23,126,403 | 18,711,759 | 199,467,354 | 7,250,502 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,500,610 | 2,500,610 | 126,951,545 | 124,627,138 | — | — | 4,825,017 | 4,825,017 | 40,146 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 15,595,375 | 15,595,375 | — | — | — | — | 1,575 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,565,066 | 77,995,834 | 31,758,059 | 33,382,530 | 4,288,325 | 14,930,606 | 7,509,057 | 95,590,294 | 2,045,726 | 2,208,653 | |||||||||
Total | $464,694,003 | $346,383,948 | $330,033,704 | $30,449,164 | $82,635,681 | $594,129,092 | $16,243,566 | $3,557,482 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.3% (a) | ||||||
DOMESTIC EQUITY — 55.8% | ||||||
State Street Equity 500 Index II Portfolio | 9,736,522 | $147,118,844 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 5,154,800 | 65,620,603 | ||||
212,739,447 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF | 955,477 | 37,139,391 | ||||
INTERNATIONAL EQUITY — 34.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,427,071 | 132,472,577 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $354,019,046) | 382,351,415 | |||||
SHORT-TERM INVESTMENT — 1.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b)(c) (Cost $3,553,827) | 3,553,827 | 3,553,827 | ||||
TOTAL INVESTMENTS—101.3% (Cost $357,572,873) | 385,905,242 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.3)% | (4,789,762) | |||||
NET ASSETS—100.0% | $381,115,480 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $382,351,415 | $— | $— | $382,351,415 | ||||
Short-Term Investment | 3,553,827 | — | — | 3,553,827 | ||||
TOTAL INVESTMENTS | $385,905,242 | $— | $— | $385,905,242 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 798,634 | $27,984,136 | $24,222,746 | $18,950,899 | $1,188,453 | $2,694,955 | 955,477 | $37,139,391 | $992,716 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 9,869,800 | 116,167,543 | 56,717,558 | 62,975,421 | 13,276,751 | 23,932,413 | 9,736,522 | 147,118,844 | 3,671,899 | 957,322 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 11,275,750 | 101,707,269 | 61,485,673 | 52,792,301 | 7,226,026 | 14,845,910 | 12,427,071 | 132,472,577 | 5,225,197 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,877,322 | 1,877,322 | 112,106,243 | 110,429,738 | — | — | 3,553,827 | 3,553,827 | 29,519 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 9,449,075 | 9,449,075 | — | — | — | — | 1,303 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,027,392 | 51,832,413 | 29,310,393 | 28,767,122 | 3,687,894 | 9,557,025 | 5,154,800 | 65,620,603 | 1,518,254 | 1,639,171 | |||||||||
Total | $299,568,683 | $293,291,688 | $283,364,556 | $25,379,124 | $51,030,303 | $385,905,242 | $11,438,888 | $2,596,493 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.3% (a) | ||||||
DOMESTIC EQUITY — 55.8% | ||||||
State Street Equity 500 Index II Portfolio | 5,004,160 | $75,612,850 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 2,649,033 | 33,722,194 | ||||
109,335,044 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 490,948 | 19,083,149 | ||||
INTERNATIONAL EQUITY — 34.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 6,386,689 | 68,082,107 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $182,603,797) | 196,500,300 | |||||
SHORT-TERM INVESTMENT — 1.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) (Cost $2,338,809) | 2,338,809 | 2,338,809 | ||||
TOTAL INVESTMENTS—101.5% (Cost $184,942,606) | 198,839,109 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.5)% | (2,999,178) | |||||
NET ASSETS—100.0% | $195,839,931 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $196,500,300 | $— | $— | $196,500,300 | ||||
Short-Term Investment | 2,338,809 | — | — | 2,338,809 | ||||
TOTAL INVESTMENTS | $198,839,109 | $— | $— | $198,839,109 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 352,151 | $12,339,371 | $14,287,562 | $9,421,800 | $708,764 | $1,169,252 | 490,948 | $19,083,149 | $485,244 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 4,350,416 | 51,204,388 | 38,292,718 | 31,471,830 | 5,198,906 | 12,388,668 | 5,004,160 | 75,612,850 | 1,872,274 | 488,131 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,970,244 | 44,831,602 | 39,128,866 | 26,235,308 | 1,843,816 | 8,513,131 | 6,386,689 | 68,082,107 | 2,664,234 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 991,215 | 991,215 | 68,477,122 | 67,129,528 | — | — | 2,338,809 | 2,338,809 | 16,379 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 13,457,225 | 13,457,225 | — | — | — | — | 661 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,215,930 | 22,846,240 | 18,921,231 | 14,110,000 | 1,253,787 | 4,810,936 | 2,649,033 | 33,722,194 | 774,318 | 835,987 | |||||||||
Total | $132,212,816 | $192,564,724 | $161,825,691 | $9,005,273 | $26,881,987 | $198,839,109 | $5,813,110 | $1,324,118 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 55.3% | ||||||
State Street Equity 500 Index II Portfolio | 1,886,325 | $28,502,371 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 997,941 | 12,703,782 | ||||
41,206,153 | ||||||
DOMESTIC FIXED INCOME — 9.6% | ||||||
SPDR Portfolio Long Term Treasury ETF | 185,180 | 7,197,947 | ||||
INTERNATIONAL EQUITY — 34.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,410,723 | 25,698,310 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $69,326,337) | 74,102,410 | |||||
SHORT-TERM INVESTMENT — 0.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b)(c) (Cost $628,414) | 628,414 | 628,414 | ||||
TOTAL INVESTMENTS—100.3% (Cost $69,954,751) | 74,730,824 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.3)% | (194,925) | |||||
NET ASSETS—100.0% | $74,535,899 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $74,102,410 | $— | $— | $74,102,410 | ||||
Short-Term Investment | 628,414 | — | — | 628,414 | ||||
TOTAL INVESTMENTS | $74,730,824 | $— | $— | $74,730,824 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 69,105 | $2,421,439 | $10,879,208 | $6,475,612 | $198,145 | $174,767 | 185,180 | $7,197,947 | $115,001 | $— | |||||||||
State Street Equity 500 Index II Portfolio | 852,220 | 10,030,631 | 17,481,728 | 3,099,607 | 148,558 | 3,941,061 | 1,886,325 | 28,502,371 | 517,588 | 134,943 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 974,192 | 8,787,215 | 17,000,356 | 2,512,753 | (67,008) | 2,490,500 | 2,410,723 | 25,698,310 | 736,573 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 355,295 | 355,295 | 32,918,688 | 32,645,569 | — | — | 628,414 | 628,414 | 5,693 | — | |||||||||
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 | 8,287,978 | 1,412,629 | 29,222 | 1,322,006 | 997,941 | 12,703,782 | 214,040 | 231,087 | |||||||||
Total | $26,071,785 | $90,084,933 | $49,663,145 | $308,917 | $7,928,334 | $74,730,824 | $1,589,121 | $366,030 |
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* | $219,691,686 | $227,767,914 | $792,359,084 | $1,048,169,532 | |||
Cash | 110,134 | 25 | 49 | 69 | |||
Receivable for investments sold | 24,482,358 | 55,455,737 | 245,214,989 | 321,129,584 | |||
Receivable for fund shares sold | 293,647 | 161,118 | 938,920 | 776,114 | |||
Dividends receivable — unaffiliated issuers | — | 1 | — | — | |||
Dividends receivable — affiliated issuers | 704 | 587 | — | — | |||
Securities lending income receivable — unaffiliated issuers | — | 154 | 91 | — | |||
Securities lending income receivable — affiliated issuers | 2,257 | 3,638 | 6,402 | 9,442 | |||
Receivable from Adviser | 47,518 | 50,076 | 124,527 | 144,137 | |||
Prepaid expenses and other assets | 587 | 714 | 2,503 | 3,158 | |||
TOTAL ASSETS | 244,628,891 | 283,439,964 | 1,038,646,565 | 1,370,232,036 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | — | 2,331,375 | 4,036,500 | — | |||
Payable for investments purchased | 427,348 | 343,341 | 1,581,358 | 4,085,694 | |||
Payable for fund shares repurchased | 25,003,322 | 56,470,057 | 247,744,196 | 328,762,224 | |||
Advisory fee payable | 10,220 | 11,812 | 43,403 | 56,850 | |||
Custodian fees payable | 4,472 | 4,354 | 4,569 | 4,472 | |||
Administration fees payable | 10,393 | 12,050 | 43,791 | 57,175 | |||
Trustees’ fees and expenses payable | 48 | 62 | 206 | 248 | |||
Transfer agent fees payable | 11,033 | 8,794 | 11,804 | 14,742 | |||
Sub-transfer agent fee payable | 219 | 143 | 83 | 232 | |||
Distribution payable | 147 | 2 | 155 | 44 | |||
Registration and filing fees payable | 2,598 | 791 | 4,697 | 14,837 | |||
Professional fees payable | 9,603 | 9,603 | 9,603 | 9,603 | |||
Printing and postage fees payable | 4,584 | 4,328 | 15,307 | 16,664 | |||
Accrued expenses and other liabilities | 346 | 431 | 2,197 | 1,818 | |||
TOTAL LIABILITIES | 25,484,333 | 59,197,143 | 253,497,869 | 333,024,603 | |||
NET ASSETS | $219,144,558 | $224,242,821 | $785,148,696 | $1,037,207,433 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $211,186,594 | $214,808,121 | $731,511,959 | $951,671,933 | |||
Total distributable earnings (loss) | 7,957,964 | 9,434,700 | 53,636,737 | 85,535,500 | |||
NET ASSETS | $219,144,558 | $224,242,821 | $785,148,696 | $1,037,207,433 | |||
Class I | |||||||
Net Assets | $78,449 | $91,087 | $2,115,592 | $2,019,293 | |||
Shares Outstanding | 7,099 | 8,359 | 185,736 | 169,335 | |||
Net asset value, offering and redemption price per share | $11.05 | $10.90 | $11.39 | $11.92 | |||
Class K | |||||||
Net Assets | $219,066,109 | $224,151,734 | $783,033,104 | $1,035,188,140 | |||
Shares Outstanding | 19,852,569 | 20,579,316 | 68,712,717 | 86,675,797 | |||
Net asset value, offering and redemption price per share | $11.03 | $10.89 | $11.40 | $11.94 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 210,464,435 | 217,392,875 | 747,550,478 | 979,965,725 | |||
* Includes investments in securities on loan, at value | $— | $3,241,891 | $4,102,987 | $— |
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 | ||||||
1,082,292,333 | $917,114,110 | $785,593,505 | $594,129,092 | $385,905,242 | $198,839,109 | $74,730,824 | ||||||
68 | 75 | 55 | 28 | 35 | 13 | 10 | ||||||
313,809,294 | 237,656,895 | 193,805,348 | 146,516,470 | 138,786,306 | 69,610,407 | 348,000 | ||||||
892,232 | 964,608 | 747,143 | 648,526 | 613,123 | 492,164 | 359,339 | ||||||
— | — | — | — | — | — | — | ||||||
— | — | — | — | — | — | — | ||||||
— | — | 1 | — | — | 2 | — | ||||||
6,167 | 1,921 | — | — | — | — | — | ||||||
130,122 | 90,486 | 85,555 | 72,068 | 61,753 | 45,830 | 31,077 | ||||||
3,084 | 2,567 | 2,099 | 1,589 | 1,071 | 524 | 120 | ||||||
1,397,133,300 | 1,155,830,662 | 980,233,706 | 741,367,773 | 525,367,530 | 268,988,049 | 75,469,370 | ||||||
212,325 | — | — | — | — | — | — | ||||||
2,617,165 | 5,661,587 | 2,548,188 | 2,906,779 | 2,237,963 | 1,846,296 | 844,192 | ||||||
318,941,718 | 241,446,992 | 197,163,417 | 149,885,418 | 141,906,414 | 71,221,301 | 42,496 | ||||||
58,095 | 47,606 | 40,504 | 30,491 | 21,576 | 10,972 | 2,980 | ||||||
4,469 | 4,383 | 4,385 | 4,357 | 4,329 | 4,363 | 4,387 | ||||||
58,389 | 47,830 | 40,707 | 30,618 | 21,639 | 11,036 | 3,043 | ||||||
238 | 198 | 159 | 118 | 76 | 34 | 7 | ||||||
15,978 | 16,916 | 17,671 | 18,615 | 18,378 | 17,199 | 15,635 | ||||||
245 | — | — | — | — | 71 | 112 | ||||||
3,778 | 580 | 8 | 533 | 176 | 4,141 | 22 | ||||||
22,543 | 15,917 | 18,281 | 15,870 | 15,283 | 11,193 | 6,899 | ||||||
9,603 | 9,603 | 9,603 | 9,603 | 9,603 | 9,603 | 9,603 | ||||||
17,400 | 16,200 | 15,323 | 14,543 | 16,025 | 11,690 | 3,889 | ||||||
1,772 | 1,468 | 1,174 | 846 | 588 | 219 | 206 | ||||||
321,963,718 | 247,269,280 | 199,859,420 | 152,917,791 | 144,252,050 | 73,148,118 | 933,471 | ||||||
$1,075,169,582 | $908,561,382 | $780,374,286 | $588,449,982 | $381,115,480 | $195,839,931 | $74,535,899 | ||||||
$970,700,023 | $819,826,334 | $698,712,732 | $530,525,025 | $341,676,580 | $178,667,391 | $69,468,719 | ||||||
104,469,559 | 88,735,048 | 81,661,554 | 57,924,957 | 39,438,900 | 17,172,540 | 5,067,180 | ||||||
$1,075,169,582 | $908,561,382 | $780,374,286 | $588,449,982 | $381,115,480 | $195,839,931 | $74,535,899 | ||||||
$2,837,355 | $1,192,657 | $1,398,476 | $961,738 | $447,793 | $241,444 | $163,170 | ||||||
231,488 | 95,146 | 110,585 | 75,600 | 35,539 | 19,038 | 13,019 | ||||||
$12.26 | $12.54 | $12.65 | $12.72 | $12.60 | $12.68 | $12.53 | ||||||
$1,072,332,227 | $907,368,725 | $778,975,810 | $587,488,244 | $380,667,687 | $195,598,487 | $74,372,729 | ||||||
87,361,927 | 72,193,094 | 61,551,833 | 46,189,918 | 30,204,177 | 15,451,304 | 5,935,842 | ||||||
$12.27 | $12.57 | $12.66 | $12.72 | $12.60 | $12.66 | $12.53 | ||||||
1,001,456,523 | 848,893,656 | 723,710,369 | 550,788,523 | 357,572,873 | 184,942,606 | 69,954,751 | ||||||
$239,222 | $1,030,055 | $2,993 | $— | $— | $11,661 | $— |
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 | $225 | $242 | $2,060 | $635 | |||
Dividend income — affiliated issuers | 6,402,783 | 7,627,400 | 27,397,272 | 34,092,770 | |||
Unaffiliated securities lending income | — | 1,894 | 12,474 | 9,975 | |||
Affiliated securities lending income | 83,546 | 107,343 | 207,574 | 249,649 | |||
TOTAL INVESTMENT INCOME (LOSS) | 6,486,554 | 7,736,879 | 27,619,380 | 34,353,029 | |||
EXPENSES | |||||||
Advisory fee | 112,380 | 137,270 | 481,714 | 604,695 | |||
Administration fees | 112,380 | 137,270 | 481,714 | 604,695 | |||
Sub-transfer agent fee | |||||||
Class I | — | 7 | 324 | 212 | |||
Custodian fees | 54,582 | 53,170 | 53,475 | 53,294 | |||
Trustees’ fees and expenses | 22,428 | 23,282 | 35,926 | 39,842 | |||
Transfer agent fees | 102,665 | 76,576 | 106,265 | 138,595 | |||
Registration and filing fees | 38,785 | 37,767 | 42,555 | 53,106 | |||
Professional fees | 58,930 | 58,888 | 58,810 | 58,879 | |||
Printing and postage fees | 17,966 | 18,141 | 46,348 | 57,168 | |||
Insurance expense | 1,139 | 1,513 | 5,005 | 6,031 | |||
Miscellaneous expenses | 7,898 | 8,271 | 18,021 | 21,562 | |||
TOTAL EXPENSES | 529,153 | 552,155 | 1,330,157 | 1,638,079 | |||
Expenses waived/reimbursed by the Adviser | (596,580) | (634,510) | (1,426,175) | (1,516,929) | |||
NET EXPENSES | (67,427) | (82,355) | (96,018) | 121,150 | |||
NET INVESTMENT INCOME (LOSS) | $6,553,981 | $7,819,234 | $27,715,398 | $34,231,879 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 589,852 | 4,542,112 | 35,154,045 | 54,254,735 | |||
Capital gain distributions — affiliated issuers | 352,161 | 413,083 | 2,102,328 | 3,781,986 | |||
Net realized gain (loss) | 942,013 | 4,955,195 | 37,256,373 | 58,036,721 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | 21,318,121 | 23,956,556 | 88,050,399 | 128,169,172 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 22,260,134 | 28,911,751 | 125,306,772 | 186,205,893 | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $28,814,115 | $36,730,985 | $153,022,170 | $220,437,772 |
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 | ||||||
332 | $159 | $107 | $89 | $70 | $33 | $27 | ||||||
32,914,876 | 26,043,610 | 21,699,823 | 16,241,991 | 11,437,585 | 5,812,449 | 1,588,895 | ||||||
9,406 | 1,282 | 41 | 44 | 4 | 71 | — | ||||||
156,232 | 15,252 | 1,824 | 1,575 | 1,303 | 661 | 226 | ||||||
33,080,846 | 26,060,303 | 21,701,795 | 16,243,699 | 11,438,962 | 5,813,214 | 1,589,148 | ||||||
595,309 | 491,491 | 405,007 | 304,124 | 205,075 | 100,037 | 23,613 | ||||||
595,309 | 491,491 | 405,007 | 304,124 | 205,075 | 100,037 | 23,613 | ||||||
169 | 561 | 238 | 315 | 179 | 5 | — | ||||||
53,321 | 52,029 | 52,730 | 52,688 | 52,553 | 52,848 | 53,347 | ||||||
39,089 | 35,529 | 32,152 | 28,505 | 24,872 | 21,162 | 18,662 | ||||||
152,695 | 160,696 | 167,597 | 175,758 | 174,726 | 165,676 | 152,824 | ||||||
60,853 | 53,905 | 56,268 | 52,821 | 52,059 | 45,446 | 41,574 | ||||||
58,869 | 58,937 | 58,922 | 58,945 | 58,902 | 58,908 | 58,895 | ||||||
62,731 | 60,915 | 61,190 | 57,009 | 58,412 | 50,230 | 20,397 | ||||||
5,869 | 4,856 | 3,948 | 2,896 | 1,916 | 868 | 175 | ||||||
21,163 | 18,541 | 16,000 | 12,932 | 10,126 | 7,367 | 5,264 | ||||||
1,645,377 | 1,428,951 | 1,259,059 | 1,050,117 | 843,895 | 602,584 | 398,364 | ||||||
(1,288,024) | (936,900) | (853,814) | (745,678) | (638,641) | (502,542) | (379,474) | ||||||
357,353 | 492,051 | 405,245 | 304,439 | 205,254 | 100,042 | 18,890 | ||||||
$32,723,493 | $25,568,252 | $21,296,550 | $15,939,260 | $11,233,708 | $5,713,172 | $1,570,258 | ||||||
62,619,689 | 49,738,492 | 42,921,780 | 30,449,164 | 25,379,124 | 9,005,273 | 308,917 | ||||||
4,774,051 | 4,481,690 | 4,268,778 | 3,557,482 | 2,596,493 | 1,324,118 | 366,030 | ||||||
67,393,740 | 54,220,182 | 47,190,558 | 34,006,646 | 27,975,617 | 10,329,391 | 674,947 | ||||||
134,494,398 | 122,168,831 | 104,396,007 | 82,635,681 | 51,030,303 | 26,881,987 | 7,928,334 | ||||||
201,888,138 | 176,389,013 | 151,586,565 | 116,642,327 | 79,005,920 | 37,211,378 | 8,603,281 | ||||||
$234,611,631 | $201,957,265 | $172,883,115 | $132,581,587 | $90,239,628 | $42,924,550 | $10,173,539 |
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | ||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $6,553,981 | $5,554,077 | $7,819,234 | $7,028,635 | |||
Net realized gain (loss) | 942,013 | 1,472,783 | 4,955,195 | 4,543,556 | |||
Net change in unrealized appreciation/depreciation | 21,318,121 | (14,733,528) | 23,956,556 | (19,021,436) | |||
Net increase (decrease) in net assets resulting from operations | 28,814,115 | (7,706,668) | 36,730,985 | (7,449,245) | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (2,544) | (4,532) | (4,524) | (2,113) | |||
Class K | (7,906,347) | (8,399,460) | (13,946,451) | (12,790,575) | |||
Total distributions to shareholders | (7,908,891) | (8,403,992) | (13,950,975) | (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 | 36,093 | 981 | 76,429 | 5,030 | |||
Proceeds from shares issued in connection with the conversion of assets from Class A to Class I | — | 21,234 | — | — | |||
Reinvestment of distributions | 2,544 | 4,532 | 4,524 | 2,112 | |||
Cost of shares redeemed | (79,030) | (50,232) | (33,545) | (149,507) | |||
Net increase (decrease) from capital share transactions | (40,393) | (23,485) | 47,408 | (142,365) | |||
Class K | |||||||
Proceeds from sale of shares sold | 62,986,257 | 207,534,102 | 48,651,443 | 90,310,368 | |||
Reinvestment of distributions | 7,906,200 | 8,399,460 | 13,945,958 | 12,790,575 | |||
Cost of shares redeemed | (73,560,726) | (134,413,043) | (119,236,397) | (70,872,443) | |||
Net increase (decrease) from capital share transactions | (2,668,269) | 81,520,519 | (56,638,996) | 32,228,500 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (2,708,662) | 81,398,406 | (56,591,588) | 31,986,594 | |||
