UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
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 Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2020
Item 1. Reports to Stockholders.
State Street Defensive Global Equity Fund |
ASSETS | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,088,472 |
Receivable for investments sold | 5,501 |
Receivable from Adviser | 7,791 |
TOTAL ASSETS | 2,101,764 |
LIABILITIES | |
Advisory fee payable | 1,271 |
Custodian fees payable | 2,536 |
Administration fees payable | 85 |
Trustees’ fees and expenses payable | 180 |
Transfer agent fees payable | 172 |
Registration and filing fees payable | 866 |
Professional fees payable | 25,307 |
Printing and postage fees payable | 10,782 |
Accrued expenses and other liabilities | 67 |
TOTAL LIABILITIES | 41,266 |
NET ASSETS | $2,060,498 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,356,976 |
Total distributable earnings (loss) | (296,478) |
NET ASSETS | $2,060,498 |
Class I | |
Net Assets | $2,060,498 |
Shares Outstanding | 246,178 |
Net asset value, offering and redemption price per share | $ 8.37 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,415,409 |
Shares of affiliated State Street Defensive Global Equity Portfolio | 212,675 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Defensive Global Equity Portfolio | $ — |
EXPENSES | |
Advisory fee | 8,072 |
Administration fees | 538 |
Custodian fees | 15,988 |
Trustees’ fees and expenses | 10,192 |
Transfer agent fees | 778 |
Sub-transfer agent fee | 973 |
Registration and filing fees | 26,209 |
Professional fees and expenses | 21,262 |
Printing and postage fees | 423 |
Insurance expense | 6 |
Miscellaneous expenses | 1,348 |
TOTAL EXPENSES | 85,789 |
Expenses waived/reimbursed by the Adviser | (76,738) |
NET EXPENSES | 9,051 |
NET INVESTMENT INCOME (LOSS) | $ (9,051) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | (52,242) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | (183,274) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (235,516) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(244,567) |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (9,051) | $ 64,866 | |
Net realized gain (loss) | (52,242) | 98,259 | |
Net change in unrealized appreciation/depreciation | (183,274) | 233,754 | |
Net increase (decrease) in net assets resulting from operations | (244,567) | 396,879 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | — | (679,703) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from sale of shares sold | 109,500 | 115,801 | |
Reinvestment of distributions | — | 575,522 | |
Cost of shares redeemed | (172,950) | (40,646) | |
Net increase (decrease) in net assets from beneficial interest transactions | (63,450) | 650,677 | |
Net increase (decrease) in net assets during the period | (308,017) | 367,853 | |
Net assets at beginning of period | 2,368,515 | 2,000,662 | |
NET ASSETS AT END OF PERIOD | $2,060,498 | $2,368,515 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 12,826 | 9,784 | |
Reinvestment of distributions | — | 61,884 | |
Shares redeemed | (21,750) | (3,416) | |
Net increase (decrease) from share transactions | (8,924) | 68,252 |
Class I | |||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 9.28 | $10.71 | $12.48 | $10.65 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | (0.04) | 0.34 | 0.23 | 0.32 | 0.21 | ||||
Net realized and unrealized gain (loss) | (0.87) | 1.75 | (1.02) | 1.94 | 0.77 | ||||
Total from investment operations | (0.91) | 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 | $ 8.37 | $ 9.28 | $10.71 | $12.48 | $10.65 | ||||
Total return (b) | (9.81)% | 19.42% | (6.27)% | 21.26% | 9.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,060 | $2,369 | $2,001 | $4,953 | $3,194 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 7.97%(c) | 7.18% | 3.43% | 4.48% | 5.37%(c) | ||||
Net expenses | 0.84%(c) | 0.81% | 0.76% | 0.76% | 0.75%(c) | ||||
Net investment income (loss) | (0.84)%(c) | 2.86% | 1.80% | 2.72% | 2.26%(c) | ||||
Portfolio turnover rate (d) | 35%(e) | 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 of 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 | 11.84% |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Fund | $2,428,096 | $— | $339,624 | $(339,624) |
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) | 0.84% | $901.90 | $3.97 | $1,020.70 | $4.22 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees ( “Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Defensive Global Equity Portfolio |
1 | |
2 | |
5 | |
8 | |
9 | |
10 | |
11 | |
12 | |
18 | |
19 |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | MSCI World Index | Net Asset Value | Market Value | MSCI World Index | ||||
ONE YEAR | – 3.50% | N/A | 2.84% | – 3.50% | N/A | 2.84% | |||
SINCE INCEPTION(1) | 38.78% | N/A | 55.35% | 7.79% | N/A | 10.63% | |||
(1) | For the period February 18, 2016 to June 30, 2020. |
(Based on Net Asset Value)
Description | Market Value | % of Net Assets | ||
Eli Lilly & Co. | 32,179 | 1.5% | ||
AutoZone, Inc. | 31,587 | 1.5 | ||
Home Depot, Inc. | 31,564 | 1.5 | ||
Target Corp. | 31,062 | 1.5 | ||
Koninklijke Ahold Delhaize NV | 30,733 | 1.5 | ||
TOTAL | 157,125 | 7.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.9% | |||||
AUSTRALIA — 4.7% | |||||
BHP Group, Ltd. | 634 | $ 15,749 | |||
Coles Group, Ltd. | 371 | 4,400 | |||
Mirvac Group REIT | 3,259 | 4,911 | |||
Scentre Group REIT | 6,862 | 10,393 | |||
Sonic Healthcare, Ltd. | 971 | 20,457 | |||
Telstra Corp., Ltd. | 5,705 | 12,355 | |||
Wesfarmers, Ltd. | 846 | 26,243 | |||
Woolworths Group, Ltd. | 184 | 4,732 | |||
99,240 | |||||
BELGIUM — 0.3% | |||||
Ageas SA/NV | 152 | 5,385 | |||
CANADA — 2.3% | |||||
BCE, Inc. | 281 | 11,682 | |||
Kirkland Lake Gold, Ltd. | 169 | 6,936 | |||
Loblaw Cos., Ltd. | 85 | 4,126 | |||
Metro, Inc. | 178 | 7,319 | |||
TELUS Corp. | 1,123 | 18,774 | |||
48,837 | |||||
DENMARK — 2.6% | |||||
Carlsberg A/S Class B | 57 | 7,555 | |||
Coloplast A/S Class B | 107 | 16,669 | |||
Novo Nordisk A/S Class B | 452 | 29,431 | |||
53,655 | |||||
FRANCE — 1.6% | |||||
Peugeot SA (a) | 686 | 11,247 | |||
Sanofi | 209 | 21,308 | |||
32,555 | |||||
GERMANY — 3.3% | |||||
Allianz SE | 65 | 13,278 | |||
Deutsche Telekom AG | 1,612 | 27,040 | |||
Merck KGaA | 112 | 13,038 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 57 | 14,838 | |||
68,194 | |||||
HONG KONG — 1.2% | |||||
CLP Holdings, Ltd. | 1,500 | 14,732 | |||
HKT Trust & HKT, Ltd. Stapled Security | 7,000 | 10,272 | |||
25,004 | |||||
IRELAND — 0.8% | |||||
Accenture PLC Class A | 82 | 17,607 | |||
ITALY — 0.4% | |||||
Snam SpA | 1,667 | 8,124 | |||
JAPAN — 13.9% | |||||
Astellas Pharma, Inc. | 1,700 | 28,413 | |||
FUJIFILM Holdings Corp. | 500 | 21,419 | |||
Fujitsu, Ltd. | 200 | 23,436 | |||
Hitachi, Ltd. | 200 | 6,362 | |||
ITOCHU Corp. | 900 | 19,490 |
Security Description | Shares | Value | |||
Japan Post Holdings Co., Ltd. | 2,400 | $ 17,142 | |||
KDDI Corp. | 500 | 14,931 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,300 | 12,998 | |||
Mitsui & Co., Ltd. | 400 | 5,932 | |||
Mizuho Financial Group, Inc. | 4,700 | 5,786 | |||
Nippon Telegraph & Telephone Corp. | 1,000 | 23,319 | |||
NTT DOCOMO, Inc. | 1,000 | 26,570 | |||
Sekisui House, Ltd. | 200 | 3,822 | |||
Seven & i Holdings Co., Ltd. | 400 | 13,096 | |||
Sony Corp. | 400 | 27,635 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 8,461 | |||
Tokyo Gas Co., Ltd. | 300 | 7,190 | |||
Toyota Motor Corp. | 400 | 25,175 | |||
291,177 | |||||
NETHERLANDS — 2.4% | |||||
Koninklijke Ahold Delhaize NV | 1,128 | 30,733 | |||
Koninklijke KPN NV | 4,054 | 10,780 | |||
Koninklijke Vopak NV | 150 | 7,932 | |||
49,445 | |||||
NEW ZEALAND — 0.9% | |||||
Spark New Zealand, Ltd. | 6,222 | 18,365 | |||
NORWAY — 0.3% | |||||
DNB ASA | 401 | 5,340 | |||
SWEDEN — 1.4% | |||||
Swedish Match AB | 406 | 28,650 | |||
SWITZERLAND — 5.5% | |||||
Nestle SA | 212 | 23,502 | |||
Novartis AG | 335 | 29,182 | |||
Roche Holding AG | 84 | 29,099 | |||
Swiss Life Holding AG | 28 | 10,415 | |||
Swisscom AG | 45 | 23,596 | |||
115,794 | |||||
UNITED KINGDOM — 0.5% | |||||
Direct Line Insurance Group PLC | 3,228 | 10,793 | |||
UNITED STATES — 55.8% | |||||
AbbVie, Inc. | 278 | 27,294 | |||
Adobe, Inc. (a) | 25 | 10,883 | |||
Alliant Energy Corp. | 199 | 9,520 | |||
Allstate Corp. | 284 | 27,545 | |||
Ameren Corp. | 116 | 8,162 | |||
American Electric Power Co., Inc. | 103 | 8,203 | |||
Amgen, Inc. | 120 | 28,303 | |||
AT&T, Inc. | 319 | 9,643 | |||
AutoZone, Inc. (a) | 28 | 31,587 | |||
Baxter International, Inc. | 153 | 13,173 | |||
Bristol-Myers Squibb Co. | 462 | 27,166 | |||
Cadence Design Systems, Inc. (a) | 135 | 12,955 | |||
Campbell Soup Co. | 288 | 14,293 | |||
Cerner Corp. | 228 | 15,629 | |||
Cisco Systems, Inc. | 445 | 20,755 | |||
Citrix Systems, Inc. | 128 | 18,933 | |||
Clorox Co. | 65 | 14,259 | |||
CMS Energy Corp. | 87 | 5,083 |
Security Description | Shares | Value | |||
Coca-Cola Co. | 386 | $ 17,246 | |||
Consolidated Edison, Inc. | 97 | 6,977 | |||
Costco Wholesale Corp. | 40 | 12,128 | |||
Dollar General Corp. | 88 | 16,765 | |||
Duke Energy Corp. | 59 | 4,714 | |||
Electronic Arts, Inc. (a) | 149 | 19,675 | |||
Eli Lilly & Co. | 196 | 32,179 | |||
Entergy Corp. | 143 | 13,415 | |||
Equinix, Inc. REIT | 19 | 13,344 | |||
Equity LifeStyle Properties, Inc. REIT | 158 | 9,872 | |||
Eversource Energy | 182 | 15,155 | |||
F5 Networks, Inc. (a) | 60 | 8,369 | |||
General Mills, Inc. | 209 | 12,885 | |||
Gilead Sciences, Inc. | 212 | 16,311 | |||
Hershey Co. | 133 | 17,239 | |||
Home Depot, Inc. | 126 | 31,564 | |||
International Business Machines Corp. | 86 | 10,386 | |||
Johnson & Johnson | 197 | 27,704 | |||
JPMorgan Chase & Co. | 161 | 15,144 | |||
Kellogg Co. | 336 | 22,196 | |||
Kimberly-Clark Corp. | 196 | 27,705 | |||
Kroger Co. | 710 | 24,034 | |||
Lockheed Martin Corp. | 57 | 20,800 | |||
McDonald's Corp. | 148 | 27,302 | |||
Medtronic PLC | 283 | 25,951 | |||
Merck & Co., Inc. | 360 | 27,839 | |||
Mondelez International, Inc. Class A | 261 | 13,345 | |||
Motorola Solutions, Inc. | 85 | 11,911 | |||
Newmont Corp. | 352 | 21,733 | |||
NortonLifeLock, Inc. | 633 | 12,552 | |||
Oracle Corp. | 303 | 16,747 | |||
PepsiCo, Inc. | 224 | 29,626 | |||
Pfizer, Inc. | 785 | 25,670 | |||
Philip Morris International, Inc. | 277 | 19,407 | |||
Procter & Gamble Co. | 242 | 28,936 | |||
Public Service Enterprise Group, Inc. | 281 | 13,814 |
Security Description | Shares | Value | |||
Public Storage REIT | 31 | $ 5,949 | |||
QUALCOMM, Inc. | 116 | 10,580 | |||
Republic Services, Inc. | 128 | 10,502 | |||
Target Corp. | 259 | 31,062 | |||
Texas Instruments, Inc. | 44 | 5,587 | |||
UGI Corp. | 21 | 668 | |||
Verizon Communications, Inc. | 485 | 26,738 | |||
Walmart, Inc. | 231 | 27,669 | |||
Waste Management, Inc. | 287 | 30,396 | |||
Western Union Co. | 1,145 | 24,755 | |||
Yum! Brands, Inc. | 217 | 18,859 | |||
1,166,791 | |||||
TOTAL COMMON STOCKS (Cost $1,945,759) | 2,044,956 |
SHORT-TERM INVESTMENT — 1.3% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (b) (c) (Cost $27,634) | 27,623 | 27,634 | |
TOTAL INVESTMENTS — 99.2% (Cost $1,973,393) | 2,072,590 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 16,417 | ||
NET ASSETS — 100.0% | $ 2,089,007 |
(a) | Non-income producing security. |
(b) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2020. |
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 | $1,241,167 | $803,789 | $— | $2,044,956 | ||||
Short-Term Investment | 27,634 | — | — | 27,634 | ||||
TOTAL INVESTMENTS | $1,268,801 | $803,789 | $— | $2,072,590 |
% of Net Assets | ||
Pharmaceuticals | 13.8% | |
Diversified Telecommunication Services | 9.3 | |
Food & Staples Retailing | 6.1 | |
Food Products | 4.9 | |
Insurance | 4.8 | |
IT Services | 3.6 | |
Multiline Retail | 3.6 | |
Biotechnology | 3.5 | |
Software | 3.4 | |
Household Products | 3.4 | |
Electric Utilities | 3.1 | |
Specialty Retail | 3.0 | |
Health Care Equipment & Supplies | 2.7 | |
Beverages | 2.6 | |
Banks | 2.3 | |
Tobacco | 2.3 | |
Hotels, Restaurants & Leisure | 2.2 | |
Equity Real Estate Investment Trusts (REITs) | 2.1 | |
Communications Equipment | 2.0 | |
Commercial Services & Supplies | 2.0 | |
Metals & Mining | 2.0 | |
Wireless Telecommunication Services | 2.0 | |
Automobiles | 1.8 | |
Multi-Utilities | 1.7 | |
Household Durables | 1.5 | |
Trading Companies & Distributors | 1.2 | |
Aerospace & Defense | 1.0 | |
Technology Hardware, Storage & Peripherals | 1.0 | |
Health Care Providers & Services | 1.0 | |
Entertainment | 0.9 | |
Health Care Technology | 0.8 | |
Semiconductors & Semiconductor Equipment | 0.8 | |
Gas Utilities | 0.8 | |
Oil, Gas & Consumable Fuels | 0.4 | |
Electronic Equipment, Instruments & Components | 0.3 | |
Short-Term Investment | 1.3 | |
Other Assets in Excess of Liabilities | 0.8 | |
TOTAL | 100.0% |
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 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $ — | $505,244 | $477,640 | $30 | $— | 27,623 | $27,634 | $306 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,308 | 10,308 | 25,494 | 35,802 | — | — | — | — | 20 | ||||||||
Total | $10,308 | $530,738 | $513,442 | $30 | $— | $27,634 | $326 |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,044,956 |
Investments in affiliated issuers, at value | 27,634 |
Total Investments | 2,072,590 |
Foreign currency, at value | 14,610 |
Cash | 604 |
Dividends receivable — unaffiliated issuers | 2,256 |
Dividends receivable — affiliated issuers | 29 |
Receivable from Adviser | 432 |
Receivable for foreign taxes recoverable | 4,417 |
TOTAL ASSETS | 2,094,938 |
LIABILITIES | |
Payable for fund shares repurchased | 5,501 |
Advisory fee payable | 428 |
Trustees’ fees and expenses payable | 2 |
TOTAL LIABILITIES | 5,931 |
NET ASSETS | $2,089,007 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,974,336 |
Total distributable earnings (loss) | 114,671 |
NET ASSETS | $2,089,007 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 9.82 |
Shares outstanding (unlimited amount authorized, no par value) | 212,675 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,945,759 |
Investments in affiliated issuers | 27,634 |
Total cost of investments | $1,973,393 |
Foreign currency, at cost | $ 14,543 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 64,610 |
Dividend income — affiliated issuers | 326 |
Foreign taxes withheld | (4,297) |
TOTAL INVESTMENT INCOME (LOSS) | 60,639 |
EXPENSES | |
Advisory fee | 5,692 |
Trustees’ fees and expenses | 30 |
Miscellaneous expenses | 3 |
TOTAL EXPENSES | 5,725 |
Expenses waived/reimbursed by the Adviser | (5,725) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $ 60,639 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 11,851 |
Investments — affiliated issuers | 30 |
Foreign currency transactions | (614) |
Net realized gain (loss) | 11,267 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (153,624) |
Foreign currency translations | 122 |
Net change in unrealized appreciation/depreciation | (153,502) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (142,235) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (81,596) |
Year Ended 6/30/20 | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 60,639 | $ 101,470 | |
Net realized gain (loss) | 11,267 | 83,542 | |
Net change in unrealized appreciation/depreciation | (153,502) | (204,703) | |
Net increase (decrease) in net assets resulting from operations | (81,596) | (19,691) | |
Distributions to shareholders | (188,440) | (351,241) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 296,196 | 631,379 | |
Reinvestment of distributions | 188,440 | 351,241 | |
Cost of shares redeemed | (415,467) | (3,326,507) | |
Net increase (decrease) in net assets from beneficial interest transactions | 69,169 | (2,343,887) | |
Net increase (decrease) in net assets during the period | (200,867) | (2,714,819) | |
Net assets at beginning of period | 2,289,874 | 5,004,693 | |
NET ASSETS AT END OF PERIOD | $2,089,007 | $ 2,289,874 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 28,561 | 51,951 | |
Reinvestment of distributions | 17,400 | 36,856 | |
Shares redeemed | (41,531) | (288,025) | |
Net increase (decrease) from share transactions | 4,430 | (199,218) |
State Street Defensive Global Equity Portfolio | |||||||||
Year Ended 6/30/20 | 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) | 0.28 | 0.33 | 0.42 | 0.31 | 0.15 | ||||
Net realized and unrealized gain (loss) | (0.58) | 0.39 | 0.36 | 1.21 | 0.74 | ||||
Total from investment operations | (0.30) | 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 | $ 9.82 | $11.00 | $12.28 | $12.03 | $10.89 | ||||
Total return (b) | (3.50)% | 8.38% | 6.48% | 14.43% | 8.90%(c) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,089 | $2,290 | $5,005 | $4,631 | $3,270 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.25% | 0.27% | 0.30% | 0.33% | 0.27%(d) | ||||
Net expenses | —% | —% | —% | —%(e) | —%(d) | ||||
Net investment income (loss) | 2.66% | 2.73% | 3.37% | 2.75% | 4.00%(d) | ||||
Portfolio turnover rate | 57% | 72% | 47% | 30% | 21%(c) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
Purchases | Sales | ||
State Street Defensive Global Equity Portfolio | $1,260,086 | $1,329,371 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $90,226 | $98,214 | $188,440 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $ 165,202 | $ 186,039 | $ 351,241 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Defensive Global Equity Portfolio | $26,317 | $— | $— | $88,354 | $— | $114,671 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $1,984,436 | $182,824 | $94,670 | $88,154 |
August 28, 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 Portfolio | 0.00% | $905.90 | $0.00 | $1,024.90 | $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 182, then divided by 366. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 123 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 123 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 123 | Affiliated Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). | 123 | Principal Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). | 123 | Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 123 | The Motley Fool Funds Trust (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). | 134 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 (with respect to Vice President);Since February 2016 (with respect to Deputy Treasurer) | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
State Street Equity 500 Index Fund | |
1 | |
2 | |
3 | |
5 | |
State Street Equity 500 Index II Portfolio | |
11 | |
12 | |
19 | |
20 | |
21 | |
22 | |
23 | |
31 |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,418,631,436 |
Receivable for fund shares sold | 5,149,217 |
Receivable from Adviser | 115,503 |
TOTAL ASSETS | 1,423,896,156 |
LIABILITIES | |
Payable for investments purchased | 3,815,639 |
Payable for fund shares repurchased | 1,328,069 |
Advisory fee payable | 23,256 |
Custodian fees payable | 3,935 |
Administration fees payable | 52,482 |
Distribution fees payable | 58,797 |
Trustees’ fees and expenses payable | 156 |
Transfer agent fees payable | 17,340 |
Sub-transfer agent fee payable | 46,176 |
Registration and filing fees payable | 963 |
Professional fees payable | 21,510 |
Printing and postage fees payable | 23,988 |
Accrued expenses and other liabilities | 100 |
TOTAL LIABILITIES | 5,392,411 |
NET ASSETS | $1,418,503,745 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,118,219,427 |
Total distributable earnings (loss) | 300,284,318 |
NET ASSETS | $1,418,503,745 |
Administrative Shares | |
Net Assets | $ 217,335,121 |
Shares Outstanding | 908,549 |
Net asset value, offering and redemption price per share | $ 239.21 |
Service Shares | |
Net Assets | $ 20,611,267 |
Shares Outstanding | 86,285 |
Net asset value, offering and redemption price per share | $ 238.88(a) |
Class R Shares | |
Net Assets | $ 32,510,943 |
Shares Outstanding | 136,302 |
Net asset value, offering and redemption price per share | $ 238.52 |
Class A Shares | |
Net Assets | $ 56,840,103 |
Shares Outstanding | 237,958 |
Net asset value, offering and redemption price per share | $ 238.87 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 252.11 |
Class I Shares | |
Net Assets | $ 17,146,336 |
Shares Outstanding | 71,672 |
Net asset value, offering and redemption price per share | $ 239.23 |
Class K Shares | |
Net Assets | $1,074,059,975 |
Shares Outstanding | 4,484,951 |
Net asset value, offering and redemption price per share | $ 239.48 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,111,975,076 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 4,844,391 |
(a) | Due to small class size; calculation of net assets value (total net assets/ shares outstanding) will not agree to net asset value shown. |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $ — |
EXPENSES | |
Advisory fee | 121,980 |
Administration fees | 304,951 |
Sub-transfer agent fee | |
Class A Shares | 53,269 |
Class I Shares | 12,465 |
Distribution fees | |
Administrative Shares | 161,261 |
Service Shares | 24,500 |
Class R Shares | 95,415 |
Class A Shares | 65,695 |
Custodian fees | 24,132 |
Trustees’ fees and expenses | 10,156 |
Transfer agent fees | 99,099 |
Registration and filing fees | 124,718 |
Professional fees | 20,083 |
Printing and postage fees | 30,819 |
Insurance expense | 2,790 |
Miscellaneous expenses | 16,308 |
TOTAL EXPENSES | 1,167,641 |
Expenses waived/reimbursed by the Adviser | (633,057) |
NET EXPENSES | 534,584 |
NET INVESTMENT INCOME (LOSS) | $ (534,584) |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (5,541,758) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (13,704,475) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (19,246,233) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(19,780,817) |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ (534,584) | $ 20,489,684 | |
Net realized gain (loss) | (5,541,758) | 5,420,997 | |
Net change in unrealized appreciation/depreciation | (13,704,475) | 241,955,281 | |
Net increase (decrease) in net assets resulting from operations | (19,780,817) | 267,865,962 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | — | (9,939,738) | |
Service Shares | — | (824,132) | |
Class R Shares | — | (1,368,384) | |
Class A Shares | — | (2,086,264) | |
Class I Shares | — | (596,779) | |
Class K Shares | — | (35,230,578) | |
Total distributions to shareholders | — | (50,045,875) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from sale of shares sold | 12,013,005 | 14,803,388 | |
Reinvestment of distributions | — | 9,939,738 | |
Cost of shares redeemed | (28,928,331) | (50,352,078) | |
Net increase (decrease) from capital share transactions | (16,915,326) | (25,608,952) | |
Service Shares | |||
Proceeds from sale of shares sold | 2,118,959 | 3,698,474 | |
Reinvestment of distributions | — | 824,131 | |
Cost of shares redeemed | (1,314,918) | (9,865,290) | |
Net increase (decrease) from capital share transactions | 804,041 | (5,342,685) | |
Class R Shares | |||
Proceeds from sale of shares sold | 3,457,446 | 6,798,328 | |
Reinvestment of distributions | — | 1,368,384 | |
Cost of shares redeemed | (6,873,891) | (11,252,184) | |
Net increase (decrease) from capital share transactions | (3,416,445) | (3,085,472) | |
Class A Shares | |||
Proceeds from sale of shares sold | 10,711,821 | 21,123,719 | |
Reinvestment of distributions | — | 2,083,022 | |
Cost of shares redeemed | (6,926,089) | (8,312,522) | |
Net increase (decrease) from capital share transactions | 3,785,732 | 14,894,219 | |
Class I Shares | |||
Proceeds from sale of shares sold | 6,403,955 | 9,836,747 | |
Reinvestment of distributions | — | 596,780 | |
Cost of shares redeemed | (3,126,155) | (14,359,801) | |
Net increase (decrease) from capital share transactions | 3,277,800 | (3,926,274) | |
Class K Shares | |||
Proceeds from sale of shares sold | 374,375,555 | 324,590,677 | |
Reinvestment of distributions | — | 35,035,317 | |
Cost of shares redeemed | (120,835,835) | (154,736,207) | |
Net increase (decrease) from capital share transactions | 253,539,720 | 204,889,787 | |
Net increase (decrease) in net assets from beneficial interest transactions | 241,075,522 | 181,820,623 | |
Net increase (decrease) in net assets during the period | 221,294,705 | 399,640,710 | |
Net assets at beginning of period | 1,197,209,040 | 797,568,330 | |
NET ASSETS AT END OF PERIOD | $1,418,503,745 | $1,197,209,040 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 53,286 | 64,362 | |
Reinvestment of distributions | — | 40,128 | |
Shares redeemed | (123,650) | (211,716) | |
Net increase (decrease) from share transactions | (70,364) | (107,226) | |
Service Shares | |||
Shares sold | 9,519 | 16,401 | |
Reinvestment of distributions | — | 3,331 | |
Shares redeemed | (6,145) | (43,356) | |
Net increase (decrease) from share transactions | 3,374 | (23,624) |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | ||
Class R Shares | |||
Shares sold | 14,891 | 30,772 | |
Reinvestment of distributions | — | 5,529 | |
Shares redeemed | (29,393) | (49,085) | |
Net increase (decrease) from share transactions | $ (14,502) | $ (12,784) | |
Class A Shares | |||
Shares sold | 44,788 | 91,596 | |
Reinvestment of distributions | — | 8,410 | |
Shares redeemed | (31,959) | (36,657) | |
Net increase (decrease) from share transactions | 12,829 | 63,349 | |
Class I Shares | |||
Shares sold | 26,984 | 45,295 | |
Reinvestment of distributions | — | 2,409 | |
Shares redeemed | (13,911) | (62,891) | |
Net increase (decrease) from share transactions | 13,073 | (15,187) | |
Class K Shares | |||
Shares sold | 1,659,274 | 1,413,544 | |
Reinvestment of distributions | — | 141,443 | |
Shares redeemed | (524,184) | (674,605) | |
Net increase (decrease) from share transactions | 1,135,090 | 880,382 |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Administrative Shares(a) | |||||||||||
Six Months Ended 06/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | $ 172.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.19) | 3.90 | 3.40 | 3.80 | 2.60 | 3.10 | |||||
Net realized and unrealized gain (loss) | (7.60) | 57.30 | (13.30) | 36.60 | 17.60 | (1.20) | |||||
Total from investment operations | (7.79) | 61.20 | (9.90) | 40.40 | 20.20 | 1.90 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (4.40) | (3.90) | (4.60) | (2.80) | (2.90) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (10.60) | (9.90) | (12.50) | (3.60) | (2.90) | |||||
Net asset value, end of period | $ 239.21 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | |||||
Total return (c) | (3.15)% | 31.14% | (4.56)% | 21.43% | 11.75% | 1.08% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $217,335 | $241,794 | $213,270 | $274,650 | $277,141 | $261,038 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.27%(d)(e) | 0.27%(e) | 0.27%(e) | 0.26%(e) | 0.27%(e) | 0.31%(e) | |||||
Net expenses | 0.17%(d)(e) | 0.17%(e) | 0.17%(e) | 0.18%(e) | 0.18%(e) | 0.18%(e) | |||||
Net investment income (loss) | (0.17)%(d) | 1.68% | 1.51% | 1.83% | 1.48% | 1.76% | |||||
Portfolio turnover rate | 5%(f)(g) | 21%(f) | 8%(f) | 30%(f) | 5%(f) | 5%(f) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Service Shares(a) | |||||||||||
Six Months Ended 06/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $246.70 | $196.20 | $216.00 | $188.10 | $ 171.50 | $ 172.50 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.31) | 3.10 | 3.20 | 1.50 | 2.60 | 2.20 | |||||
Net realized and unrealized gain (loss) | (7.51) | 57.70 | (13.30) | 38.70 | 17.40 | (0.50) | |||||
Total from investment operations | (7.82) | 60.80 | (10.10) | 40.20 | 20.00 | 1.70 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (4.10) | (3.70) | (4.40) | (2.60) | (2.70) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (10.30) | (9.70) | (12.30) | (3.40) | (2.70) | |||||
Net asset value, end of period | $238.88 | $246.70 | $196.20 | $216.00 | $ 188.10 | $ 171.50 | |||||
Total return (c) | (3.17)% | 30.99% | (4.66)% | 21.33% | 11.65% | 0.98% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $20,611 | $20,457 | $20,897 | $27,876 | $124,591 | $104,730 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.37%(d)(e) | 0.37%(e) | 0.37%(e) | 0.36%(e) | 0.37%(e) | 0.41%(e) | |||||
Net expenses | 0.27%(d)(e) | 0.27%(e) | 0.27%(e) | 0.28%(e) | 0.27%(e) | 0.28%(e) | |||||
Net investment income (loss) | (0.27)%(d) | 1.36% | 1.44% | 0.73% | 1.46% | 1.25% | |||||
Portfolio turnover rate | 5%(f)(g) | 21%(f) | 8%(f) | 30%(f) | 5%(f) | 5%(f) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class R Shares(a) | |||||||||||
Six Months Ended 06/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $246.80 | $196.20 | $216.10 | $188.10 | $171.50 | $172.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.71) | 2.90 | 2.40 | 2.90 | 1.80 | 1.90 | |||||
Net realized and unrealized gain (loss) | (7.57) | 57.10 | (13.30) | 36.60 | 17.60 | (0.90) | |||||
Total from investment operations | (8.28) | 60.00 | (10.90) | 39.50 | 19.40 | 1.00 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.20) | (3.00) | (3.60) | (2.00) | (2.10) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (9.40) | (9.00) | (11.50) | (2.80) | (2.10) | |||||
Net asset value, end of period | $238.52 | $246.80 | $196.20 | $216.10 | $188.10 | $171.50 | |||||
Total return (c) | (3.35)% | 30.58% | (5.04)% | 20.96% | 11.26% | 0.58% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $32,511 | $37,222 | $32,099 | $42,249 | $39,086 | $37,845 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.72%(d)(e) | 0.72%(e) | 0.72%(e) | 0.71%(e) | 0.72%(e) | 0.76%(e) | |||||
Net expenses | 0.62%(d)(e) | 0.62%(e) | 0.62%(e) | 0.63%(e) | 0.63%(e) | 0.63%(e) | |||||
Net investment income (loss) | (0.62)%(d) | 1.27% | 1.06% | 1.41% | 0.99% | 1.09% | |||||
Portfolio turnover rate | 5%(f)(g) | 21%(f) | 8%(f) | 30%(f) | 5%(f) | 5%(f) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class A Shares | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $247.00 | $196.40 | $216.30 | $188.30 | $171.70 | $172.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.54) | 4.20 | 6.40 | 1.60 | 6.80 | 2.50 | |||||
Net realized and unrealized gain (loss) | (7.59) | 56.30 | (16.60) | 38.20 | 12.90 | (1.10) | |||||
Total from investment operations | (8.13) | 60.50 | (10.20) | 39.80 | 19.70 | 1.40 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.70) | (3.70) | (3.90) | (2.30) | (2.40) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (9.90) | (9.70) | (11.80) | (3.10) | (2.40) | |||||
Net asset value, end of period | $238.87 | $247.00 | $196.40 | $216.30 | $188.30 | $171.70 | |||||
Total return (c) | (3.29)% | 30.78% | (4.72)% | 21.12% | 11.42% | 0.78% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $56,840 | $55,604 | $31,766 | $ 6,293 | $ 7,509 | $ 60 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.57%(d)(e) | 0.57%(e) | 0.38%(e) | 0.56%(e) | 0.57%(e) | 0.61%(e) | |||||
Net expenses | 0.47%(d)(e) | 0.47%(e) | 0.28%(e) | 0.48%(e) | 0.48%(e) | 0.48%(e) | |||||
Net investment income (loss) | (0.47)%(d) | 1.81% | 2.89% | 0.79% | 3.69% | 1.43% | |||||
Portfolio turnover rate | 5%(f)(g) | 21%(f) | 8%(f) | 30%(f) | 5%(f) | 5%(f) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
Class I Shares | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $247.10 | $196.50 | $216.30 | $188.40 | $171.70 | $172.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.25) | 3.20 | 4.40 | 8.90 | 28.60 | 2.90 | |||||
Net realized and unrealized gain (loss) | (7.62) | 58.10 | (14.10) | 31.40 | (8.40) | (1.10) | |||||
Total from investment operations | (7.87) | 61.30 | (9.70) | 40.30 | 20.20 | 1.80 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (4.50) | (4.10) | (4.50) | (2.70) | (2.80) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (10.70) | (10.10) | (12.40) | (3.50) | (2.80) | |||||
Net asset value, end of period | $239.23 | $247.10 | $196.50 | $216.30 | $188.40 | $171.70 | |||||
Total return (c) | (3.18)% | 31.17% | (4.45)% | 21.35% | 11.75% | 1.03% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $17,146 | $14,478 | $14,496 | $16,084 | $ 4,469 | $ 50 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.32%(d)(e) | 0.24%(e) | 0.15%(e) | 0.31%(e) | 0.32%(e) | 0.36%(e) | |||||
Net expenses | 0.22%(d)(e) | 0.15%(e) | 0.05%(e) | 0.23%(e) | 0.23%(e) | 0.23%(e) | |||||
Net investment income (loss) | (0.22)%(d) | 1.38% | 1.98% | 4.21% | 15.53%(f) | 1.66% | |||||
Portfolio turnover rate | 5%(g)(h) | 21%(g) | 8%(g) | 30%(g) | 5%(g) | 5%(g) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
Class K Shares | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | $172.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.02) | 5.10 | 4.70 | 4.40 | 4.40 | 14.50 | |||||
Net realized and unrealized gain (loss) | (7.60) | 56.60 | (14.30) | 36.40 | 16.10 | (12.30) | |||||
Total from investment operations | (7.62) | 61.70 | (9.60) | 40.80 | 20.50 | 2.20 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (4.80) | (4.20) | (5.00) | (3.10) | (3.20) | |||||
Net realized gains | — | (6.20) | (6.00) | (7.90) | (0.80) | — | |||||
Total distributions | — | (11.00) | (10.20) | (12.90) | (3.90) | (3.20) | |||||
Net asset value, end of period | $ 239.48 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | $171.70 | |||||
Total return (c) | (3.08)% | 31.39% | (4.42)% | 21.61% | 11.92% | 1.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,074,060 | $827,654 | $485,040 | $412,903 | $369,915 | $62,064 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(d)(e) | 0.12%(e) | 0.12%(e) | 0.11%(e) | 0.12%(e) | 0.16%(e) | |||||
Net expenses | 0.02%(d)(e) | 0.02%(e) | 0.02%(e) | 0.03%(e) | 0.03%(e) | 0.03%(e) | |||||
Net investment income (loss) | (0.02)%(d) | 2.22% | 2.08% | 2.14% | 2.42% | 8.45%(f) | |||||
Portfolio turnover rate | 5%(g)(h) | 21%(g) | 8%(g) | 30%(g) | 5%(g) | 5%(g) |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
% of Net Assets | |||
Common Stocks | 96.9% | ||
Rights | 0.0 * | ||
Short-Term Investments | 2.8 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Information Technology | 26.6% | ||
Health Care | 14.2 | ||
Consumer Discretionary | 10.5 | ||
Communication Services | 10.4 | ||
Financials | 9.8 | ||
TOTAL | 71.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.9% | |||||
COMMUNICATION SERVICES — 10.4% | |||||
Activision Blizzard, Inc. | 97,500 | $ 7,400,250 | |||
Alphabet, Inc. Class A (a) | 37,567 | 53,271,884 | |||
Alphabet, Inc. Class C (a) | 36,687 | 51,861,110 | |||
AT&T, Inc. | 890,340 | 26,914,978 | |||
Cars.com, Inc. (a) | 1 | 6 | |||
CenturyLink, Inc. | 112,178 | 1,125,145 | |||
Charter Communications, Inc. Class A (a) | 18,600 | 9,486,744 | |||
Comcast Corp. Class A | 568,466 | 22,158,805 | |||
Discovery, Inc. Class A (a)(b) | 20,703 | 436,833 | |||
Discovery, Inc. Class C (a) | 43,704 | 841,739 | |||
DISH Network Corp. Class A (a) | 29,118 | 1,004,862 | |||
Electronic Arts, Inc. (a) | 35,079 | 4,632,182 | |||
Facebook, Inc. Class A (a) | 301,493 | 68,460,015 | |||
Fox Corp. Class A | 40,566 | 1,087,980 | |||
Fox Corp. Class B | 20,100 | 539,484 | |||
Interpublic Group of Cos., Inc. | 44,166 | 757,889 | |||
Live Nation Entertainment, Inc. (a) | 16,100 | 713,713 | |||
Netflix, Inc. (a) | 54,904 | 24,983,516 | |||
News Corp. Class A | 50,888 | 603,532 | |||
News Corp. Class B | 11,400 | 136,230 | |||
Omnicom Group, Inc. | 27,691 | 1,511,929 | |||
Take-Two Interactive Software, Inc. (a) | 14,300 | 1,995,851 | |||
T-Mobile US, Inc. (a) | 67,700 | 7,050,955 | |||
Twitter, Inc. (a) | 96,600 | 2,877,714 | |||
Verizon Communications, Inc. | 517,215 | 28,514,063 | |||
ViacomCBS, Inc. Class B (b) | 68,681 | 1,601,641 | |||
Walt Disney Co. | 225,664 | 25,163,793 | |||
345,132,843 | |||||
CONSUMER DISCRETIONARY — 10.5% | |||||
Advance Auto Parts, Inc. | 7,900 | 1,125,355 | |||
Amazon.com, Inc. (a) | 52,590 | 145,086,344 | |||
Aptiv PLC | 34,019 | 2,650,760 | |||
AutoZone, Inc. (a) | 3,076 | 3,470,097 | |||
Best Buy Co., Inc. | 30,306 | 2,644,805 | |||
Booking Holdings, Inc. (a) | 5,224 | 8,318,384 | |||
BorgWarner, Inc. | 23,477 | 828,738 | |||
CarMax, Inc. (a) | 18,703 | 1,674,854 | |||
Carnival Corp. (b) | 69,301 | 1,137,922 | |||
Chipotle Mexican Grill, Inc. (a) | 3,286 | 3,458,055 | |||
D.R. Horton, Inc. | 44,897 | 2,489,539 | |||
Darden Restaurants, Inc. | 18,271 | 1,384,394 | |||
Dollar General Corp. | 30,813 | 5,870,185 | |||
Dollar Tree, Inc. (a) | 30,626 | 2,838,418 | |||
Domino's Pizza, Inc. | 4,800 | 1,773,312 | |||
eBay, Inc. | 85,045 | 4,460,610 | |||
Expedia Group, Inc. | 17,734 | 1,457,735 | |||
Ford Motor Co. | 484,038 | 2,942,951 |
Security Description | Shares | Value | |||
Gap, Inc. | 25,934 | $ 327,287 | |||
Garmin, Ltd. | 18,340 | 1,788,150 | |||
General Motors Co. | 165,323 | 4,182,672 | |||
Genuine Parts Co. | 18,489 | 1,607,803 | |||
H&R Block, Inc. (b) | 21,864 | 312,218 | |||
Hanesbrands, Inc. (b) | 46,800 | 528,372 | |||
Hasbro, Inc. | 14,597 | 1,094,045 | |||
Hilton Worldwide Holdings, Inc. | 35,200 | 2,585,440 | |||
Home Depot, Inc. | 134,602 | 33,719,147 | |||
Kohl's Corp. | 19,545 | 405,950 | |||
L Brands, Inc. | 27,121 | 406,001 | |||
Las Vegas Sands Corp. | 44,200 | 2,012,868 | |||
Leggett & Platt, Inc. | 17,054 | 599,448 | |||
Lennar Corp. Class A | 37,706 | 2,323,444 | |||
LKQ Corp. (a) | 35,000 | 917,000 | |||
Lowe's Cos., Inc. | 93,750 | 12,667,500 | |||
Marriott International, Inc. Class A | 31,955 | 2,739,502 | |||
McDonald's Corp. | 92,610 | 17,083,767 | |||
MGM Resorts International | 59,000 | 991,200 | |||
Mohawk Industries, Inc. (a) | 6,731 | 684,947 | |||
Newell Brands, Inc. | 43,241 | 686,667 | |||
NIKE, Inc. Class B | 154,206 | 15,119,898 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 38,400 | 630,912 | |||
NVR, Inc. (a) | 400 | 1,303,500 | |||
O'Reilly Automotive, Inc. (a) | 8,980 | 3,786,597 | |||
PulteGroup, Inc. | 29,062 | 988,980 | |||
PVH Corp. | 9,249 | 444,414 | |||
Ralph Lauren Corp. | 6,279 | 455,353 | |||
Ross Stores, Inc. | 42,856 | 3,653,045 | |||
Royal Caribbean Cruises, Ltd. | 24,400 | 1,227,320 | |||
Starbucks Corp. | 144,630 | 10,643,322 | |||
Tapestry, Inc. | 31,328 | 416,036 | |||
Target Corp. | 64,172 | 7,696,148 | |||
Tiffany & Co. | 14,299 | 1,743,620 | |||
TJX Cos., Inc. | 147,474 | 7,456,285 | |||
Tractor Supply Co. | 15,426 | 2,032,992 | |||
Ulta Beauty, Inc. (a) | 7,800 | 1,586,676 | |||
Under Armour, Inc. Class A (a) | 26,624 | 259,318 | |||
Under Armour, Inc. Class C (a) | 27,575 | 243,763 | |||
VF Corp. | 41,744 | 2,543,879 | |||
Whirlpool Corp. | 8,402 | 1,088,311 | |||
Wynn Resorts, Ltd. | 11,041 | 822,444 | |||
Yum! Brands, Inc. | 37,602 | 3,267,990 | |||
348,686,689 | |||||
CONSUMER STAPLES — 6.8% | |||||
Altria Group, Inc. | 236,329 | 9,275,913 | |||
Archer-Daniels-Midland Co. | 71,032 | 2,834,177 | |||
Brown-Forman Corp. Class B | 23,152 | 1,473,856 | |||
Campbell Soup Co. | 19,182 | 952,003 | |||
Church & Dwight Co., Inc. | 31,900 | 2,465,870 | |||
Clorox Co. | 15,864 | 3,480,086 | |||
Coca-Cola Co. | 482,300 | 21,549,164 | |||
Colgate-Palmolive Co. | 108,423 | 7,943,069 |
Security Description | Shares | Value | |||
Conagra Brands, Inc. | 64,924 | $ 2,283,377 | |||
Constellation Brands, Inc. Class A | 20,650 | 3,612,717 | |||
Costco Wholesale Corp. | 54,955 | 16,662,906 | |||
Coty, Inc. Class A | 39,812 | 177,960 | |||
Estee Lauder Cos., Inc. Class A | 28,941 | 5,460,588 | |||
General Mills, Inc. | 78,542 | 4,842,114 | |||
Hershey Co. | 18,667 | 2,419,616 | |||
Hormel Foods Corp. | 37,202 | 1,795,741 | |||
J.M. Smucker Co. | 14,305 | 1,513,612 | |||
Kellogg Co. | 32,028 | 2,115,770 | |||
Kimberly-Clark Corp. | 43,627 | 6,166,676 | |||
Kraft Heinz Co. | 82,418 | 2,628,310 | |||
Kroger Co. | 100,642 | 3,406,732 | |||
Lamb Weston Holdings, Inc. | 16,700 | 1,067,631 | |||
McCormick & Co., Inc. | 16,092 | 2,887,066 | |||
Molson Coors Beverage Co. Class B | 23,553 | 809,281 | |||
Mondelez International, Inc. Class A | 181,515 | 9,280,862 | |||
Monster Beverage Corp. (a) | 48,035 | 3,329,786 | |||
PepsiCo, Inc. | 173,216 | 22,909,548 | |||
Philip Morris International, Inc. | 193,512 | 13,557,451 | |||
Procter & Gamble Co. | 309,826 | 37,045,895 | |||
Sysco Corp. | 64,874 | 3,546,013 | |||
Tyson Foods, Inc. Class A | 38,444 | 2,295,491 | |||
Walmart, Inc. | 176,703 | 21,165,485 | |||
Walgreens Boots Alliance, Inc. | 95,305 | 4,039,979 | |||
224,994,745 | |||||
ENERGY — 2.7% | |||||
Apache Corp. | 47,855 | 646,042 | |||
Baker Hughes Co. | 74,479 | 1,146,232 | |||
Cabot Oil & Gas Corp. | 55,078 | 946,240 | |||
ChampionX Corp. (a) | 1 | 10 | |||
Chevron Corp. | 232,912 | 20,782,738 | |||
Concho Resources, Inc. | 25,600 | 1,318,400 | |||
ConocoPhillips | 139,227 | 5,850,319 | |||
Devon Energy Corp. | 44,101 | 500,105 | |||
Diamondback Energy, Inc. | 18,500 | 773,670 | |||
EOG Resources, Inc. | 76,671 | 3,884,153 | |||
Exxon Mobil Corp. | 527,875 | 23,606,570 | |||
Halliburton Co. | 123,167 | 1,598,708 | |||
Hess Corp. | 32,957 | 1,707,502 | |||
HollyFrontier Corp. | 20,000 | 584,000 | |||
Kinder Morgan, Inc. | 233,650 | 3,544,470 | |||
Marathon Oil Corp. | 104,288 | 638,243 | |||
Marathon Petroleum Corp. | 79,641 | 2,976,981 | |||
National Oilwell Varco, Inc. | 44,016 | 539,196 | |||
Noble Energy, Inc. | 54,625 | 489,440 | |||
Occidental Petroleum Corp. | 109,773 | 2,008,846 | |||
ONEOK, Inc. | 49,896 | 1,657,545 | |||
Phillips 66 | 52,573 | 3,779,999 | |||
Pioneer Natural Resources Co. | 22,676 | 2,215,445 | |||
Schlumberger, Ltd. | 176,050 | 3,237,559 | |||
TechnipFMC PLC | 47,791 | 326,890 | |||
Valero Energy Corp. | 54,423 | 3,201,161 |
Security Description | Shares | Value | |||
Williams Cos., Inc. | 159,558 | $ 3,034,793 | |||
90,995,257 | |||||
FINANCIALS — 9.8% | |||||
Aflac, Inc. | 85,706 | 3,087,987 | |||
Allstate Corp. | 41,239 | 3,999,771 | |||
American Express Co. | 81,312 | 7,740,902 | |||
American International Group, Inc. | 110,601 | 3,448,539 | |||
Ameriprise Financial, Inc. | 14,344 | 2,152,174 | |||
Aon PLC Class A | 29,665 | 5,713,479 | |||
Arthur J Gallagher & Co. | 24,700 | 2,408,003 | |||
Assurant, Inc. | 7,885 | 814,442 | |||
Bank of America Corp. | 974,705 | 23,149,244 | |||
Bank of New York Mellon Corp. | 96,994 | 3,748,818 | |||
Berkshire Hathaway, Inc. Class B (a) | 243,484 | 43,464,329 | |||
BlackRock, Inc. | 19,716 | 10,727,278 | |||
Capital One Financial Corp. | 54,695 | 3,423,360 | |||
Cboe Global Markets, Inc. | 14,100 | 1,315,248 | |||
Charles Schwab Corp. | 146,004 | 4,926,175 | |||
Chubb, Ltd. | 57,653 | 7,300,023 | |||
Cincinnati Financial Corp. | 17,409 | 1,114,698 | |||
Citigroup, Inc. | 258,527 | 13,210,730 | |||
Citizens Financial Group, Inc. | 61,400 | 1,549,736 | |||
CME Group, Inc. | 45,963 | 7,470,826 | |||
Comerica, Inc. | 16,427 | 625,869 | |||
Discover Financial Services | 35,328 | 1,769,580 | |||
E*TRADE Financial Corp. | 25,742 | 1,280,150 | |||
Everest Re Group, Ltd. | 4,700 | 969,140 | |||
Fifth Third Bancorp | 98,462 | 1,898,347 | |||
First Republic Bank | 22,200 | 2,352,978 | |||
Franklin Resources, Inc. | 37,989 | 796,629 | |||
Globe Life, Inc. | 12,412 | 921,343 | |||
Goldman Sachs Group, Inc. | 39,846 | 7,874,367 | |||
Hartford Financial Services Group, Inc. | 49,867 | 1,922,373 | |||
Huntington Bancshares, Inc. | 118,291 | 1,068,759 | |||
Intercontinental Exchange, Inc. | 70,685 | 6,474,746 | |||
Invesco, Ltd. | 42,111 | 453,114 | |||
JPMorgan Chase & Co. | 381,343 | 35,869,123 | |||
KeyCorp | 125,196 | 1,524,887 | |||
Lincoln National Corp. | 22,682 | 834,471 | |||
Loews Corp. | 29,219 | 1,001,919 | |||
M&T Bank Corp. | 17,563 | 1,826,025 | |||
MarketAxess Holdings, Inc. | 5,000 | 2,504,600 | |||
Marsh & McLennan Cos., Inc. | 64,119 | 6,884,457 | |||
MetLife, Inc. | 99,370 | 3,628,992 | |||
Moody's Corp. | 19,632 | 5,393,499 | |||
Morgan Stanley | 154,175 | 7,446,652 | |||
MSCI, Inc. | 10,800 | 3,605,256 | |||
Nasdaq, Inc. | 15,775 | 1,884,639 | |||
Northern Trust Corp. | 27,896 | 2,213,269 | |||
People's United Financial, Inc. | 50,366 | 582,735 | |||
PNC Financial Services Group, Inc. | 51,775 | 5,447,248 | |||
Principal Financial Group, Inc. | 29,565 | 1,228,130 |
Security Description | Shares | Value | |||
Progressive Corp. | 74,949 | $ 6,004,164 | |||
Prudential Financial, Inc. | 49,302 | 3,002,492 | |||
Raymond James Financial, Inc. | 14,100 | 970,503 | |||
Regions Financial Corp. | 136,246 | 1,515,056 | |||
S&P Global, Inc. | 29,768 | 9,807,961 | |||
State Street Corp. (c) | 45,678 | 2,902,837 | |||
SVB Financial Group (a) | 6,600 | 1,422,498 | |||
Synchrony Financial | 68,276 | 1,512,996 | |||
T Rowe Price Group, Inc. | 27,255 | 3,365,992 | |||
Travelers Cos., Inc. | 31,806 | 3,627,474 | |||
Truist Financial Corp. | 170,515 | 6,402,838 | |||
Unum Group | 26,705 | 443,036 | |||
US Bancorp | 176,522 | 6,499,540 | |||
Wells Fargo & Co. | 462,803 | 11,847,757 | |||
Willis Towers Watson PLC | 16,176 | 3,185,863 | |||
WR Berkley Corp. | 16,500 | 945,285 | |||
Zions Bancorp NA | 19,395 | 659,430 | |||
325,164,781 | |||||
HEALTH CARE — 14.2% | |||||
Abbott Laboratories | 220,549 | 20,164,795 | |||
AbbVie, Inc. | 219,880 | 21,587,818 | |||
ABIOMED, Inc. (a) | 5,700 | 1,376,892 | |||
Agilent Technologies, Inc. | 39,093 | 3,454,649 | |||
Alexion Pharmaceuticals, Inc. (a) | 28,673 | 3,218,258 | |||
Align Technology, Inc. (a) | 9,600 | 2,634,624 | |||
AmerisourceBergen Corp. | 17,034 | 1,716,516 | |||
Amgen, Inc. | 73,254 | 17,277,689 | |||
Anthem, Inc. | 32,019 | 8,420,357 | |||
Baxter International, Inc. | 65,379 | 5,629,132 | |||
Becton Dickinson and Co. | 37,256 | 8,914,243 | |||
Biogen, Inc. (a) | 20,984 | 5,614,269 | |||
Bio-Rad Laboratories, Inc. Class A (a) | 2,800 | 1,264,172 | |||
Boston Scientific Corp. (a) | 183,257 | 6,434,153 | |||
Bristol-Myers Squibb Co. | 281,675 | 16,562,490 | |||
Cardinal Health, Inc. | 39,033 | 2,037,132 | |||
Centene Corp. (a) | 75,004 | 4,766,504 | |||
Cerner Corp. | 39,637 | 2,717,116 | |||
Cigna Corp. | 47,341 | 8,883,539 | |||
Cooper Cos., Inc. | 6,700 | 1,900,388 | |||
CVS Health Corp. | 161,794 | 10,511,756 | |||
Danaher Corp. | 78,194 | 13,827,045 | |||
DaVita, Inc. (a) | 10,128 | 801,530 | |||
DENTSPLY SIRONA, Inc. | 25,434 | 1,120,622 | |||
DexCom, Inc. (a) | 11,300 | 4,581,020 | |||
Edwards Lifesciences Corp. (a) | 79,830 | 5,517,051 | |||
Eli Lilly & Co. | 104,872 | 17,217,885 | |||
Gilead Sciences, Inc. | 155,552 | 11,968,171 | |||
HCA Healthcare, Inc. | 31,500 | 3,057,390 | |||
Henry Schein, Inc. (a) | 18,700 | 1,091,893 | |||
Hologic, Inc. (a) | 34,300 | 1,955,100 | |||
Humana, Inc. | 16,890 | 6,549,098 | |||
IDEXX Laboratories, Inc. (a) | 10,900 | 3,598,744 | |||
Illumina, Inc. (a) | 18,700 | 6,925,545 | |||
Incyte Corp. (a) | 23,700 | 2,464,089 |
Security Description | Shares | Value | |||
Intuitive Surgical, Inc. (a) | 14,644 | $ 8,344,591 | |||
IQVIA Holdings, Inc. (a) | 22,800 | 3,234,864 | |||
Johnson & Johnson | 330,008 | 46,409,025 | |||
Laboratory Corp. of America Holdings (a) | 12,975 | 2,155,277 | |||
McKesson Corp. | 21,152 | 3,245,140 | |||
Medtronic PLC | 166,793 | 15,294,918 | |||
Merck & Co., Inc. | 315,172 | 24,372,251 | |||
Mettler-Toledo International, Inc. (a) | 3,200 | 2,577,760 | |||
Mylan NV (a) | 64,402 | 1,035,584 | |||
PerkinElmer, Inc. | 14,086 | 1,381,696 | |||
Perrigo Co. PLC | 15,386 | 850,384 | |||
Pfizer, Inc. | 693,433 | 22,675,259 | |||
Quest Diagnostics, Inc. | 18,142 | 2,067,462 | |||
Regeneron Pharmaceuticals, Inc. (a) | 12,842 | 8,008,913 | |||
ResMed, Inc. | 18,100 | 3,475,200 | |||
STERIS PLC | 11,700 | 1,795,248 | |||
Stryker Corp. | 40,694 | 7,332,652 | |||
Teleflex, Inc. | 6,200 | 2,256,676 | |||
Thermo Fisher Scientific, Inc. | 49,212 | 17,831,476 | |||
UnitedHealth Group, Inc. | 118,674 | 35,002,896 | |||
Universal Health Services, Inc. Class B | 9,200 | 854,588 | |||
Varian Medical Systems, Inc. (a) | 10,429 | 1,277,761 | |||
Vertex Pharmaceuticals, Inc. (a) | 33,052 | 9,595,326 | |||
Waters Corp. (a) | 8,650 | 1,560,460 | |||
West Pharmaceutical Services, Inc. | 9,300 | 2,112,681 | |||
Zimmer Biomet Holdings, Inc. | 27,425 | 3,273,448 | |||
Zoetis, Inc. | 60,220 | 8,252,549 | |||
472,035,760 | |||||
INDUSTRIALS — 7.8% | |||||
3M Co. | 73,529 | 11,469,789 | |||
A.O. Smith Corp. | 17,500 | 824,600 | |||
Alaska Air Group, Inc. | 15,500 | 562,030 | |||
Allegion PLC | 11,996 | 1,226,231 | |||
American Airlines Group, Inc. | 44,500 | 581,615 | |||
AMETEK, Inc. | 29,899 | 2,672,074 | |||
Boeing Co. | 66,564 | 12,201,181 | |||
C.H. Robinson Worldwide, Inc. (b) | 15,479 | 1,223,770 | |||
Carrier Global Corp. | 97,179 | 2,159,317 | |||
Caterpillar, Inc. | 66,724 | 8,440,586 | |||
Cintas Corp. | 11,066 | 2,947,540 | |||
Copart, Inc. (a) | 27,100 | 2,256,617 | |||
CSX Corp. | 98,755 | 6,887,174 | |||
Cummins, Inc. | 19,414 | 3,363,670 | |||
Deere & Co. | 40,183 | 6,314,758 | |||
Delta Air Lines, Inc. | 69,434 | 1,947,624 | |||
Dover Corp. | 16,450 | 1,588,412 | |||
Eaton Corp. PLC | 51,525 | 4,507,407 | |||
Emerson Electric Co. | 72,479 | 4,495,872 | |||
Equifax, Inc. | 16,088 | 2,765,205 |
Security Description | Shares | Value | |||
Expeditors International of Washington, Inc. | 23,476 | $ 1,785,115 | |||
Fastenal Co. | 73,216 | 3,136,573 | |||
FedEx Corp. | 29,050 | 4,073,391 | |||
Flowserve Corp. | 17,445 | 497,531 | |||
Fortive Corp. | 39,049 | 2,642,055 | |||
Fortune Brands Home & Security, Inc. | 18,000 | 1,150,740 | |||
General Dynamics Corp. | 28,172 | 4,210,587 | |||
General Electric Co. | 1,107,188 | 7,562,094 | |||
Honeywell International, Inc. | 87,078 | 12,590,608 | |||
Howmet Aerospace, Inc. | 50,186 | 795,448 | |||
Huntington Ingalls Industries, Inc. | 5,400 | 942,246 | |||
IDEX Corp. | 9,700 | 1,532,988 | |||
IHS Markit, Ltd. | 48,000 | 3,624,000 | |||
Illinois Tool Works, Inc. | 37,200 | 6,504,420 | |||
Ingersoll Rand, Inc. (a) | 47,387 | 1,332,522 | |||
Jacobs Engineering Group, Inc. | 17,243 | 1,462,206 | |||
JB Hunt Transport Services, Inc. | 9,700 | 1,167,298 | |||
Johnson Controls International PLC | 98,108 | 3,349,407 | |||
Kansas City Southern | 10,896 | 1,626,664 | |||
L3Harris Technologies, Inc. | 28,221 | 4,788,257 | |||
Lockheed Martin Corp. | 30,571 | 11,155,969 | |||
Masco Corp. | 33,984 | 1,706,337 | |||
Nielsen Holdings PLC | 46,225 | 686,904 | |||
Norfolk Southern Corp. | 33,187 | 5,826,642 | |||
Northrop Grumman Corp. | 19,925 | 6,125,742 | |||
Old Dominion Freight Line, Inc. | 12,850 | 2,179,231 | |||
Otis Worldwide Corp. | 51,589 | 2,933,351 | |||
PACCAR, Inc. | 43,739 | 3,273,864 | |||
Parker-Hannifin Corp. | 16,889 | 3,095,247 | |||
Pentair PLC | 19,604 | 744,756 | |||
Quanta Services, Inc. | 20,007 | 784,875 | |||
Raytheon Technologies Corp. | 187,601 | 11,559,974 | |||
Republic Services, Inc. | 27,489 | 2,255,472 | |||
Robert Half International, Inc. | 15,966 | 843,484 | |||
Rockwell Automation, Inc. | 14,726 | 3,136,638 | |||
Rollins, Inc. | 17,250 | 731,228 | |||
Roper Technologies, Inc. | 13,565 | 5,266,747 | |||
Snap-on, Inc. | 6,240 | 864,302 | |||
Southwest Airlines Co. | 72,359 | 2,473,231 | |||
Stanley Black & Decker, Inc. | 20,157 | 2,809,483 | |||
Teledyne Technologies, Inc. (a) | 4,700 | 1,461,465 | |||
Textron, Inc. | 28,933 | 952,185 | |||
Trane Technologies PLC | 30,484 | 2,712,466 | |||
TransDigm Group, Inc. | 6,100 | 2,696,505 | |||
Union Pacific Corp. | 84,298 | 14,252,263 | |||
United Airlines Holdings, Inc. (a) | 27,700 | 958,697 | |||
United Parcel Service, Inc. Class B | 89,891 | 9,994,081 | |||
United Rentals, Inc. (a) | 8,600 | 1,281,744 | |||
Verisk Analytics, Inc. | 20,500 | 3,489,100 | |||
W.W. Grainger, Inc. | 6,057 | 1,902,867 | |||
Waste Management, Inc. | 50,135 | 5,309,798 |
Security Description | Shares | Value | |||
Westinghouse Air Brake Technologies Corp. | 23,166 | $ 1,333,667 | |||
Xylem, Inc. | 22,858 | 1,484,856 | |||
259,492,793 | |||||
INFORMATION TECHNOLOGY — 26.6% | |||||
Accenture PLC Class A | 79,318 | 17,031,161 | |||
Adobe, Inc. (a) | 60,144 | 26,181,285 | |||
Advanced Micro Devices, Inc. (a) | 147,900 | 7,781,019 | |||
Akamai Technologies, Inc. (a) | 21,290 | 2,279,946 | |||
Amphenol Corp. Class A | 37,020 | 3,546,886 | |||
Analog Devices, Inc. | 47,752 | 5,856,305 | |||
ANSYS, Inc. (a) | 10,900 | 3,179,857 | |||
Apple, Inc. | 511,724 | 186,676,915 | |||
Applied Materials, Inc. | 117,654 | 7,112,184 | |||
Arista Networks, Inc. (a) | 6,900 | 1,449,207 | |||
Autodesk, Inc. (a) | 26,906 | 6,435,646 | |||
Automatic Data Processing, Inc. | 52,952 | 7,884,023 | |||
Broadcom, Inc. | 49,791 | 15,714,538 | |||
Broadridge Financial Solutions, Inc. | 15,600 | 1,968,564 | |||
Cadence Design Systems, Inc. (a) | 36,600 | 3,512,136 | |||
CDW Corp. | 19,100 | 2,219,038 | |||
Cisco Systems, Inc. | 529,690 | 24,704,742 | |||
Citrix Systems, Inc. | 13,989 | 2,069,113 | |||
Cognizant Technology Solutions Corp. Class A | 67,241 | 3,820,634 | |||
Corning, Inc. | 100,726 | 2,608,803 | |||
DXC Technology Co. | 29,138 | 480,777 | |||
F5 Networks, Inc. (a) | 7,741 | 1,079,715 | |||
Fidelity National Information Services, Inc. | 76,491 | 10,256,678 | |||
Fiserv, Inc. (a) | 72,224 | 7,050,507 | |||
FleetCor Technologies, Inc. (a) | 11,100 | 2,791,983 | |||
FLIR Systems, Inc. | 17,761 | 720,564 | |||
Fortinet, Inc. (a) | 15,700 | 2,155,139 | |||
Gartner, Inc. (a) | 11,400 | 1,383,162 | |||
Global Payments, Inc. | 38,168 | 6,474,056 | |||
Hewlett Packard Enterprise Co. | 178,953 | 1,741,213 | |||
HP, Inc. | 188,453 | 3,284,736 | |||
Intel Corp. | 529,536 | 31,682,139 | |||
International Business Machines Corp. | 110,295 | 13,320,327 | |||
Intuit, Inc. | 33,337 | 9,874,086 | |||
IPG Photonics Corp. (a) | 4,100 | 657,599 | |||
Jack Henry & Associates, Inc. | 10,400 | 1,913,912 | |||
Juniper Networks, Inc. | 42,349 | 968,098 | |||
Keysight Technologies, Inc. (a) | 24,100 | 2,428,798 | |||
KLA Corp. | 19,832 | 3,856,927 | |||
Lam Research Corp. | 17,777 | 5,750,148 | |||
Leidos Holdings, Inc. | 18,300 | 1,714,161 | |||
Mastercard, Inc. Class A | 110,551 | 32,689,931 | |||
Maxim Integrated Products, Inc. | 36,100 | 2,188,021 | |||
Microchip Technology, Inc. | 31,383 | 3,304,944 |
Security Description | Shares | Value | |||
Micron Technology, Inc. (a) | 140,534 | $ 7,240,312 | |||
Microsoft Corp. | 952,458 | 193,834,728 | |||
Motorola Solutions, Inc. | 21,772 | 3,050,910 | |||
NetApp, Inc. | 26,114 | 1,158,678 | |||
NortonLifeLock, Inc. | 72,860 | 1,444,814 | |||
NVIDIA Corp. | 76,844 | 29,193,804 | |||
Oracle Corp. | 258,735 | 14,300,283 | |||
Paychex, Inc. | 39,807 | 3,015,380 | |||
Paycom Software, Inc. (a) | 5,800 | 1,796,434 | |||
PayPal Holdings, Inc. (a) | 146,645 | 25,549,958 | |||
Qorvo, Inc. (a) | 14,800 | 1,635,844 | |||
QUALCOMM, Inc. | 139,626 | 12,735,288 | |||
salesforce.com, Inc. (a) | 112,395 | 21,054,955 | |||
Seagate Technology PLC | 29,424 | 1,424,416 | |||
ServiceNow, Inc. (a) | 24,200 | 9,802,452 | |||
Skyworks Solutions, Inc. | 22,500 | 2,876,850 | |||
Synopsys, Inc. (a) | 19,300 | 3,763,500 | |||
TE Connectivity, Ltd. | 39,451 | 3,217,229 | |||
Texas Instruments, Inc. | 114,093 | 14,486,388 | |||
Tyler Technologies, Inc. (a) | 5,100 | 1,769,088 | |||
VeriSign, Inc. (a) | 13,401 | 2,771,729 | |||
Visa, Inc. Class A | 211,260 | 40,809,094 | |||
Western Digital Corp. | 41,353 | 1,825,735 | |||
Western Union Co. | 53,945 | 1,166,291 | |||
Xerox Holdings Corp. | 25,527 | 390,308 | |||
Xilinx, Inc. | 32,160 | 3,164,222 | |||
Zebra Technologies Corp. Class A (a) | 6,000 | 1,535,700 | |||
884,814,013 | |||||
MATERIALS — 2.4% | |||||
Air Products & Chemicals, Inc. | 28,002 | 6,761,363 | |||
Albemarle Corp. | 12,000 | 926,520 | |||
Alcoa Corp. (a) | 1 | 11 | |||
Amcor PLC | 181,926 | 1,857,464 | |||
Avery Dennison Corp. | 10,670 | 1,217,340 | |||
Ball Corp. | 41,132 | 2,858,263 | |||
Celanese Corp. | 15,400 | 1,329,636 | |||
CF Industries Holdings, Inc. | 28,520 | 802,553 | |||
Corteva, Inc. (a) | 97,182 | 2,603,506 | |||
Dow, Inc. | 89,248 | 3,637,748 | |||
DuPont de Nemours, Inc. | 89,182 | 4,738,240 | |||
Eastman Chemical Co. | 15,536 | 1,081,927 | |||
Ecolab, Inc. | 30,300 | 6,028,185 | |||
FMC Corp. | 16,678 | 1,661,462 | |||
Freeport-McMoRan, Inc. | 168,140 | 1,945,380 | |||
International Flavors & Fragrances, Inc. | 14,651 | 1,794,161 | |||
International Paper Co. | 54,403 | 1,915,530 | |||
Linde PLC | 65,263 | 13,842,935 | |||
LyondellBasell Industries NV Class A | 34,758 | 2,284,296 | |||
Martin Marietta Materials, Inc. | 7,945 | 1,641,199 | |||
Mosaic Co. | 39,684 | 496,447 | |||
Newmont Corp. | 98,233 | 6,064,905 | |||
Nucor Corp. | 38,548 | 1,596,273 | |||
Packaging Corp. of America | 11,900 | 1,187,620 |
Security Description | Shares | Value | |||
PPG Industries, Inc. | 29,754 | $ 3,155,709 | |||
Sealed Air Corp. | 18,323 | 601,911 | |||
Sherwin-Williams Co. | 9,909 | 5,725,916 | |||
Vulcan Materials Co. | 18,171 | 2,105,110 | |||
Westrock Co. | 32,036 | 905,337 | |||
80,766,947 | |||||
REAL ESTATE — 2.7% | |||||
Alexandria Real Estate Equities, Inc. REIT | 15,400 | 2,498,650 | |||
American Tower Corp. REIT | 55,118 | 14,250,208 | |||
Apartment Investment and Management Co. Class A, REIT | 18,795 | 707,444 | |||
AvalonBay Communities, Inc. REIT | 17,769 | 2,747,798 | |||
Boston Properties, Inc. REIT | 18,246 | 1,649,073 | |||
CBRE Group, Inc. Class A (a) | 46,267 | 2,092,194 | |||
Crown Castle International Corp. REIT | 51,458 | 8,611,496 | |||
Digital Realty Trust, Inc. REIT | 33,600 | 4,774,896 | |||
Duke Realty Corp. REIT | 46,700 | 1,652,713 | |||
Equinix, Inc. REIT | 11,343 | 7,966,189 | |||
Equity Residential REIT | 43,419 | 2,553,906 | |||
Essex Property Trust, Inc. REIT | 8,445 | 1,935,341 | |||
Extra Space Storage, Inc. REIT | 16,500 | 1,524,105 | |||
Federal Realty Investment Trust REIT | 8,000 | 681,680 | |||
Healthpeak Properties, Inc. REIT | 62,923 | 1,734,158 | |||
Host Hotels & Resorts, Inc. REIT | 82,062 | 885,449 | |||
Iron Mountain, Inc. REIT (b) | 36,181 | 944,324 | |||
Kimco Realty Corp. REIT | 48,053 | 617,001 | |||
Mid-America Apartment Communities, Inc. REIT | 14,500 | 1,662,715 | |||
Prologis, Inc. REIT | 93,450 | 8,721,689 | |||
Public Storage REIT | 19,835 | 3,806,138 | |||
Realty Income Corp. REIT | 43,600 | 2,594,200 | |||
Regency Centers Corp. REIT | 21,200 | 972,868 | |||
SBA Communications Corp. REIT | 13,900 | 4,141,088 | |||
Simon Property Group, Inc. REIT | 41,180 | 2,815,888 | |||
SL Green Realty Corp. REIT (b) | 9,300 | 458,397 | |||
UDR, Inc. REIT | 37,300 | 1,394,274 | |||
Ventas, Inc. REIT | 47,397 | 1,735,678 | |||
Vornado Realty Trust REIT | 18,068 | 690,378 | |||
Welltower, Inc. REIT | 49,919 | 2,583,308 | |||
Weyerhaeuser Co. REIT | 102,387 | 2,299,612 | |||
91,702,858 | |||||
UTILITIES — 3.0% | |||||
AES Corp. | 75,936 | 1,100,313 | |||
Alliant Energy Corp. | 30,600 | 1,463,904 | |||
Ameren Corp. | 31,204 | 2,195,513 | |||
American Electric Power Co., Inc. | 63,509 | 5,057,857 |
Security Description | Shares | Value | |||
American Water Works Co., Inc. | 22,700 | $ 2,920,582 | |||
Atmos Energy Corp. | 14,900 | 1,483,742 | |||
CenterPoint Energy, Inc. | 57,476 | 1,073,077 | |||
CMS Energy Corp. | 36,455 | 2,129,701 | |||
Consolidated Edison, Inc. | 41,452 | 2,981,642 | |||
Dominion Energy, Inc. | 105,566 | 8,569,848 | |||
DTE Energy Co. | 25,045 | 2,692,338 | |||
Duke Energy Corp. | 93,592 | 7,477,065 | |||
Edison International | 44,814 | 2,433,848 | |||
Entergy Corp. | 25,098 | 2,354,443 | |||
Evergy, Inc. | 31,299 | 1,855,718 | |||
Eversource Energy | 41,217 | 3,432,140 | |||
Exelon Corp. | 126,584 | 4,593,733 | |||
FirstEnergy Corp. | 67,593 | 2,621,257 | |||
NextEra Energy, Inc. | 60,864 | 14,617,707 | |||
NiSource, Inc. | 47,904 | 1,089,337 | |||
NRG Energy, Inc. | 28,702 | 934,537 | |||
Pinnacle West Capital Corp. | 14,104 | 1,033,682 | |||
PPL Corp. | 96,619 | 2,496,635 | |||
Public Service Enterprise Group, Inc. | 62,888 | 3,091,574 | |||
Sempra Energy | 36,762 | 4,309,609 | |||
Southern Co. | 132,759 | 6,883,554 | |||
WEC Energy Group, Inc. | 41,582 | 3,644,662 | |||
Xcel Energy, Inc. | 66,651 | 4,165,688 | |||
98,703,706 | |||||
TOTAL COMMON STOCKS (Cost $2,301,194,138) | 3,222,490,392 |
RIGHTS — 0.0% (d) | |||
UNITED STATES — 0.0% (d) | |||
T-Mobile US, Inc. (expiring 07/27/20) (a) (Cost $18,315) | 49,500 | 8,316 | |
TOTAL RIGHTS (Cost $18,315) | 8,316 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENTS — 2.8% | |||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (e) (f) | 6 | $ 6 | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (e) (f) | 90,391,786 | 90,391,786 | |||
State Street Navigator Securities Lending Portfolio II (c) (g) | 3,332,973 | 3,332,973 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $93,724,765) | 93,724,765 | ||||
TOTAL INVESTMENTS — 99.7% (Cost $2,394,937,218) | 3,316,223,473 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 11,218,519 | ||||
NET ASSETS — 100.0% | $ 3,327,441,992 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | Amount shown represents 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 June 30, 2020 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(g) | 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) | 639 | 09/18/2020 | $97,376,492 | $98,731,890 | $1,355,398 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,222,490,392 | $— | $— | $3,222,490,392 | ||||
Rights | 8,316 | — | — | 8,316 | ||||
Short-Term Investments | 93,724,765 | — | — | 93,724,765 | ||||
TOTAL INVESTMENTS | $3,316,223,473 | $— | $— | $3,316,223,473 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,355,398 | — | — | 1,355,398 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,355,398 | $— | $— | $ 1,355,398 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,317,578,871 | $— | $— | $3,317,578,871 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Corp. | 41,778 | $ 3,304,640 | $ 256,878 | $ — | $ — | $(658,681) | 45,678 | $ 2,902,837 | $ 47,505 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 116,650,458 | 116,662,123 | 75,576,793 | 192,251,388 | 16,662 | (4,184) | 6 | 6 | 457,628 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 515,268,154 | 424,876,368 | — | — | 90,391,786 | 90,391,786 | 295,774 | ||||||||
State Street Navigator Securities Lending Portfolio II | 7,182,686 | 7,182,686 | 26,335,311 | 30,185,024 | — | — | 3,332,973 | 3,332,973 | 22,158 | ||||||||
Total | $127,149,449 | $617,437,136 | $647,312,780 | $16,662 | $(662,865) | $96,627,602 | $823,065 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,219,595,871 |
Investments in affiliated issuers, at value | 96,627,602 |
Total Investments | 3,316,223,473 |
Cash at broker | 7,669,218 |
Receivable from broker — accumulated variation margin on futures contracts | 1,356,673 |
Receivable for investments sold | 76,067,466 |
Receivable for fund shares sold | 3,816,019 |
Dividends receivable — unaffiliated issuers | 2,559,831 |
Dividends receivable — affiliated issuers | 599,828 |
Securities lending income receivable — unaffiliated issuers | 482 |
Securities lending income receivable — affiliated issuers | 10,531 |
Receivable from Adviser | 3,349 |
TOTAL ASSETS | 3,408,306,870 |
LIABILITIES | |
Payable upon return of securities loaned | 3,332,973 |
Payable for fund shares repurchased | 77,303,191 |
Administration, custody, and transfer agent fees payable | 35,523 |
Registration and filing fees payable | 35,356 |
Professional fees payable | 83,724 |
Printing and postage fees payable | 10,629 |
Accrued expenses and other liabilities | 63,482 |
TOTAL LIABILITIES | 80,864,878 |
NET ASSETS | $3,327,441,992 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,328,548,514 |
Total distributable earnings (loss) | 998,893,478 |
NET ASSETS | $3,327,441,992 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 292.84 |
Shares outstanding (unlimited amount authorized, no par value) | 11,362,610 |
Net Assets | $3,327,441,992 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,298,160,980 |
Investments in affiliated issuers | 96,776,238 |
Total cost of investments | $2,394,937,218 |
* Includes investments in securities on loan, at value | $ 5,464,082 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 7,962 |
Dividend income — unaffiliated issuers | 30,726,100 |
Dividend income — affiliated issuers | 800,907 |
Unaffiliated securities lending income | 5,650 |
Affiliated securities lending income | 22,158 |
TOTAL INVESTMENT INCOME (LOSS) | 31,562,777 |
EXPENSES | |
Administration, custody, and transfer agent fees | 207,275 |
Trustees’ fees and expenses | 34,717 |
Licensing and Registration Fees | 41,921 |
Professional fees | 80,459 |
Printing and postage fees | 11,460 |
Insurance expense | 8,610 |
TOTAL EXPENSES | 384,442 |
Expenses waived/reimbursed by the Adviser | (72,748) |
NET EXPENSES | 311,694 |
NET INVESTMENT INCOME (LOSS) | $ 31,251,083 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,764,334) |
Investments — affiliated issuers | 16,662 |
Futures contracts | (11,466,925) |
Net realized gain (loss) | (14,214,597) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (105,271,881) |
Investments — affiliated issuers | (662,865) |
Futures contracts | (586,926) |
Net change in unrealized appreciation/depreciation | (106,521,672) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (120,736,269) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (89,485,186) |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 31,251,083 | $ 65,664,107 | |
Net realized gain (loss) | (14,214,597) | 98,343,773 | |
Net change in unrealized appreciation/depreciation | (106,521,672) | 707,290,399 | |
Net increase (decrease) in net assets resulting from operations | (89,485,186) | 871,298,279 | |
Distributions to shareholders | — | (88,221,519) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 561,938,652 | 736,270,097 | |
Reinvestment of distributions | — | 88,221,519 | |
Cost of shares redeemed | (369,008,623) | (1,018,104,068) | |
Net increase (decrease) in net assets from beneficial interest transactions | 192,930,029 | (193,612,452) | |
Net increase (decrease) in net assets during the period | 103,444,843 | 589,464,308 | |
Net assets at beginning of period | 3,223,997,149 | 2,634,532,841 | |
NET ASSETS AT END OF PERIOD | $3,327,441,992 | $ 3,223,997,149 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 2,086,635 | 2,693,283 | |
Reinvestment of distributions | — | 292,706 | |
Shares redeemed | (1,388,851) | (3,510,546) | |
Net increase (decrease) from share transactions | 697,784 | (524,557) |
(a) | On April 17, 2020, the State Street Equity 500 Index II Portfolio underwent a 1-for-20 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | $ 206.40 | $ 211.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 2.81 | 5.60 | 5.20 | 5.00 | 4.60 | 4.40 | |||||
Net realized and unrealized gain (loss) | (12.37) | 68.40 | (17.20) | 44.20 | 20.40 | (1.80) | |||||
Total from investment operations | (9.56) | 74.00 | (12.00) | 49.20 | 25.00 | 2.60 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (5.20) | (5.20) | (5.40) | (3.60) | (4.00) | |||||
Net realized gains | — | (1.80) | (8.80) | (8.60) | (1.60) | (3.20) | |||||
Total distributions | — | (7.00) | (14.00) | (14.00) | (5.20) | (7.20) | |||||
Net asset value, end of period | $ 292.84 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | $ 206.40 | |||||
Total return (c) | (3.10)% | 31.41% | (4.42)% | 21.66% | 12.18% | 1.29% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,327,442 | $3,223,997 | $2,634,533 | $2,199,181 | $1,227,444 | $541,335 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.02%(d) | 0.03% | 0.03% | 0.03% | 0.04% | 0.04% | |||||
Net expenses | 0.02%(d) | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% | |||||
Net investment income (loss) | 2.01%(d) | 2.01% | 1.93% | 1.98% | 2.15% | 2.05% | |||||
Portfolio turnover rate | 5%(e) | 21% | 8% | 30% | 5% | 5% |
(a) | On April 17, 2020, State Street Equity 500 Index II Portfolio underwent a 1-for-20 reverse share split. The per share data presented here has been retroactively adjusted to reflect this split. See Note 11. |
(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) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2020 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 42.63% |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,356,673 | $— | $1,356,673 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(11,466,925) | $— | $(11,466,925) |
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 | $— | $— | $— | $(586,926) | $— | $(586,926) |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $388,768,033 | $144,518,730 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $1,117,867,585 | $ 300,763,851 | $ — | $300,763,851 | |||
State Street Equity 500 Index II Portfolio | 2,429,590,440 | 1,022,347,250 | 134,358,819 | 887,988,431 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 5,464,082 | $ 3,332,973 | $ 2,252,813 | $ 5,585,786 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 | $3,332,973 | $— | $— | $— | $3,332,973 | $3,332,973 |
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% | $968.50 | $0.83 | $1,024.00 | $0.86 | ||||
Service Shares | 0.27 | 968.30 | 1.32 | 1,023.50 | 1.36 | ||||
Class R Shares | 0.62 | 966.50 | 3.03 | 1,021.80 | 3.12 | ||||
Class A Shares | 0.47 | 967.10 | 2.30 | 1,022.50 | 2.36 | ||||
Class I Shares | 0.22 | 968.20 | 1.08 | 1,023.80 | 1.11 | ||||
Class K Shares | 0.02 | 969.20 | 0.10 | 1,024.80 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 969.00 | 0.10 | 1,024.80 | 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 182, then divided by 366. |
(b) | Because the Fund invests all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund, which is a feeder fund for which the Portfolio serves as the master fund in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund and Portfolio; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Fund and Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund and Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and Portfolio and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and Portfolio, and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund and Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund and Portfolio by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund and Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, and securities lending agent of the Fund and Portfolio, and transfer agent of the Portfolio, and the role of the Adviser in managing the Fund’s and the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund and Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the
Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $17,189,491,187 |
Receivable from Adviser | 48,205 |
TOTAL ASSETS | 17,189,539,392 |
LIABILITIES | |
Administration fees payable | 702,032 |
Shareholder servicing fee payable | 150,048 |
Distribution fees payable | 22,349 |
Trustees’ fees and expenses payable | 158 |
Transfer agent fees payable | 49,044 |
Distribution payable | 869,781 |
Registration and filing fees payable | 164,453 |
Professional fees payable | 16,792 |
Printing fees payable | 6,734 |
Accrued expenses and other liabilities | 208,411 |
TOTAL LIABILITIES | 2,189,802 |
NET ASSETS | $17,187,349,590 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $17,185,785,783 |
Total distributable earnings (loss) | 1,563,807 |
NET ASSETS | $17,187,349,590 |
Administration Class | |
Net Assets | $ 534,505,817 |
Shares Outstanding | 534,363,903 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Institutional Class | |
Net Assets | $ 500,089,097 |
Shares Outstanding | 499,839,795 |
Net asset value, offering and redemption price per share | $ 1.0005 |
Investment Class | |
Net Assets | $ 12,209 |
Shares Outstanding | 12,204 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Investor Class | |
Net Assets | $ 192,722,925 |
Shares Outstanding | 192,654,149 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Premier Class | |
Net Assets | $15,079,524,669 |
Shares Outstanding | 15,073,920,304 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Trust Class | |
Net Assets | $ 880,494,873 |
Shares Outstanding | 880,179,008 |
Net asset value, offering and redemption price per share | $ 1.0004 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $17,185,986,997 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $115,126,276 |
Expenses allocated from affiliated Portfolio | (6,199,812) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 108,926,464 |
EXPENSES | |
Administration fees | |
Administration Class | 155,694 |
Institutional Class | 100,440 |
Investment Class | 3 |
Investor Class | 40,275 |
Premier Class | 4,243,599 |
Trust Class | 165,725 |
Shareholder servicing fees | |
Administration Class | 622,776 |
Institutional Class | 60,264 |
Investment Class | 14 |
Investor Class | 64,440 |
Trust Class | 192,241 |
Distribution fees | |
Administration Class | 155,694 |
Investment Class | 5 |
Custodian fees | 32,411 |
Trustees’ fees and expenses | 10,109 |
Transfer agent fees | 155,897 |
Registration and filing fees | 425,442 |
Professional fees and expenses | 52,940 |
Printing and postage fees | 27,574 |
Insurance expense | 39,731 |
Miscellaneous expenses | 40,904 |
TOTAL EXPENSES | 6,586,178 |
Expenses waived/reimbursed by the Adviser | (396,794) |
NET EXPENSES | 6,189,384 |
NET INVESTMENT INCOME (LOSS) | $102,737,080 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (2,089,733) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 2,071,841 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (17,892) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $102,719,188 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 102,737,080 | $ 383,338,622 | |
Net realized gain (loss) | (2,089,733) | 206,342 | |
Net change in unrealized appreciation/depreciation | 2,071,841 | 1,566,595 | |
Net increase (decrease) in net assets resulting from operations | 102,719,188 | 385,111,559 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (2,487,756) | (16,286,035) | |
Institutional Class | (1,660,617) | (2,165,388) | |
Investment Class | (44) | (321) | |
Investor Class | (805,065) | (1,344,762) | |
Premier Class | (95,002,184) | (349,794,303) | |
Trust Class | (2,955,722) | (13,762,571) | |
Total distributions to shareholders | (102,911,388) | (383,353,380) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 2,929,277,887 | 7,064,387,447 | |
Reinvestment of distributions | 963,013 | 6,346,954 | |
Shares redeemed | (3,008,841,791) | (7,414,542,170) | |
Net increase (decrease) from capital share transactions | (78,600,891) | (343,807,769) | |
Institutional Class | |||
Shares sold | 1,015,013,275 | 346,019,418 | |
Reinvestment of distributions | 467,286 | 1,223,450 | |
Shares redeemed | (698,584,588) | (164,003,610) | |
Net increase (decrease) from capital share transactions | 316,895,973 | 183,239,258 | |
Investment Class | |||
Reinvestment of distributions | 22 | 117 | |
Shares redeemed | — | (11,314) | |
Net increase (decrease) from capital share transactions | 22 | (11,197) | |
Investor Class | |||
Shares sold | 599,936,318 | 591,140,341 | |
Reinvestment of distributions | 800,529 | 1,323,819 | |
Shares redeemed | (444,214,085) | (596,927,131) | |
Net increase (decrease) from capital share transactions | 156,522,762 | (4,462,971) | |
Premier Class | |||
Shares sold | 92,986,900,080 | 128,405,751,905 | |
Reinvestment of distributions | 80,684,841 | 300,188,572 | |
Shares redeemed | (98,176,377,886) | (118,008,766,305) | |
Net increase (decrease) from capital share transactions | (5,108,792,965) | 10,697,174,172 | |
Trust Class | |||
Shares sold | 3,153,821,740 | 7,060,825,006 | |
Reinvestment of distributions | 2,094,659 | 10,029,898 | |
Shares redeemed | (2,872,827,799) | (7,177,740,862) | |
Net increase (decrease) from capital share transactions | 283,088,600 | (106,885,958) | |
Net increase (decrease) in net assets from beneficial interest transactions | (4,430,886,499) | 10,425,245,535 | |
Net increase (decrease) in net assets during the period | (4,431,078,699) | 10,427,003,714 | |
Net assets at beginning of period | 21,618,428,289 | 11,191,424,575 | |
NET ASSETS AT END OF PERIOD | $ 17,187,349,590 | $ 21,618,428,289 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 2,929,134,206 | 7,063,766,984 | |
Reinvestment of distributions | 962,980 | 6,346,279 | |
Shares redeemed | (3,008,751,440) | (7,413,930,913) | |
Net increase (decrease) from share transactions | (78,654,254) | (343,817,650) | |
Institutional Class | |||
Shares sold | 1,014,733,043 | 345,940,633 | |
Reinvestment of distributions | 467,076 | 1,223,102 | |
Shares redeemed | (698,621,553) | (163,957,622) | |
Net increase (decrease) from share transactions | 316,578,566 | 183,206,113 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
Investment Class | |||
Reinvestment of distributions | 22 | 117 | |
Shares redeemed | — | (11,313) | |
Net increase (decrease) from share transactions | $ 22 | $ (11,196) | |
Investor Class | |||
Shares sold | 599,830,305 | 591,076,978 | |
Reinvestment of distributions | 800,607 | 1,323,685 | |
Shares redeemed | (444,397,569) | (596,863,389) | |
Net increase (decrease) from share transactions | 156,233,343 | (4,462,726) | |
Premier Class | |||
Shares sold | 92,978,208,009 | 128,391,594,972 | |
Reinvestment of distributions | 80,679,449 | 300,151,150 | |
Shares redeemed | (98,171,364,971) | (117,995,489,305) | |
Net increase (decrease) from share transactions | (5,112,477,513) | 10,696,256,817 | |
Trust Class | |||
Shares sold | 3,153,294,178 | 7,059,739,420 | |
Reinvestment of distributions | 2,094,521 | 10,028,400 | |
Shares redeemed | (2,872,480,166) | (7,176,649,795) | |
Net increase (decrease) from share transactions | 282,908,533 | (106,881,975) |
Administration Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0039 | 0.0206 | 0.0174 | 0.0080 | 0.0008 | ||||
Net realized and unrealized gain (loss) | 0.0001 | (0.0001) | (0.0001) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0040 | 0.0205 | 0.0173 | 0.0080 | 0.0008 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0038) | (0.0203) | (0.0174) | (0.0080) | (0.0008) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0038) | (0.0203) | (0.0174) | (0.0080) | (0.0008) | ||||
Net asset value, end of period | $ 1.0003 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.41% | 2.07% | 1.75% | 0.80% | 0.08% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $534,506 | $613,074 | $956,750 | $831,606 | $798,447 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37%(d) | 0.38% | 0.37% | 0.37% | 0.38%(d) | ||||
Net expenses | 0.37%(d) | 0.37% | 0.37% | 0.37% | 0.38%(d) | ||||
Net investment income (loss) | 0.79%(d) | 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) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 7/6/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0002 | $ 1.0001 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0041 | 0.0217 | 0.0108 | ||
Net realized and unrealized gain (loss) | 0.0011 | 0.0009 | 0.0001 | ||
Total from investment operations | 0.0052 | 0.0226 | 0.0109 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0049) | (0.0225) | (0.0108) | ||
Net asset value, end of period | $ 1.0005 | $ 1.0002 | $ 1.0001 | ||
Total return (b) | 0.52% | 2.28% | 1.08% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $500,089 | $183,304 | $ 55 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15%(c) | 0.16% | 0.15%(c) | ||
Net expenses | 0.15%(c) | 0.15% | 0.15%(c) | ||
Net investment income (loss) | 0.82%(c) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0037 | 0.0201 | 0.0164 | 0.0070 | 0.0010 | 0.0000(b)(c) | |||||
Net realized and unrealized gain (loss) | 0.0001 | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | 0.0000(b) | |||||
Total from investment operations | 0.0038 | 0.0198 | 0.0165 | 0.0069 | 0.0010 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0036) | (0.0196) | (0.0164) | (0.0070) | (0.0010) | — | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0036) | (0.0196) | (0.0164) | (0.0070) | (0.0010) | — | |||||
Net asset value, end of period | $ 1.0004 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | |||||
Total return (d) | 0.39% | 1.99% | 1.67% | 0.69% | 0.10% | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 12 | $ 12 | $ 23 | $ 5,547 | $ 5,582 | $485,292 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.45%(f) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.41%(f) | 0.45% | 0.47% | 0.47% | 0.46% | 0.24% | |||||
Net investment income (loss) | 0.74%(f) | 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 period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Investor Class(a) | |||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0050 | 0.0219 | 0.0191 | 0.0055 | |||
Net realized and unrealized gain (loss) | — | 0.0003 | — | (0.0001) | |||
Total from investment operations | 0.0050 | 0.0222 | 0.0191 | 0.0054 | |||
Voluntary expense reimbursement from Affiliate | — | — | — | 0.0000(b) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0047) | (0.0220) | (0.0191) | (0.0055) | |||
Net realized gains | — | — | — | (0.0000)(b) | |||
Total distributions | (0.0047) | (0.0220) | (0.0191) | (0.0055) | |||
Net asset value, end of period | $ 1.0004 | $ 1.0001 | $ 0.9999 | $ 0.9999 | |||
Total return (c) | 0.50% | 2.24% | 1.92% | 0.54% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $192,723 | $ 36,424 | $ 40,881 | $ 34,361 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20%(d) | 0.21% | 0.20% | 0.20%(d) | |||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 0.99%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | $ 1.0000 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0055 | 0.0223 | 0.0199 | 0.0105 | 0.0045 | 0.0012(b) | |||||
Net realized and unrealized gain (loss) | (0.0001) | 0.0007 | — | (0.0002) | 0.0001 | 0.0000(c) | |||||
Total from investment operations | 0.0054 | 0.0230 | 0.0199 | 0.0103 | 0.0046 | 0.0012 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0051) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | |||||
Net realized gains | — | — | — | (0.0000)(c) | — | — | |||||
Total distributions | (0.0051) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | (0.0012) | |||||
Net asset value, end of period | $ 1.0004 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | $ 1.0000 | |||||
Total return (d) | 0.54% | 2.32% | 2.00% | 1.05% | 0.45% | 0.12% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $15,079,525 | $20,188,261 | $9,489,591 | $8,303,222 | $6,255,384 | $45,207,442 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(e) | 0.13% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.12%(e) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net investment income (loss) | 1.11%(e) | 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 period. |
(c) | Amount is less than $0.00005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
Trust Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0044 | 0.0226 | 0.0193 | 0.0099 | 0.0015 | ||||
Net realized and unrealized gain (loss) | 0.0007 | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | ||||
Total from investment operations | 0.0051 | 0.0223 | 0.0194 | 0.0098 | 0.0015 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0048) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0048) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | ||||
Net asset value, end of period | $ 1.0004 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | ||||
Total return (c) | 0.51% | 2.26% | 1.96% | 0.99% | 0.15% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $880,495 | $597,353 | $704,123 | $764,391 | $1,211,202 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.18%(d) | 0.18% | 0.18% | 0.18% | 0.19%(d) | ||||
Net expenses | 0.18%(d) | 0.18% | 0.18% | 0.18% | 0.19%(d) | ||||
Net investment income (loss) | 0.89%(d) | 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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $17,185,986,997 | $3,504,190 | $— | $3,504,190 |
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% | $1,004.10 | $1.83 | $1,022.90 | $1.85 | ||||
Institutional Class | 0.15 | 1,005.20 | 0.74 | 1,024.00 | 0.75 | ||||
Investment Class | 0.41 | 1,003.90 | 2.03 | 1,022.70 | 2.05 | ||||
Investor Class | 0.20 | 1,005.00 | 0.99 | 1,023.70 | 1.00 | ||||
Premier Class | 0.12 | 1,005.40 | 0.60 | 1,024.10 | 0.60 | ||||
Trust Class | 0.18 | 1,005.10 | 0.89 | 1,023.80 | 0.90 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Money Market Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
15 |
% of Net Assets | |||
Financial Company Commercial Paper | 24.2% | ||
Certificates of Deposit | 24.0 | ||
Other Notes | 16.0 | ||
Asset Backed Commercial Paper | 13.1 | ||
Treasury Debt | 8.6 | ||
Treasury Repurchase Agreements | 4.4 | ||
Other Repurchase Agreements | 4.2 | ||
Government Agency Repurchase Agreements | 4.0 | ||
Other Assets in Excess of Liabilities | 1.5 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 29.5% | ||
2 to 30 Days | 13.8 | ||
31 to 60 Days | 14.8 | ||
61 to 90 Days | 14.7 | ||
Over 90 Days | 25.7 | ||
Total | 98.5% | ||
Average days to maturity | 31 | ||
Weighted average life | 58 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—13.1% | ||||||||||
Alpine Securitization LLC(a) | 0.350% | 12/01/2020 | 12/01/2020 | $ 75,000,000 | $ 74,890,596 | |||||
Alpine Securitization LLC(a) | 0.380% | 09/03/2020 | 09/03/2020 | 75,000,000 | 74,960,729 | |||||
Alpine Securitization LLC(a) | 1.250% | 08/18/2020 | 08/18/2020 | 50,000,000 | 49,982,782 | |||||
Alpine Securitization LLC(a) | 1.250% | 08/28/2020 | 08/28/2020 | 100,000,000 | 99,952,964 | |||||
Antalis SA(a) | 0.310% | 09/08/2020 | 09/08/2020 | 50,000,000 | 49,979,291 | |||||
Barclays Bank PLC(a) | 0.280% | 09/02/2020 | 09/02/2020 | 115,000,000 | 114,948,071 | |||||
Bedford Row Funding Corp., 3 Month USD LIBOR + 0.13%(b) | 0.429% | 09/17/2020 | 09/17/2020 | 65,000,000 | 65,025,012 | |||||
Collateralized Commercial Paper FLEX Co. LLC, 1 Month USD LIBOR + 0.15%(b) | 0.323% | 07/01/2020 | 11/10/2020 | 100,000,000 | 99,982,237 | |||||
Collateralized Commercial Paper FLEX Co. LLC, 1 Month USD LIBOR + 0.15%(b) | 0.327% | 07/10/2020 | 11/10/2020 | 110,000,000 | 109,980,461 | |||||
Collateralized Commercial Paper V Co. LLC, 1 Month USD LIBOR + 0.11%(b) | 0.285% | 07/06/2020 | 11/06/2020 | 45,000,000 | 44,937,985 | |||||
Columbia Funding Co. LLC(a) | 0.290% | 10/06/2020 | 10/06/2020 | 90,000,000 | 89,922,090 | |||||
Kells Funding LLC(a) | 0.245% | 09/23/2020 | 09/23/2020 | 115,000,000 | 114,947,867 | |||||
Kells Funding LLC(a) | 0.250% | 09/14/2020 | 09/14/2020 | 100,000,000 | 99,958,833 | |||||
Kells Funding LLC(a) | 0.270% | 10/22/2020 | 10/22/2020 | 200,000,000 | 199,854,334 | |||||
Kells Funding LLC(a) | 0.380% | 08/28/2020 | 08/28/2020 | 75,000,000 | 74,976,277 | |||||
Legacy Capital Co.(a) | 1.300% | 07/02/2020 | 07/02/2020 | 100,897,000 | 100,896,327 | |||||
Legacy Capital Co.(a) | 1.300% | 07/06/2020 | 07/06/2020 | 94,956,000 | 94,954,101 | |||||
Legacy Capital Co.(a) | 1.300% | 08/19/2020 | 08/19/2020 | 21,981,000 | 21,974,497 | |||||
Legacy Capital Co.(a) | 1.300% | 08/24/2020 | 08/24/2020 | 84,930,000 | 84,901,843 | |||||
Legacy Capital Co.(a) | 1.300% | 08/31/2020 | 08/31/2020 | 75,289,000 | 75,260,084 | |||||
Legacy Capital Co.(a) | 1.300% | 09/09/2020 | 09/09/2020 | 99,898,000 | 99,851,700 | |||||
LMA Americas LLC(a) | 0.080% | 07/01/2020 | 07/01/2020 | 100,000,000 | 99,999,678 | |||||
Matchpoint Finance PLC(a) | 0.500% | 08/20/2020 | 08/20/2020 | 100,000,000 | 99,972,517 | |||||
Mountcliff Funding LLC(a) | 0.200% | 07/01/2020 | 07/01/2020 | 110,000,000 | 109,999,634 | |||||
Versailles CDS LLC(a) | 1.150% | 07/15/2020 | 07/15/2020 | 100,000,000 | 99,993,750 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 2,252,103,660 | |||||||||
CERTIFICATES OF DEPOSIT—24.0% | ||||||||||
Bank of Montreal(a) | 0.110% | 07/02/2020 | 07/02/2020 | 125,000,000 | 125,000,139 | |||||
Bank of Montreal, 1 Month USD LIBOR + 0.11%(b) | 0.295% | 07/13/2020 | 11/13/2020 | 157,000,000 | 157,006,756 | |||||
Bank of Montreal, 3 Month USD LIBOR + 0.05%(b) | 1.070% | 08/04/2020 | 02/04/2021 | 200,000,000 | 199,976,350 | |||||
Bank of Montreal, FFR + 0.37%(b) | 0.450% | 07/01/2020 | 09/08/2020 | 180,000,000 | 180,033,943 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.06%(b) | 1.523% | 07/06/2020 | 10/06/2020 | 125,000,000 | 125,026,090 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.09%(b) | 0.525% | 08/12/2020 | 02/12/2021 | 97,500,000 | 97,523,894 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.10%(b) | 0.406% | 09/28/2020 | 09/28/2020 | 150,000,000 | 150,054,963 | |||||
BNP Paribas(a) | 1.770% | 07/13/2020 | 07/13/2020 | 100,000,000 | 100,059,800 | |||||
Canadian Imperial Bank of Commerce(a) | 0.100% | 07/02/2020 | 07/02/2020 | 100,000,000 | 99,999,994 | |||||
Canadian Imperial Bank of Commerce(a) | 1.950% | 09/17/2020 | 09/17/2020 | 100,000,000 | 100,398,602 | |||||
Canadian Imperial Bank of Commerce, FFR + 0.35%(b) | 0.430% | 07/01/2020 | 09/15/2020 | 150,000,000 | 150,033,441 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%(b) | 0.368% | 09/08/2020 | 09/08/2020 | 145,000,000 | 145,027,360 | |||||
Credit Suisse(a) | 1.250% | 07/10/2020 | 07/10/2020 | 100,000,000 | 100,030,765 | |||||
Credit Suisse, 1 Month USD LIBOR + 0.29%(b) | 0.473% | 07/02/2020 | 08/28/2020 | 150,000,000 | 150,062,164 | |||||
KBC Bank NV(a) | 0.110% | 07/02/2020 | 07/02/2020 | 140,000,000 | 140,000,155 | |||||
Lloyds Bank Corporate Markets PLC(a) | 1.350% | 10/16/2020 | 10/16/2020 | 150,000,000 | 150,461,746 | |||||
Mitsubishi UFJ Trust & Banking Corp.(a) | 0.500% | 08/13/2020 | 08/13/2020 | 150,000,000 | 150,055,872 | |||||
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.07%(b) | 0.255% | 07/14/2020 | 08/14/2020 | 150,000,000 | 150,009,794 | |||||
MUFG Bank Ltd.(a) | 0.250% | 08/31/2020 | 08/31/2020 | 150,000,000 | 149,998,952 | |||||
MUFG Bank Ltd.(a) | 1.310% | 07/16/2020 | 07/16/2020 | 125,000,000 | 125,063,635 | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.23%(b) | 0.410% | 07/09/2020 | 07/09/2020 | 155,000,000 | 155,010,001 | |||||
Norinchukin Bank(a) | 0.290% | 08/24/2020 | 08/24/2020 | 125,000,000 | 125,007,620 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.780% | 08/14/2020 | 08/14/2020 | 35,000,000 | 35,072,570 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.10%(b) | 0.277% | 07/10/2020 | 11/10/2020 | $ 108,000,000 | $ 107,953,089 | |||||
Standard Chartered Bank(a) | 1.400% | 08/10/2020 | 08/10/2020 | 125,000,000 | 125,160,696 | |||||
Standard Chartered Bank, 1 Month USD LIBOR + 0.14%(b) | 0.331% | 07/13/2020 | 11/12/2020 | 155,000,000 | 154,879,100 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.700% | 07/22/2020 | 07/22/2020 | 76,500,000 | 76,529,163 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.15%(b) | 0.344% | 07/17/2020 | 10/19/2020 | 150,000,000 | 149,997,069 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.490% | 08/12/2020 | 08/12/2020 | 50,000,000 | 50,019,936 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.25%(b) | 0.429% | 07/06/2020 | 01/04/2021 | 100,000,000 | 100,070,755 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.04%(b) | 1.503% | 07/06/2020 | 07/06/2020 | 155,000,000 | 155,002,235 | |||||
Toronto-Dominion Bank, FFR + 0.37%(b) | 0.450% | 07/01/2020 | 09/14/2020 | 150,000,000 | 150,030,787 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 4,130,557,436 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—24.2% | ||||||||||
Australia & New Zealand Banking Group Ltd., 3 Month USD LIBOR + 0.09%(b) | 0.459% | 08/27/2020 | 08/27/2020 | 200,000,000 | 200,043,508 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.07%(b) | 1.533% | 07/06/2020 | 10/06/2020 | 75,000,000 | 75,017,612 | |||||
Credit Agricole Corporate and Investment Bank(a) | 0.100% | 07/02/2020 | 07/02/2020 | 150,000,000 | 149,999,224 | |||||
DBS Bank Ltd.(a) | 0.280% | 10/26/2020 | 10/26/2020 | 100,000,000 | 99,916,089 | |||||
DBS Bank Ltd.(a) | 0.950% | 09/04/2020 | 09/04/2020 | 65,000,000 | 64,980,934 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.05%(b) | 0.355% | 09/23/2020 | 12/23/2020 | 150,000,000 | 150,000,000 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.12%(b) | 1.440% | 07/09/2020 | 10/09/2020 | 175,000,000 | 175,065,961 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.23%(b) | 1.449% | 07/15/2020 | 10/15/2020 | 175,000,000 | 175,125,069 | |||||
ING US Funding LLC(a) | 1.255% | 07/10/2020 | 07/10/2020 | 125,000,000 | 124,994,791 | |||||
ING US Funding LLC, 3 Month USD LIBOR + 0.06%(b) | 1.380% | 07/09/2020 | 10/09/2020 | 175,000,000 | 175,004,706 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%(b) | 0.470% | 08/24/2020 | 11/24/2020 | 100,000,000 | 100,043,642 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%(b) | 0.470% | 08/25/2020 | 11/25/2020 | 125,000,000 | 125,054,934 | |||||
National Securities Clearing Corp.(a) | 0.150% | 07/07/2020 | 07/07/2020 | 105,000,000 | 104,998,571 | |||||
Skandinaviska Enskilda Banken AB(a) | 1.880% | 07/22/2020 | 07/22/2020 | 150,000,000 | 149,991,199 | |||||
Societe Generale(a) | 0.520% | 08/27/2020 | 08/27/2020 | 100,000,000 | 99,974,544 | |||||
Societe Generale(a) | 1.780% | 07/16/2020 | 07/16/2020 | 100,000,000 | 99,995,067 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.330% | 08/20/2020 | 08/20/2020 | 100,000,000 | 99,975,633 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.350% | 09/02/2020 | 09/02/2020 | 100,000,000 | 99,964,622 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.490% | 07/22/2020 | 07/22/2020 | 100,000,000 | 99,992,911 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.04%(b) | 1.060% | 08/03/2020 | 02/03/2021 | 125,000,000 | 125,007,075 | |||||
Swedbank AB(a) | 0.290% | 11/02/2020 | 11/02/2020 | 40,000,000 | 39,968,750 | |||||
Swedbank AB(a) | 0.300% | 09/18/2020 | 09/18/2020 | 150,000,000 | 149,941,000 | |||||
Swedbank AB(a) | 0.400% | 09/01/2020 | 09/01/2020 | 150,000,000 | 149,959,575 | |||||
Swedbank AB(a) | 1.620% | 07/21/2020 | 07/21/2020 | 72,500,000 | 72,495,433 | |||||
Toronto-Dominion Bank(a) | 0.120% | 07/01/2020 | 07/01/2020 | 150,000,000 | 149,999,625 | |||||
Toronto-Dominion Bank(a) | 0.300% | 10/15/2020 | 10/15/2020 | 125,000,000 | 124,917,892 | |||||
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.05%(b) | 1.070% | 08/03/2020 | 02/01/2021 | 85,000,000 | 84,999,991 | |||||
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.05%(b) | 1.070% | 08/04/2020 | 02/03/2021 | 150,000,000 | 149,999,985 | |||||
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.14%(b) | 0.575% | 08/12/2020 | 11/12/2020 | 100,000,000 | 100,050,886 | |||||
UBS AG, 1 Month USD LIBOR + 0.34%(b) | 0.515% | 07/06/2020 | 08/06/2020 | 160,000,000 | 160,029,861 | |||||
UBS AG, 3 Month USD LIBOR + 0.07%(b) | 0.376% | 09/29/2020 | 12/29/2020 | 175,000,000 | 175,000,000 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.07%(b) | 1.381% | 07/13/2020 | 01/11/2021 | 55,000,000 | 55,005,826 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.13%(b) | 1.173% | 07/23/2020 | 10/23/2020 | 140,000,000 | 140,064,690 | |||||
Westpac Banking Corp., FFR + 0.34%(b) | 0.420% | 07/01/2020 | 08/28/2020 | 120,000,000 | 120,017,089 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 4,167,596,695 | |||||||||
OTHER NOTES—16.0% | ||||||||||
ABN Amro Bank NV(a) | 0.080% | 07/01/2020 | 07/01/2020 | 100,000,000 | 100,000,000 | |||||
ABN Amro Bank NV(a) | 0.110% | 07/01/2020 | 07/01/2020 | 300,000,000 | 300,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.080% | 07/01/2020 | 07/01/2020 | 130,000,000 | 130,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Canadian Imperial Bank of Commerce(a) | 0.080% | 07/01/2020 | 07/01/2020 | $ 200,000,000 | $ 200,000,000 | |||||
Citibank NA(a) | 0.140% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Den Norske Bank(a) | 0.080% | 07/01/2020 | 07/01/2020 | 227,323,000 | 227,323,000 | |||||
Lloyds Bank Corporate Markets PLC(a) | 0.070% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.090% | 07/01/2020 | 07/01/2020 | 375,000,000 | 375,000,000 | |||||
National Australia Bank Ltd.(a) | 0.070% | 07/01/2020 | 07/01/2020 | 100,000,000 | 100,000,000 | |||||
National Bank of Canada(a) | 0.110% | 07/07/2020 | 07/07/2020 | 200,000,000 | 200,000,000 | |||||
Natixis(a) | 0.080% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Nordea Bank AB(a) | 0.070% | 07/01/2020 | 07/01/2020 | 125,000,000 | 125,000,000 | |||||
Royal Bank of Canada(a) | 0.090% | 07/01/2020 | 07/01/2020 | 263,000,000 | 263,000,000 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.080% | 07/01/2020 | 07/01/2020 | 75,000,000 | 75,000,000 | |||||
Swedbank AB(a) | 0.080% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
TOTAL OTHER NOTES | 2,745,323,000 | |||||||||
TREASURY DEBT—8.6% | ||||||||||
U.S. Treasury Bill(a) | 0.115% | 08/18/2020 | 08/18/2020 | 250,000,000 | 249,954,167 | |||||
U.S. Treasury Bill(a) | 0.125% | 08/25/2020 | 08/25/2020 | 150,000,000 | 149,967,917 | |||||
U.S. Treasury Bill(a) | 0.135% | 11/05/2020 | 11/05/2020 | 100,000,000 | 99,943,556 | |||||
U.S. Treasury Bill(a) | 0.145% | 09/10/2020 | 09/10/2020 | 125,000,000 | 124,966,719 | |||||
U.S. Treasury Bill(a) | 0.150% | 11/19/2020 | 11/19/2020 | 150,000,000 | 149,904,531 | |||||
U.S. Treasury Bill(a) | 0.160% | 11/27/2020 | 11/27/2020 | 150,000,000 | 149,897,562 | |||||
U.S. Treasury Bill(a) | 0.180% | 11/10/2020 | 11/10/2020 | 100,000,000 | 99,935,833 | |||||
U.S. Treasury Bill(a) | 0.500% | 09/03/2020 | 09/03/2020 | 200,000,000 | 199,949,334 | |||||
U.S. Treasury Bill(a) | 1.519% | 08/20/2020 | 08/20/2020 | 150,000,000 | 149,972,916 | |||||
U.S. Treasury Bill(a) | 1.520% | 08/06/2020 | 08/06/2020 | 100,000,000 | 99,988,000 | |||||
TOTAL TREASURY DEBT | 1,474,480,535 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—4.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 3.000% due 04/01/2050 – 06/01/2050, valued at $153,000,000); expected proceeds $150,000,750 | 0.180% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% – 6.665% due 10/15/2033 – 06/25/2050, Federal National Mortgage Associations, 0.184% – 6.946% due 12/25/2023 – 06/25/2050, and Government National Mortgage Associations, 2.000% – 6.000% due 12/20/2040 – 04/20/2050, valued at $160,920,000); expected proceeds $149,000,372 | 0.090% | 07/01/2020 | 07/01/2020 | 149,000,000 | 149,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 5.915% due 05/15/2040 – 04/15/2045, a Federal National Mortgage Association, 3.170% due 01/01/2027, a Government National Mortgage Association, 4.000% due 01/20/2049, and a U.S. Treasury Strip, 0.000% due 02/15/2049, valued at $25,566,408); expected proceeds $25,000,062 | 0.090% | 07/01/2020 | 07/01/2020 | 25,000,000 | 25,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 10/01/2048, valued at $45,900,000); expected proceeds $45,000,112 | 0.090% | 07/01/2020 | 07/01/2020 | 45,000,000 | 45,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal National Mortgage Associations, 3.600% – 4.132% due 06/01/2030 – 11/01/2036, valued at $25,500,000); expected proceeds $25,000,062 | 0.090% | 07/01/2020 | 07/01/2020 | $ 25,000,000 | $ 25,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Government National Mortgage Associations, 2.500% – 5.500% due 06/20/2033 – 11/15/2057, valued at $66,300,000); expected proceeds $65,000,144 | 0.080% | 07/01/2020 | 07/01/2020 | 65,000,000 | 65,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% due 07/01/2049 – 06/01/2050, and Federal National Mortgage Associations, 3.294% – 5.000% due 06/01/2023 – 08/01/2049, valued at $27,540,000); expected proceeds $27,000,068 | 0.140% | 07/01/2020 | 07/01/2020 | 27,000,000 | 27,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal National Mortgage Associations, 2.500% – 5.500% due 11/01/2021 – 07/01/2050, valued at $102,000,000); expected proceeds $100,000,250 | 0.090% | 07/01/2020 | 07/01/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 3.500% due 05/01/2050, a Government National Mortgage Association, 3.500% due 06/20/2043, a U.S. Treasury Bill, 0.000% due 01/28/2021, and a U.S. Treasury Note, 2.125% due 12/31/2022, valued at $102,000,002); expected proceeds $100,000,194 | 0.070% | 07/01/2020 | 07/01/2020 | 100,000,000 | 100,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 686,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—4.4% | ||||||||||
Agreement with Barclays Capital, Inc., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 3.625% – 3.750% due 08/15/2043 – 11/15/2043, valued at $122,787,021); expected proceeds $120,000,400 | 0.120% | 07/01/2020 | 07/01/2020 | 120,000,000 | 120,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, and U.S. Treasury Notes, 2.125% – 2.750% due 01/31/2024 – 03/31/2024, valued at $71,400,038); expected proceeds $70,000,175 | 0.100% | 07/01/2020 | 07/01/2020 | 70,000,000 | 70,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 0.375% – 2.125% due 07/31/2021 – 05/15/2025, valued at $399,594,235); expected proceeds $391,760,088 | 0.070% | 07/01/2020 | 07/01/2020 | 391,759,000 | 391,759,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 07/28/2020, valued at $181,560,061); expected proceeds $178,000,445 | 0.090% | 07/01/2020 | 07/01/2020 | 178,000,000 | 178,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 759,759,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—4.2% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by various Corporate Bonds, 1.150% – 7.750% due 08/10/2020 – 06/15/2050, valued at $110,565,999); expected proceeds $100,000,639 | 0.230% | 07/01/2020 | 07/01/2020 | 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 Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by various Common Stocks, valued at $205,200,009); expected proceeds $190,001,319 | 0.250% | 07/01/2020 | 07/01/2020 | $ 190,000,000 | $ 190,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by various Common Stocks, valued at $459,654,428); expected proceeds $425,002,715 | 0.230% | 07/01/2020 | 07/01/2020 | 425,000,000 | 425,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 715,000,000 | |||||||||
TOTAL INVESTMENTS –98.5% (Cost $16,927,316,135)(c) | 16,930,820,326 | |||||||||
Other Assets in Excess of Liabilities —1.5% | 258,672,810 | |||||||||
NET ASSETS –100.0% | $ 17,189,493,136 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 2,252,103,660 | $— | $ 2,252,103,660 | ||||
Certificates of Deposit | — | 4,130,557,436 | — | 4,130,557,436 | ||||
Financial Company Commercial Paper | — | 4,167,596,695 | — | 4,167,596,695 | ||||
Other Notes | — | 2,745,323,000 | — | 2,745,323,000 | ||||
Treasury Debt | — | 1,474,480,535 | — | 1,474,480,535 | ||||
Government Agency Repurchase Agreements | — | 686,000,000 | — | 686,000,000 | ||||
Treasury Repurchase Agreements | — | 759,759,000 | — | 759,759,000 | ||||
Other Repurchase Agreements | — | 715,000,000 | — | 715,000,000 | ||||
Total Investments | $— | $16,930,820,326 | $— | $16,930,820,326 |
ASSETS | |
Investments in unaffiliated issuers, at value | $14,770,061,326 |
Repurchase agreements, at value | 2,160,759,000 |
Total Investments | 16,930,820,326 |
Cash | 841 |
Receivable for investments sold | 249,897,562 |
Interest receivable — unaffiliated issuers | 9,471,095 |
Other Receivable | 244,635 |
TOTAL ASSETS | 17,190,434,459 |
LIABILITIES | |
Advisory and administrator fee payable | 698,036 |
Custody, sub-administration and transfer agent fees payable | 180,127 |
Professional fees payable | 38,687 |
Printing fees payable | 6,094 |
Accrued expenses and other liabilities | 18,379 |
TOTAL LIABILITIES | 941,323 |
NET ASSETS | $17,189,493,136 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $14,766,557,135 |
Repurchase agreements | 2,160,759,000 |
Total cost of investments | $16,927,316,135 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $115,126,285 |
EXPENSES | |
Advisory and administrator fee | 4,705,850 |
Custodian, sub-administrator and transfer agent fees | 1,217,691 |
Trustees’ fees and expenses | 124,571 |
Professional fees and expenses | 109,565 |
Printing and postage fees | 3,058 |
Insurance expense | 3,427 |
Miscellaneous expenses | 35,651 |
TOTAL EXPENSES | 6,199,813 |
NET INVESTMENT INCOME (LOSS) | $108,926,472 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,089,734) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 2,071,842 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (17,892) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $108,908,580 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 108,926,472 | $ 395,127,821 | |
Net realized gain (loss) | (2,089,734) | 206,342 | |
Net change in unrealized appreciation/depreciation | 2,071,842 | 1,566,595 | |
Net increase (decrease) in net assets resulting from operations | 108,908,580 | 396,900,758 | |
CAPITAL TRANSACTIONS | |||
Contributions | 26,600,882,080 | 32,519,193,299 | |
Withdrawals | (31,146,456,274) | (22,486,319,974) | |
Net increase (decrease) in net assets from capital transactions | (4,545,574,194) | 10,032,873,325 | |
Net increase (decrease) in net assets during the period | (4,436,665,614) | 10,429,774,083 | |
Net assets at beginning of period | 21,626,158,750 | 11,196,384,667 | |
NET ASSETS AT END OF PERIOD | $ 17,189,493,136 | $ 21,626,158,750 |
Six Months Ended 6/30/20 (Unaudited) | 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) | 0.67% | 2.38% | 2.06% | 0.96% | 0.51% | 0.17% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $17,189,493 | $21,626,159 | $11,196,385 | $9,941,806 | $8,272,653 | $47,683,856 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(b) | 0.07% | 0.07% | 0.06% | 0.07% | 0.07% | |||||
Net investment income (loss) | 1.15%(b) | 2.29% | 2.05% | 1.11% | 0.49% | 0.17% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $16,927,316,135 | $3,859,156 | $354,965 | $3,504,191 |
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% | $1,006.70 | $0.35 | $1,024.40 | $0.35 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Fund |
1 | |
2 | |
3 | |
4 | |
7 | |
12 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $658,735,717 |
Receivable from Adviser | 150,996 |
Prepaid expenses and other assets | 25,188 |
TOTAL ASSETS | 658,911,901 |
LIABILITIES | |
Advisory fee payable | 1,000 |
Administration fees payable | 24,013 |
Shareholder servicing fee payable | 5 |
Transfer agent fees payable | 11,574 |
Distribution payable | 13,236 |
Registration and filing fees payable | 105 |
Professional fees payable | 10,089 |
TOTAL LIABILITIES | 60,022 |
NET ASSETS | $658,851,879 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $658,857,485 |
Total distributable earnings (loss) | (5,606) |
NET ASSETS | $658,851,879 |
Institutional Class | |
Net Assets | $ 50,019 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Investor Class | |
Net Assets | $ 50,019 |
Shares Outstanding | 50,000 |
Net asset value, offering and redemption price per share | $ 1.0004 |
Premier Class | |
Net Assets | $658,751,841 |
Shares Outstanding | 658,527,381 |
Net asset value, offering and redemption price per share | $ 1.0003 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $658,588,525 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $4,113,274 |
Expenses allocated from affiliated Portfolio | (304,189) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 3,809,085 |
EXPENSES | |
Administration fees | |
Institutional Class | 13 |
Investor Class | 13 |
Premier Class | 178,667 |
Shareholder servicing fees | |
Institutional Class | 7 |
Investor Class | 20 |
Custodian fees | 30,580 |
Trustees’ fees and expenses | 9,531 |
Transfer agent fees | 58,240 |
Registration and filing fees | 132,396 |
Professional fees and expenses | 23,483 |
Printing and postage fees | 10,796 |
Miscellaneous expenses | 11,646 |
TOTAL EXPENSES | 455,392 |
Expenses waived/reimbursed by the Adviser | (473,642) |
NET EXPENSES | (18,250) |
NET INVESTMENT INCOME (LOSS) | $3,827,335 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (152,799) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 146,441 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (6,358) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $3,820,977 |
Six Months Ended 6/30/20 (Unaudited) | For the Period 12/03/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,827,335 | $ 1,196,549 | |
Net realized gain (loss) | (152,799) | — | |
Net change in unrealized appreciation/depreciation | 146,441 | 751 | |
Net increase (decrease) in net assets resulting from operations | 3,820,977 | 1,197,300 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Institutional Class(a) | (234) | (32) | |
Investor Class(a) | (222) | (32) | |
Premier Class | (3,828,522) | (1,194,841) | |
Total distributions to shareholders | (3,828,978) | (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 | 747,347,894 | 884,706,710 | |
Reinvestment of distributions | 3,602,914 | 1,154,331 | |
Shares redeemed | (973,408,114) | (4,646,250) | |
Net increase (decrease) from capital share transactions | (222,457,306) | 881,214,791 | |
Net increase (decrease) in net assets from beneficial interest transactions | (222,457,306) | 881,314,791 | |
Net increase (decrease) in net assets during the period | (222,465,307) | 881,317,186 | |
Net assets at beginning of period | 881,317,186 | — | |
NET ASSETS AT END OF PERIOD | $ 658,851,879 | $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 | 747,579,969 | 884,706,889 | |
Reinvestment of distributions | 3,603,067 | 1,154,330 | |
Shares redeemed | (973,870,624) | (4,646,250) | |
Net increase (decrease) from share transactions | (222,687,588) | 881,214,969 |
* | Inception date. |
(a) | For Institutional Class and Investor Class shares, prior period data is for the period December 19, 2019 (inception date) through December 31, 2019. |
Institutional Class(a) | |||
Six Months Ended 06/30/20 (Unaudited) | For the Period 12/20/19*- 12/31/19 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0047 | 0.0006 | |
Net realized and unrealized gain (loss) | 0.0004 | 0.0000(b) | |
Total from investment operations | 0.0051 | 0.0006 | |
Distributions to shareholders from: | |||
Net investment income | (0.0047) | (0.0006) | |
Net asset value, end of period | $ 1.0004 | $ 1.0000 | |
Total return (c) | 0.51% | 0.06% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.24%(d) | 0.31%(d) | |
Net expenses | 0.12%(d) | 0.11%(d) | |
Net investment income (loss) | 0.93%(d) | 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) | |||
Six Months Ended 06/30/20 (Unaudited) | For the Period 12/20/19*- 12/31/19 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0045 | 0.0006 | |
Net realized and unrealized gain (loss) | 0.0004 | 0.0000(b) | |
Total from investment operations | 0.0049 | 0.0006 | |
Distributions to shareholders from: | |||
Net investment income | (0.0045) | (0.0006) | |
Total distributions | (0.0045) | (0.0006) | |
Net asset value, end of period | $ 1.0004 | $ 1.0000 | |
Total return (c) | 0.49% | 0.06% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 50 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.29%(d) | 0.36%(d) | |
Net expenses | 0.16%(d) | 0.16%(d) | |
Net investment income (loss) | 0.89%(d) | 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) | |||
Six Months Ended 06/30/20 (Unaudited) | For the Period 12/04/2019 *- 12/31/19 | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0049 | 0.0013 | |
Net realized and unrealized gain (loss) | 0.0003 | 0.0000(b) | |
Total from investment operations | 0.0052 | 0.0013 | |
Distributions to shareholders from: | |||
Net investment income | (0.0049) | (0.0013) | |
Total distributions | (0.0049) | (0.0013) | |
Net asset value, end of period | $ 1.0003 | $ 1.0000 | |
Total return (c) | 0.52% | 0.13% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $658,752 | $881,217 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.21%(d) | 0.23%(d) | |
Net expenses | 0.08%(d) | 0.08%(d) | |
Net investment income (loss) | 1.07%(d) | 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 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $658,588,525 | $147,192 | $— | $147,192 |
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(a) | 0.12% | $1,005.10 | $0.60 | $1,024.30 | $0.60 | ||||
Investor Class(a) | 0.16 | 1,004.90 | 0.80 | 1,024.10 | 0.81 | ||||
Premier Class(a) | 0.08 | 1,005.20 | 0.40 | 1,024.50 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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 | |
6 | |
7 | |
8 | |
9 | |
10 | |
14 |
% of Net Assets | |||
Certificates of Deposit | 27.0% | ||
Financial Company Commercial Paper | 26.2 | ||
Treasury Debt | 13.3 | ||
Asset Backed Commercial Paper | 9.8 | ||
Government Agency Repurchase Agreements | 9.6 | ||
Other Notes | 6.7 | ||
Treasury Repurchase Agreements | 4.1 | ||
Other Repurchase Agreements | 3.3 | ||
Other Assets in Excess of Liabilities | 0.0(a) | ||
TOTAL | 100.0% | ||
(a) | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Overnight (1 Day) | 18.1% | ||
2 to 30 Days | 25.4 | ||
31 to 60 Days | 13.1 | ||
61 to 90 Days | 14.3 | ||
Over 90 Days | 29.1 | ||
Total | 100.0% | ||
Average days to maturity | 41 | ||
Weighted average life | 62 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—9.8% | ||||||||||
Albion Capital LLC(a) | 0.210% | 07/21/2020 | 07/21/2020 | $ 2,000,000 | $ 1,999,874 | |||||
Albion Capital LLC(a) | 0.270% | 08/20/2020 | 08/20/2020 | 6,438,000 | 6,436,687 | |||||
Antalis SA(a) | 0.290% | 09/03/2020 | 09/03/2020 | 4,000,000 | 3,998,469 | |||||
Antalis SA(a) | 0.310% | 10/01/2020 | 10/01/2020 | 4,000,000 | 3,997,654 | |||||
Antalis SA(a) | 0.330% | 09/18/2020 | 09/18/2020 | 7,000,000 | 6,996,624 | |||||
Atlantic Asset Securitization LLC(a) | 0.270% | 10/02/2020 | 10/02/2020 | 7,000,000 | 6,996,765 | |||||
Columbia Funding Co. LLC(a) | 0.160% | 07/06/2020 | 07/06/2020 | 7,000,000 | 6,999,880 | |||||
Columbia Funding Co. LLC(a) | 0.310% | 10/07/2020 | 10/07/2020 | 6,500,000 | 6,494,298 | |||||
Mackinac Funding Company LLC(a) | 0.330% | 09/24/2020 | 09/24/2020 | 2,500,000 | 2,498,047 | |||||
Mont Blanc Capital Corp.(a) | 0.260% | 09/03/2020 | 09/03/2020 | 7,000,000 | 6,997,131 | |||||
Mont Blanc Capital Corp.(a) | 0.300% | 08/18/2020 | 08/18/2020 | 5,000,000 | 4,998,550 | |||||
Versailles Commercial Paper LLC(a) | 0.260% | 09/25/2020 | 09/25/2020 | 6,000,000 | 5,996,288 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 64,410,267 | |||||||||
CERTIFICATES OF DEPOSIT—27.0% | ||||||||||
Bank of Montreal(a) | 0.110% | 07/02/2020 | 07/02/2020 | 10,000,000 | 10,000,011 | |||||
Bank of Nova Scotia, 1 Month USD LIBOR + 0.22%(b) | 0.395% | 07/06/2020 | 07/06/2020 | 12,000,000 | 12,000,499 | |||||
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.07%(b) | 0.260% | 07/20/2020 | 08/20/2020 | 8,000,000 | 8,000,795 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.12%(b) | 0.451% | 09/04/2020 | 12/04/2020 | 12,000,000 | 12,005,126 | |||||
Canadian Imperial Bank of Commerce, FFR + 0.11%(b) | 0.190% | 07/01/2020 | 09/21/2020 | 6,000,000 | 5,998,158 | |||||
KBC Bank NV(a) | 0.110% | 07/07/2020 | 07/07/2020 | 10,000,000 | 10,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.370% | 09/14/2020 | 09/14/2020 | 7,000,000 | 6,994,609 | |||||
MUFG Bank Ltd.(a) | 1.000% | 10/15/2020 | 10/15/2020 | 8,000,000 | 8,040,198 | |||||
Natixis, 3 Month USD LIBOR + 0.11%(b) | 0.441% | 09/04/2020 | 09/04/2020 | 7,000,000 | 7,001,989 | |||||
Natixis, 3 Month USD LIBOR + 0.20%(b) | 0.506% | 09/29/2020 | 12/29/2020 | 7,000,000 | 7,007,649 | |||||
Natixis, Secured Overnight Financing Rate + 0.25%(b) | 0.330% | 07/01/2020 | 02/12/2021 | 4,000,000 | 4,000,328 | |||||
Nordea Bank AB, 1 Month USD LIBOR + 0.23%(b) | 0.410% | 07/09/2020 | 07/09/2020 | 10,000,000 | 10,000,645 | |||||
Nordea Bank AB, 3 Month USD LIBOR + 0.13%(b) | 0.445% | 09/11/2020 | 12/11/2020 | 5,000,000 | 5,002,903 | |||||
Royal Bank of Canada(a) | 0.250% | 10/02/2020 | 10/02/2020 | 3,000,000 | 3,009,385 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.11%(b) | 0.447% | 09/03/2020 | 12/03/2020 | 10,000,000 | 10,003,820 | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.20%(b) | 0.390% | 07/20/2020 | 07/20/2020 | 9,500,000 | 9,501,198 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.300% | 10/09/2020 | 10/09/2020 | 5,000,000 | 5,000,350 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.300% | 09/04/2020 | 09/04/2020 | 7,000,000 | 7,001,231 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.300% | 10/09/2020 | 10/09/2020 | 7,000,000 | 7,000,490 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.05%(b) | 0.238% | 07/13/2020 | 08/11/2020 | 9,000,000 | 9,000,367 | |||||
Swedbank AB(a) | 0.990% | 07/24/2020 | 07/24/2020 | 6,400,000 | 6,406,474 | |||||
Swedbank AB, 1 Month USD LIBOR + 0.06%(b) | 0.250% | 07/21/2020 | 08/21/2020 | 7,000,000 | 7,000,308 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%(b) | 0.463% | 09/09/2020 | 12/09/2020 | 8,000,000 | 8,004,587 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 177,981,120 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—26.2% | ||||||||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.11%(b) | 0.460% | 08/28/2020 | 11/30/2020 | 12,000,000 | 12,005,493 | |||||
DBS Bank Ltd.(a) | 0.250% | 10/02/2020 | 10/02/2020 | 6,000,000 | 5,996,741 | |||||
DBS Bank Ltd.(a) | 0.920% | 08/21/2020 | 08/21/2020 | 9,500,000 | 9,498,010 | |||||
HSBC Bank PLC, 1 Month USD LIBOR + 0.15%(b) | 0.340% | 07/20/2020 | 02/19/2021 | 9,000,000 | 8,990,821 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.19%(b) | 0.534% | 09/02/2020 | 12/02/2020 | 9,000,000 | 9,006,452 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.20%(b) | 0.518% | 09/08/2020 | 12/08/2020 | 7,000,000 | 7,005,523 | |||||
Lloyds Bank PLC, Secured Overnight Financing Rate + 0.14%(b) | 0.220% | 07/01/2020 | 08/13/2020 | 12,000,000 | 12,000,601 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.210% | 08/13/2020 | 08/13/2020 | 2,000,000 | 1,999,616 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.250% | 09/21/2020 | 09/21/2020 | 6,000,000 | 5,996,265 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.300% | 07/22/2020 | 07/22/2020 | 7,000,000 | 6,999,495 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
MUFG Bank Ltd.(a) | 0.240% | 08/31/2020 | 08/31/2020 | $ 6,000,000 | $ 5,997,582 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.12%(b) | 0.457% | 09/03/2020 | 12/03/2020 | 10,000,000 | 10,004,244 | |||||
Nestle Finance International Ltd.(a) | 0.100% | 07/02/2020 | 07/02/2020 | 3,000,000 | 2,999,993 | |||||
Nordea Bank AB(a) | 0.850% | 07/27/2020 | 07/27/2020 | 9,120,000 | 9,119,323 | |||||
Siemens Capital Co. LLC(a) | 0.140% | 07/06/2020 | 07/06/2020 | 7,000,000 | 6,999,942 | |||||
Svenska Handelsbanken AB(a) | 0.850% | 07/28/2020 | 07/28/2020 | 8,000,000 | 7,999,421 | |||||
Toronto Dominion Bank(a) | 0.110% | 07/02/2020 | 07/02/2020 | 10,000,000 | 9,999,950 | |||||
Toronto Dominion Bank(a) | 0.150% | 07/07/2020 | 07/07/2020 | 5,000,000 | 4,999,913 | |||||
Toronto Dominion Bank(a) | 0.240% | 09/24/2020 | 09/24/2020 | 5,000,000 | 4,997,504 | |||||
Toronto Dominion Bank(a) | 0.300% | 10/20/2020 | 10/20/2020 | 5,000,000 | 4,996,500 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.10%(b) | 0.437% | 08/28/2020 | 08/28/2020 | 10,000,000 | 10,000,902 | |||||
UBS AG, 3 Month USD LIBOR + 0.07%(b) | 0.376% | 09/29/2020 | 12/29/2020 | 7,000,000 | 7,000,000 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%(b) | 0.510% | 08/25/2020 | 11/25/2020 | 8,000,000 | 8,004,794 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 172,619,085 | |||||||||
OTHER NOTES—6.7% | ||||||||||
Australia & New Zealand Banking Group Ltd., 3 Month USD LIBOR + 0.32%(b) | 1.783% | 07/02/2020 | 07/02/2020 | 10,000,000 | 10,000,000 | |||||
Bank of New York Mellon Corp.(a) | 2.645% | 11/27/2020 | 11/27/2020 | 6,000,000 | 6,040,864 | |||||
Credit Agricole Corporate and Investment Bank(a) | 0.080% | 07/01/2020 | 07/01/2020 | 2,983,000 | 2,983,000 | |||||
Lloyds Bank Corporate Markets PLC(a) | 0.070% | 07/01/2020 | 07/01/2020 | 3,000,000 | 3,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.090% | 07/01/2020 | 07/01/2020 | 10,000,000 | 10,000,000 | |||||
Royal Bank of Canada(a) | 0.090% | 07/01/2020 | 07/01/2020 | 12,000,000 | 12,000,000 | |||||
TOTAL OTHER NOTES | 44,023,864 | |||||||||
TREASURY DEBT—13.3% | ||||||||||
U.S. Treasury Bill(a) | 0.040% | 07/02/2020 | 07/02/2020 | 6,000,000 | 5,999,985 | |||||
U.S. Treasury Bill(a) | 0.110% | 07/07/2020 | 07/07/2020 | 10,000,000 | 9,999,802 | |||||
U.S. Treasury Bill(a) | 0.115% | 08/18/2020 | 08/18/2020 | 5,000,000 | 4,999,083 | |||||
U.S. Treasury Bill(a) | 0.135% | 09/29/2020 | 09/29/2020 | 3,000,000 | 2,998,965 | |||||
U.S. Treasury Bill(a) | 0.135% | 11/05/2020 | 11/05/2020 | 1,000,000 | 999,436 | |||||
U.S. Treasury Bill(a) | 0.136% | 09/17/2020 | 09/17/2020 | 4,000,000 | 3,998,743 | |||||
U.S. Treasury Bill(a) | 0.142% | 10/13/2020 | 10/13/2020 | 5,000,000 | 4,997,689 | |||||
U.S. Treasury Bill(a) | 0.150% | 09/08/2020 | 09/08/2020 | 6,000,000 | 5,998,505 | |||||
U.S. Treasury Bill(a) | 0.150% | 10/27/2020 | 10/27/2020 | 3,000,000 | 2,998,623 | |||||
U.S. Treasury Bill(a) | 0.165% | 07/28/2020 | 07/28/2020 | 6,000,000 | 5,999,404 | |||||
U.S. Treasury Bill(a) | 0.165% | 12/01/2020 | 12/01/2020 | 5,000,000 | 4,996,706 | |||||
U.S. Treasury Bill(a) | 0.170% | 09/24/2020 | 09/24/2020 | 6,000,000 | 5,997,946 | |||||
U.S. Treasury Bill(a) | 0.170% | 11/03/2020 | 11/03/2020 | 5,000,000 | 4,996,962 | |||||
U.S. Treasury Bill(a) | 0.185% | 12/10/2020 | 12/10/2020 | 5,000,000 | 4,996,400 | |||||
U.S. Treasury Bill(a) | 0.200% | 07/21/2020 | 07/21/2020 | 5,000,000 | 4,999,674 | |||||
U.S. Treasury Bill(a) | 1.520% | 07/09/2020 | 07/09/2020 | 5,000,000 | 4,999,872 | |||||
U.S. Treasury Bill(a) | 1.520% | 08/06/2020 | 08/06/2020 | 2,500,000 | 2,499,700 | |||||
U.S. Treasury Bill(a) | 1.535% | 07/30/2020 | 07/30/2020 | 5,000,000 | 4,999,476 | |||||
TOTAL TREASURY DEBT | 87,476,971 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—9.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Tennessee Valley Authority, 4.250% due 09/15/2065, valued at $5,100,957); expected proceeds $5,000,013 | 0.090% | 07/01/2020 | 07/01/2020 | 5,000,000 | 5,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 4.500% due 01/01/2049, Federal National Mortgage Associations, 2.291% – 4.500% due 09/01/2024 – 03/01/2047, and a U.S. Treasury Note, 2.125% due 02/29/2024, valued at $1,020,056); expected proceeds $1,000,003 | 0.090% | 07/01/2020 | 07/01/2020 | $ 1,000,000 | $ 1,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 4.500% due 12/11/2025 – 11/01/2047, Federal National Mortgage Associations, 3.500% – 5.500% due 05/01/2036 – 11/01/2041, and Government National Mortgage Associations, 2.500% – 5.000% due 12/15/2026 – 05/20/2050, valued at $15,300,455); expected proceeds $15,000,038 | 0.090% | 07/01/2020 | 07/01/2020 | 15,000,000 | 15,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, and U.S. Treasury Inflation Index Notes, 0.375% due 01/15/2027 – 07/15/2027, valued at $4,080,059); expected proceeds $4,000,010 | 0.100% | 07/01/2020 | 07/02/2020 | 4,000,000 | 4,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 3.500% due 02/01/2048, valued at $10,200,000); expected proceeds $10,000,025 | 0.090% | 07/01/2020 | 07/01/2020 | 10,000,000 | 10,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal National Mortgage Associations, 2.500% – 6.500% due 05/01/2027 – 06/01/2050, valued at $17,340,000); expected proceeds $17,000,043 | 0.090% | 07/01/2020 | 07/01/2020 | 17,000,000 | 17,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Bank, 0.000% due 07/15/2020, valued at $11,220,484); expected proceeds $11,000,028 | 0.090% | 07/01/2020 | 07/01/2020 | 11,000,000 | 11,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 63,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—4.1% | ||||||||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 0.000% due 11/15/2043, valued at $5,117,000); expected proceeds $5,000,017 | 0.120% | 07/01/2020 | 07/01/2020 | 5,000,000 | 5,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 0.500% due 03/15/2023, and various Common Stocks, valued at $23,759,970); expected proceeds $22,000,141 | 0.230% | 07/01/2020 | 07/01/2020 | 22,000,000 | 22,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 27,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—3.3% | ||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by various Common Stocks, valued at $10,800,010); expected proceeds $10,005,017(c) | 0.430% | 07/01/2020 | 08/05/2020 | 10,000,000 | 10,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by various Common Stocks, valued at $7,560,044); expected proceeds $7,006,650(c) | 0.380% | 07/01/2020 | 09/22/2020 | 7,000,000 | 7,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by various Common Stocks, valued at $5,400,019); expected proceeds $5,000,032 | 0.230% | 07/01/2020 | 07/01/2020 | $ 5,000,000 | $ 5,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 22,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $658,364,114)(d) | 658,511,307 | |||||||||
Other Assets in Excess of Liabilities —0.0%(e) | 225,414 | |||||||||
NET ASSETS –100.0% | $ 658,736,721 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 $17,000,000 or 2.6% of net assets as of June 30, 2020. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Amount shown represents less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 64,410,267 | $— | $ 64,410,267 | ||||
Certificates of Deposit | — | 177,981,120 | — | 177,981,120 | ||||
Financial Company Commercial Paper | — | 172,619,085 | — | 172,619,085 | ||||
Other Notes | — | 44,023,864 | — | 44,023,864 | ||||
Treasury Debt | — | 87,476,971 | — | 87,476,971 | ||||
Government Agency Repurchase Agreements | — | 63,000,000 | — | 63,000,000 | ||||
Treasury Repurchase Agreements | — | 27,000,000 | — | 27,000,000 | ||||
Other Repurchase Agreements | — | 22,000,000 | — | 22,000,000 | ||||
Total Investments | $— | $658,511,307 | $— | $658,511,307 |
ASSETS | |
Investments in unaffiliated issuers, at value | $546,511,307 |
Repurchase agreements, at value and amortized cost | 112,000,000 |
Total Investments | 658,511,307 |
Cash | 848 |
Interest receivable — unaffiliated issuers | 286,791 |
TOTAL ASSETS | 658,798,946 |
LIABILITIES | |
Advisory fee payable | 24,013 |
Custodian, sub-administrator and transfer agent fees payable | 6,647 |
Trustees’ fees and expenses payable | 4 |
Professional fees payable | 21,018 |
Printing and postage fees payable | 4,819 |
Accrued expenses and other liabilities | 5,724 |
TOTAL LIABILITIES | 62,225 |
NET ASSETS | $658,736,721 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $546,364,114 |
Repurchase agreements | 112,000,000 |
Total cost of investments | $658,364,114 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $4,113,274 |
EXPENSES | |
Advisory fee | 179,814 |
Custodian, sub-administrator and transfer agent fees | 74,535 |
Trustees’ fees and expenses | 13,290 |
Professional fees and expenses | 26,552 |
Printing and postage fees | 4,928 |
Miscellaneous expenses | 5,068 |
TOTAL EXPENSES | 304,187 |
NET INVESTMENT INCOME (LOSS) | $3,809,087 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (152,799) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 146,442 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (6,357) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $3,802,730 |
Six Months Ended 6/30/20 (Unaudited) | For the Period 12/03/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 3,809,087 | $ 1,177,797 | |
Net realized gain (loss) | (152,799) | — | |
Net change in unrealized appreciation/depreciation | 146,442 | 751 | |
Net increase (decrease) in net assets resulting from operations | 3,802,730 | 1,178,548 | |
CAPITAL TRANSACTIONS | |||
Contributions | 818,022,352 | 884,807,715 | |
Withdrawals | (1,044,384,964) | (4,689,660) | |
Net increase (decrease) in net assets from capital transactions | (226,362,612) | 880,118,055 | |
Net increase (decrease) in net assets during the period | (222,559,882) | 881,296,603 | |
Net assets at beginning of period | 881,296,603 | — | |
NET ASSETS AT END OF PERIOD | $ 658,736,721 | $881,296,603 |
* | Inception date. |
Six Months Ended 6/30/20 (Unaudited) | For the Period 12/04/19*- 12/31/19 | ||
Total return (a) | 0.51% | 0.13% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $658,737 | $881,297 | |
Ratios to average net assets: | |||
Total expenses | 0.08%(b) | 0.11%(b) | |
Net investment income (loss) | 1.05%(b) | 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. |
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 ESG Liquid Reserves Portfolio | 0.08% | $1,005.10 | $0.40 | $1,024.50 | $0.40 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $88,957,153,261 |
Receivable for fund shares sold | 11,970,666 |
Receivable from Adviser | 391,665 |
TOTAL ASSETS | 88,969,515,592 |
LIABILITIES | |
Payable for fund shares repurchased | 389,572 |
Advisory fee payable | 158 |
Administration fees payable | 3,686,768 |
Shareholder servicing fee payable | 496,142 |
Distribution fees payable | 110,074 |
Transfer agent fees payable | 12,855 |
Distribution payable | 2,169,221 |
Registration and filing fees payable | 43,955 |
Professional fees payable | 15,489 |
Printing fees payable | 5,813 |
Accrued expenses and other liabilities | 98,549 |
TOTAL LIABILITIES | 7,028,596 |
NET ASSETS | $88,962,486,996 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $88,962,439,766 |
Total distributable earnings (loss) | 47,230 |
NET ASSETS | $88,962,486,996 |
Administration Class | |
Net Assets | $ 1,929,969,346 |
Shares Outstanding | 1,930,100,334 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 963,227,767 |
Shares Outstanding | 963,225,729 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 333,663,296 |
Shares Outstanding | 333,670,045 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 601,448,792 |
Shares Outstanding | 601,450,379 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $80,361,732,482 |
Shares Outstanding | 80,361,986,378 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 4,772,445,313 |
Shares Outstanding | 4,772,461,245 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $291,538,691 |
Expenses allocated from affiliated Portfolio | (26,202,697) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 265,335,994 |
EXPENSES | |
Administration fees | |
Administration Class | 518,742 |
Institutional Class | 624,392 |
Investment Class | 121,079 |
Investor Class | 250,575 |
Premier Class | 17,748,507 |
Class G | 211,701 |
Shareholder servicing fees | |
Administration Class | 2,074,966 |
Institutional Class | 374,635 |
Investment Class | 605,395 |
Investor Class | 400,920 |
Distribution fees | |
Administration Class | 518,742 |
Investment Class | 242,158 |
Custodian fees | 24,418 |
Trustees’ fees and expenses | 10,109 |
Transfer agent fees | 69,821 |
Registration and filing fees | 1,028,744 |
Professional fees and expenses | 149,200 |
Printing and postage fees | 57,694 |
Insurance expense | 125,634 |
Miscellaneous expenses | 127,974 |
TOTAL EXPENSES | 25,285,406 |
Expenses waived/reimbursed by the Adviser | (762,509) |
NET EXPENSES | 24,522,897 |
NET INVESTMENT INCOME (LOSS) | $240,813,097 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 7,374 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $240,820,471 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 240,813,097 | $ 1,076,755,870 | |