Net increase (decrease) in net assets during the period | 18,196,562 | 65,289,161 | (33,811,578) | 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 | $219,144,558 | $200,947,996 | $224,242,821 | $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 | 3,352 | 91 | 6,816 | 465 | |||
Shares issued in connection with the conversion of assets from Class A to Class I | — | 1,994 | — | — | |||
Reinvestment of distributions | 230 | 454 | 415 | 212 | |||
Shares redeemed | (7,228) | (4,709) | (3,105) | (13,867) | |||
Net increase (decrease) from share transactions | (3,646) | (2,170) | 4,126 | (13,190) | |||
Class K | |||||||
Shares sold | 5,836,547 | 19,214,623 | 4,508,627 | 8,351,447 | |||
Reinvestment of distributions | 716,791 | 842,474 | 1,280,621 | 1,281,621 | |||
Shares redeemed | (6,777,725) | (12,622,611) | (10,987,039) | (6,528,843) | |||
Net increase (decrease) from share transactions | (224,387) | 7,434,486 | (5,197,791) | 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 | ||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | |||||
$27,715,398 | $22,627,658 | $34,231,879 | $26,121,798 | $32,723,493 | $23,384,322 | |||||
37,256,373 | 19,359,205 | 58,036,721 | 24,770,443 | 67,393,740 | 25,363,539 | |||||
88,050,399 | (78,525,638) | 128,169,172 | (110,013,265) | 134,494,398 | (112,579,713) | |||||
153,022,170 | (36,538,775) | 220,437,772 | (59,121,024) | 234,611,631 | (63,831,852) | |||||
(123,081) | (94,975) | (124,624) | (59,153) | (177,060) | (88,182) | |||||
(60,051,009) | (44,523,544) | (83,964,667) | (50,682,003) | (86,578,774) | (47,418,269) | |||||
(60,174,090) | (44,618,519) | (84,089,291) | (50,741,156) | (86,755,834) | (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) | |||||
183,576 | 1,153,163 | 780,421 | 270,622 | 837,094 | 196,592 | |||||
— | 237,210 | — | 109,730 | — | 89,264 | |||||
123,081 | 94,975 | 118,083 | 59,153 | 177,060 | 88,182 | |||||
(186,334) | (210,593) | (181,680) | (1,373,715) | (174,664) | (116,274) | |||||
120,323 | 1,274,755 | 716,824 | (934,210) | 839,490 | 257,764 | |||||
188,599,090 | 267,720,042 | 282,492,001 | 365,384,810 | 319,322,790 | 351,016,403 | |||||
60,034,433 | 44,523,405 | 83,944,195 | 50,682,003 | 86,518,276 | 47,418,269 | |||||
(405,393,139) | (159,803,462) | (474,617,976) | (129,329,674) | (441,473,068) | (105,937,878) | |||||
(156,759,616) | 152,439,985 | (108,181,780) | 286,737,139 | (35,632,002) | 292,496,794 | |||||
(156,639,293) | 153,593,617 | (107,464,956) | 285,693,019 | (34,792,512) | 292,651,579 | |||||
(63,791,213) | 72,476,731 | 28,883,525 | 175,896,620 | 113,063,285 | 181,313,276 | |||||
848,939,909 | 776,463,178 | 1,008,323,908 | 832,427,288 | 962,106,297 | 780,793,021 | |||||
$785,148,696 | $848,939,909 | $1,037,207,433 | $1,008,323,908 | $1,075,169,582 | $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) | |||||
16,272 | 102,958 | 65,171 | 23,141 | 66,374 | 16,510 | |||||
— | 21,161 | — | 9,476 | — | 7,571 | |||||
10,815 | 9,275 | 9,906 | 5,645 | 14,454 | 8,312 | |||||
(16,167) | (18,601) | (15,416) | (118,722) | (14,986) | (9,969) | |||||
10,920 | 114,793 | 59,661 | (80,460) | 65,842 | 22,424 | |||||
16,710,557 | 23,681,680 | 24,057,026 | 31,044,743 | 26,618,976 | 29,309,128 | |||||
5,270,802 | 4,343,747 | 7,030,502 | 4,826,858 | 7,051,204 | 4,460,797 | |||||
(35,610,279) | (14,078,169) | (39,913,999) | (10,992,359) | (36,182,374) | (8,812,232) | |||||
(13,628,920) | 13,947,258 | (8,826,471) | 24,879,242 | (2,512,194) | 24,957,693 |
State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | ||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $25,568,252 | $18,209,865 | $21,296,550 | $14,376,335 | |||
Net realized gain (loss) | 54,220,182 | 23,101,163 | 47,190,558 | 20,694,042 | |||
Net change in unrealized appreciation/depreciation | 122,168,831 | (101,638,895) | 104,396,007 | (86,768,197) | |||
Net increase (decrease) in net assets resulting from operations | 201,957,265 | (60,327,867) | 172,883,115 | (51,697,820) | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (72,448) | (20,901) | (83,420) | (60,520) | |||
Class K | (69,858,786) | (37,599,436) | (57,985,145) | (30,754,623) | |||
Total distributions to shareholders | (69,931,234) | (37,620,337) | (58,068,565) | (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 | 609,906 | 98,818 | 245,281 | 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 | 72,447 | 20,901 | 83,420 | 60,520 | |||
Cost of shares redeemed | (24,272) | (34,846) | (384,068) | (120,037) | |||
Net increase (decrease) from capital share transactions | 658,081 | 123,111 | (55,367) | 495,237 | |||
Class K | |||||||
Proceeds from sale of shares sold | 250,711,635 | 357,140,615 | 241,586,471 | 294,196,717 | |||
Reinvestment of distributions | 69,765,244 | 37,599,436 | 57,913,388 | 30,754,623 | |||
Cost of shares redeemed | (341,227,921) | (85,438,916) | (271,893,792) | (63,980,947) | |||
Net increase (decrease) from capital share transactions | (20,751,042) | 309,301,135 | 27,606,067 | 260,970,393 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (20,092,961) | 309,297,287 | 27,550,700 | 261,363,958 | |||
Net increase (decrease) in net assets during the period | 111,933,070 | 211,412,806 | 142,365,250 | 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 | $908,561,382 | $796,628,312 | $780,374,286 | $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 | 50,472 | 8,185 | 19,886 | 25,541 | |||
Shares issued in connection with the conversion of assets from Class A to Class I | — | 3,192 | — | 19,940 | |||
Reinvestment of distributions | 5,782 | 1,947 | 6,600 | 5,645 | |||
Shares redeemed | (2,010) | (2,910) | (31,486) | (9,906) | |||
Net increase (decrease) from share transactions | 54,244 | 10,414 | (5,000) | 41,220 | |||
Class K | |||||||
Shares sold | 20,472,870 | 29,106,428 | 19,646,112 | 23,975,808 | |||
Reinvestment of distributions | 5,550,139 | 3,494,372 | 4,578,133 | 2,866,227 | |||
Shares redeemed | (27,376,674) | (6,958,752) | (21,669,158) | (5,191,478) | |||
Net increase (decrease) from share transactions | (1,353,665) | 25,642,048 | 2,555,087 | 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 | ||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/19 | Year Ended 12/31/18 | |||||
$15,939,260 | $10,368,285 | $11,233,708 | $6,731,094 | $5,713,172 | $2,937,986 | |||||
34,006,646 | 15,851,276 | 27,975,617 | 10,110,405 | 10,329,391 | 5,118,694 | |||||
82,635,681 | (67,673,383) | 51,030,303 | (43,579,203) | 26,881,987 | (19,776,780) | |||||
132,581,587 | (41,453,822) | 90,239,628 | (26,737,704) | 42,924,550 | (11,720,100) | |||||
(56,415) | (37,415) | (28,559) | (17,896) | (13,842) | (6,641) | |||||
(43,234,896) | (22,018,119) | (33,329,248) | (14,299,282) | (15,108,285) | (6,678,653) | |||||
(43,291,311) | (22,055,534) | (33,357,807) | (14,317,178) | (15,122,127) | (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) | |||||
147,771 | 167,709 | 128,451 | 89,932 | 75,215 | 33,365 | |||||
— | 160,336 | — | 141,455 | — | 14,984 | |||||
56,415 | 37,415 | 28,559 | 17,896 | 11,559 | 4,921 | |||||
(171,691) | (245,626) | (148,130) | (66,301) | (3,768) | (10,358) | |||||
32,495 | 119,834 | 8,880 | 182,982 | 83,006 | 42,912 | |||||
199,427,941 | 257,738,573 | 171,005,376 | 147,982,505 | 113,461,276 | 82,947,912 | |||||
43,206,782 | 22,018,119 | 33,311,720 | 14,299,282 | 15,090,746 | 6,678,248 | |||||
(209,719,595) | (51,371,565) | (180,896,944) | (33,069,527) | (93,247,285) | (20,251,677) | |||||
32,915,128 | 228,385,127 | 23,420,152 | 129,212,260 | 35,304,737 | 69,374,483 | |||||
32,947,623 | 228,370,114 | 23,429,032 | 129,294,104 | 35,387,743 | 69,318,963 | |||||
122,237,899 | 164,865,362 | 80,310,853 | 88,239,222 | 63,190,166 | 50,913,902 | |||||
466,212,083 | 301,346,721 | 300,804,627 | 212,565,405 | 132,649,765 | 81,735,863 | |||||
$588,449,982 | $466,212,083 | $381,115,480 | $300,804,627 | $195,839,931 | $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) | |||||
12,028 | 13,747 | 10,460 | 7,431 | 6,300 | 2,739 | |||||
— | 13,262 | — | 11,758 | — | 1,242 | |||||
4,439 | 3,497 | 2,268 | 1,682 | 912 | 463 | |||||
(13,939) | (19,433) | (12,114) | (5,526) | (307) | (855) | |||||
2,528 | 11,073 | 614 | 15,345 | 6,905 | 3,589 | |||||
16,202,511 | 20,874,274 | 13,934,015 | 12,073,607 | 9,262,919 | 6,756,118 | |||||
3,399,432 | 2,057,769 | 2,645,887 | 1,343,918 | 1,192,945 | 629,430 | |||||
(16,634,746) | (4,155,850) | (14,440,931) | (2,686,477) | (7,413,695) | (1,642,195) | |||||
2,967,197 | 18,776,193 | 2,138,971 | 10,731,048 | 3,042,169 | 5,743,353 |
State Street Target Retirement 2060 Fund | |||
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,570,258 | $554,332 | |
Net realized gain (loss) | 674,947 | 1,238,113 | |
Net change in unrealized appreciation/depreciation | 7,928,334 | (4,004,945) | |
Net increase (decrease) in net assets resulting from operations | 10,173,539 | (2,212,500) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | (5,268) | (7,584) | |
Class K | (2,337,955) | (1,525,276) | |
Total distributions to shareholders | (2,343,223) | (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 | 31,453 | 10,781 | |
Proceeds from shares issued in connection with the conversion of assets from Class A to Class I | — | 26,017 | |
Reinvestment of distributions | 1,903 | 2,166 | |
Cost of shares redeemed | (19,312) | (2,064) | |
Net increase (decrease) from capital share transactions | 14,044 | 36,900 | |
Class K | |||
Proceeds from sale of shares sold | 53,057,576 | 23,719,397 | |
Reinvestment of distributions | 2,325,770 | 1,525,276 | |
Cost of shares redeemed | (14,641,838) | (7,832,210) | |
Net increase (decrease) from capital share transactions | 40,741,508 | 17,412,463 | |
Net increase (decrease) in net assets from beneficial interest transactions | 40,755,552 | 17,351,161 | |
Net increase (decrease) in net assets during the period | 48,585,868 | 13,605,801 | |
Net assets at beginning of period | 25,950,031 | 12,344,230 | |
NET ASSETS AT END OF PERIOD | $74,535,899 | $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 | 2,629 | 916 | |
Shares issued in connection with the conversion of assets from Class A to Class I | — | 2,222 | |
Reinvestment of distributions | 152 | 212 | |
Shares redeemed | (1,546) | (171) | |
Net increase (decrease) from share transactions | 1,235 | 3,179 | |
Class K | |||
Shares sold | 4,482,573 | 1,997,253 | |
Reinvestment of distributions | 185,764 | 149,245 | |
Shares redeemed | (1,245,077) | (653,396) | |
Net increase (decrease) from share transactions | 3,423,260 | 1,493,102 |
(a) | Effective October 12, 2018, Class A shares were converted to Class I shares. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.02 | $10.73 | $10.12 | $9.79 | $10.03 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.28 | 0.19 | 0.19 | 0.19 | ||||
Net realized and unrealized gain (loss) | 1.11 | (0.55) | 0.71 | 0.32 | (0.23) | ||||
Total from investment operations | 1.40 | (0.27) | 0.90 | 0.51 | (0.04) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.31) | (0.29) | (0.20) | (0.17) | (0.19) | ||||
Net realized gains | (0.06) | (0.15) | (0.09) | (0.01) | (0.01) | ||||
Total distributions | (0.37) | (0.44) | (0.29) | (0.18) | (0.20) | ||||
Net asset value, end of period | $11.05 | $10.02 | $10.73 | $10.12 | $9.79 | ||||
Total return (b) | 13.98% | (2.50)%(c) | 8.92% | 5.27% | (0.39)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $78 | $108 | $139 | $612 | $653 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.24% | 0.25% | 0.36% | 0.66% | 1.15% | ||||
Net expenses (d) | (0.03)%(e) | (0.03)%(e) | (0.05)%(e) | (0.03)%(e) | 0.01% | ||||
Net investment income (loss) | 2.64% | 2.62% | 1.78% | 1.89% | 1.94% | ||||
Portfolio turnover rate | 26% | 53% | 25% | 37% | 31% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.00 | $10.71 | $10.12 | $9.78 | $10.03 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.29 | 0.28 | 0.23 | 0.20 | ||||
Net realized and unrealized gain (loss) | 1.08 | (0.56) | 0.60 | 0.29 | (0.25) | ||||
Total from investment operations | 1.40 | (0.27) | 0.88 | 0.52 | (0.05) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.31) | (0.29) | (0.20) | (0.17) | (0.19) | ||||
Net realized gains | (0.06) | (0.15) | (0.09) | (0.01) | (0.01) | ||||
Total distributions | (0.37) | (0.44) | (0.29) | (0.18) | (0.20) | ||||
Net asset value, end of period | $11.03 | $10.00 | $10.71 | $10.12 | $9.78 | ||||
Total return (b) | 14.00% | (2.50)%(c) | 8.83% | 5.28% | (0.49)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $219,066 | $200,840 | $135,420 | $55,499 | $22,265 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.24% | 0.24% | 0.36% | 0.66% | 1.15% | ||||
Net expenses (d) | (0.03)%(e) | (0.04)%(e) | (0.02)%(e) | (0.04)%(e) | 0.01% | ||||
Net investment income (loss) | 2.92% | 2.69% | 2.61% | 2.23% | 1.99% | ||||
Portfolio turnover rate | 26% | 53% | 25% | 37% | 31% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.42 | 0.20 | 0.19 | 0.19 | 0.23 | ||||
Net realized and unrealized gain (loss) | 1.04 | (0.52) | 0.86 | 0.41 | (0.31) | ||||
Total from investment operations | 1.46 | (0.32) | 1.05 | 0.60 | (0.08) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.28) | (0.19) | (0.16) | (0.18) | ||||
Net realized gains | (0.24) | (0.24) | (0.10) | (0.07) | (0.05) | ||||
Total distributions | (0.57) | (0.52) | (0.29) | (0.23) | (0.23) | ||||
Net asset value, end of period | $10.90 | $10.01 | $10.85 | $10.09 | $9.72 | ||||
Total return (b) | 14.59% | (2.89)%(c) | 10.39% | 6.19% | (0.75)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $91 | $42 | $189 | $819 | $1,030 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.22% | 0.23% | 0.27% | 0.58% | 5.07% | ||||
Net expenses (d) | (0.01)%(e) | 0.03% | (0.05)%(e) | 0.01% | 0.02% | ||||
Net investment income (loss) | 3.87% | 1.87% | 1.79% | 1.85% | 2.32% | ||||
Portfolio turnover rate | 20% | 29% | 34% | 49% | 55% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.01 | $10.85 | $10.09 | $9.72 | $10.03 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.31 | 0.28 | 0.29 | 0.28 | 0.22 | ||||
Net realized and unrealized gain (loss) | 1.14 | (0.59) | 0.76 | 0.32 | (0.30) | ||||
Total from investment operations | 1.45 | (0.31) | 1.05 | 0.60 | (0.08) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.29) | (0.19) | (0.16) | (0.18) | ||||
Net realized gains | (0.24) | (0.24) | (0.10) | (0.07) | (0.05) | ||||
Total distributions | (0.57) | (0.53) | (0.29) | (0.23) | (0.23) | ||||
Net asset value, end of period | $10.89 | $10.01 | $10.85 | $10.09 | $9.72 | ||||
Total return (b) | 14.49% | (2.86)%(c) | 10.39% | 6.19% | (0.74)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $224,152 | $258,012 | $246,006 | $71,486 | $3,707 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.20% | 0.21% | 0.26% | 0.58% | 5.07% | ||||
Net expenses (d) | (0.03)%(e) | (0.00)%(e)(f) | (0.02)%(e) | (0.01)%(e) | 0.02% | ||||
Net investment income (loss) | 2.85% | 2.54% | 2.71% | 2.72% | 2.19% | ||||
Portfolio turnover rate | 20% | 29% | 34% | 49% | 55% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(f) | Ratio is less than 0.005% |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.29 | $11.34 | $10.27 | $9.75 | $10.14 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.43 | 0.25 | 0.16 | 0.33 | ||||
Net realized and unrealized gain (loss) | 1.48 | (0.90) | 1.13 | 0.54 | (0.49) | ||||
Total from investment operations | 1.80 | (0.47) | 1.38 | 0.70 | (0.16) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.29) | (0.23) | (0.17) | (0.22) | ||||
Net realized gains | (0.37) | (0.29) | (0.08) | (0.01) | (0.01) | ||||
Total distributions | (0.70) | (0.58) | (0.31) | (0.18) | (0.23) | ||||
Net asset value, end of period | $11.39 | $10.29 | $11.34 | $10.27 | $9.75 | ||||
Total return (b) | 17.53% | (4.17)%(c) | 13.38% | 7.34% | (1.56)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,116 | $1,798 | $680 | $797 | $1,811 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.16% | 0.15% | 0.30% | 0.55% | ||||
Net expenses (d) | 0.01% | 0.02% | 0.01% | 0.07% | 0.01% | ||||
Net investment income (loss) | 2.83% | 3.85% | 2.29% | 1.54% | 3.28% | ||||
Portfolio turnover rate | 21% | 22% | 18% | 28% | 39% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.29 | $11.34 | $10.28 | $9.74 | $10.13 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.33 | 0.29 | 0.29 | 0.27 | 0.23 | ||||
Net realized and unrealized gain (loss) | 1.48 | (0.76) | 1.08 | 0.45 | (0.39) | ||||
Total from investment operations | 1.81 | (0.47) | 1.37 | 0.72 | (0.16) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.29) | (0.23) | (0.17) | (0.22) | ||||
Net realized gains | (0.37) | (0.29) | (0.08) | (0.01) | (0.01) | ||||
Total distributions | (0.70) | (0.58) | (0.31) | (0.18) | (0.23) | ||||
Net asset value, end of period | $11.40 | $10.29 | $11.34 | $10.28 | $9.74 | ||||
Total return (b) | 17.55% | (4.16)%(c) | 13.38% | 7.45% | (1.57)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $783,033 | $847,142 | $775,643 | $235,727 | $52,303 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.15% | 0.15% | 0.24% | 0.55% | ||||
Net expenses (d) | (0.01)%(e) | 0.01% | 0.02% | 0.01% | 0.01% | ||||
Net investment income (loss) | 2.88% | 2.60% | 2.67% | 2.60% | 2.29% | ||||
Portfolio turnover rate | 21% | 22% | 18% | 28% | 39% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.53 | $11.74 | $10.33 | $9.74 | $10.16 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.37 | 0.23 | 0.26 | 0.15 | 0.37 | ||||
Net realized and unrealized gain (loss) | 1.81 | (0.87) | 1.45 | 0.63 | (0.56) | ||||
Total from investment operations | 2.18 | (0.64) | 1.71 | 0.78 | (0.19) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.29) | (0.23) | (0.16) | (0.20) | ||||
Net realized gains | (0.46) | (0.28) | (0.07) | (0.03) | (0.03) | ||||
Total distributions | (0.79) | (0.57) | (0.30) | (0.19) | (0.23) | ||||
Net asset value, end of period | $11.92 | $10.53 | $11.74 | $10.33 | $9.74 | ||||
Total return (b) | 20.76% | (5.48)%(c) | 16.54% | 8.01% | (1.87)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,019 | $1,155 | $2,232 | $2,110 | $3,293 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.15% | 0.15% | 0.33% | 1.31% | ||||
Net expenses (d) | 0.02% | 0.05% | 0.03% | 0.08% | 0.03% | ||||
Net investment income (loss) | 3.10% | 1.98% | 2.36% | 1.53% | 3.71% | ||||
Portfolio turnover rate | 27% | 15% | 10% | 21% | 51% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.55 | $11.75 | $10.34 | $9.75 | $10.16 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.33 | 0.31 | 0.30 | 0.29 | 0.29 | ||||
Net realized and unrealized gain (loss) | 1.85 | (0.94) | 1.41 | 0.49 | (0.47) | ||||
Total from investment operations | 2.18 | (0.63) | 1.71 | 0.78 | (0.18) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.29) | (0.23) | (0.16) | (0.20) | ||||
Net realized gains | (0.46) | (0.28) | (0.07) | (0.03) | (0.03) | ||||
Total distributions | (0.79) | (0.57) | (0.30) | (0.19) | (0.23) | ||||
Net asset value, end of period | $11.94 | $10.55 | $11.75 | $10.34 | $9.75 | ||||
Total return (b) | 20.63% | (5.38)%(c) | 16.52% | 8.00% | (1.77)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,035,188 | $1,007,169 | $830,080 | $206,696 | $21,815 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.14% | 0.15% | 0.28% | 1.31% | ||||
Net expenses (d) | 0.01% | 0.04% | 0.04% | 0.04% | 0.03% | ||||
Net investment income (loss) | 2.83% | 2.63% | 2.63% | 2.81% | 2.86% | ||||
Portfolio turnover rate | 27% | 15% | 10% | 21% | 51% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.67 | $11.98 | $10.37 | $9.76 | $10.15 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.38 | 0.29 | 0.25 | 0.14 | 0.35 | ||||
Net realized and unrealized gain (loss) | 2.03 | (1.05) | 1.64 | 0.65 | (0.54) | ||||
Total from investment operations | 2.41 | (0.76) | 1.89 | 0.79 | (0.19) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.27) | (0.23) | (0.16) | (0.20) | ||||
Net realized gains | (0.50) | (0.28) | (0.05) | (0.02) | (0.00)(b) | ||||
Total distributions | (0.82) | (0.55) | (0.28) | (0.18) | (0.20) | ||||
Net asset value, end of period | $12.26 | $10.67 | $11.98 | $10.37 | $9.76 | ||||
Total return (c) | 22.55% | (6.24)% | 18.27% | 8.10% | (1.83)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,837 | $1,768 | $1,716 | $1,522 | $2,066 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.15% | 0.15% | 0.30% | 0.59% | ||||
Net expenses (d) | 0.04% | 0.07% | 0.06% | 0.08% | 0.03% | ||||
Net investment income (loss) | 3.12% | 2.44% | 2.25% | 1.39% | 3.52% | ||||
Portfolio turnover rate | 30% | 12% | 7% | 18% | 33% |
(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. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.69 | $12.00 | $10.38 | $9.76 | $10.15 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.33 | 0.29 | 0.28 | 0.25 | 0.25 | ||||
Net realized and unrealized gain (loss) | 2.07 | (1.04) | 1.62 | 0.55 | (0.44) | ||||
Total from investment operations | 2.40 | (0.75) | 1.90 | 0.80 | (0.19) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.28) | (0.23) | (0.16) | (0.20) | ||||
Net realized gains | (0.50) | (0.28) | (0.05) | (0.02) | (0.00)(b) | ||||
Total distributions | (0.82) | (0.56) | (0.28) | (0.18) | (0.20) | ||||
Net asset value, end of period | $12.27 | $10.69 | $12.00 | $10.38 | $9.76 | ||||
Total return (c) | 22.52% | (6.22)% | 18.35% | 8.20% | (1.83)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,072,332 | $960,339 | $778,969 | $225,549 | $48,114 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.14% | 0.15% | 0.26% | 0.59% | ||||
Net expenses (d) | 0.03% | 0.06% | 0.06% | 0.05% | 0.03% | ||||
Net investment income (loss) | 2.75% | 2.43% | 2.46% | 2.48% | 2.42% | ||||
Portfolio turnover rate | 30% | 12% | 7% | 18% | 33% |
(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. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.80 | $12.18 | $10.43 | $9.77 | $10.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.36 | 0.30 | 0.13 | 0.11 | 0.31 | ||||
Net realized and unrealized gain (loss) | 2.19 | (1.14) | 1.91 | 0.74 | (0.51) | ||||
Total from investment operations | 2.55 | (0.84) | 2.04 | 0.85 | (0.20) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.22) | (0.16) | (0.18) | ||||
Net realized gains | (0.51) | (0.28) | (0.07) | (0.03) | (0.02) | ||||
Total distributions | (0.81) | (0.54) | (0.29) | (0.19) | (0.20) | ||||
Net asset value, end of period | $12.54 | $10.80 | $12.18 | $10.43 | $9.77 | ||||
Total return (b) | 23.62% | (6.88)%(c) | 19.56% | 8.61% | (2.00)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,193 | $442 | $371 | $840 | $1,416 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21% | 0.16% | 0.17% | 0.36% | 1.83% | ||||
Net expenses (d) | 0.12% | 0.07% | 0.07% | 0.09% | 0.03% | ||||
Net investment income (loss) | 2.95% | 2.49% | 1.10% | 1.08% | 3.07% | ||||
Portfolio turnover rate | 28% | 13% | 6% | 18% | 38% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.83 | $12.21 | $10.44 | $9.78 | $10.17 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.28 | 0.27 | 0.27 | 0.32 | ||||
Net realized and unrealized gain (loss) | 2.24 | (1.12) | 1.79 | 0.58 | (0.51) | ||||
Total from investment operations | 2.56 | (0.84) | 2.06 | 0.85 | (0.19) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.31) | (0.26) | (0.22) | (0.16) | (0.18) | ||||
Net realized gains | (0.51) | (0.28) | (0.07) | (0.03) | (0.02) | ||||
Total distributions | (0.82) | (0.54) | (0.29) | (0.19) | (0.20) | ||||
Net asset value, end of period | $12.57 | $10.83 | $12.21 | $10.44 | $9.78 | ||||
Total return (b) | 23.61% | (6.85)%(c) | 19.73% | 8.60% | (1.90)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $907,369 | $796,187 | $584,717 | $165,008 | $17,223 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.15% | 0.17% | 0.33% | 1.83% | ||||
Net expenses (d) | 0.05% | 0.07% | 0.08% | 0.06% | 0.03% | ||||
Net investment income (loss) | 2.60% | 2.30% | 2.34% | 2.64% | 3.12% | ||||
Portfolio turnover rate | 28% | 13% | 6% | 18% | 38% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.79 | $12.26 | $10.39 | $9.71 | $10.13 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.31 | 0.24 | 0.09 | 0.40 | ||||
Net realized and unrealized gain (loss) | 2.37 | (1.23) | 1.91 | 0.78 | (0.63) | ||||
Total from investment operations | 2.66 | (0.92) | 2.15 | 0.87 | (0.23) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.23) | (0.16) | (0.19) | ||||
Net realized gains | (0.50) | (0.29) | (0.05) | (0.03) | (0.00)(b) | ||||
Total distributions | (0.80) | (0.55) | (0.28) | (0.19) | (0.19) | ||||
Net asset value, end of period | $12.65 | $10.79 | $12.26 | $10.39 | $9.71 | ||||
Total return (c) | 24.64% | (7.46)%(d) | 20.59% | 9.00% | (2.28)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,398 | $1,247 | $912 | $708 | $1,501 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.17% | 0.19% | 0.17% | 0.38% | 0.79% | ||||
Net expenses (e) | 0.07% | 0.09% | 0.07% | 0.10% | 0.02% | ||||
Net investment income (loss) | 2.33% | 2.50% | 2.14% | 0.86% | 4.02% | ||||
Portfolio turnover rate | 32% | 11% | 6% | 16% | 38% |
(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. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.79 | $12.27 | $10.40 | $9.72 | $10.13 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.28 | 0.26 | 0.24 | 0.25 | ||||
Net realized and unrealized gain (loss) | 2.35 | (1.21) | 1.89 | 0.63 | (0.47) | ||||
Total from investment operations | 2.67 | (0.93) | 2.15 | 0.87 | (0.22) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.23) | (0.16) | (0.19) | ||||
Net realized gains | (0.50) | (0.29) | (0.05) | (0.03) | (0.00)(b) | ||||
Total distributions | (0.80) | (0.55) | (0.28) | (0.19) | (0.19) | ||||
Net asset value, end of period | $12.66 | $10.79 | $12.27 | $10.40 | $9.72 | ||||
Total return (c) | 24.66% | (7.52)%(d) | 20.69% | 8.89% | (2.18)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $778,976 | $636,762 | $458,132 | $143,526 | $35,359 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.16% | 0.16% | 0.17% | 0.32% | 0.79% | ||||
Net expenses (e) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | ||||
Net investment income (loss) | 2.63% | 2.24% | 2.30% | 2.31% | 2.47% | ||||
Portfolio turnover rate | 32% | 11% | 6% | 16% | 38% |
(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. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.77 | $12.29 | $10.36 | $9.64 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.33 | 0.20 | 0.15 | 0.30 | ||||
Net realized and unrealized gain (loss) | 2.45 | (1.31) | 2.02 | 0.75 | (0.54) | ||||
Total from investment operations | 2.74 | (0.98) | 2.22 | 0.90 | (0.24) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.24) | (0.16) | (0.17) | ||||
Net realized gains | (0.49) | (0.28) | (0.05) | (0.02) | (0.01) | ||||
Total distributions | (0.79) | (0.54) | (0.29) | (0.18) | (0.18) | ||||
Net asset value, end of period | $12.72 | $10.77 | $12.29 | $10.36 | $9.64 | ||||
Total return (b) | 25.45% | (7.96)%(c) | 21.45% | 9.31% | (2.40)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $962 | $787 | $762 | $853 | $782 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21% | 0.20% | 0.21% | 0.59% | 3.25% | ||||
Net expenses (d) | 0.09% | 0.08% | 0.06% | 0.06% | 0.01% | ||||
Net investment income (loss) | 2.34% | 2.68% | 1.73% | 1.46% | 2.97% | ||||
Portfolio turnover rate | 32% | 11% | 5% | 17% | 35% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.77 | $12.29 | $10.36 | $9.63 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.32 | 0.28 | 0.28 | 0.27 | 0.30 | ||||
Net realized and unrealized gain (loss) | 2.42 | (1.26) | 1.94 | 0.64 | (0.55) | ||||
Total from investment operations | 2.74 | (0.98) | 2.22 | 0.91 | (0.25) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.24) | (0.16) | (0.17) | ||||
Net realized gains | (0.49) | (0.28) | (0.05) | (0.02) | (0.01) | ||||
Total distributions | (0.79) | (0.54) | (0.29) | (0.18) | (0.18) | ||||
Net asset value, end of period | $12.72 | $10.77 | $12.29 | $10.36 | $9.63 | ||||
Total return (b) | 25.49% | (7.94)%(c) | 21.45% | 9.31% | (2.40)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $587,488 | $465,425 | $300,444 | $76,304 | $8,374 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.17% | 0.19% | 0.21% | 0.57% | 3.25% | ||||
Net expenses (d) | 0.05% | 0.07% | 0.07% | 0.05% | 0.01% | ||||
Net investment income (loss) | 2.62% | 2.29% | 2.39% | 2.62% | 2.99% | ||||
Portfolio turnover rate | 32% | 11% | 5% | 17% | 35% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.70 | $12.24 | $10.33 | $9.62 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.28 | 0.37 | 0.15 | 0.08 | 0.43 | ||||
Net realized and unrealized gain (loss) | 2.47 | (1.37) | 2.06 | 0.80 | (0.69) | ||||
Total from investment operations | 2.75 | (1.00) | 2.21 | 0.88 | (0.26) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.26) | (0.25) | (0.15) | (0.18) | ||||
Net realized gains | (0.56) | (0.28) | (0.05) | (0.02) | (0.00)(b) | ||||
Total distributions | (0.85) | (0.54) | (0.30) | (0.17) | (0.18) | ||||
Net asset value, end of period | $12.60 | $10.70 | $12.24 | $10.33 | $9.62 | ||||
Total return (c) | 25.76% | (8.14)% | 21.30% | 9.34% | (2.61)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $448 | $374 | $240 | $366 | $795 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.25% | 0.25% | 0.25% | 0.97% | 4.65% | ||||
Net expenses (d) | 0.09% | 0.08% | 0.06% | 0.12% | 0.02% | ||||
Net investment income (loss) | 2.32% | 3.05% | 1.34% | 0.76% | 4.40% | ||||
Portfolio turnover rate | 41% | 11% | 5% | 16% | 35% |
(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. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.70 | $12.24 | $10.33 | $9.61 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.34 | 0.28 | 0.27 | 0.26 | 0.28 | ||||
Net realized and unrealized gain (loss) | 2.42 | (1.28) | 1.94 | 0.63 | (0.55) | ||||
Total from investment operations | 2.76 | (1.00) | 2.21 | 0.89 | (0.27) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.26) | (0.25) | (0.15) | (0.18) | ||||
Net realized gains | (0.56) | (0.28) | (0.05) | (0.02) | (0.00)(b) | ||||
Total distributions | (0.86) | (0.54) | (0.30) | (0.17) | (0.18) | ||||
Net asset value, end of period | $12.60 | $10.70 | $12.24 | $10.33 | $9.61 | ||||
Total return (c) | 25.81% | (8.13)% | 21.42% | 9.35% | (2.71)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $380,668 | $300,431 | $212,217 | $48,016 | $5,736 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21% | 0.23% | 0.25% | 0.90% | 4.65% | ||||
Net expenses (d) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | ||||
Net investment income (loss) | 2.74% | 2.30% | 2.37% | 2.61% | 2.82% | ||||
Portfolio turnover rate | 41% | 11% | 5% | 16% | 35% |
(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. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.70 | $12.25 | $10.32 | $9.60 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.33 | 0.31 | 0.11 | 0.16 | 0.22 | ||||
Net realized and unrealized gain (loss) | 2.41 | (1.29) | 2.11 | 0.73 | (0.49) | ||||
Total from investment operations | 2.74 | (0.98) | 2.22 | 0.89 | (0.27) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.25) | (0.24) | (0.15) | (0.18) | ||||
Net realized gains | (0.46) | (0.32) | (0.05) | (0.02) | (0.01) | ||||
Total distributions | (0.76) | (0.57) | (0.29) | (0.17) | (0.19) | ||||
Net asset value, end of period | $12.68 | $10.70 | $12.25 | $10.32 | $9.60 | ||||
Total return (b) | 25.65% | (7.93)%(c) | 21.60% | 9.33% | (2.65)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $241 | $130 | $105 | $271 | $222 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.30% | 0.40% | 0.52% | 2.09% | 7.69% | ||||
Net expenses (d) | 0.05% | 0.07% | 0.06% | 0.04% | 0.02% | ||||
Net investment income (loss) | 2.69% | 2.53% | 0.95% | 1.58% | 2.20% | ||||
Portfolio turnover rate | 42% | 16% | 7% | 14% | 40% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.68 | $12.23 | $10.31 | $9.59 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.35 | 0.30 | 0.31 | 0.26 | 0.27 | ||||
Net realized and unrealized gain (loss) | 2.39 | (1.28) | 1.90 | 0.63 | (0.55) | ||||
Total from investment operations | 2.74 | (0.98) | 2.21 | 0.89 | (0.28) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.30) | (0.25) | (0.24) | (0.15) | (0.18) | ||||
Net realized gains | (0.46) | (0.32) | (0.05) | (0.02) | (0.01) | ||||
Total distributions | (0.76) | (0.57) | (0.29) | (0.17) | (0.19) | ||||
Net asset value, end of period | $12.66 | $10.68 | $12.23 | $10.31 | $9.59 | ||||
Total return (b) | 25.70% | (7.94)%(c) | 21.53% | 9.34% | (2.75)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $195,598 | $132,520 | $81,529 | $18,718 | $3,043 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.30% | 0.40% | 0.51% | 2.09% | 7.69% | ||||
Net expenses (d) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | ||||
Net investment income (loss) | 2.86% | 2.49% | 2.67% | 2.61% | 2.64% | ||||
Portfolio turnover rate | 42% | 16% | 7% | 14% | 40% |
(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) | 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. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.28 | $11.91 | $10.09 | $9.50 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.29 | 0.30 | 0.15 | 0.15 | 0.20 | ||||
Net realized and unrealized gain (loss) | 2.37 | (1.27) | 2.01 | 0.71 | (0.46) | ||||
Total from investment operations | 2.66 | (0.97) | 2.16 | 0.86 | (0.26) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.24) | (0.23) | (0.14) | (0.19) | ||||
Net realized gains | (0.13) | (0.42) | (0.11) | (0.13) | (0.11) | ||||
Total distributions | (0.41) | (0.66) | (0.34) | (0.27) | (0.30) | ||||
Net asset value, end of period | $12.53 | $10.28 | $11.91 | $10.09 | $9.50 | ||||
Total return (b) | 25.86% | (8.13)% | 21.45% | 9.09% | (2.53)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $163 | $121 | $103 | $170 | $162 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.85% | 1.56% | 3.13% | 11.36% | 29.76% | ||||
Net expenses (c) | 0.04% | 0.06% | 0.06% | 0.05% | 0.02% | ||||
Net investment income (loss) | 2.42% | 2.55% | 1.31% | 1.51% | 1.96% | ||||
Portfolio turnover rate | 29% | 38% | 18% | 55% | 73% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||
Net asset value, beginning of period | $10.28 | $11.91 | $10.08 | $9.49 | $10.06 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.39 | 0.34 | 0.33 | 0.29 | 0.19 | ||||
Net realized and unrealized gain (loss) | 2.27 | (1.31) | 1.84 | 0.57 | (0.45) | ||||
Total from investment operations | 2.66 | (0.97) | 2.17 | 0.86 | (0.26) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.28) | (0.24) | (0.23) | (0.14) | (0.20) | ||||
Net realized gains | (0.13) | (0.42) | (0.11) | (0.13) | (0.11) | ||||
Total distributions | (0.41) | (0.66) | (0.34) | (0.27) | (0.31) | ||||
Net asset value, end of period | $12.53 | $10.28 | $11.91 | $10.08 | $9.49 | ||||
Total return (b) | 25.87% | (8.13)% | 21.57% | 8.98% | (2.53)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $74,373 | $25,829 | $12,141 | $3,344 | $269 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.84% | 1.56% | 3.07% | 11.36% | 29.76% | ||||
Net expenses (c) | 0.04% | 0.06% | 0.07% | 0.06% | 0.02% | ||||
Net investment income (loss) | 3.33% | 2.87% | 2.94% | 2.91% | 1.88% | ||||
Portfolio turnover rate | 29% | 38% | 18% | 55% | 73% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
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 | $57,915,534 | $59,903,314 | |
State Street Target Retirement 2015 Fund | 53,345,800 | 111,993,008 | |
State Street Target Retirement 2020 Fund | 200,270,637 | 377,956,473 | |
State Street Target Retirement 2025 Fund | 321,850,227 | 461,169,204 | |
State Street Target Retirement 2030 Fund | 353,186,936 | 426,285,091 | |
State Street Target Retirement 2035 Fund | 271,345,005 | 324,794,978 | |
State Street Target Retirement 2040 Fund | 254,449,695 | 251,828,566 | |
State Street Target Retirement 2045 Fund | 203,837,028 | 189,811,191 | |
State Street Target Retirement 2050 Fund | 171,736,370 | 163,485,743 | |
State Street Target Retirement 2055 Fund | 110,630,377 | 81,238,938 | |
State Street Target Retirement 2060 Fund | 53,649,270 | 13,500,601 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $6,717,433 | $1,191,458 | $7,908,891 | ||
State Street Target Retirement 2015 Fund | 7,995,393 | 5,955,582 | 13,950,975 | ||
State Street Target Retirement 2020 Fund | 28,504,687 | 31,669,403 | 60,174,090 | ||
State Street Target Retirement 2025 Fund | 35,201,034 | 48,888,257 | 84,089,291 | ||
State Street Target Retirement 2030 Fund | 33,647,936 | 53,107,898 | 86,755,834 | ||