Net realized gain (loss) | 7,374 | 60,335 | |
Net increase (decrease) in net assets resulting from operations | 240,820,471 | 1,076,816,205 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (4,507,257) | (34,381,796) | |
Institutional Class | (7,683,813) | (21,677,268) | |
Investment Class | (1,418,923) | (7,849,844) | |
Investor Class | (2,877,515) | (24,493,818) | |
Premier Class | (209,658,379) | (926,193,754) | |
Class G | (14,687,776) | (62,143,041) | |
Total distributions to shareholders | (240,833,663) | (1,076,739,521) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 15,159,889,225 | 24,892,352,758 | |
Reinvestment of distributions | 1,470,106 | 11,965,550 | |
Shares redeemed | (14,904,152,263) | (24,917,663,849) | |
Net increase (decrease) from capital share transactions | 257,207,068 | (13,345,541) | |
Institutional Class | |||
Shares sold | 33,974,257,978 | 29,380,759,495 | |
Reinvestment of distributions | 3,703,124 | 4,835,215 | |
Shares redeemed | (33,964,936,516) | (29,075,126,488) | |
Net increase (decrease) from capital share transactions | 13,024,586 | 310,468,222 | |
Investment Class | |||
Shares sold | 1,035,511,477 | 2,095,050,900 | |
Reinvestment of distributions | 204,897 | 878,064 | |
Shares redeemed | (1,220,050,015) | (1,958,018,009) | |
Net increase (decrease) from capital share transactions | (184,333,641) | 137,910,955 | |
Investor Class | |||
Shares sold | 12,743,587,187 | 15,997,492,868 | |
Reinvestment of distributions | 1,988,391 | 11,962,564 | |
Shares redeemed | (12,870,252,704) | (17,158,427,721) | |
Net increase (decrease) from capital share transactions | (124,677,126) | (1,148,972,289) | |
Premier Class | |||
Shares sold | 673,278,629,834 | 812,815,301,168 | |
Reinvestment of distributions | 168,174,928 | 770,502,953 | |
Shares redeemed | (645,911,717,750) | (793,699,136,883) | |
Net increase (decrease) from capital share transactions | 27,535,087,012 | 19,886,667,238 | |
Class G | |||
Shares sold | 28,364,679,736 | 41,580,859,111 | |
Reinvestment of distributions | 14,549,989 | 61,910,768 | |
Shares redeemed | (27,213,948,663) | (41,101,444,589) | |
Net increase (decrease) from capital share transactions | 1,165,281,062 | 541,325,290 | |
Net increase (decrease) in net assets from beneficial interest transactions | 28,661,588,961 | 19,714,053,875 | |
Net increase (decrease) in net assets during the period | 28,661,575,769 | 19,714,130,559 | |
Net assets at beginning of period | 60,300,911,227 | 40,586,780,668 | |
NET ASSETS AT END OF PERIOD | $ 88,962,486,996 | $ 60,300,911,227 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 15,159,889,225 | 24,892,352,758 | |
Reinvestment of distributions | 1,470,106 | 11,965,550 | |
Shares redeemed | (14,904,152,263) | (24,917,663,849) | |
Net increase (decrease) from share transactions | 257,207,068 | (13,345,541) | |
Institutional Class | |||
Shares sold | 33,974,257,978 | 29,380,759,495 | |
Reinvestment of distributions | 3,703,124 | 4,835,215 | |
Shares redeemed | (33,964,936,516) | (29,075,126,488) | |
Net increase (decrease) from share transactions | 13,024,586 | 310,468,222 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
Investment Class | |||
Shares sold | 1,035,511,477 | 2,095,050,900 | |
Reinvestment of distributions | 204,897 | 878,064 | |
Shares redeemed | (1,220,050,015) | (1,958,018,009) | |
Net increase (decrease) from share transactions | $ (184,333,641) | $ 137,910,955 | |
Investor Class | |||
Shares sold | 12,743,587,187 | 15,997,492,868 | |
Reinvestment of distributions | 1,988,391 | 11,962,564 | |
Shares redeemed | (12,870,252,704) | (17,158,427,721) | |
Net increase (decrease) from share transactions | (124,677,126) | (1,148,972,289) | |
Premier Class | |||
Shares sold | 673,278,629,834 | 812,815,301,168 | |
Reinvestment of distributions | 168,174,928 | 770,502,953 | |
Shares redeemed | (645,911,717,750) | (793,699,136,883) | |
Net increase (decrease) from share transactions | 27,535,087,012 | 19,886,667,238 | |
Class G | |||
Shares sold | 28,364,679,736 | 41,580,859,111 | |
Reinvestment of distributions | 14,549,989 | 61,910,768 | |
Shares redeemed | (27,213,948,663) | (41,101,444,589) | |
Net increase (decrease) from share transactions | 1,165,281,062 | 541,325,290 |
Administration Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0026 | 0.0186 | 0.0150 | 0.0054 | 0.0001 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0026 | 0.0186 | 0.0150 | 0.0054 | 0.0001 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0026) | (0.0186) | (0.0150) | (0.0054) | (0.0001) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0026) | (0.0186) | (0.0150) | (0.0054) | (0.0001) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.26% | 1.88% | 1.51% | 0.54% | 0.01% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,929,969 | $1,672,762 | $1,686,105 | $1,909,670 | $3,423,655 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37%(d) | 0.37% | 0.37% | 0.37% | 0.37%(d) | ||||
Net expenses | 0.33%(d) | 0.37% | 0.37% | 0.37% | 0.37%(d) | ||||
Net investment income (loss) | 0.43%(d) | 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) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 1/18/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0035 | 0.0207 | 0.0170 | ||
Net realized gain (loss) | 0.0000 | 0.0000(b) | — | ||
Total from investment operations | 0.0035 | 0.0207 | 0.0170 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0035) | (0.0207) | (0.0170) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.35% | 2.09% | 1.67% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $963,228 | $950,202 | $639,733 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.61%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0025 | 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) | 0.0000(b) | — | |||||
Total from investment operations | 0.0025 | 0.0178 | 0.0140 | 0.0044 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0025) | (0.0178) | (0.0140) | (0.0044) | (0.0000)(b) | — | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0025) | (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 | $ 1.0000 | |||||
Total return (d) | 0.25% | 1.79% | 1.40% | 0.44% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $333,663 | $517,997 | $380,085 | $432,488 | $903,050 | $971,551 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses | 0.37%(f) | 0.45% | 0.47% | 0.47% | 0.37% | 0.10% | |||||
Net investment income (loss) | 0.58%(f) | 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 period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Investor Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0033 | 0.0203 | 0.0170 | 0.0071 | 0.0014 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0033 | 0.0203 | 0.0170 | 0.0071 | 0.0014 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0033) | (0.0203) | (0.0170) | (0.0071) | (0.0014) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0033) | (0.0203) | (0.0170) | (0.0071) | (0.0014) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.33% | 2.05% | 1.68% | 0.71% | 0.14% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $601,449 | $726,126 | $1,875,096 | $1,245,204 | $230,156 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.57%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0037 | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0037 | 0.0211 | 0.0170 | 0.0079 | 0.0025 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0037) | (0.0211) | (0.0170) | (0.0079) | (0.0025) | (0.0000)(b) | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0037) | (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 | $ 1.0000 | |||||
Total return (d) | 0.37% | 2.13% | 1.76% | 0.79% | 0.25% | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $80,361,732 | $52,826,660 | $32,939,927 | $38,921,503 | $43,302,733 | $13,516,264 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.09% | |||||
Net investment income (loss) | 0.59%(f) | 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 period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Class G(a) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0039 | 0.0215 | 0.0180 | 0.0082 | 0.0029 | 0.0002(b) | |||||
Net realized gain (loss) | 0.0000(c) | 0.0000(c) | — | 0.0001 | 0.0000(c) | 0.0000(c) | |||||
Total from investment operations | 0.0039 | 0.0215 | 0.0180 | 0.0083 | 0.0029 | 0.0002 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0039) | (0.0215) | (0.0180) | (0.0083) | (0.0029) | (0.0002) | |||||
Net realized gains | — | — | — | (0.0000)(c) | — | — | |||||
Total distributions | (0.0039) | (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 | $ 1.0000 | |||||
Total return (d) | 0.39% | 2.17% | 1.80% | 0.83% | 0.29% | 0.02% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,772,445 | $3,607,164 | $3,065,834 | $4,349,842 | $581,991 | $732,938 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.08%(e) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net expenses | 0.08%(e) | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |||||
Net investment income (loss) | 0.69%(e) | 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 period. |
(c) | Amount is less than $0.00005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
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 |
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 | 0.33% | $1,002.60 | $1.63 | $1,023.10 | $1.65 | ||||
Institutional Class | 0.15 | 1,003.50 | 0.74 | 1,024.00 | 0.75 | ||||
Investment Class | 0.37 | 1,002.50 | 1.83 | 1,022.90 | 1.85 | ||||
Investor Class | 0.20 | 1,003.30 | 0.99 | 1,023.70 | 1.00 | ||||
Premier Class | 0.12 | 1,003.70 | 0.59 | 1,024.10 | 0.60 | ||||
Class G | 0.08 | 1,003.90 | 0.40 | 1,024.30 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street U.S. Government Money Market Portfolio |
1 | |
2 | |
11 | |
12 | |
13 | |
14 | |
15 | |
19 |
% of Net Assets | |||
Treasury Debt | 50.9% | ||
Government Agency Debt | 27.1 | ||
Treasury Repurchase Agreements | 13.5 | ||
Government Agency Repurchase Agreements | 5.9 | ||
Other Assets in Excess of Liabilities | 2.6 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 15.4% | ||
2 to 30 Days | 20.3 | ||
31 to 60 Days | 17.2 | ||
61 to 90 Days | 12.0 | ||
Over 90 Days | 32.5 | ||
Total | 97.4% | ||
Average days to maturity | 37 | ||
Weighted average life | 93 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—27.1% | ||||||||||
Federal Farm Credit Bank, SOFR + 0.04%(a) | 0.115% | 07/01/2020 | 09/11/2020 | $ 149,000,000 | $ 149,000,000 | |||||
Federal Farm Credit Bank (b) | 0.120% | 07/10/2020 | 07/10/2020 | 120,000,000 | 119,996,400 | |||||
Federal Farm Credit Bank, SOFR + 0.04%(a) | 0.120% | 07/01/2020 | 02/09/2021 | 121,000,000 | 121,000,000 | |||||
Federal Farm Credit Bank (b) | 0.130% | 07/23/2020 | 07/23/2020 | 100,000,000 | 99,992,056 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a) | 0.150% | 07/16/2020 | 09/16/2020 | 146,000,000 | 145,998,630 | |||||
Federal Farm Credit Bank, SOFR + 0.08%(a) | 0.160% | 07/01/2020 | 01/14/2021 | 75,700,000 | 75,700,000 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(a) | 0.191% | 07/13/2020 | 11/12/2020 | 358,400,000 | 358,386,831 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(a) | 0.194% | 07/17/2020 | 03/17/2021 | 165,000,000 | 164,987,462 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.10%(a) | 0.250% | 07/01/2020 | 01/18/2022 | 100,000,000 | 99,993,157 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.11%(a) | 0.260% | 07/01/2020 | 12/28/2020 | 16,000,000 | 15,994,450 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.13%(a) | 0.280% | 07/01/2020 | 02/28/2022 | 275,000,000 | 275,000,000 | |||||
Federal Farm Credit Bank (b) | 0.440% | 07/13/2020 | 07/13/2020 | 113,000,000 | 112,983,427 | |||||
Federal Farm Credit Bank (b) | 0.440% | 08/03/2020 | 08/03/2020 | 70,000,000 | 69,971,767 | |||||
Federal Farm Credit Bank, 3 month LIBOR - 0.12%(a) | 0.978% | 07/22/2020 | 07/22/2021 | 181,300,000 | 181,300,000 | |||||
Federal Farm Credit Bank (b) | 1.570% | 07/08/2020 | 07/08/2020 | 16,000,000 | 15,995,116 | |||||
Federal Farm Credit Bank (b) | 1.570% | 07/27/2020 | 07/27/2020 | 150,000,000 | 149,829,917 | |||||
Federal Farm Credit Bank (b) | 1.570% | 08/14/2020 | 08/14/2020 | 50,000,000 | 49,904,056 | |||||
Federal Home Loan Bank, 3 month LIBOR - 0.22%(a) | 0.093% | 09/15/2020 | 09/15/2020 | 480,000,000 | 480,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.03%(a) | 0.110% | 07/01/2020 | 08/05/2020 | 190,000,000 | 190,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.03%(a) | 0.110% | 07/01/2020 | 08/21/2020 | 388,200,000 | 388,189,558 | |||||
Federal Home Loan Bank, SOFR + 0.03%(a) | 0.110% | 07/01/2020 | 09/04/2020 | 750,000,000 | 749,980,291 | |||||
Federal Home Loan Bank, SOFR + 0.03%(a) | 0.110% | 07/01/2020 | 11/06/2020 | 109,000,000 | 109,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.06%(a) | 0.130% | 07/13/2020 | 08/13/2020 | 312,000,000 | 312,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 0.140% | 07/09/2020 | 01/08/2021 | 345,000,000 | 345,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 0.145% | 07/07/2020 | 08/07/2020 | 555,500,000 | 555,500,000 | |||||
Federal Home Loan Bank (b) | 0.148% | 08/28/2020 | 08/28/2020 | 217,000,000 | 216,948,257 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 0.154% | 07/17/2020 | 12/17/2020 | 300,000,000 | 300,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a) | 0.155% | 07/22/2020 | 03/22/2021 | 100,000,000 | 100,005,545 | |||||
Federal Home Loan Bank, SOFR + 0.08%(a) | 0.155% | 07/01/2020 | 06/11/2021 | 145,000,000 | 145,000,000 | |||||
Federal Home Loan Bank (b) | 0.158% | 11/12/2020 | 11/12/2020 | 387,000,000 | 386,772,401 | |||||
Federal Home Loan Bank (b) | 0.160% | 11/20/2020 | 11/20/2020 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.08%(a) | 0.160% | 07/01/2020 | 03/04/2021 | 330,700,000 | 330,700,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 0.163% | 07/11/2020 | 01/11/2021 | 249,500,000 | 249,500,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a) | 0.165% | 07/16/2020 | 04/16/2021 | 615,800,000 | 615,800,000 | |||||
Federal Home Loan Bank, SOFR + 0.09%(a) | 0.170% | 07/01/2020 | 11/20/2020 | 450,000,000 | 450,000,000 | |||||
Federal Home Loan Bank (b) | 0.180% | 12/28/2020 | 12/28/2020 | 25,000,000 | 24,977,500 | |||||
Federal Home Loan Bank, SOFR + 0.10%(a) | 0.180% | 07/01/2020 | 12/23/2020 | 311,000,000 | 311,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.12%(a) | 0.200% | 07/01/2020 | 02/28/2022 | 130,000,000 | 130,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.14%(a) | 0.215% | 07/01/2020 | 03/10/2021 | 138,800,000 | 138,800,000 | |||||
Federal Home Loan Bank (b) | 0.240% | 08/07/2020 | 08/07/2020 | 413,500,000 | 413,398,003 | |||||
Federal Home Loan Bank, SOFR + 0.16%(a) | 0.240% | 07/01/2020 | 07/24/2020 | 765,300,000 | 765,285,291 | |||||
Federal Home Loan Bank, SOFR + 0.16%(a) | 0.240% | 07/01/2020 | 01/07/2021 | 579,500,000 | 579,500,000 | |||||
Federal Home Loan Bank (b) | 0.310% | 07/10/2020 | 07/10/2020 | 416,300,000 | 416,267,737 | |||||
Federal Home Loan Bank, SOFR + 0.23%(a) | 0.310% | 07/01/2020 | 04/13/2021 | 576,500,000 | 576,500,000 | |||||
Federal Home Loan Bank (b) | 0.440% | 09/04/2020 | 09/04/2020 | 213,900,000 | 213,730,068 | |||||
Federal Home Loan Bank (b) | 0.440% | 09/11/2020 | 09/11/2020 | 741,500,000 | 740,847,480 | |||||
Federal Home Loan Bank (b) | 0.460% | 07/14/2020 | 07/14/2020 | 500,000,000 | 499,916,944 | |||||
Federal Home Loan Bank (b) | 1.440% | 08/26/2020 | 08/26/2020 | 100,000,000 | 99,776,000 | |||||
Federal Home Loan Bank (b) | 1.550% | 07/16/2020 | 07/16/2020 | 97,500,000 | 97,437,031 | |||||
Federal Home Loan Bank (b) | 1.554% | 07/22/2020 | 07/22/2020 | 100,000,000 | 99,909,350 | |||||
Federal Home Loan Bank (b) | 1.559% | 07/29/2020 | 07/29/2020 | 540,400,000 | 540,327,359 | |||||
Federal Home Loan Bank (b) | 1.570% | 07/15/2020 | 07/15/2020 | 750,000,000 | 749,544,028 | |||||
Federal Home Loan Bank (b) | 1.570% | 07/31/2020 | 07/31/2020 | 615,000,000 | 614,195,375 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.01%(a) | 0.090% | 07/01/2020 | 08/25/2020 | 372,300,000 | 372,300,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.02%(a) | 0.100% | 07/01/2020 | 07/08/2020 | $ 400,000,000 | $ 400,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.02%(a) | 0.100% | 07/01/2020 | 07/10/2020 | 300,000,000 | 299,995,143 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.02%(a) | 0.100% | 07/01/2020 | 11/20/2020 | 249,000,000 | 249,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.03%(a) | 0.105% | 07/01/2020 | 02/26/2021 | 400,000,000 | 400,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.03%(a) | 0.110% | 07/01/2020 | 02/24/2021 | 381,300,000 | 381,300,000 | |||||
Federal Home Loan Mortgage Corp. (b) | 0.120% | 08/19/2020 | 08/19/2020 | 597,000,000 | 596,902,490 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.04%(a) | 0.120% | 07/01/2020 | 09/10/2020 | 200,000,000 | 200,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.04%(a) | 0.120% | 07/01/2020 | 12/04/2020 | 944,800,000 | 944,800,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.15%(a) | 0.230% | 07/01/2020 | 03/04/2022 | 200,000,000 | 199,914,812 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.19%(a) | 0.270% | 07/01/2020 | 06/02/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.24%(a) | 0.320% | 07/01/2020 | 07/23/2021 | 271,800,000 | 271,800,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.30%(a) | 0.380% | 07/01/2020 | 10/25/2021 | 226,500,000 | 226,500,000 | |||||
Federal Home Loan Mortgage Corp. (b) | 1.465% | 08/13/2020 | 08/13/2020 | 805,500,000 | 804,090,487 | |||||
Federal National Mortgage Assoc., SOFR + 0.04%(a) | 0.120% | 07/01/2020 | 12/04/2020 | 568,700,000 | 568,700,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.04%(a) | 0.120% | 07/01/2020 | 01/29/2021 | 352,000,000 | 352,006,227 | |||||
Federal National Mortgage Assoc., SOFR + 0.05%(a) | 0.130% | 07/01/2020 | 03/04/2021 | 365,400,000 | 365,400,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.08%(a) | 0.155% | 07/01/2020 | 10/30/2020 | 229,100,000 | 229,107,177 | |||||
Federal National Mortgage Assoc., SOFR + 0.20%(a) | 0.280% | 07/01/2020 | 06/15/2022 | 457,150,000 | 457,150,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.31%(a) | 0.390% | 07/01/2020 | 10/25/2021 | 250,000,000 | 250,000,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.32%(a) | 0.400% | 07/01/2020 | 10/22/2021 | 224,800,000 | 224,800,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.33%(a) | 0.410% | 07/01/2020 | 10/15/2021 | 224,500,000 | 224,500,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.35%(a) | 0.430% | 07/01/2020 | 10/15/2021 | 226,600,000 | 226,600,000 | |||||
Federal National Mortgage Assoc. (b) | 0.460% | 07/16/2020 | 07/16/2020 | 240,000,000 | 239,954,000 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 24,336,661,823 | |||||||||
TREASURY DEBT—50.9% | ||||||||||
U.S. Treasury Bill (b) | 0.040% | 07/02/2020 | 07/02/2020 | 396,250,000 | 396,248,877 | |||||
U.S. Treasury Bill (b) | 0.110% | 07/07/2020 | 07/07/2020 | 2,000,000,000 | 1,999,960,833 | |||||
U.S. Treasury Bill (b) | 0.110% | 08/04/2020 | 08/04/2020 | 1,779,750,000 | 1,779,533,889 | |||||
U.S. Treasury Bill (b) | 0.115% | 08/18/2020 | 08/18/2020 | 1,001,250,000 | 1,001,095,807 | |||||
U.S. Treasury Bill (b) | 0.125% | 07/14/2020 | 07/14/2020 | 1,700,250,000 | 1,700,179,573 | |||||
U.S. Treasury Bill (b) | 0.125% | 07/23/2020 | 07/23/2020 | 949,750,000 | 949,677,450 | |||||
U.S. Treasury Bill (b) | 0.125% | 08/25/2020 | 08/25/2020 | 950,500,000 | 950,318,481 | |||||
U.S. Treasury Bill (b) | 0.125% | 10/06/2020 | 10/06/2020 | 950,312,000 | 949,937,299 | |||||
U.S. Treasury Bill (b) | 0.135% | 09/29/2020 | 09/29/2020 | 779,750,000 | 779,496,581 | |||||
U.S. Treasury Bill (b) | 0.135% | 11/05/2020 | 11/05/2020 | 1,306,025,000 | 1,305,403,952 | |||||
U.S. Treasury Bill (b) | 0.136% | 09/17/2020 | 09/17/2020 | 1,001,250,000 | 1,000,930,585 | |||||
U.S. Treasury Bill (b) | 0.141% | 09/01/2020 | 09/01/2020 | 1,000,778,000 | 1,000,535,840 | |||||
U.S. Treasury Bill (b) | 0.142% | 10/13/2020 | 10/13/2020 | 550,500,000 | 550,274,968 | |||||
U.S. Treasury Bill (b) | 0.145% | 09/10/2020 | 09/10/2020 | 1,000,000,000 | 999,714,028 | |||||
U.S. Treasury Bill (b) | 0.145% | 10/22/2020 | 10/22/2020 | 499,750,000 | 499,522,544 | |||||
U.S. Treasury Bill (b) | 0.150% | 09/08/2020 | 09/08/2020 | 646,000,000 | 645,820,557 | |||||
U.S. Treasury Bill (b) | 0.150% | 10/27/2020 | 10/27/2020 | 294,000,000 | 293,857,884 | |||||
U.S. Treasury Bill (b) | 0.150% | 10/29/2020 | 10/29/2020 | 500,250,000 | 499,999,875 | |||||
U.S. Treasury Bill (b) | 0.150% | 11/12/2020 | 11/12/2020 | 800,000,000 | 799,545,889 | |||||
U.S. Treasury Bill (b) | 0.150% | 11/19/2020 | 11/19/2020 | 500,667,000 | 500,372,858 | |||||
U.S. Treasury Bill (b) | 0.155% | 10/20/2020 | 10/20/2020 | 1,000,750,000 | 1,000,277,896 | |||||
U.S. Treasury Bill (b) | 0.160% | 10/08/2020 | 10/08/2020 | 449,500,000 | 449,302,220 | |||||
U.S. Treasury Bill (b) | 0.160% | 11/27/2020 | 11/27/2020 | 500,500,000 | 500,168,558 | |||||
U.S. Treasury Bill (b) | 0.165% | 07/28/2020 | 07/28/2020 | 1,428,750,000 | 1,428,590,045 | |||||
U.S. Treasury Bill (b) | 0.165% | 10/01/2020 | 10/01/2020 | 1,000,500,000 | 1,000,104,296 | |||||
U.S. Treasury Bill (b) | 0.165% | 12/31/2020 | 12/31/2020 | 449,750,000 | 449,374,834 | |||||
U.S. Treasury Bill (b) | 0.165% | 01/28/2021 | 01/28/2021 | 260,125,000 | 259,873,437 | |||||
U.S. Treasury Bill (b) | 0.170% | 09/24/2020 | 09/24/2020 | 400,000,000 | 399,853,611 | |||||
U.S. Treasury Bill (b) | 0.170% | 11/03/2020 | 11/03/2020 | 250,250,000 | 250,102,283 | |||||
U.S. Treasury Bill (b) | 0.170% | 12/03/2020 | 12/03/2020 | 355,750,000 | 355,489,611 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Bill (b) | 0.180% | 11/10/2020 | 11/10/2020 | $ 500,500,000 | $ 500,169,670 | |||||
U.S. Treasury Bill (b) | 0.180% | 02/25/2021 | 02/25/2021 | 125,000,000 | 124,850,625 | |||||
U.S. Treasury Bill (b) | 0.185% | 11/24/2020 | 11/24/2020 | 450,500,000 | 450,162,000 | |||||
U.S. Treasury Bill (b) | 0.185% | 12/17/2020 | 12/17/2020 | 250,000,000 | 249,782,882 | |||||
U.S. Treasury Bill (b) | 0.190% | 09/22/2020 | 09/22/2020 | 1,181,000,000 | 1,180,505,735 | |||||
U.S. Treasury Bill (b) | 0.200% | 07/21/2020 | 07/21/2020 | 900,750,000 | 900,676,345 | |||||
U.S. Treasury Bill (b) | 0.250% | 09/15/2020 | 09/15/2020 | 1,200,375,000 | 1,199,885,092 | |||||
U.S. Treasury Bill (b) | 0.290% | 10/15/2020 | 10/15/2020 | 1,095,000,000 | 1,094,210,742 | |||||
U.S. Treasury Bill (b) | 0.500% | 09/03/2020 | 09/03/2020 | 1,351,000,000 | 1,350,674,435 | |||||
U.S. Treasury Bill (b) | 1.438% | 08/27/2020 | 08/27/2020 | 699,500,000 | 699,355,031 | |||||
U.S. Treasury Bill (b) | 1.510% | 08/13/2020 | 08/13/2020 | 2,551,125,000 | 2,549,180,658 | |||||
U.S. Treasury Bill (b) | 1.519% | 08/20/2020 | 08/20/2020 | 1,500,375,000 | 1,499,156,523 | |||||
U.S. Treasury Bill (b) | 1.520% | 07/09/2020 | 07/09/2020 | 1,309,500,000 | 1,309,465,625 | |||||
U.S. Treasury Bill (b) | 1.520% | 08/06/2020 | 08/06/2020 | 1,503,625,000 | 1,503,427,847 | |||||
U.S. Treasury Bill (b) | 1.530% | 07/16/2020 | 07/16/2020 | 644,500,000 | 644,424,808 | |||||
U.S. Treasury Bill (b) | 1.535% | 07/30/2020 | 07/30/2020 | 1,420,250,000 | 1,420,106,405 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(a) | 0.193% | 07/01/2020 | 07/31/2020 | 89,400,000 | 89,395,844 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(a) | 0.195% | 07/01/2020 | 10/31/2020 | 124,100,000 | 124,076,412 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(a) | 0.265% | 07/01/2020 | 01/31/2021 | 280,800,000 | 280,640,367 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(a) | 0.289% | 07/01/2020 | 04/30/2021 | 740,000,000 | 739,521,797 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(a) | 0.304% | 07/01/2020 | 01/31/2022 | 200,000,000 | 199,980,424 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(a) | 0.370% | 07/01/2020 | 07/31/2021 | 1,577,300,000 | 1,576,816,131 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(a) | 0.450% | 07/01/2020 | 10/31/2021 | 835,509,200 | 835,948,090 | |||||
U.S. Treasury Note (b) | 1.610% | 08/31/2020 | 08/31/2020 | 218,700,000 | 219,064,743 | |||||
U.S. Treasury Note (b) | 1.616% | 08/31/2020 | 08/31/2020 | 178,497,000 | 178,425,843 | |||||
TOTAL TREASURY DEBT | 45,615,468,635 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—5.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Bank, 0.000% due 12/31/2020, valued at $31,620,728); expected proceeds $31,000,078 | 0.090% | 07/01/2020 | 07/01/2020 | 31,000,000 | 31,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Government National Mortgage Associations, 3.500% – 4.500% due 03/20/2044 – 04/20/2050, valued at $96,900,000); expected proceeds $95,000,211 | 0.080% | 07/01/2020 | 07/01/2020 | 95,000,000 | 95,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Farm Credit Banks, 2.990% – 4.140% due 07/18/2034 – 08/02/2038, Federal Home Loan Banks, 3.000% – 4.250% due 07/06/2032 – 11/18/2039, Federal Home Loan Mortgage Corporations, 0.000% – 6.250% due 09/15/2029 – 07/15/2032, Federal National Mortgage Associations, 0.000% due 03/23/2028 – 01/15/2033, a U.S. Treasury Note, 0.250% due 06/30/2025, and U.S. Treasury Strips, 0.000% due 11/15/2036 – 08/15/2047, valued at $102,000,055); expected proceeds $100,000,222 | 0.080% | 07/01/2020 | 07/01/2020 | 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 Canadian Imperial Bank of Commerce and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.000% due 07/01/2040 – 04/01/2050, Federal National Mortgage Associations, 3.000% – 6.000% due 04/01/2039 – 02/01/2050, Government National Mortgage Associations, 2.500% – 5.000% due 01/15/2040 – 04/20/2050, a U.S. Treasury Bond, 2.875% due 11/15/2046, and a U.S. Treasury Note, 0.125% due 06/30/2022, valued at $306,000,017); expected proceeds $300,000,750 | 0.090% | 07/01/2020 | 07/01/2020 | $ 300,000,000 | $ 300,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by Federal Farm Credit Banks, 0.158% – 3.730% due 09/01/2020 – 09/20/2028, Federal Home Loan Banks, 0.240% – 5.375% due 03/12/2021 – 09/14/2029, Federal Home Loan Mortgage Corporations, 0.375% – 6.750% due 07/01/2020 – 09/15/2029, Federal National Mortgage Associations, 0.500% – 7.250% due 10/30/2020 – 11/15/2030, Government National Mortgage Associations, 0.283% – 6.055% due 09/20/2033 – 10/20/2062, Resolution Funding Strips, 0.000% – 8.875% due 01/15/2021 – 04/15/2030, a Tennessee Valley Authority, 5.880% due 04/01/2036, and U.S. Treasury Strips, 0.000% due 02/15/2023 – 05/15/2024, valued at $510,006,019); expected proceeds $500,007,500 | 0.090% | 07/02/2020 | 07/02/2020 | 500,000,000 | 500,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 38.192% due 10/15/2020 – 05/15/2053, Federal National Mortgage Associations, 0.000% – 35.078% due 09/25/2020 – 06/25/2050, and Government National Mortgage Associations, 0.000% – 6.510% due 05/20/2043 – 05/20/2070, valued at $1,030,000,000); expected proceeds $1,000,016,667 | 0.100% | 07/02/2020 | 07/02/2020 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by a Federal National Mortgage Association, 4.500% due 07/01/2048, and a Government National Mortgage Association, 3.000% due 08/20/2049, valued at $153,000,001); expected proceeds $150,002,333 | 0.080% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 10/01/2048, valued at $33,660,001); expected proceeds $33,000,083 | 0.090% | 07/01/2020 | 07/01/2020 | 33,000,000 | 33,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/17/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.309% – 4.500% due 11/01/2029 – 11/01/2049, Federal National Mortgage Associations, 2.500% – 6.500% due 07/01/2027 – 09/01/2057, and a Government National Mortgage Association, 4.500% due 01/20/2049, valued at $510,000,000); expected proceeds $500,070,833 (c) | 0.170% | 07/17/2020 | 07/17/2020 | 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 ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/18/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.309% – 4.500% due 11/01/2029 – 11/01/2049, and Federal National Mortgage Associations, 2.000% – 4.500% due 07/01/2027 – 05/01/2058, valued at $51,000,001); expected proceeds $50,007,556 (c) | 0.170% | 07/20/2020 | 07/20/2020 | $ 50,000,000 | $ 50,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.752% – 4.500% due 05/01/2036 – 05/01/2050, and Federal National Mortgage Associations, 2.516% – 5.500% due 02/01/2042 – 04/01/2050, valued at $153,004,165); expected proceeds $150,017,500 | 0.140% | 07/07/2020 | 07/07/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 6.000% due 06/01/2025 – 06/01/2050, and Federal National Mortgage Associations, 2.000% – 5.500% due 04/01/2022 – 06/01/2050, valued at $69,360,001); expected proceeds $68,000,170 | 0.090% | 07/01/2020 | 07/01/2020 | 68,000,000 | 68,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 2.000% due 06/01/2050, Federal National Mortgage Associations, 3.000% – 4.500% due 06/01/2034 – 06/01/2050, Government National Mortgage Associations, 2.500% – 4.500% due 10/20/2048 – 06/20/2050, and a U.S. Treasury Note, 2.875% due 10/31/2023, valued at $255,000,100); expected proceeds $250,000,625 | 0.090% | 07/01/2020 | 07/01/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 06/01/2047, Federal National Mortgage Associations, 2.500% – 5.000% due 01/01/2028 – 05/01/2050, Government National Mortgage Associations, 3.000% – 5.500% due 11/20/2041 – 06/20/2050, and a U.S. Treasury Note, 2.375% due 05/15/2029, valued at $459,000,000); expected proceeds $450,001,125 | 0.090% | 07/01/2020 | 07/01/2020 | 450,000,000 | 450,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Government National Mortgage Association, 0.390% due 03/20/2037, U.S. Treasury Bonds, 2.000% – 3.000% due 02/15/2048 – 02/15/2050, a U.S. Treasury Inflation Index Bond, 2.125% due 02/15/2041, and U.S. Treasury Strips, 0.000% due 05/15/2035 – 08/15/2048, valued at $126,487,014); expected proceeds $124,000,241 | 0.070% | 07/01/2020 | 07/01/2020 | 124,000,000 | 124,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 3.500% due 11/01/2048 – 05/01/2050, Government National Mortgage Associations, 3.000% – 4.500% due 05/15/2043 – 05/20/2050, U.S. Treasury Bonds, 2.250% – 3.625% due 02/15/2042 – 08/15/2049, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 04/15/2022 – 01/15/2030, and U.S. Treasury Notes, 0.125% – 3.125% due 05/15/2021 – 02/15/2030, valued at $918,000,002); expected proceeds $900,001,750 | 0.070% | 07/01/2020 | 07/01/2020 | 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 TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Bank, 0.000% due 07/15/2020, and a U.S. Treasury Strip, 0.000% due 11/15/2043, valued at $83,640,887); expected proceeds $82,000,159 | 0.070% | 07/01/2020 | 07/01/2020 | $ 82,000,000 | $ 82,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a Federal Home Loan Bank, 0.000% due 07/15/2020, valued at $65,280,997); expected proceeds $64,000,160 | 0.090% | 07/01/2020 | 07/01/2020 | 64,000,000 | 64,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by Federal Farm Credit Banks, 0.300% – 5.250% due 02/23/2021 – 12/14/2044, Federal Home Loan Banks, 0.350% – 1.800% due 07/24/2020 – 06/29/2035, Federal Home Loan Mortgage Corporations, 0.250% – 6.250% due 06/08/2022 – 07/01/2050, Federal National Mortgage Associations, 0.370% – 0.650% due 06/30/2023 – 06/30/2025, Government National Mortgage Associations, 2.500% – 3.000% due 05/20/2050 – 06/20/2050, a Resolution Funding Strip, 0.000% due 07/15/2020, Tennessee Valley Authorities, 0.000% – 1.875% due 07/15/2020 – 05/15/2025, and a U.S. Treasury Bond, 0.000% due 10/03/2022, valued at $433,501,181); expected proceeds $425,001,063 | 0.090% | 07/01/2020 | 07/01/2020 | 425,000,000 | 425,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 5,272,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—13.5% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 2.625% due 12/31/2023, and a U.S. Treasury Strip, 0.000% due 05/15/2030, valued at $45,900,000); expected proceeds $45,000,088 | 0.070% | 07/01/2020 | 07/01/2020 | 45,000,000 | 45,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 12/24/2020, a U.S. Treasury Bond, 3.625% due 02/15/2044, and U.S. Treasury Notes, 1.500% – 2.875% due 11/30/2021 – 02/15/2030, valued at $255,000,121); expected proceeds $250,000,556 | 0.080% | 07/01/2020 | 07/01/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 01/28/2021, U.S. Treasury Bonds, 3.000% – 4.750% due 05/15/2040 – 05/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 04/15/2021 – 01/15/2028, and U.S. Treasury Notes, 0.250% – 3.000% due 07/15/2021 – 08/15/2029, valued at $255,000,087); expected proceeds $250,000,486 | 0.070% | 07/01/2020 | 07/01/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 3.625% due 02/15/2044, and U.S. Treasury Notes, 1.500% - 2.375% due 03/15/2022 – 09/15/2022, valued at $612,000,146); expected proceeds $600,001,166 | 0.070% | 07/01/2020 | 07/01/2020 | 600,000,000 | 600,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 2.875% - 3.000% due 05/15/2043 – 11/15/2044, and a U.S. Treasury Note, 2.250% due 11/15/2027, valued at $669,887,933); expected proceeds $655,002,183 | 0.120% | 07/01/2020 | 07/01/2020 | 655,000,000 | 655,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/02/2020 – 07/09/2020, a U.S. Treasury Bond, 2.750% due 08/15/2042, a U.S. Treasury Inflation Index Note, 0.250% due 07/15/2029, and U.S. Treasury Notes, 1.750% due 07/31/2021 – 07/15/2022, valued at $153,000,037); expected proceeds $150,002,000 | 0.080% | 07/02/2020 | 07/02/2020 | $ 150,000,000 | $ 150,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 1.125% – 4.625% due 11/15/2039 – 05/15/2040, valued at $153,000,151); expected proceeds $150,000,292 | 0.070% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 3.875% due 08/15/2040, valued at $70,380,097); expected proceeds $69,000,134 | 0.070% | 07/01/2020 | 07/01/2020 | 69,000,000 | 69,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 09/15/2020 – 05/20/2021, a U.S. Treasury Bond, 2.500% due 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2022 – 01/15/2029, and U.S. Treasury Notes, 0.375% – 2.125% due 03/31/2022 – 07/31/2026, valued at $1,734,000,045); expected proceeds $1,700,004,250 | 0.090% | 07/01/2020 | 07/01/2020 | 1,700,000,000 | 1,700,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 06/30/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2030, and U.S. Treasury Notes, 1.375% – 1.625% due 10/15/2022 – 11/30/2026, valued at $2,040,515,922); expected proceeds $2,000,005,080 | 0.090% | 07/01/2020 | 07/01/2020 | 2,000,000,080 | 2,000,000,080 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 3.000% due 02/15/2048, a U.S. Treasury Note, 0.125% due 06/30/2022, and U.S. Treasury Strips, 0.000% due 02/15/2025 - 11/15/2028, valued at $295,800,052); expected proceeds $290,000,053 | 0.070% | 07/01/2020 | 07/01/2020 | 290,000,000 | 290,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 07/28/2020, U.S. Treasury Bonds, 3.625% – 8.000% due 11/15/2021 – 02/15/2044, a U.S. Treasury Inflation Index Bond, 2.125% due 02/15/2041, U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 01/15/2022 – 01/15/2028, and U.S. Treasury Notes, 0.375% – 2.875% due 03/15/2023 – 05/15/2029, valued at $102,000,069); expected proceeds $100,001,333 | 0.080% | 07/02/2020 | 07/02/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 06/17/2021, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2025, and U.S. Treasury Notes, 1.125% – 1.375% due 01/31/2021 – 02/28/2025, valued at $1,065,900,012); expected proceeds $1,045,002,032 | 0.070% | 07/01/2020 | 07/01/2020 | 1,045,000,000 | 1,045,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 05/22/2020 (collateralized by a U.S. Treasury Note, 6.750% due 08/15/2026, valued at $205,031,840); expected proceeds $200,050,833 (c) | 0.150% | 07/22/2020 | 07/22/2020 | 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 LLOYDS Bank PLC, dated 05/22/2020 (collateralized by U.S. Treasury Inflation Index Notes, 1.125% due 04/15/2022 – 01/15/2023 and a U.S. Treasury Note, 1.750% due 07/15/2022, valued at $205,047,134); expected proceeds $200,088,778 (c) | 0.170% | 08/24/2020 | 08/24/2020 | $ 200,000,000 | $ 200,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 12/10/2020, a U.S. Treasury Bond, 4.375% due 05/15/2040, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2027, and U.S. Treasury Notes, 0.125% – 3.125% due 12/31/2020 – 11/15/2028, valued at $103,020,201); expected proceeds $101,000,196 | 0.070% | 07/01/2020 | 07/01/2020 | 101,000,000 | 101,000,000 | |||||
Agreement with MUFG Securities, dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.500% - 4.375% due 05/15/2041 – 02/15/2049 and U.S. Treasury Notes, 1.750% - 2.625% due 01/31/2022 – 04/30/2024, valued at $1,837,902,497); expected proceeds $1,800,005,000 | 0.100% | 07/01/2020 | 07/01/2020 | 1,800,000,000 | 1,800,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 05/13/2020 (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, 1.750% – 2.000% due 11/15/2026 – 11/15/2029, valued at $397,800,000); expected proceeds $390,169,433 (c) | 0.170% | 08/13/2020 | 08/13/2020 | 390,000,000 | 390,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 05/29/2020 (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, 1.750% due 11/15/2029, valued at $198,900,077); expected proceeds $195,032,175 | 0.180% | 07/01/2020 | 07/01/2020 | 195,000,000 | 195,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/04/2020 (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, 1.750% – 2.000% due 06/30/2024 – 11/15/2029, valued at $204,000,016); expected proceeds $200,029,556 | 0.190% | 07/02/2020 | 07/02/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, valued at $153,000,022); expected proceeds $150,055,125 (c) | 0.210% | 09/01/2020 | 09/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2020 (collateralized by a U.S. Treasury Bond, 3.750% due 11/15/2043 and U.S. Treasury Strips, 0.000% due 11/15/2026 – 02/15/2045, valued at $95,487,722); expected proceeds $93,256,159 | 0.100% | 07/01/2020 | 07/01/2020 | 93,255,900 | 93,255,900 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.375% - 3.750% due 05/15/2043 – 11/15/2049, valued at $399,288,647); expected proceeds $391,227,687 | 0.100% | 07/01/2020 | 07/01/2020 | 391,226,600 | 391,226,600 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.375% – 6.000% due 02/15/2026 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 2.000% due 01/15/2026 – 02/15/2042, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 01/15/2026, and U.S. Treasury Notes, 2.125% – 3.000% due 12/31/2022 – 02/15/2029, valued at $510,000,042); expected proceeds $500,000,972 | 0.070% | 07/01/2020 | 07/01/2020 | $ 500,000,000 | $ 500,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 08/13/2020, and a U.S. Treasury Bond, 2.375% due 11/15/2049, valued at $98,940,088); expected proceeds $97,000,243 | 0.090% | 07/01/2020 | 07/01/2020 | 97,000,000 | 97,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.875% – 5.000% due 05/15/2037 – 08/15/2045, U.S. Treasury Inflation Index Bonds, 1.000% – 3.875% due 01/15/2029 – 02/15/2049, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2022, and U.S. Treasury Notes, 0.269% – 2.875% due 12/15/2020 – 08/15/2028, valued at $102,000,010); expected proceeds $100,000,194 | 0.070% | 07/01/2020 | 07/01/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/02/2020 – 03/25/2021, U.S. Treasury Bonds, 2.250% – 8.750% due 08/15/2020 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.625% – 3.625% due 01/15/2025 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 01/15/2021 – 01/15/2030, U.S. Treasury Notes, 0.198% – 2.875% due 07/15/2020 – 07/31/2026, and U.S. Treasury Strips, 0.000% due 05/15/2022 – 02/15/2025, valued at $357,000,099); expected proceeds $350,000,681 | 0.070% | 07/01/2020 | 07/01/2020 | 350,000,000 | 350,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 12,071,482,580 | |||||||||
TOTAL INVESTMENTS –97.4% (d)(e) | 87,295,613,038 | |||||||||
Other Assets in Excess of Liabilities —2.6% | 2,314,075,285 | |||||||||
NET ASSETS –100.0% | $ 89,609,688,323 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Rate shown is the discount rate at time of purchase. |
(c) | Illiquid security. These securities represent $1,490,000,000 or 1.7% of net assets as of June 30, 2020. |
(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). |
SOFR | Secured Overnight Financing Rate |
ASSETS | |
Investments in unaffiliated issuers, at value and cost | $69,952,130,458 |
Repurchase agreements, at value and amortized cost | 17,343,482,580 |
Total Investments | 87,295,613,038 |
Cash | 3,209,426,453 |
Interest receivable — unaffiliated issuers | 9,149,501 |
TOTAL ASSETS | 90,514,188,992 |
LIABILITIES | |
Payable for investments purchased | 899,704,019 |
Advisory and administrator fee payable | 3,948,635 |
Custody, sub-administration and transfer agent fees payable | 789,540 |
Professional fees payable | 36,101 |
Printing fees payable | 6,713 |
Accrued expenses and other liabilities | 15,661 |
TOTAL LIABILITIES | 904,500,669 |
NET ASSETS | $89,609,688,323 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $294,144,472 |
EXPENSES | |
Advisory and administrator fee | 20,479,427 |
Custodian, sub-administrator and transfer agent fees | 5,151,741 |
Trustees’ fees and expenses | 356,275 |
Professional fees and expenses | 327,601 |
Printing and postage fees | 9,916 |
Insurance expense | 10,967 |
Miscellaneous expenses | 67,997 |
TOTAL EXPENSES | 26,403,924 |
NET INVESTMENT INCOME (LOSS) | $267,740,548 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,597 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $267,748,145 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 267,740,548 | $ 1,123,671,534 | |
Net realized gain (loss) | 7,597 | 61,113 | |
Net increase (decrease) in net assets resulting from operations | 267,748,145 | 1,123,732,647 | |
CAPITAL TRANSACTIONS | |||
Contributions | 139,583,906,939 | 177,701,232,695 | |
Withdrawals | (111,129,750,395) | (159,158,963,953) | |
Net increase (decrease) in net assets from capital transactions | 28,454,156,544 | 18,542,268,742 | |
Net increase (decrease) in net assets during the period | 28,721,904,689 | 19,666,001,389 | |
Net assets at beginning of period | 60,887,783,634 | 41,221,782,245 | |
NET ASSETS AT END OF PERIOD | $ 89,609,688,323 | $ 60,887,783,634 |
Six Months Ended 6/30/20 (Unaudited) | 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) | 0.42% | 2.20% | 1.81% | 0.74% | 0.31% | 0.03% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $89,609,688 | $60,887,784 | $41,221,782 | $48,665,017 | $50,925,227 | $16,023,491 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.07% | 0.07% | 0.06% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.65%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street U.S. Government Money Market Portfolio | 0.06% | $1,004.20 | $0.30 | $1,024.40 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Money Market Fund |
1 | |
2 | |
3 | |
5 | |
10 | |
15 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $22,541,125,233 |
Receivable for fund shares sold | 101,209 |
Receivable from Adviser | 194,079 |
Other Receivable | 180 |
TOTAL ASSETS | 22,541,420,701 |
LIABILITIES | |
Payable for fund shares repurchased | 97,616 |
Advisory fee payable | 158 |
Administration fees payable | 871,888 |
Shareholder servicing fee payable | 193,810 |
Distribution fees payable | 57,816 |
Transfer agent fees payable | 1,518 |
Distribution payable | 79,089 |
Registration and filing fees payable | 21,902 |
Professional fees payable | 13,182 |
Printing fees payable | 6,165 |
Accrued expenses and other liabilities | 30,224 |
TOTAL LIABILITIES | 1,373,368 |
NET ASSETS | $22,540,047,333 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $22,540,005,466 |
Total distributable earnings (loss) | 41,867 |
NET ASSETS | $22,540,047,333 |
Administration Class | |
Net Assets | $ 325,000 |
Shares Outstanding | 325,000 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 289,351,146 |
Shares Outstanding | 289,351,484 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 715,347,172 |
Shares Outstanding | 715,343,048 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 589,854,480 |
Shares Outstanding | 589,853,679 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $20,945,169,535 |
Shares Outstanding | 20,945,233,018 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $64,893,643 |
Expenses allocated from affiliated Portfolio | (5,599,040) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 59,294,603 |
EXPENSES | |
Administration fees | |
Administration Class | 23 |
Institutional Class | 39,877 |
Investment Class | 145,737 |
Investor Class | 95,491 |
Premier Class | 4,036,433 |
Shareholder servicing fees | |
Administration Class | 93 |
Institutional Class | 23,944 |
Investment Class | 728,731 |
Investor Class | 152,808 |
Distribution fees | |
Administration Class | 23 |
Investment Class | 291,493 |
Custodian fees | 18,114 |
Trustees’ fees and expenses | 10,109 |
Transfer agent fees | 18,680 |
Registration and filing fees | 249,400 |
Professional fees | 37,864 |
Printing and postage fees | 22,075 |
Insurance expense | 27,732 |
Miscellaneous expenses | 24,926 |
TOTAL EXPENSES | 5,923,553 |
Expenses waived/reimbursed by the Adviser | (412,281) |
NET EXPENSES | 5,511,272 |
NET INVESTMENT INCOME (LOSS) | $53,783,331 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 6,894 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $53,790,225 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 53,783,331 | $ 220,496,452 | |
Net realized gain (loss) | 6,894 | 271,783 | |
Net increase (decrease) in net assets resulting from operations | 53,790,225 | 220,768,235 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (138) | (920) | |
Institutional Class | (228,823) | (334,102) | |
Investment Class | (1,133,063) | (6,213,652) | |
Investor Class | (757,519) | (3,126,205) | |
Premier Class | (51,855,891) | (210,831,864) | |
Total distributions to shareholders | (53,975,434) | (220,506,743) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 275,000 | — | |
Net increase (decrease) from capital share transactions | 275,000 | — | |
Institutional Class | |||
Shares sold | 2,032,311,896 | 638,062,068 | |
Reinvestment of distributions | 78,677 | 226,396 | |
Shares redeemed | (1,766,666,835) | (614,710,718) | |
Net increase (decrease) from capital share transactions | 265,723,738 | 23,577,746 | |
Investment Class | |||
Shares sold | 823,733,115 | 693,177,178 | |
Reinvestment of distributions | 63,026 | 45,389 | |
Shares redeemed | (516,672,474) | (675,736,752) | |
Net increase (decrease) from capital share transactions | 307,123,667 | 17,485,815 | |
Investor Class | |||
Shares sold | 2,662,700,247 | 2,037,248,929 | |
Reinvestment of distributions | 677,408 | 3,109,787 | |
Shares redeemed | (2,204,598,440) | (2,006,528,761) | |
Net increase (decrease) from capital share transactions | 458,779,215 | 33,829,955 | |
Premier Class | |||
Shares sold | 82,526,097,085 | 90,382,471,629 | |
Reinvestment of distributions | 49,541,087 | 200,985,191 | |
Shares redeemed | (73,443,206,655) | (88,195,295,536) | |
Net increase (decrease) from capital share transactions | 9,132,431,517 | 2,388,161,284 | |
Net increase (decrease) in net assets from beneficial interest transactions | 10,164,333,137 | 2,463,054,800 | |
Net increase (decrease) in net assets during the period | 10,164,147,928 | 2,463,316,292 | |
Net assets at beginning of period | 12,375,899,405 | 9,912,583,113 | |
NET ASSETS AT END OF PERIOD | $ 22,540,047,333 | $ 12,375,899,405 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 275,000 | — | |
Net increase (decrease) from share transactions | 275,000 | — | |
Institutional Class | |||
Shares sold | 2,032,311,896 | 638,062,068 | |
Reinvestment of distributions | 78,677 | 226,396 | |
Shares redeemed | (1,766,666,835) | (614,710,718) | |
Net increase (decrease) from share transactions | 265,723,738 | 23,577,746 | |
Investment Class | |||
Shares sold | 823,733,115 | 693,177,178 | |
Reinvestment of distributions | 63,026 | 45,389 | |
Shares redeemed | (516,672,474) | (675,736,752) | |
Net increase (decrease) from share transactions | 307,123,667 | 17,485,815 | |
Investor Class | |||
Shares sold | 2,662,700,247 | 2,037,248,929 | |
Reinvestment of distributions | 677,408 | 3,109,787 | |
Shares redeemed | (2,204,598,440) | (2,006,528,761) | |
Net increase (decrease) from share transactions | 458,779,215 | 33,829,955 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
Premier Class | |||
Shares sold | 82,526,097,085 | 90,382,471,629 | |
Reinvestment of distributions | 49,541,087 | 200,985,191 | |
Shares redeemed | (73,443,206,655) | (88,195,295,536) | |
Net increase (decrease) from share transactions | $ 9,132,431,517 | $ 2,388,161,284 |
Administration Class(a) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 07/31/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0028 | 0.0184 | 0.0076 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0028 | 0.0184 | 0.0076 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0028) | (0.0184) | (0.0076) | ||
Total distributions | (0.0028) | (0.0184) | (0.0076) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.28% | 1.85% | 0.76% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 325 | $ 50 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.36%(d) | 0.37% | 0.37%(d) | ||
Net expenses | 0.29%(d) | 0.37% | 0.37%(d) | ||
Net investment income (loss) | 0.30%(d) | 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) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 7/31/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0037 | 0.0205 | 0.0085 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0037 | 0.0205 | 0.0085 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0037) | (0.0205) | (0.0085) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.37% | 2.07% | 0.85% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $289,351 | $ 23,628 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.28%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0027 | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0027 | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0027) | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | — | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0027) | (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 | $ 1.0000 | |||||
Total return (d) | 0.27% | 1.76% | 1.39% | 0.41% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $715,347 | $408,230 | $390,735 | $366,364 | $609,545 | $724,683 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | |||||
Net expenses (f) | 0.35%(f) | 0.46% | 0.47% | 0.47% | 0.31% | 0.04% | |||||
Net investment income (loss) | 0.38%(f) | 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%. |
(f) | Annualized. |
Investor Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0035 | 0.0200 | 0.0165 | 0.0068 | 0.0001 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | (0.0000)(b) | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0035 | 0.0200 | 0.0165 | 0.0068 | 0.0001 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0035) | (0.0200) | (0.0165) | (0.0068) | (0.0001) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0035) | (0.0200) | (0.0165) | (0.0068) | (0.0001) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.35% | 2.02% | 1.66% | 0.68% | 0.00%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $589,854 | $131,075 | $ 97,241 | $ 29,583 | $ 27,402 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.18%(e) | ||||
Net expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.18%(e) | ||||
Net investment income (loss) | 0.39%(e) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0039 | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0039 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0039) | (0.0208) | (0.0173) | (0.0076) | (0.0019) | (0.0000)(b) | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0039) | (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 | $ 1.0000 | |||||
Total return (d) | 0.39% | 2.10% | 1.74% | 0.76% | 0.19% | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $20,945,170 | $11,812,916 | $9,424,507 | $12,123,627 | $12,651,785 | $10,412,966 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | |||||
Net expenses (f) | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.04% | |||||
Net investment income (loss) | 0.64%(f) | 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%. |
(f) | Annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Select Class | July 31, 2018 July 31, 2018 October 25, 2007 December 22, 2016 October 25, 2007 Not commenced | Diversified |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Institutional Treasury Money Market Fund | |||||||||
Administration Class | 0.29% | $1,002.80 | $1.44 | $1,023.30 | $1.45 | ||||
Institutional Class | 0.15 | 1,003.70 | 0.74 | 1,024.00 | 0.75 | ||||
Investment Class | 0.35 | 1,002.70 | 1.73 | 1,023.00 | 1.75 | ||||
Investor Class | 0.20 | 1,003.50 | 0.99 | 1,023.70 | 1.00 | ||||
Premier Class | 0.12 | 1,003.90 | 0.59 | 1,024.10 | 0.60 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
12 |
% of Net Assets | |||
Treasury Debt | 104.6% | ||
Liabilities in Excess of Other Assets | (4.6) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 36.9% | ||
31 to 60 Days | 24.5 | ||
61 to 90 Days | 12.9 | ||
Over 90 Days | 30.3 | ||
Total | 104.6% | ||
Average days to maturity | 49 | ||
Weighted average life | 74 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—104.6% | ||||||||||
U.S. Treasury Bill (a) | 0.040% | 07/02/2020 | 07/02/2020 | $ 1,708,602,000 | $ 1,708,590,716 | |||||
U.S. Treasury Bill (a) | 0.110% | 07/07/2020 | 07/07/2020 | 1,001,936,400 | 1,001,917,870 | |||||
U.S. Treasury Bill (a) | 0.110% | 08/04/2020 | 08/04/2020 | 587,500,000 | 587,422,437 | |||||
U.S. Treasury Bill (a) | 0.115% | 08/18/2020 | 08/18/2020 | 550,500,000 | 550,410,010 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/14/2020 | 07/14/2020 | 889,302,000 | 889,264,403 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/23/2020 | 07/23/2020 | 671,000,000 | 670,946,861 | |||||
U.S. Treasury Bill (a) | 0.125% | 08/25/2020 | 08/25/2020 | 475,000,000 | 474,903,553 | |||||
U.S. Treasury Bill (a) | 0.125% | 10/06/2020 | 10/06/2020 | 220,000,000 | 219,911,353 | |||||
U.S. Treasury Bill (a) | 0.135% | 09/29/2020 | 09/29/2020 | 325,000,000 | 324,875,625 | |||||
U.S. Treasury Bill (a) | 0.135% | 11/05/2020 | 11/05/2020 | 412,300,000 | 412,105,081 | |||||
U.S. Treasury Bill (a) | 0.136% | 09/17/2020 | 09/17/2020 | 418,500,000 | 418,349,335 | |||||
U.S. Treasury Bill (a) | 0.141% | 09/01/2020 | 09/01/2020 | 210,000,000 | 209,949,186 | |||||
U.S. Treasury Bill (a) | 0.142% | 10/13/2020 | 10/13/2020 | 115,000,000 | 114,952,991 | |||||
U.S. Treasury Bill (a) | 0.145% | 09/10/2020 | 09/10/2020 | 420,000,000 | 419,870,031 | |||||
U.S. Treasury Bill (a) | 0.145% | 10/22/2020 | 10/22/2020 | 115,000,000 | 114,947,659 | |||||
U.S. Treasury Bill (a) | 0.150% | 09/08/2020 | 09/08/2020 | 145,250,000 | 145,209,439 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/27/2020 | 10/27/2020 | 50,000,000 | 49,975,826 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/29/2020 | 10/29/2020 | 345,000,000 | 344,824,719 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/12/2020 | 11/12/2020 | 175,000,000 | 174,900,663 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/19/2020 | 11/19/2020 | 100,000,000 | 99,941,250 | |||||
U.S. Treasury Bill (a) | 0.155% | 08/11/2020 | 08/11/2020 | 400,500,000 | 400,429,301 | |||||
U.S. Treasury Bill (a) | 0.155% | 10/20/2020 | 10/20/2020 | 210,000,000 | 209,900,932 | |||||
U.S. Treasury Bill (a) | 0.160% | 10/08/2020 | 10/08/2020 | 390,000,000 | 389,821,525 | |||||
U.S. Treasury Bill (a) | 0.160% | 11/27/2020 | 11/27/2020 | 150,000,000 | 149,900,667 | |||||
U.S. Treasury Bill (a) | 0.165% | 07/28/2020 | 07/28/2020 | 1,262,250,000 | 1,262,124,249 | |||||
U.S. Treasury Bill (a) | 0.165% | 10/01/2020 | 10/01/2020 | 525,000,000 | 524,789,849 | |||||
U.S. Treasury Bill (a) | 0.165% | 12/31/2020 | 12/31/2020 | 115,000,000 | 114,904,071 | |||||
U.S. Treasury Bill (a) | 0.165% | 01/28/2021 | 01/28/2021 | 57,500,000 | 57,444,393 | |||||
U.S. Treasury Bill (a) | 0.170% | 09/24/2020 | 09/24/2020 | 360,000,000 | 359,864,708 | |||||
U.S. Treasury Bill (a) | 0.170% | 12/03/2020 | 12/03/2020 | 100,000,000 | 99,926,806 | |||||
U.S. Treasury Bill (a) | 0.175% | 12/24/2020 | 12/24/2020 | 100,000,000 | 99,914,444 | |||||
U.S. Treasury Bill (a) | 0.180% | 11/10/2020 | 11/10/2020 | 100,000,000 | 99,934,000 | |||||
U.S. Treasury Bill (a) | 0.180% | 02/25/2021 | 02/25/2021 | 50,000,000 | 49,940,250 | |||||
U.S. Treasury Bill (a) | 0.185% | 11/24/2020 | 11/24/2020 | 120,000,000 | 119,909,967 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/10/2020 | 12/10/2020 | 100,000,000 | 99,916,750 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/17/2020 | 12/17/2020 | 154,500,000 | 154,365,821 | |||||
U.S. Treasury Bill (a) | 0.190% | 09/22/2020 | 09/22/2020 | 300,000,000 | 299,873,194 | |||||
U.S. Treasury Bill (a) | 0.190% | 11/17/2020 | 11/17/2020 | 150,000,000 | 149,889,958 | |||||
U.S. Treasury Bill (a) | 0.200% | 07/21/2020 | 07/21/2020 | 450,000,000 | 449,967,222 | |||||
U.S. Treasury Bill (a) | 0.250% | 09/15/2020 | 09/15/2020 | 255,000,000 | 254,893,231 | |||||
U.S. Treasury Bill (a) | 0.290% | 10/15/2020 | 10/15/2020 | 275,000,000 | 274,805,667 | |||||
U.S. Treasury Bill (a) | 0.500% | 09/03/2020 | 09/03/2020 | 728,000,000 | 727,697,578 | |||||
U.S. Treasury Bill (a) | 1.438% | 08/27/2020 | 08/27/2020 | 468,355,000 | 468,021,796 | |||||
U.S. Treasury Bill (a) | 1.510% | 08/13/2020 | 08/13/2020 | 1,189,733,000 | 1,189,346,676 | |||||
U.S. Treasury Bill (a) | 1.519% | 08/20/2020 | 08/20/2020 | 315,000,000 | 314,754,028 | |||||
U.S. Treasury Bill (a) | 1.520% | 07/09/2020 | 07/09/2020 | 793,000,000 | 792,948,431 | |||||
U.S. Treasury Bill (a) | 1.520% | 08/06/2020 | 08/06/2020 | 926,762,000 | 926,455,433 | |||||
U.S. Treasury Bill (a) | 1.530% | 07/16/2020 | 07/16/2020 | 482,000,000 | 481,887,621 | |||||
U.S. Treasury Bill (a) | 1.535% | 07/30/2020 | 07/30/2020 | 1,319,804,000 | 1,319,553,156 | |||||
U.S. Treasury Note (a) | 0.091% | 09/30/2020 | 09/30/2020 | 111,750,000 | 112,106,449 | |||||
U.S. Treasury Note (a) | 0.113% | 10/31/2020 | 10/31/2020 | 174,591,000 | 175,510,762 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 0.193% | 07/01/2020 | 07/31/2020 | 637,800,000 | 637,771,565 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.195% | 07/01/2020 | 10/31/2020 | 747,355,000 | 747,257,653 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.265% | 07/01/2020 | 01/31/2021 | 636,400,000 | 636,362,135 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.289% | 07/01/2020 | 04/30/2021 | $ 252,500,000 | $ 252,380,076 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.304% | 07/01/2020 | 01/31/2022 | 90,000,000 | 90,039,392 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.370% | 07/01/2020 | 07/31/2021 | 160,307,000 | 160,387,879 | |||||
U.S. Treasury Note (a) | 0.406% | 07/31/2020 | 07/31/2020 | 73,000,000 | 73,133,209 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.450% | 07/01/2020 | 10/31/2021 | 369,250,000 | 370,063,023 | |||||
U.S. Treasury Note (a) | 1.568% | 08/15/2020 | 08/15/2020 | 98,500,000 | 98,627,730 | |||||
U.S. Treasury Note (a) | 1.610% | 08/31/2020 | 08/31/2020 | 130,100,000 | 130,482,226 | |||||
U.S. Treasury Note (a) | 1.616% | 08/31/2020 | 08/31/2020 | 33,590,000 | 33,576,609 | |||||
TOTAL INVESTMENTS –104.6% (c)(d) | 24,294,149,440 | |||||||||
Liabilities in Excess of Other Assets —(4.6)% | (1,060,662,298) | |||||||||
NET ASSETS –100.0% | $ 23,233,487,142 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 | $24,294,149,440 |
Cash | 912 |
Interest receivable — unaffiliated issuers | 5,223,724 |
TOTAL ASSETS | 24,299,374,076 |
LIABILITIES | |
Payable for investments purchased | 1,064,627,644 |
Advisory and administrator fee payable | 930,452 |
Custody, sub-administration and transfer agent fees payable | 278,519 |
Professional fees payable | 42,948 |
Printing fees payable | 1,862 |
Accrued expenses and other liabilities | 5,509 |
TOTAL LIABILITIES | 1,065,886,934 |
NET ASSETS | $23,233,487,142 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $66,956,370 |
EXPENSES | |
Advisory and administrator fee | 4,443,504 |
Custodian, sub-administrator and transfer agent fees | 1,126,699 |
Trustees’ fees and expenses | 80,256 |
Professional fees | 90,416 |
Printing and postage fees | 3,924 |
Insurance expense | 2,491 |
Miscellaneous expenses | 15,288 |
TOTAL EXPENSES | 5,762,578 |
NET INVESTMENT INCOME (LOSS) | $61,193,792 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 7,187 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $61,200,979 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 61,193,792 | $ 237,216,330 | |
Net realized gain (loss) | 7,187 | 283,242 | |
Net increase (decrease) in net assets resulting from operations | 61,200,979 | 237,499,572 | |
CAPITAL TRANSACTIONS | |||
Contributions | 23,959,590,295 | 22,575,489,084 | |
Withdrawals | (13,603,945,859) | (20,369,315,642) | |
Net increase (decrease) in net assets from capital transactions | 10,355,644,436 | 2,206,173,442 | |
Net increase (decrease) in net assets during the period | 10,416,845,415 | 2,443,673,014 | |
Net assets at beginning of period | 12,816,641,727 | 10,372,968,713 | |
NET ASSETS AT END OF PERIOD | $ 23,233,487,142 | $ 12,816,641,727 |
Six Months Ended 6/30/20 (Unaudited) | 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) | 0.45% | 2.18% | 1.80% | 0.73% | 0.25% | (0.04)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $23,233,487 | $12,816,642 | $10,372,969 | $13,005,602 | $14,004,301 | $11,837,128 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.68%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Money Market Portfolio | 0.06% | $1,000.00 | $0.30 | $1,024.40 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Plus Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
16 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $26,663,302,886 |
Receivable for fund shares sold | 23,364 |
Receivable from Adviser | 83,979 |
TOTAL ASSETS | 26,663,410,229 |
LIABILITIES | |
Payable for fund shares repurchased | 1,245 |
Administration fees payable | 1,033,560 |
Shareholder servicing fee payable | 277,726 |
Distribution fees payable | 6,531 |
Transfer agent fees payable | 2,078 |
Distribution payable | 556,989 |
Registration and filing fees payable | 228 |
Professional fees payable | 15,040 |
Printing fees payable | 139 |
Accrued expenses and other liabilities | 26,899 |
TOTAL LIABILITIES | 1,920,435 |
NET ASSETS | $26,661,489,794 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $26,661,441,747 |
Total distributable earnings (loss) | 48,047 |
NET ASSETS | $26,661,489,794 |
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 | $ 499,018,159 |
Shares Outstanding | 499,017,460 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 76,910,475 |
Shares Outstanding | 76,916,771 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 561,571,162 |
Shares Outstanding | 561,571,144 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $20,695,649,684 |
Shares Outstanding | 20,695,756,489 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 4,828,290,314 |
Shares Outstanding | 4,828,596,646 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $81,944,794 |
Expenses allocated from affiliated Portfolio | (6,583,588) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 75,361,206 |
EXPENSES | |
Administration fees | |
Administration Class | 12 |
Institutional Class | 136,910 |
Investment Class | 18,656 |
Investor Class | 142,130 |
Premier Class | 3,762,736 |
Trust Class | 1,014,233 |
Shareholder servicing fees | |
Administration Class | 49 |
Institutional Class | 82,146 |
Investment Class | 93,281 |
Investor Class | 227,408 |
Trust Class | 1,135,941 |
Distribution fees | |
Administration Class | 13 |
Investment Class | 37,312 |
Custodian fees | 19,957 |
Trustees’ fees and expenses | 10,109 |
Transfer agent fees | 12,754 |
Registration and filing fees | 541,256 |
Professional fees | 47,558 |
Printing and postage fees | 25,378 |
Insurance expense | 35,993 |
Miscellaneous expenses | 30,361 |
TOTAL EXPENSES | 7,374,193 |
Expenses waived/reimbursed by the Adviser | (152,814) |
NET EXPENSES | 7,221,379 |
NET INVESTMENT INCOME (LOSS) | $68,139,827 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 59,335 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $68,199,162 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 68,139,827 | $ 302,878,699 | |
Net realized gain (loss) | 59,335 | (6,693) | |
Net increase (decrease) in net assets resulting from operations | 68,199,162 | 302,872,006 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (130) | (926) | |
Institutional Class | (1,164,783) | (5,270,230) | |
Investment Class | (166,689) | (939,751) | |
Investor Class | (1,603,699) | (6,381,870) | |
Premier Class | (51,668,517) | (205,300,340) | |
Trust Class | (13,542,368) | (84,979,567) | |
Total distributions to shareholders | (68,146,186) | (302,872,684) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Institutional Class | |||
Shares sold | 2,732,708,914 | 3,468,482,556 | |
Reinvestment of distributions | 7,118 | — | |
Shares redeemed | (2,702,419,558) | (3,094,315,570) | |
Net increase (decrease) from capital share transactions | 30,296,474 | 374,166,986 | |
Investment Class | |||
Shares sold | 89,551,985 | 92,118,238 | |
Reinvestment of distributions | 51,083 | 224,257 | |
Shares redeemed | (64,778,768) | (110,070,043) | |
Net increase (decrease) from capital share transactions | 24,824,300 | (17,727,548) | |
Investor Class | |||
Shares sold | 7,170,313,960 | 5,339,147,529 | |
Reinvestment of distributions | 1,574,756 | 6,360,933 | |
Shares redeemed | (6,840,336,048) | (5,890,375,775) | |
Net increase (decrease) from capital share transactions | 331,552,668 | (544,867,313) | |
Premier Class | |||
Shares sold | 151,116,543,914 | 128,661,731,285 | |
Reinvestment of distributions | 43,758,379 | 179,913,178 | |
Shares redeemed | (145,137,040,388) | (122,571,343,544) | |
Net increase (decrease) from capital share transactions | 6,023,261,905 | 6,270,300,919 | |
Trust Class | |||
Shares sold | 21,893,435,105 | 41,350,337,370 | |
Reinvestment of distributions | 12,554,282 | 78,314,112 | |
Shares redeemed | (21,263,674,988) | (41,724,097,211) | |
Net increase (decrease) from capital share transactions | 642,314,399 | (295,445,729) | |
Net increase (decrease) in net assets from beneficial interest transactions | 7,052,249,746 | 5,786,427,315 | |
Net increase (decrease) in net assets during the period | 7,052,302,722 | 5,786,426,637 | |
Net assets at beginning of period | 19,609,187,072 | 13,822,760,435 | |
NET ASSETS AT END OF PERIOD | $ 26,661,489,794 | $ 19,609,187,072 | |
SHARES OF BENEFICIAL INTEREST: | |||
Institutional Class | |||
Shares sold | 2,732,708,914 | 3,468,482,556 | |
Reinvestment of distributions | 7,118 | — | |
Shares redeemed | (2,702,419,558) | (3,094,315,570) | |
Net increase (decrease) from share transactions | 30,296,474 | 374,166,986 | |
Investment Class | |||
Shares sold | 89,551,985 | 92,118,238 | |
Reinvestment of distributions | 51,083 | 224,257 | |
Shares redeemed | (64,778,768) | (110,070,043) | |
Net increase (decrease) from share transactions | 24,824,300 | (17,727,548) | |
Investor Class | |||
Shares sold | 7,170,313,960 | 5,339,147,529 | |
Reinvestment of distributions | 1,574,756 | 6,360,933 | |
Shares redeemed | (6,840,336,048) | (5,890,375,775) | |
Net increase (decrease) from share transactions | 331,552,668 | (544,867,313) |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
Premier Class | |||
Shares sold | 151,116,543,914 | 128,661,731,285 | |
Reinvestment of distributions | 43,758,379 | 179,913,178 | |
Shares redeemed | (145,137,040,388) | (122,571,343,544) | |
Net increase (decrease) from share transactions | $ 6,023,261,905 | $ 6,270,300,919 | |
Trust Class | |||
Shares sold | 21,893,435,105 | 41,350,337,370 | |
Reinvestment of distributions | 12,554,282 | 78,314,112 | |
Shares redeemed | (21,263,674,988) | (41,724,097,211) | |
Net increase (decrease) from share transactions | 642,314,399 | (295,445,729) |
Administration Class(a) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 07/31/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0026 | 0.0185 | 0.0076 | ||
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | — | ||
Total from investment operations | 0.0026 | 0.0185 | 0.0076 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0026) | (0.0185) | (0.0076) | ||
Total distributions | (0.0026) | (0.0185) | (0.0076) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.26% | 1.86% | 0.76% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 50 | $ 50 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.37%(d) | 0.37% | 0.37%(d) | ||
Net expenses | 0.34%(d) | 0.37% | 0.37%(d) | ||
Net investment income (loss) | 0.53%(d) | 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) | |||||
Six Months Ended 06/30/20 (Unaudited) | Year Ended 12/31/19 | For the Period 7/31/18*- 12/31/18 | |||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Income (loss) from investment operations: | |||||
Net investment income (loss) | 0.0036 | 0.0207 | 0.0085 | ||
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | — | ||
Total from investment operations | 0.0036 | 0.0207 | 0.0085 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0036) | (0.0207) | (0.0085) | ||
Total distributions | (0.0036) | (0.0207) | (0.0085) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.36% | 2.09% | 0.85% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $499,018 | $468,721 | $ 94,554 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net expenses | 0.15%(d) | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.43%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0025 | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0025 | 0.0180 | 0.0139 | 0.0042 | 0.0000(b) | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0025) | (0.0180) | (0.0139) | (0.0042) | (0.0000)(b) | — | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0025) | (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 | $1.0000 | |||||
Total return (d) | 0.25% | 1.81% | 1.40% | 0.42% | 0.00%(e) | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 76,910 | $ 52,086 | $ 69,812 | $ 19,242 | $ 48,170 | $60,041 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.47%(f) | 0.47% | 0.47% | 0.47% | 0.49% | 0.49% | |||||
Net expenses | 0.37%(f) | 0.46% | 0.47% | 0.47% | 0.31% | 0.06% | |||||
Net investment income (loss) | 0.45%(f) | 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 period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Investor Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0033 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | ||||
Net realized gain (loss) | 0.0000(b) | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0033 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0033) | (0.0202) | (0.0166) | (0.0069) | (0.0004) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0033) | (0.0202) | (0.0166) | (0.0069) | (0.0004) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.33% | 2.03% | 1.67% | 0.69% | 0.04% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $561,571 | $230,017 | $774,885 | $328,764 | $101,461 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.20%(d) | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.56%(d) | 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) | |||||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) | 0.0037 | 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) | 0.0000(b) | |||||
Total from investment operations | 0.0037 | 0.0210 | 0.0174 | 0.0077 | 0.0019 | 0.0000(b) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.0037) | (0.0210) | (0.0174) | (0.0077) | (0.0019) | (0.0000)(b) | |||||
Net realized gains | — | — | — | (0.0000)(b) | — | — | |||||
Total distributions | (0.0037) | (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 | $ 1.0000 | |||||
Total return (d) | 0.37% | 2.12% | 1.75% | 0.77% | 0.19% | 0.00%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $20,695,650 | $14,672,348 | $8,402,049 | $4,000,478 | $2,515,246 | $1,684,652 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.14% | 0.14% | |||||
Net expenses | 0.12%(f) | 0.12% | 0.12% | 0.12% | 0.12% | 0.06% | |||||
Net investment income (loss) | 0.69%(f) | 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 period. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
(f) | Annualized. |
Trust Class(a) | |||||||||
Six Months Ended 06/30/20 (Unaudited) | 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 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0035(b) | 0.0204 | 0.0168 | 0.0071 | 0.0007 | ||||
Net realized gain (loss) | 0.0000 | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0035 | 0.0204 | 0.0168 | 0.0071 | 0.0007 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0035) | (0.0204) | (0.0168) | (0.0071) | (0.0007) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0035) | (0.0204) | (0.0168) | (0.0071) | (0.0007) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.35% | 2.06% | 1.69% | 0.71% | 0.07% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,828,290 | $4,185,964 | $4,481,410 | $6,903,267 | $7,962,822 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.18%(d) | 0.18% | 0.18% | 0.18% | 0.18%(d) | ||||
Net expenses | 0.18%(d) | 0.18% | 0.18% | 0.18% | 0.18%(d) | ||||
Net investment income (loss) | 0.67%(d) | 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 |
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 | 0.34% | $1,002.60 | $1.68 | $1,023.00 | $1.70 | ||||
Institutional Class | 0.15 | 1,003.60 | 0.74 | 1,024.00 | 0.75 | ||||
Investment Class | 0.37 | 1,002.50 | 1.83 | 1,022.90 | 1.85 | ||||
Investor Class | 0.20 | 1,003.30 | 0.99 | 1,023.70 | 1.00 | ||||
Premier Class | 0.12 | 1,003.70 | 0.59 | 1,024.10 | 0.60 | ||||
Trust Class | 0.18 | 1,003.50 | 0.89 | 1,023.80 | 0.90 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund ; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
8 | |
9 | |
10 | |
11 | |
12 | |
16 |
% of Net Assets | |||
Treasury Debt | 73.7% | ||
Treasury Repurchase Agreements | 22.1 | ||
Other Assets in Excess of Liabilities | 4.2 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 19.6% | ||
2 to 30 Days | 18.8 | ||
31 to 60 Days | 18.9 | ||
61 to 90 Days | 11.1 | ||
Over 90 Days | 27.4 | ||
Total | 95.8% | ||
Average days to maturity | 41 | ||
Weighted average life | 75 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—73.7% | ||||||||||
U.S. Treasury Bill (a) | 0.040% | 07/02/2020 | 07/02/2020 | $ 325,000,000 | $ 324,999,066 | |||||
U.S. Treasury Bill (a) | 0.110% | 07/07/2020 | 07/07/2020 | 550,000,000 | 549,989,417 | |||||
U.S. Treasury Bill (a) | 0.110% | 08/04/2020 | 08/04/2020 | 405,000,000 | 404,951,798 | |||||
U.S. Treasury Bill (a) | 0.115% | 08/18/2020 | 08/18/2020 | 480,000,000 | 479,920,880 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/14/2020 | 07/14/2020 | 711,448,000 | 711,418,017 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/23/2020 | 07/23/2020 | 275,000,000 | 274,978,993 | |||||
U.S. Treasury Bill (a) | 0.125% | 08/25/2020 | 08/25/2020 | 590,000,000 | 589,880,451 | |||||
U.S. Treasury Bill (a) | 0.125% | 10/06/2020 | 10/06/2020 | 290,000,000 | 289,884,139 | |||||
U.S. Treasury Bill (a) | 0.135% | 09/29/2020 | 09/29/2020 | 405,000,000 | 404,843,375 | |||||
U.S. Treasury Bill (a) | 0.135% | 11/05/2020 | 11/05/2020 | 360,600,000 | 360,428,601 | |||||
U.S. Treasury Bill (a) | 0.136% | 09/17/2020 | 09/17/2020 | 600,000,000 | 599,788,533 | |||||
U.S. Treasury Bill (a) | 0.141% | 09/01/2020 | 09/01/2020 | 300,000,000 | 299,927,408 | |||||
U.S. Treasury Bill (a) | 0.142% | 10/13/2020 | 10/13/2020 | 150,000,000 | 149,938,683 | |||||
U.S. Treasury Bill (a) | 0.145% | 09/10/2020 | 09/10/2020 | 580,125,000 | 579,945,289 | |||||
U.S. Treasury Bill (a) | 0.145% | 10/22/2020 | 10/22/2020 | 145,000,000 | 144,934,005 | |||||
U.S. Treasury Bill (a) | 0.150% | 09/08/2020 | 09/08/2020 | 250,000,000 | 249,931,719 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/27/2020 | 10/27/2020 | 150,000,000 | 149,927,479 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/29/2020 | 10/29/2020 | 340,000,000 | 339,827,528 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/12/2020 | 11/12/2020 | 225,000,000 | 224,872,281 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/19/2020 | 11/19/2020 | 150,000,000 | 149,911,875 | |||||
U.S. Treasury Bill (a) | 0.155% | 08/11/2020 | 08/11/2020 | 250,000,000 | 249,955,868 | |||||
U.S. Treasury Bill (a) | 0.155% | 10/20/2020 | 10/20/2020 | 300,000,000 | 299,858,475 | |||||
U.S. Treasury Bill (a) | 0.160% | 10/08/2020 | 10/08/2020 | 180,000,000 | 179,920,800 | |||||
U.S. Treasury Bill (a) | 0.160% | 11/27/2020 | 11/27/2020 | 225,000,000 | 224,851,000 | |||||
U.S. Treasury Bill (a) | 0.165% | 07/28/2020 | 07/28/2020 | 850,000,000 | 849,913,937 | |||||
U.S. Treasury Bill (a) | 0.165% | 10/01/2020 | 10/01/2020 | 470,000,000 | 469,815,417 | |||||
U.S. Treasury Bill (a) | 0.165% | 12/31/2020 | 12/31/2020 | 160,000,000 | 159,866,533 | |||||
U.S. Treasury Bill (a) | 0.165% | 01/28/2021 | 01/28/2021 | 70,000,000 | 69,932,304 | |||||
U.S. Treasury Bill (a) | 0.170% | 09/24/2020 | 09/24/2020 | 375,750,000 | 375,607,147 | |||||
U.S. Treasury Bill (a) | 0.170% | 11/03/2020 | 11/03/2020 | 250,000,000 | 249,852,431 | |||||
U.S. Treasury Bill (a) | 0.170% | 12/03/2020 | 12/03/2020 | 150,000,000 | 149,890,208 | |||||
U.S. Treasury Bill (a) | 0.175% | 12/24/2020 | 12/24/2020 | 150,000,000 | 149,871,667 | |||||
U.S. Treasury Bill (a) | 0.180% | 11/10/2020 | 11/10/2020 | 150,000,000 | 149,901,000 | |||||
U.S. Treasury Bill (a) | 0.180% | 02/25/2021 | 02/25/2021 | 116,125,000 | 115,986,231 | |||||
U.S. Treasury Bill (a) | 0.185% | 11/24/2020 | 11/24/2020 | 150,000,000 | 149,887,458 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/10/2020 | 12/10/2020 | 140,125,000 | 140,008,346 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/17/2020 | 12/17/2020 | 200,000,000 | 199,826,306 | |||||
U.S. Treasury Bill (a) | 0.190% | 09/22/2020 | 09/22/2020 | 400,000,000 | 399,831,694 | |||||
U.S. Treasury Bill (a) | 0.190% | 11/17/2020 | 11/17/2020 | 200,000,000 | 199,853,278 | |||||
U.S. Treasury Bill (a) | 0.200% | 07/21/2020 | 07/21/2020 | 520,500,000 | 520,461,076 | |||||
U.S. Treasury Bill (a) | 0.250% | 09/15/2020 | 09/15/2020 | 350,000,000 | 349,856,550 | |||||
U.S. Treasury Bill (a) | 0.290% | 10/15/2020 | 10/15/2020 | 355,000,000 | 354,753,550 | |||||
U.S. Treasury Bill (a) | 0.500% | 09/03/2020 | 09/03/2020 | 430,000,000 | 429,895,040 | |||||
U.S. Treasury Bill (a) | 1.438% | 08/27/2020 | 08/27/2020 | 511,645,000 | 511,019,181 | |||||
U.S. Treasury Bill (a) | 1.510% | 08/13/2020 | 08/13/2020 | 1,237,262,000 | 1,236,304,660 | |||||
U.S. Treasury Bill (a) | 1.519% | 08/20/2020 | 08/20/2020 | 980,700,000 | 979,188,906 | |||||
U.S. Treasury Bill (a) | 1.520% | 07/09/2020 | 07/09/2020 | 605,200,000 | 605,121,377 | |||||
U.S. Treasury Bill (a) | 1.520% | 08/06/2020 | 08/06/2020 | 549,950,000 | 549,668,559 | |||||
U.S. Treasury Bill (a) | 1.530% | 07/16/2020 | 07/16/2020 | 600,500,000 | 600,339,097 | |||||
U.S. Treasury Bill (a) | 1.535% | 07/30/2020 | 07/30/2020 | 1,102,645,000 | 1,102,299,647 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 0.193% | 07/01/2020 | 07/31/2020 | 670,550,000 | 670,542,388 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.195% | 07/01/2020 | 10/31/2020 | 516,500,000 | 516,449,840 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.265% | 07/01/2020 | 01/31/2021 | 525,600,000 | 525,605,699 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.289% | 07/01/2020 | 04/30/2021 | 671,900,000 | 671,613,101 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.304% | 07/01/2020 | 01/31/2022 | $ 160,000,000 | $ 160,056,641 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.370% | 07/01/2020 | 07/31/2021 | 954,000,000 | 954,036,814 | |||||
U.S. Treasury Note (a) | 0.406% | 07/31/2020 | 07/31/2020 | 117,300,000 | 117,514,046 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.450% | 07/01/2020 | 10/31/2021 | 614,000,000 | 615,301,309 | |||||
U.S. Treasury Note (a) | 1.568% | 08/15/2020 | 08/15/2020 | 175,700,000 | 175,927,838 | |||||
U.S. Treasury Note (a) | 1.610% | 08/31/2020 | 08/31/2020 | 220,600,000 | 221,233,954 | |||||
U.S. Treasury Note (a) | 1.616% | 08/31/2020 | 08/31/2020 | 60,057,000 | 60,033,059 | |||||
TOTAL TREASURY DEBT | 23,992,151,969 | |||||||||
TREASURY REPURCHASE AGREEMENTS—22.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 0.500% – 2.500% due 03/31/2023 – 06/30/2027, and a U.S. Treasury Strip, 0.000% due 05/15/2038, valued at $159,187,409); expected proceeds $156,066,303 | 0.070% | 07/01/2020 | 07/01/2020 | 156,066,000 | 156,066,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 10/08/2020 – 11/03/2020, and U.S. Treasury Notes, 0.270% – 2.875% due 01/31/2021 – 11/15/2025, valued at $255,000,001); expected proceeds $250,000,556 | 0.080% | 07/01/2020 | 07/01/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.875% – 7.625% due 02/15/2025 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 1.375% – 3.625% due 01/15/2028 – 02/15/2044, U.S. Treasury Inflation Index Notes, 0.625% – 0.875% due 04/15/2023 – 01/15/2029, and U.S. Treasury Notes, 0.125% – 2.875% due 04/30/2022 – 08/15/2028, valued at $204,000,097); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.500% – 2.375% due 03/15/2022 – 09/15/2022, valued at $510,000,013); expected proceeds $500,000,972 | 0.070% | 07/01/2020 | 07/01/2020 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.875% – 3.652% due 05/15/2043 – 08/15/2043, valued at $225,139,885); expected proceeds $220,000,733 | 0.120% | 07/01/2020 | 07/01/2020 | 220,000,000 | 220,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.375% – 3.000% due 02/15/2047 – 11/15/2049, a U.S. Treasury Note, 2.875% due 10/15/2021, and U.S. Treasury Strips, 0.000% due 11/15/2021 – 02/15/2049, valued at $289,680,077); expected proceeds $284,000,552 | 0.070% | 07/01/2020 | 07/01/2020 | 284,000,000 | 284,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by U.S. Treasury Bills, 0.000% due 11/17/2020 – 12/03/2020, valued at $357,000,078); expected proceeds $350,004,667 | 0.080% | 07/02/2020 | 07/02/2020 | 350,000,000 | 350,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 10/01/2020 – 10/27/2020, valued at $189,720,027); expected proceeds $186,000,362 | 0.070% | 07/01/2020 | 07/01/2020 | 186,000,000 | 186,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 01/15/2028, and a U.S. Treasury Note, 1.625% due 12/15/2022, valued at at $255,000,106); expected proceeds $250,003,889 | 0.080% | 07/01/2020 | 07/01/2020 | $ 250,000,000 | $ 250,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 1.625% due 11/30/2026, valued at $204,000,105); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Credit Suisse Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 2.125% due 05/15/2025, valued at $223,380,439); expected proceeds $219,000,426 | 0.070% | 07/01/2020 | 07/01/2020 | 219,000,000 | 219,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 0.625% – 2.750% due 08/31/2025 – 03/31/2027, valued at $306,000,068); expected proceeds $300,000,750 | 0.090% | 07/01/2020 | 07/01/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.375% – 1.125% due 01/31/2025 – 02/28/2025, valued at $510,315,308); expected proceeds $500,001,550 | 0.090% | 07/01/2020 | 07/01/2020 | 500,000,300 | 500,000,300 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 2.125% – 2.500% due 02/28/2021 – 09/30/2024, valued at $148,920,042); expected proceeds $146,000,284 | 0.070% | 07/01/2020 | 07/01/2020 | 146,000,000 | 146,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 10/13/2020, and U.S. Treasury Notes, 1.625% – 2.750% due 09/30/2022 – 09/30/2026, valued at $204,000,002); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/28/2020 – 05/20/2021, U.S. Treasury Bonds, 2.375% – 8.000% due 11/15/2021 – 11/15/2049, and U.S. Treasury Notes, 0.125% – 3.125% due 05/31/2022 – 11/15/2028, valued at $102,000,023); expected proceeds $100,001,361 | 0.080% | 07/01/2020 | 07/02/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.750% – 2.125% due 02/15/2022 – 02/29/2024, valued at $204,000,088); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Lloyds Bank PLC, dated 05/22/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, valued at $57,213,171); expected proceeds $50,022,194 (c) | 0.170% | 08/24/2020 | 08/24/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Lloyds Bank PLC, dated 05/22/2020 (collateralized by a U.S. Treasury Note, 6.750% due 08/15/2026, valued at $51,074,930); expected proceeds $50,012,708 (c) | 0.150% | 07/22/2020 | 07/22/2020 | 50,000,000 | 50,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Inflation Index Notes, 0.625% – 1.125% due 01/15/2021 – 01/15/2024, and U.S. Treasury Notes, 0.250% – 3.625% due 02/15/2021 – 02/28/2025, valued at $161,160,411); expected proceeds $158,000,307 | 0.070% | 07/01/2020 | 07/01/2020 | $ 158,000,000 | $ 158,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.250% - 3.000% due 02/15/2049 – 08/15/2049, valued at $204,442,248); expected proceeds $200,000,556 | 0.100% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/07/2020 – 11/10/2020, a U.S. Treasury Bond, 2.500% due 02/15/2045, and U.S. Treasury Notes, 1.625% – 2.250% due 11/15/2022 – 03/31/2026, valued at $204,000,031); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/13/2020 (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, 1.750% – 2.000% due 11/15/2026 – 11/15/2029, valued at $112,200,024); expected proceeds $110,047,789 (c) | 0.170% | 08/13/2020 | 08/13/2020 | 110,000,000 | 110,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/29/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, valued at $56,100,033); expected proceeds $55,009,075 | 0.180% | 07/01/2020 | 07/01/2020 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/04/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, valued at $51,000,073); expected proceeds $50,007,389 | 0.190% | 07/02/2020 | 07/02/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (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 $51,000,047); expected proceeds $50,018,375 (c) | 0.210% | 09/01/2020 | 09/01/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.375% due 11/15/2045 – 11/15/2048, U.S. Treasury Notes, 2.125% - 2.250% due 05/15/2025 – 11/15/2025, and U.S. Treasury Strips, 0.000% due 11/15/2028 – 05/15/2029, valued at $165,917,951); expected proceeds $162,569,125 | 0.100% | 07/01/2020 | 07/01/2020 | 162,568,673 | 162,568,673 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2027 – 05/15/2029, valued at $95,201,434); expected proceeds $93,007,836 | 0.100% | 07/01/2020 | 07/01/2020 | 93,007,578 | 93,007,578 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 10/29/2020, U.S. Treasury Bonds, 2.250% – 6.125% due 11/15/2027 – 08/15/2046, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 01/15/2026 – 02/15/2042, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 0.269% – 2.500% due 03/15/2022 – 05/31/2027, valued at $306,000,006); expected proceeds $300,000,583 | 0.070% | 07/01/2020 | 07/01/2020 | $ 300,000,000 | $ 300,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 1.250% – 7.125% due 02/15/2023 – 05/15/2050, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, and a U.S. Treasury Strip, 0.000% due 05/15/2031, valued at $216,240,014); expected proceeds $212,000,412 | 0.070% | 07/01/2020 | 07/01/2020 | 212,000,000 | 212,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 3.000% – 5.000% due 05/15/2037 – 02/15/2048, U.S. Treasury Inflation Index Bonds, 1.375% – 3.875% due 04/15/2029 – 02/15/2044, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2021 – 01/15/2027, and U.S. Treasury Notes, 1.375% – 2.000% due 03/31/2022 – 05/31/2024, valued at $204,000,099); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 01/28/2021, a U.S. Treasury Bond, 2.500% due 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2025 – 01/15/2030, and U.S. Treasury Notes, 0.250% – 2.625% due 10/31/2020 – 05/15/2030, valued at $306,000,073); expected proceeds $300,000,583 | 0.070% | 07/01/2020 | 07/01/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with The Toronto-Dominion Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 2.375% – 3.125% due 04/15/2021 – 05/15/2029, valued at $204,000,034); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/16/2020 – 03/25/2021, U.S. Treasury Bonds, 2.000% – 8.000% due 02/15/2021 – 02/15/2050, a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044, a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, U.S. Treasury Notes, 0.500% – 2.875% due 07/31/2020 – 05/31/2027, and U.S. Treasury Strips, 0.000% due 08/15/2021 – 02/15/2025, valued at $153,000,026); expected proceeds $150,000,292 | 0.070% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 08/06/2020 – 09/22/2020, valued at $382,500,754); expected proceeds $375,000,729 | 0.070% | 07/01/2020 | 07/01/2020 | 375,000,000 | 375,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,176,642,551 | |||||||||
TOTAL INVESTMENTS –95.8% (d)(e) | 31,168,794,520 | |||||||||
Other Assets in Excess of Liabilities —4.2% | 1,360,289,394 | |||||||||
NET ASSETS –100.0% | $ 32,529,083,914 | |||||||||
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 $260,000,000 or 0.8% of net assets as of June 30, 2020. |
(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 | $23,992,151,969 |
Repurchase agreements, at value and amortized cost | 7,176,642,551 |
Total Investments | 31,168,794,520 |
Cash | 2,234,067,195 |
Interest receivable — unaffiliated issuers | 7,393,107 |
TOTAL ASSETS | 33,410,254,822 |
LIABILITIES | |
Payable for investments purchased | 879,607,395 |
Advisory and administrator fee payable | 1,271,986 |
Custody, sub-administration and transfer agent fees payable | 221,465 |
Professional fees payable | 36,894 |
Printing fees payable | 25,836 |
Accrued expenses and other liabilities | 7,332 |
TOTAL LIABILITIES | 881,170,908 |
NET ASSETS | $32,529,083,914 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $105,171,893 |
EXPENSES | |
Advisory and administrator fee | 6,533,868 |
Custodian, sub-administrator and transfer agent fees | 1,654,917 |
Trustees’ fees and expenses | 129,834 |
Professional fees | 122,679 |
Printing and postage fees | 8,596 |
Insurance expense | 3,745 |
Miscellaneous expenses | 24,841 |
TOTAL EXPENSES | 8,478,480 |
NET INVESTMENT INCOME (LOSS) | $ 96,693,413 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 77,616 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 96,771,029 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 96,693,413 | $ 392,456,554 | |
Net realized gain (loss) | 77,616 | (7,190) | |
Net increase (decrease) in net assets resulting from operations | 96,771,029 | 392,449,364 | |
CAPITAL TRANSACTIONS | |||
Contributions | 53,182,064,788 | 62,686,916,978 | |
Withdrawals | (44,584,686,674) | (56,691,696,503) | |
Net increase (decrease) in net assets from capital transactions | 8,597,378,114 | 5,995,220,475 | |
Net increase (decrease) in net assets during the period | 8,694,149,143 | 6,387,669,839 | |
Net assets at beginning of period | 23,834,934,771 | 17,447,264,932 | |
NET ASSETS AT END OF PERIOD | $ 32,529,083,914 | $ 23,834,934,771 |
Six Months Ended 6/30/20 (Unaudited) | 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) | 0.43% | 2.19% | 1.82% | 0.82% | 0.23% | (0.01)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $32,529,084 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.74%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,004.30 | $0.30 | $1,024.40 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
9 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $5,865,779,946 |
Receivable from Adviser | 214,143 |
Prepaid expenses and other assets | 4,875 |
TOTAL ASSETS | 5,865,998,964 |
LIABILITIES | |
Administration fees payable | 242,658 |
Transfer agent fees payable | 95 |
Registration and filing fees payable | 25,994 |
Professional fees payable | 14,464 |
Printing fees payable | 3,643 |
TOTAL LIABILITIES | 286,854 |
NET ASSETS | $5,865,712,110 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $5,865,693,620 |
Total distributable earnings (loss) | 18,490 |
NET ASSETS | $5,865,712,110 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 5,865,693,620 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 23,232,353 |
Expenses allocated from affiliated Portfolio | (1,894,891) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 21,337,462 |
EXPENSES | |
Administration fees | 1,458,557 |
Custodian fees | 13,612 |
Trustees’ fees and expenses | 10,109 |
Transfer agent fees | 545 |
Registration and filing fees | 91,947 |
Professional fees and expenses | 21,262 |
Printing and postage fees | 4,107 |
Insurance expense | 7,426 |
Miscellaneous expenses | 14,233 |
TOTAL EXPENSES | 1,621,798 |
Expenses waived/reimbursed by the Adviser | (1,182,998) |
NET EXPENSES | 438,800 |
NET INVESTMENT INCOME (LOSS) | $20,898,662 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 18,279 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $20,916,941 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 20,898,662 | $ 78,372,768 | |
Net realized gain (loss) | 18,279 | (499) | |
Net increase (decrease) in net assets resulting from operations | 20,916,941 | 78,372,269 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (20,900,037) | (78,371,686) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 6,268,862,636 | 14,879,694,877 | |
Reinvestment of distributions | 21,055,237 | 77,871,119 | |
Cost of shares redeemed | (4,644,800,860) | (14,357,557,657) | |
Net increase (decrease) from share transactions | 1,645,117,013 | 600,008,339 | |
Net increase (decrease) in net assets during the period | 1,645,133,917 | 600,008,922 | |
Net assets at beginning of period | 4,220,578,193 | 3,620,569,271 | |
NET ASSETS AT END OF PERIOD | $ 5,865,712,110 | $ 4,220,578,193 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 6,268,862,636 | 14,879,694,877 | |
Reinvestment of distributions | 21,055,237 | 77,871,119 | |
Shares redeemed | (4,644,800,860) | (14,357,557,657) | |
Net increase (decrease) from share transactions | 1,645,117,013 | 600,008,339 |
Six Months Ended 6/30/20(a) (Unaudited) | 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 | $ 1.0000 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) | 0.0039 | 0.0213 | 0.0178 | 0.0025 | |||
Net realized and unrealized gain (loss) | 0.0000(b) | (0.0000)(b) | — | — | |||
Total from investment operations | 0.0039 | 0.0213 | 0.0178 | 0.0025 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0039) | (0.0213) | (0.0178) | (0.0025) | |||
Total distributions | (0.0039) | (0.0213) | (0.0178) | (0.0025) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.39% | 2.16% | 1.79% | 0.25% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $5,865,712 | $4,220,578 | $3,620,569 | $2,926,362 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.12%(d) | 0.12% | 0.13% | 0.16%(d) | |||
Net expenses | 0.08%(d) | 0.08% | 0.08% | 0.08%(d) | |||
Net investment income (loss) | 0.72%(d) | 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 |
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% | $1,003.90 | $0.40 | $1,024.30 | $0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
8 | |
9 | |
10 | |
11 | |
12 | |
16 |
% of Net Assets | |||
Treasury Debt | 73.7% | ||
Treasury Repurchase Agreements | 22.1 | ||
Other Assets in Excess of Liabilities | 4.2 | ||
TOTAL | 100.0% |
% of Net Assets | |||
Overnight (1 Day) | 19.6% | ||
2 to 30 Days | 18.8 | ||
31 to 60 Days | 18.9 | ||
61 to 90 Days | 11.1 | ||
Over 90 Days | 27.4 | ||
Total | 95.8% | ||
Average days to maturity | 41 | ||
Weighted average life | 75 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—73.7% | ||||||||||
U.S. Treasury Bill (a) | 0.040% | 07/02/2020 | 07/02/2020 | $ 325,000,000 | $ 324,999,066 | |||||
U.S. Treasury Bill (a) | 0.110% | 07/07/2020 | 07/07/2020 | 550,000,000 | 549,989,417 | |||||
U.S. Treasury Bill (a) | 0.110% | 08/04/2020 | 08/04/2020 | 405,000,000 | 404,951,798 | |||||
U.S. Treasury Bill (a) | 0.115% | 08/18/2020 | 08/18/2020 | 480,000,000 | 479,920,880 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/14/2020 | 07/14/2020 | 711,448,000 | 711,418,017 | |||||
U.S. Treasury Bill (a) | 0.125% | 07/23/2020 | 07/23/2020 | 275,000,000 | 274,978,993 | |||||
U.S. Treasury Bill (a) | 0.125% | 08/25/2020 | 08/25/2020 | 590,000,000 | 589,880,451 | |||||
U.S. Treasury Bill (a) | 0.125% | 10/06/2020 | 10/06/2020 | 290,000,000 | 289,884,139 | |||||
U.S. Treasury Bill (a) | 0.135% | 09/29/2020 | 09/29/2020 | 405,000,000 | 404,843,375 | |||||
U.S. Treasury Bill (a) | 0.135% | 11/05/2020 | 11/05/2020 | 360,600,000 | 360,428,601 | |||||
U.S. Treasury Bill (a) | 0.136% | 09/17/2020 | 09/17/2020 | 600,000,000 | 599,788,533 | |||||
U.S. Treasury Bill (a) | 0.141% | 09/01/2020 | 09/01/2020 | 300,000,000 | 299,927,408 | |||||
U.S. Treasury Bill (a) | 0.142% | 10/13/2020 | 10/13/2020 | 150,000,000 | 149,938,683 | |||||
U.S. Treasury Bill (a) | 0.145% | 09/10/2020 | 09/10/2020 | 580,125,000 | 579,945,289 | |||||
U.S. Treasury Bill (a) | 0.145% | 10/22/2020 | 10/22/2020 | 145,000,000 | 144,934,005 | |||||
U.S. Treasury Bill (a) | 0.150% | 09/08/2020 | 09/08/2020 | 250,000,000 | 249,931,719 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/27/2020 | 10/27/2020 | 150,000,000 | 149,927,479 | |||||
U.S. Treasury Bill (a) | 0.150% | 10/29/2020 | 10/29/2020 | 340,000,000 | 339,827,528 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/12/2020 | 11/12/2020 | 225,000,000 | 224,872,281 | |||||
U.S. Treasury Bill (a) | 0.150% | 11/19/2020 | 11/19/2020 | 150,000,000 | 149,911,875 | |||||
U.S. Treasury Bill (a) | 0.155% | 08/11/2020 | 08/11/2020 | 250,000,000 | 249,955,868 | |||||
U.S. Treasury Bill (a) | 0.155% | 10/20/2020 | 10/20/2020 | 300,000,000 | 299,858,475 | |||||
U.S. Treasury Bill (a) | 0.160% | 10/08/2020 | 10/08/2020 | 180,000,000 | 179,920,800 | |||||
U.S. Treasury Bill (a) | 0.160% | 11/27/2020 | 11/27/2020 | 225,000,000 | 224,851,000 | |||||
U.S. Treasury Bill (a) | 0.165% | 07/28/2020 | 07/28/2020 | 850,000,000 | 849,913,937 | |||||
U.S. Treasury Bill (a) | 0.165% | 10/01/2020 | 10/01/2020 | 470,000,000 | 469,815,417 | |||||
U.S. Treasury Bill (a) | 0.165% | 12/31/2020 | 12/31/2020 | 160,000,000 | 159,866,533 | |||||
U.S. Treasury Bill (a) | 0.165% | 01/28/2021 | 01/28/2021 | 70,000,000 | 69,932,304 | |||||
U.S. Treasury Bill (a) | 0.170% | 09/24/2020 | 09/24/2020 | 375,750,000 | 375,607,147 | |||||
U.S. Treasury Bill (a) | 0.170% | 11/03/2020 | 11/03/2020 | 250,000,000 | 249,852,431 | |||||
U.S. Treasury Bill (a) | 0.170% | 12/03/2020 | 12/03/2020 | 150,000,000 | 149,890,208 | |||||
U.S. Treasury Bill (a) | 0.175% | 12/24/2020 | 12/24/2020 | 150,000,000 | 149,871,667 | |||||
U.S. Treasury Bill (a) | 0.180% | 11/10/2020 | 11/10/2020 | 150,000,000 | 149,901,000 | |||||
U.S. Treasury Bill (a) | 0.180% | 02/25/2021 | 02/25/2021 | 116,125,000 | 115,986,231 | |||||
U.S. Treasury Bill (a) | 0.185% | 11/24/2020 | 11/24/2020 | 150,000,000 | 149,887,458 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/10/2020 | 12/10/2020 | 140,125,000 | 140,008,346 | |||||
U.S. Treasury Bill (a) | 0.185% | 12/17/2020 | 12/17/2020 | 200,000,000 | 199,826,306 | |||||
U.S. Treasury Bill (a) | 0.190% | 09/22/2020 | 09/22/2020 | 400,000,000 | 399,831,694 | |||||
U.S. Treasury Bill (a) | 0.190% | 11/17/2020 | 11/17/2020 | 200,000,000 | 199,853,278 | |||||
U.S. Treasury Bill (a) | 0.200% | 07/21/2020 | 07/21/2020 | 520,500,000 | 520,461,076 | |||||
U.S. Treasury Bill (a) | 0.250% | 09/15/2020 | 09/15/2020 | 350,000,000 | 349,856,550 | |||||
U.S. Treasury Bill (a) | 0.290% | 10/15/2020 | 10/15/2020 | 355,000,000 | 354,753,550 | |||||
U.S. Treasury Bill (a) | 0.500% | 09/03/2020 | 09/03/2020 | 430,000,000 | 429,895,040 | |||||
U.S. Treasury Bill (a) | 1.438% | 08/27/2020 | 08/27/2020 | 511,645,000 | 511,019,181 | |||||
U.S. Treasury Bill (a) | 1.510% | 08/13/2020 | 08/13/2020 | 1,237,262,000 | 1,236,304,660 | |||||
U.S. Treasury Bill (a) | 1.519% | 08/20/2020 | 08/20/2020 | 980,700,000 | 979,188,906 | |||||
U.S. Treasury Bill (a) | 1.520% | 07/09/2020 | 07/09/2020 | 605,200,000 | 605,121,377 | |||||
U.S. Treasury Bill (a) | 1.520% | 08/06/2020 | 08/06/2020 | 549,950,000 | 549,668,559 | |||||
U.S. Treasury Bill (a) | 1.530% | 07/16/2020 | 07/16/2020 | 600,500,000 | 600,339,097 | |||||
U.S. Treasury Bill (a) | 1.535% | 07/30/2020 | 07/30/2020 | 1,102,645,000 | 1,102,299,647 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b) | 0.193% | 07/01/2020 | 07/31/2020 | 670,550,000 | 670,542,388 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b) | 0.195% | 07/01/2020 | 10/31/2020 | 516,500,000 | 516,449,840 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.265% | 07/01/2020 | 01/31/2021 | 525,600,000 | 525,605,699 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.289% | 07/01/2020 | 04/30/2021 | 671,900,000 | 671,613,101 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.304% | 07/01/2020 | 01/31/2022 | $ 160,000,000 | $ 160,056,641 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.370% | 07/01/2020 | 07/31/2021 | 954,000,000 | 954,036,814 | |||||
U.S. Treasury Note (a) | 0.406% | 07/31/2020 | 07/31/2020 | 117,300,000 | 117,514,046 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.450% | 07/01/2020 | 10/31/2021 | 614,000,000 | 615,301,309 | |||||
U.S. Treasury Note (a) | 1.568% | 08/15/2020 | 08/15/2020 | 175,700,000 | 175,927,838 | |||||
U.S. Treasury Note (a) | 1.610% | 08/31/2020 | 08/31/2020 | 220,600,000 | 221,233,954 | |||||
U.S. Treasury Note (a) | 1.616% | 08/31/2020 | 08/31/2020 | 60,057,000 | 60,033,059 | |||||
TOTAL TREASURY DEBT | 23,992,151,969 | |||||||||
TREASURY REPURCHASE AGREEMENTS—22.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 0.500% – 2.500% due 03/31/2023 – 06/30/2027, and a U.S. Treasury Strip, 0.000% due 05/15/2038, valued at $159,187,409); expected proceeds $156,066,303 | 0.070% | 07/01/2020 | 07/01/2020 | 156,066,000 | 156,066,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 10/08/2020 – 11/03/2020, and U.S. Treasury Notes, 0.270% – 2.875% due 01/31/2021 – 11/15/2025, valued at $255,000,001); expected proceeds $250,000,556 | 0.080% | 07/01/2020 | 07/01/2020 | 250,000,000 | 250,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.875% – 7.625% due 02/15/2025 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 1.375% – 3.625% due 01/15/2028 – 02/15/2044, U.S. Treasury Inflation Index Notes, 0.625% – 0.875% due 04/15/2023 – 01/15/2029, and U.S. Treasury Notes, 0.125% – 2.875% due 04/30/2022 – 08/15/2028, valued at $204,000,097); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.500% – 2.375% due 03/15/2022 – 09/15/2022, valued at $510,000,013); expected proceeds $500,000,972 | 0.070% | 07/01/2020 | 07/01/2020 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.875% – 3.652% due 05/15/2043 – 08/15/2043, valued at $225,139,885); expected proceeds $220,000,733 | 0.120% | 07/01/2020 | 07/01/2020 | 220,000,000 | 220,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.375% – 3.000% due 02/15/2047 – 11/15/2049, a U.S. Treasury Note, 2.875% due 10/15/2021, and U.S. Treasury Strips, 0.000% due 11/15/2021 – 02/15/2049, valued at $289,680,077); expected proceeds $284,000,552 | 0.070% | 07/01/2020 | 07/01/2020 | 284,000,000 | 284,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/26/2020 (collateralized by U.S. Treasury Bills, 0.000% due 11/17/2020 – 12/03/2020, valued at $357,000,078); expected proceeds $350,004,667 | 0.080% | 07/02/2020 | 07/02/2020 | 350,000,000 | 350,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 10/01/2020 – 10/27/2020, valued at $189,720,027); expected proceeds $186,000,362 | 0.070% | 07/01/2020 | 07/01/2020 | 186,000,000 | 186,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 01/15/2028, and a U.S. Treasury Note, 1.625% due 12/15/2022, valued at at $255,000,106); expected proceeds $250,003,889 | 0.080% | 07/01/2020 | 07/01/2020 | $ 250,000,000 | $ 250,000,000 | |||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 1.625% due 11/30/2026, valued at $204,000,105); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Credit Suisse Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Note, 2.125% due 05/15/2025, valued at $223,380,439); expected proceeds $219,000,426 | 0.070% | 07/01/2020 | 07/01/2020 | 219,000,000 | 219,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 0.625% – 2.750% due 08/31/2025 – 03/31/2027, valued at $306,000,068); expected proceeds $300,000,750 | 0.090% | 07/01/2020 | 07/01/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.375% – 1.125% due 01/31/2025 – 02/28/2025, valued at $510,315,308); expected proceeds $500,001,550 | 0.090% | 07/01/2020 | 07/01/2020 | 500,000,300 | 500,000,300 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 2.125% – 2.500% due 02/28/2021 – 09/30/2024, valued at $148,920,042); expected proceeds $146,000,284 | 0.070% | 07/01/2020 | 07/01/2020 | 146,000,000 | 146,000,000 | |||||
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 10/13/2020, and U.S. Treasury Notes, 1.625% – 2.750% due 09/30/2022 – 09/30/2026, valued at $204,000,002); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/28/2020 – 05/20/2021, U.S. Treasury Bonds, 2.375% – 8.000% due 11/15/2021 – 11/15/2049, and U.S. Treasury Notes, 0.125% – 3.125% due 05/31/2022 – 11/15/2028, valued at $102,000,023); expected proceeds $100,001,361 | 0.080% | 07/01/2020 | 07/02/2020 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 1.750% – 2.125% due 02/15/2022 – 02/29/2024, valued at $204,000,088); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Lloyds Bank PLC, dated 05/22/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, valued at $57,213,171); expected proceeds $50,022,194 (c) | 0.170% | 08/24/2020 | 08/24/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Lloyds Bank PLC, dated 05/22/2020 (collateralized by a U.S. Treasury Note, 6.750% due 08/15/2026, valued at $51,074,930); expected proceeds $50,012,708 (c) | 0.150% | 07/22/2020 | 07/22/2020 | 50,000,000 | 50,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Inflation Index Notes, 0.625% – 1.125% due 01/15/2021 – 01/15/2024, and U.S. Treasury Notes, 0.250% – 3.625% due 02/15/2021 – 02/28/2025, valued at $161,160,411); expected proceeds $158,000,307 | 0.070% | 07/01/2020 | 07/01/2020 | $ 158,000,000 | $ 158,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc., dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 2.250% - 3.000% due 02/15/2049 – 08/15/2049, valued at $204,442,248); expected proceeds $200,000,556 | 0.100% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/07/2020 – 11/10/2020, a U.S. Treasury Bond, 2.500% due 02/15/2045, and U.S. Treasury Notes, 1.625% – 2.250% due 11/15/2022 – 03/31/2026, valued at $204,000,031); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/13/2020 (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, 1.750% – 2.000% due 11/15/2026 – 11/15/2029, valued at $112,200,024); expected proceeds $110,047,789 (c) | 0.170% | 08/13/2020 | 08/13/2020 | 110,000,000 | 110,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 05/29/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, valued at $56,100,033); expected proceeds $55,009,075 | 0.180% | 07/01/2020 | 07/01/2020 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/04/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, and U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, valued at $51,000,073); expected proceeds $50,007,389 | 0.190% | 07/02/2020 | 07/02/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (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 $51,000,047); expected proceeds $50,018,375 (c) | 0.210% | 09/01/2020 | 09/01/2020 | 50,000,000 | 50,000,000 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.375% due 11/15/2045 – 11/15/2048, U.S. Treasury Notes, 2.125% - 2.250% due 05/15/2025 – 11/15/2025, and U.S. Treasury Strips, 0.000% due 11/15/2028 – 05/15/2029, valued at $165,917,951); expected proceeds $162,569,125 | 0.100% | 07/01/2020 | 07/01/2020 | 162,568,673 | 162,568,673 | |||||
Agreement with Prudential Insurance Co., dated 06/30/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2027 – 05/15/2029, valued at $95,201,434); expected proceeds $93,007,836 | 0.100% | 07/01/2020 | 07/01/2020 | 93,007,578 | 93,007,578 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 10/29/2020, U.S. Treasury Bonds, 2.250% – 6.125% due 11/15/2027 – 08/15/2046, U.S. Treasury Inflation Index Bonds, 0.750% – 3.625% due 01/15/2026 – 02/15/2042, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 0.269% – 2.500% due 03/15/2022 – 05/31/2027, valued at $306,000,006); expected proceeds $300,000,583 | 0.070% | 07/01/2020 | 07/01/2020 | $ 300,000,000 | $ 300,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 1.250% – 7.125% due 02/15/2023 – 05/15/2050, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2048, and a U.S. Treasury Strip, 0.000% due 05/15/2031, valued at $216,240,014); expected proceeds $212,000,412 | 0.070% | 07/01/2020 | 07/01/2020 | 212,000,000 | 212,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bonds, 3.000% – 5.000% due 05/15/2037 – 02/15/2048, U.S. Treasury Inflation Index Bonds, 1.375% – 3.875% due 04/15/2029 – 02/15/2044, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2021 – 01/15/2027, and U.S. Treasury Notes, 1.375% – 2.000% due 03/31/2022 – 05/31/2024, valued at $204,000,099); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 01/28/2021, a U.S. Treasury Bond, 2.500% due 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2025 – 01/15/2030, and U.S. Treasury Notes, 0.250% – 2.625% due 10/31/2020 – 05/15/2030, valued at $306,000,073); expected proceeds $300,000,583 | 0.070% | 07/01/2020 | 07/01/2020 | 300,000,000 | 300,000,000 | |||||
Agreement with The Toronto-Dominion Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Notes, 2.375% – 3.125% due 04/15/2021 – 05/15/2029, valued at $204,000,034); expected proceeds $200,000,389 | 0.070% | 07/01/2020 | 07/01/2020 | 200,000,000 | 200,000,000 | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 07/16/2020 – 03/25/2021, U.S. Treasury Bonds, 2.000% – 8.000% due 02/15/2021 – 02/15/2050, a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044, a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, U.S. Treasury Notes, 0.500% – 2.875% due 07/31/2020 – 05/31/2027, and U.S. Treasury Strips, 0.000% due 08/15/2021 – 02/15/2025, valued at $153,000,026); expected proceeds $150,000,292 | 0.070% | 07/01/2020 | 07/01/2020 | 150,000,000 | 150,000,000 | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2020 (collateralized by U.S. Treasury Bills, 0.000% due 08/06/2020 – 09/22/2020, valued at $382,500,754); expected proceeds $375,000,729 | 0.070% | 07/01/2020 | 07/01/2020 | 375,000,000 | 375,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 7,176,642,551 | |||||||||
TOTAL INVESTMENTS –95.8% (d)(e) | 31,168,794,520 | |||||||||
Other Assets in Excess of Liabilities —4.2% | 1,360,289,394 | |||||||||
NET ASSETS –100.0% | $ 32,529,083,914 | |||||||||
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 $260,000,000 or 0.8% of net assets as of June 30, 2020. |
(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 | $23,992,151,969 |
Repurchase agreements, at value and amortized cost | 7,176,642,551 |
Total Investments | 31,168,794,520 |
Cash | 2,234,067,195 |
Interest receivable — unaffiliated issuers | 7,393,107 |
TOTAL ASSETS | 33,410,254,822 |
LIABILITIES | |
Payable for investments purchased | 879,607,395 |
Advisory and administrator fee payable | 1,271,986 |
Custody, sub-administration and transfer agent fees payable | 221,465 |
Professional fees payable | 36,894 |
Printing fees payable | 25,836 |
Accrued expenses and other liabilities | 7,332 |
TOTAL LIABILITIES | 881,170,908 |
NET ASSETS | $32,529,083,914 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $105,171,893 |
EXPENSES | |
Advisory and administrator fee | 6,533,868 |
Custodian, sub-administrator and transfer agent fees | 1,654,917 |
Trustees’ fees and expenses | 129,834 |
Professional fees | 122,679 |
Printing and postage fees | 8,596 |
Insurance expense | 3,745 |
Miscellaneous expenses | 24,841 |
TOTAL EXPENSES | 8,478,480 |
NET INVESTMENT INCOME (LOSS) | $ 96,693,413 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 77,616 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 96,771,029 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 96,693,413 | $ 392,456,554 | |
Net realized gain (loss) | 77,616 | (7,190) | |
Net increase (decrease) in net assets resulting from operations | 96,771,029 | 392,449,364 | |
CAPITAL TRANSACTIONS | |||
Contributions | 53,182,064,788 | 62,686,916,978 | |
Withdrawals | (44,584,686,674) | (56,691,696,503) | |
Net increase (decrease) in net assets from capital transactions | 8,597,378,114 | 5,995,220,475 | |
Net increase (decrease) in net assets during the period | 8,694,149,143 | 6,387,669,839 | |
Net assets at beginning of period | 23,834,934,771 | 17,447,264,932 | |
NET ASSETS AT END OF PERIOD | $ 32,529,083,914 | $ 23,834,934,771 |
Six Months Ended 6/30/20 (Unaudited) | 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) | 0.43% | 2.19% | 1.82% | 0.82% | 0.23% | (0.01)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $32,529,084 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | $1,744,814 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.06%(b) | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | |||||
Net investment income (loss) | 0.74%(b) | 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. |
(b) | Annualized. |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Treasury Plus Money Market Portfolio | 0.06% | $1,004.30 | $0.30 | $1,024.40 | $0.30 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund for which the Portfolio serves as the master fund in a master-feeder structure (the “Fund”): |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Aggregate Bond Index Fund |
State Street Global All Cap 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 |
State Street Small/Mid Cap Equity Index Portfolio |
1 | |
5 | |
Portfolio Statistics (Unaudited) | |
14 | |
15 | |
16 | |
Schedules of Investments (Unaudited) | |
17 | |
66 | |
124 | |
152 | |
155 | |
158 | |
170 |
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* | $284,134,399 | $411,832,047 | $101,519,254 | ||
Receivable for investments sold | — | 303,786 | — | ||
Receivable for fund shares sold | 946,555 | 329,619 | 201,384 | ||
Receivable from Adviser | 63,393 | 94,864 | 20,662 | ||
TOTAL ASSETS | 285,144,347 | 412,560,316 | 101,741,300 | ||
LIABILITIES | |||||
Payable for investments purchased | 186,297 | — | 117,704 | ||
Payable for fund shares repurchased | 754,757 | 627,903 | 78,179 | ||
Advisory fee payable | 5,893 | 20,327 | 2,489 | ||
Custodian fees payable | 3,514 | 3,184 | 3,190 | ||
Administration fees payable | 11,786 | 16,940 | 4,148 | ||
Distribution fees payable | 2,407 | 1,346 | 3,694 | ||
Trustees’ fees and expenses payable | 156 | 156 | 156 | ||
Transfer agent fees payable | 16,694 | 11,115 | 5,114 | ||
Sub-transfer agent fee payable | 28,557 | 3,229 | 20,746 | ||
Registration and filing fees payable | 1,263 | 517 | 5,173 | ||
Professional fees payable | 25,125 | 24,867 | 25,127 | ||
Printing and postage fees payable | — | 3,746 | — | ||
Accrued expenses and other liabilities | 74 | 88,615 | 106 | ||
TOTAL LIABILITIES | 1,036,523 | 801,945 | 265,826 | ||
NET ASSETS | $284,107,824 | $411,758,371 | $101,475,474 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $266,606,720 | $441,119,810 | $102,881,977 | ||
Total distributable earnings (loss) | 17,501,104 | (29,361,439) | (1,406,503) | ||
NET ASSETS | $284,107,824 | $411,758,371 | $101,475,474 | ||
Class A | |||||
Net Assets | $ 7,690,594 | $ 6,425,451 | $ 17,885,367 | ||
Shares Outstanding | 72,317 | 73,750 | 75,194 | ||
Net asset value, offering and redemption price per share | $ 106.35 | $ 87.12 | $ 237.86 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 110.49 | $ 91.95 | $ 251.04 | ||
Class I | |||||
Net Assets | $ 7,310,393 | $ 334,064 | $ 5,521,009 | ||
Shares Outstanding | 68,910 | 3,825 | 23,178 | ||
Net asset value, offering and redemption price per share | $ 106.09 | $ 87.34 | $ 238.20 | ||
Class K | |||||
Net Assets | $269,106,837 | $404,998,856 | $ 78,069,098 | ||
Shares Outstanding | 2,536,481 | 4,628,733 | 327,361 | ||
Net asset value, offering and redemption price per share | $ 106.09 | $ 87.50 | $ 238.48 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $267,896,443 | $437,638,090 | $102,694,986 |
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 | |||||
Dividend income from corresponding affiliated Portfolio | $ 3,084,909 | $ — | $ — | ||
EXPENSES | |||||
Advisory fee | 32,667 | 117,310 | 14,250 | ||
Administration fees | 65,335 | 97,759 | 23,749 | ||
Sub-transfer agent fee | |||||
Class A | 18,978 | 6,262 | 17,811 | ||
Class I | 7,716 | 403 | 5,648 | ||
Distribution fees | |||||
Class A | 23,724 | 7,827 | 22,263 | ||
Custodian fees | 19,425 | 19,356 | 19,364 | ||
Trustees’ fees and expenses | 10,156 | 10,156 | 10,156 | ||
Transfer agent fees | 136,164 | 57,677 | 20,865 | ||
Registration and filing fees | 47,794 | 49,733 | 39,354 | ||
Professional fees and expenses | 21,561 | 21,561 | 21,263 | ||
Printing and postage fees | 5,300 | 6,922 | 4,037 | ||
Insurance expense | 474 | 840 | 224 | ||
Miscellaneous expenses | 2,308 | 192,933 | 2,135 | ||
TOTAL EXPENSES | 391,602 | 588,739 | 201,119 | ||
Expenses waived/reimbursed by the Adviser | (308,516) | (572,292) | (134,022) | ||
NET EXPENSES | 83,086 | 16,447 | 67,097 | ||
NET INVESTMENT INCOME (LOSS) | $ 3,001,823 | $ (16,447) | $ (67,097) | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | 1,956,203 | (1,883,151) | (2,042,276) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | 11,120,904 | (41,949,653) | (3,896,777) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 13,077,107 | (43,832,804) | (5,939,053) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $16,078,930 | $(43,849,251) | $(6,006,150) |
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 | |||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Six Months Ended 6/30/20(b) (Unaudited) | Year Ended 12/31/19(b) | Six Months Ended 6/30/20(c) (Unaudited) | Year Ended 12/31/19(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 3,001,823 | $ 5,536,621 | $ (16,447) | $ 12,325,409 | $ (67,097) | $ 1,683,053 | |||||
Net realized gain (loss) | 1,956,203 | 90,763 | (1,883,151) | 7,849,558 | (2,042,276) | 3,691,103 | |||||
Net change in unrealized appreciation/depreciation | 11,120,904 | 8,264,351 | (41,949,653) | 55,075,154 | (3,896,777) | 12,029,745 | |||||
Net increase (decrease) in net assets resulting from operations | 16,078,930 | 13,891,735 | (43,849,251) | 75,250,121 | (6,006,150) | 17,403,901 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (195,892) | (122,467) | — | (295,877) | — | (1,084,071) | |||||
Class I | (83,292) | (278,785) | — | (33,133) | — | (337,036) | |||||
Class K | (2,738,700) | (5,103,124) | — | (19,410,272) | — | (4,269,044) | |||||
Total distributions to shareholders | (3,017,884) | (5,504,376) | — | (19,739,282) | — | (5,690,151) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 7,058,048 | 19,325,795 | 981,700 | 3,514,321 | 2,560,006 | 15,166,292 | |||||
Reinvestment of distributions | 189,277 | 120,008 | — | 295,877 | — | 1,078,801 | |||||
Cost of shares redeemed | (19,762,651) | (1,270,756) | (896,958) | (967,350) | (5,033,259) | (5,644,151) | |||||
Net increase (decrease) from capital share transactions | (12,515,326) | 18,175,047 | 84,742 | 2,842,848 | (2,473,253) | 10,600,942 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 743,752 | 652,191 | 153,740 | 199,110 | 910,373 | 1,143,157 | |||||
Reinvestment of distributions | 5,666 | 79,075 | — | 33,133 | — | 337,036 | |||||
Cost of shares redeemed | (1,107,535) | (4,693,496) | (427,158) | (229,932) | (1,059,282) | (1,258,349) | |||||
Net increase (decrease) from capital share transactions | (358,117) | (3,962,230) | (273,418) | 2,311 | (148,909) | 221,844 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 80,541,102 | 109,961,561 | 53,395,774 | 164,108,478 | 14,605,654 | 53,522,034 | |||||
Reinvestment of distributions | 2,737,836 | 5,100,827 | — | 19,257,505 | — | 4,221,079 | |||||
Cost of shares redeemed | (36,446,309) | (40,110,624) | (28,858,789) | (247,782,361) | (10,735,251) | (26,552,849) | |||||
Net increase (decrease) from capital share transactions | 46,832,629 | 74,951,764 | 24,536,985 | (64,416,378) | 3,870,403 | 31,190,264 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 33,959,186 | 89,164,581 | 24,348,309 | (61,571,219) | 1,248,241 | 42,013,050 | |||||
Net increase (decrease) in net assets during the period | 47,020,232 | 97,551,940 | (19,500,942) | (6,060,380) | (4,757,909) | 53,726,800 | |||||
Net assets at beginning of period | 237,087,592 | 139,535,652 | 431,259,313 | 437,319,693 | 106,233,383 | 52,506,583 | |||||
NET ASSETS AT END OF PERIOD | $284,107,824 | $237,087,592 | $411,758,371 | $ 431,259,313 | $101,475,474 | $106,233,383 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 67,805 | 191,242 | 11,759 | 37,215 | 12,024 | 61,399 | |||||
Reinvestment of distributions | 1,814 | 1,190 | — | 3,010 | — | 4,250 | |||||
Shares redeemed | (188,522) | (12,949) | (10,482) | (10,307) | (23,806) | (22,953) | |||||
Net increase (decrease) from share transactions | (118,903) | 179,483 | 1,277 | 29,918 | (11,782) | 42,696 | |||||
Class I | |||||||||||
Shares sold | 7,223 | 6,645 | 1,628 | 2,113 | 3,668 | 4,745 | |||||
Reinvestment of distributions | 54 | 801 | — | 337 | — | 1,328 | |||||
Shares redeemed | (10,520) | (46,211) | (5,332) | (2,424) | (5,401) | (5,209) | |||||
Net increase (decrease) from share transactions | (3,243) | (38,765) | (3,704) | 26 | (1,733) | 864 |
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 | |||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Six Months Ended 6/30/20(b) (Unaudited) | Year Ended 12/31/19(b) | Six Months Ended 6/30/20(c) (Unaudited) | Year Ended 12/31/19(c) | ||||||
Class K | |||||||||||
Shares sold | 774,075 | 1,097,746 | 671,453 | 1,684,347 | 69,436 | 214,683 | |||||
Reinvestment of distributions | 26,281 | 51,067 | — | 195,508 | — | 16,631 | |||||
Shares redeemed | (351,805) | (399,561) | (353,472) | (2,681,531) | (49,350) | (106,327) | |||||
Net increase (decrease) from share transactions | $ 448,551 | $ 749,252 | $ 317,981 | $ (801,676) | $ 20,086 | $ 124,987 |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | After the close of trading on April 17, 2020, State Street Global All Cap Equity ex-U.S. Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(c) | After the close of trading on April 17, 2020, State Street Small/Mid Cap Equity Index Fund underwent a 1-for-20 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
Class A | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $101.10 | $ 95.50 | $98.20 | $97.50 | $97.50 | $101.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.07 | 3.40 | 2.60 | 2.10 | 1.60 | 2.10 | |||||
Net realized and unrealized gain (loss) | 5.16 | 4.40 | (3.00) | 0.80 | 0.30 | (1.80) | |||||
Total from investment operations | 6.23 | 7.80 | (0.40) | 2.90 | 1.90 | 0.30 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.98) | (2.20) | (2.30) | (2.10) | (1.80) | (2.60) | |||||
Net realized gains | — | — | — | (0.10) | (0.10) | (1.40) | |||||
Return of Capital | — | — | — | — | — | (0.20) | |||||
Total distributions | (0.98) | (2.20) | (2.30) | (2.20) | (1.90) | (4.20) | |||||
Net asset value, end of period | $106.35 | $101.10 | $95.50 | $98.20 | $97.50 | $ 97.50 | |||||
Total return (c) | 6.19% | 8.27% | (0.39)% | 2.93% | 1.91% | 0.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 7,691 | $19,325 | $1,121 | $ 340 | $ 211 | $ 184 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.71%(e) | 0.68% | 0.55% | 0.58% | 0.67% | 0.66% | |||||
Net expenses (d) | 0.48%(e) | 0.48% | 0.31% | 0.40% | 0.40% | 0.31% | |||||
Net investment income (loss) | 2.07%(e) | 3.45% | 2.74% | 2.11% | 1.65% | 2.11% | |||||
Portfolio turnover rate (f) | 10%(g) | 69% | 90% | 99% | 194% | 62%(h) |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class I | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | $ 97.40 | $101.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.11 | 2.70 | 2.70 | 2.30 | 1.80 | 2.00 | |||||
Net realized and unrealized gain (loss) | 5.29 | 5.40 | (2.90) | 0.90 | 0.60 | (1.40) | |||||
Total from investment operations | 6.40 | 8.10 | (0.20) | 3.20 | 2.40 | 0.60 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.11) | (2.80) | (2.70) | (2.30) | (2.10) | (2.90) | |||||
Net realized gains | — | — | — | (0.10) | (0.10) | (1.40) | |||||
Return of Capital | — | — | — | — | — | (0.20) | |||||
Total distributions | (1.11) | (2.80) | (2.70) | (2.40) | (2.20) | (4.50) | |||||
Net asset value, end of period | $106.09 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | $ 97.40 | |||||
Total return (c) | 6.37% | 8.55% | (0.20)% | 3.29% | 2.37% | 0.60% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 7,310 | $ 7,273 | $10,598 | $10,807 | $12,370 | $ 4,508 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.46%(e) | 0.32% | 0.27% | 0.26% | 0.33% | 0.41% | |||||
Net expenses (d) | 0.23%(e) | 0.12% | 0.04% | 0.08% | 0.06% | 0.06% | |||||
Net investment income (loss) | 2.15%(e) | 2.73% | 2.78% | 2.30% | 1.83% | 1.95% | |||||
Portfolio turnover rate (f) | 10%(g) | 69% | 90% | 99% | 194% | 62%(h) |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class K | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | $ 97.40 | $101.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.20 | 2.90 | 2.70 | 2.30 | 2.00 | 2.00 | |||||
Net realized and unrealized gain (loss) | 5.30 | 5.20 | (2.80) | 0.90 | 0.30 | (1.50) | |||||
Total from investment operations | 6.50 | 8.10 | (0.10) | 3.20 | 2.30 | 0.50 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.21) | (2.80) | (2.70) | (2.30) | (2.10) | (2.90) | |||||
Net realized gains | — | — | — | (0.10) | (0.10) | (1.40) | |||||
Return of Capital | — | — | — | — | — | (0.20) | |||||
Total distributions | (1.21) | (2.80) | (2.70) | (2.40) | (2.20) | (4.50) | |||||
Net asset value, end of period | $ 106.09 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | $ 97.40 | |||||
Total return (c) | 6.47% | 8.57% | (0.10)% | 3.30% | 2.27% | 0.54% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $269,107 | $210,489 | $127,817 | $97,318 | $76,429 | $49,641 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.26%(e) | 0.23% | 0.27% | 0.26% | 0.33% | 0.41% | |||||
Net expenses (d) | 0.03%(e) | 0.03% | 0.04% | 0.08% | 0.06% | 0.06% | |||||
Net investment income (loss) | 2.32%(e) | 2.94% | 2.83% | 2.37% | 1.98% | 1.88% | |||||
Portfolio turnover rate (f) | 10%(g) | 69% | 90% | 99% | 194% | 62%(h) |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
(h) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Class A | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 98.00 | $84.60 | $106.70 | $ 87.40 | $84.50 | $91.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.19) | 3.20 | 3.60 | 0.80 | 3.10 | 1.50 | |||||
Net realized and unrealized gain (loss) | (10.69) | 14.50 | (19.00) | 22.50 | 0.90 | (7.10) | |||||
Total from investment operations | (10.88) | 17.70 | (15.40) | 23.30 | 4.00 | (5.60) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (2.50) | (2.30) | (2.60) | (1.10) | (1.60) | |||||
Net realized gains | — | (1.80) | (4.40) | (1.40) | — | — | |||||
Total distributions | — | (4.30) | (6.70) | (4.00) | (1.10) | (1.60) | |||||
Net asset value, end of period | $ 87.12 | $98.00 | $ 84.60 | $106.70 | $87.40 | $84.50 | |||||
Total return (c) | (11.18)% | 21.01% | (14.38)% | 26.68% | 4.75% | (6.17)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 6,425 | $7,104 | $ 3,599 | $ 927 | $1,564 | $ 42 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.74%(e) | 0.71% | 0.57% | 0.53% | 0.58% | 0.70% | |||||
Net expenses (d) | 0.45%(e) | 0.45% | 0.42% | 0.44% | 0.42% | 0.32% | |||||
Net investment income (loss) | (0.45)%(e) | 3.44% | 3.59% | 0.79% | 3.51% | 1.64% | |||||
Portfolio turnover rate (f) | 1%(g) | 28% | 4% | 2% | 8% | 3% |
(a) | After the close of trading on April 17, 2020, the State Street Global All Cap Equity Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 98.10 | $84.60 | $106.70 | $ 87.40 | $84.50 | $91.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.07) | 2.70 | 2.30 | 2.10 | 1.70 | 1.80 | |||||
Net realized and unrealized gain (loss) | (10.69) | 15.40 | (17.60) | 21.40 | 2.50 | (7.20) | |||||
Total from investment operations | (10.76) | 18.10 | (15.30) | 23.50 | 4.20 | (5.40) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (2.80) | (2.40) | (2.80) | (1.30) | (1.80) | |||||
Net realized gains | — | (1.80) | (4.40) | (1.40) | — | — | |||||
Total distributions | — | (4.60) | (6.80) | (4.20) | (1.30) | (1.80) | |||||
Net asset value, end of period | $ 87.34 | $98.10 | $ 84.60 | $106.70 | $87.40 | $84.50 | |||||
Total return (c) | (10.97)% | 21.24% | (14.18)% | 27.00% | 5.02% | (5.94)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 334 | $ 739 | $ 635 | $ 999 | $ 501 | $ 42 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.45%(e) | 0.38% | 0.43% | 0.23% | 0.32% | 0.45% | |||||
Net expenses (d) | 0.16%(e) | 0.12% | 0.30% | 0.15% | 0.16% | 0.06% | |||||
Net investment income (loss) | (0.16)%(e) | 2.90% | 2.27% | 2.12% | 2.01% | 1.89% | |||||
Portfolio turnover rate (f) | 1%(g) | 28% | 4% | 2% | 8% | 3% |
(a) | After the close of trading on April 17, 2020, the State Street Global All Cap Equity Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | $ 84.50 | $ 91.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.00)(c) | 2.90 | 2.60 | 3.20 | 2.00 | 2.40 | |||||
Net realized and unrealized gain (loss) | (10.70) | 15.40 | (17.70) | 20.40 | 2.20 | (7.80) | |||||
Total from investment operations | (10.70) | 18.30 | (15.10) | 23.60 | 4.20 | (5.40) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.00) | (2.60) | (2.80) | (1.30) | (1.80) | |||||
Net realized gains | — | (1.80) | (4.40) | (1.40) | — | — | |||||
Total distributions | — | (4.80) | (7.00) | (4.20) | (1.30) | (1.80) | |||||
Net asset value, end of period | $ 87.50 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | $ 84.50 | |||||
Total return (d) | (10.90)% | 21.49% | (14.03)% | 27.11% | 5.02% | (5.94)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $404,999 | $423,417 | $433,086 | $456,567 | $222,297 | $57,219 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.29%(f) | 0.27% | 0.18% | 0.18% | 0.23% | 0.45% | |||||
Net expenses (e) | 0.00%(f)(g) | 0.01% | 0.05% | 0.10% | 0.07% | 0.06% | |||||
Net investment income (loss) | 0.00%(f)(g) | 3.12% | 2.57% | 3.16% | 2.28% | 2.59% | |||||
Portfolio turnover rate (h) | 1%(i) | 28% | 4% | 2% | 8% | 3% |
(a) | After the close of trading on April 17, 2020, the State Street Global All Cap Equity Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Amount is less than 0.005%. |
(h) | Portfolio turnover rate is from the corresponding Portfolio. |
(i) | Not annualized. |
Class A | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | For the Period 10/16/15* - 12/31/15(a) | ||||||
Net asset value, beginning of period | $253.40 | $209.40 | $239.00 | $213.40 | $186.00 | $200.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.56) | 4.40 | 6.40 | 10.60 | 1.40 | 1.00 | |||||
Net realized and unrealized gain (loss) | (14.98) | 53.00 | (29.00) | 27.40 | 28.20 | (13.80) | |||||
Total from investment operations | (15.54) | 57.40 | (22.60) | 38.00 | 29.60 | (12.80) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (4.60) | (3.00) | (5.00) | (2.20) | (1.20) | |||||
Net realized gains | — | (8.80) | (4.00) | (7.40) | (0.00)(c) | — | |||||
Total distributions | — | (13.40) | (7.00) | (12.40) | (2.20) | (1.20) | |||||
Net asset value, end of period | $237.86 | $253.40 | $209.40 | $239.00 | $213.40 | $186.00 | |||||
Total return (d) | (6.13)% | 27.42% | (9.35)% | 17.87% | 15.67% | (6.27)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $17,885 | $22,037 | $ 9,274 | $ 988 | $ 114 | $ 97 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.78%(f) | 0.79% | 0.80% | 1.10% | 2.48% | 5.08%(f) | |||||
Net expenses (e) | 0.50%(f) | 0.49% | 0.29% | 0.35% | 0.30% | 0.30%(f) | |||||
Net investment income (loss) | (0.50)%(f) | 1.76% | 2.65% | 4.60% | 0.69% | 2.55%(f) | |||||
Portfolio turnover rate (g) | 21%(h) | 51% | 22% | 21% | 21% | 8%(h) |
* | Commencement of operations. |
(a) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Fund underwent a 1-for-20 reverse share split. The per share data presented here have been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | For the Period 10/16/15* - 12/31/15(a) | ||||||
Net asset value, beginning of period | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | $200.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.27) | 3.80 | 4.00 | 8.00 | 2.80 | 1.20 | |||||
Net realized and unrealized gain (loss) | (14.93) | 54.40 | (25.80) | 30.60 | 27.40 | (14.00) | |||||
Total from investment operations | (15.20) | 58.20 | (21.80) | 38.60 | 30.20 | (12.80) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (5.60) | (3.60) | (5.60) | (2.80) | (1.20) | |||||
Net realized gains | — | (8.80) | (4.00) | (7.40) | (0.00)(c) | — | |||||
Total distributions | — | (14.40) | (7.60) | (13.00) | (2.80) | (1.20) | |||||
Net asset value, end of period | $238.20 | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | |||||
Total return (d) | (6.00)% | 27.70% | (9.07)% | 18.16% | 15.96% | (6.18)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 5,521 | $ 6,312 | $ 5,038 | $ 4,135 | $ 297 | $ 97 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.53%(f) | 0.46% | 0.61% | 0.90% | 2.22% | 4.83%(f) | |||||
Net expenses (e) | 0.25%(f) | 0.17% | 0.07% | 0.11% | 0.05% | 0.05%(f) | |||||
Net investment income (loss) | (0.24)%(f) | 1.58% | 1.58% | 3.42% | 1.42% | 2.80%(f) | |||||
Portfolio turnover rate (g) | 21%(h) | 51% | 22% | 21% | 21% | 8%(h) |
* | Commencement of operations. |
(a) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Fund underwent a 1-for-20 reverse share split. The per share data presented here have been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | For the Period 8/12/15* - 12/31/15(a) | ||||||
Net asset value, beginning of period | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | $200.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | (0.05) | 5.40 | 5.80 | 3.00 | 3.00 | 1.20 | |||||
Net realized and unrealized gain (loss) | (14.87) | 53.00 | (27.60) | 35.60 | 27.20 | (14.00) | |||||
Total from investment operations | (14.92) | 58.40 | (21.80) | 38.60 | 30.20 | (12.80) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (5.80) | (3.60) | (5.60) | (2.80) | (1.20) | |||||
Net realized gains | — | (8.80) | (4.00) | (7.40) | (0.00)(c) | — | |||||
Total distributions | — | (14.60) | (7.60) | (13.00) | (2.80) | (1.20) | |||||
Net asset value, end of period | $238.48 | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | |||||
Total return (d) | (5.89)% | 27.84% | (9.03)% | 18.16% | 16.21% | (6.38)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $78,069 | $77,885 | $38,195 | $18,750 | $14,098 | $ 3,930 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.33%(f) | 0.34% | 0.55% | 0.96% | 2.21% | 4.71%(f) | |||||
Net expenses (e) | 0.05%(f) | 0.05% | 0.04% | 0.05% | 0.05% | 0.05%(f) | |||||
Net investment income (loss) | (0.05)%(f) | 2.17% | 2.37% | 1.29% | 1.51% | 1.49%(f) | |||||
Portfolio turnover rate (g) | 21%(h) | 51% | 22% | 21% | 21% | 8%(h) |
* | Commencement of operations. |
(a) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Fund underwent a 1-for-20 reverse share split. The per share data presented here have been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
(h) | Not annualized. |
% of Net Assets | |||
U.S. Treasury Obligations | 36.6% | ||
U.S. Government Agency Obligations | 29.0 | ||
Corporate Bonds & Notes | 27.4 | ||
Foreign Government Obligations | 3.8 | ||
Mortgage-Backed Securities | 1.3 | ||
Municipal Bonds & Notes | 0.6 | ||
Asset-Backed Securities | 0.4 | ||
Short-Term Investments | 6.0 | ||
Liabilities in Excess of Other Assets | (5.1) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.5% | ||
Electric | 2.0 | ||
Pharmaceuticals | 1.9 | ||
Telecommunications | 1.3 | ||
Oil & Gas | 1.2 | ||
TOTAL | 11.9% |
% of Net Assets | |||
Common Stocks | 96.7% | ||
Rights | 0.0 * | ||
Warrants | 0.0 * | ||
Short-Term Investments | 4.5 | ||
Liabilities in Excess of Other Assets | (1.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Common Stocks | 97.6% | ||
Rights | 0.0 * | ||
Warrants | 0.0 * | ||
Short-Term Investments | 6.9 | ||
Liabilities in Excess of Other Assets | (4.5) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Software | 11.7% | ||
Biotechnology | 7.1 | ||
Equity Real Estate Investment Trusts (REITs) | 6.8 | ||
IT Services | 4.6 | ||
Banks | 4.4 | ||
TOTAL | 34.6% |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 27.4% | |||||
ADVERTISING — 0.1% | |||||
Interpublic Group of Cos., Inc.: | |||||
3.75%, 10/1/2021 | $ 260,000 | $ 269,407 | |||
4.20%, 4/15/2024 | 25,000 | 27,302 | |||
4.65%, 10/1/2028 | 10,000 | 11,603 | |||
5.40%, 10/1/2048 | 25,000 | 27,330 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 (a) | 100,000 | 101,401 | |||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 111,639 | |||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 26,047 | |||
574,729 | |||||
AEROSPACE & DEFENSE — 0.6% | |||||
Boeing Co.: | |||||
2.30%, 8/1/2021 (a) | 30,000 | 30,199 | |||
2.60%, 10/30/2025 | 35,000 | 34,764 | |||
2.80%, 3/1/2023 | 25,000 | 25,463 | |||
2.95%, 2/1/2030 | 50,000 | 48,944 | |||
3.25%, 3/1/2028 | 25,000 | 24,661 | |||
3.38%, 6/15/2046 | 25,000 | 20,687 | |||
3.50%, 3/1/2039 | 250,000 | 221,487 | |||
3.55%, 3/1/2038 | 165,000 | 144,489 | |||
3.65%, 3/1/2047 | 100,000 | 87,382 | |||
3.75%, 2/1/2050 | 50,000 | 44,893 | |||
3.83%, 3/1/2059 | 250,000 | 212,305 | |||
4.51%, 5/1/2023 | 400,000 | 422,712 | |||
4.88%, 5/1/2025 | 85,000 | 92,663 | |||
5.04%, 5/1/2027 | 150,000 | 165,439 | |||
5.15%, 5/1/2030 | 200,000 | 222,856 | |||
5.71%, 5/1/2040 | 150,000 | 169,660 | |||
5.81%, 5/1/2050 (a) | 200,000 | 236,740 | |||
5.93%, 5/1/2060 | 150,000 | 176,889 | |||
General Dynamics Corp.: | |||||
2.25%, 11/15/2022 | 25,000 | 25,942 | |||
2.38%, 11/15/2024 | 250,000 | 266,632 | |||
3.63%, 4/1/2030 | 100,000 | 116,932 | |||
4.25%, 4/1/2050 | 60,000 | 77,570 | |||
Howmet Aerospace, Inc. 6.88%, 5/1/2025 | 320,000 | 347,219 | |||
L3Harris Technologies, Inc.: | |||||
2.90%, 12/15/2029 | 15,000 | 16,138 | |||
3.83%, 4/27/2025 | 50,000 | 55,935 | |||
3.85%, 6/15/2023 | 70,000 | 76,147 | |||
3.85%, 12/15/2026 | 50,000 | 57,303 | |||
4.40%, 6/15/2028 | 100,000 | 118,579 | |||
Lockheed Martin Corp.: | |||||
1.85%, 6/15/2030 | 45,000 | 46,290 | |||
2.80%, 6/15/2050 | 50,000 | 52,499 | |||
3.55%, 1/15/2026 | 100,000 | 114,650 | |||
3.60%, 3/1/2035 | 50,000 | 60,033 |
Security Description | Principal Amount | Value | |||
4.70%, 5/15/2046 | $ 110,000 | $ 150,190 | |||
Northrop Grumman Corp.: | |||||
2.55%, 10/15/2022 | 150,000 | 156,456 | |||
2.93%, 1/15/2025 | 150,000 | 162,087 | |||
3.25%, 8/1/2023 | 200,000 | 215,158 | |||
3.25%, 1/15/2028 | 150,000 | 167,320 | |||
4.03%, 10/15/2047 | 100,000 | 120,276 | |||
4.75%, 6/1/2043 | 25,000 | 32,389 | |||
Raytheon Technologies Corp.: | |||||
2.25%, 7/1/2030 | 200,000 | 207,946 | |||
2.80%, 3/15/2022 (b) | 200,000 | 206,270 | |||
3.13%, 5/4/2027 | 200,000 | 222,392 | |||
3.13%, 7/1/2050 | 200,000 | 211,972 | |||
3.50%, 3/15/2027 (b) | 136,000 | 153,151 | |||
4.13%, 11/16/2028 | 60,000 | 70,619 | |||
4.35%, 4/15/2047 (b) | 100,000 | 121,692 | |||
4.63%, 11/16/2048 | 35,000 | 45,301 | |||
6.13%, 7/15/2038 | 50,000 | 72,386 | |||
United Technologies Corp.: | |||||
4.45%, 11/16/2038 | 20,000 | 24,425 | |||
4.50%, 6/1/2042 | 100,000 | 124,329 | |||
6,278,461 | |||||
AGRICULTURE — 0.4% | |||||
Altria Group, Inc.: | |||||
2.85%, 8/9/2022 | 200,000 | 208,332 | |||
3.49%, 2/14/2022 | 15,000 | 15,655 | |||
3.80%, 2/14/2024 | 40,000 | 43,772 | |||
3.88%, 9/16/2046 | 100,000 | 99,641 | |||
4.00%, 1/31/2024 | 25,000 | 27,561 | |||
4.40%, 2/14/2026 | 225,000 | 258,712 | |||
4.50%, 5/2/2043 | 25,000 | 26,799 | |||
4.80%, 2/14/2029 | 40,000 | 46,676 | |||
5.80%, 2/14/2039 | 285,000 | 354,130 | |||
5.95%, 2/14/2049 | 75,000 | 97,795 | |||
6.20%, 2/14/2059 | 15,000 | 19,995 | |||
Archer-Daniels-Midland Co.: | |||||
3.38%, 3/15/2022 | 60,000 | 62,771 | |||
3.75%, 9/15/2047 | 50,000 | 60,079 | |||
4.02%, 4/16/2043 | 50,000 | 59,174 | |||
BAT Capital Corp.: | |||||
2.76%, 8/15/2022 | 100,000 | 103,568 | |||
2.79%, 9/6/2024 | 70,000 | 73,614 | |||
3.22%, 8/15/2024 | 50,000 | 53,440 | |||
3.22%, 9/6/2026 | 100,000 | 107,485 | |||
3.46%, 9/6/2029 | 100,000 | 106,502 | |||
3.56%, 8/15/2027 | 100,000 | 107,678 | |||
4.39%, 8/15/2037 | 100,000 | 109,071 | |||
4.54%, 8/15/2047 | 105,000 | 113,814 | |||
4.70%, 4/2/2027 | 250,000 | 286,710 | |||
4.76%, 9/6/2049 | 100,000 | 112,154 | |||
Bunge, Ltd. Finance Corp.: | |||||
3.75%, 9/25/2027 | 30,000 | 31,404 | |||
4.35%, 3/15/2024 | 100,000 | 109,212 | |||
Philip Morris International, Inc.: | |||||
2.13%, 5/10/2023 | 75,000 | 78,142 |
Security Description | Principal Amount | Value | |||
2.63%, 2/18/2022 | $ 25,000 | $ 25,772 | |||
2.75%, 2/25/2026 | 125,000 | 135,849 | |||
3.13%, 3/2/2028 (a) | 200,000 | 224,498 | |||
4.13%, 3/4/2043 | 25,000 | 29,410 | |||
4.25%, 11/10/2044 | 250,000 | 302,187 | |||
4.50%, 3/20/2042 | 50,000 | 61,171 | |||
Reynolds American, Inc.: | |||||
4.00%, 6/12/2022 | 50,000 | 52,783 | |||
5.70%, 8/15/2035 | 25,000 | 30,594 | |||
5.85%, 8/15/2045 | 175,000 | 214,111 | |||
3,850,261 | |||||
AIRLINES — 0.1% | |||||
American Airlines 2014-1 Pass Through Trust Series A, Class A, 3.70%, 4/1/2028 | 17,539 | 14,403 | |||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 89,176 | 82,828 | |||
American Airlines 2019-1 Pass Through Trust Series AA, Class AA, 3.15%, 8/15/2033 | 73,845 | 68,061 | |||
Delta Air Lines 2020-1 Pass Through Trust Series AA, 2.00%, 12/10/2029 | 100,000 | 95,366 | |||
Southwest Airlines Co. 2.63%, 2/10/2030 | 100,000 | 90,085 | |||
United Airlines 2016-1 Pass Through Trust Series AA, 3.10%, 1/7/2030 | 43,404 | 41,300 | |||
United Airlines 2018-1 Pass Through Trust Series AA, Class AA, 3.50%, 9/1/2031 | 107,298 | 100,369 | |||
United Airlines 2019-1 Pass Through Trust Series AA, Class AA, 4.15%, 2/25/2033 | 71,107 | 69,024 | |||
United Airlines 2019-2 Pass Through Trust Series AA, Class AA, 2.70%, 11/1/2033 | 65,000 | 58,545 | |||
619,981 | |||||
APPAREL — 0.1% | |||||
NIKE, Inc.: | |||||
2.38%, 11/1/2026 | 50,000 | 54,639 | |||
3.25%, 3/27/2040 | 200,000 | 223,798 | |||
3.38%, 3/27/2050 | 150,000 | 172,720 | |||
3.88%, 11/1/2045 (a) | 30,000 | 36,832 | |||
Ralph Lauren Corp.: | |||||
2.95%, 6/15/2030 | 15,000 | 15,453 | |||
3.75%, 9/15/2025 (a) | 25,000 | 27,805 |
Security Description | Principal Amount | Value | |||
VF Corp.: | |||||
2.40%, 4/23/2025 | $ 100,000 | $ 105,394 | |||
2.95%, 4/23/2030 | 65,000 | 69,304 | |||
705,945 | |||||
AUTO MANUFACTURERS — 0.4% | |||||
American Honda Finance Corp.: | |||||
1.95%, 5/20/2022 | 65,000 | 66,516 | |||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 104,846 | |||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 53,248 | |||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 325,971 | |||
General Motors Co.: | |||||
5.15%, 4/1/2038 | 200,000 | 194,534 | |||
5.20%, 4/1/2045 | 200,000 | 193,588 | |||
5.40%, 10/2/2023 | 250,000 | 270,665 | |||
6.60%, 4/1/2036 | 100,000 | 107,710 | |||
6.75%, 4/1/2046 | 25,000 | 27,303 | |||
General Motors Financial Co., Inc.: | |||||
3.15%, 6/30/2022 | 250,000 | 254,088 | |||
3.20%, 7/6/2021 | 100,000 | 101,113 | |||
3.45%, 1/14/2022 | 50,000 | 50,836 | |||
3.55%, 7/8/2022 | 50,000 | 51,207 | |||
3.70%, 5/9/2023 | 100,000 | 102,842 | |||
3.95%, 4/13/2024 | 150,000 | 154,899 | |||
4.00%, 1/15/2025 | 35,000 | 36,327 | |||
4.15%, 6/19/2023 (a) | 200,000 | 208,734 | |||
4.20%, 11/6/2021 (a) | 250,000 | 256,922 | |||
4.35%, 1/17/2027 | 185,000 | 192,296 | |||
5.25%, 3/1/2026 | 100,000 | 108,981 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 2.00%, 9/26/2022 | 30,000 | 30,942 | |||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 51,817 | |||
Series MTN, 2.65%, 5/10/2022 | 50,000 | 52,090 | |||
Series MTN, 2.65%, 4/6/2023 | 80,000 | 84,423 | |||
Toyota Motor Credit Corp.: | |||||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 26,092 | |||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 55,660 | |||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 108,444 | |||
Series MTN, 1.15%, 5/26/2022 | 150,000 | 151,641 | |||
Series MTN, 1.35%, 8/25/2023 | 150,000 | 152,766 | |||
Series MTN, 1.80%, 2/13/2025 | 150,000 | 155,363 | |||
Series MTN, 2.15%, 9/8/2022 (a) | 50,000 | 51,610 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.60%, 1/11/2022 | $ 200,000 | $ 206,032 | |||
Series MTN, 2.90%, 4/17/2024 | 50,000 | 53,603 | |||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 111,587 | |||
4,154,696 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (c) | |||||
Aptiv PLC: | |||||
4.25%, 1/15/2026 | 25,000 | 27,797 | |||
4.40%, 10/1/2046 (a) | 30,000 | 28,882 | |||
Aptiv PLC 4.35%, 3/15/2029 (a) | 45,000 | 48,459 | |||
BorgWarner, Inc. 2.65%, 7/1/2027 (a) | 50,000 | 51,399 | |||
Lear Corp.: | |||||
3.50%, 5/30/2030 | 25,000 | 24,651 | |||
4.25%, 5/15/2029 | 25,000 | 25,639 | |||
5.25%, 5/15/2049 | 30,000 | 30,345 | |||
237,172 | |||||
BANKS — 5.5% | |||||
Australia & New Zealand Banking Group, Ltd. 2.63%, 5/19/2022 | 250,000 | 260,230 | |||
Banco Santander SA: | |||||
2.75%, 5/28/2025 | 200,000 | 206,982 | |||
3.13%, 2/23/2023 | 200,000 | 208,146 | |||
4.38%, 4/12/2028 | 200,000 | 223,808 | |||
Bank of America Corp.: | |||||
6.11%, 1/29/2037 | 75,000 | 106,455 | |||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (d) | 250,000 | 266,910 | |||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (d) | 96,000 | 100,794 | |||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (d) | 250,000 | 272,850 | |||
3 Month USD LIBOR + 1.02%, 2.88%, 4/24/2023 (d) | 234,000 | 242,330 | |||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (a) (d) | 100,000 | 120,897 | |||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (d) | 200,000 | 243,952 | |||
SOFR + 2.15%, 2.59%, 4/29/2031 (d) | 735,000 | 778,968 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 146,307 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (d) | 250,000 | 280,660 |
Security Description | Principal Amount | Value | |||
Series L, 3.95%, 4/21/2025 | $ 50,000 | $ 55,360 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 51,183 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 55,460 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 27,745 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 55,471 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 67,411 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 136,804 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (d) | 75,000 | 78,832 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (d) | 250,000 | 269,497 | |||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (d) | 200,000 | 207,068 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (d) | 100,000 | 110,342 | |||
Series MTN, 3 Month USD LIBOR + 1.19%, 2.88%, 10/22/2030 (d) | 75,000 | 81,006 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (d) | 150,000 | 174,012 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (d) | 500,000 | 587,830 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (d) | 150,000 | 182,187 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (d) | 150,000 | 193,725 | |||
Series MTN, SOFR + 1.15%, 1.32%, 6/19/2026 (d) | 200,000 | 200,888 | |||
Series MTN, SOFR + 1.46%, 1.49%, 5/19/2024 (d) | 400,000 | 406,360 | |||
Series MTN, SOFR + 1.93%, 2.68%, 6/19/2041 (d) | 200,000 | 205,988 | |||
Bank of America NA 3 Month USD LIBOR + 0.65%, 3.34%, 1/25/2023 (d) | 270,000 | 281,723 | |||
Bank of Montreal: | |||||
Series MTN, 1.90%, 8/27/2021 | 300,000 | 305,184 | |||
Series MTN, 2.05%, 11/1/2022 | 60,000 | 61,983 | |||
Series MTN, 2.50%, 6/28/2024 | 65,000 | 68,966 | |||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 31,358 | |||
Series MTN, 2.90%, 3/26/2022 | 100,000 | 104,187 |
Security Description | Principal Amount | Value | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 | $ 100,000 | $ 109,417 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 209,062 | |||
Series MTN, 2.60%, 2/7/2022 | 125,000 | 129,013 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 113,291 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 281,287 | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (d) | 250,000 | 282,230 | |||
Bank of Nova Scotia: | |||||
1.30%, 6/11/2025 | 150,000 | 151,235 | |||
1.63%, 5/1/2023 | 400,000 | 409,312 | |||
2.70%, 3/7/2022 | 100,000 | 103,714 | |||
Barclays PLC: | |||||
3.20%, 8/10/2021 | 200,000 | 205,926 | |||
3.68%, 1/10/2023 | 200,000 | 207,456 | |||
4.38%, 1/12/2026 | 50,000 | 56,444 | |||
5.25%, 8/17/2045 | 25,000 | 33,427 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (d) | 250,000 | 269,325 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (d) | 250,000 | 269,927 | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (d) | 200,000 | 234,316 | |||
3 Month USD LIBOR + 2.45%, 2.85%, 5/7/2026 (d) | 200,000 | 208,630 | |||
BBVA USA 2.50%, 8/27/2024 | 250,000 | 253,647 | |||
BNP Paribas SA Series MTN, 4.25%, 10/15/2024 | 250,000 | 273,515 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 277,182 | |||
Canadian Imperial Bank of Commerce: | |||||
2.55%, 6/16/2022 | 50,000 | 51,975 | |||
3.10%, 4/2/2024 | 100,000 | 107,066 | |||
3 Month USD LIBOR + 0.79%, 2.61%, 7/22/2023 (d) | 50,000 | 51,689 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 | 250,000 | 274,142 | |||
Citigroup, Inc.: | |||||
2.35%, 8/2/2021 | 50,000 | 50,959 | |||
2.70%, 10/27/2022 | 250,000 | 260,655 | |||
2.75%, 4/25/2022 | 300,000 | 310,782 | |||
3.20%, 10/21/2026 | 300,000 | 329,139 | |||
3.75%, 6/16/2024 | 25,000 | 27,590 | |||
4.13%, 7/25/2028 | 70,000 | 79,151 |
Security Description | Principal Amount | Value | |||
4.30%, 11/20/2026 | $ 50,000 | $ 56,855 | |||
4.40%, 6/10/2025 | 250,000 | 279,987 | |||
4.45%, 9/29/2027 | 150,000 | 170,619 | |||
4.65%, 7/30/2045 | 25,000 | 32,079 | |||
5.30%, 5/6/2044 | 50,000 | 66,140 | |||
6.68%, 9/13/2043 | 175,000 | 268,116 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (d) | 250,000 | 269,882 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (d) | 100,000 | 104,038 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (d) | 250,000 | 276,967 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (d) | 250,000 | 285,362 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (d) | 100,000 | 111,645 | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (d) | 250,000 | 281,400 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (d) | 150,000 | 184,933 | |||
SOFR + 0.87%, 2.31%, 11/4/2022 (d) | 50,000 | 51,038 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (d) | 100,000 | 106,251 | |||
SOFR + 1.67%, 1.68%, 5/15/2024 (d) | 500,000 | 509,570 | |||
SOFR + 2.11%, 2.57%, 6/3/2031 (d) | 150,000 | 155,021 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 4/28/2025 | 250,000 | 264,510 | |||
Citizens Financial Group, Inc.: | |||||
2.50%, 2/6/2030 | 75,000 | 75,906 | |||
2.85%, 7/27/2026 | 25,000 | 26,991 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 53,617 | |||
4.00%, 2/1/2029 (a) | 50,000 | 56,189 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 264,195 | |||
3.88%, 2/8/2022 | 50,000 | 52,765 | |||
4.38%, 8/4/2025 | 250,000 | 281,152 | |||
5.75%, 12/1/2043 (a) | 50,000 | 71,768 | |||
Credit Suisse AG: | |||||
2.80%, 4/8/2022 | 250,000 | 259,312 | |||
Series MTN, 3.63%, 9/9/2024 (a) | 500,000 | 552,105 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.80%, 6/9/2023 | 150,000 | 161,302 |
Security Description | Principal Amount | Value | |||
Deutsche Bank AG: | |||||
3.30%, 11/16/2022 | $ 250,000 | $ 256,527 | |||
3.70%, 5/30/2024 | 50,000 | 51,978 | |||
3.95%, 2/27/2023 | 250,000 | 259,522 | |||
4.25%, 10/14/2021 | 200,000 | 204,608 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 | 250,000 | 264,970 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 27,026 | |||
Fifth Third Bancorp 3.95%, 3/14/2028 | 100,000 | 116,687 | |||
Fifth Third Bank NA: | |||||
Series BKNT, 3.35%, 7/26/2021 | 200,000 | 205,364 | |||
Series BKNT, 3.85%, 3/15/2026 | 225,000 | 252,767 | |||
FNB Corp. 2.20%, 2/24/2023 | 10,000 | 9,910 | |||
Goldman Sachs Group, Inc.: | |||||
2.35%, 11/15/2021 | 175,000 | 176,074 | |||
3.00%, 4/26/2022 | 250,000 | 254,572 | |||
3.50%, 1/23/2025 | 50,000 | 54,604 | |||
3.50%, 11/16/2026 | 250,000 | 274,582 | |||
3.63%, 1/22/2023 | 25,000 | 26,749 | |||
3.75%, 2/25/2026 | 50,000 | 55,954 | |||
4.00%, 3/3/2024 | 50,000 | 55,248 | |||
4.75%, 10/21/2045 | 50,000 | 65,602 | |||
5.15%, 5/22/2045 | 250,000 | 325,742 | |||
5.95%, 1/15/2027 | 50,000 | 62,365 | |||
6.25%, 2/1/2041 | 200,000 | 299,984 | |||
6.75%, 10/1/2037 | 150,000 | 216,067 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (d) | 250,000 | 259,710 | |||
3 Month USD LIBOR + 1.30%, 4.22%, 5/1/2029 (d) | 500,000 | 579,770 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (d) | 200,000 | 231,204 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (d) | 350,000 | 422,530 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (d) | 250,000 | 279,765 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (d) | 325,000 | 349,797 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 65,147 | |||
HSBC Holdings PLC: | |||||
3.60%, 5/25/2023 | 250,000 | 267,690 | |||
4.30%, 3/8/2026 | 250,000 | 282,205 | |||
5.25%, 3/14/2044 | 250,000 | 315,172 | |||
6.50%, 9/15/2037 | 200,000 | 272,424 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (d) | $ 250,000 | $ 260,950 | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (d) | 250,000 | 268,617 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (d) | 200,000 | 222,998 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (d) | 250,000 | 288,275 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (d) | 250,000 | 275,925 | |||
SOFR + 2.39%, 2.85%, 6/4/2031 (d) | 200,000 | 204,330 | |||
Huntington Bancshares, Inc.: | |||||
2.30%, 1/14/2022 | 25,000 | 25,673 | |||
4.00%, 5/15/2025 | 100,000 | 113,238 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 272,757 | |||
Industrial & Commercial Bank of China, Ltd. 2.45%, 10/20/2021 | 250,000 | 254,012 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 217,922 | |||
4.55%, 10/2/2028 | 200,000 | 241,496 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 54,168 | |||
JPMorgan Chase & Co.: | |||||
2.70%, 5/18/2023 | 125,000 | 131,609 | |||
2.95%, 10/1/2026 | 350,000 | 383,617 | |||
2.97%, 1/15/2023 | 50,000 | 51,815 | |||
3.38%, 5/1/2023 | 75,000 | 80,117 | |||
3.88%, 2/1/2024 | 50,000 | 55,426 | |||
4.13%, 12/15/2026 | 50,000 | 58,192 | |||
4.25%, 10/1/2027 | 80,000 | 92,889 | |||
4.85%, 2/1/2044 | 50,000 | 68,008 | |||
4.95%, 6/1/2045 | 50,000 | 67,925 | |||
5.40%, 1/6/2042 | 50,000 | 71,040 | |||
5.50%, 10/15/2040 | 150,000 | 219,297 | |||
5.63%, 8/16/2043 | 250,000 | 363,132 | |||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (d) | 155,000 | 161,298 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (d) | 75,000 | 80,288 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (d) | 200,000 | 216,942 | |||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (d) | 338,000 | 349,857 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (d) | $ 185,000 | $ 208,465 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (d) | 100,000 | 107,594 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (d) | 125,000 | 143,250 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (d) | 200,000 | 234,070 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (d) | 250,000 | 282,855 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (d) | 200,000 | 236,356 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (d) | 200,000 | 223,406 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (d) | 100,000 | 120,581 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (d) | 50,000 | 60,458 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (d) | 100,000 | 125,744 | |||
SOFR + 1.46%, 1.51%, 6/1/2024 (d) | 200,000 | 203,330 | |||
SOFR + 1.59%, 2.01%, 3/13/2026 (d) | 370,000 | 383,834 | |||
SOFR + 1.85%, 2.08%, 4/22/2026 (d) | 250,000 | 259,840 | |||
SOFR + 1.89%, 2.18%, 6/1/2028 (d) | 200,000 | 207,380 | |||
SOFR + 2.04%, 2.52%, 4/22/2031 (d) | 500,000 | 528,185 | |||
SOFR + 2.44%, 3.11%, 4/22/2051 (d) | 250,000 | 266,910 | |||
SOFR + 2.46%, 3.11%, 4/22/2041 (d) | 165,000 | 177,918 | |||
SOFR + 2.52%, 2.96%, 5/13/2031 (d) | 65,000 | 68,949 | |||
KeyBank NA: | |||||
Series BKNT, 2.30%, 9/14/2022 | 250,000 | 259,270 | |||
Series MTN, 3.40%, 5/20/2026 | 25,000 | 27,566 | |||
KeyCorp.: | |||||
Series MTN, 2.25%, 4/6/2027 | 100,000 | 104,671 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 74,852 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 26,724 | |||
2.25%, 10/1/2021 | 50,000 | 51,210 |
Security Description | Principal Amount | Value | |||
Series GMTN, 1.75%, 7/27/2026 | $ 50,000 | $ 53,235 | |||
Lloyds Banking Group PLC: | |||||
3.75%, 1/11/2027 | 100,000 | 110,557 | |||
3.90%, 3/12/2024 | 250,000 | 271,785 | |||
4.34%, 1/9/2048 | 200,000 | 232,514 | |||
4.55%, 8/16/2028 | 250,000 | 292,922 | |||
4.65%, 3/24/2026 | 100,000 | 111,962 | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (d) | 200,000 | 207,820 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
2.19%, 9/13/2021 | 50,000 | 50,889 | |||
2.67%, 7/25/2022 | 300,000 | 311,805 | |||
2.76%, 9/13/2026 | 25,000 | 26,663 | |||
3.00%, 2/22/2022 | 50,000 | 51,786 | |||
3.29%, 7/25/2027 | 50,000 | 54,766 | |||
3.41%, 3/7/2024 | 250,000 | 269,987 | |||
3.46%, 3/2/2023 | 50,000 | 53,344 | |||
3.54%, 7/26/2021 | 30,000 | 30,973 | |||
3.68%, 2/22/2027 | 50,000 | 55,417 | |||
3.74%, 3/7/2029 (a) | 250,000 | 283,542 | |||
3.76%, 7/26/2023 | 100,000 | 108,506 | |||
3.78%, 3/2/2025 | 50,000 | 55,279 | |||
3.85%, 3/1/2026 | 25,000 | 28,330 | |||
3.96%, 3/2/2028 (a) | 50,000 | 57,425 | |||
4.05%, 9/11/2028 | 100,000 | 115,879 | |||
4.29%, 7/26/2038 | 35,000 | 42,385 | |||
Mizuho Financial Group, Inc.: | |||||
2.95%, 2/28/2022 | 200,000 | 207,226 | |||
4.02%, 3/5/2028 | 200,000 | 226,980 | |||
3 Month USD LIBOR + 0.98%, 2.84%, 7/16/2025 (d) | 200,000 | 209,976 | |||
3 Month USD LIBOR + 1.31%, 2.87%, 9/13/2030 (d) | 200,000 | 211,538 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 112,639 | |||
3.95%, 4/23/2027 | 25,000 | 28,038 | |||
4.30%, 1/27/2045 | 50,000 | 62,835 | |||
4.38%, 1/22/2047 | 100,000 | 129,983 | |||
6.38%, 7/24/2042 | 65,000 | 101,531 | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (d) | 250,000 | 269,360 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (d) | 100,000 | 112,301 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (d) | 250,000 | 314,652 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (d) | 100,000 | 118,589 |
Security Description | Principal Amount | Value | |||
SOFR + 1.99%, 2.19%, 4/28/2026 (d) | $ 255,000 | $ 265,751 | |||
Class GMTN, SOFR + 4.84%, 5.60%, 3/24/2051 (d) | 200,000 | 303,716 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 318,177 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 53,905 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 141,873 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 566,620 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 57,555 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (d) | 250,000 | 297,872 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 248,146 | |||
Series MTN, SOFR + 1.15%, 2.72%, 7/22/2025 (d) | 500,000 | 529,315 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 265,160 | |||
Series BKNT, 1.88%, 7/12/2021 | 250,000 | 253,670 | |||
Series BKNT, 2.50%, 7/12/2026 | 50,000 | 53,943 | |||
Northern Trust Corp.: | |||||
1.95%, 5/1/2030 | 75,000 | 77,394 | |||
3.65%, 8/3/2028 | 100,000 | 116,311 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (d) | 63,000 | 67,314 | |||
PNC Bank NA: | |||||
Series BKNT, 2.63%, 2/17/2022 | 250,000 | 258,367 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 281,000 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 | 150,000 | 158,839 | |||
3.15%, 5/19/2027 | 100,000 | 111,741 | |||
3.30%, 3/8/2022 | 50,000 | 52,186 | |||
3.45%, 4/23/2029 | 100,000 | 114,695 | |||
3.50%, 1/23/2024 | 50,000 | 54,672 | |||
3.90%, 4/29/2024 | 50,000 | 55,127 | |||
Regions Financial Corp. 2.25%, 5/18/2025 (a) | 100,000 | 104,667 | |||
Royal Bank of Canada: | |||||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 546,130 | |||
Series GMTN, 4.65%, 1/27/2026 (a) | 100,000 | 115,991 | |||
Royal Bank of Scotland Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 80,854 | |||
5.13%, 5/28/2024 | 100,000 | 109,121 |
Security Description | Principal Amount | Value | |||
6.00%, 12/19/2023 | $ 95,000 | $ 106,416 | |||
6.10%, 6/10/2023 | 45,000 | 49,785 | |||
6.13%, 12/15/2022 | 105,000 | 114,505 | |||
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (d) | 250,000 | 259,650 | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (d) | 250,000 | 271,482 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (a) (d) | 200,000 | 231,772 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 52,119 | |||
3.70%, 3/28/2022 | 60,000 | 61,852 | |||
4.40%, 7/13/2027 | 50,000 | 54,137 | |||
4.45%, 12/3/2021 | 30,000 | 31,181 | |||
4.50%, 7/17/2025 | 50,000 | 54,140 | |||
3.50%, 6/7/2024 | 70,000 | 73,571 | |||
Santander UK Group Holdings PLC: | |||||
3.57%, 1/10/2023 | 250,000 | 258,777 | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (d) | 200,000 | 219,856 | |||
Skandinaviska Enskilda Banken AB 1.88%, 9/13/2021 | 50,000 | 50,776 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
2.44%, 10/19/2021 | 70,000 | 71,684 | |||
2.45%, 9/27/2024 | 200,000 | 209,752 | |||
2.78%, 7/12/2022 | 350,000 | 364,493 | |||
2.78%, 10/18/2022 | 100,000 | 104,579 | |||
2.85%, 1/11/2022 | 250,000 | 258,225 | |||
3.01%, 10/19/2026 | 50,000 | 54,438 | |||
3.04%, 7/16/2029 | 200,000 | 216,326 | |||
3.10%, 1/17/2023 | 200,000 | 211,290 | |||
3.36%, 7/12/2027 | 50,000 | 55,019 | |||
3.75%, 7/19/2023 | 50,000 | 54,185 | |||
3.78%, 3/9/2026 | 30,000 | 33,912 | |||
3.94%, 7/19/2028 | 50,000 | 57,245 | |||
4.31%, 10/16/2028 | 100,000 | 117,195 | |||
SunTrust Bank Series BKNT, 4.05%, 11/3/2025 | 40,000 | 45,938 | |||
Synchrony Bank Series BKNT, 3.00%, 6/15/2022 | 250,000 | 254,942 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 15,241 | |||
Toronto-Dominion Bank: | |||||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 54,611 | |||
Series MTN, 0.75%, 6/12/2023 | 165,000 | 166,109 |
Security Description | Principal Amount | Value | |||
Series MTN, 1.15%, 6/12/2025 (a) | $ 200,000 | $ 202,728 | |||
Truist Bank: | |||||
Series BKNT, 1.50%, 3/10/2025 | 250,000 | 256,157 | |||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 51,813 | |||
Series BKNT, 2.80%, 5/17/2022 (a) | 100,000 | 104,064 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 105,730 | |||
Series BKNT, 3.63%, 9/16/2025 | 25,000 | 27,908 | |||
Truist Financial Corp.: | |||||
2.70%, 1/27/2022 | 50,000 | 51,553 | |||
4.00%, 5/1/2025 | 100,000 | 113,766 | |||
Series MTN, 2.20%, 3/16/2023 | 100,000 | 103,808 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 106,391 | |||
Series MTN, 3.05%, 6/20/2022 | 150,000 | 157,072 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 54,758 | |||
Series MTN, 3.88%, 3/19/2029 | 100,000 | 113,236 | |||
US Bancorp: | |||||
1.45%, 5/12/2025 | 150,000 | 154,437 | |||
2.40%, 7/30/2024 | 100,000 | 106,494 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 108,803 | |||
Series MTN, 3.10%, 4/27/2026 | 50,000 | 55,411 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 27,798 | |||
Series V, 2.63%, 1/24/2022 | 300,000 | 309,699 | |||
US Bank NA Series BKNT, 3.40%, 7/24/2023 | 250,000 | 270,300 | |||
Wells Fargo & Co.: | |||||
3.00%, 4/22/2026 | 250,000 | 272,715 | |||
3.00%, 10/23/2026 | 250,000 | 273,110 | |||
3.07%, 1/24/2023 | 250,000 | 259,120 | |||
4.13%, 8/15/2023 | 25,000 | 27,177 | |||
4.48%, 1/16/2024 | 25,000 | 27,720 | |||
5.38%, 11/2/2043 | 150,000 | 202,051 | |||
5.61%, 1/15/2044 | 325,000 | 445,763 | |||
5.95%, 12/1/2086 | 25,000 | 30,022 | |||
SOFR + 2.00%, 2.19%, 4/30/2026 (d) | 310,000 | 320,549 | |||
SOFR + 2.53%, 3.07%, 4/30/2041 (d) | 415,000 | 433,152 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 57,196 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 192,174 | |||
Series MTN, 2.63%, 7/22/2022 | 365,000 | 379,775 |
Security Description | Principal Amount | Value | |||
Series MTN, 3.30%, 9/9/2024 (a) | $ 150,000 | $ 164,292 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 55,758 | |||
Series MTN, 4.15%, 1/24/2029 (a) | 250,000 | 293,407 | |||
Series MTN, 3 Month USD LIBOR + 0.75%, 2.16%, 2/11/2026 (d) | 125,000 | 128,915 | |||
Series MTN, 3 Month USD LIBOR + 0.83%, 2.41%, 10/30/2025 (d) | 250,000 | 260,187 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (a) (d) | 110,000 | 119,109 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (d) | 350,000 | 388,388 | |||
Series MTN, 3 Month USD LIBOR + 3.77%, 4.48%, 4/4/2031 (d) | 150,000 | 181,272 | |||
Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (d) | 165,000 | 167,544 | |||
Series MTN, SOFR + 2.10%, 2.39%, 6/2/2028 (d) | 200,000 | 206,636 | |||
Westpac Banking Corp.: | |||||
2.35%, 2/19/2025 | 100,000 | 106,141 | |||
2.80%, 1/11/2022 | 100,000 | 103,446 | |||
2.85%, 5/13/2026 | 50,000 | 54,887 | |||
3.30%, 2/26/2024 | 300,000 | 326,541 | |||
3.35%, 3/8/2027 | 150,000 | 169,927 | |||
3.40%, 1/25/2028 (a) | 100,000 | 114,579 | |||
3.65%, 5/15/2023 | 100,000 | 108,451 | |||
4.42%, 7/24/2039 (a) | 25,000 | 29,400 | |||
5 year CMT + 2.00%, 4.11%, 7/24/2034 (d) | 30,000 | 33,061 | |||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 244,550 | |||
58,326,300 | |||||
BEVERAGES — 0.8% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.65%, 2/1/2026 | 250,000 | 280,280 | |||
4.70%, 2/1/2036 | 125,000 | 146,724 | |||
4.90%, 2/1/2046 | 250,000 | 303,155 | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.50%, 6/1/2030 (a) | 500,000 | 562,170 | |||
3.75%, 7/15/2042 | 50,000 | 53,136 | |||
4.00%, 4/13/2028 | 80,000 | 92,329 | |||
4.15%, 1/23/2025 | 500,000 | 566,830 | |||
4.38%, 4/15/2038 | 215,000 | 243,640 | |||
4.50%, 6/1/2050 | 250,000 | 297,032 | |||
4.60%, 4/15/2048 | 35,000 | 40,914 | |||
4.75%, 4/15/2058 | 125,000 | 150,601 |
Security Description | Principal Amount | Value | |||
4.90%, 1/23/2031 | $ 65,000 | $ 81,399 | |||
4.95%, 1/15/2042 | 250,000 | 300,177 | |||
5.45%, 1/23/2039 | 350,000 | 441,840 | |||
5.55%, 1/23/2049 | 350,000 | 464,775 | |||
5.80%, 1/23/2059 | 45,000 | 63,531 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 55,901 | |||
4.00%, 4/15/2038 | 50,000 | 59,021 | |||
Coca-Cola Co: | |||||
1.45%, 6/1/2027 | 40,000 | 41,106 | |||
2.95%, 3/25/2025 | 250,000 | 275,202 | |||
Coca-Cola Co.: | |||||
1.55%, 9/1/2021 | 200,000 | 202,656 | |||
2.13%, 9/6/2029 | 150,000 | 160,093 | |||
2.20%, 5/25/2022 | 200,000 | 206,834 | |||
2.25%, 9/1/2026 | 25,000 | 27,136 | |||
2.88%, 10/27/2025 (a) | 25,000 | 27,709 | |||
3.20%, 11/1/2023 | 25,000 | 27,194 | |||
4.20%, 3/25/2050 (a) | 150,000 | 198,279 | |||
Constellation Brands, Inc.: | |||||
2.70%, 5/9/2022 | 50,000 | 51,776 | |||
2.88%, 5/1/2030 | 25,000 | 26,520 | |||
3.15%, 8/1/2029 (a) | 100,000 | 107,777 | |||
3.75%, 5/1/2050 | 20,000 | 21,761 | |||
4.25%, 5/1/2023 | 25,000 | 27,379 | |||
4.50%, 5/9/2047 | 50,000 | 59,310 | |||
4.65%, 11/15/2028 | 30,000 | 35,428 | |||
Diageo Capital PLC: | |||||
2.63%, 4/29/2023 | 75,000 | 79,102 | |||
3.88%, 5/18/2028 | 200,000 | 233,834 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 31,138 | |||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 154,606 | |||
Keurig Dr Pepper, Inc.: | |||||
3.13%, 12/15/2023 | 50,000 | 53,624 | |||
3.20%, 5/1/2030 | 45,000 | 50,045 | |||
3.80%, 5/1/2050 (a) | 70,000 | 79,205 | |||
4.06%, 5/25/2023 | 50,000 | 54,461 | |||
4.42%, 5/25/2025 | 200,000 | 230,616 | |||
5.09%, 5/25/2048 | 25,000 | 33,155 | |||
Molson Coors Brewing Co.: | |||||
2.10%, 7/15/2021 | 250,000 | 253,342 | |||
3.00%, 7/15/2026 | 50,000 | 51,806 | |||
4.20%, 7/15/2046 | 30,000 | 29,136 | |||
PepsiCo, Inc.: | |||||
0.75%, 5/1/2023 | 115,000 | 115,853 | |||
1.63%, 5/1/2030 | 75,000 | 76,399 | |||
1.70%, 10/6/2021 | 150,000 | 152,422 | |||
2.25%, 5/2/2022 | 300,000 | 309,732 | |||
2.25%, 3/19/2025 | 250,000 | 267,192 | |||
2.63%, 7/29/2029 | 50,000 | 55,329 | |||
2.85%, 2/24/2026 | 85,000 | 93,903 | |||
2.88%, 10/15/2049 | 100,000 | 108,278 |
Security Description | Principal Amount | Value | |||
3.38%, 7/29/2049 | $ 35,000 | $ 40,152 | |||
3.45%, 10/6/2046 | 150,000 | 173,947 | |||
3.60%, 3/1/2024 | 25,000 | 27,567 | |||
3.63%, 3/19/2050 | 150,000 | 182,617 | |||
4.45%, 4/14/2046 | 75,000 | 99,478 | |||
4.60%, 7/17/2045 | 25,000 | 33,677 | |||
8,770,231 | |||||
BIOTECHNOLOGY — 0.3% | |||||
Amgen, Inc.: | |||||
2.20%, 2/21/2027 | 70,000 | 73,576 | |||
2.30%, 2/25/2031 | 100,000 | 104,053 | |||
2.65%, 5/11/2022 | 150,000 | 155,733 | |||
3.15%, 2/21/2040 | 100,000 | 107,247 | |||
3.20%, 11/2/2027 | 250,000 | 280,567 | |||
3.38%, 2/21/2050 | 100,000 | 110,555 | |||
3.63%, 5/22/2024 | 100,000 | 109,648 | |||
4.40%, 5/1/2045 | 50,000 | 61,979 | |||
4.56%, 6/15/2048 | 200,000 | 259,192 | |||
6.38%, 6/1/2037 | 50,000 | 72,604 | |||
Baxalta, Inc. 4.00%, 6/23/2025 | 8,000 | 9,169 | |||
Biogen, Inc.: | |||||
2.25%, 5/1/2030 | 35,000 | 35,384 | |||
4.05%, 9/15/2025 | 50,000 | 57,358 | |||
5.20%, 9/15/2045 | 275,000 | 357,112 | |||
Gilead Sciences, Inc.: | |||||
1.95%, 3/1/2022 (a) | 5,000 | 5,112 | |||
2.95%, 3/1/2027 (a) | 25,000 | 27,874 | |||
3.25%, 9/1/2022 | 250,000 | 264,223 | |||
3.65%, 3/1/2026 | 85,000 | 97,216 | |||
4.15%, 3/1/2047 | 120,000 | 153,122 | |||
4.40%, 12/1/2021 | 25,000 | 26,169 | |||
4.50%, 2/1/2045 | 25,000 | 32,507 | |||
4.60%, 9/1/2035 | 100,000 | 130,679 | |||
4.75%, 3/1/2046 | 175,000 | 236,049 | |||
4.80%, 4/1/2044 | 25,000 | 33,602 | |||
2,800,730 | |||||
BUILDING MATERIALS — 0.1% | |||||
Carrier Global Corp.: | |||||
2.24%, 2/15/2025 (b) | 35,000 | 35,855 | |||
2.49%, 2/15/2027 (b) | 35,000 | 35,624 | |||
2.72%, 2/15/2030 (b) | 50,000 | 50,105 | |||
3.38%, 4/5/2040 (b) | 265,000 | 257,988 | |||
3.58%, 4/5/2050 (b) | 50,000 | 48,817 | |||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 54,540 | |||
Johnson Controls International PLC: | |||||
4.50%, 2/15/2047 | 320,000 | 365,408 | |||
3.63%, 7/2/2024 (a) (e) | 23,000 | 24,480 | |||
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | 100,000 | 110,249 |
Security Description | Principal Amount | Value | |||
Masco Corp. 4.38%, 4/1/2026 | $ 170,000 | $ 193,115 | |||
Owens Corning: | |||||
3.95%, 8/15/2029 | 70,000 | 76,278 | |||
4.30%, 7/15/2047 | 100,000 | 101,351 | |||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 114,231 | |||
1,468,041 | |||||
CHEMICALS — 0.5% | |||||
Air Products & Chemicals, Inc.: | |||||
1.50%, 10/15/2025 | 20,000 | 20,658 | |||
2.05%, 5/15/2030 | 20,000 | 20,980 | |||
2.70%, 5/15/2040 | 50,000 | 52,565 | |||
2.80%, 5/15/2050 | 35,000 | 36,798 | |||
Albemarle Wodgina Pty, Ltd. 3.45%, 11/15/2029 (b) | 50,000 | 48,282 | |||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 25,737 | |||
Celanese US Holdings LLC: | |||||
3.50%, 5/8/2024 | 30,000 | 31,721 | |||
4.63%, 11/15/2022 | 10,000 | 10,624 | |||
Dow Chemical Co.: | |||||
3.63%, 5/15/2026 | 100,000 | 109,930 | |||
4.25%, 10/1/2034 | 50,000 | 55,808 | |||
4.38%, 11/15/2042 | 50,000 | 55,770 | |||
4.80%, 11/30/2028 | 100,000 | 119,407 | |||
4.80%, 5/15/2049 | 65,000 | 77,249 | |||
DowDuPont, Inc.: | |||||
4.49%, 11/15/2025 | 100,000 | 114,749 | |||
4.73%, 11/15/2028 | 150,000 | 180,468 | |||
5.42%, 11/15/2048 (a) | 110,000 | 144,720 | |||
DuPont de Nemours, Inc. 2.17%, 5/1/2023 | 90,000 | 91,717 | |||
Eastman Chemical Co.: | |||||
3.50%, 12/1/2021 | 45,000 | 46,422 | |||
3.80%, 3/15/2025 | 25,000 | 27,111 | |||
4.50%, 12/1/2028 | 100,000 | 114,743 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 155,766 | |||
2.70%, 11/1/2026 | 150,000 | 166,614 | |||
4.35%, 12/8/2021 | 20,000 | 21,147 | |||
EI du Pont de Nemours & Co. 1.70%, 7/15/2025 | 40,000 | 41,245 | |||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 117,507 | |||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 21,052 | |||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 (a) | 45,000 | 50,669 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 (a) | 25,000 | 29,335 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 | 100,000 | 109,007 |
Security Description | Principal Amount | Value | |||
LYB International Finance III LLC: | |||||
2.88%, 5/1/2025 (a) | $ 50,000 | $ 53,198 | |||
3.38%, 5/1/2030 | 50,000 | 53,465 | |||
4.20%, 10/15/2049 | 50,000 | 53,709 | |||
4.20%, 5/1/2050 | 50,000 | 53,814 | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | 25,000 | 27,847 | |||
5.75%, 4/15/2024 | 100,000 | 114,839 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 255,880 | |||
4.05%, 11/15/2027 (a) | 250,000 | 264,902 | |||
5.63%, 11/15/2043 | 25,000 | 26,904 | |||
Nutrien, Ltd.: | |||||
2.95%, 5/13/2030 | 100,000 | 106,272 | |||
3.00%, 4/1/2025 | 50,000 | 53,348 | |||
4.00%, 12/15/2026 | 50,000 | 56,250 | |||
4.13%, 3/15/2035 | 25,000 | 27,859 | |||
4.20%, 4/1/2029 (a) | 85,000 | 98,166 | |||
5.00%, 4/1/2049 | 150,000 | 191,553 | |||
PPG Industries, Inc. 2.80%, 8/15/2029 | 100,000 | 106,182 | |||
Praxair, Inc.: | |||||
3.20%, 1/30/2026 | 275,000 | 306,149 | |||
3.55%, 11/7/2042 | 25,000 | 28,039 | |||
RPM International, Inc.: | |||||
3.75%, 3/15/2027 (a) | 50,000 | 52,831 | |||
4.25%, 1/15/2048 | 200,000 | 200,870 | |||
5.25%, 6/1/2045 | 25,000 | 28,523 | |||
Sherwin-Williams Co.: | |||||
2.30%, 5/15/2030 | 60,000 | 61,196 | |||
2.95%, 8/15/2029 | 50,000 | 53,865 | |||
3.30%, 5/15/2050 | 100,000 | 101,940 | |||
3.45%, 6/1/2027 | 30,000 | 33,592 | |||
3.80%, 8/15/2049 | 50,000 | 55,024 | |||
Westlake Chemical Corp.: | |||||
4.38%, 11/15/2047 | 150,000 | 147,889 | |||
5.00%, 8/15/2046 | 100,000 | 105,747 | |||
4,817,654 | |||||
COMMERCIAL SERVICES — 0.3% | |||||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 49,808 | |||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 170,295 | |||
Equifax, Inc.: | |||||
2.60%, 12/1/2024 | 50,000 | 52,888 | |||
3.95%, 6/15/2023 | 40,000 | 43,241 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 122,317 | |||
Georgetown University Series 20A, 2.94%, 4/1/2050 | 25,000 | 24,948 |
Security Description | Principal Amount | Value | |||
Global Payments, Inc. 2.65%, 2/15/2025 | $ 350,000 | $ 371,686 | |||
IHS Markit, Ltd. 4.25%, 5/1/2029 | 125,000 | 143,571 | |||
Massachusetts Institute of Technology: | |||||
3.96%, 7/1/2038 | 50,000 | 62,264 | |||
Series F, 2.99%, 7/1/2050 | 100,000 | 113,582 | |||
Moody's Corp.: | |||||
2.63%, 1/15/2023 | 250,000 | 261,807 | |||
2.75%, 12/15/2021 | 200,000 | 205,884 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 188,002 | |||
PayPal Holdings, Inc.: | |||||
2.20%, 9/26/2022 | 20,000 | 20,697 | |||
2.30%, 6/1/2030 | 55,000 | 57,419 | |||
2.40%, 10/1/2024 | 35,000 | 37,191 | |||
2.65%, 10/1/2026 | 20,000 | 21,762 | |||
2.85%, 10/1/2029 | 30,000 | 32,679 | |||
3.25%, 6/1/2050 | 65,000 | 70,332 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 259,506 | |||
RELX Capital, Inc.: | |||||
3.50%, 3/16/2023 | 30,000 | 31,961 | |||
4.00%, 3/18/2029 | 100,000 | 115,429 | |||
S&P Global, Inc.: | |||||
2.50%, 12/1/2029 | 55,000 | 59,765 | |||
3.25%, 12/1/2049 | 65,000 | 71,513 | |||
4.50%, 5/15/2048 | 50,000 | 64,783 | |||
Total System Services, Inc. 4.45%, 6/1/2028 | 100,000 | 116,575 | |||
Trustees of Princeton University Series 2020, 2.52%, 7/1/2050 | 20,000 | 21,061 | |||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 29,191 | |||
University of Chicago Series 20B, 2.76%, 4/1/2045 | 10,000 | 10,275 | |||
University of Southern California: | |||||
2.81%, 10/1/2050 | 50,000 | 53,736 | |||
3.03%, 10/1/2039 | 25,000 | 27,232 | |||
Series A, 3.23%, 10/1/2120 | 35,000 | 36,530 | |||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 120,000 | 140,726 | |||
3,088,656 | |||||
COMPUTERS — 0.7% | |||||
Apple, Inc.: | |||||
0.75%, 5/11/2023 | 115,000 | 116,030 | |||
1.13%, 5/11/2025 | 350,000 | 356,898 | |||
1.55%, 8/4/2021 | 50,000 | 50,612 | |||
1.65%, 5/11/2030 | 90,000 | 91,993 | |||
2.40%, 1/13/2023 | 200,000 | 210,122 | |||
2.40%, 5/3/2023 | 25,000 | 26,426 |
Security Description | Principal Amount | Value | |||
2.50%, 2/9/2022 | $ 100,000 | $ 103,312 | |||
2.65%, 5/11/2050 | 300,000 | 314,757 | |||
2.70%, 5/13/2022 | 250,000 | 260,933 | |||
2.75%, 1/13/2025 | 200,000 | 217,300 | |||
2.85%, 5/11/2024 | 200,000 | 215,904 | |||
3.00%, 2/9/2024 | 100,000 | 108,159 | |||
3.00%, 11/13/2027 | 100,000 | 112,469 | |||
3.20%, 5/11/2027 | 250,000 | 283,160 | |||
3.25%, 2/23/2026 | 150,000 | 168,318 | |||
3.45%, 5/6/2024 | 250,000 | 276,477 | |||
3.85%, 5/4/2043 | 25,000 | 30,851 | |||
3.85%, 8/4/2046 | 150,000 | 186,452 | |||
4.38%, 5/13/2045 | 75,000 | 99,082 | |||
4.50%, 2/23/2036 | 350,000 | 465,104 | |||
4.65%, 2/23/2046 | 75,000 | 103,116 | |||
Dell International LLC/EMC Corp.: | |||||
4.00%, 7/15/2024 (a) (b) | 50,000 | 53,952 | |||
4.90%, 10/1/2026 (b) | 100,000 | 110,122 | |||
5.45%, 6/15/2023 (b) | 325,000 | 355,592 | |||
6.02%, 6/15/2026 (b) | 20,000 | 22,881 | |||
6.20%, 7/15/2030 (b) | 250,000 | 293,045 | |||
8.35%, 7/15/2046 (b) | 270,000 | 358,366 | |||
DXC Technology Co. 4.13%, 4/15/2025 (a) | 65,000 | 69,166 | |||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 51,873 | |||
Hewlett Packard Enterprise Co.: | |||||
4.40%, 10/15/2022 | 200,000 | 214,074 | |||
4.90%, 10/15/2025 | 70,000 | 80,682 | |||
6.20%, 10/15/2035 | 10,000 | 12,303 | |||
6.35%, 10/15/2045 | 10,000 | 12,233 | |||
HP, Inc.: | |||||
4.05%, 9/15/2022 | 25,000 | 26,725 | |||
6.00%, 9/15/2041 | 250,000 | 294,555 | |||
IBM Credit LLC 2.20%, 9/8/2022 | 100,000 | 103,555 | |||
International Business Machines Corp.: | |||||
1.70%, 5/15/2027 | 100,000 | 102,129 | |||
2.85%, 5/15/2040 | 100,000 | 104,144 | |||
2.88%, 11/9/2022 | 100,000 | 105,560 | |||
2.95%, 5/15/2050 | 100,000 | 102,606 | |||
3.00%, 5/15/2024 | 200,000 | 216,272 | |||
3.30%, 5/15/2026 | 250,000 | 281,020 | |||
3.50%, 5/15/2029 | 215,000 | 247,970 | |||
3.63%, 2/12/2024 | 50,000 | 55,035 | |||
4.15%, 5/15/2039 | 100,000 | 121,027 | |||
4.70%, 2/19/2046 (a) | 325,000 | 424,430 | |||
5.88%, 11/29/2032 | 25,000 | 35,514 | |||
Leidos, Inc. 3.63%, 5/15/2025 (b) | 25,000 | 27,229 | |||
Seagate HDD Cayman 4.13%, 1/15/2031 (b) | 35,000 | 36,992 | |||
7,716,527 |
Security Description | Principal Amount | Value | |||
COSMETICS/PERSONAL CARE — 0.1% | |||||
Colgate-Palmolive Co.: | |||||
Series GMTN, 2.25%, 11/15/2022 | $ 30,000 | $ 31,293 | |||
Series MTN, 3.70%, 8/1/2047 (a) | 55,000 | 70,945 | |||
Estee Lauder Cos., Inc.: | |||||
2.00%, 12/1/2024 | 45,000 | 47,398 | |||
2.38%, 12/1/2029 | 40,000 | 42,914 | |||
3.13%, 12/1/2049 | 60,000 | 65,383 | |||
Procter & Gamble Co.: | |||||
1.70%, 11/3/2021 | 100,000 | 101,794 | |||
2.45%, 3/25/2025 | 100,000 | 108,535 | |||
2.45%, 11/3/2026 | 150,000 | 164,915 | |||
3.00%, 3/25/2030 | 100,000 | 114,496 | |||
3.50%, 10/25/2047 | 100,000 | 122,436 | |||
Unilever Capital Corp.: | |||||
1.38%, 7/28/2021 | 100,000 | 101,109 | |||
2.00%, 7/28/2026 | 100,000 | 106,149 | |||
2.90%, 5/5/2027 (a) | 150,000 | 166,660 | |||
3.10%, 7/30/2025 | 50,000 | 55,425 | |||
1,299,452 | |||||
DISTRIBUTION & WHOLESALE — 0.0% (c) | |||||
WW Grainger, Inc.: | |||||
1.85%, 2/15/2025 | 100,000 | 104,503 | |||
4.60%, 6/15/2045 | 50,000 | 62,801 | |||
167,304 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.9% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||||
3.50%, 5/26/2022 | 150,000 | 147,985 | |||
3.65%, 7/21/2027 (a) | 150,000 | 133,087 | |||
3.95%, 2/1/2022 | 150,000 | 149,742 | |||
4.50%, 9/15/2023 (f) | 150,000 | 150,165 | |||
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | 70,000 | 71,898 | |||
Air Lease Corp.: | |||||
2.75%, 1/15/2023 | 50,000 | 49,442 | |||
3.00%, 9/15/2023 | 25,000 | 24,709 | |||
3.25%, 3/1/2025 (a) | 100,000 | 100,245 | |||
3.63%, 4/1/2027 | 70,000 | 68,487 | |||
3.88%, 7/3/2023 | 50,000 | 50,781 | |||
4.25%, 9/15/2024 | 25,000 | 25,385 | |||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 151,351 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 23,575 | |||
4.25%, 6/15/2026 | 65,000 | 59,352 | |||
5.00%, 4/1/2023 | 25,000 | 24,486 | |||
5.50%, 2/15/2022 | 25,000 | 25,127 |
Security Description | Principal Amount | Value | |||
Ally Financial, Inc.: | |||||
3.05%, 6/5/2023 | $ 65,000 | $ 65,863 | |||
5.80%, 5/1/2025 | 215,000 | 239,961 | |||
American Express Co.: | |||||
2.50%, 8/1/2022 | 250,000 | 259,167 | |||
2.50%, 7/30/2024 | 165,000 | 174,517 | |||
3.00%, 10/30/2024 | 100,000 | 108,123 | |||
3.40%, 2/27/2023 | 200,000 | 213,618 | |||
3.70%, 8/3/2023 | 50,000 | 54,353 | |||
4.20%, 11/6/2025 | 105,000 | 121,955 | |||
Ameriprise Financial, Inc.: | |||||
3.00%, 3/22/2022 | 35,000 | 36,403 | |||
3.70%, 10/15/2024 | 50,000 | 55,671 | |||
BlackRock, Inc.: | |||||
1.90%, 1/28/2031 | 25,000 | 25,589 | |||
2.40%, 4/30/2030 | 45,000 | 48,488 | |||
3.20%, 3/15/2027 | 56,000 | 63,213 | |||
3.25%, 4/30/2029 | 60,000 | 68,750 | |||
3.50%, 3/18/2024 | 25,000 | 27,637 | |||
Brookfield Finance, Inc.: | |||||
3.90%, 1/25/2028 | 50,000 | 54,701 | |||
4.35%, 4/15/2030 | 100,000 | 113,438 | |||
4.70%, 9/20/2047 | 50,000 | 58,053 | |||
4.85%, 3/29/2029 | 100,000 | 117,561 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 263,872 | |||
3.30%, 10/30/2024 | 100,000 | 107,572 | |||
3.75%, 7/28/2026 (a) | 125,000 | 137,191 | |||
3.80%, 1/31/2028 | 250,000 | 277,070 | |||
3.90%, 1/29/2024 | 200,000 | 217,656 | |||
Charles Schwab Corp.: | |||||
2.65%, 1/25/2023 | 100,000 | 105,239 | |||
3.20%, 1/25/2028 | 50,000 | 55,845 | |||
3.45%, 2/13/2026 (a) | 50,000 | 56,290 | |||
3.85%, 5/21/2025 | 250,000 | 283,905 | |||
4.00%, 2/1/2029 (a) | 50,000 | 59,066 | |||
CME Group, Inc. 3.75%, 6/15/2028 (a) | 100,000 | 120,240 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 75,108 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 52,995 | |||
4.10%, 2/9/2027 | 75,000 | 82,190 | |||
4.50%, 1/30/2026 | 50,000 | 56,422 | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | 150,000 | 162,256 | |||
GE Capital Funding LLC: | |||||
3.45%, 5/15/2025 (a) (b) | 200,000 | 209,444 | |||
4.05%, 5/15/2027 (b) | 200,000 | 210,462 | |||
4.40%, 5/15/2030 (a) (b) | 200,000 | 207,888 | |||
4.55%, 5/15/2032 (b) | 200,000 | 207,264 | |||
GE Capital International Funding Co. 4.42%, 11/15/2035 | 550,000 | 556,985 |
Security Description | Principal Amount | Value | |||
GE Capital International Funding Co. Unlimited Co. 3.37%, 11/15/2025 | $ 250,000 | $ 260,640 | |||
Intercontinental Exchange, Inc.: | |||||
2.10%, 6/15/2030 | 30,000 | 30,662 | |||
3.00%, 6/15/2050 | 25,000 | 26,099 | |||
3.10%, 9/15/2027 | 100,000 | 111,615 | |||
3.75%, 12/1/2025 | 180,000 | 205,733 | |||
4.25%, 9/21/2048 | 150,000 | 189,885 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 54,864 | |||
Jefferies Group LLC 6.50%, 1/20/2043 | 50,000 | 57,331 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 53,573 | |||
4.85%, 1/15/2027 | 90,000 | 98,619 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 112,648 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 105,811 | |||
2.95%, 6/1/2029 (a) | 100,000 | 112,289 | |||
3.30%, 3/26/2027 | 30,000 | 34,044 | |||
3.35%, 3/26/2030 | 50,000 | 57,941 | |||
3.50%, 2/26/2028 | 30,000 | 34,491 | |||
3.65%, 6/1/2049 | 100,000 | 120,025 | |||
3.85%, 3/26/2050 | 15,000 | 18,664 | |||
3.95%, 2/26/2048 | 30,000 | 37,545 | |||
Nasdaq, Inc. 3.25%, 4/28/2050 | 40,000 | 41,870 | |||
ORIX Corp.: | |||||
2.90%, 7/18/2022 | 30,000 | 31,068 | |||
3.70%, 7/18/2027 | 50,000 | 55,812 | |||
Stifel Financial Corp. 4.00%, 5/15/2030 | 100,000 | 105,985 | |||
Synchrony Financial: | |||||
2.85%, 7/25/2022 | 30,000 | 30,502 | |||
4.50%, 7/23/2025 | 50,000 | 53,092 | |||
Visa, Inc.: | |||||
2.05%, 4/15/2030 | 150,000 | 157,315 | |||
2.75%, 9/15/2027 | 250,000 | 276,065 | |||
2.80%, 12/14/2022 | 75,000 | 79,160 | |||
3.65%, 9/15/2047 | 100,000 | 121,995 | |||
4.15%, 12/14/2035 | 50,000 | 64,000 | |||
4.30%, 12/14/2045 | 200,000 | 264,064 | |||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 107,962 | |||
9,779,207 | |||||
ELECTRIC — 2.0% | |||||
AEP Texas, Inc.: | |||||
2.40%, 10/1/2022 | 150,000 | 154,845 | |||
3.80%, 10/1/2047 (a) | 25,000 | 28,345 | |||
Series H, 3.45%, 1/15/2050 | 100,000 | 107,814 | |||
AEP Transmission Co. LLC: | |||||
3.75%, 12/1/2047 | 100,000 | 115,275 |
Security Description | Principal Amount | Value | |||
3.80%, 6/15/2049 | $ 50,000 | $ 58,614 | |||
4.25%, 9/15/2048 | 20,000 | 24,644 | |||
Alabama Power Co.: | |||||
3.85%, 12/1/2042 | 75,000 | 87,458 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 80,837 | |||
Ameren Corp. 3.65%, 2/15/2026 | 50,000 | 55,838 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 58,248 | |||
3.80%, 5/15/2028 (a) | 25,000 | 28,959 | |||
4.15%, 3/15/2046 | 50,000 | 61,474 | |||
4.50%, 3/15/2049 | 50,000 | 65,643 | |||
American Electric Power Co., Inc.: | |||||
Series F, 2.95%, 12/15/2022 | 50,000 | 52,294 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 117,621 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 29,433 | |||
7.00%, 4/1/2038 | 25,000 | 36,666 | |||
Arizona Public Service Co.: | |||||
3.75%, 5/15/2046 | 25,000 | 28,064 | |||
4.20%, 8/15/2048 | 25,000 | 29,002 | |||
4.25%, 3/1/2049 (a) | 50,000 | 59,204 | |||
4.35%, 11/15/2045 | 50,000 | 60,121 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 54,133 | |||
Baltimore Gas & Electric Co. 6.35%, 10/1/2036 | 50,000 | 70,505 | |||
Berkshire Hathaway Energy Co.: | |||||
2.80%, 1/15/2023 | 40,000 | 42,148 | |||
3.25%, 4/15/2028 | 30,000 | 33,911 | |||
3.75%, 11/15/2023 | 350,000 | 383,278 | |||
4.50%, 2/1/2045 | 50,000 | 62,853 | |||
5.15%, 11/15/2043 | 150,000 | 204,277 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 26,100 | |||
3.88%, 10/15/2049 | 100,000 | 107,121 | |||
4.35%, 5/1/2033 | 30,000 | 33,225 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 60,811 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 107,956 | |||
Series AC, 4.25%, 2/1/2049 | 200,000 | 254,506 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 52,262 | |||
CenterPoint Energy, Inc.: | |||||
3.60%, 11/1/2021 | 10,000 | 10,381 | |||
3.85%, 2/1/2024 | 25,000 | 27,310 | |||
4.25%, 11/1/2028 | 25,000 | 28,943 | |||
Cleco Corporate Holdings LLC: | |||||
3.38%, 9/15/2029 (b) | 25,000 | 25,906 | |||
4.97%, 5/1/2046 | 20,000 | 21,108 | |||
CMS Energy Corp.: | |||||
3.45%, 8/15/2027 (a) | 50,000 | 55,121 | |||
5 year CMT + 4.12%, 4.75%, 6/1/2050 (a) (d) | 50,000 | 50,933 |
Security Description | Principal Amount | Value | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 | $ 125,000 | $ 153,876 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 177,822 | |||
Connecticut Light & Power Co.: | |||||
Series A, 3.20%, 3/15/2027 | 150,000 | 167,259 | |||
Series A, 4.15%, 6/1/2045 (a) | 100,000 | 122,778 | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.70%, 11/15/2059 | 85,000 | 95,123 | |||
3.85%, 6/15/2046 | 50,000 | 57,963 | |||
4.45%, 3/15/2044 | 75,000 | 91,515 | |||
4.50%, 5/15/2058 | 100,000 | 125,058 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 34,741 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 121,313 | |||
Series D, 4.00%, 12/1/2028 | 100,000 | 118,045 | |||
Consumers Energy Co.: | |||||
3.25%, 8/15/2046 | 50,000 | 55,880 | |||
3.75%, 2/15/2050 | 50,000 | 60,600 | |||
4.05%, 5/15/2048 | 100,000 | 126,034 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 | 30,000 | 31,067 | |||
Dominion Energy, Inc.: | |||||
4.70%, 12/1/2044 | 130,000 | 161,188 | |||
Series B, 2.75%, 1/15/2022 | 150,000 | 154,627 | |||
Series C, 3.38%, 4/1/2030 | 350,000 | 387,796 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 26,834 | |||
DTE Electric Co. 3.70%, 6/1/2046 | 75,000 | 87,097 | |||
DTE Energy Co.: | |||||
Series B, 3.30%, 6/15/2022 | 175,000 | 182,651 | |||
Series C, 3.40%, 6/15/2029 | 175,000 | 189,094 | |||
Series D, 3.70%, 8/1/2023 | 50,000 | 54,022 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 | 150,000 | 161,419 | |||
3.20%, 8/15/2049 | 100,000 | 111,823 | |||
3.88%, 3/15/2046 | 150,000 | 182,995 | |||
3.95%, 11/15/2028 | 100,000 | 119,033 | |||
4.25%, 12/15/2041 | 130,000 | 161,767 | |||
Duke Energy Corp.: | |||||
2.40%, 8/15/2022 | 200,000 | 207,366 | |||
2.65%, 9/1/2026 | 50,000 | 54,266 | |||
3.15%, 8/15/2027 | 100,000 | 111,012 | |||
3.95%, 8/15/2047 | 150,000 | 175,485 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 161,784 | |||
3.20%, 1/15/2027 | 250,000 | 280,400 | |||
6.40%, 6/15/2038 | 50,000 | 76,164 | |||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | 65,000 | 65,798 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 31,751 | |||
Duke Energy Progress LLC: | |||||
2.80%, 5/15/2022 | 100,000 | 103,843 | |||
3.60%, 9/15/2047 | 50,000 | 57,686 | |||
3.70%, 9/1/2028 | 50,000 | 58,037 |
Security Description | Principal Amount | Value | |||
4.20%, 8/15/2045 | $ 150,000 | $ 185,542 | |||
Edison International: | |||||
2.95%, 3/15/2023 (a) | 50,000 | 51,143 | |||
3.55%, 11/15/2024 | 80,000 | 84,410 | |||
4.13%, 3/15/2028 | 50,000 | 52,493 | |||
Emera US Finance L.P. 4.75%, 6/15/2046 | 130,000 | 154,578 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 56,042 | |||
Entergy Arkansas LLC 4.20%, 4/1/2049 | 25,000 | 31,765 | |||
Entergy Corp.: | |||||
2.95%, 9/1/2026 | 50,000 | 55,080 | |||
4.00%, 7/15/2022 | 50,000 | 53,103 | |||
Entergy Louisiana LLC: | |||||
3.05%, 6/1/2031 | 25,000 | 27,881 | |||
3.25%, 4/1/2028 | 200,000 | 220,518 | |||
4.20%, 4/1/2050 (a) | 50,000 | 63,378 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 26,782 | |||
3.85%, 6/1/2049 | 125,000 | 149,966 | |||
Entergy Texas, Inc. 3.55%, 9/30/2049 | 25,000 | 27,475 | |||
Evergy Kansas Central, Inc. 3.25%, 9/1/2049 | 25,000 | 26,779 | |||
Evergy Metro, Inc.: | |||||
4.20%, 6/15/2047 | 25,000 | 30,681 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 122,980 | |||
Series 2020, 2.25%, 6/1/2030 | 50,000 | 52,487 | |||
Eversource Energy: | |||||
Series K, 2.75%, 3/15/2022 | 50,000 | 51,800 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 268,385 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 16,425 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 29,424 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 111,363 | |||
3.50%, 6/1/2022 | 200,000 | 209,114 | |||
3.95%, 6/15/2025 | 50,000 | 56,214 | |||
5.10%, 6/15/2045 | 330,000 | 425,565 | |||
Exelon Generation Co. LLC 3.40%, 3/15/2022 | 250,000 | 259,740 | |||
FirstEnergy Corp.: | |||||
Series B, 3.90%, 7/15/2027 | 280,000 | 317,075 | |||
Series B, 4.25%, 3/15/2023 | 10,000 | 10,810 | |||
Series C, 4.85%, 7/15/2047 | 50,000 | 63,568 | |||
Series C, 7.38%, 11/15/2031 | 20,000 | 29,218 | |||
Florida Power & Light Co.: | |||||
3.15%, 10/1/2049 | 30,000 | 34,006 | |||
3.25%, 6/1/2024 | 25,000 | 27,181 | |||
3.95%, 3/1/2048 | 85,000 | 106,887 | |||
3.99%, 3/1/2049 | 25,000 | 31,804 | |||
4.05%, 10/1/2044 | 50,000 | 62,697 | |||
4.13%, 6/1/2048 (a) | 100,000 | 129,768 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 53,912 |
Security Description | Principal Amount | Value | |||
Georgia Power Co. Series A, 2.20%, 9/15/2024 | $ 100,000 | $ 105,057 | |||
Indiana Michigan Power Co. 4.25%, 8/15/2048 | 15,000 | 18,372 | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 | 50,000 | 54,089 | |||
3.70%, 9/15/2046 | 50,000 | 55,257 | |||
4.10%, 9/26/2028 | 50,000 | 57,945 | |||
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 (b) | 100,000 | 108,782 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 55,433 | |||
Kansas City Power & Light Co. 4.20%, 3/15/2048 | 50,000 | 61,545 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 184,317 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
2.95%, 2/7/2024 | 100,000 | 107,057 | |||
3.40%, 2/7/2028 | 50,000 | 56,294 | |||
3.90%, 11/1/2028 (a) | 100,000 | 116,285 | |||
4.02%, 11/1/2032 | 50,000 | 58,870 | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (d) | 75,000 | 74,268 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
2.25%, 6/1/2030 | 250,000 | 258,005 | |||
2.75%, 11/1/2029 | 165,000 | 177,964 | |||
2.80%, 1/15/2023 | 150,000 | 157,561 | |||
3.15%, 4/1/2024 | 100,000 | 108,589 | |||
3.50%, 4/1/2029 | 100,000 | 113,287 | |||
3.55%, 5/1/2027 | 100,000 | 113,283 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (d) | 25,000 | 25,834 | |||
Northern States Power Co.: | |||||
2.60%, 6/1/2051 | 50,000 | 51,026 | |||
2.90%, 3/1/2050 | 30,000 | 32,647 | |||
3.60%, 9/15/2047 | 50,000 | 58,551 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 (a) | 50,000 | 56,120 | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | 100,000 | 113,609 | |||
Ohio Power Co. 4.00%, 6/1/2049 | 20,000 | 24,264 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 (a) | 50,000 | 55,950 | |||
Oncor Electric Delivery Co. LLC: | |||||
3.70%, 11/15/2028 | 200,000 | 234,526 | |||
3.80%, 9/30/2047 | 100,000 | 120,620 | |||
7.50%, 9/1/2038 | 50,000 | 81,456 | |||
Pacific Gas & Electric Co.: | |||||
1.75%, 6/16/2022 | 50,000 | 50,100 | |||
2.50%, 2/1/2031 | 100,000 | 98,122 | |||
3.50%, 8/1/2050 | 45,000 | 43,680 |
Security Description | Principal Amount | Value | |||
PacifiCorp: | |||||
2.70%, 9/15/2030 | $ 70,000 | $ 76,368 | |||
3.30%, 3/15/2051 | 65,000 | 71,495 | |||
PECO Energy Co. 3.90%, 3/1/2048 | 125,000 | 152,802 | |||
PPL Capital Funding, Inc.: | |||||
3.50%, 12/1/2022 | 75,000 | 79,240 | |||
4.00%, 9/15/2047 | 250,000 | 268,137 | |||
5.00%, 3/15/2044 | 50,000 | 59,810 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 74,241 | |||
3.95%, 6/1/2047 | 50,000 | 60,044 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 53,930 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 179,742 | |||
Series 34, 3.20%, 3/1/2050 | 30,000 | 33,708 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 56,543 | |||
Series MTN, 3.20%, 8/1/2049 | 30,000 | 33,383 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 117,044 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 57,484 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 57,868 | |||
Public Service Enterprise Group, Inc.: | |||||
2.65%, 11/15/2022 | 100,000 | 104,357 | |||
2.88%, 6/15/2024 | 70,000 | 74,828 | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | 65,000 | 70,266 | |||
4.22%, 6/15/2048 | 65,000 | 82,068 | |||
5.80%, 3/15/2040 | 50,000 | 69,235 | |||
San Diego Gas & Electric Co. Series RRR, 3.75%, 6/1/2047 | 50,000 | 57,480 | |||
Sempra Energy: | |||||
2.90%, 2/1/2023 | 15,000 | 15,699 | |||
3.25%, 6/15/2027 | 300,000 | 329,319 | |||
3.40%, 2/1/2028 | 30,000 | 32,954 | |||
3.80%, 2/1/2038 | 100,000 | 108,064 | |||
4.00%, 2/1/2048 | 30,000 | 34,024 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 54,290 | |||
Southern California Edison Co.: | |||||
2.85%, 8/1/2029 | 115,000 | 121,856 | |||
4.00%, 4/1/2047 | 191,000 | 218,682 | |||
4.50%, 9/1/2040 | 25,000 | 29,640 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 55,436 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 115,887 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 112,499 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 53,920 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 53,156 | |||
Southern Co.: | |||||
2.35%, 7/1/2021 | 75,000 | 76,287 |
Security Description | Principal Amount | Value | |||
3.25%, 7/1/2026 | $ 250,000 | $ 277,822 | |||
4.25%, 7/1/2036 | 250,000 | 284,177 | |||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (a) (d) | 50,000 | 50,618 | |||
Southern Power Co. Series F, 4.95%, 12/15/2046 | 150,000 | 162,796 | |||
Southwestern Electric Power Co.: | |||||
Series K, 2.75%, 10/1/2026 | 50,000 | 53,132 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 28,602 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 (a) | 50,000 | 54,034 | |||
3.75%, 6/15/2049 | 100,000 | 115,807 | |||
Tampa Electric Co.: | |||||
3.63%, 6/15/2050 (a) | 150,000 | 173,269 | |||
4.30%, 6/15/2048 | 50,000 | 62,211 | |||
4.45%, 6/15/2049 (a) | 25,000 | 31,896 | |||
Tucson Electric Power Co. 4.85%, 12/1/2048 | 50,000 | 64,627 | |||
Union Electric Co.: | |||||
3.50%, 3/15/2029 | 250,000 | 285,235 | |||
4.00%, 4/1/2048 | 50,000 | 60,363 | |||
Virginia Electric & Power Co.: | |||||
3.30%, 12/1/2049 (a) | 50,000 | 55,937 | |||
3.45%, 2/15/2024 | 50,000 | 54,088 | |||
8.88%, 11/15/2038 | 50,000 | 89,636 | |||
Series B, 2.95%, 11/15/2026 | 30,000 | 33,151 | |||
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 25,000 | 27,886 | |||
Westar Energy, Inc. 4.13%, 3/1/2042 | 30,000 | 35,478 | |||
Wisconsin Electric Power Co.: | |||||
2.05%, 12/15/2024 | 50,000 | 52,668 | |||
4.30%, 10/15/2048 | 25,000 | 30,787 | |||
Wisconsin Public Service Corp. 3.35%, 11/21/2021 | 70,000 | 72,891 | |||
Xcel Energy, Inc.: | |||||
2.60%, 3/15/2022 | 200,000 | 205,902 | |||
2.60%, 12/1/2029 | 100,000 | 107,168 | |||
4.00%, 6/15/2028 (a) | 50,000 | 58,495 | |||
20,643,465 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (c) | |||||
Emerson Electric Co.: | |||||
1.95%, 10/15/2030 | 50,000 | 51,205 | |||
2.63%, 12/1/2021 | 50,000 | 51,470 | |||
2.63%, 2/15/2023 | 25,000 | 26,312 | |||
128,987 | |||||
ELECTRONICS — 0.1% | |||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 54,311 | |||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 52,565 |
Security Description | Principal Amount | Value | |||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | $ 50,000 | $ 52,462 | |||
Amphenol Corp.: | |||||
2.80%, 2/15/2030 | 100,000 | 106,826 | |||
4.35%, 6/1/2029 | 50,000 | 59,267 | |||
Arrow Electronics, Inc.: | |||||
3.25%, 9/8/2024 (a) | 50,000 | 52,800 | |||
3.88%, 1/12/2028 | 25,000 | 26,213 | |||
Flex, Ltd. 4.88%, 6/15/2029 (a) | 75,000 | 82,280 | |||
Fortive Corp. 3.15%, 6/15/2026 | 50,000 | 54,857 | |||
Honeywell International, Inc.: | |||||
2.15%, 8/8/2022 | 45,000 | 46,517 | |||
2.30%, 8/15/2024 (a) | 100,000 | 106,469 | |||
2.50%, 11/1/2026 | 150,000 | 165,091 | |||
2.70%, 8/15/2029 | 60,000 | 66,228 | |||
3.35%, 12/1/2023 | 50,000 | 54,554 | |||
Hubbell, Inc. 3.35%, 3/1/2026 | 50,000 | 52,882 | |||
Jabil, Inc.: | |||||
3.60%, 1/15/2030 | 25,000 | 26,208 | |||
3.95%, 1/12/2028 | 25,000 | 26,752 | |||
Keysight Technologies, Inc.: | |||||
3.00%, 10/30/2029 | 50,000 | 54,241 | |||
4.60%, 4/6/2027 | 30,000 | 35,183 | |||
PerkinElmer, Inc. 3.30%, 9/15/2029 | 65,000 | 69,629 | |||
Roper Technologies, Inc.: | |||||
2.00%, 6/30/2030 | 30,000 | 30,128 | |||
2.80%, 12/15/2021 | 50,000 | 51,413 | |||
2.95%, 9/15/2029 | 40,000 | 43,577 | |||
3.80%, 12/15/2026 | 30,000 | 34,191 | |||
4.20%, 9/15/2028 | 65,000 | 76,068 | |||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 57,367 | |||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 55,486 | |||
1,593,565 | |||||
ENGINEERING & CONSTRUCTION — 0.0% (c) | |||||
Fluor Corp. 4.25%, 9/15/2028 | 100,000 | 86,092 | |||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Republic Services, Inc.: | |||||
2.90%, 7/1/2026 | 45,000 | 49,201 | |||
3.38%, 11/15/2027 | 60,000 | 67,573 | |||
3.55%, 6/1/2022 | 25,000 | 26,237 | |||
3.95%, 5/15/2028 | 150,000 | 175,327 | |||
Waste Connections, Inc.: | |||||
3.05%, 4/1/2050 | 20,000 | 20,239 | |||
3.50%, 5/1/2029 | 50,000 | 56,186 |
Security Description | Principal Amount | Value | |||
Waste Management, Inc.: | |||||
2.40%, 5/15/2023 | $ 150,000 | $ 156,317 | |||
2.95%, 6/15/2024 (a) | 15,000 | 15,329 | |||
3.50%, 5/15/2024 | 25,000 | 26,762 | |||
3.90%, 3/1/2035 | 50,000 | 58,764 | |||
4.00%, 7/15/2039 | 35,000 | 36,309 | |||
688,244 | |||||
FOOD — 0.4% | |||||
Campbell Soup Co.: | |||||
2.38%, 4/24/2030 (a) | 15,000 | 15,535 | |||
3.65%, 3/15/2023 | 15,000 | 16,029 | |||
3.95%, 3/15/2025 | 100,000 | 112,290 | |||
4.15%, 3/15/2028 | 50,000 | 57,752 | |||
4.80%, 3/15/2048 | 20,000 | 26,223 | |||
Conagra Brands, Inc.: | |||||
3.80%, 10/22/2021 | 20,000 | 20,792 | |||
5.30%, 11/1/2038 | 265,000 | 346,366 | |||
5.40%, 11/1/2048 | 40,000 | 55,222 | |||
General Mills, Inc.: | |||||
3.20%, 2/10/2027 (a) | 100,000 | 112,675 | |||
3.65%, 2/15/2024 | 50,000 | 54,696 | |||
3.70%, 10/17/2023 | 20,000 | 21,812 | |||
4.20%, 4/17/2028 | 25,000 | 29,474 | |||
4.55%, 4/17/2038 | 10,000 | 12,519 | |||
4.70%, 4/17/2048 (a) | 320,000 | 424,058 | |||
Hershey Co.: | |||||
0.90%, 6/1/2025 | 45,000 | 45,259 | |||
3.20%, 8/21/2025 | 25,000 | 27,731 | |||
3.38%, 5/15/2023 | 50,000 | 53,953 | |||
Ingredion, Inc. 2.90%, 6/1/2030 | 100,000 | 106,650 | |||
JM Smucker Co.: | |||||
3.38%, 12/15/2027 (a) | 100,000 | 110,252 | |||
3.55%, 3/15/2050 (a) | 25,000 | 26,007 | |||
4.25%, 3/15/2035 | 50,000 | 58,937 | |||
Kellogg Co.: | |||||
4.30%, 5/15/2028 | 100,000 | 117,127 | |||
4.50%, 4/1/2046 | 100,000 | 122,203 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 | 50,000 | 54,369 | |||
2.80%, 8/1/2022 | 200,000 | 208,634 | |||
3.70%, 8/1/2027 | 35,000 | 40,194 | |||
3.85%, 8/1/2023 | 75,000 | 81,451 | |||
4.45%, 2/1/2047 | 100,000 | 122,367 | |||
4.65%, 1/15/2048 | 100,000 | 124,716 | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | 200,000 | 208,406 | |||
3.40%, 8/15/2027 | 100,000 | 111,528 | |||
Mondelez International, Inc.: | |||||
1.50%, 5/4/2025 | 60,000 | 61,115 | |||
2.75%, 4/13/2030 | 35,000 | 37,763 | |||
3.63%, 2/13/2026 | 50,000 | 56,317 | |||
4.00%, 2/1/2024 (a) | 100,000 | 109,690 | |||
Sysco Corp.: | |||||
2.40%, 2/15/2030 (a) | 10,000 | 9,881 |
Security Description | Principal Amount | Value | |||
3.25%, 7/15/2027 | $ 50,000 | $ 52,898 | |||
3.30%, 7/15/2026 | 100,000 | 106,857 | |||
3.30%, 2/15/2050 | 10,000 | 9,441 | |||
3.55%, 3/15/2025 | 50,000 | 53,873 | |||
3.75%, 10/1/2025 | 5,000 | 5,475 | |||
4.45%, 3/15/2048 | 50,000 | 55,128 | |||
4.85%, 10/1/2045 | 5,000 | 5,764 | |||
Tyson Foods, Inc.: | |||||
3.55%, 6/2/2027 | 150,000 | 166,050 | |||
4.50%, 6/15/2022 | 30,000 | 31,888 | |||
4.55%, 6/2/2047 | 285,000 | 342,037 | |||
4,029,404 | |||||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Celulosa Arauco y Constitucion SA: | |||||
3.88%, 11/2/2027 | 200,000 | 205,016 | |||
4.50%, 8/1/2024 | 50,000 | 52,915 | |||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 (a) | 25,000 | 26,998 | |||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 37,103 | |||
International Paper Co.: | |||||
3.00%, 2/15/2027 (a) | 150,000 | 161,644 | |||
3.65%, 6/15/2024 | 25,000 | 27,557 | |||
4.35%, 8/15/2048 (a) | 50,000 | 58,708 | |||
4.40%, 8/15/2047 | 50,000 | 58,765 | |||
5.00%, 9/15/2035 | 100,000 | 121,649 | |||
750,355 | |||||
GAS — 0.2% | |||||
Atmos Energy Corp.: | |||||
3.00%, 6/15/2027 (a) | 150,000 | 165,592 | |||
4.15%, 1/15/2043 | 25,000 | 30,458 | |||
CenterPoint Energy Resources Corp. 3.55%, 4/1/2023 | 100,000 | 106,361 | |||
Dominion Energy Gas Holdings LLC: | |||||
3.60%, 12/15/2024 | 50,000 | 54,825 | |||
4.80%, 11/1/2043 | 25,000 | 29,017 | |||
Series A, 2.50%, 11/15/2024 | 85,000 | 89,886 | |||
Series B, 3.00%, 11/15/2029 (a) | 35,000 | 37,470 | |||
Series C, 3.90%, 11/15/2049 | 65,000 | 70,016 | |||
National Fuel Gas Co.: | |||||
3.95%, 9/15/2027 | 50,000 | 48,819 | |||
5.50%, 1/15/2026 | 30,000 | 31,875 | |||
NiSource, Inc.: | |||||
2.95%, 9/1/2029 | 100,000 | 109,047 | |||
3.49%, 5/15/2027 | 50,000 | 56,437 | |||
3.65%, 6/15/2023 | 25,000 | 27,004 | |||
4.38%, 5/15/2047 | 150,000 | 182,809 | |||
4.80%, 2/15/2044 | 30,000 | 36,787 | |||
ONE Gas, Inc. 4.50%, 11/1/2048 | 90,000 | 114,247 |
Security Description | Principal Amount | Value | |||
Southern California Gas Co.: | |||||
3.15%, 9/15/2024 | $ 25,000 | $ 27,308 | |||
3.20%, 6/15/2025 | 50,000 | 55,038 | |||
3.75%, 9/15/2042 | 30,000 | 34,325 | |||
5.13%, 11/15/2040 | 25,000 | 32,223 | |||
Series VV, 4.30%, 1/15/2049 | 50,000 | 63,253 | |||
Southern Co. Gas Capital Corp. 4.40%, 5/30/2047 | 150,000 | 177,102 | |||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 28,056 | |||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 55,256 | |||
1,663,211 | |||||
HAND & MACHINE TOOLS — 0.0% (c) | |||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 52,633 | |||
Snap-on, Inc. 3.10%, 5/1/2050 | 70,000 | 72,064 | |||
Stanley Black & Decker, Inc.: | |||||
3.40%, 3/1/2026 (a) | 35,000 | 39,331 | |||
4.25%, 11/15/2028 | 100,000 | 119,477 | |||
5 year CMT + 2.66%, 4.00%, 3/15/2060 (d) | 30,000 | 30,007 | |||
313,512 | |||||
HEALTH CARE PRODUCTS — 0.3% | |||||
Abbott Laboratories: | |||||
2.95%, 3/15/2025 | 75,000 | 82,463 | |||
3.40%, 11/30/2023 | 35,000 | 38,092 | |||
3.75%, 11/30/2026 | 85,000 | 98,894 | |||
4.75%, 11/30/2036 | 250,000 | 334,942 | |||
4.75%, 4/15/2043 | 25,000 | 33,361 | |||
4.90%, 11/30/2046 | 150,000 | 214,653 | |||
Baxter International, Inc. 3.50%, 8/15/2046 | 50,000 | 55,401 | |||
Boston Scientific Corp.: | |||||
1.90%, 6/1/2025 | 65,000 | 67,265 | |||
2.65%, 6/1/2030 | 100,000 | 104,122 | |||
3.38%, 5/15/2022 | 50,000 | 52,213 | |||
3.45%, 3/1/2024 | 25,000 | 27,190 | |||
4.00%, 3/1/2029 | 35,000 | 40,065 | |||
4.55%, 3/1/2039 | 50,000 | 61,176 | |||
4.70%, 3/1/2049 | 35,000 | 44,594 | |||
Covidien International Finance SA 3.20%, 6/15/2022 | 50,000 | 52,303 | |||
DH Europe Finance II Sarl: | |||||
2.05%, 11/15/2022 | 50,000 | 51,632 | |||
2.20%, 11/15/2024 | 50,000 | 52,573 | |||
2.60%, 11/15/2029 | 30,000 | 31,911 | |||
3.25%, 11/15/2039 | 50,000 | 55,150 | |||
3.40%, 11/15/2049 | 50,000 | 56,020 |
Security Description | Principal Amount | Value | |||
Medtronic, Inc.: | |||||
3.15%, 3/15/2022 | $ 59,000 | $ 61,850 | |||
3.50%, 3/15/2025 | 67,000 | 75,535 | |||
4.38%, 3/15/2035 | 54,000 | 70,585 | |||
4.63%, 3/15/2045 | 345,000 | 463,263 | |||
Stryker Corp.: | |||||
1.15%, 6/15/2025 | 50,000 | 50,348 | |||
1.95%, 6/15/2030 (a) | 50,000 | 50,324 | |||
2.90%, 6/15/2050 | 25,000 | 25,038 | |||
3.38%, 11/1/2025 | 25,000 | 27,971 | |||
3.50%, 3/15/2026 | 25,000 | 28,071 | |||
3.65%, 3/7/2028 | 50,000 | 57,581 | |||
4.63%, 3/15/2046 | 25,000 | 32,254 | |||
Thermo Fisher Scientific, Inc.: | |||||
3.00%, 4/15/2023 | 250,000 | 264,657 | |||
4.10%, 8/15/2047 | 100,000 | 124,243 | |||
4.13%, 3/25/2025 | 35,000 | 39,921 | |||
4.15%, 2/1/2024 | 25,000 | 27,709 | |||
Zimmer Biomet Holdings, Inc. 3.55%, 4/1/2025 | 100,000 | 108,808 | |||
3,062,178 | |||||
HEALTH CARE SERVICES — 0.6% | |||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 55,493 | |||
Aetna, Inc.: | |||||
2.80%, 6/15/2023 | 200,000 | 210,472 | |||
3.88%, 8/15/2047 | 100,000 | 112,511 | |||
4.13%, 11/15/2042 | 25,000 | 28,249 | |||
Anthem, Inc.: | |||||
2.25%, 5/15/2030 | 15,000 | 15,418 | |||
2.38%, 1/15/2025 | 20,000 | 21,198 | |||
2.95%, 12/1/2022 | 50,000 | 52,666 | |||
3.13%, 5/15/2050 (a) | 20,000 | 20,795 | |||
3.30%, 1/15/2023 | 50,000 | 53,237 | |||
3.35%, 12/1/2024 | 50,000 | 54,994 | |||
3.50%, 8/15/2024 | 25,000 | 27,403 | |||
3.65%, 12/1/2027 | 130,000 | 148,134 | |||
4.10%, 3/1/2028 (a) | 100,000 | 117,091 | |||
4.38%, 12/1/2047 | 130,000 | 161,569 | |||
4.55%, 3/1/2048 | 50,000 | 63,555 | |||
4.65%, 1/15/2043 | 50,000 | 63,265 | |||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 187,909 | |||
Banner Health 2.34%, 1/1/2030 | 40,000 | 41,236 | |||
Children's Hospital Corp. 2.59%, 2/1/2050 | 15,000 | 15,110 | |||
CommonSpirit Health: | |||||
2.76%, 10/1/2024 (a) | 250,000 | 257,357 | |||
4.19%, 10/1/2049 | 250,000 | 256,982 | |||
4.35%, 11/1/2042 | 25,000 | 25,927 |
Security Description | Principal Amount | Value | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | $ 50,000 | $ 61,967 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 35,000 | 38,618 | |||
4.50%, 2/15/2027 | 50,000 | 55,679 | |||
4.75%, 5/1/2023 | 55,000 | 59,542 | |||
5.00%, 3/15/2024 | 85,000 | 94,417 | |||
5.13%, 6/15/2039 | 25,000 | 29,104 | |||
5.25%, 4/15/2025 | 60,000 | 68,752 | |||
5.25%, 6/15/2026 | 65,000 | 74,996 | |||
5.25%, 6/15/2049 | 100,000 | 119,824 | |||
5.50%, 6/15/2047 | 65,000 | 79,353 | |||
Humana, Inc.: | |||||
2.90%, 12/15/2022 | 150,000 | 156,808 | |||
4.80%, 3/15/2047 (a) | 100,000 | 128,960 | |||
4.95%, 10/1/2044 | 50,000 | 65,011 | |||
Johns Hopkins Health System Corp. 3.84%, 5/15/2046 | 50,000 | 59,995 | |||
Kaiser Foundation Hospitals: | |||||
3.50%, 4/1/2022 | 50,000 | 51,798 | |||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 117,851 | |||
Laboratory Corp. of America Holdings: | |||||
2.30%, 12/1/2024 | 100,000 | 105,254 | |||
2.95%, 12/1/2029 | 100,000 | 106,047 | |||
3.25%, 9/1/2024 | 100,000 | 107,675 | |||
4.70%, 2/1/2045 | 25,000 | 30,219 | |||
Memorial Sloan-Kettering Cancer Center: | |||||
4.13%, 7/1/2052 | 25,000 | 31,809 | |||
Series 2020, 2.96%, 1/1/2050 | 55,000 | 59,198 | |||
Montefiore Obligated Group 4.29%, 9/1/2050 | 50,000 | 49,476 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 37,600 | |||
New York and Presbyterian Hospital Series 2019, 3.95%, 8/1/2119 | 35,000 | 37,651 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 55,542 | |||
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | 100,000 | 96,666 | |||
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 113,271 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 83,534 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 37,134 | |||
4.20%, 6/30/2029 | 100,000 | 116,485 | |||
4.70%, 3/30/2045 | 25,000 | 30,416 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 52,917 |
Security Description | Principal Amount | Value | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | $ 20,000 | $ 21,472 | |||
UnitedHealth Group, Inc.: | |||||
1.25%, 1/15/2026 | 35,000 | 35,607 | |||
2.00%, 5/15/2030 | 55,000 | 57,572 | |||
2.38%, 10/15/2022 | 100,000 | 104,212 | |||
2.75%, 5/15/2040 | 50,000 | 53,526 | |||
2.88%, 3/15/2022 | 25,000 | 25,864 | |||
2.90%, 5/15/2050 | 50,000 | 52,729 | |||
3.10%, 3/15/2026 | 50,000 | 55,785 | |||
3.13%, 5/15/2060 | 100,000 | 106,893 | |||
3.38%, 4/15/2027 | 100,000 | 114,293 | |||
3.50%, 2/15/2024 | 10,000 | 11,001 | |||
3.70%, 12/15/2025 | 10,000 | 11,466 | |||
3.75%, 7/15/2025 | 305,000 | 347,923 | |||
3.75%, 10/15/2047 | 50,000 | 59,596 | |||
3.88%, 12/15/2028 (a) | 15,000 | 17,913 | |||
4.25%, 4/15/2047 | 100,000 | 126,916 | |||
4.63%, 7/15/2035 | 200,000 | 260,464 | |||
4.75%, 7/15/2045 | 230,000 | 307,885 | |||
6.88%, 2/15/2038 | 25,000 | 39,212 | |||
6,214,469 | |||||
HOME BUILDERS — 0.0% (c) | |||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 104,193 | |||
NVR, Inc. 3.00%, 5/15/2030 | 30,000 | 31,291 | |||
135,484 | |||||
HOME FURNISHINGS — 0.0% (c) | |||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 100,000 | 106,951 | |||
Whirlpool Corp.: | |||||
4.50%, 6/1/2046 | 25,000 | 27,410 | |||
4.60%, 5/15/2050 | 50,000 | 56,911 | |||
4.75%, 2/26/2029 (a) | 60,000 | 70,785 | |||
262,057 | |||||
HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
Procter & Gamble Co. 3.55%, 3/25/2040 | 100,000 | 119,916 | |||
HOUSEHOLD PRODUCTS & WARES — 0.0% (c) | |||||
Clorox Co.: | |||||
3.10%, 10/1/2027 | 50,000 | 55,782 | |||
3.90%, 5/15/2028 | 50,000 | 58,404 | |||
Kimberly-Clark Corp.: | |||||
2.75%, 2/15/2026 | 25,000 | 27,250 | |||
3.10%, 3/26/2030 | 40,000 | 45,554 | |||
3.20%, 4/25/2029 | 100,000 | 113,612 | |||
3.90%, 5/4/2047 | 50,000 | 62,030 |
Security Description | Principal Amount | Value | |||
3.95%, 11/1/2028 | $ 55,000 | $ 65,831 | |||
428,463 | |||||
INSURANCE — 0.9% | |||||
Aflac, Inc.: | |||||
3.63%, 6/15/2023 | 50,000 | 54,776 | |||
4.75%, 1/15/2049 | 75,000 | 96,211 | |||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 58,736 | |||
Allstate Corp.: | |||||
3.85%, 8/10/2049 | 125,000 | 150,789 | |||
4.20%, 12/15/2046 | 50,000 | 62,080 | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (d) | 25,000 | 25,875 | |||
American Financial Group, Inc.: | |||||
3.50%, 8/15/2026 | 15,000 | 16,003 | |||
4.50%, 6/15/2047 | 100,000 | 102,912 | |||
American International Group, Inc.: | |||||
2.50%, 6/30/2025 (a) | 100,000 | 105,876 | |||
3.40%, 6/30/2030 | 100,000 | 108,209 | |||
3.88%, 1/15/2035 | 200,000 | 224,640 | |||
3.90%, 4/1/2026 | 30,000 | 33,836 | |||
4.25%, 3/15/2029 (a) | 100,000 | 115,089 | |||
4.38%, 6/30/2050 | 65,000 | 75,117 | |||
4.50%, 7/16/2044 | 50,000 | 57,556 | |||
4.88%, 6/1/2022 | 50,000 | 53,943 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (d) | 100,000 | 102,717 | |||
Aon Corp.: | |||||
2.20%, 11/15/2022 | 100,000 | 103,838 | |||
3.75%, 5/2/2029 | 100,000 | 114,259 | |||
Aon PLC: | |||||
3.50%, 6/14/2024 | 50,000 | 54,288 | |||
3.88%, 12/15/2025 | 150,000 | 170,538 | |||
Arch Capital Group, Ltd. 3.64%, 6/30/2050 | 105,000 | 110,347 | |||
Assurant, Inc.: | |||||
4.20%, 9/27/2023 | 100,000 | 107,109 | |||
4.90%, 3/27/2028 | 50,000 | 54,374 | |||
Athene Holding, Ltd. 4.13%, 1/12/2028 | 100,000 | 102,874 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 26,804 | |||
Berkshire Hathaway Finance Corp.: | |||||
1.85%, 3/12/2030 (a) | 10,000 | 10,305 | |||
4.20%, 8/15/2048 | 100,000 | 126,568 | |||
Berkshire Hathaway, Inc.: | |||||
2.75%, 3/15/2023 | 50,000 | 52,952 | |||
3.00%, 2/11/2023 (a) | 25,000 | 26,655 | |||
3.13%, 3/15/2026 (a) | 55,000 | 61,521 | |||
4.50%, 2/11/2043 | 180,000 | 238,459 |
Security Description | Principal Amount | Value | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 (a) | $ 150,000 | $ 152,863 | |||
4.70%, 6/22/2047 | 150,000 | 136,312 | |||
Brown & Brown, Inc. 4.50%, 3/15/2029 | 50,000 | 53,775 | |||
Chubb INA Holdings, Inc.: | |||||
2.88%, 11/3/2022 | 50,000 | 52,543 | |||
3.35%, 5/3/2026 | 250,000 | 283,967 | |||
4.15%, 3/13/2043 (a) | 25,000 | 31,044 | |||
4.35%, 11/3/2045 | 125,000 | 162,692 | |||
CNA Financial Corp.: | |||||
3.45%, 8/15/2027 | 100,000 | 107,202 | |||
4.50%, 3/1/2026 | 25,000 | 28,188 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 52,626 | |||
Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 150,000 | 160,426 | |||
4.35%, 4/20/2028 | 150,000 | 168,529 | |||
5.00%, 4/20/2048 | 100,000 | 113,907 | |||
Fairfax Financial Holdings, Ltd. 4.85%, 4/17/2028 | 100,000 | 105,965 | |||
Fidelity National Financial, Inc. 4.50%, 8/15/2028 | 50,000 | 56,180 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 27,094 | |||
Globe Life, Inc. 4.55%, 9/15/2028 | 25,000 | 28,858 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 | 70,000 | 74,251 | |||
4.40%, 3/15/2048 | 100,000 | 119,350 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 105,753 | |||
3.80%, 3/1/2028 | 35,000 | 38,799 | |||
4.00%, 9/1/2023 | 15,000 | 16,291 | |||
4.35%, 3/1/2048 | 50,000 | 56,258 | |||
6.30%, 10/9/2037 | 50,000 | 66,418 | |||
Loews Corp.: | |||||
3.20%, 5/15/2030 | 15,000 | 16,293 | |||
3.75%, 4/1/2026 | 50,000 | 56,237 | |||
Manulife Financial Corp.: | |||||
2.48%, 5/19/2027 | 70,000 | 73,421 | |||
USD 5 Year Swap Rate + 1.65%, 4.06%, 2/24/2032 (d) | 50,000 | 52,976 | |||
Markel Corp.: | |||||
3.50%, 11/1/2027 | 50,000 | 53,458 | |||
4.15%, 9/17/2050 (a) | 50,000 | 55,495 | |||
5.00%, 5/20/2049 | 30,000 | 37,147 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.75%, 1/30/2022 | 30,000 | 30,959 | |||
3.30%, 3/14/2023 | 150,000 | 159,220 | |||
3.75%, 3/14/2026 | 25,000 | 28,348 | |||
3.88%, 3/15/2024 | 100,000 | 110,848 | |||
4.38%, 3/15/2029 | 250,000 | 300,792 |
Security Description | Principal Amount | Value | |||
Mercury General Corp. 4.40%, 3/15/2027 | $ 50,000 | $ 52,709 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 (a) | 300,000 | 332,448 | |||
4.05%, 3/1/2045 | 150,000 | 176,788 | |||
4.88%, 11/13/2043 | 200,000 | 258,444 | |||
6.40%, 12/15/2066 | 100,000 | 119,380 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 55,835 | |||
Principal Financial Group, Inc.: | |||||
2.13%, 6/15/2030 | 150,000 | 151,509 | |||
3.70%, 5/15/2029 (a) | 50,000 | 57,112 | |||
Progressive Corp.: | |||||
3.75%, 8/23/2021 | 50,000 | 51,633 | |||
4.00%, 3/1/2029 | 50,000 | 59,955 | |||
4.20%, 3/15/2048 | 100,000 | 129,332 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 113,771 | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (a) (d) | 170,000 | 173,400 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (d) | 200,000 | 209,686 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (d) | 80,000 | 85,070 | |||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 55,254 | |||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 109,745 | |||
Series MTN, 4.60%, 5/15/2044 | 75,000 | 90,522 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 36,904 | |||
Reinsurance Group of America, Inc.: | |||||
3.15%, 6/15/2030 | 35,000 | 36,425 | |||
3.90%, 5/15/2029 | 50,000 | 54,255 | |||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 (a) | 30,000 | 31,793 | |||
Travelers Cos., Inc.: | |||||
2.55%, 4/27/2050 | 10,000 | 9,865 | |||
3.75%, 5/15/2046 (a) | 10,000 | 11,781 | |||
4.00%, 5/30/2047 | 80,000 | 98,013 | |||
4.05%, 3/7/2048 | 100,000 | 123,438 | |||
4.10%, 3/4/2049 | 100,000 | 125,706 | |||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 37,213 | |||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 29,604 | |||
Unum Group: | |||||
4.00%, 6/15/2029 (a) | 70,000 | 72,293 | |||
4.50%, 3/15/2025 | 25,000 | 26,879 | |||
4.50%, 12/15/2049 | 15,000 | 13,856 | |||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 55,255 |
Security Description | Principal Amount | Value | |||
Willis North America, Inc.: | |||||
3.60%, 5/15/2024 | $ 50,000 | $ 54,127 | |||
3.88%, 9/15/2049 | 70,000 | 77,332 | |||
4.50%, 9/15/2028 | 50,000 | 58,339 | |||
WR Berkley Corp. 4.00%, 5/12/2050 (a) | 15,000 | 16,395 | |||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 166,555 | |||
9,398,362 | |||||
INTERNET — 0.4% | |||||
Alibaba Group Holding, Ltd.: | |||||
3.13%, 11/28/2021 | 25,000 | 25,608 | |||
3.40%, 12/6/2027 (a) | 200,000 | 221,286 | |||
3.60%, 11/28/2024 | 75,000 | 81,578 | |||
4.20%, 12/6/2047 (a) | 60,000 | 73,571 | |||
Alphabet, Inc. 2.00%, 8/15/2026 | 250,000 | 267,767 | |||
Amazon.com, Inc.: | |||||
0.80%, 6/3/2025 (a) | 65,000 | 65,538 | |||
1.50%, 6/3/2030 | 235,000 | 238,588 | |||
2.40%, 2/22/2023 | 200,000 | 210,084 | |||
2.50%, 11/29/2022 | 25,000 | 26,162 | |||
2.50%, 6/3/2050 | 40,000 | 40,911 | |||
2.70%, 6/3/2060 | 30,000 | 30,922 | |||
2.80%, 8/22/2024 | 100,000 | 108,709 | |||
3.15%, 8/22/2027 | 100,000 | 114,213 | |||
3.80%, 12/5/2024 | 30,000 | 34,020 | |||
3.88%, 8/22/2037 | 125,000 | 153,449 | |||
4.05%, 8/22/2047 (a) | 125,000 | 162,560 | |||
4.25%, 8/22/2057 | 150,000 | 199,588 | |||
4.95%, 12/5/2044 | 125,000 | 176,790 | |||
5.20%, 12/3/2025 (a) | 50,000 | 61,222 | |||
Baidu, Inc. 2.88%, 7/6/2022 | 250,000 | 256,020 | |||
Booking Holdings, Inc.: | |||||
3.60%, 6/1/2026 | 250,000 | 274,745 | |||
4.10%, 4/13/2025 | 100,000 | 112,261 | |||
4.63%, 4/13/2030 | 100,000 | 117,764 | |||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 182,087 | |||
eBay, Inc.: | |||||
1.90%, 3/11/2025 (a) | 140,000 | 144,529 | |||
2.70%, 3/11/2030 | 100,000 | 105,806 | |||
2.75%, 1/30/2023 | 150,000 | 157,012 | |||
3.45%, 8/1/2024 (a) | 25,000 | 27,219 | |||
3.80%, 3/9/2022 | 50,000 | 52,480 | |||
Expedia Group, Inc.: | |||||
3.25%, 2/15/2030 | 35,000 | 32,609 | |||
3.80%, 2/15/2028 | 50,000 | 47,905 | |||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 150,000 | 155,849 | |||
3,958,852 |
Security Description | Principal Amount | Value | |||
INVESTMENT COMPANY SECURITY — 0.0% (c) | |||||
Ares Capital Corp.: | |||||
3.50%, 2/10/2023 | $ 50,000 | $ 50,216 | |||
4.20%, 6/10/2024 | 50,000 | 51,140 | |||
4.25%, 3/1/2025 | 50,000 | 50,688 | |||
FS KKR Capital Corp. 4.13%, 2/1/2025 | 100,000 | 96,592 | |||
Owl Rock Capital Corp. 4.00%, 3/30/2025 | 50,000 | 49,381 | |||
Prospect Capital Corp. 5.88%, 3/15/2023 | 25,000 | 24,896 | |||
322,913 | |||||
IRON/STEEL — 0.1% | |||||
Nucor Corp.: | |||||
2.00%, 6/1/2025 | 15,000 | 15,535 | |||
2.70%, 6/1/2030 | 15,000 | 15,742 | |||
4.00%, 8/1/2023 | 25,000 | 27,102 | |||
5.20%, 8/1/2043 | 50,000 | 63,968 | |||
Steel Dynamics, Inc.: | |||||
2.80%, 12/15/2024 | 25,000 | 26,086 | |||
3.45%, 4/15/2030 | 40,000 | 41,922 | |||
Vale Overseas, Ltd.: | |||||
6.25%, 8/10/2026 | 150,000 | 176,458 | |||
6.88%, 11/10/2039 | 300,000 | 391,479 | |||
8.25%, 1/17/2034 | 25,000 | 35,061 | |||
793,353 | |||||
LODGING — 0.1% | |||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 (a) | 50,000 | 49,967 | |||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 50,743 | |||
Las Vegas Sands Corp.: | |||||
2.90%, 6/25/2025 | 65,000 | 63,092 | |||
3.20%, 8/8/2024 | 45,000 | 44,709 | |||
3.50%, 8/18/2026 | 30,000 | 29,918 | |||
3.90%, 8/8/2029 | 40,000 | 39,455 | |||
Marriott International, Inc.: | |||||
3.75%, 3/15/2025 | 25,000 | 25,063 | |||
Series EE, 5.75%, 5/1/2025 | 40,000 | 43,468 | |||
Sands China, Ltd. 5.13%, 8/8/2025 (a) | 250,000 | 271,865 | |||
618,280 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
ABB Finance USA, Inc.: | |||||
2.88%, 5/8/2022 | 50,000 | 52,023 | |||
3.80%, 4/3/2028 (a) | 100,000 | 117,443 | |||
Caterpillar Financial Services Corp.: | |||||
Series MTN, 0.95%, 5/13/2022 | 100,000 | 101,018 |
Security Description | Principal Amount | Value | |||
Series MTN, 1.95%, 11/18/2022 | $ 300,000 | $ 310,506 | |||
Series MTN, 2.40%, 6/6/2022 | 150,000 | 155,634 | |||
Series MTN, 2.95%, 2/26/2022 | 150,000 | 156,048 | |||
Series MTN, 3.75%, 11/24/2023 (a) | 25,000 | 27,526 | |||
Caterpillar, Inc.: | |||||
2.60%, 9/19/2029 (a) | 100,000 | 108,763 | |||
2.60%, 4/9/2030 (a) | 95,000 | 103,280 | |||
3.25%, 4/9/2050 | 125,000 | 139,274 | |||
3.80%, 8/15/2042 | 125,000 | 148,075 | |||
4.75%, 5/15/2064 | 25,000 | 35,086 | |||
Oshkosh Corp. 3.10%, 3/1/2030 (a) | 10,000 | 10,044 | |||
1,464,720 | |||||
MACHINERY-DIVERSIFIED — 0.2% | |||||
CNH Industrial Capital LLC: | |||||
3.88%, 10/15/2021 | 10,000 | 10,247 | |||
4.20%, 1/15/2024 (a) | 100,000 | 106,996 | |||
4.38%, 4/5/2022 | 15,000 | 15,734 | |||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 | 15,000 | 15,727 | |||
Deere & Co.: | |||||
2.60%, 6/8/2022 | 25,000 | 25,931 | |||
2.88%, 9/7/2049 | 35,000 | 36,999 | |||
3.90%, 6/9/2042 | 225,000 | 281,389 | |||
IDEX Corp. 3.00%, 5/1/2030 | 25,000 | 26,123 | |||
John Deere Capital Corp.: | |||||
3.65%, 10/12/2023 | 100,000 | 109,842 | |||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 27,060 | |||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 155,556 | |||
Series MTN, 2.25%, 9/14/2026 (a) | 100,000 | 107,811 | |||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 69,257 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 159,676 | |||
Series MTN, 2.80%, 7/18/2029 | 50,000 | 55,432 | |||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 28,128 | |||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 112,188 | |||
nVent Finance Sarl 4.55%, 4/15/2028 | 50,000 | 52,461 | |||
Otis Worldwide Corp. 2.57%, 2/15/2030 (b) | 250,000 | 262,552 | |||
Rockwell Automation, Inc.: | |||||
3.50%, 3/1/2029 | 85,000 | 95,860 | |||
4.20%, 3/1/2049 | 250,000 | 313,810 | |||
Wabtec Corp. 4.40%, 3/15/2024 | 50,000 | 52,866 |
Security Description | Principal Amount | Value | |||
Westinghouse Air Brake Technologies Corp. 4.95%, 9/15/2028 | $ 300,000 | $ 334,281 | |||
Xylem, Inc. 1.95%, 1/30/2028 (a) | 45,000 | 45,472 | |||
2,501,398 | |||||
MEDIA — 1.0% | |||||
CBS Corp.: | |||||
2.90%, 1/15/2027 | 125,000 | 130,760 | |||
3.70%, 6/1/2028 | 50,000 | 54,334 | |||
4.20%, 6/1/2029 (a) | 200,000 | 225,402 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||||
2.80%, 4/1/2031 | 40,000 | 40,610 | |||
4.20%, 3/15/2028 | 250,000 | 279,540 | |||
4.46%, 7/23/2022 | 150,000 | 160,009 | |||
4.80%, 3/1/2050 | 155,000 | 175,037 | |||
4.91%, 7/23/2025 | 50,000 | 57,290 | |||
5.05%, 3/30/2029 | 100,000 | 118,078 | |||
5.38%, 5/1/2047 | 150,000 | 178,084 | |||
6.48%, 10/23/2045 | 185,000 | 245,369 | |||
Class USD, 4.50%, 2/1/2024 | 100,000 | 110,622 | |||
Comcast Corp.: | |||||
1.95%, 1/15/2031 | 70,000 | 71,329 | |||
2.75%, 3/1/2023 | 175,000 | 184,721 | |||
2.80%, 1/15/2051 | 55,000 | 56,249 | |||
3.10%, 4/1/2025 | 35,000 | 38,496 | |||
3.15%, 3/1/2026 | 225,000 | 250,153 | |||
3.15%, 2/15/2028 | 200,000 | 222,604 | |||
3.20%, 7/15/2036 | 250,000 | 277,065 | |||
3.30%, 2/1/2027 | 150,000 | 168,820 | |||
3.30%, 4/1/2027 | 100,000 | 112,226 | |||
3.40%, 4/1/2030 | 50,000 | 57,253 | |||
3.40%, 7/15/2046 | 100,000 | 111,132 | |||
3.60%, 3/1/2024 | 25,000 | 27,516 | |||
3.75%, 4/1/2040 | 50,000 | 58,464 | |||
3.90%, 3/1/2038 | 150,000 | 178,146 | |||
3.95%, 10/15/2025 | 350,000 | 400,827 | |||
4.00%, 11/1/2049 | 69,000 | 83,822 | |||
4.15%, 10/15/2028 | 250,000 | 299,527 | |||
4.20%, 8/15/2034 | 100,000 | 123,489 | |||
4.25%, 10/15/2030 | 50,000 | 61,096 | |||
4.25%, 1/15/2033 | 50,000 | 61,536 | |||
4.60%, 10/15/2038 | 305,000 | 386,984 | |||
4.65%, 7/15/2042 | 75,000 | 97,037 | |||
4.70%, 10/15/2048 | 500,000 | 668,865 | |||
4.95%, 10/15/2058 | 105,000 | 149,817 | |||
Discovery Communications LLC: | |||||
3.80%, 3/13/2024 | 100,000 | 108,244 | |||
3.95%, 3/20/2028 | 30,000 | 33,427 | |||
4.95%, 5/15/2042 | 50,000 | 56,861 | |||
5.00%, 9/20/2037 | 170,000 | 200,097 |
Security Description | Principal Amount | Value | |||
5.20%, 9/20/2047 | $ 100,000 | $ 116,152 | |||
Fox Corp.: | |||||
3.67%, 1/25/2022 | 15,000 | 15,696 | |||
4.03%, 1/25/2024 | 25,000 | 27,661 | |||
4.71%, 1/25/2029 | 40,000 | 48,042 | |||
5.48%, 1/25/2039 | 275,000 | 367,535 | |||
5.58%, 1/25/2049 | 25,000 | 34,699 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 55,175 | |||
6.13%, 1/31/2046 (a) | 100,000 | 127,458 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 54,316 | |||
Time Warner Cable LLC: | |||||
4.00%, 9/1/2021 | 25,000 | 25,666 | |||
4.50%, 9/15/2042 | 100,000 | 106,679 | |||
5.50%, 9/1/2041 | 425,000 | 514,084 | |||
5.88%, 11/15/2040 | 50,000 | 61,749 | |||
6.75%, 6/15/2039 | 50,000 | 66,545 | |||
TWDC Enterprises 18 Corp.: | |||||
3.00%, 2/13/2026 | 50,000 | 55,399 | |||
Series GMTN, 3.15%, 9/17/2025 (a) | 25,000 | �� | 27,675 | ||
Series MTN, 3.00%, 7/30/2046 (a) | 75,000 | 76,012 | |||
Viacom, Inc.: | |||||
4.38%, 3/15/2043 | 25,000 | 25,803 | |||
5.85%, 9/1/2043 | 200,000 | 235,536 | |||
Walt Disney Co.: | |||||
1.65%, 9/1/2022 | 20,000 | 20,461 | |||
1.75%, 8/30/2024 (a) | 50,000 | 51,775 | |||
1.75%, 1/13/2026 | 105,000 | 107,984 | |||
2.00%, 9/1/2029 | 185,000 | 188,898 | |||
2.20%, 1/13/2028 | 70,000 | 73,106 | |||
2.65%, 1/13/2031 | 90,000 | 95,672 | |||
3.38%, 11/15/2026 | 100,000 | 112,353 | |||
3.50%, 5/13/2040 | 150,000 | 164,209 | |||
3.60%, 1/13/2051 | 75,000 | 83,242 | |||
3.70%, 10/15/2025 | 100,000 | 112,794 | |||
3.80%, 5/13/2060 | 90,000 | 104,062 | |||
4.00%, 10/1/2023 | 100,000 | 110,286 | |||
5.40%, 10/1/2043 | 75,000 | 100,780 | |||
6.65%, 11/15/2037 | 250,000 | 372,620 | |||
10,061,062 | |||||
METAL FABRICATE & HARDWARE — 0.0% (c) | |||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 78,561 | |||
Timken Co. 4.50%, 12/15/2028 | 20,000 | 21,562 | |||
100,123 | |||||
MINING — 0.2% | |||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 32,458 |
Security Description | Principal Amount | Value | |||
Barrick North America Finance LLC 5.75%, 5/1/2043 | $ 250,000 | $ 351,082 | |||
BHP Billiton Finance USA, Ltd.: | |||||
4.13%, 2/24/2042 (a) | 125,000 | 154,324 | |||
5.00%, 9/30/2043 | 50,000 | 68,811 | |||
Newmont Corp.: | |||||
2.25%, 10/1/2030 | 65,000 | 65,798 | |||
2.80%, 10/1/2029 | 80,000 | 84,452 | |||
3.70%, 3/15/2023 | 7,000 | 7,266 | |||
Newmont Mining Corp. 4.88%, 3/15/2042 | 50,000 | 63,831 | |||
Rio Tinto Finance USA PLC: | |||||
4.13%, 8/21/2042 | 25,000 | 31,455 | |||
4.75%, 3/22/2042 | 150,000 | 201,890 | |||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 (a) | 250,000 | 283,122 | |||
Southern Copper Corp. 5.88%, 4/23/2045 (a) | 357,000 | 456,103 | |||
1,800,592 | |||||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
3M Co.: | |||||
1.75%, 2/14/2023 (a) | 100,000 | 103,240 | |||
2.00%, 2/14/2025 | 100,000 | 105,182 | |||
2.38%, 8/26/2029 | 100,000 | 107,636 | |||
2.88%, 10/15/2027 | 225,000 | 249,658 | |||
3.25%, 8/26/2049 | 60,000 | 66,099 | |||
Series MTN, 3.38%, 3/1/2029 | 50,000 | 57,602 | |||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 28,981 | |||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 37,304 | |||
Carlisle Cos., Inc. 2.75%, 3/1/2030 | 65,000 | 66,884 | |||
Eaton Corp.: | |||||
3.10%, 9/15/2027 (a) | 100,000 | 109,764 | |||
4.15%, 11/2/2042 | 25,000 | 29,506 | |||
General Electric Co.: | |||||
3.45%, 5/1/2027 | 45,000 | 46,033 | |||
3.63%, 5/1/2030 | 50,000 | 50,016 | |||
4.13%, 10/9/2042 (a) | 18,000 | 17,123 | |||
4.25%, 5/1/2040 | 55,000 | 53,959 | |||
4.35%, 5/1/2050 | 55,000 | 54,254 | |||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 53,123 | |||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 56,045 | |||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 (a) | 325,000 | 396,500 | |||
Parker-Hannifin Corp.: | |||||
2.70%, 6/14/2024 | 35,000 | 37,318 | |||
4.00%, 6/14/2049 | 40,000 | 45,901 | |||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 54,352 |
Security Description | Principal Amount | Value | |||
Textron, Inc.: | |||||
3.90%, 9/17/2029 | $ 50,000 | $ 52,858 | |||
4.00%, 3/15/2026 | 50,000 | 52,973 | |||
Trane Technologies Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 33,427 | |||
Trane Technologies Luxembourg Finance SA 3.80%, 3/21/2029 | 100,000 | 112,952 | |||
2,078,690 | |||||
OIL & GAS — 1.2% | |||||
BP Capital Markets America, Inc.: | |||||
3.00%, 2/24/2050 | 250,000 | 244,980 | |||
3.02%, 1/16/2027 | 200,000 | 216,768 | |||
3.22%, 4/14/2024 | 200,000 | 215,002 | |||
3.59%, 4/14/2027 | 250,000 | 276,852 | |||
3.63%, 4/6/2030 | 200,000 | 226,860 | |||
3.94%, 9/21/2028 (a) | 100,000 | 114,489 | |||
BP Capital Markets PLC: | |||||
3.06%, 3/17/2022 | 200,000 | 207,944 | |||
3.81%, 2/10/2024 | 150,000 | 164,736 | |||
Canadian Natural Resources, Ltd.: | |||||
2.95%, 1/15/2023 | 250,000 | 258,210 | |||
3.45%, 11/15/2021 | 25,000 | 25,622 | |||
3.85%, 6/1/2027 | 50,000 | 53,463 | |||
3.90%, 2/1/2025 | 25,000 | 26,833 | |||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 109,698 | |||
Chevron Corp.: | |||||
1.14%, 5/11/2023 | 250,000 | 254,285 | |||
1.55%, 5/11/2025 | 135,000 | 138,846 | |||
2.24%, 5/11/2030 | 100,000 | 105,081 | |||
2.95%, 5/16/2026 | 50,000 | 55,430 | |||
2.98%, 5/11/2040 | 45,000 | 48,244 | |||
3.08%, 5/11/2050 | 100,000 | 106,071 | |||
3.19%, 6/24/2023 (a) | 25,000 | 26,805 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 | 250,000 | 253,615 | |||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 300,000 | 327,672 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 130,169 | |||
Concho Resources, Inc. 3.75%, 10/1/2027 | 300,000 | 320,298 | |||
ConocoPhillips 6.50%, 2/1/2039 | 75,000 | 108,790 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 239,306 | |||
5.95%, 3/15/2046 | 200,000 | 293,536 | |||
6.95%, 4/15/2029 | 50,000 | 69,832 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 22,337 |
Security Description | Principal Amount | Value | |||
5.85%, 12/15/2025 | $ 50,000 | $ 55,465 | |||
Diamondback Energy, Inc.: | |||||
2.88%, 12/1/2024 | 60,000 | 60,022 | |||
3.25%, 12/1/2026 | 45,000 | 45,152 | |||
3.50%, 12/1/2029 | 100,000 | 96,778 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 (a) | 100,000 | 100,216 | |||
5.88%, 5/28/2045 | 225,000 | 236,419 | |||
7.38%, 9/18/2043 | 50,000 | 60,215 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 104,727 | |||
3.90%, 4/1/2035 | 25,000 | 29,140 | |||
4.38%, 4/15/2030 (a) | 30,000 | 35,763 | |||
4.95%, 4/15/2050 | 35,000 | 44,669 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 (a) | 75,000 | 79,855 | |||
3.25%, 11/18/2049 | 55,000 | 58,623 | |||
3.63%, 9/10/2028 (a) | 50,000 | 57,900 | |||
3.63%, 4/6/2040 | 100,000 | 112,605 | |||
3.70%, 3/1/2024 (a) | 300,000 | 332,694 | |||
3.95%, 5/15/2043 | 50,000 | 57,385 | |||
4.80%, 11/8/2043 | 30,000 | 39,139 | |||
Exxon Mobil Corp.: | |||||
1.57%, 4/15/2023 | 150,000 | 153,922 | |||
1.90%, 8/16/2022 | 20,000 | 20,580 | |||
2.02%, 8/16/2024 | 50,000 | 52,191 | |||
2.44%, 8/16/2029 | 50,000 | 53,102 | |||
2.61%, 10/15/2030 | 300,000 | 321,441 | |||
2.99%, 3/19/2025 | 150,000 | 162,945 | |||
3.00%, 8/16/2039 | 50,000 | 52,571 | |||
3.10%, 8/16/2049 | 50,000 | 51,504 | |||
3.45%, 4/15/2051 | 245,000 | 271,161 | |||
4.11%, 3/1/2046 | 125,000 | 150,281 | |||
4.23%, 3/19/2040 | 105,000 | 126,932 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 78,685 | |||
5.80%, 4/1/2047 (a) | 250,000 | 270,940 | |||
Husky Energy, Inc. 4.40%, 4/15/2029 | 100,000 | 99,901 | |||
Marathon Oil Corp.: | |||||
2.80%, 11/1/2022 | 25,000 | 25,231 | |||
4.40%, 7/15/2027 | 50,000 | 49,316 | |||
5.20%, 6/1/2045 (a) | 50,000 | 46,276 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 53,223 | |||
3.80%, 4/1/2028 (a) | 30,000 | 31,863 | |||
4.50%, 4/1/2048 | 25,000 | 25,692 | |||
5.13%, 12/15/2026 | 150,000 | 173,400 | |||
Newfield Exploration Co. 5.63%, 7/1/2024 | 250,000 | 239,987 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 137,719 | |||
Noble Energy, Inc.: | |||||
4.95%, 8/15/2047 | 250,000 | 224,770 | |||
5.25%, 11/15/2043 | 50,000 | 46,103 |
Security Description | Principal Amount | Value | |||
Ovintiv, Inc. 3.90%, 11/15/2021 | $ 25,000 | $ 24,841 | |||
Petro-Canada 5.35%, 7/15/2033 | 25,000 | 27,978 | |||
Petroleos Mexicanos 2.46%, 12/15/2025 | 13,750 | 14,260 | |||
Phillips 66: | |||||
2.15%, 12/15/2030 | 150,000 | 146,112 | |||
3.70%, 4/6/2023 | 20,000 | 21,436 | |||
3.85%, 4/9/2025 | 180,000 | 199,730 | |||
3.90%, 3/15/2028 (a) | 50,000 | 56,243 | |||
4.30%, 4/1/2022 | 35,000 | 37,136 | |||
4.88%, 11/15/2044 | 95,000 | 117,539 | |||
Pioneer Natural Resources Co. 4.45%, 1/15/2026 | 50,000 | 57,848 | |||
Shell International Finance B.V.: | |||||
2.38%, 4/6/2025 | 250,000 | 265,510 | |||
2.38%, 11/7/2029 | 100,000 | 105,061 | |||
2.50%, 9/12/2026 | 150,000 | 161,946 | |||
2.75%, 4/6/2030 | 250,000 | 271,235 | |||
3.13%, 11/7/2049 | 100,000 | 104,809 | |||
3.25%, 5/11/2025 | 100,000 | 110,737 | |||
4.00%, 5/10/2046 | 100,000 | 117,548 | |||
4.13%, 5/11/2035 | 75,000 | 90,910 | |||
4.38%, 5/11/2045 | 250,000 | 306,385 | |||
4.55%, 8/12/2043 | 250,000 | 313,285 | |||
5.50%, 3/25/2040 | 25,000 | 35,333 | |||
Suncor Energy, Inc.: | |||||
2.80%, 5/15/2023 | 45,000 | 46,977 | |||
3.10%, 5/15/2025 | 40,000 | 42,710 | |||
3.60%, 12/1/2024 | 25,000 | 27,114 | |||
4.00%, 11/15/2047 | 70,000 | 72,079 | |||
6.50%, 6/15/2038 | 50,000 | 63,475 | |||
Total Capital International SA: | |||||
3.13%, 5/29/2050 | 200,000 | 204,928 | |||
3.75%, 4/10/2024 | 375,000 | 414,712 | |||
Total Capital SA 3.88%, 10/11/2028 | 25,000 | 28,978 | |||
Valero Energy Corp.: | |||||
2.85%, 4/15/2025 | 55,000 | 58,110 | |||
3.40%, 9/15/2026 | 50,000 | 54,479 | |||
6.63%, 6/15/2037 | 250,000 | 327,072 | |||
13,094,793 | |||||
OIL & GAS SERVICES — 0.1% | |||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | |||||
2.77%, 12/15/2022 | 100,000 | 104,253 | |||
3.34%, 12/15/2027 | 50,000 | 53,409 | |||
4.08%, 12/15/2047 | 150,000 | 156,175 | |||
Halliburton Co.: | |||||
3.80%, 11/15/2025 | 22,000 | 23,728 | |||
4.85%, 11/15/2035 | 150,000 | 156,454 | |||
5.00%, 11/15/2045 | 35,000 | 36,111 |
Security Description | Principal Amount | Value | |||
7.45%, 9/15/2039 | $ 25,000 | $ 31,721 | |||
National Oilwell Varco, Inc.: | |||||
2.60%, 12/1/2022 | 21,000 | 21,137 | |||
3.60%, 12/1/2029 | 100,000 | 97,632 | |||
Schlumberger Investment SA 2.65%, 6/26/2030 | 100,000 | 101,877 | |||
782,497 | |||||
PACKAGING & CONTAINERS — 0.0% (c) | |||||
Packaging Corp. of America: | |||||
3.00%, 12/15/2029 | 25,000 | 27,080 | |||
3.40%, 12/15/2027 | 35,000 | 38,516 | |||
4.05%, 12/15/2049 (a) | 10,000 | 11,793 | |||
WRKCo, Inc.: | |||||
3.38%, 9/15/2027 | 100,000 | 107,250 | |||
3.75%, 3/15/2025 | 100,000 | 109,214 | |||
4.20%, 6/1/2032 | 50,000 | 58,496 | |||
352,349 | |||||
PHARMACEUTICALS — 1.9% | |||||
AbbVie, Inc.: | |||||
2.15%, 11/19/2021 (b) | 115,000 | 117,191 | |||
2.60%, 11/21/2024 (b) | 105,000 | 111,409 | |||
2.90%, 11/6/2022 | 25,000 | 26,216 | |||
2.95%, 11/21/2026 (b) | 105,000 | 114,142 | |||
3.20%, 5/14/2026 | 200,000 | 219,800 | |||
3.20%, 11/21/2029 (b) | 245,000 | 268,934 | |||
3.25%, 10/1/2022 (b) | 500,000 | 523,645 | |||
3.45%, 3/15/2022 (b) | 200,000 | 207,998 | |||
3.75%, 11/14/2023 | 235,000 | 256,756 | |||
3.80%, 3/15/2025 (b) | 75,000 | 83,131 | |||
3.85%, 6/15/2024 (b) | 50,000 | 54,908 | |||
4.05%, 11/21/2039 (b) | 200,000 | 233,834 | |||
4.25%, 11/14/2028 | 35,000 | 41,289 | |||
4.25%, 11/21/2049 (b) | 90,000 | 108,939 | |||
4.30%, 5/14/2036 | 50,000 | 58,981 | |||
4.40%, 11/6/2042 | 50,000 | 60,221 | |||
4.45%, 5/14/2046 | 150,000 | 183,259 | |||
4.50%, 5/14/2035 | 50,000 | 60,400 | |||
4.55%, 3/15/2035 (b) | 350,000 | 424,242 | |||
4.75%, 3/15/2045 (b) | 75,000 | 93,163 | |||
4.88%, 11/14/2048 | 25,000 | 32,613 | |||
AmerisourceBergen Corp.: | |||||
2.80%, 5/15/2030 (a) | 100,000 | 105,397 | |||
3.45%, 12/15/2027 | 50,000 | 56,155 | |||
AstraZeneca PLC: | |||||
2.38%, 6/12/2022 | 400,000 | 413,792 | |||
3.38%, 11/16/2025 | 35,000 | 39,254 | |||
3.50%, 8/17/2023 | 50,000 | 54,106 | |||
4.00%, 1/17/2029 | 35,000 | 41,791 | |||
4.00%, 9/18/2042 | 25,000 | 30,582 | |||
4.38%, 8/17/2048 (a) | 40,000 | 52,880 | |||
6.45%, 9/15/2037 | 25,000 | 37,578 |
Security Description | Principal Amount | Value | |||
Becton Dickinson & Co.: | |||||
3.70%, 6/6/2027 | $ 163,000 | $ 181,970 | |||
3.73%, 12/15/2024 | 50,000 | 55,193 | |||
4.69%, 12/15/2044 | 20,000 | 24,600 | |||
Becton Dickinson and Co.: | |||||
2.89%, 6/6/2022 | 235,000 | 243,260 | |||
3.36%, 6/6/2024 | 50,000 | 53,815 | |||
4.67%, 6/6/2047 | 210,000 | 259,186 | |||
Bristol-Myers Squibb Co.: | |||||
2.60%, 5/16/2022 (a) (b) | 50,000 | 51,928 | |||
2.90%, 7/26/2024 (b) | 500,000 | 539,970 | |||
3.25%, 2/20/2023 (b) | 50,000 | 53,295 | |||
3.25%, 2/27/2027 | 250,000 | 287,477 | |||
3.25%, 8/1/2042 | 50,000 | 55,508 | |||
3.63%, 5/15/2024 (b) | 25,000 | 27,511 | |||
3.88%, 8/15/2025 (b) | 25,000 | 28,458 | |||
3.90%, 2/20/2028 (b) | 100,000 | 117,490 | |||
4.13%, 6/15/2039 (b) | 35,000 | 44,490 | |||
4.25%, 10/26/2049 (b) | 150,000 | 197,749 | |||
4.35%, 11/15/2047 (b) | 225,000 | 296,104 | |||
4.55%, 2/20/2048 (b) | 100,000 | 134,866 | |||
4.63%, 5/15/2044 (b) | 50,000 | 65,965 | |||
5.00%, 8/15/2045 (b) | 150,000 | 211,080 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 266,912 | |||
3.41%, 6/15/2027 | 300,000 | 335,955 | |||
4.90%, 9/15/2045 | 25,000 | 29,058 | |||
Cigna Corp.: | |||||
2.40%, 3/15/2030 | 120,000 | 124,553 | |||
3.05%, 10/15/2027 (b) | 50,000 | 54,244 | |||
3.20%, 3/15/2040 | 85,000 | 90,368 | |||
3.40%, 9/17/2021 | 290,000 | 299,590 | |||
3.40%, 3/15/2050 (a) | 65,000 | 70,117 | |||
3.75%, 7/15/2023 | 67,000 | 72,729 | |||
4.38%, 10/15/2028 | 310,000 | 367,114 | |||
4.80%, 8/15/2038 | 60,000 | 76,019 | |||
4.90%, 12/15/2048 | 145,000 | 191,146 | |||
6.13%, 11/15/2041 (b) | 25,000 | 35,478 | |||
CVS Health Corp.: | |||||
2.88%, 6/1/2026 | 210,000 | 227,222 | |||
3.38%, 8/12/2024 | 25,000 | 27,212 | |||
3.50%, 7/20/2022 | 200,000 | 210,652 | |||
3.70%, 3/9/2023 | 300,000 | 322,011 | |||
3.88%, 7/20/2025 | 20,000 | 22,434 | |||
4.00%, 12/5/2023 | 25,000 | 27,432 | |||
4.10%, 3/25/2025 | 250,000 | 282,522 | |||
4.30%, 3/25/2028 | 460,000 | 536,838 | |||
4.78%, 3/25/2038 | 675,000 | 835,171 | |||
4.88%, 7/20/2035 | 45,000 | 56,438 | |||
5.05%, 3/25/2048 | 300,000 | 392,160 | |||
5.13%, 7/20/2045 | 185,000 | 238,924 | |||
Eli Lilly & Co.: | |||||
2.25%, 5/15/2050 | 100,000 | 95,726 | |||
2.35%, 5/15/2022 | 300,000 | 310,740 |
Security Description | Principal Amount | Value | |||
GlaxoSmithKline Capital PLC: | |||||
2.88%, 6/1/2022 | $ 100,000 | $ 104,283 | |||
3.00%, 6/1/2024 | 70,000 | 75,718 | |||
3.38%, 6/1/2029 | 85,000 | 97,704 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 26,460 | |||
3.38%, 5/15/2023 | 100,000 | 107,819 | |||
3.63%, 5/15/2025 (a) | 55,000 | 62,103 | |||
3.88%, 5/15/2028 | 100,000 | 117,887 | |||
4.20%, 3/18/2043 | 25,000 | 32,028 | |||
6.38%, 5/15/2038 | 50,000 | 75,881 | |||
Johnson & Johnson: | |||||
2.45%, 3/1/2026 | 30,000 | 32,800 | |||
2.90%, 1/15/2028 | 250,000 | 281,005 | |||
3.38%, 12/5/2023 (a) | 25,000 | 27,496 | |||
3.40%, 1/15/2038 | 100,000 | 118,272 | |||
3.55%, 3/1/2036 | 150,000 | 177,154 | |||
3.63%, 3/3/2037 | 200,000 | 241,030 | |||
3.75%, 3/3/2047 | 100,000 | 126,070 | |||
4.50%, 12/5/2043 | 50,000 | 68,376 | |||
McKesson Corp.: | |||||
2.85%, 3/15/2023 | 25,000 | 26,155 | |||
3.95%, 2/16/2028 | 60,000 | 68,621 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 31,714 | |||
Merck & Co., Inc.: | |||||
1.45%, 6/24/2030 | 55,000 | 55,114 | |||
2.35%, 2/10/2022 | 50,000 | 51,563 | |||
2.35%, 6/24/2040 | 70,000 | 71,449 | |||
2.40%, 9/15/2022 | 25,000 | 26,018 | |||
2.75%, 2/10/2025 | 325,000 | 352,817 | |||
2.90%, 3/7/2024 | 45,000 | 48,541 | |||
3.40%, 3/7/2029 | 100,000 | 115,652 | |||
3.60%, 9/15/2042 | 25,000 | 29,880 | |||
3.70%, 2/10/2045 | 50,000 | 60,472 | |||
3.90%, 3/7/2039 | 100,000 | 123,442 | |||
4.00%, 3/7/2049 | 65,000 | 83,976 | |||
Mylan NV 5.25%, 6/15/2046 | 250,000 | 307,942 | |||
Novartis Capital Corp.: | |||||
1.75%, 2/14/2025 | 100,000 | 104,537 | |||
2.00%, 2/14/2027 | 100,000 | 106,258 | |||
2.20%, 8/14/2030 | 100,000 | 105,704 | |||
2.40%, 5/17/2022 | 300,000 | 311,193 | |||
2.75%, 8/14/2050 (a) | 65,000 | 68,676 | |||
3.00%, 11/20/2025 | 25,000 | 27,736 | |||
3.10%, 5/17/2027 (a) | 30,000 | 33,679 | |||
3.40%, 5/6/2024 | 25,000 | 27,535 | |||
4.00%, 11/20/2045 | 50,000 | 63,113 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 54,618 | |||
Pfizer, Inc.: | |||||
1.70%, 5/28/2030 | 150,000 | 152,533 | |||
2.55%, 5/28/2040 | 150,000 | 155,175 | |||
2.95%, 3/15/2024 | 100,000 | 108,320 |
Security Description | Principal Amount | Value | |||
3.00%, 9/15/2021 | $ 40,000 | $ 41,271 | |||
3.00%, 12/15/2026 | 150,000 | 169,383 | |||
3.20%, 9/15/2023 | 50,000 | 54,063 | |||
3.40%, 5/15/2024 (a) | 25,000 | 27,724 | |||
3.45%, 3/15/2029 | 100,000 | 116,659 | |||
3.60%, 9/15/2028 (a) | 100,000 | 117,877 | |||
3.90%, 3/15/2039 | 25,000 | 30,790 | |||
4.00%, 12/15/2036 | 150,000 | 183,777 | |||
4.00%, 3/15/2049 | 100,000 | 127,685 | |||
4.10%, 9/15/2038 (a) | 200,000 | 249,124 | |||
4.20%, 9/15/2048 | 35,000 | 45,481 | |||
7.20%, 3/15/2039 | 75,000 | 126,637 | |||
Sanofi 3.63%, 6/19/2028 | 100,000 | 117,956 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.40%, 9/23/2021 | 300,000 | 305,775 | |||
2.88%, 9/23/2023 | 100,000 | 105,971 | |||
3.20%, 9/23/2026 | 30,000 | 33,322 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
4.40%, 11/26/2023 | 100,000 | 111,332 | |||
5.00%, 11/26/2028 | 100,000 | 123,303 | |||
Upjohn, Inc.: | |||||
2.70%, 6/22/2030 (b) | 150,000 | 154,528 | |||
4.00%, 6/22/2050 (b) | 150,000 | 161,244 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 36,561 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 55,180 | |||
3.00%, 5/15/2050 | 105,000 | 110,772 | |||
3.90%, 8/20/2028 | 50,000 | 58,953 | |||
4.45%, 8/20/2048 | 25,000 | 32,235 | |||
4.70%, 2/1/2043 | 25,000 | 32,913 | |||
19,916,321 | |||||
PIPELINES — 1.0% | |||||
Boardwalk Pipelines L.P. 4.80%, 5/3/2029 | 40,000 | 42,097 | |||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 (b) | 90,000 | 92,000 | |||
Enable Midstream Partners L.P.: | |||||
4.15%, 9/15/2029 | 100,000 | 87,046 | |||
4.40%, 3/15/2027 | 50,000 | 46,287 | |||
4.95%, 5/15/2028 | 30,000 | 27,814 | |||
Enbridge Energy Partners L.P. 4.20%, 9/15/2021 | 25,000 | 25,778 | |||
Enbridge, Inc.: | |||||
2.90%, 7/15/2022 | 50,000 | 51,843 | |||
3.70%, 7/15/2027 | 50,000 | 55,098 | |||
4.00%, 11/15/2049 (a) | 100,000 | 108,140 | |||
4.25%, 12/1/2026 | 50,000 | 56,742 | |||
Energy Transfer Operating L.P.: | |||||
4.20%, 4/15/2027 | 50,000 | 52,266 | |||
4.75%, 1/15/2026 | 225,000 | 245,524 | |||
5.15%, 2/1/2043 | 25,000 | 23,370 |
Security Description | Principal Amount | Value | |||
5.15%, 3/15/2045 | $ 225,000 | $ 213,752 | |||
5.20%, 2/1/2022 | 100,000 | 104,747 | |||
5.25%, 4/15/2029 | 275,000 | 300,242 | |||
5.88%, 1/15/2024 | 250,000 | 278,730 | |||
6.25%, 4/15/2049 | 275,000 | 293,029 | |||
Enterprise Products Operating LLC: | |||||
3.13%, 7/31/2029 | 100,000 | 107,247 | |||
3.50%, 2/1/2022 | 25,000 | 26,088 | |||
3.75%, 2/15/2025 | 75,000 | 83,083 | |||
3.95%, 2/15/2027 (a) | 200,000 | 227,354 | |||
4.15%, 10/16/2028 | 25,000 | 28,514 | |||
4.20%, 1/31/2050 | 65,000 | 72,507 | |||
4.80%, 2/1/2049 | 25,000 | 29,893 | |||
4.85%, 3/15/2044 | 50,000 | 58,054 | |||
4.90%, 5/15/2046 | 50,000 | 58,516 | |||
5.10%, 2/15/2045 | 200,000 | 237,342 | |||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (d) | 250,000 | 218,345 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (d) | 150,000 | 140,757 | |||
Kinder Morgan Energy Partners L.P. 5.40%, 9/1/2044 | 25,000 | 29,454 | |||
Kinder Morgan, Inc.: | |||||
3.15%, 1/15/2023 | 450,000 | 471,393 | |||
4.30%, 6/1/2025 | 300,000 | 337,032 | |||
5.05%, 2/15/2046 | 50,000 | 57,361 | |||
5.30%, 12/1/2034 | 200,000 | 229,756 | |||
5.55%, 6/1/2045 | 150,000 | 183,103 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 51,529 | |||
4.85%, 2/1/2049 | 275,000 | 307,703 | |||
5.00%, 3/1/2026 | 50,000 | 57,503 | |||
MPLX L.P.: | |||||
3.50%, 12/1/2022 | 75,000 | 78,108 | |||
4.00%, 3/15/2028 (a) | 35,000 | 36,997 | |||
4.50%, 4/15/2038 | 180,000 | 179,833 | |||
4.70%, 4/15/2048 | 100,000 | 101,856 | |||
4.80%, 2/15/2029 (a) | 105,000 | 116,793 | |||
4.88%, 6/1/2025 | 50,000 | 55,823 | |||
4.90%, 4/15/2058 | 25,000 | 24,575 | |||
5.20%, 3/1/2047 | 100,000 | 106,654 | |||
5.20%, 12/1/2047 | 100,000 | 103,292 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 25,869 | |||
ONEOK, Inc.: | |||||
2.20%, 9/15/2025 | 25,000 | 24,520 | |||
2.75%, 9/1/2024 | 100,000 | 100,712 | |||
3.10%, 3/15/2030 | 25,000 | 23,926 | |||
3.40%, 9/1/2029 | 100,000 | 97,333 | |||
4.00%, 7/13/2027 (a) | 30,000 | 30,439 | |||
4.45%, 9/1/2049 | 40,000 | 36,717 |
Security Description | Principal Amount | Value | |||
4.50%, 3/15/2050 | $ 25,000 | $ 23,124 | |||
4.55%, 7/15/2028 | 50,000 | 52,442 | |||
4.95%, 7/13/2047 | 150,000 | 144,757 | |||
5.20%, 7/15/2048 | 25,000 | 25,373 | |||
Phillips 66 Partners L.P.: | |||||
2.45%, 12/15/2024 | 100,000 | 103,054 | |||
3.15%, 12/15/2029 | 100,000 | 102,910 | |||
3.55%, 10/1/2026 | 10,000 | 10,854 | |||
3.75%, 3/1/2028 | 25,000 | 26,702 | |||
4.90%, 10/1/2046 | 10,000 | 10,964 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 25,591 | |||
4.50%, 12/15/2026 | 50,000 | 52,993 | |||
4.65%, 10/15/2025 | 400,000 | 427,320 | |||
4.70%, 6/15/2044 | 25,000 | 22,476 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 | 100,000 | 107,393 | |||
5.63%, 3/1/2025 | 200,000 | 229,064 | |||
5.75%, 5/15/2024 | 75,000 | 84,489 | |||
5.88%, 6/30/2026 | 250,000 | 293,832 | |||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 391,223 | |||
Sunoco Logistics Partners Operations L.P.: | |||||
4.00%, 10/1/2027 | 50,000 | 51,026 | |||
5.30%, 4/1/2044 | 25,000 | 24,133 | |||
5.35%, 5/15/2045 | 25,000 | 24,371 | |||
5.40%, 10/1/2047 | 150,000 | 147,253 | |||
TransCanada PipeLines, Ltd.: | |||||
2.50%, 8/1/2022 | 100,000 | 103,143 | |||
4.10%, 4/15/2030 | 200,000 | 228,290 | |||
4.63%, 3/1/2034 | 250,000 | 288,387 | |||
4.75%, 5/15/2038 | 100,000 | 117,498 | |||
7.63%, 1/15/2039 | 25,000 | 38,061 | |||
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026 | 200,000 | 260,764 | |||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 57,491 | |||
Williams Cos., Inc.: | |||||
3.50%, 11/15/2030 | 100,000 | 104,828 | |||
3.60%, 3/15/2022 | 100,000 | 103,819 | |||
3.70%, 1/15/2023 | 20,000 | 21,148 | |||
3.75%, 6/15/2027 | 200,000 | 213,908 | |||
3.90%, 1/15/2025 | 50,000 | 54,598 | |||
4.55%, 6/24/2024 | 65,000 | 72,088 | |||
5.10%, 9/15/2045 | 125,000 | 136,626 | |||
5.75%, 6/24/2044 | 25,000 | 28,878 | |||
10,471,357 | |||||
REAL ESTATE — 0.0% (c) | |||||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 56,759 |
Security Description | Principal Amount | Value | |||
REAL ESTATE INVESTMENT TRUSTS — 1.0% | |||||
Alexandria Real Estate Equities, Inc.: | |||||
3.38%, 8/15/2031 | $ 60,000 | $ 67,195 | |||
3.45%, 4/30/2025 | 100,000 | 111,142 | |||
4.00%, 2/1/2050 | 100,000 | 121,677 | |||
4.70%, 7/1/2030 | 35,000 | 42,837 | |||
American Campus Communities Operating Partnership L.P.: | |||||
3.30%, 7/15/2026 | 50,000 | 51,046 | |||
3.63%, 11/15/2027 | 30,000 | 30,725 | |||
American Tower Corp.: | |||||
2.25%, 1/15/2022 | 100,000 | 102,438 | |||
2.75%, 1/15/2027 | 200,000 | 213,716 | |||
3.00%, 6/15/2023 | 250,000 | 266,787 | |||
3.13%, 1/15/2027 (a) | 100,000 | 108,716 | |||
3.38%, 10/15/2026 | 75,000 | 83,122 | |||
3.50%, 1/31/2023 | 50,000 | 53,407 | |||
AvalonBay Communities, Inc.: | |||||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 26,072 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 54,043 | |||
Series MTN, 2.45%, 1/15/2031 | 70,000 | 74,677 | |||
Series MTN, 3.20%, 1/15/2028 | 40,000 | 44,403 | |||
Series MTN, 3.30%, 6/1/2029 | 65,000 | 73,259 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 60,508 | |||
Boston Properties L.P.: | |||||
2.75%, 10/1/2026 | 150,000 | 160,744 | |||
2.90%, 3/15/2030 | 35,000 | 36,559 | |||
3.40%, 6/21/2029 | 100,000 | 110,281 | |||
3.65%, 2/1/2026 | 100,000 | 110,964 | |||
3.85%, 2/1/2023 | 75,000 | 80,137 | |||
Brixmor Operating Partnership L.P.: | |||||
3.65%, 6/15/2024 | 50,000 | 51,719 | |||
4.05%, 7/1/2030 | 25,000 | 25,635 | |||
4.13%, 6/15/2026 | 50,000 | 52,354 | |||
4.13%, 5/15/2029 | 100,000 | 103,653 | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | 65,000 | 72,180 | |||
4.10%, 10/15/2028 (a) | 20,000 | 23,524 | |||
Crown Castle International Corp.: | |||||
3.20%, 9/1/2024 | 250,000 | 270,965 | |||
3.65%, 9/1/2027 | 150,000 | 166,836 | |||
3.70%, 6/15/2026 | 15,000 | 16,762 | |||
4.00%, 3/1/2027 | 20,000 | 22,741 | |||
4.75%, 5/15/2047 (a) | 100,000 | 123,753 | |||
5.25%, 1/15/2023 | 100,000 | 111,190 |
Security Description | Principal Amount | Value | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 | $ 100,000 | $ 106,084 | |||
4.38%, 2/15/2029 | 30,000 | 34,914 | |||
CyrusOne L.P./CyrusOne Finance Corp.: | |||||
2.90%, 11/15/2024 | 150,000 | 157,758 | |||
3.45%, 11/15/2029 | 60,000 | 62,423 | |||
Digital Realty Trust L.P.: | |||||
2.75%, 2/1/2023 | 125,000 | 131,000 | |||
3.70%, 8/15/2027 | 150,000 | 170,965 | |||
3.95%, 7/1/2022 | 25,000 | 26,485 | |||
Duke Realty L.P.: | |||||
3.05%, 3/1/2050 | 10,000 | 10,459 | |||
4.00%, 9/15/2028 | 100,000 | 116,797 | |||
EPR Properties: | |||||
4.50%, 6/1/2027 | 50,000 | 46,300 | |||
4.95%, 4/15/2028 | 50,000 | 47,733 | |||
Equinix, Inc.: | |||||
2.63%, 11/18/2024 | 65,000 | 69,194 | |||
3.20%, 11/18/2029 (a) | 45,000 | 48,830 | |||
5.38%, 5/15/2027 | 60,000 | 65,373 | |||
5.88%, 1/15/2026 | 80,000 | 84,394 | |||
ERP Operating L.P.: | |||||
3.00%, 7/1/2029 | 25,000 | 27,592 | |||
3.50%, 3/1/2028 | 100,000 | 113,088 | |||
4.00%, 8/1/2047 | 50,000 | 63,824 | |||
4.15%, 12/1/2028 | 100,000 | 118,336 | |||
Essex Portfolio L.P.: | |||||
3.00%, 1/15/2030 | 25,000 | 27,255 | |||
3.63%, 5/1/2027 | 50,000 | 55,486 | |||
4.00%, 3/1/2029 | 65,000 | 75,587 | |||
4.50%, 3/15/2048 | 50,000 | 62,003 | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | 75,000 | 77,593 | |||
3.25%, 7/15/2027 | 50,000 | 52,366 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.35%, 9/1/2024 | 55,000 | 55,361 | |||
4.00%, 1/15/2030 | 65,000 | 64,435 | |||
5.25%, 6/1/2025 | 20,000 | 21,745 | |||
5.38%, 11/1/2023 | 20,000 | 21,368 | |||
5.38%, 4/15/2026 | 40,000 | 43,766 | |||
5.75%, 6/1/2028 | 20,000 | 22,160 | |||
HCP, Inc. 3.88%, 8/15/2024 | 50,000 | 54,987 | |||
Healthcare Realty Trust, Inc. 2.40%, 3/15/2030 | 25,000 | 23,923 | |||
Healthcare Trust of America Holdings L.P. 3.50%, 8/1/2026 (a) | 25,000 | 27,019 | |||
Healthpeak Properties, Inc. 2.88%, 1/15/2031 | 125,000 | 128,525 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 24,888 | |||
3.88%, 3/1/2027 | 50,000 | 52,931 |
Security Description | Principal Amount | Value | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | $ 50,000 | $ 51,250 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 143,080 | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | 200,000 | 192,790 | |||
4.65%, 4/1/2029 | 25,000 | 26,978 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 49,729 | |||
3.45%, 12/15/2024 | 50,000 | 51,745 | |||
4.75%, 12/15/2028 | 25,000 | 28,037 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 (a) | 50,000 | 51,103 | |||
3.30%, 2/1/2025 | 40,000 | 42,336 | |||
3.70%, 10/1/2049 | 100,000 | 93,235 | |||
3.80%, 4/1/2027 (a) | 25,000 | 26,697 | |||
Life Storage L.P. 4.00%, 6/15/2029 | 100,000 | 109,317 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 55,556 | |||
3.95%, 3/15/2029 | 100,000 | 114,979 | |||
National Retail Properties, Inc.: | |||||
3.10%, 4/15/2050 | 100,000 | 84,076 | |||
3.60%, 12/15/2026 | 50,000 | 52,945 | |||
4.30%, 10/15/2028 | 35,000 | 37,991 | |||
Office Properties Income Trust 4.25%, 5/15/2024 | 50,000 | 48,794 | |||
Omega Healthcare Investors, Inc.: | |||||
3.63%, 10/1/2029 | 50,000 | 49,166 | |||
4.38%, 8/1/2023 (a) | 150,000 | 155,809 | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | 100,000 | 102,110 | |||
Prologis L.P.: | |||||
2.13%, 4/15/2027 | 50,000 | 52,683 | |||
2.25%, 4/15/2030 | 65,000 | 68,339 | |||
3.00%, 4/15/2050 | 50,000 | 52,782 | |||
3.75%, 11/1/2025 | 50,000 | 57,396 | |||
4.25%, 8/15/2023 | 150,000 | 165,993 | |||
4.38%, 2/1/2029 (a) | 65,000 | 79,591 | |||
Public Storage 2.37%, 9/15/2022 | 125,000 | 129,977 | |||
Realty Income Corp.: | |||||
3.65%, 1/15/2028 | 100,000 | 109,921 | |||
3.88%, 4/15/2025 | 100,000 | 109,315 | |||
4.13%, 10/15/2026 | 50,000 | 57,145 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 54,619 | |||
4.40%, 2/1/2047 | 150,000 | 165,630 | |||
Sabra Health Care L.P.: | |||||
4.80%, 6/1/2024 | 25,000 | 25,085 | |||
5.13%, 8/15/2026 | 25,000 | 25,296 | |||
Simon Property Group L.P.: | |||||
2.50%, 7/15/2021 | 350,000 | 354,161 | |||
2.63%, 6/15/2022 (a) | 100,000 | 102,705 | |||
2.75%, 6/1/2023 | 200,000 | 207,952 | |||
4.25%, 11/30/2046 | 50,000 | 54,001 |
Security Description | Principal Amount | Value | |||
Spirit Realty L.P. 3.40%, 1/15/2030 | $ 100,000 | $ 94,288 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 50,469 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 | 50,000 | 46,577 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 163,744 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 26,685 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 54,561 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 | 25,000 | 25,290 | |||
3.00%, 1/15/2030 | 50,000 | 49,582 | |||
3.10%, 1/15/2023 | 50,000 | 51,270 | |||
3.85%, 4/1/2027 | 100,000 | 105,602 | |||
4.00%, 3/1/2028 | 100,000 | 105,539 | |||
4.38%, 2/1/2045 | 75,000 | 72,486 | |||
VEREIT Operating Partnership L.P.: | |||||
3.10%, 12/15/2029 | 150,000 | 144,358 | |||
3.95%, 8/15/2027 | 40,000 | 41,519 | |||
4.60%, 2/6/2024 | 5,000 | 5,348 | |||
4.63%, 11/1/2025 | 50,000 | 53,963 | |||
4.88%, 6/1/2026 | 10,000 | 11,051 | |||
Vornado Realty L.P. 3.50%, 1/15/2025 (a) | 50,000 | 49,415 | |||
Welltower, Inc.: | |||||
2.70%, 2/15/2027 | 50,000 | 51,663 | |||
3.10%, 1/15/2030 | 55,000 | 56,940 | |||
4.00%, 6/1/2025 | 175,000 | 193,259 | |||
4.13%, 3/15/2029 | 100,000 | 110,152 | |||
Weyerhaeuser Co.: | |||||
4.00%, 11/15/2029 | 200,000 | 225,294 | |||
4.63%, 9/15/2023 | 25,000 | 27,883 | |||
WP Carey, Inc. 3.85%, 7/15/2029 | 100,000 | 103,820 | |||
10,879,786 | |||||
RETAIL — 0.9% | |||||
Advance Auto Parts, Inc. 3.90%, 4/15/2030 (b) | 100,000 | 106,936 | |||
AutoNation, Inc. 4.75%, 6/1/2030 | 50,000 | 54,282 | |||
AutoZone, Inc.: | |||||
3.13%, 4/18/2024 | 100,000 | 107,654 | |||
3.75%, 6/1/2027 | 100,000 | 112,166 | |||
Best Buy Co., Inc. 4.45%, 10/1/2028 (a) | 50,000 | 57,940 | |||
Costco Wholesale Corp.: | |||||
1.38%, 6/20/2027 | 100,000 | 102,369 | |||
1.60%, 4/20/2030 | 65,000 | 65,841 | |||
1.75%, 4/20/2032 | 30,000 | 30,402 | |||
2.30%, 5/18/2022 | 150,000 | 155,257 | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 | 15,000 | 15,411 |
Security Description | Principal Amount | Value | |||
4.55%, 2/15/2048 | $ 15,000 | $ 14,287 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 | 70,000 | 81,859 | |||
4.15%, 11/1/2025 | 25,000 | 28,855 | |||
Dollar Tree, Inc.: | |||||
3.70%, 5/15/2023 | 95,000 | 101,760 | |||
4.00%, 5/15/2025 | 100,000 | 112,445 | |||
4.20%, 5/15/2028 | 45,000 | 52,226 | |||
Home Depot, Inc.: | |||||
2.13%, 9/15/2026 | 150,000 | 161,556 | |||
2.63%, 6/1/2022 | 150,000 | 156,466 | |||
2.70%, 4/15/2030 | 250,000 | 274,825 | |||
2.80%, 9/14/2027 (a) | 250,000 | 279,332 | |||
3.00%, 4/1/2026 (a) | 350,000 | 391,940 | |||
3.13%, 12/15/2049 | 100,000 | 109,526 | |||
3.30%, 4/15/2040 | 250,000 | 282,885 | |||
3.35%, 4/15/2050 | 150,000 | 172,758 | |||
3.75%, 2/15/2024 | 25,000 | 27,608 | |||
4.25%, 4/1/2046 | 35,000 | 44,212 | |||
5.95%, 4/1/2041 | 50,000 | 74,922 | |||
Kohl's Corp.: | |||||
5.55%, 7/17/2045 (a) | 20,000 | 17,634 | |||
9.50%, 5/15/2025 | 30,000 | 34,245 | |||
Lowe's Cos., Inc.: | |||||
2.50%, 4/15/2026 (a) | 50,000 | 54,085 | |||
3.10%, 5/3/2027 | 200,000 | 222,590 | |||
3.38%, 9/15/2025 | 25,000 | 27,970 | |||
3.70%, 4/15/2046 | 50,000 | 55,935 | |||
4.05%, 5/3/2047 | 300,000 | 352,521 | |||
4.25%, 9/15/2044 | 25,000 | 29,339 | |||
4.38%, 9/15/2045 | 25,000 | 29,849 | |||
4.65%, 4/15/2042 | 25,000 | 31,185 | |||
McDonald's Corp.: | |||||
Series MTN, 1.45%, 9/1/2025 | 15,000 | 15,391 | |||
Series MTN, 2.13%, 3/1/2030 (a) | 15,000 | 15,399 | |||
Series MTN, 2.63%, 9/1/2029 | 75,000 | 80,309 | |||
Series MTN, 3.35%, 4/1/2023 | 80,000 | 85,737 | |||
Series MTN, 3.50%, 3/1/2027 (a) | 50,000 | 56,508 | |||
Series MTN, 3.63%, 9/1/2049 | 10,000 | 11,081 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 85,209 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 116,928 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 153,378 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 24,627 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 190,246 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 128,475 | |||
Nordstrom, Inc. 4.38%, 4/1/2030 | 55,000 | 43,122 | |||
O'Reilly Automotive, Inc.: | |||||
3.60%, 9/1/2027 | 50,000 | 56,064 | |||
4.35%, 6/1/2028 | 100,000 | 116,979 |
Security Description | Principal Amount | Value | |||
Ross Stores, Inc.: | |||||
4.80%, 4/15/2030 | $ 50,000 | $ 59,774 | |||
5.45%, 4/15/2050 | 50,000 | 64,523 | |||
Starbucks Corp.: | |||||
2.00%, 3/12/2027 | 100,000 | 104,796 | |||
2.25%, 3/12/2030 | 100,000 | 103,955 | |||
2.55%, 11/15/2030 | 100,000 | 105,001 | |||
3.35%, 3/12/2050 | 25,000 | 25,526 | |||
3.50%, 11/15/2050 | 150,000 | 158,013 | |||
3.80%, 8/15/2025 | 50,000 | 56,451 | |||
3.85%, 10/1/2023 | 25,000 | 27,371 | |||
4.00%, 11/15/2028 | 50,000 | 58,724 | |||
4.45%, 8/15/2049 | 100,000 | 120,820 | |||
4.50%, 11/15/2048 | 30,000 | 35,663 | |||
Target Corp.: | |||||
2.50%, 4/15/2026 | 50,000 | 54,882 | |||
3.38%, 4/15/2029 | 100,000 | 115,336 | |||
3.90%, 11/15/2047 (a) | 250,000 | 318,782 | |||
4.00%, 7/1/2042 | 50,000 | 62,897 | |||
TJX Cos., Inc.: | |||||
2.25%, 9/15/2026 | 50,000 | 53,254 | |||
3.88%, 4/15/2030 | 250,000 | 293,897 | |||
Walgreen Co. 3.10%, 9/15/2022 | 25,000 | 26,172 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.20%, 4/15/2030 (a) | 50,000 | 51,676 | |||
3.30%, 11/18/2021 | 200,000 | 206,124 | |||
3.45%, 6/1/2026 | 250,000 | 270,655 | |||
4.50%, 11/18/2034 | 25,000 | 27,947 | |||
4.65%, 6/1/2046 | 25,000 | 26,680 | |||
Walmart, Inc.: | |||||
2.65%, 12/15/2024 | 150,000 | 162,363 | |||
2.95%, 9/24/2049 | 150,000 | 168,883 | |||
3.25%, 7/8/2029 (a) | 80,000 | 92,807 | |||
3.30%, 4/22/2024 | 325,000 | 356,294 | |||
3.70%, 6/26/2028 | 100,000 | 118,159 | |||
3.95%, 6/28/2038 | 325,000 | 412,288 | |||
4.05%, 6/29/2048 | 185,000 | 242,785 | |||
9,193,024 | |||||
SEMICONDUCTORS — 0.6% | |||||
Applied Materials, Inc.: | |||||
1.75%, 6/1/2030 | 30,000 | 30,654 | |||
3.90%, 10/1/2025 | 25,000 | 28,720 | |||
4.35%, 4/1/2047 | 100,000 | 129,014 | |||
5.10%, 10/1/2035 | 50,000 | 69,164 | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 2.65%, 1/15/2023 | 200,000 | 207,718 | |||
Broadcom, Inc.: | |||||
2.25%, 11/15/2023 (b) | 70,000 | 72,313 | |||
3.15%, 11/15/2025 (b) | 80,000 | 85,159 | |||
4.11%, 9/15/2028 (b) | 159,000 | 173,836 | |||
4.15%, 11/15/2030 (b) | 100,000 | 108,751 | |||
4.30%, 11/15/2032 (b) | 55,000 | 60,712 | |||
4.70%, 4/15/2025 (b) | 315,000 | 355,166 |
Security Description | Principal Amount | Value | |||
4.75%, 4/15/2029 (b) | $ 150,000 | $ 170,238 | |||
5.00%, 4/15/2030 (b) | 200,000 | 229,568 | |||
Intel Corp.: | |||||
2.35%, 5/11/2022 | 50,000 | 51,717 | |||
2.45%, 11/15/2029 | 150,000 | 161,920 | |||
2.88%, 5/11/2024 (a) | 200,000 | 216,202 | |||
3.10%, 2/15/2060 | 150,000 | 166,006 | |||
3.15%, 5/11/2027 | 200,000 | 224,386 | |||
3.25%, 11/15/2049 | 150,000 | 170,299 | |||
3.30%, 10/1/2021 | 25,000 | 25,949 | |||
4.10%, 5/19/2046 | 370,000 | 464,124 | |||
4.10%, 5/11/2047 | 50,000 | 62,982 | |||
KLA Corp.: | |||||
3.30%, 3/1/2050 | 50,000 | 51,655 | |||
4.10%, 3/15/2029 | 65,000 | 76,767 | |||
Lam Research Corp.: | |||||
3.75%, 3/15/2026 | 50,000 | 57,313 | |||
4.00%, 3/15/2029 | 280,000 | 332,408 | |||
4.88%, 3/15/2049 | 25,000 | 34,631 | |||
Micron Technology, Inc.: | |||||
2.50%, 4/24/2023 | 30,000 | 31,179 | |||
4.66%, 2/15/2030 | 200,000 | 232,634 | |||
NVIDIA Corp.: | |||||