State Street Target Retirement 2035 Fund | 26,424,015 | 43,507,219 | 69,931,234 | ||
State Street Target Retirement 2040 Fund | 21,978,600 | 36,089,965 | 58,068,565 | ||
State Street Target Retirement 2045 Fund | 16,446,580 | 26,844,731 | 43,291,311 | ||
State Street Target Retirement 2050 Fund | 11,563,356 | 21,794,451 | 33,357,807 | ||
State Street Target Retirement 2055 Fund | 5,930,088 | 9,192,039 | 15,122,127 | ||
State Street Target Retirement 2060 Fund | 1,718,785 | 624,438 | 2,343,223 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $ 5,459,542 | $ 2,944,450 | $ 8,403,992 | ||
State Street Target Retirement 2015 Fund | 6,947,226 | 5,845,462 | 12,792,688 | ||
State Street Target Retirement 2020 Fund | 22,324,617 | 22,293,902 | 44,618,519 | ||
State Street Target Retirement 2025 Fund | 26,008,380 | 24,732,776 | 50,741,156 | ||
State Street Target Retirement 2030 Fund | 23,405,446 | 24,101,005 | 47,506,451 | ||
State Street Target Retirement 2035 Fund | 18,319,269 | 19,301,068 | 37,620,337 | ||
State Street Target Retirement 2040 Fund | 14,545,276 | 16,269,867 | 30,815,143 | ||
State Street Target Retirement 2045 Fund | 10,572,370 | 11,483,164 | 22,055,534 | ||
State Street Target Retirement 2050 Fund | 6,860,173 | 7,457,005 | 14,317,178 | ||
State Street Target Retirement 2055 Fund | 2,946,317 | 3,738,977 | 6,685,294 | ||
State Street Target Retirement 2060 Fund | 565,388 | 967,472 | 1,532,860 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Target Retirement Fund | $3,861 | $— | $441,996 | $7,512,107 | $7,957,964 | ||||
State Street Target Retirement 2015 Fund | 2,143 | — | 243,473 | 9,189,084 | 9,434,700 | ||||
State Street Target Retirement 2020 Fund | 7,608 | — | 11,834,640 | 41,794,489 | 53,636,737 | ||||
State Street Target Retirement 2025 Fund | 44,398 | — | 20,176,319 | 65,314,783 | 85,535,500 | ||||
State Street Target Retirement 2030 Fund | 65,540 | — | 26,313,723 | 78,090,296 | 104,469,559 | ||||
State Street Target Retirement 2035 Fund | 106,678 | — | 22,724,739 | 65,903,631 | 88,735,048 | ||||
State Street Target Retirement 2040 Fund | 79,627 | — | 20,919,869 | 60,662,058 | 81,661,554 | ||||
State Street Target Retirement 2045 Fund | 66,873 | — | 15,268,735 | 42,589,349 | 57,924,957 | ||||
State Street Target Retirement 2050 Fund | 56,519 | — | 11,494,895 | 27,887,486 | 39,438,900 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Target Retirement 2055 Fund | $469 | $— | $3,553,038 | $13,619,033 | $17,172,540 | ||||
State Street Target Retirement 2060 Fund | — | — | 398,232 | 4,668,948 | 5,067,180 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $212,179,579 | $7,512,107 | $— | $7,512,107 | |||
State Street Target Retirement 2015 Fund | 218,578,830 | 9,189,084 | — | 9,189,084 | |||
State Street Target Retirement 2020 Fund | 750,564,595 | 41,794,489 | — | 41,794,489 | |||
State Street Target Retirement 2025 Fund | 982,854,749 | 65,314,783 | — | 65,314,783 | |||
State Street Target Retirement 2030 Fund | 1,004,202,037 | 78,090,296 | — | 78,090,296 | |||
State Street Target Retirement 2035 Fund | 851,210,479 | 65,903,631 | — | 65,903,631 | |||
State Street Target Retirement 2040 Fund | 724,931,447 | 60,662,058 | — | 60,662,058 | |||
State Street Target Retirement 2045 Fund | 551,539,743 | 42,589,349 | — | 42,589,349 | |||
State Street Target Retirement 2050 Fund | 358,017,756 | 27,887,486 | — | 27,887,486 | |||
State Street Target Retirement 2055 Fund | 185,220,076 | 13,619,033 | — | 13,619,033 | |||
State Street Target Retirement 2060 Fund | 70,061,876 | 4,668,948 | — | 4,668,948 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement 2015 Fund | $ 3,241,891 | $ 2,331,375 | $ 987,000 | $ 3,318,375 | ||||
State Street Target Retirement 2020 Fund | 4,102,987 | 4,036,500 | 168,000 | 4,204,500 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement 2030 Fund | $239,222 | $212,325 | $32,200 | $244,525 | ||||
State Street Target Retirement 2035 Fund | 1,030,055 | — | 1,066,625 | 1,066,625 | ||||
State Street Target Retirement 2040 Fund | 2,993 | — | 3,099 | 3,099 | ||||
State Street Target Retirement 2055 Fund | 11,661 | — | 12,075 | 12,075 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 2015 Fund | Mutual Funds and Exchange Traded Products | $2,331,375 | $— | $— | $— | $2,331,375 | $2,331,375 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 4,036,500 | — | — | — | 4,036,500 | 4,036,500 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 212,325 | — | — | — | 212,325 | 212,325 |
February 27, 2020
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 | (0.02)% | $1,043.00 | $(0.10) | $1,025.30 | $(0.10) | ||||
Class K | (0.03) | 1,043.00 | (0.15) | 1,025.40 | (0.15) | ||||
State Street Target Retirement 2015 Fund | |||||||||
Class I | (0.01) | 1,044.60 | (0.05) | 1,025.30 | (0.05) | ||||
Class K | (0.03) | 1,043.80 | (0.15) | 1,025.40 | (0.15) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.01 | 1,054.40 | 0.05 | 1,025.20 | 0.05 | ||||
Class K | (0.01) | 1,053.60 | (0.05) | 1,025.30 | (0.05) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.02 | 1,065.00 | 0.10 | 1,025.10 | 0.10 | ||||
Class K | 0.01 | 1,064.10 | 0.05 | 1,025.20 | 0.05 | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.03 | 1,071.80 | 0.16 | 1,025.10 | 0.15 | ||||
Class K | 0.02 | 1,071.80 | 0.10 | 1,025.10 | 0.10 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.15 | 1,075.00 | 0.78 | 1,024.40 | 0.77 | ||||
Class K | 0.05 | 1,075.20 | 0.26 | 1,025.00 | 0.26 | ||||
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% | $1,078.50 | $0.37 | $1,024.90 | $0.36 | ||||
Class K | 0.05 | 1,077.80 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2045 Fund | |||||||||
Class I | 0.08 | 1,080.00 | 0.42 | 1,024.80 | 0.41 | ||||
Class K | 0.05 | 1,080.30 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.09 | 1,081.70 | 0.47 | 1,024.80 | 0.46 | ||||
Class K | 0.05 | 1,082.10 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.05 | 1,081.60 | 0.26 | 1,025.00 | 0.26 | ||||
Class K | 0.05 | 1,081.80 | 0.26 | 1,025.00 | 0.26 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.05 | 1,081.80 | 0.26 | 1,025.00 | 0.26 | ||||
Class K | 0.05 | 1,081.90 | 0.26 | 1,025.00 | 0.26 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
Amount | |
State Street Target Retirement Fund | $1,191,458 |
State Street Target Retirement 2015 Fund | 5,955,582 |
State Street Target Retirement 2020 Fund | 31,669,403 |
State Street Target Retirement 2025 Fund | 48,888,257 |
State Street Target Retirement 2030 Fund | 53,107,898 |
State Street Target Retirement 2035 Fund | 43,507,219 |
State Street Target Retirement 2040 Fund | 36,089,965 |
State Street Target Retirement 2045 Fund | 26,844,731 |
State Street Target Retirement 2050 Fund | 21,794,451 |
State Street Target Retirement 2055 Fund | 9,192,039 |
State Street Target Retirement 2060 Fund | 624,438 |
Amount | |
State Street Target Retirement Fund | $50,826 |
State Street Target Retirement 2015 Fund | 60,163 |
State Street Target Retirement 2020 Fund | 326,802 |
State Street Target Retirement 2025 Fund | 597,244 |
State Street Target Retirement 2030 Fund | 744,673 |
State Street Target Retirement 2035 Fund | 676,663 |
State Street Target Retirement 2040 Fund | 619,195 |
State Street Target Retirement 2045 Fund | 494,615 |
State Street Target Retirement 2050 Fund | 356,453 |
Amount | |
State Street Target Retirement 2055 Fund | $181,749 |
State Street Target Retirement 2060 Fund | 50,248 |
Amount | |
State Street Target Retirement Fund | $600,378 |
State Street Target Retirement 2015 Fund | 710,667 |
State Street Target Retirement 2020 Fund | 3,860,306 |
State Street Target Retirement 2025 Fund | 7,054,864 |
State Street Target Retirement 2030 Fund | 8,796,349 |
State Street Target Retirement 2035 Fund | 7,992,992 |
State Street Target Retirement 2040 Fund | 7,314,155 |
State Street Target Retirement 2045 Fund | 5,842,578 |
State Street Target Retirement 2050 Fund | 4,210,552 |
State Street Target Retirement 2055 Fund | 2,146,885 |
State Street Target Retirement 2060 Fund | 593,543 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 China Equity Select Fund |
1 | |
4 | |
6 | |
7 | |
8 | |
9 | |
10 | |
16 | |
17 |
(Based on Net Asset Value)
Total Return Inception Date* to December 31, 2019 | |||
State Street China Equity Select Fund Class K | 18.71% | ||
MSCI China Index(1) | 18.00% | ||
* | Inception date is May 29, 2019. |
(1) | The MSCI China Index captures large and mid-cap representation across China H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs). The index covers about 85% of this China equity universe. Currently, the index also includes Large Cap A shares represented at 5% of their free float adjusted market capitalization. |
% of Net Assets | |||
Common Stocks | 98.4% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 1.6 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Consumer Discretionary | 32.2% | ||
Communication Services | 23.1 | ||
Financials | 21.0 | ||
Consumer Staples | 8.7 | ||
Real Estate | 4.7 | ||
TOTAL | 89.7% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.4% | |||||
CHINA — 93.2% | |||||
Alibaba Group Holding, Ltd. ADR (a) | 4,303 | $912,666 | |||
ANTA Sports Products, Ltd. | 13,000 | 116,372 | |||
Baidu, Inc. ADR (a) | 750 | 94,800 | |||
Bank of China, Ltd. Class H | 144,000 | 61,542 | |||
BeiGene, Ltd. ADR (a) | 200 | 33,152 | |||
Centre Testing International Group Co., Ltd. Class A | 27,000 | 57,798 | |||
China Construction Bank Corp. Class H | 295,000 | 254,800 | |||
China Merchants Bank Co., Ltd. Class H | 45,500 | 233,871 | |||
China Petroleum & Chemical Corp. Class H | 80,000 | 48,153 | |||
China Vanke Co., Ltd. Class H | 16,000 | 68,277 | |||
CNOOC, Ltd. | 56,000 | 93,144 | |||
Country Garden Holdings Co., Ltd. | 43,000 | 68,872 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 12,600 | 118,635 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 239,000 | 184,040 | |||
JD.com, Inc. ADR (a) | 10,077 | 355,013 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 5,000 | 62,827 | |||
Kweichow Moutai Co., Ltd. Class A | 1,700 | 288,738 | |||
Longfor Group Holdings, Ltd. (b) | 26,500 | 124,137 | |||
Midea Group Co., Ltd. Class A | 11,800 | 98,684 | |||
NetEase, Inc. ADR | 738 | 226,300 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 149 | 18,066 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 28,000 | 330,963 | |||
Shanghai International Airport Co., Ltd. Class A | 4,000 | 45,225 | |||
Shenzhou International Group Holdings, Ltd. | 6,500 | 95,017 | |||
TAL Education Group ADR (a) | 3,342 | 161,084 | |||
Tencent Holdings, Ltd. | 19,300 | 930,347 | |||
Trip.com Group, Ltd. ADR (a) | 654 | 21,935 |
Security Description | Shares | Value | |||
Wuliangye Yibin Co., Ltd. Class A | 11,800 | $225,339 | |||
WuXi AppTec Co., Ltd. Class H (b) | 3,200 | 39,693 | |||
Wuxi Biologics Cayman, Inc. (a)(b) | 10,000 | 126,608 | |||
5,496,098 | |||||
HONG KONG — 5.2% | |||||
AIA Group, Ltd. | 16,600 | 174,270 | |||
China Mobile, Ltd. | 13,500 | 113,485 | |||
China Resources Land, Ltd. | 4,000 | 19,918 | |||
307,673 | |||||
TOTAL COMMON STOCKS (Cost $4,907,866) | 5,803,771 |
SHORT-TERM INVESTMENT — 0.0% (c) | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (d) (e) (Cost $146) | 146 | 146 | |
TOTAL INVESTMENTS — 98.4% (Cost $4,908,012) | 5,803,917 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.6% | 91,636 | ||
NET ASSETS — 100.0% | $5,895,553 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 4.9% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Amount is less than 0.05% of net assets. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 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 | $5,803,771 | $— | $— | $5,803,771 | ||||
Short-Term Investment | 146 | — | — | 146 | ||||
TOTAL INVESTMENTS | $5,803,917 | $— | $— | $5,803,917 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $926,492 | $926,346 | $— | $— | 146 | $146 | $1,145 |
* | Commencement of operations. |
ASSETS | |
Investments in unaffiliated issuers, at value | $5,803,771 |
Investments in affiliated issuers, at value | 146 |
Total Investments | 5,803,917 |
Foreign currency, at value | 47,107 |
Receivable for investments sold | 12,661 |
Dividends receivable — unaffiliated issuers | 1,336 |
Receivable from Adviser | 71,214 |
Prepaid expenses and other assets | 14 |
TOTAL ASSETS | 5,936,249 |
LIABILITIES | |
Due to custodian | 20,218 |
Advisory fee payable | 4,379 |
Custodian fees payable | 4,011 |
Administration fees payable | 243 |
Transfer agent fees payable | 11 |
Registration and filing fees payable | 629 |
Professional fees payable | 8,376 |
Printing and postage fees payable | 2,829 |
TOTAL LIABILITIES | 40,696 |
NET ASSETS | $5,895,553 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,999,726 |
Total distributable earnings (loss) | 895,827 |
NET ASSETS | $5,895,553 |
Class K | |
Net Assets | $5,895,553 |
Shares Outstanding | 500,000 |
Net asset value, offering and redemption price per share | $11.79 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $4,907,866 |
Investments in affiliated issuers | 146 |
Total cost of investments | $4,908,012 |
Foreign currency, at cost | $46,040 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 75,485 |
Dividend income — affiliated issuers | 1,145 |
Foreign taxes withheld | (5,906) |
TOTAL INVESTMENT INCOME (LOSS) | 70,724 |
EXPENSES | |
Advisory fee | 28,501 |
Administration fees | 1,583 |
Custodian fees | 27,745 |
Trustees’ fees and expenses | 9,030 |
Transfer agent fees | 1,621 |
Registration and filing fees | 1,260 |
Professional fees and expenses | 74,233 |
Printing and postage fees | 26,330 |
Insurance expense | 14 |
Miscellaneous expenses | 524 |
TOTAL EXPENSES | 170,841 |
Expenses waived/reimbursed by the Adviser | (142,358) |
NET EXPENSES | 28,483 |
NET INVESTMENT INCOME (LOSS) | $42,241 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,146) |
Foreign currency transactions | (1,965) |
Net realized gain (loss) | (3,111) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 895,905 |
Foreign currency translations | 1,068 |
Net change in unrealized appreciation/depreciation | 896,973 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 893,862 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $936,103 |
For the Period 5/29/19*- 12/31/19 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $42,241 |
Net realized gain (loss) | (3,111) |
Net change in unrealized appreciation/depreciation | 896,973 |
Net increase (decrease) in net assets resulting from operations | 936,103 |
Distributions to shareholders | (40,550) |
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 | 5,895,553 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $5,895,553 |
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*- 12/31/19 | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.09 |
Net realized and unrealized gain (loss) | 1.78 |
Total from investment operations | 1.87 |
Distributions to shareholders from: | |
Net investment income | (0.08) |
Total distributions | (0.08) |
Net asset value, end of period | $11.79 |
Total return (b) | 18.71% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $5,896 |
Ratios to average net assets: | |
Total expenses | 5.35%(c) |
Net expenses | 0.90%(c) |
Net investment income (loss) | 1.32%(c) |
Portfolio turnover rate | 18%(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 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) | 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 | $5,825,619 | $916,606 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street China Equity Select Fund | $40,550 | $— | $40,550 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street China Equity Select Fund | $— | $(1,146) | $— | $895,905 | $894,759 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street China Equity Select Fund | $1,146 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $4,908,012 | $920,915 | $25,010 | $895,905 |
February 27, 2020
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% | $1,098.10 | $4.76 | $1,020.70 | $4.58 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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 | |
3 | |
4 | |
8 | |
9 | |
10 | |
11 | |
12 | |
19 | |
20 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street Hedged International Developed Equity Index Fund Class K | 24.82% | 5.52% | ||
MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index(1) | 24.64% | 5.82% | ||
* | Inception date is May 29, 2015. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI EAFE Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 21 developed markets countries and its local performance is calculated in 13 different currencies, including the Euro. Index returns are net of dividend withholding taxes. |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 98.8% | ||
Short-Term Investment | 2.6 | ||
Liabilities in Excess of Other Assets | (1.4) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.8% | ||||||
UNITED STATES — 98.8% | ||||||
State Street International Developed Equity Portfolio (a) (Cost: $3,233,741,910) | $3,726,392,786 | |||||
SHORT-TERM INVESTMENT — 2.6% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (b)(c) (Cost $99,832,157) | 99,822,414 | 99,832,396 | ||||
TOTAL INVESTMENTS — 101.4% (Cost $3,333,574,067) | 3,826,225,182 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.4)% | (53,481,729) | |||||
NET ASSETS — 100.0% | $3,772,743,453 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2019. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank Of America, N.A. | USD2,929,960 | AUD4,185,000 | 01/03/2020 | $11,886 | ||||
Bank Of America, N.A. | USD6,727,818 | GBP5,128,000 | 01/03/2020 | 65,504 | ||||
Bank Of America, N.A. | JPY247,809,000 | USD2,278,787 | 01/07/2020 | (1,489) | ||||
Bank of Montreal | USD604,607,861 | EUR538,626,157 | 01/03/2020 | (274) | ||||
Bank of Montreal | USD23,999,240 | NOK210,888,520 | 01/03/2020 | — | ||||
Bank of Montreal | CHF335,420,571 | USD336,608,800 | 01/03/2020 | (9,774,811) | ||||
Bank of Montreal | GBP232,223,273 | USD300,803,450 | 01/03/2020 | (6,834,497) | ||||
Bank of Montreal | CHF835,000 | USD843,724 | 01/03/2020 | (18,567) | ||||
Bank of Montreal | EUR538,626,157 | USD605,789,607 | 02/04/2020 | (29,823) | ||||
Bank of Montreal | NOK210,888,520 | USD24,001,206 | 02/04/2020 | (1,481) | ||||
Barclays Bank PLC Wholesale | USD752,749 | DKK5,016,000 | 01/03/2020 | 744 | ||||
Barclays Bank PLC Wholesale | USD13,210,228 | EUR11,784,000 | 01/03/2020 | 17,306 | ||||
Barclays Bank PLC Wholesale | USD10,222,429 | JPY1,113,059,000 | 01/07/2020 | 19,659 | ||||
Barclays Bank PLC Wholesale | HKD6,096,000 | USD782,060 | 02/04/2020 | (33) | ||||
Citibank N.A. | USD354,345,610 | CHF343,130,571 | 01/03/2020 | — | ||||
Citibank N.A. | USD310,532,361 | GBP234,408,274 | 01/03/2020 | 168 | ||||
Citibank N.A. | DKK433,836,566 | USD64,196,950 | 01/03/2020 | (973,032) | ||||
Citibank N.A. | AUD373,091,050 | USD252,567,717 | 01/03/2020 | (9,696,689) | ||||
Citibank N.A. | ILS44,368,174 | USD12,803,375 | 01/03/2020 | (42,072) | ||||
Citibank N.A. | JPY49,281,528,305 | USD451,310,512 | 01/07/2020 | (2,165,709) | ||||
Citibank N.A. | GBP234,408,274 | USD310,801,930 | 02/04/2020 | (17,702) | ||||
Citibank N.A. | CHF343,130,571 | USD355,130,428 | 02/04/2020 | 57,574 | ||||
Goldman Sachs Bank USA | USD3,876,626 | CHF3,753,000 | 01/03/2020 | (961) | ||||
Goldman Sachs Bank USA | NZD1,828,000 | USD1,173,898 | 01/03/2020 | (59,363) | ||||
Goldman Sachs Bank USA | HKD4,221,000 | USD539,042 | 01/03/2020 | (2,682) | ||||
Goldman Sachs Bank USA | USD574,162 | NOK5,045,000 | 02/04/2020 | 45 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Goldman Sachs Bank USA | USD617,401 | SGD830,000 | 02/04/2020 | $8 | ||||
Goldman Sachs Bank USA | SEK20,051,000 | USD2,144,997 | 02/04/2020 | (304) | ||||
HSBC Bank USA | USD604,607,861 | EUR538,626,157 | 01/03/2020 | (274) | ||||
HSBC Bank USA | USD10,480,560 | NZD15,534,581 | 01/03/2020 | (155) | ||||
HSBC Bank USA | USD100,004,650 | SEK936,148,531 | 01/03/2020 | — | ||||
HSBC Bank USA | USD532,507 | SGD718,000 | 01/03/2020 | 1,461 | ||||
HSBC Bank USA | USD48,725,170 | SGD65,518,299 | 01/03/2020 | — | ||||
HSBC Bank USA | EUR523,497,157 | USD578,639,730 | 01/03/2020 | (8,985,563) | ||||
HSBC Bank USA | NOK210,888,520 | USD22,908,472 | 01/03/2020 | (1,090,768) | ||||
HSBC Bank USA | SGD65,518,299 | USD48,735,318 | 02/04/2020 | (1,575) | ||||
HSBC Bank USA | NZD15,534,581 | USD10,484,754 | 02/04/2020 | 118 | ||||
HSBC Bank USA | SEK936,148,531 | USD100,157,116 | 02/04/2020 | (3,499) | ||||
HSBC Bank USA | EUR538,626,157 | USD605,798,225 | 02/04/2020 | (21,205) | ||||
JP Morgan Chase Bank, N.A. | DKK28,669,000 | USD4,242,130 | 01/03/2020 | (64,465) | ||||
JP Morgan Chase Bank, N.A. | SEK16,542,000 | USD1,731,834 | 01/03/2020 | (35,275) | ||||
JP Morgan Chase Bank, N.A. | SGD2,762,000 | USD2,020,170 | 01/03/2020 | (33,897) | ||||
JP Morgan Chase Bank, N.A. | CHF10,628,000 | USD10,665,607 | 01/03/2020 | (309,764) | ||||
JP Morgan Chase Bank, N.A. | GBP8,357,000 | USD10,824,947 | 01/03/2020 | (245,994) | ||||
JP Morgan Chase Bank, N.A. | JPY4,052,741,000 | USD37,113,727 | 01/07/2020 | (178,576) | ||||
JP Morgan Chase Bank, N.A. | USD1,523,210 | CHF1,472,000 | 02/04/2020 | 21 | ||||
JP Morgan Chase Bank, N.A. | DKK6,270,000 | USD943,855 | 02/04/2020 | (69) | ||||
Royal Bank of Canada | GBP1,141,000 | USD1,477,883 | 01/03/2020 | (33,658) | ||||
Royal Bank of Canada | USD406,953 | ILS1,403,000 | 02/04/2020 | (123) | ||||
Societe Generale | USD310,532,360 | GBP234,408,273 | 01/03/2020 | 168 | ||||
Societe Generale | USD120,529,022 | HKD939,138,035 | 01/03/2020 | — | ||||
Societe Generale | USD468,141,466 | JPY50,875,273,805 | 01/07/2020 | — | ||||
Societe Generale | GBP234,408,273 | USD310,801,929 | 02/04/2020 | (17,702) | ||||
Societe Generale | HKD939,138,035 | USD120,473,361 | 02/04/2020 | (14,444) | ||||
Societe Generale | JPY50,875,273,805 | USD468,827,397 | 02/04/2020 | (43,289) | ||||
Standard Chartered Bank | AUD12,785,000 | USD8,655,061 | 01/03/2020 | (332,156) | ||||
Standard Chartered Bank | EUR39,419,000 | USD43,570,310 | 01/03/2020 | (677,498) | ||||
Standard Chartered Bank | HKD945,215,035 | USD120,696,308 | 01/03/2020 | (612,636) | ||||
Standard Chartered Bank | GBP232,223,274 | USD300,809,257 | 01/03/2020 | (6,828,691) | ||||
Standard Chartered Bank | JPY49,281,528,305 | USD451,318,778 | 01/07/2020 | (2,157,443) | ||||
Standard Chartered Bank | GBP5,054,000 | USD6,701,185 | 02/04/2020 | (296) | ||||
Toronto Dominion Bank | USD1,100,561 | SEK10,265,000 | 01/03/2020 | (3,996) | ||||
Toronto Dominion Bank | SEK929,871,531 | USD97,352,946 | 01/03/2020 | (1,981,160) | ||||
Toronto Dominion Bank | SGD63,474,299 | USD46,425,473 | 01/03/2020 | (779,599) | ||||
Toronto Dominion Bank | EUR523,497,157 | USD578,626,119 | 01/03/2020 | (8,999,174) | ||||
Toronto Dominion Bank | NZD13,706,581 | USD8,801,955 | 01/03/2020 | (445,190) | ||||
Toronto Dominion Bank | AUD931,000 | USD635,113 | 01/03/2020 | (19,333) | ||||
Toronto Dominion Bank | USD11,215,607 | JPY1,216,907,000 | 02/04/2020 | (492) | ||||
UBS AG | USD1,322,554 | HKD10,298,000 | 01/03/2020 | (908) | ||||
UBS AG | EUR2,623,000 | USD2,911,095 | 01/03/2020 | (33,223) | ||||
Westpac Banking Corp. | USD268,964,170 | AUD382,622,050 | 01/03/2020 | 54 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Westpac Banking Corp. | USD68,723,083 | DKK457,489,566 | 01/03/2020 | $— | ||||
Westpac Banking Corp. | USD12,846,191 | ILS44,368,174 | 01/03/2020 | (743) | ||||
Westpac Banking Corp. | USD468,141,466 | JPY50,875,273,805 | 01/07/2020 | — | ||||
Westpac Banking Corp. | USD8,243,472 | AUD11,717,000 | 02/04/2020 | (476) | ||||
Westpac Banking Corp. | USD5,426,875 | EUR4,825,000 | 02/04/2020 | 40 | ||||
Westpac Banking Corp. | DKK457,489,566 | USD68,868,434 | 02/04/2020 | (4,855) | ||||
Westpac Banking Corp. | JPY50,875,273,805 | USD468,851,160 | 02/04/2020 | (19,525) | ||||
Westpac Banking Corp. | AUD382,622,050 | USD269,172,699 | 02/04/2020 | (4,733) | ||||
Westpac Banking Corp. | ILS44,368,174 | USD12,864,442 | 02/04/2020 | (1,079) | ||||
Total | $(63,428,234) |
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 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE (long) | 427 | 03/20/2020 | $42,430,085 | $43,479,275 | $1,049,190 |
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 | $3,726,392,786 | $— | $— | $3,726,392,786 | ||||
Short-Term Investment | 99,832,396 | — | — | 99,832,396 | ||||
TOTAL INVESTMENTS | $3,826,225,182 | $— | $— | $3,826,225,182 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts | — | 174,756 | — | 174,756 | ||||
Futures Contracts | 1,049,190 | — | — | 1,049,190 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $1,049,190 | $174,756 | $— | $1,223,946 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,827,274,372 | $174,756 | $— | $3,827,449,128 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts | — | (63,602,990) | — | (63,602,990) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $— | $(63,602,990) | $— | $(63,602,990) |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $275,007,371 | $175,181,167 | $5,953 | $239 | 99,822,414 | $99,832,396 | $1,660,219 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 166,240,904 | 166,240,904 | 256,246,802 | 422,487,706 | — | — | — | — | 1,967,277 | ||||||||
Total | $166,240,904 | $531,254,173 | $597,668,873 | $5,953 | $239 | $99,832,396 | $3,627,496 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,726,392,786 |
Investment in affiliated issuers, at value | 99,832,396 |
Total Investments | 3,826,225,182 |
Foreign currency, at value | 24,327 |
Net cash at broker | 4,950,610 |
Receivable from broker — accumulated variation margin on open futures contracts | 1,050,420 |
Receivable for fund shares sold | 5,218,535 |
Unrealized appreciation on forward foreign currency exchange contracts | 174,756 |
Dividends receivable — affiliated issuers | 777,651 |
Receivable from Adviser | 504,903 |
Receivable for foreign taxes recoverable | 208,836 |
Prepaid expenses and other assets | 361,659 |
TOTAL ASSETS | 3,839,496,879 |
LIABILITIES | |
Due to custodian | 692,230 |
Payable for fund shares repurchased | 1,281,060 |
Unrealized depreciation on forward foreign currency exchange contracts | 63,602,990 |
Advisory fee payable | 448,923 |
Custodian fees payable | 13,393 |
Administration fees payable | 160,341 |
Transfer agent fees payable | 1,932 |
Registration and filing fees payable | 17,083 |
Professional fees payable | 9,603 |
Printing and postage fees payable | 8,448 |
Accrued expenses and other liabilities | 517,423 |
TOTAL LIABILITIES | 66,753,426 |
NET ASSETS | $3,772,743,453 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,362,795,427 |
Total distributable earnings (loss) | 409,948,026 |
NET ASSETS | $3,772,743,453 |
Class K | |
Net Assets | $3,772,743,453 |
Shares Outstanding | 361,601,671 |
Net asset value, offering and redemption price per share | $10.43 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $3,233,741,910 |
Investment in affiliated issuers | 99,832,157 |
Total cost of investments | $3,333,574,067 |
Foreign currency, at cost | $23,857 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $118,093,194 |
Interest income — unaffiliated issuers | 134,646 |
Dividend income — affiliated issuers | 3,627,496 |
Expenses allocated from affiliated Portfolio | (4,791,736) |
Foreign taxes withheld allocated from affiliated Portfolio | (9,254,789) |
TOTAL INVESTMENT INCOME (LOSS) | 107,808,811 |
EXPENSES | |
Advisory fee | 4,811,270 |
Administration fees | 1,718,311 |
Custodian fees | 132,092 |
Trustees’ fees and expenses | 18,000 |
Transfer agent fees | 12,911 |
Registration and filing fees | 81,019 |
Professional fees and expenses | 55,368 |
Printing and postage fees | 9,550 |
Insurance expense | 17,970 |
Miscellaneous expenses | 770,646 |
TOTAL EXPENSES | 7,627,137 |
Expenses waived/reimbursed by the Adviser | (5,545,628) |
NET EXPENSES | 2,081,509 |
NET INVESTMENT INCOME (LOSS) | $105,727,302 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (20,464,399) |
Foreign currency transactions allocated from affiliated Portfolio | 95,500 |
Futures contracts allocated from affiliated Portfolio | 5,964,135 |
Investments - affiliated issuers | 5,953 |
Forward foreign currency exchange contracts | 101,106,602 |
Foreign currency transactions | (17,850) |
Futures contracts | 22,933,280 |
Net realized gain (loss) | 109,623,221 |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 556,621,132 |
Foreign currency transactions allocated from affiliated Portfolio | 197,074 |
Future contracts allocated from affiliated Portfolio | 2,242,577 |
Investments - affiliated issuers | 239 |
Forward foreign currency exchange contracts | (37,224,173) |
Foreign currency translations | 2,804 |
Futures contracts | 4,521,093 |
Net change in unrealized appreciation/depreciation | 526,360,746 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 635,983,967 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $741,711,269 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $105,727,302 | $89,031,961 | |
Net realized gain (loss) | 109,623,221 | 144,117,824 | |
Net change in unrealized appreciation/depreciation | 526,360,746 | (520,332,594) | |
Net increase (decrease) in net assets resulting from operations | 741,711,269 | (287,182,809) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (186,407,608) | (203,340,267) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 605,074,489 | 1,113,683,573 | |
Reinvestment of distributions | 185,888,647 | 202,565,404 | |
Cost of shares redeemed | (496,367,578) | (797,282,077) | |
Net increase (decrease) in net assets from beneficial interest transactions | 294,595,558 | 518,966,900 | |
Net increase (decrease) in net assets during the period | 849,899,219 | 28,443,824 | |
Net assets at beginning of period | 2,922,844,234 | 2,894,400,410 | |
NET ASSETS AT END OF PERIOD | $3,772,743,453 | $2,922,844,234 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 60,971,656 | 110,007,830 | |
Reinvestment of distributions | 17,636,494 | 23,176,820 | |
Shares redeemed | (49,390,142) | (79,182,431) | |
Net increase (decrease) from share transactions | 29,218,008 | 54,002,219 |
Class K | |||||||||
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended(a) 12/31/16 | For the Period 5/29/15*(a) - 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) | 0.31 | 0.29 | 0.27 | 0.24 | 0.09 | ||||
Net realized and unrealized gain (loss) | 1.86 | (1.26) | 1.27 | 0.34 | (1.00) | ||||
Total from investment operations | 2.17 | (0.97) | 1.54 | 0.58 | (0.91) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.50) | — | (0.20) | (0.06) | ||||
Net realized gains | (0.21) | (0.14) | (0.32) | (0.20) | (0.03) | ||||
Total distributions | (0.53) | (0.64) | (0.32) | (0.40) | (0.09) | ||||
Net asset value, end of period | $10.43 | $8.79 | $10.40 | $9.18 | $9.00 | ||||
Total return (c) | 24.82% | (9.25)% | 16.85% | 6.27% | (9.01)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,772,743 | $2,922,844 | $2,894,400 | $2,113,394 | $958,544 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.36% | 0.36% | 0.35% | 0.34% | 0.38%(d) | ||||
Net expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 3.08% | 2.85% | 2.69% | 2.79% | 1.60%(d) | ||||
Portfolio turnover rate (e) | 3% | 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 | $— | $174,756 | $— | $— | $— | $174,756 | |||||
Futures Contracts | — | — | — | 1,050,420 | — | 1,050,420 |
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 | $— | $(63,602,990) | $— | $— | $— | $(63,602,990) |
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 | $— | $101,106,602 | $— | $— | $— | $101,106,602 | |||||
Futures Contracts | — | — | — | 22,933,220 | — | 22,933,220 |
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 | $— | $(37,224,173) | $— | $— | $— | $(37,224,173) | |||||
Futures Contracts | — | — | — | 4,521,093 | — | 4,521,093 |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of America | $77,390 | $(1,489) | $— | $75,901 | ||||
Bank of Montreal | 0 | — | — | — | ||||
Barclays Capital | 37,709 | (33) | — | 37,676 | ||||
Citibank N.A. | 57,742 | (57,742) | — | — |
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 | ||||
Goldman Sachs Capital Markets L.P. | $53 | $(53) | $— | $— | ||||
HSBC Bank | 1,579 | (1,579) | — | — | ||||
JP Morgan Chase Bank, N.A. | 21 | (21) | — | — | ||||
Societe Generale | 168 | (168) | — | — | ||||
Westpac Banking Corp. | 94 | (94) | — | — | ||||
$174,756 | $(61,179) | $— | $113,577 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Bank of America | $(1,489) | $1,489 | $— | $— | ||||
Bank of Montreal | (16,659,453) | — | — | (16,659,453) | ||||
Barclays Capital | (33) | 33 | — | — | ||||
Citibank N.A. | (12,895,204) | 57,742 | — | (12,837,462) | ||||
Goldman Sachs Capital Markets L.P. | (63,310) | 53 | — | (63,257) | ||||
HSBC Bank | (10,103,039) | 1,579 | — | (10,101,460) | ||||
JP Morgan Chase Bank, N.A. | (868,040) | 21 | — | (868,019) | ||||
Royal Bank of Canada | (33,781) | — | — | (33,781) | ||||
Societe Generale | (75,435) | 168 | — | (75,267) | ||||
Standard Chartered Bank | (10,608,720) | — | — | (10,608,720) | ||||
Toronto Dominion Bank | (12,228,944) | — | — | (12,228,944) | ||||
UBS AG | (34,131) | — | — | (34,131) | ||||
Westpac Banking Corp. | (31,411) | 94 | — | (31,317) | ||||
$(63,602,990) | $61,179 | $— | $(63,541,811) |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $151,901,213 | $34,506,395 | $186,407,608 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $ 165,985,737 | $ 37,354,530 | $ 203,340,267 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Hedged International Developed Equity Index Fund | $2,824,447 | $— | $— | $427,595,971 | $(20,472,392) | $409,948,026 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,335,155,622 | $429,822,401 | $— | $429,822,401 |
February 27, 2020
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Hedged International Developed Equity Index Fund | |||||||||
Class K | 0.20% | $1,083.10 | $1.05 | $1,024.20 | $1.02 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Hedged International Developed Equity Index Fund | $34,506,395 |
Amount | |
State Street Hedged International Developed Equity Index Fund | $7,258,079 |
Amount | |
State Street Hedged International Developed Equity Index Fund | $116,741,379 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
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 | |
3 | |
4 | |
16 | |
17 | |
18 | |
19 | |
20 | |
27 | |
28 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2019 | Total Return Inception Date* to December 31, 2019 | |||
State Street International Developed Equity Index Portfolio | 22.11% | 8.09% | ||
MSCI EAFE (Europe, Australasia, Far East) Index(1) | 22.01% | 8.10% | ||
* | Inception date is April 28, 2016. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization index that is designed to capture large and mid-cap securities in developed market countries, excluding the United States and Canada. Index returns are net of dividend withholding taxes. |
Description | Market Value | % of Net Assets | ||
Nestle SA | 79,514,424 | 2.1% | ||
Roche Holding AG | 56,287,179 | 1.5 | ||
Novartis AG | 50,382,572 | 1.3 | ||
Toyota Motor Corp. | 40,083,697 | 1.1 | ||
HSBC Holdings PLC | 39,148,851 | 1.1 | ||
TOTAL | 265,416,723 | 7.1% |
Description | % of Net Assets | ||
Banks | 10.4% | ||
Pharmaceuticals | 8.7 | ||
Insurance | 5.7 | ||
Food | 4.9 | ||
Oil & Gas | 4.7 | ||
TOTAL | 34.4% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.7% | |||||
AUSTRALIA — 6.8% | |||||
AGL Energy, Ltd. | 168,878 | $2,437,174 | |||
Alumina, Ltd. | 579,490 | 936,911 | |||
AMP, Ltd. | 892,260 | 1,201,115 | |||
APA Group | 297,145 | 2,318,547 | |||
Aristocrat Leisure, Ltd. | 145,695 | 3,448,358 | |||
ASX, Ltd. | 47,442 | 2,614,923 | |||
Aurizon Holdings, Ltd. | 507,008 | 1,863,979 | |||
AusNet Services | 539,911 | 645,202 | |||
Australia & New Zealand Banking Group, Ltd. | 692,108 | 11,982,924 | |||
Bendigo & Adelaide Bank, Ltd. | 116,926 | 803,849 | |||
BHP Group PLC | 523,368 | 12,319,125 | |||
BHP Group, Ltd. | 720,287 | 19,706,202 | |||
BlueScope Steel, Ltd. | 128,543 | 1,360,811 | |||
Boral, Ltd. | 278,445 | 876,884 | |||
Brambles, Ltd. | 401,036 | 3,303,965 | |||
Caltex Australia, Ltd. | 61,250 | 1,461,741 | |||
Challenger, Ltd. | 131,897 | 750,081 | |||
CIMIC Group, Ltd. | 24,790 | 577,502 | |||
Coca-Cola Amatil, Ltd. | 124,122 | 965,002 | |||
Cochlear, Ltd. | 14,876 | 2,350,021 | |||
Coles Group, Ltd. | 278,524 | 2,905,501 | |||
Commonwealth Bank of Australia | 436,597 | 24,521,783 | |||
Computershare, Ltd. | 127,081 | 1,498,984 | |||
Crown Resorts, Ltd. | 91,949 | 776,273 | |||