3.20%, 9/16/2026 | 50,000 | 56,623 | |||
3.50%, 4/1/2050 | 150,000 | 171,837 | |||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (b) | 100,000 | 112,057 | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc.: | |||||
2.70%, 5/1/2025 (b) | 10,000 | 10,471 | |||
3.15%, 5/1/2027 (b) | 15,000 | 15,861 | |||
3.40%, 5/1/2030 (b) | 20,000 | 21,525 | |||
QUALCOMM, Inc.: | |||||
2.15%, 5/20/2030 | 100,000 | 104,356 | |||
2.60%, 1/30/2023 | 200,000 | 209,864 | |||
2.90%, 5/20/2024 | 200,000 | 215,258 | |||
3.25%, 5/20/2027 | 50,000 | 56,684 | |||
3.25%, 5/20/2050 (a) | 45,000 | 49,437 | |||
3.45%, 5/20/2025 | 50,000 | 55,699 | |||
4.30%, 5/20/2047 | 50,000 | 62,656 | |||
4.80%, 5/20/2045 | 25,000 | 32,672 | |||
Texas Instruments, Inc.: | |||||
2.90%, 11/3/2027 | 70,000 | 78,329 | |||
3.88%, 3/15/2039 | 250,000 | 309,907 | |||
4.15%, 5/15/2048 | 150,000 | 194,608 | |||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 53,713 | |||
5,892,742 | |||||
SOFTWARE — 0.9% | |||||
Activision Blizzard, Inc.: | |||||
2.30%, 9/15/2021 | 250,000 | 254,072 | |||
4.50%, 6/15/2047 | 150,000 | 191,812 | |||
Adobe, Inc.: | |||||
1.70%, 2/1/2023 | 20,000 | 20,712 | |||
1.90%, 2/1/2025 | 30,000 | 31,683 |
Security Description | Principal Amount | Value | |||
2.30%, 2/1/2030 | $ 30,000 | $ 32,355 | |||
3.25%, 2/1/2025 | 25,000 | 27,809 | |||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 56,362 | |||
Broadridge Financial Solutions, Inc. 2.90%, 12/1/2029 | 50,000 | 53,444 | |||
Citrix Systems, Inc. 3.30%, 3/1/2030 | 100,000 | 106,849 | |||
Fidelity National Information Services, Inc.: | |||||
3.00%, 8/15/2026 | 200,000 | 221,266 | |||
3.75%, 5/21/2029 | 20,000 | 23,451 | |||
3.88%, 6/5/2024 | 7,000 | 7,701 | |||
Fiserv, Inc.: | |||||
2.25%, 6/1/2027 | 50,000 | 52,454 | |||
2.65%, 6/1/2030 | 50,000 | 52,987 | |||
2.75%, 7/1/2024 | 100,000 | 106,693 | |||
3.20%, 7/1/2026 | 275,000 | 303,966 | |||
3.50%, 7/1/2029 | 65,000 | 73,034 | |||
3.80%, 10/1/2023 | 150,000 | 163,923 | |||
4.20%, 10/1/2028 (a) | 65,000 | 76,297 | |||
4.40%, 7/1/2049 | 60,000 | 72,691 | |||
Intuit, Inc.: | |||||
0.95%, 7/15/2025 | 15,000 | 15,052 | |||
1.65%, 7/15/2030 | 15,000 | 15,025 | |||
Microsoft Corp.: | |||||
1.55%, 8/8/2021 | 200,000 | 202,748 | |||
2.00%, 8/8/2023 | 50,000 | 52,331 | |||
2.40%, 2/6/2022 | 300,000 | 309,531 | |||
2.40%, 8/8/2026 | 200,000 | 218,276 | |||
2.53%, 6/1/2050 | 418,000 | 435,928 | |||
2.65%, 11/3/2022 | 300,000 | 315,225 | |||
2.68%, 6/1/2060 | 88,000 | 91,788 | |||
3.13%, 11/3/2025 | 50,000 | 56,020 | |||
3.30%, 2/6/2027 | 280,000 | 320,141 | |||
3.45%, 8/8/2036 | 550,000 | 662,678 | |||
3.63%, 12/15/2023 | 25,000 | 27,560 | |||
3.70%, 8/8/2046 | 150,000 | 187,551 | |||
3.95%, 8/8/2056 | 62,000 | 79,852 | |||
4.10%, 2/6/2037 | 157,000 | 202,794 | |||
4.20%, 11/3/2035 | 65,000 | 85,205 | |||
Oracle Corp.: | |||||
1.90%, 9/15/2021 | 200,000 | 203,346 | |||
2.40%, 9/15/2023 | 200,000 | 210,468 | |||
2.50%, 5/15/2022 | 50,000 | 51,695 | |||
2.50%, 4/1/2025 | 600,000 | 643,230 | |||
2.63%, 2/15/2023 | 235,000 | 247,124 | |||
2.65%, 7/15/2026 | 45,000 | 48,672 | |||
2.80%, 7/8/2021 | 250,000 | 256,455 | |||
2.95%, 5/15/2025 | 10,000 | 10,911 | |||
3.60%, 4/1/2040 | 250,000 | 282,575 | |||
3.60%, 4/1/2050 | 525,000 | 588,688 | |||
3.80%, 11/15/2037 | 180,000 | 208,413 | |||
3.85%, 7/15/2036 (a) | 150,000 | 175,810 | |||
3.90%, 5/15/2035 | 5,000 | 6,053 |
Security Description | Principal Amount | Value | |||
4.00%, 7/15/2046 | $ 180,000 | $ 211,806 | |||
4.30%, 7/8/2034 | 200,000 | 248,722 | |||
4.38%, 5/15/2055 | 10,000 | 12,587 | |||
salesforce.com, Inc.: | |||||
3.25%, 4/11/2023 | 275,000 | 295,256 | |||
3.70%, 4/11/2028 | 25,000 | 29,121 | |||
VMware, Inc. 3.90%, 8/21/2027 (a) | 150,000 | 158,938 | |||
9,097,136 | |||||
TELECOMMUNICATIONS — 1.3% | |||||
America Movil SAB de CV: | |||||
2.88%, 5/7/2030 | 200,000 | 211,134 | |||
3.13%, 7/16/2022 | 100,000 | 103,430 | |||
4.38%, 7/16/2042 | 50,000 | 60,921 | |||
4.38%, 4/22/2049 | 200,000 | 243,818 | |||
6.13%, 3/30/2040 | 100,000 | 143,052 | |||
AT&T, Inc.: | |||||
2.30%, 6/1/2027 | 50,000 | 51,781 | |||
2.75%, 6/1/2031 | 350,000 | 364,539 | |||
2.95%, 7/15/2026 | 200,000 | 216,780 | |||
3.20%, 3/1/2022 | 250,000 | 260,815 | |||
3.40%, 5/15/2025 | 250,000 | 274,365 | |||
3.50%, 6/1/2041 | 100,000 | 104,791 | |||
3.55%, 6/1/2024 | 25,000 | 27,352 | |||
3.65%, 6/1/2051 | 100,000 | 104,924 | |||
3.80%, 2/15/2027 | 150,000 | 168,455 | |||
3.85%, 6/1/2060 | 45,000 | 47,985 | |||
3.90%, 3/11/2024 | 25,000 | 27,485 | |||
4.10%, 2/15/2028 | 184,000 | 210,165 | |||
4.13%, 2/17/2026 | 350,000 | 397,981 | |||
4.45%, 4/1/2024 | 25,000 | 28,017 | |||
4.50%, 5/15/2035 | 300,000 | 353,841 | |||
4.55%, 3/9/2049 | 208,000 | 245,336 | |||
4.65%, 6/1/2044 | 25,000 | 28,687 | |||
4.75%, 5/15/2046 | 30,000 | 35,346 | |||
4.80%, 6/15/2044 | 50,000 | 57,921 | |||
4.85%, 3/1/2039 | 570,000 | 688,463 | |||
4.85%, 7/15/2045 | 50,000 | 59,744 | |||
5.15%, 11/15/2046 | 300,000 | 368,961 | |||
5.15%, 2/15/2050 | 150,000 | 191,334 | |||
5.45%, 3/1/2047 | 250,000 | 327,580 | |||
5.65%, 2/15/2047 | 150,000 | 198,169 | |||
Bell Canada, Inc.: | |||||
4.30%, 7/29/2049 | 55,000 | 67,367 | |||
4.46%, 4/1/2048 | 30,000 | 37,586 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 247,126 | |||
Cisco Systems, Inc.: | |||||
1.85%, 9/20/2021 | 200,000 | 203,472 | |||
3.00%, 6/15/2022 | 25,000 | 26,321 | |||
3.50%, 6/15/2025 | 25,000 | 28,503 | |||
3.63%, 3/4/2024 (a) | 25,000 | 27,884 | |||
5.50%, 1/15/2040 | 300,000 | 438,486 |
Security Description | Principal Amount | Value | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | $ 25,000 | $ 28,857 | |||
5.35%, 11/15/2048 | 100,000 | 132,739 | |||
5.75%, 8/15/2040 | 25,000 | 32,167 | |||
Juniper Networks, Inc. 3.75%, 8/15/2029 (a) | 100,000 | 112,073 | |||
Motorola Solutions, Inc.: | |||||
4.00%, 9/1/2024 | 25,000 | 27,564 | |||
4.60%, 2/23/2028 | 125,000 | 141,716 | |||
4.60%, 5/23/2029 | 50,000 | 57,901 | |||
Orange SA 5.50%, 2/6/2044 | 50,000 | 72,979 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 | 30,000 | 31,872 | |||
3.70%, 11/15/2049 | 50,000 | 55,454 | |||
4.30%, 2/15/2048 | 40,000 | 48,480 | |||
4.35%, 5/1/2049 | 155,000 | 189,469 | |||
5.00%, 3/15/2044 | 50,000 | 64,381 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 179,093 | |||
5.21%, 3/8/2047 | 300,000 | 374,376 | |||
5.52%, 3/1/2049 | 150,000 | 196,082 | |||
7.05%, 6/20/2036 | 25,000 | 36,264 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 38,286 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 182,481 | |||
T-Mobile USA, Inc.: | |||||
2.55%, 2/15/2031 (b) | 125,000 | 126,135 | |||
3.50%, 4/15/2025 (b) | 150,000 | 163,475 | |||
3.75%, 4/15/2027 (b) | 150,000 | 166,293 | |||
3.88%, 4/15/2030 (b) | 80,000 | 89,044 | |||
4.38%, 4/15/2040 (b) | 350,000 | 405,202 | |||
4.50%, 4/15/2050 (b) | 45,000 | 53,017 | |||
Verizon Communications, Inc.: | |||||
2.63%, 8/15/2026 | 50,000 | 54,398 | |||
3.38%, 2/15/2025 | 500,000 | 556,445 | |||
3.50%, 11/1/2024 | 50,000 | 55,280 | |||
3.88%, 2/8/2029 | 10,000 | 11,790 | |||
4.02%, 12/3/2029 | 350,000 | 418,449 | |||
4.27%, 1/15/2036 | 28,000 | 34,538 | |||
4.33%, 9/21/2028 | 285,000 | 343,622 | |||
4.40%, 11/1/2034 | 250,000 | 309,960 | |||
4.50%, 8/10/2033 | 250,000 | 312,940 | |||
4.52%, 9/15/2048 | 25,000 | 33,045 | |||
4.81%, 3/15/2039 | 100,000 | 130,509 | |||
5.01%, 4/15/2049 | 150,000 | 208,882 | |||
5.15%, 9/15/2023 | 300,000 | 342,195 | |||
5.25%, 3/16/2037 | 150,000 | 203,799 | |||
5.50%, 3/16/2047 | 350,000 | 516,477 | |||
Vodafone Group PLC: | |||||
3.75%, 1/16/2024 | 170,000 | 186,119 | |||
4.13%, 5/30/2025 | 50,000 | 56,657 | |||
4.38%, 2/19/2043 | 75,000 | 87,066 | |||
5.00%, 5/30/2038 | 250,000 | 313,607 |
Security Description | Principal Amount | Value | |||
5.25%, 5/30/2048 | $ 225,000 | $ 291,832 | |||
14,152,927 | |||||
TEXTILES — 0.0% (c) | |||||
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 100,000 | 109,492 | |||
TOYS/GAMES/HOBBIES — 0.0% (c) | |||||
Hasbro, Inc.: | |||||
3.50%, 9/15/2027 | 30,000 | 31,079 | |||
3.90%, 11/19/2029 | 100,000 | 104,121 | |||
135,200 | |||||
TRANSPORTATION — 0.6% | |||||
Burlington Northern Santa Fe LLC: | |||||
3.05%, 2/15/2051 (a) | 15,000 | 16,248 | |||
3.40%, 9/1/2024 | 100,000 | 110,010 | |||
3.75%, 4/1/2024 | 25,000 | 27,586 | |||
3.90%, 8/1/2046 | 100,000 | 121,138 | |||
4.05%, 6/15/2048 (a) | 155,000 | 192,267 | |||
4.13%, 6/15/2047 | 150,000 | 186,367 | |||
4.15%, 12/15/2048 | 30,000 | 37,708 | |||
4.45%, 3/15/2043 | 50,000 | 63,528 | |||
4.55%, 9/1/2044 | 50,000 | 64,656 | |||
4.90%, 4/1/2044 | 125,000 | 170,150 | |||
Canadian National Railway Co.: | |||||
2.45%, 5/1/2050 | 15,000 | 14,531 | |||
2.75%, 3/1/2026 | 100,000 | 109,134 | |||
2.95%, 11/21/2024 | 50,000 | 53,830 | |||
3.20%, 8/2/2046 | 25,000 | 27,670 | |||
3.65%, 2/3/2048 | 50,000 | 58,751 | |||
Canadian Pacific Railway Co.: | |||||
2.05%, 3/5/2030 | 35,000 | 35,881 | |||
4.00%, 6/1/2028 | 100,000 | 117,091 | |||
4.80%, 9/15/2035 | 30,000 | 38,897 | |||
CSX Corp.: | |||||
2.40%, 2/15/2030 | 50,000 | 52,844 | |||
3.25%, 6/1/2027 | 50,000 | 56,055 | |||
3.35%, 9/15/2049 (a) | 65,000 | 72,132 | |||
3.40%, 8/1/2024 | 25,000 | 27,543 | |||
3.80%, 3/1/2028 | 50,000 | 57,553 | |||
3.80%, 11/1/2046 | 100,000 | 116,180 | |||
4.10%, 3/15/2044 | 75,000 | 90,585 | |||
4.25%, 3/15/2029 (a) | 95,000 | 113,644 | |||
4.30%, 3/1/2048 | 50,000 | 62,429 | |||
4.50%, 3/15/2049 | 125,000 | 161,779 | |||
4.65%, 3/1/2068 | 50,000 | 64,947 | |||
FedEx Corp.: | |||||
3.40%, 1/14/2022 | 150,000 | 156,103 | |||
3.40%, 2/15/2028 (a) | 50,000 | 53,990 | |||
3.90%, 2/1/2035 | 200,000 | 216,056 | |||
4.00%, 1/15/2024 | 25,000 | 27,670 | |||
4.05%, 2/15/2048 | 50,000 | 51,304 | |||
4.55%, 4/1/2046 | 100,000 | 107,821 | |||
4.75%, 11/15/2045 | 25,000 | 27,827 |
Security Description | Principal Amount | Value | |||
4.95%, 10/17/2048 | $ 100,000 | $ 116,038 | |||
Kansas City Southern: | |||||
2.88%, 11/15/2029 | 65,000 | 68,660 | |||
3.50%, 5/1/2050 | 25,000 | 27,055 | |||
4.70%, 5/1/2048 (a) | 50,000 | 63,049 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 165,528 | |||
3.00%, 4/1/2022 | 25,000 | 25,972 | |||
3.15%, 6/1/2027 | 50,000 | 55,263 | |||
3.16%, 5/15/2055 (b) | 68,000 | 70,288 | |||
3.40%, 11/1/2049 | 100,000 | 110,241 | |||
3.94%, 11/1/2047 | 100,000 | 118,290 | |||
4.45%, 6/15/2045 | 19,000 | 23,770 | |||
Ryder System, Inc.: | |||||
Series MTN, 2.50%, 9/1/2024 (a) | 40,000 | 41,202 | |||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 102,615 | |||
Series MTN, 3.45%, 11/15/2021 | 100,000 | 102,960 | |||
Union Pacific Corp.: | |||||
2.15%, 2/5/2027 | 250,000 | 264,880 | |||
2.75%, 3/1/2026 | 50,000 | 54,406 | |||
2.95%, 3/1/2022 | 350,000 | 364,182 | |||
3.50%, 6/8/2023 (a) | 50,000 | 54,285 | |||
3.80%, 10/1/2051 | 52,000 | 61,948 | |||
3.84%, 3/20/2060 | 130,000 | 151,740 | |||
4.05%, 3/1/2046 | 175,000 | 206,524 | |||
4.10%, 9/15/2067 | 15,000 | 17,947 | |||
4.38%, 9/10/2038 | 110,000 | 135,491 | |||
United Parcel Service, Inc.: | |||||
2.35%, 5/16/2022 | 50,000 | 51,745 | |||
2.40%, 11/15/2026 | 30,000 | 32,591 | |||
2.45%, 10/1/2022 | 125,000 | 130,396 | |||
2.50%, 4/1/2023 | 150,000 | 157,549 | |||
3.05%, 11/15/2027 | 50,000 | 56,403 | |||
3.75%, 11/15/2047 | 175,000 | 202,678 | |||
5,995,601 | |||||
TRUCKING & LEASING — 0.0% (c) | |||||
GATX Corp.: | |||||
3.85%, 3/30/2027 | 50,000 | 53,288 | |||
4.55%, 11/7/2028 | 50,000 | 54,886 | |||
4.70%, 4/1/2029 | 25,000 | 28,198 | |||
136,372 | |||||
WATER — 0.0% (c) | |||||
American Water Capital Corp.: | |||||
2.95%, 9/1/2027 | 121,000 | 133,599 | |||
3.40%, 3/1/2025 | 25,000 | 27,603 | |||
3.45%, 5/1/2050 | 50,000 | 56,487 | |||
3.75%, 9/1/2028 | 100,000 | 115,850 | |||
3.75%, 9/1/2047 | 100,000 | 115,870 | |||
4.30%, 12/1/2042 | 25,000 | 30,654 |
Security Description | Principal Amount | Value | |||
Essential Utilities, Inc. 2.70%, 4/15/2030 | $ 60,000 | $ 62,792 | |||
542,855 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $264,991,804) | 288,682,305 | ||||
ASSET-BACKED SECURITIES — 0.4% | |||||
AUTOMOBILE — 0.2% | |||||
CarMax Auto Owner Trust Series 2020-2, Class A3, 1.70%, 11/15/2024 | 131,000 | 134,113 | |||
CarMax Auto Owner Trust 2017-2 Series 2017-2, Class B, 2.41%, 12/15/2022 | 200,000 | 203,429 | |||
Drive Auto Receivables Trust: | |||||
Series 2018-4, Class D, 4.09%, 1/15/2026 | 100,000 | 103,078 | |||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 50,000 | 50,628 | |||
Ford Credit Auto Lease Trust Series 2019-B, Class A3, 2.22%, 10/15/2022 | 200,000 | 203,072 | |||
Ford Credit Auto Owner Trust Series 2020-B, Class A3, 0.56%, 10/15/2024 | 189,000 | 189,290 | |||
GM Financial Consumer Automobile Receivables Trust Series 2019-2, Class A3, 2.65%, 2/16/2024 | 200,000 | 204,898 | |||
Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024 | 385,000 | 395,035 | |||
Hyundai Auto Receivables Trust Series 2019-B, Class A3, Class A3, 1.94%, 2/15/2024 | 55,000 | 56,356 | |||
Mercedes-Benz Auto Receivables Trust Series 2019-1, Class A3, Class A3, 1.94%, 3/15/2024 | 100,000 | 102,192 | |||
Nissan Auto Receivables 2019-A Owner Trust Series 2019-A, Class A3, 2.90%, 10/16/2023 | 100,000 | 102,998 | |||
Santander Drive Auto Receivables Trust Series 2018-1, Class D, 3.32%, 3/15/2024 | 85,000 | 86,906 | |||
Toyota Auto Receivables Owner Trust Series 2019-C, Class A3, 1.91%, 9/15/2023 | 400,000 | 408,524 |
Security Description | Principal Amount | Value | |||
World Omni Auto Receivables Trust Series 2019-B, Class A3, 2.59%, 7/15/2024 | $ 111,000 | $ 114,077 | |||
2,354,596 | |||||
CREDIT CARD — 0.2% | |||||
American Express Credit Account Master Trust: | |||||
Series 2019-2, Class A, 2.67%, 11/15/2024 | 900,000 | 936,652 | |||
Series 2018-8, Class A, 3.18%, 4/15/2024 | 68,000 | 70,303 | |||
Series 2019-1, Class A, 2.87%, 10/15/2024 | 100,000 | 104,204 | |||
Capital One Multi-Asset Execution Trust Series 2016-A5, Class A5, 1.66%, 6/17/2024 | 200,000 | 202,840 | |||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 200,000 | 241,146 | |||
Synchrony Card Funding LLC Series 2019-A2, Class A, 2.34%, 6/15/2025 | 150,000 | 153,860 | |||
1,709,005 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,987,928) | 4,063,601 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.8% | |||||
AUSTRIA — 0.0% (c) | |||||
Oesterreichische Kontrollbank AG: | |||||
1.50%, 02/12/2025 | 50,000 | 52,198 | |||
1.63%, 09/17/2022 (a) | 40,000 | 41,136 | |||
2.63%, 01/31/2022 | 200,000 | 207,274 | |||
Series GMTN, 2.88%, 03/13/2023 | 100,000 | 106,746 | |||
407,354 | |||||
CANADA — 0.5% | |||||
Canada Government International Bond 1.63%, 1/22/2025 | 500,000 | 527,240 | |||
Export Development Canada: | |||||
1.38%, 10/21/2021 | 50,000 | 50,710 | |||
1.75%, 07/18/2022 | 150,000 | 154,536 | |||
2.00%, 05/17/2022 (a) | 50,000 | 51,610 | |||
2.50%, 01/24/2023 | 200,000 | 211,178 | |||
Province of Alberta Canada: | |||||
2.20%, 07/26/2022 (a) | 50,000 | 51,803 | |||
3.30%, 03/15/2028 | 650,000 | 753,207 |
Security Description | Principal Amount | Value | |||
Province of British Columbia Canada: | |||||
2.25%, 06/02/2026 | $ 150,000 | $ 163,353 | |||
2.65%, 09/22/2021 | 50,000 | 51,436 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 (a) | 250,000 | 268,857 | |||
Series GX, 2.60%, 04/16/2024 | 100,000 | 107,472 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 58,936 | |||
Province of Ontario Canada: | |||||
2.20%, 10/03/2022 | 250,000 | 259,983 | |||
2.50%, 09/10/2021 | 25,000 | 25,638 | |||
2.50%, 04/27/2026 | 350,000 | 382,840 | |||
2.55%, 04/25/2022 | 750,000 | 779,452 | |||
Province of Quebec Canada: | |||||
1.35%, 05/28/2030 (a) | 300,000 | 305,178 | |||
2.50%, 04/20/2026 | 250,000 | 274,055 | |||
2.75%, 08/25/2021 | 50,000 | 51,368 | |||
2.75%, 04/12/2027 | 200,000 | 223,624 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 219,318 | |||
4,971,794 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.45%, 01/31/2031 | 200,000 | 207,744 | |||
3.13%, 01/21/2026 | 50,000 | 54,727 | |||
3.24%, 02/06/2028 (a) | 200,000 | 219,622 | |||
3.86%, 06/21/2047 | 300,000 | 355,917 | |||
838,010 | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond: | |||||
4.50%, 01/28/2026 | 250,000 | 271,400 | |||
4.50%, 03/15/2029 (a) | 250,000 | 274,662 | |||
5.00%, 06/15/2045 | 200,000 | 225,610 | |||
5.20%, 05/15/2049 | 250,000 | 293,055 | |||
5.63%, 02/26/2044 | 200,000 | 239,456 | |||
1,304,183 | |||||
GERMANY — 0.4% | |||||
FMS Wertmanagement 2.75%, 1/30/2024 | 250,000 | 271,190 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
0.01%, 06/29/2037 | 100,000 | 79,217 | |||
1.75%, 09/14/2029 | 250,000 | 270,170 | |||
2.00%, 05/02/2025 (a) | 100,000 | 107,381 | |||
2.13%, 03/07/2022 (a) | 250,000 | 257,863 | |||
2.13%, 06/15/2022 | 250,000 | 259,150 | |||
2.13%, 01/17/2023 | 100,000 | 104,693 | |||
2.38%, 12/29/2022 (a) | 250,000 | 263,080 | |||
2.50%, 02/15/2022 | 500,000 | 518,120 | |||
2.50%, 11/20/2024 (a) | 300,000 | 327,270 |
Security Description | Principal Amount | Value | |||
2.63%, 01/25/2022 | $ 50,000 | $ 51,861 | |||
2.63%, 02/28/2024 (a) | 250,000 | 270,822 | |||
2.88%, 04/03/2028 (a) | 290,000 | 337,493 | |||
Series GMTN, 3.13%, 12/15/2021 | 500,000 | 520,755 | |||
Landwirtschaftliche Rentenbank: | |||||
3.13%, 11/14/2023 | 100,000 | 109,325 | |||
Series 36, 2.00%, 12/06/2021 | 150,000 | 153,618 | |||
Series 37, 2.50%, 11/15/2027 | 50,000 | 56,333 | |||
Series 40, 0.50%, 05/27/2025 | 90,000 | 90,113 | |||
4,048,454 | |||||
HUNGARY — 0.0% (c) | |||||
Hungary Government International Bond 5.38%, 3/25/2024 | 350,000 | 397,212 | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
2.95%, 01/11/2023 | 275,000 | 283,429 | |||
4.45%, 04/15/2070 | 200,000 | 229,992 | |||
4.75%, 02/11/2029 | 150,000 | 173,932 | |||
5.35%, 02/11/2049 | 100,000 | 129,565 | |||
816,918 | |||||
ISRAEL — 0.1% | |||||
Israel Government International Bond: | |||||
2.75%, 07/03/2030 | 200,000 | 220,326 | |||
2.88%, 03/16/2026 | 100,000 | 109,264 | |||
3.25%, 01/17/2028 | 100,000 | 113,230 | |||
3.88%, 07/03/2050 | 200,000 | 238,078 | |||
4.00%, 06/30/2022 | 50,000 | 53,239 | |||
4.13%, 01/17/2048 | 100,000 | 124,172 | |||
858,309 | |||||
ITALY — 0.0% (c) | |||||
Republic of Italy Government International Bond: | |||||
4.00%, 10/17/2049 | 200,000 | 202,414 | |||
5.38%, 06/15/2033 | 50,000 | 61,910 | |||
264,324 | |||||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
1.50%, 07/21/2021 | 25,000 | 25,288 | |||
1.75%, 10/17/2024 | 200,000 | 209,310 | |||
2.50%, 06/01/2022 | 200,000 | 207,818 | |||
2.50%, 05/23/2024 | 200,000 | 214,630 | |||
2.75%, 11/16/2027 | 200,000 | 225,600 | |||
2.88%, 07/21/2027 | 100,000 | 113,364 | |||
3.25%, 07/20/2023 | 150,000 | 162,293 | |||
3.25%, 07/20/2028 | 250,000 | 293,362 | |||
3.38%, 10/31/2023 | 200,000 | 218,554 |
Security Description | Principal Amount | Value | |||
Series DTC, 2.38%, 04/20/2026 | $ 200,000 | $ 218,020 | |||
1,888,239 | |||||
MEXICO — 0.2% | |||||
Mexico Government International Bond: | |||||
3.75%, 01/11/2028 | 100,000 | 104,237 | |||
4.00%, 10/02/2023 | 80,000 | 85,172 | |||
4.13%, 01/21/2026 (a) | 125,000 | 135,013 | |||
4.15%, 03/28/2027 | 200,000 | 214,838 | |||
4.50%, 04/22/2029 (a) | 250,000 | 271,542 | |||
4.50%, 01/31/2050 (a) | 250,000 | 257,815 | |||
4.60%, 02/10/2048 (a) | 200,000 | 207,036 | |||
4.75%, 04/27/2032 (a) | 200,000 | 220,528 | |||
5.00%, 04/27/2051 | 200,000 | 215,926 | |||
5.55%, 01/21/2045 (a) | 450,000 | 529,677 | |||
6.05%, 01/11/2040 | 30,000 | 36,575 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 104,875 | |||
2,383,234 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
3.16%, 01/23/2030 | 200,000 | 215,514 | |||
3.75%, 03/16/2025 | 150,000 | 162,272 | |||
3.88%, 03/17/2028 | 200,000 | 224,838 | |||
4.50%, 05/15/2047 | 50,000 | 61,332 | |||
4.50%, 04/16/2050 | 200,000 | 244,624 | |||
6.70%, 01/26/2036 | 50,000 | 71,900 | |||
980,480 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond: | |||||
2.39%, 01/23/2026 | 250,000 | 260,017 | |||
2.84%, 06/20/2030 (a) | 55,000 | 58,901 | |||
4.13%, 08/25/2027 | 150,000 | 172,106 | |||
5.63%, 11/18/2050 (a) | 150,000 | 236,896 | |||
6.55%, 03/14/2037 | 25,000 | 38,002 | |||
765,922 | |||||
PHILIPPINES — 0.1% | |||||
Philippine Government International Bond: | |||||
2.46%, 05/05/2030 | 200,000 | 209,926 | |||
3.70%, 03/01/2041 (a) | 200,000 | 228,186 | |||
3.70%, 02/02/2042 | 100,000 | 114,679 | |||
3.95%, 01/20/2040 | 200,000 | 232,364 | |||
4.20%, 01/21/2024 | 300,000 | 327,042 | |||
5.00%, 01/13/2037 | 150,000 | 193,120 | |||
7.75%, 01/14/2031 | 100,000 | 149,621 | |||
1,454,938 |
Security Description | Principal Amount | Value | |||
POLAND — 0.1% | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | $ 50,000 | $ 52,952 | |||
3.25%, 04/06/2026 | 175,000 | 196,352 | |||
4.00%, 01/22/2024 | 150,000 | 166,633 | |||
5.00%, 03/23/2022 | 50,000 | 53,687 | |||
469,624 | |||||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
2.38%, 04/21/2027 | 25,000 | 26,412 | |||
3.00%, 11/01/2022 | 250,000 | 262,357 | |||
3.25%, 11/10/2025 | 150,000 | 167,357 | |||
3.50%, 11/27/2021 | 250,000 | 259,383 | |||
Korea Development Bank: | |||||
2.75%, 03/19/2023 | 200,000 | 209,950 | |||
3.00%, 01/13/2026 | 100,000 | 110,272 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 232,650 | |||
1,268,381 | |||||
SUPRANATIONAL — 1.4% | |||||
African Development Bank: | |||||
3.00%, 09/20/2023 (a) | 150,000 | 162,767 | |||
Series GDIF, 1.25%, 07/26/2021 | 25,000 | 25,262 | |||
Series GMTN, 1.63%, 09/16/2022 | 210,000 | 216,197 | |||
Series GMTN, 3.00%, 12/06/2021 (a) | 30,000 | 31,162 | |||
Asian Development Bank: | |||||
0.63%, 04/29/2025 | 500,000 | 503,600 | |||
1.50%, 10/18/2024 | 200,000 | 209,310 | |||
2.63%, 01/30/2024 | 200,000 | 216,138 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 258,035 | |||
Series GMTN, 2.00%, 02/16/2022 | 150,000 | 154,199 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 108,278 | |||
Series GMTN, 2.13%, 11/24/2021 | 75,000 | 76,934 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 55,807 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 112,694 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 56,244 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 90,590 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 59,134 | |||
Series MTN, 1.88%, 07/19/2022 | 400,000 | 413,120 |
Security Description | Principal Amount | Value | |||
Asian Infrastructure Investment Bank 0.50%, 5/28/2025 | $ 200,000 | $ 199,832 | |||
Corp. Andina de Fomento: | |||||
2.13%, 09/27/2021 | 50,000 | 50,334 | |||
2.38%, 05/12/2023 (a) | 150,000 | 153,741 | |||
2.75%, 01/06/2023 (a) | 100,000 | 104,662 | |||
Council Of Europe Development Bank: | |||||
1.75%, 09/26/2022 | 100,000 | 103,272 | |||
2.50%, 02/27/2024 (a) | 30,000 | 32,316 | |||
2.63%, 02/13/2023 | 60,000 | 63,619 | |||
European Bank for Reconstruction & Development: | |||||
0.25%, 07/10/2023 | 100,000 | 99,952 | |||
Series GMTN, 1.50%, 02/13/2025 (a) | 250,000 | 261,977 | |||
Series GMTN, 1.88%, 02/23/2022 (a) | 75,000 | 76,954 | |||
European Investment Bank: | |||||
0.25%, 09/15/2023 | 365,000 | 364,708 | |||
1.38%, 05/15/2023 | 350,000 | 361,053 | |||
1.63%, 03/14/2025 | 485,000 | 512,092 | |||
1.88%, 02/10/2025 (a) | 100,000 | 106,640 | |||
2.00%, 12/15/2022 (a) | 250,000 | 260,733 | |||
2.13%, 10/15/2021 | 50,000 | 51,209 | |||
2.13%, 04/13/2026 | 100,000 | 109,120 | |||
2.25%, 03/15/2022 (a) | 250,000 | 258,545 | |||
2.38%, 06/15/2022 | 350,000 | 364,605 | |||
2.38%, 05/24/2027 | 100,000 | 111,704 | |||
2.50%, 03/15/2023 | 145,000 | 153,733 | |||
2.50%, 10/15/2024 | 25,000 | 27,247 | |||
Series DIP, 1.38%, 09/15/2021 (a) | 200,000 | 202,708 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 378,224 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 383,967 | |||
Inter-American Development Bank: | |||||
0.88%, 04/03/2025 | 500,000 | 509,525 | |||
1.88%, 07/23/2021 | 100,000 | 101,706 | |||
2.00%, 07/23/2026 | 100,000 | 108,050 | |||
2.25%, 06/18/2029 | 250,000 | 279,817 | |||
2.38%, 07/07/2027 | 100,000 | 111,321 | |||
2.50%, 01/18/2023 | 100,000 | 105,565 | |||
2.63%, 01/16/2024 | 350,000 | 377,923 | |||
3.00%, 02/21/2024 | 100,000 | 109,513 | |||
3.13%, 09/18/2028 | 100,000 | 118,196 | |||
4.38%, 01/24/2044 | 75,000 | 115,200 | |||
Series GMTN, 1.75%, 09/14/2022 | 350,000 | 361,301 | |||
Series GMTN, 2.13%, 01/18/2022 | 350,000 | 359,985 |
Security Description | Principal Amount | Value | |||
Series GMTN, 3.00%, 09/26/2022 | $ 100,000 | $ 106,031 | |||
International Bank for Reconstruction & Development: | |||||
0.63%, 04/22/2025 | 550,000 | 554,262 | |||
0.88%, 05/14/2030 | 250,000 | 250,020 | |||
2.00%, 01/26/2022 | 300,000 | 308,124 | |||
2.13%, 07/01/2022 | 200,000 | 207,422 | |||
3.00%, 09/27/2023 | 350,000 | 380,376 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 269,927 | |||
Series GDIF, 1.88%, 06/19/2023 | 300,000 | 313,998 | |||
Series GDIF, 2.13%, 12/13/2021 | 400,000 | 410,824 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 327,267 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 220,232 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 282,127 | |||
Series GDIF, 2.75%, 07/23/2021 | 450,000 | 461,938 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 37,073 | |||
International Finance Corp.: | |||||
Series GMTN, 1.13%, 07/20/2021 | 125,000 | 126,116 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 108,878 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 161,834 | |||
Nordic Investment Bank 2.13%, 2/1/2022 | 200,000 | 205,820 | |||
14,932,789 | |||||
SWEDEN — 0.1% | |||||
Svensk Exportkredit AB: | |||||
1.63%, 11/14/2022 | 200,000 | 205,750 | |||
2.00%, 08/30/2022 | 200,000 | 206,758 | |||
Series GMTN, 3.13%, 11/08/2021 (a) | 250,000 | 259,288 | |||
671,796 | |||||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 257,175 | |||
4.38%, 01/23/2031 | 280,000 | 327,768 | |||
5.10%, 06/18/2050 | 175,000 | 226,030 | |||
810,973 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $37,170,730) | 39,532,934 |
Security Description | Principal Amount | Value | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.0% | |||||
Federal Farm Credit Banks: | |||||
1.60%, 12/28/2021 | $ 100,000 | $ 101,702 | |||
2.53%, 2/14/2022 | 500,000 | 517,470 | |||
2.59%, 8/27/2029 | 150,000 | 150,487 | |||
2.60%, 1/18/2022 | 150,000 | 155,302 | |||
2.65%, 8/13/2029 | 250,000 | 250,655 | |||
2.88%, 7/17/2023 | 100,000 | 107,230 | |||
3.08%, 8/12/2039 | 75,000 | 75,232 | |||
3.50%, 12/20/2023 | 50,000 | 55,444 | |||
Federal Farm Credit Banks Funding Corp. 0.38%, 4/8/2022 | 250,000 | 250,605 | |||
Federal Home Loan Bank: | |||||
0.25%, 6/3/2022 | 250,000 | 249,667 | |||
0.50%, 4/14/2025 | 205,000 | 205,367 | |||
1.13%, 7/14/2021 (a) | 400,000 | 403,876 | |||
1.38%, 2/17/2023 | 750,000 | 772,237 | |||
1.50%, 8/15/2024 | 190,000 | 198,960 | |||
1.63%, 11/19/2021 | 340,000 | 346,725 | |||
1.63%, 12/20/2021 | 140,000 | 142,911 | |||
1.88%, 7/7/2021 | 230,000 | 233,938 | |||
2.00%, 12/11/2024 | 150,000 | 150,499 | |||
2.50%, 2/13/2024 | 220,000 | 237,321 | |||
2.88%, 9/13/2024 | 50,000 | 55,166 | |||
3.25%, 6/9/2028 | 500,000 | 591,730 | |||
3.25%, 11/16/2028 (a) | 30,000 | 35,746 | |||
3.38%, 12/8/2023 | 50,000 | 55,147 | |||
5.50%, 7/15/2036 | 135,000 | 211,047 | |||
Federal Home Loan Mortgage Corp.: | |||||
0.25%, 6/26/2023 | 500,000 | 499,325 | |||
0.38%, 4/20/2023 | 250,000 | 250,782 | |||
0.38%, 5/5/2023 | 350,000 | 350,980 | |||
1.50%, 2/12/2025 | 500,000 | 524,055 | |||
2.38%, 1/13/2022 | 325,000 | 335,897 | |||
2.50%, 10/1/2029 | 35,324 | 37,071 | |||
2.50%, 1/1/2031 | 71,890 | 75,445 | |||
2.50%, 5/1/2031 | 116,294 | 122,004 | |||
2.50%, 6/1/2031 | 214,681 | 225,221 | |||
2.50%, 10/1/2031 | 199,164 | 208,943 | |||
2.50%, 12/1/2031 | 231,920 | 244,611 | |||
2.50%, 12/1/2032 | 1,044,249 | 1,095,854 | |||
2.50%, 2/1/2033 | 1,256,382 | 1,318,470 | |||
2.50%, 9/1/2046 | 1,735,365 | 1,823,013 | |||
2.50%, 7/1/2050 | 5,484,051 | 5,721,175 | |||
2.75%, 6/19/2023 | 500,000 | 537,020 | |||
3.00%, 10/1/2030 | 448,665 | 476,788 | |||
3.00%, 12/1/2030 | 90,348 | 95,305 | |||
3.00%, 5/1/2031 | 69,427 | 73,224 | |||
3.00%, 12/1/2031 | 357,092 | 376,620 | |||
3.00%, 2/1/2032 | 541,041 | 570,630 | |||
3.00%, 5/1/2032 | 563,087 | 592,755 |
Security Description | Principal Amount | Value | |||
3.00%, 7/1/2032 | $ 170,264 | $ 179,235 | |||
3.00%, 1/1/2033 | 727,141 | 765,452 | |||
3.00%, 4/1/2036 | 378,357 | 401,493 | |||
3.00%, 6/1/2036 | 228,255 | 242,212 | |||
3.00%, 2/1/2038 | 905,152 | 957,077 | |||
3.00%, 1/1/2043 | 2,682,461 | 2,869,401 | |||
3.00%, 7/1/2043 | 2,902,281 | 3,104,311 | |||
3.00%, 6/1/2045 | 83,468 | 88,326 | |||
3.00% 8/1/2045 | 465,400 | 495,868 | |||
3.00%, 4/1/2046 | 355,926 | 375,753 | |||
3.00% 6/1/2046 | 3,660,332 | 3,912,515 | |||
3.00%, 8/1/2046 | 630,355 | 665,470 | |||
3.00%, 9/1/2046 | 206,625 | 218,135 | |||
3.00%, 10/1/2046 | 352,228 | 371,849 | |||
3.00% 11/1/2046 | 1,162,524 | 1,227,283 | |||
3.00% 12/1/2046 | 1,029,964 | 1,087,340 | |||
3.00%, 1/1/2047 | 761,825 | 804,263 | |||
3.00% 2/1/2047 | 1,515,155 | 1,616,957 | |||
3.00%, 4/1/2047 | 2,449,989 | 2,591,853 | |||
3.00%, 9/1/2049 | 812,073 | 855,008 | |||
3.00%, 12/1/2049 | 686,093 | 722,367 | |||
3.00%, 2/1/2050 | 2,529,723 | 2,663,471 | |||
3.50%, 4/1/2032 | 314,401 | 330,423 | |||
3.50%, 6/1/2033 | 719,516 | 755,341 | |||
3.50%, 9/1/2033 | 508,635 | 533,960 | |||
3.50%, 11/1/2034 | 213,308 | 228,823 | |||
3.50%, 3/1/2037 | 301,716 | 320,667 | |||
3.50%, 4/1/2042 | 245,756 | 266,530 | |||
3.50%, 12/1/2042 | 195,507 | 211,877 | |||
3.50%, 8/1/2043 | 529,484 | 572,826 | |||
3.50%, 5/1/2044 | 1,712,147 | 1,867,387 | |||
3.50%, 11/1/2044 | 40,854 | 43,812 | |||
3.50%, 1/1/2045 | 54,783 | 58,750 | |||
3.50% 7/1/2045 | 316,619 | 338,701 | |||
3.50%, 10/1/2045 | 55,323 | 59,021 | |||
3.50% 12/1/2045 | 629,719 | 672,679 | |||
3.50%, 1/1/2046 | 80,291 | 85,658 | |||
3.50%, 3/1/2046 | 166,158 | 176,325 | |||
3.50%, 4/1/2046 | 242,750 | 257,602 | |||
3.50%, 6/1/2046 | 273,809 | 290,562 | |||
3.50%, 8/1/2046 | 2,986,670 | 3,186,190 | |||
3.50%, 12/1/2046 | 843,151 | 894,737 | |||
3.50%, 2/1/2047 | 584,975 | 620,766 | |||
3.50%, 3/1/2047 | 587,831 | 620,504 | |||
3.50%, 4/1/2047 | 370,903 | 391,518 | |||
3.50%, 6/1/2047 | 384,055 | 405,402 | |||
3.50% 10/1/2047 | 650,265 | 686,402 | |||
3.50%, 11/1/2047 | 185,981 | 196,318 | |||
3.50%, 12/1/2047 | 383,311 | 404,616 | |||
3.50%, 4/1/2049 | 764,180 | 802,532 | |||
3.50%, 7/1/2049 | 1,911,900 | 2,009,334 | |||
3.50%, 10/1/2049 | 177,784 | 186,844 | |||
4.00%, 11/1/2033 | 545,443 | 576,814 | |||
4.00%, 4/1/2042 | 30,656 | 33,610 | |||
4.00%, 6/1/2042 | 84,411 | 92,814 |
Security Description | Principal Amount | Value | |||
4.00%, 7/1/2042 | $ 1,564,130 | $ 1,714,887 | |||
4.00%, 12/1/2044 | 35,934 | 38,961 | |||
4.00%, 4/1/2045 | 29,174 | 31,719 | |||
4.00%, 10/1/2045 | 70,600 | 76,755 | |||
4.00%, 12/1/2045 | 121,913 | 132,542 | |||
4.00%, 1/1/2046 | 479,727 | 521,554 | |||
4.00%, 2/1/2046 | 186,682 | 202,958 | |||
4.00%, 1/1/2047 | 540,119 | 582,321 | |||
4.00%, 2/1/2047 | 248,476 | 267,890 | |||
4.00%, 6/1/2047 | 519,337 | 553,656 | |||
4.00%, 9/1/2047 | 595,543 | 634,897 | |||
4.00%, 11/1/2047 | 475,610 | 507,039 | |||
4.00%, 1/1/2048 | 1,232,499 | 1,313,943 | |||
4.00%, 10/1/2048 | 3,181,784 | 3,364,493 | |||
4.00%, 4/1/2049 | 247,381 | 261,823 | |||
4.50%, 5/1/2042 | 706,027 | 791,349 | |||
4.50%, 5/1/2044 | 157,546 | 174,448 | |||
4.50%, 12/1/2045 | 450,458 | 498,784 | |||
4.50%, 9/1/2046 | 337,289 | 371,906 | |||
4.50%, 4/1/2047 | 251,871 | 271,263 | |||
4.50%, 10/1/2047 | 371,892 | 400,524 | |||
4.50%, 11/1/2047 | 306,805 | 330,426 | |||
4.50%, 12/1/2047 | 158,597 | 170,813 | |||
4.50%, 7/1/2048 | 1,042,807 | 1,120,710 | |||
4.50%, 11/1/2048 | 621,298 | 667,712 | |||
4.50%, 11/1/2049 | 1,588,966 | 1,710,309 | |||
5.00%, 7/1/2041 | 131,833 | 150,813 | |||
5.00%, 11/1/2048 | 637,998 | 696,450 | |||
5.50%, 8/1/2038 | 384,785 | 448,781 | |||
6.00%, 7/1/2040 | 144,671 | 172,220 | |||
6.25%, 7/15/2032 (a) | 460,000 | 723,511 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 130,291 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 105,732 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 438,832 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 632,244 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 220,377 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 546,268 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 457,140 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (d) | 250,000 | 301,935 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (d) | 160,001 | 192,459 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 192,702 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 408,938 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 114,237 |
Security Description | Principal Amount | Value | |||
Series K094, Class A2, 2.90%, 6/25/2029 | $ 352,767 | $ 402,230 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 110,588 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 112,013 | |||
Series K101, Class A2, 2.52%, 10/25/2029 | 200,000 | 222,693 | |||
Series K109, Class A2, 1.56%, 4/25/2030 | 100,000 | 104,334 | |||
Series K-1515, Class A2, 1.94%, 2/25/2035 | 293,000 | 315,810 | |||
Series K157, Class A2, 3.99%, 5/25/2033 (d) | 500,000 | 611,583 | |||
Series K716, Class A2, 3.13%, 6/25/2021 | 0 | 0 | |||
Series K718, Class A2, 2.79%, 1/25/2022 | 500,000 | 508,848 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 390,961 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 221,220 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 324,284 | |||
Federal National Mortgage Association: | |||||
0.25%, 5/22/2023 | 350,000 | 349,755 | |||
0.50%, 6/17/2025 | 250,000 | 250,312 | |||
0.63%, 4/22/2025 (a) | 215,000 | 216,860 | |||
1.38%, 10/7/2021 | 325,000 | 329,846 | |||
1.63%, 1/7/2025 (a) | 215,000 | 226,406 | |||
2.00%, 1/5/2022 | 150,000 | 154,051 | |||
2.00%, 10/5/2022 | 250,000 | 260,015 | |||
2.00%, 11/1/2031 | 123,468 | 128,440 | |||
2.00%, 7/1/2050 | 1,197,609 | 1,221,805 | |||
2.13%, 4/24/2026 | 200,000 | 217,936 | |||
2.25%, 4/12/2022 | 210,000 | 217,654 | |||
2.50%, 2/5/2024 | 250,000 | 269,600 | |||
2.50%, 3/1/2029 | 195,543 | 204,763 | |||
2.50%, 7/1/2030 | 1,096,942 | 1,149,798 | |||
2.50%, 2/1/2031 | 112,342 | 117,872 | |||
2.50%, 10/1/2031 | 193,743 | 203,202 | |||
2.50%, 12/1/2031 | 341,188 | 357,845 | |||
2.50%, 1/1/2032 | 116,757 | 122,457 | |||
2.50%, 4/1/2032 | 1,196,226 | 1,254,627 | |||
2.50%, 10/1/2032 | 488,924 | 513,053 | |||
2.50%, 12/1/2032 | 1,031,511 | 1,082,418 | |||
2.50%, 1/1/2033 | 555,986 | 583,425 | |||
2.50%, 6/1/2040 | 594,997 | 621,834 | |||
2.50%, 12/1/2049 | 1,902,840 | 1,984,534 | |||
2.50%, 7/1/2050 | 2,400,000 | 2,503,773 | |||
2.63%, 1/11/2022 | 250,000 | 259,257 | |||
2.63%, 9/6/2024 | 250,000 | 273,782 | |||
2.88%, 9/12/2023 | 500,000 | 541,675 | |||
3.00%, 10/1/2028 | 68,033 | 71,683 | |||
3.00%, 8/1/2029 | 35,298 | 37,267 |
Security Description | Principal Amount | Value | |||
3.00%, 5/1/2030 | $ 204,111 | $ 214,844 | |||
3.00%, 6/1/2030 | 41,454 | 43,721 | |||
3.00%, 8/1/2030 | 551,516 | 584,183 | |||
3.00%, 9/1/2030 | 38,264 | 40,356 | |||
3.00%, 11/1/2030 | 78,063 | 82,331 | |||
3.00% 12/1/2030 | 410,140 | 434,186 | |||
3.00%, 4/1/2031 | 207,132 | 218,413 | |||
3.00%, 12/1/2031 | 324,089 | 341,740 | |||
3.00% 2/1/2032 | 1,265,717 | 1,337,979 | |||
3.00%, 5/1/2032 | 505,374 | 531,949 | |||
3.00%, 8/1/2032 | 177,425 | 186,755 | |||
3.00%, 10/1/2032 | 304,892 | 320,925 | |||
3.00%, 7/1/2034 | 503,312 | 528,810 | |||
3.00%, 6/1/2036 | 68,441 | 72,605 | |||
3.00%, 8/1/2036 | 344,547 | 365,507 | |||
3.00%, 9/1/2036 | 641,797 | 680,841 | |||
3.00%, 10/1/2036 | 182,757 | 193,874 | |||
3.00%, 12/1/2036 | 322,889 | 342,532 | |||
3.00%, 11/1/2037 | 587,588 | 628,387 | |||
3.00%, 6/1/2042 | 1,236,600 | 1,322,464 | |||
3.00%, 6/1/2043 | 253,706 | 275,560 | |||
3.00%, 7/1/2043 | 72,450 | 77,475 | |||
3.00%, 2/1/2044 | 636,205 | 680,330 | |||
3.00%, 1/1/2045 | 1,050,678 | 1,123,550 | |||
3.00%, 5/1/2045 | 886,591 | 948,083 | |||
3.00%, 9/1/2045 | 73,052 | 77,282 | |||
3.00% 11/1/2045 | 537,511 | 568,635 | |||
3.00%, 12/1/2045 | 94,989 | 100,490 | |||
3.00%, 5/1/2046 | 686,650 | 724,739 | |||
3.00%, 7/1/2046 | 783,022 | 826,458 | |||
3.00%, 10/1/2046 | 495,835 | 523,340 | |||
3.00%, 11/1/2046 | 1,004,787 | 1,060,524 | |||
3.00% 12/1/2046 | 830,288 | 876,345 | |||
3.00% 1/1/2047 | 2,292,511 | 2,419,679 | |||
3.00%, 2/1/2047 | 717,419 | 757,215 | |||
3.00%, 5/1/2047 | 744,515 | 785,386 | |||
3.00%, 11/1/2047 | 529,789 | 558,872 | |||
3.00%, 1/1/2050 | 4,024,557 | 4,237,338 | |||
3.00%, 5/1/2050 | 3,222,865 | 3,400,842 | |||
3.50%, 11/1/2025 | 28,860 | 30,327 | |||
3.50%, 1/1/2027 | 30,173 | 31,708 | |||
3.50%, 5/1/2029 | 38,983 | 41,323 | |||
3.50%, 10/1/2029 | 32,122 | 34,050 | |||
3.50%, 2/1/2031 | 337,718 | 355,489 | |||
3.50%, 3/1/2032 | 259,779 | 272,971 | |||
3.50%, 4/1/2032 | 371,950 | 390,839 | |||
3.50%, 2/1/2033 | 745,459 | 783,313 | |||
3.50%, 4/1/2033 | 250,097 | 262,516 | |||
3.50%, 12/1/2035 | 43,671 | 46,815 | |||
3.50%, 1/1/2037 | 296,082 | 315,447 | |||
3.50%, 2/1/2037 | 441,483 | 470,359 | |||
3.50%, 7/1/2037 | 227,695 | 241,910 | |||
3.50%, 4/1/2038 | 548,884 | 577,955 | |||
3.50%, 2/1/2041 | 103,583 | 112,331 | |||
3.50%, 10/1/2044 | 34,628 | 37,125 |
Security Description | Principal Amount | Value | |||
3.50% 1/1/2045 | $ 99,936 | $ 107,144 | |||
3.50% 2/1/2045 | 3,574,169 | 3,872,368 | |||
3.50%, 5/1/2045 | 42,048 | 44,848 | |||
3.50% 8/1/2045 | 136,371 | 145,957 | |||
3.50%, 11/1/2045 | 52,942 | 56,468 | |||
3.50% 12/1/2045 | 709,857 | 757,124 | |||
3.50%, 1/1/2046 | 537,714 | 573,518 | |||
3.50% 2/1/2046 | 606,548 | 646,935 | |||
3.50% 4/1/2046 | 377,866 | 400,908 | |||
3.50% 5/1/2046 | 610,689 | 647,929 | |||
3.50%, 6/1/2046 | 153,620 | 162,988 | |||
3.50%, 7/1/2046 | 369,237 | 391,753 | |||
3.50%, 1/1/2047 | 570,853 | 605,663 | |||
3.50% 2/1/2047 | 1,946,909 | 2,106,933 | |||
3.50%, 3/1/2047 | 595,602 | 631,922 | |||
3.50%, 4/1/2047 | 1,196,231 | 1,262,429 | |||
3.50% 5/1/2047 | 4,110,072 | 4,365,098 | |||
3.50%, 6/1/2047 | 576,597 | 608,505 | |||
3.50%, 7/1/2047 | 1,033,403 | 1,117,773 | |||
3.50%, 9/1/2047 | 509,956 | 538,176 | |||
3.50%, 10/1/2047 | 596,582 | 629,597 | |||
3.50%, 11/1/2047 | 130,112 | 137,312 | |||
3.50%, 12/1/2047 | 907,549 | 957,771 | |||
3.50%, 1/1/2048 | 268,703 | 283,573 | |||
3.50%, 2/1/2048 | 318,581 | 341,076 | |||
3.50%, 6/1/2048 | 862,808 | 909,016 | |||
3.50%, 11/1/2048 | 2,271,850 | 2,410,389 | |||
3.50%, 7/1/2049 | 986,216 | 1,036,475 | |||
3.50%, 8/1/2049 | 2,656,591 | 2,791,976 | |||
3.50%, 6/1/2050 | 997,611 | 1,053,818 | |||
4.00%, 3/1/2021 | 3,185 | 3,203 | |||
4.00%, 3/1/2031 | 948,532 | 1,007,358 | |||
4.00%, 10/1/2033 | 134,882 | 146,807 | |||
4.00%, 10/1/2037 | 1,176,642 | 1,252,727 | |||
4.00%, 1/1/2039 | 190,359 | 202,578 | |||
4.00%, 2/1/2039 | 160,550 | 170,855 | |||
4.00%, 12/1/2040 | 55,891 | 61,423 | |||
4.00%, 2/1/2043 | 309,713 | 340,365 | |||
4.00% 10/1/2043 | 744,143 | 816,430 | |||
4.00%, 11/1/2043 | 236,013 | 258,070 | |||
4.00%, 12/1/2043 | 235,363 | 257,360 | |||
4.00% 10/1/2044 | 50,540 | 54,783 | |||
4.00%, 1/1/2045 | 696,049 | 765,204 | |||
4.00%, 3/1/2045 | 35,196 | 38,254 | |||
4.00%, 5/1/2045 | 1,713,612 | 1,857,449 | |||
4.00%, 7/1/2045 | 45,177 | 49,103 | |||
4.00% 9/1/2045 | 194,154 | 211,027 | |||
4.00% 12/1/2045 | 85,098 | 92,493 | |||
4.00%, 4/1/2046 | 195,104 | 210,259 | |||
4.00%, 7/1/2046 | 274,873 | 296,223 | |||
4.00% 11/1/2046 | 1,755,971 | 1,910,962 | |||
4.00%, 12/1/2046 | 536,832 | 578,530 | |||
4.00% 4/1/2047 | 1,160,983 | 1,237,575 | |||
4.00%, 7/1/2047 | 576,865 | 614,921 | |||
4.00%, 8/1/2047 | 505,200 | 538,529 |
Security Description | Principal Amount | Value | |||
4.00%, 9/1/2047 | $ 494,900 | $ 527,549 | |||
4.00%, 12/1/2047 | 660,042 | 703,586 | |||
4.00%, 2/1/2048 | 1,506,878 | 1,606,288 | |||
4.00%, 7/1/2048 | 557,938 | 590,619 | |||
4.00%, 9/1/2048 | 3,249,728 | 3,436,232 | |||
4.00%, 7/1/2049 | 2,212,262 | 2,343,261 | |||
4.00%, 9/1/2049 | 751,752 | 796,267 | |||
4.50%, 12/1/2040 | 98,353 | 109,527 | |||
4.50%, 1/1/2042 | 60,956 | 68,071 | |||
4.50% 9/1/2043 | 117,173 | 130,520 | |||
4.50%, 11/1/2043 | 75,238 | 83,885 | |||
4.50%, 5/1/2044 | 187,585 | 207,630 | |||
4.50%, 6/1/2044 | 62,728 | 69,430 | |||
4.50%, 2/1/2046 | 230,502 | 256,690 | |||
4.50%, 3/1/2046 | 760,857 | 848,308 | |||
4.50%, 7/1/2046 | 242,151 | 264,313 | |||
4.50%, 11/1/2047 | 802,225 | 863,731 | |||
4.50%, 4/1/2048 | 403,165 | 433,177 | |||
4.50% 8/1/2048 | 1,466,560 | 1,579,369 | |||
4.50%, 12/1/2048 | 625,686 | 672,262 | |||
4.50%, 1/1/2049 | 216,086 | 232,171 | |||
4.50%, 4/1/2049 | 290,850 | 313,061 | |||
5.00%, 1/1/2039 | 509,727 | 582,947 | |||
5.00%, 6/1/2040 | 239,826 | 273,426 | |||
5.00%, 7/1/2041 | 37,900 | 43,210 | |||
5.00%, 5/1/2042 | 47,196 | 53,808 | |||
5.00%, 11/1/2044 | 589,322 | 671,887 | |||
5.00%, 1/1/2045 | 45,334 | 50,192 | |||
5.00%, 6/1/2048 | 727,215 | 794,065 | |||
5.00%, 9/1/2048 | 712,353 | 777,834 | |||
5.00%, 3/1/2050 | 982,530 | 1,074,992 | |||
5.50%, 2/1/2037 | 25,445 | 29,662 | |||
5.50%, 4/1/2038 | 116,445 | 134,883 | |||
5.50%, 9/1/2040 | 36,504 | 42,305 | |||
5.50%, 9/1/2041 | 58,859 | 68,179 | |||
5.50% 5/1/2044 | 685,829 | 801,772 | |||
5.63%, 7/15/2037 | 80,000 | 128,905 | |||
6.63%, 11/15/2030 | 365,000 | 565,140 | |||
7.25%, 5/15/2030 | 75,000 | 118,999 | |||
Series 2013-M12, Class APT, 2.49%, 3/25/2023 (d) | 27,418 | 28,329 | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (d) | 126,876 | 130,703 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d) | 714,445 | 773,154 | |||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (d) | 36,145 | 39,476 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (d) | 250,000 | 272,354 | |||
Series 2017-M12, Class A2, 3.18%, 6/25/2027 (d) | 400,000 | 452,117 | |||
Series 2017-M13, Class A2, 3.03%, 9/25/2027 (d) | 330,000 | 371,721 | |||
Series 2018-M2, Class A2, 3.00%, 1/25/2028 (d) | 250,000 | 280,237 |
Security Description | Principal Amount | Value | |||
Series 2020-M8, Class A2, 1.82%, 2/25/2030 | $ 144,700 | $ 151,305 | |||
TBA, 2.00%, 7/1/2035 (g) | 2,150,000 | 2,224,175 | |||
TBA, 2.50%, 7/1/2035 (g) | 2,650,000 | 2,774,205 | |||
TBA, 2.50%, 7/1/2050 (g) | 3,100,000 | 3,231,626 | |||
TBA, 3.00%, 7/1/2050 (g) | 6,250,000 | 6,582,562 | |||
TBA, 3.50%, 7/1/2050 (g) | 2,650,000 | 2,786,793 | |||
TBA, 4.00%, 7/1/2050 (g) | 3,300,000 | 3,496,845 | |||
TBA, 4.50%, 7/1/2050 (g) | 1,500,000 | 1,611,765 | |||
Series 2020-M29, Class A2, VRN, 1.49%, 5/25/2030 (d) | 272,000 | 282,621 | |||
Government National Mortgage Association: | |||||
2.50%, 12/20/2046 | 841,503 | 892,364 | |||
3.00%, 1/20/2043 | 508,623 | 545,789 | |||
3.00%, 5/20/2043 | 253,827 | 272,844 | |||
3.00%, 12/20/2044 | 51,115 | 54,455 | |||
3.00%, 3/20/2045 | 27,821 | 29,596 | |||
3.00%, 4/20/2045 | 82,236 | 87,483 | |||
3.00%, 6/20/2045 | 1,250,153 | 1,329,921 | |||
3.00%, 7/20/2045 | 79,361 | 84,425 | |||
3.00%, 8/20/2045 | 72,639 | 77,274 | |||
3.00%, 2/20/2046 | 1,885,670 | 2,026,943 | |||
3.00%, 3/20/2046 | 751,187 | 797,907 | |||
3.00%, 4/20/2046 | 71,231 | 75,661 | |||
3.00%, 5/20/2046 | 126,283 | 134,137 | |||
3.00%, 7/20/2046 | 81,315 | 86,372 | |||
3.00%, 8/20/2046 | 263,145 | 279,511 | |||
3.00%, 9/20/2046 | 185,881 | 197,442 | |||
3.00%, 10/20/2046 | 186,521 | 198,122 | |||
3.00%, 11/20/2046 | 336,286 | 357,201 | |||
3.00%, 12/20/2046 | 1,319,876 | 1,401,965 | |||
3.00%, 2/20/2047 | 644,561 | 684,650 | |||
3.00%, 4/20/2047 | 908,643 | 963,847 | |||
3.00%, 6/20/2047 | 309,901 | 328,728 | |||
3.00%, 7/20/2047 | 613,456 | 650,726 | |||
3.00%, 8/20/2047 | 309,085 | 327,864 | |||
3.00%, 10/20/2047 | 464,063 | 492,256 | |||
3.00%, 1/20/2048 | 1,711,394 | 1,815,367 | |||
3.00%, 2/20/2048 | 1,038,963 | 1,102,084 | |||
3.00%, 3/20/2048 | 1,819,072 | 1,929,587 | |||
3.00%, 12/20/2049 | 1,959,837 | 2,080,533 | |||
3.00%, 6/20/2050 | 3,796,011 | 4,026,719 | |||
3.50%, 10/20/2042 | 402,085 | 437,142 | |||
3.50%, 1/20/2043 | 1,680,187 | 1,826,676 | |||
3.50%, 5/20/2043 | 60,235 | 65,412 | |||
3.50%, 9/20/2043 | 40,890 | 44,404 | |||
3.50%, 11/20/2043 | 333,066 | 361,692 | |||
3.50%, 6/20/2044 | 1,846,526 | 1,992,310 | |||
3.50%, 10/20/2044 | 41,177 | 44,428 | |||
3.50%, 12/20/2044 | 27,794 | 29,988 | |||
3.50%, 3/20/2045 | 25,179 | 27,012 | |||
3.50%, 4/20/2045 | 80,728 | 86,875 | |||
3.50%, 6/20/2045 | 1,122,693 | 1,204,424 |
Security Description | Principal Amount | Value | |||
3.50%, 10/20/2045 | $ 2,256,223 | $ 2,420,473 | |||
3.50%, 1/20/2046 | 847,309 | 908,992 | |||
3.50%, 3/20/2046 | 184,119 | 196,725 | |||
3.50%, 4/20/2046 | 97,692 | 104,381 | |||
3.50%, 5/20/2046 | 101,024 | 107,941 | |||
3.50%, 6/20/2046 | 1,575,019 | 1,682,854 | |||
3.50%, 7/20/2046 | 250,732 | 267,898 | |||
3.50%, 10/20/2046 | 482,218 | 515,233 | |||
3.50%, 11/20/2046 | 311,272 | 332,583 | |||
3.50%, 12/20/2046 | 1,029,587 | 1,100,078 | |||
3.50%, 5/20/2047 | 837,856 | 890,809 | |||
3.50%, 6/20/2047 | 583,423 | 620,296 | |||
3.50%, 7/20/2047 | 455,020 | 483,777 | |||
3.50%, 8/20/2047 | 724,748 | 770,553 | |||
3.50%, 9/20/2047 | 304,451 | 323,692 | |||
3.50%, 10/20/2047 | 293,985 | 312,565 | |||
3.50%, 12/20/2047 | 1,372,098 | 1,458,816 | |||
3.50%, 6/20/2048 | 441,918 | 469,284 | |||
3.50%, 8/20/2048 | 325,848 | 346,026 | |||
3.50%, 8/20/2049 | 1,425,928 | 1,505,576 | |||
3.50%, 9/20/2049 | 1,667,226 | 1,760,352 | |||
4.00%, 4/15/2040 | 45,052 | 49,692 | |||
4.00%, 2/20/2042 | 19,354 | 21,403 | |||
4.00%, 7/20/2042 | 13,538 | 14,928 | |||
4.00%, 7/15/2044 | 38,010 | 40,865 | |||
4.00%, 8/20/2044 | 26,428 | 28,993 | |||
4.00%, 10/20/2044 | 237,043 | 260,050 | |||
4.00%, 5/15/2045 | 38,413 | 41,788 | |||
4.00%, 6/15/2045 | 82,412 | 89,652 | |||
4.00%, 8/20/2045 | 27,106 | 29,463 | |||
4.00%, 11/20/2045 | 334,190 | 363,249 | |||
4.00%, 2/20/2046 | 250,651 | 272,446 | |||
4.00%, 5/20/2046 | 267,558 | 288,205 | |||
4.00%, 6/20/2046 | 181,427 | 195,428 | |||
4.00%, 1/20/2047 | 591,876 | 637,549 | |||
4.00%, 3/20/2047 | 277,673 | 299,100 | |||
4.00%, 4/20/2047 | 532,521 | 571,278 | |||
4.00%, 5/20/2047 | 364,139 | 390,641 | |||
4.00%, 7/20/2047 | 376,425 | 403,821 | |||
4.00%, 8/20/2047 | 154,089 | 165,303 | |||
4.00%, 1/20/2048 | 266,322 | 285,705 | |||
4.00%, 6/20/2048 | 137,986 | 147,284 | |||
4.00%, 8/20/2048 | 1,560,124 | 1,665,247 | |||
4.00%, 10/20/2048 | 657,724 | 702,043 | |||
4.00%, 11/20/2048 | 519,861 | 554,890 | |||
4.00%, 4/20/2049 | 540,979 | 573,941 | |||
4.00%, 6/20/2049 | 1,251,712 | 1,327,980 | |||
4.00%, 7/20/2049 | 676,117 | 717,314 | |||
4.50%, 1/20/2044 | 116,624 | 131,040 | |||
4.50%, 11/20/2044 | 34,847 | 39,062 | |||
4.50%, 12/20/2044 | 28,171 | 31,578 | |||
4.50%, 4/20/2046 | 163,555 | 183,338 | |||
4.50%, 6/20/2046 | 115,733 | 129,732 | |||
4.50%, 7/20/2046 | 152,289 | 170,710 | |||
4.50%, 4/20/2047 | 539,013 | 585,870 |
Security Description | Principal Amount | Value | |||
4.50%, 8/20/2047 | $ 166,103 | $ 179,284 | |||
4.50%, 11/20/2047 | 1,473,408 | 1,590,324 | |||
4.50%, 12/20/2047 | 91,804 | 99,088 | |||
4.50%, 11/20/2048 | 662,301 | 712,503 | |||
4.50%, 7/20/2049 | 710,373 | 758,743 | |||
5.00%, 6/15/2040 | 30,031 | 33,750 | |||
5.00%, 10/15/2041 | 75,543 | 84,881 | |||
5.00%, 3/20/2044 | 53,617 | 61,322 | |||
5.00%, 12/20/2045 | 185,479 | 212,038 | |||
5.00%, 1/20/2048 | 352,634 | 385,149 | |||
5.00%, 5/20/2048 | 327,059 | 356,571 | |||
5.00%, 9/20/2048 | 570,165 | 618,241 | |||
5.50%, 10/20/2043 | 46,936 | 53,746 | |||
5.50%, 5/20/2045 | 536,787 | 613,780 | |||
TBA, 2.50%, 7/1/2050 (g) | 3,500,000 | 3,683,645 | |||
TBA, 3.00%, 7/1/2050 (g) | 2,000,000 | 2,118,520 | |||
TBA, 3.50%, 7/1/2050 (g) | 1,950,000 | 2,057,406 | |||
TBA, 4.00%, 7/1/2050 (g) | 2,000,000 | 2,120,360 | |||
TBA, 5.00%, 7/1/2050 (g) | 850,000 | 923,180 | |||
Iraq Government AID Bond 2.15%, 1/18/2022 | 200,000 | 205,862 | |||
Tennessee Valley Authority: | |||||
0.75%, 5/15/2025 | 85,000 | 86,057 | |||
2.88%, 9/15/2024 | 100,000 | 109,998 | |||
3.50%, 12/15/2042 | 175,000 | 219,730 | |||
4.25%, 9/15/2065 | 100,000 | 149,921 | |||
5.25%, 9/15/2039 | 150,000 | 228,543 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 168,795 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $295,521,958) | 305,378,916 | ||||
U.S. TREASURY OBLIGATIONS — 36.6% | |||||
Treasury Bonds: | |||||
1.13%, 5/15/2040 | 2,850,000 | 2,823,727 | |||
1.25%, 5/15/2050 | 1,750,000 | 1,681,641 | |||
2.00%, 2/15/2050 (a) | 1,300,000 | 1,488,906 | |||
2.25%, 8/15/2046 | 1,425,000 | 1,689,738 | |||
2.25%, 8/15/2049 | 2,000,000 | 2,405,000 | |||
2.38%, 11/15/2049 | 500,000 | 617,500 | |||
2.50%, 2/15/2045 | 1,840,000 | 2,269,238 | |||
2.50%, 2/15/2046 | 1,400,000 | 1,733,813 | |||
2.50%, 5/15/2046 | 1,100,000 | 1,364,344 | |||
2.75%, 8/15/2042 | 900,000 | 1,153,688 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,921,406 | |||
2.75%, 8/15/2047 (a) | 1,700,000 | 2,221,156 | |||
2.75%, 11/15/2047 | 1,650,000 | 2,158,406 | |||
2.88%, 5/15/2043 | 1,850,000 | 2,415,984 | |||
2.88%, 8/15/2045 (a) | 1,480,000 | 1,949,900 | |||
2.88%, 11/15/2046 (a) | 1,500,000 | 1,994,531 | |||
2.88%, 5/15/2049 | 2,450,000 | 3,314,391 | |||
3.00%, 5/15/2042 | 325,000 | 432,707 | |||
3.00%, 11/15/2044 | 1,925,000 | 2,577,395 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,517,480 | |||
3.00%, 11/15/2045 (a) | 650,000 | 876,078 |
Security Description | Principal Amount | Value | |||
3.00%, 2/15/2047 | $ 2,200,000 | $ 2,996,469 | |||
3.00%, 5/15/2047 (a) | 550,000 | 749,633 | |||
3.00%, 2/15/2048 | 1,700,000 | 2,327,141 | |||
3.00%, 8/15/2048 | 2,950,000 | 4,056,711 | |||
3.00%, 2/15/2049 | 2,150,000 | 2,968,344 | |||
3.13%, 11/15/2041 | 350,000 | 473,813 | |||
3.13%, 2/15/2042 | 725,000 | 983,734 | |||
3.13%, 2/15/2043 | 575,000 | 779,484 | |||
3.13%, 8/15/2044 | 1,750,000 | 2,386,563 | |||
3.13%, 5/15/2048 | 2,375,000 | 3,328,340 | |||
3.38%, 5/15/2044 | 1,350,000 | 1,909,406 | |||
3.38%, 11/15/2048 | 2,100,000 | 3,085,359 | |||
3.50%, 2/15/2039 | 1,000,000 | 1,414,688 | |||
3.63%, 8/15/2043 | 1,600,000 | 2,337,000 | |||
3.63%, 2/15/2044 | 1,475,000 | 2,159,262 | |||
3.75%, 11/15/2043 | 1,425,000 | 2,121,023 | |||
3.88%, 8/15/2040 | 750,000 | 1,117,383 | |||
4.25%, 11/15/2040 | 250,000 | 390,586 | |||
4.38%, 5/15/2040 | 575,000 | 908,410 | |||
4.38%, 5/15/2041 | 300,000 | 477,047 | |||
4.50%, 2/15/2036 (a) | 1,500,000 | 2,296,172 | |||
4.50%, 5/15/2038 | 200,000 | 315,500 | |||
4.50%, 8/15/2039 | 650,000 | 1,034,719 | |||
4.63%, 2/15/2040 | 400,000 | 648,688 | |||
4.75%, 2/15/2037 | 350,000 | 558,250 | |||
4.75%, 2/15/2041 (a) | 650,000 | 1,078,289 | |||
5.00%, 5/15/2037 | 300,000 | 492,047 | |||
5.25%, 11/15/2028 | 450,000 | 622,828 | |||
6.50%, 11/15/2026 | 1,500,000 | 2,073,984 | |||
Treasury Notes: | |||||
0.13%, 6/30/2022 | 5,500,000 | 5,496,777 | |||
0.25%, 4/15/2023 | 1,500,000 | 1,503,398 | |||
0.25%, 6/15/2023 | 3,000,000 | 3,006,562 | |||
0.25%, 6/30/2025 | 3,000,000 | 2,994,375 | |||
0.50%, 6/30/2027 | 4,500,000 | 4,502,812 | |||
0.63%, 5/15/2030 (a) | 2,900,000 | 2,892,297 | |||
1.13%, 8/31/2021 (a) | 2,350,000 | 2,375,979 | |||
1.13%, 9/30/2021 | 1,300,000 | 1,315,438 | |||
1.13%, 2/28/2022 (a) | 1,500,000 | 1,524,023 | |||
1.13%, 2/28/2025 | 2,000,000 | 2,079,688 | |||
1.13%, 2/28/2027 | 1,250,000 | 1,304,102 | |||
1.25%, 10/31/2021 | 1,400,000 | 1,420,070 | |||
1.25%, 7/31/2023 | 250,000 | 258,242 | |||
1.38%, 1/31/2022 (a) | 2,500,000 | 2,547,754 | |||
1.38%, 10/15/2022 | 2,500,000 | 2,568,945 | |||
1.38%, 2/15/2023 | 2,000,000 | 2,063,125 | |||
1.38%, 9/30/2023 | 550,000 | 571,270 | |||
1.38%, 1/31/2025 | 2,000,000 | 2,100,781 | |||
1.50%, 8/31/2021 | 1,500,000 | 1,523,145 | |||
1.50%, 11/30/2021 (a) | 1,000,000 | 1,018,867 | |||
1.50%, 1/31/2022 (a) | 450,000 | 459,457 | |||
1.50%, 9/15/2022 | 3,000,000 | 3,088,828 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,580,625 | |||
1.50%, 11/30/2024 | 1,500,000 | 1,582,148 | |||
1.50%, 8/15/2026 | 1,650,000 | 1,758,023 |
Security Description | Principal Amount | Value | |||
1.50%, 1/31/2027 | $ 2,000,000 | $ 2,135,000 | |||
1.50%, 2/15/2030 (a) | 5,850,000 | 6,324,398 | |||
1.63%, 8/31/2022 | 1,150,000 | 1,186,207 | |||
1.63%, 12/15/2022 | 2,000,000 | 2,071,719 | |||
1.63%, 4/30/2023 (a) | 2,500,000 | 2,602,148 | |||
1.63%, 5/31/2023 (a) | 1,250,000 | 1,302,734 | |||
1.63%, 2/15/2026 | 1,925,000 | 2,059,299 | |||
1.63%, 9/30/2026 | 1,250,000 | 1,342,090 | |||
1.63%, 10/31/2026 | 1,250,000 | 1,342,773 | |||
1.63%, 8/15/2029 | 2,250,000 | 2,454,961 | |||
1.75%, 11/30/2021 | 1,500,000 | 1,533,574 | |||
1.75%, 2/28/2022 | 300,000 | 307,863 | |||
1.75%, 3/31/2022 | 250,000 | 256,895 | |||
1.75%, 4/30/2022 | 300,000 | 308,695 | |||
1.75%, 5/31/2022 (a) | 1,000,000 | 1,030,117 | |||
1.75%, 6/15/2022 | 1,500,000 | 1,546,523 | |||
1.75%, 6/30/2022 (a) | 3,750,000 | 3,868,359 | |||
1.75%, 9/30/2022 | 1,750,000 | 1,812,207 | |||
1.75%, 1/31/2023 | 2,925,000 | 3,043,600 | |||
1.75%, 5/15/2023 | 250,000 | 261,289 | |||
1.75%, 6/30/2024 | 1,500,000 | 1,590,938 | |||
1.75%, 11/15/2029 (a) | 3,000,000 | 3,312,187 | |||
1.88%, 1/31/2022 (a) | 1,850,000 | 1,899,791 | |||
1.88%, 2/28/2022 | 1,500,000 | 1,542,480 | |||
1.88%, 3/31/2022 (a) | 5,500,000 | 5,663,496 | |||
1.88%, 4/30/2022 (a) | 6,000,000 | 6,187,031 | |||
1.88%, 5/31/2022 | 100,000 | 103,258 | |||
1.88%, 7/31/2022 | 1,000,000 | 1,035,547 | |||
1.88%, 8/31/2022 | 150,000 | 155,531 | |||
1.88%, 9/30/2022 | 500,000 | 519,180 | |||
1.88%, 8/31/2024 | 850,000 | 907,641 | |||
1.88%, 6/30/2026 | 1,250,000 | 1,358,984 | |||
2.00%, 8/31/2021 (a) | 300,000 | 306,375 | |||
2.00%, 10/31/2021 | 3,500,000 | 3,585,039 | |||
2.00%, 11/15/2021 | 500,000 | 512,480 | |||
2.00%, 12/31/2021 | 3,000,000 | 3,082,031 | |||
2.00%, 7/31/2022 | 100,000 | 103,813 | |||
2.00%, 10/31/2022 | 1,000,000 | 1,042,656 | |||
2.00%, 11/30/2022 | 2,000,000 | 2,088,281 | |||
2.00%, 2/15/2023 | 500,000 | 523,906 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,871,133 | |||
2.00%, 6/30/2024 | 350,000 | 374,637 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,563,701 | |||
2.00%, 8/15/2025 (a) | 1,500,000 | 1,628,672 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,470,430 | |||
2.13%, 6/30/2022 | 4,500,000 | 4,675,957 | |||
2.13%, 12/31/2022 (a) | 3,900,000 | 4,090,430 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,065,625 | |||
2.13%, 3/31/2024 | 975,000 | 1,044,545 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,691,797 | |||
2.13%, 9/30/2024 (a) | 1,500,000 | 1,619,063 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,352,539 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,558,379 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,752,734 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,874,824 |
Security Description | Principal Amount | Value | |||
2.25%, 1/31/2024 | $ 1,000,000 | $ 1,073,047 | |||
2.25%, 4/30/2024 | 1,000,000 | 1,077,422 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,357,520 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,361,230 | |||
2.25%, 11/15/2025 (a) | 1,975,000 | 2,175,895 | |||
2.25%, 3/31/2026 | 4,500,000 | 4,979,180 | |||
2.25%, 2/15/2027 | 3,000,000 | 3,350,625 | |||
2.25%, 8/15/2027 (a) | 2,000,000 | 2,245,938 | |||
2.25%, 11/15/2027 | 500,000 | 563,047 | |||
2.38%, 3/15/2022 | 8,000,000 | 8,300,625 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,585,078 | |||
2.38%, 2/29/2024 | 5,000,000 | 5,395,312 | |||
2.38%, 8/15/2024 | 1,950,000 | 2,120,777 | |||
2.38%, 5/15/2027 (a) | 2,900,000 | 3,272,469 | |||
2.38%, 5/15/2029 | 1,500,000 | 1,731,094 | |||
2.50%, 1/15/2022 | 2,000,000 | 2,071,641 | |||
2.50%, 2/15/2022 | 2,000,000 | 2,075,391 | |||
2.50%, 3/31/2023 | 1,250,000 | 1,329,785 | |||
2.50%, 8/15/2023 | 2,500,000 | 2,680,664 | |||
2.50%, 1/31/2024 | 2,000,000 | 2,163,750 | |||
2.50%, 1/31/2025 | 1,000,000 | 1,101,641 | |||
2.50%, 2/28/2026 (a) | 2,500,000 | 2,798,828 | |||
2.63%, 7/15/2021 | 3,000,000 | 3,076,055 | |||
2.63%, 12/15/2021 (a) | 2,500,000 | 2,589,258 | |||
2.63%, 2/28/2023 | 4,000,000 | 4,260,625 | |||
2.63%, 6/30/2023 | 1,600,000 | 1,717,000 | |||
2.63%, 12/31/2023 | 3,000,000 | 3,253,594 | |||
2.63%, 3/31/2025 | 1,000,000 | 1,110,625 | |||
2.63%, 12/31/2025 | 3,250,000 | 3,652,187 | |||
2.63%, 1/31/2026 | 2,250,000 | 2,531,777 | |||
2.63%, 2/15/2029 (a) | 3,100,000 | 3,632,812 | |||
2.75%, 4/30/2023 | 3,250,000 | 3,486,133 | |||
2.75%, 5/31/2023 | 1,500,000 | 1,612,148 | |||
2.75%, 7/31/2023 | 1,000,000 | 1,078,984 | |||
2.75%, 8/31/2023 | 3,750,000 | 4,053,223 | |||
2.75%, 11/15/2023 (a) | 1,500,000 | 1,628,789 | |||
2.75%, 2/15/2024 | 100,000 | 109,172 | |||
2.75%, 2/28/2025 | 1,000,000 | 1,114,688 | |||
2.75%, 6/30/2025 | 2,750,000 | 3,084,082 | |||
2.75%, 8/31/2025 | 2,500,000 | 2,811,914 | |||
2.75%, 2/15/2028 | 2,750,000 | 3,208,047 | |||
2.88%, 10/15/2021 | 4,500,000 | 4,656,621 | |||
2.88%, 11/15/2021 | 2,000,000 | 2,073,984 | |||
2.88%, 9/30/2023 | 2,000,000 | 2,173,906 | |||
2.88%, 10/31/2023 | 2,000,000 | 2,178,125 | |||
2.88%, 11/30/2023 | 3,000,000 | 3,273,516 | |||
2.88%, 4/30/2025 | 1,250,000 | 1,405,176 | |||
2.88%, 5/31/2025 | 3,900,000 | 4,391,156 | |||
2.88%, 7/31/2025 | 4,000,000 | 4,517,813 | |||
2.88%, 11/30/2025 | 1,500,000 | 1,703,789 | |||
2.88%, 5/15/2028 | 2,500,000 | 2,950,391 | |||
2.88%, 8/15/2028 | 750,000 | 888,281 | |||
3.00%, 9/30/2025 | 2,500,000 | 2,848,047 | |||
3.00%, 10/31/2025 | 2,750,000 | 3,137,578 |
Security Description | Principal Amount | Value | ||||
3.13%, 11/15/2028 | $ 3,250,000 | $ 3,929,453 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $352,932,660) | 385,130,103 | |||||
MUNICIPAL BONDS & NOTES — 0.6% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | 25,000 | 44,874 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 53,791 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 290,613 | ||||
7.30%, 10/1/2039 | 125,000 | 208,980 | ||||
7.50%, 4/1/2034 | 100,000 | 163,074 | ||||
7.55%, 4/1/2039 | 100,000 | 178,069 | ||||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | 100,000 | 123,202 | ||||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 151,246 | ||||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 34,567 | ||||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 79,898 | ||||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 297,998 | ||||
State of California 7.60%, 11/1/2040 | 250,000 | 458,942 | ||||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 328,920 | ||||
2,414,174 | ||||||
FLORIDA — 0.0% (c) | ||||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 133,588 | ||||
State Board of Administration Finance Corp. Series A, 2.64%, 7/1/2021 | 150,000 | 153,094 | ||||
286,682 | ||||||
GEORGIA — 0.0% (c) | ||||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 162,000 | 237,421 | ||||
ILLINOIS — 0.1% | ||||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | 50,000 | 66,771 |
Security Description | Principal Amount | Value | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | $ 50,000 | $ 64,869 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 282,975 | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | 50,000 | 50,723 | |||
6.63%, 2/1/2035 | 200,000 | 220,518 | |||
7.35%, 7/1/2035 | 100,000 | 113,445 | |||
799,301 | |||||
MASSACHUSETTS — 0.0% (c) | |||||
Commonwealth of Massachusetts Series C, 2.51%, 7/1/2041 (f) | 15,000 | 15,056 | |||
Massachusetts School Building Authority Series B, 3.40%, 10/15/2040 | 20,000 | 20,399 | |||
35,455 | |||||
MISSOURI — 0.0% (c) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue 3.65%, 8/15/2057 | 100,000 | 123,612 | |||
NEW JERSEY — 0.1% | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 187,852 | |||
4.13%, 6/15/2042 | 160,000 | 149,024 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 165,219 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 42,577 | |||
544,672 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 37,654 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 103,064 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 114,381 | |||
Port Authority of New York & New Jersey: | |||||
4.46%, 10/1/2062 | 190,000 | 252,231 | |||
5.65%, 11/1/2040 | 100,000 | 142,722 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
4.03%, 9/1/2048 | 125,000 | 150,962 | |||
Series 192, 4.81%, 10/15/2065 | 25,000 | 34,287 | |||
835,301 |
Security Description | Principal Amount | Value | ||||
OHIO — 0.0% (c) | ||||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | $ 150,000 | $ 244,125 | ||||
PENNSYLVANIA — 0.0% (c) | ||||||
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038 | 125,000 | 150,354 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 117,453 | ||||
267,807 | ||||||
TEXAS — 0.1% | ||||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 151,222 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 259,190 | ||||
Grand Parkway Transportation Corp. 3.24%, 10/1/2052 | 65,000 | 67,729 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 176,180 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 52,971 | ||||
Texas, StateTransportation Commission General Obligation 2.56%, 4/1/2042 (f) | 40,000 | 40,605 | ||||
747,897 | ||||||
VIRGINIA — 0.0% (c) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 68,092 | ||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $5,885,879) | 6,604,539 | |||||
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 | 110,081 | ||||
BANK 2017-BNK8: | ||||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | 90,000 | 101,120 | ||||
Series 2017-BNK8, Class B, 4.06%, 11/15/2050 (d) | 50,000 | 49,886 | ||||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (d) | 143,329 | 168,516 | ||||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (d) | 100,000 | 119,620 | ||||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 115,329 |
Security Description | Principal Amount | Value | |||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | $ 100,000 | $ 111,990 | |||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2062 | 50,000 | 55,325 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 221,339 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 171,627 | |||
BENCHMARK Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (d) | 130,000 | 149,642 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 116,438 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 117,843 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 132,905 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 222,821 | |||
CD Mortgage Trust Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 217,145 | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | 300,000 | 335,669 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 664,210 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 109,015 | |||
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 150,000 | 165,767 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, Class A4, 3.09%, 4/10/2046 | 75,000 | 78,099 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 278,745 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 109,089 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 411,155 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 108,492 | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 54,723 |
Security Description | Principal Amount | Value | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | $ 300,000 | $ 317,684 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR8, Class A4, 3.33%, 6/10/2046 | 35,300 | 36,937 | |||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 430,736 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 117,203 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (d) | 150,000 | 159,534 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (d) | 250,000 | 278,192 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (d) | 50,000 | 59,106 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 218,814 | |||
GS Mortgage Securities Trust Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 165,050 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.19%, 7/10/2046 (d) | 80,000 | 86,243 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 93,403 | 100,258 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, Class AS, 3.38%, 6/10/2046 | 150,000 | 154,377 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 212,424 | |||
GS Mortgage Securities Trust 2017-GS5 Series 2017-GS5, Class A2, 3.22%, 3/10/2050 | 300,000 | 305,674 | |||
GS Mortgage Securities Trust 2017-GS8 Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 277,507 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 64,975 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (d) | 50,000 | 53,888 |
Security Description | Principal Amount | Value | |||
JPMBB Commercial Mortgage Securities Trust 2015-C29 Series 2015-C29, Class A4, 3.61%, 5/15/2048 | $ 100,000 | $ 109,088 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 219,930 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 110,933 | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.89%, 3/15/2049 (d) | 300,000 | 307,390 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 558,170 | |||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 213,656 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 309,328 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 Series 2017-C33, Class A5, 3.60%, 5/15/2050 | 420,000 | 468,912 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 238,446 | |||
Morgan Stanley Capital I Trust 2018-L1 Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 174,981 | |||
Morgan Stanley Capital I Trust 2019-H7 Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 222,870 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 460,485 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 113,084 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 181,219 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 217,128 | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 100,000 | 110,797 |
Security Description | Principal Amount | Value | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | $ 202,884 | $ 210,601 | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | 100,000 | 107,618 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 330,025 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 280,953 | |||
Wells Fargo Commercial Mortgage Trust 2018-C47 Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 178,261 | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 222,877 | |||
WFRBS Commercial Mortgage Trust 2014-C19 Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 118,518 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 108,307 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,414,416) | 13,108,770 |
Shares | |||
SHORT-TERM INVESTMENTS — 6.0% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (h) (i) | 22,817,016 | 22,826,143 | |
State Street Navigator Securities Lending Portfolio II (j) (k) | 40,833,860 | 40,833,860 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $63,653,367) | 63,660,003 | ||
TOTAL INVESTMENTS — 105.1% (Cost $1,036,558,742) | 1,106,161,171 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.1)% | (53,748,190) | ||
NET ASSETS — 100.0% | $ 1,052,412,981 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.0% of net assets as of June 30, 2020, 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) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 June 30, 2020. Maturity date shown is the final maturity. |
(f) | When-issued security. |
(g) | Security, or a portion of the security has been designated as collateral for TBA securities. |
(h) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(i) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(j) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(k) | 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 |
TBA | To Be Announced |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 288,682,305 | $— | $ 288,682,305 | ||||
Asset-Backed Securities | — | 4,063,601 | — | 4,063,601 | ||||
Foreign Government Obligations | — | 39,532,934 | — | 39,532,934 | ||||
U.S. Government Agency Obligations | — | 305,378,916 | — | 305,378,916 | ||||
U.S. Treasury Obligations | — | 385,130,103 | — | 385,130,103 | ||||
Municipal Bonds & Notes | — | 6,604,539 | — | 6,604,539 | ||||
Mortgage-Backed Securities | — | 13,108,770 | — | 13,108,770 | ||||
Short-Term Investments | 63,660,003 | — | — | 63,660,003 | ||||
TOTAL INVESTMENTS | $63,660,003 | $1,042,501,168 | $— | $1,106,161,171 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 20,860,756 | $20,862,842 | $125,646,967 | $123,677,000 | $(12,472) | $5,806 | 22,817,016 | $22,826,143 | $ 54,532 | ||||||||
State Street Navigator Securities Lending Portfolio II | 30,806,743 | 30,806,743 | 197,255,939 | 187,228,822 | — | — | 40,833,860 | 40,833,860 | 110,036 | ||||||||
Total | $51,669,585 | $322,902,906 | $310,905,822 | $(12,472) | $5,806 | $63,660,003 | $164,568 |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.7% | |||||
ARGENTINA — 0.0% (a) | |||||
Adecoagro SA (b) | 9,800 | $ 42,532 | |||
Banco BBVA Argentina SA (c) | 6,600 | 24,750 | |||
Banco Macro SA ADR | 4,100 | 76,055 | |||
Central Puerto SA ADR (c) | 9,100 | 23,114 | |||
Despegar.com Corp. (b)(c) | 5,100 | 36,618 | |||
Empresa Distribuidora Y Comercializadora Norte ADR (b) | 1,900 | 7,505 | |||
Globant SA (b) | 3,400 | 509,490 | |||
Grupo Financiero Galicia SA ADR (c) | 10,100 | 97,970 | |||
Grupo Supervielle SA ADR (c) | 5,500 | 12,100 | |||
IRSA Inversiones y Representaciones SA ADR (b) | 2,100 | 6,363 | |||
Loma Negra Cia Industrial Argentina SA ADR (b) | 7,400 | 31,524 | |||
Pampa Energia SA ADR (b)(c) | 5,700 | 59,793 | |||
Telecom Argentina SA ADR | 8,600 | 76,970 | |||
Transportadora de Gas del Sur SA Class B, ADR (b)(c) | 9,000 | 50,670 | |||
YPF SA ADR (c) | 15,500 | 89,125 | |||
1,144,579 | |||||
AUSTRALIA — 4.6% | |||||
Abacus Property Group REIT | 26,147 | 48,726 | |||
Accent Group, Ltd. | 61,268 | 59,688 | |||
Adelaide Brighton, Ltd. | 35,372 | 78,287 | |||
Afterpay, Ltd. (b) | 18,797 | 809,917 | |||
AGL Energy, Ltd. | 58,345 | 688,630 | |||
ALS, Ltd. | 54,239 | 247,094 | |||
Altium, Ltd. | 10,662 | 241,012 | |||
Alumina, Ltd. (c) | 204,380 | 232,410 | |||
AMP, Ltd. (b) | 310,866 | 401,305 | |||
Ampol, Ltd. | 22,588 | 459,194 | |||
Ansell, Ltd. | 12,375 | 313,843 | |||
AP Eagers, Ltd. (c) | 10,480 | 49,351 | |||
APA Group Stapled Security | 105,751 | 815,805 | |||
Appen, Ltd. | 8,335 | 197,441 | |||
ARB Corp., Ltd. | 6,499 | 81,073 | |||
Aristocrat Leisure, Ltd. | 56,890 | 1,016,338 | |||
ASX, Ltd. | 17,909 | 1,062,012 | |||
Atlas Arteria, Ltd. Stapled Security | 79,514 | 366,345 | |||
AUB Group, Ltd. | 6,834 | 69,167 | |||
Aurizon Holdings, Ltd. | 192,194 | 652,495 | |||
AusNet Services | 187,554 | 216,193 | |||
Austal, Ltd. | 18,263 | 41,070 | |||
Australia & New Zealand Banking Group, Ltd. | 265,325 | 3,434,648 | |||
Australian Pharmaceutical Industries, Ltd. | 85,600 | 67,655 | |||
Aventus Group REIT | 54,127 | 78,432 | |||
Avita Medical, Ltd. (b) | 9,071 | 56,729 | |||
Bank of Queensland, Ltd. (c) | 38,985 | 167,128 |
Security Description | Shares | Value | |||
Bapcor, Ltd. | 41,995 | $ 172,795 | |||
Beach Energy, Ltd. | 211,449 | 225,372 | |||
Bega Cheese, Ltd. | 18,411 | 56,773 | |||
Bendigo & Adelaide Bank, Ltd. (c) | 50,810 | 247,564 | |||
BHP Group PLC | 194,947 | 3,977,946 | |||
BHP Group, Ltd. | 272,518 | 6,769,388 | |||
Bingo Industries, Ltd. (c) | 47,497 | 71,057 | |||
Blackmores, Ltd. (c) | 2,362 | 127,455 | |||
BlueScope Steel, Ltd. | 52,961 | 435,273 | |||
Boral, Ltd. | 122,238 | 324,229 | |||
Brambles, Ltd. | 143,863 | 1,088,296 | |||
Bravura Solutions, Ltd. | 27,167 | 85,418 | |||
Breville Group, Ltd. | 7,471 | 117,820 | |||
Brickworks, Ltd. | 5,921 | 65,014 | |||
BWP Trust REIT | 46,487 | 123,368 | |||
carsales.com, Ltd. | 18,399 | 227,230 | |||
Castile Resources, Ltd. (b) | 10,652 | 1,193 | |||
Cedar Woods Properties, Ltd. | 15,454 | 56,239 | |||
Centuria Industrial REIT | 35,754 | 78,445 | |||
Centuria Office REIT | 34,820 | 48,798 | |||
Challenger, Ltd. | 45,247 | 139,794 | |||
Champion Iron, Ltd. (b)(c) | 28,333 | 56,681 | |||
Charter Hall Group REIT | 42,133 | 284,767 | |||
Charter Hall Long Wale REIT | 32,250 | 95,984 | |||
Charter Hall Retail REIT | 26,848 | 62,356 | |||
Charter Hall Social Infrastructure REIT | 30,724 | 50,175 | |||
CIMIC Group, Ltd. | 10,985 | 184,171 | |||
Cleanaway Waste Management, Ltd. | 166,586 | 255,179 | |||
Clinuvel Pharmaceuticals, Ltd. (c) | 6,455 | 114,820 | |||
Coca-Cola Amatil, Ltd. | 53,528 | 321,677 | |||
Cochlear, Ltd. | 6,335 | 829,787 | |||
Coles Group, Ltd. | 127,843 | 1,516,192 | |||
Collins Foods, Ltd. | 10,417 | 68,488 | |||
Commonwealth Bank of Australia | 163,763 | 7,890,483 | |||
Computershare, Ltd. | 46,891 | 433,179 | |||
Cooper Energy, Ltd. (b) | 188,865 | 49,301 | |||
Corporate Travel Management, Ltd. | 5,721 | 38,865 | |||
Costa Group Holdings, Ltd. | 29,584 | 59,603 | |||
Credit Corp. Group, Ltd. | 4,750 | 51,964 | |||
Cromwell Property Group REIT (c) | 176,649 | 110,155 | |||
Crown Resorts, Ltd. | 39,227 | 263,639 | |||
CSL, Ltd. | 41,987 | 8,331,389 | |||
CSR, Ltd. | 44,456 | 114,157 | |||
Dexus REIT | 99,219 | 635,343 | |||
Dicker Data, Ltd. | 13,173 | 63,417 | |||
Domain Holdings Australia, Ltd. | 51,929 | 120,866 | |||
Domino's Pizza Enterprises, Ltd. | 5,461 | 261,188 | |||
Downer EDI, Ltd. | 50,480 | 154,160 | |||
Elders, Ltd. | 16,674 | 108,728 |
Security Description | Shares | Value | |||
Emeco Holdings, Ltd. (b)(c) | 62,078 | $ 43,100 | |||
EML Payments, Ltd. (b)(c) | 16,999 | 39,883 | |||
Estia Health, Ltd. | 39,221 | 41,816 | |||
Evolution Mining, Ltd. | 138,516 | 548,977 | |||
Flight Centre Travel Group, Ltd. | 12,845 | 100,178 | |||
Fortescue Metals Group, Ltd. | 156,826 | 1,521,075 | |||
Freedom Foods Group, Ltd. (c) | 11,132 | 22,981 | |||
G8 Education, Ltd. (c) | 43,505 | 26,790 | |||
GDI Property Group REIT | 67,675 | 52,198 | |||
Genworth Mortgage Insurance Australia, Ltd. | 30,544 | 43,828 | |||
Gold Road Resources, Ltd. (b) | 85,928 | 100,755 | |||
Goodman Group REIT | 151,971 | 1,564,435 | |||
GPT Group REIT | 176,204 | 510,706 | |||
GrainCorp, Ltd. Class A (b) | 13,140 | 37,434 | |||
Growthpoint Properties Australia, Ltd. REIT | 24,433 | 54,217 | |||
GUD Holdings, Ltd. | 7,843 | 62,572 | |||
GWA Group, Ltd. | 31,664 | 61,098 | |||
Hansen Technologies, Ltd. | 29,249 | 59,008 | |||
Harvey Norman Holdings, Ltd. (c) | 71,585 | 175,568 | |||
Healius, Ltd. | 33,727 | 71,096 | |||
HUB24, Ltd. | 4,938 | 32,047 | |||
IDP Education, Ltd. (c) | 13,265 | 143,426 | |||
IGO, Ltd. | 45,426 | 154,637 | |||
Iluka Resources, Ltd. | 38,226 | 227,834 | |||
Incitec Pivot, Ltd. | 194,066 | 252,401 | |||
Infigen Energy Stapled Security | 157,975 | 102,569 | |||
Ingenia Communities Group REIT | 15,888 | 49,551 | |||
Inghams Group, Ltd. | 49,503 | 109,830 | |||
Insurance Australia Group, Ltd. | 214,179 | 857,584 | |||
Integrated Research, Ltd. | 33,401 | 88,944 | |||
InvoCare, Ltd. | 12,620 | 91,560 | |||
IOOF Holdings, Ltd. (c) | 19,504 | 66,863 | |||
IPH, Ltd. | 26,936 | 139,770 | |||
IRESS, Ltd. | 15,793 | 120,435 | |||
JB Hi-Fi, Ltd. | 10,392 | 310,202 | |||
Jumbo Interactive, Ltd. | 3,849 | 25,681 | |||
Jupiter Mines, Ltd. (c) | 276,114 | 53,509 | |||
Kogan.com, Ltd. | 5,696 | 58,336 | |||
Lendlease Group Stapled Security | 61,187 | 527,628 | |||
Lifestyle Communities, Ltd. | 8,230 | 53,720 | |||
Link Administration Holdings, Ltd. | 46,235 | 131,960 | |||
Lovisa Holdings, Ltd. (c) | 8,077 | 33,602 | |||
Lynas Corp., Ltd. (b) | 55,830 | 75,586 | |||
Macquarie Group, Ltd. | 31,423 | 2,601,814 | |||
Magellan Financial Group, Ltd. | 11,542 | 470,231 | |||
Mayne Pharma Group, Ltd. (b)(c) | 178,522 | 47,713 | |||
McMillan Shakespeare, Ltd. | 6,570 | 41,437 | |||
Medibank Pvt, Ltd. | 249,120 | 515,291 | |||
Megaport, Ltd. (b) | 11,378 | 95,474 | |||
Mesoblast, Ltd. (b)(c) | 25,558 | 58,650 |
Security Description | Shares | Value | |||
Metcash, Ltd. (c) | 82,249 | $ 154,825 | |||
Mineral Resources, Ltd. | 15,336 | 226,562 | |||
Mirvac Group REIT | 355,854 | 536,307 | |||
Monadelphous Group, Ltd. | 8,112 | 61,052 | |||
Nanosonics, Ltd. (b) | 20,915 | 98,949 | |||
National Australia Bank, Ltd. | 295,992 | 3,742,221 | |||
National Storage REIT | 124,681 | 159,192 | |||
nearmap, Ltd. (b)(c) | 42,091 | 66,403 | |||
Netwealth Group, Ltd. | 8,601 | 53,562 | |||
New Hope Corp., Ltd. (c) | 83,313 | 79,267 | |||
Newcrest Mining, Ltd. | 73,557 | 1,627,277 | |||
NEXTDC, Ltd. (b) | 36,306 | 249,142 | |||
nib holdings, Ltd. | 47,734 | 151,984 | |||
Nine Entertainment Co. Holdings, Ltd. | 149,876 | 144,202 | |||
Northern Star Resources, Ltd. | 65,665 | 617,851 | |||
NRW Holdings, Ltd. | 47,497 | 62,119 | |||
Nufarm, Ltd. (b) | 23,020 | 65,249 | |||
OceanaGold Corp. (b) | 52,900 | 122,734 | |||
Oil Search, Ltd. | 168,581 | 372,736 | |||
Omni Bridgeway, Ltd. (c) | 22,561 | 74,313 | |||
oOh!media, Ltd. | 54,746 | 35,013 | |||
Orica, Ltd. | 36,560 | 421,822 | |||
Origin Energy, Ltd. | 159,314 | 646,784 | |||
Orocobre, Ltd. (b)(c) | 47,432 | 76,803 | |||
Orora, Ltd. | 82,827 | 146,104 | |||
OZ Minerals, Ltd. | 56,350 | 431,964 | |||
Pact Group Holdings, Ltd. (b) | 44,824 | 68,268 | |||
Pendal Group, Ltd. | 26,280 | 109,693 | |||
Perenti Global, Ltd. | 51,384 | 41,622 | |||
Perpetual, Ltd. | 4,348 | 89,708 | |||
Perseus Mining, Ltd. (b) | 101,127 | 93,363 | |||
Platinum Asset Management, Ltd. | 48,574 | 126,089 | |||
PolyNovo, Ltd. (b)(c) | 44,951 | 79,671 | |||
Premier Investments, Ltd. | 8,796 | 105,818 | |||
Pro Medicus, Ltd. (c) | 3,617 | 66,450 | |||
Qantas Airways, Ltd. | 61,639 | 162,958 | |||
QBE Insurance Group, Ltd. | 134,636 | 828,927 | |||
Qube Holdings, Ltd. | 165,564 | 335,089 | |||
Ramelius Resources, Ltd. | 75,907 | 106,298 | |||
Ramsay Health Care, Ltd. | 16,541 | 762,131 | |||
REA Group, Ltd. (c) | 4,400 | 330,786 | |||
Regis Resources, Ltd. | 41,477 | 151,425 | |||
Resolute Mining, Ltd. (b) | 73,959 | 59,148 | |||
Rio Tinto, Ltd. | 34,525 | 2,358,569 | |||
Rural Funds Group REIT (c) | 70,111 | 92,859 | |||
Sandfire Resources, Ltd. | 16,700 | 59,124 | |||
Santos, Ltd. | 160,167 | 593,892 | |||
Saracen Mineral Holdings, Ltd. (b) | 92,017 | 349,647 | |||
Scentre Group REIT | 475,255 | 719,832 | |||
SEEK, Ltd. | 34,657 | 528,983 | |||
Select Harvests, Ltd. | 13,517 | 58,948 | |||
Service Stream, Ltd. | 39,978 | 52,946 | |||
Seven Group Holdings, Ltd. (c) | 12,098 | 145,175 |
Security Description | Shares | Value | |||
Shopping Centres Australasia Property Group REIT | 84,287 | $ 126,777 | |||
Sigma Healthcare, Ltd. | 183,261 | 79,175 | |||
Silver Lake Resources, Ltd. (b) | 111,938 | 167,292 | |||
SmartGroup Corp., Ltd. | 8,607 | 36,411 | |||
Sonic Healthcare, Ltd. | 40,817 | 859,926 | |||
South32, Ltd. (d) | 10,757 | 15,011 | |||
South32, Ltd. (d) | 453,240 | 640,175 | |||
Southern Cross Media Group, Ltd. (c) | 247,601 | 30,232 | |||
Spark Infrastructure Group Stapled Security | 150,101 | 223,663 | |||
St Barbara, Ltd. | 51,256 | 113,197 | |||
Star Entertainment Grp, Ltd. | 71,748 | 142,227 | |||
Steadfast Group, Ltd. | 67,982 | 158,916 | |||
Stockland REIT | 215,682 | 498,964 | |||
Suncorp Group, Ltd. | 120,264 | 771,012 | |||
Super Retail Group, Ltd. | 10,831 | 60,798 | |||
Sydney Airport Stapled Security | 100,110 | 394,177 | |||
Tabcorp Holdings, Ltd. | 177,605 | 417,938 | |||
Tassal Group, Ltd. | 25,631 | 61,228 | |||
Technology One, Ltd. | 23,020 | 140,747 | |||
Telstra Corp., Ltd. | 385,083 | 833,934 | |||
TPG TELECOM, Ltd. (b) | 37,112 | 227,409 | |||
Transurban Group Stapled Security | 252,834 | 2,473,722 | |||
Treasury Wine Estates, Ltd. | 65,124 | 472,735 | |||
TUAS, Ltd. (b) | 18,556 | 8,624 | |||
United Malt Grp, Ltd. (b) | 13,140 | 37,436 | |||
Vicinity Centres REIT | 359,586 | 359,579 | |||
Viva Energy Group, Ltd. (e) | 96,744 | 123,065 | |||
Vocus Group, Ltd. (b) | 56,908 | 116,668 | |||
Washington H Soul Pattinson & Co., Ltd. (c) | 10,211 | 138,373 | |||
Waypoint REIT | 54,243 | 97,738 | |||
Webjet, Ltd. (c) | 20,402 | 47,590 | |||
Wesfarmers, Ltd. | 106,379 | 3,299,886 | |||
Western Areas, Ltd. | 33,914 | 62,218 | |||
Westgold Resources, Ltd. (b) | 42,610 | 62,416 | |||
Westpac Banking Corp. | 332,884 | 4,162,487 | |||
Whitehaven Coal, Ltd. | 64,969 | 64,814 | |||
WiseTech Global, Ltd. (c) | 11,601 | 156,574 | |||
Woodside Petroleum, Ltd. | 89,865 | 1,354,950 | |||
Woolworths Group, Ltd. | 118,160 | 3,038,720 | |||
Worley, Ltd. (c) | 25,995 | 158,690 | |||
Zip Co., Ltd. (b)(c) | 21,571 | 80,274 | |||
102,811,793 | |||||
AUSTRIA — 0.2% | |||||
ams AG (b) | 27,406 | 408,541 | |||
ANDRITZ AG (b) | 6,184 | 225,404 | |||
AT&S Austria Technologie & Systemtechnik AG | 4,273 | 77,118 | |||
BAWAG Group AG (b)(e) | 7,283 | 251,928 | |||
CA Immobilien Anlagen AG | 8,392 | 280,494 | |||
DO & Co. AG (c) | 757 | 38,891 | |||
Erste Group Bank AG (b) | 29,188 | 689,139 |
Security Description | Shares | Value | |||
EVN AG | 5,757 | $ 97,270 | |||
FACC AG (c) | 6,220 | 45,165 | |||
IMMOFINANZ AG (b) | 10,275 | 175,582 | |||
Lenzing AG (b)(c) | 919 | 42,681 | |||
Oesterreichische Post AG (c) | 4,115 | 136,200 | |||
OMV AG | 14,759 | 497,871 | |||
Palfinger AG (b) | 2,748 | 60,669 | |||
Porr AG (b)(c) | 3,398 | 56,358 | |||
Raiffeisen Bank International AG | 13,226 | 236,319 | |||
S IMMO AG | 4,849 | 86,921 | |||
S&T AG (b) | 4,086 | 105,098 | |||
Schoeller-Bleckmann Oilfield Equipment AG | 1,349 | 35,652 | |||
Telekom Austria AG (b) | 20,116 | 138,949 | |||
UNIQA Insurance Group AG | 23,821 | 160,195 | |||
Verbund AG | 5,853 | 262,789 | |||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 5,462 | 122,434 | |||
Voestalpine AG | 9,794 | 211,439 | |||
Wienerberger AG | 12,817 | 279,127 | |||
4,722,234 | |||||
BELGIUM — 0.7% | |||||
Ackermans & van Haaren NV (b) | 2,177 | 284,963 | |||
Aedifica SA REIT | 2,187 | 239,423 | |||
Ageas SA/NV | 16,222 | 574,724 | |||
AGFA-Gevaert NV (b) | 20,285 | 84,763 | |||
Anheuser-Busch InBev SA | 70,759 | 3,487,079 | |||
Barco NV | 832 | 146,874 | |||
Befimmo SA REIT | 2,488 | 111,530 | |||
Bekaert SA | 2,534 | 49,802 | |||
Biocartis NV (b)(c)(e) | 10,226 | 53,356 | |||
bpost SA | 8,782 | 59,340 | |||
Cie d'Entreprises CFE | 691 | 47,361 | |||
Cofinimmo SA REIT | 2,350 | 323,975 | |||
Colruyt SA | 5,021 | 275,865 | |||
D'ieteren SA | 2,263 | 125,454 | |||
Econocom Group SA | 27,987 | 56,700 | |||
Elia Group SA | 2,497 | 271,567 | |||
Euronav NV | 16,005 | 129,180 | |||
Exmar NV (b)(c) | 8,692 | 21,677 | |||
Fagron | 5,579 | 117,223 | |||
Galapagos NV (b) | 4,204 | 829,517 | |||
Gimv NV | 1,771 | 101,985 | |||
Groupe Bruxelles Lambert SA | 7,988 | 668,867 | |||
Groupe Bruxelles Lambert SA | 4,259 | 357,187 | |||
Intervest Offices & Warehouses NV REIT | 5,463 | 140,737 | |||
Ion Beam Applications (c) | 4,121 | 35,362 | |||
KBC Ancora (b) | 4,469 | 152,378 | |||
KBC Group NV | 23,188 | 1,331,764 | |||
Kinepolis Group NV (b) | 1,145 | 51,854 | |||
Melexis NV | 1,837 | 139,694 | |||
Mithra Pharmaceuticals SA (b) | 1,371 | 28,071 | |||
Montea CVA REIT | 1,589 | 159,798 |
Security Description | Shares | Value | |||
Ontex Group NV (b) | 6,500 | $ 95,516 | |||
Orange Belgium SA | 3,420 | 55,780 | |||
Proximus SADP | 13,334 | 271,624 | |||
Recticel SA | 8,030 | 71,418 | |||
Retail Estates NV REIT | 1,506 | 101,597 | |||
Sofina SA | 1,401 | 369,823 | |||
Solvay SA | 6,739 | 540,474 | |||
Telenet Group Holding NV | 5,514 | 227,123 | |||
Tessenderlo Group SA (b) | 2,269 | 67,602 | |||
UCB SA | 11,741 | 1,362,077 | |||
Umicore SA | 18,305 | 863,801 | |||
Warehouses De Pauw CVA REIT | 12,036 | 330,563 | |||
14,815,468 | |||||
BRAZIL — 1.5% | |||||
AES Tiete Energia SA | 14,500 | 41,434 | |||
Aliansce Sonae Shopping Centers SA | 11,700 | 60,835 | |||
Alliar Medicos A Frente SA | 15,100 | 28,298 | |||
Alupar Investimento SA | 19,900 | 86,873 | |||
Ambev SA | 457,767 | 1,178,849 | |||
Anima Holding SA (b) | 19,635 | 87,862 | |||
Arcos Dorados Holdings, Inc. Class A (c) | 11,500 | 48,185 | |||
Arezzo Industria e Comercio SA | 4,100 | 35,767 | |||
Atacadao SA | 39,400 | 141,719 | |||
Azul SA Preference Shares (b) | 22,400 | 82,040 | |||
B2W Cia Digital (b) | 19,877 | 387,527 | |||
B3 SA - Brasil Bolsa Balcao | 191,201 | 1,918,348 | |||
Banco ABC Brasil SA Preference Shares | 16,200 | 41,542 | |||
Banco Bradesco SA Preference Shares | 409,757 | 1,544,760 | |||
Banco Bradesco SA | 120,946 | 417,632 | |||
Banco BTG Pactual SA | 28,300 | 394,287 | |||
Banco do Brasil SA | 78,200 | 457,880 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 13,200 | 32,575 | |||
Banco Inter SA | 5,800 | 43,520 | |||
Banco Pan SA Preference Shares | 30,400 | 48,722 | |||
Banco Santander Brasil SA | 35,400 | 180,649 | |||
BB Seguridade Participacoes SA | 75,400 | 374,473 | |||
BK Brasil Operacao e Assessoria a Restaurantes SA | 14,000 | 29,169 | |||
BR Malls Participacoes SA | 77,182 | 141,691 | |||
BR Properties SA | 15,100 | 24,530 | |||
Bradespar SA Preference Shares | 20,500 | 136,311 | |||
Braskem SA Class A, Preference Shares | 20,100 | 85,001 | |||
BRF SA (b) | 52,800 | 204,438 | |||
C&A Modas Ltda | 10,000 | 18,777 | |||
Camil Alimentos SA | 10,300 | 21,047 | |||
CCR SA | 112,600 | 297,352 |
Security Description | Shares | Value | |||
Centrais Eletricas Brasileiras SA (b) | 29,800 | $ 168,245 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares (b) | 33,200 | 194,938 | |||
Cia Brasileira de Distribuicao | 16,500 | 213,297 | |||
Cia de Locacao das Americas | 31,800 | 98,050 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 31,700 | 333,119 | |||
Cia de Saneamento de Minas Gerais-COPASA | 8,600 | 91,203 | |||
Cia de Saneamento do Parana Preference Shares | 20,100 | 22,989 | |||
Cia de Saneamento do Parana | 17,700 | 101,575 | |||
Cia Energetica de Minas Gerais Preference Shares | 96,664 | 194,004 | |||
Cia Energetica de Sao Paulo Class B, Preference Shares | 17,300 | 91,340 | |||
Cia Hering | 9,000 | 23,472 | |||
Cia Paranaense de Energia Preference Shares | 9,000 | 99,690 | |||
Cia Siderurgica Nacional SA | 64,400 | 125,263 | |||
Cielo SA | 104,339 | 87,792 | |||
Cogna Educacao | 162,063 | 195,097 | |||
Construtora Tenda SA | 6,300 | 35,580 | |||
Cosan Logistica SA (b) | 12,600 | 43,692 | |||
Cosan SA | 14,100 | 182,118 | |||
CPFL Energia SA | 21,400 | 119,495 | |||
CVC Brasil Operadora e Agencia de Viagens SA | 10,000 | 33,037 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 27,800 | 115,690 | |||
Duratex SA | 28,700 | 67,218 | |||
EcoRodovias Infraestrutura e Logistica SA (b) | 28,500 | 67,321 | |||
EDP - Energias do Brasil SA | 27,100 | 85,977 | |||
Embraer SA (b) | 72,500 | 106,820 | |||
Energisa SA | 17,000 | 151,708 | |||
Eneva SA (b) | 15,900 | 130,251 | |||
Engie Brasil Energia SA | 24,466 | 187,545 | |||
Equatorial Energia SA | 88,500 | 374,257 | |||
Ez Tec Empreendimentos e Participacoes SA | 7,500 | 54,500 | |||
Fleury SA | 18,600 | 83,298 | |||
Gerdau SA Preference Shares | 101,000 | 294,494 | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (b) | 15,200 | 51,351 | |||
Grendene SA | 42,700 | 57,003 | |||
Grupo SBF SA (b) | 6,967 | 41,504 | |||
Guararapes Confeccoes SA | 9,300 | 29,912 | |||
Hapvida Participacoes e Investimentos SA (e) | 21,300 | 241,171 | |||
Hypera SA | 34,200 | 207,412 | |||
Iguatemi Empresa de Shopping Centers SA | 8,300 | 50,413 | |||
Instituto Hermes Pardini SA | 4,900 | 19,651 |
Security Description | Shares | Value | |||
Iochpe Maxion SA | 10,000 | $ 24,623 | |||
IRB Brasil Resseguros SA | 65,100 | 130,418 | |||
Itau Unibanco Holding SA Preference Shares | 450,003 | 2,085,776 | |||
Itausa SA Preference Shares | 401,665 | 701,531 | |||
JBS SA | 99,200 | 382,108 | |||
JHSF Participacoes SA | 30,100 | 38,921 | |||
JSL SA | 16,600 | 70,079 | |||
Klabin SA | 78,628 | 291,125 | |||
Light SA (b) | 20,100 | 60,694 | |||
Linx SA | 12,700 | 58,610 | |||
Localiza Rent a Car SA | 55,166 | 411,022 | |||
Locaweb Servicos de Internet SA (b)(e) | 7,500 | 59,008 | |||
LOG Commercial Properties e Participacoes SA | 4,300 | 25,804 | |||
Lojas Americanas SA Preference Shares | 74,922 | 439,096 | |||
Lojas Renner SA | 72,371 | 550,941 | |||
M Dias Branco SA | 7,900 | 58,428 | |||
Magazine Luiza SA | 66,488 | 867,609 | |||
Marcopolo SA Preference Shares | 47,800 | 25,507 | |||
Marfrig Global Foods SA (b) | 43,200 | 99,212 | |||
Metalurgica Gerdau SA Preference Shares | 63,700 | 84,805 | |||
Minerva SA (b) | 18,835 | 45,108 | |||
Movida Participacoes SA | 19,000 | 45,503 | |||
MRV Engenharia e Participacoes SA | 29,100 | 95,396 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 134,459 | |||
Natura & Co. Holding SA | 68,500 | 497,769 | |||
Natura & Co. Holding SA (b) | 3,181 | 23,017 | |||
Notre Dame Intermedica Participacoes SA | 43,877 | 543,468 | |||
Odontoprev SA | 25,500 | 66,086 | |||
Omega Geracao SA (b) | 9,000 | 61,827 | |||
Petro Rio SA (b) | 9,400 | 60,586 | |||
Petrobras Distribuidora SA | 79,200 | 310,840 | |||
Petroleo Brasileiro SA Preference Shares | 441,700 | 1,733,561 | |||
Petroleo Brasileiro SA | 359,100 | 1,461,043 | |||
Porto Seguro SA | 12,800 | 117,538 | |||
Qualicorp Consultoria e Corretora de Seguros SA | 32,700 | 172,707 | |||
Raia Drogasil SA | 21,000 | 423,075 | |||
Randon SA Implementos e Participacoes Preference Shares | 16,000 | 28,003 | |||
Rumo SA (b) | 114,887 | 470,571 | |||
Santos Brasil Participacoes SA | 24,900 | 24,987 | |||
Sao Martinho SA | 17,000 | 65,668 | |||
SLC Agricola SA | 8,700 | 37,393 | |||
Sul America SA | 33,191 | 272,441 | |||
Suzano SA (b) | 49,509 | 331,725 |
Security Description | Shares | Value | |||
Telefonica Brasil SA Preference Shares | 39,785 | $ 348,014 | |||
TIM Participacoes SA | 71,400 | 184,651 | |||
TOTVS SA | 42,900 | 180,873 | |||
Transmissora Alianca de Energia Eletrica SA | 19,800 | 101,330 | |||
Trisul SA | 13,700 | 29,766 | |||
Tupy SA | 6,000 | 20,871 | |||
Ultrapar Participacoes SA | 67,200 | 224,946 | |||
Unipar Carbocloro SA Preference Shares | 4,500 | 19,620 | |||
Usinas Siderurgicas de Minas Gerais SA Usiminas Class A | 38,000 | 50,313 | |||
Vale SA | 342,606 | 3,489,205 | |||
Via Varejo SA (b) | 111,180 | 310,003 | |||
Vivara Participacoes SA | 8,800 | 33,752 | |||
WEG SA | 76,370 | 703,920 | |||
Wiz Solucoes e Corretagem de Seguros SA | 25,800 | 49,854 | |||
YDUQS Part | 25,800 | 158,114 | |||
32,856,905 | |||||
CANADA — 6.3% | |||||
Advantage Oil & Gas, Ltd. (b)(c) | 9,900 | 12,066 | |||
Aecon Group, Inc. | 6,200 | 67,189 | |||
Ag Growth International, Inc. (c) | 2,000 | 40,118 | |||
Agnico Eagle Mines, Ltd. | 21,982 | 1,403,007 | |||
Air Canada (b) | 13,500 | 168,007 | |||
Alamos Gold, Inc. Class A | 35,687 | 331,716 | |||
Alaris Royalty Corp. (c) | 6,200 | 58,950 | |||
Algonquin Power & Utilities Corp. | 47,433 | 611,196 | |||
Alimentation Couche-Tard, Inc. Class B | 80,800 | 2,525,445 | |||
Allied Properties Real Estate Investment Trust | 5,400 | 162,396 | |||
AltaGas, Ltd. (c) | 25,200 | 289,559 | |||
Altius Minerals Corp. | 8,500 | 60,786 | |||
Altus Group, Ltd. | 3,200 | 95,836 | |||
Andlauer Healthcare Group, Inc. | 1,000 | 26,953 | |||
Aphria, Inc. (b)(c) | 23,300 | 99,564 | |||
ARC Resources, Ltd. (c) | 37,700 | 126,220 | |||
Aritzia, Inc. (b) | 7,500 | 104,681 | |||
Artis Real Estate Investment Trust | 6,100 | 33,814 | |||
Atco, Ltd. Class I | 7,000 | 206,968 | |||
Atlas Corp. | 8,000 | 60,800 | |||
ATS Automation Tooling Systems, Inc. (b) | 5,700 | 80,018 | |||
Aurinia Pharmaceuticals, Inc. (b) | 7,600 | 122,984 | |||
Aurora Cannabis, Inc. (b)(c) | 11,141 | 137,340 | |||
B2Gold Corp. | 96,200 | 545,275 | |||
Badger Daylighting, Ltd. | 3,200 | 69,827 | |||
Ballard Power Systems, Inc. (b) | 18,100 | 277,613 |
Security Description | Shares | Value | |||
Bank of Montreal | 59,978 | $ 3,182,093 | |||
Bank of Nova Scotia | 112,700 | 4,648,668 | |||
Barrick Gold Corp. (d) | 119,417 | 3,202,866 | |||
Barrick Gold Corp. (d) | 45,552 | 1,229,045 | |||
Bausch Health Cos., Inc. (b) | 32,300 | 589,084 | |||
BCE, Inc. | 14,479 | 601,910 | |||
BELLUS Health, Inc. (b)(c) | 3,600 | 37,137 | |||
Birchcliff Energy, Ltd. (c) | 43,800 | 36,661 | |||
BlackBerry, Ltd. (b) | 47,100 | 228,930 | |||
Boardwalk Real Estate Investment Trust | 2,300 | 50,171 | |||
Bombardier, Inc. Class B (b) | 161,200 | 49,709 | |||
Boralex, Inc. Class A | 6,900 | 156,542 | |||
Boyd Group Services, Inc. | 1,900 | 281,889 | |||
Brookfield Asset Management, Inc. Class A | 123,825 | 4,062,042 | |||
CAE, Inc. | 24,000 | 388,018 | |||
Cameco Corp. | 35,800 | 365,885 | |||
Canaccord Genuity Group, Inc. | 8,800 | 44,646 | |||
Canacol Energy, Ltd. | 13,000 | 36,652 | |||
Canada Goose Holdings, Inc. (b)(c) | 6,300 | 145,797 | |||
Canadian Apartment Properties REIT | 7,300 | 260,431 | |||
Canadian Imperial Bank of Commerce | 41,200 | 2,744,852 | |||
Canadian National Railway Co. | 66,100 | 5,829,127 | |||
Canadian Natural Resources, Ltd. | 111,600 | 1,929,648 | |||
Canadian Pacific Railway, Ltd. | 12,700 | 3,219,944 | |||
Canadian Tire Corp., Ltd. Class A (c) | 5,300 | 457,777 | |||
Canadian Utilities, Ltd. Class A | 11,700 | 290,352 | |||
Canadian Western Bank | 8,200 | 142,386 | |||
Canfor Corp. (b) | 6,000 | 51,850 | |||
Canfor Pulp Products, Inc. | 10,400 | 41,233 | |||
Canopy Growth Corp. (b)(c) | 21,000 | 339,053 | |||
Capital Power Corp. | 10,100 | 207,488 | |||
Cascades, Inc. | 8,200 | 89,044 | |||
CCL Industries, Inc. Class B | 13,600 | 438,156 | |||
Celestica, Inc. (b) | 15,400 | 105,380 | |||
Cenovus Energy, Inc. | 94,500 | 440,584 | |||
Centerra Gold, Inc. | 20,000 | 222,467 | |||
CGI, Inc. (b) | 22,400 | 1,406,661 | |||
Chorus Aviation, Inc. | 7,200 | 15,753 | |||
CI Financial Corp. | 18,500 | 234,578 | |||
Cineplex, Inc. | 6,000 | 35,418 | |||
Cogeco Communications, Inc. | 1,500 | 107,720 | |||
Cogeco, Inc. | 500 | 29,743 | |||
Colliers International Group, Inc. | 3,300 | 188,744 | |||
Cominar Real Estate Investment Trust | 6,900 | 41,441 | |||
Computer Modelling Group, Ltd. | 15,200 | 53,010 | |||
Constellation Software, Inc. | 1,900 | 2,138,393 |
Security Description | Shares | Value | |||
Corus Entertainment, Inc. Class B (c) | 18,900 | $ 39,687 | |||
Crescent Point Energy Corp. | 46,300 | 74,787 | |||
Crombie Real Estate Investment Trust | 4,000 | 37,592 | |||
Cronos Group, Inc. (b)(c) | 21,100 | 126,724 | |||
CT Real Estate Investment Trust | 8,000 | 79,765 | |||
Descartes Systems Group, Inc. (b) | 7,600 | 399,921 | |||
Dollarama, Inc. | 27,600 | 915,137 | |||
Dream Industrial Real Estate Investment Trust | 7,000 | 54,890 | |||
Dream Office Real Estate Investment Trust | 3,000 | 45,198 | |||
DREAM Unlimited Corp. Class A | 8,730 | 57,431 | |||
Dundee Precious Metals, Inc. | 20,800 | 136,529 | |||
ECN Capital Corp. | 21,700 | 61,499 | |||
Eldorado Gold Corp. (b) | 13,900 | 133,591 | |||
Element Fleet Management Corp. (c) | 39,400 | 293,041 | |||
Emera, Inc. | 25,000 | 980,543 | |||
Empire Co., Ltd. Class A | 15,700 | 374,748 | |||
Enbridge, Inc. | 187,800 | 5,691,912 | |||
Endeavour Silver Corp. (b)(c) | 40,100 | 90,681 | |||
Enerflex, Ltd. | 8,500 | 32,078 | |||
Enerplus Corp. (c) | 17,500 | 49,082 | |||
Enghouse Systems, Ltd. | 3,700 | 196,953 | |||
Equinox Gold Corp. (b) | 18,000 | 200,617 | |||
Equitable Group, Inc. | 1,100 | 57,657 | |||
ERO Copper Corp. (b) | 5,200 | 75,098 | |||
Evertz Technologies, Ltd. | 2,400 | 19,771 | |||
Exchange Income Corp. (c) | 1,500 | 29,460 | |||
Extendicare, Inc. (c) | 8,100 | 33,363 | |||
Fairfax Financial Holdings, Ltd. | 2,500 | 769,879 | |||
Fiera Capital Corp. | 5,000 | 34,875 | |||
Finning International, Inc. | 13,900 | 188,905 | |||
First Capital Real Estate Investment Trust | 9,900 | 100,890 | |||
First Majestic Silver Corp. (b)(c) | 17,000 | 168,502 | |||
First National Financial Corp. | 2,400 | 49,762 | |||
First Quantum Minerals, Ltd. | 62,400 | 495,718 | |||
FirstService Corp. | 3,500 | 351,413 | |||
Fortis, Inc. | 42,874 | 1,625,246 | |||
Fortuna Silver Mines, Inc. (b)(c) | 21,600 | 109,427 | |||
Franco-Nevada Corp. | 17,535 | 2,441,639 | |||
Freehold Royalties, Ltd. | 8,800 | 22,743 | |||
Genworth MI Canada, Inc. (c) | 3,500 | 85,341 | |||
George Weston, Ltd. | 6,927 | 505,793 | |||
Gibson Energy, Inc. (c) | 13,500 | 209,438 | |||
Gildan Activewear, Inc. | 18,500 | 285,650 | |||
goeasy, Ltd. | 1,000 | 40,147 | |||
Gran Colombia Gold Corp. (b) | 5,100 | 25,762 | |||
Granite Real Estate Investment Trust | 2,900 | 149,173 | |||
Great Canadian Gaming Corp. (b) | 4,900 | 97,244 |
Security Description | Shares | Value | |||
Great-West Lifeco, Inc. | 25,000 | $ 436,858 | |||
H&R Real Estate Investment Trust | 12,300 | 88,141 | |||
HLS Therapeutics, Inc. | 1,900 | 25,375 | |||
Home Capital Group, Inc. (b) | 4,300 | 63,711 | |||
Hudbay Minerals, Inc. | 20,900 | 63,068 | |||
Husky Energy, Inc. | 32,555 | 106,604 | |||
Hydro One, Ltd. (e) | 29,700 | 556,711 | |||
iA Financial Corp., Inc. | 9,700 | 323,761 | |||
IAMGOLD Corp. (b) | 41,200 | 163,046 | |||
IGM Financial, Inc. (c) | 7,100 | 171,974 | |||
Imperial Oil, Ltd. | 23,800 | 381,639 | |||
Innergex Renewable Energy, Inc. | 10,300 | 144,442 | |||
Intact Financial Corp. | 13,200 | 1,252,255 | |||
Inter Pipeline, Ltd. | 37,600 | 348,946 | |||
Interfor Corp. (b) | 7,200 | 60,476 | |||
InterRent Real Estate Investment Trust | 5,700 | 59,971 | |||
Intertape Polymer Group, Inc. (c) | 8,100 | 71,247 | |||
Ivanhoe Mines, Ltd. Class A (b) | 53,900 | 152,360 | |||
Jamieson Wellness, Inc. | 3,900 | 101,881 | |||
Keyera Corp. | 19,500 | 295,936 | |||
Killam Apartment Real Estate Investment Trust | 4,500 | 57,885 | |||
Kinaxis, Inc. (b) | 2,400 | 341,956 | |||
Kinross Gold Corp. (b) | 116,300 | 836,813 | |||
Kirkland Lake Gold, Ltd. | 25,640 | 1,052,332 | |||
Knight Therapeutics, Inc. (b) | 11,900 | 61,335 | |||
Labrador Iron Ore Royalty Corp. | 5,900 | 105,134 | |||
Largo Resources, Ltd. (b) | 27,000 | 16,652 | |||
Lassonde Industries, Inc. Class A | 300 | 34,143 | |||
Laurentian Bank of Canada (c) | 3,900 | 81,894 | |||
Lightspeed POS, Inc. (b)(c) | 2,500 | 59,526 | |||
Linamar Corp. | 4,300 | 115,866 | |||
Lithium Americas Corp. (b)(c) | 23,000 | 118,209 | |||
Loblaw Cos., Ltd. | 17,100 | 830,015 | |||
Lundin Gold, Inc. (b) | 6,100 | 57,059 | |||
Lundin Mining Corp. | 59,800 | 319,636 | |||
MAG Silver Corp. (b)(c) | 7,200 | 101,286 | |||
Magna International, Inc. | 26,900 | 1,194,107 | |||
Manulife Financial Corp. | 181,200 | 2,457,242 | |||
Maple Leaf Foods, Inc. | 7,700 | 161,180 | |||
Martinrea International, Inc. | 8,400 | 63,401 | |||
MEG Energy Corp. (b) | 21,400 | 59,235 | |||
Methanex Corp. | 6,000 | 107,930 | |||
Metro, Inc. | 23,457 | 964,458 | |||
Minto Apartment Real Estate Investment Trust | 1,600 | 23,377 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 54,632 | |||
Morneau Shepell, Inc. (c) | 6,100 | 141,930 | |||
MTY Food Group, Inc. | 1,600 | 28,593 | |||
Mullen Group, Ltd. | 9,800 | 52,310 | |||
National Bank of Canada | 30,900 | 1,395,718 |
Security Description | Shares | Value | |||
New Gold, Inc. (b) | 68,900 | $ 93,081 | |||
NexGen Energy, Ltd. (b)(c) | 68,300 | 88,760 | |||
NFI Group, Inc. (c) | 5,200 | 63,568 | |||
Norbord, Inc. | 4,500 | 102,390 | |||
North West Co., Inc. (c) | 5,900 | 128,570 | |||
Northland Power, Inc. (c) | 16,100 | 401,673 | |||
Northview Apartment Real Estate Investment Trust | 3,100 | 79,162 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 10,300 | 81,674 | |||
Novagold Resources, Inc. (b) | 22,200 | 202,930 | |||
Nutrien, Ltd. | 53,318 | 1,707,585 | |||
Onex Corp. | 8,300 | 373,744 | |||
Open Text Corp. | 25,100 | 1,062,419 | |||
Organigram Holdings, Inc. (b)(c) | 14,100 | 21,947 | |||
Osisko Gold Royalties, Ltd. | 10,463 | 104,169 | |||
Osisko Mining, Inc. (b) | 28,700 | 80,706 | |||
Pan American Silver Corp. | 19,000 | 575,162 | |||
Parex Resources, Inc. (b) | 13,100 | 157,354 | |||
Park Lawn Corp. | 3,100 | 51,029 | |||
Parkland Corp. (c) | 13,400 | 331,655 | |||
Pason Systems, Inc. | 6,300 | 34,322 | |||
Pembina Pipeline Corp. (c) | 50,648 | 1,262,109 | |||
Peyto Exploration & Development Corp. (c) | 27,200 | 35,747 | |||
Power Corp. of Canada | 54,753 | 959,987 | |||
PrairieSky Royalty, Ltd. (c) | 22,494 | 141,702 | |||
Premier Gold Mines, Ltd. (b) | 61,100 | 99,142 | |||
Premium Brands Holdings Corp. (c) | 2,900 | 184,391 | |||
Pretium Resources, Inc. (b) | 17,200 | 143,460 | |||
Quebecor, Inc. Class B | 16,100 | 344,814 | |||
Real Matters, Inc. (b) | 11,000 | 213,862 | |||
Restaurant Brands International, Inc. | 26,146 | 1,418,449 | |||
Richelieu Hardware, Ltd. | 4,800 | 101,780 | |||
RioCan Real Estate Investment Trust | 14,100 | 159,013 | |||
Ritchie Bros Auctioneers, Inc. | 9,800 | 397,684 | |||
Rogers Communications, Inc. Class B | 33,500 | 1,341,722 | |||
Rogers Sugar, Inc. (c) | 17,400 | 59,789 | |||
Royal Bank of Canada | 132,500 | 8,960,775 | |||
Russel Metals, Inc. (c) | 5,700 | 67,881 | |||
Sabina Gold & Silver Corp. (b) | 24,700 | 35,363 | |||
Sandstorm Gold, Ltd. (b) | 14,800 | 141,589 | |||
Saputo, Inc. | 22,400 | 532,370 | |||
Savaria Corp. (c) | 7,800 | 71,357 | |||
Seabridge Gold, Inc. (b) | 5,500 | 96,270 | |||
SEMAFO, Inc. (b) | 30,700 | 104,362 | |||
Seven Generations Energy, Ltd. Class A (b) | 24,600 | 54,727 | |||
Shaw Communications, Inc. Class B | 43,531 | 707,618 | |||
Shopify, Inc. Class A (b) | 9,700 | 9,185,587 | |||
Sienna Senior Living, Inc. (c) | 6,000 | 40,749 |
Security Description | Shares | Value | |||
Sierra Wireless, Inc. (b) | 7,300 | $ 65,336 | |||
Silvercorp Metals, Inc. | 17,100 | 91,150 | |||
SilverCrest Metals, Inc. (b) | 8,000 | 73,128 | |||
Sleep Country Canada Holdings, Inc. (e) | 3,500 | 41,296 | |||
SmartCentres Real Estate Investment Trust | 6,700 | 102,861 | |||
SNC-Lavalin Group, Inc. (c) | 15,900 | 267,452 | |||
Spin Master Corp. (b)(e) | 2,300 | 41,424 | |||
Sprott, Inc. (c) | 2,970 | 106,392 | |||
SSR Mining, Inc. (b) | 11,200 | 237,897 | |||
Stantec, Inc. | 11,600 | 356,943 | |||
Stelco Holdings, Inc. | 3,300 | 18,535 | |||
Stella-Jones, Inc. | 5,300 | 132,850 | |||
Summit Industrial Income REIT | 7,200 | 60,529 | |||
Sun Life Financial, Inc. | 54,800 | 2,007,322 | |||
Suncor Energy, Inc. | 142,064 | 2,387,551 | |||
Superior Plus Corp. (c) | 16,500 | 134,714 | |||
TC Energy Corp. (c) | 86,936 | 3,702,120 | |||
Teck Resources, Ltd. Class B | 44,500 | 464,604 | |||
TELUS Corp. | 38,925 | 650,751 | |||
Teranga Gold Corp. (b) | 14,700 | 132,753 | |||
Tervita Corp. (b) | 6,400 | 17,903 | |||
TFI International, Inc. | 8,200 | 290,131 | |||
Thomson Reuters Corp. | 18,730 | 1,268,469 | |||
Timbercreek Financial Corp. | 7,500 | 47,302 | |||
TMX Group, Ltd. | 5,200 | 512,479 | |||
Torex Gold Resources, Inc. (b) | 7,900 | 124,068 | |||
Toromont Industries, Ltd. | 7,400 | 366,034 | |||
Toronto-Dominion Bank | 168,100 | 7,478,105 | |||
Tourmaline Oil Corp. | 23,500 | 204,805 | |||
TransAlta Corp. | 25,500 | 150,716 | |||
TransAlta Renewables, Inc. | 12,500 | 133,902 | |||
Transat AT, Inc. (b) | 3,000 | 12,621 | |||
Transcontinental, Inc. Class A | 5,700 | 63,194 | |||
Tricon Capital Group, Inc. (c) | 15,900 | 106,817 | |||
Turquoise Hill Resources, Ltd. (b) | 73,000 | 53,598 | |||
Uranium Participation Corp. (b) | 12,500 | 42,034 | |||
Vermilion Energy, Inc. (c) | 11,800 | 52,329 | |||
Victoria Gold Corp. (b) | 3,000 | 31,255 | |||
Wallbridge Mining Co., Ltd. (b) | 46,500 | 37,896 | |||
Wesdome Gold Mines, Ltd. (b) | 12,400 | 106,793 | |||
West Fraser Timber Co., Ltd. | 4,800 | 168,176 | |||
Westshore Terminals Investment Corp. (c) | 4,200 | 51,529 | |||
Wheaton Precious Metals Corp. | 41,334 | 1,812,080 | |||
Whitecap Resources, Inc. | 28,900 | 47,318 | |||
Winpak, Ltd. | 2,900 | 88,554 | |||
WPT Industrial Real Estate Investment Trust | 5,700 | 73,530 | |||
WSP Global, Inc. | 9,600 | 586,855 | |||
Yamana Gold, Inc. | 86,400 | 468,159 | |||
140,001,323 |
Security Description | Shares | Value | |||
CAYMAN ISLANDS — 0.0% (a) | |||||
111, Inc. ADR (b) | 2,300 | $ 14,605 | |||
Endeavour Mining Corp. (b) | 7,000 | 168,833 | |||
183,438 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 335,410 | 48,231 | |||
Aguas Andinas SA Class A | 220,856 | 74,875 | |||
Antofagasta PLC | 35,858 | 413,861 | |||
Banco de Chile | 4,217,085 | 372,579 | |||
Banco de Credito e Inversiones SA | 4,548 | 154,635 | |||
Banco Santander Chile | 6,118,716 | 250,535 | |||
CAP SA (b) | 8,595 | 55,722 | |||
Cencosud SA | 127,097 | 178,115 | |||
Cencosud Shopping SA | 47,475 | 84,473 | |||
Cia Cervecerias Unidas SA | 13,362 | 96,315 | |||
Cia Sud Americana de Vapores SA (b) | 853,407 | 19,572 | |||
Colbun SA | 732,069 | 116,867 | |||
Embotelladora Andina SA Class B, Preference Shares | 32,930 | 80,660 | |||
Empresa Nacional de Telecomunicaciones SA | 14,009 | 90,480 | |||
Empresas CMPC SA | 104,366 | 207,562 | |||
Empresas COPEC SA | 36,176 | 242,907 | |||
Enel Americas SA | 3,176,319 | 479,970 | |||
Enel Chile SA | 2,451,823 | 183,453 | |||
Engie Energia Chile SA | 71,134 | 95,267 | |||
Falabella SA | 69,823 | 221,228 | |||
Forus SA | 37,877 | 45,930 | |||
Grupo Security SA | 204,548 | 36,640 | |||
Inversiones Aguas Metropolitanas SA | 41,746 | 35,857 | |||
Inversiones La Construccion SA | 3,247 | 21,763 | |||
Itau CorpBanca | 13,434,953 | 36,330 | |||
Parque Arauco SA | 67,993 | 123,458 | |||
Ripley Corp. SA | 96,292 | 31,331 | |||
SMU SA | 287,875 | 53,235 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 10,609 | 276,279 | |||
SONDA SA | 96,773 | 63,697 | |||
Vina Concha y Toro SA | 42,844 | 66,720 | |||
4,258,547 | |||||
CHINA — 9.7% | |||||
21Vianet Group, Inc. ADR (b) | 5,100 | 121,686 | |||
360 Finance, Inc. ADR (b) | 10,000 | 107,100 | |||
3SBio, Inc. (b)(e) | 88,000 | 112,006 | |||
51job, Inc. ADR (b) | 2,500 | 179,475 | |||
58.com, Inc. ADR (b) | 8,800 | 474,672 | |||
AAC Technologies Holdings, Inc. (c) | 65,500 | 404,517 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 119,208 | |||
Agile Group Holdings, Ltd. | 166,000 | 196,769 |
Security Description | Shares | Value | |||
Agricultural Bank of China, Ltd. Class A | 405,600 | $ 194,340 | |||
Agricultural Bank of China, Ltd. Class H | 2,642,000 | 1,069,341 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 13,780 | 84,902 | |||
Air China, Ltd. Class H | 186,000 | 111,824 | |||
AK Medical Holdings, Ltd. (e) | 34,000 | 108,384 | |||
Alibaba Group Holding, Ltd. ADR (b) | 174,900 | 37,725,930 | |||
Alibaba Health Information Technology, Ltd. (b) | 325,500 | 957,197 | |||
A-Living Services Co., Ltd. Class H (e) | 36,500 | 185,501 | |||
Aluminum Corp. of China, Ltd. Class H (b) | 462,000 | 87,139 | |||
Anhui Conch Cement Co., Ltd. Class A | 22,500 | 169,395 | |||
Anhui Conch Cement Co., Ltd. Class H | 111,000 | 752,157 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 9,900 | 106,640 | |||
ANTA Sports Products, Ltd. | 100,000 | 889,713 | |||
Asia Cement China Holdings Corp. | 42,500 | 41,995 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 192,691 | |||
Ausnutria Dairy Corp., Ltd. | 79,000 | 177,687 | |||
Autobio Diagnostics Co., Ltd. Class A | 2,800 | 64,360 | |||
Autohome, Inc. ADR | 5,600 | 422,800 | |||
AviChina Industry & Technology Co., Ltd. Class H | 188,000 | 85,759 | |||
BAIC Motor Corp., Ltd. Class H (e) | 155,000 | 67,833 | |||
Baidu, Inc. ADR (b) | 25,500 | 3,057,195 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 130,388 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 87,990 | |||
Bank of China, Ltd. Class A | 145,400 | 71,726 | |||
Bank of China, Ltd. Class H | 7,357,000 | 2,725,293 | |||
Bank of Communications Co., Ltd. Class A | 200,000 | 145,392 | |||
Bank of Communications Co., Ltd. Class H | 733,000 | 453,855 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 74,597 | |||
Bank of Jiangsu Co., Ltd. Class A | 120,600 | 96,989 | |||
Bank of Nanjing Co., Ltd. Class A | 46,000 | 47,842 | |||
Bank of Ningbo Co., Ltd. Class A | 33,300 | 124,201 | |||
Bank of Shanghai Co., Ltd. Class A | 66,800 | 78,662 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 100,700 | 65,249 |
Security Description | Shares | Value | |||
Baozun, Inc. ADR (b)(c) | 4,600 | $ 176,870 | |||
BeiGene, Ltd. ADR (b) | 3,600 | 678,240 | |||
Beijing Capital International Airport Co., Ltd. Class H | 160,000 | 100,135 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 194,769 | |||
Beijing Enterprises Water Group, Ltd. | 662,000 | 259,782 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 10,500 | 67,451 | |||
BEST, Inc. ADR (b)(c) | 18,500 | 79,180 | |||
Bilibili, Inc. ADR (b)(c) | 8,900 | 412,248 | |||
Bitauto Holdings, Ltd. ADR (b) | 6,300 | 99,855 | |||
BOC Hong Kong Holdings, Ltd. | 334,500 | 1,071,040 | |||
BOE Technology Group Co., Ltd. Class A | 165,500 | 110,154 | |||
Bright Scholar Education Holdings, Ltd. ADR | 1,500 | 11,790 | |||
Brilliance China Automotive Holdings, Ltd. | 248,000 | 224,463 | |||
BYD Co., Ltd. Class A | 8,500 | 87,031 | |||
BYD Co., Ltd. Class H (c) | 65,000 | 506,763 | |||
BYD Electronic International Co., Ltd. (c) | 72,000 | 166,336 | |||
CanSino Biologics, Inc. Class H (b)(e) | 6,000 | 165,213 | |||
Centre Testing International Group Co., Ltd. Class A | 42,800 | 120,109 | |||
CGN Power Co., Ltd. Class H (e) | 1,191,600 | 247,059 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 3,200 | 197,097 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 83,053 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 98,094 | |||
China Aoyuan Group, Ltd. | 128,000 | 156,444 | |||
China Avionics Systems Co., Ltd. Class A | 35,100 | 66,306 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,059,592 | 209,014 | |||
China CITIC Bank Corp., Ltd. Class H | 747,000 | 327,344 | |||
China Common Rich Renewable Energy Investment, Ltd. (b)(f) | 68,000 | — | |||
China Communications Construction Co., Ltd. Class H | 482,000 | 273,383 | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 156,672 | |||
China Conch Venture Holdings, Ltd. | 147,000 | 623,929 | |||
China Construction Bank Corp. Class A | 52,100 | 46,623 | |||
China Construction Bank Corp. Class H | 8,906,000 | 7,244,031 |
Security Description | Shares | Value | |||
China East Education Holdings, Ltd. (e) | 43,000 | $ 78,166 | |||
China Eastern Airlines Corp., Ltd. Class H (b) | 192,000 | 69,129 | |||
China Education Group Holdings, Ltd. | 64,000 | 103,211 | |||
China Enterprise Co., Ltd. Class A | 65,400 | 37,793 | |||
China Everbright Bank Co., Ltd. Class A | 176,700 | 89,701 | |||
China Everbright Bank Co., Ltd. Class H | 267,300 | 100,932 | |||
China Everbright International, Ltd. | 361,518 | 191,813 | |||
China Evergrande Group (c) | 171,000 | 444,970 | |||
China Feihe, Ltd. (e) | 60,000 | 120,907 | |||
China Film Co., Ltd. Class A | 32,200 | 60,110 | |||
China Fortune Land Development Co., Ltd. Class A | 16,400 | 53,290 | |||
China Galaxy Securities Co., Ltd. Class H | 366,800 | 199,684 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 63,141 | |||
China Hongqiao Group, Ltd. | 206,000 | 91,728 | |||
China Huarong Asset Management Co., Ltd. Class H (e) | 1,024,000 | 103,704 | |||
China International Capital Corp., Ltd. Class H (b)(c)(e) | 106,000 | 209,728 | |||
China Jinmao Holdings Group, Ltd. | 440,000 | 313,133 | |||
China Lesso Group Holdings, Ltd. | 102,000 | 133,884 | |||
China Life Insurance Co., Ltd. Class A | 15,100 | 58,448 | |||
China Life Insurance Co., Ltd. Class H | 693,000 | 1,398,319 | |||
China Literature, Ltd. (b)(c)(e) | 26,200 | 177,659 | |||
China Longyuan Power Group Corp., Ltd. Class H | 217,000 | 122,347 | |||
China Maple Leaf Educational Systems, Ltd. (c) | 136,000 | 41,703 | |||
China Medical System Holdings, Ltd. | 144,000 | 170,297 | |||
China Meheco Co., Ltd. Class A | 57,200 | 114,652 | |||
China Meidong Auto Holdings, Ltd. | 36,000 | 88,795 | |||
China Mengniu Dairy Co., Ltd. | 250,000 | 958,651 | |||
China Merchants Bank Co., Ltd. Class A | 112,000 | 536,680 | |||
China Merchants Bank Co., Ltd. Class H | 352,500 | 1,633,545 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 51,000 | 42,287 | |||
China Merchants Port Holdings Co., Ltd. | 148,776 | 176,470 |
Security Description | Shares | Value | |||
China Merchants Securities Co., Ltd. Class A | 31,000 | $ 96,592 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 32,300 | 75,444 | |||
China Minsheng Banking Corp., Ltd. Class A | 200,000 | 160,785 | |||
China Minsheng Banking Corp., Ltd. Class H | 639,600 | 440,278 | |||
China Molybdenum Co., Ltd. Class A | 95,900 | 50,210 | |||
China Molybdenum Co., Ltd. Class H | 354,000 | 116,877 | |||
China National Building Material Co., Ltd. Class H | 396,000 | 424,754 | |||
China National Nuclear Power Co., Ltd. Class A | 70,800 | 41,093 | |||
China National Software & Service Co., Ltd. Class A | 8,900 | 100,318 | |||
China Oilfield Services, Ltd. Class H | 118,000 | 107,534 | |||
China Oriental Group Co., Ltd. | 192,000 | 52,653 | |||
China Overseas Grand Oceans Group, Ltd. | 121,000 | 68,958 | |||
China Overseas Land & Investment, Ltd. | 346,000 | 1,056,496 | |||
China Overseas Property Holdings, Ltd. | 105,000 | 111,937 | |||
China Pacific Insurance Group Co., Ltd. Class A | 28,300 | 109,682 | |||
China Pacific Insurance Group Co., Ltd. Class H | 256,000 | 688,052 | |||
China Petroleum & Chemical Corp. Class A | 119,800 | 66,532 | |||
China Petroleum & Chemical Corp. Class H | 2,320,000 | 970,367 | |||
China Power International Development, Ltd. | 606,000 | 111,531 | |||
China Railway Construction Corp., Ltd. Class A | 62,400 | 74,294 | |||
China Railway Construction Corp., Ltd. Class H | 221,000 | 175,055 | |||
China Railway Group, Ltd. Class A | 110,500 | 78,818 | |||
China Railway Group, Ltd. Class H | 423,000 | 218,349 | |||
China Railway Signal & Communication Corp., Ltd. Class H (e) | 210,000 | 90,690 | |||
China Reinsurance Group Corp. Class H | 499,000 | 51,124 | |||
China Resources Beer Holdings Co., Ltd. | 136,721 | 763,181 | |||
China Resources Gas Group, Ltd. | 80,000 | 391,427 | |||
China Resources Pharmaceutical Group, Ltd. (e) | 177,000 | 102,530 |
Security Description | Shares | Value | |||
China Resources Power Holdings Co., Ltd. | 222,055 | $ 261,936 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | 71,550 | |||
China SCE Group Holdings, Ltd. | 147,000 | 64,217 | |||
China Shenhua Energy Co., Ltd. Class A | 23,900 | 48,753 | |||
China Shenhua Energy Co., Ltd. Class H | 331,500 | 514,483 | |||
China Shipbuilding Industry Co., Ltd. Class A | 124,200 | 70,563 | |||
China South Publishing & Media Group Co., Ltd. Class A | 41,182 | 61,851 | |||
China Southern Airlines Co., Ltd. Class H (b)(c) | 192,000 | 85,859 | |||
China Spacesat Co., Ltd. Class A | 23,000 | 100,806 | |||
China State Construction Engineering Corp., Ltd. Class A | 227,800 | 154,305 | |||
China Taiping Insurance Holdings Co., Ltd. | 168,200 | 271,710 | |||
China Telecom Corp., Ltd. Class H | 1,256,000 | 352,808 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 10,600 | 232,522 | |||
China Tower Corp., Ltd. Class H (e) | 4,080,000 | 725,044 | |||
China TransInfo Technology Co., Ltd. Class A | 19,700 | 67,217 | |||
China Unicom Hong Kong, Ltd. | 554,000 | 301,431 | |||
China United Network Communications, Ltd. Class A | 174,400 | 120,010 | |||
China Vanke Co., Ltd. Class A | 43,800 | 162,795 | |||
China Vanke Co., Ltd. Class H | 152,400 | 486,411 | |||
China Yangtze Power Co., Ltd. Class A | 117,900 | 316,856 | |||
China Yuchai International, Ltd. | 1,300 | 18,694 | |||
China Yuhua Education Corp., Ltd. (e) | 132,000 | 109,010 | |||
China Zhongwang Holdings, Ltd. (c) | 231,200 | 43,744 | |||
Chinasoft International, Ltd. | 158,000 | 87,049 | |||
Chinese Universe Publishing and Media Group Co., Ltd. Class A | 47,500 | 79,480 | |||
Chongqing Brewery Co., Ltd. Class A | 7,200 | 74,605 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 257,000 | 101,638 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 7,200 | 101,875 | |||
CIFI Holdings Group Co., Ltd. | 233,923 | 184,277 | |||
CITIC Securities Co., Ltd. Class A | 55,100 | 188,736 |
Security Description | Shares | Value | |||
CITIC Securities Co., Ltd. Class H | 185,500 | $ 353,839 | |||
CITIC Telecom International Holdings, Ltd. | 132,000 | 42,054 | |||
CITIC, Ltd. | 556,000 | 525,026 | |||
CNOOC, Ltd. | 1,654,000 | 1,856,341 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 12,300 | 306,842 | |||
COSCO SHIPPING Development Co., Ltd. Class A | 224,100 | 58,523 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 116,000 | 51,955 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (b) | 227,000 | 65,559 | |||
COSCO SHIPPING Ports, Ltd. | 178,428 | 96,245 | |||
Country Garden Holdings Co., Ltd. | 721,744 | 895,185 | |||
Country Garden Services Holdings Co., Ltd. | 125,000 | 583,548 | |||
CRRC Corp., Ltd. Class A | 136,700 | 108,130 | |||
CRRC Corp., Ltd. Class H | 430,350 | 182,703 | |||
CSC Financial Co., Ltd. Class A | 18,700 | 104,727 | |||
CSPC Pharmaceutical Group, Ltd. | 508,800 | 963,615 | |||
CStone Pharmaceuticals (b)(e) | 54,500 | 77,831 | |||
Dali Foods Group Co., Ltd. (e) | 142,000 | 86,545 | |||
Daqin Railway Co., Ltd. Class A | 79,300 | 79,125 | |||
Daqo New Energy Corp. ADR (b) | 800 | 59,392 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 67,979 | |||
Dongfeng Motor Group Co., Ltd. Class H | 200,000 | 120,619 | |||
Dongyue Group, Ltd. | 106,000 | 43,331 | |||
East Money Information Co., Ltd. Class A | 37,920 | 108,945 | |||
E-House China Enterprise Holdings, Ltd. | 45,000 | 52,867 | |||
ENN Energy Holdings, Ltd. | 69,400 | 784,258 | |||
Eve Energy Co., Ltd. Class A | 13,306 | 90,478 | |||
Ever Sunshine Lifestyle Services Group, Ltd. | 42,000 | 65,518 | |||
Fanhua, Inc. ADR (c) | 4,800 | 96,048 | |||
Far East Horizon, Ltd. | 238,000 | 203,177 | |||
FIH Mobile, Ltd. (b)(c) | 297,000 | 32,018 | |||
Financial Street Holdings Co., Ltd. Class A | 118,527 | 111,716 | |||
FinVolution Group ADR | 9,800 | 17,738 | |||
Focus Media Information Technology Co., Ltd. Class A | 72,000 | 57,040 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 14,656 | 258,384 | |||
Fosun International, Ltd. | 260,500 | 333,865 | |||
Founder Securities Co., Ltd. Class A | 44,900 | 45,205 |
Security Description | Shares | Value | |||
Foxconn Industrial Internet Co., Ltd. Class A | 33,000 | $ 71,200 | |||
Fu Shou Yuan International Group, Ltd. | 81,000 | 74,466 | |||
Fufeng Group, Ltd. | 138,000 | 44,230 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (e) | 52,800 | 126,419 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 124,634 | |||
GDS Holdings, Ltd. ADR (b) | 7,300 | 581,518 | |||
Geely Automobile Holdings, Ltd. | 545,000 | 865,876 | |||
Gemdale Corp. Class A | 24,500 | 47,682 | |||
Gemdale Properties & Investment Corp., Ltd. | 432,000 | 80,544 | |||
Genertec Universal Medical Group Co., Ltd. (e) | 93,000 | 56,511 | |||
Genscript Biotech Corp. (b) | 94,000 | 194,401 | |||
GF Securities Co., Ltd. Class A | 32,100 | 64,403 | |||
GF Securities Co., Ltd. Class H | 178,200 | 191,925 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 64,975 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 2,520 | 84,614 | |||
Glodon Co., Ltd. Class A | 9,200 | 91,148 | |||
GoerTek, Inc. Class A | 28,300 | 118,450 | |||
GOME Retail Holdings, Ltd. (b)(c) | 972,000 | 162,929 | |||
Great Wall Motor Co., Ltd. Class H | 249,000 | 156,714 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 16,900 | 135,855 | |||
Greentown Service Group Co., Ltd. | 134,000 | 158,832 | |||
GreenTree Hospitality Group, Ltd. ADR | 1,200 | 16,176 | |||
GSX Techedu, Inc. ADR (b)(c) | 7,100 | 425,929 | |||
Guangdong Haid Group Co., Ltd. Class A | 8,600 | 58,103 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A (b) | 43,700 | 42,974 | |||
Guanghui Energy Co., Ltd. Class A (b) | 204,300 | 78,317 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 266,800 | 194,383 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 94,069 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 83,850 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 98,800 | 116,270 | |||
Guotai Junan Securities Co., Ltd. Class A | 35,300 | 86,524 | |||
Guotai Junan Securities Co., Ltd. Class H (e) | 63,200 | 87,892 |
Security Description | Shares | Value | |||
Haidilao International Holding, Ltd. (e) | 73,000 | $ 310,248 | |||
Haier Smart Home Co., Ltd. Class A | 26,800 | 67,371 | |||
Haitian International Holdings, Ltd. | 76,000 | 154,768 | |||
Haitong Securities Co., Ltd. Class A | 38,100 | 68,087 | |||
Haitong Securities Co., Ltd. Class H | 354,800 | 288,258 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 42,100 | 182,065 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 83,564 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 113,200 | 117,075 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 113,822 | |||
Hansoh Pharmaceutical Group Co., Ltd. (b)(e) | 44,000 | 208,095 | |||
Health & Happiness H&H International Holdings, Ltd. | 22,500 | 102,268 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 12,200 | 90,873 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 13,300 | 87,064 | |||
Hengan International Group Co., Ltd. | 65,000 | 511,632 | |||
Hengli Petrochemical Co., Ltd. Class A | 31,800 | 63,230 | |||
HengTen Networks Group, Ltd. (b)(c) | 2,024,000 | 37,864 | |||
Hengyi Petrochemical Co., Ltd. Class A | 49,790 | 64,546 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | 68,280 | |||
Hope Education Group Co., Ltd. (e) | 186,000 | 64,068 | |||
Hua Hong Semiconductor, Ltd. (b)(c)(e) | 47,000 | 164,768 | |||
Hualan Biological Engineering, Inc. Class A | 28,860 | 205,145 | |||
Huami Corp. ADR (b) | 5,700 | 70,452 | |||
Huaneng Power International, Inc. Class H | 478,000 | 180,290 | |||
Huangshi Dongbei Electrical Appliance Co., Ltd. Class B | 54,900 | 135,899 | |||
Huatai Securities Co., Ltd. Class A | 34,600 | 92,397 | |||
Huatai Securities Co., Ltd. Class H (e) | 181,200 | 290,066 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 76,580 | |||
Huaxia Bank Co., Ltd. Class A | 91,800 | 79,685 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 53,358 | |||
Huazhu Group, Ltd. ADR (c) | 13,200 | 462,660 |
Security Description | Shares | Value | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 70,600 | $ 52,187 | |||
Hubei Energy Group Co., Ltd. Class A | 101,500 | 50,636 | |||
Hundsun Technologies, Inc. Class A | 5,720 | 87,627 | |||
HUYA, Inc. ADR (b)(c) | 5,700 | 106,419 | |||
Iflytek Co., Ltd. Class A | 11,900 | 63,434 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 276,400 | 195,098 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,000,000 | 3,627,430 | |||
Industrial Bank Co., Ltd. Class A | 116,400 | 260,811 | |||
INESA Intelligent Tech, Inc. Class B | 112,900 | 54,058 | |||
Inner Mongolia Eerduosi Resourses Co., Ltd. Class B | 87,500 | 64,382 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 219,500 | 79,279 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 34,200 | 151,147 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | 113,433 | |||
Innovent Biologics, Inc. (b)(e) | 84,500 | 628,912 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,900 | 44,342 | |||
iQIYI, Inc. ADR (b)(c) | 20,400 | 473,076 | |||
Jafron Biomedical Co., Ltd. Class A | 9,500 | 93,762 | |||
JD.com, Inc. ADR (b) | 75,000 | 4,513,500 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 54,700 | 58,313 | |||
Jiangsu Expressway Co., Ltd. Class H | 158,000 | 185,702 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 9,100 | 103,808 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 28,804 | 376,779 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 8,400 | 125,488 | |||
Jiangxi Copper Co., Ltd. Class H | 121,000 | 123,287 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 25,800 | 64,063 | |||
Jinduicheng Molybdenum Co., Ltd. Class A | 72,600 | 63,882 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 48,083 | |||
JinkoSolar Holding Co., Ltd. ADR (b)(c) | 3,300 | 58,443 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 37,500 | 147,993 | |||
Jiumaojiu International Holdings, Ltd. (b)(e) | 32,000 | 55,534 |
Security Description | Shares | Value | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 34,900 | $ 91,989 | |||
JOYY, Inc. ADR (b) | 5,400 | 478,170 | |||
Kaisa Group Holdings, Ltd. | 292,000 | 111,175 | |||
Kama Co., Ltd. Class B (b) | 67,100 | 28,566 | |||
Kerry Logistics Network, Ltd. | 59,000 | 78,656 | |||
Kingdee International Software Group Co., Ltd. | 216,000 | 505,418 | |||
Kingsoft Corp., Ltd. | 67,000 | 313,833 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,665 | |||
Koolearn Technology Holding, Ltd. (b)(c)(e) | 21,500 | 86,771 | |||
Kunlun Energy Co., Ltd. | 330,000 | 216,127 | |||
Kweichow Moutai Co., Ltd. Class A | 7,000 | 1,454,979 | |||
KWG Group Holdings, Ltd. | 134,000 | 227,675 | |||
Legend Holdings Corp. Class H (e) | 60,300 | 70,714 | |||
Lenovo Group, Ltd. | 652,000 | 363,780 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 9,700 | 50,162 | |||
Leyou Technologies Holdings, Ltd. (b) | 215,000 | 70,982 | |||
Li Ning Co., Ltd. | 192,500 | 616,474 | |||
Liaoning Cheng Da Co., Ltd. Class A | 26,500 | 71,228 | |||
Lifetech Scientific Corp. (b) | 214,000 | 67,524 | |||
Lingyi iTech Guangdong Co. Class A (b) | 50,400 | 76,386 | |||
Logan Group Co., Ltd. | 98,000 | 175,089 | |||
Longfor Group Holdings, Ltd. (e) | 163,000 | 780,259 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 19,000 | 110,005 | |||
Lonking Holdings, Ltd. | 174,000 | 53,002 | |||
Luthai Textile Co., Ltd. Class B | 49,300 | 29,245 | |||
Luxshare Precision Industry Co., Ltd. Class A | 51,868 | 379,568 | |||
Luye Pharma Group, Ltd. (e) | 154,500 | 94,993 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,800 | 75,116 | |||
Mango Excellent Media Co., Ltd. Class A (b) | 9,700 | 89,891 | |||
Maoyan Entertainment (b)(e) | 41,600 | 63,852 | |||
Meitu, Inc. (b)(e) | 176,500 | 34,891 | |||
Meituan Dianping Class B (b) | 328,000 | 7,329,652 | |||
Microport Scientific Corp. | 97,000 | 391,326 | |||
Minth Group, Ltd. | 68,000 | 195,195 | |||
MMG, Ltd. (b) | 212,000 | 44,299 | |||
Momo, Inc. ADR | 13,600 | 237,728 | |||
Muyuan Foodstuff Co., Ltd. Class A | 18,917 | 220,247 | |||
NanJi E-Commerce Co., Ltd. Class A | 28,100 | 84,479 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 20,100 | 183,788 |
Security Description | Shares | Value | |||
NARI Technology Co., Ltd. Class A | 23,700 | $ 68,358 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 97,050 | |||
NetEase, Inc. ADR | 7,600 | 3,263,288 | |||
New China Life Insurance Co., Ltd. Class A | 11,300 | 71,106 | |||
New China Life Insurance Co., Ltd. Class H | 95,100 | 320,710 | |||
New Hope Liuhe Co., Ltd. Class A | 42,400 | 179,636 | |||
New Oriental Education & Technology Group, Inc. ADR (b) | 13,200 | 1,719,036 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 58,212 | |||
Ninestar Corp. Class A | 16,800 | 78,480 | |||
NIO, Inc. ADR (b) | 83,900 | 647,708 | |||
Niu Technologies ADR (b) | 2,700 | 43,200 | |||
Noah Holdings, Ltd. ADR (b)(c) | 3,100 | 78,957 | |||
NOVA Group Holdings, Ltd. (c) | 275,000 | 5,216 | |||
Oceanwide Holdings Co., Ltd. Class A | 115,300 | 61,785 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 59,913 | |||
OneSmart International Education Group, Ltd. ADR (b) | 6,800 | 26,724 | |||
Oppein Home Group, Inc. Class A | 4,500 | 74,018 | |||
Orient Securities Co., Ltd. Class A | 32,600 | 43,949 | |||
Oriental Pearl Group Co., Ltd. Class A | 58,423 | 80,073 | |||
Ovctek China, Inc. Class A | 3,300 | 32,391 | |||
People's Insurance Co. Group of China, Ltd. Class H | 953,000 | 279,469 | |||
Perfect World Co., Ltd. Class A | 7,100 | 58,174 | |||
PetroChina Co., Ltd. Class A | 124,800 | 74,208 | |||
PetroChina Co., Ltd. Class H | 1,918,000 | 641,365 | |||
PICC Property & Casualty Co., Ltd. Class H | 647,700 | 538,284 | |||
Pinduoduo, Inc. ADR (b) | 23,900 | 2,051,576 | |||
Ping An Bank Co., Ltd. Class A | 105,300 | 191,454 | |||
Ping An Healthcare and Technology Co., Ltd. (b)(c)(e) | 34,500 | 528,941 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 58,790 | 595,548 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 552,000 | 5,502,916 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 64,800 | 135,978 | |||
Poly Property Development Co., Ltd. Class H (c) | 8,000 | 81,029 | |||
Poly Property Group Co., Ltd. | 182,000 | 55,141 | |||
Postal Savings Bank of China Co., Ltd. Class H (e) | 914,000 | 526,668 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 69,926 |
Security Description | Shares | Value | |||
Q Technology Group Co., Ltd. | 28,000 | $ 36,881 | |||
Qudian, Inc. ADR (b)(c) | 11,600 | 19,720 | |||
Qutoutiao, Inc. ADR (b) | 5,100 | 15,198 | |||
Rongsheng Petro Chemical Co., Ltd. Class A | 28,600 | 50,013 | |||
Ronshine China Holdings, Ltd. | 54,500 | 48,357 | |||
SAIC Motor Corp., Ltd. Class A | 43,800 | 105,788 | |||
Sanan Optoelectronics Co., Ltd. Class A | 21,300 | 75,750 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 73,185 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 85,000 | 39,730 | |||
Sany Heavy Industry Co., Ltd. Class A | 34,900 | 93,173 | |||
Seazen Group, Ltd. | 230,000 | 199,717 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 61,712 | |||
Semiconductor Manufacturing International Corp. (b)(c) | 305,300 | 1,070,985 | |||
SF Holding Co., Ltd. Class A | 16,300 | 126,380 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 42,400 | 43,459 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 138,212 | |||
Shandong Gold Mining Co., Ltd. Class A | 12,000 | 63,118 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 72,424 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 17,000 | 80,809 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 232,000 | 518,024 | |||
Shanghai Baosight Software Co., Ltd. Class A | 21,401 | 180,260 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 39,956 | |||
Shanghai Electric Group Co., Ltd. Class H (b) | 358,000 | 102,097 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 10,900 | 52,145 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 66,000 | 221,270 | |||
Shanghai Greencourt Investment Group Co., Ltd. Class B (b) | 257,441 | 68,007 | |||
Shanghai Haixin Group Co. Class B | 7,900 | 2,297 | |||
Shanghai Industrial Urban Development Group, Ltd. | 53,000 | 6,131 | |||
Shanghai International Airport Co., Ltd. Class A | 5,200 | 53,143 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 120,227 |
Security Description | Shares | Value | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | $ 47,266 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 169,576 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 147,600 | 221,445 | |||
Shanghai Tunnel Engineering Co., Ltd. Class A | 200,000 | 160,540 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 54,531 | |||
Shanxi Meijin Energy Co., Ltd. Class A (b) | 34,400 | 30,757 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 6,400 | 131,603 | |||
Shanxi Xishan Coal & Electricity Power Co., Ltd. Class A | 129,480 | 69,026 | |||
Shenergy Co., Ltd. Class A | 156,400 | 131,002 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 132,323 | |||
Shennan Circuits Co., Ltd. Class A | 4,760 | 113,600 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 106,000 | 76,001 | |||
Shenzhen Energy Group Co., Ltd. Class A | 52,200 | 34,401 | |||
Shenzhen Expressway Co., Ltd. Class H | 64,000 | 65,035 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 2,627 | 83,356 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 20,500 | 110,621 | |||
Shenzhen Investment, Ltd. | 360,005 | 114,612 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,100 | 48,199 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 5,700 | 246,559 | |||
Shenzhou International Group Holdings, Ltd. | 72,700 | 883,835 | |||
Shui On Land, Ltd. | 328,000 | 55,304 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 100,818 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 31,178 | |||
Silergy Corp. | 6,000 | 393,050 | |||
SINA Corp. (b) | 5,800 | 208,278 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 71,238 | |||
Sinopec Engineering Group Co., Ltd. Class H | 140,500 | 60,328 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 65,704 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 322,000 | 77,534 | |||
Sinopharm Group Co., Ltd. Class H | 122,000 | 313,659 | |||
Sinotruk Hong Kong, Ltd. | 46,000 | 120,049 | |||
SITC International Holdings Co., Ltd. | 125,000 | 133,843 |
Security Description | Shares | Value | |||
SOHO China, Ltd. (b) | 353,000 | $ 124,705 | |||
Sohu.com, Ltd. ADR (b) | 8,000 | 73,680 | |||
Songcheng Performance Development Co., Ltd. Class A | 32,040 | 78,756 | |||
Spring Airlines Co., Ltd. Class A | 11,700 | 58,745 | |||
Sunac China Holdings, Ltd. | 236,000 | 998,755 | |||
Suncity Group Holdings, Ltd. (b) | 400,000 | 66,554 | |||
Suning.com Co., Ltd. Class A | 50,500 | 62,896 | |||
Sunny Optical Technology Group Co., Ltd. | 64,200 | 1,033,272 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 50,911 | |||
Suzhou Gold Mantis Construction Decoration Co., Ltd. Class A | 54,900 | 61,372 | |||
TAL Education Group ADR (b) | 35,600 | 2,434,328 | |||
TBEA Co., Ltd. Class A | 113,000 | 108,884 | |||
TCL Technology Group Corp Class A | 139,900 | 123,396 | |||
Tencent Holdings, Ltd. | 530,800 | 34,012,752 | |||
Tencent Music Entertainment Group ADR (b) | 33,400 | 449,564 | |||
Tianli Education International Holdings, Ltd. | 105,000 | 73,932 | |||
Tianneng Power International, Ltd. (c) | 62,000 | 106,330 | |||
Tingyi Cayman Islands Holding Corp. | 158,000 | 246,128 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 38,795 | |||
Tongcheng-Elong Holdings, Ltd. (b) | 60,000 | 108,956 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | 95,152 | |||
Topsports International Holdings, Ltd. (e) | 97,000 | 124,797 | |||
Towngas China Co., Ltd. | 90,310 | 40,961 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 52,241 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 189,448 | |||
Trip.com Group, Ltd. ADR (b) | 43,900 | 1,137,888 | |||
Tsingtao Brewery Co., Ltd. Class H | 38,000 | 283,602 | |||
Uni-President China Holdings, Ltd. | 138,000 | 138,043 | |||
Unisplendour Corp., Ltd. Class A | 9,200 | 56,320 | |||
Uxin, Ltd. ADR (b) | 11,700 | 16,731 | |||
Venustech Group, Inc. Class A | 10,200 | 60,881 | |||
Vipshop Holdings, Ltd. ADR (b) | 40,700 | 810,337 | |||
VSTECS Holdings, Ltd. | 136,000 | 73,512 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 162,221 | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,300 | 80,227 |
Security Description | Shares | Value | |||
Want Want China Holdings, Ltd. | 419,000 | $ 318,278 | |||
Weibo Corp. ADR (b)(c) | 5,110 | 171,696 | |||
Weichai Power Co., Ltd. Class A | 32,500 | 63,323 | |||
Weichai Power Co., Ltd. Class H | 169,000 | 318,420 | |||
Weifu High-Technology Group Co., Ltd. Class A | 52,900 | 155,528 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 90,908 | |||
Weimob, Inc. (b)(c)(e) | 113,000 | 142,898 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 34,560 | 107,008 | |||
Will Semiconductor, Ltd. Class A | 4,000 | 115,220 | |||
Wingtech Technology Co., Ltd. Class A (b) | 4,400 | 78,993 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 105,169 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 23,800 | 99,046 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 11,500 | 76,412 | |||
Wuliangye Yibin Co., Ltd. Class A | 21,100 | 513,126 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 12,400 | 44,059 | |||
WuXi AppTec Co., Ltd. Class A | 11,200 | 153,121 | |||
WuXi AppTec Co., Ltd. Class H (e) | 22,736 | 296,926 | |||
Wuxi Biologics Cayman, Inc. (b)(e) | 83,500 | 1,532,703 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 14,800 | 97,142 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 94,519 | |||
Xiamen C & D, Inc. Class A | 72,000 | 82,753 | |||
Xiaomi Corp. Class B (b)(e) | 944,600 | 1,569,701 | |||
Xinhu Zhongbao Co., Ltd. Class A | 172,300 | 73,044 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 115,200 | 99,124 | |||
Xinyi Solar Holdings, Ltd. | 332,636 | 319,876 | |||
Yadea Group Holdings, Ltd. (b)(e) | 98,000 | 67,187 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 225,300 | 151,513 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | 51,766 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 143,095 | |||
Yealink Network Technology Corp., Ltd. Class A | 8,400 | 81,564 | |||
YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H (c)(e) | 22,000 | 45,154 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 5,320 | 68,684 |
Security Description | Shares | Value | |||
Yihai International Holding, Ltd. | 45,000 | $ 463,730 | |||
Yintech Investment Holdings, Ltd. ADR | 2,000 | 12,060 | |||
Yonghui Superstores Co., Ltd. Class A | 51,900 | 69,058 | |||
Yonyou Network Technology Co., Ltd. Class A | 20,930 | 131,228 | |||
Yum China Holdings, Inc. | 33,300 | 1,600,731 | |||
Yunda Holding Co., Ltd. Class A | 18,850 | 65,523 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 6,900 | 91,873 | |||
Yuzhou Properties Co., Ltd. | 264,657 | 115,306 | |||
Zai Lab, Ltd. ADR (b) | 4,800 | 394,224 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 3,300 | 79,774 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 95,000 | 112,834 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 8,260 | 89,089 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 122,150 | |||
Zhejiang NHU Co., Ltd. Class A | 11,700 | 48,354 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | 109,232 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 35,800 | 61,971 | |||
Zhenro Properties Group, Ltd. | 120,000 | 75,263 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (b)(e) | 23,300 | 116,224 | |||
Zhongjin Gold Corp., Ltd. Class A | 37,500 | 49,019 | |||
Zhongsheng Group Holdings, Ltd. | 51,500 | 288,027 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 61,000 | 156,430 | |||
Zijin Mining Group Co., Ltd. Class A | 106,600 | 67,295 | |||
Zijin Mining Group Co., Ltd. Class H | 684,000 | 323,141 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 87,400 | 79,898 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H (b) | 108,800 | 84,239 | |||
ZTE Corp. Class A (b) | 14,900 | 84,935 | |||
ZTE Corp. Class H | 73,400 | 226,549 | |||
ZTO Express Cayman, Inc. ADR | 34,700 | 1,273,837 | |||
216,789,968 | |||||
COLOMBIA — 0.0% (a) | |||||
Bancolombia SA ADR | 500 | 13,155 | |||
Bancolombia SA | 17,669 | 113,406 | |||
Bancolombia SA Preference Shares | 45,715 | 301,973 | |||
Cementos Argos SA | 35,710 | 32,470 |
Security Description | Shares | Value | |||
Ecopetrol SA ADR (c) | 700 | $ 7,791 | |||
Ecopetrol SA | 462,200 | 256,484 | |||
Frontera Energy Corp. | 6,300 | 15,727 | |||
Grupo Argos SA | 22,062 | 58,410 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 123,571 | |||
Interconexion Electrica SA ESP | 32,243 | 162,108 | |||
1,085,095 | |||||
CZECH REPUBLIC — 0.0% (a) | |||||
CEZ A/S (c) | 15,240 | 326,350 | |||
Komercni banka A/S (b) | 6,779 | 158,145 | |||
Moneta Money Bank A/S (e) | 69,836 | 158,182 | |||
642,677 | |||||
DENMARK — 1.4% | |||||
ALK-Abello A/S (b) | 530 | 141,800 | |||
Alm Brand A/S (b) | 10,321 | 96,570 | |||
Ambu A/S Class B | 14,452 | 456,623 | |||
AP Moller - Maersk A/S Class A | 524 | 572,673 | |||
AP Moller - Maersk A/S Class B | 592 | 693,467 | |||
Bavarian Nordic A/S (b) | 9,501 | 260,294 | |||
Carlsberg A/S Class B | 9,521 | 1,261,906 | |||
Chr. Hansen Holding A/S | 9,383 | 967,311 | |||
Coloplast A/S Class B | 10,746 | 1,674,086 | |||
Danske Bank A/S (b) | 61,192 | 817,617 | |||
Demant A/S (b)(c) | 11,770 | 311,756 | |||
Dfds A/S (b) | 1,683 | 52,209 | |||
Drilling Co. of 1972 A/S (b) | 3,800 | 80,531 | |||
DSV Panalpina A/S | 19,132 | 2,348,856 | |||
FLSmidth & Co. A/S (b) | 5,396 | 156,871 | |||
Genmab A/S (b) | 5,803 | 1,955,714 | |||
GN Store Nord A/S | 11,749 | 628,601 | |||
H Lundbeck A/S | 7,583 | 286,370 | |||
ISS A/S (b) | 13,367 | 212,137 | |||
Jyske Bank A/S (b) | 5,905 | 173,668 | |||
Matas A/S | 12,409 | 110,048 | |||
Netcompany Group A/S (b)(e) | 2,124 | 139,232 | |||
Nilfisk Holding A/S (b) | 3,415 | 47,178 | |||
NKT A/S (b) | 3,679 | 82,475 | |||
NNIT A/S (e) | 5,944 | 105,158 | |||
Novo Nordisk A/S Class B | 164,282 | 10,697,036 | |||
Novozymes A/S Class B | 20,259 | 1,173,923 | |||
Orsted A/S (e) | 17,112 | 1,973,723 | |||
Pandora A/S | 10,220 | 557,870 | |||
Per Aarsleff Holding A/S | 2,547 | 91,739 | |||
Ringkjoebing Landbobank A/S | 2,371 | 167,889 | |||
Rockwool International A/S Class B | 777 | 211,354 | |||
Royal Unibrew A/S (b) | 4,532 | 377,599 | |||
Scandinavian Tobacco Group A/S Class A (e) | 5,880 | 86,783 | |||
Schouw & Co. A/S | 1,823 | 145,562 | |||
SimCorp A/S | 3,736 | 403,847 | |||
Spar Nord Bank A/S | 10,370 | 82,604 | |||
Sydbank A/S (b) | 6,778 | 125,689 |
Security Description | Shares | Value | |||
Topdanmark A/S | 3,632 | $ 150,366 | |||
Tryg A/S | 10,908 | 316,760 | |||
Vestas Wind Systems A/S | 17,667 | 1,808,209 | |||
Zealand Pharma A/S (b) | 2,577 | 88,982 | |||
32,093,086 | |||||
EGYPT — 0.0% (a) | |||||
Centamin PLC | 99,056 | 225,474 | |||
Commercial International Bank Egypt SAE | 137,796 | 551,370 | |||
Eastern Co SAE | 112,565 | 89,192 | |||
ElSewedy Electric Co. | 69,110 | 28,513 | |||
894,549 | |||||
FAEROE ISLANDS — 0.0% (a) | |||||
Bakkafrost P/F (b) | 4,504 | 284,134 | |||
FINLAND — 0.8% | |||||
Aktia Bank Oyj (b) | 4,717 | 46,799 | |||
Cargotec Oyj Class B | 3,763 | 87,836 | |||
Caverion Oyj (b) | 6,815 | 46,177 | |||
Citycon Oyj (c) | 6,474 | 45,125 | |||
Elisa Oyj | 12,933 | 786,748 | |||
Finnair Oyj (c) | 9,027 | 8,033 | |||
Fortum Oyj | 40,673 | 775,723 | |||
F-Secure Oyj (b) | 14,547 | 46,982 | |||
Huhtamaki Oyj (b) | 8,479 | 335,332 | |||
Kemira Oyj | 15,042 | 194,136 | |||
Kesko Oyj Class B | 23,748 | 406,376 | |||
Kone Oyj Class B | 30,906 | 2,130,904 | |||
Konecranes Oyj | 5,741 | 130,234 | |||
Metsa Board Oyj | 21,619 | 146,703 | |||
Metso Oyj | 10,362 | 340,426 | |||
Neste Oyj | 38,469 | 1,510,440 | |||
Nokia Oyj (d) | 500,526 | 2,186,550 | |||
Nokia Oyj (d) | 12,368 | 53,901 | |||
Nokian Renkaat Oyj (c) | 14,145 | 310,830 | |||
Nordea Bank Abp (b) | 296,484 | 2,056,549 | |||
Nordea Bank Abp (b) | 4,394 | 30,380 | |||
Orion Oyj Class B | 10,056 | 487,507 | |||
Outokumpu Oyj (b) | 29,062 | 83,192 | |||
Outotec Oyj | 13,108 | 72,662 | |||
Sampo Oyj Class A | 44,468 | 1,532,325 | |||
Sanoma Oyj | 6,693 | 67,849 | |||
Stora Enso Oyj Class R | 52,898 | 632,956 | |||
TietoEVRY Oyj (b) | 7,924 | 216,849 | |||
Tokmanni Group Corp. | 6,629 | 98,314 | |||
UPM-Kymmene Oyj | 48,533 | 1,405,306 | |||
Uponor Oyj | 8,507 | 115,172 | |||
Valmet Oyj | 13,607 | 356,526 | |||
Wartsila OYJ Abp | 39,085 | 324,112 | |||
YIT Oyj | 22,823 | 124,529 | |||
17,193,483 | |||||
FRANCE — 6.1% | |||||
ABC arbitrage | 11,541 | 88,662 | |||
Accor SA (b) | 15,879 | 433,229 |
Security Description | Shares | Value | |||
Adevinta ASA (b) | 21,799 | $ 220,140 | |||
Aeroports de Paris | 3,037 | 313,444 | |||
Air France-KLM (b)(c) | 17,448 | 79,225 | |||
Air Liquide SA | 43,928 | 6,349,428 | |||
Airbus SE (b) | 54,197 | 3,882,212 | |||
Akka Technologies (b)(c) | 1,111 | 35,925 | |||
Albioma SA | 2,408 | 99,510 | |||
ALD SA (c)(e) | 10,890 | 108,093 | |||
Alstom SA | 17,246 | 803,429 | |||
Alten SA (b) | 2,626 | 226,836 | |||
Amundi SA (b)(e) | 6,238 | 490,238 | |||
Arkema SA | 6,828 | 656,130 | |||
Atos SE (b) | 8,890 | 761,930 | |||
AXA SA (c) | 178,317 | 3,751,142 | |||
Beneteau SA | 8,515 | 60,896 | |||
BioMerieux | 3,714 | 509,901 | |||
BNP Paribas SA (b) | 103,639 | 4,139,504 | |||
Bollore SA | 103,643 | 326,930 | |||
Bonduelle SCA | 1,324 | 31,897 | |||
Bouygues SA (b) | 20,257 | 693,677 | |||
Bureau Veritas SA (b) | 26,573 | 563,423 | |||
Capgemini SE | 15,248 | 1,759,094 | |||
Carmila SA REIT | 4,324 | 59,485 | |||
Carrefour SA (c) | 55,312 | 857,514 | |||
Casino Guichard Perrachon SA | 4,904 | 181,628 | |||
Cellectis SA (b) | 6,927 | 124,061 | |||
CGG SA (b) | 58,359 | 64,440 | |||
Chargeurs SA | 4,682 | 70,805 | |||
Cie de Saint-Gobain (b) | 47,285 | 1,705,556 | |||
Cie Generale des Etablissements Michelin SCA (c) | 15,875 | 1,654,184 | |||
Cie Plastic Omnium SA | 5,376 | 110,101 | |||
CNP Assurances (b) | 17,239 | 199,883 | |||
Coface SA (b) | 8,251 | 54,427 | |||
Covivio REIT | 4,729 | 342,904 | |||
Credit Agricole SA (b) | 107,227 | 1,017,876 | |||
Cromwell European Real Estate Investment Trust | 117,300 | 55,736 | |||
Danone SA | 57,345 | 3,979,258 | |||
Dassault Aviation SA (b) | 263 | 241,227 | |||
Dassault Systemes SE | 12,453 | 2,161,079 | |||
DBV Technologies SA (b) | 3,450 | 30,679 | |||
Derichebourg SA | 21,744 | 62,626 | |||
Devoteam SA | 452 | 37,256 | |||
Edenred | 22,413 | 982,686 | |||
Eiffage SA (b) | 7,045 | 645,590 | |||
Electricite de France SA | 55,197 | 513,011 | |||
Elior Group SA (e) | 8,872 | 50,742 | |||
Elis SA (b) | 16,014 | 187,822 | |||
Engie SA | 173,077 | 2,145,820 | |||
Eramet (b) | 843 | 30,394 | |||
EssilorLuxottica SA (b) | 26,185 | 3,366,561 | |||
Eurazeo SE (b) | 5,311 | 272,825 | |||
Eutelsat Communications SA | 21,173 | 195,796 | |||
Faurecia SE (b) | 6,867 | 269,711 | |||
FFP | 451 | 34,020 |
Security Description | Shares | Value | |||
Fnac Darty SA (b) | 1,174 | $ 48,743 | |||
Gaztransport Et Technigaz SA | 2,012 | 154,349 | |||
Gecina SA REIT | 4,139 | 511,037 | |||
Genfit (b)(c) | 3,337 | 18,909 | |||
Getlink SE | 39,801 | 575,372 | |||
Hermes International | 2,934 | 2,462,642 | |||
ICADE REIT | 2,766 | 193,084 | |||
ID Logistics Group (b) | 230 | 44,632 | |||
Iliad SA | 1,477 | 288,235 | |||
Imerys SA | 2,415 | 82,896 | |||
Ingenico Group SA (b) | 5,475 | 879,418 | |||
Innate Pharma SA (b) | 9,314 | 58,304 | |||
Interparfums SA (b) | 1,283 | 57,604 | |||
Ipsen SA | 3,412 | 289,355 | |||
IPSOS | 5,617 | 141,561 | |||
JCDecaux SA (b) | 7,931 | 148,108 | |||
Kaufman & Broad SA | 1,893 | 65,508 | |||
Kering SA | 6,976 | 3,812,724 | |||
Klepierre SA REIT | 17,909 | 357,868 | |||
Korian SA (b) | 5,645 | 207,125 | |||
La Francaise des Jeux SAEM (e) | 7,960 | 245,952 | |||
Lagardere SCA (b) | 4,745 | 67,768 | |||
Legrand SA | 25,385 | 1,928,214 | |||
LISI (b) | 1,713 | 35,781 | |||
L'Oreal SA (b) | 23,321 | 7,524,426 | |||
LVMH Moet Hennessy Louis Vuitton SE | 25,815 | 11,393,646 | |||
Maisons du Monde SA (e) | 4,452 | 58,759 | |||
Mercialys SA REIT | 4,163 | 34,889 | |||
Mersen SA | 1,410 | 33,821 | |||
Metropole Television SA (b) | 2,287 | 25,862 | |||
Natixis SA (b) | 85,566 | 225,613 | |||
Nexans SA (b) | 3,423 | 159,210 | |||
Nexity SA | 5,241 | 170,424 | |||
Orange SA | 184,526 | 2,205,867 | |||
Orpea | 4,990 | 576,182 | |||
Pernod Ricard SA | 19,609 | 3,086,797 | |||
Peugeot SA (b) | 56,232 | 921,868 | |||
Publicis Groupe SA | 19,574 | 635,664 | |||
Quadient | 3,126 | 45,673 | |||
Remy Cointreau SA (c) | 2,041 | 278,359 | |||
Renault SA (b) | 17,388 | 444,883 | |||
Rexel SA | 22,007 | 252,147 | |||
Rubis SCA | 8,148 | 392,706 | |||
Safran SA (b) | 30,213 | 3,038,219 | |||
Sanofi | 104,724 | 10,676,908 | |||
Sartorius Stedim Biotech | 2,502 | 634,153 | |||
Schneider Electric SE | 51,343 | 5,709,444 | |||
SCOR SE (b) | 14,101 | 389,324 | |||
SEB SA | 2,048 | 339,615 | |||
Societe BIC SA | 2,422 | 123,287 | |||
Societe Generale SA (b) | 78,190 | 1,306,905 | |||
Sodexo SA | 8,003 | 542,498 | |||
SOITEC (b) | 1,918 | 213,593 | |||
Sopra Steria Group | 1,726 | 213,457 | |||
SPIE SA | 12,511 | 187,933 |
Security Description | Shares | Value | |||
Suez SA | 29,919 | $ 351,547 | |||
Tarkett SA (b) | 2,965 | 34,615 | |||
Teleperformance | 5,453 | 1,388,348 | |||
Thales SA | 10,000 | 809,102 | |||
TOTAL SA | 228,909 | 8,823,621 | |||
Trigano SA | 508 | 53,440 | |||
Ubisoft Entertainment SA (b) | 8,036 | 665,257 | |||
Unibail-Rodamco-Westfield | 34,100 | 96,959 | |||
Unibail-Rodamco-Westfield REIT (c) | 11,291 | 636,239 | |||
Valeo SA | 21,804 | 574,909 | |||
Vallourec SA (b)(c) | 715 | 30,145 | |||
Veolia Environnement SA | 49,310 | 1,113,130 | |||
Verallia SASU (e) | 3,512 | 100,792 | |||
Vicat SA | 1,828 | 56,153 | |||
Vilmorin & Cie SA | 622 | 32,939 | |||
Vinci SA | 47,774 | 4,428,380 | |||
Virbac SA (b) | 319 | 69,902 | |||
Vivendi SA | 78,518 | 2,028,249 | |||
Wendel SE | 2,944 | 280,881 | |||
Worldline SA (b)(e) | 12,721 | 1,108,792 | |||
135,291,319 | |||||
GERMANY — 5.6% | |||||
Aareal Bank AG (b) | 7,346 | 143,469 | |||
Adidas AG (b) | 17,750 | 4,678,358 | |||
ADO Properties SA (e) | 6,347 | 173,064 | |||
ADVA Optical Networking SE (b) | 10,788 | 71,468 | |||
AIXTRON SE (b) | 9,176 | 110,619 | |||
Allianz SE | 38,654 | 7,896,188 | |||
alstria office REIT-AG | 13,655 | 203,167 | |||
Amadeus Fire AG (b) | 685 | 85,004 | |||
Aroundtown SA (b) | 113,291 | 649,160 | |||
AURELIUS Equity Opportunities SE & Co. KGaA | 1,948 | 32,328 | |||
Aurubis AG | 2,664 | 164,634 | |||
BASF SE | 85,294 | 4,789,412 | |||
Bayer AG | 91,233 | 6,760,403 | |||
Bayerische Motoren Werke AG | 30,436 | 1,942,449 | |||
Bayerische Motoren Werke AG Preference Shares | 5,144 | 249,802 | |||
BayWa AG | 2,500 | 80,800 | |||
Bechtle AG | 2,771 | 490,981 | |||
Beiersdorf AG | 9,118 | 1,036,523 | |||
Bertrandt AG | 1,559 | 61,460 | |||
bet-at-home.com AG | 1,390 | 60,295 | |||
Bilfinger SE | 1,869 | 35,791 | |||
Borussia Dortmund GmbH & Co. KGaA | 6,662 | 43,174 | |||
Brenntag AG | 13,976 | 740,778 | |||
CANCOM SE | 2,853 | 152,042 | |||
Carl Zeiss Meditec AG | 3,641 | 354,422 | |||
CECONOMY AG (b) | 13,285 | 46,338 | |||
Cewe Stiftung & Co. KGaA | 785 | 86,777 | |||
Commerzbank AG (b) | 90,628 | 403,791 |
Security Description | Shares | Value | |||
CompuGroup Medical SE & Co. KgaA | 2,805 | $ 220,688 | |||
Continental AG (b) | 10,290 | 1,011,308 | |||
Corestate Capital Holding SA (b) | 2,251 | 45,756 | |||
Covestro AG (b)(e) | 15,726 | 598,789 | |||
CropEnergies AG | 4,161 | 41,861 | |||
CTS Eventim AG & Co. KGaA (b) | 5,210 | 217,481 | |||
Daimler AG | 84,590 | 3,440,377 | |||
Delivery Hero SE (b)(e) | 12,122 | 1,245,357 | |||
Dermapharm Holding SE | 1,218 | 60,459 | |||
Deutsche Bank AG (b) | 184,037 | 1,755,183 | |||
Deutsche Beteiligungs AG | 1,870 | 63,479 | |||
Deutsche Boerse AG | 17,682 | 3,199,034 | |||
Deutsche EuroShop AG (b) | 3,832 | 54,137 | |||
Deutsche Lufthansa AG (b)(c) | 20,261 | 203,205 | |||
Deutsche Pfandbriefbank AG (b)(e) | 12,164 | 88,975 | |||
Deutsche Post AG | 92,059 | 3,379,341 | |||
Deutsche Telekom AG | 309,520 | 5,191,892 | |||
Deutsche Wohnen SE | 33,405 | 1,500,607 | |||
Deutz AG (b) | 12,501 | 58,808 | |||
DIC Asset AG | 5,992 | 80,477 | |||
Draegerwerk AG & Co. KGaA Preference Shares | 947 | 77,471 | |||
Duerr AG | 4,695 | 122,516 | |||
E.ON SE | 209,393 | 2,362,824 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 397 | 66,468 | |||
Encavis AG | 7,690 | 112,008 | |||
Evonik Industries AG | 20,987 | 534,372 | |||
Evotec SE (b) | 12,890 | 351,714 | |||
Flatex AG (b) | 2,461 | 125,493 | |||
Fraport AG Frankfurt Airport Services Worldwide (b) | 4,505 | 197,280 | |||
Freenet AG | 11,584 | 185,968 | |||
Fresenius Medical Care AG & Co. KGaA | 19,988 | 1,719,029 | |||
Fresenius SE & Co. KGaA | 39,028 | 1,939,199 | |||
Fuchs Petrolub SE Preference Shares | 5,675 | 228,029 | |||
GEA Group AG | 15,758 | 499,976 | |||
Gerresheimer AG | 3,436 | 317,440 | |||
Grand City Properties SA | 10,631 | 245,800 | |||
GRENKE AG | 2,516 | 195,109 | |||
Hamborner REIT AG | 12,734 | 124,859 | |||
Hamburger Hafen und Logistik AG | 2,218 | 37,655 | |||
Hannover Rueck SE | 5,454 | 942,289 | |||
HeidelbergCement AG | 13,461 | 720,366 | |||
HelloFresh SE (b) | 12,377 | 661,900 | |||
Henkel AG & Co. KGaA Preference Shares | 16,330 | 1,523,012 | |||
Henkel AG & Co. KGaA | 9,400 | 786,162 | |||
HOCHTIEF AG | 2,491 | 221,579 |
Security Description | Shares | Value | |||
Hornbach Holding AG & Co. KGaA | 1,214 | $ 100,620 | |||
HUGO BOSS AG | 6,469 | 195,987 | |||
Hypoport AG (b) | 274 | 121,847 | |||
Indus Holding AG | 1,771 | 59,785 | |||
Infineon Technologies AG | 116,160 | 2,721,035 | |||
Jenoptik AG | 4,194 | 97,949 | |||
JOST Werke AG (e) | 3,047 | 102,838 | |||
Jungheinrich AG Preference Shares | 3,727 | 87,602 | |||
K+S AG | 17,314 | 109,713 | |||
KION Group AG | 6,763 | 416,267 | |||
Kloeckner & Co. SE (b) | 12,637 | 69,238 | |||
Knorr-Bremse AG | 4,375 | 443,862 | |||
Koenig & Bauer AG (b) | 1,881 | 42,118 | |||
Krones AG | 2,176 | 139,708 | |||
KWS SAA t SE & Co. KGaA | 1,045 | 78,285 | |||
LANXESS AG | 7,715 | 407,854 | |||
LEG Immobilien AG | 6,184 | 784,107 | |||
Merck KGaA | 11,812 | 1,375,054 | |||
METRO AG | 13,930 | 132,157 | |||
MLP SE | 12,808 | 78,626 | |||
MorphoSys AG (b) | 2,888 | 366,047 | |||
MTU Aero Engines AG (b) | 4,731 | 823,413 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 13,424 | 3,494,452 | |||
Nemetschek SE | 5,224 | 358,841 | |||
New Work SE | 256 | 78,933 | |||
Nordex SE (b) | 6,238 | 62,298 | |||
Norma Group SE | 2,753 | 73,667 | |||
OSRAM Licht AG (b) | 2,290 | 108,879 | |||
OSRAM Licht AG (b) | 7,441 | 340,980 | |||
PATRIZIA AG | 3,685 | 89,357 | |||
Pfeiffer Vacuum Technology AG | 515 | 95,069 | |||
Porsche Automobil Holding SE Preference Shares | 13,851 | 801,982 | |||
ProSiebenSat.1 Media SE (b) | 21,077 | 251,796 | |||
Puma SE (b) | 7,504 | 581,641 | |||
Rational AG | 264 | 147,896 | |||
Rheinmetall AG | 3,940 | 342,269 | |||
RHOEN-KLINIKUM AG | 3,335 | 68,033 | |||
RIB Software SE | 3,613 | 117,680 | |||
Rocket Internet SE (b)(e) | 6,137 | 132,183 | |||
RWE AG | 54,642 | 1,912,260 | |||
Salzgitter AG (b) | 3,534 | 49,712 | |||
SAP SE | 97,266 | 13,592,525 | |||
Sartorius AG Preference Shares | 3,303 | 1,089,809 | |||
Scout24 AG (e) | 9,733 | 752,786 | |||
Siemens AG | 70,899 | 8,359,021 | |||
Siemens Healthineers AG (e) | 13,930 | 669,380 | |||
Siltronic AG | 1,900 | 194,773 | |||
Sirius Real Estate, Ltd. | 127,528 | 120,785 | |||
Sixt Leasing SE | 5,269 | 99,647 | |||
Sixt SE (b) | 867 | 66,546 | |||
Sixt SE Preference Shares | 2,921 | 152,086 |
Security Description | Shares | Value | |||
SMA Solar Technology AG (b) | 2,210 | $ 68,557 | |||
Software AG | 3,730 | 150,609 | |||
Softwareone Holding AG | 4,570 | 113,840 | |||
Stabilus SA | 2,256 | 118,370 | |||
STO SE & Co. KGaA Preference Shares | 608 | 68,970 | |||
STRATEC SE | 869 | 85,122 | |||
Stroeer SE & Co. KGaA (b) | 2,557 | 172,498 | |||
Suedzucker AG | 6,464 | 101,987 | |||
Symrise AG | 11,948 | 1,395,649 | |||
TAG Immobilien AG | 11,927 | 284,776 | |||
Takkt AG | 5,349 | 54,760 | |||
TeamViewer AG (b)(e) | 12,501 | 682,368 | |||
Telefonica Deutschland Holding AG | 77,839 | 229,490 | |||
Thyssenkrupp AG (b) | 37,577 | 268,001 | |||
TUI AG | 34,483 | 162,947 | |||
Uniper SE | 18,207 | 587,341 | |||
United Internet AG | 9,839 | 417,900 | |||
Varta AG (b) | 991 | 111,796 | |||
VERBIO Vereinigte BioEnergie AG | 7,261 | 75,996 | |||
Volkswagen AG | 3,719 | 600,274 | |||
Volkswagen AG Preference Shares | 17,287 | 2,626,806 | |||
Vonovia SE | 47,996 | 2,932,748 | |||
Vossloh AG (b) | 1,786 | 78,309 | |||
Wacker Chemie AG | 1,482 | 101,869 | |||
Wacker Neuson SE | 5,915 | 89,529 | |||
Washtec AG | 1,430 | 58,913 | |||
Wuestenrot & Wuerttembergische AG | 2,120 | 36,115 | |||
Zalando SE (b)(e) | 14,425 | 1,022,998 | |||
zooplus AG (b) | 679 | 111,494 | |||
124,067,859 | |||||
GREECE — 0.1% | |||||
Aegean Airlines SA | 8,153 | 36,634 | |||
Alpha Bank AE (b) | 126,379 | 94,910 | |||
Eurobank Ergasias Services and Holdings SA Class A (b) | 237,936 | 110,145 | |||
FF Group (b)(f) | 122 | 66 | |||
GEK Terna Holding Real Estate Construction SA (b) | 9,885 | 67,169 | |||
Hellenic Exchanges - Athens Stock Exchange SA | 14,327 | 51,099 | |||
Hellenic Telecommunications Organization SA | 20,338 | 274,640 | |||
Holding Co. ADMIE IPTO SA | 31,100 | 80,073 | |||
JUMBO SA | 9,840 | 176,829 | |||
LAMDA Development SA (b) | 12,062 | 81,325 | |||
Motor Oil Hellas Corinth Refineries SA | 5,457 | 75,358 | |||
Mytilineos SA | 11,055 | 90,979 | |||
National Bank of Greece SA (b) | 54,691 | 77,368 | |||
OPAP SA | 18,404 | 175,334 | |||
Piraeus Bank SA (b) | 26,546 | 47,142 |
Security Description | Shares | Value | |||
Public Power Corp. SA (b) | 11,042 | $ 43,246 | |||
Terna Energy SA | 8,992 | 97,065 | |||
1,579,382 | |||||
HONG KONG — 2.5% | |||||
AIA Group, Ltd. | 1,106,200 | 10,351,444 | |||
Alibaba Pictures Group, Ltd. (b)(c) | 1,680,000 | 224,914 | |||
Apollo Future Mobility Group, Ltd. (b) | 1,040,000 | 65,169 | |||
ASM Pacific Technology, Ltd. | 27,600 | 291,678 | |||
Bank of East Asia, Ltd. | 126,340 | 289,610 | |||
Bosideng International Holdings, Ltd. | 324,000 | 100,882 | |||
Budweiser Brewing Co. APAC, Ltd. (e) | 140,700 | 411,892 | |||
Cafe de Coral Holdings, Ltd. | 26,000 | 54,048 | |||
Champion REIT | 192,000 | 100,288 | |||
China Everbright, Ltd. | 90,000 | 131,119 | |||
China Gas Holdings, Ltd. | 239,400 | 741,634 | |||
China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A | 76,000 | 53,628 | |||
China Huishan Dairy Holdings Co., Ltd. (b)(f) | 66,000 | — | |||
China Mobile, Ltd. | 566,000 | 3,821,687 | |||
China Resources Cement Holdings, Ltd. | 276,000 | 340,399 | |||
China Resources Land, Ltd. | 289,333 | 1,105,894 | |||
China State Construction International Holdings, Ltd. | 230,750 | 135,567 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 238,000 | 115,135 | |||
China Water Affairs Group, Ltd. | 126,000 | 91,145 | |||
China Youzan, Ltd. (b)(c) | 1,120,000 | 186,374 | |||
Chow Sang Sang Holdings International, Ltd. | 60,000 | 63,814 | |||
Citychamp Watch & Jewellery Group, Ltd. (b) | 286,000 | 57,197 | |||
CK Asset Holdings, Ltd. | 235,024 | 1,409,399 | |||
CK Hutchison Holdings, Ltd. | 244,024 | 1,580,209 | |||
CK Infrastructure Holdings, Ltd. | 57,000 | 294,649 | |||
CLP Holdings, Ltd. | 148,500 | 1,458,463 | |||
Comba Telecom Systems Holdings, Ltd. | 134,000 | 55,061 | |||
Dah Sing Banking Group, Ltd. | 38,000 | 34,871 | |||
Dah Sing Financial Holdings, Ltd. | 13,200 | 37,160 | |||
Dairy Farm International Holdings, Ltd. | 30,600 | 142,985 | |||
Fairwood Holdings, Ltd. (c) | 25,500 | 57,149 | |||
Far East Consortium International, Ltd. | 108,000 | 35,408 | |||
First Pacific Co., Ltd. | 386,000 | 74,059 | |||
Galaxy Entertainment Group, Ltd. | 205,000 | 1,406,257 | |||
Guangdong Investment, Ltd. | 256,000 | 441,574 |
Security Description | Shares | Value | |||
Guotai Junan International Holdings, Ltd. | 261,000 | $ 34,251 | |||
Haier Electronics Group Co., Ltd. | 117,000 | 356,208 | |||
Haitong International Securities Group, Ltd. (c) | 379,000 | 90,966 | |||
Hang Lung Group, Ltd. | 83,000 | 194,237 | |||
Hang Lung Properties, Ltd. | 203,000 | 482,590 | |||
Hang Seng Bank, Ltd. | 69,200 | 1,165,492 | |||
Henderson Land Development Co., Ltd. | 130,466 | 497,561 | |||
HK Electric Investments & HK Electric Investments, Ltd. Class SS, Stapled Security | 246,664 | 256,209 | |||
HKBN, Ltd. | 64,000 | 112,229 | |||
HKT Trust & HKT, Ltd. Stapled Security | 342,000 | 501,877 | |||
Hong Kong & China Gas Co., Ltd. | 964,430 | 1,498,896 | |||
Hong Kong Exchanges & Clearing, Ltd. | 111,761 | 4,760,121 | |||
Hongkong & Shanghai Hotels Ltd | 37,000 | 33,543 | |||
Hongkong Land Holdings, Ltd. | 115,800 | 481,673 | |||
Hutchison China MediTech, Ltd. ADR (b) | 6,400 | 176,512 | |||
Hutchison Port Holdings Trust Stapled Security | 472,800 | 45,563 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 346,000 | 55,166 | |||
Hysan Development Co., Ltd. | 67,000 | 216,293 | |||
Jardine Matheson Holdings, Ltd. | 19,900 | 832,036 | |||
Jardine Strategic Holdings, Ltd. | 19,900 | 429,265 | |||
Jiayuan International Group, Ltd. | 108,000 | 44,670 | |||
Johnson Electric Holdings, Ltd. | 52,500 | 93,373 | |||
K Wah International Holdings, Ltd. | 113,000 | 48,942 | |||
Kerry Properties, Ltd. | 75,500 | 196,122 | |||
Kingboard Holdings, Ltd. | 88,000 | 229,699 | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | 115,208 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 84,792 | |||
Lifestyle International Holdings, Ltd. | 41,000 | 33,837 | |||
Link REIT | 195,300 | 1,603,455 | |||
Luk Fook Holdings International, Ltd. | 35,000 | 76,093 | |||
Man Wah Holdings, Ltd. | 143,200 | 137,914 | |||
Mandarin Oriental International, Ltd. | 28,600 | 43,331 | |||
Melco International Development, Ltd. | 62,000 | 120,882 | |||
Melco Resorts & Entertainment, Ltd. ADR | 20,230 | 313,970 | |||
MTR Corp., Ltd. | 137,381 | 714,488 |
Security Description | Shares | Value | |||
NetDragon Websoft Holdings, Ltd. | 19,000 | $ 53,578 | |||
New World Development Co., Ltd. | 147,581 | 700,731 | |||
Nine Dragons Paper Holdings, Ltd. | 191,000 | 174,632 | |||
Nissin Foods Co., Ltd. | 76,000 | 61,354 | |||
NWS Holdings, Ltd. | 158,968 | 138,279 | |||
Pacific Basin Shipping, Ltd. | 439,000 | 64,540 | |||
Pacific Textiles Holdings, Ltd. | 85,000 | 41,201 | |||
PCCW, Ltd. | 452,000 | 258,439 | |||
Power Assets Holdings, Ltd. | 125,500 | 685,744 | |||
Prosperity REIT | 191,000 | 56,998 | |||
Sands China, Ltd. | 238,800 | 940,696 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 81,864 | |||
Shangri-La Asia, Ltd. | 76,000 | 65,672 | |||
Shenzhen International Holdings, Ltd. | 118,746 | 190,084 | |||
Shimao Group Holdings, Ltd. | 111,500 | 476,695 | |||
Shun Tak Holdings, Ltd. | 122,000 | 45,679 | |||
Sino Biopharmaceutical, Ltd. | 620,000 | 1,168,580 | |||
Sino Land Co., Ltd. | 268,965 | 340,296 | |||
SJM Holdings, Ltd. | 179,000 | 200,684 | |||
SSY Group, Ltd. | 204,000 | 139,764 | |||
Sun Art Retail Group, Ltd. | 251,500 | 431,482 | |||
Sun Hung Kai Properties, Ltd. | 144,000 | 1,839,645 | |||
SUNeVision Holdings, Ltd. | 63,000 | 49,604 | |||
Sunlight Real Estate Investment Trust | 122,000 | 60,821 | |||
Swire Pacific, Ltd. Class A | 51,000 | 271,055 | |||
Swire Properties, Ltd. | 119,800 | 305,872 | |||
Techtronic Industries Co., Ltd. | 122,500 | 1,212,090 | |||
Television Broadcasts, Ltd. | 29,700 | 34,616 | |||
TIMES NEIGHBORHOOD | 42,000 | 57,426 | |||
United Laboratories International Holdings, Ltd. | 60,000 | 51,961 | |||
Value Partners Group, Ltd. | 187,000 | 95,328 | |||
Vinda International Holdings, Ltd. | 38,000 | 136,508 | |||
Vitasoy International Holdings, Ltd. | 74,000 | 284,436 | |||
VTech Holdings, Ltd. | 15,300 | 92,170 | |||
WH Group, Ltd. (e) | 869,000 | 750,989 | |||
Wharf Holdings, Ltd. (c) | 90,000 | 184,157 | |||
Wharf Real Estate Investment Co., Ltd. (c) | 121,000 | 580,877 | |||
Wheelock & Co., Ltd. | 84,000 | 663,982 | |||
Xinyi Glass Holdings, Ltd. | 156,000 | 192,524 | |||
Yue Yuen Industrial Holdings, Ltd. | 56,500 | 86,122 | |||
Yuexiu Property Co., Ltd. | 714,000 | 128,067 | |||
Yuexiu Real Estate Investment Trust | 123,000 | 56,375 | |||
Yuexiu Transport Infrastructure, Ltd. | 84,000 | 58,926 | |||
55,348,769 |
Security Description | Shares | Value | |||
HUNGARY — 0.1% | |||||
Magyar Telekom Telecommunications PLC | 59,891 | $ 72,659 | |||
MOL Hungarian Oil & Gas PLC (b) | 40,674 | 240,171 | |||
OTP Bank Nyrt (b) | 21,242 | 745,841 | |||
Richter Gedeon Nyrt | 13,084 | 271,151 | |||
1,329,822 | |||||
INDIA — 2.2% | |||||
Aarti Industries, Ltd. | 3,883 | 47,973 | |||
Aavas Financiers, Ltd. (b) | 1,169 | 20,640 | |||
Adani Ports & Special Economic Zone, Ltd. | 50,750 | 230,608 | |||
Adani Power, Ltd. (b) | 82,554 | 39,468 | |||
AIA Engineering, Ltd. | 3,825 | 81,187 | |||
Alembic Pharmaceuticals, Ltd. | 4,179 | 50,455 | |||
Ambuja Cements, Ltd. | 52,062 | 133,473 | |||
Apollo Hospitals Enterprise, Ltd. | 6,404 | 114,599 | |||
Ashok Leyland, Ltd. | 96,463 | 60,087 | |||
Asian Paints, Ltd. | 24,636 | 550,791 | |||
Astral Poly Technik, Ltd. | 7,155 | 90,688 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 60,498 | |||
Atul, Ltd. | 634 | 38,305 | |||
AU Small Finance Bank, Ltd. (e) | 13,987 | 100,199 | |||
Aurobindo Pharma, Ltd. | 23,836 | 243,588 | |||
Avenue Supermarts, Ltd. (b)(e) | 14,323 | 439,576 | |||
Axis Bank, Ltd. | 188,084 | 1,017,490 | |||
Bajaj Auto, Ltd. | 7,793 | 291,527 | |||
Bajaj Electricals, Ltd. | 14,427 | 75,068 | |||
Bajaj Finance, Ltd. | 15,528 | 584,445 | |||
Bajaj Finserv, Ltd. | 3,547 | 274,862 | |||
Balkrishna Industries, Ltd. | 7,352 | 123,420 | |||
Balrampur Chini Mills, Ltd. | 31,845 | 56,891 | |||
Bandhan Bank, Ltd. (e) | 35,286 | 150,477 | |||
BASF India, Ltd. | 5,048 | 76,173 | |||
Bata India, Ltd. | 2,849 | 49,352 | |||
Bayer CropScience, Ltd. | 1,002 | 78,694 | |||
Berger Paints India, Ltd. | 15,876 | 103,996 | |||
Bharat Forge, Ltd. | 16,336 | 69,090 | |||
Bharat Petroleum Corp., Ltd. | 52,710 | 261,368 | |||
Bharti Airtel, Ltd. (b) | 227,983 | 1,693,223 | |||
Bharti Infratel, Ltd. | 17,640 | 51,849 | |||
Biocon, Ltd. | 26,500 | 136,539 | |||
Blue Dart Express, Ltd. | 2,241 | 60,515 | |||
Blue Star, Ltd. | 6,804 | 45,201 | |||
Bosch, Ltd. | 698 | 105,678 | |||
Britannia Industries, Ltd. | 5,514 | 263,701 | |||
Can Fin Homes, Ltd. | 1,361 | 6,094 | |||
Carborundum Universal, Ltd. | 16,876 | 62,471 | |||
Cipla, Ltd. | 30,767 | 260,921 | |||
City Union Bank, Ltd. | 9,416 | 15,146 | |||
Coal India, Ltd. | 124,991 | 220,803 | |||
Colgate-Palmolive India, Ltd. | 6,062 | 113,081 | |||
Container Corp. Of India, Ltd. | 18,212 | 100,705 | |||
Coromandel International, Ltd. | 6,490 | 64,855 |
Security Description | Shares | Value | |||
Crompton Greaves Consumer Electricals, Ltd. | 43,446 | $ 137,417 | |||
Dabur India, Ltd. | 47,756 | 294,961 | |||
DCB Bank, Ltd. (b) | 34,567 | 34,699 | |||
Divi's Laboratories, Ltd. | 7,572 | 228,702 | |||
DLF, Ltd. | 51,417 | 100,923 | |||
Dr Lal PathLabs, Ltd. (e) | 2,694 | 55,818 | |||
Dr Reddy's Laboratories, Ltd. | 10,622 | 556,378 | |||
Edelweiss Financial Services, Ltd. | 58,647 | 48,607 | |||
Eicher Motors, Ltd. | 1,242 | 301,576 | |||
EID Parry India, Ltd. (b) | 2,695 | 9,942 | |||
Escorts, Ltd. | 5,547 | 76,430 | |||
FDC, Ltd. | 15,589 | 57,695 | |||
Federal Bank, Ltd. | 146,800 | 99,470 | |||
Finolex Industries, Ltd. | 9,992 | 65,990 | |||
Fortis Healthcare, Ltd. (b) | 45,663 | 73,652 | |||
GAIL India, Ltd. | 130,252 | 177,327 | |||
GAIL India, Ltd. GDR | 1,422 | 11,233 | |||
Galaxy Surfactants, Ltd. | 4,286 | 84,235 | |||
Glenmark Pharmaceuticals, Ltd. | 13,064 | 77,970 | |||
Godrej Consumer Products, Ltd. | 37,767 | 346,046 | |||
Godrej Properties, Ltd. (b) | 4,954 | 57,028 | |||
Granules India, Ltd. | 7,280 | 19,508 | |||
Grasim Industries, Ltd. | 21,952 | 180,321 | |||
Gujarat Gas, Ltd. | 15,258 | 64,502 | |||
Gulf Oil Lubricants India, Ltd. | 3,534 | 26,697 | |||
Havells India, Ltd. | 19,396 | 148,816 | |||
HCL Technologies, Ltd. | 95,858 | 707,423 | |||
HDFC Asset Management Co., Ltd. (e) | 3,753 | 123,544 | |||
HDFC Life Insurance Co., Ltd. (b)(e) | 65,155 | 475,902 | |||
HeidelbergCement India, Ltd. | 37,912 | 89,279 | |||
Hero MotoCorp, Ltd. | 10,709 | 361,889 | |||
Hindalco Industries, Ltd. | 105,540 | 206,676 | |||
Hindustan Petroleum Corp., Ltd. | 57,590 | 165,765 | |||
Hindustan Unilever, Ltd. | 76,363 | 2,207,713 | |||
Housing Development Finance Corp., Ltd. | 152,467 | 3,545,181 | |||
ICICI Bank, Ltd. ADR | 29,436 | 273,460 | |||
ICICI Bank, Ltd. | 385,450 | 1,797,024 | |||
ICICI Lombard General Insurance Co., Ltd. (e) | 18,887 | 317,266 | |||
ICICI Prudential Life Insurance Co., Ltd. (e) | 24,200 | 136,810 | |||
IDFC First Bank, Ltd. (b) | 188,111 | 64,177 | |||
IIFL Finance, Ltd. | 39,096 | 38,189 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 71,370 | |||
Indiabulls Ventures, Ltd. | 21,764 | 33,920 | |||
Indian Hotels Co., Ltd. | 45,062 | 47,747 | |||
Indian Oil Corp., Ltd. | 173,890 | 197,055 | |||
Indraprastha Gas, Ltd. (b) | 19,502 | 114,682 | |||
Info Edge India, Ltd. | 5,735 | 209,431 | |||
Infosys, Ltd. ADR | 46,520 | 449,383 | |||
Infosys, Ltd. | 269,848 | 2,623,113 | |||
Inox Leisure, Ltd. | 20,361 | 61,309 |
Security Description | Shares | Value | |||
InterGlobe Aviation, Ltd. (e) | 8,111 | $ 105,892 | |||
ITC, Ltd. | 308,350 | 796,188 | |||
Jindal Steel & Power, Ltd. (b) | 42,048 | 91,462 | |||
JK Cement, Ltd. | 4,955 | 90,434 | |||
JSW Steel, Ltd. | 78,136 | 197,887 | |||
Jubilant Foodworks, Ltd. | 6,372 | 145,826 | |||
Kajaria Ceramics, Ltd. | 12,979 | 67,629 | |||
Karur Vysya Bank, Ltd. | 19,609 | 8,797 | |||
Kaveri Seed Co., Ltd. | 10,556 | 80,556 | |||
KEI Industries, Ltd. | 9,323 | 43,141 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 54,881 | |||
Larsen & Toubro, Ltd. GDR | 2,055 | 25,564 | |||
Larsen & Toubro, Ltd. | 40,314 | 505,941 | |||
LIC Housing Finance, Ltd. | 27,542 | 96,945 | |||
Lupin, Ltd. | 24,227 | 292,735 | |||
Mahanagar Gas, Ltd. | 3,649 | 51,031 | |||
Mahindra & Mahindra Financial Services, Ltd. | 27,266 | 60,597 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 21,916 | |||
Mahindra & Mahindra, Ltd. | 70,227 | 476,681 | |||
Manappuram Finance, Ltd. | 37,333 | 75,105 | |||
Marico, Ltd. | 33,140 | 154,513 | |||
Maruti Suzuki India, Ltd. | 11,140 | 862,370 | |||
Max Financial Services, Ltd. (b) | 15,780 | 113,561 | |||
Mindtree, Ltd. | 3,800 | 46,621 | |||
Motherson Sumi Systems, Ltd. | 82,206 | 103,442 | |||
Mphasis, Ltd. | 6,599 | 76,992 | |||
Natco Pharma, Ltd. | 7,601 | 63,892 | |||
NESCO, Ltd. | 5,149 | 29,042 | |||
Nestle India, Ltd. | 2,149 | 487,941 | |||
NTPC, Ltd. | 245,225 | 311,987 | |||
Oil & Natural Gas Corp., Ltd. | 232,372 | 252,318 | |||
Orient Electric, Ltd. | 13,712 | 37,192 | |||
Page Industries, Ltd. | 490 | 129,249 | |||
Petronet LNG, Ltd. | 45,619 | 156,120 | |||
Phoenix Mills, Ltd. | 8,044 | 62,429 | |||
PI Industries, Ltd. | 5,742 | 114,224 | |||
Pidilite Industries, Ltd. | 10,715 | 194,716 | |||
Piramal Enterprises, Ltd. | 8,320 | 149,747 | |||
Power Grid Corp. of India, Ltd. | 171,125 | 396,905 | |||
Prestige Estates Projects, Ltd. | 13,088 | 36,346 | |||
Procter & Gamble Health, Ltd. (b) | 760 | 41,006 | |||
PVR, Ltd. | 3,937 | 52,430 | |||
Rajesh Exports, Ltd. | 10,314 | 63,630 | |||
Rallis India, Ltd. | 37,687 | 136,083 | |||
RBL Bank, Ltd. (e) | 36,130 | 83,350 | |||
REC, Ltd. | 54,149 | 77,745 | |||
Redington India, Ltd. | 45,228 | 52,652 | |||
Reliance Industries, Ltd. GDR (e) | 3,884 | 179,525 | |||
Reliance Industries, Ltd. | 259,002 | 5,891,367 | |||
Reliance Industries, Ltd. GDR (e) | 3,000 | 138,600 | |||
Rhi Magnesita NV | 1,998 | 60,806 |
Security Description | Shares | Value | |||
Sanofi India, Ltd. | 510 | $ 53,203 | |||
SBI Life Insurance Co., Ltd. (b)(e) | 36,943 | 394,440 | |||
Shree Cement, Ltd. | 804 | 245,810 | |||
Shriram Transport Finance Co., Ltd. | 13,935 | 127,169 | |||
Siemens, Ltd. | 6,614 | 96,108 | |||
Sobha, Ltd. | 12,486 | 37,672 | |||
SPANDANA SPHOORTY FINANCIAL COMMON STOCK INR10.0 (b) | 5,000 | 36,041 | |||
SpiceJet, Ltd. (b) | 6,570 | 4,368 | |||
SRF, Ltd. | 1,281 | 61,256 | |||
State Bank of India (b) | 182,304 | 431,873 | |||
State Bank of India GDR (b)(c) | 1,020 | 24,021 | |||
Strides Pharma Science, Ltd. | 5,713 | 30,875 | |||
Sun Pharma Advanced Research Co., Ltd. (b) | 8,505 | 18,267 | |||
Sun Pharmaceutical Industries, Ltd. | 84,827 | 532,504 | |||
Sundaram Finance, Ltd. | 3,454 | 66,462 | |||
Sunteck Realty, Ltd. | 14,806 | 37,186 | |||
Supreme Industries, Ltd. | 3,520 | 52,530 | |||
Symphony, Ltd. | 3,877 | 45,104 | |||
Tata Communications, Ltd. | 6,812 | 55,475 | |||
Tata Consultancy Services, Ltd. | 83,631 | 2,302,154 | |||
Tata Consumer Products, Ltd. | 40,179 | 206,343 | |||
Tata Motors, Ltd. ADR (b)(c) | 1,078 | 7,082 | |||
Tata Motors, Ltd. (b) | 143,863 | 188,681 | |||
Tata Power Co., Ltd. | 115,538 | 68,866 | |||
Tata Steel, Ltd. | 25,361 | 111,041 | |||
Tata Steel, Ltd. GDR | 1,300 | 5,474 | |||
TeamLease Services, Ltd. (b) | 1,645 | 36,588 | |||
Tech Mahindra, Ltd. | 42,809 | 308,017 | |||
Timken India, Ltd. | 6,375 | 80,282 | |||
Titan Co., Ltd. | 31,142 | 392,114 | |||
Torrent Pharmaceuticals, Ltd. | 4,600 | 144,639 | |||
Torrent Power, Ltd. | 10,653 | 45,071 | |||
Tube Investments of India, Ltd. | 9,555 | 56,284 | |||
TV18 Broadcast, Ltd. (b) | 322,994 | 144,766 | |||
Ujjivan Financial Services, Ltd. | 1,086 | 3,165 | |||
UltraTech Cement, Ltd. | 9,938 | 513,766 | |||
United Spirits, Ltd. (b) | 25,960 | 203,647 | |||
UPL, Ltd. | 39,039 | 220,245 | |||
Varun Beverages, Ltd. | 5,485 | 49,559 | |||
Vedanta, Ltd. | 166,866 | 238,389 | |||
Vedanta, Ltd. ADR | 1,433 | 8,039 | |||
Vinati Organics, Ltd. | 4,690 | 60,036 | |||
V-Mart Retail, Ltd. | 2,562 | 59,243 | |||
Vodafone Idea, Ltd. (b) | 693,861 | 97,253 | |||
Voltas, Ltd. | 9,215 | 66,752 | |||
Wipro, Ltd. ADR | 7,834 | 25,931 | |||
Wipro, Ltd. | 89,084 | 260,047 | |||
Wockhardt, Ltd. (b) | 5,297 | 19,740 | |||
Yes Bank, Ltd. | 122,251 | 42,069 |
Security Description | Shares | Value | |||
Zee Entertainment Enterprises, Ltd. | 67,492 | $ 153,324 | |||
48,685,001 | |||||
INDONESIA — 0.4% | |||||
Ace Hardware Indonesia Tbk PT (b) | 438,100 | 46,394 | |||
Adaro Energy Tbk PT | 1,258,000 | 88,504 | |||
Astra International Tbk PT | 2,124,900 | 718,721 | |||
Bank Central Asia Tbk PT | 870,800 | 1,742,297 | |||
Bank Mandiri Persero Tbk PT | 1,876,600 | 651,611 | |||
Bank Negara Indonesia Persero Tbk PT | 651,900 | 210,631 | |||
Bank Rakyat Indonesia Persero Tbk PT | 5,175,200 | 1,104,611 | |||
Bank Tabungan Negara Persero Tbk PT | 370,200 | 32,604 | |||
Bank Tabungan Pensiunan Nasional Syariah Tbk PT | 170,800 | 38,267 | |||
Barito Pacific Tbk PT (b) | 2,421,300 | 198,133 | |||
Bukit Asam Tbk PT | 469,600 | 67,109 | |||
Bumi Serpong Damai Tbk PT (b) | 1,332,000 | 69,642 | |||
Charoen Pokphand Indonesia Tbk PT | 574,800 | 225,389 | |||
Ciputra Development Tbk PT | 929,100 | 40,057 | |||
Gudang Garam Tbk PT | 43,700 | 144,707 | |||
Hanjaya Mandala Sampoerna Tbk PT | 833,400 | 96,760 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 239,400 | 100,996 | |||
Indocement Tunggal Prakarsa Tbk PT | 146,800 | 121,861 | |||
Indofood CBP Sukses Makmur Tbk PT | 220,400 | 144,647 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 188,043 | |||
Jasa Marga Persero Tbk PT | 150,175 | 46,417 | |||
Kalbe Farma Tbk PT | 1,941,600 | 199,186 | |||
Matahari Department Store Tbk PT (b) | 260,400 | 29,572 | |||
Media Nusantara Citra Tbk PT | 419,700 | 26,736 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 48,550 | |||
Pakuwon Jati Tbk PT | 1,357,000 | 39,766 | |||
Perusahaan Gas Negara Tbk PT | 631,200 | 50,595 | |||
Semen Indonesia Persero Tbk PT | 217,000 | 147,023 | |||
Summarecon Agung Tbk PT | 864,100 | 35,701 | |||
Surya Citra Media Tbk PT | 511,200 | 41,993 | |||
Telekomunikasi Indonesia Persero Tbk PT | 4,592,600 | 983,791 | |||
Tower Bersama Infrastructure Tbk PT | 785,500 | 61,161 | |||
Unilever Indonesia Tbk PT | 744,500 | 413,141 | |||
United Tractors Tbk PT | 146,700 | 170,702 | |||
XL Axiata Tbk PT | 213,000 | 41,576 | |||
8,366,894 |
Security Description | Shares | Value | |||
IRELAND — 0.4% | |||||
AerCap Holdings NV (b) | 12,223 | $ 376,468 | |||
AIB Group PLC (b) | 54,869 | 69,258 | |||
Bank of Ireland Group PLC (b) | 73,987 | 152,404 | |||
C&C Group PLC | 16,149 | 45,904 | |||
COSMO Pharmaceuticals NV (b) | 890 | 81,493 | |||
CRH PLC | 71,868 | 2,472,945 | |||
Flutter Entertainment PLC (c) | 8,376 | 1,105,491 | |||
Flutter Entertainment PLC | 4,686 | 612,594 | |||
Glanbia PLC | 14,863 | 168,848 | |||
Greencore Group PLC | 38,062 | 59,043 | |||
Hibernia REIT PLC | 81,189 | 102,470 | |||
James Hardie Industries PLC | 40,045 | 769,822 | |||
Kerry Group PLC Class A | 14,953 | 1,856,992 | |||
Keywords Studios PLC (c) | 4,784 | 107,109 | |||
Kingspan Group PLC | 13,936 | 899,377 | |||
Smurfit Kappa Group PLC | 18,699 | 628,198 | |||
UDG Healthcare PLC | 22,621 | 200,491 | |||
9,708,907 | |||||
ISRAEL — 0.5% | |||||
Africa Israel Properties, Ltd. (b) | 2,055 | 48,090 | |||
Airport City, Ltd. (b) | 6,576 | 70,890 | |||
Alony Hetz Properties & Investments, Ltd. | 10,991 | 109,955 | |||
Amot Investments, Ltd. | 20,335 | 92,790 | |||
Ashtrom Group, Ltd. | 6,844 | 72,707 | |||
AudioCodes, Ltd. | 2,032 | 65,433 | |||
Azrieli Group, Ltd. | 3,569 | 162,805 | |||
Bank Hapoalim BM | 103,196 | 617,456 | |||
Bank Leumi Le-Israel BM | 133,321 | 670,907 | |||
Bayside Land Corp. | 107 | 55,865 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. (b) | 180,889 | 164,340 | |||
Blue Square Real Estate, Ltd. | 992 | 34,598 | |||
Caesarstone, Ltd. | 2,900 | 34,365 | |||
Check Point Software Technologies, Ltd. (b) | 11,110 | 1,193,547 | |||
Compugen, Ltd. (b)(c) | 7,000 | 105,140 | |||
CyberArk Software, Ltd. (b) | 3,483 | 345,757 | |||
Elbit Systems, Ltd. | 2,428 | 333,951 | |||
Elco, Ltd. | 2,531 | 83,782 | |||
Electra, Ltd. | 174 | 74,269 | |||
Energix-Renewable Energies, Ltd. (b) | 29,187 | 110,115 | |||
Enlight Renewable Energy, Ltd. (b) | 54,647 | 83,877 | |||
Equital, Ltd. (b) | 2,112 | 38,805 | |||
FIBI Holdings, Ltd. | 1,612 | 39,369 | |||
First International Bank Of Israel, Ltd. | 4,456 | 94,657 | |||
Fiverr International, Ltd. (b)(c) | 900 | 66,438 | |||
Formula Systems 1985, Ltd. | 1,091 | 85,105 | |||
Gazit-Globe, Ltd. | 12,106 | 57,391 | |||
Gilat Satellite Networks, Ltd. (b) | 8,589 | 55,775 |
Security Description | Shares | Value | |||
Harel Insurance Investments & Financial Services, Ltd. | 14,865 | $ 80,893 | |||
Hilan, Ltd. (b) | 1,722 | 69,768 | |||
ICL Group, Ltd. | 60,469 | 180,275 | |||
Isracard, Ltd. | 4,502 | 10,256 | |||
Israel Corp., Ltd. (b) | 350 | 28,816 | |||
Israel Discount Bank, Ltd. Class A | 105,844 | 323,102 | |||
Ituran Location and Control, Ltd. | 2,300 | 36,846 | |||
Kornit Digital, Ltd. (b)(c) | 3,800 | 202,844 | |||
Matrix IT, Ltd. | 4,080 | 87,263 | |||
Maytronics, Ltd. | 9,751 | 110,886 | |||
Mega Or Holdings, Ltd. | 2,173 | 48,612 | |||
Mehadrin, Ltd. (b) | 0 | 8 | |||
Melisron, Ltd. | 2,227 | 84,171 | |||
Mivne Real Estate KD, Ltd. (b) | 61,556 | 111,652 | |||
Mizrahi Tefahot Bank, Ltd. | 12,097 | 227,501 | |||
Naphtha Israel Petroleum Corp., Ltd. (b) | 12,597 | 41,246 | |||
Nice, Ltd. (b) | 5,650 | 1,065,960 | |||
Norstar Holdings, Inc. | 3,895 | 19,278 | |||
Nova Measuring Instruments, Ltd. (b) | 2,278 | 109,840 | |||
Oil Refineries, Ltd. | 162,289 | 30,328 | |||
Partner Communications Co., Ltd. (b) | 17,416 | 77,294 | |||
Paz Oil Co., Ltd. | 926 | 74,490 | |||
Phoenix Holdings, Ltd. (b) | 13,973 | 51,934 | |||
Plus500, Ltd. | 10,246 | 166,647 | |||
Property & Building Corp., Ltd. | 682 | 40,990 | |||
Radware, Ltd. (b) | 4,000 | 94,360 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 82,158 | |||
Reit 1, Ltd. | 26,757 | 98,251 | |||
Sapiens International Corp. NV | 3,605 | 97,312 | |||
Shapir Engineering and Industry, Ltd. (b) | 13,487 | 82,155 | |||
Shikun & Binui, Ltd. (b) | 18,876 | 67,590 | |||
Shufersal, Ltd. | 16,242 | 106,201 | |||
Strauss Group, Ltd. | 4,796 | 133,091 | |||
Summit Real Estate Holdings, Ltd. | 5,965 | 54,715 | |||
Teva Pharmaceutical Industries, Ltd. ADR (b) | 82,453 | 1,016,646 | |||
Teva Pharmaceutical Industries, Ltd. (b) | 19,463 | 238,127 | |||
Tower Semiconductor, Ltd. (b) | 9,194 | 175,102 | |||
UroGen Pharma, Ltd. (b)(c) | 2,000 | 52,240 | |||
Wix.com, Ltd. (b) | 4,700 | 1,204,234 | |||
11,751,261 | |||||
ITALY — 1.4% | |||||
A2A SpA | 121,134 | 172,131 | |||
ACEA SpA | 4,921 | 94,590 | |||
Amplifon SpA (b) | 11,871 | 317,035 |
Security Description | Shares | Value | |||
Anima Holding SpA (e) | 17,421 | $ 75,224 | |||
Arnoldo Mondadori Editore SpA (b) | 41,346 | 44,750 | |||
Ascopiave SpA | 16,517 | 69,571 | |||
Assicurazioni Generali SpA | 99,918 | 1,517,308 | |||
ASTM SpA | 4,277 | 97,894 | |||
Atlantia SpA (b) | 44,648 | 721,970 | |||
Autogrill SpA (b) | 11,566 | 61,049 | |||
Azimut Holding SpA | 9,951 | 170,742 | |||
Banca Farmafactoring SpA (b)(e) | 13,422 | 76,452 | |||
Banca Generali SpA | 6,505 | 195,536 | |||
Banca Mediolanum SpA | 11,786 | 84,794 | |||
Banca Popolare di Sondrio SCPA (b) | 56,342 | 106,779 | |||
Banco BPM SpA (b) | 118,186 | 176,966 | |||
BPER Banca (b)(c) | 37,413 | 93,500 | |||
Brembo SpA (b)(c) | 17,541 | 162,868 | |||
Brunello Cucinelli SpA (b) | 3,092 | 92,082 | |||
Buzzi Unicem SpA | 3,778 | 47,093 | |||
Buzzi Unicem SpA | 8,867 | 191,536 | |||
Cairo Communication SpA (b) | 36,098 | 59,437 | |||
Carel Industries SpA (e) | 5,036 | 92,559 | |||
Cerved Group SpA (b) | 15,889 | 114,247 | |||
CIR SpA-Compagnie Industriali | 81,273 | 37,973 | |||
Credito Valtellinese SpA (b) | 10,643 | 63,159 | |||
Davide Campari-Milano SpA | 50,016 | 422,851 | |||
De' Longhi SpA (b) | 5,153 | 135,116 | |||
DiaSorin SpA | 2,120 | 407,010 | |||
doValue SpA (b)(c)(e) | 6,479 | 58,433 | |||
El.En. SpA | 2,722 | 69,007 | |||
Enav SpA (e) | 23,366 | 105,518 | |||
Enel SpA | 754,700 | 6,524,948 | |||
Eni SpA | 236,054 | 2,262,110 | |||
ERG SpA | 5,487 | 118,529 | |||
Falck Renewables SpA | 16,956 | 103,990 | |||
Ferrari NV | 11,696 | 2,002,845 | |||
Fila SpA (b) | 4,681 | 46,239 | |||
FinecoBank Banca Fineco SpA (b) | 55,369 | 749,135 | |||
Gruppo MutuiOnline SpA | 3,985 | 85,129 | |||
Hera SpA | 66,151 | 248,303 | |||
Illimity Bank SpA | 8,543 | 70,637 | |||
IMA Industria Macchine Automatiche SpA (c) | 2,085 | 125,285 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT | 13,675 | 54,111 | |||
Infrastrutture Wireless Italiane SpA (e) | 19,497 | 195,655 | |||
Interpump Group SpA | 7,226 | 215,368 | |||
Intesa Sanpaolo SpA (b) | 1,381,032 | 2,653,089 | |||
Iren SpA | 52,897 | 131,316 | |||
Italgas SpA | 37,542 | 218,413 | |||
Italmobiliare SpA | 2,891 | 94,547 | |||
Juventus Football Club SpA (b)(c) | 49,118 | 50,985 |
Security Description | Shares | Value | |||
La Doria SpA | 7,554 | $ 96,426 | |||
Leonardo SpA | 32,213 | 214,676 | |||
MARR SpA (b) | 3,554 | 53,452 | |||
Mediaset SpA (b)(c) | 40,137 | 71,437 | |||
Mediobanca Banca di Credito Finanziario SpA | 56,268 | 406,201 | |||
Moncler SpA (b) | 17,976 | 691,026 | |||
Nexi SpA (b)(e) | 34,951 | 605,880 | |||
Piaggio & C SpA | 24,484 | 59,327 | |||
Pirelli & C SpA (b)(e) | 44,955 | 191,194 | |||
Poste Italiane SpA (e) | 44,763 | 390,894 | |||
Prysmian SpA | 21,944 | 508,906 | |||
RAI Way SpA (e) | 11,872 | 78,065 | |||
Recordati SpA | 9,463 | 473,368 | |||
Reply SpA | 1,871 | 151,783 | |||
Saipem SpA | 65,470 | 164,220 | |||
Salvatore Ferragamo SpA (b) | 6,814 | 92,372 | |||
Saras SpA (b) | 44,370 | 34,966 | |||
Sesa SpA | 1,926 | 116,839 | |||
Snam SpA | 185,216 | 902,674 | |||
Societa Cattolica di Assicurazioni SC (c) | 13,369 | 76,925 | |||
Tamburi Investment Partners SpA | 9,384 | 61,326 | |||
Technogym SpA (b)(e) | 9,301 | 77,819 | |||
Telecom Italia SpA (c)(d) | 763,643 | 301,037 | |||
Telecom Italia SpA (d) | 548,107 | 213,257 | |||
Terna Rete Elettrica Nazionale SpA | 126,622 | 873,110 | |||
Tinexta SpA (b) | 5,449 | 73,073 | |||
UniCredit SpA (b) | 196,875 | 1,816,436 | |||
Unione di Banche Italiane SpA (b) | 88,442 | 290,215 | |||
Unipol Gruppo SpA (b) | 33,290 | 130,006 | |||
Zignago Vetro SpA | 3,618 | 54,133 | |||
31,356,857 | |||||
JAPAN — 16.7% | |||||
77 Bank, Ltd. | 4,900 | 73,138 | |||
ABC-Mart, Inc. | 2,900 | 170,266 | |||
Acom Co., Ltd. | 36,100 | 138,263 | |||
Activia Properties, Inc. REIT | 63 | 218,485 | |||
Adastria Co., Ltd. | 2,800 | 44,557 | |||
ADEKA Corp. | 7,500 | 99,776 | |||
Advan Co., Ltd. (c) | 7,300 | 91,075 | |||
Advance Residence Investment Corp. REIT | 128 | 381,215 | |||
Advantest Corp. | 18,100 | 1,033,837 | |||
Aeon Co., Ltd. | 60,900 | 1,417,991 | |||
Aeon Delight Co., Ltd. | 2,000 | 55,804 | |||
AEON Financial Service Co., Ltd. | 10,500 | 115,258 | |||
Aeon Mall Co., Ltd. | 8,700 | 115,709 | |||
AEON REIT Investment Corp. | 136 | 144,717 | |||
AGC, Inc. | 14,800 | 424,663 | |||
Ai Holdings Corp. (c) | 4,100 | 59,346 | |||
Aica Kogyo Co., Ltd. | 4,600 | 151,295 |
Security Description | Shares | Value | |||
Aichi Bank, Ltd. | 2,200 | $ 56,954 | |||
Aichi Corp. | 11,000 | 76,087 | |||
Aida Engineering, Ltd. | 8,700 | 58,919 | |||
Aiful Corp. (b) | 30,500 | 67,463 | |||
Ain Holdings, Inc. | 1,700 | 111,696 | |||
Air Water, Inc. | 17,200 | 243,220 | |||
Aisin Seiki Co., Ltd. | 13,800 | 404,842 | |||
Ajinomoto Co., Inc. | 37,800 | 627,813 | |||
Akatsuki, Inc. (c) | 1,100 | 39,271 | |||
Akita Bank, Ltd. | 3,600 | 48,541 | |||
Alfresa Holdings Corp. | 15,700 | 329,368 | |||
Alpen Co., Ltd. (c) | 6,500 | 101,191 | |||
Alps Alpine Co., Ltd. | 17,300 | 223,170 | |||
Altech Corp. | 1,300 | 23,010 | |||
Amada Co., Ltd. | 31,200 | 255,674 | |||
Amano Corp. | 4,900 | 102,035 | |||
Amuse, Inc. (c) | 2,700 | 55,406 | |||
ANA Holdings, Inc. (b)(c) | 12,400 | 283,613 | |||
Anest Iwata Corp. | 7,800 | 60,803 | |||
AnGes, Inc. (b)(c) | 16,700 | 345,182 | |||
Anicom Holdings, Inc. | 1,800 | 76,532 | |||
Anritsu Corp. | 12,600 | 299,590 | |||
Aomori Bank, Ltd. | 2,800 | 58,394 | |||
Aozora Bank, Ltd. (c) | 11,600 | 202,440 | |||
Arata Corp. | 1,900 | 85,433 | |||
Arcland Sakamoto Co., Ltd. | 7,200 | 126,338 | |||
Arcland Service Holdings Co., Ltd. | 4,100 | 72,816 | |||
Arcs Co., Ltd. | 3,700 | 74,617 | |||
Argo Graphics, Inc. | 2,900 | 90,908 | |||
Ariake Japan Co., Ltd. | 1,200 | 76,076 | |||
ARTERIA Networks Corp. | 5,200 | 92,505 | |||
Aruhi Corp. (b)(c) | 3,000 | 42,903 | |||
As One Corp. | 1,300 | 142,060 | |||
Asahi Co., Ltd. | 5,300 | 73,384 | |||
Asahi Diamond Industrial Co., Ltd. (c) | 16,600 | 75,681 | |||
Asahi Group Holdings, Ltd. | 32,000 | 1,124,849 | |||
Asahi Holdings, Inc. | 3,200 | 85,259 | |||
Asahi Intecc Co., Ltd. | 17,800 | 508,442 | |||
Asahi Kasei Corp. | 111,700 | 915,115 | |||
Asics Corp. | 10,800 | 123,579 | |||
ASKA Pharmaceutical Co., Ltd. | 7,100 | 80,177 | |||
ASKUL Corp. | 2,400 | 77,152 | |||
Astellas Pharma, Inc. | 175,400 | 2,931,546 | |||
Atom Corp. (c) | 8,300 | 63,192 | |||
Autobacs Seven Co., Ltd. | 6,500 | 82,200 | |||
Avex, Inc. | 6,600 | 52,255 | |||
Awa Bank, Ltd. | 2,900 | 65,391 | |||
Axial Retailing, Inc. | 2,100 | 84,137 | |||
Azbil Corp. | 10,000 | 305,900 | |||
Bandai Namco Holdings, Inc. | 17,700 | 932,471 | |||
Bando Chemical Industries, Ltd. | 9,200 | 56,036 | |||
Bank of Iwate, Ltd. | 1,300 | 31,532 | |||
Bank of Kyoto, Ltd. (c) | 5,500 | 195,577 | |||
Bank of Nagoya, Ltd. | 3,700 | 79,627 |
Security Description | Shares | Value | |||
Bank of Okinawa, Ltd. | 2,300 | $ 66,367 | |||
Bank of the Ryukyus, Ltd. | 7,800 | 69,540 | |||
BayCurrent Consulting, Inc. | 1,500 | 125,525 | |||
Belc Co., Ltd. | 1,500 | 102,809 | |||
Benefit One, Inc. | 4,200 | 84,757 | |||
Benesse Holdings, Inc. | 6,600 | 177,157 | |||
BeNEXT Group, Inc. | 5,700 | 50,148 | |||
Bic Camera, Inc. | 9,400 | 99,945 | |||
BML, Inc. | 3,000 | 78,204 | |||
Bridgestone Corp. (c) | 51,700 | 1,670,032 | |||
Broadleaf Co., Ltd. (c) | 12,400 | 60,899 | |||
BRONCO BILLY Co., Ltd. (c) | 3,200 | 71,968 | |||
Brother Industries, Ltd. | 19,200 | 347,177 | |||
Bunka Shutter Co., Ltd. | 10,500 | 72,779 | |||
Calbee, Inc. | 6,600 | 182,574 | |||
Canon Marketing Japan, Inc. | 4,800 | 98,235 | |||
Canon, Inc. (c) | 90,500 | 1,806,802 | |||
Capcom Co., Ltd. | 8,700 | 318,718 | |||
Casio Computer Co., Ltd. | 15,800 | 275,870 | |||
Cawachi, Ltd. | 5,300 | 137,006 | |||
Central Glass Co., Ltd. | 3,300 | 56,177 | |||
Central Japan Railway Co. | 13,000 | 2,012,233 | |||
Central Security Patrols Co., Ltd. (c) | 1,400 | 55,650 | |||
Chiba Bank, Ltd. | 52,500 | 248,414 | |||
Chiyoda Co., Ltd. | 5,100 | 55,915 | |||
Chiyoda Corp. (b) | 14,600 | 38,570 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 65,140 | |||
Chubu Electric Power Co., Inc. | 56,600 | 710,466 | |||
Chubu Shiryo Co., Ltd. (c) | 6,500 | 98,598 | |||
Chugai Pharmaceutical Co., Ltd. | 60,900 | 3,263,302 | |||
Chugoku Bank, Ltd. | 11,600 | 107,718 | |||
Chugoku Electric Power Co., Inc. | 24,300 | 324,239 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 62,604 | |||
Chukyo Bank, Ltd. | 3,500 | 69,863 | |||
CI Takiron Corp. | 12,200 | 79,487 | |||
Citizen Watch Co., Ltd. | 23,300 | 76,017 | |||
CKD Corp. | 5,700 | 101,524 | |||
Coca-Cola Bottlers Japan Holdings, Inc. | 10,700 | 194,222 | |||
cocokara fine, Inc. | 1,500 | 81,152 | |||
COLOPL, Inc. (c) | 4,900 | 44,850 | |||
Colowide Co., Ltd. (c) | 5,200 | 71,043 | |||
Comforia Residential REIT, Inc. | 50 | 149,265 | |||
Computer Engineering & Consulting, Ltd. | 3,800 | 60,288 | |||
COMSYS Holdings Corp. | 9,300 | 276,022 | |||
Comture Corp. (c) | 1,700 | 44,365 | |||
Concordia Financial Group, Ltd. | 106,900 | 343,976 | |||
CONEXIO Corp. | 5,500 | 72,869 | |||
COOKPAD, Inc. (c) | 26,600 | 77,994 | |||
Cosel Co., Ltd. | 7,800 | 68,177 | |||
Cosmo Energy Holdings Co., Ltd. | 4,000 | 58,820 | |||
Cosmos Pharmaceutical Corp. | 2,000 | 307,125 |
Security Description | Shares | Value | |||
Create SD Holdings Co., Ltd. | 2,400 | $ 74,940 | |||
Credit Saison Co., Ltd. | 12,900 | 148,346 | |||
Curves Holdings Co., Ltd. (b)(c) | 4,300 | 23,599 | |||
CyberAgent, Inc. | 9,800 | 482,108 | |||
CYBERDYNE, Inc. (b)(c) | 11,000 | 46,188 | |||
Cybozu, Inc. | 7,400 | 232,432 | |||
Dai Nippon Printing Co., Ltd. (c) | 20,200 | 464,793 | |||
Daicel Corp. | 24,500 | 190,042 | |||
Dai-Dan Co., Ltd. | 1,100 | 28,820 | |||
Daido Metal Co., Ltd. | 15,200 | 77,308 | |||
Daido Steel Co., Ltd. | 4,200 | 129,058 | |||
Daifuku Co., Ltd. | 8,800 | 771,805 | |||
Daihen Corp. | 2,300 | 82,400 | |||
Daiho Corp. | 2,700 | 60,960 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 81,535 | |||
Dai-ichi Life Holdings, Inc. | 95,600 | 1,145,287 | |||
Daiichi Sankyo Co., Ltd. | 52,200 | 4,273,084 | |||
Daiichikosho Co., Ltd. | 3,500 | 104,803 | |||
Daiken Corp. | 4,000 | 67,425 | |||
Daikin Industries, Ltd. | 23,100 | 3,740,697 | |||
Daikokutenbussan Co., Ltd. | 2,200 | 98,784 | |||
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 2,400 | 52,131 | |||
Daio Paper Corp. (c) | 4,900 | 65,523 | |||
Daiseki Co., Ltd. | 2,800 | 75,123 | |||
Daishi Hokuetsu Financial Group, Inc. | 3,500 | 71,070 | |||
Daito Trust Construction Co., Ltd. | 6,500 | 599,549 | |||
Daiwa House Industry Co., Ltd. | 52,100 | 1,231,362 | |||
Daiwa House REIT Investment Corp. | 180 | 423,821 | |||
Daiwa Industries, Ltd. | 6,600 | 55,588 | |||
Daiwa Office Investment Corp. REIT | 32 | 176,884 | |||
Daiwa Securities Group, Inc. | 134,300 | 564,651 | |||
Daiwa Securities Living Investments Corp. REIT | 133 | 123,969 | |||
Daiwabo Holdings Co., Ltd. | 1,700 | 111,664 | |||
DCM Holdings Co., Ltd. | 9,000 | 103,284 | |||
DeNA Co., Ltd. | 10,300 | 128,706 | |||
Denka Co., Ltd. | 6,200 | 152,088 | |||
Denso Corp. | 39,200 | 1,538,591 | |||
Dentsu Group, Inc. (c) | 18,700 | 443,964 | |||
Denyo Co., Ltd. | 4,200 | 74,667 | |||
Descente, Ltd. (b)(c) | 2,700 | 37,427 | |||
Dexerials Corp. | 9,400 | 74,164 | |||
DIC Corp. (c) | 5,900 | 148,631 | |||
Digital Arts, Inc. | 1,100 | 89,526 | |||
Digital Garage, Inc. | 2,100 | 67,330 | |||
Dip Corp. | 2,900 | 58,957 | |||
Disco Corp. | 2,400 | 585,821 | |||
DKK Co., Ltd. | 2,400 | 58,097 | |||
DMG Mori Co., Ltd. (c) | 5,500 | 67,261 | |||
Doshisha Co., Ltd. | 4,900 | 74,231 |
Security Description | Shares | Value | |||
Dowa Holdings Co., Ltd. | 4,400 | $ 133,663 | |||
DTS Corp. | 3,400 | 70,217 | |||
Duskin Co., Ltd. | 3,800 | 96,899 | |||
Earth Corp. | 1,200 | 91,589 | |||
East Japan Railway Co. | 27,300 | 1,893,338 | |||
Ebara Corp. | 10,300 | 243,252 | |||
EDION Corp. | 7,600 | 77,256 | |||
eGuarantee, Inc. | 5,300 | 125,897 | |||
Ehime Bank, Ltd. | 6,900 | 74,756 | |||
Eiken Chemical Co., Ltd. | 3,800 | 60,878 | |||
Eisai Co., Ltd. | 22,900 | 1,820,897 | |||
Elan Corp. (c) | 2,000 | 35,281 | |||
Elecom Co., Ltd. | 1,800 | 88,250 | |||
Electric Power Development Co., Ltd. | 12,800 | 242,845 | |||
EM Systems Co., Ltd. | 15,200 | 138,932 | |||
Enigmo, Inc. (c) | 2,600 | 32,137 | |||
en-japan, Inc. | 2,300 | 57,298 | |||
Enplas Corp. | 2,200 | 48,727 | |||
eRex Co., Ltd. | 3,000 | 39,563 | |||
ES-Con Japan, Ltd. | 8,700 | 66,309 | |||
ESPEC Corp. (c) | 4,100 | 68,163 | |||
Ezaki Glico Co., Ltd. (c) | 3,900 | 186,084 | |||
FamilyMart Co., Ltd. | 23,000 | 395,191 | |||
FAN Communications, Inc. | 14,400 | 59,894 | |||
Fancl Corp. | 9,300 | 277,347 | |||
FANUC Corp. | 17,500 | 3,139,840 | |||
Fast Retailing Co., Ltd. | 5,400 | 3,106,355 | |||
Feed One Co., Ltd. | 51,700 | 96,877 | |||
Financial Products Group Co., Ltd. (c) | 7,200 | 39,927 | |||
Foster Electric Co., Ltd. | 3,100 | 30,367 | |||
FP Corp. | 2,200 | 176,319 | |||
France Bed Holdings Co., Ltd. | 7,600 | 59,719 | |||
Frontier Real Estate Investment Corp. REIT (c) | 42 | 132,982 | |||
Fuji Co., Ltd. | 4,000 | 69,669 | |||
Fuji Corp. | 7,600 | 133,638 | |||
Fuji Electric Co., Ltd. | 12,500 | 344,336 | |||
Fuji Kyuko Co., Ltd. (c) | 2,700 | 84,520 | |||
Fuji Oil Holdings, Inc. | 2,400 | 61,805 | |||
Fuji Seal International, Inc. | 3,900 | 75,961 | |||
Fuji Soft, Inc. | 1,600 | 63,558 | |||
Fujicco Co., Ltd. | 4,500 | 83,722 | |||
FUJIFILM Holdings Corp. | 33,400 | 1,430,769 | |||
Fujikura, Ltd. | 39,500 | 114,442 | |||
Fujimi, Inc. | 2,900 | 89,573 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 94,197 | |||
Fujio Food System Co., Ltd. (c) | 4,800 | 63,868 | |||
Fujitec Co., Ltd. | 5,700 | 104,970 | |||
Fujitsu General, Ltd. | 4,300 | 88,416 | |||
Fujitsu, Ltd. | 17,800 | 2,085,822 | |||
Fujiya Co., Ltd. | 3,600 | 74,485 | |||
Fukuda Corp. | 1,800 | 81,704 | |||
Fukui Computer Holdings, Inc. | 3,000 | 76,274 | |||
Fukuoka Financial Group, Inc. | 13,200 | 208,878 |
Security Description | Shares | Value | |||
Fukuoka REIT Corp. | 76 | $ 92,856 | |||
Fukushima Galilei Co., Ltd. | 2,400 | 76,280 | |||
Fukuyama Transporting Co., Ltd. | 3,000 | 105,210 | |||
FULLCAST Holdings Co., Ltd. | 3,600 | 48,064 | |||
Funai Soken Holdings, Inc. (c) | 3,000 | 67,935 | |||
Furukawa Co., Ltd. | 5,200 | 53,051 | |||
Furukawa Electric Co., Ltd. | 6,100 | 148,263 | |||
Fuso Chemical Co., Ltd. | 3,100 | 113,277 | |||
Futaba Corp. | 6,000 | 54,972 | |||
Fuyo General Lease Co., Ltd. | 2,900 | 161,720 | |||
Gakken Holdings Co., Ltd. | 2,400 | 32,331 | |||
Genky DrugStores Co., Ltd. | 3,300 | 109,403 | |||
Geo Holdings Corp. | 5,700 | 71,689 | |||
Giken, Ltd. | 2,200 | 103,813 | |||
Global One Real Estate Investment Corp. REIT | 91 | 84,538 | |||
Glory, Ltd. | 4,000 | 91,318 | |||
GLP J-REIT | 332 | 480,157 | |||
GMO internet, Inc. (c) | 4,200 | 116,774 | |||
GMO Payment Gateway, Inc. | 3,800 | 397,787 | |||
GNI Group, Ltd. (b) | 3,600 | 55,262 | |||
Godo Steel, Ltd. | 3,600 | 61,431 | |||
Goldcrest Co., Ltd. | 3,600 | 49,449 | |||
Goldwin, Inc. | 1,300 | 85,303 | |||
Gree, Inc. (c) | 15,200 | 65,390 | |||
GS Yuasa Corp. | 6,000 | 106,648 | |||
GungHo Online Entertainment, Inc. | 3,200 | 57,261 | |||
Gunma Bank, Ltd. | 44,800 | 142,750 | |||
Gurunavi, Inc. | 3,800 | 26,144 | |||
H2O Retailing Corp. | 7,900 | 52,897 | |||
Hachijuni Bank, Ltd. | 28,400 | 108,188 | |||
Hakuhodo DY Holdings, Inc. | 18,800 | 224,564 | |||
Hamakyorex Co., Ltd. | 2,200 | 63,526 | |||
Hamamatsu Photonics KK | 12,900 | 562,196 | |||
Hankyu Hanshin Holdings, Inc. | 20,800 | 703,173 | |||
Hankyu Hanshin REIT, Inc. | 94 | 108,546 | |||
Harmonic Drive Systems, Inc. | 2,700 | 149,064 | |||
Haseko Corp. | 22,600 | 285,592 | |||
Hazama Ando Corp. | 9,700 | 56,313 | |||
HEALIOS KK (b) | 3,200 | 51,474 | |||
Heiwa Corp. | 5,300 | 88,718 | |||
Heiwa Real Estate Co., Ltd. | 2,900 | 83,154 | |||
Heiwa Real Estate REIT, Inc. | 115 | 109,272 | |||
Hibiya Engineering, Ltd. | 4,100 | 71,219 | |||
Hiday Hidaka Corp. | 3,500 | 54,640 | |||
Hikari Tsushin, Inc. | 1,900 | 434,794 | |||
Hino Motors, Ltd. | 29,300 | 198,954 | |||
Hioki EE Corp. (c) | 2,100 | 56,237 | |||
Hirata Corp. | 1,100 | 57,911 | |||
Hirose Electric Co., Ltd. | 3,300 | 362,669 | |||
Hiroshima Bank, Ltd. | 29,200 | 138,241 | |||
Hisamitsu Pharmaceutical Co., Inc. | 5,400 | 292,145 | |||
Hitachi Capital Corp. | 5,300 | 117,422 |
Security Description | Shares | Value | |||
Hitachi Construction Machinery Co., Ltd. | 9,600 | $ 266,900 | |||
Hitachi Metals, Ltd. | 17,900 | 214,725 | |||
Hitachi Transport System, Ltd. | 4,800 | 128,482 | |||
Hitachi, Ltd. | 87,500 | 2,783,492 | |||
Hochiki Corp. | 5,300 | 60,366 | |||
Hodogaya Chemical Co., Ltd. | 2,200 | 89,635 | |||
Hogy Medical Co., Ltd. | 2,100 | 64,879 | |||
Hokkaido Electric Power Co., Inc. | 31,100 | 119,380 | |||
Hokkoku Bank, Ltd. | 1,900 | 50,564 | |||
Hokuetsu Corp. | 13,800 | 48,902 | |||
Hokuhoku Financial Group, Inc. | 15,100 | 125,533 | |||
Hokuriku Electric Power Co. | 11,800 | 75,139 | |||
Hokuto Corp. | 6,300 | 118,669 | |||
Honda Motor Co., Ltd. | 151,200 | 3,872,988 | |||
Horiba, Ltd. (c) | 3,300 | 174,731 | |||
Hoshino Resorts REIT, Inc. (c) | 28 | 121,066 | |||
Hoshizaki Corp. | 4,500 | 386,020 | |||
Hosiden Corp. | 7,100 | 62,490 | |||
Hosokawa Micron Corp. | 2,600 | 137,823 | |||
House Foods Group, Inc. | 5,300 | 171,457 | |||
Hoya Corp. | 35,100 | 3,363,944 | |||
Hulic Co., Ltd. (c) | 26,300 | 248,506 | |||
Hulic Reit, Inc. | 63 | 78,372 | |||
Hyakugo Bank, Ltd. | 22,900 | 69,947 | |||
Hyakujushi Bank, Ltd. | 4,200 | 75,953 | |||
Ibiden Co., Ltd. | 10,200 | 298,801 | |||
Ichigo Office REIT Investment Corp. | 122 | 84,842 | |||
Ichigo, Inc. | 17,400 | 43,909 | |||
Icom, Inc. | 3,400 | 97,843 | |||
Idec Corp. | 3,800 | 60,856 | |||
Idemitsu Kosan Co., Ltd. | 17,877 | 381,850 | |||
IHI Corp. | 11,600 | 168,442 | |||
Iida Group Holdings Co., Ltd. | 13,600 | 209,184 | |||
Inaba Denki Sangyo Co., Ltd. | 3,200 | 71,415 | |||
Inabata & Co., Ltd. | 5,700 | 69,146 | |||
Industrial & Infrastructure Fund Investment Corp. REIT | 166 | 268,227 | |||
Ines Corp. | 6,800 | 86,191 | |||
Infocom Corp. | 2,800 | 76,851 | |||
Infomart Corp. | 13,600 | 94,202 | |||
Information Services International-Dentsu, Ltd. | 1,000 | 46,549 | |||
Inpex Corp. | 92,600 | 578,701 | |||
Insource Co., Ltd. (c) | 1,600 | 39,403 | |||
Internet Initiative Japan, Inc. | 3,000 | 102,731 | |||
Invesco Office J-Reit, Inc. | 835 | 108,645 | |||
Invincible Investment Corp. REIT | 527 | 136,904 | |||
IR Japan Holdings, Ltd. | 1,100 | 116,019 | |||
Iriso Electronics Co., Ltd. (c) | 1,500 | 49,402 | |||
Iseki & Co., Ltd. | 5,100 | 52,652 | |||
Isetan Mitsukoshi Holdings, Ltd. | 28,000 | 161,275 | |||
Isuzu Motors, Ltd. | 46,200 | 420,185 | |||
Ito En, Ltd. | 5,500 | 310,727 |
Security Description | Shares | Value | |||
ITOCHU Corp. | 121,900 | $ 2,639,851 | |||
Itochu Techno-Solutions Corp. | 9,500 | 357,562 | |||
Itoham Yonekyu Holdings, Inc. | 15,500 | 93,491 | |||
Itokuro, Inc. (b)(c) | 4,800 | 59,063 | |||
Iwatani Corp. | 2,800 | 98,013 | |||
Iyo Bank, Ltd. | 28,400 | 173,986 | |||
Izumi Co., Ltd. | 3,200 | 101,524 | |||
J Front Retailing Co., Ltd. | 21,300 | 142,620 | |||
JAC Recruitment Co., Ltd. | 3,700 | 39,493 | |||
Jaccs Co., Ltd. | 3,300 | 54,099 | |||
Jafco Co., Ltd. | 3,600 | 121,843 | |||
Japan Airlines Co., Ltd. | 12,500 | 225,757 | |||
Japan Airport Terminal Co., Ltd. | 3,700 | 158,018 | |||
Japan Aviation Electronics Industry, Ltd. | 5,700 | 77,201 | |||
Japan Best Rescue System Co., Ltd. | 2,200 | 17,108 | |||
Japan Elevator Service Holdings Co., Ltd. | 2,800 | 90,654 | |||
Japan Excellent, Inc. REIT | 102 | 118,662 | |||
Japan Exchange Group, Inc. | 47,700 | 1,105,650 | |||
Japan Hotel REIT Investment Corp. | 386 | 160,252 | |||
Japan Lifeline Co., Ltd. | 4,500 | 59,705 | |||
Japan Logistics Fund, Inc. REIT | 78 | 212,017 | |||
Japan Material Co., Ltd. | 5,700 | 89,984 | |||
Japan Petroleum Exploration Co., Ltd. | 2,300 | 38,938 | |||
Japan Post Bank Co., Ltd. | 32,300 | 240,423 | |||
Japan Post Holdings Co., Ltd. | 142,500 | 1,017,825 | |||
Japan Post Insurance Co., Ltd. | 17,400 | 229,460 | |||
Japan Prime Realty Investment Corp. REIT (c) | 67 | 196,716 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 73,189 | |||
Japan Real Estate Investment Corp. REIT | 119 | 611,231 | |||
Japan Retail Fund Investment Corp. REIT | 213 | 266,638 | |||
Japan Steel Works, Ltd. | 3,600 | 51,508 | |||
Japan Tobacco, Inc. (c) | 108,500 | 2,016,825 | |||
JCR Pharmaceuticals Co., Ltd. | 1,000 | 105,560 | |||
JCU Corp. | 3,500 | 109,703 | |||
Jeol, Ltd. | 3,000 | 83,399 | |||
JFE Holdings, Inc. | 40,400 | 292,316 | |||
JGC Holdings Corp. | 20,200 | 213,185 | |||
JINS Holdings, Inc. | 1,200 | 73,169 | |||
JM Holdings Co., Ltd. | 4,100 | 114,809 | |||
J-Oil Mills, Inc. | 1,800 | 66,588 | |||
Joshin Denki Co., Ltd. (c) | 3,500 | 70,410 | |||
Joyful Honda Co., Ltd. (c) | 6,400 | 84,540 | |||
JSR Corp. | 18,200 | 353,372 | |||
JTEKT Corp. | 23,200 | 181,301 | |||
Justsystems Corp. | 2,800 | 199,275 | |||
JVC Kenwood Corp. | 20,000 | 30,436 | |||
JXTG Holdings, Inc. | 268,700 | 958,597 | |||
Kadokawa Dwango | 4,800 | 98,716 | |||
Kagome Co., Ltd. | 7,100 | 212,309 |
Security Description | Shares | Value | |||
Kajima Corp. | 39,600 | $ 473,886 | |||
Kakaku.com, Inc. | 12,400 | 316,144 | |||
Kaken Pharmaceutical Co., Ltd. | 3,100 | 158,887 | |||
Kamakura Shinsho, Ltd. | 2,000 | 20,983 | |||
Kameda Seika Co., Ltd. | 1,600 | 77,108 | |||
Kamigumi Co., Ltd. | 10,700 | 210,607 | |||
Kanamoto Co., Ltd. | 3,000 | 65,767 | |||
Kandenko Co., Ltd. | 8,400 | 71,458 | |||
Kaneka Corp. | 5,200 | 135,449 | |||
Kanematsu Corp. | 6,200 | 74,552 | |||
Kanematsu Electronics, Ltd. | 1,000 | 35,647 | |||
Kansai Electric Power Co., Inc. | 63,700 | 617,767 | |||
Kansai Mirai Financial Group, Inc. (c) | 8,100 | 30,522 | |||
Kansai Paint Co., Ltd. | 14,500 | 306,666 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 72,486 | |||
Kao Corp. | 44,400 | 3,526,426 | |||
Kappa Create Co., Ltd. (b) | 7,600 | 103,692 | |||
Katakura Industries Co., Ltd. | 5,600 | 59,622 | |||
Katitas Co., Ltd. | 3,800 | 88,481 | |||
Kato Sangyo Co., Ltd. | 2,100 | 68,876 | |||
Kawasaki Heavy Industries, Ltd. | 15,500 | 224,063 | |||
Kawasaki Kisen Kaisha, Ltd. (b)(c) | 6,700 | 63,624 | |||
KDDI Corp. | 162,700 | 4,858,553 | |||
Keihan Holdings Co., Ltd. | 8,400 | 375,451 | |||
Keihanshin Building Co., Ltd. | 6,200 | 79,995 | |||
Keihin Corp. | 2,900 | 67,952 | |||
Keikyu Corp. | 19,100 | 292,514 | |||
Keio Corp. | 9,400 | 538,412 | |||
Keisei Electric Railway Co., Ltd. | 10,900 | 341,895 | |||
Keiyo Co., Ltd. | 15,400 | 105,725 | |||
Kenedix Office Investment Corp. REIT | 44 | 246,060 | |||
Kenedix Residential Next Investment Corp. REIT (c) | 73 | 126,251 | |||
Kenedix Retail REIT Corp. | 49 | 91,819 | |||
Kenedix, Inc. | 15,700 | 77,658 | |||
Kenko Mayonnaise Co., Ltd. (c) | 3,000 | 53,868 | |||
Kewpie Corp. | 8,100 | 152,764 | |||
Key Coffee, Inc. | 8,000 | 169,910 | |||
Keyence Corp. | 16,800 | 7,046,107 | |||
KH Neochem Co., Ltd. | 3,300 | 62,584 | |||
Kikkoman Corp. | 13,800 | 667,063 | |||
Kinden Corp. | 11,400 | 188,564 | |||
Kintetsu Group Holdings Co., Ltd. | 15,500 | 696,057 | |||
Kirin Holdings Co., Ltd. | 76,400 | 1,611,836 | |||
Kisoji Co., Ltd. | 6,300 | 143,133 | |||
Kissei Pharmaceutical Co., Ltd. | 3,200 | 80,913 | |||
Kiyo Bank, Ltd. | 5,000 | 76,191 | |||
KNT-CT Holdings Co., Ltd. (b)(c) | 4,900 | 45,364 | |||
Kobayashi Pharmaceutical Co., Ltd. | 4,600 | 404,789 | |||
Kobe Bussan Co., Ltd. | 4,700 | 267,115 | |||
Kobe Steel, Ltd. (b) | 35,800 | 124,149 |
Security Description | Shares | Value | |||
Koei Tecmo Holdings Co., Ltd. | 4,300 | $ 140,229 | |||
Kohnan Shoji Co., Ltd. | 3,300 | 104,127 | |||
Koito Manufacturing Co., Ltd. | 9,500 | 384,687 | |||
Kokuyo Co., Ltd. | 8,000 | 97,078 | |||
Komatsu, Ltd. | 84,000 | 1,721,799 | |||
KOMEDA Holdings Co., Ltd. | 4,200 | 71,332 | |||
Konami Holdings Corp. (c) | 7,700 | 257,155 | |||
Konica Minolta, Inc. | 34,900 | 121,470 | |||
Konishi Co., Ltd. | 5,200 | 72,795 | |||
Konoike Transport Co., Ltd. | 4,700 | 50,894 | |||
Kose Corp. | 3,100 | 375,559 | |||
Koshidaka Holdings Co., Ltd. | 4,300 | 16,718 | |||
Kotobuki Spirits Co., Ltd. | 1,400 | 57,688 | |||
Kourakuen Holdings Corp. (c) | 1,800 | 25,963 | |||
K's Holdings Corp. | 17,300 | 236,517 | |||
Kubota Corp. | 96,700 | 1,447,717 | |||
Kumagai Gumi Co., Ltd. | 3,200 | 76,920 | |||
Kumiai Chemical Industry Co., Ltd. (c) | 7,900 | 73,910 | |||
Kurabo Industries, Ltd. | 1,400 | 29,496 | |||
Kuraray Co., Ltd. (c) | 26,200 | 274,404 | |||
Kureha Corp. | 1,200 | 52,804 | |||
Kurita Water Industries, Ltd. | 9,500 | 264,493 | |||
Kusuri no Aoki Holdings Co., Ltd. | 1,400 | 110,150 | |||
KYB Corp. (b) | 1,600 | 30,025 | |||
Kyocera Corp. | 29,000 | 1,584,273 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 70,825 | |||
KYORIN Holdings, Inc. | 6,100 | 125,028 | |||
Kyoritsu Maintenance Co., Ltd. | 1,600 | 54,783 | |||
Kyowa Exeo Corp. | 10,400 | 249,901 | |||
Kyowa Kirin Co., Ltd. | 20,800 | 548,011 | |||
Kyudenko Corp. | 3,500 | 103,398 | |||
Kyushu Electric Power Co., Inc. | 33,000 | 276,808 | |||
Kyushu Financial Group, Inc. | 27,600 | 116,979 | |||
Kyushu Railway Co. | 13,600 | 353,674 | |||
LaSalle Logiport REIT | 93 | 143,358 | |||
Lasertec Corp. | 6,500 | 614,961 | |||
Lawson, Inc. | 4,300 | 216,473 | |||
LEC, Inc. (c) | 7,500 | 113,003 | |||
Leopalace21 Corp. (b)(c) | 27,000 | 52,995 | |||
LIFULL Co., Ltd. | 11,100 | 43,808 | |||
LINE Corp. (b) | 4,900 | 246,819 | |||
Lintec Corp. | 3,800 | 90,643 | |||
Lion Corp. | 18,400 | 442,919 | |||
LIXIL Group Corp. | 20,900 | 293,770 | |||
LIXIL VIVA Corp. | 4,700 | 113,629 | |||
M&A Capital Partners Co., Ltd. (b) | 1,300 | 48,365 | |||
M3, Inc. | 40,100 | 1,704,914 | |||
Mabuchi Motor Co., Ltd. | 4,900 | 156,497 | |||
Macnica Fuji Electronics Holdings, Inc. | 5,800 | 84,133 | |||
Maeda Corp. | 19,500 | 149,372 | |||
Maeda Kosen Co., Ltd. | 1,800 | 41,227 |
Security Description | Shares | Value | |||
Maeda Road Construction Co., Ltd. | 3,500 | $ 66,061 | |||
Makino Milling Machine Co., Ltd. | 2,000 | 61,601 | |||
Makita Corp. | 20,300 | 738,814 | |||
Mandom Corp. | 3,500 | 64,685 | |||
Mani, Inc. | 4,700 | 124,877 | |||
Mars Group Holdings Corp. | 3,900 | 58,857 | |||
Marubeni Corp. | 142,200 | 646,468 | |||
Marudai Food Co., Ltd. | 4,400 | 77,652 | |||
Maruha Nichiro Corp. | 6,800 | 139,385 | |||
Marui Group Co., Ltd. | 16,400 | 296,912 | |||
Maruichi Steel Tube, Ltd. | 5,100 | 127,225 | |||
Maruwa Co., Ltd. | 1,000 | 75,749 | |||
Maruwa Unyu Kikan Co., Ltd. (c) | 2,700 | 76,184 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 80,951 | |||
Marvelous, Inc. | 9,200 | 59,993 | |||
Matsui Securities Co., Ltd. | 13,000 | 100,639 | |||
Matsumotokiyoshi Holdings Co., Ltd. | 6,700 | 243,672 | |||
Matsuya Co., Ltd. (c) | 8,800 | 56,078 | |||
Matsuyafoods Holdings Co., Ltd. | 2,200 | 74,696 | |||
Max Co., Ltd. | 4,200 | 59,555 | |||
Mazda Motor Corp. | 51,400 | 310,812 | |||
McDonald's Holdings Co. Japan, Ltd. | 6,300 | 340,784 | |||
MCJ Co., Ltd. | 5,700 | 45,589 | |||
MCUBS MidCity Investment Corp. REIT | 131 | 95,526 | |||
Mebuki Financial Group, Inc. | 86,200 | 200,967 | |||
Medical Data Vision Co., Ltd. (b) | 10,000 | 114,540 | |||
Medipal Holdings Corp. | 18,600 | 359,291 | |||
Megmilk Snow Brand Co., Ltd. | 3,800 | 88,584 | |||
Meidensha Corp. | 4,000 | 65,084 | |||
MEIJI Holdings Co., Ltd. | 10,300 | 820,317 | |||
Meiko Network Japan Co., Ltd. | 10,500 | 83,280 | |||
Meitec Corp. | 2,300 | 111,369 | |||
Menicon Co., Ltd. | 2,000 | 98,935 | |||
Mercari, Inc. (b) | 7,400 | 229,970 | |||
METAWATER Co., Ltd. | 2,100 | 96,814 | |||
Micronics Japan Co., Ltd. | 8,600 | 90,952 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 85,086 | |||
Milbon Co., Ltd. | 1,300 | 62,191 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 93,122 | |||
MINEBEA MITSUMI, Inc. | 33,400 | 609,311 | |||
Ministop Co., Ltd. | 11,400 | 159,968 | |||
Miraca Holdings, Inc. | 4,100 | 96,928 | |||
Mirai Corp. REIT | 175 | 61,838 | |||
Mirait Holdings Corp. | 6,900 | 103,440 | |||
Miroku Jyoho Service Co., Ltd. | 2,500 | 52,677 | |||
MISUMI Group, Inc. | 24,500 | 615,668 | |||
Mitsubishi Chemical Holdings Corp. | 114,000 | 665,364 |
Security Description | Shares | Value | |||
Mitsubishi Corp. | 122,300 | $ 2,586,565 | |||
Mitsubishi Electric Corp. | 165,100 | 2,158,214 | |||
Mitsubishi Estate Co., Ltd. | 107,500 | 1,603,282 | |||
Mitsubishi Estate Logistics REIT Investment Corp. | 37 | 136,238 | |||
Mitsubishi Gas Chemical Co., Inc. | 16,900 | 257,254 | |||
Mitsubishi Heavy Industries, Ltd. | 29,000 | 685,264 | |||
Mitsubishi Logistics Corp. | 6,900 | 178,231 | |||
Mitsubishi Materials Corp. | 11,800 | 249,370 | |||
Mitsubishi Motors Corp. | 64,600 | 160,240 | |||
Mitsubishi Shokuhin Co., Ltd. | 1,300 | 33,239 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,133,600 | 4,465,032 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 40,900 | 195,331 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 65,848 | |||
Mitsui & Co., Ltd. | 149,800 | 2,221,381 | |||
Mitsui Chemicals, Inc. | 18,500 | 387,270 | |||
Mitsui E&S Holdings Co., Ltd. (b) | 6,500 | 25,112 | |||
Mitsui Fudosan Co., Ltd. | 80,100 | 1,424,142 | |||
Mitsui Fudosan Logistics Park, Inc. REIT | 29 | 129,770 | |||
Mitsui Mining & Smelting Co., Ltd. | 3,300 | 67,681 | |||
Mitsui OSK Lines, Ltd. | 10,800 | 192,328 | |||
Mitsui-Soko Holdings Co., Ltd. | 2,000 | 27,760 | |||
Mitsuuroko Group Holdings Co., Ltd. | 3,800 | 40,843 | |||
Miura Co., Ltd. | 7,700 | 321,128 | |||
Mixi, Inc. | 3,900 | 69,037 | |||
Miyazaki Bank, Ltd. | 3,100 | 68,759 | |||
Mizuho Financial Group, Inc. | 2,182,100 | 2,686,320 | |||
Mizuno Corp. | 3,400 | 65,568 | |||
Mochida Pharmaceutical Co., Ltd. | 3,500 | 130,531 | |||
Money Forward, Inc. (b) | 2,200 | 121,955 | |||
Monogatari Corp (c) | 700 | 54,716 | |||
MonotaRO Co., Ltd. | 11,400 | 458,416 | |||
Mori Hills REIT Investment Corp. | 153 | 192,890 | |||
Mori Trust Hotel Reit, Inc. | 98 | 89,488 | |||
Mori Trust Sogo Reit, Inc. | 90 | 111,110 | |||
Morinaga & Co., Ltd. | 3,400 | 132,142 | |||
Morinaga Milk Industry Co., Ltd. | 3,200 | 142,593 | |||
Morita Holdings Corp. | 4,400 | 76,871 | |||
MOS Food Services, Inc. (c) | 3,100 | 85,587 | |||
MS&AD Insurance Group Holdings, Inc. | 42,900 | 1,182,395 | |||
MTI, Ltd. | 10,500 | 62,357 | |||
Murata Manufacturing Co., Ltd. | 52,000 | 3,067,878 | |||
Musashino Bank, Ltd. | 2,300 | 33,000 | |||
Nabtesco Corp. (c) | 9,700 | 300,438 | |||
Nachi-Fujikoshi Corp. (c) | 1,200 | 37,886 |
Security Description | Shares | Value | |||
Nagaileben Co., Ltd. | 3,300 | $ 81,062 | |||
Nagase & Co., Ltd. | 8,100 | 101,408 | |||
Nagoya Railroad Co., Ltd. | 15,500 | 437,237 | |||
Nakanishi, Inc. | 4,700 | 61,487 | |||
Nankai Electric Railway Co., Ltd. | 7,900 | 181,068 | |||
Nanto Bank, Ltd. | 3,100 | 60,406 | |||
NEC Capital Solutions, Ltd. | 3,800 | 70,091 | |||
NEC Corp. | 21,900 | 1,053,078 | |||
NEC Networks & System Integration Corp. | 6,000 | 122,846 | |||
NET One Systems Co., Ltd. | 8,300 | 277,256 | |||
Nexon Co., Ltd. | 46,800 | 1,056,522 | |||
Nextage Co., Ltd. | 6,800 | 54,835 | |||
NGK Insulators, Ltd. | 22,700 | 314,784 | |||
NGK Spark Plug Co., Ltd. | 14,900 | 214,335 | |||
NH Foods, Ltd. | 7,700 | 310,111 | |||
NHK Spring Co., Ltd. | 28,100 | 182,905 | |||
Nichias Corp. | 4,100 | 85,758 | |||
Nichiban Co., Ltd. (c) | 4,600 | 62,411 | |||
Nichiden Corp. | 3,800 | 83,188 | |||
Nichiha Corp. | 2,600 | 55,591 | |||
NichiiGakkan Co., Ltd. | 4,200 | 65,032 | |||
Nichi-iko Pharmaceutical Co., Ltd. | 6,000 | 72,819 | |||
Nichirei Corp. | 8,300 | 242,061 | |||
Nidec Corp. | 40,400 | 2,723,968 | |||
Nifco, Inc. | 6,600 | 141,314 | |||
Nihon Chouzai Co., Ltd. | 4,000 | 59,212 | |||
Nihon Kohden Corp. | 7,200 | 242,197 | |||
Nihon M&A Center, Inc. | 13,000 | 591,707 | |||
Nihon Nohyaku Co., Ltd. (c) | 15,600 | 67,958 | |||
Nihon Parkerizing Co., Ltd. | 12,300 | 123,657 | |||
Nihon Trim Co., Ltd. | 1,800 | 51,477 | |||
Nihon Unisys, Ltd. | 6,600 | 207,685 | |||
Nikkiso Co., Ltd. (c) | 4,200 | 40,173 | |||
Nikkon Holdings Co., Ltd. | 4,900 | 97,500 | |||
Nikon Corp. | 25,700 | 216,017 | |||
Nintendo Co., Ltd. | 10,300 | 4,608,648 | |||
Nippo Corp. | 4,300 | 108,700 | |||
Nippon Accommodations Fund, Inc. REIT | 39 | 225,711 | |||
Nippon Building Fund, Inc. REIT | 119 | 678,290 | |||
Nippon Ceramic Co., Ltd. | 2,800 | 59,234 | |||
Nippon Densetsu Kogyo Co., Ltd. | 3,100 | 68,683 | |||
Nippon Electric Glass Co., Ltd. (c) | 7,500 | 117,910 | |||
Nippon Express Co., Ltd. | 6,400 | 332,139 | |||
Nippon Flour Mills Co., Ltd. | 3,900 | 58,596 | |||
Nippon Gas Co., Ltd. | 2,500 | 107,582 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 73,224 | |||
Nippon Kayaku Co., Ltd. | 13,800 | 144,487 | |||
Nippon Koei Co., Ltd. | 2,400 | 67,202 | |||
Nippon Light Metal Holdings Co., Ltd. | 145,000 | 254,223 |
Security Description | Shares | Value | |||
Nippon Paint Holdings Co., Ltd. (c) | 12,900 | $ 941,670 | |||
Nippon Paper Industries Co., Ltd. | 10,500 | 147,393 | |||
Nippon Parking Development Co., Ltd. | 44,800 | 58,057 | |||
Nippon Prologis REIT, Inc. | 173 | 526,122 | |||
NIPPON REIT Investment Corp. | 38 | 122,941 | |||
Nippon Road Co., Ltd. | 1,200 | 80,850 | |||
Nippon Sharyo, Ltd. (b) | 2,900 | 67,837 | |||
Nippon Shinyaku Co., Ltd. | 4,400 | 359,439 | |||
Nippon Shokubai Co., Ltd. | 3,200 | 167,876 | |||
Nippon Signal Co., Ltd. | 6,300 | 66,377 | |||
Nippon Soda Co., Ltd. | 2,900 | 76,107 | |||
Nippon Steel Corp. | 79,500 | 751,858 | |||
Nippon Suisan Kaisha, Ltd. | 14,200 | 61,860 | |||
Nippon Telegraph & Telephone Corp. | 119,500 | 2,786,605 | |||
Nippon Thompson Co., Ltd. | 17,300 | 54,614 | |||
Nippon Yusen KK | 17,500 | 247,887 | |||
Nipro Corp. | 16,000 | 177,470 | |||
Nishimatsu Construction Co., Ltd. | 4,300 | 85,896 | |||
Nishimatsuya Chain Co., Ltd. | 9,000 | 92,937 | |||
Nishi-Nippon Financial Holdings, Inc. | 11,300 | 76,437 | |||
Nishi-Nippon Railroad Co., Ltd. | 7,200 | 195,532 | |||
Nishio Rent All Co., Ltd. | 2,900 | 59,978 | |||
Nissan Chemical Corp. | 10,900 | 561,260 | |||
Nissan Motor Co., Ltd. | 219,500 | 814,683 | |||
Nisshin Oillio Group, Ltd. | 2,200 | 68,908 | |||
Nisshin Seifun Group, Inc. | 16,400 | 245,082 | |||
Nisshinbo Holdings, Inc. | 12,900 | 93,925 | |||
Nissin Corp. | 4,900 | 69,239 | |||
Nissin Foods Holdings Co., Ltd. | 5,400 | 478,838 | |||
Nissin Kogyo Co., Ltd. | 2,200 | 44,784 | |||
Nitori Holdings Co., Ltd. | 7,100 | 1,393,251 | |||
Nitta Corp. | 1,700 | 37,036 | |||
Nitto Boseki Co., Ltd. | 2,300 | 114,850 | |||
Nitto Denko Corp. | 14,400 | 817,019 | |||
Nitto Kogyo Corp. | 3,700 | 66,535 | |||
Nittoku Co., Ltd. (c) | 2,600 | 73,342 | |||
Noevir Holdings Co., Ltd. | 1,400 | 59,903 | |||
NOF Corp. | 6,100 | 211,375 | |||
Nohmi Bosai, Ltd. | 1,800 | 35,004 | |||
NOK Corp. | 14,600 | 182,000 | |||
Nomura Co., Ltd. | 5,300 | 44,317 | |||
Nomura Holdings, Inc. | 297,200 | 1,336,608 | |||
Nomura Real Estate Holdings, Inc. | 11,300 | 210,552 | |||
Nomura Real Estate Master Fund, Inc. REIT | 354 | 424,338 | |||
Nomura Research Institute, Ltd. | 30,700 | 839,201 | |||
Noritz Corp. | 6,800 | 82,903 | |||
NS Solutions Corp. | 3,800 | 104,038 | |||
NSD Co., Ltd. | 4,800 | 82,120 |
Security Description | Shares | Value | |||
NSK, Ltd. | 38,700 | $ 289,045 | |||
NTN Corp. | 36,100 | 72,572 | |||
NTT Data Corp. | 54,500 | 609,839 | |||
NTT DOCOMO, Inc. | 122,800 | 3,262,815 | |||
Obayashi Corp. | 57,200 | 538,212 | |||
OBIC Business Consultants Co., Ltd. | 2,000 | 106,443 | |||
Obic Co., Ltd. | 5,600 | 987,761 | |||
Odakyu Electric Railway Co., Ltd. | 28,000 | 688,191 | |||
Ogaki Kyoritsu Bank, Ltd. | 3,000 | 63,504 | |||
Ohsho Food Service Corp. | 1,200 | 67,003 | |||
Oiles Corp. | 4,900 | 63,529 | |||
Oisix ra daichi, Inc. (b) | 400 | 7,841 | |||
Oita Bank, Ltd. | 2,700 | 59,785 | |||
Oji Holdings Corp. | 74,500 | 347,859 | |||
Okabe Co., Ltd. | 8,900 | 67,260 | |||
Okamoto Industries, Inc. | 1,900 | 70,141 | |||
Oki Electric Industry Co., Ltd. | 5,300 | 51,246 | |||
Okinawa Electric Power Co., Inc. | 4,935 | 82,258 | |||
OKUMA Corp. | 2,300 | 98,996 | |||
Okumura Corp. | 2,700 | 62,295 | |||
Okuwa Co., Ltd. | 6,200 | 95,306 | |||
Olympus Corp. | 105,400 | 2,030,905 | |||
Omron Corp. | 16,800 | 1,126,172 | |||
One REIT, Inc. | 31 | 74,631 | |||
Ono Pharmaceutical Co., Ltd. | 33,600 | 981,485 | |||
Open House Co., Ltd. | 4,400 | 151,011 | |||
Optex Group Co., Ltd. | 4,700 | 53,617 | |||
Optorun Co., Ltd. | 2,400 | 56,299 | |||
Oracle Corp. Japan | 3,500 | 415,490 | |||
Organo Corp. | 1,500 | 81,220 | |||
Oriental Land Co., Ltd. | 18,100 | 2,393,838 | |||
ORIX Corp. | 119,800 | 1,488,828 | |||
Orix JREIT, Inc. | 224 | 295,508 | |||
Osaka Gas Co., Ltd. | 33,900 | 670,659 | |||
Osaka Soda Co., Ltd. | 2,700 | 59,783 | |||
Osaki Electric Co., Ltd. | 12,500 | 58,500 | |||
OSG Corp. | 6,600 | 101,340 | |||
OSJB Holdings Corp. | 38,400 | 82,588 | |||
Otsuka Corp. | 8,900 | 470,452 | |||
Otsuka Holdings Co., Ltd. | 36,500 | 1,592,067 | |||
Outsourcing, Inc. | 8,200 | 52,316 | |||
Oyo Corp. | 6,900 | 90,260 | |||
Pacific Industrial Co., Ltd. | 3,700 | 32,654 | |||
Pack Corp. (c) | 2,300 | 66,900 | |||
PAL GROUP Holdings Co., Ltd. | 4,400 | 53,121 | |||
PALTAC Corp. | 2,900 | 133,898 | |||
Pan Pacific International Holdings Corp. | 39,500 | 870,384 | |||
Panasonic Corp. | 201,300 | 1,766,682 | |||
Paramount Bed Holdings Co., Ltd. | 1,800 | 73,604 | |||
Park24 Co., Ltd. | 10,500 | 180,173 | |||
Pasona Group, Inc. (c) | 4,800 | 53,355 |
Security Description | Shares | Value | |||
Penta-Ocean Construction Co., Ltd. | 27,600 | $ 149,175 | |||
PeptiDream, Inc. (b) | 7,200 | 332,020 | |||
Persol Holdings Co., Ltd. | 17,000 | 234,572 | |||
Pigeon Corp. (c) | 11,100 | 429,984 | |||
Pilot Corp. | 2,400 | 73,074 | |||
Piolax, Inc. | 2,400 | 35,932 | |||
PKSHA Technology, Inc. (b)(c) | 1,700 | 46,107 | |||
Plenus Co., Ltd. (c) | 4,100 | 68,128 | |||
Pola Orbis Holdings, Inc. | 9,700 | 169,489 | |||
Premier Investment Corp. REIT | 96 | 106,742 | |||
Pressance Corp. | 4,300 | 47,450 | |||
Prestige International, Inc. | 8,800 | 66,360 | |||
Prima Meat Packers, Ltd. | 3,400 | 91,389 | |||
Proto Corp. | 3,000 | 28,013 | |||
Raiznext Corp. | 6,900 | 78,046 | |||
Raksul, Inc. (b)(c) | 2,100 | 57,332 | |||
Rakus Co., Ltd. | 4,800 | 84,911 | |||
Rakuten, Inc. | 79,500 | 702,809 | |||
Raysum Co., Ltd. | 6,800 | 60,035 | |||
Recruit Holdings Co., Ltd. | 125,800 | 4,329,892 | |||
Relia, Inc. | 5,700 | 53,130 | |||
Relo Group, Inc. | 10,800 | 203,962 | |||
Renesas Electronics Corp. (b) | 59,800 | 307,653 | |||
Rengo Co., Ltd. | 9,900 | 80,770 | |||
Resona Holdings, Inc. | 175,500 | 601,043 | |||
Resorttrust, Inc. | 7,400 | 96,121 | |||
Restar Holdings Corp. | 4,300 | 83,748 | |||
Retail Partners Co., Ltd. | 8,600 | 135,613 | |||
Rheon Automatic Machinery Co., Ltd. (c) | 4,900 | 56,454 | |||
Ricoh Co., Ltd. | 61,000 | 438,075 | |||
Ricoh Leasing Co., Ltd. | 1,200 | 33,145 | |||
Riken Keiki Co., Ltd. (c) | 3,700 | 81,994 | |||
Riken Vitamin Co., Ltd. | 4,400 | 93,085 | |||
Ringer Hut Co., Ltd. | 4,000 | 87,047 | |||
Rinnai Corp. | 2,600 | 217,914 | |||
Riso Kagaku Corp. (c) | 1,800 | 24,906 | |||
Riso Kyoiku Co., Ltd. | 12,100 | 36,591 | |||
Rock Field Co., Ltd. (c) | 6,900 | 83,396 | |||
Rohm Co., Ltd. | 8,100 | 539,029 | |||
Rohto Pharmaceutical Co., Ltd. | 7,300 | 232,080 | |||
Round One Corp. (c) | 4,900 | 35,464 | |||
Ryohin Keikaku Co., Ltd. | 18,500 | 263,355 | |||
Ryosan Co., Ltd. | 2,800 | 57,765 | |||
Ryoyo Electro Corp. | 4,900 | 132,984 | |||
S Foods, Inc. | 1,500 | 36,676 | |||
Saizeriya Co., Ltd. | 2,700 | 52,366 | |||
Sakai Chemical Industry Co., Ltd. (c) | 3,000 | 56,825 | |||
Sakai Moving Service Co., Ltd. | 1,200 | 61,280 | |||
Sakata INX Corp. | 6,900 | 65,986 | |||
Sakata Seed Corp. | 2,600 | 83,113 | |||
SAMTY Co., Ltd. | 4,100 | 52,276 | |||
Samty Residential Investment Corp. REIT | 80 | 78,642 |
Security Description | Shares | Value | |||
San ju San Financial Group, Inc. | 5,200 | $ 63,943 | |||
San-A Co., Ltd. | 1,500 | 57,549 | |||
San-Ai Oil Co., Ltd. | 7,300 | 66,057 | |||
SanBio Co., Ltd. (b)(c) | 2,600 | 40,511 | |||
Sangetsu Corp. | 5,700 | 80,781 | |||
San-In Godo Bank, Ltd. | 12,800 | 64,658 | |||
Sanken Electric Co., Ltd. | 3,300 | 65,036 | |||
Sankyo Co., Ltd. | 3,800 | 92,057 | |||
Sankyo Tateyama, Inc. | 6,600 | 58,888 | |||
Sankyu, Inc. | 4,900 | 184,838 | |||
Sanrio Co., Ltd. (c) | 4,400 | 68,288 | |||
Sanshin Electronics Co., Ltd. | 5,100 | 72,918 | |||
Santen Pharmaceutical Co., Ltd. | 31,000 | 571,169 | |||
Sanwa Holdings Corp. | 17,000 | 152,899 | |||
Sapporo Holdings, Ltd. | 6,900 | 129,862 | |||
Sato Holdings Corp. | 2,600 | 56,589 | |||
Sawai Pharmaceutical Co., Ltd. | 2,900 | 149,179 | |||
SBI Holdings, Inc. | 19,900 | 432,200 | |||
SBS Holdings, Inc. | 4,500 | 92,975 | |||
SCREEN Holdings Co., Ltd. (c) | 2,500 | 117,551 | |||
SCSK Corp. | 4,000 | 195,862 | |||
Secom Co., Ltd. | 19,000 | 1,668,502 | |||
Sega Sammy Holdings, Inc. | 18,200 | 218,349 | |||
Seibu Holdings, Inc. | 17,600 | 191,862 | |||
Seiko Epson Corp. | 23,200 | 265,993 | |||
Seino Holdings Co., Ltd. | 12,900 | 168,298 | |||
Sekisui Chemical Co., Ltd. | 30,700 | 440,228 | |||
Sekisui House Reit, Inc. | 369 | 237,029 | |||
Sekisui House, Ltd. | 56,200 | 1,073,874 | |||
Sekisui Jushi Corp. | 3,600 | 72,490 | |||
Sekisui Plastics Co., Ltd. | 10,300 | 55,453 | |||
Senko Group Holdings Co., Ltd. | 8,900 | 66,207 | |||
Senshu Ikeda Holdings, Inc. | 18,200 | 27,180 | |||
Seria Co., Ltd. | 3,600 | 128,507 | |||
Seven & i Holdings Co., Ltd. | 68,200 | 2,232,923 | |||
Seven Bank, Ltd. | 72,000 | 197,505 | |||
SG Holdings Co., Ltd. | 11,600 | 378,866 | |||
Sharp Corp. | 16,900 | 181,396 | |||
Shibaura Machine Co., Ltd. | 1,700 | 34,166 | |||
Shibuya Corp. | 1,200 | 31,347 | |||
SHIFT, Inc. (b) | 1,300 | 132,867 | |||
Shiga Bank, Ltd. | 4,200 | 93,620 | |||
Shikoku Bank, Ltd. | 8,000 | 58,493 | |||
Shikoku Chemicals Corp. | 6,600 | 66,776 | |||
Shikoku Electric Power Co., Inc. | 8,500 | 62,597 | |||
Shima Seiki Manufacturing, Ltd. | 2,400 | 34,357 | |||
Shimachu Co., Ltd. | 6,000 | 166,896 | |||
Shimadzu Corp. | 20,100 | 537,061 | |||
Shimamura Co., Ltd. | 2,300 | 155,914 | |||
Shimano, Inc. | 6,500 | 1,250,919 | |||
Shimizu Corp. | 51,800 | 427,089 | |||
Shin-Etsu Chemical Co., Ltd. | 32,600 | 3,829,176 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 82,791 | |||
Shinko Electric Industries Co., Ltd. | 6,100 | 82,876 | |||
Shinsei Bank, Ltd. | 14,900 | 180,369 |
Security Description | Shares | Value | |||
Shionogi & Co., Ltd. | 23,900 | $ 1,500,577 | |||
Ship Healthcare Holdings, Inc. | 3,700 | 154,978 | |||
Shiseido Co., Ltd. | 36,400 | 2,321,366 | |||
Shizuoka Bank, Ltd. | 39,800 | 256,248 | |||
Shizuoka Gas Co., Ltd. (c) | 8,100 | 74,300 | |||
SHO-BOND Holdings Co., Ltd. | 4,400 | 195,890 | |||
Shochiku Co., Ltd. | 900 | 124,079 | |||
Shoei Co., Ltd. | 3,200 | 80,234 | |||
Shoei Foods Corp. (c) | 2,300 | 89,781 | |||
Showa Corp. | 3,400 | 70,333 | |||
Showa Denko KK (c) | 11,800 | 266,565 | |||
Showa Sangyo Co., Ltd. | 2,400 | 73,598 | |||
Sinko Industries, Ltd. | 3,500 | 47,346 | |||
Sintokogio, Ltd. | 7,900 | 58,138 | |||
Skylark Holdings Co., Ltd. (c) | 17,100 | 271,912 | |||
SMC Corp. | 5,200 | 2,674,618 | |||
SMS Co., Ltd. | 5,500 | 123,873 | |||
Sodick Co., Ltd. | 9,700 | 71,971 | |||
Softbank Corp. | 168,700 | 2,152,084 | |||
SoftBank Group Corp. | 144,300 | 7,282,781 | |||
Sohgo Security Services Co., Ltd. | 6,100 | 285,068 | |||
Sojitz Corp. | 96,600 | 211,313 | |||
Solasto Corp. | 6,300 | 62,826 | |||
Sompo Holdings, Inc. | 31,600 | 1,088,749 | |||
Sony Corp. | 117,000 | 8,083,262 | |||
Sony Financial Holdings, Inc. | 13,000 | 314,146 | |||
Sosei Group Corp. (b)(c) | 6,100 | 98,700 | |||
Sotetsu Holdings, Inc. | 6,500 | 173,632 | |||
S-Pool, Inc. | 7,200 | 49,500 | |||
Square Enix Holdings Co., Ltd. | 8,900 | 451,287 | |||
St Marc Holdings Co., Ltd. | 4,800 | 74,117 | |||
Stanley Electric Co., Ltd. | 13,000 | 314,961 | |||
Star Asia Investment Corp. REIT (c) | 82 | 72,603 | |||
Star Micronics Co., Ltd. | 4,800 | 53,712 | |||
Starts Corp., Inc. | 2,800 | 57,523 | |||
Starts Proceed Investment Corp. REIT | 62 | 118,223 | |||
Starzen Co., Ltd. | 1,700 | 66,981 | |||
Stella Chemifa Corp. | 2,900 | 65,424 | |||
Strike Co., Ltd. | 1,300 | 58,440 | |||
Studio Alice Co., Ltd. | 4,800 | 70,196 | |||
Subaru Corp. | 57,700 | 1,209,227 | |||
Sugi Holdings Co., Ltd. | 3,500 | 237,548 | |||
SUMCO Corp. | 23,600 | 363,132 | |||
Sumitomo Bakelite Co., Ltd. | 1,800 | 50,880 | |||
Sumitomo Chemical Co., Ltd. | 135,600 | 408,334 | |||
Sumitomo Corp. | 110,700 | 1,274,271 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 13,200 | 183,073 | |||
Sumitomo Electric Industries, Ltd. | 69,400 | 801,246 | |||
Sumitomo Forestry Co., Ltd. | 11,300 | 142,284 | |||
Sumitomo Heavy Industries, Ltd. | 9,500 | 207,948 |
Security Description | Shares | Value | |||
Sumitomo Metal Mining Co., Ltd. | 21,400 | $ 603,336 | |||
Sumitomo Mitsui Construction Co., Ltd. | 14,000 | 61,101 | |||
Sumitomo Mitsui Financial Group, Inc. | 121,100 | 3,420,510 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 29,900 | 843,296 | |||
Sumitomo Osaka Cement Co., Ltd. | 2,900 | 102,267 | |||
Sumitomo Realty & Development Co., Ltd. | 29,700 | 820,483 | |||
Sumitomo Rubber Industries, Ltd. (c) | 21,500 | 213,124 | |||
Sumitomo Seika Chemicals Co., Ltd. | 2,400 | 78,245 | |||
Sumitomo Warehouse Co., Ltd. | 5,100 | 61,625 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 46,242 | |||
Sundrug Co., Ltd. | 5,600 | 185,491 | |||
Suntory Beverage & Food, Ltd. | 12,600 | 492,040 | |||
Suruga Bank, Ltd. (c) | 13,500 | 47,490 | |||
Sushiro Global Holdings, Ltd. | 7,600 | 168,653 | |||
Suzuken Co., Ltd. | 6,100 | 228,084 | |||
Suzuki Motor Corp. | 32,300 | 1,103,839 | |||
Sysmex Corp. | 15,600 | 1,198,481 | |||
Systena Corp. | 4,700 | 62,479 | |||
T Hasegawa Co., Ltd. | 4,000 | 89,614 | |||
T&D Holdings, Inc. | 45,100 | 387,696 | |||
Tadano, Ltd. (c) | 8,800 | 73,593 | |||
Taihei Dengyo Kaisha, Ltd. (c) | 3,100 | 66,359 | |||
Taiheiyo Cement Corp. | 9,100 | 211,607 | |||
Taikisha, Ltd. | 3,300 | 91,541 | |||
Taisei Corp. | 19,500 | 711,292 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,800 | 233,389 | |||
Taiyo Holdings Co., Ltd. | 1,600 | 73,948 | |||
Taiyo Nippon Sanso Corp. | 10,600 | 177,410 | |||
Taiyo Yuden Co., Ltd. | 9,200 | 287,928 | |||
Takamatsu Construction Group Co., Ltd. | 1,300 | 29,137 | |||
Takara Bio, Inc. | 5,600 | 159,667 | |||
Takara Holdings, Inc. | 10,300 | 92,261 | |||
Takara Leben Co., Ltd. | 21,500 | 72,152 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 70,576 | |||
Takasago International Corp. | 2,900 | 58,018 | |||
Takasago Thermal Engineering Co., Ltd. | 4,000 | 58,880 | |||
Takashimaya Co., Ltd. | 14,800 | 124,031 | |||
Takeda Pharmaceutical Co., Ltd. | 142,838 | 5,136,156 | |||
Takuma Co., Ltd. | 6,200 | 85,577 | |||
Tamron Co., Ltd. | 2,900 | 50,205 | |||
Tamura Corp. | 13,300 | 56,454 | |||
Tanseisha Co., Ltd. | 6,300 | 44,060 | |||
Tatsuta Electric Wire and Cable Co., Ltd. | 19,100 | 101,929 | |||
Tayca Corp. (c) | 3,800 | 48,893 |
Security Description | Shares | Value | |||
TDK Corp. | 11,800 | $ 1,175,686 | |||
TechMatrix Corp. | 3,200 | 55,898 | |||
TechnoPro Holdings, Inc. | 2,400 | 138,667 | |||
Teijin, Ltd. | 18,900 | 301,170 | |||
Teikoku Sen-I Co., Ltd. | 4,100 | 87,225 | |||
Tekken Corp. | 3,100 | 59,566 | |||
Tenma Corp. | 3,800 | 58,661 | |||
Terumo Corp. | 58,400 | 2,224,720 | |||
T-Gaia Corp. | 1,700 | 32,159 | |||
THK Co., Ltd. | 10,300 | 256,659 | |||
TIS, Inc. | 19,500 | 413,210 | |||
TKC Corp. | 1,500 | 79,589 | |||
Toagosei Co., Ltd. | 9,600 | 94,371 | |||
Tobu Railway Co., Ltd. | 16,100 | 532,378 | |||
TOC Co., Ltd. | 8,700 | 55,121 | |||
Tocalo Co., Ltd. | 8,100 | 87,566 | |||
Toda Corp. | 27,100 | 175,456 | |||
Toei Animation Co., Ltd. (c) | 700 | 32,837 | |||
Toei Co., Ltd. | 800 | 107,204 | |||
Toho Bank, Ltd. | 30,200 | 62,726 | |||
Toho Co., Ltd. | 9,200 | 332,591 | |||
Toho Gas Co., Ltd. | 6,000 | 300,145 | |||
Toho Holdings Co., Ltd. | 3,900 | 72,950 | |||
Tohoku Electric Power Co., Inc. | 35,200 | 334,664 | |||
Tokai Carbon Co., Ltd. | 16,500 | 156,054 | |||
TOKAI Holdings Corp. | 8,800 | 81,454 | |||
Tokai Rika Co., Ltd. | 4,700 | 68,443 | |||
Token Corp. | 1,100 | 71,824 | |||
Tokio Marine Holdings, Inc. | 57,800 | 2,532,190 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 86,018 | |||
Tokuyama Corp. | 5,100 | 120,769 | |||
Tokyo Century Corp. | 3,700 | 189,621 | |||
Tokyo Dome Corp. | 7,300 | 52,504 | |||
Tokyo Electric Power Co. Holdings, Inc. (b) | 146,300 | 450,421 | |||
Tokyo Electron, Ltd. | 14,600 | 3,605,465 | |||
Tokyo Gas Co., Ltd. | 32,700 | 783,642 | |||
Tokyo Kiraboshi Financial Group, Inc. | 5,600 | 57,430 | |||
Tokyo Ohka Kogyo Co., Ltd. (c) | 2,200 | 110,423 | |||
Tokyo Seimitsu Co., Ltd. | 2,400 | 77,050 | |||
Tokyo Steel Manufacturing Co., Ltd. | 15,900 | 91,643 | |||
Tokyo Tatemono Co., Ltd. | 22,600 | 260,341 | |||
Tokyu Corp. | 45,200 | 636,872 | |||
Tokyu Fudosan Holdings Corp. | 52,900 | 249,074 | |||
Tokyu REIT, Inc. | 63 | 86,300 | |||
TOMONY Holdings, Inc. | 28,300 | 91,094 | |||
Tomy Co., Ltd. | 8,100 | 64,092 | |||
Tonami Holdings Co., Ltd. | 1,700 | 89,412 | |||
Topcon Corp. | 7,000 | 56,667 | |||
Toppan Forms Co., Ltd. | 4,000 | 39,756 | |||
Toppan Printing Co., Ltd. | 24,200 | 404,935 | |||
Topre Corp. | 2,800 | 31,412 | |||
Toray Industries, Inc. | 125,400 | 592,385 | |||
Tosei Corp. | 5,700 | 60,346 |
Security Description | Shares | Value | |||
Toshiba Corp. | 38,100 | $ 1,223,259 | |||
Toshiba TEC Corp. | 2,300 | 88,261 | |||
Tosoh Corp. | 27,200 | 373,955 | |||
Totetsu Kogyo Co., Ltd. | 2,900 | 73,269 | |||
TOTO, Ltd. | 11,900 | 457,918 | |||
Towa Bank, Ltd. | 9,500 | 61,693 | |||
Toyo Construction Co., Ltd. | 16,800 | 62,734 | |||
Toyo Ink SC Holdings Co., Ltd. | 4,100 | 77,797 | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | 187,358 | |||
Toyo Suisan Kaisha, Ltd. | 8,200 | 458,548 | |||
Toyo Tire Corp. | 10,800 | 145,870 | |||
Toyobo Co., Ltd. | 7,200 | 100,400 | |||
Toyoda Gosei Co., Ltd. | 5,300 | 110,828 | |||
Toyota Boshoku Corp. | 8,800 | 118,767 | |||
Toyota Industries Corp. | 13,100 | 696,880 | |||
Toyota Motor Corp. | 209,888 | 13,209,621 | |||
Toyota Tsusho Corp. | 17,600 | 449,197 | |||
Trancom Co., Ltd. | 1,300 | 83,677 | |||
Transcosmos, Inc. | 2,100 | 48,836 | |||
Trend Micro, Inc. | 12,100 | 676,766 | |||
Tri Chemical Laboratories, Inc. | 500 | 53,948 | |||
Trusco Nakayama Corp. | 2,900 | 75,327 | |||
TS Tech Co., Ltd. | 5,800 | 160,015 | |||
Tsubaki Nakashima Co., Ltd. | 4,800 | 37,731 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 56,729 | |||
Tsukui Corp. | 17,600 | 82,779 | |||
Tsumura & Co. | 6,000 | 157,274 | |||
Tsuruha Holdings, Inc. (c) | 3,300 | 456,153 | |||
Tsurumi Manufacturing Co., Ltd. | 1,400 | 24,020 | |||
TV Asahi Holdings Corp. | 1,900 | 27,705 | |||
Ube Industries, Ltd. | 7,800 | 134,542 | |||
Ulvac, Inc. | 2,100 | 61,018 | |||
Unicharm Corp. | 36,700 | 1,506,414 | |||
Union Tool Co. (c) | 2,400 | 58,707 | |||
Unipres Corp. | 3,300 | 28,966 | |||
United Arrows, Ltd. | 2,300 | 39,090 | |||
United Urban Investment Corp. REIT | 243 | 261,941 | |||
Universal Entertainment Corp. (b)(c) | 2,100 | 41,034 | |||
Ushio, Inc. | 13,700 | 183,183 | |||
USS Co., Ltd. | 18,800 | 301,622 | |||
UT Group Co., Ltd. (b)(c) | 3,200 | 73,698 | |||
UUUM, Inc. (b)(c) | 1,500 | 34,545 | |||
Valor Holdings Co., Ltd. | 4,500 | 88,072 | |||
Valqua, Ltd. | 4,600 | 82,786 | |||
ValueCommerce Co., Ltd. | 1,500 | 40,370 | |||
Vector, Inc. (b) | 3,200 | 26,046 | |||
Vision, Inc. (b)(c) | 2,300 | 14,517 | |||
Vital KSK Holdings, Inc. | 7,300 | 70,140 | |||
VT Holdings Co., Ltd. | 20,000 | 65,493 | |||
Wacoal Holdings Corp. | 7,800 | 144,716 | |||
Wakita & Co., Ltd. | 7,000 | 60,336 |
Security Description | Shares | Value | |||
Warabeya Nichiyo Holdings Co., Ltd. (c) | 5,500 | $ 86,754 | |||
WATAMI Co., Ltd. (c) | 10,500 | 92,799 | |||
WDB Holdings Co., Ltd. (c) | 2,600 | 64,324 | |||
Welcia Holdings Co., Ltd. | 4,500 | 363,845 | |||
West Japan Railway Co. | 14,700 | 825,196 | |||
World Co., Ltd. | 3,100 | 47,391 | |||
Xebio Holdings Co., Ltd. | 7,300 | 56,923 | |||
Yakult Honsha Co., Ltd. | 11,300 | 665,378 | |||
YAKUODO Holdings Co., Ltd. | 3,100 | 75,812 | |||
YAMABIKO Corp. | 6,300 | 52,652 | |||
YAMADA Consulting Group Co., Ltd. | 4,400 | 54,993 | |||
Yamada Denki Co., Ltd. | 59,400 | 294,894 | |||
Yamagata Bank, Ltd. | 5,300 | 65,554 | |||
Yamaguchi Financial Group, Inc. | 16,300 | 100,250 | |||
Yamaha Corp. | 12,400 | 585,335 | |||
Yamaha Motor Co., Ltd. | 23,700 | 373,585 | |||
Yamanashi Chuo Bank, Ltd. | 7,300 | 57,837 | |||
Yamashin-Filter Corp. (c) | 8,400 | 82,977 | |||
Yamato Holdings Co., Ltd. | 29,500 | 640,903 | |||
Yamato Kogyo Co., Ltd. | 7,700 | 157,595 | |||
Yamazaki Baking Co., Ltd. (c) | 11,200 | 192,546 | |||
Yamazen Corp. | 8,300 | 70,155 | |||
Yaoko Co., Ltd. | 1,700 | 121,785 | |||
Yaskawa Electric Corp. | 21,700 | 754,988 | |||
Yellow Hat, Ltd. | 4,700 | 64,795 | |||
Yodogawa Steel Works, Ltd. | 1,700 | 29,655 | |||
Yokogawa Electric Corp. | 19,200 | 301,090 | |||
Yokohama Reito Co., Ltd. | 11,000 | 91,259 | |||
Yokohama Rubber Co., Ltd. | 10,800 | 152,840 | |||
Yokowo Co., Ltd. | 1,700 | 39,742 | |||
Yomiuri Land Co., Ltd. | 2,600 | 85,858 | |||
Yonex Co., Ltd. (c) | 14,000 | 76,269 | |||
Yoshinoya Holdings Co., Ltd. | 3,700 | 76,532 | |||
Yuasa Trading Co., Ltd. | 3,200 | 86,577 | |||
Yumeshin Holdings Co., Ltd. (c) | 8,100 | 44,535 | |||
Yushin Precision Equipment Co., Ltd. (c) | 8,100 | 53,828 | |||
Z Holdings Corp. | 237,300 | 1,165,574 | |||
Zenkoku Hosho Co., Ltd. | 4,700 | 177,704 | |||
Zensho Holdings Co., Ltd. | 8,400 | 170,028 | |||
Zeon Corp. | 15,600 | 144,186 | |||
ZIGExN Co., Ltd. | 13,400 | 42,181 | |||
Zojirushi Corp. (c) | 5,000 | 63,481 | |||
ZOZO, Inc. (c) | 8,300 | 185,179 | |||
373,631,869 | |||||
JORDAN — 0.0% (a) | |||||
Hikma Pharmaceuticals PLC | 13,975 | 382,406 | |||
KAZAKHSTAN — 0.0% (a) | |||||
KAZ Minerals PLC (c) | 18,265 | 112,210 | |||
LIECHTENSTEIN — 0.0% (a) | |||||
Liechtensteinische Landesbank AG | 1,120 | 68,794 |
Security Description | Shares | Value | |||
VP Bank AG | 299 | $ 38,937 | |||
107,731 | |||||
LUXEMBOURG — 0.1% | |||||
APERAM SA | 4,543 | 127,321 | |||
ArcelorMittal SA (b) | 65,357 | 692,037 | |||
Corp. America Airports SA (b)(c) | 3,000 | 6,540 | |||
Eurofins Scientific SE | 1,222 | 770,517 | |||
Millicom International Cellular SA SDR | 10,056 | 264,772 | |||
Reinet Investments SCA | 15,345 | 268,986 | |||
SES SA | 32,952 | 225,087 | |||
Solutions 30 SE (b) | 7,448 | 107,401 | |||
Tenaris SA | 37,542 | 243,895 | |||
2,706,556 | |||||
MACAU — 0.0% (a) | |||||
Macau Legend Development, Ltd. (b) | 509,000 | 69,217 | |||
Wynn Macau, Ltd. | 164,400 | 285,143 | |||
354,360 | |||||
MALAYSIA — 0.5% | |||||
AirAsia Group Bhd | 140,400 | 29,018 | |||
Alliance Bank Malaysia Bhd | 140,600 | 71,857 | |||
AMMB Holdings Bhd | 132,400 | 96,482 | |||
Axiata Group Bhd | 190,711 | 158,793 | |||
Berjaya Sports Toto Bhd | 114,400 | 58,925 | |||
BerMaz Motor Sdn Bhd (b) | 173,300 | 60,193 | |||
British American Tobacco Malaysia Bhd | 23,500 | 59,451 | |||
Bursa Malaysia Bhd | 56,000 | 95,598 | |||
Carlsberg Brewery Malaysia Bhd Class B | 11,200 | 65,118 | |||
CIMB Group Holdings Bhd | 359,848 | 300,199 | |||
Dialog Group Bhd | 340,100 | 288,231 | |||
DiGi.Com Bhd | 287,200 | 289,776 | |||
Eco World Development Group Bhd (b) | 487,200 | 47,700 | |||
Fraser & Neave Holdings Bhd | 17,600 | 133,664 | |||
Gamuda Bhd | 130,759 | 111,723 | |||
Genting Bhd | 190,200 | 183,194 | |||
Genting Malaysia Bhd | 259,500 | 154,338 | |||
Genting Plantations Bhd | 24,900 | 57,486 | |||
Globetronics Technology Bhd | 140,900 | 70,942 | |||
HAP Seng Consolidated Bhd | 66,200 | 136,316 | |||
Hartalega Holdings Bhd | 138,200 | 421,552 | |||
Hong Leong Bank Bhd | 60,032 | 198,193 | |||
Hong Leong Financial Group Bhd | 20,700 | 63,692 | |||
IGB Real Estate Investment Trust | 237,700 | 99,296 | |||
IHH Healthcare Bhd | 160,100 | 206,384 | |||
IJM Corp. Bhd | 331,300 | 140,864 | |||
Inari Amertron Bhd | 243,500 | 97,083 | |||
IOI Corp. Bhd | 232,200 | 235,922 | |||
Kossan Rubber Industries | 53,200 | 106,304 |
Security Description | Shares | Value | |||
Kuala Lumpur Kepong Bhd | 43,969 | $ 227,704 | |||
Magnum Bhd | 109,300 | 56,318 | |||
Malayan Banking Bhd | 363,364 | 638,467 | |||
Malaysia Airports Holdings Bhd | 66,124 | 84,449 | |||
Maxis Bhd | 258,800 | 325,064 | |||
MISC Bhd | 127,400 | 228,232 | |||
My EG Services Bhd | 206,300 | 68,962 | |||
Nestle Malaysia Bhd | 6,300 | 205,912 | |||
Pavilion Real Estate Investment Trust | 207,000 | 77,324 | |||
Petronas Chemicals Group Bhd | 221,700 | 323,027 | |||
Petronas Dagangan Bhd | 22,600 | 108,921 | |||
Petronas Gas Bhd | 73,100 | 289,339 | |||
PPB Group Bhd | 59,080 | 245,888 | |||
Press Metal Aluminium Holdings Bhd | 136,100 | 144,810 | |||
Public Bank Bhd | 282,300 | 1,090,065 | |||
QL Resources Bhd | 61,700 | 138,180 | |||
RHB Bank Bhd | 128,959 | 144,550 | |||
Sime Darby Bhd | 142,535 | 71,865 | |||
Sime Darby Plantation Bhd | 213,335 | 246,282 | |||
Sime Darby Property Bhd | 142,535 | 22,698 | |||
SKP Resources Bhd | 271,300 | 86,065 | |||
SP Setia Bhd Group | 134,214 | 26,702 | |||
Sunway Real Estate Investment Trust | 264,700 | 100,182 | |||
Supermax Corp. Bhd (b) | 189,470 | 355,731 | |||
Telekom Malaysia Bhd | 91,003 | 88,398 | |||
Tenaga Nasional Bhd | 289,200 | 786,367 | |||
TIME dotCom Bhd | 41,100 | 104,497 | |||
Top Glove Corp. Bhd | 142,000 | 535,897 | |||
ViTrox Corp. Bhd | 35,300 | 75,448 | |||
VS Industry Bhd | 222,000 | 50,861 | |||
Westports Holdings Bhd | 92,500 | 82,102 | |||
Yinson Holdings Bhd | 43,900 | 60,725 | |||
YTL Corp. Bhd | 36,408 | 7,082 | |||
11,136,408 | |||||
MALTA — 0.0% (a) | |||||
Kindred Group PLC SDR | 18,874 | 113,963 | |||
MEXICO — 0.5% | |||||
Alfa SAB de CV Class A | 273,600 | 153,335 | |||
Alpek SAB de CV (c) | 39,100 | 29,595 | |||
Alsea SAB de CV (b) | 45,700 | 44,717 | |||
America Movil SAB de CV Series L | 3,192,400 | 2,037,820 | |||
Arca Continental SAB de CV | 54,500 | 237,628 | |||
Axtel SAB de CV (b) | 78,800 | 13,436 | |||
Banco del Bajio SA (e) | 67,700 | 57,249 | |||
Becle SAB de CV | 50,700 | 97,113 | |||
Bolsa Mexicana de Valores SAB de CV (c) | 43,400 | 80,801 | |||
Cemex SAB de CV Series CPO | 1,400,964 | 392,879 | |||
Coca-Cola Femsa SAB de CV | 62,500 | 272,158 | |||
Concentradora Fibra Danhos SA de CV REIT | 25,800 | 24,385 |
Security Description | Shares | Value | |||
Controladora Vuela Cia de Aviacion SAB de CV Class A (b)(c) | 71,100 | $ 36,955 | |||
Corp. Inmobiliaria Vesta SAB de CV | 55,600 | 82,051 | |||
Fibra Uno Administracion SA de CV REIT | 292,300 | 230,860 | |||
Fomento Economico Mexicano SAB de CV | 180,000 | 1,109,975 | |||
Genomma Lab Internacional SAB de CV Class B (b) | 73,200 | 74,350 | |||
Gentera SAB de CV (c) | 114,600 | 54,605 | |||
Gruma SAB de CV Class B | 24,445 | 262,413 | |||
Grupo Aeroportuario del Centro Norte SAB de CV (b) | 31,800 | 147,048 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 35,300 | 252,479 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 19,230 | 213,588 | |||
Grupo Bimbo SAB de CV Class A (c) | 189,900 | 316,158 | |||
Grupo Carso SAB de CV Series A1 | 41,500 | 80,496 | |||
Grupo Cementos de Chihuahua SAB de CV | 16,800 | 70,306 | |||
Grupo Comercial Chedraui SA de CV | 30,395 | 35,476 | |||
Grupo Financiero Banorte SAB de CV Series O | 240,200 | 828,699 | |||
Grupo Financiero Inbursa SAB de CV Series O | 293,600 | 202,662 | |||
Grupo Herdez SAB de CV | 19,657 | 28,898 | |||
Grupo Mexico SAB de CV Class B | 316,400 | 731,607 | |||
Grupo Rotoplas SAB de CV | 16,200 | 10,243 | |||
Grupo Televisa SAB Series CPO (b)(c) | 223,000 | 232,873 | |||
Industrias Penoles SAB de CV | 12,650 | 128,460 | |||
Infraestructura Energetica Nova SAB de CV | 49,500 | 142,093 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 138,600 | 215,215 | |||
La Comer SAB de CV | 43,700 | 60,537 | |||
Macquarie Mexico Real Estate Management SA de CV REIT (e) | 141,200 | 144,151 | |||
Megacable Holdings SAB de CV | 45,900 | 133,626 | |||
Orbia Advance Corp. SAB de CV | 151,257 | 222,431 | |||
PLA Administradora Industrial S de RL de CV REIT | 130,200 | 150,727 | |||
Prologis Property Mexico SA de CV REIT | 47,614 | 84,711 | |||
Promotora y Operadora de Infraestructura SAB de CV (b) | 26,395 | 189,118 |
Security Description | Shares | Value | |||
Qualitas Controladora SAB de CV | 17,900 | $ 69,975 | |||
Regional SAB de CV (b) | 21,200 | 56,736 | |||
Telesites SAB de CV (b) | 129,400 | 81,593 | |||
Wal-Mart de Mexico SAB de CV | 484,800 | 1,157,083 | |||
11,279,314 | |||||
NETHERLANDS — 2.8% | |||||
Aalberts NV | 9,003 | 295,124 | |||
ABN AMRO Bank NV (e) | 38,263 | 329,175 | |||
Accell Group NV (b) | 2,918 | 72,536 | |||
Adyen NV (b)(e) | 1,695 | 2,466,294 | |||
Aegon NV | 176,785 | 522,408 | |||
Akzo Nobel NV | 19,000 | 1,706,440 | |||
Altice Europe NV (b) | 57,747 | 223,269 | |||
AMG Advanced Metallurgical Group NV | 2,837 | 50,561 | |||
Arcadis NV (b) | 6,545 | 118,603 | |||
Argenx SE (b) | 3,846 | 865,432 | |||
ASM International NV | 3,944 | 606,976 | |||
ASML Holding NV | 39,529 | 14,455,717 | |||
ASR Nederland NV | 12,754 | 392,285 | |||
Basic-Fit NV (b)(c)(e) | 5,317 | 140,663 | |||
BE Semiconductor Industries NV | 8,196 | 363,295 | |||
Boskalis Westminster (b)(c) | 9,394 | 185,444 | |||
Brack Capital Properties NV (b) | 593 | 38,774 | |||
Corbion NV | 5,892 | 212,255 | |||
Eurocommercial Properties NV REIT (c) | 4,112 | 53,016 | |||
Euronext NV (e) | 5,066 | 509,755 | |||
EXOR NV | 9,861 | 565,818 | |||
Flow Traders (e) | 2,816 | 100,724 | |||
ForFarmers NV | 3,364 | 20,554 | |||
Fugro NV (b) | 10,722 | 42,469 | |||
Heineken Holding NV | 10,699 | 875,408 | |||
Heineken NV | 24,080 | 2,219,350 | |||
IMCD NV | 4,757 | 448,443 | |||
ING Groep NV | 361,167 | 2,516,876 | |||
Intertrust NV (e) | 7,353 | 125,199 | |||
Just Eat Takeaway (b)(e) | 5,995 | 623,366 | |||
Just Eat Takeaway.com NV (b)(e) | 4,690 | 490,069 | |||
Koninklijke Ahold Delhaize NV | 101,877 | 2,775,698 | |||
Koninklijke BAM Groep NV (b) | 23,957 | 43,476 | |||
Koninklijke DSM NV | 17,111 | 2,374,575 | |||
Koninklijke KPN NV | 341,013 | 906,783 | |||
Koninklijke Philips NV (b) | 84,068 | 3,920,359 | |||
Koninklijke Vopak NV | 6,360 | 336,303 | |||
NIBC Holding NV (e) | 2,669 | 20,804 | |||
NN Group NV | 28,714 | 964,713 | |||
NSI NV REIT | 1,655 | 63,862 | |||
OCI NV (b)(c) | 7,624 | 80,061 | |||
Pharming Group NV (b)(c) | 79,859 | 104,812 | |||
PostNL NV | 37,836 | 81,571 | |||
Prosus NV (b) | 45,262 | 4,206,172 |
Security Description | Shares | Value | |||
Randstad NV | 10,778 | $ 481,788 | |||
Royal Dutch Shell PLC Class A | 388,212 | 6,198,209 | |||
Royal Dutch Shell PLC Class B | 346,336 | 5,235,726 | |||
SBM Offshore NV | 17,495 | 257,718 | |||
Shop Apotheke Europe NV (b)(e) | 1,829 | 218,571 | |||
SIF Holding NV (b) | 5,076 | 59,277 | |||
Signify NV (b)(e) | 12,767 | 328,137 | |||
TKH Group NV | 3,680 | 144,921 | |||
TomTom NV (b) | 6,283 | 49,685 | |||
Vastned Retail NV REIT (c) | 2,401 | 51,370 | |||
Wereldhave NV REIT (c) | 3,096 | 28,527 | |||
Wolters Kluwer NV | 25,354 | 1,979,676 | |||
62,549,092 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (b)(c) | 68,076 | 888,957 | |||
Air New Zealand, Ltd. | 39,625 | 33,902 | |||
Argosy Property, Ltd. | 74,342 | 56,241 | |||
Auckland International Airport, Ltd. | 112,416 | 476,930 | |||
Chorus, Ltd. | 41,047 | 198,356 | |||
Contact Energy, Ltd. | 66,403 | 269,198 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 53,136 | 1,221,143 | |||
Fletcher Building, Ltd. | 76,946 | 184,721 | |||
Genesis Energy, Ltd. | 45,800 | 89,733 | |||
Goodman Property Trust REIT | 102,558 | 134,380 | |||
Infratil, Ltd. | 59,377 | 180,706 | |||
Kiwi Property Group, Ltd. | 146,941 | 99,730 | |||
Mercury NZ, Ltd. | 63,013 | 191,516 | |||
Meridian Energy, Ltd. | 133,930 | 416,498 | |||
Metlifecare, Ltd. | 25,266 | 84,401 | |||
Precinct Properties New Zealand, Ltd. | 115,966 | 117,857 | |||
Pushpay Holdings, Ltd. (b) | 35,356 | 201,415 | |||
Restaurant Brands New Zealand, Ltd. (b) | 2,885 | 22,014 | |||
Ryman Healthcare, Ltd. | 36,039 | 305,019 | |||
SKY Network Television, Ltd. (b) | 191,619 | 18,586 | |||
SKYCITY Entertainment Group, Ltd. | 61,813 | 95,905 | |||
Spark New Zealand, Ltd. | 169,068 | 499,014 | |||
Summerset Group Holdings, Ltd. | 23,361 | 97,656 | |||
Synlait Milk, Ltd. (b) | 12,214 | 56,050 | |||
Z Energy, Ltd. | 34,119 | 59,700 | |||
5,999,628 | |||||
NORWAY — 0.5% | |||||
Aker ASA Class A (b) | 2,027 | 74,510 | |||
Atea ASA | 13,837 | 133,616 | |||
Austevoll Seafood ASA | 8,295 | 68,734 | |||
Borregaard ASA | 15,205 | 161,723 | |||
BW Offshore, Ltd. | 10,003 | 33,403 | |||
DNB ASA | 87,390 | 1,163,807 |
Security Description | Shares | Value | |||
DNO ASA | 50,331 | $ 30,986 | |||
Elkem ASA (e) | 23,786 | 48,913 | |||
Entra ASA (e) | 15,733 | 201,221 | |||
Equinor ASA | 96,435 | 1,386,078 | |||
Europris ASA (e) | 25,386 | 122,790 | |||
Fjordkraft Holding ASA (e) | 8,055 | 66,027 | |||
Frontline, Ltd. | 14,558 | 101,140 | |||
Gjensidige Forsikring ASA (b) | 21,505 | 396,434 | |||
Golden Ocean Group, Ltd. | 7,871 | 30,643 | |||
Grieg Seafood ASA | 5,761 | 59,089 | |||
Kongsberg Gruppen ASA | 8,183 | 114,921 | |||
Leroy Seafood Group ASA | 27,087 | 163,105 | |||
Mowi ASA | 40,076 | 762,193 | |||
NEL ASA (b) | 116,757 | 232,022 | |||
Nordic Semiconductor ASA (b) | 12,998 | 99,396 | |||
Norsk Hydro ASA (b) | 122,287 | 340,397 | |||
Norway Royal Salmon ASA | 1,201 | 31,406 | |||
Norwegian Finans Holding ASA | 13,593 | 93,616 | |||
Ocean Yield ASA | 29,146 | 65,777 | |||
Orkla ASA | 68,295 | 598,250 | |||
Protector Forsikring ASA (b) | 9,425 | 36,207 | |||
Salmar ASA (b) | 5,837 | 278,993 | |||
Sbanken ASA (b)(e) | 8,291 | 54,171 | |||
Scatec Solar ASA (e) | 10,761 | 175,483 | |||
Schibsted ASA Class B (b) | 12,003 | 282,879 | |||
Selvaag Bolig ASA | 6,732 | 39,870 | |||
SpareBank 1 Nord Norge | 9,611 | 62,234 | |||
SpareBank 1 Oestlandet | 3,686 | 33,562 | |||
SpareBank 1 SMN | 20,154 | 164,446 | |||
SpareBank 1 SR-Bank ASA (b) | 16,279 | 118,828 | |||
Stolt-Nielsen, Ltd. | 2,737 | 24,945 | |||
Storebrand ASA (b) | 73,126 | 380,218 | |||
Telenor ASA | 69,791 | 1,016,711 | |||
TGS Nopec Geophysical Co. ASA | 10,272 | 151,186 | |||
Tomra Systems ASA | 11,314 | 416,978 | |||
Veidekke ASA (b) | 9,726 | 117,826 | |||
Wallenius Wilhelmsen ASA | 67,834 | 88,979 | |||
Yara International ASA | 16,100 | 560,018 | |||
10,583,731 | |||||
PAKISTAN — 0.0% (a) | |||||
Bank Alfalah, Ltd. | 325,000 | 65,388 | |||
Habib Bank, Ltd. | 53,000 | 30,578 | |||
MCB Bank, Ltd. | 39,200 | 37,970 | |||
Millat Tractors, Ltd. | 5,850 | 24,748 | |||
Oil & Gas Development Co., Ltd. | 90,100 | 59,401 | |||
Pakistan Oilfields, Ltd. | 24,150 | 51,077 | |||
Pakistan State Oil Co., Ltd. | 58,500 | 55,852 | |||
325,014 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR | 20,000 | 182,800 | |||
Credicorp, Ltd. | 6,400 | 855,488 | |||
Hochschild Mining PLC | 31,281 | 75,376 |
Security Description | Shares | Value | |||
Southern Copper Corp. | 7,900 | $ 314,183 | |||
1,427,847 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 164,835 | |||
Aboitiz Power Corp. | 208,000 | 112,935 | |||
Alliance Global Group, Inc. (b) | 450,900 | 61,813 | |||
Altus San Nicolas Corp. (b) | 2,645 | 2,208 | |||
Ayala Corp. | 25,640 | 402,458 | |||
Ayala Land, Inc. | 724,500 | 494,141 | |||
Bank of the Philippine Islands | 68,567 | 99,354 | |||
BDO Unibank, Inc. | 193,893 | 382,604 | |||
Globe Telecom, Inc. | 2,995 | 124,483 | |||
GT Capital Holdings, Inc. | 6,657 | 61,103 | |||
International Container Terminal Services, Inc. | 76,460 | 157,335 | |||
JG Summit Holdings, Inc. | 250,410 | 326,851 | |||
Jollibee Foods Corp. | 33,510 | 94,611 | |||
Manila Electric Co. | 24,040 | 129,751 | |||
Megaworld Corp. | 1,020,000 | 62,741 | |||
Metro Pacific Investments Corp. | 974,000 | 72,815 | |||
Metropolitan Bank & Trust Co. | 134,886 | 100,767 | |||
PLDT, Inc. | 6,380 | 158,857 | |||
Robinsons Land Corp. | 196,244 | 69,267 | |||
Security Bank Corp. | 5,920 | 12,317 | |||
SM Investments Corp. | 23,315 | 442,794 | |||
SM Prime Holdings, Inc. | 982,300 | 631,771 | |||
Universal Robina Corp. | 80,890 | 211,756 | |||
4,377,567 | |||||
POLAND — 0.2% | |||||
Alior Bank SA (b) | 13,668 | 56,324 | |||
Asseco Poland SA | 9,061 | 151,741 | |||
Bank Millennium SA (b) | 64,815 | 49,917 | |||
Bank Polska Kasa Opieki SA | 14,812 | 202,987 | |||
Budimex SA | 1,486 | 80,529 | |||
CCC SA (c) | 4,227 | 64,372 | |||
CD Projekt SA (b) | 6,413 | 646,366 | |||
Cyfrowy Polsat SA | 22,810 | 152,433 | |||
Dino Polska SA (b)(e) | 4,010 | 204,296 | |||
Enea SA (b) | 20,497 | 37,347 | |||
Eurocash SA (b) | 11,605 | 50,961 | |||
Grupa Azoty SA (b) | 4,145 | 32,265 | |||
Grupa Lotos SA | 7,458 | 113,702 | |||
Jastrzebska Spolka Weglowa SA | 9,529 | 45,628 | |||
KGHM Polska Miedz SA (b) | 23,461 | 545,215 | |||
KRUK SA | 1,586 | 43,509 | |||
LPP SA (b) | 120 | 183,153 | |||
mBank SA (b) | 1,138 | 66,552 | |||
Neuca SA | 233 | 30,154 | |||
Orange Polska SA (b) | 52,083 | 82,385 | |||
PGE Polska Grupa Energetyczna SA (b) | 65,340 | 114,269 | |||
PLAY Communications SA (e) | 13,043 | 100,736 | |||
Polski Koncern Naftowy ORLEN SA | 28,665 | 455,606 |
Security Description | Shares | Value | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 131,811 | $ 152,008 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 83,645 | 487,167 | |||
Powszechny Zaklad Ubezpieczen SA | 52,889 | 389,311 | |||
Santander Bank Polska SA (b) | 3,603 | 160,890 | |||
Tauron Polska Energia SA (b) | 97,650 | 58,796 | |||
4,758,619 | |||||
PORTUGAL — 0.1% | |||||
Banco Comercial Portugues SA Class R (b)(c) | 944,985 | 113,487 | |||
CTT-Correios de Portugal SA (b) | 13,428 | 31,822 | |||
EDP - Energias de Portugal SA | 229,074 | 1,093,089 | |||
Galp Energia SGPS SA | 47,674 | 552,846 | |||
Jeronimo Martins SGPS SA (c) | 26,225 | 458,793 | |||
Navigator Co. SA (c) | 27,308 | 66,438 | |||
NOS SGPS SA (c) | 43,721 | 190,907 | |||
REN - Redes Energeticas Nacionais SGPS SA | 43,185 | 117,805 | |||
Sonae SGPS SA | 99,350 | 71,842 | |||
2,697,029 | |||||
QATAR — 0.2% | |||||
Al Meera Consumer Goods Co. QSC | 25,614 | 128,273 | |||
Barwa Real Estate Co. | 230,600 | 193,702 | |||
Commercial Bank PQSC | 165,450 | 172,779 | |||
Doha Bank QPSC (b) | 98,027 | 55,125 | |||
Gulf International Services QSC (b) | 149,047 | 61,433 | |||
Industries Qatar QSC | 139,140 | 294,997 | |||
Masraf Al Rayan QSC | 321,190 | 337,806 | |||
Mesaieed Petrochemical Holding Co. | 329,378 | 183,745 | |||
Ooredoo QSC | 58,320 | 105,050 | |||
Qatar Electricity & Water Co. QSC | 43,520 | 189,442 | |||
Qatar Fuel QSC | 33,948 | 150,730 | |||
Qatar Insurance Co. SAQ | 97,370 | 51,052 | |||
Qatar International Islamic Bank QSC | 40,744 | 91,067 | |||
Qatar Islamic Bank SAQ | 104,670 | 453,843 | |||
Qatar National Bank QPSC | 391,306 | 1,876,605 | |||
Qatar Navigation QSC | 38,565 | 59,806 | |||
Vodafone Qatar QSC | 240,260 | 74,186 | |||
4,479,641 | |||||
ROMANIA — 0.0% (a) | |||||
NEPI Rockcastle PLC | 36,522 | 187,122 | |||
RUSSIA — 0.8% | |||||
Alrosa PJSC | 223,022 | 202,538 | |||
Evraz PLC | 37,704 | 133,211 | |||
Gazprom PJSC ADR | 845 | 4,563 | |||
Gazprom PJSC ADR (c) | 56,669 | 307,146 | |||
Gazprom PJSC | 869,660 | 2,370,455 |
Security Description | Shares | Value | |||
Inter RAO UES PJSC | 2,290,000 | $ 156,643 | |||
LUKOIL PJSC | 38,411 | 2,862,184 | |||
Magnit PJSC GDR | 27,548 | 358,237 | |||
Magnitogorsk Iron & Steel Works PJSC | 226,900 | 118,411 | |||
Mechel PJSC ADR (b) | 9,600 | 16,512 | |||
MMC Norilsk Nickel PJSC | 6,245 | 1,645,248 | |||
Mobile TeleSystems PJSC ADR | 26,400 | 242,616 | |||
Mobile TeleSystems PJSC | 31,200 | 145,700 | |||
Moscow Exchange MICEX | 132,585 | 211,081 | |||
Novatek PJSC GDR | 8,240 | 1,167,957 | |||
Novolipetsk Steel PJSC | 113,250 | 224,769 | |||
PhosAgro PJSC GDR | 11,644 | 143,803 | |||
Polymetal International PLC | 17,213 | 343,644 | |||
Polyus PJSC | 2,617 | 441,961 | |||
Rosneft Oil Co. PJSC | 120,780 | 612,762 | |||
Sberbank of Russia PJSC | 997,580 | 2,851,292 | |||
Severstal PAO | 18,520 | 225,345 | |||
Sistema PJSC FC GDR | 40,100 | 189,371 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 396,128 | |||
Surgutneftegas PJSC | 888,900 | 480,351 | |||
Tatneft PJSC | 129,220 | 1,008,126 | |||
VTB Bank PJSC | 437,390,000 | 216,071 | |||
X5 Retail Group NV GDR | 9,438 | 334,743 | |||
17,410,868 | |||||
SAUDI ARABIA — 0.7% | |||||
Abdullah Al Othaim Markets Co. | 1,991 | 59,702 | |||
Advanced Petrochemical Co. | 8,106 | 115,578 | |||
Al Hammadi Co. for Development and Investment (b) | 20,250 | 119,449 | |||
Al Rajhi Bank | 112,984 | 1,708,366 | |||
Al Rajhi Co. for Co-operative Insurance (b) | 4,209 | 68,009 | |||
Aldrees Petroleum and Transport Services Co. | 5,468 | 92,216 | |||
Alinma Bank (b) | 57,188 | 222,189 | |||
Almarai Co. JSC | 20,087 | 278,415 | |||
Alujain Holding (b) | 7,396 | 52,645 | |||
Arab National Bank | 43,104 | 219,478 | |||
Arabian Cement Co. | 9,227 | 65,172 | |||
Arriyadh Development Co. | 18,294 | 71,986 | |||
Aseer Trading Tourism & Manufacturing Co. (b) | 26,480 | 72,995 | |||
Bank AlBilad | 27,799 | 164,639 | |||
Bank Al-Jazira | 22,911 | 69,181 | |||
Banque Saudi Fransi | 41,562 | 317,518 | |||
Bupa Arabia for Cooperative Insurance Co. | 2,387 | 69,523 | |||
City Cement Co. (b) | 8,580 | 37,234 | |||
Co. for Cooperative Insurance (b) | 5,049 | 96,233 | |||
Dallah Healthcare Co. | 6,173 | 77,511 |
Security Description | Shares | Value | |||
Dar Al Arkan Real Estate Development Co. (b) | 39,088 | $ 74,179 | |||
Dur Hospitality Co. | 12,960 | 85,686 | |||
Eastern Province Cement Co. | 9,470 | 73,960 | |||
Emaar Economic City (b) | 34,732 | 63,213 | |||
Etihad Etisalat Co. (b) | 32,700 | 232,462 | |||
Fawaz Abdulaziz Al Hokair & Co. (b) | 11,570 | 58,297 | |||
Herfy Food Services Co. | 2,033 | 24,335 | |||
Jarir Marketing Co. | 4,275 | 167,581 | |||
Leejam Sports Co. JSC | 3,769 | 58,781 | |||
Maharah Human Resources Co. | 2,209 | 40,701 | |||
Middle East Healthcare Co. (b) | 11,802 | 95,911 | |||
Mobile Telecommunications Co. (b) | 33,673 | 101,800 | |||
Mouwasat Medical Services Co. | 4,245 | 102,457 | |||
Najran Cement Co. (b) | 15,550 | 45,021 | |||
National Agriculture Development Co (b) | 20,791 | 154,921 | |||
National Commercial Bank | 135,524 | 1,351,505 | |||
National Gas & Industrialization Co. | 2,926 | 22,144 | |||
National Medical Care Co. | 5,781 | 65,245 | |||
Northern Region Cement Co. (b) | 17,439 | 46,073 | |||
Qassim Cement Co. | 1,837 | 29,611 | |||
Rabigh Refining & Petrochemical Co. (b) | 13,507 | 48,468 | |||
Riyad Bank | 92,279 | 416,077 | |||
Sahara International Petrochemical Co. | 26,583 | 102,467 | |||
Samba Financial Group | 73,401 | 527,789 | |||
Saudi Airlines Catering Co. | 4,009 | 83,006 | |||
Saudi Arabian Fertilizer Co. | 11,100 | 221,060 | |||
Saudi Arabian Mining Co. (b) | 41,436 | 388,651 | |||
Saudi Arabian Oil Co. (e) | 110,610 | 960,181 | |||
Saudi Basic Industries Corp. | 82,940 | 1,953,287 | |||
Saudi British Bank | 64,706 | 394,295 | |||
Saudi Cement Co. | 5,941 | 83,944 | |||
Saudi Ceramic Co. (b) | 1,873 | 16,691 | |||
Saudi Chemical Co. Holding (b) | 16,716 | 102,587 | |||
Saudi Co. For Hardware CJSC | 5,311 | 63,069 | |||
Saudi Electricity Co. | 65,830 | 274,474 | |||
Saudi Industrial Investment Group | 16,632 | 89,940 | |||
Saudi Kayan Petrochemical Co. (b) | 32,586 | 71,648 | |||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 78,643 | |||
Saudi Public Transport Co. (b) | 5,953 | 22,377 | |||
Saudi Real Estate Co. (b) | 15,161 | 51,170 | |||
Saudi Research & Marketing Group (b) | 4,483 | 75,580 | |||
Saudi Telecom Co. | 53,185 | 1,409,023 | |||
Saudia Dairy & Foodstuff Co. | 534 | 23,526 | |||
Savola Group | 18,971 | 213,858 | |||
Seera Group Holding (b) | 14,011 | 59,764 | |||
Southern Province Cement Co. | 6,007 | 87,531 |
Security Description | Shares | Value | |||
United Electronics Co. | 5,677 | $ 83,749 | |||
United International Transportation Co. | 1,592 | 13,001 | |||
Yamama Cement Co. | 14,880 | 86,514 | |||
Yanbu Cement Co. | 10,069 | 75,733 | |||
Yanbu National Petrochemical Co. | 21,130 | 289,507 | |||
15,239,532 | |||||
SINGAPORE — 0.8% | |||||
Accordia Golf Trust | 66,300 | 32,708 | |||
ARA LOGOS Logistics Trust REIT | 133,200 | 54,332 | |||
Ascendas India Trust | 79,100 | 76,622 | |||
Ascendas Real Estate Investment Trust | 283,051 | 648,760 | |||
Ascott Residence Trust | 167,317 | 121,288 | |||
BOC Aviation, Ltd. (e) | 14,300 | 92,057 | |||
BW LPG, Ltd. (e) | 11,460 | 36,003 | |||
CapitaLand Commercial Trust REIT | 250,790 | 306,613 | |||
CapitaLand Mall Trust REIT | 233,600 | 331,117 | |||
CapitaLand Retail China Trust REIT | 62,100 | 56,611 | |||
CapitaLand, Ltd. (b) | 230,600 | 486,669 | |||
CDL Hospitality Trusts Stapled Security | 71,300 | 52,721 | |||
City Developments, Ltd. | 39,900 | 243,578 | |||
ComfortDelGro Corp., Ltd. | 179,700 | 188,652 | |||
DBS Group Holdings, Ltd. | 167,248 | 2,513,935 | |||
EAGLE HOSPITALITY TRUST UNIT (f) | 112,600 | 7,713 | |||
ESR-REIT | 191,868 | 54,842 | |||
Far East Hospitality Trust Stapled Security | 140,900 | 50,525 | |||
First Real Estate Investment Trust | 67,100 | 33,641 | |||
First Resources, Ltd. | 50,200 | 50,380 | |||
Frasers Centrepoint Trust REIT | 57,400 | 96,085 | |||
Frasers Hospitality Trust Stapled Security | 135,000 | 45,385 | |||
Frasers Logistics & Commercial Trust REIT | 285,139 | 245,375 | |||
Genting Singapore, Ltd. | 561,600 | 308,656 | |||
Golden Agri-Resources, Ltd. | 606,500 | 64,838 | |||
GuocoLand, Ltd. | 27,500 | 28,927 | |||
IGG, Inc. (c) | 79,000 | 64,971 | |||
Jardine Cycle & Carriage, Ltd. | 11,711 | 170,727 | |||
Kenon Holdings, Ltd. | 1,959 | 38,787 | |||
Keppel Corp., Ltd. (c) | 138,200 | 594,598 | |||
Keppel DC REIT | 105,200 | 192,455 | |||
Keppel Infrastructure Trust | 295,800 | 114,977 | |||
Keppel REIT | 146,700 | 116,502 | |||
Lippo Malls Indonesia Retail Trust REIT (c) | 332,900 | 32,525 | |||
Manulife US Real Estate Investment Trust | 204,200 | 155,162 |
Security Description | Shares | Value | |||
Mapletree Commercial Trust REIT | 199,568 | $ 278,946 | |||
Mapletree Industrial Trust REIT | 152,900 | 317,735 | |||
Mapletree Logistics Trust REIT | 260,500 | 365,337 | |||
Mapletree North Asia Commercial Trust REIT | 176,600 | 118,580 | |||
NetLink NBN Trust | 282,000 | 196,775 | |||
OUE Commercial Real Estate Investment Trust | 194,900 | 53,738 | |||
Oversea-Chinese Banking Corp., Ltd. | 308,532 | 2,008,856 | |||
Parkway Life Real Estate Investment Trust | 51,200 | 122,899 | |||
Prime US REIT | 43,900 | 34,466 | |||
Raffles Medical Group, Ltd. | 82,700 | 54,708 | |||
SATS, Ltd. | 81,900 | 169,588 | |||
Sembcorp Industries, Ltd. | 92,900 | 117,476 | |||
Sembcorp Marine, Ltd. (b)(c) | 75,700 | 23,287 | |||
Sheng Siong Group, Ltd. | 61,200 | 72,647 | |||
SIA Engineering Co., Ltd. | 26,100 | 37,163 | |||
Singapore Airlines, Ltd. | 146,500 | 395,025 | |||
Singapore Exchange, Ltd. | 72,700 | 437,029 | |||
Singapore Post, Ltd. | 116,800 | 64,868 | |||
Singapore Press Holdings, Ltd. | 178,700 | 163,565 | |||
Singapore Technologies Engineering, Ltd. | 152,300 | 363,124 | |||
Singapore Telecommunications, Ltd. | 764,200 | 1,358,021 | |||
Soilbuild Business Space REIT | 183,900 | 51,849 | |||
SPH REIT | 70,500 | 44,451 | |||
Starhill Global REIT | 183,300 | 67,644 | |||
StarHub, Ltd. | 54,800 | 51,288 | |||
Suntec Real Estate Investment Trust | 238,200 | 243,079 | |||
United Overseas Bank, Ltd. | 117,093 | 1,709,169 | |||
UOL Group, Ltd. | 49,233 | 241,812 | |||
Venture Corp., Ltd. | 27,100 | 316,380 | |||
Wilmar International, Ltd. | 173,800 | 513,526 | |||
Wing Tai Holdings, Ltd. | 35,900 | 46,208 | |||
Yanlord Land Group, Ltd. | 52,900 | 44,719 | |||
Yoma Strategic Holdings, Ltd. (b)(c) | 306,500 | 69,988 | |||
17,862,683 | |||||
SOUTH AFRICA — 1.1% | |||||
Absa Group, Ltd. | 65,523 | 323,057 | |||
AECI, Ltd. | 9,970 | 44,356 | |||
African Rainbow Minerals, Ltd. | 12,579 | 123,004 | |||
Anglo American Platinum, Ltd. | 4,904 | 356,440 | |||
Anglo American PLC | 113,747 | 2,614,827 | |||
AngloGold Ashanti, Ltd. | 37,874 | 1,112,894 | |||
Aspen Pharmacare Holdings, Ltd. (b) | 37,164 | 308,295 | |||
Astral Foods, Ltd. | 3,513 | 29,621 | |||
AVI, Ltd. | 32,809 | 133,200 | |||
Barloworld, Ltd. (c) | 19,472 | 77,522 | |||
Bid Corp., Ltd. | 30,498 | 500,153 |
Security Description | Shares | Value | |||
Bidvest Group, Ltd. | 24,928 | $ 204,265 | |||
Capitec Bank Holdings, Ltd. | 3,942 | 195,665 | |||
Clicks Group, Ltd. | 23,831 | 288,523 | |||
Coronation Fund Managers, Ltd. (c) | 19,084 | 43,989 | |||
DataTec, Ltd. | 38,866 | 59,278 | |||
Dis-Chem Pharmacies, Ltd. (e) | 31,283 | 31,562 | |||
Discovery, Ltd. | 35,915 | 216,679 | |||
Equites Property Fund, Ltd. REIT | 80,348 | 77,273 | |||
Exxaro Resources, Ltd. | 20,118 | 151,654 | |||
FirstRand, Ltd. | 503,178 | 1,105,095 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 82,683 | |||
Foschini Group, Ltd. | 19,612 | 72,802 | |||
Gold Fields, Ltd. | 76,872 | 724,900 | |||
Growthpoint Properties, Ltd. REIT | 265,098 | 204,538 | |||
Harmony Gold Mining Co., Ltd. (b) | 46,490 | 194,130 | |||
Impala Platinum Holdings, Ltd. | 72,656 | 488,673 | |||
Imperial Logistics, Ltd. | 47,957 | 108,417 | |||
Investec PLC | 52,375 | 104,798 | |||
Investec, Ltd. | 34,578 | 68,987 | |||
JSE, Ltd. | 20,858 | 146,456 | |||
KAP Industrial Holdings, Ltd. | 705,488 | 101,537 | |||
Kumba Iron Ore, Ltd. | 6,528 | 174,338 | |||
Liberty Holdings, Ltd. | 15,761 | 60,290 | |||
Life Healthcare Group Holdings, Ltd. | 124,734 | 119,999 | |||
Momentum Metropolitan Holdings | 83,371 | 84,733 | |||
Motus Holdings, Ltd. (b) | 19,611 | 34,718 | |||
Mr. Price Group, Ltd. | 20,308 | 167,711 | |||
MTN Group, Ltd. (c) | 154,203 | 471,657 | |||
MultiChoice Group, Ltd. (b) | 40,238 | 245,745 | |||
Naspers, Ltd. Class N | 40,930 | 7,512,386 | |||
Nedbank Group, Ltd. | 32,083 | 187,872 | |||
Netcare, Ltd. | 112,609 | 88,402 | |||
Ninety One, Ltd. (b) | 17,289 | 43,533 | |||
Northam Platinum, Ltd. (b) | 31,026 | 208,986 | |||
Oceana Group, Ltd. | 11,307 | 46,406 | |||
Old Mutual, Ltd. (d) | 156,832 | 109,169 | |||
Old Mutual, Ltd. (c)(d) | 315,585 | 217,050 | |||
Pepkor Holdings, Ltd. (e) | 105,711 | 66,834 | |||
Pick n Pay Stores, Ltd. | 29,885 | 87,720 | |||
PSG Group, Ltd. | 17,508 | 159,858 | |||
Rand Merchant Investment Holdings, Ltd. | 71,980 | 120,968 | |||
Redefine Properties, Ltd. REIT | 565,715 | 108,612 | |||
Remgro, Ltd. | 51,126 | 294,792 | |||
Resilient REIT, Ltd. | 34,728 | 86,590 | |||
Reunert, Ltd. | 15,137 | 29,761 | |||
Sanlam, Ltd. | 170,464 | 579,114 | |||
Sappi, Ltd. (b) | 32,283 | 50,371 | |||
Sasol, Ltd. (b) | 69,231 | 530,922 | |||
Shoprite Holdings, Ltd. | 43,016 | 264,038 | |||
Sibanye Stillwater, Ltd. (b) | 206,368 | 447,500 |
Security Description | Shares | Value | |||
SPAR Group, Ltd. | 17,617 | $ 174,072 | |||
Standard Bank Group, Ltd. | 136,794 | 824,651 | |||
Steinhoff International Holdings NV (b)(c) | 418,971 | 24,596 | |||
Super Group, Ltd. (b) | 99,955 | 92,045 | |||
Telkom SA SOC, Ltd. | 39,144 | 67,057 | |||
Tiger Brands, Ltd. | 17,906 | 183,852 | |||
Transaction Capital, Ltd. | 44,692 | 47,996 | |||
Truworths International, Ltd. | 30,269 | 59,249 | |||
Vodacom Group, Ltd. (c) | 61,767 | 437,704 | |||
Vukile Property Fund, Ltd. REIT | 94,716 | 42,074 | |||
Woolworths Holdings, Ltd. | 90,575 | 172,883 | |||
25,021,527 | |||||
SOUTH KOREA — 3.3% | |||||
ABLBio, Inc. (b) | 2,537 | 65,762 | |||
AfreecaTV Co., Ltd. | 572 | 30,338 | |||