CSL, Ltd. | 111,851 | 21,681,817 | |||
Dexus REIT | 281,105 | 2,311,953 | |||
Flight Centre Travel Group, Ltd. (a) | 14,844 | 459,748 | |||
Fortescue Metals Group, Ltd. | 352,725 | 2,650,565 | |||
Goodman Group REIT | 402,262 | 3,780,637 | |||
GPT Group REIT | 481,330 | 1,894,766 | |||
Harvey Norman Holdings, Ltd. (a) | 169,194 | 484,065 | |||
Incitec Pivot, Ltd. | 390,151 | 872,136 | |||
Insurance Australia Group, Ltd. | 579,092 | 3,118,178 | |||
LendLease Group Stapled Security (a) | 134,854 | 1,668,403 | |||
Macquarie Group, Ltd. | 79,526 | 7,706,203 | |||
Magellan Financial Group, Ltd. | 32,572 | 1,303,955 | |||
Medibank Pvt, Ltd. | 644,191 | 1,430,956 | |||
Mirvac Group REIT | 962,862 | 2,152,364 | |||
National Australia Bank, Ltd. | 709,988 | 12,292,492 | |||
Newcrest Mining, Ltd. | 189,169 | 4,022,535 | |||
Oil Search, Ltd. | 353,144 | 1,799,759 | |||
Orica, Ltd. | 89,224 | 1,378,586 | |||
Origin Energy, Ltd. | 450,630 | 2,676,710 | |||
Qantas Airways, Ltd. | 178,931 | 894,293 | |||
QBE Insurance Group, Ltd. | 329,690 | 2,985,013 | |||
Ramsay Health Care, Ltd. | 41,132 | 2,097,114 | |||
REA Group, Ltd. | 13,915 | 1,013,369 | |||
Santos, Ltd. | 444,145 | 2,553,892 | |||
Scentre Group REIT | 1,344,493 | 3,619,777 |
Security Description | Shares | Value | |||
SEEK, Ltd. | 79,431 | $1,259,103 | |||
Sonic Healthcare, Ltd. | 111,593 | 2,255,274 | |||
South32, Ltd. | 1,269,043 | 2,408,600 | |||
Stockland REIT | 562,237 | 1,825,938 | |||
Suncorp Group, Ltd. | 319,478 | 2,910,519 | |||
Sydney Airport Stapled Security | 259,881 | 1,582,038 | |||
Tabcorp Holdings, Ltd. | 519,729 | 1,655,006 | |||
Telstra Corp., Ltd. | 1,065,564 | 2,651,596 | |||
TPG Telecom, Ltd. | 98,984 | 466,887 | |||
Transurban Group Stapled Security | 658,525 | 6,901,992 | |||
Treasury Wine Estates, Ltd. | 180,891 | 2,065,035 | |||
Vicinity Centres REIT | 761,248 | 1,332,447 | |||
Washington H Soul Pattinson & Co., Ltd. | 28,102 | 424,718 | |||
Wesfarmers, Ltd. | 278,610 | 8,108,146 | |||
Westpac Banking Corp. | 863,209 | 14,702,592 | |||
WiseTech Global, Ltd. (a) | 35,073 | 576,177 | |||
Woodside Petroleum, Ltd. | 229,646 | 5,549,953 | |||
Woolworths Group, Ltd. | 312,973 | 7,955,360 | |||
Worley, Ltd. | 79,653 | 857,239 | |||
253,964,763 | |||||
AUSTRIA — 0.2% | |||||
ANDRITZ AG | 17,424 | 751,044 | |||
Erste Group Bank AG | 71,957 | 2,710,698 | |||
OMV AG | 34,411 | 1,934,407 | |||
Raiffeisen Bank International AG | 34,387 | 864,240 | |||
Verbund AG | 15,343 | 770,535 | |||
Voestalpine AG | 26,238 | 732,180 | |||
7,763,104 | |||||
BELGIUM — 1.0% | |||||
Ageas | 42,731 | 2,526,824 | |||
Anheuser-Busch InBev SA | 186,306 | 15,205,725 | |||
Colruyt SA | 13,634 | 711,337 | |||
Galapagos NV (b) | 10,623 | 2,223,884 | |||
Groupe Bruxelles Lambert SA | 18,967 | 2,000,451 | |||
KBC Group NV | 60,638 | 4,564,515 | |||
Proximus SADP | 40,640 | 1,164,181 | |||
Solvay SA | 17,373 | 2,014,472 | |||
Telenet Group Holding NV | 10,840 | 487,446 | |||
UCB SA | 32,204 | 2,562,962 | |||
Umicore SA | 48,894 | 2,379,748 | |||
35,841,545 | |||||
CHILE — 0.0% (c) | |||||
Antofagasta PLC | 94,425 | 1,146,821 | |||
CHINA — 0.1% | |||||
BeiGene, Ltd. ADR (a)(b) | 9,000 | 1,491,840 | |||
BOC Hong Kong Holdings, Ltd. | 926,500 | 3,216,436 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 576,000 | 479,768 | |||
5,188,044 | |||||
DENMARK — 1.8% | |||||
AP Moller - Maersk A/S Class A | 887 | 1,203,186 |
Security Description | Shares | Value | |||
AP Moller - Maersk A/S Class B | 1,657 | $2,391,536 | |||
Carlsberg A/S Class B | 26,887 | 4,013,865 | |||
Chr. Hansen Holding A/S | 26,096 | 2,075,293 | |||
Coloplast A/S Class B | 28,393 | 3,524,707 | |||
Danske Bank A/S | 158,109 | 2,560,335 | |||
Demant A/S (a)(b) | 26,000 | 819,408 | |||
DSV Panalpina A/S | 54,280 | 6,260,505 | |||
Genmab A/S (b) | 16,082 | 3,579,012 | |||
H Lundbeck A/S | 15,024 | 574,148 | |||
ISS A/S | 38,781 | 931,222 | |||
Novo Nordisk A/S Class B | 432,643 | 25,128,649 | |||
Novozymes A/S Class B | 53,917 | 2,640,370 | |||
Orsted A/S (d) | 46,688 | 4,832,212 | |||
Pandora A/S | 25,242 | 1,098,863 | |||
Tryg A/S | 27,932 | 828,687 | |||
Vestas Wind Systems A/S | 45,590 | 4,610,363 | |||
67,072,361 | |||||
FINLAND — 1.1% | |||||
Elisa Oyj | 34,462 | 1,905,166 | |||
Fortum Oyj | 108,598 | 2,681,826 | |||
Kone Oyj Class B | 83,754 | 5,479,126 | |||
Metso Oyj (a) | 26,240 | 1,036,205 | |||
Neste Oyj | 103,443 | 3,601,879 | |||
Nokia Oyj (a) | 1,378,044 | 5,098,430 | |||
Nokian Renkaat Oyj | 32,627 | 938,668 | |||
Nordea Bank Abp | 810,322 | 6,547,637 | |||
Orion Oyj Class B | 24,454 | 1,132,845 | |||
Sampo Oyj Class A | 109,563 | 4,785,324 | |||
Stora Enso Oyj Class R | 149,182 | 2,171,076 | |||
UPM-Kymmene Oyj | 130,503 | 4,527,992 | |||
Wartsila OYJ Abp | 104,158 | 1,151,635 | |||
41,057,809 | |||||
FRANCE — 11.0% | |||||
Accor SA | 42,977 | 2,014,089 | |||
Aeroports de Paris | 7,865 | 1,554,692 | |||
Air Liquide SA | 116,774 | 16,542,139 | |||
Airbus SE | 143,453 | 21,010,662 | |||
Alstom SA | 48,182 | 2,283,979 | |||
Amundi SA (d) | 16,165 | 1,268,350 | |||
Arkema SA | 18,001 | 1,913,519 | |||
Atos SE | 25,458 | 2,123,812 | |||
AXA SA | 480,350 | 13,539,127 | |||
BioMerieux | 10,343 | 921,254 | |||
BNP Paribas SA | 277,934 | 16,481,944 | |||
Bollore SA (e) | 199,792 | 872,396 | |||
Bollore SA (b)(e) | 1,161 | 4,944 | |||
Bouygues SA | 56,992 | 2,423,316 | |||
Bureau Veritas SA | 73,174 | 1,910,525 | |||
Capgemini SE | 39,086 | 4,777,880 | |||
Carrefour SA | 146,367 | 2,456,238 | |||
Casino Guichard Perrachon SA (a) | 13,917 | 651,430 | |||
Cie de Saint-Gobain | 121,676 | 4,985,216 | |||
Cie Generale des Etablissements Michelin SCA | 41,913 | 5,132,863 |
Security Description | Shares | Value | |||
CNP Assurances | 47,490 | $945,142 | |||
Covivio REIT | 11,359 | 1,290,348 | |||
Credit Agricole SA | 288,892 | 4,191,334 | |||
Danone SA | 152,833 | 12,677,912 | |||
Dassault Aviation SA | 605 | 794,561 | |||
Dassault Systemes SE | 32,954 | 5,421,009 | |||
Edenred | 58,747 | 3,039,994 | |||
Eiffage SA | 20,205 | 2,313,370 | |||
Electricite de France SA | 148,104 | 1,650,497 | |||
Engie SA | 448,423 | 7,248,306 | |||
EssilorLuxottica SA | 70,280 | 10,713,162 | |||
Eurazeo SE | 11,024 | 754,841 | |||
Eutelsat Communications SA (a) | 41,976 | 682,740 | |||
Faurecia SE | 19,469 | 1,049,645 | |||
Gecina SA REIT | 11,847 | 2,122,401 | |||
Getlink SE | 112,207 | 1,953,520 | |||
Hermes International | 7,922 | 5,924,144 | |||
ICADE REIT | 8,381 | 913,014 | |||
Iliad SA (a) | 7,398 | 959,556 | |||
Ingenico Group SA | 15,284 | 1,660,728 | |||
Ipsen SA | 9,549 | 846,781 | |||
JCDecaux SA | 19,153 | 590,799 | |||
Kering SA | 18,860 | 12,388,883 | |||
Klepierre SA REIT | 47,094 | 1,789,412 | |||
Legrand SA | 65,644 | 5,352,504 | |||
L'Oreal SA | 62,152 | 18,418,115 | |||
LVMH Moet Hennessy Louis Vuitton SE | 68,784 | 31,980,384 | |||
Natixis SA | 222,855 | 990,112 | |||
Orange SA | 489,495 | 7,208,888 | |||
Pernod Ricard SA | 52,719 | 9,432,822 | |||
Peugeot SA | 147,984 | 3,538,185 | |||
Publicis Groupe SA | 55,765 | 2,526,382 | |||
Remy Cointreau SA | 5,928 | 728,632 | |||
Renault SA | 47,770 | 2,261,768 | |||
Safran SA | 80,969 | 12,510,687 | |||
Sanofi | 279,008 | 28,067,760 | |||
Sartorius Stedim Biotech | 6,864 | 1,138,004 | |||
Schneider Electric SE | 136,847 | 14,055,378 | |||
SCOR SE | 41,578 | 1,746,439 | |||
SEB SA | 6,268 | 931,544 | |||
Societe Generale SA | 198,579 | 6,913,393 | |||
Sodexo SA | 21,311 | 2,527,316 | |||
Suez | 89,128 | 1,349,122 | |||
Teleperformance | 14,830 | 3,618,986 | |||
Thales SA | 26,547 | 2,757,003 | |||
TOTAL SA | 591,302 | 32,655,821 | |||
Ubisoft Entertainment SA (b) | 20,143 | 1,392,355 | |||
Unibail-Rodamco-Westfield | 73,380 | 577,208 | |||
Unibail-Rodamco-Westfield REIT | 30,850 | 4,870,584 | |||
Valeo SA | 61,829 | 2,179,949 | |||
Veolia Environnement SA | 133,452 | 3,551,753 | |||
Vinci SA | 126,179 | 14,021,951 | |||
Vivendi SA | 209,186 | 6,062,825 | |||
Wendel SA | 7,128 | 948,139 |
Security Description | Shares | Value | |||
Worldline SA (b)(d) | 26,282 | $1,863,022 | |||
410,967,505 | |||||
GERMANY — 8.6% | |||||
adidas AG | 44,635 | 14,519,781 | |||
Allianz SE | 105,109 | 25,767,880 | |||
Aroundtown SA | 230,810 | 2,068,528 | |||
BASF SE | 226,757 | 17,142,906 | |||
Bayer AG | 230,224 | 18,816,021 | |||
Bayerische Motoren Werke AG | 81,600 | 6,699,328 | |||
Bayerische Motoren Werke AG Preference Shares | 13,069 | 807,581 | |||
Beiersdorf AG | 25,058 | 2,999,808 | |||
Brenntag AG | 39,729 | 2,162,004 | |||
Carl Zeiss Meditec AG | 10,275 | 1,311,380 | |||
Commerzbank AG | 242,433 | 1,501,346 | |||
Continental AG | 27,756 | 3,591,052 | |||
Covestro AG (d) | 43,724 | 2,034,373 | |||
Daimler AG | 226,121 | 12,531,128 | |||
Delivery Hero SE (b)(d) | 28,152 | 2,229,739 | |||
Deutsche Bank AG | 495,723 | 3,848,956 | |||
Deutsche Boerse AG | 46,650 | 7,338,899 | |||
Deutsche Lufthansa AG | 64,206 | 1,182,688 | |||
Deutsche Post AG | 245,596 | 9,375,924 | |||
Deutsche Telekom AG | 824,792 | 13,489,323 | |||
Deutsche Wohnen SE | 90,521 | 3,700,628 | |||
E.ON SE | 563,788 | 6,027,280 | |||
Evonik Industries AG | 46,539 | 1,421,451 | |||
Fraport AG Frankfurt Airport Services Worldwide | 10,591 | 900,902 | |||
Fresenius Medical Care AG & Co. KGaA | 52,340 | 3,875,257 | |||
Fresenius SE & Co. KGaA | 102,460 | 5,771,267 | |||
Fuchs Petrolub SE Preference Shares | 16,051 | 795,641 | |||
GEA Group AG | 40,937 | 1,354,658 | |||
Hannover Rueck SE | 15,442 | 2,986,586 | |||
HeidelbergCement AG | 37,100 | 2,705,242 | |||
Henkel AG & Co. KGaA Preference Shares | 44,743 | 4,630,652 | |||
Henkel AG & Co. KGaA | 26,031 | 2,454,462 | |||
HOCHTIEF AG | 6,344 | 809,673 | |||
Infineon Technologies AG | 308,306 | 7,028,749 | |||
KION Group AG | 16,364 | 1,130,770 | |||
Knorr-Bremse AG | 12,094 | 1,231,977 | |||
Lanxess AG | 20,021 | 1,344,368 | |||
Merck KGaA | 32,599 | 3,855,005 | |||
METRO AG | 46,138 | 743,185 | |||
MTU Aero Engines AG | 12,873 | 3,678,954 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 35,957 | 10,615,131 | |||
Porsche Automobil Holding SE Preference Shares | 38,236 | 2,860,181 | |||
Puma SE | 21,755 | 1,669,105 | |||
RWE AG | 146,978 | 4,512,278 | |||
SAP SE | 243,124 | 32,836,118 |
Security Description | Shares | Value | |||
Sartorius AG Preference Shares | 8,674 | $1,857,736 | |||
Siemens AG | 189,461 | 24,784,547 | |||
Siemens Healthineers AG (d) | 36,386 | 1,748,909 | |||
Symrise AG | 32,823 | 3,455,949 | |||
Telefonica Deutschland Holding AG | 202,170 | 586,402 | |||
Thyssenkrupp AG | 100,059 | 1,352,287 | |||
TUI AG | 110,526 | 1,396,548 | |||
Uniper SE | 49,780 | 1,648,960 | |||
United Internet AG | 30,546 | 1,003,949 | |||
Volkswagen AG | 7,916 | 1,539,449 | |||
Volkswagen AG Preference Shares | 45,529 | 9,006,971 | |||
Vonovia SE | 128,514 | 6,924,331 | |||
Wirecard AG (a) | 28,864 | 3,482,981 | |||
Zalando SE (b)(d) | 35,450 | 1,797,830 | |||
318,945,014 | |||||
HONG KONG — 3.3% | |||||
AIA Group, Ltd. | 2,976,600 | 31,248,990 | |||
ASM Pacific Technology, Ltd. | 81,800 | 1,134,857 | |||
Bank of East Asia, Ltd. | 350,839 | 783,464 | |||
Budweiser Brewing Co. APAC, Ltd. (b)(d) | 291,400 | 983,575 | |||
CK Asset Holdings, Ltd. | 624,679 | 4,509,638 | |||
CK Hutchison Holdings, Ltd. | 665,500 | 6,345,985 | |||
CK Infrastructure Holdings, Ltd. | 156,000 | 1,110,167 | |||
CLP Holdings, Ltd. | 394,000 | 4,141,354 | |||
Dairy Farm International Holdings, Ltd. | 77,000 | 439,670 | |||
Galaxy Entertainment Group, Ltd. | 541,000 | 3,985,395 | |||
Hang Lung Properties, Ltd. | 486,000 | 1,066,583 | |||
Hang Seng Bank, Ltd. | 188,700 | 3,899,061 | |||
Henderson Land Development Co., Ltd. | 339,436 | 1,666,294 | |||
HK Electric Investments & HK Electric Investments, Ltd. Class SS, Stapled Security | 618,990 | 610,108 | |||
HKT Trust & HKT, Ltd. | 937,000 | 1,320,396 | |||
Hong Kong & China Gas Co., Ltd. | 2,492,785 | 4,869,246 | |||
Hong Kong Exchanges & Clearing, Ltd. | 290,805 | 9,442,448 | |||
Hongkong Land Holdings, Ltd. | 277,400 | 1,595,050 | |||
Jardine Matheson Holdings, Ltd. | 55,100 | 3,063,560 | |||
Jardine Strategic Holdings, Ltd. | 52,400 | 1,606,060 | |||
Kerry Properties, Ltd. | 146,000 | 463,757 | |||
Link REIT | 516,000 | 5,463,436 | |||
Melco Resorts & Entertainment, Ltd. ADR | 55,923 | 1,351,659 | |||
MTR Corp., Ltd. | 385,601 | 2,278,925 | |||
New World Development Co., Ltd. | 1,463,077 | 2,005,398 | |||
NWS Holdings, Ltd. | 356,810 | 500,060 | |||
PCCW, Ltd. | 1,072,000 | 634,246 | |||
Power Assets Holdings, Ltd. | 334,500 | 2,446,996 |
Security Description | Shares | Value | |||
Sands China, Ltd. | 609,600 | $3,258,533 | |||
Sino Land Co., Ltd. | 803,387 | 1,167,168 | |||
SJM Holdings, Ltd. | 457,000 | 520,238 | |||
Sun Hung Kai Properties, Ltd. | 393,000 | 6,017,210 | |||
Swire Pacific, Ltd. Class A | 116,500 | 1,082,497 | |||
Swire Properties, Ltd. | 280,600 | 930,916 | |||
Techtronic Industries Co., Ltd. | 344,000 | 2,805,667 | |||
Vitasoy International Holdings, Ltd. (a) | 172,000 | 623,604 | |||
WH Group, Ltd. (d) | 2,323,309 | 2,400,297 | |||
Wharf Real Estate Investment Co., Ltd. | 312,000 | 1,904,002 | |||
Wheelock & Co., Ltd. | 199,000 | 1,326,786 | |||
Yue Yuen Industrial Holdings, Ltd. | 212,500 | 627,262 | |||
121,630,558 | |||||
IRELAND — 0.7% | |||||
AerCap Holdings NV (b) | 32,314 | 1,986,342 | |||
AIB Group PLC | 205,023 | 714,809 | |||
Bank of Ireland Group PLC | 229,848 | 1,259,577 | |||
CRH PLC | 195,072 | 7,810,596 | |||
Flutter Entertainment PLC | 19,452 | 2,365,807 | |||
James Hardie Industries PLC | 114,006 | 2,233,517 | |||
Kerry Group PLC Class A | 38,390 | 4,787,605 | |||
Kingspan Group PLC | 36,131 | 2,208,330 | |||
Smurfit Kappa Group PLC | 57,747 | 2,220,767 | |||
25,587,350 | |||||
ISRAEL — 0.5% | |||||
Azrieli Group, Ltd. | 10,695 | 781,844 | |||
Bank Hapoalim BM | 275,519 | 2,285,356 | |||
Bank Leumi Le-Israel BM | 360,144 | 2,621,315 | |||
Check Point Software Technologies, Ltd. (a)(b) | 29,510 | 3,274,430 | |||
CyberArk Software, Ltd. (b) | 9,300 | 1,084,194 | |||
Elbit Systems, Ltd. | 6,111 | 951,150 | |||
Israel Chemicals, Ltd. | 162,743 | 765,655 | |||
Israel Discount Bank, Ltd. Class A | 293,896 | 1,362,268 | |||
Mizrahi Tefahot Bank, Ltd. | 33,833 | 901,169 | |||
Nice, Ltd. (b) | 15,007 | 2,327,084 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a)(b) | 140,328 | 1,375,214 | |||
Teva Pharmaceutical Industries, Ltd. (b) | 118,041 | 1,169,132 | |||
Wix.com, Ltd. (b) | 11,300 | 1,382,894 | |||
20,281,705 | |||||
ITALY — 2.1% | |||||
Assicurazioni Generali SpA | 271,361 | 5,603,164 | |||
Atlantia SpA | 121,076 | 2,825,522 | |||
Davide Campari-Milano SpA | 154,038 | 1,407,468 | |||
Enel SpA | 2,011,023 | 15,964,137 | |||
Eni SpA | 631,561 | 9,815,802 | |||
Ferrari NV | 30,117 | 4,999,954 | |||
FinecoBank Banca Fineco SpA | 157,778 | 1,893,260 | |||
Intesa Sanpaolo SpA | 3,639,082 | 9,593,312 |
Security Description | Shares | Value | |||
Leonardo SpA | 97,959 | $1,149,071 | |||
Mediobanca Banca di Credito Finanziario SpA | 161,856 | 1,783,040 | |||
Moncler SpA | 44,149 | 1,985,758 | |||
Pirelli & C SpA (d) | 116,150 | 670,144 | |||
Poste Italiane SpA (d) | 124,750 | 1,417,122 | |||
Prysmian SpA | 57,950 | 1,397,900 | |||
Recordati SpA | 27,399 | 1,155,479 | |||
Snam SpA | 498,041 | 2,619,712 | |||
Telecom Italia SpA (b)(e) | 2,204,493 | 1,376,835 | |||
Telecom Italia SpA (b)(e) | 1,626,518 | 996,503 | |||
Terna Rete Elettrica Nazionale SpA | 362,156 | 2,420,420 | |||
UniCredit SpA | 498,769 | 7,289,481 | |||
76,364,084 | |||||
JAPAN — 24.2% | |||||
ABC-Mart, Inc. | 8,800 | 602,457 | |||
Acom Co., Ltd. | 91,400 | 417,997 | |||
Advantest Corp. | 50,100 | 2,839,807 | |||
Aeon Co., Ltd. | 166,500 | 3,455,631 | |||
AEON Financial Service Co., Ltd. | 30,100 | 478,332 | |||
Aeon Mall Co., Ltd. | 24,100 | 429,775 | |||
AGC, Inc. | 43,200 | 1,562,236 | |||
Air Water, Inc. | 34,400 | 506,464 | |||
Aisin Seiki Co., Ltd. | 38,100 | 1,426,888 | |||
Ajinomoto Co., Inc. | 111,700 | 1,865,521 | |||
Alfresa Holdings Corp. | 45,600 | 934,868 | |||
Alps Alpine Co., Ltd. | 51,600 | 1,183,227 | |||
Amada Holdings Co., Ltd. | 91,300 | 1,050,150 | |||
ANA Holdings, Inc. | 28,500 | 955,114 | |||
Aozora Bank, Ltd. | 27,800 | 739,543 | |||
Asahi Group Holdings, Ltd. | 88,200 | 4,044,174 | |||
Asahi Intecc Co., Ltd. | 51,400 | 1,513,504 | |||
Asahi Kasei Corp. | 319,200 | 3,624,502 | |||
Astellas Pharma, Inc. | 461,900 | 7,948,038 | |||
Bandai Namco Holdings, Inc. | 49,700 | 3,032,535 | |||
Bank of Kyoto, Ltd. | 12,500 | 540,603 | |||
Benesse Holdings, Inc. | 20,100 | 531,561 | |||
Bridgestone Corp. (a) | 140,900 | 5,276,862 | |||
Brother Industries, Ltd. | 53,900 | 1,126,357 | |||
Calbee, Inc. | 20,900 | 683,685 | |||
Canon, Inc. (a) | 244,600 | 6,721,858 | |||
Casio Computer Co., Ltd. | 43,400 | 874,989 | |||
Central Japan Railway Co. | 35,400 | 7,166,322 | |||
Chiba Bank, Ltd. | 134,000 | 780,511 | |||
Chubu Electric Power Co., Inc. | 157,700 | 2,236,895 | |||
Chugai Pharmaceutical Co., Ltd. | 55,300 | 5,129,275 | |||
Chugoku Electric Power Co., Inc. (a) | 66,300 | 872,409 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (a) | 29,100 | 747,349 | |||
Concordia Financial Group, Ltd. | 287,400 | 1,195,351 | |||
Credit Saison Co., Ltd. | 39,200 | 685,707 | |||
CyberAgent, Inc. | 25,800 | 905,700 | |||
Dai Nippon Printing Co., Ltd. | 58,000 | 1,579,756 |
Security Description | Shares | Value | |||
Daicel Corp. | 63,200 | $610,046 | |||
Daifuku Co., Ltd. | 24,400 | 1,495,321 | |||
Dai-ichi Life Holdings, Inc. | 260,200 | 4,349,237 | |||
Daiichi Sankyo Co., Ltd. | 140,300 | 9,331,386 | |||
Daikin Industries, Ltd. | 60,800 | 8,643,754 | |||
Daito Trust Construction Co., Ltd. | 18,300 | 2,269,924 | |||
Daiwa House Industry Co., Ltd. | 137,700 | 4,295,404 | |||
Daiwa House REIT Investment Corp. | 466 | 1,216,081 | |||
Daiwa Securities Group, Inc. | 376,300 | 1,914,828 | |||
Denso Corp. | 109,300 | 4,994,560 | |||
Dentsu, Inc. | 56,000 | 1,945,250 | |||
Disco Corp. | 6,500 | 1,549,114 | |||
East Japan Railway Co. | 74,600 | 6,767,028 | |||
Eisai Co., Ltd. | 62,600 | 4,725,746 | |||
Electric Power Development Co., Ltd. | 35,600 | 867,110 | |||
FamilyMart Co., Ltd. | 65,500 | 1,582,126 | |||
FANUC Corp. | 47,500 | 8,885,898 | |||
Fast Retailing Co., Ltd. | 14,600 | 8,732,459 | |||
Fuji Electric Co., Ltd. | 30,600 | 941,863 | |||
FUJIFILM Holdings Corp. | 90,400 | 4,350,513 | |||