Ahnlab, Inc. | 2,297 | 96,209 | |||
Alteogen, Inc. (b) | 982 | 219,330 | |||
Amorepacific Corp. | 2,908 | 406,763 | |||
Amorepacific Corp. Preference Shares | 740 | 44,080 | |||
AMOREPACIFIC Group | 2,522 | 109,196 | |||
Ananti, Inc. (b) | 6,092 | 49,291 | |||
BGF retail Co., Ltd. | 795 | 92,155 | |||
BH Co., Ltd. (b) | 730 | 12,153 | |||
BNK Financial Group, Inc. | 27,622 | 116,025 | |||
Bukwang Pharmaceutical Co., Ltd. | 3,621 | 102,509 | |||
Celltrion Healthcare Co., Ltd. (b) | 6,298 | 570,974 | |||
Celltrion Pharm, Inc. (b) | 1,414 | 150,541 | |||
Celltrion, Inc. (b) | 8,736 | 2,235,872 | |||
Chabiotech Co., Ltd. (b) | 3,560 | 59,427 | |||
Cheil Worldwide, Inc. | 7,506 | 103,599 | |||
Chong Kun Dang Pharmaceutical Corp. | 607 | 55,100 | |||
CJ CheilJedang Corp. | 942 | 257,208 | |||
CJ Corp. | 1,354 | 97,832 | |||
CJ ENM Co., Ltd. | 1,018 | 94,352 | |||
CJ Logistics Corp. (b) | 1,096 | 144,458 | |||
Com2uSCorp | 2,104 | 206,397 | |||
Cosmax, Inc. | 682 | 55,764 | |||
Coway Co., Ltd. | 4,173 | 252,277 | |||
Daelim Industrial Co., Ltd. | 2,706 | 186,141 | |||
Daewoo Engineering & Construction Co., Ltd. (b) | 24,328 | 69,820 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (b) | 3,568 | 81,292 | |||
Daewoong Co., Ltd. | 2,154 | 49,143 | |||
Daewoong Pharmaceutical Co., Ltd. | 429 | 47,582 | |||
DB HiTek Co., Ltd. | 3,213 | 77,888 | |||
DB Insurance Co., Ltd. | 5,525 | 198,157 | |||
DGB Financial Group, Inc. | 15,300 | 65,791 | |||
DIO Corp. (b) | 4,286 | 90,002 | |||
Dongjin Semichem Co., Ltd. | 5,592 | 132,509 |
Security Description | Shares | Value | |||
Dongsuh Cos., Inc. | 2,706 | $ 35,709 | |||
Doosan Bobcat, Inc. | 4,079 | 90,726 | |||
Doosan Heavy Industries & Construction Co., Ltd. (b) | 11,371 | 46,295 | |||
Doosan Infracore Co., Ltd. (b) | 12,565 | 76,730 | |||
DoubleUGames Co., Ltd. | 843 | 56,216 | |||
Douzone Bizon Co., Ltd. | 2,524 | 215,652 | |||
Ecopro BM Co., Ltd. | 744 | 75,423 | |||
E-MART, Inc. | 2,133 | 188,600 | |||
Eo Technics Co., Ltd. | 1,483 | 117,961 | |||
F&F Co., Ltd. | 610 | 47,068 | |||
Feelux Co., Ltd. (b) | 7,699 | 28,611 | |||
Fila Holdings Corp. | 5,207 | 153,658 | |||
GemVax & Kael Co., Ltd. (b) | 2,866 | 46,547 | |||
Genexine Co., Ltd. (b) | 2,807 | 222,607 | |||
Green Cross Corp. | 529 | 65,311 | |||
GS Engineering & Construction Corp. | 5,552 | 114,310 | |||
GS Holdings Corp. | 5,913 | 179,106 | |||
GS Retail Co., Ltd. | 3,570 | 109,089 | |||
G-treeBNT Co., Ltd. (b) | 2,091 | 42,976 | |||
Hana Financial Group, Inc. | 27,159 | 617,660 | |||
Hanall Biopharma Co., Ltd. (b) | 2,599 | 61,321 | |||
Hankook Shell Oil Co., Ltd. | 332 | 64,235 | |||
Hankook Tire & Technology Co., Ltd. | 8,351 | 172,834 | |||
Hanmi Pharm Co., Ltd. | 616 | 125,690 | |||
Hanon Systems | 16,734 | 126,822 | |||
Hansol Chemical Co., Ltd. | 1,234 | 131,645 | |||
Hansol Paper Co., Ltd. | 6,147 | 71,940 | |||
Hanssem Co., Ltd. | 2,499 | 180,192 | |||
Hanwha Aerospace Co., Ltd. (b) | 4,757 | 98,052 | |||
Hanwha Corp. | 3,640 | 67,979 | |||
Hanwha Life Insurance Co., Ltd. | 31,079 | 35,648 | |||
Hanwha Solutions Corp. | 13,246 | 215,054 | |||
HDC Hyundai Development Co-Engineering & Construction Class E | 3,261 | 57,662 | |||
Helixmith Co., Ltd. (b) | 2,504 | 128,347 | |||
Hite Jinro Co., Ltd. | 2,855 | 104,644 | |||
HLB Life Science Co., Ltd. (b) | 4,660 | 72,466 | |||
HLB, Inc. (b)(c) | 4,111 | 317,657 | |||
HMM Co., Ltd. (b) | 22,908 | 90,359 | |||
Hotel Shilla Co., Ltd. | 3,574 | 212,563 | |||
Hugel, Inc. (b) | 432 | 170,039 | |||
Hyosung Chemical Corp. | 809 | 71,271 | |||
Hyosung Corp. | 858 | 45,083 | |||
Hyundai Bioscience Co., Ltd. (b) | 4,204 | 46,888 | |||
Hyundai Department Store Co., Ltd. | 1,309 | 61,594 | |||
Hyundai Elevator Co., Ltd. | 1,959 | 113,991 | |||
Hyundai Engineering & Construction Co., Ltd. | 7,969 | 220,750 | |||
Hyundai Glovis Co., Ltd. | 1,744 | 148,272 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 1,006 | 207,619 |
Security Description | Shares | Value | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,728 | $ 109,958 | |||
Hyundai Mipo Dockyard Co., Ltd. | 2,168 | 56,968 | |||
Hyundai Mobis Co., Ltd. | 6,240 | 1,001,639 | |||
Hyundai Motor Co. | 13,890 | 1,140,971 | |||
Hyundai Motor Co. Preference Shares (d) | 3,845 | 183,852 | |||
Hyundai Motor Co. Preference Shares (d) | 2,761 | 127,821 | |||
Hyundai Rotem Co., Ltd. (b) | 7,810 | 100,885 | |||
Hyundai Steel Co. | 8,186 | 141,569 | |||
Hyundai Wia Corp. | 1,507 | 43,874 | |||
Iljin Materials Co., Ltd. | 2,086 | 87,152 | |||
Ilyang Pharmaceutical Co., Ltd. | 1,234 | 66,348 | |||
Industrial Bank of Korea | 28,125 | 191,115 | |||
Innocean Worldwide, Inc. | 814 | 30,348 | |||
JB Financial Group Co., Ltd. | 11,582 | 45,928 | |||
Kakao Corp. | 5,195 | 1,165,771 | |||
Kangwon Land, Inc. | 9,224 | 166,230 | |||
KB Financial Group, Inc. | 36,531 | 1,034,178 | |||
KCC Corp. | 576 | 64,115 | |||
KEPCO Plant Service & Engineering Co., Ltd. | 2,035 | 49,427 | |||
Kia Motors Corp. | 23,834 | 644,056 | |||
KIWOOM Securities Co., Ltd. | 2,328 | 170,203 | |||
KMW Co., Ltd. (b) | 2,663 | 142,235 | |||
Koentec Co., Ltd. | 12,880 | 92,959 | |||
Koh Young Technology, Inc. | 1,079 | 90,181 | |||
Kolmar Korea Co., Ltd. | 1,275 | 45,522 | |||
Kolon Industries, Inc. | 1,620 | 43,534 | |||
Komipharm International Co., Ltd. (b) | 4,676 | 66,913 | |||
Korea Aerospace Industries, Ltd. | 7,786 | 155,307 | |||
Korea Electric Power Corp. (b) | 23,228 | 378,790 | |||
Korea Gas Corp. | 2,420 | 53,136 | |||
Korea Investment Holdings Co., Ltd. | 3,949 | 148,052 | |||
Korea Real Estate Investment & Trust Co., Ltd. | 40,468 | 57,495 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (b) | 3,817 | 280,980 | |||
Korea Zinc Co., Ltd. | 874 | 244,891 | |||
Korean Air Lines Co., Ltd. (b) | 4,004 | 58,704 | |||
Korean Reinsurance Co. | 8,166 | 50,221 | |||
KT&G Corp. | 10,837 | 707,725 | |||
Kuk-il Paper Manufacturing Co., Ltd. (b) | 9,131 | 43,995 | |||
Kumho Petrochemical Co., Ltd. | 1,926 | 120,450 | |||
Kwang Dong Pharmaceutical Co., Ltd. | 12,503 | 73,572 | |||
L&C Bio Co., Ltd. | 442 | 37,614 | |||
LEENO Industrial, Inc. | 896 | 84,828 | |||
LG Chem, Ltd. | 4,261 | 1,758,425 | |||
LG Chem, Ltd. Preference Shares | 786 | 165,363 | |||
LG Corp. | 8,628 | 514,929 |
Security Description | Shares | Value | |||
LG Display Co., Ltd. (b) | 25,728 | $ 246,327 | |||
LG Electronics, Inc. | 9,878 | 523,491 | |||
LG Hausys, Ltd. | 1,772 | 95,422 | |||
LG Household & Health Care, Ltd. | 891 | 998,641 | |||
LG Household & Health Care, Ltd. Preference Shares | 184 | 111,469 | |||
LG Innotek Co., Ltd. | 1,707 | 250,339 | |||
LG International Corp. | 14,247 | 185,856 | |||
LG Uplus Corp. | 23,441 | 239,549 | |||
Lock&Lock Co., Ltd. (b) | 10,907 | 102,534 | |||
Lotte Chemical Corp. | 1,550 | 216,623 | |||
Lotte Corp. | 2,576 | 68,126 | |||
LOTTE Fine Chemical Co., Ltd. | 1,634 | 47,164 | |||
Lotte Shopping Co., Ltd. | 983 | 65,698 | |||
LS Corp. | 1,645 | 47,990 | |||
LS Electric Co., Ltd. | 1,393 | 56,104 | |||
Mando Corp. | 5,035 | 94,725 | |||
Mcnex Co., Ltd. | 1,909 | 49,753 | |||
MedPacto, Inc. (b) | 1,028 | 46,166 | |||
Medy-Tox, Inc. | 516 | 63,051 | |||
MegaStudyEdu Co., Ltd. | 453 | 13,517 | |||
Meritz Fire & Marine Insurance Co., Ltd. | 4,627 | 49,038 | |||
Meritz Securities Co., Ltd. | 69,541 | 176,851 | |||
Mezzion Pharma Co., Ltd. (b) | 617 | 117,991 | |||
Mirae Asset Daewoo Co., Ltd. | 47,797 | 268,145 | |||
Mirae Asset Maps Asia Pacific Real Estate 1 Investment | 27,768 | 93,763 | |||
NAVER Corp. | 13,010 | 2,927,032 | |||
NCSoft Corp. | 1,477 | 1,098,780 | |||
NEPES Corp. | 1,564 | 37,564 | |||
Netmarble Corp. (b)(e) | 2,574 | 215,743 | |||
NH Investment & Securities Co., Ltd. | 14,985 | 104,247 | |||
NHN Corp. (b) | 885 | 61,166 | |||
NHN KCP Corp. | 1,280 | 52,839 | |||
NICE Information Service Co., Ltd. | 10,100 | 154,329 | |||
NKMax Co., Ltd. (b) | 9,231 | 95,870 | |||
NongShim Co., Ltd. | 521 | 158,778 | |||
OCI Co., Ltd. (b) | 1,629 | 50,571 | |||
Orion Corp/Republic of Korea | 2,349 | 262,970 | |||
Ottogi Corp. | 114 | 53,020 | |||
Pan Ocean Co., Ltd. (b) | 24,680 | 78,819 | |||
Paradise Co., Ltd. | 4,113 | 46,217 | |||
Partron Co., Ltd. | 11,769 | 87,746 | |||
Pearl Abyss Corp. (b) | 605 | 110,073 | |||
Pharmicell Co., Ltd. (b) | 11,563 | 177,630 | |||
POSCO | 7,393 | 1,076,838 | |||
POSCO Chemtech Co., Ltd. | 2,247 | 141,928 | |||
Posco International Corp. | 6,646 | 77,549 | |||
RFHIC Corp. | 1,181 | 35,750 | |||
S-1 Corp. | 1,546 | 110,786 | |||
Samsung Biologics Co., Ltd. (b)(e) | 1,485 | 963,404 | |||
Samsung C&T Corp. | 8,160 | 793,780 |
Security Description | Shares | Value | |||
Samsung Card Co., Ltd. | 3,804 | $ 86,939 | |||
Samsung Electro-Mechanics Co., Ltd. | 5,067 | 549,719 | |||
Samsung Electronics Co., Ltd. Preference Shares | 76,417 | 2,976,768 | |||
Samsung Electronics Co., Ltd. | 443,506 | 19,632,961 | |||
Samsung Engineering Co., Ltd. (b) | 16,699 | 172,104 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 2,860 | 420,490 | |||
Samsung Heavy Industries Co., Ltd. (b) | 43,638 | 218,496 | |||
Samsung Life Insurance Co., Ltd. | 6,076 | 228,447 | |||
Samsung SDI Co., Ltd. | 5,187 | 1,585,985 | |||
Samsung SDS Co., Ltd. | 3,098 | 438,202 | |||
Samsung Securities Co., Ltd. | 7,238 | 160,013 | |||
Sangsangin Co., Ltd. | 7,698 | 39,651 | |||
Seegene, Inc. | 2,072 | 192,967 | |||
SFA Engineering Corp. | 1,624 | 44,432 | |||
Shin Poong Pharmaceutical Co., Ltd. (b) | 2,691 | 67,563 | |||
Shinhan Financial Group Co., Ltd. | 41,458 | 1,001,883 | |||
Shinsegae International, Inc. | 226 | 29,721 | |||
Shinsegae, Inc. | 786 | 145,546 | |||
SillaJen, Inc. (b) | 6,523 | 65,618 | |||
SK Chemicals Co., Ltd. | 690 | 74,174 | |||
SK Holdings Co., Ltd. | 3,256 | 791,867 | |||
SK Hynix, Inc. | 50,704 | 3,620,188 | |||
SK Innovation Co., Ltd. | 5,019 | 554,857 | |||
SK Materials Co., Ltd. | 429 | 71,670 | |||
SK Networks Co., Ltd. | 13,470 | 53,477 | |||
SK Telecom Co., Ltd. | 2,206 | 388,517 | |||
SKC Co., Ltd. | 1,867 | 95,583 | |||
SM Entertainment Co., Ltd. (b) | 1,656 | 33,783 | |||
S-Oil Corp. | 4,074 | 217,191 | |||
Soulbrain Holdings Co., Ltd. | 1,026 | 81,979 | |||
Suheung Co., Ltd. | 2,578 | 115,322 | |||
Taeyoung Engineering & Construction Co., Ltd. | 3,547 | 46,451 | |||
Telcon RF Pharmaceutical, Inc. (b) | 8,430 | 36,721 | |||
Value Added Technology Co., Ltd. | 3,331 | 56,758 | |||
Vieworks Co., Ltd. | 3,440 | 95,315 | |||
WONIK IPS Co., Ltd. (b) | 5,486 | 164,440 | |||
Woori Financial Group, Inc. | 47,991 | 353,744 | |||
Youngone Corp. | 2,057 | 43,893 | |||
Yuhan Corp. | 5,405 | 228,988 | |||
Zinus, Inc. | 787 | 52,887 | |||
73,052,110 | |||||
SPAIN — 1.5% | |||||
Acciona SA (c) | 1,995 | 196,198 | |||
Acerinox SA | 12,509 | 101,669 |
Security Description | Shares | Value | |||
ACS Actividades de Construccion y Servicios SA | 22,905 | $ 588,451 | |||
Aedas Homes SA (b)(e) | 1,963 | 35,585 | |||
Aena SME SA (b)(e) | 6,138 | 820,651 | |||
Almirall SA | 10,484 | 138,340 | |||
Amadeus IT Group SA | 39,215 | 2,058,230 | |||
AmRest Holdings SE (b) | 7,136 | 41,436 | |||
Applus Services SA | 12,354 | 95,143 | |||
Banco Bilbao Vizcaya Argentaria SA | 606,311 | 2,086,857 | |||
Banco de Sabadell SA | 511,660 | 179,712 | |||
Banco Santander SA | 1,532,312 | 3,747,573 | |||
Bankia SA | 92,513 | 98,877 | |||
Bankinter SA | 68,461 | 328,040 | |||
Befesa SA (e) | 2,005 | 78,163 | |||
CaixaBank SA | 328,256 | 702,015 | |||
Cellnex Telecom SA (e) | 22,778 | �� | 1,390,796 | ||
Cia de Distribucion Integral Logista Holdings SA | 5,693 | 106,620 | |||
CIE Automotive SA (c) | 5,468 | 96,235 | |||
Construcciones y Auxiliar de Ferrocarriles SA | 1,714 | 62,316 | |||
Corp. Financiera Alba SA | 1,589 | 64,378 | |||
Distribuidora Internacional de Alimentacion SA (b)(c) | 401,966 | 50,248 | |||
Ebro Foods SA | 5,250 | 108,732 | |||
eDreams ODIGEO SA (b) | 11,015 | 30,640 | |||
Enagas SA (c) | 22,632 | 553,486 | |||
Ence Energia y Celulosa SA (c) | 12,316 | 40,449 | |||
Endesa SA (c) | 29,882 | 741,029 | |||
Euskaltel SA (e) | 8,122 | 72,010 | |||
Faes Farma SA | 22,047 | 89,861 | |||
Ferrovial SA | 45,007 | 1,202,661 | |||
Fluidra SA (b) | 4,447 | 58,997 | |||
Fomento De Construcciones Y (b) | 382 | 3,608 | |||
Fomento de Construcciones y Contratas SA | 8,786 | 83,095 | |||
Gestamp Automocion SA (c)(e) | 33,976 | 86,021 | |||
Grifols SA | 27,124 | 824,530 | |||
Grupo Catalana Occidente SA | 3,630 | 84,033 | |||
Iberdrola SA | 566,690 | 6,613,866 | |||
Indra Sistemas SA (b) | 12,047 | 95,372 | |||
Industria de Diseno Textil SA | 99,189 | 2,631,008 | |||
Inmobiliaria Colonial Socimi SA REIT | 25,188 | 222,641 | |||
Lar Espana Real Estate Socimi SA REIT (c) | 11,653 | 60,794 | |||
Liberbank SA (b) | 179,722 | 29,845 | |||
Mapfre SA | 127,893 | 228,306 | |||
Masmovil Ibercom SA (b) | 5,844 | 149,697 | |||
Mediaset Espana Comunicacion SA (b) | 14,887 | 55,200 | |||
Melia Hotels International SA | 10,443 | 44,560 | |||
Merlin Properties Socimi SA REIT | 32,037 | 266,889 | |||
Naturgy Energy Group SA | 26,099 | 487,088 |
Security Description | Shares | Value | |||
Neinor Homes SA (b)(e) | 7,187 | $ 73,960 | |||
Pharma Mar SA (c) | 19,112 | 165,054 | |||
Prosegur Cash SA (e) | 40,918 | 34,615 | |||
Prosegur Cia de Seguridad SA | 36,398 | 84,874 | |||
Red Electrica Corp. SA (c) | 39,420 | 737,300 | |||
Repsol SA (c) | 130,657 | 1,154,122 | |||
Sacyr SA | 21,203 | 44,159 | |||
Siemens Gamesa Renewable Energy SA (b)(c) | 21,913 | 390,039 | |||
Solaria Energia y Medio Ambiente SA (b) | 9,631 | 122,574 | |||
Talgo SA (b)(e) | 12,764 | 60,808 | |||
Tecnicas Reunidas SA (b) | 2,480 | 37,950 | |||
Telefonica SA | 424,908 | 2,031,606 | |||
Unicaja Banco SA (b)(e) | 73,212 | 37,419 | |||
Viscofan SA | 3,492 | 227,871 | |||
Zardoya Otis SA | 14,502 | 99,456 | |||
33,233,758 | |||||
SWEDEN — 2.2% | |||||
Sinch AB (b) | 3,000 | 258,235 | |||
AAK AB (b) | 14,608 | 252,178 | |||
AcadeMedia AB (e) | 15,147 | 102,949 | |||
Adapteo Oyj (b) | 6,042 | 51,584 | |||
AddTech AB Class B | 6,000 | 242,710 | |||
AF POYRY AB (b) | 8,783 | 189,947 | |||
Alfa Laval AB (b) | 28,457 | 627,871 | |||
Alimak Group AB (e) | 6,075 | 65,877 | |||
Arjo AB Class B | 22,985 | 128,357 | |||
Assa Abloy AB Class B | 93,078 | 1,905,389 | |||
Atlas Copco AB Class A | 62,360 | 2,656,070 | |||
Atlas Copco AB Class B | 38,700 | 1,438,254 | |||
Atrium Ljungberg AB Class B | 4,091 | 57,804 | |||
Attendo AB (b)(e) | 18,258 | 71,846 | |||
Avanza Bank Holding AB | 9,251 | 131,832 | |||
Axfood AB | 8,630 | 188,701 | |||
Beijer Ref AB (c) | 6,548 | 198,610 | |||
Betsson AB | 15,247 | 106,316 | |||
Betsson AB (b) | 15,247 | 4,697 | |||
Bilia AB Class A (b) | 10,517 | 85,233 | |||
BillerudKorsnas AB | 16,436 | 235,943 | |||
BioGaia AB Class B | 1,663 | 91,536 | |||
Biotage AB | 5,013 | 75,075 | |||
Boliden AB | 27,002 | 619,433 | |||
Bonava AB Class B | 9,858 | 53,287 | |||
Boozt AB (b)(e) | 10,974 | 108,525 | |||
Bravida Holding AB (b)(e) | 18,329 | 175,240 | |||
Bufab AB (b) | 6,983 | 73,746 | |||
Bure Equity AB | 4,779 | 104,316 | |||
Castellum AB | 22,683 | 425,103 | |||
Catena AB (c) | 1,171 | 46,312 | |||
Cellavision AB (b) | 1,868 | 56,358 | |||
Clas Ohlson AB Class B | 7,371 | 82,624 | |||
Cloetta AB Class B (b) | 28,896 | 73,859 | |||
Collector AB (b)(c) | 28,130 | 41,031 | |||
Coor Service Management Holding AB (b)(e) | 8,780 | 58,073 |
Security Description | Shares | Value | |||
Dios Fastigheter AB | 9,118 | $ 61,087 | |||
Dometic Group AB (b)(e) | 27,472 | 248,304 | |||
Dustin Group AB (c)(e) | 10,657 | 58,199 | |||
Electrolux AB Class B | 18,389 | 309,445 | |||
Electrolux Professional AB Class B (b) | 18,389 | 67,370 | |||
Elekta AB Class B | 37,158 | 346,198 | |||
Embracer Group AB (b) | 11,520 | 161,903 | |||
Epiroc AB Class A | 59,613 | 747,099 | |||
Epiroc AB Class B | 39,849 | 489,472 | |||
EQT AB | 15,168 | 273,538 | |||
Essity AB Class B (b) | 56,321 | 1,826,309 | |||
Evolution Gaming Group AB (e) | 11,115 | 660,292 | |||
Fabege AB | 21,764 | 256,000 | |||
Fastighets AB Balder Class B (b) | 9,404 | 359,868 | |||
Fingerprint Cards AB Class B (b)(c) | 31,312 | 57,221 | |||
Fortnox AB (b) | 4,202 | 115,010 | |||
Getinge AB Class B (c) | 20,364 | 379,533 | |||
Granges AB (b) | 8,487 | 67,674 | |||
Hennes & Mauritz AB Class B (c) | 72,140 | 1,053,152 | |||
Hexagon AB Class B (b) | 25,791 | 1,514,843 | |||
Hexpol AB (b) | 28,637 | 213,722 | |||
HMS Networks AB (b) | 2,574 | 48,237 | |||
Holmen AB Class B (b) | 8,687 | 279,057 | |||
Hufvudstaden AB Class A | 8,604 | 107,278 | |||
Husqvarna AB Class B | 32,673 | 268,944 | |||
ICA Gruppen AB | 9,217 | 438,199 | |||
Industrivarden AB Class C (b) | 19,084 | 435,073 | |||
Indutrade AB (b) | 8,199 | 325,243 | |||
Instalco AB | 3,853 | 59,604 | |||
Intrum AB (c) | 6,544 | 120,487 | |||
Investment AB Latour Class B | 13,000 | 236,070 | |||
Investor AB Class B | 42,298 | 2,244,193 | |||
Inwido AB (b) | 4,681 | 32,667 | |||
JM AB | 4,617 | 104,503 | |||
John Mattson Fastighetsforetagen AB (b) | 3,703 | 57,756 | |||
Karo Pharma AB (b) | 17,994 | 106,174 | |||
Kinnevik AB Class B | 22,465 | 593,114 | |||
Klovern AB Class B | 41,992 | 66,806 | |||
Kungsleden AB | 16,793 | 125,704 | |||
L E Lundbergforetagen AB Class B (b) | 9,305 | 424,227 | |||
LeoVegas AB (e) | 19,551 | 87,826 | |||
Lifco AB Class B | 4,519 | 288,207 | |||
Lindab International AB | 8,991 | 105,996 | |||
Loomis AB (b) | 7,725 | 184,571 | |||
Lundin Energy AB | 18,992 | 463,589 | |||
Mekonomen AB (b) | 8,779 | 62,791 | |||
Modern Times Group MTG AB Class B (b) | 8,909 | 97,122 | |||
Munters Group AB (b)(e) | 17,152 | 96,711 | |||
Mycronic AB (c) | 6,388 | 121,129 | |||
NCC AB Class B | 8,969 | 145,825 |
Security Description | Shares | Value | |||
NetEnt AB (b) | 24,310 | $ 187,229 | |||
Nibe Industrier AB Class B (b) | 28,208 | 625,753 | |||
Nobia AB (b) | 16,815 | 80,106 | |||
Nobina AB (b)(e) | 12,721 | 76,247 | |||
Nolato AB Class B (b) | 1,677 | 113,421 | |||
Nordic Entertainment Group AB Class B | 6,203 | 190,803 | |||
Nyfosa AB (b) | 17,984 | 123,449 | |||
Oncopeptides AB (b)(c)(e) | 3,301 | 46,402 | |||
Pandox AB (b)(c) | 8,087 | 93,886 | |||
Paradox Interactive AB | 5,166 | 111,795 | |||
Peab AB Class B (b) | 16,790 | 138,809 | |||
PowerCell Sweden AB (b) | 3,453 | 114,598 | |||
Ratos AB Class B (b) | 39,105 | 105,176 | |||
Recipharm AB (b) | 2,430 | 29,943 | |||
Recipharm AB Class B (b)(c) | 6,077 | 75,389 | |||
Resurs Holding AB (e) | 13,518 | 55,773 | |||
Saab AB Class B (b)(c) | 7,199 | 180,972 | |||
Samhallsbyggnadsbolaget i Norden AB | 99,213 | 254,952 | |||
Sandvik AB (b) | 105,486 | 1,986,184 | |||
Scandi Standard AB (b) | 10,379 | 71,901 | |||
Scandic Hotels Group AB (c)(e) | 16,583 | 58,710 | |||
Securitas AB Class B (b) | 31,343 | 423,897 | |||
Skandinaviska Enskilda Banken AB Class A (b) | 151,139 | 1,312,187 | |||
Skanska AB Class B (b) | 29,676 | 605,944 | |||
SKF AB Class B | 33,123 | 619,288 | |||
SkiStar AB | 6,323 | 64,813 | |||
SSAB AB Class A (b) | 51,377 | 142,308 | |||
SSAB AB Class B (b) | 55,794 | 148,943 | |||
Stillfront Group AB (b) | 2,830 | 254,453 | |||
Storytel AB (b) | 6,381 | 131,631 | |||
Svenska Cellulosa AB SCA Class B (b) | 54,805 | 655,641 | |||
Svenska Handelsbanken AB Class A (b) | 144,438 | 1,371,713 | |||
Sweco AB Class B | 6,006 | 271,153 | |||
Swedbank AB Class A (b) | 80,788 | 1,037,561 | |||
Swedish Match AB | 15,782 | 1,113,695 | |||
Swedish Orphan Biovitrum AB (b) | 16,714 | 387,606 | |||
Tele2 AB Class B | 45,173 | 601,436 | |||
Telefonaktiebolaget LM Ericsson Class B | 285,317 | 2,645,202 | |||
Telia Co. AB | 247,509 | 926,135 | |||
Thule Group AB (e) | 8,437 | 214,264 | |||
Tobii AB (b)(c) | 20,023 | 77,059 | |||
Trelleborg AB Class B (b) | 22,526 | 330,551 | |||
Troax Group AB | 7,112 | 111,659 | |||
Vitrolife AB | 6,363 | 142,193 | |||
Volvo AB Class B (b) | 137,993 | 2,171,664 | |||
Wallenstam AB Class B | 12,525 | 145,387 | |||
Wihlborgs Fastigheter AB | 13,486 | 221,874 | |||
Xvivo Perfusion AB (b) | 4,152 | 80,198 | |||
49,008,216 |
Security Description | Shares | Value | |||
SWITZERLAND — 6.3% | |||||
ABB, Ltd. | 171,040 | $ 3,879,278 | |||
Adecco Group AG | 14,037 | 661,572 | |||
Alcon, Inc. (b) | 46,101 | 2,648,648 | |||
Allreal Holding AG | 1,506 | 298,515 | |||
ALSO Holding AG | 495 | 121,581 | |||
Arbonia AG (b) | 6,222 | 64,464 | |||
Aryzta AG (b)(c) | 102,583 | 46,398 | |||
Ascom Holding AG (b) | 3,750 | 34,660 | |||
Bachem Holding AG Class B | 593 | 156,590 | |||
Baloise Holding AG | 4,719 | 710,844 | |||
Banque Cantonale Vaudoise | 3,190 | 310,617 | |||
Barry Callebaut AG | 273 | 521,057 | |||
Basilea Pharmaceutica AG (b) | 1,356 | 70,036 | |||
Belimo Holding AG | 46 | 340,397 | |||
Bell Food Group AG | 199 | 50,404 | |||
BKW AG | 1,910 | 171,464 | |||
Bobst Group SA (c) | 1,422 | 84,201 | |||
Bossard Holding AG Class A | 975 | 149,433 | |||
Bucher Industries AG | 513 | 148,165 | |||
Burckhardt Compression Holding AG (c) | 438 | 107,297 | |||
Cembra Money Bank AG | 2,578 | 251,981 | |||
Chocoladefabriken Lindt & Spruengli AG (d) | 97 | 801,071 | |||
Chocoladefabriken Lindt & Spruengli AG (d) | 10 | 862,477 | |||
Cie Financiere Richemont SA | 48,239 | 3,111,102 | |||
Clariant AG (b) | 18,240 | 358,941 | |||
Coca-Cola HBC AG | 18,073 | 451,145 | |||
Coltene Holding AG | 945 | 71,108 | |||
Comet Holding AG | 901 | 129,506 | |||
Conzzeta AG | 127 | 113,839 | |||
Credit Suisse Group AG | 237,284 | 2,468,648 | |||
Daetwyler Holding AG | 907 | 177,815 | |||
DKSH Holding AG | 3,979 | 256,331 | |||
dormakaba Holding AG | 293 | 159,993 | |||
Dufry AG (b) | 4,386 | 131,362 | |||
EFG International AG | 8,065 | 57,521 | |||
Emmi AG | 194 | 169,783 | |||
EMS-Chemie Holding AG | 717 | 556,981 | |||
Flughafen Zurich AG | 1,794 | 234,285 | |||
Forbo Holding AG | 88 | 127,736 | |||
Galenica AG (e) | 4,297 | 308,042 | |||
GAM Holding AG (b)(c) | 19,107 | 44,374 | |||
Geberit AG | 3,440 | 1,725,788 | |||
Georg Fischer AG | 361 | 311,185 | |||
Givaudan SA | 857 | 3,203,100 | |||
Glencore PLC | 967,508 | 2,055,169 | |||
Gurit Holding AG | 85 | 124,495 | |||
Helvetia Holding AG | 3,603 | 337,457 | |||
Huber + Suhner AG | 1,498 | 105,330 | |||
Idorsia, Ltd. (b) | 7,258 | 233,258 | |||
Implenia AG | 1,966 | 73,092 | |||
Ina Invest Holding AG (b)(c) | 393 | 8,710 | |||
Inficon Holding AG | 157 | 122,845 |
Security Description | Shares | Value | |||
Interroll Holding AG | 61 | $ 123,394 | |||
Intershop Holding AG | 132 | 79,001 | |||
IWG PLC | 68,261 | 223,760 | |||
Julius Baer Group, Ltd. | 20,245 | 850,151 | |||
Kardex Holding AG | 794 | 145,999 | |||
Komax Holding AG (b)(c) | 565 | 91,971 | |||
Kuehne + Nagel International AG (b) | 4,885 | 813,602 | |||
LafargeHolcim, Ltd. (d) | 45,895 | 2,021,738 | |||
LafargeHolcim, Ltd. (d) | 3,311 | 143,733 | |||
Landis+Gyr Group AG (b) | 1,625 | 105,257 | |||
LEM Holding SA | 58 | 85,866 | |||
Leonteq AG | 942 | 39,517 | |||
Logitech International SA | 14,876 | 974,712 | |||
Lonza Group AG | 6,911 | 3,660,351 | |||
Medacta Group SA (b)(e) | 1,306 | 104,971 | |||
Mediclinic International PLC | 45,822 | 150,105 | |||
Mobilezone Holding AG | 8,564 | 74,803 | |||
Mobimo Holding AG | 597 | 173,211 | |||
Nestle SA | 277,033 | 30,711,581 | |||
Novartis AG | 199,498 | 17,378,634 | |||
OC Oerlikon Corp. AG | 15,710 | 128,859 | |||
Orior AG | 1,109 | 91,210 | |||
Partners Group Holding AG | 1,736 | 1,580,796 | |||
PSP Swiss Property AG | 4,069 | 458,267 | |||
Rieter Holding AG | 687 | 63,514 | |||
Roche Holding AG | 65,243 | 22,601,022 | |||
Schindler Holding AG (d) | 3,750 | 887,376 | |||
Schindler Holding AG (d) | 1,820 | 431,424 | |||
Schweiter Technologies AG | 124 | 153,689 | |||
SFS Group AG | 1,339 | 126,175 | |||
SGS SA | 562 | 1,376,554 | |||
Siegfried Holding AG | 308 | 140,147 | |||
SIG Combibloc Group AG | 23,161 | 376,829 | |||
Sika AG | 13,050 | 2,515,413 | |||
Sonova Holding AG (b) | 5,223 | 1,045,405 | |||
St Galler Kantonalbank AG | 244 | 109,232 | |||
STADLER RAIL AG (b)(c) | 4,350 | 179,501 | |||
STMicroelectronics NV | 63,419 | 1,728,154 | |||
Straumann Holding AG | 934 | 807,345 | |||
Sulzer AG | 1,843 | 147,792 | |||
Sunrise Communications Group AG (e) | 3,535 | 314,394 | |||
Swatch Group AG (c)(d) | 2,617 | 525,207 | |||
Swatch Group AG (d) | 6,411 | 252,090 | |||
Swiss Life Holding AG | 3,039 | 1,130,445 | |||
Swiss Prime Site AG | 6,759 | 626,935 | |||
Swiss Re AG | 27,364 | 2,121,431 | |||
Swisscom AG (c) | 2,405 | 1,261,051 | |||
Swissquote Group Holding SA | 832 | 71,295 | |||
Tecan Group AG | 1,108 | 392,644 | |||
Temenos AG | 6,020 | 935,553 | |||
u-blox Holding AG | 976 | 66,935 | |||
UBS Group AG | 357,862 | 4,132,532 | |||
Valiant Holding AG | 1,670 | 155,815 | |||
Valora Holding AG (b) | 403 | 77,409 |
Security Description | Shares | Value | |||
VAT Group AG (e) | 2,442 | $ 448,482 | |||
Vetropack Holding AG (b) | 2,150 | 118,896 | |||
Vifor Pharma AG | 4,116 | 622,631 | |||
Vontobel Holding AG | 2,998 | 211,089 | |||
VZ Holding AG | 1,500 | 112,556 | |||
Ypsomed Holding AG | 343 | 48,711 | |||
Zehnder Group AG | 1,784 | 70,236 | |||
Zur Rose Group AG (b) | 1,188 | 325,044 | |||
Zurich Insurance Group AG | 13,893 | 4,922,191 | |||
141,564,724 | |||||
TAIWAN — 3.6% | |||||
AcBel Polytech, Inc. | 136,000 | 91,263 | |||
Accton Technology Corp. | 40,000 | 310,624 | |||
Acer, Inc. | 311,000 | 189,558 | |||
A-DATA Technology Co., Ltd. | 43,000 | 84,264 | |||
Advanced Ceramic X Corp. | 8,000 | 112,322 | |||
Advantech Co., Ltd. | 33,199 | 334,106 | |||
Airtac International Group | 12,000 | 211,982 | |||
AmTRAN Technology Co., Ltd. (b) | 189,000 | 51,664 | |||
Arcadyan Technology Corp. | 25,487 | 72,655 | |||
ASE Technology Holding Co., Ltd. | 346,325 | 797,588 | |||
Asia Cement Corp. | 233,000 | 345,561 | |||
Asia Optical Co., Inc. | 27,000 | 64,674 | |||
ASMedia Technology, Inc. | 4,000 | 195,888 | |||
ASPEED Technology, Inc. | 3,000 | 127,036 | |||
Asustek Computer, Inc. | 67,000 | 492,275 | |||
AU Optronics Corp. | 922,000 | 291,010 | |||
Brighton-Best International Taiwan, Inc. | 68,000 | 61,988 | |||
Capital Securities Corp. | 222,000 | 78,028 | |||
Career Technology MFG. Co., Ltd. | 60,000 | 62,816 | |||
Catcher Technology Co., Ltd. | 59,000 | 447,112 | |||
Cathay Financial Holding Co., Ltd. | 734,523 | 1,044,849 | |||
Chailease Holding Co., Ltd. | 121,079 | 516,173 | |||
Chang Hwa Commercial Bank, Ltd. | 470,817 | 309,767 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 63,490 | |||
Cheng Loong Corp. | 121,000 | 95,794 | |||
Cheng Shin Rubber Industry Co., Ltd. | 207,000 | 237,863 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 80,421 | |||
Chicony Electronics Co., Ltd. | 62,491 | 181,136 | |||
Chilisin Electronics Corp. | 24,000 | 73,798 | |||
China Airlines, Ltd. | 434,000 | 121,181 | |||
China Development Financial Holding Corp. | 1,476,000 | 474,631 | |||
China General Plastics Corp. | 131,000 | 84,505 | |||
China Life Insurance Co., Ltd. (b) | 268,557 | 199,519 | |||
China Man-Made Fiber Corp. | 267,000 | 60,520 |
Security Description | Shares | Value | |||
China Petrochemical Development Corp. | 297,000 | $ 83,949 | |||
China Steel Chemical Corp. | 20,000 | 71,390 | |||
China Steel Corp. | 1,066,000 | 750,713 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 82,186 | |||
Chipbond Technology Corp. | 37,000 | 81,199 | |||
ChipMOS Techinologies, Inc. | 67,000 | 77,166 | |||
Chroma ATE, Inc. | 29,000 | 150,080 | |||
Chung Hwa Pulp Corp. | 235,000 | 71,686 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 83,311 | |||
Chunghwa Telecom Co., Ltd. | 344,000 | 1,366,180 | |||
Cleanaway Co., Ltd. | 14,000 | 79,464 | |||
Compal Electronics, Inc. | 446,000 | 291,929 | |||
Compeq Manufacturing Co., Ltd. | 80,000 | 130,576 | |||
CTBC Financial Holding Co., Ltd. | 1,675,009 | 1,160,845 | |||
CTCI Corp. | 72,000 | 95,462 | |||
Delta Electronics, Inc. | 181,630 | 1,036,452 | |||
E Ink Holdings, Inc. | 75,000 | 104,150 | |||
E.Sun Financial Holding Co., Ltd. | 945,555 | 895,638 | |||
Eclat Textile Co., Ltd. | 19,182 | 223,453 | |||
Egis Technology, Inc. | 8,000 | 52,638 | |||
Elan Microelectronics Corp. | 24,000 | 98,592 | |||
Elite Material Co., Ltd. | 22,000 | 119,734 | |||
Elite Semiconductor Memory Technology, Inc. | 103,000 | 135,898 | |||
eMemory Technology, Inc. | 7,000 | 116,340 | |||
Epistar Corp. | 86,000 | 108,194 | |||
Eternal Materials Co., Ltd. | 79,000 | 83,799 | |||
Eva Airways Corp. | 323,121 | 123,473 | |||
Evergreen Marine Corp. Taiwan, Ltd. (b) | 369,683 | 135,248 | |||
Everlight Electronics Co., Ltd. | 90,000 | 95,129 | |||
Far Eastern Department Stores, Ltd. | 83,000 | 70,246 | |||
Far Eastern International Bank | 182,000 | 68,685 | |||
Far Eastern New Century Corp. | 341,620 | 324,433 | |||
Far EasTone Telecommunications Co., Ltd. | 131,000 | 302,456 | |||
Faraday Technology Corp. | 37,000 | 58,652 | |||
Feng Hsin Steel Co., Ltd. | 39,000 | 68,944 | |||
Feng TAY Enterprise Co., Ltd. | 38,800 | 220,054 | |||
Firich Enterprises Co., Ltd. | 58,000 | 59,021 | |||
First Financial Holding Co., Ltd. | 901,518 | 695,021 | |||
FLEXium Interconnect, Inc. | 23,000 | 95,667 | |||
Formosa Chemicals & Fibre Corp. | 315,000 | 811,322 | |||
Formosa Petrochemical Corp. | 112,000 | 338,989 | |||
Formosa Plastics Corp. | 403,000 | 1,199,922 | |||
Formosa Taffeta Co., Ltd. | 76,000 | 94,146 | |||
Foxconn Technology Co., Ltd. | 84,180 | 162,098 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 116,904 |
Security Description | Shares | Value | |||
Fubon Financial Holding Co., Ltd. | 628,000 | $ 937,614 | |||
General Interface Solution Holding, Ltd. | 20,000 | 76,873 | |||
Genius Electronic Optical Co., Ltd. | 5,396 | 129,058 | |||
Getac Technology Corp. | 34,000 | 50,200 | |||
Giant Manufacturing Co., Ltd. | 37,000 | 332,576 | |||
Gigabyte Technology Co., Ltd. | 43,000 | 95,977 | |||
Global Unichip Corp. | 8,000 | 68,982 | |||
Globalwafers Co., Ltd. | 23,000 | 316,783 | |||
Grape King Bio, Ltd. | 19,000 | 122,706 | |||
Great Wall Enterprise Co., Ltd. | 52,000 | 75,410 | |||
HannStar Display Corp. | 325,000 | 71,839 | |||
Highwealth Construction Corp. | 72,900 | 107,996 | |||
Hiwin Technologies Corp. | 24,322 | 243,857 | |||
Holtek Semiconductor, Inc. | 33,000 | 74,872 | |||
Holy Stone Enterprise Co., Ltd. | 18,000 | 74,365 | |||
Hon Hai Precision Industry Co., Ltd. | 1,158,320 | 3,401,006 | |||
Hota Industrial Manufacturing Co., Ltd. | 25,000 | 86,436 | |||
Hotai Motor Co., Ltd. | 27,000 | 647,371 | |||
HTC Corp. | 120,000 | 135,547 | |||
Hua Nan Financial Holdings Co., Ltd. | 800,618 | 544,911 | |||
Huaku Development Co., Ltd. | 35,000 | 100,196 | |||
Hung Sheng Construction, Ltd. | 97,600 | 59,407 | |||
IEI Integration Corp. | 41,000 | 61,214 | |||
Innolux Corp. | 942,000 | 253,741 | |||
International Games System Co., Ltd. | 5,000 | 125,104 | |||
Inventec Corp. | 291,000 | 248,431 | |||
ITEQ Corp. | 16,188 | 81,311 | |||
King Slide Works Co., Ltd. | 5,000 | 57,044 | |||
King Yuan Electronics Co., Ltd. | 73,000 | 85,487 | |||
King's Town Bank Co., Ltd. | 72,000 | 87,860 | |||
Kinpo Electronics | 141,000 | 52,067 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 95,657 | |||
Land Mark Optoelectronics Corp. | 8,000 | 79,052 | |||
Largan Precision Co., Ltd. | 9,000 | 1,251,359 | |||
Lien Hwa Industrial Holdings Corp. | 60,000 | 86,664 | |||
Lite-On Technology Corp. | 225,419 | 354,957 | |||
Lotes Co., Ltd. | 8,000 | 103,433 | |||
Macronix International | 136,000 | 144,220 | |||
Makalot Industrial Co., Ltd. | 41,000 | 216,628 | |||
MediaTek, Inc. | 136,000 | 2,688,804 | |||
Mega Financial Holding Co., Ltd. | 984,601 | 1,034,961 | |||
Merida Industry Co., Ltd. | 17,000 | 116,213 | |||
Merry Electronics Co., Ltd. | 15,000 | 71,225 | |||
Micro-Star International Co., Ltd. | 72,000 | 263,589 | |||
Mitac Holdings Corp. | 68,000 | 75,143 |
Security Description | Shares | Value | |||
momo.com, Inc. | 5,000 | $ 121,587 | |||
Namchow Holdings Co., Ltd. | 43,000 | 67,179 | |||
Nan Kang Rubber Tire Co., Ltd. | 67,000 | 101,381 | |||
Nan Ya Plastics Corp. | 457,000 | 1,003,751 | |||
Nan Ya Printed Circuit Board Corp. | 30,000 | 81,180 | |||
Nantex Industry Co., Ltd. | 69,000 | 91,146 | |||
Nanya Technology Corp. | 131,000 | 273,317 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 166,620 | |||
Novatek Microelectronics Corp. | 56,000 | 435,216 | |||
Pan-International Industrial Corp. | 108,000 | 66,849 | |||
Parade Technologies, Ltd. | 5,000 | 167,590 | |||
PChome Online, Inc. (b) | 17,000 | 68,478 | |||
Pegatron Corp. | 188,000 | 410,054 | |||
PharmaEssentia Corp. (b) | 19,000 | 75,900 | |||
Phison Electronics Corp. | 13,000 | 130,820 | |||
Pixart Imaging, Inc. | 12,000 | 69,490 | |||
Pou Chen Corp. | 235,000 | 230,533 | |||
Powertech Technology, Inc. | 87,000 | 317,576 | |||
Poya International Co., Ltd. | 5,000 | 98,807 | |||
President Chain Store Corp. | 52,000 | 523,103 | |||
Primax Electronics, Ltd. | 35,000 | 57,238 | |||
Qisda Corp. | 125,000 | 75,136 | |||
Quanta Computer, Inc. | 284,000 | 687,122 | |||
Radiant Opto-Electronics Corp. | 31,000 | 125,521 | |||
Radium Life Tech Co., Ltd. | 184,000 | 64,423 | |||
Realtek Semiconductor Corp. | 47,000 | 479,048 | |||
Ruentex Development Co., Ltd. | 77,361 | 134,432 | |||
Ruentex Industries, Ltd. | 47,400 | 113,993 | |||
SDI Corp. | 35,000 | 57,653 | |||
Sercomm Corp. | 27,000 | 71,753 | |||
Shanghai Commercial & Savings Bank, Ltd. | 303,649 | 470,930 | |||
Shin Kong Financial Holding Co., Ltd. | 1,193,988 | 349,771 | |||
Shin Zu Shing Co., Ltd. | 18,000 | 91,569 | |||
Shining Building Business Co., Ltd. (b) | 188,000 | 63,254 | |||
Sigurd Microelectronics Corp. | 67,078 | 92,813 | |||
Simplo Technology Co., Ltd. | 12,000 | 130,917 | |||
Sinbon Electronics Co., Ltd. | 22,000 | 111,903 | |||
Sino-American Silicon Products, Inc. | 36,000 | 116,745 | |||
SinoPac Financial Holdings Co., Ltd. | 1,182,281 | 437,005 | |||
Sitronix Technology Corp. | 12,000 | 63,105 | |||
Soft-World International Corp. | 32,000 | 126,536 | |||
Sporton International, Inc. | 11,000 | 90,080 | |||
St Shine Optical Co., Ltd. | 6,000 | 72,332 | |||
Standard Foods Corp. | 51,417 | 110,061 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 70,050 | |||
Supreme Electronics Co., Ltd. | 122,000 | 123,614 | |||
Syncmold Enterprise Corp. | 28,000 | 77,175 | |||
Synnex Technology International Corp. | 128,550 | 182,126 |
Security Description | Shares | Value | |||
TA Chen Stainless Pipe | 165,000 | $ 152,437 | |||
Taichung Commercial Bank Co., Ltd. | 218,000 | 86,332 | |||
Taigen Biopharmaceuticals Holdings, Ltd. (b) | 126,000 | 107,355 | |||
TaiMed Biologics, Inc. (b) | 15,000 | 46,053 | |||
Taishin Financial Holding Co., Ltd. | 1,077,405 | 489,849 | |||
Taiwan Business Bank | 679,269 | 249,781 | |||
Taiwan Cement Corp. | 445,235 | 647,832 | |||
Taiwan Cogeneration Corp. | 134,000 | 179,548 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 781,731 | 551,838 | |||
Taiwan Fertilizer Co., Ltd. | 111,000 | 187,997 | |||
Taiwan High Speed Rail Corp. | 226,000 | 280,913 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 188,740 | |||
Taiwan Mobile Co., Ltd. | 148,000 | 555,025 | |||
Taiwan Paiho, Ltd. | 32,000 | 70,369 | |||
Taiwan Secom Co., Ltd. | 24,000 | 71,035 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,274,000 | 24,285,210 | |||
Taiwan Styrene Monomer | 154,000 | 86,025 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 133,394 | |||
Taiwan TEA Corp. | 161,000 | 86,678 | |||
Taiwan Union Technology Corp. | 21,000 | 103,105 | |||
Tatung Co., Ltd. (b) | 177,000 | 126,472 | |||
TCI Co., Ltd. | 7,000 | 65,392 | |||
Teco Electric and Machinery Co., Ltd. | 148,000 | 136,115 | |||
Test Research, Inc. | 44,000 | 81,164 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 78,050 | |||
Ton Yi Industrial Corp. | 184,000 | 57,359 | |||
Tong Hsing Electronic Industries, Ltd. | 18,000 | 86,074 | |||
Topco Scientific Co., Ltd. | 22,000 | 81,746 | |||
Tripod Technology Corp. | 44,000 | 196,857 | |||
Tung Ho Steel Enterprise Corp. | 68,000 | 51,850 | |||
TXC Corp. | 39,000 | 84,702 | |||
Unimicron Technology Corp. | 109,000 | 186,821 | |||
Uni-President Enterprises Corp. | 453,880 | 1,099,663 | |||
Unitech Printed Circuit Board Corp. | 61,000 | 53,621 | |||
United Integrated Services Co., Ltd. | 13,000 | 89,184 | |||
United Microelectronics Corp. | 1,008,000 | 544,966 | |||
United Renewable Energy Co., Ltd. (b) | 273,450 | 61,084 | |||
USI Corp. | 244,000 | 102,077 | |||
Vanguard International Semiconductor Corp. | 105,000 | 279,193 | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | 62,557 | |||
Voltronic Power Technology Corp. | 4,000 | 115,260 |
Security Description | Shares | Value | |||
Walsin Lihwa Corp. | 328,000 | $ 162,722 | |||
Walsin Technology Corp. | 28,000 | 171,119 | |||
Waterland Financial Holdings Co., Ltd. | 389,000 | 155,238 | |||
Win Semiconductors Corp. | 36,000 | 367,563 | |||
Winbond Electronics Corp. | 274,000 | 125,014 | |||
Wistron Corp. | 302,842 | 369,703 | |||
Wistron NeWeb Corp. | 36,000 | 79,003 | |||
Wiwynn Corp. | 6,000 | 164,028 | |||
WPG Holdings, Ltd. | 160,480 | 214,123 | |||
Xxentria Technology Materials Corp. | 32,000 | 59,358 | |||
Yageo Corp. | 23,962 | 312,173 | |||
YC INOX Co., Ltd. | 82,000 | 69,433 | |||
Yuanta Financial Holding Co., Ltd. | 853,022 | 507,657 | |||
Yulon Motor Co., Ltd. | 112,000 | 82,454 | |||
Zhen Ding Technology Holding, Ltd. | 40,000 | 175,539 | |||
80,307,373 | |||||
THAILAND — 0.6% | |||||
Advanced Info Service PCL | 106,700 | 638,664 | |||
AEON Thana Sinsap Thailand PCL | 10,400 | 36,341 | |||
Airports of Thailand PCL | 432,600 | 846,795 | |||
Amata Corp. PCL | 98,300 | 48,979 | |||
AP Thailand PCL | 15,474 | 2,954 | |||
Asia Aviation PCL NVDR (b) | 705,600 | 46,117 | |||
B Grimm Power PCL NVDR | 86,900 | 151,350 | |||
Bangchak Corp. PCL | 98,500 | 66,926 | |||
Bangkok Bank PCL NVDR | 49,296 | 171,953 | |||
Bangkok Chain Hospital PCL NVDR | 162,000 | 78,944 | |||
Bangkok Dusit Medical Services PCL NVDR | 124,900 | 91,030 | |||
Bangkok Dusit Medical Services PCL Class F | 729,500 | 531,060 | |||
Bangkok Expressway & Metro PCL | 782,100 | 240,393 | |||
Bangkok Land PCL | 1,469,600 | 48,499 | |||
Banpu PCL | 243,400 | 48,038 | |||
Berli Jucker PCL | 104,700 | 133,807 | |||
BTS Group Holdings PCL | 619,900 | 226,640 | |||
Bumrungrad Hospital PCL | 31,200 | 117,603 | |||
Central Pattana PCL NVDR | 69,300 | 110,158 | |||
Central Pattana PCL | 150,100 | 236,751 | |||
Central Retail Corp. PCL NVDR (b) | 84,100 | 90,116 | |||
Central Retail Corp. PCL (b) | 100,225 | 106,200 | |||
CH Karnchang PCL NVDR | 146,300 | 95,297 | |||
Charoen Pokphand Foods PCL | 359,700 | 369,505 | |||
Chularat Hospital PCL Class F | 887,900 | 70,670 | |||
Com7 PCL Class F | 84,500 | 77,235 | |||
CP ALL PCL (b) | 524,300 | 1,149,279 | |||
Eastern Polymer Group PCL (c) | 280,400 | 43,365 | |||
Electricity Generating PCL | 11,900 | 95,100 |
Security Description | Shares | Value | |||
Electricity Generating PCL NVDR | 17,300 | $ 139,231 | |||
Energy Absolute PCL | 112,813 | 143,263 | |||
Energy Absolute PCL NVDR | 57,900 | 74,094 | |||
Erawan Group PCL (c) | 394,000 | 47,931 | |||
GFPT PCL | 131,000 | 55,100 | |||
Global Power Synergy PCL Class F | 74,500 | 177,166 | |||
Gulf Energy Development PCL NVDR | 60,200 | 73,887 | |||
Gulf Energy Development PCL | 203,000 | 247,941 | |||
Gunkul Engineering PCL | 705,600 | 59,357 | |||
Hana Microelectronics PCL | 82,100 | 73,713 | |||
Home Product Center PCL | 417,200 | 207,874 | |||
Home Product Center PCL NVDR | 173,900 | 87,352 | |||
Indorama Ventures PCL | 175,900 | 157,930 | |||
Intouch Holdings PCL Class F | 181,200 | 329,774 | |||
IRPC PCL | 971,500 | 82,353 | |||
Jasmine International PCL | 363,100 | 42,058 | |||
Kasikornbank PCL | 166,700 | 503,929 | |||
Krung Thai Bank PCL | 364,900 | 121,604 | |||
Land & Houses PCL | 567,800 | 139,619 | |||
Land & Houses PCL NVDR | 287,500 | 71,255 | |||
Major Cineplex Group PCL | 1,245 | 604 | |||
MBK PCL | 114,100 | 51,314 | |||
Minor International PCL (b)(c) | 236,350 | 155,234 | |||
Muangthai Capital PCL (b) | 60,500 | 101,788 | |||
Origin Property PCL Class F | 286,100 | 50,449 | |||
Osotspa PCL NVDR | 84,700 | 104,759 | |||
Plan B Media PCL Class F | 267,000 | 51,832 | |||
PTG Energy PCL | 109,300 | 57,289 | |||
PTT Exploration & Production PCL | 145,100 | 430,734 | |||
PTT Global Chemical PCL | 213,000 | 318,733 | |||
PTT PCL | 1,103,600 | 1,347,922 | |||
Quality Houses PCL | 981,000 | 71,097 | |||
Ratch Group PCL | 58,500 | 117,823 | |||
Ratchthani Leasing PCL | 298,000 | 34,517 | |||
Sansiri PCL | 1,966,900 | 48,365 | |||
Siam Cement PCL | 67,165 | 799,700 | |||
Siam Cement PCL NVDR | 6,700 | 80,145 | |||
Siam Commercial Bank PCL | 191,100 | 448,265 | |||
Siamgas & Petrochemicals PCL (c) | 242,200 | 66,608 | |||
Singha Estate PCL | 705,600 | 36,070 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 51,392 | |||
SPCG PCL | 112,855 | 59,518 | |||
Srisawad Corp. PCL (b) | 84,900 | 141,466 | |||
Supalai PCL | 161,300 | 87,676 | |||
Super Energy Corp. PCL | 3,551,400 | 108,010 | |||
Thai Airways International PCL (b) | 242,200 | 29,778 | |||
Thai Oil PCL | 117,200 | 167,794 | |||
Thai Union Group PCL Class F | 244,000 | 101,839 | |||
Thai Vegetable Oil PCL | 83,600 | 71,002 |
Security Description | Shares | Value | |||
Thonburi Healthcare Group PCL | 111,000 | $ 71,827 | |||
TMB Bank PCL | 2,510,814 | 85,298 | |||
Total Access Communication PCL | 45,600 | 57,908 | |||
True Corp. PCL (c) | 1,001,312 | 110,150 | |||
TTW PCL NVDR | 175,800 | 75,359 | |||
U City PCL Class F (b)(c) | 1,076,200 | 50,141 | |||
Vinythai PCL | 85,300 | 60,993 | |||
WHA Corp. PCL | 459,200 | 49,326 | |||
14,557,925 | |||||
TURKEY — 0.1% | |||||
Akbank T.A.S. (b) | 288,939 | 256,282 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | 71,592 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 44,184 | 208,544 | |||
BIM Birlesik Magazalar A/S | 41,200 | 408,406 | |||
Coca-Cola Icecek A/S | 7,067 | 44,923 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT (b) | 158,361 | 47,251 | |||
Eregli Demir ve Celik Fabrikalari TAS | 122,270 | 153,044 | |||
Ford Otomotiv Sanayi A/S | 6,094 | 63,226 | |||
Haci Omer Sabanci Holding A/S | 140,790 | 189,542 | |||
KOC Holding A/S | 71,562 | 188,185 | |||
Petkim Petrokimya Holding A/S (b) | 443,776 | 275,592 | |||
TAV Havalimanlari Holding A/S | 12,185 | 34,515 | |||
Tupras Turkiye Petrol Rafinerileri A/S (b) | 12,883 | 168,496 | |||
Turk Hava Yollari AO (b) | 85,741 | 156,042 | |||
Turkcell Iletisim Hizmetleri A/S | 100,945 | 240,620 | |||
Turkiye Garanti Bankasi A/S (b) | 190,042 | 234,280 | |||
Turkiye Halk Bankasi A/S (b) | 57,273 | 53,416 | |||
Turkiye Is Bankasi A/S Class C (b) | 164,039 | 133,956 | |||
Ulker Biskuvi Sanayi A/S (b) | 14,252 | 50,580 | |||
Yapi ve Kredi Bankasi A/S (b) | 273,794 | 97,685 | |||
3,076,177 | |||||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Commercial Bank PJSC | 226,966 | 307,548 | |||
Air Arabia PJSC | 303,107 | 102,280 | |||
Aldar Properties PJSC | 307,385 | 150,473 | |||
Amanat Holdings PJSC | 296,164 | 69,417 | |||
Dana Gas PJSC | 290,758 | 51,452 | |||
Deyaar Development PJSC (b) | 788,713 | 60,177 | |||
Dubai Islamic Bank PJSC | 117,687 | 122,818 | |||
Emaar Malls PJSC (b) | 267,179 | 100,709 | |||
Emaar Properties PJSC (b) | 256,763 | 193,984 | |||
Emirates NBD Bank PJSC | 115,000 | 280,161 | |||
Emirates Telecommunications Group Co. PJSC | 116,409 | 524,586 | |||
First Abu Dhabi Bank PJSC | 196,038 | 608,101 |
Security Description | Shares | Value | |||
National Central Cooling Co. PJSC | 146,926 | $ 76,921 | |||
Network International Holdings PLC (b)(e) | 47,026 | 256,708 | |||
Union Properties PJSC (b) | 971,470 | 79,665 | |||
2,985,000 | |||||
UNITED KINGDOM — 8.5% | |||||
3i Group PLC | 90,362 | 927,829 | |||
888 Holdings PLC | 47,272 | 101,952 | |||
A.G. Barr PLC | 16,160 | 90,181 | |||
AB Dynamics PLC | 2,636 | 53,253 | |||
Abcam PLC | 16,250 | 267,647 | |||
Admiral Group PLC | 17,728 | 501,328 | |||
Advanced Medical Solutions Group PLC | 26,844 | 78,935 | |||
Aggreko PLC | 23,169 | 127,057 | |||
AJ Bell PLC | 26,404 | 126,511 | |||
Alfa Financial Software Holdings PLC (b)(e) | 72,989 | 65,294 | |||
Alliance Pharma PLC | 64,517 | 59,177 | |||
Anglo Pacific Group PLC | 29,575 | 49,069 | |||
AO World PLC (b)(c) | 26,609 | 47,652 | |||
Ascential PLC (c)(e) | 30,220 | 108,104 | |||
Ashmore Group PLC | 36,143 | 186,096 | |||
Ashtead Group PLC | 41,107 | 1,382,748 | |||
ASOS PLC (b) | 7,567 | 320,707 | |||
Associated British Foods PLC | 34,079 | 803,494 | |||
Assura PLC REIT | 224,540 | 217,270 | |||
Aston Martin Lagonda Global Holdings PLC (b)(c)(e) | 60,036 | 36,645 | |||
AstraZeneca PLC | 121,830 | 12,643,571 | |||
Auto Trader Group PLC (e) | 89,644 | 582,001 | |||
Avast PLC (e) | 54,744 | 356,789 | |||
AVEVA Group PLC | 5,874 | 296,990 | |||
Aviva PLC | 359,509 | 1,215,069 | |||
B&M European Value Retail SA | 92,422 | 453,654 | |||
Babcock International Group PLC | 22,867 | 87,391 | |||
BAE Systems PLC | 297,622 | 1,774,592 | |||
Balfour Beatty PLC | 75,884 | 243,615 | |||
Bank of Georgia Group PLC (b) | 5,714 | 75,978 | |||
Barclays PLC | 1,603,912 | 2,256,406 | |||
Barratt Developments PLC | 92,104 | 564,485 | |||
Beazley PLC | 56,330 | 284,767 | |||
Bellway PLC | 11,990 | 376,573 | |||
Berkeley Group Holdings PLC | 11,681 | 599,875 | |||
Biffa PLC (e) | 23,119 | 57,604 | |||
Big Yellow Group PLC REIT | 14,991 | 186,072 | |||
Blue Prism Group PLC (b)(c) | 6,473 | 90,825 | |||
BMO Commercial Property Trust (b) | 74,028 | 57,672 | |||
Bodycote PLC | 17,319 | 133,899 | |||
boohoo Group PLC (b) | 85,817 | 438,221 | |||
BP PLC | 1,878,231 | 7,175,256 | |||
Brewin Dolphin Holdings PLC | 34,485 | 110,822 | |||
British American Tobacco PLC | 212,492 | 8,126,648 |
Security Description | Shares | Value | |||
British Land Co. PLC REIT | 79,629 | $ 379,827 | |||
Britvic PLC | 20,986 | 199,285 | |||
BT Group PLC | 823,659 | 1,161,568 | |||
Bunzl PLC | 30,465 | 814,858 | |||
Burberry Group PLC | 40,470 | 797,432 | |||
Cairn Energy PLC (b) | 56,269 | 81,656 | |||
Calisen PLC (b) | 15,254 | 33,983 | |||
Capita PLC (b) | 140,018 | 76,377 | |||
Capital & Counties Properties PLC REIT | 66,111 | 119,550 | |||
Centrica PLC | 529,118 | 250,700 | |||
Ceres Power Holdings PLC (b) | 7,916 | 53,116 | |||
Cineworld Group PLC (c) | 58,020 | 43,433 | |||
Civitas Social Housing PLC REIT | 94,438 | 128,057 | |||
Clinigen Healthcare, Ltd. | 11,720 | 117,127 | |||
Close Brothers Group PLC | 11,708 | 159,836 | |||
CNH Industrial NV (b) | 92,158 | 647,264 | |||
Coats Group PLC | 90,858 | 63,060 | |||
Coca-Cola European Partners PLC (d) | 9,400 | 354,944 | |||
Coca-Cola European Partners PLC (d) | 11,838 | 449,104 | |||
Compass Group PLC | 165,189 | 2,266,327 | |||
Computacenter PLC | 6,746 | 136,339 | |||
ConvaTec Group PLC (e) | 134,568 | 324,077 | |||
Countryside Properties PLC (e) | 43,262 | 176,654 | |||
Craneware PLC | 1,700 | 35,814 | |||
Cranswick PLC | 4,711 | 210,429 | |||
Crest Nicholson Holdings PLC | 28,002 | 68,258 | |||
Croda International PLC | 11,659 | 755,123 | |||
Custodian Reit PLC | 48,411 | 54,373 | |||
CVS Group PLC | 6,658 | 84,734 | |||
Daily Mail & General Trust PLC Class A | 14,271 | 121,571 | |||
Dart Group PLC | 7,820 | 81,022 | |||
DCC PLC | 8,901 | 740,634 | |||
Dechra Pharmaceuticals PLC | 9,300 | 326,646 | |||
Derwent London PLC REIT | 9,603 | 329,399 | |||
Diageo PLC | 217,423 | 7,206,151 | |||
Dialog Semiconductor PLC (b) | 8,298 | 379,172 | |||
Diploma PLC | 9,179 | 203,479 | |||
Direct Line Insurance Group PLC | 135,456 | 452,909 | |||
Dixons Carphone PLC | 75,099 | 83,229 | |||
Domino's Pizza Group PLC | 38,448 | 147,163 | |||
Drax Group PLC | 32,404 | 103,123 | |||
DS Smith PLC | 125,548 | 508,219 | |||
Dunelm Group PLC | 6,935 | 101,881 | |||
easyJet PLC (c) | 12,809 | 107,832 | |||
Electrocomponents PLC | 46,641 | 387,160 | |||
Elementis PLC | 57,380 | 45,659 | |||
EMIS Group PLC | 9,755 | 130,176 | |||
Empiric Student Property PLC REIT | 78,997 | 56,797 | |||
Equiniti Group PLC (e) | 29,179 | 52,560 | |||
Essentra PLC | 20,843 | 75,138 |
Security Description | Shares | Value | |||
Euromoney Institutional Investor PLC | 8,298 | $ 80,710 | |||
Experian PLC | 84,607 | 2,961,221 | |||
Ferrexpo PLC | 26,623 | 57,014 | |||
Fevertree Drinks PLC | 9,051 | 228,790 | |||
Fiat Chrysler Automobiles NV (b) | 99,774 | 1,009,209 | |||
First Derivatives PLC | 2,570 | 81,093 | |||
Firstgroup PLC (b) | 94,834 | 59,250 | |||
FLEX LNG, Ltd. | 7,577 | 35,065 | |||
Forterra PLC (e) | 29,434 | 73,107 | |||
Frasers Group PLC (b) | 19,990 | 75,533 | |||
Frontier Developments PLC (b) | 5,571 | 127,345 | |||
Funding Circle Holdings PLC (b)(c)(e) | 129,936 | 109,816 | |||
Future PLC | 9,077 | 142,863 | |||
G4S PLC | 130,844 | 184,583 | |||
Games Workshop Group PLC | 2,919 | 289,229 | |||
Gamesys Group PLC (b) | 8,539 | 90,352 | |||
GB Group PLC | 14,835 | 123,564 | |||
GCP Student Living PLC REIT | 70,906 | 108,831 | |||
Genus PLC | 5,886 | 256,934 | |||
GlaxoSmithKline PLC | 464,563 | 9,357,521 | |||
Go-Ahead Group PLC | 4,113 | 42,545 | |||
GoCo. Group PLC | 68,401 | 81,592 | |||
Grafton Group PLC | 19,660 | 160,314 | |||
Grainger PLC | 55,385 | 195,974 | |||
Great Portland Estates PLC REIT | 20,668 | 161,463 | |||
Greggs PLC | 9,198 | 183,955 | |||
GVC Holdings PLC | 52,644 | 481,167 | |||
Halfords Group PLC | 44,124 | 82,870 | |||
Halma PLC | 33,901 | 963,118 | |||
Hammerson PLC REIT (c) | 65,689 | 64,919 | |||
Hargreaves Lansdown PLC | 29,488 | 592,978 | |||
Hastings Group Holdings PLC (e) | 44,268 | 105,404 | |||
Hays PLC | 143,563 | 211,986 | |||
Helical PLC | 16,644 | 63,912 | |||
Hill & Smith Holdings PLC | 6,431 | 98,842 | |||
Hiscox, Ltd. | 32,068 | 312,123 | |||
HomeServe PLC | 30,440 | 490,733 | |||
Hotel Chocolat Group PLC | 15,284 | 58,871 | |||
Howden Joinery Group PLC | 54,152 | 369,687 | |||
HSBC Holdings PLC | 1,880,859 | 8,716,766 | |||
Hunting PLC | 13,720 | 35,792 | |||
Hurricane Energy PLC (b)(c) | 148,745 | 10,684 | |||
Hyve Group PLC | 29,910 | 36,757 | |||
Ibstock PLC (e) | 26,496 | 58,786 | |||
Ideagen PLC | 16,804 | 38,827 | |||
IG Design Group PLC | 11,749 | 73,166 | |||
IG Group Holdings PLC | 33,419 | 336,515 | |||
IMI PLC | 28,799 | 327,632 | |||
Imperial Brands PLC | 87,903 | 1,668,652 | |||
Inchcape PLC | 34,914 | 211,580 | |||
Indivior PLC (b) | 116,804 | 119,788 |
Security Description | Shares | Value | |||
Informa PLC | 139,494 | $ 804,240 | |||
IntegraFin Holdings PLC | 27,615 | 156,132 | |||
InterContinental Hotels Group PLC | 15,643 | 688,612 | |||
Intermediate Capital Group PLC | 26,272 | 417,955 | |||
Intertek Group PLC | 14,675 | 985,585 | |||
iomart Group PLC (c) | 15,727 | 68,013 | |||
IQE PLC (b)(c) | 95,123 | 60,001 | |||
ITM Power PLC (b) | 28,310 | 92,115 | |||
ITV PLC | 373,371 | 344,105 | |||
J D Wetherspoon PLC | 7,825 | 97,076 | |||
J Sainsbury PLC | 160,118 | 413,208 | |||
JD Sports Fashion PLC | 40,638 | 311,894 | |||
John Laing Group PLC (e) | 39,128 | 169,013 | |||
John Wood Group PLC | 63,556 | 151,963 | |||
Johnson Matthey PLC | 17,507 | 454,663 | |||
Jupiter Fund Management PLC | 35,489 | 112,211 | |||
Just Group PLC (b) | 106,609 | 69,329 | |||
Kainos Group PLC | 12,651 | 117,074 | |||
Keller Group PLC | 10,427 | 81,682 | |||
Kingfisher PLC | 190,876 | 523,652 | |||
Lancashire Holdings, Ltd. | 22,503 | 225,018 | |||
Land Securities Group PLC REIT | 63,717 | 434,124 | |||
Learning Technologies Group PLC (c) | 39,365 | 59,918 | |||
Legal & General Group PLC | 540,510 | 1,469,401 | |||
Lloyds Banking Group PLC | 6,504,636 | 2,502,136 | |||
London Stock Exchange Group PLC | 29,090 | 3,016,674 | |||
LondonMetric Property PLC REIT | 72,287 | 188,158 | |||
LXI REIT PLC | 73,462 | 103,291 | |||
M&G PLC | 235,181 | 486,961 | |||
Man Group PLC | 155,317 | 250,744 | |||
Marks & Spencer Group PLC | 177,319 | 216,826 | |||
Marshalls PLC | 18,096 | 137,567 | |||
Marston's PLC | 55,445 | 36,412 | |||
McCarthy & Stone PLC (e) | 54,789 | 48,351 | |||
Meggitt PLC | 64,866 | 235,598 | |||
Melrose Industries PLC | 442,441 | 621,878 | |||
Micro Focus International PLC ADR (c) | 15,603 | 85,504 | |||
Micro Focus International PLC | 27,764 | 147,704 | |||
Mitchells & Butlers PLC (b) | 14,523 | 33,723 | |||
Mitie Group PLC | 40,206 | 41,412 | |||
Mondi PLC | 29,219 | 544,997 | |||
Mondi PLC | 15,186 | 284,611 | |||
Moneysupermarket.com Group PLC | 48,525 | 194,103 | |||
Morgan Advanced Materials PLC | 31,654 | 94,407 | |||
Morgan Sindall Group PLC | 4,942 | 75,057 | |||
National Express Group PLC | 41,661 | 96,694 | |||
National Grid PLC | 325,536 | 3,960,449 | |||
NCC Group PLC | 31,770 | 70,135 | |||
Next PLC | 12,245 | 739,279 |
Security Description | Shares | Value | |||
Ninety One PLC (b) | 26,187 | $ 67,070 | |||
Numis Corp. PLC | 1,570 | 6,149 | |||
Ocado Group PLC (b) | 42,803 | 1,072,617 | |||
On the Beach Group PLC (e) | 15,830 | 57,508 | |||
OneSavings Bank PLC | 52,042 | 170,594 | |||
Oxford Biomedica PLC (b) | 16,489 | 142,821 | |||
Pagegroup PLC | 38,313 | 179,402 | |||
Paragon Banking Group PLC | 23,278 | 100,831 | |||
Pearson PLC | 70,744 | 502,191 | |||
Pennon Group PLC | 38,189 | 527,336 | |||
Persimmon PLC | 28,829 | 813,601 | |||
Petrofac, Ltd. (c) | 14,738 | 32,505 | |||
Petropavlovsk PLC (b)(c) | 168,605 | 52,085 | |||
Pets at Home Group PLC | 44,934 | 132,562 | |||
Phoenix Group Holdings PLC | 48,949 | 390,044 | |||
Picton Property Income, Ltd. REIT (b) | 95,313 | 80,373 | |||
Playtech PLC | 22,457 | 78,243 | |||
Pollen Street Secured Lending PLC | 6,909 | 62,447 | |||
Polypipe Group PLC | 19,986 | 106,601 | |||
Premier Foods PLC (b) | 54,995 | 47,278 | |||
Primary Health Properties PLC REIT | 114,566 | 221,397 | |||
Provident Financial PLC | 25,086 | 54,697 | |||
Prudential PLC | 240,012 | 3,606,300 | |||
PZ Cussons PLC | 23,269 | 53,126 | |||
QinetiQ Group PLC | 44,858 | 164,765 | |||
Quilter PLC (e) | 157,323 | 269,980 | |||
Rathbone Brothers PLC | 4,610 | 80,976 | |||
RDI REIT PLC | 50,651 | 51,632 | |||
Reckitt Benckiser Group PLC | 65,880 | 6,043,736 | |||
Redde Northgate PLC | 40,263 | 82,548 | |||
Redrow PLC | 20,816 | 110,700 | |||
Regional REIT, Ltd. (e) | 91,945 | 80,467 | |||
RELX PLC (d) | 161,811 | 3,734,660 | |||
RELX PLC (d) | 16,922 | 391,522 | |||
Renishaw PLC | 3,292 | 163,287 | |||
Rentokil Initial PLC | 167,286 | 1,054,790 | |||
Restaurant Group PLC (c) | 51,115 | 35,720 | |||
Restore PLC | 14,057 | 62,408 | |||
Rightmove PLC | 79,617 | 536,654 | |||
Rio Tinto PLC | 104,555 | 5,867,375 | |||
Rolls-Royce Holdings PLC | 177,739 | 625,755 | |||
Rotork PLC | 92,419 | 318,959 | |||
Royal Bank of Scotland Group PLC | 434,393 | 650,288 | |||
Royal Mail PLC | 70,186 | 157,740 | |||
RSA Insurance Group PLC | 93,806 | 473,732 | |||
RWS Holdings PLC | 12,158 | 90,047 | |||
Sabre Insurance Group PLC (e) | 20,082 | 65,748 | |||
Safestore Holdings PLC REIT | 23,762 | 213,576 | |||
Saga PLC | 124,644 | 23,867 | |||
Sage Group PLC | 98,511 | 815,424 | |||
Sanne Group PLC | 12,797 | 99,495 | |||
Savills PLC | 10,943 | 111,292 |
Security Description | Shares | Value | |||
Schroder Real Estate Investment Trust, Ltd. | 105,428 | $ 39,324 | |||
Schroders PLC | 12,534 | 456,170 | |||
Segro PLC REIT | 109,238 | 1,204,758 | |||
Senior PLC | 31,367 | 27,024 | |||
Serco Group PLC (b) | 135,092 | 255,026 | |||
Serica Energy PLC | 48,012 | 65,041 | |||
Severn Trent PLC | 21,635 | 660,243 | |||
Shaftesbury PLC REIT | 13,712 | 89,485 | |||
Signature Aviation PLC | 142,333 | 405,749 | |||
Smart Metering Systems PLC | 13,920 | 101,821 | |||
Smith & Nephew PLC | 81,155 | 1,507,941 | |||
Smiths Group PLC | 35,838 | 624,747 | |||
Softcat PLC | 10,760 | 145,119 | |||
Spectris PLC | 11,660 | 363,143 | |||
Spirax-Sarco Engineering PLC | 6,664 | 818,087 | |||
Spire Healthcare Group PLC (e) | 49,079 | 51,777 | |||
Spirent Communications PLC | 55,337 | 165,094 | |||
SSE PLC | 93,600 | 1,580,464 | |||
SSP Group PLC | 40,224 | 127,828 | |||
St James's Place PLC | 49,644 | 582,088 | |||
St Modwen Properties PLC | 17,643 | 75,568 | |||
Stagecoach Group PLC | 45,711 | 33,766 | |||
Standard Chartered PLC | 245,753 | 1,328,414 | |||
Standard Life Aberdeen PLC | 212,435 | 701,957 | |||
Standard Life Investment Property Income Trust, Ltd. REIT | 64,848 | 48,413 | |||
Stobart Group, Ltd. | 5,114 | 2,168 | |||
Strix Group PLC | 18,454 | 43,859 | |||
Subsea 7 SA (b) | 31,878 | 202,825 | |||
Synthomer PLC | 31,538 | 108,396 | |||
TalkTalk Telecom Group PLC | 67,139 | 71,109 | |||
Tate & Lyle PLC | 42,368 | 349,255 | |||
Taylor Wimpey PLC | 296,688 | 522,178 | |||
Telecom Plus PLC | 4,674 | 82,506 | |||
Tesco PLC | 905,251 | 2,538,974 | |||
TORM PLC (c) | 8,442 | 58,243 | |||
TP ICAP PLC | 50,423 | 218,377 | |||
Trainline PLC (b)(e) | 41,307 | 221,992 | |||
Travis Perkins PLC | 23,244 | 323,152 | |||
Tritax Big Box REIT PLC | 154,408 | 276,617 | |||
Tullow Oil PLC | 111,829 | 44,171 | |||
UK Commercial Property REIT, Ltd. | 128,022 | 94,402 | |||
Ultra Electronics Holdings PLC | 5,270 | 129,593 | |||
Unilever NV | 136,278 | 7,263,770 | |||
Unilever PLC | 108,216 | 5,820,800 | |||
UNITE Group PLC REIT | 26,445 | 307,069 | |||
United Utilities Group PLC | 61,682 | 691,146 | |||
Urban & Civic PLC | 24,078 | 69,319 | |||
Vectura Group PLC | 109,978 | 131,351 | |||
Vesuvius PLC | 17,220 | 82,390 | |||
Victoria PLC (b) | 5,835 | 20,043 | |||
Victrex PLC | 7,821 | 188,532 | |||
Virgin Money UK PLC (b)(c) | 115,808 | 131,229 |
Security Description | Shares | Value | |||
Vistry Group PLC | 17,728 | $ 155,715 | |||
Vodafone Group PLC | 2,468,832 | 3,913,761 | |||
Warehouse Reit PLC | 28,238 | 38,380 | |||
Warehouse REIT PLC | 9,412 | — | |||
Watkin Jones PLC | 28,675 | 53,784 | |||
Weir Group PLC | 21,426 | 280,769 | |||
WH Smith PLC | 10,408 | 141,298 | |||
Whitbread PLC | 18,141 | 497,695 | |||
William Hill PLC | 67,820 | 95,547 | |||
Wm Morrison Supermarkets PLC | 217,472 | 510,860 | |||
Workspace Group PLC REIT | 11,884 | 96,129 | |||
WPP PLC | 119,446 | 928,608 | |||
188,852,012 | |||||
UNITED STATES — 0.2% | |||||
Alacer Gold Corp. (b) | 26,200 | 179,476 | |||
Bizlink Holding, Inc. | 10,000 | 71,739 | |||
BRP, Inc. | 4,000 | 170,044 | |||
Burford Capital, Ltd. | 18,434 | 106,280 | |||
Carnival PLC | 12,859 | 156,853 | |||
Charlottes Web Holdings, Inc. (b) | 5,500 | 21,120 | |||
Diversified Gas & Oil PLC | 66,708 | 78,873 | |||
Ferguson PLC | 20,492 | 1,670,827 | |||
Inmode, Ltd. (b) | 1,400 | 39,648 | |||
Primo Water Corp. | 13,100 | 179,187 | |||
QIAGEN NV (b) | 21,033 | 905,714 | |||
Reliance Worldwide Corp., Ltd. | 59,318 | 121,610 | |||
Sims, Ltd. | 10,544 | 58,467 | |||
TI Fluid Systems PLC (e) | 21,178 | 48,515 | |||
Viemed Healthcare, Inc. (b) | 3,200 | 30,566 | |||
3,838,919 | |||||
TOTAL COMMON STOCKS (Cost $2,051,189,051) | 2,160,484,281 |
RIGHTS — 0.0% (a) | |||
AUSTRALIA — 0.0% (a) | |||
Super Retail Group, Ltd. (expiring 07/03/20) (b) (f) | 1,547 | — | |
CHINA — 0.0% (a) | |||
Legend Holdings Corp. (expiring 5/19/23) (b) (f) | 4,638 | — | |
FINLAND — 0.0% (a) | |||
Finnair OYJ (expiring 7/1/20) (b) (c) | 9,027 | 21,899 | |
INDIA — 0.0% (a) | |||
Arvind Fashions, Ltd. (b) | 7,355 | 6,239 | |
SOUTH KOREA — 0.0% (a) | |||
Korean Air Lines Co., Ltd. (expiring 7/10/20) (b) | 2,649 | 3,799 |
Security Description | Shares | Value | ||||
SPAIN — 0.0% (a) | ||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/10/20) (b) | 22,905 | $ 35,720 | ||||
Repsol SA (expiring 7/9/20) (b) (c) | 130,657 | 63,586 | ||||
Telefonica SA (expiring 7/6/20) (b) | 424,908 | 83,564 | ||||
182,870 | ||||||
THAILAND — 0.0% (a) | ||||||
Minor International PCL (expiring 7/23/20) (b) | 28,823 | 1,306 | ||||
TOTAL RIGHTS (Cost $255,689) | 216,113 | |||||
WARRANTS — 0.0% (a) | ||||||
THAILAND — 0.0% (a) | ||||||
BTS Group Holdings PCL (expiring 2/16/21) (b) | 61,990 | 2,286 | ||||
Minor International PCL (expiring 12/31/21) (b) | 2,000 | 78 | ||||
TOTAL WARRANTS (Cost $0) | 2,364 | |||||
SHORT-TERM INVESTMENTS — 4.5% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (g) (h) | 8 | 8 | ||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (g) (h) | 71,079,946 | 71,079,946 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 28,553,493 | 28,553,493 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $99,633,447) | 99,633,447 | |||||
TOTAL INVESTMENTS — 101.2% (Cost $2,151,078,187) | 2,260,336,205 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)% | (26,847,509) | |||||
NET ASSETS — 100.0% | $ 2,233,488,696 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Non-income producing security. |
(c) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(d) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(e) | 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 June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2020, total aggregate fair value of the security is $7,779, 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 June 30, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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) | |||||
Mini MSCI Emerging Markets (long) | 549 | 09/18/2020 | $26,686,916 | $27,057,465 | $370,549 | |||||
S+P/Tsx 60 Index Future (long) | 33 | 09/17/2020 | 4,420,399 | 4,421,210 | 78,129 | |||||
Mini MSCI EAFE (long) | 496 | 09/18/2020 | 43,810,270 | 44,104,320 | 294,050 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $742,728 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $311,211,600 | $1,849,264,902 | $7,779 | $2,160,484,281 | ||||
Rights | 192,908 | 23,205 | 0(a) | 216,113 | ||||
Warrants | — | 2,364 | — | 2,364 | ||||
Short-Term Investments | 99,633,447 | — | — | 99,633,447 | ||||
TOTAL INVESTMENTS | $411,037,955 | $1,849,290,471 | $7,779 | $2,260,336,205 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 742,728 | — | — | 742,728 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 742,728 | $ — | $ — | $ 742,728 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $411,780,683 | $1,849,290,471 | $7,779 | $2,261,078,933 |
(a) | The Portfolio held a Level 3 security that was valued at $0 at June 30, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Banks | 9.1% | |
Pharmaceuticals | 6.6 | |
Internet | 5.6 | |
Food | 4.4 | |
Insurance | 4.1 | |
TOTAL | 29.8% |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 118,930,112 | $118,942,005 | $105,997,375 | $224,948,056 | $8,586 | $98 | 8 | $ 8 | $298,594 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 425,713,228 | 354,633,282 | — | — | 71,079,946 | 71,079,946 | 206,392 | ||||||||
State Street Navigator Securities Lending Portfolio II | 25,878,290 | 25,878,290 | 135,110,018 | 132,434,815 | — | — | 28,553,493 | 28,553,493 | 311,089 | ||||||||
Total | $144,820,295 | $666,820,621 | $712,016,153 | $8,586 | $98 | $99,633,447 | $816,075 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.6% | ||||||
AEROSPACE & DEFENSE — 1.0% | ||||||
AAR Corp. | 5,360 | $ 110,791 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) | 9,879 | 391,604 | ||||
AeroVironment, Inc. (a) | 2,800 | 222,964 | ||||
Astronics Corp. (a) | 3,568 | 37,678 | ||||
Axon Enterprise, Inc. (a) | 8,525 | 836,558 | ||||
BWX Technologies, Inc. | 13,026 | 737,793 | ||||
Cubic Corp. | 4,100 | 196,923 | ||||
Curtiss-Wright Corp. | 5,610 | 500,861 | ||||
Ducommun, Inc. (a) | 1,700 | 59,279 | ||||
HEICO Corp. | 6,155 | 613,346 | ||||
HEICO Corp. Class A | 10,697 | 869,024 | ||||
Hexcel Corp. | 11,317 | 511,755 | ||||
Kaman Corp. | 3,499 | 145,558 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 14,400 | 225,072 | ||||
Maxar Technologies, Inc. | 9,200 | 165,232 | ||||
Mercury Systems, Inc. (a) | 7,500 | 589,950 | ||||
Moog, Inc. Class A | 4,489 | 237,827 | ||||
National Presto Industries, Inc. | 790 | 69,038 | ||||
PAE, Inc. (a) | 9,000 | 86,040 | ||||
Park Aerospace Corp. | 2,900 | 32,306 | ||||
Parsons Corp. (a) | 3,051 | 110,568 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 14,086 | 337,219 | ||||
Triumph Group, Inc. | 8,845 | 79,694 | ||||
Vectrus, Inc. (a) | 1,800 | 88,434 | ||||
Virgin Galactic Holdings, Inc. (a) | 9,200 | 150,328 | ||||
7,405,842 | ||||||
AIR FREIGHT & LOGISTICS — 0.3% | ||||||
Air Transport Services Group, Inc. (a) | 7,500 | 167,025 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,735 | 160,717 | ||||
Echo Global Logistics, Inc. (a) | 4,236 | 91,583 | ||||
Forward Air Corp. | 4,200 | 209,244 | ||||
Hub Group, Inc. Class A (a) | 4,217 | 201,826 | ||||
Radiant Logistics, Inc. (a) | 6,053 | 23,788 | ||||
XPO Logistics, Inc. (a) (b) | 12,509 | 966,320 | ||||
1,820,503 | ||||||
AIRLINES — 0.2% | ||||||
Allegiant Travel Co. | 2,032 | 221,915 | ||||
Copa Holdings SA Class A | 4,146 | 209,622 | ||||
Hawaiian Holdings, Inc. | 7,245 | 101,720 | ||||
JetBlue Airways Corp. (a) | 36,436 | 397,152 | ||||
Mesa Air Group, Inc. (a) | 4,400 | 15,136 | ||||
SkyWest, Inc. | 7,500 | 244,650 | ||||
Spirit Airlines, Inc. (a) (b) | 11,090 | 197,402 | ||||
1,387,597 | ||||||
AUTO COMPONENTS — 0.7% | ||||||
Adient PLC (a) | 11,400 | 187,188 |
Security Description | Shares | Value | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 17,050 | $ 129,580 | ||||
Cooper Tire & Rubber Co. | 6,500 | 179,465 | ||||
Cooper-Standard Holdings, Inc. (a) | 2,590 | 34,317 | ||||
Dana, Inc. | 21,947 | 267,534 | ||||
Dorman Products, Inc. (a) | 3,999 | 268,213 | ||||
Fox Factory Holding Corp. (a) | 5,200 | 429,572 | ||||
Gentex Corp. | 33,723 | 869,042 | ||||
Gentherm, Inc. (a) | 4,954 | 192,711 | ||||
Goodyear Tire & Rubber Co. | 30,600 | 273,717 | ||||
LCI Industries | 3,331 | 382,998 | ||||
Lear Corp. | 8,232 | 897,453 | ||||
Modine Manufacturing Co. (a) | 7,683 | 42,410 | ||||
Motorcar Parts of America, Inc. (a) | 3,000 | 53,010 | ||||
Standard Motor Products, Inc. | 3,243 | 133,612 | ||||
Stoneridge, Inc. (a) | 4,182 | 86,400 | ||||
Tenneco, Inc. Class A (a) (b) | 8,068 | 60,994 | ||||
Visteon Corp. (a) | 3,637 | 249,134 | ||||
Workhorse Group, Inc. (a) | 9,600 | 166,944 | ||||
4,904,294 | ||||||
AUTOMOBILES — 3.3% | ||||||
Harley-Davidson, Inc. | 20,800 | 494,416 | ||||
Tesla, Inc. (a) | 20,681 | 22,331,551 | ||||
Thor Industries, Inc. (b) | 7,598 | 809,415 | ||||
Winnebago Industries, Inc. | 4,100 | 273,142 | ||||
23,908,524 | ||||||
BANKS — 4.4% | ||||||
1st Constitution Bancorp | 1,400 | 17,360 | ||||
1st Source Corp. | 2,520 | 89,662 | ||||
ACNB Corp. | 1,320 | 34,558 | ||||
Allegiance Bancshares, Inc. | 3,000 | 76,170 | ||||
Amalgamated Bank Class A | 2,200 | 27,808 | ||||
Amerant Bancorp, Inc. (a) | 3,000 | 45,120 | ||||
American National Bankshares, Inc. | 1,700 | 42,568 | ||||
Ameris Bancorp | 9,844 | 232,220 | ||||
Ames National Corp. | 1,402 | 27,675 | ||||
Arrow Financial Corp. | 1,995 | 59,311 | ||||
Associated Banc-Corp. | 20,130 | 275,378 | ||||
Atlantic Capital Bancshares, Inc. (a) | 3,399 | 41,332 | ||||
Atlantic Union Bankshares Corp. | 11,819 | 273,728 | ||||
Auburn National Bancorp, Inc. | 400 | 22,836 | ||||
Banc of California, Inc. | 7,213 | 78,117 | ||||
BancFirst Corp. | 2,952 | 119,763 | ||||
Bancorp, Inc. (a) | 8,000 | 78,400 | ||||
BancorpSouth Bank | 13,155 | 299,145 | ||||
Bank First Corp. (b) | 1,000 | 64,100 | ||||
Bank of Commerce Holdings | 2,729 | 20,686 | ||||
Bank of Hawaii Corp. | 5,326 | 327,070 | ||||
Bank of Marin Bancorp | 2,144 | 71,460 | ||||
Bank of NT Butterfield & Son, Ltd. | 7,900 | 192,681 | ||||
Bank of Princeton | 900 | 18,072 | ||||
Bank OZK | 16,457 | 386,246 | ||||
Bank7 Corp. | 500 | 5,427 | ||||
BankFinancial Corp. | 2,191 | 18,404 | ||||
BankUnited, Inc. | 12,027 | 243,547 |
Security Description | Shares | Value | |||
Bankwell Financial Group, Inc. | 1,000 | $ 15,900 | |||
Banner Corp. | 4,500 | 171,000 | |||
Bar Harbor Bankshares | 2,380 | 53,288 | |||
Baycom Corp. (a) | 1,620 | 20,914 | |||
BCB Bancorp, Inc. | 2,300 | 21,344 | |||
Berkshire Hills Bancorp, Inc. | 7,116 | 78,418 | |||
BOK Financial Corp. | 4,108 | 231,856 | |||
Boston Private Financial Holdings, Inc. | 13,265 | 91,263 | |||
Bridge Bancorp, Inc. | 2,600 | 59,384 | |||
Brookline Bancorp, Inc. | 12,500 | 126,000 | |||
Bryn Mawr Bank Corp. | 3,205 | 88,650 | |||
Business First Bancshares, Inc. | 1,900 | 29,165 | |||
Byline Bancorp, Inc. | 3,700 | 48,470 | |||
C&F Financial Corp. | 500 | 16,625 | |||
Cadence BanCorp | 15,800 | 139,988 | |||
California Bancorp, Inc. (a) | 1,200 | 17,880 | |||
Cambridge Bancorp | 949 | 56,219 | |||
Camden National Corp. | 2,402 | 82,965 | |||
Capital Bancorp, Inc. (a) | 1,300 | 13,910 | |||
Capital City Bank Group, Inc. | 2,100 | 43,995 | |||
Capstar Financial Holdings, Inc. | 2,300 | 27,600 | |||
Carter Bank & Trust | 3,500 | 28,245 | |||
Cathay General Bancorp | 10,054 | 264,420 | |||
CB Financial Services, Inc. | 800 | 17,456 | |||
CBTX, Inc. | 2,890 | 60,690 | |||
Central Pacific Financial Corp. | 4,354 | 69,795 | |||
Central Valley Community Bancorp | 1,700 | 26,163 | |||
Century Bancorp, Inc. Class A | 436 | 33,886 | |||
Chemung Financial Corp. | 604 | 16,489 | |||
ChoiceOne Financial Services, Inc. | 1,000 | 29,560 | |||
CIT Group, Inc. | 13,059 | 270,713 | |||
Citizens & Northern Corp. | 1,900 | 39,235 | |||
Citizens Holding Co. | 700 | 17,500 | |||
City Holding Co. | 1,949 | 127,016 | |||
Civista Bancshares, Inc. | 2,400 | 36,960 | |||
CNB Financial Corp. | 2,300 | 41,239 | |||
Coastal Financial Corp. (a) | 1,213 | 17,613 | |||
Codorus Valley Bancorp, Inc. | 1,438 | 19,888 | |||
Colony Bankcorp, Inc. | 1,200 | 14,124 | |||
Columbia Banking System, Inc. | 9,458 | 268,087 | |||
Commerce Bancshares, Inc. | 13,779 | 819,437 | |||
Community Bank System, Inc. | 6,839 | 389,960 | |||
Community Bankers Trust Corp. | 3,399 | 18,694 | |||
Community Financial Corp. | 800 | 19,520 | |||
Community Trust Bancorp, Inc. | 2,503 | 81,998 | |||
ConnectOne Bancorp, Inc. | 5,434 | 87,596 | |||
County Bancorp, Inc. | 800 | 16,744 | |||
CrossFirst Bankshares, Inc. (a) (b) | 7,523 | 73,575 | |||
Cullen/Frost Bankers, Inc. (b) | 7,656 | 571,980 | |||
Customers Bancorp, Inc. (a) | 4,502 | 54,114 | |||
CVB Financial Corp. | 17,200 | 322,328 | |||
Delmar Bancorp | 1,500 | 9,855 | |||
Dime Community Bancshares, Inc. | 4,900 | 67,277 | |||
Eagle Bancorp Montana, Inc. | 1,000 | 17,380 | |||
Eagle Bancorp, Inc. | 4,000 | 131,000 |
Security Description | Shares | Value | |||
East West Bancorp, Inc. | 19,286 | $ 698,925 | |||
Enterprise Bancorp, Inc. | 1,378 | 32,824 | |||
Enterprise Financial Services Corp. | 3,900 | 121,368 | |||
Equity Bancshares, Inc. Class A (a) | 2,300 | 40,112 | |||
Esquire Financial Holdings, Inc. (a) | 1,000 | 16,900 | |||
Evans Bancorp, Inc. | 800 | 18,608 | |||
Farmers & Merchants Bancorp, Inc. (b) | 1,624 | 34,494 | |||
Farmers National Banc Corp. | 4,066 | 48,223 | |||
FB Financial Corp. | 2,700 | 66,879 | |||
Fidelity D&D Bancorp, Inc. (b) | 444 | 21,352 | |||
Financial Institutions, Inc. | 2,480 | 46,153 | |||
First BanCorp | 27,400 | 153,166 | |||
First Bancorp, Inc. | 1,600 | 34,720 | |||
First BanCorp/Southern Pines | 4,713 | 118,202 | |||
First Bancshares, Inc. | 3,000 | 67,500 | |||
First Bank | 2,600 | 16,952 | |||
First Busey Corp. | 8,149 | 151,979 | |||
First Business Financial Services, Inc. | 1,300 | 21,385 | |||
First Capital, Inc. (b) | 500 | 34,735 | |||
First Choice Bancorp | 1,620 | 26,536 | |||
First Citizens BancShares, Inc. Class A | 898 | 363,708 | |||
First Commonwealth Financial Corp. | 15,700 | 129,996 | |||
First Community Bankshares, Inc. | 2,900 | 65,105 | |||
First Community Corp. | 1,100 | 16,665 | |||
First Financial Bancorp | 14,782 | 205,322 | |||
First Financial Bankshares, Inc. | 17,402 | 502,744 | |||
First Financial Corp. | 2,100 | 77,364 | |||
First Foundation, Inc. | 6,250 | 102,125 | |||
First Guaranty Bancshares, Inc. (b) | 803 | 9,821 | |||
First Hawaiian, Inc. | 17,300 | 298,252 | |||
First Horizon National Corp. | 41,655 | 414,884 | |||
First Internet Bancorp | 1,500 | 24,930 | |||
First Interstate BancSystem, Inc. Class A | 6,082 | 188,299 | |||
First Merchants Corp. | 7,020 | 193,541 | |||
First Mid-Illinois Bancshares, Inc. | 2,300 | 60,329 | |||
First Midwest Bancorp, Inc. | 17,134 | 228,739 | |||
First Northwest Bancorp | 1,402 | 17,413 | |||
First of Long Island Corp. | 3,650 | 59,641 | |||
First Savings Financial Group, Inc. | 300 | 12,999 | |||
First United Corp. | 1,000 | 13,340 | |||
First Western Financial, Inc. (a) | 900 | 12,825 | |||
Flushing Financial Corp. | 4,300 | 49,536 | |||
FNB Corp. | 43,133 | 323,497 | |||
FNCB Bancorp, Inc. | 2,700 | 15,525 | |||
Franklin Financial Network, Inc. | 2,055 | 52,916 | |||
Franklin Financial Services Corp. | 700 | 18,130 | |||
Fulton Financial Corp. | 24,400 | 256,932 | |||
FVCBankcorp, Inc. (a) | 1,900 | 20,444 | |||
German American Bancorp, Inc. | 4,004 | 124,524 | |||
Glacier Bancorp, Inc. | 12,900 | 455,241 | |||
Great Southern Bancorp, Inc. | 1,768 | 71,356 | |||
Great Western Bancorp, Inc. | 9,015 | 124,046 |
Security Description | Shares | Value | |||
Guaranty Bancshares, Inc. | 1,250 | $ 32,337 | |||
Hancock Whitney Corp. | 11,286 | 239,263 | |||
Hanmi Financial Corp. | 4,800 | 46,608 | |||
HarborOne Bancorp, Inc. (a) | 4,229 | 36,116 | |||
Hawthorn Bancshares, Inc. | 936 | 18,430 | |||
HBT Financial, Inc. | 1,400 | 18,662 | |||
Heartland Financial USA, Inc. | 4,400 | 147,136 | |||
Heritage Commerce Corp. | 8,766 | 65,789 | |||
Heritage Financial Corp. | 5,500 | 110,000 | |||
Hilltop Holdings, Inc. | 11,200 | 206,640 | |||
Home BancShares, Inc. | 20,314 | 312,429 | |||
HomeTrust Bancshares, Inc. | 2,409 | 38,544 | |||
Hope Bancorp, Inc. | 17,821 | 164,310 | |||
Horizon Bancorp, Inc. | 6,640 | 70,982 | |||
Howard Bancorp, Inc. (a) | 1,981 | 21,038 | |||
IBERIABANK Corp. | 6,892 | 313,862 | |||
Independent Bank Corp. | 4,392 | 294,659 | |||
Independent Bank Corp. | 3,418 | 50,757 | |||
Independent Bank Group, Inc. | 5,736 | 232,423 | |||
International Bancshares Corp. | 8,090 | 259,042 | |||
Investar Holding Corp. | 1,440 | 20,880 | |||
Investors Bancorp, Inc. | 30,414 | 258,519 | |||
Lakeland Bancorp, Inc. | 7,700 | 88,011 | |||
Lakeland Financial Corp. | 3,028 | 141,075 | |||
Landmark Bancorp, Inc. | 600 | 14,826 | |||
LCNB Corp. | 1,900 | 30,324 | |||
Level One Bancorp, Inc. | 800 | 13,392 | |||
Limestone Bancorp, Inc. (a) | 800 | 10,520 | |||
Live Oak Bancshares, Inc. | 4,090 | 59,346 | |||
Macatawa Bank Corp. | 4,066 | 31,796 | |||
Mackinac Financial Corp. | 1,400 | 14,518 | |||
MainStreet Bancshares, Inc. (a) | 1,100 | 14,520 | |||
Mercantile Bank Corp. | 2,600 | 58,760 | |||
Meridian Corp. (a) | 800 | 12,680 | |||
Metrocity Bankshares, Inc. | 2,500 | 35,825 | |||
Metropolitan Bank Holding Corp. (a) | 1,100 | 35,288 | |||
Mid Penn Bancorp, Inc. | 1,100 | 20,273 | |||
Middlefield Banc Corp. | 900 | 18,675 | |||
Midland States Bancorp, Inc. | 3,502 | 52,355 | |||
MidWestOne Financial Group, Inc. | 1,851 | 37,020 | |||
MVB Financial Corp. | 1,530 | 20,349 | |||
National Bank Holdings Corp. Class A | 4,700 | 126,900 | |||
National Bankshares, Inc. | 1,037 | 29,658 | |||
NBT Bancorp, Inc. | 5,500 | 169,180 | |||
Nicolet Bankshares, Inc. (a) | 1,466 | 80,337 | |||
Northeast Bank (a) | 1,300 | 22,815 | |||
Northrim BanCorp, Inc. | 1,000 | 25,140 | |||
Norwood Financial Corp. | 950 | 23,550 | |||
Oak Valley Bancorp (b) | 1,100 | 13,948 | |||
OFG Bancorp | 7,700 | 102,949 | |||
Ohio Valley Banc Corp. | 700 | 15,785 | |||
Old National Bancorp | 21,761 | 299,431 | |||
Old Second Bancorp, Inc. | 4,535 | 35,282 | |||
Origin Bancorp, Inc. | 3,000 | 66,000 | |||
Orrstown Financial Services, Inc. | 1,600 | 23,600 |
Security Description | Shares | Value | |||
Pacific Premier Bancorp, Inc. | 11,101 | $ 240,670 | |||
PacWest Bancorp | 15,534 | 306,175 | |||
Park National Corp. | 2,172 | 152,865 | |||
Parke Bancorp, Inc. | 1,562 | 21,165 | |||
PCB Bancorp | 1,930 | 19,879 | |||
Peapack-Gladstone Financial Corp. | 2,900 | 54,317 | |||
Penns Woods Bancorp, Inc. | 1,070 | 24,300 | |||
Peoples Bancorp of North Carolina, Inc. | 730 | 12,899 | |||
Peoples Bancorp, Inc. | 2,900 | 61,712 | |||
Peoples Financial Services Corp. | 1,139 | 43,498 | |||
People's Utah Bancorp | 2,541 | 57,096 | |||
Pinnacle Financial Partners, Inc. | 9,939 | 417,339 | |||
Plumas Bancorp | 700 | 15,484 | |||
Popular, Inc. | 11,710 | 435,261 | |||
Preferred Bank | 2,177 | 93,284 | |||
Premier Financial Bancorp, Inc. | 2,039 | 26,140 | |||
Professional Holding Corp. Class A (a) | 500 | 6,940 | |||
Prosperity Bancshares, Inc. | 12,209 | 724,970 | |||
QCR Holdings, Inc. | 2,320 | 72,338 | |||
RBB Bancorp | 2,500 | 34,125 | |||
Red River Bancshares, Inc. | 800 | 35,112 | |||
Reliant Bancorp, Inc. (b) | 1,600 | 26,064 | |||
Renasant Corp. | 8,261 | 205,699 | |||
Republic Bancorp, Inc. Class A | 1,539 | 50,341 | |||
Republic First Bancorp, Inc. (a) | 7,000 | 17,080 | |||
Richmond Mutual Bancorporation, Inc. | 1,900 | 21,356 | |||
S&T Bancorp, Inc. | 6,063 | 142,177 | |||
Salisbury Bancorp, Inc. | 400 | 16,396 | |||
Sandy Spring Bancorp, Inc. | 5,497 | 136,216 | |||
SB Financial Group, Inc. | 1,100 | 18,282 | |||
SB One Bancorp | 1,300 | 25,610 | |||
Seacoast Banking Corp. of Florida (a) | 8,100 | 165,240 | |||
Select Bancorp, Inc. (a) | 2,428 | 19,764 | |||
ServisFirst Bancshares, Inc. | 6,400 | 228,864 | |||
Shore Bancshares, Inc. | 1,855 | 20,572 | |||
Sierra Bancorp | 2,200 | 41,536 | |||
Signature Bank | 7,103 | 759,453 | |||
Silvergate Capital Corp. Class A (a) | 600 | 8,400 | |||
Simmons First National Corp. Class A | 15,286 | 261,543 | |||
SmartFinancial, Inc. | 2,002 | 32,392 | |||
South Plains Financial, Inc. | 1,600 | 22,784 | |||
South State Corp. | 9,475 | 451,578 | |||
Southern First Bancshares, Inc. (a) | 1,100 | 30,481 | |||
Southern National Bancorp of Virginia, Inc. | 3,025 | 29,312 | |||
Southside Bancshares, Inc. | 5,104 | 141,483 | |||
Spirit of Texas Bancshares, Inc. (a) | 2,149 | 26,454 | |||
Sterling Bancorp | 25,805 | 302,435 | |||
Stock Yards Bancorp, Inc. | 3,100 | 124,620 | |||
Summit Financial Group, Inc. | 1,700 | 28,016 | |||
Synovus Financial Corp. | 19,739 | 405,242 | |||
TCF Financial Corp. | 20,563 | 604,963 |
Security Description | Shares | Value | ||||
Texas Capital Bancshares, Inc. (a) | 7,648 | $ 236,094 | ||||
Tompkins Financial Corp. | 2,142 | 138,737 | ||||
Towne Bank | 8,590 | 161,836 | ||||
TriCo Bancshares | 4,262 | 129,778 | ||||
TriState Capital Holdings, Inc. (a) | 4,300 | 67,553 | ||||
Triumph Bancorp, Inc. (a) | 3,621 | 87,882 | ||||
Trustmark Corp. | 9,577 | 234,828 | ||||
UMB Financial Corp. | 5,789 | 298,423 | ||||
Umpqua Holdings Corp. | 29,387 | 312,678 | ||||
United Bankshares, Inc. | 16,681 | 461,396 | ||||
United Community Banks, Inc. | 11,861 | 238,643 | ||||
United Security Bancshares | 2,100 | 14,049 | ||||
Unity Bancorp, Inc. | 1,200 | 17,160 | ||||
Univest Financial Corp. | 4,540 | 73,276 | ||||
Valley National Bancorp | 53,542 | 418,698 | ||||
Veritex Holdings, Inc. | 7,886 | 139,582 | ||||
Washington Trust Bancorp, Inc. | 2,423 | 79,353 | ||||
Webster Financial Corp. | 12,057 | 344,951 | ||||
WesBanco, Inc. | 8,402 | 170,645 | ||||
West Bancorporation, Inc. | 2,500 | 43,725 | ||||
Westamerica Bancorporation | 3,385 | 194,367 | ||||
Western Alliance Bancorp | 13,318 | 504,353 | ||||
Wintrust Financial Corp. | 7,628 | 332,733 | ||||
31,608,633 | ||||||
BEVERAGES — 0.4% | ||||||
Boston Beer Co., Inc. Class A (a) (b) | 1,204 | 646,127 | ||||
Celsius Holdings, Inc. (a) | 4,700 | 55,319 | ||||
Coca-Cola Consolidated, Inc. | 729 | 167,080 | ||||
Craft Brew Alliance, Inc. (a) | 1,800 | 27,702 | ||||
Keurig Dr. Pepper, Inc. (b) | 47,300 | 1,343,320 | ||||
MGP Ingredients, Inc. | 2,100 | 77,080 | ||||
National Beverage Corp. (a) (b) | 1,870 | 114,107 | ||||
New Age Beverages Corp. (a) (b) | 11,300 | 17,289 | ||||
Primo Water Corp. | 20,700 | 284,625 | ||||
2,732,649 | ||||||
BIOTECHNOLOGY — 7.1% | ||||||
89bio, Inc. (a) (b) | 500 | 9,965 | ||||
Abeona Therapeutics, Inc. (a) | 10,786 | 31,441 | ||||
ACADIA Pharmaceuticals, Inc. (a) (b) | 15,009 | 727,486 | ||||
Acceleron Pharma, Inc. (a) (b) | 6,300 | 600,201 | ||||
ADMA Biologics, Inc. (a) (b) | 11,000 | 32,230 | ||||
Aduro Biotech, Inc. (a) | 10,454 | 24,149 | ||||
Adverum Biotechnologies, Inc. (a) | 10,100 | 210,888 | ||||
Aeglea BioTherapeutics, Inc. (a) | 4,100 | 37,925 | ||||
Affimed NV (a) | 11,500 | 53,072 | ||||
Agenus, Inc. (a) | 16,700 | 65,631 | ||||
Agios Pharmaceuticals, Inc. (a) | 8,304 | 444,098 | ||||
Aimmune Therapeutics, Inc. (a) (b) | 7,200 | 120,312 | ||||
Akcea Therapeutics, Inc. (a) (b) | 2,000 | 27,400 | ||||
Akebia Therapeutics, Inc. (a) | 18,917 | 256,893 | ||||
Akero Therapeutics, Inc. (a) (b) | 1,300 | 32,396 | ||||
Albireo Pharma, Inc. (a) | 2,000 | 52,980 | ||||
Alector, Inc. (a) | 6,999 | 171,056 | ||||
Alkermes PLC (a) | 21,362 | 414,530 |
Security Description | Shares | Value | |||
Allakos, Inc. (a) (b) | 3,146 | $ 226,072 | |||
Allogene Therapeutics, Inc. (a) (b) | 6,400 | 274,048 | |||
Alnylam Pharmaceuticals, Inc. (a) (b) | 15,872 | 2,350,802 | |||
Amicus Therapeutics, Inc. (a) | 34,441 | 519,370 | |||
AnaptysBio, Inc. (a) | 3,214 | 71,801 | |||
Anavex Life Sciences Corp. (a) (b) | 7,700 | 37,884 | |||
Anika Therapeutics, Inc. (a) | 2,147 | 81,006 | |||
Apellis Pharmaceuticals, Inc. (a) (b) | 7,900 | 258,014 | |||
Applied Genetic Technologies Corp. (a) | 3,500 | 19,390 | |||
Applied Therapeutics, Inc. (a) (b) | 1,341 | 48,477 | |||
Aprea Therapeutics, Inc. (a) | 1,000 | 38,780 | |||
Aptinyx, Inc. (a) | 3,700 | 15,429 | |||
Aravive, Inc. (a) | 1,800 | 20,952 | |||
Arcturus Therapeutics Holdings, Inc. (a) | 2,000 | 93,480 | |||
Arcus Biosciences, Inc. (a) | 5,200 | 128,648 | |||
Arcutis Biotherapeutics, Inc. (a) | 1,700 | 51,408 | |||
Ardelyx, Inc. (a) | 9,900 | 68,508 | |||
Arena Pharmaceuticals, Inc. (a) | 7,630 | 480,308 | |||
Arrowhead Pharmaceuticals, Inc. (a) | 13,600 | 587,384 | |||
Assembly Biosciences, Inc. (a) | 4,500 | 104,940 | |||
Atara Biotherapeutics, Inc. (a) | 8,200 | 119,474 | |||
Athenex, Inc. (a) (b) | 10,898 | 149,956 | |||
Athersys, Inc. (a) (b) | 21,381 | 59,012 | |||
Atreca, Inc. Class A (a) (b) | 2,700 | 57,456 | |||
AVEO Pharmaceuticals, Inc. (a) | 2,100 | 10,815 | |||
Avid Bioservices, Inc. (a) | 8,768 | 57,562 | |||
Avrobio, Inc. (a) | 3,698 | 64,530 | |||
Axcella Health, Inc. (a) | 1,100 | 6,083 | |||
Beam Therapeutics, Inc. (a) | 2,000 | 56,000 | |||
Beyondspring, Inc. (a) | 2,000 | 30,160 | |||
BioCryst Pharmaceuticals, Inc. (a) | 24,445 | 116,480 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) (b) | 6,400 | 467,904 | |||
BioMarin Pharmaceutical, Inc. (a) | 25,152 | 3,102,248 | |||
BioSpecifics Technologies Corp. (a) | 959 | 58,768 | |||
Bioxcel Therapeutics, Inc. (a) | 1,095 | 58,046 | |||
Black Diamond Therapeutics, Inc. (a) (b) | 1,900 | 80,104 | |||
Bluebird Bio, Inc. (a) | 8,821 | 538,434 | |||
Blueprint Medicines Corp. (a) | 7,342 | 572,676 | |||
BrainStorm Cell Therapeutics, Inc. (a) | 4,100 | 45,961 | |||
Bridgebio Pharma, Inc. (a) (b) | 9,700 | 316,317 | |||
Cabaletta Bio, Inc. (a) | 1,200 | 13,368 | |||
Calithera Biosciences, Inc. (a) | 8,900 | 46,992 | |||
Calyxt, Inc. (a) | 1,300 | 6,409 | |||
CareDx, Inc. (a) | 6,600 | 233,838 | |||
CASI Pharmaceuticals, Inc. (a) | 8,100 | 20,250 | |||
Castle Biosciences, Inc. (a) | 1,500 | 56,535 | |||
Catabasis Pharmaceuticals, Inc. (a) | 2,700 | 17,361 | |||
Catalyst Biosciences, Inc. (a) | 2,600 | 15,262 | |||
Catalyst Pharmaceuticals, Inc. (a) | 15,147 | 69,979 | |||
Cellular Biomedicine Group, Inc. (a) (b) | 1,900 | 28,443 | |||
CEL-SCI Corp. (a) (b) | 5,195 | 77,509 |
Security Description | Shares | Value | |||
Centogene NV (a) | 300 | $ 6,864 | |||
Checkpoint Therapeutics, Inc. (a) (b) | 5,475 | 10,840 | |||
ChemoCentryx, Inc. (a) | 5,900 | 339,486 | |||
Chimerix, Inc. (a) | 8,597 | 26,651 | |||
Cidara Therapeutics, Inc. (a) | 5,100 | 18,819 | |||
Clovis Oncology, Inc. (a) (b) | 8,780 | 59,265 | |||
Coherus Biosciences, Inc. (a) (b) | 8,800 | 157,168 | |||
Concert Pharmaceuticals, Inc. (a) | 4,298 | 42,765 | |||
Constellation Pharmaceuticals, Inc. (a) | 3,000 | 90,150 | |||
ContraFect Corp. (a) | 2,000 | 12,780 | |||
Corbus Pharmaceuticals Holdings, Inc. (a) | 11,496 | 96,451 | |||
Cortexyme, Inc. (a) | 1,800 | 83,340 | |||
Crinetics Pharmaceuticals, Inc. (a) | 4,100 | 71,832 | |||
Cue Biopharma, Inc. (a) | 3,185 | 78,064 | |||
Cyclerion Therapeutics, Inc. (a) | 3,740 | 22,103 | |||
Cytokinetics, Inc. (a) (b) | 7,196 | 169,610 | |||
CytomX Therapeutics, Inc. (a) | 7,675 | 63,933 | |||
Deciphera Pharmaceuticals, Inc. (a) | 5,000 | 298,600 | |||
Denali Therapeutics, Inc. (a) | 8,400 | 203,112 | |||
Dermtech, Inc. (a) | 1,200 | 15,876 | |||
Dicerna Pharmaceuticals, Inc. (a) | 8,500 | 215,900 | |||
Dyadic International, Inc. (a) | 2,900 | 25,114 | |||
Dynavax Technologies Corp. (a) (b) | 13,338 | 118,308 | |||
Eagle Pharmaceuticals, Inc. (a) | 1,446 | 69,379 | |||
Editas Medicine, Inc. (a) (b) | 8,300 | 245,514 | |||
Eidos Therapeutics, Inc. (a) | 1,789 | 85,282 | |||
Eiger BioPharmaceuticals, Inc. (a) | 3,675 | 35,280 | |||
Emergent BioSolutions, Inc. (a) | 6,000 | 474,480 | |||
Enanta Pharmaceuticals, Inc. (a) | 2,900 | 145,609 | |||
Enochian Biosciences, Inc. (a) (b) | 2,510 | 10,567 | |||
Epizyme, Inc. (a) (b) | 12,438 | 199,754 | |||
Esperion Therapeutics, Inc. (a) (b) | 3,300 | 169,323 | |||
Evelo Biosciences, Inc. (a) | 2,135 | 10,462 | |||
Exact Sciences Corp. (a) (b) | 20,602 | 1,791,138 | |||
Exelixis, Inc. (a) | 41,885 | 994,350 | |||
Exicure, Inc. (a) | 9,000 | 21,960 | |||
Fate Therapeutics, Inc. (a) (b) | 8,260 | 283,401 | |||
Fennec Pharmaceuticals, Inc. (a) | 3,300 | 27,555 | |||
FibroGen, Inc. (a) | 11,208 | 454,260 | |||
Five Prime Therapeutics, Inc. (a) | 5,347 | 32,617 | |||
Flexion Therapeutics, Inc. (a) (b) | 5,300 | 69,695 | |||
Fortress Biotech, Inc. (a) | 8,800 | 23,584 | |||
Frequency Therapeutics, Inc. (a) (b) | 4,300 | 99,975 | |||
G1 Therapeutics, Inc. (a) (b) | 5,385 | 130,640 | |||
Galectin Therapeutics, Inc. (a) | 6,283 | 19,226 | |||
Galera Therapeutics, Inc. (a) | 200 | 1,428 | |||
Genprex, Inc. (a) | 4,300 | 13,502 | |||
Geron Corp. (a) (b) | 29,083 | 63,401 | |||
Global Blood Therapeutics, Inc. (a) | 7,981 | 503,841 | |||
GlycoMimetics, Inc. (a) | 5,291 | 19,894 | |||
Gossamer Bio, Inc. (a) (b) | 6,800 | 88,400 | |||
Gritstone Oncology, Inc. (a) (b) | 3,900 | 25,896 | |||
Halozyme Therapeutics, Inc. (a) | 18,352 | 492,017 | |||
Harpoon Therapeutics, Inc. (a) (b) | 1,190 | 19,754 |
Security Description | Shares | Value | |||
Heron Therapeutics, Inc. (a) (b) | 13,426 | $ 197,496 | |||
Homology Medicines, Inc. (a) | 3,900 | 59,241 | |||
Hookipa Pharma, Inc. (a) (b) | 1,585 | 18,418 | |||
iBio, Inc. (a) | 7,300 | 16,206 | |||
Ideaya Biosciences, Inc. (a) | 1,800 | 25,578 | |||
IGM Biosciences, Inc. (a) | 800 | 58,400 | |||
Immunic, Inc. (a) | 500 | 6,060 | |||
ImmunoGen, Inc. (a) | 27,100 | 124,660 | |||
Immunomedics, Inc. (a) (b) | 28,372 | 1,005,504 | |||
Immunovant, Inc. (a) | 2,900 | 70,615 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 19,511 | 525,821 | |||
Insmed, Inc. (a) (b) | 14,633 | 402,993 | |||
Intellia Therapeutics, Inc. (a) (b) | 6,200 | 130,324 | |||
Intercept Pharmaceuticals, Inc. (a) (b) | 4,069 | 194,946 | |||
Invitae Corp. (a) (b) | 15,500 | 469,495 | |||
Ionis Pharmaceuticals, Inc. (a) | 18,030 | 1,063,049 | |||
Iovance Biotherapeutics, Inc. (a) | 18,400 | 505,080 | |||
Ironwood Pharmaceuticals, Inc. (a) | 24,300 | 250,776 | |||
IVERIC bio, Inc. (a) | 6,900 | 35,190 | |||
Jounce Therapeutics, Inc. (a) | 2,500 | 17,250 | |||
Kadmon Holdings, Inc. (a) | 25,469 | 130,401 | |||
KalVista Pharmaceuticals, Inc. (a) | 2,000 | 24,200 | |||
Karuna Therapeutics, Inc. (a) (b) | 2,367 | 263,826 | |||
Karyopharm Therapeutics, Inc. (a) (b) | 9,500 | 179,930 | |||
Keros Therapeutics, Inc. (a) | 1,100 | 41,261 | |||
Kezar Life Sciences, Inc. (a) (b) | 6,030 | 31,235 | |||
Kindred Biosciences, Inc. (a) | 5,800 | 26,042 | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) (b) | 2,225 | 56,693 | |||
Kodiak Sciences, Inc. (a) (b) | 3,800 | 205,656 | |||
Krystal Biotech, Inc. (a) | 1,667 | 69,047 | |||
Kura Oncology, Inc. (a) | 8,100 | 132,030 | |||
La Jolla Pharmaceutical Co. (a) (b) | 3,645 | 15,528 | |||
Lexicon Pharmaceuticals, Inc. (a) (b) | 6,521 | 13,009 | |||
Ligand Pharmaceuticals, Inc. (a) (b) | 2,171 | 242,826 | |||
LogicBio Therapeutics, Inc. (a) | 1,475 | 12,478 | |||
MacroGenics, Inc. (a) | 6,134 | 171,261 | |||
Madrigal Pharmaceuticals, Inc. (a) (b) | 1,040 | 117,780 | |||
Magenta Therapeutics, Inc. (a) | 3,000 | 22,530 | |||
MannKind Corp. (a) (b) | 29,200 | 51,100 | |||
Marker Therapeutics, Inc. (a) (b) | 4,870 | 10,081 | |||
MediciNova, Inc. (a) (b) | 6,500 | 35,230 | |||
MEI Pharma, Inc. (a) | 16,214 | 66,964 | |||
MeiraGTx Holdings PLC (a) | 2,700 | 33,804 | |||
Mersana Therapeutics, Inc. (a) | 5,700 | 133,380 | |||
Minerva Neurosciences, Inc. (a) (b) | 4,680 | 16,895 | |||
Mirati Therapeutics, Inc. (a) (b) | 5,011 | 572,106 | |||
Mirum Pharmaceuticals, Inc. (a) (b) | 797 | 15,510 | |||
Moderna, Inc. (a) (b) | 37,300 | 2,395,033 | |||
Molecular Templates, Inc. (a) | 3,215 | 44,335 | |||
Momenta Pharmaceuticals, Inc. (a) | 15,987 | 531,887 | |||
Morphic Holding, Inc. (a) (b) | 1,700 | 45,985 | |||
Mustang Bio, Inc. (a) | 4,805 | 15,280 |
Security Description | Shares | Value | |||
Myriad Genetics, Inc. (a) | 11,351 | $ 128,720 | |||
NantKwest, Inc. (a) | 4,400 | 54,032 | |||
Natera, Inc. (a) | 9,400 | 468,684 | |||
Neoleukin Therapeutics, Inc. (a) | 4,500 | 74,700 | |||
Neubase Therapeutics, Inc. (a) | 2,600 | 22,828 | |||
NeuroBo Pharmaceuticals, Inc. (a) | 700 | 5,635 | |||
Neurocrine Biosciences, Inc. (a) | 12,728 | 1,552,816 | |||
NextCure, Inc. (a) (b) | 2,300 | 49,312 | |||
Novavax, Inc. (a) | 7,972 | 664,466 | |||
Nymox Pharmaceutical Corp. (a) | 6,000 | 21,300 | |||
Oncocyte Corp. (a) | 3,885 | 7,420 | |||
OPKO Health, Inc. (a) (b) | 61,280 | 208,965 | |||
Organogenesis Holdings, Inc. (a) | 1,898 | 7,288 | |||
Orgenesis, Inc. (a) | 2,700 | 16,416 | |||
ORIC Pharmaceuticals, Inc. (a) | 1,300 | 43,849 | |||
Ovid therapeutics, Inc. (a) | 6,500 | 47,905 | |||
Oyster Point Pharma, Inc. (a) (b) | 900 | 25,992 | |||
Passage Bio, Inc. (a) | 2,100 | 57,393 | |||
PDL BioPharma, Inc. (a) | 17,655 | 51,376 | |||
Pfenex, Inc. (a) | 4,697 | 39,220 | |||
PhaseBio Pharmaceuticals, Inc. (a) (b) | 2,496 | 11,482 | |||
Pieris Pharmaceuticals, Inc. (a) | 7,200 | 22,320 | |||
Portola Pharmaceuticals, Inc. (a) (b) | 12,141 | 218,417 | |||
Precigen, Inc. (a) (b) | 11,441 | 57,091 | |||
Precision BioSciences, Inc. (a) | 5,600 | 46,648 | |||
Prevail Therapeutics, Inc. (a) (b) | 2,200 | 32,780 | |||
Principia Biopharma, Inc. (a) | 3,800 | 227,202 | |||
Protagonist Therapeutics, Inc. (a) | 2,802 | 49,483 | |||
Protara Therapeutics, Inc. (a) | 300 | 8,796 | |||
Prothena Corp. PLC (a) | 4,700 | 49,162 | |||
PTC Therapeutics, Inc. (a) | 8,300 | 421,142 | |||
Puma Biotechnology, Inc. (a) | 4,907 | 51,180 | |||
Radius Health, Inc. (a) (b) | 7,155 | 97,523 | |||
Rapt Therapeutics, Inc. (a) | 1,700 | 49,334 | |||
REGENXBIO, Inc. (a) | 4,400 | 162,052 | |||
Replimenu Group, Inc. (a) | 2,100 | 52,185 | |||
Retrophin, Inc. (a) | 5,098 | 104,050 | |||
REVOLUTION Medicines, Inc. (a) | 2,242 | 70,780 | |||
Rhythm Pharmaceuticals, Inc. (a) | 5,000 | 111,500 | |||
Rigel Pharmaceuticals, Inc. (a) (b) | 26,389 | 48,292 | |||
Rocket Pharmaceuticals, Inc. (a) (b) | 5,100 | 106,743 | |||
Rubius Therapeutics, Inc. (a) (b) | 5,400 | 32,292 | |||
Sage Therapeutics, Inc. (a) | 6,774 | 281,663 | |||
Sangamo Therapeutics, Inc. (a) (b) | 18,409 | 164,945 | |||
Sarepta Therapeutics, Inc. (a) (b) | 10,357 | 1,660,641 | |||
Savara, Inc. (a) | 5,445 | 13,558 | |||
Scholar Rock Holding Corp. (a) (b) | 2,745 | 49,986 | |||
Seattle Genetics, Inc. (a) | 16,953 | 2,880,654 | |||
Selecta Biosciences, Inc. (a) | 10,300 | 29,252 | |||
Seres Therapeutics, Inc. (a) (b) | 6,046 | 28,779 | |||
Soleno Therapeutics, Inc. (a) | 5,100 | 11,322 | |||
Solid Biosciences, Inc. (a) | 2,800 | 8,204 | |||
Sorrento Therapeutics, Inc. (a) (b) | 20,800 | 130,624 | |||
Spectrum Pharmaceuticals, Inc. (a) | 20,032 | 67,708 | |||
Spero Therapeutics, Inc. (a) | 1,993 | 26,965 |
Security Description | Shares | Value | ||||
SpringWorks Therapeutics, Inc. (a) (b) | 3,200 | $ 134,400 | ||||
Stoke Therapeutics, Inc. (a) (b) | 1,900 | 45,277 | ||||
Sutro Biopharma, Inc. (a) | 1,700 | 13,192 | ||||
Syndax Pharmaceuticals, Inc. (a) | 3,600 | 53,352 | ||||
Syros Pharmaceuticals, Inc. (a) | 5,500 | 58,630 | ||||
TCR2 Therapeutics, Inc. (a) | 1,800 | 27,648 | ||||
TG Therapeutics, Inc. (a) (b) | 13,930 | 271,356 | ||||
Translate Bio, Inc. (a) (b) | 7,700 | 137,984 | ||||
Turning Point Therapeutics, Inc. (a) | 4,200 | 271,278 | ||||
Twist Bioscience Corp. (a) (b) | 4,240 | 192,072 | ||||
Tyme Technologies, Inc. (a) (b) | 9,400 | 12,502 | ||||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 7,654 | 598,696 | ||||
United Therapeutics Corp. (a) | 5,918 | 716,078 | ||||
UNITY Biotechnology, Inc. (a) (b) | 4,590 | 39,841 | ||||
UroGen Pharma, Ltd. (a) (b) | 3,000 | 78,360 | ||||
Vanda Pharmaceuticals, Inc. (a) | 8,875 | 101,530 | ||||
Vaxart, Inc. (a) | 6,800 | 60,180 | ||||
VBI Vaccines, Inc. (a) | 24,506 | 75,969 | ||||
Veracyte, Inc. (a) (b) | 7,500 | 194,250 | ||||
Verastem, Inc. (a) | 24,900 | 42,828 | ||||
Vericel Corp. (a) | 6,873 | 94,985 | ||||
Viela Bio, Inc. (a) | 3,000 | 129,960 | ||||
Viking Therapeutics, Inc. (a) (b) | 10,414 | 75,085 | ||||
Vir Biotechnology, Inc. (a) | 7,044 | 288,593 | ||||
Voyager Therapeutics, Inc. (a) | 3,800 | 47,956 | ||||
vTv Therapeutics, Inc. Class A (a) | 1,500 | 3,375 | ||||
X4 Pharmaceuticals, Inc. (a) (b) | 2,408 | 22,443 | ||||
XBiotech, Inc. (a) | 2,075 | 28,448 | ||||
Xencor, Inc. (a) | 7,585 | 245,678 | ||||
XOMA Corp. (a) | 900 | 17,784 | ||||
Y-mAbs Therapeutics, Inc. (a) | 3,800 | 164,160 | ||||
Zentalis Pharmaceuticals, Inc. (a) | 1,600 | 76,832 | ||||
ZIOPHARM Oncology, Inc. (a) (b) | 29,556 | 96,944 | ||||
50,443,664 | ||||||
BUILDING PRODUCTS — 1.0% | ||||||
AAON, Inc. | 5,400 | 293,166 | ||||
Advanced Drainage Systems, Inc. | 7,000 | 345,800 | ||||
Alpha Pro Tech, Ltd. (a) | 1,900 | 33,630 | ||||
American Woodmark Corp. (a) | 2,559 | 193,588 | ||||
Apogee Enterprises, Inc. | 4,209 | 96,975 | ||||
Armstrong World Industries, Inc. | 6,495 | 506,350 | ||||
Builders FirstSource, Inc. (a) | 15,400 | 318,780 | ||||
Caesarstone, Ltd. | 3,527 | 41,795 | ||||
Cornerstone Building Brands, Inc. (a) | 7,128 | 43,196 | ||||
CSW Industrials, Inc. | 2,137 | 147,688 | ||||
Gibraltar Industries, Inc. (a) | 4,200 | 201,642 | ||||
Griffon Corp. | 5,800 | 107,416 | ||||
Insteel Industries, Inc. | 2,887 | 55,055 | ||||
JELD-WEN Holding, Inc. (a) | 10,800 | 173,988 | ||||
Lennox International, Inc. | 4,797 | 1,117,653 | ||||
Masonite International Corp. (a) | 3,193 | 248,351 | ||||
Owens Corning | 14,676 | 818,334 | ||||
Patrick Industries, Inc. | 3,400 | 208,250 |
Security Description | Shares | Value | ||||
PGT Innovations, Inc. (a) | 9,057 | $ 142,014 | ||||
Quanex Building Products Corp. | 5,868 | 81,448 | ||||
Resideo Technologies, Inc. (a) | 18,800 | 220,336 | ||||
Simpson Manufacturing Co., Inc. | 5,900 | 497,724 | ||||
Trex Co., Inc. (a) | 7,994 | 1,039,780 | ||||
UFP Industries, Inc. | 8,009 | 396,526 | ||||
7,329,485 | ||||||
CAPITAL MARKETS — 2.4% | ||||||
Affiliated Managers Group, Inc. | 6,400 | 477,184 | ||||
Apollo Global Management, Inc. | 23,600 | 1,178,112 | ||||
Ares Management Corp. Class A | 13,300 | 528,010 | ||||
Artisan Partners Asset Management, Inc. Class A | 8,055 | 261,787 | ||||
Assetmark Financial Holdings, Inc. (a) | 2,200 | 60,038 | ||||
Associated Capital Group, Inc. Class A (b) | 300 | 11,007 | ||||
B. Riley Financial, Inc. | 3,234 | 70,372 | ||||
BGC Partners, Inc. Class A | 46,300 | 126,862 | ||||
Blucora, Inc. (a) | 7,700 | 87,934 | ||||
Brightsphere Investment Group, Inc. (a) | 7,538 | 93,923 | ||||
Carlyle Group, Inc. | 15,800 | 440,820 | ||||
Cohen & Steers, Inc. | 3,209 | 218,372 | ||||
Cowen, Inc. Class A | 4,450 | 72,135 | ||||
Diamond Hill Investment Group, Inc. | 499 | 56,721 | ||||
Donnelley Financial Solutions, Inc. (a) | 4,875 | 40,950 | ||||
Eaton Vance Corp. | 15,120 | 583,632 | ||||
Evercore, Inc. Class A | 5,243 | 308,918 | ||||
FactSet Research Systems, Inc. | 5,187 | 1,703,774 | ||||
Federated Hermes, Inc. | 12,800 | 303,360 | ||||
Focus Financial Partners, Inc. Class A (a) (b) | 4,900 | 161,945 | ||||
GAIN Capital Holdings, Inc. | 3,000 | 18,060 | ||||
GAMCO Investors, Inc. Class A | 882 | 11,739 | ||||
Greenhill & Co., Inc. | 2,417 | 24,146 | ||||
Hamilton Lane, Inc. Class A | 3,400 | 229,058 | ||||
Houlihan Lokey, Inc. | 5,900 | 328,276 | ||||
Interactive Brokers Group, Inc. Class A | 9,706 | 405,420 | ||||
KKR & Co., Inc. | 74,000 | 2,285,120 | ||||
Lazard, Ltd. Class A | 13,602 | 389,425 | ||||
Legg Mason, Inc. | 11,321 | 563,220 | ||||
LPL Financial Holdings, Inc. | 10,795 | 846,328 | ||||
Moelis & Co. Class A (b) | 7,600 | 236,816 | ||||
Morningstar, Inc. | 3,183 | 448,708 | ||||
Oppenheimer Holdings, Inc. Class A | 1,500 | 32,685 | ||||
Piper Sandler Cos. | 2,200 | 130,152 | ||||
PJT Partners, Inc. Class A | 3,619 | 185,799 | ||||
Pzena Investment Management, Inc. Class A | 2,600 | 14,144 | ||||
Safeguard Scientifics, Inc. | 3,000 | 21,000 | ||||
Sculptor Capital Management, Inc. | 2,585 | 33,424 | ||||
SEI Investments Co. | 15,887 | 873,467 | ||||
Siebert Financial Corp. (a) | 1,320 | 6,679 |
Security Description | Shares | Value | ||||
Silvercrest Asset Management Group, Inc. Class A | 1,504 | $ 19,116 | ||||
Stifel Financial Corp. | 8,949 | 424,451 | ||||
TD Ameritrade Holding Corp. | 35,884 | 1,305,460 | ||||
Tradeweb Markets, Inc. Class A | 11,200 | 651,168 | ||||
Value Line, Inc. | 200 | 5,398 | ||||
Virtu Financial, Inc. Class A | 8,197 | 193,449 | ||||
Virtus Investment Partners, Inc. | 1,028 | 119,546 | ||||
Waddell & Reed Financial, Inc. Class A (b) | 9,839 | 152,603 | ||||
Westwood Holdings Group, Inc. | 1,305 | 20,554 | ||||
WisdomTree Investments, Inc. | 23,499 | 81,542 | ||||
16,842,809 | ||||||
CHEMICALS — 1.5% | ||||||
Advanced Emissions Solutions, Inc. (b) | 2,600 | 12,610 | ||||
AdvanSix, Inc. (a) | 4,400 | 51,656 | ||||
AgroFresh Solutions, Inc. (a) | 4,500 | 13,635 | ||||
American Vanguard Corp. | 4,552 | 62,636 | ||||
Amyris, Inc. (a) (b) | 9,300 | 39,711 | ||||
Ashland Global Holdings, Inc. | 7,531 | 520,392 | ||||
Axalta Coating Systems, Ltd. (a) | 28,802 | 649,485 | ||||
Balchem Corp. | 4,296 | 407,519 | ||||
Cabot Corp. | 7,398 | 274,096 | ||||
Chase Corp. | 1,162 | 119,105 | ||||
Chemours Co. | 21,943 | 336,825 | ||||
Element Solutions, Inc. (a) | 29,000 | 314,650 | ||||
Ferro Corp. (a) | 13,009 | 155,327 | ||||
FutureFuel Corp. | 4,100 | 48,995 | ||||
GCP Applied Technologies, Inc. (a) | 7,397 | 137,436 | ||||
Hawkins, Inc. | 1,548 | 65,914 | ||||
HB Fuller Co. | 6,799 | 303,235 | ||||
Huntsman Corp. | 27,226 | 489,251 | ||||
Ingevity Corp. (a) | 5,538 | 291,133 | ||||
Innospec, Inc. | 3,693 | 285,284 | ||||
Intrepid Potash, Inc. (a) | 14,900 | 14,751 | ||||
Koppers Holdings, Inc. (a) | 3,430 | 64,621 | ||||
Kraton Corp. (a) | 4,985 | 86,141 | ||||
Kronos Worldwide, Inc. | 3,600 | 37,476 | ||||
Livent Corp. (a) (b) | 23,700 | 145,992 | ||||
Marrone Bio Innovations, Inc. (a) (b) | 9,293 | 10,873 | ||||
Minerals Technologies, Inc. | 5,143 | 241,361 | ||||
NewMarket Corp. | 877 | 351,221 | ||||
Olin Corp. | 21,800 | 250,482 | ||||
Orion Engineered Carbons SA | 9,700 | 102,723 | ||||
PolyOne Corp. | 12,133 | 318,249 | ||||
PQ Group Holdings, Inc. (a) | 6,050 | 80,102 | ||||
Quaker Chemical Corp. (b) | 1,784 | 331,200 | ||||
Rayonier Advanced Materials, Inc. | 7,700 | 21,637 | ||||
RPM International, Inc. | 17,690 | 1,327,811 | ||||
Scotts Miracle-Gro Co. | 5,516 | 741,736 | ||||
Sensient Technologies Corp. | 5,619 | 293,087 | ||||
Stepan Co. | 2,882 | 279,842 | ||||
Trecora Resources (a) | 3,370 | 21,130 | ||||
Tredegar Corp. | 4,107 | 63,248 | ||||
Trinseo SA | 6,274 | 139,032 |
Security Description | Shares | Value | ||||
Tronox Holdings PLC Class A (a) | 14,469 | $ 104,466 | ||||
Valvoline, Inc. | 25,141 | 485,976 | ||||
Westlake Chemical Corp. | 4,496 | 241,210 | ||||
WR Grace & Co. | 7,576 | 384,937 | ||||
10,718,199 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.1% | ||||||
ABM Industries, Inc. | 8,900 | 323,070 | ||||
ACCO Brands Corp. | 15,316 | 108,744 | ||||
ADT, Inc. (b) | 18,108 | 144,502 | ||||
Advanced Disposal Services, Inc. (a) | 9,800 | 295,666 | ||||
Brady Corp. Class A | 6,400 | 299,648 | ||||
BrightView Holdings, Inc. (a) | 4,900 | 54,880 | ||||
Brink's Co. | 6,714 | 305,554 | ||||
Casella Waste Systems, Inc. Class A (a) | 6,100 | 317,932 | ||||
CECO Environmental Corp. (a) | 4,743 | 31,256 | ||||
Cimpress PLC (a) | 2,726 | 208,103 | ||||
Clean Harbors, Inc. (a) | 6,953 | 417,041 | ||||
CompX International, Inc. | 200 | 2,764 | ||||
Covanta Holding Corp. | 15,000 | 143,850 | ||||
Deluxe Corp. | 5,276 | 124,197 | ||||
Ennis, Inc. | 4,097 | 74,320 | ||||
Harsco Corp. (a) | 12,491 | 168,753 | ||||
Healthcare Services Group, Inc. | 9,765 | 238,852 | ||||
Heritage-Crystal Clean, Inc. (a) | 2,334 | 40,752 | ||||
Herman Miller, Inc. | 7,700 | 181,797 | ||||
HNI Corp. | 5,489 | 167,799 | ||||
IAA, Inc. (a) | 18,371 | 708,569 | ||||
Interface, Inc. | 9,962 | 81,091 | ||||
KAR Auction Services, Inc. (b) | 16,992 | 233,810 | ||||
Kimball International, Inc. Class B | 5,665 | 65,487 | ||||
Knoll, Inc. | 8,490 | 103,493 | ||||
Matthews International Corp. Class A | 4,831 | 92,272 | ||||
McGrath RentCorp | 3,100 | 167,431 | ||||
Mobile Mini, Inc. | 6,700 | 197,650 | ||||
MSA Safety, Inc. | 4,987 | 570,712 | ||||
NL Industries, Inc. | 1,231 | 4,198 | ||||
PICO Holdings, Inc. (a) | 2,830 | 23,857 | ||||
Pitney Bowes, Inc. | 27,364 | 71,146 | ||||
Quad/Graphics, Inc. | 5,027 | 16,338 | ||||
SP Plus Corp. (a) | 3,600 | 74,556 | ||||
Steelcase, Inc. Class A | 10,900 | 131,454 | ||||
Stericycle, Inc. (a) | 12,500 | 699,750 | ||||
Team, Inc. (a) | 4,600 | 25,622 | ||||
Tetra Tech, Inc. | 7,286 | 576,468 | ||||
UniFirst Corp. | 2,035 | 364,163 | ||||
US Ecology, Inc. | 3,861 | 130,811 | ||||
Viad Corp. | 3,154 | 59,989 | ||||
VSE Corp. | 1,380 | 43,318 | ||||
8,091,665 | ||||||
COMMUNICATIONS EQUIPMENT — 0.7% | ||||||
Acacia Communications, Inc. (a) | 5,200 | 349,388 | ||||
ADTRAN, Inc. | 7,537 | 82,379 |
Security Description | Shares | Value | ||||
Applied Optoelectronics, Inc. (a) (b) | 2,997 | $ 32,577 | ||||
CalAmp Corp. (a) | 5,200 | 41,652 | ||||
Calix, Inc. (a) | 7,400 | 110,260 | ||||
Cambium Networks Corp. (a) | 900 | 6,624 | ||||
Casa Systems, Inc. (a) | 4,899 | 20,380 | ||||
Ciena Corp. (a) | 21,064 | 1,140,826 | ||||
Clearfield, Inc. (a) | 1,800 | 25,128 | ||||
CommScope Holding Co., Inc. (a) | 29,534 | 246,018 | ||||
Comtech Telecommunications Corp. | 3,798 | 64,148 | ||||
DASAN Zhone Solutions, Inc. (a) | 1,360 | 12,145 | ||||
Digi International, Inc. (a) | 4,470 | 52,076 | ||||
EchoStar Corp. Class A (a) | 7,338 | 205,171 | ||||
Extreme Networks, Inc. (a) | 18,600 | 80,724 | ||||
Genasys, Inc. (a) | 5,000 | 24,300 | ||||
Harmonic, Inc. (a) | 14,200 | 67,450 | ||||
Infinera Corp. (a) | 23,700 | 140,304 | ||||
Inseego Corp. (a) (b) | 7,204 | 83,566 | ||||
InterDigital, Inc. | 4,638 | 262,650 | ||||
KVH Industries, Inc. (a) | 2,532 | 22,611 | ||||
Lumentum Holdings, Inc. (a) | 10,282 | 837,263 | ||||
NETGEAR, Inc. (a) | 4,796 | 124,168 | ||||
NetScout Systems, Inc. (a) | 9,307 | 237,887 | ||||
PC-Tel, Inc. | 2,700 | 18,036 | ||||
Plantronics, Inc. (b) | 5,348 | 78,509 | ||||
Resonant, Inc. (a) | 7,500 | 17,475 | ||||
Ribbon Communications, Inc. (a) | 9,500 | 37,335 | ||||
Ubiquiti, Inc. | 1,280 | 223,437 | ||||
ViaSat, Inc. (a) | 7,711 | 295,871 | ||||
Viavi Solutions, Inc. (a) | 30,700 | 391,118 | ||||
5,331,476 | ||||||
CONSTRUCTION & ENGINEERING — 0.6% | ||||||
AECOM (a) | 21,004 | 789,330 | ||||
Aegion Corp. (a) | 4,800 | 76,176 | ||||
Ameresco, Inc. Class A (a) | 3,600 | 100,008 | ||||
API Group Corp. (a) (c) | 21,300 | 258,795 | ||||
Arcosa, Inc. | 6,389 | 269,616 | ||||
Argan, Inc. | 2,339 | 110,822 | ||||
Comfort Systems USA, Inc. | 5,443 | 221,802 | ||||
Concrete Pumping Holdings, Inc. (a) (b) | 4,031 | 14,028 | ||||
Construction Partners, Inc. Class A (a) | 3,398 | 60,349 | ||||
Dycom Industries, Inc. (a) (b) | 3,952 | 161,597 | ||||
EMCOR Group, Inc. | 7,353 | 486,327 | ||||
Fluor Corp. | 21,400 | 258,512 | ||||
Granite Construction, Inc. (b) | 7,079 | 135,492 | ||||
Great Lakes Dredge & Dock Corp. (a) | 9,650 | 89,359 | ||||
HC2 Holdings, Inc. (a) | 6,700 | 22,378 | ||||
IES Holdings, Inc. (a) | 1,300 | 30,121 | ||||
MasTec, Inc. (a) | 7,576 | 339,935 | ||||
MYR Group, Inc. (a) | 2,600 | 82,966 | ||||
Northwest Pipe Co. (a) | 1,500 | 37,605 | ||||
NV5 Global, Inc. (a) | 1,644 | 83,565 | ||||
Primoris Services Corp. | 7,567 | 134,390 | ||||
Sterling Construction Co., Inc. (a) | 4,100 | 42,927 |
Security Description | Shares | Value | ||||
Tutor Perini Corp. (a) (b) | 6,300 | $ 76,734 | ||||
Valmont Industries, Inc. | 2,847 | 323,476 | ||||
Willscot Corp. (a) | 8,200 | 100,778 | ||||
4,307,088 | ||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||
Eagle Materials, Inc. | 5,564 | 390,704 | ||||
Forterra, Inc. (a) | 2,904 | 32,409 | ||||
Summit Materials, Inc. Class A (a) | 15,512 | 249,433 | ||||
United States Lime & Minerals, Inc. | 321 | 27,105 | ||||
US Concrete, Inc. (a) | 2,539 | 62,967 | ||||
762,618 | ||||||
CONSUMER FINANCE — 0.6% | ||||||
Ally Financial, Inc. | 51,475 | 1,020,749 | ||||
Atlanticus Holdings Corp. (a) | 800 | 8,272 | ||||
Credit Acceptance Corp. (a) | 1,386 | 580,748 | ||||
Curo Group Holdings Corp. | 2,430 | 19,853 | ||||
Encore Capital Group, Inc. (a) (b) | 4,992 | 170,627 | ||||
Enova International, Inc. (a) | 5,100 | 75,837 | ||||
EZCORP, Inc. Class A (a) | 8,000 | 50,400 | ||||
FirstCash, Inc. | 5,415 | 365,404 | ||||
Green Dot Corp. Class A (a) | 6,800 | 333,744 | ||||
LendingClub Corp. (a) | 12,006 | 54,627 | ||||
LendingTree, Inc. (a) (b) | 1,011 | 292,715 | ||||
Navient Corp. | 29,100 | 204,573 | ||||
Nelnet, Inc. Class A | 2,642 | 126,129 | ||||
OneMain Holdings, Inc. | 9,962 | 244,467 | ||||
Oportun Financial Corp. (a) | 1,100 | 14,784 | ||||
PRA Group, Inc. (a) (b) | 6,814 | 263,429 | ||||
Regional Management Corp. (a) | 1,300 | 23,023 | ||||
Santander Consumer USA Holdings, Inc. | 11,516 | 212,010 | ||||
SLM Corp. | 50,300 | 353,609 | ||||
World Acceptance Corp. (a) (b) | 871 | 57,068 | ||||
4,472,068 | ||||||
CONTAINERS & PACKAGING — 0.7% | ||||||
AptarGroup, Inc. | 8,806 | 986,096 | ||||
Ardagh Group SA | 2,900 | 37,439 | ||||
Berry Global Group, Inc. (a) | 18,263 | 809,416 | ||||
Crown Holdings, Inc. (a) | 17,865 | 1,163,547 | ||||
Graphic Packaging Holding Co. | 37,867 | 529,759 | ||||
Greif, Inc. Class A | 3,900 | 134,199 | ||||
Greif, Inc. Class B | 942 | 39,404 | ||||
Myers Industries, Inc. | 5,595 | 81,407 | ||||
O-I Glass, Inc. | 20,228 | 181,647 | ||||
Ranpak Holdings Corp. (a) | 4,400 | 32,736 | ||||
Silgan Holdings, Inc. | 10,568 | 342,298 | ||||
Sonoco Products Co. | 13,695 | 716,112 | ||||
UFP Technologies, Inc. (a) | 1,100 | 48,466 | ||||
5,102,526 | ||||||
DISTRIBUTORS — 0.2% | ||||||
Core-Mark Holding Co., Inc. | 5,652 | 141,046 | ||||
Funko, Inc. Class A (a) (b) | 3,450 | 20,010 | ||||
Greenlane Holdings, Inc. Class A (a) | 1,600 | 6,368 | ||||
Pool Corp. | 5,352 | 1,455,048 |
Security Description | Shares | Value | ||||
Weyco Group, Inc. | 943 | $ 20,359 | ||||
1,642,831 | ||||||
DIVERSIFIED CONSUMER SERVICES — 1.0% | ||||||
Adtalem Global Education, Inc. (a) | 7,900 | 246,085 | ||||
American Public Education, Inc. (a) | 2,400 | 71,040 | ||||
Aspen Group, Inc. (a) | 2,800 | 25,340 | ||||
Bright Horizons Family Solutions, Inc. (a) | 7,959 | 932,795 | ||||
Carriage Services, Inc. | 2,596 | 47,040 | ||||
Chegg, Inc. (a) (b) | 16,700 | 1,123,242 | ||||
Collectors Universe, Inc. | 1,415 | 48,506 | ||||
Franchise Group, Inc. | 2,900 | 63,452 | ||||
frontdoor, Inc. (a) | 11,706 | 518,927 | ||||
Graham Holdings Co. Class B | 654 | 224,106 | ||||
Grand Canyon Education, Inc. (a) | 6,410 | 580,297 | ||||
Houghton Mifflin Harcourt Co. (a) | 16,399 | 29,682 | ||||
K12, Inc. (a) | 6,300 | 171,612 | ||||
Laureate Education, Inc. Class A (a) | 16,400 | 163,426 | ||||
OneSpaWorld Holdings, Ltd. (b) | 7,100 | 33,867 | ||||
Perdoceo Education Corp. (a) | 11,000 | 175,230 | ||||
Regis Corp. (a) (b) | 3,706 | 30,315 | ||||
Service Corp. International | 23,983 | 932,699 | ||||
ServiceMaster Global Holdings, Inc. (a) | 18,112 | 646,417 | ||||
Strategic Education, Inc. | 2,946 | 452,653 | ||||
Universal Technical Institute, Inc. (a) | 4,400 | 30,580 | ||||
Vivint Smart Home, Inc. (a) | 10,600 | 183,698 | ||||
WW International, Inc. (a) | 6,000 | 152,280 | ||||
6,883,289 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | ||||||
Alerus Financial Corp. | 500 | 9,880 | ||||
A-Mark Precious Metals, Inc. (a) | 700 | 13,335 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 4,900 | 56,350 | ||||
Calamos Asset Management, Inc. Class A (a) (d) | 1,000 | — | ||||
Cannae Holdings, Inc. (a) | 11,400 | 468,540 | ||||
Equitable Holdings, Inc. | 56,146 | 1,083,056 | ||||
GWG Holdings, Inc. (a) (b) | 500 | 3,835 | ||||
Jefferies Financial Group, Inc. | 30,800 | 478,940 | ||||
Marlin Business Services Corp. | 1,400 | 11,844 | ||||
StoneX Group, Inc. (a) | 2,532 | 139,260 | ||||
SWK Holdings Corp. (a) | 500 | 5,990 | ||||
Voya Financial, Inc. | 17,241 | 804,293 | ||||
3,075,323 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.4% | ||||||
Alaska Communications Systems Group, Inc. | 7,900 | 22,041 | ||||
Anterix, Inc. (a) | 1,707 | 77,395 | ||||
ATN International, Inc. | 1,757 | 106,422 | ||||
Bandwidth, Inc. Class A (a) | 2,592 | 329,184 | ||||
Cincinnati Bell, Inc. (a) | 7,951 | 118,072 | ||||
Cogent Communications Holdings, Inc. | 5,696 | 440,643 |
Security Description | Shares | Value | ||||
Consolidated Communications Holdings, Inc. (a) | 11,249 | $ 76,156 | ||||
GCI Liberty, Inc. Class A (a) | 13,546 | 963,392 | ||||
IDT Corp. Class B (a) | 2,900 | 18,937 | ||||
Iridium Communications, Inc. (a) | 16,219 | 412,611 | ||||
Liberty Latin America, Ltd. Class C (a) | 14,100 | 133,104 | ||||
Ooma, Inc. (a) (b) | 3,200 | 52,736 | ||||
ORBCOMM, Inc. (a) | 11,411 | 43,932 | ||||
Vonage Holdings Corp. (a) | 30,800 | 309,848 | ||||
3,104,473 | ||||||
ELECTRIC UTILITIES — 0.7% | ||||||
ALLETE, Inc. | 6,962 | 380,195 | ||||
Avangrid, Inc. | 7,600 | 319,048 | ||||
El Paso Electric Co. | 5,463 | 366,021 | ||||
Genie Energy, Ltd. Class B | 2,198 | 16,177 | ||||
Hawaiian Electric Industries, Inc. | 14,583 | 525,863 | ||||
IDACORP, Inc. | 6,838 | 597,436 | ||||
MGE Energy, Inc. | 4,662 | 300,746 | ||||
OGE Energy Corp. | 27,443 | 833,170 | ||||
Otter Tail Corp. | 5,176 | 200,777 | ||||
PG&E Corp. (a) (b) | 72,558 | 643,589 | ||||
PNM Resources, Inc. | 10,651 | 409,424 | ||||
Portland General Electric Co. | 12,221 | 510,960 | ||||
Spark Energy, Inc. Class A (b) | 2,096 | 14,819 | ||||
5,118,225 | ||||||
ELECTRICAL EQUIPMENT — 1.0% | ||||||
Acuity Brands, Inc. | 5,305 | 507,901 | ||||
Allied Motion Technologies, Inc. | 1,162 | 41,019 | ||||
American Superconductor Corp. (a) | 3,300 | 26,829 | ||||
Atkore International Group, Inc. (a) | 6,100 | 166,835 | ||||
AZZ, Inc. | 4,140 | 142,085 | ||||
Bloom Energy Corp. Class A (a) | 8,802 | 95,766 | ||||
Encore Wire Corp. | 3,226 | 157,493 | ||||
EnerSys | 5,741 | 369,606 | ||||
FuelCell Energy, Inc. (a) | 32,400 | 73,224 | ||||
Generac Holdings, Inc. (a) | 8,405 | 1,024,822 | ||||
GrafTech International, Ltd. (b) | 9,050 | 72,219 | ||||
Hubbell, Inc. | 7,440 | 932,678 | ||||
LSI Industries, Inc. | 3,900 | 25,233 | ||||
nVent Electric PLC | 21,000 | 393,330 | ||||
Orion Energy Systems, Inc. (a) | 4,100 | 14,186 | ||||
Plug Power, Inc. (a) (b) | 47,701 | 391,625 | ||||
Powell Industries, Inc. | 1,400 | 38,346 | ||||
Preformed Line Products Co. | 500 | 25,005 | ||||
Regal Beloit Corp. | 5,494 | 479,736 | ||||
Sensata Technologies Holding PLC (a) | 21,228 | 790,318 | ||||
Sunrun, Inc. (a) | 15,400 | 303,688 | ||||
Thermon Group Holdings, Inc. (a) | 5,625 | 81,956 | ||||
TPI Composites, Inc. (a) | 4,600 | 107,502 | ||||
Ultralife Corp. (a) | 1,400 | 9,814 | ||||
Vertiv Holdings Co. (a) | 26,800 | 363,408 | ||||
Vicor Corp. (a) | 2,710 | 194,984 |
Security Description | Shares | Value | ||||
Vivint Solar, Inc. (a) (b) | 7,073 | $ 70,023 | ||||
6,899,631 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 2.0% | ||||||
Akoustis Technologies, Inc. (a) (b) | 4,700 | 38,963 | ||||
Arlo Technologies, Inc. (a) | 11,717 | 30,230 | ||||
Arrow Electronics, Inc. (a) | 10,710 | 735,670 | ||||
Avnet, Inc. | 13,197 | 367,998 | ||||
Badger Meter, Inc. | 3,776 | 237,586 | ||||
Bel Fuse, Inc. Class B | 1,500 | 16,095 | ||||
Belden, Inc. | 6,263 | 203,861 | ||||
Benchmark Electronics, Inc. | 5,880 | 127,008 | ||||
Cognex Corp. | 22,801 | 1,361,676 | ||||
Coherent, Inc. (a) | 3,287 | 430,531 | ||||
CTS Corp. | 5,176 | 103,727 | ||||
Daktronics, Inc. | 5,745 | 24,991 | ||||
Dolby Laboratories, Inc. Class A | 8,579 | 565,099 | ||||
ePlus, Inc. (a) | 2,160 | 152,669 | ||||
Fabrinet (a) | 4,900 | 305,858 | ||||
FARO Technologies, Inc. (a) | 2,800 | 150,080 | ||||
Fitbit, Inc. Class A (a) | 31,009 | 200,318 | ||||
II-VI, Inc. (a) (b) | 12,197 | 575,942 | ||||
Insight Enterprises, Inc. (a) | 5,252 | 258,398 | ||||
Intellicheck, Inc. (a) | 2,400 | 18,120 | ||||
Iteris, Inc. (a) | 6,300 | 29,956 | ||||
Itron, Inc. (a) | 5,699 | 377,559 | ||||
Jabil, Inc. | 20,067 | 643,749 | ||||
Kimball Electronics, Inc. (a) | 3,844 | 52,048 | ||||
Knowles Corp. (a) | 12,968 | 197,892 | ||||
Littelfuse, Inc. | 3,229 | 550,964 | ||||
Luna Innovations, Inc. (a) | 4,400 | 25,696 | ||||
Methode Electronics, Inc. | 4,649 | 145,328 | ||||
MTS Systems Corp. | 3,032 | 53,333 | ||||
Napco Security Technologies, Inc. (a) | 1,878 | 43,926 | ||||
National Instruments Corp. | 17,648 | 683,154 | ||||
nLight, Inc. (a) | 5,600 | 124,656 | ||||
Novanta, Inc. (a) | 4,641 | 495,520 | ||||
OSI Systems, Inc. (a) | 2,140 | 159,730 | ||||
PAR Technology Corp. (a) (b) | 1,800 | 53,874 | ||||
PC Connection, Inc. | 1,660 | 76,958 | ||||
Plexus Corp. (a) | 3,800 | 268,128 | ||||
Powerfleet, Inc. (a) | 4,200 | 19,404 | ||||
Research Frontiers, Inc. (a) | 4,000 | 16,240 | ||||
Rogers Corp. (a) | 2,499 | 311,375 | ||||
Sanmina Corp. (a) | 10,210 | 255,658 | ||||
ScanSource, Inc. (a) | 3,809 | 91,759 | ||||
SYNNEX Corp. | 5,717 | 684,725 | ||||
Tech Data Corp. (a) | 5,763 | 835,635 | ||||
Trimble, Inc. (a) | 34,536 | 1,491,610 | ||||
TTM Technologies, Inc. (a) | 12,700 | 150,622 | ||||
Vishay Intertechnology, Inc. | 17,545 | 267,912 | ||||
Vishay Precision Group, Inc. (a) | 1,700 | 41,786 | ||||
Wrap Technologies, Inc. (a) (b) | 1,500 | 15,720 | ||||
14,069,737 |
Security Description | Shares | Value | ||||
ENERGY EQUIPMENT & SERVICES — 0.3% | ||||||
Archrock, Inc. | 20,500 | $ 133,045 | ||||
Aspen Aerogels, Inc. (a) | 3,100 | 20,398 | ||||
Bristow Group, Inc. (a) | 1,033 | 14,390 | ||||
Cactus, Inc. Class A | 7,500 | 154,725 | ||||
ChampionX Corp. (a) | 24,400 | 238,144 | ||||
DMC Global, Inc. | 2,300 | 63,480 | ||||
Dril-Quip, Inc. (a) | 5,275 | 157,142 | ||||
Exterran Corp. (a) | 4,500 | 24,255 | ||||
Frank's International NV (a) | 16,700 | 37,241 | ||||
Helix Energy Solutions Group, Inc. (a) | 22,709 | 78,800 | ||||
Helmerich & Payne, Inc. | 13,900 | 271,189 | ||||
Liberty Oilfield Services, Inc. Class A (b) | 8,300 | 45,484 | ||||
Matrix Service Co. (a) | 4,100 | 39,852 | ||||
Nabors Industries, Ltd. (b) | 1,127 | 41,721 | ||||
National Energy Services Reunited Corp. (a) (b) | 3,700 | 25,456 | ||||
Newpark Resources, Inc. (a) | 13,900 | 30,997 | ||||
NexTier Oilfield Solutions, Inc. (a) | 25,298 | 61,980 | ||||
Oceaneering International, Inc. (a) | 15,881 | 101,479 | ||||
Oil States International, Inc. (a) | 9,366 | 44,488 | ||||
Patterson-UTI Energy, Inc. | 30,151 | 104,624 | ||||
ProPetro Holding Corp. (a) | 12,699 | 65,273 | ||||
RPC, Inc. (b) | 9,010 | 27,751 | ||||
SEACOR Holdings, Inc. (a) | 2,768 | 78,390 | ||||
Select Energy Services, Inc. Class A (a) | 9,092 | 44,551 | ||||
Solaris Oilfield Infrastructure, Inc. Class A | 4,900 | 36,358 | ||||
Tidewater, Inc. (a) | 6,225 | 34,798 | ||||
Transocean, Ltd. (a) (b) | 73,489 | 134,485 | ||||
US Silica Holdings, Inc. (b) | 11,488 | 41,472 | ||||
2,151,968 | ||||||
ENTERTAINMENT — 1.4% | ||||||
AMC Entertainment Holdings, Inc. Class A (b) | 8,066 | 34,603 | ||||
Cinemark Holdings, Inc. | 16,216 | 187,295 | ||||
Eros International PLC (a) (b) | 11,347 | 35,857 | ||||
Gaia, Inc. (a) | 1,600 | 13,408 | ||||
Glu Mobile, Inc. (a) | 18,600 | 172,422 | ||||
IMAX Corp. (a) | 8,300 | 93,043 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) | 1,538 | 30,883 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 6,110 | 120,611 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) (b) | 4,036 | 117,771 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 27,286 | 865,239 | ||||
Lions Gate Entertainment Corp. Class A (a) (b) | 8,224 | 60,940 | ||||
Lions Gate Entertainment Corp. Class B (a) | 17,489 | 119,450 | ||||
LiveXLive Media, Inc. (a) | 5,299 | 19,182 |
Security Description | Shares | Value | ||||
Madison Square Garden Co. (a) | 2,572 | $ 377,801 | ||||
Madison Square Garden Entertainment Corp. (a) | 2,872 | 215,400 | ||||
Marcus Corp. | 3,537 | 46,936 | ||||
Roku, Inc. (a) (b) | 14,100 | 1,643,073 | ||||
Spotify Technology SA (a) | 18,225 | 4,705,513 | ||||
World Wrestling Entertainment, Inc. Class A | 6,927 | 300,978 | ||||
Zynga, Inc. Class A (a) | 122,532 | 1,168,955 | ||||
10,329,360 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 6.8% | ||||||
Acadia Realty Trust REIT | 10,747 | 139,496 | ||||
Agree Realty Corp. REIT (b) | 7,156 | 470,221 | ||||
Alexander & Baldwin, Inc. REIT (a) | 10,938 | 133,334 | ||||
Alexander's, Inc. REIT | 338 | 81,424 | ||||
Alpine Income Property Trust, Inc. REIT | 1,000 | 16,260 | ||||
American Assets Trust, Inc. REIT | 7,742 | 215,537 | ||||
American Campus Communities, Inc. REIT | 18,710 | 654,102 | ||||
American Finance Trust, Inc. REIT | 17,000 | 134,895 | ||||
American Homes 4 Rent Class A REIT | 35,797 | 962,939 | ||||
Americold Realty Trust REIT | 27,600 | 1,001,880 | ||||
Apple Hospitality REIT, Inc. | 27,900 | 269,514 | ||||
Armada Hoffler Properties, Inc. REIT | 8,900 | 88,555 | ||||
Bluerock Residential Growth REIT, Inc. | 3,600 | 29,088 | ||||
Brandywine Realty Trust REIT | 22,300 | 242,847 | ||||
Brixmor Property Group, Inc. REIT | 40,348 | 517,261 | ||||
Brookfield Property REIT, Inc. Class A | 8,700 | 86,652 | ||||
BRT Apartments Corp. REIT | 1,500 | 16,230 | ||||
Camden Property Trust REIT | 13,038 | 1,189,326 | ||||
CareTrust REIT, Inc. | 14,500 | 248,820 | ||||
CatchMark Timber Trust, Inc. Class A REIT | 7,700 | 68,145 | ||||
Chatham Lodging Trust REIT | 7,160 | 43,819 | ||||
CIM Commercial Trust Corp. REIT (b) | 1,800 | 19,404 | ||||
City Office REIT, Inc. | 7,100 | 71,426 | ||||
Clipper Realty, Inc. REIT | 2,293 | 18,573 | ||||
Colony Capital, Inc. REIT | 61,618 | 147,883 | ||||
Columbia Property Trust, Inc. REIT | 17,372 | 228,268 | ||||
Community Healthcare Trust, Inc. REIT | 3,047 | 124,622 | ||||
CoreCivic, Inc. REIT | 15,225 | 142,506 | ||||
CorEnergy Infrastructure Trust, Inc. REIT (b) | 2,060 | 18,849 | ||||
CorePoint Lodging, Inc. REIT | 6,280 | 26,439 | ||||
CoreSite Realty Corp. REIT | 5,527 | 669,099 | ||||
Corporate Office Properties Trust REIT | 15,100 | 382,634 | ||||
Cousins Properties, Inc. REIT | 20,249 | 604,028 | ||||
CubeSmart REIT | 26,525 | 715,910 |
Security Description | Shares | Value | |||
CyrusOne, Inc. REIT | 15,915 | $ 1,157,816 | |||
DiamondRock Hospitality Co. REIT | 25,200 | 139,356 | |||
Diversified Healthcare Trust REIT | 29,877 | 132,206 | |||
Douglas Emmett, Inc. REIT | 22,837 | 700,182 | |||
Easterly Government Properties, Inc. REIT | 9,900 | 228,888 | |||
EastGroup Properties, Inc. REIT | 5,221 | 619,263 | |||
Empire State Realty Trust, Inc. Class A REIT | 18,424 | 128,968 | |||
EPR Properties REIT | 10,449 | 346,175 | |||
Equity Commonwealth REIT | 15,881 | 511,368 | |||
Equity LifeStyle Properties, Inc. REIT | 24,068 | 1,503,769 | |||
Essential Properties Realty Trust, Inc. REIT | 13,900 | 206,276 | |||
Farmland Partners, Inc. REIT (b) | 4,300 | 29,455 | |||
First Industrial Realty Trust, Inc. REIT | 17,315 | 665,589 | |||
Four Corners Property Trust, Inc. REIT | 9,209 | 224,700 | |||
Franklin Street Properties Corp. REIT | 16,483 | 83,899 | |||
Front Yard Residential Corp. REIT | 7,927 | 68,965 | |||
Gaming and Leisure Properties, Inc. REIT | 27,989 | 968,419 | |||
GEO Group, Inc. REIT | 17,900 | 211,757 | |||
Getty Realty Corp. REIT | 5,305 | 157,452 | |||
Gladstone Commercial Corp. REIT | 5,130 | 96,188 | |||
Gladstone Land Corp. REIT | 2,900 | 45,994 | |||
Global Medical REIT, Inc. | 6,100 | 69,113 | |||
Global Net Lease, Inc. REIT | 13,741 | 229,887 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 10,197 | 290,207 | |||
Healthcare Realty Trust, Inc. REIT | 18,282 | 535,480 | |||
Healthcare Trust of America, Inc. Class A REIT | 29,870 | 792,152 | |||
Hersha Hospitality Trust REIT | 5,376 | 30,966 | |||
Highwoods Properties, Inc. REIT | 13,970 | 521,500 | |||
Hudson Pacific Properties, Inc. REIT | 20,437 | 514,195 | |||
Independence Realty Trust, Inc. REIT (b) | 11,973 | 137,570 | |||
Industrial Logistics Properties Trust REIT | 8,328 | 171,140 | |||
Innovative Industrial Properties, Inc. REIT (b) | 2,142 | 188,539 | |||
Investors Real Estate Trust REIT | 1,899 | 133,861 | |||
Invitation Homes, Inc. REIT | 75,563 | 2,080,249 | |||
iStar, Inc. REIT (b) | 9,475 | 116,732 | |||
JBG SMITH Properties REIT | 16,543 | 489,177 | |||
Jernigan Capital, Inc. REIT (b) | 3,500 | 47,880 | |||
Kilroy Realty Corp. REIT | 15,840 | 929,808 | |||
Kite Realty Group Trust REIT | 13,183 | 152,132 | |||
Lamar Advertising Co. Class A REIT | 11,774 | 786,032 | |||
Lexington Realty Trust REIT | 34,200 | 360,810 | |||
Life Storage, Inc. REIT | 6,380 | 605,781 | |||
LTC Properties, Inc. REIT | 5,954 | 224,287 | |||
Macerich Co. REIT | 21,551 | 193,313 |
Security Description | Shares | Value | |||
Mack-Cali Realty Corp. REIT | 13,800 | $ 211,002 | |||
Medical Properties Trust, Inc. REIT | 71,912 | 1,351,946 | |||
Monmouth Real Estate Investment Corp. REIT | 12,179 | 176,474 | |||
National Health Investors, Inc. REIT | 5,745 | 348,836 | |||
National Retail Properties, Inc. REIT | 23,513 | 834,241 | |||
National Storage Affiliates Trust REIT | 8,100 | 232,146 | |||
New Senior Investment Group, Inc. REIT | 13,007 | 47,085 | |||
NexPoint Residential Trust, Inc. REIT | 3,148 | 111,282 | |||
Office Properties Income Trust REIT | 6,127 | 159,118 | |||
Omega Healthcare Investors, Inc. REIT | 30,952 | 920,203 | |||
One Liberty Properties, Inc. REIT | 2,500 | 44,050 | |||
Outfront Media, Inc. REIT | 19,167 | 271,596 | |||
Paramount Group, Inc. REIT | 28,900 | 222,819 | |||
Park Hotels & Resorts, Inc. REIT | 32,134 | 317,805 | |||
Pebblebrook Hotel Trust REIT (b) | 17,057 | 232,999 | |||
Physicians Realty Trust REIT | 27,417 | 480,346 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 16,705 | 277,470 | |||
Plymouth Industrial REIT, Inc. | 2,200 | 28,160 | |||
PotlatchDeltic Corp. REIT | 8,728 | 331,926 | |||
Preferred Apartment Communities, Inc. Class A REIT | 7,197 | 54,697 | |||
PS Business Parks, Inc. REIT | 2,719 | 359,996 | |||
QTS Realty Trust, Inc. Class A REIT (b) | 8,101 | 519,193 | |||
Rayonier, Inc. REIT | 18,509 | 458,838 | |||
Retail Opportunity Investments Corp. REIT | 14,700 | 166,551 | |||
Retail Properties of America, Inc. Class A REIT | 27,903 | 204,250 | |||
Retail Value, Inc. REIT | 2,350 | 29,046 | |||
Rexford Industrial Realty, Inc. REIT | 15,869 | 657,453 | |||
RLJ Lodging Trust REIT | 24,968 | 235,698 | |||
RPT Realty REIT | 12,300 | 85,608 | |||
Ryman Hospitality Properties, Inc. REIT | 6,627 | 229,294 | |||
Sabra Health Care REIT, Inc. | 27,555 | 397,619 | |||
Safehold, Inc. REIT | 2,200 | 126,478 | |||
Saul Centers, Inc. REIT | 1,912 | 61,700 | |||
Seritage Growth Properties Class A REIT (a) (b) | 5,338 | 60,853 | |||
Service Properties Trust REIT | 20,874 | 147,997 | |||
SITE Centers Corp. REIT | 19,601 | 158,768 | |||
Spirit Realty Capital, Inc. REIT (b) | 13,975 | 487,169 | |||
STAG Industrial, Inc. REIT | 20,350 | 596,662 | |||
STORE Capital Corp. REIT | 30,793 | 733,181 | |||
Summit Hotel Properties, Inc. REIT | 16,500 | 97,845 | |||
Sun Communities, Inc. REIT | 13,391 | 1,816,891 | |||
Sunstone Hotel Investors, Inc. REIT | 28,219 | 229,985 | |||
Tanger Factory Outlet Centers, Inc. REIT (b) | 14,387 | 102,579 | |||
Taubman Centers, Inc. REIT | 7,995 | 301,891 |
Security Description | Shares | Value | ||||
Terreno Realty Corp. REIT | 9,024 | $ 475,023 | ||||
UMH Properties, Inc. REIT | 5,700 | 73,701 | ||||
Uniti Group, Inc. REIT | 25,270 | 236,275 | ||||
Universal Health Realty Income Trust REIT | 1,588 | 126,230 | ||||
Urban Edge Properties REIT | 15,000 | 178,050 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 4,640 | 55,123 | ||||
VEREIT, Inc. | 148,808 | 956,835 | ||||
VICI Properties, Inc. REIT (b) | 64,965 | 1,311,643 | ||||
Washington Real Estate Investment Trust | 10,802 | 239,804 | ||||
Weingarten Realty Investors REIT | 16,248 | 307,575 | ||||
Whitestone REIT (b) | 6,000 | 43,620 | ||||
WP Carey, Inc. REIT | 23,702 | 1,603,440 | ||||
Xenia Hotels & Resorts, Inc. REIT | 14,300 | 133,419 | ||||
48,267,966 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Andersons, Inc. | 4,985 | 68,594 | ||||
BJ's Wholesale Club Holdings, Inc. (a) | 18,700 | 696,949 | ||||
Casey's General Stores, Inc. | 5,043 | 754,029 | ||||
Chefs' Warehouse, Inc. (a) | 4,400 | 59,752 | ||||
Grocery Outlet Holding Corp. (a) | 9,345 | 381,276 | ||||
HF Foods Group, Inc. (a) (b) | 3,400 | 30,770 | ||||
Ingles Markets, Inc. Class A | 2,256 | 97,166 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 1,400 | 20,832 | ||||
Performance Food Group Co. (a) | 17,711 | 516,098 | ||||
PriceSmart, Inc. | 2,891 | 174,414 | ||||
Rite Aid Corp. (a) (b) | 8,750 | 149,275 | ||||
SpartanNash Co. | 5,700 | 121,125 | ||||
Sprouts Farmers Market, Inc. (a) | 15,975 | 408,800 | ||||
United Natural Foods, Inc. (a) | 8,508 | 154,931 | ||||
US Foods Holding Corp. (a) | 30,054 | 592,665 | ||||
Village Super Market, Inc. Class A | 1,269 | 35,177 | ||||
Weis Markets, Inc. | 1,515 | 75,932 | ||||
4,337,785 | ||||||
FOOD PRODUCTS — 1.1% | ||||||
Alico, Inc. | 800 | 24,928 | ||||
B&G Foods, Inc. (b) | 8,300 | 202,354 | ||||
Beyond Meat, Inc. (a) | 7,088 | 949,650 | ||||
Bridgford Foods Corp. (a) | 300 | 4,968 | ||||
Bunge, Ltd. | 18,941 | 779,043 | ||||
Calavo Growers, Inc. | 2,642 | 166,208 | ||||
Cal-Maine Foods, Inc. (a) | 4,800 | 213,504 | ||||
Darling Ingredients, Inc. (a) | 21,800 | 536,716 | ||||
Farmer Brothers Co. (a) | 1,725 | 12,662 | ||||
Flowers Foods, Inc. | 26,631 | 595,469 | ||||
Fresh Del Monte Produce, Inc. | 4,934 | 121,475 | ||||
Freshpet, Inc. (a) | 5,237 | 438,127 | ||||
Hain Celestial Group, Inc. (a) (b) | 10,901 | 343,491 | ||||
Hostess Brands, Inc. (a) | 15,900 | 194,298 | ||||
Ingredion, Inc. | 9,243 | 767,169 | ||||
J&J Snack Foods Corp. | 1,921 | 244,217 |
Security Description | Shares | Value | ||||
John B Sanfilippo & Son, Inc. | 1,370 | $ 116,902 | ||||
Lancaster Colony Corp. | 2,557 | 396,309 | ||||
Landec Corp. (a) | 4,100 | 32,636 | ||||
Limoneira Co. | 2,500 | 36,225 | ||||
Pilgrim's Pride Corp. (a) | 8,500 | 143,565 | ||||
Post Holdings, Inc. (a) | 8,710 | 763,170 | ||||
Sanderson Farms, Inc. | 2,702 | 313,135 | ||||
Seaboard Corp. | 42 | 123,221 | ||||
Seneca Foods Corp. Class A (a) | 1,049 | 35,467 | ||||
Simply Good Foods Co. (a) | 11,100 | 206,238 | ||||
Tootsie Roll Industries, Inc. (b) | 2,686 | 92,049 | ||||
TreeHouse Foods, Inc. (a) | 7,481 | 327,668 | ||||
8,180,864 | ||||||
GAS UTILITIES — 0.6% | ||||||
Brookfield Infrastructure Corp. Class A | 4,900 | 223,146 | ||||
Chesapeake Utilities Corp. | 2,075 | 174,300 | ||||
National Fuel Gas Co. | 11,170 | 468,358 | ||||
New Jersey Resources Corp. | 12,844 | 419,357 | ||||
Northwest Natural Holding Co. | 3,960 | 220,928 | ||||
ONE Gas, Inc. | 7,121 | 548,673 | ||||
RGC Resources, Inc. | 1,200 | 29,004 | ||||
South Jersey Industries, Inc. | 12,362 | 308,926 | ||||
Southwest Gas Holdings, Inc. (a) | 7,439 | 513,663 | ||||
Spire, Inc. | 6,739 | 442,820 | ||||
UGI Corp. | 28,635 | 910,593 | ||||
4,259,768 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.7% | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 4,300 | 65,188 | ||||
Accuray, Inc. (a) | 13,921 | 28,260 | ||||
Alphatec Holdings, Inc. (a) | 6,100 | 28,670 | ||||
AngioDynamics, Inc. (a) | 5,797 | 58,955 | ||||
Antares Pharma, Inc. (a) | 25,900 | 71,225 | ||||
Apyx Medical Corp. (a) | 5,195 | 28,832 | ||||
Aspira Women's Health, Inc. (a) | 7,200 | 27,648 | ||||
AtriCure, Inc. (a) | 5,100 | 229,245 | ||||
Atrion Corp. | 229 | 145,875 | ||||
Avanos Medical, Inc. (a) | 6,100 | 179,279 | ||||
AxoGen, Inc. (a) (b) | 5,300 | 48,972 | ||||
Axonics Modulation Technologies, Inc. (a) (b) | 4,657 | 163,507 | ||||
Bellerophon Therapeutics, Inc. (a) | 500 | 6,275 | ||||
Beyond Air, Inc. (a) | 2,000 | 14,500 | ||||
BioLife Solutions, Inc. (a) (b) | 1,120 | 18,312 | ||||
BioSig Technologies, Inc. (a) | 2,800 | 20,160 | ||||
Cantel Medical Corp. | 5,748 | 254,234 | ||||
Cardiovascular Systems, Inc. (a) | 4,350 | 137,243 | ||||
Cerus Corp. (a) | 20,409 | 134,699 | ||||
Chembio Diagnostics, Inc. (a) | 3,000 | 9,750 | ||||
Co-Diagnostics, Inc. (a) (b) | 3,900 | 75,465 | ||||
CONMED Corp. | 3,548 | 255,421 | ||||
CryoLife, Inc. (a) | 5,800 | 111,186 | ||||
CryoPort, Inc. (a) (b) | 5,000 | 151,250 | ||||
Cutera, Inc. (a) | 2,200 | 26,774 |
Security Description | Shares | Value | |||
CytoSorbents Corp. (a) (b) | 4,860 | $ 48,114 | |||
Electromed, Inc. (a) | 1,100 | 16,929 | |||
Envista Holdings Corp. (a) | 23,400 | 493,506 | |||
FONAR Corp. (a) | 1,000 | 21,370 | |||
GenMark Diagnostics, Inc. (a) | 8,800 | 129,448 | |||
Glaukos Corp. (a) (b) | 6,242 | 239,818 | |||
Globus Medical, Inc. Class A (a) | 10,032 | 478,627 | |||
Haemonetics Corp. (a) | 6,761 | 605,515 | |||
Heska Corp. (a) | 1,122 | 104,537 | |||
Hill-Rom Holdings, Inc. | 9,236 | 1,013,928 | |||
ICU Medical, Inc. (a) | 2,634 | 485,473 | |||
Inogen, Inc. (a) | 2,892 | 102,724 | |||
Insulet Corp. (a) | 8,772 | 1,704,049 | |||
Integer Holdings Corp. (a) | 4,383 | 320,178 | |||
Integra LifeSciences Holdings Corp. (a) | 9,693 | 455,474 | |||
IntriCon Corp. (a) | 1,323 | 17,887 | |||
Invacare Corp. | 5,200 | 33,124 | |||
iRadimed Corp. (a) (b) | 700 | 16,247 | |||
iRhythm Technologies, Inc. (a) | 3,677 | 426,128 | |||
Lantheus Holdings, Inc. (a) | 10,375 | 148,362 | |||
LeMaitre Vascular, Inc. | 2,600 | 68,640 | |||
LivaNova PLC (a) | 6,450 | 310,438 | |||
Masimo Corp. (a) | 6,652 | 1,516,589 | |||
Meridian Bioscience, Inc. (a) | 6,700 | 156,043 | |||
Merit Medical Systems, Inc. (a) | 7,200 | 328,680 | |||
Mesa Laboratories, Inc. | 640 | 138,752 | |||
Milestone Scientific, Inc. (a) | 5,300 | 10,335 | |||
Misonix, Inc. (a) | 1,400 | 18,998 | |||
Natus Medical, Inc. (a) | 5,434 | 118,570 | |||
Nemaura Medical, Inc. (a) | 1,000 | 9,250 | |||
Neogen Corp. (a) | 7,110 | 551,736 | |||
Nevro Corp. (a) | 4,843 | 578,593 | |||
Novocure, Ltd. (a) | 13,669 | 810,572 | |||
NuVasive, Inc. (a) | 6,880 | 382,941 | |||
OraSure Technologies, Inc. (a) | 9,900 | 115,137 | |||
Orthofix Medical, Inc. (a) | 2,860 | 91,520 | |||
OrthoPediatrics Corp. (a) (b) | 1,768 | 77,368 | |||
PAVmed, Inc. (a) | 5,500 | 11,605 | |||
Penumbra, Inc. (a) (b) | 4,392 | 785,377 | |||
Pulse Biosciences, Inc. (a) (b) | 2,158 | 22,573 | |||
Quidel Corp. (a) | 5,080 | 1,136,599 | |||
Quotient, Ltd. (a) | 9,200 | 68,080 | |||
Repro-Med Systems, Inc. (a) | 3,700 | 33,226 | |||
Retractable Technologies, Inc. (a) | 2,000 | 14,040 | |||
Rockwell Medical, Inc. (a) (b) | 10,200 | 19,890 | |||
RTI Surgical Holdings, Inc. (a) | 9,018 | 28,677 | |||
SeaSpine Holdings Corp. (a) | 3,400 | 35,598 | |||
Shockwave Medical, Inc. (a) (b) | 4,098 | 194,122 | |||
SI-BONE, Inc. (a) | 3,060 | 48,776 | |||
Sientra, Inc. (a) | 6,000 | 23,220 | |||
Silk Road Medical, Inc. (a) (b) | 4,800 | 201,072 | |||
Solition, Inc. (a) (b) | 995 | 7,741 | |||
STAAR Surgical Co. (a) | 6,000 | 369,240 | |||
Stereotaxis, Inc. (a) | 6,700 | 29,882 | |||
Surmodics, Inc. (a) | 2,081 | 89,982 |
Security Description | Shares | Value | ||||
Tactile Systems Technology, Inc. (a) (b) | 2,800 | $ 116,004 | ||||
Tandem Diabetes Care, Inc. (a) | 7,991 | 790,470 | ||||
Tela Bio, Inc. (a) | 800 | 10,368 | ||||
TransMedics Group, Inc. (a) | 2,200 | 39,424 | ||||
Utah Medical Products, Inc. | 640 | 56,717 | ||||
Vapotherm, Inc. (a) | 2,400 | 98,376 | ||||
Varex Imaging Corp. (a) | 6,000 | 90,900 | ||||
Venus Concept, Inc. (a) | 2,800 | 9,772 | ||||
ViewRay, Inc. (a) (b) | 16,577 | 37,132 | ||||
VolitionRX, Ltd. (a) | 3,600 | 14,004 | ||||
Wright Medical Group NV (a) (b) | 20,309 | 603,583 | ||||
Zynex, Inc. (a) (b) | 2,500 | 62,175 | ||||
19,485,150 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.6% | ||||||
1Life Healthcare, Inc. (a) (b) | 3,100 | 112,592 | ||||
Acadia Healthcare Co., Inc. (a) | 11,682 | 293,452 | ||||
AdaptHealth Corp. (a) | 1,200 | 19,320 | ||||
Addus HomeCare Corp. (a) | 2,016 | 186,601 | ||||
Amedisys, Inc. (a) | 4,352 | 864,046 | ||||
American Renal Associates Holdings, Inc. (a) | 2,900 | 18,908 | ||||
AMN Healthcare Services, Inc. (a) | 6,148 | 278,136 | ||||
Apollo Medical Holdings, Inc. (a) (b) | 1,373 | 22,655 | ||||
Avalon GloboCare Corp. (a) | 3,520 | 6,688 | ||||
BioTelemetry, Inc. (a) | 4,400 | 198,836 | ||||
Brookdale Senior Living, Inc. (a) | 31,662 | 93,403 | ||||
Chemed Corp. | 2,155 | 972,056 | ||||
Community Health Systems, Inc. (a) | 13,567 | 40,837 | ||||
CorVel Corp. (a) | 1,494 | 105,910 | ||||
Covetrus, Inc. (a) | 14,900 | 266,561 | ||||
Cross Country Healthcare, Inc. (a) | 5,658 | 34,853 | ||||
Encompass Health Corp. | 13,403 | 830,048 | ||||
Ensign Group, Inc. | 6,770 | 283,324 | ||||
Enzo Biochem, Inc. (a) | 7,000 | 15,680 | ||||
Exagen, Inc. (a) | 600 | 7,446 | ||||
Five Star Senior Living, Inc. (a) | 2,900 | 11,310 | ||||
Fulgent Genetics, Inc. (a) | 1,500 | 24,000 | ||||
Guardant Health, Inc. (a) | 10,200 | 827,526 | ||||
Hanger, Inc. (a) | 5,750 | 95,220 | ||||
HealthEquity, Inc. (a) | 9,463 | 555,194 | ||||
InfuSystem Holdings, Inc. (a) | 2,200 | 25,388 | ||||
Joint Corp (a) | 2,050 | 31,303 | ||||
LHC Group, Inc. (a) | 4,160 | 725,171 | ||||
Magellan Health, Inc. (a) | 3,585 | 261,633 | ||||
MEDNAX, Inc. (a) | 10,674 | 182,525 | ||||
Molina Healthcare, Inc. (a) | 8,155 | 1,451,427 | ||||
National HealthCare Corp. | 1,941 | 123,137 | ||||
National Research Corp. | 2,100 | 122,241 | ||||
Ontrack,Inc. (a) | 1,238 | 30,628 | ||||
Option Care Health, Inc. (a) | 4,850 | 67,318 | ||||
Owens & Minor, Inc. | 9,719 | 74,059 | ||||
Patterson Cos., Inc. (b) | 11,200 | 246,400 | ||||
PetIQ, Inc. (a) (b) | 3,400 | 118,456 | ||||
Premier, Inc. Class A (a) | 8,145 | 279,211 |
Security Description | Shares | Value | ||||
Progyny, Inc. (a) | 4,000 | $ 103,240 | ||||
Providence Service Corp. (a) | 1,952 | 154,032 | ||||
R1 RCM, Inc. (a) | 16,800 | 187,320 | ||||
RadNet, Inc. (a) | 6,676 | 105,948 | ||||
Select Medical Holdings Corp. (a) | 16,500 | 243,045 | ||||
Sharps Compliance Corp. (a) | 2,200 | 15,466 | ||||
Surgery Partners, Inc. (a) | 3,871 | 44,787 | ||||
Tenet Healthcare Corp. (a) | 13,769 | 249,357 | ||||
The Pennant Group, Inc. (a) | 4,017 | 90,784 | ||||
Tivity Health, Inc. (a) (b) | 7,537 | 85,394 | ||||
Triple-S Management Corp. Class B (a) | 3,635 | 69,138 | ||||
US Physical Therapy, Inc. | 2,033 | 164,714 | ||||
Viemed Healthcare, Inc. (a) | 5,200 | 49,920 | ||||
11,466,644 | ||||||
HEALTH CARE TECHNOLOGY — 1.4% | ||||||
Allscripts Healthcare Solutions, Inc. (a) | 25,745 | 174,294 | ||||
Change Healthcare, Inc. (a) | 32,600 | 365,120 | ||||
Computer Programs & Systems, Inc. | 2,004 | 45,671 | ||||
Evolent Health, Inc. Class A (a) | 12,800 | 91,136 | ||||
Health Catalyst, Inc. (a) (b) | 4,900 | 142,933 | ||||
HealthStream, Inc. (a) | 4,199 | 92,924 | ||||
HMS Holdings Corp. (a) | 11,841 | 383,530 | ||||
iCAD, Inc. (a) | 3,100 | 30,969 | ||||
Inovalon Holdings, Inc. Class A (a) | 9,500 | 182,970 | ||||
Inspire Medical Systems, Inc. (a) | 3,500 | 304,570 | ||||
Livongo Health, Inc. (a) | 7,300 | 548,887 | ||||
NantHealth, Inc. (a) | 4,100 | 18,778 | ||||
NextGen Healthcare, Inc. (a) | 8,700 | 95,526 | ||||
Omnicell, Inc. (a) | 5,664 | 399,992 | ||||
OptimizeRx Corp. (a) (b) | 2,196 | 28,614 | ||||
Phreesia, Inc. (a) | 4,400 | 124,432 | ||||
Schrodinger, Inc. (a) | 2,200 | 201,454 | ||||
Simulations Plus, Inc. | 1,897 | 113,479 | ||||
Tabula Rasa HealthCare, Inc. (a) (b) | 3,150 | 172,399 | ||||
Teladoc Health, Inc. (a) | 10,267 | 1,959,354 | ||||
Veeva Systems, Inc. Class A (a) | 18,587 | 4,357,164 | ||||
Vocera Communications, Inc. (a) | 4,934 | 104,601 | ||||
9,938,797 | ||||||
HOTELS, RESTAURANTS & LEISURE — 2.2% | ||||||
Accel Entertainment, Inc. (a) | 6,400 | 61,632 | ||||
Aramark | 31,251 | 705,335 | ||||
BBX Capital Corp. | 10,000 | 25,400 | ||||
Biglari Holdings, Inc. Class A (a) | 10 | 3,350 | ||||
Biglari Holdings, Inc. Class B (a) | 136 | 9,381 | ||||
BJ's Restaurants, Inc. | 3,006 | 62,946 | ||||
Bloomin' Brands, Inc. (b) | 13,800 | 147,108 | ||||
Bluegreen Vacations Corp. | 1,074 | 5,821 | ||||
Boyd Gaming Corp. | 10,598 | 221,498 | ||||
Brinker International, Inc. | 5,930 | 142,320 | ||||
Caesars Entertainment Corp. (a) (b) | 79,850 | 968,580 | ||||
Carrols Restaurant Group, Inc. (a) | 5,500 | 26,620 | ||||
Century Casinos, Inc. (a) | 4,261 | 17,683 | ||||
Cheesecake Factory, Inc. (b) | 5,255 | 120,445 |
Security Description | Shares | Value | ||||
Choice Hotels International, Inc. (b) | 4,656 | $ 367,358 | ||||
Churchill Downs, Inc. | 5,185 | 690,383 | ||||
Chuy's Holdings, Inc. (a) | 2,653 | 39,477 | ||||
Cracker Barrel Old Country Store, Inc. | 3,184 | 353,137 | ||||
Dave & Buster's Entertainment, Inc. (b) | 4,848 | 64,624 | ||||
Del Taco Restaurants, Inc. (a) | 4,500 | 26,685 | ||||
Denny's Corp. (a) | 9,300 | 93,930 | ||||
Dine Brands Global, Inc. (b) | 2,330 | 98,093 | ||||
Dunkin' Brands Group, Inc. | 11,246 | 733,577 | ||||
El Pollo Loco Holdings, Inc. (a) | 3,100 | 45,756 | ||||
Eldorado Resorts, Inc. (a) (b) | 11,400 | 456,684 | ||||
Everi Holdings, Inc. (a) | 12,795 | 66,022 | ||||
Extended Stay America, Inc. | 23,500 | 262,965 | ||||
Fiesta Restaurant Group, Inc. (a) | 3,697 | 23,587 | ||||
GAN, Ltd. (a) | 1,100 | 27,995 | ||||
Golden Entertainment, Inc. (a) | 2,625 | 23,415 | ||||
Hilton Grand Vacations, Inc. (a) | 12,941 | 252,997 | ||||
Hyatt Hotels Corp. Class A (b) | 5,329 | 267,995 | ||||
International Game Technology PLC (b) | 15,701 | 139,739 | ||||
Jack in the Box, Inc. | 3,430 | 254,129 | ||||
Kura Sushi USA, Inc. Class A (a) (b) | 600 | 8,568 | ||||
Lindblad Expeditions Holdings, Inc. (a) | 3,589 | 27,707 | ||||
Marriott Vacations Worldwide Corp. | 5,491 | 451,415 | ||||
Monarch Casino & Resort, Inc. (a) | 1,800 | 61,344 | ||||
Nathan's Famous, Inc. | 500 | 28,120 | ||||
Noodles & Co. (a) | 4,500 | 27,225 | ||||
Papa John's International, Inc. | 4,349 | 345,354 | ||||
Penn National Gaming, Inc. (a) (b) | 18,114 | 553,202 | ||||
Planet Fitness, Inc. Class A (a) | 10,927 | 661,848 | ||||
PlayAGS, Inc. (a) | 4,160 | 14,061 | ||||
RCI Hospitality Holdings, Inc. | 1,400 | 19,404 | ||||
Red Robin Gourmet Burgers, Inc. (a) | 2,036 | 20,767 | ||||
Red Rock Resorts, Inc. Class A | 9,986 | 108,947 | ||||
Ruth's Hospitality Group, Inc. | 4,300 | 35,088 | ||||
Scientific Games Corp. Class A (a) | 8,900 | 137,594 | ||||
SeaWorld Entertainment, Inc. (a) (b) | 7,990 | 118,332 | ||||
Shake Shack, Inc. Class A (a) (b) | 4,630 | 245,297 | ||||
Six Flags Entertainment Corp. | 11,658 | 223,950 | ||||
Target Hospitality Corp. (a) (b) | 5,100 | 8,619 | ||||
Texas Roadhouse, Inc. | 8,841 | 464,771 | ||||
Twin River Worldwide Holdings, Inc. (b) | 2,728 | 60,807 | ||||
Vail Resorts, Inc. | 5,524 | 1,006,197 | ||||
Wendy's Co. | 24,458 | 532,695 | ||||
Wingstop, Inc. | 4,041 | 561,578 | ||||
Wyndham Destinations, Inc. | 11,200 | 315,616 | ||||
Wyndham Hotels & Resorts, Inc. | 12,451 | 530,662 | ||||
Yum China Holdings, Inc. | 50,124 | 2,409,461 | ||||
15,785,296 | ||||||
HOUSEHOLD DURABLES — 0.9% | ||||||
Beazer Homes USA, Inc. (a) | 4,696 | 47,289 | ||||
Casper Sleep, Inc. (a) | 1,000 | 8,970 |
Security Description | Shares | Value | ||||
Cavco Industries, Inc. (a) | 1,179 | $ 227,370 | ||||
Century Communities, Inc. (a) | 4,614 | 141,465 | ||||
Ethan Allen Interiors, Inc. | 3,700 | 43,771 | ||||
GoPro, Inc. Class A (a) (b) | 20,422 | 97,209 | ||||
Green Brick Partners, Inc. (a) | 3,802 | 45,054 | ||||
Hamilton Beach Brands Holding Co. Class A | 1,017 | 12,102 | ||||
Helen of Troy, Ltd. (a) | 3,455 | 651,475 | ||||
Hooker Furniture Corp. | 1,800 | 35,010 | ||||
Installed Building Products, Inc. (a) | 3,500 | 240,730 | ||||
iRobot Corp. (a) | 3,700 | 310,430 | ||||
KB Home | 11,800 | 362,024 | ||||
La-Z-Boy, Inc. | 5,633 | 152,429 | ||||
Legacy Housing Corp. (a) | 820 | 11,660 | ||||
LGI Homes, Inc. (a) (b) | 3,200 | 281,696 | ||||
Lifetime Brands, Inc. | 1,700 | 11,424 | ||||
Lovesac Co. (a) (b) | 1,346 | 35,305 | ||||
M/I Homes, Inc. (a) | 4,300 | 148,092 | ||||
MDC Holdings, Inc. | 6,671 | 238,155 | ||||
Meritage Homes Corp. (a) | 4,958 | 377,403 | ||||
Purple Innovation, Inc. (a) (b) | 1,296 | 23,328 | ||||
Skyline Champion Corp. (a) | 8,100 | 197,154 | ||||
Sonos, Inc. (a) (b) | 10,030 | 146,739 | ||||
Taylor Morrison Home Corp. (a) | 16,848 | 324,998 | ||||
Tempur Sealy International, Inc. (a) | 6,449 | 464,005 | ||||
Toll Brothers, Inc. | 15,783 | 514,368 | ||||
TopBuild Corp. (a) | 4,519 | 514,127 | ||||
TRI Pointe Group, Inc. (a) | 16,983 | 249,480 | ||||
Tupperware Brands Corp. | 7,581 | 36,010 | ||||
Turtle Beach Corp. (a) | 2,000 | 29,440 | ||||
Universal Electronics, Inc. (a) | 2,139 | 100,148 | ||||
VOXX International Corp. (a) | 3,000 | 17,340 | ||||
6,096,200 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 1,600 | 57,584 | ||||
Central Garden & Pet Co. Class A (a) | 6,000 | 202,740 | ||||
Energizer Holdings, Inc. (b) | 8,412 | 399,486 | ||||
Oil-Dri Corp. of America | 848 | 29,425 | ||||
Reynolds Consumer Products, Inc. | 6,400 | 222,336 | ||||
Spectrum Brands Holdings, Inc. | 5,669 | 260,207 | ||||
WD-40 Co. | 1,846 | 366,062 | ||||
1,537,840 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.3% | ||||||
Atlantic Power Corp. (a) | 16,656 | 33,312 | ||||
Clearway Energy, Inc. Class A | 5,600 | 117,432 | ||||
Clearway Energy, Inc. Class C | 10,500 | 242,130 | ||||
Ormat Technologies, Inc. | 5,388 | 342,084 | ||||
Sunnova Energy International, Inc. (a) (b) | 5,000 | 85,350 | ||||
TerraForm Power, Inc. Class A | 12,659 | 233,432 | ||||
Vistra Energy Corp. | 67,407 | 1,255,118 | ||||
2,308,858 |
Security Description | Shares | Value | ||||
INDUSTRIAL CONGLOMERATES — 0.1% | ||||||
Carlisle Cos., Inc. | 7,421 | $ 888,071 | ||||
Raven Industries, Inc. | 5,700 | 122,607 | ||||
1,010,678 | ||||||
INSURANCE — 3.0% | ||||||
Alleghany Corp. | 1,907 | 932,790 | ||||
Ambac Financial Group, Inc. (a) | 7,194 | 103,018 | ||||
American Equity Investment Life Holding Co. | 11,972 | 295,828 | ||||
American Financial Group, Inc. | 10,052 | 637,900 | ||||
American National Insurance Co. | 1,180 | 85,043 | ||||
AMERISAFE, Inc. | 2,481 | 151,738 | ||||
Arch Capital Group, Ltd. (a) | 54,483 | 1,560,938 | ||||
Argo Group International Holdings, Ltd. | 4,160 | 144,893 | ||||
Assured Guaranty, Ltd. | 11,119 | 271,415 | ||||
Athene Holding, Ltd. Class A (a) | 15,701 | 489,714 | ||||
Axis Capital Holdings, Ltd. | 11,299 | 458,287 | ||||
Benefytt Technologies, Inc. (a) | 1,600 | 32,736 | ||||
Brighthouse Financial, Inc. (a) | 13,273 | 369,255 | ||||
Brown & Brown, Inc. | 32,585 | 1,328,165 | ||||
BRP Group, Inc. Class A (a) | 2,805 | 48,442 | ||||
Citizens, Inc. (a) (b) | 7,800 | 46,722 | ||||
CNA Financial Corp. | 4,291 | 137,956 | ||||
CNO Financial Group, Inc. | 18,979 | 295,503 | ||||
Crawford & Co. Class A | 2,600 | 20,514 | ||||
Donegal Group, Inc. Class A | 1,600 | 22,752 | ||||
eHealth, Inc. (a) | 3,682 | 361,720 | ||||
Employers Holdings, Inc. | 4,500 | 135,675 | ||||
Enstar Group, Ltd. (a) | 1,541 | 235,418 | ||||
Erie Indemnity Co. Class A | 3,486 | 668,963 | ||||
FBL Financial Group, Inc. Class A | 1,526 | 54,768 | ||||
FedNat Holding Co. | 1,790 | 19,815 | ||||
Fidelity National Financial, Inc. | 37,984 | 1,164,589 | ||||
First American Financial Corp. | 14,848 | 713,001 | ||||
Genworth Financial, Inc. Class A (a) | 76,700 | 177,177 | ||||
Global Indemnity, Ltd. | 1,354 | 32,415 | ||||
Goosehead Insurance, Inc. Class A (a) (b) | 1,830 | 137,543 | ||||
Greenlight Capital Re, Ltd. Class A (a) (b) | 4,600 | 29,992 | ||||
Hanover Insurance Group, Inc. | 5,110 | 517,796 | ||||
HCI Group, Inc. | 973 | 44,933 | ||||
Heritage Insurance Holdings, Inc. | 4,099 | 53,656 | ||||
Horace Mann Educators Corp. | 5,400 | 198,342 | ||||
Independence Holding Co. | 805 | 24,625 | ||||
Investors Title Co. | 218 | 26,448 | ||||
James River Group Holdings, Ltd. | 3,800 | 171,000 | ||||
Kemper Corp. | 8,407 | 609,676 | ||||
Kinsale Capital Group, Inc. | 2,801 | 434,743 | ||||
Markel Corp. (a) | 1,877 | 1,732,790 | ||||
MBIA, Inc. (a) | 11,963 | 86,732 | ||||
Mercury General Corp. | 3,437 | 140,058 | ||||
National General Holdings Corp. | 8,799 | 190,146 | ||||
National Western Life Group, Inc. Class A | 362 | 73,555 |
Security Description | Shares | Value | ||||
NI Holdings, Inc. (a) | 1,500 | $ 22,155 | ||||
Old Republic International Corp. | 38,662 | 630,577 | ||||
Palomar Holdings, Inc. (a) | 2,510 | 215,258 | ||||
Primerica, Inc. | 5,479 | 638,851 | ||||
ProAssurance Corp. | 8,531 | 123,444 | ||||
ProSight Global, Inc. (a) | 1,300 | 11,570 | ||||
Protective Insurance Corp. Class B | 1,400 | 21,098 | ||||
Reinsurance Group of America, Inc. | 9,267 | 726,903 | ||||
RenaissanceRe Holdings, Ltd. | 6,761 | 1,156,334 | ||||
RLI Corp. | 5,368 | 440,713 | ||||
Safety Insurance Group, Inc. | 1,886 | 143,826 | ||||
Selective Insurance Group, Inc. | 7,998 | 421,814 | ||||
State Auto Financial Corp. | 2,700 | 48,195 | ||||
Stewart Information Services Corp. | 3,749 | 121,880 | ||||
Third Point Reinsurance, Ltd. (a) | 11,700 | 87,867 | ||||
Tiptree, Inc. | 3,900 | 25,155 | ||||
Trupanion, Inc. (a) | 4,469 | 190,782 | ||||
United Fire Group, Inc. | 3,363 | 93,189 | ||||
United Insurance Holdings Corp. | 3,200 | 25,024 | ||||
Universal Insurance Holdings, Inc. | 4,717 | 83,727 | ||||
Vericity, Inc. | 300 | 3,189 | ||||
Watford Holdings, Ltd. (a) | 2,800 | 46,732 | ||||
White Mountains Insurance Group, Ltd. | 400 | 355,188 | ||||
21,102,656 | ||||||
INTERNET & CATALOG RETAIL — 0.0% (e) | ||||||
US Auto Parts Network, Inc. (a) | 3,200 | 27,712 | ||||
INTERACTIVE MEDIA & SERVICES — 1.2% | ||||||
Cargurus, Inc. (a) (b) | 12,100 | 306,735 | ||||
Cars.com, Inc. (a) | 10,700 | 61,632 | ||||
DHI Group, Inc. (a) | 8,000 | 16,800 | ||||
Eventbrite, Inc. Class A (a) | 6,500 | 55,705 | ||||
EverQuote, Inc. Class A (a) | 1,400 | 81,424 | ||||
IAC/InterActiveCorp (a) | 10,471 | 3,386,321 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 11,300 | 24,069 | ||||
Match Group, Inc. (a) (b) | 8,750 | 936,688 | ||||
Meet Group, Inc. (a) | 12,100 | 75,504 | ||||
Pinterest, Inc. Class A (a) | 55,500 | 1,230,435 | ||||
QuinStreet, Inc. (a) | 7,298 | 76,337 | ||||
TripAdvisor, Inc. | 13,300 | 252,833 | ||||
TrueCar, Inc. (a) | 16,466 | 42,482 | ||||
Veritone, Inc. (a) | 3,500 | 52,010 | ||||
Yelp, Inc. (a) | 9,091 | 210,275 | ||||
Zillow Group, Inc. Class A (a) | 7,783 | 447,367 | ||||
Zillow Group, Inc. Class C (a) (b) | 18,683 | 1,076,328 | ||||
8,332,945 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.9% | ||||||
1-800-Flowers.com, Inc. Class A (a) | 4,000 | 80,080 | ||||
Duluth Holdings, Inc. Class B (a) (b) | 1,896 | 13,974 | ||||
Etsy, Inc. (a) | 16,408 | 1,743,022 | ||||
Groupon, Inc. (a) (b) | 3,611 | 65,431 | ||||
GrubHub, Inc. (a) | 12,664 | 890,279 | ||||
Lands' End, Inc. (a) | 1,700 | 13,668 |
Security Description | Shares | Value | ||||
Liquidity Services, Inc. (a) | 4,124 | $ 24,579 | ||||
Overstock.com, Inc. (a) | 6,000 | 170,580 | ||||
PetMed Express, Inc. (b) | 3,300 | 117,612 | ||||
Quotient Technology, Inc. (a) | 11,971 | 87,628 | ||||
Qurate Retail, Inc. Class A (a) | 51,716 | 491,302 | ||||
RealReal, Inc. (a) (b) | 8,900 | 113,831 | ||||
Rubicon Project, Inc. (a) (b) | 15,582 | 103,932 | ||||
Shutterstock, Inc. | 3,050 | 106,658 | ||||
Stamps.com, Inc. (a) | 2,183 | 400,995 | ||||
Stitch Fix, Inc. Class A (a) (b) | 7,000 | 174,580 | ||||
Waitr Holdings, Inc. (a) (b) | 10,013 | 26,334 | ||||
Wayfair, Inc. Class A (a) (b) | 9,154 | 1,808,922 | ||||
6,433,407 | ||||||
IT SERVICES — 4.6% | ||||||
Alliance Data Systems Corp. | 6,500 | 293,280 | ||||
Amdocs, Ltd. | 18,335 | 1,116,235 | ||||
Black Knight, Inc. (a) | 20,000 | 1,451,200 | ||||
Booz Allen Hamilton Holding Corp. | 19,019 | 1,479,488 | ||||
Brightcove, Inc. (a) | 6,171 | 48,627 | ||||
CACI International, Inc. Class A (a) | 3,392 | 735,657 | ||||
Cardtronics PLC Class A (a) | 5,928 | 142,153 | ||||
Cass Information Systems, Inc. | 2,236 | 87,271 | ||||
Conduent, Inc. (a) | 25,100 | 59,989 | ||||
CSG Systems International, Inc. | 5,000 | 206,950 | ||||
Endurance International Group Holdings, Inc. (a) | 11,235 | 45,277 | ||||
EPAM Systems, Inc. (a) | 7,327 | 1,846,477 | ||||
Euronet Worldwide, Inc. (a) | 6,869 | 658,188 | ||||
EVERTEC, Inc. | 7,900 | 221,990 | ||||
Evo Payments, Inc. Class A (a) | 5,100 | 116,433 | ||||
ExlService Holdings, Inc. (a) | 4,437 | 281,306 | ||||
Fastly, Inc. Class A (a) | 10,000 | 851,300 | ||||
Genpact, Ltd. | 25,860 | 944,407 | ||||
GoDaddy, Inc. Class A (a) | 22,922 | 1,680,870 | ||||
GreenSky, Inc. Class A (a) | 9,400 | 46,060 | ||||
Grid Dynamics Holdings, Inc. (a) | 3,300 | 22,770 | ||||
GTT Communications, Inc. (a) (b) | 5,295 | 43,207 | ||||
Hackett Group, Inc. | 3,890 | 52,671 | ||||
I3 Verticals, Inc. Class A (a) (b) | 2,300 | 69,575 | ||||
Information Services Group, Inc. (a) | 5,600 | 11,592 | ||||
International Money Express, Inc. (a) | 2,800 | 34,888 | ||||
KBR, Inc. | 19,226 | 433,546 | ||||
Limelight Networks, Inc. (a) | 18,310 | 134,762 | ||||
LiveRamp Holdings, Inc. (a) | 8,785 | 373,099 | ||||
ManTech International Corp. Class A | 3,558 | 243,687 | ||||
MAXIMUS, Inc. | 8,326 | 586,567 | ||||
MoneyGram International, Inc. (a) | 9,400 | 30,174 | ||||
MongoDB, Inc. (a) (b) | 5,777 | 1,307,566 | ||||
NIC, Inc. | 8,500 | 195,160 | ||||
Okta, Inc. (a) | 16,013 | 3,206,283 | ||||
Paysign, Inc. (a) | 4,700 | 45,637 | ||||
Perficient, Inc. (a) | 5,100 | 182,478 | ||||
Perspecta, Inc. | 18,700 | 434,401 | ||||
PFSweb, Inc. (a) | 2,100 | 14,028 | ||||
Priority Technology Holdings, Inc. (a) | 1,165 | 3,017 |
Security Description | Shares | Value | ||||
Repay Holdings Corp. (a) | 5,600 | $ 137,928 | ||||
Sabre Corp. | 36,835 | 296,890 | ||||
Science Applications International Corp. | 7,882 | 612,274 | ||||
ServiceSource International, Inc. (a) | 13,200 | 20,856 | ||||
Square, Inc. Class A (a) | 50,375 | 5,286,353 | ||||
StarTek, Inc. (a) | 2,500 | 12,700 | ||||
StoneCo, Ltd. Class A (a) | 21,300 | 825,588 | ||||
Switch, Inc. Class A | 13,500 | 240,570 | ||||
Sykes Enterprises, Inc. (a) | 6,153 | 170,192 | ||||
TTEC Holdings, Inc. | 2,755 | 128,273 | ||||
Tucows, Inc. Class A (a) (b) | 1,524 | 87,356 | ||||
Twilio, Inc. Class A (a) | 17,912 | 3,930,251 | ||||
Unisys Corp. (a) | 8,700 | 94,917 | ||||
Verra Mobility Corp. (a) | 20,500 | 210,740 | ||||
Virtusa Corp. (a) | 4,600 | 149,362 | ||||
WEX, Inc. (a) | 5,992 | 988,740 | ||||
32,931,256 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 0.6% | ||||||
Acushnet Holdings Corp. | 5,200 | 180,908 | ||||
Brunswick Corp. | 10,844 | 694,124 | ||||
Callaway Golf Co. | 14,212 | 248,852 | ||||
Clarus Corp. | 3,658 | 42,360 | ||||
Escalade, Inc. | 1,700 | 23,732 | ||||
Johnson Outdoors, Inc. Class A | 937 | 85,286 | ||||
Malibu Boats, Inc. Class A (a) | 3,240 | 168,318 | ||||
Marine Products Corp. | 1,080 | 14,958 | ||||
MasterCraft Boat Holdings, Inc. (a) | 2,865 | 54,578 | ||||
Mattel, Inc. (a) (b) | 46,600 | 450,622 | ||||
Nautilus, Inc. (a) | 4,500 | 41,715 | ||||
Peloton Interactive, Inc. Class A (a) | 13,400 | 774,118 | ||||
Polaris, Inc. | 7,933 | 734,199 | ||||
Smith & Wesson Brands, Inc. (a) | 8,288 | 178,358 | ||||
Sturm Ruger & Co., Inc. | 2,185 | 166,060 | ||||
Vista Outdoor, Inc. (a) | 8,821 | 127,463 | ||||
YETI Holdings, Inc. (a) | 9,934 | 424,480 | ||||
4,410,131 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.5% | ||||||
10X Genomics, Inc. Class A (a) | 7,400 | 660,894 | ||||
Adaptive Biotechnologies Corp. (a) | 9,600 | 464,448 | ||||
Avantor, Inc. (a) | 56,700 | 963,900 | ||||
Bio-Techne Corp. | 5,264 | 1,390,065 | ||||
Bruker Corp. | 14,108 | 573,913 | ||||
Champions Oncology, Inc. (a) | 1,100 | 10,516 | ||||
Charles River Laboratories International, Inc. (a) | 6,721 | 1,171,806 | ||||
ChromaDex Corp. (a) (b) | 6,400 | 29,376 | ||||
Codexis, Inc. (a) | 9,000 | 102,600 | ||||
Fluidigm Corp. (a) | 12,444 | 49,900 | ||||
Harvard Bioscience, Inc. (a) | 5,700 | 17,670 | ||||
Luminex Corp. | 5,451 | 177,321 | ||||
Medpace Holdings, Inc. (a) | 3,600 | 334,872 | ||||
NanoString Technologies, Inc. (a) (b) | 5,500 | 161,425 | ||||
NeoGenomics, Inc. (a) | 13,900 | 430,622 |
Security Description | Shares | Value | ||||
Pacific Biosciences of California, Inc. (a) (b) | 22,600 | $ 77,970 | ||||
Personalis, Inc. (a) | 2,900 | 37,613 | ||||
PPD, Inc. (a) | 9,500 | 254,600 | ||||
PRA Health Sciences, Inc. (a) | 8,707 | 847,104 | ||||
QIAGEN NV (a) (b) | 31,081 | 1,330,578 | ||||
Quanterix Corp. (a) (b) | 2,100 | 57,519 | ||||
Repligen Corp. (a) | 7,144 | 883,070 | ||||
Syneos Health, Inc. (a) | 8,494 | 494,776 | ||||
10,522,558 | ||||||
MACHINERY — 2.7% | ||||||
AGCO Corp. | 8,421 | �� | 467,029 | |||
Alamo Group, Inc. | 1,561 | 160,221 | ||||
Albany International Corp. Class A | 4,648 | 272,884 | ||||
Allison Transmission Holdings, Inc. | 15,412 | 566,853 | ||||
Altra Industrial Motion Corp. | 8,474 | 269,982 | ||||
Astec Industries, Inc. | 3,540 | 163,937 | ||||
Barnes Group, Inc. | 6,214 | 245,826 | ||||
Blue Bird Corp. (a) | 2,422 | 36,306 | ||||
Chart Industries, Inc. (a) | 4,700 | 227,903 | ||||
CIRCOR International, Inc. (a) | 3,047 | 77,638 | ||||
Colfax Corp. (a) | 13,327 | 371,823 | ||||
Columbus McKinnon Corp. | 3,920 | 131,124 | ||||
Crane Co. | 6,548 | 389,344 | ||||
Donaldson Co., Inc. | 17,409 | 809,867 | ||||
Douglas Dynamics, Inc. | 3,577 | 125,624 | ||||
Eastern Co. | 821 | 14,671 | ||||
Energy Recovery, Inc. (a) (b) | 5,900 | 44,811 | ||||
Enerpac Tool Group Corp. | 8,800 | 154,880 | ||||
EnPro Industries, Inc. | 3,145 | 155,017 | ||||
ESCO Technologies, Inc. | 3,428 | 289,769 | ||||
Evoqua Water Technologies Corp. (a) | 12,100 | 225,060 | ||||
ExOne Co. (a) | 1,700 | 14,535 | ||||
Federal Signal Corp. | 7,800 | 231,894 | ||||
Franklin Electric Co., Inc. | 6,149 | 322,945 | ||||
Gates Industrial Corp. PLC (a) | 6,800 | 69,904 | ||||
Gencor Industries, Inc. (a) | 1,461 | 18,467 | ||||
Gorman-Rupp Co. | 2,800 | 87,024 | ||||
Graco, Inc. | 22,754 | 1,091,964 | ||||
Graham Corp. | 1,500 | 19,110 | ||||
Greenbrier Cos., Inc. | 5,094 | 115,889 | ||||
Helios Technologies, Inc. | 3,748 | 139,613 | ||||
Hillenbrand, Inc. | 9,768 | 264,420 | ||||
Hurco Cos., Inc. | 1,056 | 29,536 | ||||
Hyster-Yale Materials Handling, Inc. | 1,589 | 61,431 | ||||
ITT, Inc. | 11,888 | 698,301 | ||||
John Bean Technologies Corp. | 4,229 | 363,779 | ||||
Kadant, Inc. | 1,792 | 178,591 | ||||
Kennametal, Inc. | 11,017 | 316,298 | ||||
LB Foster Co. Class A (a) | 1,600 | 20,432 | ||||
Lincoln Electric Holdings, Inc. | 7,844 | 660,779 | ||||
Lindsay Corp. | 1,670 | 153,991 | ||||
Luxfer Holdings PLC | 4,331 | 61,284 | ||||
Lydall, Inc. (a) | 2,645 | 35,866 | ||||
Manitowoc Co., Inc (a) | 5,175 | 56,304 | ||||
Mayville Engineering Co., Inc. (a) | 1,090 | 8,611 |
Security Description | Shares | Value | ||||
Meritor, Inc. (a) | 10,500 | $ 207,900 | ||||
Middleby Corp. (a) | 7,510 | 592,839 | ||||
Miller Industries, Inc. | 1,765 | 52,544 | ||||
Mueller Industries, Inc. | 7,284 | 193,609 | ||||
Mueller Water Products, Inc. Class A | 23,800 | 224,434 | ||||
Navistar International Corp. (a) | 6,400 | 180,480 | ||||
NN, Inc. | 6,616 | 31,360 | ||||
Nordson Corp. | 7,930 | 1,504,400 | ||||
Omega Flex, Inc. | 549 | 58,084 | ||||
Oshkosh Corp. | 9,232 | 661,196 | ||||
Park-Ohio Holdings Corp. | 1,311 | 21,749 | ||||
Proto Labs, Inc. (a) | 3,644 | 409,841 | ||||
RBC Bearings, Inc. (a) | 3,299 | 442,198 | ||||
REV Group, Inc. | 4,300 | 26,230 | ||||
Rexnord Corp. | 14,290 | 416,553 | ||||
Shyft Group, Inc. | 5,400 | 90,936 | ||||
SPX Corp. (a) | 6,500 | 267,475 | ||||
SPX FLOW, Inc. (a) | 5,500 | 205,920 | ||||
Standex International Corp. | 1,960 | 112,798 | ||||
Tennant Co. | 2,324 | 151,083 | ||||
Terex Corp. | 10,090 | 189,389 | ||||
Timken Co. | 8,592 | 390,850 | ||||
Toro Co. | 14,741 | 977,918 | ||||
TriMas Corp. (a) | 6,600 | 158,070 | ||||
Trinity Industries, Inc. | 12,069 | 256,949 | ||||
Wabash National Corp. | 8,487 | 90,132 | ||||
Watts Water Technologies, Inc. Class A | 3,626 | 293,706 | ||||
Welbilt, Inc. (a) | 20,620 | 125,576 | ||||
Woodward, Inc. | 7,550 | 585,502 | ||||
19,141,258 | ||||||
MARINE — 0.1% | ||||||
Costamare, Inc. | 8,000 | 44,480 | ||||
Eagle Bulk Shipping, Inc. (a) (b) | 7,100 | 15,549 | ||||
Genco Shipping & Trading, Ltd. | 2,400 | 15,072 | ||||
Kirby Corp. (a) | 8,040 | 430,622 | ||||
Matson, Inc. | 5,482 | 159,526 | ||||
Pangaea Logistics Solutions, Ltd. | 1,600 | 4,016 | ||||
Safe Bulkers, Inc. (a) | 9,060 | 11,053 | ||||
Scorpio Bulkers, Inc. | 865 | 13,235 | ||||
693,553 | ||||||
MEDIA — 1.5% | ||||||
Altice USA, Inc. Class A (a) | 44,600 | 1,005,284 | ||||
AMC Networks, Inc. Class A (a) | 5,886 | 137,674 | ||||
Boston Omaha Corp. Class A (a) | 1,665 | 26,640 | ||||
Cable One, Inc. | 709 | 1,258,369 | ||||
Cardlytics, Inc. (a) (b) | 3,373 | 236,043 | ||||
Central European Media Enterprises, Ltd. Class A (a) | 13,900 | 49,206 | ||||
comScore, Inc. (a) | 7,600 | 23,560 | ||||
Daily Journal Corp. (a) (b) | 182 | 49,140 | ||||
Emerald Holding, Inc. | 3,500 | 10,780 | ||||
Entercom Communications Corp. Class A (b) | 18,700 | 25,806 |
Security Description | Shares | Value | ||||
Entravision Communications Corp. Class A | 9,500 | $ 13,585 | ||||
EW Scripps Co. Class A | 9,597 | 83,974 | ||||
Fluent, Inc. (a) | 7,613 | 13,551 | ||||
Gannett Co., Inc. (b) | 18,414 | 25,411 | ||||
Gray Television, Inc. (a) | 13,600 | 189,720 | ||||
Hemisphere Media Group, Inc. (a) | 2,700 | 26,541 | ||||
iHeartMedia, Inc. Class A (a) | 9,100 | 75,985 | ||||
John Wiley & Sons, Inc. Class A | 6,550 | 255,450 | ||||
Liberty Broadband Corp. Class A (a) | 3,390 | 414,224 | ||||
Liberty Broadband Corp. Class C (a) | 14,551 | 1,803,742 | ||||
Liberty Latin America, Ltd. Class A (a) | 7,288 | 70,839 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 11,204 | 386,762 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 23,852 | 821,701 | ||||
Loral Space & Communications, Inc. | 2,000 | 39,040 | ||||
Meredith Corp. (b) | 6,801 | 98,955 | ||||
MSG Networks, Inc. Class A (a) (b) | 6,822 | 67,879 | ||||
National CineMedia, Inc. | 9,700 | 28,809 | ||||
New York Times Co. Class A (b) | 22,469 | 944,372 | ||||
Nexstar Media Group, Inc. Class A | 5,961 | 498,876 | ||||
Progenic Pharmaceuticals, Inc. | 13,803 | 6,864 | ||||
Saga Communications, Inc. Class A | 644 | 16,486 | ||||
Scholastic Corp. | 4,695 | 140,568 | ||||
Sinclair Broadcast Group, Inc. Class A (b) | 7,862 | 145,133 | ||||
Sirius XM Holdings, Inc. | 162,328 | 952,865 | ||||
TechTarget, Inc. (a) | 3,700 | 111,111 | ||||
TEGNA, Inc. | 29,283 | 326,213 | ||||
WideOpenWest, Inc. (a) | 3,800 | 20,026 | ||||
Tribune Publishing Co. | 2,700 | 26,973 | ||||
10,428,157 | ||||||
METALS & MINING — 0.9% | ||||||
Alcoa Corp. (a) | 24,821 | 278,988 | ||||
Allegheny Technologies, Inc. (a) (b) | 16,337 | 166,474 | ||||
Arconic Corp. (a) | 12,800 | 178,304 | ||||
Caledonia Mining Corp. PLC | 1,700 | 29,444 | ||||
Carpenter Technology Corp. | 6,055 | 147,015 | ||||
Century Aluminum Co. (a) | 7,800 | 55,614 | ||||
Cleveland-Cliffs, Inc. | 52,302 | 288,707 | ||||
Coeur Mining, Inc. (a) | 38,200 | 194,056 | ||||
Commercial Metals Co. | 15,847 | 323,279 | ||||
Compass Minerals International, Inc. | 4,414 | 215,182 | ||||
Ferroglobe Representation & Warranty Insurance Trust (a) (d) | 2,200 | — | ||||
Gold Resource Corp. | 9,500 | 39,045 | ||||
Haynes International, Inc. | 2,000 | 46,720 | ||||
Hecla Mining Co. | 79,337 | 259,432 | ||||
Kaiser Aluminum Corp. | 2,041 | 150,258 | ||||
Materion Corp. | 2,555 | 157,107 | ||||
Novagold Resources, Inc. (a) | 31,500 | 289,170 | ||||
Olympic Steel, Inc. | 1,400 | 16,450 | ||||
Reliance Steel & Aluminum Co. | 8,748 | 830,448 | ||||
Royal Gold, Inc. | 9,086 | 1,129,572 |
Security Description | Shares | Value | ||||
Ryerson Holding Corp. (a) | 2,500 | $ 14,075 | ||||
Schnitzer Steel Industries, Inc. Class A | 4,172 | 73,594 | ||||
Southern Copper Corp. | 11,169 | 444,191 | ||||
Steel Dynamics, Inc. | 27,806 | 725,459 | ||||
SunCoke Energy, Inc. | 11,100 | 32,856 | ||||
TimkenSteel Corp. (a) | 6,314 | 24,561 | ||||
United States Steel Corp. (b) | 33,299 | 240,419 | ||||
Warrior Met Coal, Inc. | 8,200 | 126,198 | ||||
Worthington Industries, Inc. | 5,600 | 208,880 | ||||
6,685,498 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 0.9% | ||||||
AGNC Investment Corp. REIT | 78,279 | 1,009,799 | ||||
Annaly Capital Management, Inc. REIT | 197,943 | 1,298,506 | ||||
Anworth Mortgage Asset Corp. REIT (b) | 15,300 | 26,010 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 23,540 | 230,927 | ||||
Arbor Realty Trust, Inc. REIT | 15,700 | 145,068 | ||||
Ares Commercial Real Estate Corp. REIT | 4,900 | 44,688 | ||||
Arlington Asset Investment Corp. Class A REIT | 5,700 | 16,929 | ||||
ARMOUR Residential REIT, Inc. | 9,400 | 88,266 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT (b) | 18,566 | 447,255 | ||||
Broadmark Realty Capital, Inc. REIT | 19,600 | 185,612 | ||||
Capstead Mortgage Corp. REIT | 16,411 | 90,096 | ||||
Cherry Hill Mortgage Investment Corp. REIT | 2,545 | 22,956 | ||||
Chimera Investment Corp. REIT | 25,245 | 242,605 | ||||
Colony Credit Real Estate, Inc. REIT | 12,800 | 89,856 | ||||
Dynex Capital, Inc. REIT (b) | 3,500 | 50,050 | ||||
Ellington Financial, Inc. REIT (b) | 6,300 | 74,214 | ||||
Ellington Residential Mortgage REIT | 1,400 | 14,420 | ||||
Granite Point Mortgage Trust, Inc. REIT (b) | 8,434 | 60,556 | ||||
Great Ajax Corp. REIT (b) | 2,786 | 25,631 | ||||
Invesco Mortgage Capital, Inc. REIT (b) | 28,980 | 108,385 | ||||
KKR Real Estate Finance Trust, Inc. REIT (b) | 4,000 | 66,320 | ||||
Ladder Capital Corp. REIT | 17,427 | 141,159 | ||||
MFA Financial, Inc. REIT | 57,536 | 143,265 | ||||
New Residential Investment Corp. REIT | 56,000 | 416,080 | ||||
New York Mortgage Trust, Inc. REIT | 60,100 | 156,861 | ||||
Orchid Island Capital, Inc. REIT (b) | 10,100 | 47,571 | ||||
PennyMac Mortgage Investment Trust REIT | 15,041 | 263,669 | ||||
Ready Capital Corp. REIT | 5,969 | 51,871 | ||||
Redwood Trust, Inc. REIT | 17,800 | 124,600 | ||||
TPG RE Finance Trust, Inc. REIT | 7,752 | 66,667 | ||||
Two Harbors Investment Corp. REIT (b) | 35,357 | 178,199 |
Security Description | Shares | Value | ||||
Western Asset Mortgage Capital Corp. REIT (b) | 8,128 | $ 22,271 | ||||
Starwood Property Trust, Inc. REIT | 37,248 | 557,230 | ||||
6,507,592 | ||||||
MULTI-UTILITIES — 0.3% | ||||||
Avista Corp. | 9,000 | 327,510 | ||||
Black Hills Corp. | 8,505 | 481,893 | ||||
MDU Resources Group, Inc. | 27,237 | 604,117 | ||||
NorthWestern Corp. | 6,755 | 368,283 | ||||
Unitil Corp. | 2,338 | 104,789 | ||||
1,886,592 | ||||||
MULTILINE RETAIL — 0.2% | ||||||
Big Lots, Inc. | 5,120 | 215,040 | ||||
Dillard's, Inc. Class A (b) | 1,605 | 41,393 | ||||
Macy's, Inc. (b) | 41,300 | 284,144 | ||||
Nordstrom, Inc. (b) | 14,400 | 223,056 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 7,295 | 712,357 | ||||
1,475,990 | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.3% | ||||||
Adams Resources & Energy, Inc. | 300 | 8,031 | ||||
Antero Midstream Corp. (b) | 39,100 | 199,410 | ||||
Antero Resources Corp. (a) | 36,874 | 93,660 | ||||
Arch Resources, Inc. | 2,394 | 68,014 | ||||
Ardmore Shipping Corp. | 5,200 | 22,568 | ||||
Berry Corp. | 9,800 | 47,334 | ||||
Bonanza Creek Energy, Inc. (a) | 3,000 | 44,460 | ||||
Brigham Minerals, Inc. Class A | 5,000 | 61,750 | ||||
California Resources Corp. (a) (b) | 7,647 | 9,329 | ||||
Cheniere Energy, Inc. (a) | 32,047 | 1,548,511 | ||||
Cimarex Energy Co. | 13,500 | 371,115 | ||||
Clean Energy Fuels Corp. (a) | 20,900 | 46,398 | ||||
CNX Resources Corp. (a) | 28,200 | 243,930 | ||||
Comstock Resources, Inc. (a) | 2,700 | 11,826 | ||||
CONSOL Energy, Inc. (a) | 4,025 | 20,407 | ||||
Contango Oil & Gas Co. (a) | 13,600 | 31,144 | ||||
Continental Resources, Inc. (b) | 11,447 | 200,666 | ||||
CVR Energy, Inc. | 4,700 | 94,517 | ||||
Delek US Holdings, Inc. | 9,508 | 165,534 | ||||
DHT Holdings, Inc. | 17,566 | 90,114 | ||||
Diamond Shipping, Inc. (a) (b) | 4,196 | 33,526 | ||||
Dorian LPG, Ltd. (a) | 4,258 | 32,957 | ||||
Earthstone Energy, Inc. Class A (a) (b) | 2,785 | 7,909 | ||||
Energy Fuels, Inc. (a) (b) | 15,201 | 22,954 | ||||
EQT Corp. | 34,400 | 409,360 | ||||
Equitrans Midstream Corp. (b) | 55,340 | 459,875 | ||||
Evolution Petroleum Corp. | 4,229 | 11,841 | ||||
Falcon Minerals Corp. (b) | 6,000 | 19,200 | ||||
Frontline, Ltd. | 17,900 | 124,942 | ||||
Golar LNG, Ltd. | 15,098 | 109,310 | ||||
Goodrich Petroleum Corp. (a) (b) | 1,402 | 10,094 | ||||
Green Plains, Inc. (a) | 5,438 | 55,549 | ||||
Gulfport Energy Corp. (a) (b) | 25,000 | 27,250 |
Security Description | Shares | Value | ||||
International Seaways, Inc. | 3,997 | $ 65,311 | ||||
Kosmos Energy, Ltd. | 57,800 | 95,948 | ||||
Magnolia Oil & Gas Corp. Class A (a) | 16,100 | 97,566 | ||||
Matador Resources Co. (a) | 17,600 | 149,600 | ||||
Montage Resources Corp. (a) | 3,350 | 13,233 | ||||
Murphy Oil Corp. (b) | 19,300 | 266,340 | ||||
NACCO Industries, Inc. Class A | 586 | 13,654 | ||||
NextDecade Corp. (a) (b) | 2,007 | 4,335 | ||||
Nordic American Tankers, Ltd. | 22,140 | 89,888 | ||||
Overseas Shipholding Group, Inc. Class A (a) | 10,041 | 18,676 | ||||
Ovintiv, Inc. | 34,900 | 333,295 | ||||
Par Pacific Holdings, Inc. (a) | 5,589 | 50,245 | ||||
Parsley Energy, Inc. Class A | 40,804 | 435,787 | ||||
PBF Energy, Inc. Class A | 14,652 | 150,036 | ||||
PDC Energy, Inc. (a) | 15,200 | 189,088 | ||||
Peabody Energy Corp. | 10,003 | 28,809 | ||||
Penn Virginia Corp. (a) | 2,119 | 20,194 | ||||
PrimeEnergy Resources Corp. (a) | 73 | 5,190 | ||||
Range Resources Corp. | 33,400 | 188,042 | ||||
Renewable Energy Group, Inc. (a) | 5,925 | 146,822 | ||||
REX American Resources Corp. (a) | 904 | 62,710 | ||||
Scorpio Tankers, Inc. | 7,499 | 96,062 | ||||
SFL Corp., Ltd. | 13,600 | 126,344 | ||||
SM Energy Co. | 17,956 | 67,335 | ||||
Southwestern Energy Co. (a) (b) | 70,100 | 179,456 | ||||
Talos Energy, Inc. (a) | 1,700 | 15,640 | ||||
Targa Resources Corp. | 31,453 | 631,262 | ||||
Tellurian, Inc. (a) (b) | 14,727 | 16,936 | ||||
Uranium Energy Corp. (a) (b) | 28,200 | 24,751 | ||||
W&T Offshore, Inc. (a) (b) | 14,700 | 33,516 | ||||
Whiting Petroleum Corp. (a) | 14,100 | 15,933 | ||||
World Fuel Services Corp. | 9,549 | 245,982 | ||||
WPX Energy, Inc. (a) | 54,032 | 344,724 | ||||
8,926,195 | ||||||
PAPER & FOREST PRODUCTS — 0.2% | ||||||
Boise Cascade Co. | 5,100 | 191,811 | ||||
Clearwater Paper Corp. (a) | 2,607 | 94,191 | ||||
Domtar Corp. | 8,313 | 175,487 | ||||
Louisiana-Pacific Corp. | 15,102 | 387,366 | ||||
Neenah, Inc. | 2,680 | 132,553 | ||||
P.H. Glatfelter Co. | 6,900 | 110,745 | ||||
Schweitzer-Mauduit International, Inc. | 4,900 | 163,709 | ||||
Verso Corp. Class A | 5,529 | 66,127 | ||||
1,321,989 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
BellRing Brands, Inc. Class A (a) | 6,400 | 127,616 | ||||
Edgewell Personal Care Co. (a) | 7,079 | 220,582 | ||||
elf Beauty, Inc. (a) | 4,200 | 80,094 | ||||
Herbalife Nutrition, Ltd. (a) | 13,876 | 624,142 | ||||
Inter Parfums, Inc. | 2,800 | 134,820 | ||||
Lifevantage Corp. (a) | 2,200 | 29,744 | ||||
Medifast, Inc. (b) | 1,474 | 204,547 |
Security Description | Shares | Value | ||||
Nature's Sunshine Products, Inc. (a) | 1,300 | $ 11,713 | ||||
Nu Skin Enterprises, Inc. Class A | 6,858 | 262,181 | ||||
Revlon, Inc. Class A (a) (b) | 1,100 | 10,890 | ||||
USANA Health Sciences, Inc. (a) | 1,744 | 128,062 | ||||
Veru, Inc. (a) | 7,500 | 25,050 | ||||
1,859,441 | ||||||
PHARMACEUTICALS — 1.6% | ||||||
AcelRx Pharmaceuticals, Inc. (a) (b) | 12,200 | 14,762 | ||||
Aerie Pharmaceuticals, Inc. (a) | 5,600 | 82,656 | ||||
Agile Therapeutics, Inc. (a) | 10,300 | 28,634 | ||||
AMAG Pharmaceuticals, Inc. (a) (b) | 5,299 | 40,537 | ||||
Amneal Pharmaceuticals, Inc. (a) (b) | 15,090 | 71,828 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 5,700 | 128,022 | ||||
ANI Pharmaceuticals, Inc. (a) | 1,433 | 46,343 | ||||
Aquestive Therapeutics, Inc. (a) | 3,000 | 14,580 | ||||
Arvinas Holding Co. LLC (a) (b) | 3,400 | 114,036 | ||||
Avenue Therapeutics, Inc. (a) | 1,000 | 10,770 | ||||
Axsome Therapeutics, Inc. (a) (b) | 3,700 | 304,436 | ||||
Aytu BioScience, Inc. (a) | 3,500 | 4,970 | ||||
BioDelivery Sciences International, Inc. (a) | 13,100 | 57,116 | ||||
Cara Therapeutics, Inc. (a) (b) | 6,300 | 107,730 | ||||
Cassava Sciences, Inc. | 3,500 | 10,780 | ||||
Catalent, Inc. (a) | 21,299 | 1,561,217 | ||||
Cerecor, Inc. (a) | 3,300 | 8,580 | ||||
Chiasma, Inc. (a) (b) | 5,300 | 28,514 | ||||
Collegium Pharmaceutical, Inc. (a) (b) | 5,167 | 90,422 | ||||
Corcept Therapeutics, Inc. (a) (b) | 14,600 | 245,572 | ||||
CorMedix, Inc. (a) (b) | 4,000 | 25,200 | ||||
Cymabay Therapeutics, Inc. (a) | 10,730 | 37,448 | ||||
Durect Corp. (a) | 30,100 | 69,832 | ||||
Elanco Animal Health, Inc. (a) | 55,200 | 1,184,040 | ||||
Eloxx Pharmaceuticals, Inc. (a) (b) | 3,939 | 11,935 | ||||
Endo International PLC (a) | 34,400 | 117,992 | ||||
Eton Pharmaceuticals, Inc. (a) | 2,200 | 11,990 | ||||
Evofem Biosciences, Inc. (a) | 4,546 | 12,865 | ||||
Evolus, Inc. (a) (b) | 2,900 | 15,370 | ||||
Fulcrum Therapeutics, Inc. (a) (b) | 2,020 | 36,946 | ||||
Harrow Health, Inc. (a) | 3,400 | 17,714 | ||||
Horizon Therapeutics PLC (a) | 25,424 | 1,413,066 | ||||
IMARA, Inc. (a) | 800 | 22,104 | ||||
Innoviva, Inc. (a) | 9,653 | 134,949 | ||||
Intersect ENT, Inc. (a) | 4,830 | 65,398 | ||||
Intra-Cellular Therapies, Inc. (a) | 8,455 | 217,040 | ||||
Jazz Pharmaceuticals PLC (a) | 7,418 | 818,502 | ||||
Kala Pharmaceuticals, Inc. (a) (b) | 6,000 | 63,060 | ||||
Kaleido Biosciences, Inc. (a) | 2,000 | 14,860 | ||||
Lannett Co., Inc. (a) (b) | 5,097 | 37,004 | ||||
Liquidia Technologies, Inc. (a) (b) | 2,100 | 17,682 | ||||
Lyra Therapeutics, Inc. (a) | 600 | 6,804 | ||||
Mallinckrodt PLC (a) (b) | 13,127 | 35,180 | ||||
Marinus Pharmaceuticals, Inc. (a) | 13,090 | 33,249 | ||||
Menlo Therapeutics, Inc. (a) (b) | 7,393 | 12,790 | ||||
MyoKardia, Inc. (a) | 6,800 | 657,016 | ||||
Nektar Therapeutics (a) (b) | 23,600 | 546,576 |
Security Description | Shares | Value | ||||
NGM Biopharmaceuticals, Inc. (a) (b) | 3,525 | $ 69,584 | ||||
Ocular Therapeutix, Inc. (a) (b) | 6,600 | 54,978 | ||||
Odonate Therapeutics, Inc. (a) | 1,500 | 63,510 | ||||
Omeros Corp. (a) (b) | 8,562 | 126,033 | ||||
Optinose, Inc. (a) (b) | 4,200 | 31,248 | ||||
Osmotica Pharmaceuticals PLC (a) | 1,300 | 8,749 | ||||
Pacira BioSciences, Inc. (a) | 5,437 | 285,279 | ||||
Paratek Pharmaceuticals, Inc. (a) | 5,500 | 28,710 | ||||
Phathom Pharmaceuticals, Inc. (a) | 1,700 | 55,947 | ||||
Phibro Animal Health Corp. Class A | 3,300 | 86,691 | ||||
Prestige Consumer Healthcare, Inc. (a) (b) | 6,616 | 248,497 | ||||
Provention Bio, Inc. (a) | 6,400 | 90,304 | ||||
Reata Pharmaceuticals, Inc. Class A (a) | 3,236 | 504,881 | ||||
Recro Pharma, Inc. (a) | 3,100 | 14,105 | ||||
Relmada Therapeutics, Inc. (a) | 2,100 | 93,975 | ||||
Revance Therapeutics, Inc. (a) | 8,274 | 202,051 | ||||
Satsuma Pharmaceuticals, Inc. (a) | 800 | 23,008 | ||||
scPharmaceuticals, Inc. (a) | 800 | 5,888 | ||||
SIGA Technologies, Inc. (a) (b) | 8,600 | 50,826 | ||||
Strongbridge Biopharma PLC (a) | 6,500 | 24,570 | ||||
Supernus Pharmaceuticals, Inc. (a) | 6,200 | 147,250 | ||||
TherapeuticsMD, Inc. (a) (b) | 34,800 | 43,500 | ||||
Theravance Biopharma, Inc. (a) (b) | 7,004 | 147,014 | ||||
Tricida, Inc. (a) (b) | 3,470 | 95,356 | ||||
Verrica Pharmaceuticals, Inc. (a) (b) | 2,000 | 22,020 | ||||
WaVe Life Sciences, Ltd. (a) (b) | 3,610 | 37,580 | ||||
Xeris Pharmaceuticals, Inc. (a) (b) | 5,500 | 14,630 | ||||
Zogenix, Inc. (a) | 8,469 | 228,748 | ||||
11,413,049 | ||||||
PROFESSIONAL SERVICES — 1.6% | ||||||
Acacia Research Corp. (a) | 7,700 | 31,493 | ||||
Akerna Corp. (a) | 1,400 | 12,320 | ||||
ASGN, Inc. (a) | 6,886 | 459,158 | ||||
Barrett Business Services, Inc. | 1,139 | 60,515 | ||||
BG Staffing, Inc. | 1,552 | 17,569 | ||||
CBIZ, Inc. (a) | 6,500 | 155,805 | ||||
CoreLogic, Inc. | 10,900 | 732,698 | ||||
CoStar Group, Inc. (a) | 5,323 | 3,782,896 | ||||
CRA International, Inc. | 1,245 | 49,178 | ||||
Exponent, Inc. | 6,950 | 562,464 | ||||
Forrester Research, Inc. (a) | 1,700 | 54,468 | ||||
Franklin Covey Co. (a) | 1,583 | 33,876 | ||||
FTI Consulting, Inc. (a) | 4,934 | 565,190 | ||||
GP Strategies Corp. (a) | 2,000 | 17,160 | ||||
Heidrick & Struggles International, Inc. | 3,000 | 64,860 | ||||
Huron Consulting Group, Inc. (a) | 3,570 | 157,973 | ||||
ICF International, Inc. | 2,347 | 152,156 | ||||
Insperity, Inc. | 4,810 | 311,351 | ||||
Kelly Services, Inc. Class A | 5,295 | 83,740 | ||||
Kforce, Inc. | 3,200 | 93,600 | ||||
Korn Ferry | 8,355 | 256,749 | ||||
ManpowerGroup, Inc. | 7,853 | 539,894 |
Security Description | Shares | Value | ||||
Mastech Digital, Inc. (a) | 600 | $ 15,558 | ||||
Mistras Group, Inc. (a) | 2,858 | 11,289 | ||||
Red Violet, Inc. (a) | 1,000 | 17,640 | ||||
Resources Connection, Inc. | 4,800 | 57,456 | ||||
TransUnion | 26,354 | 2,293,852 | ||||
TriNet Group, Inc. (a) | 5,500 | 335,170 | ||||
TrueBlue, Inc. (a) | 6,200 | 94,674 | ||||
Upwork, Inc. (a) | 14,100 | 203,604 | ||||
Willdan Group, Inc. (a) | 1,571 | 39,291 | ||||
11,263,647 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.4% | ||||||
Altisource Portfolio Solutions SA (a) | 800 | 11,792 | ||||
American Realty Investors, Inc. (a) | 300 | 2,697 | ||||
CTO Realty Growth, Inc. | 765 | 30,218 | ||||
Cushman & Wakefield PLC (a) (b) | 16,800 | 209,328 | ||||
eXp World Holdings, Inc. (a) | 3,200 | 54,560 | ||||
Forestar Group, Inc. (a) | 2,606 | 39,298 | ||||
FRP Holdings, Inc. (a) | 1,089 | 44,192 | ||||
Griffin Industrial Realty, Inc. | 153 | 8,288 | ||||
Howard Hughes Corp. (a) | 5,174 | 268,789 | ||||
Jones Lang LaSalle, Inc. | 7,040 | 728,358 | ||||
Kennedy-Wilson Holdings, Inc. | 16,042 | 244,159 | ||||
Marcus & Millichap, Inc. (a) | 3,646 | 105,224 | ||||
Maui Land & Pineapple Co., Inc. (a) | 1,036 | 11,500 | ||||
Newmark Group, Inc. Class A | 22,961 | 111,590 | ||||
Rafael Holdings, Inc. Class B (a) | 1,702 | 24,458 | ||||
RE/MAX Holdings, Inc. Class A | 2,900 | 91,147 | ||||
Realogy Holdings Corp. (b) | 18,161 | 134,573 | ||||
Redfin Corp. (a) (b) | 13,000 | 544,830 | ||||
RMR Group, Inc. Class A | 2,407 | 70,934 | ||||
St. Joe Co. (a) (b) | 5,300 | 102,926 | ||||
Stratus Properties, Inc. (a) | 900 | 17,829 | ||||
Tejon Ranch Co. (a) | 3,300 | 47,520 | ||||
Transcontinental Realty Investors, Inc. (a) | 207 | 6,214 | ||||
2,910,424 | ||||||
ROAD & RAIL — 1.5% | ||||||
AMERCO | 1,193 | 360,513 | ||||
ArcBest Corp. | 4,082 | 108,214 | ||||
Avis Budget Group, Inc. (a) | 8,002 | 183,166 | ||||
Covenant Transportation Group, Inc. Class A (a) | 1,945 | 28,066 | ||||
Daseke, Inc. (a) (b) | 7,164 | 28,155 | ||||
Heartland Express, Inc. | 7,340 | 152,819 | ||||
Hertz Global Holdings, Inc. (a) (b) | 16,400 | 23,124 | ||||
Knight-Swift Transportation Holdings, Inc. (b) | 17,171 | 716,202 | ||||
Landstar System, Inc. | 5,212 | 585,360 | ||||
Lyft, Inc. Class A (a) (b) | 32,900 | 1,086,029 | ||||
Marten Transport, Ltd. | 6,304 | 158,609 | ||||
PAM Transportation Services, Inc. (a) | 298 | 9,163 | ||||
Ryder System, Inc. | 6,939 | 260,282 | ||||
Saia, Inc. (a) | 3,490 | 388,018 |
Security Description | Shares | Value | ||||
Schneider National, Inc. Class B | 8,875 | $ 218,946 | ||||
Uber Technologies, Inc. (a) | 190,416 | 5,918,129 | ||||
Universal Logistics Holdings, Inc. | 1,329 | 23,098 | ||||
US Xpress Enterprises, Inc. Class A (a) (b) | 3,398 | 20,388 | ||||
Werner Enterprises, Inc. | 8,100 | 352,593 | ||||
10,620,874 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.1% | ||||||
Advanced Energy Industries, Inc. (a) | 5,054 | 342,611 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 3,187 | 34,675 | ||||
Ambarella, Inc. (a) | 4,280 | 196,024 | ||||
Amkor Technology, Inc. (a) | 15,752 | 193,907 | ||||
Atomera, Inc. (a) | 2,200 | 19,800 | ||||
Axcelis Technologies, Inc. (a) | 3,985 | 110,982 | ||||
AXT, Inc. (a) | 6,253 | 29,764 | ||||
Brooks Automation, Inc. | 9,800 | 433,552 | ||||
Cabot Microelectronics Corp. | 3,886 | 542,252 | ||||
CEVA, Inc. (a) | 3,448 | 129,024 | ||||
Cirrus Logic, Inc. (a) | 7,940 | 490,533 | ||||
Cohu, Inc. | 6,391 | 110,820 | ||||
Cree, Inc. (a) | 14,915 | 882,819 | ||||
CyberOptics Corp. (a) | 1,100 | 35,431 | ||||
Diodes, Inc. (a) | 5,592 | 283,514 | ||||
DSP Group, Inc. (a) | 3,496 | 55,516 | ||||
Enphase Energy, Inc. (a) | 14,500 | 689,765 | ||||
Entegris, Inc. | 18,498 | 1,092,307 | ||||
First Solar, Inc. (a) (b) | 11,351 | 561,875 | ||||
FormFactor, Inc. (a) | 10,065 | 295,206 | ||||
GSI Technology, Inc. (a) | 2,400 | 17,232 | ||||
Ichor Holdings, Ltd. (a) | 3,599 | 95,661 | ||||
Impinj, Inc. (a) (b) | 2,700 | 74,169 | ||||
Inphi Corp. (a) | 6,549 | 769,508 | ||||
Lattice Semiconductor Corp. (a) | 18,180 | 516,130 | ||||
MACOM Technology Solutions Holdings, Inc. (a) (b) | 6,152 | 211,321 | ||||
Marvell Technology Group, Ltd. | 91,742 | 3,216,475 | ||||
MaxLinear, Inc. (a) | 8,600 | 184,556 | ||||
MKS Instruments, Inc. | 7,503 | 849,640 | ||||
Monolithic Power Systems, Inc. | 6,070 | 1,438,590 | ||||
NeoPhotonics Corp. (a) | 6,200 | 55,056 | ||||
NVE Corp. | 786 | 48,598 | ||||
ON Semiconductor Corp. (a) | 56,001 | 1,109,940 | ||||
Onto Innovation, Inc. (a) | 7,224 | 245,905 | ||||
PDF Solutions, Inc. (a) | 4,529 | 88,587 | ||||
Photronics, Inc. (a) | 10,100 | 112,413 | ||||
Pixelworks, Inc. (a) | 5,800 | 18,734 | ||||
Power Integrations, Inc. | 3,976 | 469,685 | ||||
Rambus, Inc. (a) | 17,200 | 261,440 | ||||
Semtech Corp. (a) | 8,658 | 452,121 | ||||
Silicon Laboratories, Inc. (a) | 5,850 | 586,580 | ||||
SiTime Corp. (a) | 800 | 37,928 | ||||
SMART Global Holdings, Inc. (a) | 2,190 | 59,524 | ||||
SolarEdge Technologies, Inc. (a) | 6,700 | 929,826 | ||||
SunPower Corp. (a) (b) | 11,755 | 90,043 |
Security Description | Shares | Value | ||||
Synaptics, Inc. (a) | 5,138 | $ 308,897 | ||||
Teradyne, Inc. | 22,923 | 1,937,223 | ||||
Ultra Clean Holdings, Inc. (a) | 6,280 | 142,116 | ||||
Universal Display Corp. | 5,917 | 885,302 | ||||
Veeco Instruments, Inc. (a) | 7,608 | 102,632 | ||||
21,846,209 | ||||||
SOFTWARE — 11.7% | ||||||
2U, Inc. (a) (b) | 9,005 | 341,830 | ||||
8x8, Inc. (a) (b) | 13,200 | 211,200 | ||||
A10 Networks, Inc. (a) | 7,800 | 53,118 | ||||
ACI Worldwide, Inc. (a) | 15,366 | 414,728 | ||||
Agilysys, Inc. (a) | 3,257 | 58,431 | ||||
Alarm.com Holdings, Inc. (a) | 6,100 | 395,341 | ||||
Altair Engineering, Inc. Class A (a) (b) | 6,400 | 254,400 | ||||
Alteryx, Inc. Class A (a) (b) | 7,275 | 1,195,137 | ||||
American Software, Inc. Class A | 4,700 | 74,072 | ||||
Anaplan, Inc. (a) | 17,924 | 812,136 | ||||
Appfolio, Inc. Class A (a) | 2,161 | 351,616 | ||||
Appian Corp. (a) | 5,000 | 256,250 | ||||
Aspen Technology, Inc. (a) | 9,302 | 963,780 | ||||
Asure Software, Inc. (a) | 2,000 | 12,860 | ||||
Atlassian Corp. PLC Class A (a) | 17,385 | 3,133,994 | ||||
Avalara, Inc. (a) | 10,615 | 1,412,750 | ||||
Avaya Holdings Corp. (a) | 14,100 | 174,276 | ||||
Benefitfocus, Inc. (a) (b) | 4,641 | 49,937 | ||||
Bill.Com Holdings, Inc. (a) | 2,369 | 213,708 | ||||
Blackbaud, Inc. | 6,633 | 378,612 | ||||
Blackline, Inc. (a) (b) | 6,800 | 563,788 | ||||
Bottomline Technologies DE, Inc. (a) | 5,700 | 289,389 | ||||
Box, Inc. Class A (a) | 19,765 | 410,321 | ||||
CDK Global, Inc. | 16,673 | 690,596 | ||||
Cerence, Inc. (a) (b) | 5,620 | 229,521 | ||||
Ceridian HCM Holding, Inc. (a) | 14,648 | 1,161,147 | ||||
ChannelAdvisor Corp. (a) | 4,200 | 66,528 | ||||
Cloudera, Inc. (a) (b) | 27,421 | 348,795 | ||||
Cloudflare, Inc. Class A (a) | 14,800 | 532,060 | ||||
CommVault Systems, Inc. (a) | 6,342 | 245,435 | ||||
Cornerstone OnDemand, Inc. (a) | 8,075 | 311,372 | ||||
Coupa Software, Inc. (a) (b) | 9,230 | 2,557,079 | ||||
Crowdstrike Holdings, Inc. Class A (a) | 16,000 | 1,604,640 | ||||
Datadog, Inc. Class A (a) | 21,100 | 1,834,645 | ||||
Digimarc Corp. (a) (b) | 1,840 | 29,422 | ||||
Digital Turbine, Inc. (a) | 12,500 | 157,125 | ||||
DocuSign, Inc. (a) | 24,600 | 4,236,366 | ||||
Domo, Inc. Class B (a) | 2,900 | 93,293 | ||||
Dropbox, Inc. Class A (a) | 33,624 | 731,994 | ||||
Dynatrace, Inc. (a) | 20,900 | 848,540 | ||||
Ebix, Inc. (b) | 3,698 | 82,687 | ||||
eGain Corp. (a) | 3,194 | 35,485 | ||||
Elastic NV (a) (b) | 7,500 | 691,575 | ||||
Envestnet, Inc. (a) | 7,199 | 529,414 | ||||
Everbridge, Inc. (a) (b) | 4,708 | 651,399 | ||||
Fair Isaac Corp. (a) | 3,905 | 1,632,446 | ||||
FireEye, Inc. (a) | 29,447 | 358,517 |
Security Description | Shares | Value | |||
Five9, Inc. (a) | 8,508 | $ 941,580 | |||
ForeScout Technologies, Inc. (a) (b) | 6,900 | 146,280 | |||
GlobalSCAPE, Inc. | 2,200 | 21,450 | |||
Globant SA (a) | 5,000 | 749,250 | |||
GTY Technology Holdings, Inc. (a) (b) | 6,200 | 25,823 | |||
Guidewire Software, Inc. (a) | 11,437 | 1,267,791 | |||
HubSpot, Inc. (a) (b) | 5,746 | 1,289,115 | |||
Intelligent Systems Corp. (a) (b) | 1,083 | 36,909 | |||
J2 Global, Inc. (a) (b) | 6,202 | 392,028 | |||
LivePerson, Inc. (a) (b) | 8,100 | 335,583 | |||
LogMeIn, Inc. | 6,583 | 558,041 | |||
Majesco (a) | 1,200 | 9,432 | |||
Manhattan Associates, Inc. (a) | 8,683 | 817,939 | |||
Medallia, Inc. (a) (b) | 10,920 | 275,621 | |||
MicroStrategy, Inc. Class A (a) | 1,203 | 142,303 | |||
Mimecast, Ltd. (a) | 7,500 | 312,450 | |||
Mitek Systems, Inc. (a) | 6,361 | 61,129 | |||
MobileIron, Inc. (a) | 15,504 | 76,435 | |||
Model N, Inc. (a) | 5,300 | 184,228 | |||
New Relic, Inc. (a) | 6,831 | 470,656 | |||
Nuance Communications, Inc. (a) | 38,746 | 980,468 | |||
Nutanix, Inc. Class A (a) (b) | 24,300 | 576,032 | |||
OneSpan, Inc. (a) | 5,200 | 145,236 | |||
Pagerduty, Inc. (a) (b) | 9,098 | 260,385 | |||
Palo Alto Networks, Inc. (a) | 13,640 | 3,132,699 | |||
Park City Group, Inc. (a) | 1,900 | 8,037 | |||
Paylocity Holding Corp. (a) | 4,698 | 685,391 | |||
Pegasystems, Inc. | 5,415 | 547,836 | |||
Ping Identity Holding Corp. (a) (b) | 2,200 | 70,598 | |||
Pluralsight, Inc. Class A (a) | 14,400 | 259,920 | |||
Progress Software Corp. | 6,800 | 263,500 | |||
Proofpoint, Inc. (a) | 7,769 | 863,291 | |||
PROS Holdings, Inc. (a) | 5,400 | 239,922 | |||
PTC, Inc. (a) | 14,366 | 1,117,531 | |||
Q2 Holdings, Inc. (a) (b) | 6,755 | 579,511 | |||
QAD, Inc. Class A | 2,000 | 82,560 | |||
Qualys, Inc. (a) | 4,573 | 475,683 | |||
Rapid7, Inc. (a) | 6,725 | 343,110 | |||
RealPage, Inc. (a) | 12,076 | 785,061 | |||
Rimini Street, Inc. (a) | 3,200 | 16,480 | |||
RingCentral, Inc. Class A (a) | 10,586 | 3,017,116 | |||
Rosetta Stone, Inc. (a) | 3,300 | 55,638 | |||
SailPoint Technologies Holding, Inc. (a) | 11,700 | 309,699 | |||
Sapiens International Corp. NV | 3,900 | 109,122 | |||
Seachange International, Inc. (a) | 4,600 | 6,946 | |||
SecureWorks Corp. Class A (a) (b) | 1,295 | 14,802 | |||
ShotSpotter, Inc. (a) (b) | 1,300 | 32,760 | |||
Slack Technologies, Inc. Class A (a) | 52,000 | 1,616,680 | |||
Smartsheet, Inc. Class A (a) | 15,180 | 772,966 | |||
Smith Micro Software, Inc. (a) | 5,100 | 22,746 | |||
SolarWinds Corp. (a) (b) | 7,600 | 134,292 | |||
Splunk, Inc. (a) | 22,131 | 4,397,430 | |||
Sprout Social, Inc. Class A (a) | 1,500 | 40,500 | |||
SPS Commerce, Inc. (a) | 4,652 | 349,458 |
Security Description | Shares | Value | ||||
SS&C Technologies Holdings, Inc. | 31,108 | $ 1,756,980 | ||||
SVMK, Inc. (a) | 16,000 | 376,640 | ||||
Synchronoss Technologies, Inc. (a) | 6,000 | 21,180 | ||||
Telenav, Inc. (a) | 5,252 | 28,833 | ||||
Tenable Holdings, Inc. (a) | 8,000 | 238,480 | ||||
Teradata Corp. (a) | 14,667 | 305,074 | ||||
Trade Desk, Inc. Class A (a) (b) | 5,665 | 2,302,823 | ||||
Upland Software, Inc. (a) | 3,500 | 121,660 | ||||
Varonis Systems, Inc. (a) | 4,125 | 364,980 | ||||
Verint Systems, Inc. (a) | 8,629 | 389,858 | ||||
VirnetX Holding Corp. (b) | 9,800 | 63,700 | ||||
VMware, Inc. Class A (a) (b) | 10,980 | 1,700,363 | ||||
Workday, Inc. Class A (a) | 23,910 | 4,479,778 | ||||
Workiva, Inc. (a) | 5,100 | 272,799 | ||||
Xperi Holding Corp. | 13,936 | 205,695 | ||||
Yext, Inc. (a) (b) | 13,200 | 219,252 | ||||
Zendesk, Inc. (a) | 15,587 | 1,379,917 | ||||
Zix Corp. (a) | 8,487 | 58,560 | ||||
Zoom Video Communications, Inc. Class A (a) | 23,300 | 5,907,482 | ||||
Zscaler, Inc. (a) | 9,651 | 1,056,785 | ||||
Zuora, Inc. Class A (a) | 14,200 | 181,050 | ||||
83,541,093 | ||||||
SPECIALTY RETAIL — 1.7% | ||||||
Aaron's, Inc. | 9,097 | 413,004 | ||||
Abercrombie & Fitch Co. Class A | 9,996 | 106,357 | ||||
American Eagle Outfitters, Inc. (b) | 22,966 | 250,329 | ||||
America's Car-Mart, Inc. (a) | 989 | 86,903 | ||||
Asbury Automotive Group, Inc. (a) | 2,922 | 225,958 | ||||
At Home Group, Inc. (a) | 7,500 | 48,675 | ||||
AutoNation, Inc. (a) | 7,869 | 295,717 | ||||
Bed Bath & Beyond, Inc. | 19,258 | 204,135 | ||||
Boot Barn Holdings, Inc. (a) (b) | 4,300 | 92,708 | ||||
Buckle, Inc. (b) | 4,587 | 71,924 | ||||
Burlington Stores, Inc. (a) | 9,014 | 1,775,127 | ||||
Caleres, Inc. | 6,190 | 51,625 | ||||
Camping World Holdings, Inc. Class A (b) | 5,300 | 143,948 | ||||
Carvana Co. (a) (b) | 7,504 | 901,981 | ||||
Cato Corp. Class A | 3,500 | 28,630 | ||||
Chico's FAS, Inc. | 18,253 | 25,189 | ||||
Children's Place, Inc. (b) | 2,342 | 87,638 | ||||
Citi Trends, Inc. | 1,700 | 34,374 | ||||
Conn's, Inc. (a) | 2,822 | 28,474 | ||||
Container Store Group, Inc. (a) | 2,873 | 9,309 | ||||
Designer Brands, Inc. Class A (b) | 10,900 | 73,793 | ||||
Dick's Sporting Goods, Inc. (b) | 8,244 | 340,147 | ||||
Envela Corp. (a) | 1,200 | 7,320 | ||||
Express, Inc. (a) (b) | 9,949 | 15,321 | ||||
Five Below, Inc. (a) | 7,526 | 804,605 | ||||
Floor & Decor Holdings, Inc. Class A (a) | 11,100 | 639,915 | ||||
Foot Locker, Inc. | 14,000 | 408,240 | ||||
GameStop Corp. Class A (a) (b) | 10,265 | 44,550 | ||||
Genesco, Inc. (a) | 2,205 | 47,760 | ||||
Group 1 Automotive, Inc. | 2,203 | 145,332 |
Security Description | Shares | Value | ||||
GrowGeneration Corp. (a) | 4,400 | $ 30,096 | ||||
Guess?, Inc. | 7,400 | 71,558 | ||||
Haverty Furniture Cos., Inc. | 2,555 | 40,880 | ||||
Hibbett Sports, Inc. (a) (b) | 2,734 | 57,250 | ||||
Hudson, Ltd. Class A (a) | 6,200 | 30,194 | ||||
Lithia Motors, Inc. Class A | 3,021 | 457,168 | ||||
Lumber Liquidators Holdings, Inc. (a) | 4,459 | 61,802 | ||||
MarineMax, Inc. (a) | 3,176 | 71,111 | ||||
Michaels Cos., Inc. (a) (b) | 12,385 | 87,562 | ||||
Monro, Inc. | 4,298 | 236,132 | ||||
Murphy USA, Inc. (a) | 3,710 | 417,709 | ||||
National Vision Holdings, Inc. (a) | 10,705 | 326,717 | ||||
Office Depot, Inc. | 79,398 | 186,585 | ||||
OneWater Marine, Inc. Class A (a) | 700 | 16,996 | ||||
Penske Automotive Group, Inc. (b) | 4,877 | 188,789 | ||||
Rent-A-Center, Inc. | 7,400 | 205,868 | ||||
RH (a) (b) | 2,238 | 557,038 | ||||
Sally Beauty Holdings, Inc. (a) (b) | 17,107 | 214,351 | ||||
Shoe Carnival, Inc. | 1,400 | 40,978 | ||||
Signet Jewelers, Ltd. (b) | 8,200 | 84,214 | ||||
Sleep Number Corp. (a) | 4,076 | 169,725 | ||||
Sonic Automotive, Inc. Class A | 3,895 | 124,289 | ||||
Sportsman's Warehouse Holdings, Inc. (a) | 6,770 | 96,473 | ||||
Tilly's, Inc. Class A | 3,437 | 19,488 | ||||
Urban Outfitters, Inc. (a) | 11,014 | 167,633 | ||||
Williams-Sonoma, Inc. | 10,548 | 865,041 | ||||
Winmark Corp. | 388 | 66,441 | ||||
Zumiez, Inc. (a) | 3,200 | 87,616 | ||||
12,388,692 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.4% | ||||||
3D Systems Corp. (a) (b) | 18,300 | 127,917 | ||||
Avid Technology, Inc. (a) | 4,397 | 31,966 | ||||
Dell Technologies, Inc. Class C (a) | 21,147 | 1,161,816 | ||||
Diebold Nixdorf, Inc. (a) (b) | 10,636 | 64,454 | ||||
Eastman Kodak Co. (a) | 2,300 | 5,129 | ||||
Immersion Corp. (a) | 2,735 | 17,039 | ||||
Intevac, Inc. (a) | 3,500 | 19,110 | ||||
NCR Corp. (a) (b) | 16,967 | 293,869 | ||||
Pure Storage, Inc. Class A (a) | 33,000 | 571,890 | ||||
Quantum Corp. (a) | 4,400 | 16,984 | ||||
Super Micro Computer, Inc. (a) | 6,800 | 193,052 | ||||
2,503,226 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.2% | ||||||
Capri Holdings, Ltd. (a) | 19,000 | 296,970 | ||||
Carter's, Inc. | 5,860 | 472,902 | ||||
Columbia Sportswear Co. (b) | 3,820 | 307,816 | ||||
Crocs, Inc. (a) | 8,900 | 327,698 | ||||
Deckers Outdoor Corp. (a) | 3,826 | 751,388 | ||||
Fossil Group, Inc. (a) (b) | 7,300 | 33,945 | ||||
G-III Apparel Group, Ltd. (a) | 6,981 | 92,777 | ||||
Kontoor Brands, Inc. (a) (b) | 7,600 | 135,356 |
Security Description | Shares | Value | ||||
Lakeland Industries, Inc. (a) | 1,200 | $ 26,916 | ||||
Lululemon Athletica, Inc. (a) | 15,887 | 4,956,903 | ||||
Movado Group, Inc. | 2,461 | 26,677 | ||||
Oxford Industries, Inc. | 2,530 | 111,345 | ||||
Rocky Brands, Inc. | 1,105 | 22,719 | ||||
Skechers U.S.A., Inc. Class A (a) | 18,247 | 572,591 | ||||
Steven Madden, Ltd. | 10,913 | 269,442 | ||||
Superior Group of Cos., Inc. | 1,700 | 22,780 | ||||
Unifi, Inc. (a) | 2,210 | 28,465 | ||||
Vera Bradley, Inc. (a) | 3,100 | 13,764 | ||||
Wolverine World Wide, Inc. | 10,480 | 249,529 | ||||
8,719,983 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.8% | ||||||
Axos Financial, Inc. (a) | 7,400 | 163,392 | ||||
Bogota Financial Corp. (a) | 900 | 7,866 | ||||
Bridgewater Bancshares, Inc. (a) | 3,450 | 35,363 | ||||
Capitol Federal Financial, Inc. | 17,200 | 189,372 | ||||
Columbia Financial, Inc. (a) | 7,500 | 104,663 | ||||
ESSA Bancorp, Inc. | 1,400 | 19,488 | ||||
Essent Group, Ltd. | 14,708 | 533,459 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,432 | 91,662 | ||||
Flagstar Bancorp, Inc. | 5,500 | 161,865 | ||||
FS Bancorp, Inc. | 635 | 24,492 | ||||
Greene County Bancorp, Inc. | 600 | 13,380 | ||||
Hingham Institution for Savings | 215 | 36,073 | ||||
Home Bancorp, Inc. | 1,200 | 32,100 | ||||
HomeStreet, Inc. | 3,474 | 85,495 | ||||
Kearny Financial Corp. | 12,358 | 101,088 | ||||
Luther Burbank Corp. | 3,100 | 31,000 | ||||
Merchants Bancorp | 1,300 | 24,037 | ||||
Meridian Bancorp, Inc. | 7,630 | 88,508 | ||||
Meta Financial Group, Inc. | 5,443 | 98,899 | ||||
MGIC Investment Corp. | 45,462 | 372,334 | ||||
MMA Capital Holdings, Inc. (a) | 800 | 18,496 | ||||
Mr Cooper Group, Inc. (a) | 12,194 | 151,693 | ||||
New York Community Bancorp, Inc. | 61,523 | 627,535 | ||||
NMI Holdings, Inc. Class A (a) | 10,500 | 168,840 | ||||
Northfield Bancorp, Inc. | 6,880 | 79,258 | ||||
Northwest Bancshares, Inc. | 18,346 | 187,588 | ||||
OceanFirst Financial Corp. | 8,707 | 153,504 | ||||
Oconee Federal Financial Corp. | 200 | 5,154 | ||||
OP Bancorp | 2,000 | 13,800 | ||||
PCSB Financial Corp. | 2,396 | 30,381 | ||||
PennyMac Financial Services, Inc. | 6,097 | 254,794 | ||||
Pioneer Bancorp, Inc. (a) | 1,700 | 15,555 | ||||
Ponce de Leon Federal Bank (a) | 1,400 | 14,252 | ||||
Premier Financial Corp. | 5,897 | 104,200 | ||||
Provident Bancorp, Inc. | 1,414 | 11,114 | ||||
Provident Financial Holdings, Inc. | 900 | 12,069 | ||||
Provident Financial Services, Inc. | 9,700 | 140,165 | ||||
Prudential Bancorp, Inc. | 1,400 | 16,856 | ||||
Radian Group, Inc. | 25,654 | 397,894 | ||||
Riverview Bancorp, Inc. | 3,300 | 18,645 | ||||
Security National Financial Corp. Class A (a) | 1,400 | 9,443 |
Security Description | Shares | Value | ||||
Southern Missouri Bancorp, Inc. | 1,200 | $ 29,160 | ||||
Standard AVB Financial Corp. | 600 | 13,920 | ||||
Sterling Bancorp, Inc. | 2,300 | 8,234 | ||||
Territorial Bancorp, Inc. | 1,255 | 29,856 | ||||
TFS Financial Corp. | 7,829 | 112,033 | ||||
Timberland Bancorp, Inc. | 1,200 | 21,852 | ||||
TrustCo Bank Corp. NY | 15,099 | 95,577 | ||||
Walker & Dunlop, Inc. | 3,640 | 184,948 | ||||
Washington Federal, Inc. | 10,017 | 268,856 | ||||
Waterstone Financial, Inc. | 3,700 | 54,871 | ||||
Western New England Bancorp, Inc. | 3,700 | 21,423 | ||||
WSFS Financial Corp. | 7,663 | 219,928 | ||||
5,706,430 | ||||||
TOBACCO — 0.0% (e) | ||||||
Turning Point Brands, Inc. | 1,300 | 32,383 | ||||
Universal Corp. | 3,041 | 129,273 | ||||
Vector Group, Ltd. | 17,796 | 179,028 | ||||
340,684 | ||||||
TRADING COMPANIES & DISTRIBUTORS — 0.9% | ||||||
Air Lease Corp. | 14,456 | 423,416 | ||||
Alta Equipment Group, Inc. (a) | 2,600 | 20,202 | ||||
Applied Industrial Technologies, Inc. | 5,115 | 319,125 | ||||
Beacon Roofing Supply, Inc. (a) | 8,349 | 220,163 | ||||
BMC Stock Holdings, Inc. (a) | 10,225 | 257,057 | ||||
CAI International, Inc. (a) | 2,603 | 43,366 | ||||
DXP Enterprises, Inc. (a) | 2,600 | 51,766 | ||||
EVI Industries, Inc. (a) (b) | 720 | 15,631 | ||||
Foundation Building Materials, Inc. (a) | 3,200 | 49,952 | ||||
GATX Corp. | 4,631 | 282,398 | ||||
General Finance Corp. (a) | 1,847 | 12,393 | ||||
GMS, Inc. (a) | 5,200 | 127,868 | ||||
H&E Equipment Services, Inc. | 5,100 | 94,248 | ||||
HD Supply Holdings, Inc. (a) | 22,038 | 763,617 | ||||
Herc Holdings, Inc. (a) | 3,838 | 117,942 | ||||
Lawson Products, Inc. (a) | 653 | 21,066 | ||||
MRC Global, Inc. (a) | 12,600 | 74,466 | ||||
MSC Industrial Direct Co., Inc. Class A | 5,999 | 436,787 | ||||
Nesco Holdings, Inc. (a) | 2,000 | 8,040 | ||||
NOW, Inc. (a) | 17,200 | 148,436 | ||||
Rush Enterprises, Inc. Class A | 3,400 | 140,964 | ||||
Rush Enterprises, Inc. Class B | 700 | 24,962 | ||||
SiteOne Landscape Supply, Inc. (a) | 5,645 | 643,361 | ||||
Systemax, Inc. | 2,000 | 41,080 | ||||
Textainer Group Holdings, Ltd. (a) | 8,365 | 68,426 | ||||
Titan Machinery, Inc. (a) | 3,000 | 32,580 | ||||
Transcat, Inc. (a) | 1,100 | 28,446 | ||||
Triton International, Ltd. | 7,800 | 235,872 | ||||
Univar Solutions, Inc. (a) | 22,464 | 378,743 | ||||
Veritiv Corp. (a) | 1,991 | 33,767 | ||||
Watsco, Inc. | 4,509 | 801,249 | ||||
WESCO International, Inc. (a) | 6,408 | 224,985 |
Security Description | Shares | Value | ||||
Willis Lease Finance Corp. (a) | 410 | $ 9,955 | ||||
6,152,329 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.0% (e) | ||||||
Macquarie Infrastructure Corp. | 9,820 | 301,376 | ||||
WATER UTILITIES — 0.4% | ||||||
American States Water Co. | 4,919 | 386,781 | ||||
Artesian Resources Corp. Class A | 1,251 | 45,399 | ||||
Cadiz, Inc. (a) | 2,100 | 21,336 | ||||
California Water Service Group | 6,476 | 308,905 | ||||
Consolidated Water Co., Ltd. | 2,300 | 33,189 | ||||
Essential Utilities, Inc. | 30,939 | 1,306,863 | ||||
Global Water Resources, Inc. | 1,900 | 20,026 | ||||
Middlesex Water Co. | 2,710 | 182,058 | ||||
Pure Cycle Corp. (a) | 3,000 | 27,570 | ||||
SJW Group | 4,000 | 248,440 | ||||
York Water Co. | 2,100 | 100,716 | ||||
2,681,283 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | ||||||
Boingo Wireless, Inc. (a) | 6,900 | 91,908 | ||||
Gogo, Inc. (a) (b) | 8,610 | 27,208 | ||||
Shenandoah Telecommunications Co. | 6,450 | 317,921 | ||||
Spok Holdings, Inc. | 2,700 | 25,245 | ||||
Telephone & Data Systems, Inc. | 13,400 | 266,392 | ||||
United States Cellular Corp. (a) | 2,435 | 75,168 | ||||
803,842 | ||||||
TOTAL COMMON STOCKS (Cost $619,207,727) | 697,000,394 | |||||
RIGHTS — 0.0% (e) | ||||||
BIOTECHNOLOGY — 0.0% (e) | ||||||
GTX, Inc. (CVR) | 85 | 161 | ||||
Tobira Therapeutics, Inc. (CVR) (a) | 200 | 2,834 | ||||
2,995 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (e) | ||||||
NewStar Financial, Inc. (CVR) (a) | 2,400 | 204 | ||||
MEDIA — 0.0% (e) | ||||||
Media General, Inc. (CVR) (a) | 6,500 | 650 | ||||
TOTAL RIGHTS (Cost $186) | 3,849 | |||||
WARRANTS — 0.0% (e) | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (e) | ||||||
Pulse Biosciences, Inc.(expiring 5/14/25) (b) (d) | 55 | — | ||||
TOTAL WARRANTS (Cost $0) | — |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 6.9% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (f) (g) | 15,138,863 | $ 15,144,918 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 34,279,403 | 34,279,403 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $49,419,450) | 49,424,321 | |||||
TOTAL INVESTMENTS — 104.5% (Cost $668,627,363) | 746,428,564 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.5)% | (32,143,569) | |||||
NET ASSETS — 100.0% | $ 714,284,995 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent less than 0.05% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2020, total aggregate fair value of the security is $0, representing less than 0.05% of the Portfolio's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
CVR | Contingent Value Rights |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini Russell 2000 Index (long) | 107 | 09/18/2020 | $7,335,732 | $7,691,160 | $355,428 | |||||
E-mini S&P MidCap 400 Index (long) | 47 | 09/18/2020 | 8,167,205 | 8,361,770 | 194,565 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $549,993 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $696,157,895 | $842,499 | $ 0(a) | $697,000,394 | ||||
Rights | — | 3,849 | — | 3,849 | ||||
Warrants | — | — | 0(a) | 0 | ||||
Short-Term Investments | 49,424,321 | — | — | 49,424,321 | ||||
TOTAL INVESTMENTS | $745,582,216 | $846,348 | $ 0 | $746,428,564 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 549,993 | — | — | 549,993 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $746,132,209 | $846,348 | $ 0 | $746,978,557 |
(a) | The Portfolio held a Level 3 securities that was valued at $0 at June 30, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 18,312,980 | $18,314,812 | $ 94,899,432 | $ 98,066,115 | $(6,656) | $3,445 | 15,138,863 | $15,144,918 | $ 52,473 | ||||||||
State Street Navigator Securities Lending Portfolio II | 44,562,252 | 44,562,252 | 86,474,940 | 96,757,789 | — | — | 34,279,403 | 34,279,403 | 247,204 | ||||||||
Total | $62,877,064 | $181,374,372 | $194,823,904 | $(6,656) | $3,445 | $49,424,321 | $299,677 |
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* | $1,042,501,168 | $2,160,702,758 | $697,004,243 | ||
Investments in affiliated issuers, at value | 63,660,003 | 99,633,447 | 49,424,321 | ||
Total Investments | 1,106,161,171 | 2,260,336,205 | 746,428,564 | ||
Foreign currency, at value | — | 17,533,448 | — | ||
Cash at broker | — | 9,163,652 | 941,730 | ||
Receivable from broker — accumulated variation margin on futures contracts | — | 745,576 | 550,351 | ||
Receivable for investments sold | — | 237,292 | 68,046,041 | ||
Receivable for fund shares sold | 70,793,050 | 2,886,619 | 117,704 | ||
Dividends receivable — unaffiliated issuers | — | 3,899,109 | 671,469 | ||
Dividends receivable — affiliated issuers | 64,044 | 270,222 | 19,803 | ||
Interest receivable — unaffiliated issuers | 5,368,605 | — | — | ||
Securities lending income receivable — unaffiliated issuers | 4,102 | 19,592 | 6,792 | ||
Securities lending income receivable — affiliated issuers | 14,844 | 57,648 | 45,999 | ||
Receivable from Adviser | 3,963 | — | 200 | ||
Receivable for foreign taxes recoverable | 558 | 3,820,434 | — | ||
Other Receivable | 439 | — | — | ||
TOTAL ASSETS | 1,182,410,776 | 2,298,969,797 | 816,828,653 | ||
LIABILITIES | |||||
Due to custodian | — | — | 11,727 | ||
Payable upon return of securities loaned | 40,833,860 | 28,553,493 | 34,279,403 | ||
Payable for investments purchased | 89,026,603 | 7,920 | — | ||
Payable for fund shares repurchased | — | 36,663,787 | 68,109,680 | ||
Custodian, sub-administration and transfer agent fees payable | 10,073 | 23,052 | 7,803 | ||
Custodian fees payable | 2,014 | 66,781 | 4,829 | ||
Registration and filing fees payable | 18,821 | 28,004 | 14,510 | ||
Professional fees payable | 95,403 | 89,667 | 93,673 | ||
Printing and postage fees payable | 6,427 | 14,894 | 4,791 | ||
Accrued expenses and other liabilities | 4,594 | 33,503 | 17,242 | ||
TOTAL LIABILITIES | 129,997,795 | 65,481,101 | 102,543,658 | ||
NET ASSETS | $1,052,412,981 | $2,233,488,696 | $714,284,995 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $ 973,983,548 | $2,180,658,766 | $639,001,212 | ||
Total distributable earnings (loss) | 78,429,433 | 52,829,930 | 75,283,783 | ||
NET ASSETS | $1,052,412,981 | $2,233,488,696 | $714,284,995 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 107.87 | $ 94.97 | $ 239.63 | ||
Shares of beneficial interest | 9,756,161 | 23,517,244 | 2,980,754 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ 972,905,375 | $2,051,444,740 | $619,207,913 | ||
Investments in affiliated issuers | 63,653,367 | 99,633,447 | 49,419,450 | ||
Total cost of investments | $1,036,558,742 | $2,151,078,187 | $668,627,363 | ||
Foreign currency, at cost | $ — | $ 17,341,194 | $ — | ||
* Includes investments in securities on loan, at value | $ 91,073,573 | $ 49,045,874 | $ 64,436,189 |
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 | $12,522,503 | $ 7,722 | $ 788 | ||
Dividend income — unaffiliated issuers | — | 31,427,006 | 4,868,601 | ||
Dividend income — affiliated issuers | 54,532 | 504,986 | 52,473 | ||
Unaffiliated securities lending income | 26,072 | 111,918 | 38,649 | ||
Affiliated securities lending income | 110,036 | 311,089 | 247,204 | ||
Foreign taxes withheld | — | (3,236,451) | (2,925) | ||
TOTAL INVESTMENT INCOME (LOSS) | 12,713,143 | 29,126,270 | 5,204,790 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 76,407 | 518,193 | 55,607 | ||
Trustees’ fees and expenses | 18,245 | 25,878 | 15,793 | ||
Registration and filing fees | — | 1,951 | — | ||
Professional fees and expenses | 82,741 | 81,495 | 79,700 | ||
Printing and postage fees | 7,451 | 17,934 | 5,658 | ||
Insurance expense | 2,743 | 5,575 | 2,051 | ||
Interest expense | — | 10,483 | — | ||
Miscellaneous expenses | 8,503 | 30,360 | 11,049 | ||
TOTAL EXPENSES | 196,090 | 691,869 | 169,858 | ||
Expenses waived/reimbursed by the Adviser | (75,303) | — | (64,792) | ||
NET EXPENSES | 120,787 | 691,869 | 105,066 | ||
NET INVESTMENT INCOME (LOSS) | $12,592,356 | $ 28,434,401 | $ 5,099,724 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | 10,827,216 | (10,001,441) | (3,803,117) | ||
Investments — affiliated issuers | (12,472) | 8,586 | (6,656) | ||
Foreign currency transactions | — | (1,258,440) | — | ||
Futures contracts | — | (3,637,039) | (2,825,132) | ||
Net realized gain (loss) | 10,814,744 | (14,888,334) | (6,634,905) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | 37,645,038 | (188,848,564) | (31,867,650) | ||
Investments — affiliated issuers | 5,806 | 98 | 3,445 | ||
Foreign currency translations | — | 174,260 | — | ||
Futures contracts | — | 88,094 | 318,540 | ||
Net change in unrealized appreciation/depreciation | 37,650,844 | (188,586,112) | (31,545,665) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 48,465,588 | (203,474,446) | (38,180,570) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $61,057,944 | $(175,040,045) | $(33,080,846) | ||
** Includes foreign deferred 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 | |||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Six Months Ended 6/30/20(b) (Unaudited) | Year Ended 12/31/19(b) | Six Months Ended(c) 6/30/20 (Unaudited) | Year Ended(c) 12/31/19 | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 12,592,356 | $ 29,256,716 | $ 28,434,401 | $ 70,661,931 | $ 5,099,724 | $ 11,790,880 | |||||
Net realized gain (loss) | 10,814,744 | 4,200,017 | (14,888,334) | (39,501,109) | (6,634,905) | 20,777,116 | |||||
Net change in unrealized appreciation/depreciation | 37,650,844 | 51,903,349 | (188,586,112) | 397,527,117 | (31,545,665) | 153,916,930 | |||||
Net increase (decrease) in net assets resulting from operations | 61,057,944 | 85,360,082 | (175,040,045) | 428,687,939 | (33,080,846) | 186,484,926 | |||||
Distributions to shareholders | (11,691,780) | (31,375,273) | — | (74,874,677) | — | (33,388,501) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from sale of shares sold | 208,640,650 | 350,758,636 | 457,284,740 | 614,713,722 | 101,134,368 | 237,969,754 | |||||
Reinvestment of distributions | 11,691,780 | 31,375,273 | — | 74,874,677 | — | 33,388,500 | |||||
Cost of shares redeemed | (250,864,549) | (249,299,011) | (146,054,901) | (853,701,487) | (102,970,599) | (303,985,012) | |||||
Net increase (decrease) in net assets from capital transactions | (30,532,119) | 132,834,898 | 311,229,839 | (164,113,088) | (1,836,231) | (32,626,758) | |||||
Contribution from Affiliate (Note 5) | 439 | — | — | — | — | — | |||||
Net increase (decrease) in net assets during the period | 18,834,484 | 186,819,707 | 136,189,794 | 189,700,174 | (34,917,077) | 120,469,667 | |||||
Net assets at beginning of period | 1,033,578,497 | 846,758,790 | 2,097,298,902 | 1,907,598,728 | 749,202,072 | 628,732,405 | |||||
NET ASSETS AT END OF PERIOD | $1,052,412,981 | $1,033,578,497 | $2,233,488,696 | $2,097,298,902 | $ 714,284,995 | $ 749,202,072 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 1,970,469 | 3,487,235 | 5,494,891 | 6,094,026 | 496,421 | 980,977 | |||||
Reinvestment of distributions | 110,469 | 309,821 | — | 707,032 | — | 131,038 | |||||
Shares redeemed | (2,402,042) | (2,442,349) | (1,652,258) | (8,265,719) | (457,586) | (1,218,755) | |||||
Net increase (decrease) from share transactions | (321,104) | 1,354,707 | 3,842,633 | (1,464,661) | 38,835 | (106,740) |
(a) | After the close of trading on April 17, 2020, the State Street Aggregrate Bond Index Portfolio underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | After the close of trading on April 17, 2020, State Street Global All Cap Equity ex-U.S. Index Portfolio underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(c) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Portfolio underwent a 1-for-20 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | $ 98.90 | $101.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.31 | 2.80 | 2.60 | 2.30 | 2.30 | 2.00 | |||||
Net realized and unrealized gain (loss) | 5.20 | 5.70 | (2.80) | 1.00 | 0.10 | (1.30) | |||||
Total from investment operations | 6.51 | 8.50 | (0.20) | 3.30 | 2.40 | 0.70 | |||||
Contribution from Affiliate | 0.00(c) | — | — | — | — | 0.00(c) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.24) | (3.00) | (2.70) | (2.40) | (2.10) | (1.90) | |||||
Net realized gains | — | — | — | — | (0.10) | (1.10) | |||||
Return of Capital | — | — | — | — | — | (0.20) | |||||
Total distributions | (1.24) | (3.00) | (2.70) | (2.40) | (2.20) | (3.20) | |||||
Net asset value, end of period | $ 107.87 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | $ 98.90 | |||||
Total return (d) | 6.48%(e) | 8.69% | (0.12)% | 3.38% | 2.39% | 0.65%(f) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,052,413 | $1,033,578 | $846,759 | $687,541 | $249,906 | $83,842 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.04%(g) | 0.04% | 0.04% | 0.06% | 0.14% | 0.17% | |||||
Net expenses | 0.02%(g) | 0.03% | 0.03% | 0.03% | 0.01% | 0.03% | |||||
Net investment income (loss) | 2.50%(g) | 2.76% | 2.73% | 2.31% | 2.24% | 2.00% | |||||
Portfolio turnover rate | 10%(h) | 69% | 90% | 99% | 194% | 62%(i) |
(a) | After the close of trading on April 17, 2020, the State Street Aggregate Bond Index Portfolio underwent a 1-for-10 reverse sharesplit. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | If an Affiliate had not made a contribution during the year ended June 30, 2020, the total return would have remained 6.48%. |
(f) | 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%. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | Year Ended 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | $ 84.50 | $ 91.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.29 | 3.20 | 3.00 | 2.60 | 2.20 | 2.50 | |||||
Net realized and unrealized gain (loss) | (12.92) | 16.40 | (18.20) | 21.20 | 2.00 | (7.90) | |||||
Total from investment operations | (11.63) | 19.60 | (15.20) | 23.80 | 4.20 | (5.40) | |||||
Voluntary contribution from Adviser | — | — | — | — | — | 0.00(c) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.20) | (2.70) | (2.50) | (1.40) | (1.80) | |||||
Net realized gains | — | — | (0.00)(c) | (0.50) | — | — | |||||
Total distributions | — | (3.20) | (2.70) | (3.00) | (1.40) | (1.80) | |||||
Net asset value, end of period | $ 94.97 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | $ 84.50 | |||||
Total return (d) | (10.91)% | 21.70% | (13.99)% | 27.20% | 5.06% | (5.84)%(e) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,233,489 | $2,097,299 | $1,907,599 | $1,655,261 | $552,700 | $117,461 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.07%(f) | 0.06% | 0.06% | 0.06% | 0.23% | 0.48% | |||||
Net expenses | 0.07%(f) | 0.06% | 0.06% | 0.06% | 0.08% | 0.08% | |||||
Net investment income (loss) | 2.80%(f) | 3.19% | 2.89% | 2.59% | 2.51% | 2.73% | |||||
Portfolio turnover rate | 1%(g) | 28% | 4% | 2% | 8% | 3% |
(a) | After the close of trading on April 17, 2020, the State Street Global All Cap Equity Index Portfolio underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | If the Adviser had not made a voluntary contribution during the year ended 12/31/15, the total return would have decreased by less than 0.005%. |
(f) | Annualized. |
(g) | Not annualized. |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | For the Period 08/12/15* - 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | $ 186.00 | $200.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.64 | 3.60 | 3.80 | 3.40 | 3.00 | 1.20 | |||||
Net realized and unrealized gain (loss) | (16.61) | 54.20 | (26.20) | 35.20 | 27.60 | (13.80) | |||||
Total from investment operations | (14.97) | 57.80 | (22.40) | 38.60 | 30.60 | (12.60) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.40) | (3.80) | (3.00) | (1.80) | (1.20) | |||||
Net realized gains | — | (6.00) | (9.60) | (6.60) | (1.80) | (0.20) | |||||
Total distributions | — | (9.40) | (13.40) | (9.60) | (3.60) | (1.40) | |||||
Net asset value, end of period | $ 239.63 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | $186.00 | |||||
Total return (c) | (5.88)% | 27.98% | (9.07)% | 18.20% | 16.46% | 6.30% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $714,285 | $749,202 | $628,732 | $464,870 | $142,269 | $28,151 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.05%(d) | 0.05% | 0.05% | 0.07% | 0.22% | 0.41%(d) | |||||
Net expenses | 0.03%(d) | 0.03% | 0.03% | 0.03% | 0.03% | 0.03%(d) | |||||
Net investment income (loss) | 1.46%(d) | 1.48% | 1.52% | 1.46% | 1.55% | 1.61%(d) | |||||
Portfolio turnover rate | 21%(e) | 51% | 22% | 21% | 21% | 8%(e) |
* | Commencement of operations. |
(a) | After the close of trading on April 17, 2020, the State Street Small/Mid Cap Equity Index Portfolio underwent a 1-for-20 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 12. |
(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) | 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 (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 (the "Portfolio") | September 17, 2014 | Diversified | |
State Street Small/Mid Cap Equity Index Portfolio (the "Portfolio") | August 12, 2015 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at June 30, 2020 | ||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 27.00% | ||
State Street Global All Cap Equity ex- U.S. Index Fund | State Street Global All Cap Equity ex- U.S. Index Portfolio | 18.44% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 14.21% |
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 | $— | $— | $— | $745,576 | $— | $745,576 |
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 | $— | $— | $— | $550,351 | $— | $550,351 |
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 | $— | $— | $— | $(3,637,038) | $— | $(3,637,038) |
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 | $— | $— | $— | $(2,825,132) | $— | $(2,825,132) |
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 | $— | $— | $— | $88,094 | $— | $88,094 |
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 | $— | $— | $— | $318,540 | $— | $318,540 |
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 | $133,878,869 | $165,491,190 | $ 67,539,753 | $ 62,257,204 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 374,893,954 | 26,791,047 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 151,788,556 | 146,231,539 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 268,605,116 | $ 15,529,283 | $ — | $ 15,529,283 | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 439,455,513 | — | 27,623,466 | (27,623,466) | |||
State Street Small/Mid Cap Equity Index Fund | 102,767,939 | — | 1,248,685 | (1,248,685) | |||
State Street Aggregate Bond Index Portfolio | 1,036,811,491 | 70,227,179 | 877,499 | 69,349,680 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 2,162,006,330 | 370,476,759 | 271,404,156 | 99,072,603 | |||
State Street Small/Mid Cap Equity Index Portfolio | 688,676,987 | 133,834,834 | 75,533,264 | 58,301,570 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 91,073,573 | $ 40,833,860 | $ 52,161,606 | $ 92,995,466 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 49,045,874 | 28,553,493 | 23,195,139 | 51,748,632 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 64,436,189 | 34,279,403 | 31,050,030 | 65,329,433 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 | $16,614,140 | $— | $— | $— | $16,614,140 | $16,614,140 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 4,094,383 | — | — | — | 4,094,383 | 4,094,383 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 1,365,456 | — | — | — | 1,365,456 | 1,365,456 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 18,759,881 | — | — | — | 18,759,881 | 18,759,881 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Common Stocks | 28,484,152 | — | — | — | 28,484,152 | 28,484,152 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Rights | 69,341 | — | — | — | 69,341 | 69,341 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 34,279,394 | — | — | — | 34,279,394 | 34,279,394 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Warrants | 9 | — | — | — | 9 | 9 |
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 | 0.48% | $1,061.90 | $2.46(a) | $1,022.50 | $2.41(a) | ||||
Class I | 0.23 | 1,063.70 | 1.18(a) | 1,023.70 | 1.16(a) | ||||
Class K | 0.03 | 1,064.70 | 0.15(a) | 1,024.70 | 0.15(a) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | |||||||||
Class A | 0.45 | 888.20 | 2.11(a) | 1,022.60 | 2.26(a) | ||||
Class I | 0.16 | 890.30 | 0.75(a) | 1,024.10 | 0.81(a) | ||||
Class K | 0.00(c) | 891.00 | 0.00(a) | 1,024.90 | 0.00(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.50 | 938.70 | 2.41(a) | 1,022.40 | 2.51(a) | ||||
Class I | 0.25 | 940.00 | 1.21(a) | 1,023.60 | 1.26(a) | ||||
Class K | 0.05 | 941.10 | 0.24(a) | 1,024.60 | 0.25(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.02 | 1,064.80 | 0.10(b) | 1,024.80 | 0.10(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.07 | 890.90 | 0.33(b) | 1,024.50 | 0.35(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 941.20 | 0.14(b) | 1,024.70 | 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 182, then divided by 366. |
(b) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
(c) | Amount is less than 0.005%. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund, each of which are feeder funds for which the Portfolios serve as the master funds in a master-feeder structure: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and Portfolio and (b) affiliates of the Adviser that provide services to the Funds and Portfolios (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and Portfolios. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and Portfolios and for Fund/Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and Portfolios, and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds and Portfolios; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds and Portfolios by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds and Portfolios by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds and Portfolios, and transfer agent of the Portfolios, and the role of the Adviser in managing the Funds’ and the Portfolios’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13-14, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds and Portfolios; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
2 | |
21 | |
22 | |
23 | |
24 | |
25 | |
33 |
% of Net Assets | |||
Common Stocks | 94.7% | ||
Warrants | 2.2 | ||
Rights | 0.0 * | ||
Short-Term Investments | 2.3 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 94.7% | |||||
ARGENTINA — 0.1% | |||||
Globant SA (a) | 4,100 | $ 614,385 | |||
Telecom Argentina SA ADR | 10,300 | 92,185 | |||
YPF SA ADR (b) | 21,000 | 120,750 | |||
827,320 | |||||
BRAZIL — 5.0% | |||||
Ambev SA | 515,885 | 1,328,516 | |||
Atacadao SA | 42,500 | 152,869 | |||
B2W Cia Digital (a) | 23,060 | 449,583 | |||
B3 SA - Brasil Bolsa Balcao | 225,492 | 2,262,394 | |||
Banco Bradesco SA Preference Shares | 485,619 | 1,830,756 | |||
Banco Bradesco SA | 153,018 | 528,379 | |||
Banco BTG Pactual SA | 27,400 | 381,748 | |||
Banco do Brasil SA | 93,298 | 546,283 | |||
Banco Santander Brasil SA | 47,000 | 239,845 | |||
BB Seguridade Participacoes SA | 80,037 | 397,503 | |||
BR Malls Participacoes SA | 84,803 | 155,681 | |||
Braskem SA Class A, Preference Shares | 22,500 | 95,150 | |||
BRF SA (a) | 62,323 | 241,310 | |||
CCR SA | 135,569 | 358,008 | |||
Centrais Eletricas Brasileiras SA (a) | 34,000 | 191,957 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares (a) | 30,200 | 177,324 | |||
Cia Brasileira de Distribuicao | 17,700 | 228,809 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 39,500 | 415,085 | |||
Cia Energetica de Minas Gerais Preference Shares | 99,526 | 199,748 | |||
Cia Paranaense de Energia Preference Shares | 10,700 | 118,521 | |||
Cia Siderurgica Nacional SA | 76,900 | 149,576 | |||
Cielo SA | 154,656 | 130,129 | |||
Cogna Educacao | 211,640 | 254,779 | |||
Cosan SA | 17,100 | 220,866 | |||
CPFL Energia SA | 24,200 | 135,130 | |||
Energisa SA | 18,400 | 164,202 | |||
Engie Brasil Energia SA | 24,587 | 188,473 | |||
Equatorial Energia SA | 96,000 | 405,974 | |||
Gerdau SA Preference Shares | 123,700 | 360,683 | |||
Hapvida Participacoes e Investimentos SA (c) | 24,800 | 280,800 | |||
Hypera SA | 41,800 | 253,504 | |||
IRB Brasil Resseguros SA | 80,400 | 161,069 | |||
Itau Unibanco Holding SA Preference Shares | 531,061 | 2,461,481 | |||
Itausa SA Preference Shares | 492,763 | 860,639 | |||
Itausa SA | 253 | 505 | |||
JBS SA | 125,200 | 482,258 | |||
Klabin SA | 77,307 | 286,234 | |||
Localiza Rent a Car SA | 69,408 | 517,134 | |||
Lojas Americanas SA Preference Shares | 87,001 | 509,888 |
Security Description | Shares | Value | |||
Lojas Renner SA | 86,641 | $ 659,575 | |||
Magazine Luiza SA | 80,489 | 1,050,309 | |||
Multiplan Empreendimentos Imobiliarios SA | 31,354 | 117,061 | |||
Natura & Co. Holding SA | 81,200 | 590,056 | |||
Natura & Co. Holding SA (a) | 4,085 | 29,558 | |||
Notre Dame Intermedica Participacoes SA | 52,570 | 651,141 | |||
Petrobras Distribuidora SA | 79,600 | 312,410 | |||
Petroleo Brasileiro SA Preference Shares | 521,498 | 2,046,748 | |||
Petroleo Brasileiro SA | 407,314 | 1,657,207 | |||
Porto Seguro SA | 12,500 | 114,783 | |||
Raia Drogasil SA | 23,300 | 469,412 | |||
Rumo SA (a) | 124,922 | 511,673 | |||
Sul America SA | 32,533 | 267,040 | |||
Suzano SA (a) | 62,124 | 416,249 | |||
Telefonica Brasil SA Preference Shares | 51,255 | 448,346 | |||
TIM Participacoes SA | 97,700 | 252,666 | |||
Ultrapar Participacoes SA | 83,464 | 279,389 | |||
Vale SA | 405,884 | 4,133,648 | |||
WEG SA | 91,330 | 841,810 | |||
32,971,874 | |||||
CHILE — 0.6% | |||||
Aguas Andinas SA Class A | 321,689 | 109,059 | |||
Banco de Chile | 5,190,834 | 458,610 | |||
Banco de Credito e Inversiones SA | 6,057 | 205,942 | |||
Banco Santander Chile | 7,384,708 | 302,372 | |||
Cencosud SA | 172,446 | 241,668 | |||
Cencosud Shopping SA | 53,243 | 94,736 | |||
Cia Cervecerias Unidas SA | 17,663 | 127,317 | |||
Colbun SA | 950,433 | 151,726 | |||
Embotelladora Andina SA Class B, Preference Shares | 43,538 | 106,643 | |||
Empresa Nacional de Telecomunicaciones SA | 19,073 | 123,187 | |||
Empresas CMPC SA | 122,388 | 243,404 | |||
Empresas COPEC SA | 43,547 | 292,401 | |||
Enel Americas SA | 3,725,446 | 562,948 | |||
Enel Chile SA | 3,038,792 | 227,373 | |||
Falabella SA | 81,495 | 258,210 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 13,196 | 343,649 | |||
3,849,245 | |||||
CHINA — 35.2% | |||||
360 Security Technology, Inc. Class A | 6,200 | 16,124 | |||
3SBio, Inc. (a)(c) | 134,800 | 171,574 | |||
51job, Inc. ADR (a) | 3,200 | 229,728 | |||
58.com, Inc. ADR (a) | 10,300 | 555,582 | |||
AAC Technologies Holdings, Inc. (b) | 78,500 | 484,803 |
Security Description | Shares | Value | |||
AECC Aviation Power Co., Ltd. Class A | 5,200 | $ 17,364 | |||
Agile Group Holdings, Ltd. | 124,000 | 146,984 | |||
Agricultural Bank of China, Ltd. Class A | 278,400 | 133,393 | |||
Agricultural Bank of China, Ltd. Class H | 3,025,500 | 1,224,561 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 14,141 | 87,126 | |||
Air China, Ltd. Class A | 18,400 | 17,322 | |||
Air China, Ltd. Class H | 226,000 | 135,872 | |||
Aisino Corp. Class A | 4,300 | 9,920 | |||
AK Medical Holdings, Ltd. (c) | 40,000 | 127,510 | |||
Alibaba Group Holding, Ltd. ADR (a) | 206,682 | 44,581,307 | |||
Alibaba Health Information Technology, Ltd. (a) | 396,500 | 1,165,987 | |||
A-Living Services Co., Ltd. Class H (c) | 42,500 | 215,994 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 29,900 | 11,739 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 454,000 | 85,630 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 23,155 | |||
Anhui Conch Cement Co., Ltd. Class A | 14,500 | 109,165 | |||
Anhui Conch Cement Co., Ltd. Class H | 138,000 | 935,114 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 900 | 19,183 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 11,400 | 122,797 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 1,100 | 7,961 | |||
ANTA Sports Products, Ltd. | 121,000 | 1,076,553 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 500 | 17,205 | |||
Autobio Diagnostics Co., Ltd. Class A | 400 | 9,194 | |||
Autohome, Inc. ADR | 6,600 | 498,300 | |||
AVIC Aircraft Co., Ltd. Class A | 6,300 | 15,899 | |||
Avic Capital Co., Ltd. Class A | 20,500 | 11,535 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 16,256 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 2,400 | 13,986 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A | 4,000 | 18,629 | |||
AviChina Industry & Technology Co., Ltd. Class H | 313,000 | 142,779 | |||
AVICOPTER PLC Class A | 2,300 | 13,413 | |||
BAIC Motor Corp., Ltd. Class H (c) | 187,000 | 81,837 | |||
Baidu, Inc. ADR (a) | 30,100 | 3,608,689 | |||
Bank of Beijing Co., Ltd. Class A | 71,740 | 49,835 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 17,395 | |||
Bank of China, Ltd. Class A | 121,000 | 59,689 |
Security Description | Shares | Value | |||
Bank of China, Ltd. Class H | 8,714,000 | $ 3,227,974 | |||
Bank of Communications Co., Ltd. Class A | 144,012 | 104,691 | |||
Bank of Communications Co., Ltd. Class H | 972,000 | 601,838 | |||
Bank of Hangzhou Co., Ltd. Class A | 11,700 | 14,818 | |||
Bank of Jiangsu Co., Ltd. Class A | 36,000 | 28,952 | |||
Bank of Nanjing Co., Ltd. Class A | 25,440 | 26,459 | |||
Bank of Ningbo Co., Ltd. Class A | 20,000 | 74,595 | |||
Bank of Shanghai Co., Ltd. Class A | 49,008 | 57,711 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 61,000 | 39,525 | |||
Baozun, Inc. ADR (a)(b) | 5,100 | 196,095 | |||
BBMG Corp. Class A | 33,400 | 14,537 | |||
Beijing Capital International Airport Co., Ltd. Class H | 178,000 | 111,400 | |||
Beijing Enlight Media Co., Ltd. Class A | 4,500 | 6,988 | |||
Beijing Enterprises Holdings, Ltd. | 61,000 | 204,844 | |||
Beijing Enterprises Water Group, Ltd. | 562,000 | 220,540 | |||
Beijing New Building Materials PLC Class A | 3,500 | 10,597 | |||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. Class A | 3,000 | 17,317 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 14,647 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 4,000 | 22,199 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 12,959 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 2,300 | 8,563 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 1,600 | 10,278 | |||
Beijing Tongrentang Co., Ltd. Class A | 6,000 | 23,081 | |||
BEST, Inc. ADR (a)(b) | 21,000 | 89,880 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 600 | 11,902 | |||
BGI Genomics Co., Ltd. Class A | 1,600 | 35,299 | |||
Bilibili, Inc. ADR (a) | 10,500 | 486,360 | |||
BOE Technology Group Co., Ltd. Class A | 116,100 | 77,274 | |||
Brilliance China Automotive Holdings, Ltd. | 334,000 | 302,300 | |||
BYD Co., Ltd. Class A | 5,600 | 57,338 | |||
BYD Co., Ltd. Class H (b) | 74,000 | 576,930 | |||
BYD Electronic International Co., Ltd. (b) | 72,000 | 166,336 | |||
By-health Co., Ltd. Class A | 6,300 | 17,629 | |||
Caitong Securities Co., Ltd. Class A | 13,000 | 18,921 | |||
CanSino Biologics, Inc. Class H (a)(b)(c) | 6,400 | 176,227 |
Security Description | Shares | Value | |||
Centre Testing International Group Co., Ltd. Class A | 6,600 | $ 18,521 | |||
CGN Power Co., Ltd. Class H (c) | 1,017,700 | 211,003 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,400 | 86,230 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 18,816 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 19,861 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 30,334 | |||
Chengdu Kanghong Pharmaceutical Group Co., Ltd. Class A | 2,900 | 20,362 | |||
China Aoyuan Group, Ltd. | 141,000 | 172,333 | |||
China Cinda Asset Management Co., Ltd. Class H | 958,481 | 189,069 | |||
China CITIC Bank Corp., Ltd. Class A | 23,400 | 17,089 | |||
China CITIC Bank Corp., Ltd. Class H | 969,000 | 424,626 | |||
China Communications Construction Co., Ltd. Class A | 11,000 | 11,471 | |||
China Communications Construction Co., Ltd. Class H | 497,000 | 281,891 | |||
China Communications Services Corp., Ltd. Class H | 258,000 | 161,686 | |||
China Conch Venture Holdings, Ltd. | 177,000 | 751,261 | |||
China Construction Bank Corp. Class A | 28,400 | 25,414 | |||
China Construction Bank Corp. Class H | 10,560,500 | 8,589,781 | |||
China East Education Holdings, Ltd. (c) | 46,000 | 83,619 | |||
China Eastern Airlines Corp., Ltd. Class A (a) | 22,400 | 13,468 | |||
China Eastern Airlines Corp., Ltd. Class H (a)(b) | 234,000 | 84,251 | |||
China Education Group Holdings, Ltd. | 70,000 | 112,887 | |||
China Everbright Bank Co., Ltd. Class A | 142,600 | 72,390 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 140,844 | |||
China Everbright International, Ltd. | 409,222 | 217,123 | |||
China Evergrande Group (b) | 209,000 | 543,852 | |||
China Feihe, Ltd. (c) | 95,000 | 191,436 | |||
China Fortune Land Development Co., Ltd. Class A | 9,500 | 30,869 | |||
China Galaxy Securities Co., Ltd. Class H | 382,000 | 207,959 | |||
China Gezhouba Group Co., Ltd. Class A | 6,400 | 5,409 |
Security Description | Shares | Value | |||
China Greatwall Technology Group Co., Ltd. Class A | 7,100 | $ 13,342 | |||
China Hongqiao Group, Ltd. | 203,000 | 90,392 | |||
China Huarong Asset Management Co., Ltd. Class H (c) | 1,217,500 | 123,300 | |||
China International Capital Corp., Ltd. Class H (a)(b)(c) | 153,200 | 303,116 | |||
China Jinmao Holdings Group, Ltd. | 596,000 | 424,153 | |||
China Jushi Co., Ltd. Class A | 6,500 | 8,443 | |||
China Lesso Group Holdings, Ltd. | 117,000 | 153,573 | |||
China Life Insurance Co., Ltd. Class A | 9,000 | 34,837 | |||
China Life Insurance Co., Ltd. Class H | 815,000 | 1,644,487 | |||
China Literature, Ltd. (a)(b)(c) | 29,600 | 200,714 | |||
China Longyuan Power Group Corp., Ltd. Class H | 387,000 | 218,194 | |||
China Medical System Holdings, Ltd. | 148,000 | 175,027 | |||
China Mengniu Dairy Co., Ltd. | 308,000 | 1,181,058 | |||
China Merchants Bank Co., Ltd. Class A | 74,500 | 356,988 | |||
China Merchants Bank Co., Ltd. Class H | 427,500 | 1,981,108 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 12,300 | 10,199 | |||
China Merchants Port Holdings Co., Ltd. | 168,360 | 199,699 | |||
China Merchants Securities Co., Ltd. Class A | 18,500 | 57,644 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 27,812 | 64,961 | |||
China Minsheng Banking Corp., Ltd. Class A | 130,300 | 104,751 | |||
China Minsheng Banking Corp., Ltd. Class H | 631,700 | 434,840 | |||
China Molybdenum Co., Ltd. Class A | 50,000 | 26,178 | |||
China Molybdenum Co., Ltd. Class H | 348,000 | 114,897 | |||
China National Building Material Co., Ltd. Class H | 420,000 | 450,496 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 16,504 | |||
China National Nuclear Power Co., Ltd. Class A | 36,900 | 21,417 | |||
China National Software & Service Co., Ltd. Class A | 1,000 | 11,272 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A (a) | 8,300 | 11,006 | |||
China Oilfield Services, Ltd. Class H | 176,000 | 160,389 | |||
China Overseas Land & Investment, Ltd. | 419,500 | 1,280,925 | |||
China Overseas Property Holdings, Ltd. | 140,000 | 149,249 |
Security Description | Shares | Value | |||
China Pacific Insurance Group Co., Ltd. Class A | 23,100 | $ 89,529 | |||
China Pacific Insurance Group Co., Ltd. Class H | 294,200 | 790,722 | |||
China Petroleum & Chemical Corp. Class A | 87,200 | 48,427 | |||
China Petroleum & Chemical Corp. Class H | 2,652,000 | 1,109,230 | |||
China Power International Development, Ltd. | 523,000 | 96,255 | |||
China Railway Construction Corp., Ltd. Class A | 46,100 | 54,887 | |||
China Railway Construction Corp., Ltd. Class H | 219,500 | 173,867 | |||
China Railway Group, Ltd. Class A | 62,100 | 44,295 | |||
China Railway Group, Ltd. Class H | 416,000 | 214,736 | |||
China Railway Signal & Communication Corp., Ltd. Class H (c) | 174,000 | 75,143 | |||
China Reinsurance Group Corp. Class H | 669,000 | 68,541 | |||
China Resources Beer Holdings Co., Ltd. | 159,333 | 889,402 | |||
China Resources Gas Group, Ltd. | 96,000 | 469,713 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 199,500 | 115,563 | |||
China Resources Power Holdings Co., Ltd. | 214,000 | 252,434 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 17,370 | |||
China Shenhua Energy Co., Ltd. Class A | 13,300 | 27,130 | |||
China Shenhua Energy Co., Ltd. Class H | 370,000 | 574,234 | |||
China Shipbuilding Industry Co., Ltd. Class A | 78,000 | 44,315 | |||
China Southern Airlines Co., Ltd. Class A | 34,500 | 25,397 | |||
China Southern Airlines Co., Ltd. Class H (a)(b) | 188,000 | 84,071 | |||
China Spacesat Co., Ltd. Class A | 4,600 | 20,161 | |||
China State Construction Engineering Corp., Ltd. Class A | 153,900 | 104,247 | |||
China Taiping Insurance Holdings Co., Ltd. | 183,600 | 296,587 | |||
China Telecom Corp., Ltd. Class H | 1,430,000 | 401,685 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 7,100 | 155,746 | |||
China Tower Corp., Ltd. Class H (c) | 4,842,000 | 860,457 | |||
China TransInfo Technology Co., Ltd. Class A | 6,000 | 20,472 | |||
China Unicom Hong Kong, Ltd. | 700,000 | 380,869 |
Security Description | Shares | Value | |||
China United Network Communications, Ltd. Class A | 112,200 | $ 77,208 | |||
China Vanke Co., Ltd. Class A | 36,300 | 134,919 | |||
China Vanke Co., Ltd. Class H | 187,300 | 597,801 | |||
China Yangtze Power Co., Ltd. Class A | 84,105 | 226,032 | |||
China Yuhua Education Corp., Ltd. (c) | 122,000 | 100,752 | |||
Chongqing Brewery Co., Ltd. Class A | 2,000 | 20,724 | |||
Chongqing Changan Automobile Co., Ltd. Class A | 16,700 | 26,086 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 248,000 | 98,079 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 5,400 | 76,406 | |||
CIFI Holdings Group Co., Ltd. | 305,425 | 240,603 | |||
CITIC Securities Co., Ltd. Class A | 36,100 | 123,655 | |||
CITIC Securities Co., Ltd. Class H (b) | 237,000 | 452,075 | |||
CITIC, Ltd. | 633,000 | 597,737 | |||
CNOOC, Ltd. | 1,957,000 | 2,196,409 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 7,600 | 189,593 | |||
COSCO SHIPPING Energy Transportation Co., Ltd. Class H | 146,000 | 65,391 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 27,000 | 13,313 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 304,750 | 88,014 | |||
COSCO SHIPPING Ports, Ltd. | 211,351 | 114,004 | |||
Country Garden Holdings Co., Ltd. | 835,656 | 1,036,471 | |||
Country Garden Services Holdings Co., Ltd. (b) | 148,000 | 690,921 | |||
CRRC Corp., Ltd. Class A | 86,909 | 68,745 | |||
CRRC Corp., Ltd. Class H | 486,000 | 206,329 | |||
CSC Financial Co., Ltd. Class A | 7,900 | 44,243 | |||
CSPC Pharmaceutical Group, Ltd. | 614,400 | 1,163,611 | |||
Dali Foods Group Co., Ltd. (c) | 252,300 | 153,769 | |||
Daqin Railway Co., Ltd. Class A | 59,600 | 59,469 | |||
Dawning Information Industry Co., Ltd. Class A | 2,100 | 11,467 | |||
DHC Software Co., Ltd. Class A | 4,400 | 7,837 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 13,711 | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | 13,948 | |||
Dongfeng Motor Group Co., Ltd. Class H | 290,000 | 174,898 | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | 17,961 | |||
East Money Information Co., Ltd. Class A | 32,280 | 92,741 | |||
ENN Energy Holdings, Ltd. | 87,900 | 993,319 | |||
Eve Energy Co., Ltd. Class A | 4,181 | 28,430 | |||
Everbright Securities Co., Ltd. Class A | 8,999 | 20,504 |
Security Description | Shares | Value | |||
Fangda Carbon New Material Co., Ltd. Class A (a) | 17,360 | $ 15,545 | |||
Far East Horizon, Ltd. | 211,000 | 180,127 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 2,000 | 8,233 | |||
Financial Street Holdings Co., Ltd. Class A | 11,900 | 11,216 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 13,864 | |||
Focus Media Information Technology Co., Ltd. Class A | 46,800 | 37,076 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 10,200 | 179,825 | |||
Fosun International, Ltd. | 287,000 | 367,828 | |||
Founder Securities Co., Ltd. Class A | 33,000 | 33,224 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 11,300 | 24,381 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 16,905 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 4,600 | 13,641 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (c) | 62,456 | 149,538 | |||
Ganfeng Lithium Co., Ltd. Class A | 1,600 | 12,188 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 23,369 | |||
GCL System Integration Technology Co., Ltd. Class A (a) | 9,500 | 3,502 | |||
GD Power Development Co., Ltd. Class A | 45,000 | 11,813 | |||
GDS Holdings, Ltd. ADR (a) | 8,600 | 685,076 | |||
Geely Automobile Holdings, Ltd. | 642,000 | 1,019,986 | |||
Gemdale Corp. Class A | 18,100 | 35,226 | |||
Genscript Biotech Corp. (a) | 110,000 | 227,491 | |||
GF Securities Co., Ltd. Class A | 18,200 | 36,515 | |||
GF Securities Co., Ltd. Class H | 149,200 | 160,691 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 13,341 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 1,209 | 40,594 | |||
Glodon Co., Ltd. Class A | 2,500 | 24,768 | |||
GoerTek, Inc. Class A | 9,400 | 39,344 | |||
GOME Retail Holdings, Ltd. (a)(b) | 1,017,000 | 170,472 | |||
Grandjoy Holdings Group Co., Ltd. Class A | 13,100 | 9,477 | |||
Great Wall Motor Co., Ltd. Class H (b) | 343,000 | 215,875 | |||
Gree Electric Appliances, Inc. of Zhuhai Class A | 10,800 | 86,819 | |||
Greenland Holdings Corp., Ltd. Class A | 32,500 | 28,523 | |||
Greentown Service Group Co., Ltd. | 158,000 | 187,280 | |||
GSX Techedu, Inc. ADR (a)(b) | 8,300 | 497,917 |
Security Description | Shares | Value | |||
Guangdong Haid Group Co., Ltd. Class A | 4,100 | $ 27,700 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A (a) | 12,100 | 11,899 | |||
Guanghui Energy Co., Ltd. Class A (a) | 27,300 | 10,465 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 324,800 | 236,641 | |||
Guangzhou Baiyun International Airport Co., Ltd. Class A | 4,200 | 9,103 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 3,200 | 14,690 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | 16,936 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 21,598 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 119,600 | 140,748 | |||
Guosen Securities Co., Ltd. Class A | 9,400 | 15,077 | |||
Guotai Junan Securities Co., Ltd. Class A | 25,800 | 63,238 | |||
Guotai Junan Securities Co., Ltd. Class H (c) | 56,600 | 78,714 | |||
Guoyuan Securities Co., Ltd. Class A | 14,400 | 17,190 | |||
Haidilao International Holding, Ltd. (b)(c) | 86,000 | 365,497 | |||
Haier Smart Home Co., Ltd. Class A | 20,400 | 51,282 | |||
Haitian International Holdings, Ltd. | 69,000 | 140,513 | |||
Haitong Securities Co., Ltd. Class A | 32,500 | 58,079 | |||
Haitong Securities Co., Ltd. Class H | 292,400 | 237,561 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 35,300 | 152,657 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 1,500 | 6,632 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 25,934 | |||
Hansoh Pharmaceutical Group Co., Ltd. (a)(c) | 54,000 | 255,390 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 2,700 | 20,111 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 8,797 | 57,587 | |||
Hengan International Group Co., Ltd. | 71,000 | 558,859 | |||
Hengli Petrochemical Co., Ltd. Class A | 20,300 | 40,364 | |||
Hengtong Optic-electric Co., Ltd. Class A | 8,100 | 18,926 | |||
Hengyi Petrochemical Co., Ltd. Class A | 16,510 | 21,403 |
Security Description | Shares | Value | |||
Hesteel Co., Ltd. Class A | 42,500 | $ 12,318 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 39,830 | |||
Hua Hong Semiconductor, Ltd. (a)(b)(c) | 55,000 | 192,813 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 13,204 | |||
Huadong Medicine Co., Ltd. Class A | 3,960 | 14,219 | |||
Hualan Biological Engineering, Inc. Class A | 4,810 | 34,191 | |||
Huaneng Power International, Inc. Class A | 6,600 | 3,952 | |||
Huaneng Power International, Inc. Class H | 444,000 | 167,466 | |||
Huatai Securities Co., Ltd. Class A | 25,218 | 67,343 | |||
Huatai Securities Co., Ltd. Class H (c) | 156,700 | 250,846 | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | 15,709 | |||
Huaxia Bank Co., Ltd. Class A | 41,700 | 36,197 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 18,245 | |||
Huayu Automotive Systems Co., Ltd. Class A | 9,900 | 29,347 | |||
Huazhu Group, Ltd. ADR (b) | 14,400 | 504,720 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 13,782 | 10,188 | |||
Hundsun Technologies, Inc. Class A | 4,160 | 63,729 | |||
HUYA, Inc. ADR (a)(b) | 6,600 | 123,222 | |||
Iflytek Co., Ltd. Class A | 6,650 | 35,448 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 203,542 | 143,671 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,667,000 | 4,030,679 | |||
Industrial Bank Co., Ltd. Class A | 79,499 | 178,129 | |||
Industrial Securities Co., Ltd. Class A | 15,300 | 14,892 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A | 126,100 | 19,317 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 33,800 | 12,208 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 22,000 | 97,229 | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 134,300 | 87,401 | |||
Innovent Biologics, Inc. (a)(c) | 105,500 | 785,210 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 3,248 | 18,231 | |||
iQIYI, Inc. ADR (a)(b) | 24,000 | 556,560 | |||
Jafron Biomedical Co., Ltd. Class A | 1,520 | 15,002 | |||
JD.com, Inc. ADR (a) | 93,367 | 5,618,826 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 11,000 | 11,727 |
Security Description | Shares | Value | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | $ 173,949 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 1,800 | 20,533 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 18,120 | 237,024 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 2,800 | 15,832 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,300 | 79,177 | |||
Jiangsu Zhongnan Construction Group Co., Ltd. Class A | 6,200 | 7,847 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 20,236 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 16,887 | |||
Jiangxi Copper Co., Ltd. Class H | 127,000 | 129,400 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 5,000 | 12,415 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 27,343 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 4,600 | 18,154 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A | 7,500 | 19,768 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. Class A | 1,600 | 13,279 | |||
JOYY, Inc. ADR (a) | 6,500 | 575,575 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 23,014 | |||
Juneyao Airlines Co., Ltd. Class A | 6,600 | 8,547 | |||
Kaisa Group Holdings, Ltd. | 305,000 | 116,125 | |||
Kingdee International Software Group Co., Ltd. | 261,000 | 610,713 | |||
Kingsoft Corp., Ltd. (b) | 92,000 | 430,935 | |||
Koolearn Technology Holding, Ltd. (a)(b)(c) | 24,500 | 98,878 | |||
Kunlun Energy Co., Ltd. | 406,000 | 265,902 | |||
Kweichow Moutai Co., Ltd. Class A | 4,399 | 914,350 | |||
KWG Group Holdings, Ltd. | 137,250 | 233,197 | |||
Legend Holdings Corp. Class H (c) | 44,800 | 52,537 | |||
Lenovo Group, Ltd. | 782,000 | 436,313 | |||
Lens Technology Co., Ltd. Class A | 14,200 | 56,668 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | 27,408 | |||
Li Ning Co., Ltd. | 225,000 | 720,554 | |||
Lingyi iTech Guangdong Co. Class A (a) | 16,300 | 24,704 | |||
Logan Group Co., Ltd. | 150,000 | 267,994 | |||
Lomon Billions Group Co., Ltd. Class A | 8,200 | 21,568 | |||
Longfor Group Holdings, Ltd. (c) | 200,000 | 957,373 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 11,400 | 66,003 | |||
Luxshare Precision Industry Co., Ltd. Class A | 25,271 | 184,932 | |||
Luye Pharma Group, Ltd. (b)(c) | 143,500 | 88,230 |
Security Description | Shares | Value | |||
Luzhou Laojiao Co., Ltd. Class A | 5,100 | $ 66,050 | |||
Mango Excellent Media Co., Ltd. Class A (a) | 5,440 | 50,413 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A | 15,000 | 30,708 | |||
Meituan Dianping Class B (a) | 390,400 | 8,724,074 | |||
Metallurgical Corp. of China, Ltd. Class A | 40,900 | 14,593 | |||
Momo, Inc. ADR | 17,400 | 304,152 | |||
Muyuan Foodstuff Co., Ltd. Class A | 10,540 | 122,715 | |||
NanJi E-Commerce Co., Ltd. Class A | 9,800 | 29,462 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 2,400 | 21,945 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 26,606 | |||
NARI Technology Co., Ltd. Class A | 15,402 | 44,424 | |||
NAURA Technology Group Co., Ltd. Class A | 800 | 19,410 | |||
NavInfo Co., Ltd. Class A | 3,500 | 8,207 | |||
NetEase, Inc. ADR | 8,973 | 3,852,827 | |||
New China Life Insurance Co., Ltd. Class A | 6,800 | 42,789 | |||
New China Life Insurance Co., Ltd. Class H | 92,500 | 311,942 | |||
New Hope Liuhe Co., Ltd. Class A | 13,700 | 58,043 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 15,600 | 2,031,588 | |||
Ninestar Corp. Class A | 4,400 | 20,554 | |||
Ningbo Zhoushan Port Co., Ltd. Class A | 46,500 | 23,557 | |||
NIO, Inc. ADR (a) | 99,300 | 766,596 | |||
Noah Holdings, Ltd. ADR (a)(b) | 4,400 | 112,068 | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | 4,020 | |||
OFILM Group Co., Ltd. Class A (a) | 12,400 | 32,428 | |||
Oppein Home Group, Inc. Class A | 1,200 | 19,738 | |||
Orient Securities Co., Ltd. Class A | 23,900 | 32,220 | |||
Oriental Pearl Group Co., Ltd. Class A | 14,200 | 19,462 | |||
Ovctek China, Inc. Class A | 2,400 | 23,557 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (a) | 33,400 | 9,546 | |||
People's Insurance Co. Group of China, Ltd. Class H | 928,000 | 272,138 | |||
Perfect World Co., Ltd. Class A | 3,200 | 26,219 | |||
PetroChina Co., Ltd. Class A | 51,800 | 30,801 | |||
PetroChina Co., Ltd. Class H | 2,354,000 | 787,161 | |||
PICC Property & Casualty Co., Ltd. Class H | 751,000 | 624,134 | |||
Pinduoduo, Inc. ADR (a) | 28,200 | 2,420,688 |
Security Description | Shares | Value | |||
Ping An Bank Co., Ltd. Class A | 64,200 | $ 116,727 | |||
Ping An Healthcare and Technology Co., Ltd. (a)(b)(c) | 40,600 | 622,464 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 39,200 | 397,100 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 654,000 | 6,519,759 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 42,600 | 89,393 | |||
Poly Property Development Co., Ltd. Class H (b) | 12,000 | 121,544 | |||
Postal Savings Bank of China Co., Ltd. Class H (c) | 1,081,000 | 622,898 | |||
Power Construction Corp. of China, Ltd. Class A | 51,100 | 25,128 | |||
RiseSun Real Estate Development Co., Ltd. Class A | 19,300 | 22,213 | |||
Rongsheng Petro Chemical Co., Ltd. Class A | 13,370 | 23,380 | |||
SAIC Motor Corp., Ltd. Class A | 27,800 | 67,144 | |||
Sanan Optoelectronics Co., Ltd. Class A | 12,000 | 42,676 | |||
Sangfor Technologies, Inc. Class A | 750 | 21,955 | |||
Sany Heavy Industry Co., Ltd. Class A | 28,555 | 76,234 | |||
SDIC Capital Co., Ltd. Class A | 8,100 | 14,664 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 30,342 | |||
Seazen Group, Ltd. | 218,000 | 189,297 | |||
Seazen Holdings Co., Ltd. Class A | 6,800 | 30,190 | |||
Semiconductor Manufacturing International Corp. (a)(b) | 361,800 | 1,269,185 | |||
SF Holding Co., Ltd. Class A | 4,700 | 36,441 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 24,700 | 25,317 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 18,810 | |||
Shandong Gold Mining Co., Ltd. Class A | 8,020 | 42,184 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 6,500 | 16,332 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 13,791 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 13,808 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 3,890 | 18,491 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 14,229 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 268,000 | 598,407 | |||
Shanghai Baosight Software Co., Ltd. Class A | 1,300 | 10,950 | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | 20,574 |
Security Description | Shares | Value | |||
Shanghai Electric Group Co., Ltd. Class A | 19,000 | $ 13,608 | |||
Shanghai Electric Group Co., Ltd. Class H (a) | 318,000 | 90,690 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 37,889 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 58,000 | 194,450 | |||
Shanghai International Airport Co., Ltd. Class A | 2,968 | 30,332 | |||
Shanghai International Port Group Co., Ltd. Class A | 19,400 | 11,552 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 110,379 | |||
Shanghai M&G Stationery, Inc. Class A | 2,300 | 17,822 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 22,400 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 90,300 | 151,761 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 111,600 | 167,434 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 16,351 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 17,990 | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 7,400 | 6,616 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 10,751 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 2,700 | 55,520 | |||
Shenergy Co., Ltd. Class A | 7,100 | 5,947 | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | 25,045 | |||
Shennan Circuits Co., Ltd. Class A | 1,260 | 30,071 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 75,100 | 53,846 | |||
Shenzhen Expressway Co., Ltd. Class H | 74,000 | 75,196 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 1,200 | 38,077 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 5,900 | 31,837 | |||
Shenzhen Investment, Ltd. | 347,732 | 110,705 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,449 | 56,209 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 3,800 | 164,373 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 28,337 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 2,100 | 15,864 | |||
Shenzhou International Group Holdings, Ltd. | 90,300 | 1,097,803 |
Security Description | Shares | Value | |||
Shui On Land, Ltd. | 425,800 | $ 71,794 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 13,145 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 15,468 | |||
Sichuan Swellfun Co., Ltd. Class A | 800 | 7,091 | |||
Silergy Corp. | 8,000 | 524,066 | |||
SINA Corp. (a) | 7,300 | 262,143 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 19,776 | |||
Sino-Ocean Group Holding, Ltd. | 379,500 | 91,333 | |||
Sinopec Engineering Group Co., Ltd. Class H | 163,500 | 70,203 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | 12,085 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 428,000 | 103,057 | |||
Sinopharm Group Co., Ltd. Class H | 146,000 | 375,362 | |||
Sinotruk Hong Kong, Ltd. | 73,500 | 191,818 | |||
SOHO China, Ltd. (a) | 241,000 | 85,138 | |||
Songcheng Performance Development Co., Ltd. Class A | 11,340 | 27,874 | |||
SooChow Securities Co., Ltd. Class A | 15,600 | 18,125 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 19,510 | |||
Spring Airlines Co., Ltd. Class A | 3,300 | 16,569 | |||
Sunac China Holdings, Ltd. | 275,700 | 1,166,766 | |||
Suning.com Co., Ltd. Class A | 30,200 | 37,613 | |||
Sunny Optical Technology Group Co., Ltd. | 79,700 | 1,282,738 | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | 16,701 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | 30,714 | |||
TAL Education Group ADR (a) | 42,000 | 2,871,960 | |||
TBEA Co., Ltd. Class A | 14,887 | 14,345 | |||
TCL Technology Group Corp Class A | 31,000 | 27,343 | |||
Tencent Holdings, Ltd. | 630,600 | 40,407,764 | |||
Tencent Music Entertainment Group ADR (a) | 39,600 | 533,016 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 4,500 | 14,357 | |||
Tianma Microelectronics Co., Ltd. Class A | 8,800 | 19,247 | |||
Tianqi Lithium Corp. Class A (a) | 4,800 | 15,691 | |||
Tingyi Cayman Islands Holding Corp. | 228,000 | 355,173 | |||
Toly Bread Co., Ltd. Class A | 2,200 | 15,863 | |||
Tongcheng-Elong Holdings, Ltd. (a) | 90,000 | 163,433 | |||
Tonghua Dongbao Pharmaceutical Co., Ltd. Class A | 8,900 | 22,028 |
Security Description | Shares | Value | |||
Tongkun Group Co., Ltd. Class A (a) | 7,400 | $ 13,433 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 11,575 | |||
Tongwei Co., Ltd. Class A | 8,900 | 22,000 | |||
Topchoice Medical Corp. Class A (a) | 300 | 7,095 | |||
Topsports International Holdings, Ltd. (c) | 125,000 | 160,821 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 10,061 | |||
TravelSky Technology, Ltd. Class H | 113,000 | 200,072 | |||
Trip.com Group, Ltd. ADR (a) | 51,867 | 1,344,393 | |||
Tsingtao Brewery Co., Ltd. Class A | 3,200 | 34,761 | |||
Tsingtao Brewery Co., Ltd. Class H | 44,000 | 328,381 | |||
Tunghsu Optoelectronic Technology Co., Ltd. Class A | 22,800 | 8,670 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 900 | 9,306 | |||
Uni-President China Holdings, Ltd. | 137,000 | 137,043 | |||
Unisplendour Corp., Ltd. Class A | 4,400 | 26,936 | |||
Universal Scientific Industrial Shanghai Co., Ltd. Class A | 5,800 | 18,047 | |||
Venustech Group, Inc. Class A | 1,500 | 8,953 | |||
Vipshop Holdings, Ltd. ADR (a) | 49,088 | 977,342 | |||
Walvax Biotechnology Co., Ltd. Class A | 3,500 | 25,926 | |||
Wanda Film Holding Co., Ltd. Class A (a) | 3,400 | 7,376 | |||
Wangsu Science & Technology Co., Ltd. Class A | 9,795 | 11,854 | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,100 | 78,807 | |||
Want Want China Holdings, Ltd. | 559,000 | 424,624 | |||
Weibo Corp. ADR (a)(b) | 6,060 | 203,616 | |||
Weichai Power Co., Ltd. Class A | 18,400 | 35,850 | |||
Weichai Power Co., Ltd. Class H | 219,000 | 412,627 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 23,040 | 71,338 | |||
Western Securities Co., Ltd. Class A | 14,600 | 16,930 | |||
Will Semiconductor, Ltd. Class A | 1,700 | 48,968 | |||
Wingtech Technology Co., Ltd. Class A (a) | 3,500 | 62,835 | |||
Winning Health Technology Group Co., Ltd. Class A | 8,450 | 27,584 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 12,151 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 60,465 | |||
Wuliangye Yibin Co., Ltd. Class A | 13,400 | 325,871 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 3,800 | 13,502 |
Security Description | Shares | Value | |||
WuXi AppTec Co., Ltd. Class A | 7,278 | $ 99,501 | |||
WuXi AppTec Co., Ltd. Class H (b)(c) | 23,827 | 311,175 | |||
Wuxi Biologics Cayman, Inc. (a)(c) | 99,500 | 1,826,394 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 3,700 | 24,286 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 29,516 | |||
Xiamen C & D, Inc. Class A | 11,400 | 13,103 | |||
Xiaomi Corp. Class B (a)(c) | 1,144,300 | 1,901,555 | |||
Xinhu Zhongbao Co., Ltd. Class A | 16,000 | 6,783 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 7,800 | 11,068 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H | 101,000 | 86,906 | |||
Xinyi Solar Holdings, Ltd. | 407,480 | 391,848 | |||
Yango Group Co., Ltd. Class A | 16,200 | 14,597 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 1,600 | 7,079 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 12,323 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 143,095 | |||
Yealink Network Technology Corp., Ltd. Class A | 1,500 | 14,565 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 980 | 12,652 | |||
Yihai International Holding, Ltd. | 51,000 | 525,561 | |||
Yintai Gold Co., Ltd. Class A | 7,900 | 17,819 | |||
Yonghui Superstores Co., Ltd. Class A | 28,800 | 38,321 | |||
Yonyou Network Technology Co., Ltd. Class A | 9,878 | 61,934 | |||
Yum China Holdings, Inc. | 39,100 | 1,879,537 | |||
Yunda Holding Co., Ltd. Class A | 9,360 | 32,536 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,299 | 57,241 | |||
Yunnan Energy New Material Co., Ltd. Class A | 2,700 | 25,263 | |||
Yuzhou Properties Co., Ltd. | 233,777 | 101,853 | |||
Zai Lab, Ltd. ADR (a) | 5,700 | 468,141 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,400 | 58,018 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 125,500 | 149,060 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 5,000 | 18,708 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 32,820 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,960 | 21,140 | |||
Zhejiang Expressway Co., Ltd. Class H | 180,000 | 127,831 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 5,830 | 28,139 |
Security Description | Shares | Value | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A | 4,600 | $ 25,543 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 7,400 | 13,454 | |||
Zhejiang NHU Co., Ltd. Class A | 5,400 | 22,317 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 8,190 | 25,506 | |||
Zhejiang Supor Co., Ltd. Class A | 1,300 | 13,106 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 7,928 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 9,300 | 16,099 | |||
Zhenro Properties Group, Ltd. | 162,000 | 101,605 | |||
Zheshang Securities Co., Ltd. Class A | 11,100 | 15,631 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 35,500 | 177,079 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 19,752 | |||
Zhongjin Gold Corp., Ltd. Class A | 14,600 | 19,085 | |||
Zhongsheng Group Holdings, Ltd. | 62,500 | 349,548 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 66,200 | 169,765 | |||
Zijin Mining Group Co., Ltd. Class A | 57,700 | 36,425 | |||
Zijin Mining Group Co., Ltd. Class H | 638,000 | 301,410 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 28,400 | 25,962 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H (a) | 147,600 | 114,279 | |||
ZTE Corp. Class A (a) | 13,800 | 78,665 | |||
ZTE Corp. Class H | 87,000 | 268,525 | |||
ZTO Express Cayman, Inc. ADR | 40,900 | 1,501,439 | |||
232,042,994 | |||||
COLOMBIA — 0.2% | |||||
Bancolombia SA | 28,086 | 180,266 | |||
Bancolombia SA Preference Shares | 52,347 | 345,781 | |||
Ecopetrol SA | 553,011 | 306,877 | |||
Grupo de Inversiones Suramericana SA | 28,763 | 143,381 | |||
Interconexion Electrica SA ESP | 48,854 | 245,623 | |||
1,221,928 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S (b) | 18,043 | 386,373 | |||
Komercni banka A/S (a) | 9,286 | 216,630 | |||
Moneta Money Bank A/S (c) | 54,482 | 123,405 | |||
726,408 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE | 158,922 | 635,903 | |||
Eastern Co SAE | 120,063 | 95,133 |
Security Description | Shares | Value | |||
ElSewedy Electric Co. | 98,402 | $ 40,599 | |||
771,635 | |||||
GREECE — 0.1% | |||||
FF Group (a)(d) | 3,869 | 2,086 | |||
Hellenic Telecommunications Organization SA | 27,689 | 373,906 | |||
JUMBO SA | 11,960 | 214,926 | |||
Motor Oil Hellas Corinth Refineries SA | 7,510 | 103,709 | |||
OPAP SA | 23,297 | 221,949 | |||
916,576 | |||||
HONG KONG — 2.0% | |||||
Alibaba Pictures Group, Ltd. (a)(b) | 1,275,900 | 170,814 | |||
Bosideng International Holdings, Ltd. | 412,000 | 128,282 | |||
China Everbright, Ltd. | 114,000 | 166,084 | |||
China Gas Holdings, Ltd. | 285,000 | 882,897 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(b)(d) | 406,100 | — | |||
China Mobile, Ltd. | 674,000 | 4,550,914 | |||
China Resources Cement Holdings, Ltd. | 275,000 | 339,166 | |||
China Resources Land, Ltd. | 352,000 | 1,345,421 | |||
China State Construction International Holdings, Ltd. | 240,000 | 141,001 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 278,000 | 134,485 | |||
Guangdong Investment, Ltd. | 320,000 | 551,968 | |||
Haier Electronics Group Co., Ltd. | 142,000 | 432,321 | |||
Hutchison China MediTech, Ltd. ADR (a) | 6,300 | 173,754 | |||
Kingboard Holdings, Ltd. | 72,500 | 189,241 | |||
Kingboard Laminates Holdings, Ltd. | 133,800 | 135,218 | |||
Lee & Man Paper Manufacturing, Ltd. | 136,000 | 73,921 | |||
Nine Dragons Paper Holdings, Ltd. | 180,000 | 164,575 | |||
Shanghai Industrial Holdings, Ltd. | 57,000 | 88,042 | |||
Shenzhen International Holdings, Ltd. | 107,039 | 171,344 | |||
Shimao Group Holdings, Ltd. | 131,500 | 562,201 | |||
Sino Biopharmaceutical, Ltd. | 774,000 | 1,458,841 | |||
SSY Group, Ltd. | 184,000 | 126,062 | |||
Sun Art Retail Group, Ltd. | 268,500 | 460,648 | |||
Vinda International Holdings, Ltd. | 38,000 | 136,508 | |||
Wharf Holdings, Ltd. (b) | 168,000 | 343,759 | |||
Yuexiu Property Co., Ltd. | 757,000 | 135,780 | |||
13,063,247 | |||||
HUNGARY — 0.2% | |||||
MOL Hungarian Oil & Gas PLC (a) | 45,650 | 269,553 | |||
OTP Bank Nyrt (a) | 24,421 | 857,461 |
Security Description | Shares | Value | |||
Richter Gedeon Nyrt | 15,488 | $ 320,972 | |||
1,447,986 | |||||
INDIA — 7.8% | |||||
Adani Ports & Special Economic Zone, Ltd. | 54,406 | 247,220 | |||
Ambuja Cements, Ltd. | 70,151 | 179,848 | |||
Asian Paints, Ltd. | 31,337 | 700,607 | |||
Aurobindo Pharma, Ltd. | 31,970 | 326,712 | |||
Avenue Supermarts, Ltd. (a)(c) | 16,903 | 518,757 | |||
Axis Bank, Ltd. | 228,122 | 1,234,086 | |||
Bajaj Auto, Ltd. | 9,681 | 362,155 | |||
Bajaj Finance, Ltd. | 20,030 | 753,892 | |||
Bajaj Finserv, Ltd. | 4,356 | 337,553 | |||
Bandhan Bank, Ltd. (c) | 47,726 | 203,528 | |||
Berger Paints India, Ltd. | 25,564 | 167,458 | |||
Bharat Forge, Ltd. | 25,984 | 109,895 | |||
Bharat Petroleum Corp., Ltd. | 74,248 | 368,167 | |||
Bharti Airtel, Ltd. (a) | 269,027 | 1,998,056 | |||
Bharti Infratel, Ltd. | 40,967 | 120,414 | |||
Biocon, Ltd. | 30,387 | 156,566 | |||
Bosch, Ltd. | 600 | 90,840 | |||
Britannia Industries, Ltd. | 6,273 | 300,000 | |||
Cipla, Ltd. | 40,152 | 340,511 | |||
Coal India, Ltd. | 142,753 | 252,181 | |||
Colgate-Palmolive India, Ltd. | 7,108 | 132,593 | |||
Container Corp. Of India, Ltd. | 25,257 | 139,662 | |||
Dabur India, Ltd. | 61,180 | 377,874 | |||
Divi's Laboratories, Ltd. | 8,780 | 265,188 | |||
DLF, Ltd. | 65,554 | 128,671 | |||
Dr Reddy's Laboratories, Ltd. | 12,624 | 661,242 | |||
Eicher Motors, Ltd. | 1,519 | 368,836 | |||
GAIL India, Ltd. | 169,014 | 230,098 | |||
GAIL India, Ltd. GDR | 3,808 | 30,080 | |||
Godrej Consumer Products, Ltd. | 41,441 | 379,710 | |||
Grasim Industries, Ltd. | 34,103 | 280,133 | |||
Havells India, Ltd. | 30,412 | 233,336 | |||
HCL Technologies, Ltd. | 118,445 | 874,113 | |||
HDFC Asset Management Co., Ltd. (c) | 4,737 | 155,936 | |||
HDFC Life Insurance Co., Ltd. (a)(c) | 76,734 | 560,476 | |||
Hero MotoCorp, Ltd. | 10,810 | 365,302 | |||
Hindalco Industries, Ltd. | 126,846 | 248,399 | |||
Hindustan Petroleum Corp., Ltd. | 65,561 | 188,709 | |||
Hindustan Unilever, Ltd. | 90,136 | 2,605,901 | |||
Housing Development Finance Corp., Ltd. | 180,454 | 4,195,938 | |||
ICICI Bank, Ltd. | 524,802 | 2,446,703 | |||
ICICI Lombard General Insurance Co., Ltd. (c) | 20,575 | 345,622 | |||
ICICI Prudential Life Insurance Co., Ltd. (c) | 38,573 | 218,065 | |||
Indian Oil Corp., Ltd. | 218,069 | 247,120 | |||
Indraprastha Gas, Ltd. (a) | 22,084 | 129,865 | |||
Info Edge India, Ltd. | 6,821 | 249,090 | |||
Infosys, Ltd. | 373,721 | 3,632,832 |
Security Description | Shares | Value | |||
InterGlobe Aviation, Ltd. (c) | 11,358 | $ 148,283 | |||
ITC, Ltd. | 384,197 | 992,032 | |||
JSW Steel, Ltd. | 92,354 | 233,895 | |||
Jubilant Foodworks, Ltd. | 7,691 | 176,012 | |||
Larsen & Toubro, Ltd. | 53,654 | 673,358 | |||
LIC Housing Finance, Ltd. | 38,049 | 133,928 | |||
Lupin, Ltd. | 24,422 | 295,091 | |||
Mahindra & Mahindra, Ltd. GDR | 2,150 | 14,270 | |||
Mahindra & Mahindra, Ltd. | 83,139 | 564,323 | |||
Marico, Ltd. | 48,208 | 224,767 | |||
Maruti Suzuki India, Ltd. | 13,190 | 1,021,064 | |||
Motherson Sumi Systems, Ltd. | 120,996 | 152,252 | |||
Nestle India, Ltd. | 2,636 | 598,517 | |||
NTPC, Ltd. | 274,023 | 348,626 | |||
Oil & Natural Gas Corp., Ltd. | 286,783 | 311,399 | |||
Page Industries, Ltd. | 584 | 154,044 | |||
Petronet LNG, Ltd. | 65,836 | 225,308 | |||
Pidilite Industries, Ltd. | 13,295 | 241,600 | |||
Piramal Enterprises, Ltd. | 10,852 | 195,319 | |||
Power Grid Corp. of India, Ltd. | 208,957 | 484,652 | |||