Fujitsu, Ltd. | 47,900 | 4,526,644 | |||
Fukuoka Financial Group, Inc. | 40,900 | 792,220 | |||
GMO Payment Gateway, Inc. | 10,800 | 743,354 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 902,912 | |||
Hamamatsu Photonics KK | 36,900 | 1,526,253 | |||
Hankyu Hanshin Holdings, Inc. | 57,700 | 2,484,803 | |||
Hikari Tsushin, Inc. | 4,900 | 1,236,779 | |||
Hino Motors, Ltd. | 63,000 | 673,623 | |||
Hirose Electric Co., Ltd. | 8,010 | 1,034,095 | |||
Hisamitsu Pharmaceutical Co., Inc. | 13,200 | 649,827 | |||
Hitachi Chemical Co., Ltd. | 25,300 | 1,065,079 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 749,648 | |||
Hitachi High-Technologies Corp. | 15,800 | 1,125,300 | |||
Hitachi Metals, Ltd. | 57,400 | 851,955 | |||
Hitachi, Ltd. | 236,800 | 10,079,934 | |||
Honda Motor Co., Ltd. | 404,000 | 11,520,552 | |||
Hoshizaki Corp. | 14,400 | 1,290,600 | |||
Hoya Corp. | 94,900 | 9,125,420 | |||
Hulic Co., Ltd. | 68,000 | 823,446 | |||
Idemitsu Kosan Co., Ltd. | 48,540 | 1,353,358 | |||
IHI Corp. | 34,800 | 824,248 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 633,928 | |||
Inpex Corp. | 262,100 | 2,740,986 | |||
Isetan Mitsukoshi Holdings, Ltd. | 80,300 | 727,078 | |||
Isuzu Motors, Ltd. | 128,900 | 1,540,751 | |||
ITOCHU Corp. | 334,200 | 7,794,156 | |||
Itochu Techno-Solutions Corp. | 22,200 | 628,157 | |||
J Front Retailing Co., Ltd. | 52,200 | 734,907 | |||
Japan Airlines Co., Ltd. | 28,300 | 884,611 | |||
Japan Airport Terminal Co., Ltd. | 12,400 | 694,879 | |||
Japan Exchange Group, Inc. | 128,900 | 2,289,183 |
Security Description | Shares | Value | |||
Japan Post Bank Co., Ltd. | 90,900 | $878,261 | |||
Japan Post Holdings Co., Ltd. | 389,800 | 3,680,099 | |||
Japan Post Insurance Co., Ltd. | 55,100 | 944,064 | |||
Japan Prime Realty Investment Corp. REIT | 191 | 837,465 | |||
Japan Real Estate Investment Corp. REIT | 325 | 2,153,209 | |||
Japan Retail Fund Investment Corp. REIT | 633 | 1,358,904 | |||
Japan Tobacco, Inc. (a) | 297,900 | 6,667,971 | |||
JFE Holdings, Inc. | 114,700 | 1,489,227 | |||
JGC Holdings Corp. | 49,900 | 805,839 | |||
JSR Corp. | 42,300 | 783,139 | |||
JTEKT Corp. | 49,700 | 594,982 | |||
JXTG Holdings, Inc. | 811,800 | 3,719,303 | |||
Kajima Corp. | 116,200 | 1,558,957 | |||
Kakaku.com, Inc. | 33,100 | 850,686 | |||
Kamigumi Co., Ltd. | 24,000 | 529,800 | |||
Kansai Electric Power Co., Inc. | 180,800 | 2,103,718 | |||
Kansai Paint Co., Ltd. | 47,600 | 1,172,535 | |||
Kao Corp. | 119,000 | 9,882,448 | |||
Kawasaki Heavy Industries, Ltd. | 33,000 | 731,208 | |||
KDDI Corp. | 435,500 | 13,035,947 | |||
Keihan Holdings Co., Ltd. | 23,800 | �� | 1,160,709 | ||
Keikyu Corp. | 55,000 | 1,067,863 | |||
Keio Corp. | 26,300 | 1,599,660 | |||
Keisei Electric Railway Co., Ltd. | 33,100 | 1,291,410 | |||
Keyence Corp. | 45,000 | 15,937,888 | |||
Kikkoman Corp. | 37,100 | 1,833,237 | |||
Kintetsu Group Holdings Co., Ltd. | 44,000 | 2,396,871 | |||
Kirin Holdings Co., Ltd. | 199,800 | 4,394,037 | |||
Kobayashi Pharmaceutical Co., Ltd. | 13,300 | 1,134,493 | |||
Koito Manufacturing Co., Ltd. | 27,200 | 1,276,467 | |||
Komatsu, Ltd. | 230,000 | 5,591,534 | |||
Konami Holdings Corp. | 23,100 | 953,333 | |||
Konica Minolta, Inc. | 111,800 | 733,503 | |||
Kose Corp. | 8,700 | 1,280,883 | |||
Kubota Corp. | 265,300 | 4,213,552 | |||
Kuraray Co., Ltd. | 75,800 | 928,363 | |||
Kurita Water Industries, Ltd. | 23,800 | 712,850 | |||
Kyocera Corp. | 77,800 | 5,354,902 | |||
Kyowa Kirin Co., Ltd. | 59,900 | 1,418,198 | |||
Kyushu Electric Power Co., Inc. | 101,200 | 880,000 | |||
Kyushu Railway Co. | 42,600 | 1,430,780 | |||
Lawson, Inc. | 12,000 | 683,506 | |||
LINE Corp. (b) | 16,600 | 817,207 | |||
Lion Corp. | 51,200 | 1,001,150 | |||
LIXIL Group Corp. | 68,900 | 1,197,627 | |||
M3, Inc. | 110,600 | 3,363,543 | |||
Makita Corp. | 57,800 | 2,026,391 | |||
Marubeni Corp. | 375,300 | 2,799,339 | |||
Marui Group Co., Ltd. | 48,700 | 1,195,598 | |||
Maruichi Steel Tube, Ltd. | 16,600 | 470,467 | |||
Mazda Motor Corp. | 149,000 | 1,286,055 |
Security Description | Shares | Value | |||
McDonald's Holdings Co. Japan, Ltd. | 16,000 | $771,475 | |||
Mebuki Financial Group, Inc. | 259,300 | 668,084 | |||
Medipal Holdings Corp. | 46,300 | 1,028,037 | |||
MEIJI Holdings Co., Ltd. | 27,500 | 1,867,495 | |||
Mercari, Inc. (b) | 17,200 | 353,734 | |||
MINEBEA MITSUMI, Inc. | 90,300 | 1,892,000 | |||
MISUMI Group, Inc. | 67,100 | 1,680,664 | |||
Mitsubishi Chemical Holdings Corp. | 322,600 | 2,426,736 | |||
Mitsubishi Corp. | 337,300 | 9,000,874 | |||
Mitsubishi Electric Corp. | 453,600 | 6,254,609 | |||
Mitsubishi Estate Co., Ltd. | 294,300 | 5,658,522 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 552,994 | |||
Mitsubishi Heavy Industries, Ltd. | 77,300 | 3,021,582 | |||
Mitsubishi Materials Corp. | 28,100 | 769,760 | |||
Mitsubishi Motors Corp. | 149,700 | 630,896 | |||
Mitsubishi Tanabe Pharma Corp. | 61,500 | 1,136,342 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,027,400 | 16,524,994 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 114,900 | 746,440 | |||
Mitsui & Co., Ltd. | 406,900 | 7,286,196 | |||
Mitsui Chemicals, Inc. | 42,100 | 1,038,215 | |||
Mitsui Fudosan Co., Ltd. | 222,100 | 5,460,789 | |||
Mitsui OSK Lines, Ltd. | 27,400 | 762,687 | |||
Mizuho Financial Group, Inc. | 6,017,300 | 9,318,717 | |||
MonotaRO Co., Ltd. | 28,200 | 758,487 | |||
MS&AD Insurance Group Holdings, Inc. | 114,200 | 3,794,582 | |||
Murata Manufacturing Co., Ltd. | 142,900 | 8,870,517 | |||
Nabtesco Corp. (a) | 31,100 | 934,359 | |||
Nagoya Railroad Co., Ltd. | 44,300 | 1,381,891 | |||
NEC Corp. | 60,700 | 2,524,628 | |||
Nexon Co., Ltd. (b) | 121,400 | 1,619,784 | |||
NGK Insulators, Ltd. | 65,800 | 1,152,824 | |||
NGK Spark Plug Co., Ltd. | 36,100 | 708,879 | |||
NH Foods, Ltd. | 21,000 | 871,498 | |||
Nidec Corp. | 54,600 | 7,538,744 | |||
Nikon Corp. | 75,900 | 938,667 | |||
Nintendo Co., Ltd. | 27,600 | 11,166,984 | |||
Nippon Building Fund, Inc. REIT | 324 | 2,370,186 | |||
Nippon Express Co., Ltd. | 19,100 | 1,128,337 | |||
Nippon Paint Holdings Co., Ltd. (a) | 36,100 | 1,873,513 | |||
Nippon Prologis REIT, Inc. | 499 | 1,269,138 | |||
Nippon Shinyaku Co., Ltd. | 11,200 | 975,974 | |||
Nippon Steel Corp. | 205,500 | 3,127,647 | |||
Nippon Telegraph & Telephone Corp. | 316,000 | 8,016,674 | |||
Nippon Yusen KK | 36,900 | 672,638 | |||
Nissan Chemical Corp. | 33,100 | 1,399,535 | |||
Nissan Motor Co., Ltd. | 585,900 | 3,429,409 | |||
Nisshin Seifun Group, Inc. | 46,800 | 820,803 |
Security Description | Shares | Value | |||
Nissin Foods Holdings Co., Ltd. | 14,700 | $1,098,357 | |||
Nitori Holdings Co., Ltd. | 19,900 | 3,154,152 | |||
Nitto Denko Corp. | 40,000 | 2,274,672 | |||
Nomura Holdings, Inc. | 803,700 | 4,166,594 | |||
Nomura Real Estate Holdings, Inc. | 31,100 | 749,777 | |||
Nomura Real Estate Master Fund, Inc. REIT | 1,068 | 1,823,978 | |||
Nomura Research Institute, Ltd. | 86,600 | 1,863,085 | |||
NSK, Ltd. | 92,100 | 882,228 | |||
NTT Data Corp. | 149,600 | 2,019,445 | |||
NTT DOCOMO, Inc. | 332,900 | 9,306,190 | |||
Obayashi Corp. | 166,800 | 1,867,914 | |||
Obic Co., Ltd. | 16,800 | 2,281,739 | |||
Odakyu Electric Railway Co., Ltd. | 69,000 | 1,619,683 | |||
Oji Holdings Corp. | 230,700 | 1,263,092 | |||
Olympus Corp. | 284,400 | 4,420,075 | |||
Omron Corp. | 48,500 | 2,865,148 | |||
Ono Pharmaceutical Co., Ltd. | 98,100 | 2,258,534 | |||
Oracle Corp. Japan | 9,900 | 906,418 | |||
Oriental Land Co., Ltd. | 49,600 | 6,791,332 | |||
ORIX Corp. | 327,500 | 5,457,580 | |||
Orix JREIT, Inc. | 642 | 1,390,040 | |||
Osaka Gas Co., Ltd. | 96,000 | 1,847,122 | |||
Otsuka Corp. | 27,800 | 1,119,163 | |||
Otsuka Holdings Co., Ltd. | 94,200 | 4,232,607 | |||
Pan Pacific International Holdings Corp. | 106,800 | 1,779,754 | |||
Panasonic Corp. | 536,300 | 5,080,477 | |||
Park24 Co., Ltd. | 25,300 | 621,355 | |||
PeptiDream, Inc. (b) | 23,400 | 1,205,797 | |||
Persol Holdings Co., Ltd. | 41,200 | 777,559 | |||
Pigeon Corp. (a) | 30,500 | 1,126,823 | |||
Pola Orbis Holdings, Inc. | 20,800 | 500,310 | |||
Rakuten, Inc. (a) | 205,900 | 1,771,488 | |||
Recruit Holdings Co., Ltd. | 336,000 | 12,673,237 | |||
Renesas Electronics Corp. (b) | 191,400 | 1,320,911 | |||
Resona Holdings, Inc. | 528,500 | 2,329,436 | |||
Ricoh Co., Ltd. | 175,200 | 1,921,678 | |||
Rinnai Corp. | 7,700 | 605,797 | |||
Rohm Co., Ltd. | 22,600 | 1,825,885 | |||
Ryohin Keikaku Co., Ltd. | 63,000 | 1,481,739 | |||
Sankyo Co., Ltd. | 9,200 | 306,878 | |||
Santen Pharmaceutical Co., Ltd. | 91,100 | 1,748,651 | |||
SBI Holdings, Inc. | 59,200 | 1,261,081 | |||
Secom Co., Ltd. | 51,700 | 4,651,216 | |||
Sega Sammy Holdings, Inc. | 45,300 | 659,856 | |||
Seibu Holdings, Inc. | 48,100 | 794,474 | |||
Seiko Epson Corp. | 74,900 | 1,140,644 | |||
Sekisui Chemical Co., Ltd. | 94,900 | 1,662,660 | |||
Sekisui House, Ltd. | 155,600 | 3,341,087 | |||
Seven & i Holdings Co., Ltd. | 186,900 | 6,884,386 | |||
Seven Bank, Ltd. | 126,400 | 416,390 | |||
SG Holdings Co., Ltd. | 36,900 | 835,279 | |||
Sharp Corp. (a) | 55,600 | 862,075 |
Security Description | Shares | Value | |||
Shimadzu Corp. | 57,500 | $1,820,106 | |||
Shimamura Co., Ltd. | 5,100 | 390,449 | |||
Shimano, Inc. | 17,800 | 2,910,568 | |||
Shimizu Corp. | 150,400 | 1,544,480 | |||
Shin-Etsu Chemical Co., Ltd. | 89,000 | 9,876,605 | |||
Shinsei Bank, Ltd. | 42,900 | 661,215 | |||
Shionogi & Co., Ltd. | 65,400 | 4,072,342 | |||
Shiseido Co., Ltd. | 97,500 | 6,981,781 | |||
Shizuoka Bank, Ltd. | 100,700 | 757,972 | |||
Showa Denko KK (a) | 31,900 | 850,960 | |||
SMC Corp. | 14,200 | 6,571,134 | |||
Softbank Corp. | 410,200 | 5,508,966 | |||
SoftBank Group Corp. | 389,200 | 17,032,760 | |||
Sohgo Security Services Co., Ltd. | 19,700 | 1,073,145 | |||
Sompo Holdings, Inc. | 81,300 | 3,216,839 | |||
Sony Corp. | 312,500 | 21,281,919 | |||
Sony Financial Holdings, Inc. | 41,600 | 1,005,979 | |||
Square Enix Holdings Co., Ltd. | 22,500 | 1,124,224 | |||
Stanley Electric Co., Ltd. | 33,600 | 983,188 | |||
Subaru Corp. | 154,100 | 3,847,714 | |||
SUMCO Corp. (a) | 64,500 | 1,083,754 | |||
Sumitomo Chemical Co., Ltd. | 364,100 | 1,668,478 | |||
Sumitomo Corp. | 296,900 | 4,436,767 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 725,190 | |||
Sumitomo Electric Industries, Ltd. | 192,400 | 2,924,728 | |||
Sumitomo Heavy Industries, Ltd. | 26,400 | 760,359 | |||
Sumitomo Metal Mining Co., Ltd. | 59,600 | 1,943,615 | |||
Sumitomo Mitsui Financial Group, Inc. | 329,100 | 12,228,257 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 82,900 | 3,308,372 | |||
Sumitomo Realty & Development Co., Ltd. | 81,900 | 2,872,812 | |||
Sumitomo Rubber Industries, Ltd. (a) | 36,000 | 442,899 | |||
Sundrug Co., Ltd. | 16,700 | 607,762 | |||
Suntory Beverage & Food, Ltd. | 35,700 | 1,493,043 | |||
Suzuken Co., Ltd. | 17,400 | 714,893 | |||
Suzuki Motor Corp. | 92,700 | 3,895,660 | |||
Sysmex Corp. | 40,500 | 2,776,025 | |||
T&D Holdings, Inc. | 141,700 | 1,818,923 | |||
Taiheiyo Cement Corp. | 29,800 | 881,592 | |||
Taisei Corp. | 49,900 | 2,086,915 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 604,472 | |||
Taiyo Nippon Sanso Corp. | 34,900 | 779,730 | |||
Takeda Pharmaceutical Co., Ltd. | 367,517 | 14,649,953 | |||
TDK Corp. | 32,400 | 3,693,913 | |||
Teijin, Ltd. | 40,800 | 767,757 | |||
Terumo Corp. | 159,400 | 5,698,357 | |||
THK Co., Ltd. | 33,400 | 912,180 | |||
Tobu Railway Co., Ltd. | 49,200 | 1,790,531 |
Security Description | Shares | Value | |||
Toho Co., Ltd. | 29,700 | $1,242,112 | |||
Toho Gas Co., Ltd. | 17,900 | 734,612 | |||
Tohoku Electric Power Co., Inc. | 100,500 | 1,000,607 | |||
Tokio Marine Holdings, Inc. | 159,500 | 8,980,727 | |||
Tokyo Century Corp. | 9,800 | 527,536 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 374,900 | 1,611,026 | |||
Tokyo Electron, Ltd. | 39,000 | 8,585,921 | |||
Tokyo Gas Co., Ltd. | 96,900 | 2,364,208 | |||
Tokyu Corp. | 127,500 | 2,368,737 | |||
Tokyu Fudosan Holdings Corp. | 158,700 | 1,102,540 | |||
Toppan Printing Co., Ltd. | 72,500 | 1,508,374 | |||
Toray Industries, Inc. | 352,600 | 2,404,526 | |||
Toshiba Corp. | 128,400 | 4,377,474 | |||
Tosoh Corp. | 70,500 | 1,099,586 | |||
TOTO, Ltd. | 33,300 | 1,421,781 | |||
Toyo Seikan Group Holdings, Ltd. | 37,200 | 646,957 | |||
Toyo Suisan Kaisha, Ltd. | 23,100 | 984,155 | |||
Toyoda Gosei Co., Ltd. | 16,800 | 424,348 | |||
Toyota Industries Corp. | 37,800 | 2,201,739 | |||
Toyota Motor Corp. | 564,700 | 40,083,697 | |||
Toyota Tsusho Corp. | 55,400 | 1,967,739 | |||
Trend Micro, Inc. | 31,700 | 1,633,494 | |||
Tsuruha Holdings, Inc. | 9,800 | 1,264,283 | |||
Unicharm Corp. | 100,400 | 3,418,265 | |||
United Urban Investment Corp. REIT | 684 | 1,281,458 | |||
USS Co., Ltd. | 53,400 | 1,015,177 | |||
Welcia Holdings Co., Ltd. | 10,600 | 677,893 | |||
West Japan Railway Co. | 39,100 | 3,396,762 | |||
Yakult Honsha Co., Ltd. | 28,300 | 1,570,269 | |||
Yamada Denki Co., Ltd. | 150,400 | 799,919 | |||
Yamaha Corp. | 35,700 | 1,997,295 | |||
Yamaha Motor Co., Ltd. (a) | 65,300 | 1,323,726 | |||
Yamato Holdings Co., Ltd. | 72,000 | 1,236,936 | |||
Yamazaki Baking Co., Ltd. | 30,000 | 538,026 | |||
Yaskawa Electric Corp. | 61,800 | 2,371,346 | |||
Yokogawa Electric Corp. | 54,700 | 970,934 | |||
Yokohama Rubber Co., Ltd. | 29,200 | 572,581 | |||
Z Holdings Corp. | 674,400 | 2,860,809 | |||
ZOZO, Inc. | 31,900 | 612,609 | |||
903,094,320 | |||||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal SA | 170,046 | 2,985,691 | |||
Eurofins Scientific SE (a) | 2,719 | 1,508,336 | |||
Millicom International Cellular SA SDR | 18,652 | 893,841 | |||
SES SA | 94,603 | 1,327,398 | |||
Tenaris SA | 125,773 | 1,418,860 | |||
8,134,126 | |||||
MACAU — 0.0% (c) | |||||
Wynn Macau, Ltd. | 428,400 | 1,055,633 | |||
NETHERLANDS — 4.9% | |||||
ABN AMRO Bank NV (d) | 108,292 | 1,971,666 |
Security Description | Shares | Value | |||
Adyen NV (a)(b)(d) | 2,479 | $2,034,136 | |||
Aegon NV | 446,111 | 2,036,588 | |||
Akzo Nobel NV | 56,995 | 5,798,862 | |||
Altice Europe NV (b) | 165,281 | 1,066,414 | |||
ASML Holding NV | 104,855 | 31,037,407 | |||
EXOR NV | 26,384 | 2,045,875 | |||
Heineken Holding NV | 28,962 | 2,808,849 | |||
Heineken NV | 63,788 | 6,796,462 | |||
ING Groep NV | 948,553 | 11,380,051 | |||
Koninklijke Ahold Delhaize NV | 290,971 | 7,281,877 | |||
Koninklijke DSM NV | 44,834 | 5,842,865 | |||
Koninklijke KPN NV | 870,982 | 2,572,268 | |||
Koninklijke Philips NV | 225,802 | 11,030,694 | |||
Koninklijke Vopak NV | 17,144 | 930,069 | |||
NN Group NV | 76,003 | 2,885,297 | |||
NXP Semiconductors NV | 70,072 | 8,917,363 | |||
Prosus NV (b) | 119,543 | 8,927,458 | |||
Randstad NV | 28,901 | 1,766,108 | |||
Royal Dutch Shell PLC Class A | 1,058,754 | 31,347,777 | |||
Royal Dutch Shell PLC Class B | 919,277 | 27,272,919 | |||
Wolters Kluwer NV | 68,716 | 5,015,232 | |||
180,766,237 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (a)(b) | 171,718 | 1,740,060 | |||
Auckland International Airport, Ltd. | 231,249 | 1,365,106 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 147,181 | 2,204,364 | |||
Fletcher Building, Ltd. | 197,701 | 678,899 | |||
Mercury NZ, Ltd. | 166,846 | 568,442 | |||
Meridian Energy, Ltd. | 305,752 | 1,031,378 | |||
Ryman Healthcare, Ltd. | 94,456 | 1,040,625 | |||
Spark New Zealand, Ltd. | 418,892 | 1,223,682 | |||
9,852,556 | |||||
NORWAY — 0.6% | |||||
Aker BP ASA | 26,570 | 870,820 | |||
DNB ASA | 238,601 | 4,453,082 | |||
Equinor ASA | 247,660 | 4,946,267 | |||
Gjensidige Forsikring ASA | 44,759 | 938,496 | |||
Mowi ASA | 111,409 | 2,893,213 | |||
Norsk Hydro ASA | 356,213 | 1,323,136 | |||
Orkla ASA | 197,667 | 2,001,122 | |||
Schibsted ASA Class B | 24,544 | 703,308 | |||
Telenor ASA | 174,967 | 3,135,042 | |||
Yara International ASA | 41,484 | 1,724,074 | |||
22,988,560 | |||||
PORTUGAL — 0.2% | |||||
EDP - Energias de Portugal SA | 651,344 | 2,825,099 | |||
Galp Energia SGPS SA | 117,125 | 1,958,944 | |||
Jeronimo Martins SGPS SA | 58,599 | 964,625 | |||
5,748,668 | |||||
RUSSIA — 0.0% (c) | |||||
Evraz PLC | 129,609 | 693,666 |
Security Description | Shares | Value | |||
SINGAPORE — 1.2% | |||||
Ascendas Real Estate Investment Trust | 721,230 | $1,593,019 | |||
CapitaLand Commercial Trust REIT | 661,238 | 978,592 | |||
CapitaLand Mall Trust REIT | 610,500 | 1,116,893 | |||
CapitaLand, Ltd. | 601,400 | 1,677,202 | |||
City Developments, Ltd. | 98,700 | 803,752 | |||
ComfortDelGro Corp., Ltd. | 544,900 | 964,461 | |||
DBS Group Holdings, Ltd. | 439,113 | 8,451,452 | |||
Genting Singapore, Ltd. | 1,435,400 | 982,090 | |||
Jardine Cycle & Carriage, Ltd. | 24,833 | 555,887 | |||
Keppel Corp., Ltd. (a) | 343,700 | 1,730,449 | |||
Mapletree Commercial Trust REIT | 493,800 | 877,687 | |||
Oversea-Chinese Banking Corp., Ltd. | 803,541 | 6,561,470 | |||
SATS, Ltd. | 171,200 | 644,236 | |||
Sembcorp Industries, Ltd. | 242,600 | 413,159 | |||
Singapore Airlines, Ltd. | 137,500 | 924,404 | |||
Singapore Exchange, Ltd. | 191,600 | 1,262,467 | |||
Singapore Press Holdings, Ltd. (a) | 397,400 | 644,281 | |||
Singapore Technologies Engineering, Ltd. | 369,900 | 1,083,855 | |||
Singapore Telecommunications, Ltd. | 1,996,300 | 5,003,184 | |||
Suntec Real Estate Investment Trust | 529,400 | 724,423 | |||
United Overseas Bank, Ltd. | 314,690 | 6,180,763 | |||
UOL Group, Ltd. | 128,632 | 795,908 | |||
Venture Corp., Ltd. | 67,800 | 816,837 | |||
Wilmar International, Ltd. | 456,600 | 1,399,020 | |||
46,185,491 | |||||
SOUTH AFRICA — 0.2% | |||||
Anglo American PLC | 258,633 | 7,445,225 | |||
SPAIN — 2.8% | |||||
ACS Actividades de Construccion y Servicios SA | 65,903 | 2,637,247 | |||
Aena SME SA (d) | 16,089 | 3,079,212 | |||
Amadeus IT Group SA | 107,322 | 8,770,135 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,633,890 | 9,139,025 | |||
Banco de Sabadell SA | 1,406,161 | 1,641,552 | |||
Banco Santander SA | 4,070,560 | 17,043,122 | |||
Bankia SA | 304,766 | 650,845 | |||
Bankinter SA | 160,926 | 1,179,936 | |||
CaixaBank SA | 899,730 | 2,825,830 | |||
Cellnex Telecom SA (d) | 63,782 | 2,747,110 | |||
Enagas SA | 53,610 | 1,368,430 | |||
Endesa SA | 80,722 | 2,155,622 | |||
Ferrovial SA | 116,975 | 3,541,279 | |||
Grifols SA | 75,632 | 2,668,309 | |||
Iberdrola SA | 1,463,754 | 15,083,320 | |||
Industria de Diseno Textil SA | 266,701 | 9,415,241 | |||
Mapfre SA | 271,207 | 718,454 |
Security Description | Shares | Value | |||
Naturgy Energy Group SA | 76,473 | $1,922,836 | |||
Red Electrica Corp. SA | 102,890 | 2,070,229 | |||
Repsol SA | 353,399 | 5,525,894 | |||
Siemens Gamesa Renewable Energy SA | 65,112 | 1,142,734 | |||
Telefonica SA | 1,144,700 | 8,001,229 | |||
103,327,591 | |||||
SWEDEN — 2.5% | |||||
Alfa Laval AB | 77,504 | 1,953,114 | |||
Assa Abloy AB Class B | 249,451 | 5,835,859 | |||
Atlas Copco AB Class A | 165,448 | 6,603,038 | |||
Atlas Copco AB Class B | 98,686 | 3,428,321 | |||
Boliden AB | 71,106 | 1,887,592 | |||
Electrolux AB Class B | 56,183 | 1,379,810 | |||
Epiroc AB Class A | 170,887 | 2,087,472 | |||
Epiroc AB Class B | 96,382 | 1,143,378 | |||
Essity AB Class B | 152,264 | 4,908,987 | |||
Hennes & Mauritz AB Class B (a) | 196,431 | 3,997,006 | |||
Hexagon AB Class B | 64,581 | 3,621,925 | |||
Husqvarna AB Class B | 101,271 | 811,592 | |||
ICA Gruppen AB | 22,934 | 1,071,113 | |||
Industrivarden AB Class C | 45,559 | 1,099,426 | |||
Investor AB Class B | 113,315 | 6,188,048 | |||
Kinnevik AB Class B | 58,818 | 1,438,869 | |||
L E Lundbergforetagen AB Class B | 17,802 | 781,603 | |||
Lundin Petroleum AB | 44,572 | 1,515,564 | |||
Sandvik AB | 279,400 | 5,451,569 | |||
Securitas AB Class B | 77,801 | 1,341,834 | |||
Skandinaviska Enskilda Banken AB Class A | 412,398 | 3,880,336 | |||
Skanska AB Class B | 86,703 | 1,960,787 | |||
SKF AB Class B | 98,908 | 2,001,183 | |||
Svenska Handelsbanken AB Class A | 378,214 | 4,076,657 | |||
Swedbank AB Class A | 230,549 | 3,434,450 | |||
Swedish Match AB | 40,921 | 2,110,517 | |||
Tele2 AB Class B | 126,668 | 1,838,239 | |||
Telefonaktiebolaget LM Ericsson Class B | 751,228 | 6,545,223 | |||
Telia Co. AB | 662,446 | 2,848,340 | |||
Volvo AB Class B | 371,648 | 6,229,170 | |||
91,471,022 | |||||
SWITZERLAND — 9.6% | |||||
ABB, Ltd. | 449,711 | 10,853,251 | |||
Adecco Group AG | 38,308 | 2,421,868 | |||
Alcon, Inc. (b) | 101,883 | 5,765,672 | |||
Baloise Holding AG | 12,003 | 2,169,180 | |||
Barry Callebaut AG | 795 | 1,755,264 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 280 | 2,172,975 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 24 | 2,119,068 | |||
Cie Financiere Richemont SA | 130,115 | 10,220,010 |
Security Description | Shares | Value | |||
Clariant AG | 50,343 | $1,122,950 | |||
Coca-Cola HBC AG | 49,968 | 1,697,905 | |||
Credit Suisse Group AG | 624,676 | 8,453,946 | |||
Dufry AG | 11,203 | 1,110,871 | |||
EMS-Chemie Holding AG | 2,053 | 1,349,444 | |||
Geberit AG | 9,193 | 5,156,852 | |||
Givaudan SA | 2,264 | 7,086,471 | |||
Glencore PLC (b) | 2,681,656 | 8,360,869 | |||
Julius Baer Group, Ltd. | 56,284 | 2,902,112 | |||
Kuehne + Nagel International AG | 13,905 | 2,343,467 | |||
LafargeHolcim, Ltd. | 123,568 | 6,852,483 | |||
Lonza Group AG | 18,360 | 6,696,703 | |||
Nestle SA | 734,852 | 79,514,424 | |||
Novartis AG | 530,881 | 50,382,572 | |||
Pargesa Holding SA | 10,136 | 842,093 | |||
Partners Group Holding AG (a) | 4,719 | 4,324,511 | |||
Roche Holding AG | 173,585 | 56,287,179 | |||
Schindler Holding AG (e) | 10,269 | 2,610,862 | |||
Schindler Holding AG (e) | 4,729 | 1,158,382 | |||
SGS SA | 1,353 | 3,704,036 | |||
Sika AG | 31,467 | 5,909,303 | |||
Sonova Holding AG | 14,086 | 3,222,026 | |||
STMicroelectronics NV | 167,089 | 4,495,749 | |||
Straumann Holding AG | 2,651 | 2,601,859 | |||
Swatch Group AG (e) | 7,069 | 1,971,013 | |||
Swatch Group AG (e) | 13,237 | 699,202 | |||
Swiss Life Holding AG | 8,610 | 4,319,449 | |||
Swiss Prime Site AG (b) | 19,666 | 2,272,552 | |||
Swiss Re AG | 74,493 | 8,362,048 | |||
Swisscom AG (a) | 6,479 | 3,429,685 | |||
Temenos AG | 16,698 | 2,641,745 | |||
UBS Group AG (b) | 960,365 | 12,124,193 | |||
Vifor Pharma AG | 11,253 | 2,052,814 | |||
Zurich Insurance Group AG | 37,413 | 15,342,286 | |||
358,879,344 | |||||
UNITED ARAB EMIRATES — 0.0% (c) | |||||
NMC Health PLC (a) | 25,744 | 602,624 | |||
UNITED KINGDOM — 14.6% | |||||
3i Group PLC | 245,281 | 3,567,799 | |||
Admiral Group PLC | 46,985 | 1,437,200 | |||
Ashtead Group PLC | 112,013 | 3,582,118 | |||
Associated British Foods PLC | 89,799 | 3,090,614 | |||
AstraZeneca PLC | 324,592 | 32,710,365 | |||
Auto Trader Group PLC (d) | 220,684 | 1,738,321 | |||
AVEVA Group PLC | 15,823 | 975,969 | |||
Aviva PLC | 982,380 | 5,448,998 | |||
BAE Systems PLC | 800,951 | 5,992,869 | |||
Barclays PLC | 4,301,409 | 10,236,417 | |||
Barratt Developments PLC | 262,383 | 2,595,122 | |||
Berkeley Group Holdings PLC | 29,018 | 1,867,878 | |||
BP PLC | 5,040,423 | 31,490,166 | |||
British American Tobacco PLC | 568,306 | 24,328,793 |
Security Description | Shares | Value | |||
British Land Co. PLC REIT | 214,286 | $1,813,397 | |||
BT Group PLC | 2,080,300 | 5,303,413 | |||
Bunzl PLC | 86,604 | 2,369,148 | |||
Burberry Group PLC | 103,377 | 3,019,720 | |||
Centrica PLC | 1,387,500 | 1,641,416 | |||
CNH Industrial NV | 248,353 | 2,729,218 | |||
Coca-Cola European Partners PLC (e) | 24,400 | 1,241,472 | |||
Coca-Cola European Partners PLC (e) | 35,366 | 1,772,530 | |||
Compass Group PLC | 395,527 | 9,903,121 | |||
Croda International PLC | 33,122 | 2,246,574 | |||
DCC PLC | 23,850 | 2,067,597 | |||
Diageo PLC | 583,335 | 24,732,615 | |||
Direct Line Insurance Group PLC | 364,371 | 1,508,440 | |||
easyJet PLC | 44,752 | 844,518 | |||
Experian PLC | 227,875 | 7,703,916 | |||
Fiat Chrysler Automobiles NV | 265,398 | 3,930,613 | |||
G4S PLC | 393,013 | 1,135,005 | |||
GlaxoSmithKline PLC | 1,234,785 | 29,100,567 | |||
GVC Holdings PLC | 139,499 | 1,634,014 | |||
Halma PLC | 92,053 | 2,580,404 | |||
Hargreaves Lansdown PLC | 72,826 | 1,866,816 | |||
HSBC Holdings PLC | 4,992,712 | 39,148,851 | |||
Imperial Brands PLC | 234,196 | 5,798,597 | |||
Informa PLC | 317,729 | 3,607,214 | |||
InterContinental Hotels Group PLC | 44,129 | 3,044,593 | |||
Intertek Group PLC | 41,291 | 3,201,061 | |||
ITV PLC | 948,250 | 1,896,854 | |||
J Sainsbury PLC | 440,863 | 1,342,693 | |||
JD Sports Fashion PLC | 107,276 | 1,190,062 | |||
Johnson Matthey PLC | 49,525 | 1,965,624 | |||
Kingfisher PLC | 559,595 | 1,608,673 | |||
Land Securities Group PLC REIT | 172,937 | 2,268,074 | |||
Legal & General Group PLC | 1,470,731 | 5,903,506 | |||
Lloyds Banking Group PLC | 17,329,309 | 14,348,134 | |||
London Stock Exchange Group PLC | 78,017 | 8,009,863 | |||
M&G PLC (b) | 631,607 | 1,984,704 | |||
Marks & Spencer Group PLC | 463,710 | 1,311,531 | |||
Meggitt PLC | 202,959 | 1,765,939 | |||
Melrose Industries PLC | 1,227,736 | 3,905,092 | |||
Micro Focus International PLC ADR (a) | 43,670 | 612,690 | |||
Micro Focus International PLC | 38,878 | 547,896 | |||
Mondi PLC | 124,129 | 2,914,699 | |||
National Grid PLC | 863,686 | 10,804,385 | |||
Next PLC | 32,521 | 3,023,510 | |||
Ocado Group PLC (b) | 111,452 | 1,888,394 | |||
Pearson PLC | 204,658 | 1,727,040 | |||
Persimmon PLC | 81,441 | 2,907,609 | |||
Prudential PLC | 644,516 | 12,371,896 | |||
Reckitt Benckiser Group PLC | 172,058 | 13,970,072 | |||
RELX PLC (e) | 299,801 | 7,567,914 |
Security Description | Shares | Value | |||
RELX PLC (e) | 176,822 | $4,457,919 | |||
Rentokil Initial PLC | 447,973 | 2,688,340 | |||
Rio Tinto PLC | 279,602 | 16,679,245 | |||
Rio Tinto, Ltd. | 92,764 | 6,546,930 | |||
Rolls-Royce Holdings PLC | 423,929 | 3,836,853 | |||
Royal Bank of Scotland Group PLC | 1,206,151 | 3,839,632 | |||
RSA Insurance Group PLC | 251,345 | 1,883,275 | |||
Sage Group PLC | 279,344 | 2,771,758 | |||
Schroders PLC | 29,656 | 1,309,822 | |||
Segro PLC REIT | 278,813 | 3,313,878 | |||
Severn Trent PLC | 61,952 | 2,064,085 | |||
Smith & Nephew PLC | 214,689 | 5,211,802 | |||
Smiths Group PLC | 102,649 | 2,294,056 | |||
Spirax-Sarco Engineering PLC | 17,903 | 2,108,442 | |||
SSE PLC | 255,917 | 4,876,892 | |||
St James's Place PLC | 127,093 | 1,960,628 | |||
Standard Chartered PLC | 687,994 | 6,492,960 | |||
Standard Life Aberdeen PLC | 598,144 | 2,599,837 | |||
Taylor Wimpey PLC | 844,503 | 2,163,674 | |||
Tesco PLC | 2,396,332 | 8,101,433 | |||
Unilever NV | 356,376 | 20,493,633 | |||
Unilever PLC | 273,041 | 15,736,248 | |||
United Utilities Group PLC | 166,753 | 2,084,029 | |||
Vodafone Group PLC | 6,608,161 | 12,847,614 | |||
Weir Group PLC | 64,978 | 1,299,372 | |||
Whitbread PLC | 32,301 | 2,073,641 | |||
Wm Morrison Supermarkets PLC | 586,128 | 1,551,394 | |||
WPP PLC | 312,089 | 4,409,339 | |||
544,541,044 | |||||
UNITED STATES — 0.2% | |||||
Carnival PLC | 39,049 | 1,885,048 | |||
Ferguson PLC | 57,571 | 5,224,305 | |||
QIAGEN NV (b) | 58,454 | 1,998,620 | |||
9,107,973 | |||||
TOTAL COMMON STOCKS (Cost $3,187,053,700) | 3,679,704,743 |
RIGHTS — 0.0% (c) | |||
SPAIN — 0.0% (c) | |||
Repsol SA, (expiring 1/21/20) (b) (Cost: $166,886) | 353,399 | 167,800 | |
SHORT-TERM INVESTMENTS — 1.0% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (f) (g) | 18,248,665 | 18,250,489 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 18,362,622 | $18,362,622 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $36,612,503) | 36,613,111 | |||||
TOTAL INVESTMENTS — 99.7% (Cost $3,223,833,089) | 3,716,485,654 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 9,920,429 | |||||
NET ASSETS — 100.0% | $3,726,406,083 |
(a) | All or a portion of the shares of the security are on loan at December 31, 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 0.9% of net assets as of December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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) | 438 | 03/20/2020 | $43,467,462 | $44,599,350 | $1,131,888 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,679,704,743 | $— | $— | $3,679,704,743 | ||||
Rights | 167,800 | — | — | 167,800 | ||||
Short-Term Investments | 36,613,111 | — | — | 36,613,111 | ||||
TOTAL INVESTMENTS | $3,716,485,654 | $— | $— | $3,716,485,654 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 1,131,888 | — | — | 1,131,888 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $1,131,888 | $— | $— | $1,131,888 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,717,617,542 | $— | $— | $3,717,617,542 |
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 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $186,252,357 | $168,001,339 | $(1,137) | $608 | 18,248,665 | $18,250,489 | $165,811 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,671,050 | 28,671,050 | 764,185,446 | 774,493,874 | — | — | 18,362,622 | 18,362,622 | 663,068 | ||||||||
Total | $28,671,050 | $950,437,803 | $942,495,213 | $(1,137) | $608 | $36,613,111 | $828,879 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,679,872,543 |
Investments in affiliated issuers, at value | 36,613,111 |
Total Investments | 3,716,485,654 |
Foreign currency, at value | 14,751,616 |
Net cash at broker | 1,061,254 |
Cash | 1 |
Receivable from broker — accumulated variation margin on open futures contracts | 1,133,150 |
Receivable for investments sold | 25,834 |
Dividends receivable — unaffiliated issuers | 3,293,909 |
Dividends receivable — affiliated issuers | 31,687 |
Securities lending income receivable — unaffiliated issuers | 16,647 |
Securities lending income receivable — affiliated issuers | 12,365 |
Receivable for foreign taxes recoverable | 8,418,628 |
Prepaid expenses and other assets | 8,574 |
TOTAL ASSETS | 3,745,239,319 |
LIABILITIES | |
Payable upon return of securities loaned | 18,362,622 |
Advisory fee payable | 391,269 |
Custodian fees payable | 36,201 |
Trustees’ fees and expenses payable | 694 |
Professional fees payable | 34,888 |
Printing and postage fees payable | 7,162 |
Accrued expenses and other liabilities | 400 |
TOTAL LIABILITIES | 18,833,236 |
NET ASSETS | $3,726,406,083 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,187,220,586 |
Investments in affiliated issuers | 36,612,503 |
Total cost of investments | $3,223,833,089 |
Foreign currency, at cost | $14,577,680 |
* Includes investments in securities on loan, at value | $55,686,987 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $505,493 |
Dividend income — unaffiliated issuers | 116,574,535 |
Dividend income — affiliated issuers | 165,811 |
Unaffiliated securities lending income | 184,726 |
Affiliated securities lending income | 663,068 |
Foreign taxes withheld | (9,254,824) |
TOTAL INVESTMENT INCOME (LOSS) | 108,838,809 |
EXPENSES | |
Advisory fee | 4,024,761 |
Administration and custody fees | 413,414 |
Trustees’ fees and expenses | 79,020 |
Professional fees and expenses | 209,431 |
Printing and postage fees | 21,319 |
Insurance expense | 17,158 |
Miscellaneous expenses | 26,648 |
TOTAL EXPENSES | 4,791,751 |
NET INVESTMENT INCOME (LOSS) | $104,047,058 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (20,463,337) |
Investments — affiliated issuers | (1,137) |
Foreign currency transactions | 95,501 |
Futures contracts | 5,964,157 |
Net realized gain (loss) | (14,404,816) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 556,622,587 |
Investments — affiliated issuers | 608 |
Foreign currency translations | 197,073 |
Futures contracts | 2,242,585 |
Net change in unrealized appreciation/depreciation | 559,062,853 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 544,658,037 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $648,705,095 |
Year Ended 12/31/19 | Year Ended 12/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $104,047,058 | $88,501,943 | |
Net realized gain (loss) | (14,404,816) | (25,894,912) | |
Net change in unrealized appreciation/depreciation | 559,062,853 | (497,102,616) | |
Net increase (decrease) in net assets resulting from operations | 648,705,095 | (434,495,585) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 566,042,704 | 960,880,616 | |
Withdrawals | (297,852,001) | (572,543,741) | |
Net increase (decrease) in net assets from capital transactions | 268,190,703 | 388,336,875 | |
Net increase (decrease) in net assets during the period | 916,895,798 | (46,158,710) | |
Net assets at beginning of period | 2,809,510,285 | 2,855,668,995 | |
NET ASSETS AT END OF PERIOD | $3,726,406,083 | $2,809,510,285 |
Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | For the Period 04/29/16* - 12/31/16 | ||||
Total return (a) | 22.11% | (13.83)% | 25.25% | 1.00% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $3,726,406 | $2,809,510 | $2,855,669 | $1,981,065 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.15% | 0.15% | 0.14% | 0.15%(b) | |||
Net investment income (loss) | 3.17% | 2.96% | 2.80% | 2.57%(b) | |||
Portfolio turnover rate | 3% | 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 | $— | $— | $— | $1,133,150 | $— | $1,133,150 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $5,964,157 | $— | $5,964,157 |
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 | $— | $— | $— | $2,242,585 | $— | $2,242,585 |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $507,602,292 | $96,802,492 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,285,979,549 | $668,163,421 | $236,525,428 | $431,637,993 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 55,686,987 | $ 18,362,622 | $ 40,093,709 | $ 58,456,331 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 2019 | ||||||||||||||
Portfolio | 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 | $18,362,622 | $— | $— | $— | $18,362,622 | $18,362,622 |
February 27, 2020
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street International Developed Equity Index Portfolio | 0.15% | $1,069.10 | $0.78 | $1,024.40 | $0.77 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 67 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 67 | None. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 Elected: 12/18 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-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), Principal, State Street Global Advisors (2000-2005). | 187 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | 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. | ||||||||||
(1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | 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 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | 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 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | 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). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
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
Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of FormN-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of FormN-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this FormN-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of FormN-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of FormN-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $674,279 and $625,287, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $270,795 and $320,722, respectively.
(d) | All Other Fees |
For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) werepre-approved by the Audit Committee were approximately $6,939,666 and $6,581,832, respectively.
(e)(1) | Audit CommitteePre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect topre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Trust’s independent auditor fornon-audit services to be rendered to the Fund’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committeepre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to bepre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated topre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
AlternatePre-Approval Procedure:
• | The Chairperson, or aCo-Chairperson, of the Audit Committee is authorized topre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Anypre-approval decision by the Chairperson, or aCo-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregatenon-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,152,927 and $36,297,003, respectively.
(h) | E&Y notified the Trust’s Audit Committee of allnon-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to bepre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
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 byClosed-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 report 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) | Code of Ethics pursuant to Item 2 of FormN-CSR is attached hereto. | |||||
(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: March 6, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: March 6, 2020 | ||
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: March 6, 2020 |