REC, Ltd. | 86,724 | 124,515 | |||
Reliance Industries, Ltd. | 313,169 | 7,123,472 | |||
SBI Life Insurance Co., Ltd. (a)(c) | 43,344 | 462,784 | |||
Shree Cement, Ltd. | 928 | 283,721 | |||
Shriram Transport Finance Co., Ltd. | 9,577 | 87,399 | |||
Siemens, Ltd. | 7,799 | 113,328 | |||
State Bank of India (a) | 197,518 | 467,914 | |||
Sun Pharmaceutical Industries, Ltd. | 91,320 | 573,264 | |||
Tata Consultancy Services, Ltd. | 98,739 | 2,718,040 | |||
Tata Consumer Products, Ltd. | 46,354 | 238,056 | |||
Tata Motors, Ltd. ADR (a)(b) | 541 | 3,554 | |||
Tata Motors, Ltd. (a) | 177,384 | 232,644 | |||
Tata Steel, Ltd. | 32,077 | 140,446 | |||
Tata Steel, Ltd. GDR | 10,534 | 44,353 | |||
Tech Mahindra, Ltd. | 52,835 | 380,155 | |||
Titan Co., Ltd. | 35,463 | 446,521 | |||
Torrent Pharmaceuticals, Ltd. | 5,408 | 170,045 | |||
UltraTech Cement, Ltd. | 12,561 | 649,368 | |||
United Spirits, Ltd. (a) | 31,592 | 247,828 | |||
UPL, Ltd. | 53,354 | 301,005 | |||
Vedanta, Ltd. | 213,006 | 304,306 | |||
Vedanta, Ltd. ADR | 366 | 2,053 | |||
Wipro, Ltd. ADR | 9,561 | 31,647 | |||
Wipro, Ltd. | 119,363 | 348,434 | |||
Zee Entertainment Enterprises, Ltd. | 81,290 | 184,670 | |||
51,328,202 | |||||
INDONESIA — 1.4% | |||||
Ace Hardware Indonesia Tbk PT (a) | 711,000 | 75,293 | |||
Adaro Energy Tbk PT | 1,859,800 | 130,843 | |||
Astra International Tbk PT | 2,202,400 | 744,934 | |||
Bank Central Asia Tbk PT | 1,080,100 | 2,161,065 | |||
Bank Mandiri Persero Tbk PT | 2,029,900 | 704,842 |
Security Description | Shares | Value | |||
Bank Negara Indonesia Persero Tbk PT | 861,800 | $ 278,451 | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,064,400 | 1,294,404 | |||
Barito Pacific Tbk PT (a) | 2,937,300 | 240,357 | |||
Charoen Pokphand Indonesia Tbk PT | 837,700 | 328,476 | |||
Gudang Garam Tbk PT | 59,000 | 195,371 | |||
Hanjaya Mandala Sampoerna Tbk PT | 1,148,100 | 133,297 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 322,100 | 135,885 | |||
Indocement Tunggal Prakarsa Tbk PT | 153,700 | 127,589 | |||
Indofood CBP Sukses Makmur Tbk PT | 254,900 | 167,289 | |||
Indofood Sukses Makmur Tbk PT | 484,600 | 222,529 | |||
Kalbe Farma Tbk PT | 2,318,900 | 237,893 | |||
Perusahaan Gas Negara Tbk PT | 1,369,000 | 109,734 | |||
Semen Indonesia Persero Tbk PT | 315,700 | 213,895 | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,415,600 | 1,160,088 | |||
Unilever Indonesia Tbk PT | 827,600 | 459,255 | |||
United Tractors Tbk PT | 205,000 | 238,541 | |||
XL Axiata Tbk PT | 394,000 | 76,906 | |||
9,436,937 | |||||
LUXEMBOURG — 0.1% | |||||
Reinet Investments SCA | 16,385 | 287,216 | |||
MALAYSIA — 1.7% | |||||
AMMB Holdings Bhd | 195,200 | 142,246 | |||
Axiata Group Bhd | 302,393 | 251,784 | |||
Carlsberg Brewery Malaysia Bhd Class B | 16,500 | 95,933 | |||
CIMB Group Holdings Bhd | 701,603 | 585,303 | |||
Dialog Group Bhd | 405,400 | 343,572 | |||
DiGi.Com Bhd | 360,200 | 363,431 | |||
Fraser & Neave Holdings Bhd | 18,500 | 140,499 | |||
Gamuda Bhd | 206,281 | 176,250 | |||
Genting Bhd | 235,800 | 227,114 | |||
Genting Malaysia Bhd | 315,400 | 187,584 | |||
Genting Plantations Bhd | 28,800 | 66,489 | |||
HAP Seng Consolidated Bhd | 77,700 | 159,997 | |||
Hartalega Holdings Bhd | 183,100 | 558,510 | |||
Hong Leong Bank Bhd | 69,600 | 229,781 | |||
Hong Leong Financial Group Bhd | 26,800 | 82,461 | |||
IHH Healthcare Bhd | 254,100 | 327,558 | |||
IJM Corp. Bhd | 320,100 | 136,102 | |||
IOI Corp. Bhd | 270,500 | 274,836 | |||
Kuala Lumpur Kepong Bhd | 47,412 | 245,535 | |||
Malayan Banking Bhd | 428,981 | 753,763 | |||
Malaysia Airports Holdings Bhd | 105,100 | 134,227 | |||
Maxis Bhd | 271,700 | 341,267 | |||
MISC Bhd | 141,800 | 254,029 | |||
Nestle Malaysia Bhd | 7,800 | 254,939 | |||
Petronas Chemicals Group Bhd | 277,000 | 403,602 | |||
Petronas Dagangan Bhd | 29,200 | 140,730 |
Security Description | Shares | Value | |||
Petronas Gas Bhd | 89,100 | $ 352,669 | |||
PPB Group Bhd | 61,920 | 257,708 | |||
Press Metal Aluminium Holdings Bhd | 149,800 | 159,387 | |||
Public Bank Bhd | 318,300 | 1,229,074 | |||
QL Resources Bhd | 81,800 | 183,195 | |||
RHB Bank Bhd | 185,810 | 208,274 | |||
Sime Darby Bhd | 334,969 | 168,888 | |||
Sime Darby Plantation Bhd | 239,169 | 276,105 | |||
Telekom Malaysia Bhd | 127,600 | 123,948 | |||
Tenaga Nasional Bhd | 247,900 | 674,068 | |||
Top Glove Corp. Bhd | 166,700 | 629,113 | |||
Westports Holdings Bhd | 98,400 | 87,338 | |||
YTL Corp. Bhd | 321,196 | 62,478 | |||
11,289,787 | |||||
MEXICO — 1.7% | �� | ||||
Alfa SAB de CV Class A (b) | 318,040 | 178,241 | |||
America Movil SAB de CV Series L | 3,688,521 | 2,354,511 | |||
Arca Continental SAB de CV | 48,600 | 211,903 | |||
Becle SAB de CV | 56,500 | 108,222 | |||
Cemex SAB de CV Series CPO | 1,730,117 | 485,185 | |||
Coca-Cola Femsa SAB de CV | 60,500 | 263,449 | |||
Fibra Uno Administracion SA de CV REIT | 363,458 | 287,061 | |||
Fomento Economico Mexicano SAB de CV | 212,780 | 1,312,114 | |||
Gruma SAB de CV Class B | 22,795 | 244,701 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 41,300 | 295,393 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B | 23,995 | 266,513 | |||
Grupo Bimbo SAB de CV Class A (b) | 179,815 | 299,367 | |||
Grupo Carso SAB de CV Series A1 | 53,700 | 104,160 | |||
Grupo Financiero Banorte SAB de CV Series O | 288,903 | 996,726 | |||
Grupo Financiero Inbursa SAB de CV Series O | 254,026 | 175,346 | |||
Grupo Mexico SAB de CV Class B | 339,536 | 785,104 | |||
Grupo Televisa SAB Series CPO (a)(b) | 274,629 | 286,788 | |||
Industrias Penoles SAB de CV (b) | 17,115 | 173,802 | |||
Infraestructura Energetica Nova SAB de CV | 65,700 | 188,596 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 175,589 | 272,650 | |||
Megacable Holdings SAB de CV | 37,300 | 108,589 | |||
Orbia Advance Corp. SAB de CV | 110,910 | 163,099 | |||
Promotora y Operadora de Infraestructura SAB de CV (a) | 24,150 | 173,033 | |||
Wal-Mart de Mexico SAB de CV | 573,194 | 1,368,055 | |||
11,102,608 |
Security Description | Shares | Value | |||
PAKISTAN — 0.0% (e) | |||||
Habib Bank, Ltd. | 66,000 | $ 38,079 | |||
MCB Bank, Ltd. | 48,800 | 47,268 | |||
Oil & Gas Development Co., Ltd. | 76,400 | 50,369 | |||
135,716 | |||||
PERU — 0.3% | |||||
Cia de Minas Buenaventura SAA ADR | 23,400 | 213,876 | |||
Credicorp, Ltd. | 7,600 | 1,015,892 | |||
Southern Copper Corp. (b) | 9,367 | 372,526 | |||
1,602,294 | |||||
PHILIPPINES — 0.8% | |||||
Aboitiz Equity Ventures, Inc. | 216,340 | 197,871 | |||
Aboitiz Power Corp. | 192,500 | 104,520 | |||
Altus San Nicolas Corp. (a) | 3,372 | 2,815 | |||
Ayala Corp. | 32,165 | 504,878 | |||
Ayala Land, Inc. | 844,400 | 575,918 | |||
Bank of the Philippine Islands | 94,759 | 137,306 | |||
BDO Unibank, Inc. | 225,609 | 445,188 | |||
Globe Telecom, Inc. | 3,920 | 162,929 | |||
GT Capital Holdings, Inc. | 12,002 | 110,163 | |||
International Container Terminal Services, Inc. | 107,620 | 221,455 | |||
JG Summit Holdings, Inc. | 326,140 | 425,699 | |||
Jollibee Foods Corp. | 53,440 | 150,880 | |||
Manila Electric Co. | 26,550 | 143,298 | |||
Megaworld Corp. | 1,462,000 | 89,929 | |||
Metro Pacific Investments Corp. | 1,727,000 | 129,108 | |||
Metropolitan Bank & Trust Co. | 217,087 | 162,175 | |||
PLDT, Inc. | 10,006 | 249,141 | |||
Puregold Price Club, Inc. | 104,500 | 97,525 | |||
Robinsons Land Corp. | 250,186 | 88,307 | |||
SM Investments Corp. | 27,500 | 522,275 | |||
SM Prime Holdings, Inc. | 1,100,400 | 707,727 | |||
Universal Robina Corp. | 102,110 | 267,306 | |||
5,496,413 | |||||
POLAND — 0.7% | |||||
Bank Polska Kasa Opieki SA | 19,437 | 266,369 | |||
CCC SA | 244 | 3,716 | |||
CD Projekt SA (a) | 7,476 | 753,506 | |||
Cyfrowy Polsat SA | 28,008 | 187,170 | |||
Dino Polska SA (a)(c) | 5,428 | 276,538 | |||
Grupa Lotos SA | 11,534 | 175,843 | |||
KGHM Polska Miedz SA (a) | 15,419 | 358,325 | |||
LPP SA (a) | 140 | 213,679 | |||
mBank SA (a) | 1,908 | 111,583 | |||
Orange Polska SA (a) | 76,094 | 120,365 | |||
PGE Polska Grupa Energetyczna SA (a) | 104,212 | 182,251 | |||
Polski Koncern Naftowy ORLEN SA | 32,516 | 516,814 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 213,120 | 245,777 | |||
Powszechna Kasa Oszczednosci Bank Polski SA | 94,999 | 553,295 |
Security Description | Shares | Value | |||
Powszechny Zaklad Ubezpieczen SA | 69,183 | $ 509,249 | |||
Santander Bank Polska SA (a) | 3,855 | 172,143 | |||
4,646,623 | |||||
QATAR — 0.8% | |||||
Barwa Real Estate Co. | 231,020 | 194,054 | |||
Commercial Bank PQSC | 220,357 | 230,118 | |||
Industries Qatar QSC | 207,197 | 439,288 | |||
Masraf Al Rayan QSC | 414,572 | 436,019 | |||
Mesaieed Petrochemical Holding Co. | 487,701 | 272,067 | |||
Ooredoo QSC | 96,940 | 174,616 | |||
Qatar Electricity & Water Co. QSC | 59,186 | 257,636 | |||
Qatar Fuel QSC | 54,188 | 240,595 | |||
Qatar International Islamic Bank QSC | 82,218 | 183,765 | |||
Qatar Islamic Bank SAQ | 132,092 | 572,743 | |||
Qatar National Bank QPSC | 513,344 | 2,461,868 | |||
5,462,769 | |||||
ROMANIA — 0.0% (e) | |||||
NEPI Rockcastle PLC | 44,662 | 228,827 | |||
RUSSIA — 3.1% | |||||
Alrosa PJSC | 295,595 | 268,446 | |||
Gazprom PJSC | 1,298,588 | 3,539,595 | |||
Inter RAO UES PJSC | 4,077,928 | 278,943 | |||
LUKOIL PJSC | 45,604 | 3,398,168 | |||
Magnit PJSC | 8,662 | 489,661 | |||
Magnitogorsk Iron & Steel Works PJSC | 238,600 | 124,517 | |||
MMC Norilsk Nickel PJSC | 6,937 | 1,827,555 | |||
Mobile TeleSystems PJSC ADR | 42,070 | 386,623 | |||
Mobile TeleSystems PJSC | 13,301 | 62,114 | |||
Moscow Exchange MICEX | 158,191 | 251,847 | |||
Novatek PJSC GDR | 600 | 85,045 | |||
Novatek PJSC | 91,850 | 1,309,926 | |||
Novolipetsk Steel PJSC | 131,643 | 261,274 | |||
PhosAgro PJSC GDR | 14,306 | 176,679 | |||
Polymetal International PLC | 25,552 | 510,125 | |||
Polyus PJSC | 3,653 | 616,922 | |||
Rosneft Oil Co. PJSC | 126,961 | 644,120 | |||
Sberbank of Russia PJSC | 1,183,914 | 3,383,874 | |||
Severstal PAO | 23,136 | 281,511 | |||
Surgutneftegas PJSC Preference Shares | 800,100 | 395,141 | |||
Surgutneftegas PJSC | 774,400 | 418,476 | |||
Tatneft PJSC | 154,843 | 1,208,027 | |||
VTB Bank PJSC | 351,600,000 | 173,690 | |||
X5 Retail Group NV GDR | 13,771 | 488,424 | |||
20,580,703 | |||||
SAUDI ARABIA — 2.7% | |||||
Abdullah Al Othaim Markets Co. | 4,958 | 148,671 | |||
Advanced Petrochemical Co. | 11,368 | 162,088 | |||
Al Rajhi Bank | 138,808 | 2,098,836 |
Security Description | Shares | Value | |||
Alinma Bank (a) | 110,773 | $ 430,380 | |||
Almarai Co. JSC | 28,101 | 389,493 | |||
Arab National Bank | 68,159 | 347,054 | |||
Bank AlBilad | 40,784 | 241,542 | |||
Bank Al-Jazira | 43,091 | 130,116 | |||
Banque Saudi Fransi | 66,376 | 507,088 | |||
Bupa Arabia for Cooperative Insurance Co. | 6,745 | 196,453 | |||
Co. for Cooperative Insurance (a) | 7,040 | 134,181 | |||
Dar Al Arkan Real Estate Development Co. (a) | 67,534 | 128,162 | |||
Emaar Economic City (a) | 43,855 | 79,817 | |||
Etihad Etisalat Co. (a) | 42,091 | 299,222 | |||
Jarir Marketing Co. | 6,539 | 256,330 | |||
National Commercial Bank | 165,251 | 1,647,956 | |||
National Industrialization Co. (a) | 37,774 | 105,659 | |||
Rabigh Refining & Petrochemical Co. (a) | 25,187 | 90,380 | |||
Riyad Bank | 151,761 | 684,276 | |||
Sahara International Petrochemical Co. | 38,616 | 148,850 | |||
Samba Financial Group | 112,566 | 809,404 | |||
Saudi Airlines Catering Co. | 4,598 | 95,201 | |||
Saudi Arabian Fertilizer Co. | 22,951 | 457,076 | |||
Saudi Arabian Mining Co. (a) | 49,940 | 468,414 | |||
Saudi Arabian Oil Co. (c) | 135,543 | 1,176,618 | |||
Saudi Basic Industries Corp. | 101,174 | 2,382,709 | |||
Saudi British Bank | 82,438 | 502,347 | |||
Saudi Cement Co. | 9,637 | 136,167 | |||
Saudi Electricity Co. | 94,029 | 392,048 | |||
Saudi Industrial Investment Group | 28,368 | 153,404 | |||
Saudi Kayan Petrochemical Co. (a) | 80,549 | 177,105 | |||
Saudi Telecom Co. | 67,449 | 1,786,917 | |||
Savola Group | 29,256 | 329,800 | |||
Yanbu National Petrochemical Co. | 28,455 | 389,869 | |||
17,483,633 | |||||
SINGAPORE — 0.0% (e) | |||||
BOC Aviation, Ltd. (c) | 22,100 | 142,271 | |||
SOUTH AFRICA — 3.6% | |||||
Absa Group, Ltd. | 82,792 | 408,201 | |||
Anglo American Platinum, Ltd. | 5,964 | 433,484 | |||
AngloGold Ashanti, Ltd. | 46,413 | 1,363,805 | |||
Aspen Pharmacare Holdings, Ltd. (a) | 43,039 | 357,031 | |||
Bid Corp., Ltd. | 36,404 | 597,009 | |||
Bidvest Group, Ltd. | 32,799 | 268,761 | |||
Capitec Bank Holdings, Ltd. | 5,272 | 261,680 | |||
Clicks Group, Ltd. | 27,176 | 329,021 | |||
Discovery, Ltd. | 43,264 | 261,016 | |||
Exxaro Resources, Ltd. | 30,772 | 231,967 | |||
FirstRand, Ltd. | 546,636 | 1,200,539 | |||
Gold Fields, Ltd. | 96,322 | 908,313 | |||
Growthpoint Properties, Ltd. REIT | 338,550 | 261,211 | |||
Impala Platinum Holdings, Ltd. | 86,927 | 584,657 |
Security Description | Shares | Value | |||
Kumba Iron Ore, Ltd. (b) | 6,835 | $ 182,537 | |||
Life Healthcare Group Holdings, Ltd. | 151,121 | 145,385 | |||
Momentum Metropolitan Holdings | 104,070 | 105,770 | |||
Mr. Price Group, Ltd. | 28,132 | 232,325 | |||
MTN Group, Ltd. (b) | 184,413 | 564,059 | |||
MultiChoice Group, Ltd. (a) | 49,126 | 300,027 | |||
Naspers, Ltd. Class N | 48,831 | 8,962,554 | |||
Nedbank Group, Ltd. | 42,684 | 249,949 | |||
Northam Platinum, Ltd. (a) | 40,047 | 269,749 | |||
Old Mutual, Ltd. | 509,299 | 354,518 | |||
Pepkor Holdings, Ltd. (b)(c) | 92,946 | 58,764 | |||
Pick n Pay Stores, Ltd. | 44,061 | 129,330 | |||
PSG Group, Ltd. | 18,510 | 169,007 | |||
Rand Merchant Investment Holdings, Ltd. | 93,926 | 157,850 | |||
Remgro, Ltd. | 60,706 | 350,031 | |||
Sanlam, Ltd. | 204,217 | 693,782 | |||
Sasol, Ltd. (a) | 64,778 | 496,773 | |||
Shoprite Holdings, Ltd. | 53,170 | 326,364 | |||
Sibanye Stillwater, Ltd. (a) | 258,517 | 560,583 | |||
SPAR Group, Ltd. | 20,580 | 203,350 | |||
Standard Bank Group, Ltd. | 144,455 | 870,835 | |||
Tiger Brands, Ltd. | 19,448 | 199,685 | |||
Vodacom Group, Ltd. (b) | 73,494 | 520,806 | |||
Woolworths Holdings, Ltd. | 106,029 | 202,380 | |||
23,773,108 | |||||
SOUTH KOREA — 11.4% | |||||
Amorepacific Corp. | 3,669 | 513,210 | |||
Amorepacific Corp. Preference Shares | 1,181 | 70,349 | |||
AMOREPACIFIC Group | 3,081 | 133,400 | |||
BGF retail Co., Ltd. | 940 | 108,963 | |||
BNK Financial Group, Inc. | 34,469 | 144,785 | |||
Celltrion Healthcare Co., Ltd. (a) | 7,394 | 670,337 | |||
Celltrion Pharm, Inc. (a) | 1,685 | 179,393 | |||
Celltrion, Inc. (a) | 10,332 | 2,644,348 | |||
Cheil Worldwide, Inc. | 8,082 | 111,549 | |||
CJ CheilJedang Corp. | 889 | 242,737 | |||
CJ Corp. | 1,500 | 108,381 | |||
CJ ENM Co., Ltd. | 1,368 | 126,792 | |||
CJ Logistics Corp. (a) | 1,140 | 150,258 | |||
Coway Co., Ltd. | 5,160 | 311,945 | |||
Daelim Industrial Co., Ltd. | 3,029 | 208,360 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 25,312 | 72,644 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 4,419 | 100,681 | |||
DB Insurance Co., Ltd. | 5,288 | 189,657 | |||
Doosan Bobcat, Inc. | 6,257 | 139,170 | |||
Douzone Bizon Co., Ltd. | 2,048 | 174,982 | |||
E-MART, Inc. | 2,264 | 200,184 | |||
Fila Holdings Corp. | 5,908 | 174,344 | |||
GS Engineering & Construction Corp. | 7,569 | 155,838 |
Security Description | Shares | Value | |||
GS Holdings Corp. | 5,609 | $ 169,898 | |||
GS Retail Co., Ltd. | 3,214 | 98,211 | |||
Hana Financial Group, Inc. | 32,712 | 743,948 | |||
Hankook Tire & Technology Co., Ltd. | 9,159 | 189,557 | |||
Hanmi Pharm Co., Ltd. | 802 | 163,642 | |||
Hanon Systems | 22,868 | 173,310 | |||
Hanwha Corp. | 5,038 | 94,087 | |||
Hanwha Solutions Corp. | 12,733 | 206,725 | |||
Helixmith Co., Ltd. (a) | 2,961 | 151,771 | |||
HLB, Inc. (a)(b) | 5,206 | 402,268 | |||
Hotel Shilla Co., Ltd. | 3,434 | 204,236 | |||
Hyundai Construction Equipment Co., Ltd. (a) | 4 | 74 | |||
Hyundai Department Store Co., Ltd. | 1,795 | 84,462 | |||
Hyundai Engineering & Construction Co., Ltd. | 8,592 | 238,008 | |||
Hyundai Glovis Co., Ltd. | 2,034 | 172,927 | |||
Hyundai Heavy Industries Holdings Co., Ltd. | 1,077 | 222,272 | |||
Hyundai Marine & Fire Insurance Co., Ltd. | 6,687 | 128,367 | |||
Hyundai Mobis Co., Ltd. | 7,457 | 1,196,991 | |||
Hyundai Motor Co. | 16,361 | 1,343,948 | |||
Hyundai Motor Co., Preference Shares (f) | 6,427 | 303,608 | |||
Hyundai Steel Co. | 9,783 | 169,188 | |||
Industrial Bank of Korea | 28,223 | 191,781 | |||
Kakao Corp. | 6,151 | 1,380,299 | |||
Kangwon Land, Inc. | 11,462 | 206,563 | |||
KB Financial Group, Inc. | 43,181 | 1,222,436 | |||
Kia Motors Corp. | 28,716 | 775,980 | |||
KMW Co., Ltd. (a) | 2,751 | 146,936 | |||
Korea Aerospace Industries, Ltd. | 9,041 | 180,340 | |||
Korea Electric Power Corp. (a) | 29,404 | 479,504 | |||
Korea Gas Corp. | 3,203 | 70,328 | |||
Korea Investment Holdings Co., Ltd. | 5,047 | 189,218 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,492 | 330,668 | |||
Korea Zinc Co., Ltd. | 949 | 265,906 | |||
Korean Air Lines Co., Ltd. (a) | 5,857 | 85,872 | |||
KT&G Corp. | 13,013 | 849,832 | |||
Kumho Petrochemical Co., Ltd. | 2,301 | 143,903 | |||
LG Chem, Ltd. | 5,023 | 2,072,887 | |||
LG Chem, Ltd. Preference Shares | 922 | 193,975 | |||
LG Corp. | 10,315 | 615,612 | |||
LG Display Co., Ltd. (a) | 25,280 | 242,038 | |||
LG Electronics, Inc. | 11,562 | 612,736 | |||
LG Household & Health Care, Ltd. | 1,047 | 1,173,488 | |||
LG Household & Health Care, Ltd. Preference Shares | 263 | 159,328 | |||
LG Innotek Co., Ltd. | 1,532 | 224,674 | |||
LG Uplus Corp. | 24,599 | 251,383 | |||
Lotte Chemical Corp. | 1,912 | 267,215 |
Security Description | Shares | Value | |||
Lotte Corp. | 3,364 | $ 88,966 | |||
Lotte Shopping Co., Ltd. | 1,454 | 97,176 | |||
Meritz Securities Co., Ltd. | 25,081 | 63,784 | |||
Mirae Asset Daewoo Co., Ltd. | 31,312 | 175,663 | |||
NAVER Corp. | 13,506 | 3,038,623 | |||
NCSoft Corp. | 1,839 | 1,368,081 | |||
Netmarble Corp. (a)(c) | 2,279 | 191,017 | |||
NH Investment & Securities Co., Ltd. | 11,641 | 80,984 | |||
Orion Corp/Republic of Korea | 2,607 | 291,853 | |||
Ottogi Corp. | 142 | 66,043 | |||
Pan Ocean Co., Ltd. (a) | 33,430 | 106,764 | |||
Pearl Abyss Corp. (a) | 609 | 110,801 | |||
POSCO | 8,103 | 1,180,254 | |||
POSCO Chemtech Co., Ltd. | 2,220 | 140,223 | |||
Posco International Corp. | 5,887 | 68,692 | |||
S-1 Corp. | 2,014 | 144,322 | |||
Samsung Biologics Co., Ltd. (a)(c) | 1,844 | 1,196,308 | |||
Samsung C&T Corp. | 9,308 | 905,455 | |||
Samsung Card Co., Ltd. | 3,365 | 76,906 | |||
Samsung Electro-Mechanics Co., Ltd. | 6,097 | 661,464 | |||
Samsung Electronics Co., Ltd. Preference Shares | 90,259 | 3,515,973 | |||
Samsung Electronics Co., Ltd. | 524,669 | 23,225,854 | |||
Samsung Engineering Co., Ltd. (a) | 16,760 | 172,733 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 3,346 | 491,944 | |||
Samsung Heavy Industries Co., Ltd. (a) | 53,830 | 269,527 | |||
Samsung Life Insurance Co., Ltd. | 7,969 | 299,620 | |||
Samsung SDI Co., Ltd. | 6,023 | 1,841,602 | |||
Samsung SDS Co., Ltd. | 3,785 | 535,376 | |||
Samsung Securities Co., Ltd. | 7,444 | 164,567 | |||
Shinhan Financial Group Co., Ltd. | 50,116 | 1,211,114 | |||
Shinsegae, Inc. | 883 | 163,508 | |||
SK Holdings Co., Ltd. | 3,834 | 932,438 | |||
SK Hynix, Inc. | 59,913 | 4,277,696 | |||
SK Innovation Co., Ltd. | 6,028 | 666,403 | |||
SK Telecom Co., Ltd. | 2,296 | 404,367 | |||
S-Oil Corp. | 5,019 | 267,570 | |||
Woori Financial Group, Inc. | 61,007 | 449,685 | |||
Yuhan Corp. | 5,530 | 234,284 | |||
74,900,347 | |||||
TAIWAN — 11.9% | |||||
Accton Technology Corp. | 58,000 | 450,405 | |||
Acer, Inc. | 356,000 | 216,986 | |||
Advantech Co., Ltd. | 39,098 | 393,472 | |||
Airtac International Group | 13,000 | 229,647 | |||
ASE Technology Holding Co., Ltd. | 354,307 | 815,971 | |||
Asia Cement Corp. | 253,000 | 375,223 | |||
Asustek Computer, Inc. | 77,000 | 565,748 | |||
AU Optronics Corp. | 951,000 | 300,164 | |||
Catcher Technology Co., Ltd. | 75,000 | 568,363 |
Security Description | Shares | Value | |||
Cathay Financial Holding Co., Ltd. | 872,087 | $ 1,240,531 | |||
Chailease Holding Co., Ltd. | 134,998 | 575,511 | |||
Chang Hwa Commercial Bank, Ltd. | 539,636 | 355,046 | |||
Cheng Shin Rubber Industry Co., Ltd. | 213,000 | 244,758 | |||
Chicony Electronics Co., Ltd. | 71,788 | 208,084 | |||
China Airlines, Ltd. | 333,000 | 92,980 | |||
China Development Financial Holding Corp. | 1,446,000 | 464,984 | |||
China Life Insurance Co., Ltd. (a) | 291,386 | 216,480 | |||
China Steel Corp. | 1,317,000 | 927,476 | |||
Chunghwa Telecom Co., Ltd. | 416,000 | 1,652,125 | |||
Compal Electronics, Inc. | 468,000 | 306,329 | |||
CTBC Financial Holding Co., Ltd. | 1,919,040 | 1,329,968 | |||
Delta Electronics, Inc. | 218,000 | 1,243,994 | |||
E.Sun Financial Holding Co., Ltd. | 1,168,240 | 1,106,567 | |||
Eclat Textile Co., Ltd. | 20,550 | 239,389 | |||
Eva Airways Corp. | 265,619 | 101,500 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 279,252 | 102,164 | |||
Far Eastern New Century Corp. | 317,000 | 301,052 | |||
Far EasTone Telecommunications Co., Ltd. | 184,000 | 424,823 | |||
Feng TAY Enterprise Co., Ltd. | 39,468 | 223,842 | |||
First Financial Holding Co., Ltd. | 1,087,941 | 838,743 | |||
Formosa Chemicals & Fibre Corp. | 393,000 | 1,012,221 | |||
Formosa Petrochemical Corp. | 124,000 | 375,309 | |||
Formosa Plastics Corp. | 418,000 | 1,244,584 | |||
Formosa Taffeta Co., Ltd. | 98,000 | 121,398 | |||
Foxconn Technology Co., Ltd. | 106,830 | 205,713 | |||
Fubon Financial Holding Co., Ltd. | 743,000 | 1,109,311 | |||
Giant Manufacturing Co., Ltd. | 32,000 | 287,634 | |||
Globalwafers Co., Ltd. | 25,000 | 344,329 | |||
Highwealth Construction Corp. | 73,000 | 108,145 | |||
Hiwin Technologies Corp. | 25,186 | 252,520 | |||
Hon Hai Precision Industry Co., Ltd. | 1,368,800 | 4,019,007 | |||
Hotai Motor Co., Ltd. | 34,000 | 815,209 | |||
Hua Nan Financial Holdings Co., Ltd. | 860,041 | 585,355 | |||
Innolux Corp. | 948,000 | 255,357 | |||
Inventec Corp. | 291,000 | 248,431 | |||
Largan Precision Co., Ltd. | 11,000 | 1,529,439 | |||
Lite-On Technology Corp. | 244,958 | 385,724 | |||
MediaTek, Inc. | 166,000 | 3,281,923 | |||
Mega Financial Holding Co., Ltd. | 1,190,000 | 1,250,866 | |||
Micro-Star International Co., Ltd. | 75,000 | 274,572 | |||
Nan Ya Plastics Corp. | 564,000 | 1,238,765 | |||
Nanya Technology Corp. | 136,000 | 283,749 | |||
Nien Made Enterprise Co., Ltd. | 20,000 | 196,023 | |||
Novatek Microelectronics Corp. | 63,000 | 489,618 | |||
Pegatron Corp. | 223,000 | 486,394 | |||
Phison Electronics Corp. | 16,000 | 161,010 | |||
Pou Chen Corp. | 242,000 | 237,400 | |||
Powertech Technology, Inc. | 80,000 | 292,024 |
Security Description | Shares | Value | |||
President Chain Store Corp. | 62,000 | $ 623,699 | |||
Quanta Computer, Inc. | 309,000 | 747,608 | |||
Realtek Semiconductor Corp. | 52,000 | 530,011 | |||
Ruentex Development Co., Ltd. | 63,840 | 110,936 | |||
Shanghai Commercial & Savings Bank, Ltd. | 380,736 | 590,484 | |||
Shin Kong Financial Holding Co., Ltd. | 1,271,084 | 372,356 | |||
SinoPac Financial Holdings Co., Ltd. | 1,099,457 | 406,391 | |||
Standard Foods Corp. | 48,512 | 103,843 | |||
Synnex Technology International Corp. | 154,700 | 219,174 | |||
Taishin Financial Holding Co., Ltd. | 1,092,408 | 496,670 | |||
Taiwan Business Bank | 619,558 | 227,824 | |||
Taiwan Cement Corp. | 506,740 | 737,323 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 986,774 | 696,582 | |||
Taiwan High Speed Rail Corp. | 228,000 | 283,399 | |||
Taiwan Mobile Co., Ltd. | 187,000 | 701,282 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,710,000 | 28,941,477 | |||
Tatung Co., Ltd. (a) | 184,000 | 131,473 | |||
Uni-President Enterprises Corp. | 528,000 | 1,279,241 | |||
United Microelectronics Corp. | 1,212,000 | 655,256 | |||
Vanguard International Semiconductor Corp. | 98,000 | 260,580 | |||
Walsin Technology Corp. | 35,000 | 213,899 | |||
Win Semiconductors Corp. | 38,000 | 387,983 | |||
Winbond Electronics Corp. | 358,000 | 163,339 | |||
Wistron Corp. | 316,101 | 385,890 | |||
Wiwynn Corp. | 9,000 | 246,042 | |||
WPG Holdings, Ltd. | 174,880 | 233,336 | |||
Yageo Corp. | 40,556 | 528,357 | |||
Yuanta Financial Holding Co., Ltd. | 1,015,000 | 604,055 | |||
Zhen Ding Technology Holding, Ltd. | 59,000 | 258,920 | |||
78,341,785 | |||||
THAILAND — 2.2% | |||||
Advanced Info Service PCL | 129,700 | 776,333 | |||
Airports of Thailand PCL | 477,700 | 935,076 | |||
Asset World Corp. PCL | 660,600 | 82,501 | |||
B Grimm Power PCL | 85,100 | 147,306 | |||
Bangkok Bank PCL | 12,400 | 43,211 | |||
Bangkok Bank PCL NVDR | 39,300 | 137,085 | |||
Bangkok Commercial Asset Management PCL | 187,300 | 147,258 | |||
Bangkok Dusit Medical Services PCL Class F | 1,038,800 | 756,224 | |||
Bangkok Expressway & Metro PCL | 829,899 | 255,085 | |||
Berli Jucker PCL | 128,600 | 164,352 | |||
BTS Group Holdings PCL | 795,184 | 290,725 | |||
Bumrungrad Hospital PCL | 42,300 | 159,442 |
Security Description | Shares | Value | |||
Central Pattana PCL | 255,800 | $ 403,470 | |||
Central Retail Corp. PCL (a) | 193,558 | 205,097 | |||
Charoen Pokphand Foods PCL | 435,000 | 446,858 | |||
CP ALL PCL (a) | 638,900 | 1,400,484 | |||
Electricity Generating PCL | 32,200 | 257,329 | |||
Energy Absolute PCL (b) | 157,619 | 200,163 | |||
Global Power Synergy PCL Class F | 78,400 | 186,440 | |||
Gulf Energy Development PCL | 229,600 | 280,430 | |||
Home Product Center PCL | 655,700 | 326,710 | |||
Indorama Ventures PCL | 180,400 | 161,970 | |||
Intouch Holdings PCL Class F | 255,800 | 465,542 | |||
IRPC PCL | 1,451,700 | 123,059 | |||
Kasikornbank PCL | 190,100 | 574,667 | |||
Krung Thai Bank PCL | 368,300 | 122,737 | |||
Krungthai Card PCL | 80,000 | 77,651 | |||
Land & Houses PCL | 921,653 | 226,630 | |||
Minor International PCL (a)(b) | 300,600 | 197,434 | |||
Muangthai Capital PCL (a) | 74,900 | 126,015 | |||
Osotspa PCL | 79,900 | 98,235 | |||
PTT Exploration & Production PCL | 158,800 | 471,403 | |||
PTT Global Chemical PCL | 251,900 | 376,943 | |||
PTT PCL | 1,250,400 | 1,527,222 | |||
Ratch Group PCL | 85,200 | 171,599 | |||
Siam Cement PCL | 86,979 | 1,035,615 | |||
Siam Commercial Bank PCL | 93,600 | 219,558 | |||
Srisawad Corp. PCL (a) | 79,900 | 133,134 | |||
Thai Oil PCL | 119,300 | 170,801 | |||
Thai Union Group PCL Class F | 394,200 | 164,529 | |||
TMB Bank PCL | 2,025,518 | 68,812 | |||
Total Access Communication PCL | 83,100 | 105,530 | |||
True Corp. PCL (b) | 1,233,437 | 135,685 | |||
14,356,350 | |||||
TURKEY — 0.4% | |||||
Akbank T.A.S. (a) | 318,803 | 282,771 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 25,464 | 79,193 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 40,275 | 190,094 | |||
BIM Birlesik Magazalar A/S | 47,786 | 473,692 | |||
Eregli Demir ve Celik Fabrikalari TAS | 151,859 | 190,080 | |||
Ford Otomotiv Sanayi A/S | 8,854 | 91,861 | |||
Haci Omer Sabanci Holding A/S | 117,588 | 158,306 | |||
KOC Holding A/S | 82,839 | 217,840 | |||
TAV Havalimanlari Holding A/S | 21,391 | 60,591 | |||
Tupras Turkiye Petrol Rafinerileri A/S (a) | 13,756 | 179,914 | |||
Turk Hava Yollari AO (a) | 65,005 | 118,304 | |||
Turkcell Iletisim Hizmetleri A/S | 122,127 | 291,111 | |||
Turkiye Garanti Bankasi A/S (a) | 258,383 | 318,529 | |||
Turkiye Is Bankasi A/S Class C (a) | 168,086 | 137,260 | |||
Yapi ve Kredi Bankasi A/S (a) | 306,504 | 109,355 | |||
2,898,901 |
Security Description | Shares | Value | |||
UNITED ARAB EMIRATES — 0.5% | |||||
Abu Dhabi Commercial Bank PJSC | 318,366 | $ 431,398 | |||
Aldar Properties PJSC | 411,014 | 201,202 | |||
Dubai Islamic Bank PJSC | 205,183 | 214,130 | |||
Emaar Malls PJSC (a) | 305,084 | 114,997 | |||
Emaar Properties PJSC (a) | 385,976 | 291,605 | |||
Emirates NBD Bank PJSC | 136,410 | 332,320 | |||
Emirates Telecommunications Group Co. PJSC | 189,710 | 854,910 | |||
First Abu Dhabi Bank PJSC | 298,058 | 924,563 | |||
3,365,125 | |||||
TOTAL COMMON STOCKS (Cost $532,459,344) | 624,698,828 |
RIGHTS — 0.0% (e) | |||
CHINA — 0.0% (e) | |||
Legend Holdings Corp. (expiring 5/19/23) (a) (d) | 3,446 | — | |
SOUTH KOREA — 0.0% (e) | |||
Korean Air Lines Co., Ltd. (expiring 7/10/20) (a) | 3,875 | 5,557 | |
THAILAND — 0.0% (e) | |||
Minor International PCL (expiring 7/23/20) (a) | 36,658 | 1,661 | |
TOTAL RIGHTS (Cost $23,242) | 7,218 | ||
WARRANTS — 2.2% | |||
SWITZERLAND — 2.2% | |||
UBS AG (expiring 11/26/20) (a) | 3,600 | 3,920,879 | |
UBS AG (expiring 5/28/27) | 4,202 | 4,576,457 | |
UBS AG (expiring 8/31/20) (a) | 5,200 | 5,663,611 | |
14,160,947 | |||
THAILAND — 0.0% (e) | |||
BTS Group Holdings PCL (expiring 2/16/21) (a) | 79,518 | 2,933 | |
TOTAL WARRANTS (Cost $12,505,203) | 14,163,880 | ||
SHORT-TERM INVESTMENTS — 2.3% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (g) (h) | 12,999,346 | 13,004,546 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 2,220,350 | $ 2,220,350 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,223,407) | 15,224,896 | |||||
TOTAL INVESTMENTS — 99.2% (Cost $560,211,196) | 654,094,822 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 5,568,539 | |||||
NET ASSETS — 100.0% | $ 659,663,361 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.8% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2020, total aggregate fair value of the securities is $2,086, representing 0.00% 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 June 30, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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) | 458 | 09/18/2020 | $22,190,722 | $22,572,530 | $381,808 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $151,788,669 | $472,908,073 | $2,086 | $624,698,828 | ||||
Rights | 5,557 | 1,661 | 0(a) | 7,218 | ||||
Warrants | 4,576,457 | 9,587,423 | — | 14,163,880 | ||||
Short-Term Investments | 15,224,896 | — | — | 15,224,896 | ||||
TOTAL INVESTMENTS | $171,595,579 | $482,497,157 | $2,086 | $654,094,822 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 381,808 | — | — | 381,808 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 381,808 | $ — | $ — | $ 381,808 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $171,977,387 | $482,497,157 | $2,086 | $654,476,630 |
(a) | The Fund held a Level 3 security that was valued at $0 at June 30, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Financials | 18.8% | |
Consumer Discretionary | 16.5 | |
Information Technology | 16.1 | |
Communication Services | 13.4 | |
Materials | 6.7 | |
TOTAL | 71.5% |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,395,448 | $13,396,788 | $77,871,194 | $78,247,111 | $(17,664) | $1,339 | 12,999,346 | $13,004,546 | $103,883 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,915,751 | 4,915,751 | 17,292,156 | 19,987,557 | — | — | 2,220,350 | 2,220,350 | 28,178 | ||||||||
Total | $18,312,539 | $95,163,350 | $98,234,668 | $(17,664) | $1,339 | $15,224,896 | $132,061 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $638,869,926 |
Investments in affiliated issuers, at value | 15,224,896 |
Total Investments | 654,094,822 |
Foreign currency, at value | 3,632,925 |
Cash at broker | 1,948,257 |
Receivable from broker — accumulated variation margin on futures contracts | 382,971 |
Receivable for investments sold | 299,892 |
Receivable for fund shares sold | 13,667 |
Dividends receivable — unaffiliated issuers | 1,991,631 |
Dividends receivable — affiliated issuers | 4,613 |
Securities lending income receivable — unaffiliated issuers | 8,277 |
Securities lending income receivable — affiliated issuers | 2,494 |
Receivable from Adviser | 96,937 |
Receivable for foreign taxes recoverable | 12,686 |
TOTAL ASSETS | 662,489,172 |
LIABILITIES | |
Payable upon return of securities loaned | 2,220,350 |
Payable for fund shares repurchased | 434,667 |
Advisory fee payable | 75,251 |
Administration fees payable | 26,877 |
Transfer agent fees payable | 1,016 |
Registration and filing fees payable | 1,017 |
Professional fees payable | 29,569 |
Printing and postage fees payable | 7,008 |
Accrued expenses and other liabilities | 30,056 |
TOTAL LIABILITIES | 2,825,811 |
NET ASSETS | $659,663,361 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $603,754,452 |
Total distributable earnings (loss) | 55,908,909 |
NET ASSETS | $659,663,361 |
Class K | |
Net Assets | $659,663,361 |
Shares Outstanding | 10,611,199 |
Net asset value, offering and redemption price per share | $ 62.17 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $544,987,789 |
Investments in affiliated issuers | 15,223,407 |
Total cost of investments | $560,211,196 |
Foreign currency, at cost | $ 3,598,229 |
* Includes investments in securities on loan, at value | $ 11,693,701 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 2,782 |
Dividend income — unaffiliated issuers | 7,362,227 |
Dividend income — affiliated issuers | 103,883 |
Unaffiliated securities lending income | 61,555 |
Affiliated securities lending income | 28,178 |
Foreign taxes withheld | (619,960) |
TOTAL INVESTMENT INCOME (LOSS) | 6,938,665 |
EXPENSES | |
Advisory fee | 455,591 |
Administration fees | 162,711 |
Custodian fees | 176,842 |
Trustees’ fees and expenses | 15,257 |
Transfer agent fees | 7,038 |
Registration and filing fees | 26,722 |
Professional fees | 27,664 |
Printing and postage fees | 12,037 |
Insurance expense | 1,769 |
Miscellaneous expenses | 98,002 |
TOTAL EXPENSES | 983,633 |
Expenses waived/reimbursed by the Adviser | (428,646) |
NET EXPENSES | 554,987 |
NET INVESTMENT INCOME (LOSS) | $ 6,383,678 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (16,408,423) |
Investments — affiliated issuers | (17,664) |
Foreign currency transactions | (199,150) |
Futures contracts | (5,125,035) |
Net realized gain (loss) | (21,750,272) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | (62,112,194) |
Investments — affiliated issuers | 1,339 |
Foreign currency translations | (37,572) |
Futures contracts | (420,163) |
Net change in unrealized appreciation/depreciation | (62,568,590) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (84,318,862) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(77,935,184) |
** Includes foreign deferred taxes | $ 572,218 |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 6,383,678 | $ 20,892,219 | |
Net realized gain (loss) | (21,750,272) | (15,981,174) | |
Net change in unrealized appreciation/depreciation | (62,568,590) | 105,822,061 | |
Net increase (decrease) in net assets resulting from operations | (77,935,184) | 110,733,106 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (20,604,294) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 100,536,792 | 207,852,420 | |
Reinvestment of distributions | — | 20,544,136 | |
Cost of shares redeemed | (106,650,273) | (155,243,629) | |
Net increase (decrease) in net assets from beneficial interest transactions | (6,113,481) | 73,152,927 | |
Net increase (decrease) in net assets during the period | (84,048,665) | 163,281,739 | |
Net assets at beginning of period | 743,712,026 | 580,430,287 | |
NET ASSETS AT END OF PERIOD | $ 659,663,361 | $ 743,712,026 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K(a) | |||
Shares sold | 1,683,722 | 3,203,373 | |
Reinvestment of distributions | — | 297,957 | |
Shares redeemed | (1,895,247) | (2,384,662) | |
Net increase (decrease) from share transactions | (211,525) | 1,116,668 |
(a) | On April 17, 2020, the State Street Emerging Markets Equity Index Fund underwent a 1-for-5 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Class K | |||||||||||
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | For the Period 12/21/15* - 12/31/15(a) | ||||||
Net asset value, beginning of period | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | $ 49.95 | $ 50.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.59 | 2.00 | 1.60 | 1.45 | 1.05 | 0.10 | |||||
Net realized and unrealized gain (loss) | (7.12) | 8.85 | (12.30) | 18.60 | 4.35 | (0.05) | |||||
Total from investment operations | (6.53) | 10.85 | (10.70) | 20.05 | 5.40 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (1.95) | (1.35) | (1.50) | (1.10) | (0.10) | |||||
Net realized gains | — | — | (0.45) | (0.35) | (0.15) | — | |||||
Total distributions | — | (1.95) | (1.80) | (1.85) | (1.25) | (0.10) | |||||
Net asset value, end of period | $ 62.17 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | $ 49.95 | |||||
Total return (c) | (9.51)% | 18.13% | (14.77)% | 37.19% | 10.81% | 0.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $659,663 | $743,712 | $580,430 | $607,947 | $374,808 | $165,807 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.30%(d) | 0.33% | 0.33% | 0.34% | 0.56% | 0.83%(d) | |||||
Net expenses | 0.17%(d) | 0.17% | 0.17% | 0.17% | 0.18% | 0.17%(d) | |||||
Net investment income (loss) | 1.96%(d) | 3.10% | 2.36% | 2.23% | 1.98% | 8.03%(d) | |||||
Portfolio turnover rate | 5%(e) | 13% | 7% | 6% | 14% | 0%(e)(f) |
* | Commencement of operations. |
(a) | On April 17, 2020, the State Street Emerging Markets Equity Index Fund underwent a 1-for-5 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
(f) | Amount shown represents less than 0.5%. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Emerging Markets Equity Index Fund | Class A | Not Commenced | Diversified |
Class I | Not Commenced | Diversified | |
Class K | December 21, 2015 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $382,971 | $— | $382,971 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $(5,125,035) | $— | $(5,125,035) |
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 | $— | $— | $— | $(420,163) | $— | $(420,163) |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $32,206,271 | $37,880,371 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $570,256,409 | $159,566,046 | $75,345,825 | $84,220,221 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 11,693,701 | $ 2,220,350 | $ 10,176,917 | $ 12,397,267 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 | $2,220,350 | $— | $— | $— | $2,220,350 | $2,220,350 |
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 Emerging Markets Equity Index Fund | 0.17% | $904.90 | $0.81 | $1,024.00 | $0.86 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
14 |
% of Net Assets | |||
Common Stocks | 92.4% | ||
Short-Term Investment | 7.7 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 92.4% | |||||
CHINA — 13.3% | |||||
China Construction Bank Corp. Class H | 58,000 | $ 47,177 | |||
CITIC Securities Co., Ltd. Class H | 23,000 | 43,872 | |||
Dali Foods Group Co., Ltd. (a) | 68,500 | 41,749 | |||
Haitian International Holdings, Ltd. | 20,000 | 40,728 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 17,400 | 44,621 | |||
218,147 | |||||
FRANCE — 14.4% | |||||
BNP Paribas SA (b) | 1,147 | 45,813 | |||
Dassault Aviation SA (b) | 49 | 44,943 | |||
Ipsen SA | 616 | 52,240 | |||
Sanofi | 459 | 46,796 | |||
Societe Generale SA (b) | 2,824 | 47,202 | |||
236,994 | |||||
GERMANY — 3.2% | |||||
Bayerische Motoren Werke AG | 816 | 52,078 | |||
HONG KONG — 5.5% | |||||
Shanghai Industrial Holdings, Ltd. | 27,000 | 41,705 | |||
WH Group, Ltd. (a) | 56,000 | 48,395 | |||
90,100 | |||||
HUNGARY — 2.8% | |||||
Richter Gedeon Nyrt | 2,220 | 46,007 | |||
INDONESIA — 2.8% | |||||
Bank Mandiri Persero Tbk PT | 131,700 | 45,730 | |||
JAPAN — 13.8% | |||||
Mitsubishi UFJ Financial Group, Inc. | 10,300 | 40,570 | |||
Ono Pharmaceutical Co., Ltd. | 1,800 | 52,580 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,400 | 39,543 | |||
Tokyo Broadcasting System Holdings, Inc. | 3,100 | 49,630 | |||
Zeon Corp. | 4,800 | 44,365 | |||
226,688 | |||||
MEXICO — 3.0% | |||||
Fresnillo PLC | 4,714 | 49,118 | |||
NETHERLANDS — 2.4% | |||||
Boskalis Westminster (b) | 1,996 | 39,402 | |||
SOUTH KOREA — 8.4% | |||||
Hyundai Motor Co. | 561 | 46,082 | |||
KT&G Corp. | 675 | 44,082 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,203 | 46,862 | |||
137,026 |
Security Description | Shares | Value | |||
SPAIN — 2.7% | |||||
Banco Bilbao Vizcaya Argentaria SA | 12,665 | $ 43,592 | |||
SWITZERLAND — 9.0% | |||||
ABB, Ltd. | 2,244 | 50,895 | |||
Credit Suisse Group AG | 4,844 | 50,396 | |||
LafargeHolcim, Ltd. | 1,060 | 46,015 | |||
147,306 | |||||
TAIWAN — 2.3% | |||||
Catcher Technology Co., Ltd. | 5,000 | 37,891 | |||
UNITED KINGDOM — 5.4% | |||||
CNH Industrial NV (b) | 6,765 | 47,513 | |||
Standard Chartered PLC | 7,689 | 41,563 | |||
89,076 | |||||
UNITED STATES — 3.4% | |||||
Newmont Corp. | 900 | 55,427 | |||
TOTAL COMMON STOCKS (Cost $1,573,346) | 1,514,582 |
SHORT-TERM INVESTMENT — 7.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c) (d) (Cost $126,911) | 126,911 | 126,911 | |
TOTAL INVESTMENTS — 100.1% (Cost $1,700,257) | 1,641,493 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (1,620) | ||
NET ASSETS — 100.0% | $ 1,639,873 |
(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 June 30, 2020, 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 June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $ 55,427 | $1,459,155 | $— | $1,514,582 | ||||
Short-Term Investment | 126,911 | — | — | 126,911 | ||||
TOTAL INVESTMENTS | $182,338 | $1,459,155 | $— | $1,641,493 |
% of Net Assets | ||
Financials | 27.2% | |
Industrials | 18.9 | |
Health Care | 12.0 | |
Materials | 11.9 | |
Consumer Staples | 8.2 | |
Consumer Discretionary | 6.0 | |
Information Technology | 5.2 | |
Communication Services | 3.0 | |
Short-Term Investment | 7.7 | |
Liabilities in Excess of Other Assets | (0.1) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,937 | $11,937 | $385,499 | $270,525 | $— | $— | 126,911 | $126,911 | $249 |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,514,582 |
Investments in affiliated issuers, at value | 126,911 |
Total Investments | 1,641,493 |
Foreign currency, at value | 19,904 |
Dividends receivable — unaffiliated issuers | 5,299 |
Dividends receivable — affiliated issuers | 16 |
Receivable from Adviser | 14,868 |
Receivable for foreign taxes recoverable | 3,969 |
TOTAL ASSETS | 1,685,549 |
LIABILITIES | |
Advisory fee payable | 1,010 |
Administration fees payable | 67 |
Trustees’ fees and expenses payable | 810 |
Transfer agent fees payable | 170 |
Registration and filing fees payable | 2,723 |
Professional fees payable | 34,695 |
Printing and postage fees payable | 3,999 |
Accrued expenses and other liabilities | 2,202 |
TOTAL LIABILITIES | 45,676 |
NET ASSETS | $1,639,873 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,999,662 |
Total distributable earnings (loss) | (359,789) |
NET ASSETS | $1,639,873 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $1,639,873 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $ 8.20 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,573,346 |
Investments in affiliated issuers | 126,911 |
Total cost of investments | $1,700,257 |
Foreign currency, at cost | $ 19,936 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $ 27,640 |
Dividend income — affiliated issuers | 249 |
Foreign taxes withheld | (2,157) |
TOTAL INVESTMENT INCOME (LOSS) | 25,732 |
EXPENSES | |
Advisory fee | 6,084 |
Administration fees | 406 |
Custodian fees | 24,426 |
Trustees’ fees and expenses | 18,367 |
Transfer agent fees | 732 |
Registration and filing fees | 14,389 |
Professional fees | 30,648 |
Printing and postage fees | 5,794 |
Insurance expense | 4 |
Miscellaneous expenses | 1,727 |
TOTAL EXPENSES | 102,577 |
Expenses waived/reimbursed by the Adviser | (96,493) |
NET EXPENSES | 6,084 |
NET INVESTMENT INCOME (LOSS) | $ 19,648 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (77,524) |
Foreign currency transactions | (1,021) |
Net realized gain (loss) | (78,545) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (208,161) |
Foreign currency translations | (149) |
Net change in unrealized appreciation/depreciation | (208,310) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (286,855) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(267,207) |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 19,648 | $ 36,412 | |
Net realized gain (loss) | (78,545) | (87,228) | |
Net change in unrealized appreciation/depreciation | (208,310) | 378,454 | |
Net increase (decrease) in net assets resulting from operations | (267,207) | 327,638 | |
Distributions to shareholders | — | (37,400) | |
Net increase (decrease) in net assets during the period | (267,207) | 290,238 | |
Net assets at beginning of period | 1,907,080 | 1,616,842 | |
NET ASSETS AT END OF PERIOD | $1,639,873 | $1,907,080 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | — | |
Shares redeemed | — | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 9.54 | $ 8.08 | $ 12.56 | $11.25 | $10.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.10 | 0.18 | 0.21 | 0.24 | 0.02 | ||||
Net realized and unrealized gain (loss) | (1.44) | 1.47 | (2.66) | 2.56 | 1.44 | ||||
Total from investment operations | (1.34) | 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 | $ 8.20 | $ 9.54 | $ 8.08 | $12.56 | $11.25 | ||||
Total return (b) | (14.05)% | 20.39% | (19.32)% | 25.03% | 14.57% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 1,640 | $1,907 | $ 1,617 | $2,512 | $2,250 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 12.65%(c) | 12.74% | 7.58% | 7.26% | 7.76%(c) | ||||
Net expenses | 0.75%(c) | 0.75% | 0.75% | 0.75% | 0.75%(c) | ||||
Net investment income (loss) | 2.42%(c) | 2.09% | 1.76% | 1.86% | 0.44%(c) | ||||
Portfolio turnover rate | 44%(d) | 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 | Not commenced | Non-diversified |
Class I | Not commenced | ||
Class K | July 14, 2016 |
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 | $686,024 | $760,958 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,709,915 | $124,651 | $193,073 | $(68,422) |
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 Value Spotlight Fund | 0.75% | $1,140.50 | $3.99 | $1,021.10 | $3.77 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Profitability analyses for (a) the Advisers with respect to the Fund and (b) affiliates of the Advisers that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Advisers, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Advisers and their affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Advisers; |
• | 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 devoted by the Advisers to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Advisers' technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Advisers; and |
• | Information regarding the Advisers’ risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and Sub-Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from the Advisers, State Street and the Distributor with respect to the Fund providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Target Retirement Fund |
State Street Target Retirement 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 |
State Street Target Retirement 2065 Fund |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
8 | |
9 | |
10 | |
11 | |
Schedules of Investments (Unaudited) | |
12 | |
14 | |
16 | |
18 | |
20 | |
22 | |
24 | |
26 | |
28 | |
30 | |
32 | |
34 | |
43 | |
65 | |
73 |
% of Net Assets | |||
Domestic Fixed Income | 46.5% | ||
Domestic Equity | 19.0 | ||
Inflation Linked | 17.9 | ||
International Equity | 11.6 | ||
Real Estate | 5.0 | ||
Short Term Investments | 9.1 | ||
Liabilities in Excess of Other Assets | (9.1) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Fixed Income | 35.3% | ||
Domestic Equity | 25.8 | ||
Inflation Linked | 17.9 | ||
International Equity | 16.1 | ||
Real Estate | 5.0 | ||
Short Term Investments | 1.3 | ||
Liabilities in Excess of Other Assets | (1.4) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 33.9% | ||
Domestic Fixed Income | 30.3 | ||
International Equity | 22.7 | ||
Inflation Linked | 10.3 | ||
Real Estate | 2.8 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.6) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 40.2% | ||
Domestic Fixed Income | 29.6 | ||
International Equity | 28.9 | ||
Inflation Linked | 1.0 | ||
Real Estate | 0.2 | ||
Short Term Investments | 2.3 | ||
Liabilities in Excess of Other Assets | (2.2) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 44.6% | ||
International Equity | 32.3 | ||
Domestic Fixed Income | 23.1 | ||
Short Term Investments | 1.9 | ||
Liabilities in Excess of Other Assets | (1.9) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 48.2% | ||
International Equity | 34.9 | ||
Domestic Fixed Income | 16.9 | ||
Short Term Investments | 0.7 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 51.0% | ||
International Equity | 36.8 | ||
Domestic Fixed Income | 12.0 | ||
Short Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (2.4) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 52.5% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.5 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 52.4% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.5 | ||
Short Term Investments | 1.6 | ||
Liabilities in Excess of Other Assets | (1.4) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 52.4% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.5 | ||
Short Term Investments | 7.8 | ||
Liabilities in Excess of Other Assets | (7.6) | ||
TOTAL | 100.0% |
% of Net Assets | |||
Domestic Equity | 50.4% | ||
International Equity | 36.7 | ||
Domestic Fixed Income | 9.3 | ||
Short Term Investments | 0.8 | ||
Other Assets in Excess of Liabilities | 2.8 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% (a) | ||||||
DOMESTIC EQUITY — 19.0% | ||||||
State Street Equity 500 Index II Portfolio | 236,741 | $ 69,327,312 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 55,017 | 13,183,608 | ||||
82,510,920 | ||||||
DOMESTIC FIXED INCOME — 46.5% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 299,488 | 30,296,206 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 551,266 | 17,276,676 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 2,222,747 | 68,282,788 | ||||
State Street Aggregate Bond Index Portfolio | 800,555 | 86,363,888 | ||||
202,219,558 | ||||||
INFLATION LINKED — 17.9% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 3,830,641 | 77,876,932 | ||||
INTERNATIONAL EQUITY — 11.6% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 529,055 | 50,244,322 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 562,102 | 21,938,841 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $408,870,707) | 434,790,573 | |||||
SHORT-TERM INVESTMENTS — 9.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 709,646 | 709,646 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 38,929,049 | $ 38,929,049 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $39,638,695) | $ 39,638,695 | ||||
TOTAL INVESTMENTS—109.1% (Cost $448,509,402) | 474,429,268 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(9.1)% | (39,471,691) | ||||
NET ASSETS—100.0% | $ 434,957,577 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $434,790,573 | $— | $— | $434,790,573 | ||||
Short-Term Investments | 39,638,695 | — | — | 39,638,695 | ||||
TOTAL INVESTMENTS | $474,429,268 | $— | $— | $474,429,268 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases* | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,011,577 | $ 39,447,025 | $ 43,663,141 | $ 8,326,402 | $ 182,461 | $ 2,910,707 | 3,830,641 | $ 77,876,932 | $ 440,372 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 140,001 | 15,335,709 | 16,269,038 | 1,645,824 | (153,220) | 490,503 | 299,488 | 30,296,206 | 571,253 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 213,856 | 11,017,861 | 12,829,590 | 740,787 | (170,214) | (997,609) | 562,102 | 21,938,841 | 260,090 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 284,632 | 8,778,051 | 9,920,102 | 2,112,514 | (24,837) | 715,874 | 551,266 | 17,276,676 | 128,002 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 1,156,208 | 34,639,992 | 41,414,060 | 8,687,627 | 266,834 | 649,529 | 2,222,747 | 68,282,788 | 237,707 | ||||||||
State Street Aggregate Bond Index Portfolio | 4,270,245 | 43,770,015 | 50,701,047 | 11,884,549 | 561,602 | 3,215,773 | 800,555 | 86,363,888 | 775,840 | ||||||||
State Street Equity 500 Index II Portfolio | 2,433,925 | 36,776,602 | 35,037,263 | 9,889,579 | 266,711 | 7,136,315 | 236,741 | 69,327,312 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,074,612 | 22,115,361 | 30,862,653 | 6,472,960 | (1,344,211) | 5,083,479 | 529,055 | 50,244,322 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 885,816 | 885,816 | 25,241,116 | 25,417,286 | — | — | 709,646 | 709,646 | 2,531 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 357,349,581 | 318,420,532 | — | — | 38,929,049 | 38,929,049 | 51,339 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 544,010 | 6,925,254 | 6,733,453 | 2,450,000 | (215,462) | 2,190,363 | 55,017 | 13,183,608 | — | ||||||||
Total | $219,691,686 | $630,021,044 | $396,048,060 | $ (630,336) | $21,394,934 | $474,429,268 | $2,467,134 |
* | Includes $119,833,539 from the merger with State Street Target Retirement 2015 Fund. (See Note 10) |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.1% (a) | ||||||
DOMESTIC EQUITY — 25.8% | ||||||
State Street Equity 500 Index II Portfolio | 515,544 | $ 150,971,983 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 134,264 | 32,173,693 | ||||
183,145,676 | ||||||
DOMESTIC FIXED INCOME — 35.3% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 488,783 | 49,445,288 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 353,834 | 11,089,158 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 1,398,781 | 42,970,552 | ||||
State Street Aggregate Bond Index Portfolio | 1,364,809 | 147,235,605 | ||||
250,740,603 | ||||||
INFLATION LINKED — 17.9% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 6,252,832 | 127,120,075 | ||||
INTERNATIONAL EQUITY — 16.1% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,201,502 | 114,106,664 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 917,474 | 35,809,010 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $682,323,210) | 710,922,028 | |||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 146,303 | 146,302 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 9,498,250 | $ 9,498,250 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,644,552) | $ 9,644,552 | ||||
TOTAL INVESTMENTS—101.4% (Cost $691,967,762) | 720,566,580 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.4)% | (10,143,163) | ||||
NET ASSETS—100.0% | $ 710,423,417 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $710,922,028 | $— | $— | $710,922,028 | ||||
Short-Term Investments | 9,644,552 | — | — | 9,644,552 | ||||
TOTAL INVESTMENTS | $720,566,580 | $— | $— | $720,566,580 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,242,468 | $142,024,798 | $ 12,766,913 | $ 32,036,081 | $ 594,304 | $ 3,770,141 | 6,252,832 | $127,120,075 | $ 754,846 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 504,405 | 55,252,524 | 6,132,361 | 7,811,671 | (865,192) | (3,262,734) | 488,783 | 49,445,288 | 1,187,859 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 770,441 | 39,693,119 | 8,931,795 | 4,192,408 | (781,594) | (7,841,902) | 917,474 | 35,809,010 | 492,018 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 127,963 | 3,946,379 | 7,827,255 | 1,039,941 | 16,356 | 339,109 | 353,834 | 11,089,158 | 70,839 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 474,514 | 14,216,439 | 30,766,359 | 2,373,937 | 47,607 | 314,084 | 1,398,781 | 42,970,552 | 119,785 | ||||||||
State Street Aggregate Bond Index Portfolio | 19,207,489 | 196,876,757 | 18,915,285 | 76,565,057 | 3,129,681 | 4,878,939 | 1,364,809 | 147,235,605 | 1,882,955 | ||||||||
State Street Equity 500 Index II Portfolio | 11,935,738 | 180,349,008 | 10,308,713 | 33,513,554 | 1,797,007 | (7,969,191) | 515,544 | 150,971,983 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 11,138,131 | 118,732,478 | 26,462,404 | 21,608,440 | (3,481,393) | (5,998,385) | 1,201,502 | 114,106,664 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,011,720 | 2,011,720 | 63,619,065 | 65,484,483 | — | — | 146,303 | 146,302 | 6,294 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,036,500 | 4,036,500 | 443,901,807 | 438,440,057 | — | — | 9,498,250 | 9,498,250 | 108,489 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,766,643 | 35,219,362 | 5,430,000 | 7,745,001 | (290,819) | (439,849) | 134,264 | 32,173,693 | — | ||||||||
Total | $792,359,084 | $635,061,957 | $690,810,630 | $ 165,957 | $(16,209,788) | $720,566,580 | $4,623,085 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% (a) | ||||||
DOMESTIC EQUITY — 33.9% | ||||||
State Street Equity 500 Index II Portfolio | 912,907 | $ 267,335,701 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 267,477 | 64,095,524 | ||||
331,431,225 | ||||||
DOMESTIC FIXED INCOME — 30.3% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 605,260 | 61,228,101 | ||||
SPDR Portfolio Long Term Treasury ETF | 918,060 | 43,066,195 | ||||
SPDR Portfolio Short Term Corporate Bond ETF | 31,153 | 976,335 | ||||
SPDR Portfolio Short Term Treasury ETF | 64,821 | 1,991,301 | ||||
State Street Aggregate Bond Index Portfolio | 1,755,329 | 189,364,899 | ||||
296,626,831 | ||||||
INFLATION LINKED — 10.3% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 4,940,108 | 100,432,396 | ||||
INTERNATIONAL EQUITY — 22.7% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,341,553 | 222,377,300 | ||||
REAL ESTATE — 2.8% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 690,783 | 26,961,260 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $937,535,266) | 977,829,012 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 2,984,676 | $ 2,984,676 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 2,393,626 | 2,393,626 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,378,302) | $ 5,378,302 | |||||
TOTAL INVESTMENTS—100.6% (Cost $942,913,568) | 983,207,314 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.6)% | (5,529,974) | |||||
NET ASSETS—100.0% | $ 977,677,340 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $977,829,012 | $— | $— | $977,829,012 | ||||
Short-Term Investments | 5,378,302 | — | — | 5,378,302 | ||||
TOTAL INVESTMENTS | $983,207,314 | $— | $— | $983,207,314 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | — | $ — | $ 99,948,313 | $ 1,775,742 | $ 48,260 | $ 2,211,565 | 4,940,108 | $100,432,396 | $ 495,083 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 571,127 | 62,561,251 | 12,784,573 | 9,408,442 | (852,141) | (3,857,139) | 605,260 | 61,228,101 | 1,391,822 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 508,118 | 26,178,239 | 8,549,886 | 1,919,655 | (442,691) | (5,404,519) | 690,783 | 26,961,260 | 343,531 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,273,299 | 49,493,132 | 10,184,539 | 27,074,679 | 6,873,686 | 3,589,517 | 918,060 | 43,066,195 | 370,223 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | — | — | 974,120 | 20,003 | 1,077 | 21,141 | 31,153 | 976,335 | 2,576 | ||||||||
SPDR Portfolio Short Term Treasury ETF | — | — | 1,992,403 | — | — | (1,102) | — | 1,991,301 | — | ||||||||
SPDR Portfolio TIPS ETF | 3,656,543 | 104,394,303 | 4,829,071 | 111,995,605 | 5,222,507 | (2,450,276) | — | — | — | ||||||||
State Street Aggregate Bond Index Portfolio | 19,295,451 | 197,778,370 | 33,367,395 | 51,028,882 | 2,119,518 | 7,128,498 | 1,755,329 | 189,364,899 | 2,139,705 | ||||||||
State Street Equity 500 Index II Portfolio | 20,206,795 | 305,324,680 | 26,436,719 | 52,960,831 | 1,016,925 | (12,481,792) | 912,907 | 267,335,701 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 20,861,867 | 222,387,502 | 47,640,914 | 29,085,613 | (4,650,116) | (13,915,387) | 2,341,553 | 222,377,300 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,868,313 | 7,868,313 | 99,011,969 | 103,895,606 | — | — | 2,984,676 | 2,984,676 | 11,322 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 295,261,081 | 292,867,455 | — | — | 2,393,626 | 2,393,626 | 93,159 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,670,365 | 72,183,742 | 7,440,000 | 12,410,000 | (367,651) | (2,750,567) | 267,477 | 64,095,524 | — | ||||||||
Total | $1,048,169,532 | $648,420,983 | $694,442,513 | $ 8,969,374 | $(27,910,061) | $983,207,314 | $4,847,421 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9% (a) | ||||||
DOMESTIC EQUITY — 40.2% | ||||||
State Street Equity 500 Index II Portfolio | 1,145,607 | $ 335,479,387 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 382,213 | 91,589,803 | ||||
427,069,190 | ||||||
DOMESTIC FIXED INCOME — 29.6% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 506,666 | 51,254,333 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,059,942 | 96,631,879 | ||||
State Street Aggregate Bond Index Portfolio | 1,543,338 | 166,495,301 | ||||
314,381,513 | ||||||
INFLATION LINKED — 1.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 516,599 | 10,502,457 | ||||
INTERNATIONAL EQUITY — 28.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,232,028 | 306,945,692 | ||||
REAL ESTATE — 0.2% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 68,309 | 2,666,100 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,006,099,205) | 1,061,564,952 | |||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 2,610,323 | 2,610,323 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 21,877,676 | $ 21,877,676 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $24,487,999) | $ 24,487,999 | ||||
TOTAL INVESTMENTS—102.2% (Cost $1,030,587,204) | 1,086,052,951 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(2.2)% | (23,816,931) | ||||
NET ASSETS—100.0% | $ 1,062,236,020 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $1,061,564,952 | $— | $— | $1,061,564,952 | ||||
Short-Term Investments | 24,487,999 | — | — | 24,487,999 | ||||
TOTAL INVESTMENTS | $1,086,052,951 | $— | $— | $1,086,052,951 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | — | $ — | $ 11,696,387 | $ 1,294,860 | $ (3,151) | $ 104,081 | 516,599 | $ 10,502,457 | $ 24,827 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 404,416 | 44,299,729 | 14,533,806 | 4,826,405 | (450,779) | (2,302,018) | 506,666 | 51,254,333 | 1,064,877 | ||||||||
SPDR Dow Jones Global Real Estate ETF | — | — | 2,532,725 | — | — | 133,375 | 68,309 | 2,666,100 | 10,294 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,691,017 | 104,599,831 | 23,876,123 | 53,984,981 | 13,829,033 | 8,311,873 | 2,059,942 | 96,631,879 | 785,421 | ||||||||
SPDR Portfolio TIPS ETF | 1,099,008 | 31,376,678 | 1,097,107 | 33,297,010 | 1,498,934 | (675,709) | — | — | — | ||||||||
State Street Aggregate Bond Index Portfolio | 14,212,438 | 145,677,484 | 31,485,190 | 18,171,439 | 730,565 | 6,773,501 | 1,543,338 | 166,495,301 | 1,725,487 | ||||||||
State Street Equity 500 Index II Portfolio | 24,144,263 | 364,819,813 | 34,766,256 | 51,441,810 | 1,219,200 | (13,884,072) | 1,145,606 | 335,479,387 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 26,713,912 | 284,770,304 | 68,401,862 | 24,318,272 | (2,015,167) | (19,893,035) | 3,232,028 | 306,945,692 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,267,668 | 5,267,668 | 102,287,528 | 104,944,873 | — | — | 2,610,323 | 2,610,323 | 12,192 | ||||||||
State Street Navigator Securities Lending Portfolio II | 212,325 | 212,325 | 407,363,147 | 385,697,796 | — | — | 21,877,676 | 21,877,676 | 97,530 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,955,106 | 101,268,501 | 10,410,000 | 15,350,000 | (800,639) | (3,938,059) | 382,213 | 91,589,803 | — | ||||||||
Total | $1,082,292,333 | $708,450,131 | $693,327,446 | $14,007,996 | $(25,370,063) | $1,086,052,951 | $3,720,628 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% (a) | ||||||
DOMESTIC EQUITY — 44.6% | ||||||
State Street Equity 500 Index II Portfolio | 1,057,604 | $ 309,708,630 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 403,410 | 96,669,169 | ||||
406,377,799 | ||||||
DOMESTIC FIXED INCOME — 23.1% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 193,002 | 19,524,082 | ||||
SPDR Portfolio Long Term Treasury ETF | 1,858,300 | 87,172,853 | ||||
State Street Aggregate Bond Index Portfolio | 962,589 | 103,844,071 | ||||
210,541,006 | ||||||
INTERNATIONAL EQUITY — 32.3% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,094,446 | 293,879,600 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $866,389,176) | 910,798,405 | |||||
SHORT-TERM INVESTMENTS — 1.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 1,801,866 | 1,801,866 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e)(f) | 15,573,391 | $ 15,573,391 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,375,257) | $ 17,375,257 | ||||
TOTAL INVESTMENTS—101.9% (Cost $883,764,433) | 928,173,662 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.9)% | (17,127,358) | ||||
NET ASSETS—100.0% | $ 911,046,304 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $910,798,405 | $— | $— | $910,798,405 | ||||
Short-Term Investments | 17,375,257 | — | — | 17,375,257 | ||||
TOTAL INVESTMENTS | $928,173,662 | $— | $— | $928,173,662 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 95,734 | $ 10,486,702 | $ 12,870,671 | $ 3,681,915 | $ (186,136) | $ 34,760 | 193,002 | $ 19,524,082 | $ 327,653 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,273,624 | 88,375,765 | 20,862,273 | 41,028,156 | 10,693,614 | 8,269,357 | 1,858,300 | 87,172,853 | 679,884 | ||||||||
SPDR Portfolio TIPS ETF | 271,623 | 7,754,837 | 260,508 | 8,236,280 | 302,276 | (81,341) | — | — | — | ||||||||
State Street Aggregate Bond Index Portfolio | 9,773,612 | 100,179,518 | 22,626,736 | 23,695,692 | 952,358 | 3,781,151 | 962,589 | 103,844,071 | 1,114,337 | ||||||||
State Street Equity 500 Index II Portfolio | 21,863,367 | 330,355,480 | 33,016,221 | 41,337,988 | (201,431) | (12,123,652) | 1,057,604 | 309,708,630 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 25,129,154 | 267,876,782 | 63,124,071 | 15,866,529 | (1,764,472) | (19,490,252) | 3,094,447 | 293,879,600 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,473,779 | 7,473,779 | 84,152,347 | 89,824,260 | — | — | 1,801,866 | 1,801,866 | 11,268 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 166,573,032 | 150,999,641 | — | — | 15,573,391 | 15,573,391 | 41,457 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,217,694 | 104,611,247 | 11,230,000 | 14,150,000 | (820,830) | (4,201,248) | 403,410 | 96,669,169 | — | ||||||||
Total | $917,114,110 | $414,715,859 | $388,820,461 | $ 8,975,379 | $(23,811,225) | $928,173,662 | $2,174,599 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% (a) | ||||||
DOMESTIC EQUITY — 48.2% | ||||||
State Street Equity 500 Index II Portfolio | 980,477 | $ 287,122,797 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 430,216 | 103,092,788 | ||||
390,215,585 | ||||||
DOMESTIC FIXED INCOME — 16.9% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,649,257 | 77,366,646 | ||||
State Street Aggregate Bond Index Portfolio | 553,462 | 59,707,494 | ||||
137,074,140 | ||||||
INTERNATIONAL EQUITY — 34.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,971,441 | 282,197,704 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $771,344,559) | 809,487,429 | |||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 1,480,930 | 1,480,930 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 4,617,525 | 4,617,525 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,098,455) | $ 6,098,455 | |||||
TOTAL INVESTMENTS—100.7% (Cost $777,443,014) | 815,585,884 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.7)% | (5,909,502) | |||||
NET ASSETS—100.0% | $ 809,676,382 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $809,487,429 | $— | $— | $809,487,429 | ||||
Short-Term Investments | 6,098,455 | — | — | 6,098,455 | ||||
TOTAL INVESTMENTS | $815,585,884 | $— | $— | $815,585,884 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,951,123 | $ 75,840,151 | $ 22,943,254 | $ 37,617,282 | $9,381,610 | $ 6,818,913 | 1,649,257 | $ 77,366,646 | $ 585,429 | ||||||||
State Street Aggregate Bond Index Portfolio | 5,348,069 | 54,817,705 | 14,967,278 | 12,720,000 | 518,127 | 2,124,384 | 553,462 | 59,707,494 | 613,236 | ||||||||
State Street Equity 500 Index II Portfolio | 19,446,130 | 293,831,019 | 33,863,408 | 31,068,879 | 444,068 | (9,946,819) | 980,477 | 287,122,797 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 23,335,005 | 248,751,155 | 60,700,628 | 8,344,857 | (343,997) | (18,565,225) | 2,971,441 | 282,197,704 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,517,621 | 4,517,621 | 82,276,734 | 85,313,425 | — | — | 1,480,930 | 1,480,930 | 9,474 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 113,626,389 | 109,008,864 | — | — | 4,617,525 | 4,617,525 | 5,078 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,471,002 | 107,835,854 | 12,980,000 | 13,050,000 | (501,547) | (4,171,519) | 430,216 | 103,092,788 | — | ||||||||
Total | $785,593,505 | $341,357,691 | $297,123,307 | $9,498,261 | $(23,740,266) | $815,585,884 | $1,213,217 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 51.0% | ||||||
State Street Equity 500 Index II Portfolio | 769,767 | $ 225,418,588 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 391,205 | 93,744,304 | ||||
319,162,892 | ||||||
DOMESTIC FIXED INCOME — 12.0% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,275,436 | 59,830,703 | ||||
State Street Aggregate Bond Index Portfolio | 142,278 | 15,349,001 | ||||
75,179,704 | ||||||
INTERNATIONAL EQUITY — 36.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,430,260 | 230,801,828 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $598,646,394) | 625,144,424 | |||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 1,698,461 | 1,698,461 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 14,652,560 | 14,652,560 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,351,021) | $ 16,351,021 | |||||
TOTAL INVESTMENTS—102.4% (Cost $614,997,415) | 641,495,445 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(2.4)% | (15,295,874) | |||||
NET ASSETS—100.0% | $ 626,199,571 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $625,144,424 | $— | $— | $625,144,424 | ||||
Short-Term Investments | 16,351,021 | — | — | 16,351,021 | ||||
TOTAL INVESTMENTS | $641,495,445 | $— | $— | $641,495,445 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,472,359 | $ 57,230,594 | $ 20,394,277 | $ 30,104,276 | $ 7,881,391 | $ 4,428,717 | 1,275,436 | $ 59,830,703 | $445,494 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,151,918 | 11,807,156 | 5,039,942 | 2,110,001 | 138,598 | 473,306 | 142,278 | 15,349,001 | 139,941 | ||||||||
State Street Equity 500 Index II Portfolio | 14,904,611 | 225,208,677 | 33,527,654 | 26,695,855 | (1,032,632) | (5,589,256) | 769,767 | 225,418,588 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 18,711,759 | 199,467,354 | 52,722,712 | 6,539,059 | (1,389,819) | (13,459,360) | 2,430,260 | 230,801,828 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,825,017 | 4,825,017 | 82,908,504 | 86,035,060 | — | — | 1,698,461 | 1,698,461 | 8,434 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 100,562,771 | 85,910,211 | — | — | 14,652,560 | 14,652,560 | 6,299 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,509,057 | 95,590,294 | 14,640,000 | 12,680,000 | (1,110,044) | (2,695,946) | 391,204 | 93,744,304 | — | ||||||||
Total | $594,129,092 | $309,795,860 | $250,074,462 | $ 4,487,494 | $(16,842,539) | $641,495,445 | $600,168 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9% (a) | ||||||
DOMESTIC EQUITY — 52.5% | ||||||
State Street Equity 500 Index II Portfolio | 517,793 | $ 151,630,588 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 283,934 | 68,039,010 | ||||
219,669,598 | ||||||
DOMESTIC FIXED INCOME — 9.5% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 851,239 | 39,931,621 | ||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,672,902 | 158,875,518 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $402,937,354) | 418,476,737 | |||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 912,743 | 912,743 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 907,100 | 907,100 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,819,843) | $ 1,819,843 | |||||
TOTAL INVESTMENTS—100.3% (Cost $404,757,197) | 420,296,580 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.3)% | (1,445,855) | |||||
NET ASSETS—100.0% | $ 418,850,725 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $418,476,737 | $— | $— | $418,476,737 | ||||
Short-Term Investments | 1,819,843 | — | — | 1,819,843 | ||||
TOTAL INVESTMENTS | $420,296,580 | $— | $— | $420,296,580 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 955,477 | $ 37,139,391 | $ 15,253,206 | $ 20,571,245 | $5,313,495 | $ 2,796,774 | 851,239 | $ 39,931,621 | $294,308 | ||||||||
State Street Equity 500 Index II Portfolio | 9,736,522 | 147,118,844 | 25,790,827 | 16,326,284 | (645,829) | (4,306,970) | 517,793 | 151,630,588 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,427,071 | 132,472,577 | 40,518,304 | 3,925,379 | (992,666) | (9,197,318) | 1,672,902 | 158,875,518 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,553,827 | 3,553,827 | 57,839,514 | 60,480,598 | — | — | 912,743 | 912,743 | 6,373 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 101,531,790 | 100,624,690 | — | — | 907,100 | 907,100 | 4,826 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,154,800 | 65,620,603 | 11,982,389 | 7,060,001 | (418,509) | (2,085,472) | 283,934 | 68,039,010 | — | ||||||||
Total | $385,905,242 | $252,916,030 | $208,988,197 | $3,256,491 | $(12,792,986) | $420,296,580 | $305,507 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 52.4% | ||||||
State Street Equity 500 Index II Portfolio | 272,028 | $ 79,660,712 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 149,182 | 35,748,392 | ||||
115,409,104 | ||||||
DOMESTIC FIXED INCOME — 9.5% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 448,749 | 21,050,815 | ||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 879,027 | 83,481,212 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $212,941,575) | 219,941,131 | |||||
SHORT-TERM INVESTMENTS — 1.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 587,894 | 587,894 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 3,055,431 | 3,055,431 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,643,325) | $ 3,643,325 | |||||
TOTAL INVESTMENTS—101.4% (Cost $216,584,900) | 223,584,456 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.4)% | (3,171,365) | |||||
NET ASSETS—100.0% | $ 220,413,091 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $219,941,131 | $— | $— | $219,941,131 | ||||
Short-Term Investments | 3,643,325 | — | — | 3,643,325 | ||||
TOTAL INVESTMENTS | $223,584,456 | $— | $— | $223,584,456 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 490,948 | $ 19,083,149 | $ 9,944,715 | $12,196,640 | $3,097,495 | $ 1,122,096 | 448,749 | $ 21,050,815 | $151,966 | ||||||||
State Street Equity 500 Index II Portfolio | 5,004,160 | 75,612,850 | 17,496,333 | 10,609,388 | (610,735) | (2,228,348) | 272,028 | 79,660,712 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 6,386,689 | 68,082,107 | 22,977,467 | 2,010,214 | (603,651) | (4,964,497) | 879,027 | 83,481,212 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,338,809 | 2,338,809 | 33,359,266 | 35,110,181 | — | — | 587,894 | 587,894 | 4,184 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 37,953,880 | 34,898,449 | — | — | 3,055,431 | 3,055,431 | 3,055 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,649,033 | 33,722,194 | 8,240,000 | 4,740,000 | (647,604) | (826,198) | 149,182 | 35,748,392 | — | ||||||||
Total | $198,839,109 | $129,971,661 | $99,564,872 | $1,235,505 | $(6,896,947) | $223,584,456 | $159,205 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 52.4% | ||||||
State Street Equity 500 Index II Portfolio | 108,564 | $ 31,791,927 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 59,537 | 14,266,746 | ||||
46,058,673 | ||||||
DOMESTIC FIXED INCOME — 9.5% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 179,074 | 8,400,361 | ||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 350,792 | 33,314,715 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $85,307,748) | 87,773,749 | |||||
SHORT-TERM INVESTMENTS — 7.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c)(d) | 257,907 | 257,907 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 6,610,009 | 6,610,009 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,867,916) | $ 6,867,916 | |||||
TOTAL INVESTMENTS—107.6% (Cost $92,175,664) | 94,641,665 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(7.6)% | (6,680,259) | |||||
NET ASSETS—100.0% | $ 87,961,406 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 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 | $87,773,749 | $— | $— | $87,773,749 | ||||
Short-Term Investments | 6,867,916 | — | — | 6,867,916 | ||||
TOTAL INVESTMENTS | $94,641,665 | $— | $— | $94,641,665 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | 185,180 | $ 7,197,947 | $ 6,245,306 | $ 6,701,235 | $1,421,904 | $ 236,439 | 179,074 | $ 8,400,361 | $60,507 | ||||||||
State Street Equity 500 Index II Portfolio | 1,886,325 | 28,502,371 | 9,998,422 | 5,491,302 | (526,641) | (690,923) | 108,564 | 31,791,927 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,410,723 | 25,698,310 | 11,710,358 | 1,768,103 | (587,038) | (1,738,812) | 350,792 | 33,314,715 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 628,414 | 628,414 | 18,092,313 | 18,462,820 | — | — | 257,907 | 257,907 | 1,970 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 54,950,288 | 48,340,279 | — | — | 6,610,009 | 6,610,009 | 2,851 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 997,941 | 12,703,782 | 4,670,000 | 2,463,000 | (527,260) | (116,776) | 59,537 | 14,266,746 | — | ||||||||
Total | $74,730,824 | $105,666,687 | $83,226,739 | $ (219,035) | $(2,310,072) | $94,641,665 | $65,328 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.4% (a) | ||||||
DOMESTIC EQUITY — 50.4% | ||||||
State Street Equity 500 Index II Portfolio | 1,187 | $ 347,608 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 650 | 155,793 | ||||
503,401 | ||||||
DOMESTIC FIXED INCOME — 9.3% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,985 | 93,116 | ||||
INTERNATIONAL EQUITY — 36.7% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,859 | 366,450 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $875,298) | 962,967 | |||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (b)(c) (Cost $7,534) | 7,534 | 7,534 | ||||
TOTAL INVESTMENTS—97.2% (Cost $882,832) | 970,501 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES—2.8% | 27,921 | |||||
NET ASSETS—100.0% | $ 998,422 |
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 June 30, 2020 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2020. |
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 | $962,967 | $— | $— | $962,967 | ||||
Short-Term Investment | 7,534 | — | — | 7,534 | ||||
TOTAL INVESTMENTS | $970,501 | $— | $— | $970,501 |
Number of Shares Held at 3/30/20* | Value at 3/30/20* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
SPDR Portfolio Long Term Treasury ETF | — | $— | $ 106,649 | $ 11,711 | $ (203) | $ (1,619) | 1,985 | $ 93,116 | $211 | ||||||||
State Street Equity 500 Index II Portfolio | — | — | 337,390 | 23,230 | 2,073 | 31,375 | 1,187 | 347,608 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | — | — | 348,457 | 18,472 | 751 | 35,714 | 3,859 | 366,450 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 816,639 | 809,105 | — | — | 7,534 | 7,534 | 9 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 150,797 | 20,479 | 3,276 | 22,199 | 650 | 155,793 | — | ||||||||
Total | $— | $1,759,932 | $882,997 | $5,897 | $87,669 | $970,501 | $220 |
* | Commencement of operations. |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||
ASSETS | |||||||
Investments in affiliated issuers, at value* | $474,429,268 | $720,566,580 | $ 983,207,314 | $1,086,052,951 | |||
Receivable for investments sold | 13,321,824 | 28,391,956 | 37,170,000 | 34,600,000 | |||
Receivable for fund shares sold | 99,150 | 83,846 | 406,318 | 251,500 | |||
Dividends receivable — affiliated issuers | 116 | 189 | 237 | 327 | |||
Securities lending income receivable — unaffiliated issuers | 1,413 | 1,485 | — | 789 | |||
Securities lending income receivable — affiliated issuers | 1,966 | 4,292 | 2,244 | 3,375 | |||
Receivable from Adviser | 101,781 | 96,320 | 113,065 | 105,128 | |||
TOTAL ASSETS | 487,955,518 | 749,144,668 | 1,020,899,178 | 1,121,014,070 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 38,929,049 | 9,498,250 | 2,393,626 | 21,877,676 | |||
Payable for investments purchased | 13,189,437 | 27,179,133 | 38,289,932 | 35,122,785 | |||
Payable for fund shares repurchased | 772,332 | 1,918,604 | 2,377,199 | 1,602,255 | |||
Advisory fee payable | 17,820 | 29,262 | 40,112 | 43,360 | |||
Custodian fees payable | 9,481 | 5,013 | 5,066 | 4,144 | |||
Administration fees payable | 18,231 | 29,649 | 40,435 | 43,654 | |||
Trustees’ fees and expenses payable | — | — | — | — | |||
Transfer agent fees payable | 11,346 | 16,391 | 19,980 | 21,248 | |||
Sub-transfer agent fee payable | 179 | 83 | 232 | 245 | |||
Registration and filing fees payable | 5,408 | 4,322 | 14,616 | 22,947 | |||
Professional fees payable | 44,644 | 27,164 | 26,327 | 26,210 | |||
Printing and postage fees payable | — | 9,367 | 9,334 | 8,806 | |||
Accrued expenses and other liabilities | 14 | 4,013 | 4,979 | 4,720 | |||
TOTAL LIABILITIES | 52,997,941 | 38,721,251 | 43,221,838 | 58,778,050 | |||
NET ASSETS | $434,957,577 | $710,423,417 | $ 977,677,340 | $1,062,236,020 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $408,355,804 | $668,132,071 | $ 906,234,386 | $ 965,500,614 | |||
Total distributable earnings (loss) | 26,601,773 | 42,291,346 | 71,442,954 | 96,735,406 | |||
NET ASSETS | $434,957,577 | $710,423,417 | $ 977,677,340 | $1,062,236,020 | |||
Class I | |||||||
Net Assets | $ 168,270 | $ 2,137,799 | $ 2,212,633 | $ 2,736,556 | |||
Shares Outstanding | 15,172 | 189,396 | 186,685 | 223,987 | |||
Net asset value, offering and redemption price per share | $ 11.09 | $ 11.29 | $ 11.85 | $ 12.22 | |||
Class K | |||||||
Net Assets | $434,789,307 | $708,285,618 | $ 975,464,707 | $1,059,499,464 | |||
Shares Outstanding | 39,267,610 | 62,717,548 | 82,173,165 | 86,580,662 | |||
Net asset value, offering and redemption price per share | $ 11.07 | $ 11.29 | $ 11.87 | $ 12.24 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 448,509,402 | 691,967,762 | 942,913,568 | 1,030,587,204 | |||
* Includes investments in securities on loan, at value | $ 41,717,150 | $ 11,044,132 | $ 2,350,270 | $ 21,635,959 |
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 | State Street Target Retirement 2065 Fund | ||||||
$928,173,662 | $815,585,884 | $641,495,445 | $420,296,580 | $223,584,456 | $94,641,665 | $ 970,501 | ||||||
25,590,000 | 18,980,000 | 12,260,000 | 7,040,000 | 3,730,000 | 1,379,000 | 17,810 | ||||||
219,693 | 211,644 | 363,057 | 419,624 | 321,619 | 183,786 | 4,440 | ||||||
291 | 265 | 253 | 144 | 86 | 36 | 33,984 | ||||||
271 | — | 92 | — | 59 | 7 | — | ||||||
1,120 | 63 | 1,220 | 1,529 | 1,100 | 721 | — | ||||||
80,761 | 68,579 | 61,381 | 52,711 | 43,645 | 41,177 | 21,122 | ||||||
954,065,798 | 834,846,435 | 654,181,448 | 427,810,588 | 227,680,965 | 96,246,392 | 1,047,857 | ||||||
15,573,391 | 4,617,525 | 14,652,560 | 907,100 | 3,055,431 | 6,610,009 | — | ||||||
25,668,902 | 18,888,544 | 12,707,848 | 7,177,811 | 3,873,163 | 1,461,837 | 23,428 | ||||||
1,622,065 | 1,518,295 | 495,217 | 765,200 | 258,227 | 148,510 | — | ||||||
37,168 | 32,924 | 25,420 | 16,972 | 8,883 | 3,552 | 38 | ||||||
4,745 | 4,941 | 4,999 | 4,963 | 5,004 | 5,068 | 5,188 | ||||||
37,393 | 33,127 | 25,547 | 17,036 | 8,947 | 3,616 | 38 | ||||||
— | — | — | — | 9 | 85 | 6,043 | ||||||
22,135 | 23,129 | 24,282 | 23,422 | 21,893 | 21,190 | 2,879 | ||||||
— | — | — | — | 71 | 82 | 56 | ||||||
16,377 | 15,743 | 12,282 | 12,961 | 5,605 | 1,579 | 13 | ||||||
26,758 | 27,178 | 27,788 | 28,417 | 29,034 | 29,457 | 11,725 | ||||||
6,741 | 5,724 | 4,119 | 4,704 | 1,341 | — | — | ||||||
3,819 | 2,923 | 1,815 | 1,277 | 266 | 1 | 27 | ||||||
43,019,494 | 25,170,053 | 27,981,877 | 8,959,863 | 7,267,874 | 8,284,986 | 49,435 | ||||||
$911,046,304 | $809,676,382 | $626,199,571 | $418,850,725 | $220,413,091 | $87,961,406 | $ 998,422 | ||||||
$835,144,313 | $741,232,665 | $580,173,665 | $388,738,043 | $208,792,137 | $85,373,493 | $ 904,743 | ||||||
75,901,991 | 68,443,717 | 46,025,906 | 30,112,682 | 11,620,954 | 2,587,913 | 93,679 | ||||||
$911,046,304 | $809,676,382 | $626,199,571 | $418,850,725 | $220,413,091 | $87,961,406 | $ 998,422 | ||||||
$ 2,017,504 | $ 1,492,957 | $ 820,682 | $ 397,874 | $ 244,171 | $ 182,984 | $ 117,120 | ||||||
162,620 | 120,239 | 66,255 | 32,529 | 19,841 | 15,044 | 10,000 | ||||||
$ 12.41 | $ 12.42 | $ 12.39 | $ 12.23 | $ 12.31 | $ 12.16 | $ 11.71 | ||||||
$909,028,800 | $808,183,425 | $625,378,889 | $418,452,851 | $220,168,920 | $87,778,422 | $ 881,302 | ||||||
73,040,123 | 65,034,527 | 50,489,636 | 34,197,598 | 17,921,610 | 7,218,218 | 75,224 | ||||||
$ 12.45 | $ 12.43 | $ 12.39 | $ 12.24 | $ 12.29 | $ 12.16 | $ 11.72 | ||||||
883,764,433 | 777,443,014 | 614,997,415 | 404,757,197 | 216,584,900 | 92,175,664 | 882,832 | ||||||
$ 15,407,376 | $ 4,489,287 | $ 14,245,629 | $ 881,908 | $ 2,970,576 | $ 6,426,435 | $ — |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||
INVESTMENT INCOME | |||||||
Dividend income — unaffiliated issuers | $ 3 | $ 30 | $ 7 | $ 4 | |||
Dividend income — affiliated issuers | 2,415,795 | 4,514,596 | 4,754,262 | 3,623,098 | |||
Unaffiliated securities lending income | 2,428 | 3,416 | 918 | 9,856 | |||
Affiliated securities lending income | 51,339 | 108,489 | 93,159 | 97,530 | |||
TOTAL INVESTMENT INCOME (LOSS) | 2,469,565 | 4,626,531 | 4,848,346 | 3,730,488 | |||
EXPENSES | |||||||
Advisory fee | 79,975 | 180,178 | 242,877 | 255,476 | |||
Administration fees | 79,976 | 180,178 | 242,877 | 255,476 | |||
Sub-transfer agent fee | |||||||
Class I | — | 162 | 205 | 383 | |||
Custodian fees | 29,788 | 26,297 | 26,413 | 27,059 | |||
Trustees’ fees and expenses | 11,574 | 16,320 | 18,368 | 18,597 | |||
Transfer agent fees | 64,068 | 60,011 | 80,209 | 89,252 | |||
Registration and filing fees | 37,298 | 34,621 | 35,035 | 35,214 | |||
Professional fees | 25,837 | 25,638 | 25,638 | 25,638 | |||
Printing and postage fees | 13,504 | 13,173 | 18,696 | 19,733 | |||
Insurance expense | 856 | 2,503 | 3,158 | 3,084 | |||
Miscellaneous expenses | 3,248 | 8,386 | 10,410 | 10,310 | |||
TOTAL EXPENSES | 346,124 | 547,467 | 703,886 | 740,222 | |||
Expenses waived/reimbursed by the Adviser | (458,089) | (619,376) | (703,681) | (637,648) | |||
NET EXPENSES | (111,965) | (71,909) | 205 | 102,574 | |||
NET INVESTMENT INCOME (LOSS) | $ 2,581,530 | $ 4,698,440 | $ 4,848,141 | $ 3,627,914 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | (630,336) | 165,957 | 8,969,374 | 14,007,996 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | 21,394,934 | (16,209,788) | (27,910,061) | (25,370,063) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 20,764,598 | (16,043,831) | (18,940,687) | (11,362,067) | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $23,346,128 | $(11,345,391) | $(14,092,546) | $ (7,734,153) |
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 | State Street Target Retirement 2065 Fund(a) | ||||||
$ 8 | $ 10 | $ 4 | $ 5 | $ — | $ 2 | $ — | ||||||
2,133,142 | 1,208,139 | 593,869 | 300,681 | 156,150 | 62,477 | 220 | ||||||
3,235 | 18 | 95 | — | 61 | 21 | — | ||||||
41,457 | 5,078 | 6,299 | 4,826 | 3,055 | 2,851 | — | ||||||
2,177,842 | 1,213,245 | 600,267 | 305,512 | 159,266 | 65,351 | 220 | ||||||
217,898 | 188,959 | 144,118 | 95,135 | 49,375 | 19,389 | 85 | ||||||
217,898 | 188,959 | 144,117 | 95,135 | 49,375 | 19,388 | 86 | ||||||
735 | 118 | 156 | 100 | 34 | — | 56 | ||||||
26,590 | 26,211 | 26,171 | 26,154 | 26,230 | 26,418 | 13,485 | ||||||
17,198 | 16,143 | 14,641 | 13,129 | 11,618 | 10,631 | 6,043 | ||||||
95,097 | 98,562 | 103,554 | 104,561 | 100,575 | 94,623 | 5,918 | ||||||
34,846 | 35,106 | 34,454 | 34,422 | 30,743 | 31,347 | 12,971 | ||||||
25,638 | 25,638 | 25,639 | 25,639 | 25,639 | 25,638 | 11,726 | ||||||
19,069 | 17,710 | 16,733 | 16,841 | 17,657 | 13,290 | 7,435 | ||||||
2,567 | 2,099 | 1,589 | 1,071 | 524 | 120 | — | ||||||
8,658 | 7,297 | 5,530 | 3,936 | 2,344 | 1,640 | 1,400 | ||||||
666,194 | 606,802 | 516,702 | 416,123 | 314,114 | 242,484 | 59,205 | ||||||
(491,141) | (417,725) | (372,429) | (320,888) | (264,704) | (226,973) | (59,098) | ||||||
175,053 | 189,077 | 144,273 | 95,235 | 49,410 | 15,511 | 107 | ||||||
$ 2,002,789 | $ 1,024,168 | $ 455,994 | $ 210,277 | $ 109,856 | $ 49,840 | $ 113 | ||||||
8,975,379 | 9,498,261 | 4,487,494 | 3,256,491 | 1,235,505 | (219,035) | 5,897 | ||||||
(23,811,225) | (23,740,266) | (16,842,539) | (12,792,986) | (6,896,947) | (2,310,072) | 87,669 | ||||||
(14,835,846) | (14,242,005) | (12,355,045) | (9,536,495) | (5,661,442) | (2,529,107) | 93,566 | ||||||
$(12,833,057) | $(13,217,837) | $(11,899,051) | $ (9,326,218) | $(5,551,586) | $(2,479,267) | $ 93,679 |
(a) | For the period March 27, 2020 (inception date) through June 30, 2020. |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | ||||||
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 2,581,530 | $ 6,553,981 | $ 4,698,440 | $ 27,715,398 | |||
Net realized gain (loss) | (630,336) | 942,013 | 165,957 | 37,256,373 | |||
Net change in unrealized appreciation/depreciation | 21,394,934 | 21,318,121 | (16,209,788) | 88,050,399 | |||
Net increase (decrease) in net assets resulting from operations | 23,346,128 | 28,814,115 | (11,345,391) | 153,022,170 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (2,544) | — | (123,081) | |||
Class K | — | (7,906,347) | — | (60,051,009) | |||
Total distributions to shareholders | — | (7,908,891) | — | (60,174,090) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 14,519 | 36,093 | 236,598 | 183,576 | |||
Proceeds from shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 10) | 66,884 | — | — | — | |||
Reinvestment of distributions | — | 2,544 | — | 123,081 | |||
Cost of shares redeemed | (89) | (79,030) | (197,211) | (186,334) | |||
Net increase (decrease) from capital share transactions | 81,314 | (40,393) | 39,387 | 120,323 | |||
Class K | |||||||
Proceeds from sale of shares sold | 115,612,506 | 62,986,257 | 92,758,501 | 188,599,090 | |||
Proceeds from shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 10) | 119,576,117 | — | — | — | |||
Reinvestment of distributions | — | 7,906,200 | — | 60,034,433 | |||
Cost of shares redeemed | (42,803,046) | (73,560,726) | (156,177,776) | (405,393,139) | |||
Net increase (decrease) from capital share transactions | 192,385,577 | (2,668,269) | (63,419,275) | (156,759,616) | |||
Net increase (decrease) in net assets from beneficial interest transactions | 192,466,891 | (2,708,662) | (63,379,888) | (156,639,293) | |||
Net increase (decrease) in net assets during the period | 215,813,019 | 18,196,562 | (74,725,279) | (63,791,213) | |||
Net assets at beginning of period | 219,144,558 | 200,947,996 | 785,148,696 | 848,939,909 | |||
NET ASSETS AT END OF PERIOD | $434,957,577 | $219,144,558 | $ 710,423,417 | $ 785,148,696 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 1,485 | 3,352 | 21,230 | 16,272 | |||
Shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 10) | 6,596 | — | — | — | |||
Reinvestment of distributions | — | 230 | — | 10,815 | |||
Shares redeemed | (8) | (7,228) | (17,570) | (16,167) | |||
Net increase (decrease) from share transactions | 8,073 | (3,646) | 3,660 | 10,920 | |||
Class K | |||||||
Shares sold | 11,641,956 | 5,836,547 | 8,537,441 | 16,710,557 | |||
Shares issued in connection with the tax-free transfer of assets from State Street Target Retirement 2015 Fund (Note 10) | 11,815,879 | — | — | — | |||
Reinvestment of distributions | — | 716,791 | — | 5,270,802 | |||
Shares redeemed | (4,042,794) | (6,777,725) | (14,532,610) | (35,610,279) | |||
Net increase (decrease) from share transactions | 19,415,041 | (224,387) | (5,995,169) | (13,628,920) |
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | |||||
$ 4,848,141 | $ 34,231,879 | $ 3,627,914 | $ 32,723,493 | $ 2,002,789 | $ 25,568,252 | |||||
8,969,374 | 58,036,721 | 14,007,996 | 67,393,740 | 8,975,379 | 54,220,182 | |||||
(27,910,061) | 128,169,172 | (25,370,063) | 134,494,398 | (23,811,225) | 122,168,831 | |||||
(14,092,546) | 220,437,772 | (7,734,153) | 234,611,631 | (12,833,057) | 201,957,265 | |||||
— | (124,624) | — | (177,060) | — | (72,448) | |||||
— | (83,964,667) | — | (86,578,774) | — | (69,858,786) | |||||
— | (84,089,291) | — | (86,755,834) | — | (69,931,234) | |||||
823,124 | 780,421 | 116,223 | 837,094 | 818,500 | 609,906 | |||||
— | — | — | — | — | — | |||||
— | 118,083 | — | 177,060 | — | 72,447 | |||||
(641,497) | (181,680) | (172,132) | (174,664) | (92,369) | (24,272) | |||||
181,627 | 716,824 | (55,909) | 839,490 | 726,131 | 658,081 | |||||
142,420,288 | 282,492,001 | 160,616,926 | 319,322,790 | 142,216,206 | 250,711,635 | |||||
— | — | — | — | — | — | |||||
— | 83,944,195 | — | 86,518,276 | — | 69,765,244 | |||||
(188,039,462) | (474,617,976) | (165,760,426) | (441,473,068) | (127,624,358) | (341,227,921) | |||||
(45,619,174) | (108,181,780) | (5,143,500) | (35,632,002) | 14,591,848 | (20,751,042) | |||||
(45,437,547) | (107,464,956) | (5,199,409) | (34,792,512) | 15,317,979 | (20,092,961) | |||||
(59,530,093) | 28,883,525 | (12,933,562) | 113,063,285 | 2,484,922 | 111,933,070 | |||||
1,037,207,433 | 1,008,323,908 | 1,075,169,582 | 962,106,297 | 908,561,382 | 796,628,312 | |||||
$ 977,677,340 | $1,037,207,433 | $1,062,236,020 | $1,075,169,582 | $ 911,046,304 | $ 908,561,382 | |||||
71,146 | 65,171 | 9,775 | 66,374 | 75,589 | 50,472 | |||||
— | — | — | — | — | — | |||||
— | 9,906 | — | 14,454 | — | 5,782 | |||||
(53,796) | (15,416) | (17,276) | (14,986) | (8,115) | (2,010) | |||||
17,350 | 59,661 | (7,501) | 65,842 | 67,474 | 54,244 | |||||
12,635,400 | 24,057,026 | 14,018,564 | 26,618,976 | 12,190,296 | 20,472,870 | |||||
— | — | — | — | — | — | |||||
— | 7,030,502 | — | 7,051,204 | — | 5,550,139 | |||||
(17,138,032) | (39,913,999) | (14,799,829) | (36,182,374) | (11,343,267) | (27,376,674) | |||||
(4,502,632) | (8,826,471) | (781,265) | (2,512,194) | 847,029 | (1,353,665) |
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | ||||||
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 1,024,168 | $ 21,296,550 | $ 455,994 | $ 15,939,260 | |||
$Net realized gain (loss) | 9,498,261 | 47,190,558 | 4,487,494 | 34,006,646 | |||
Net change in unrealized appreciation/depreciation | (23,740,266) | 104,396,007 | (16,842,539) | 82,635,681 | |||
Net increase (decrease) in net assets resulting from operations | (13,217,837) | 172,883,115 | (11,899,051) | 132,581,587 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | — | (83,420) | — | (56,415) | |||
Class K | — | (57,985,145) | — | (43,234,896) | |||
Total distributions to shareholders | — | (58,068,565) | — | (43,291,311) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 193,799 | 245,281 | 138,286 | 147,771 | |||
Reinvestment of distributions | — | 83,420 | — | 56,415 | |||
Cost of shares redeemed | (75,089) | (384,068) | (263,960) | (171,691) | |||
Net increase (decrease) from capital share transactions | 118,710 | (55,367) | (125,674) | 32,495 | |||
Class K | |||||||
Proceeds from sale of shares sold | 136,316,368 | 241,586,471 | 127,885,508 | 199,427,941 | |||
Reinvestment of distributions | — | 57,913,388 | — | 43,206,782 | |||
Cost of shares redeemed | (93,915,145) | (271,893,792) | (78,111,194) | (209,719,595) | |||
Net increase (decrease) from capital share transactions | 42,401,223 | 27,606,067 | 49,774,314 | 32,915,128 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 42,519,933 | 27,550,700 | 49,648,640 | 32,947,623 | |||
Net increase (decrease) in net assets during the period | 29,302,096 | 142,365,250 | 37,749,589 | 122,237,899 | |||
Net assets at beginning of period | 780,374,286 | 638,009,036 | 588,449,982 | 466,212,083 | |||
NET ASSETS AT END OF PERIOD | $809,676,382 | $ 780,374,286 | $626,199,571 | $ 588,449,982 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 16,103 | 19,886 | 11,943 | 12,028 | |||
Reinvestment of distributions | — | 6,600 | — | 4,439 | |||
Shares redeemed | (6,449) | (31,486) | (21,288) | (13,939) | |||
Net increase (decrease) from share transactions | 9,654 | (5,000) | (9,345) | 2,528 | |||
Class K | |||||||
Shares sold | 11,837,788 | 19,646,112 | 11,310,926 | 16,202,511 | |||
Reinvestment of distributions | — | 4,578,133 | — | 3,399,432 | |||
Shares redeemed | (8,355,094) | (21,669,158) | (7,011,208) | (16,634,746) | |||
Net increase (decrease) from share transactions | 3,482,694 | 2,555,087 | 4,299,718 | 2,967,197 |
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | |||||
$ 210,277 | $ 11,233,708 | $ 109,856 | $ 5,713,172 | $ 49,840 | $ 1,570,258 | |||||
3,256,491 | 27,975,617 | 1,235,505 | 10,329,391 | (219,035) | 674,947 | |||||
(12,792,986) | 51,030,303 | (6,896,947) | 26,881,987 | (2,310,072) | 7,928,334 | |||||
(9,326,218) | 90,239,628 | (5,551,586) | 42,924,550 | (2,479,267) | 10,173,539 | |||||
— | (28,559) | — | (13,842) | — | (5,268) | |||||
— | (33,329,248) | — | (15,108,285) | — | (2,337,955) | |||||
— | (33,357,807) | — | (15,122,127) | — | (2,343,223) | |||||
64,824 | 128,451 | 41,908 | 75,215 | 37,333 | 31,453 | |||||
— | 28,559 | — | 11,559 | — | 1,903 | |||||
(99,844) | (148,130) | (31,176) | (3,768) | (14,850) | (19,312) | |||||
(35,020) | 8,880 | 10,732 | 83,006 | 22,483 | 14,044 | |||||
99,734,366 | 171,005,376 | 63,001,045 | 113,461,276 | 37,820,422 | 53,057,576 | |||||
— | 33,311,720 | — | 15,090,746 | — | 2,325,770 | |||||
(52,637,883) | (180,896,944) | (32,887,031) | (93,247,285) | (21,938,131) | (14,641,838) | |||||
47,096,483 | 23,420,152 | 30,114,014 | 35,304,737 | 15,882,291 | 40,741,508 | |||||
47,061,463 | 23,429,032 | 30,124,746 | 35,387,743 | 15,904,774 | 40,755,552 | |||||
37,735,245 | 80,310,853 | 24,573,160 | 63,190,166 | 13,425,507 | 48,585,868 | |||||
381,115,480 | 300,804,627 | 195,839,931 | 132,649,765 | 74,535,899 | 25,950,031 | |||||
$418,850,725 | $ 381,115,480 | $220,413,091 | $195,839,931 | $ 87,961,406 | $ 74,535,899 | |||||
5,593 | 10,460 | 3,613 | 6,300 | 3,224 | 2,629 | |||||
— | 2,268 | — | 912 | — | 152 | |||||
(8,603) | (12,114) | (2,810) | (307) | (1,199) | (1,546) | |||||
(3,010) | 614 | 803 | 6,905 | 2,025 | 1,235 | |||||
8,759,098 | 13,934,015 | 5,463,059 | 9,262,919 | 3,309,250 | 4,482,573 | |||||
— | 2,645,887 | — | 1,192,945 | — | 185,764 | |||||
(4,765,677) | (14,440,931) | (2,992,753) | (7,413,695) | (2,026,874) | (1,245,077) | |||||
3,993,421 | 2,138,971 | 2,470,306 | 3,042,169 | 1,282,376 | 3,423,260 |
State Street Target Retirement 2065 Fund | |
For the Period 3/27/20*- 6/30/20 (Unaudited) | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $ 113 |
$Net realized gain (loss) | 5,897 |
Net change in unrealized appreciation/depreciation | 87,669 |
Net increase (decrease) in net assets resulting from operations | 93,679 |
DISTRIBUTIONS TO SHAREHOLDERS: | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |
Class I | |
Proceeds from sale of shares sold | 100,000 |
Net increase (decrease) from capital share transactions | 100,000 |
Class K | |
Proceeds from sale of shares sold | 811,058 |
Cost of shares redeemed | (6,315) |
Net increase (decrease) from capital share transactions | 804,743 |
Net increase (decrease) in net assets from beneficial interest transactions | 904,743 |
Net increase (decrease) in net assets during the period | 998,422 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $998,422 |
SHARES OF BENEFICIAL INTEREST: | |
Class I | |
Shares sold | 10,000 |
Net increase (decrease) from share transactions | 10,000 |
Class K | |
Shares sold | 75,773 |
Shares redeemed | (549) |
Net increase (decrease) from share transactions | 75,224 |
* | Inception date. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $11.05 | $10.02 | $10.73 | $10.12 | $ 9.79 | $10.03 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.09 | 0.29 | 0.28 | 0.19 | 0.19 | 0.19 | |||||
Net realized and unrealized gain (loss) (b) | (0.05) | 1.11 | (0.55) | 0.71 | 0.32 | (0.23) | |||||
Total from investment operations | 0.04 | 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 | $11.09 | $11.05 | $10.02 | $10.73 | $10.12 | $ 9.79 | |||||
Total return (c) | 0.36% | 13.98% | (2.50)%(d) | 8.92% | 5.27% | (0.39)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 168 | $ 78 | $ 108 | $ 139 | $ 612 | $ 653 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.21%(f) | 0.24% | 0.25% | 0.36% | 0.66% | 1.15% | |||||
Net expenses (e) | (0.07)%(f)(g) | (0.03)%(g) | (0.03)%(g) | (0.05)%(g) | (0.03)%(g) | 0.01% | |||||
Net investment income (loss) | 1.62%(f) | 2.64% | 2.62% | 1.78% | 1.89% | 1.94% | |||||
Portfolio turnover rate | 16%(h) | 26% | 53% | 25% | 37% | 31% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | $ 9.78 | $ 10.03 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.09 | 0.32 | 0.29 | 0.28 | 0.23 | 0.20 | |||||
Net realized and unrealized gain (loss) (b) | (0.05) | 1.08 | (0.56) | 0.60 | 0.29 | (0.25) | |||||
Total from investment operations | 0.04 | 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 | $ 11.07 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | $ 9.78 | |||||
Total return (c) | 0.36% | 14.00% | (2.50)%(d) | 8.83% | 5.28% | (0.49)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $434,789 | $219,066 | $200,840 | $135,420 | $55,499 | $22,265 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.22%(f) | 0.24% | 0.24% | 0.36% | 0.66% | 1.15% | |||||
Net expenses (e) | (0.07)%(f)(g) | (0.03)%(g) | (0.04)%(g) | (0.02)%(g) | (0.04)%(g) | 0.01% | |||||
Net investment income (loss) | 1.61%(f) | 2.92% | 2.69% | 2.61% | 2.23% | 1.99% | |||||
Portfolio turnover rate | 16%(h) | 26% | 53% | 25% | 37% | 31% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $11.39 | $10.29 | $11.34 | $10.27 | $ 9.75 | $10.14 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.07 | 0.32 | 0.43 | 0.25 | 0.16 | 0.33 | |||||
Net realized and unrealized gain (loss) | (0.17) | 1.48 | (0.90) | 1.13 | 0.54 | (0.49) | |||||
Total from investment operations | (0.10) | 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 | $11.29 | $11.39 | $10.29 | $11.34 | $10.27 | $ 9.75 | |||||
Total return (b) | (0.88)% | 17.53% | (4.17)%(c) | 13.38% | 7.34% | (1.56)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,138 | $2,116 | $1,798 | $ 680 | $ 797 | $1,811 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.17%(e) | 0.15% | 0.16% | 0.15% | 0.30% | 0.55% | |||||
Net expenses (d) | (0.00)%(e)(f)(g) | 0.01% | 0.02% | 0.01% | 0.07% | 0.01% | |||||
Net investment income (loss) | 1.30%(e) | 2.83% | 3.85% | 2.29% | 1.54% | 3.28% | |||||
Portfolio turnover rate | 18%(h) | 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. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(h) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | $ 9.74 | $ 10.13 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.07 | 0.33 | 0.29 | 0.29 | 0.27 | 0.23 | |||||
Net realized and unrealized gain (loss) | (0.18) | 1.48 | (0.76) | 1.08 | 0.45 | (0.39) | |||||
Total from investment operations | (0.11) | 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 | $ 11.29 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | $ 9.74 | |||||
Total return (b) | (0.88)% | 17.55% | (4.16)%(c) | 13.38% | 7.45% | (1.57)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $708,286 | $783,033 | $847,142 | $775,643 | $235,727 | $52,303 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.15%(e) | 0.14% | 0.15% | 0.15% | 0.24% | 0.55% | |||||
Net expenses (d) | (0.02)%(e)(f) | (0.01)%(f) | 0.01% | 0.02% | 0.01% | 0.01% | |||||
Net investment income (loss) | 1.30%(e) | 2.88% | 2.60% | 2.67% | 2.60% | 2.29% | |||||
Portfolio turnover rate | 18%(g) | 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) | Annualized. |
(f) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $11.92 | $10.53 | $11.74 | $10.33 | $ 9.74 | $10.16 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.37 | 0.23 | 0.26 | 0.15 | 0.37 | |||||
Net realized and unrealized gain (loss) | (0.13) | 1.81 | (0.87) | 1.45 | 0.63 | (0.56) | |||||
Total from investment operations | (0.07) | 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 | $11.85 | $11.92 | $10.53 | $11.74 | $10.33 | $ 9.74 | |||||
Total return (b) | (0.67)% | 20.76% | (5.48)%(c) | 16.54% | 8.01% | (1.87)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,213 | $2,019 | $1,155 | $2,232 | $2,110 | $3,293 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.16%(e) | 0.15% | 0.15% | 0.15% | 0.33% | 1.31% | |||||
Net expenses (d) | 0.02%(e) | 0.02% | 0.05% | 0.03% | 0.08% | 0.03% | |||||
Net investment income (loss) | 1.01%(e) | 3.10% | 1.98% | 2.36% | 1.53% | 3.71% | |||||
Portfolio turnover rate | 26%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | $ 9.75 | $ 10.16 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.06 | 0.33 | 0.31 | 0.30 | 0.29 | 0.29 | |||||
Net realized and unrealized gain (loss) | (0.13) | 1.85 | (0.94) | 1.41 | 0.49 | (0.47) | |||||
Total from investment operations | (0.07) | 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 | $ 11.87 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | $ 9.75 | |||||
Total return (b) | (0.59)% | 20.63% | (5.38)%(c) | 16.52% | 8.00% | (1.77)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $975,465 | $1,035,188 | $1,007,169 | $830,080 | $206,696 | $21,815 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.14% | 0.14% | 0.15% | 0.28% | 1.31% | |||||
Net expenses (d) | 0.00%(e)(f) | 0.01% | 0.04% | 0.04% | 0.04% | 0.03% | |||||
Net investment income (loss) | 1.00%(e) | 2.83% | 2.63% | 2.63% | 2.81% | 2.86% | |||||
Portfolio turnover rate | 26%(g) | 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. |
(e) | Annualized. |
(f) | Amount is less than 0.005%. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.26 | $10.67 | $11.98 | $10.37 | $ 9.76 | $10.15 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.38 | 0.29 | 0.25 | 0.14 | 0.35 | |||||
Net realized and unrealized gain (loss) | (0.08) | 2.03 | (1.05) | 1.64 | 0.65 | (0.54) | |||||
Total from investment operations | (0.04) | 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 | $12.22 | $12.26 | $10.67 | $11.98 | $10.37 | $ 9.76 | |||||
Total return (c) | (0.33)% | 22.55% | (6.24)% | 18.27% | 8.10% | (1.83)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,737 | $2,837 | $1,768 | $1,716 | $1,522 | $2,066 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.17%(e) | 0.15% | 0.15% | 0.15% | 0.30% | 0.59% | |||||
Net expenses (d) | 0.05%(e) | 0.04% | 0.07% | 0.06% | 0.08% | 0.03% | |||||
Net investment income (loss) | 0.69%(e) | 3.12% | 2.44% | 2.25% | 1.39% | 3.52% | |||||
Portfolio turnover rate | 19%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | $ 9.76 | $ 10.15 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.04 | 0.33 | 0.29 | 0.28 | 0.25 | 0.25 | |||||
Net realized and unrealized gain (loss) | (0.07) | 2.07 | (1.04) | 1.62 | 0.55 | (0.44) | |||||
Total from investment operations | (0.03) | 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 | $ 12.24 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | $ 9.76 | |||||
Total return (c) | (0.33)% | 22.52% | (6.22)% | 18.35% | 8.20% | (1.83)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,059,499 | $1,072,332 | $960,339 | $778,969 | $225,549 | $48,114 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.14%(e) | 0.14% | 0.14% | 0.15% | 0.26% | 0.59% | |||||
Net expenses (d) | 0.02%(e) | 0.03% | 0.06% | 0.06% | 0.05% | 0.03% | |||||
Net investment income (loss) | 0.71%(e) | 2.75% | 2.43% | 2.46% | 2.48% | 2.42% | |||||
Portfolio turnover rate | 19%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.54 | $10.80 | $12.18 | $10.43 | $ 9.77 | $10.17 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.36 | 0.30 | 0.13 | 0.11 | 0.31 | |||||
Net realized and unrealized gain (loss) | (0.15) | 2.19 | (1.14) | 1.91 | 0.74 | (0.51) | |||||
Total from investment operations | (0.13) | 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 | $12.41 | $12.54 | $10.80 | $12.18 | $10.43 | $ 9.77 | |||||
Total return (b) | (1.04)% | 23.62% | (6.88)%(c) | 19.56% | 8.61% | (2.00)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,018 | $1,193 | $ 442 | $ 371 | $ 840 | $1,416 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.25%(e) | 0.21% | 0.16% | 0.17% | 0.36% | 1.83% | |||||
Net expenses (d) | 0.14%(e) | 0.12% | 0.07% | 0.07% | 0.09% | 0.03% | |||||
Net investment income (loss) | 0.38%(e) | 2.95% | 2.49% | 1.10% | 1.08% | 3.07% | |||||
Portfolio turnover rate | 17%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | $ 9.78 | $ 10.17 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.03 | 0.32 | 0.28 | 0.27 | 0.27 | 0.32 | |||||
Net realized and unrealized gain (loss) | (0.15) | 2.24 | (1.12) | 1.79 | 0.58 | (0.51) | |||||
Total from investment operations | (0.12) | 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 | $ 12.45 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | $ 9.78 | |||||
Total return (b) | (0.95)% | 23.61% | (6.85)%(c) | 19.73% | 8.60% | (1.90)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $909,029 | $907,369 | $796,187 | $584,717 | $165,008 | $17,223 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.15%(e) | 0.15% | 0.15% | 0.17% | 0.33% | 1.83% | |||||
Net expenses (d) | 0.04%(e) | 0.05% | 0.07% | 0.08% | 0.06% | 0.03% | |||||
Net investment income (loss) | 0.46%(e) | 2.60% | 2.30% | 2.34% | 2.64% | 3.12% | |||||
Portfolio turnover rate | 17%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.65 | $10.79 | $12.26 | $10.39 | $ 9.71 | $10.13 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.29 | 0.31 | 0.24 | 0.09 | 0.40 | |||||
Net realized and unrealized gain (loss) | (0.25) | 2.37 | (1.23) | 1.91 | 0.78 | (0.63) | |||||
Total from investment operations | (0.23) | 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 | $12.42 | $12.65 | $10.79 | $12.26 | $10.39 | $ 9.71 | |||||
Total return (c) | (1.82)% | 24.64% | (7.46)%(d) | 20.59% | 9.00% | (2.28)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,493 | $1,398 | $1,247 | $ 912 | $ 708 | $1,501 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.18%(f) | 0.17% | 0.19% | 0.17% | 0.38% | 0.79% | |||||
Net expenses (e) | 0.07%(f) | 0.07% | 0.09% | 0.07% | 0.10% | 0.02% | |||||
Net investment income (loss) | 0.25%(f) | 2.33% | 2.50% | 2.14% | 0.86% | 4.02% | |||||
Portfolio turnover rate | 14%(g) | 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. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | $ 9.72 | $ 10.13 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.02 | 0.32 | 0.28 | 0.26 | 0.24 | 0.25 | |||||
Net realized and unrealized gain (loss) | (0.25) | 2.35 | (1.21) | 1.89 | 0.63 | (0.47) | |||||
Total from investment operations | (0.23) | 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 | $ 12.43 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | $ 9.72 | |||||
Total return (c) | (1.74)% | 24.66% | (7.52)%(d) | 20.69% | 8.89% | (2.18)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $808,183 | $778,976 | $636,762 | $458,132 | $143,526 | $35,359 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.16%(f) | 0.16% | 0.16% | 0.17% | 0.32% | 0.79% | |||||
Net expenses (e) | 0.05%(f) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | |||||
Net investment income (loss) | 0.27%(f) | 2.63% | 2.24% | 2.30% | 2.31% | 2.47% | |||||
Portfolio turnover rate | 14%(g) | 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. |
(f) | Annualized. |
(g) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.72 | $10.77 | $12.29 | $10.36 | $ 9.64 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.29 | 0.33 | 0.20 | 0.15 | 0.30 | |||||
Net realized and unrealized gain (loss) | (0.34) | 2.45 | (1.31) | 2.02 | 0.75 | (0.54) | |||||
Total from investment operations | (0.33) | 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 | $12.39 | $12.72 | $10.77 | $12.29 | $10.36 | $ 9.64 | |||||
Total return (b) | (2.59)% | 25.45% | (7.96)%(c) | 21.45% | 9.31% | (2.40)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 821 | $ 962 | $ 787 | $ 762 | $ 853 | $ 782 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.21%(e) | 0.21% | 0.20% | 0.21% | 0.59% | 3.25% | |||||
Net expenses (d) | 0.08%(e) | 0.09% | 0.08% | 0.06% | 0.06% | 0.01% | |||||
Net investment income (loss) | 0.13%(e) | 2.34% | 2.68% | 1.73% | 1.46% | 2.97% | |||||
Portfolio turnover rate | 13%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | $ 9.63 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.32 | 0.28 | 0.28 | 0.27 | 0.30 | |||||
Net realized and unrealized gain (loss) | (0.34) | 2.42 | (1.26) | 1.94 | 0.64 | (0.55) | |||||
Total from investment operations | (0.33) | 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 | $ 12.39 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | $ 9.63 | |||||
Total return (b) | (2.59)% | 25.49% | (7.94)%(c) | 21.45% | 9.31% | (2.40)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $625,379 | $587,488 | $465,425 | $300,444 | $76,304 | $8,374 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.18%(e) | 0.17% | 0.19% | 0.21% | 0.57% | 3.25% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.07% | 0.07% | 0.05% | 0.01% | |||||
Net investment income (loss) | 0.16%(e) | 2.62% | 2.29% | 2.39% | 2.62% | 2.99% | |||||
Portfolio turnover rate | 13%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.60 | $10.70 | $12.24 | $10.33 | $ 9.62 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.00(b) | 0.28 | 0.37 | 0.15 | 0.08 | 0.43 | |||||
Net realized and unrealized gain (loss) | (0.37) | 2.47 | (1.37) | 2.06 | 0.80 | (0.69) | |||||
Total from investment operations | (0.37) | 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 | $12.23 | $12.60 | $10.70 | $12.24 | $10.33 | $ 9.62 | |||||
Total return (c) | (2.94)% | 25.76% | (8.14)% | 21.30% | 9.34% | (2.61)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 398 | $ 448 | $ 374 | $ 240 | $ 366 | $ 795 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.27%(e) | 0.25% | 0.25% | 0.25% | 0.97% | 4.65% | |||||
Net expenses (d) | 0.10%(e) | 0.09% | 0.08% | 0.06% | 0.12% | 0.02% | |||||
Net investment income (loss) | 0.06%(e) | 2.32% | 3.05% | 1.34% | 0.76% | 4.40% | |||||
Portfolio turnover rate | 13%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | $ 9.61 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.34 | 0.28 | 0.27 | 0.26 | 0.28 | |||||
Net realized and unrealized gain (loss) | (0.37) | 2.42 | (1.28) | 1.94 | 0.63 | (0.55) | |||||
Total from investment operations | (0.36) | 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 | $ 12.24 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | $ 9.61 | |||||
Total return (c) | (2.86)% | 25.81% | (8.13)% | 21.42% | 9.35% | (2.71)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $418,453 | $380,668 | $300,431 | $212,217 | $48,016 | $5,736 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.22%(e) | 0.21% | 0.23% | 0.25% | 0.90% | 4.65% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | |||||
Net investment income (loss) | 0.11%(e) | 2.74% | 2.30% | 2.37% | 2.61% | 2.82% | |||||
Portfolio turnover rate | 13%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.68 | $10.70 | $12.25 | $10.32 | $ 9.60 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.00(b) | 0.33 | 0.31 | 0.11 | 0.16 | 0.22 | |||||
Net realized and unrealized gain (loss) | (0.37) | 2.41 | (1.29) | 2.11 | 0.73 | (0.49) | |||||
Total from investment operations | (0.37) | 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 | $12.31 | $12.68 | $10.70 | $12.25 | $10.32 | $ 9.60 | |||||
Total return (c) | (2.92)% | 25.65% | (7.93)%(d) | 21.60% | 9.33% | (2.65)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 244 | $ 241 | $ 130 | $ 105 | $ 271 | $ 222 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (e) | 0.35%(f) | 0.30% | 0.40% | 0.52% | 2.09% | 7.69% | |||||
Net expenses (e) | 0.08%(f) | 0.05% | 0.07% | 0.06% | 0.04% | 0.02% | |||||
Net investment income (loss) | 0.08%(f) | 2.69% | 2.53% | 0.95% | 1.58% | 2.20% | |||||
Portfolio turnover rate | 15%(g) | 42% | 16% | 7% | 14% | 40% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.93)%. See Note 3. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | $ 9.59 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.35 | 0.30 | 0.31 | 0.26 | 0.27 | |||||
Net realized and unrealized gain (loss) | (0.38) | 2.39 | (1.28) | 1.90 | 0.63 | (0.55) | |||||
Total from investment operations | (0.37) | 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 | $ 12.29 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | $ 9.59 | |||||
Total return (b) | (2.92)% | 25.70% | (7.94)%(c) | 21.53% | 9.34% | (2.75)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $220,169 | $195,598 | $132,520 | $81,529 | $18,718 | $3,043 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (d) | 0.32%(e) | 0.30% | 0.40% | 0.51% | 2.09% | 7.69% | |||||
Net expenses (d) | 0.05%(e) | 0.05% | 0.07% | 0.07% | 0.05% | 0.02% | |||||
Net investment income (loss) | 0.11%(e) | 2.86% | 2.49% | 2.67% | 2.61% | 2.64% | |||||
Portfolio turnover rate | 15%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Class I | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $12.53 | $10.28 | $11.91 | $10.09 | $ 9.50 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.29 | 0.30 | 0.15 | 0.15 | 0.20 | |||||
Net realized and unrealized gain (loss) | (0.38) | 2.37 | (1.27) | 2.01 | 0.71 | (0.46) | |||||
Total from investment operations | (0.37) | 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 | $12.16 | $12.53 | $10.28 | $11.91 | $10.09 | $ 9.50 | |||||
Total return (b) | (2.95)% | 25.86% | (8.13)% | 21.45% | 9.09% | (2.53)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 183 | $ 163 | $ 121 | $ 103 | $ 170 | $ 162 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.62%(d) | 0.85% | 1.56% | 3.13% | 11.36% | 29.76% | |||||
Net expenses (c) | 0.04%(d) | 0.04% | 0.06% | 0.06% | 0.05% | 0.02% | |||||
Net investment income (loss) | 0.13%(d) | 2.42% | 2.55% | 1.31% | 1.51% | 1.96% | |||||
Portfolio turnover rate | 21%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |||||||||||
Six Months Ended 6/30/20 (Unaudited) | 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 | $ 12.53 | $ 10.28 | $ 11.91 | $ 10.08 | $ 9.49 | $10.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.01 | 0.39 | 0.34 | 0.33 | 0.29 | 0.19 | |||||
Net realized and unrealized gain (loss) | (0.38) | 2.27 | (1.31) | 1.84 | 0.57 | (0.45) | |||||
Total from investment operations | (0.37) | 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 | $ 12.16 | $ 12.53 | $ 10.28 | $ 11.91 | $10.08 | $ 9.49 | |||||
Total return (b) | (2.95)% | 25.87% | (8.13)% | 21.57% | 8.98% | (2.53)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $87,778 | $74,373 | $25,829 | $12,141 | $3,344 | $ 269 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 0.63%(d) | 0.84% | 1.56% | 3.07% | 11.36% | 29.76% | |||||
Net expenses (c) | 0.04%(d) | 0.04% | 0.06% | 0.07% | 0.06% | 0.02% | |||||
Net investment income (loss) | 0.13%(d) | 3.33% | 2.87% | 2.94% | 2.91% | 1.88% | |||||
Portfolio turnover rate | 21%(e) | 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. |
(d) | Annualized. |
(e) | Not annualized. |
Class I | |
For the Period 3/30/20*- 6/30/20 (Unaudited) | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | (0.00)(b) |
Net realized and unrealized gain (loss) | 1.71 |
Total from investment operations | 1.71 |
Net asset value, end of period | $11.71 |
Total return (c) | 17.10% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 117 |
Ratios to Average Net Assets: | |
Total expenses (d) | 35.17%(e) |
Net expenses (d) | 0.23%(e) |
Net investment income (loss) | (0.07)%(e) |
Portfolio turnover rate | 11%(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
Class K | |
For the Period 3/30/20*- 6/30/20 (Unaudited) | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.00(b) |
Net realized and unrealized gain (loss) | 1.72 |
Total from investment operations | 1.72 |
Net asset value, end of period | $11.72 |
Total return (c) | 17.20% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 881 |
Ratios to Average Net Assets: | |
Total expenses (d) | 34.64%(e) |
Net expenses (d) | 0.03%(e) |
Net investment income (loss) | 0.09%(e) |
Portfolio turnover rate | 11%(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Target Retirement Fund | Class I Class K | September 30, 2014 September 30, 2014 | Diversified |
State Street Target Retirement 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 |
State Street Target Retirement 2065 Fund | Class I Class K | March 30, 2020 March 30, 2020 | Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Target Retirement 2065 Fund | 1 | 11.79% |
Purchases | Sales | ||
State Street Target Retirement Fund | $127,596,807 | $ 52,210,241 | |
State Street Target Retirement 2020 Fund | 127,541,085 | 186,886,090 | |
State Street Target Retirement 2025 Fund | 254,147,933 | 297,679,453 | |
State Street Target Retirement 2030 Fund | 198,799,457 | 202,684,778 | |
State Street Target Retirement 2035 Fund | 163,990,479 | 147,996,559 | |
State Street Target Retirement 2040 Fund | 145,454,570 | 102,801,018 | |
State Street Target Retirement 2045 Fund | 126,324,586 | 78,129,192 | |
State Street Target Retirement 2050 Fund | 93,544,726 | 47,882,909 | |
State Street Target Retirement 2055 Fund | 58,658,517 | 29,556,243 | |
State Street Target Retirement 2060 Fund | 32,624,087 | 16,423,641 | |
State Street Target Retirement 2065 Fund | 943,293 | 73,894 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 450,224,546 | $26,151,871 | $ 1,947,149 | $24,204,722 | |||
State Street Target Retirement 2020 Fund | 694,981,879 | 35,763,216 | 10,178,515 | 25,584,701 | |||
State Street Target Retirement 2025 Fund | 945,802,592 | 51,714,726 | 14,310,004 | 37,404,722 | |||
State Street Target Retirement 2030 Fund | 1,033,332,718 | 63,790,167 | 11,069,934 | 52,720,233 | |||
State Street Target Retirement 2035 Fund | 886,081,256 | 53,664,860 | 11,572,454 | 42,092,406 | |||
State Street Target Retirement 2040 Fund | 778,664,092 | 46,381,104 | 9,459,312 | 36,921,792 | |||
State Street Target Retirement 2045 Fund | 615,748,635 | 33,718,715 | 7,971,905 | 25,746,810 | |||
State Street Target Retirement 2050 Fund | 405,202,080 | 19,641,542 | 4,547,042 | 15,094,500 | |||
State Street Target Retirement 2055 Fund | 216,862,370 | 8,872,226 | 2,150,140 | 6,722,086 | |||
State Street Target Retirement 2060 Fund | 92,282,789 | 2,947,761 | 588,885 | 2,358,876 | |||
State Street Target Retirement 2065 Fund | 882,832 | 89,288 | 1,619 | 87,669 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 41,717,150 | $ 38,929,049 | $ 3,439,800 | $ 42,368,849 | ||||
State Street Target Retirement 2020 Fund | 11,044,132 | 9,498,250 | 1,780,650 | 11,278,900 | ||||
State Street Target Retirement 2025 Fund | 2,350,270 | 2,393,626 | — | 2,393,626 | ||||
State Street Target Retirement 2030 Fund | 21,635,959 | 21,877,676 | — | 21,877,676 | ||||
State Street Target Retirement 2035 Fund | 15,407,376 | 15,573,391 | — | 15,573,391 | ||||
State Street Target Retirement 2040 Fund | 4,489,287 | 4,617,525 | — | 4,617,525 | ||||
State Street Target Retirement 2045 Fund | 14,245,629 | 14,652,560 | — | 14,652,560 | ||||
State Street Target Retirement 2050 Fund | 881,908 | 907,100 | — | 907,100 | ||||
State Street Target Retirement 2055 Fund | 2,970,576 | 3,055,431 | — | 3,055,431 | ||||
State Street Target Retirement 2060 Fund | 6,426,435 | 6,610,009 | — | 6,610,009 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Target Retirement Fund | Mutual Funds and Exchange Traded Products | $38,929,049 | $— | $— | $— | $38,929,049 | $38,929,049 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 9,498,250 | — | — | — | 9,498,250 | 9,498,250 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 2,393,626 | — | — | — | 2,393,626 | 2,393,626 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 21,877,676 | — | — | — | 21,877,676 | 21,877,676 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 15,573,391 | — | — | — | 15,573,391 | 15,573,391 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 4,617,525 | — | — | — | 4,617,525 | 4,617,525 | |||||||
State Street Target Retirement 2045 Fund | Mutual Funds and Exchange Traded Products | 14,652,560 | — | — | — | 14,652,560 | 14,652,560 | |||||||
State Street Target Retirement 2050 Fund | Mutual Funds and Exchange Traded Products | 907,100 | — | — | — | 907,100 | 907,100 | |||||||
State Street Target Retirement 2055 Fund | Mutual Funds and Exchange Traded Products | 3,055,431 | — | — | — | 3,055,431 | 3,055,431 | |||||||
State Street Target Retirement 2060 Fund | Mutual Funds and Exchange Traded Products | 6,610,009 | — | — | — | 6,610,009 | 6,610,009 |
Shares of Acquired Fund Exchanged | Shares of Acquiring Fund Issued | Net Assets Recieved from Acquired Fund | Net Assets of Acquiring Fund Immediately Prior to Combination | Net Assets of Acquiring Fund Immediately After the Combination | |
Class I | 6,733 | 6,596 | $ 66,884 | $ 85,168 | $ 152,052 |
Class K | 12,046,939 | 11,815,879 | 119,576,117 | 280,140,772 | 399,716,889 |
Net Investment income (loss) | $ 3,194,550 |
Total net realized and change in unrealized gain (loss) | $(2,388,767) |
Net increase (decrease) in net assets resulting from operations | $ 805,783 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(b) | |||||
State Street Target Retirement Fund | |||||||||
Class I | (0.08)% | $1,003.60 | $(0.40)(b) | $1,025.30 | $(0.40) | ||||
Class K | (0.07) | 1,003.60 | (0.35)(b) | 1,025.20 | (0.35) | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | (0.00)(c) | 991.20 | 0.00(b) | 1,024.90 | 0.00 | ||||
Class K | (0.02) | 991.20 | (0.10)(b) | 1,025.00 | (0.10) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.02 | 993.30 | 0.10(b) | 1,024.80 | 0.10 | ||||
Class K | 0.00(c) | 994.10 | 0.00(b) | 1,024.90 | 0.00 | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.05 | 996.70 | 0.25(b) | 1,024.60 | 0.25 | ||||
Class K | 0.02 | 996.70 | 0.10(b) | 1,024.80 | 0.10 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.14 | 989.60 | 0.69(b) | 1,024.20 | 0.70 | ||||
Class K | 0.04 | 990.50 | 0.20(b) | 1,024.70 | 0.20 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class I | 0.07 | 981.80 | 0.34(b) | 1,024.50 | 0.35 | ||||
Class K | 0.05 | 982.60 | 0.25(b) | 1,024.60 | 0.25 | ||||
State Street Target Retirement 2045 Fund |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(b) | |||||
Class I | 0.08% | $ 974.10 | $ 0.39(b) | $1,024.50 | $ 0.40 | ||||
Class K | 0.05 | 974.10 | 0.25(b) | 1,024.60 | 0.25 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.10 | 970.60 | 0.49(b) | 1,024.40 | 0.50 | ||||
Class K | 0.05 | 971.40 | 0.25(b) | 1,024.60 | 0.25 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.08 | 970.80 | 0.39(b) | 1,024.50 | 0.40 | ||||
Class K | 0.05 | 970.80 | 0.25(b) | 1,024.60 | 0.25 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.04 | 970.50 | 0.20(b) | 1,024.70 | 0.20 | ||||
Class K | 0.04 | 970.50 | 0.20(b) | 1,024.70 | 0.20 | ||||
State Street Target Retirement 2065 Fund | |||||||||
Class I | 0.23 | 1,171.00 | 0.63(d) | 1,023.70 | 1.16 | ||||
Class K | 0.03 | 1,172.00 | 0.08(d) | 1,024.70 | 0.15 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
(c) | Amount is less than 0.005%. |
(d) | Actual period is from commencement of operations on 3/30/2020. |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
• | A comparison of the New Fund’s estimated expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A comparison of the New Fund’s contractual and estimated actual management fees to the contractual and actual management fees of the Expense Group and Expense Universe; |
• | Comparative information concerning the fees charged by the Adviser for managing comparable funds and/or other accounts, as applicable, using investment strategies and techniques similar to those to be used in managing the New Fund; and |
• | Profitability analyses for (a) the Adviser with respect to Other Funds and (b) affiliates of the Adviser that provide services to the Other Funds. The Independent Trustees also took into account management’s discussions of the anticipated profitability of the New Fund to the Adviser and its affiliates in the New Fund’s first year of operations. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Fund as well as services provided to the Other Funds, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Fund; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources to be devoted by the Adviser to overseeing compliance by the New Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s cybersecurity and risk management processes. |
• | Information concerning the nature, extent, quality and cost of various services to be provided to the New Fund by SSGA FM in its capacity as administrator; |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Fund by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Fund, and the role of SSGA FM in managing the New Fund’s relationships with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Fund; |
• | Draft responses to a letter from Independent Counsel reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Fund, from each of: |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street China Equity Select Fund |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
13 |
% of Net Assets | |||
Common Stocks | 97.8% | ||
Short-Term Investment | 2.9 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Consumer Discretionary | 37.0% | ||
Communication Services | 24.4 | ||
Financials | 14.2 | ||
Consumer Staples | 7.5 | ||
Health Care | 7.4 | ||
TOTAL | 90.5% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 97.8% | ||||||
BANKS — 7.1% | ||||||
China Construction Bank Corp. Class H | 216,000 | $ 175,692 | ||||
China Merchants Bank Co., Ltd. Class H | 43,100 | 199,733 | ||||
Industrial & Commercial Bank of China, Ltd. Class H | 184,000 | 111,241 | ||||
486,666 | ||||||
BEVERAGES — 7.4% | ||||||
Kweichow Moutai Co., Ltd. Class A | 1,200 | 249,425 | ||||
Wuliangye Yibin Co., Ltd. Class A | 10,500 | 255,347 | ||||
504,772 | ||||||
BIOTECHNOLOGY — 0.8% | ||||||
BeiGene, Ltd. ADR (a) | 300 | 56,520 | ||||
CAPITAL MARKETS — 1.0% | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 1,600 | 68,147 | ||||
DIVERSIFIED CONSUMER SERVICES — 5.8% | ||||||
GSX Techedu, Inc. ADR (a) | 3,300 | 197,967 | ||||
TAL Education Group ADR (a) | 2,842 | 194,336 | ||||
392,303 | ||||||
ENTERTAINMENT — 5.4% | ||||||
NetEase, Inc. ADR | 700 | 300,566 | ||||
NetEase, Inc. | 3,700 | 63,780 | ||||
364,346 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.3% | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 2,000 | 86,512 | ||||
HOUSEHOLD DURABLES — 3.0% | ||||||
Gree Electric Appliances, Inc. of Zhuhai Class A | 12,600 | 101,288 | ||||
Midea Group Co., Ltd. Class A | 11,800 | 100,126 | ||||
201,414 | ||||||
INSURANCE — 6.1% | ||||||
AIA Group, Ltd. | 16,600 | 155,337 | ||||
Ping An Insurance Group Co. of China, Ltd. Class H | 26,100 | 260,192 | ||||
415,529 | ||||||
INTERACTIVE MEDIA & SERVICES — 17.8% | ||||||
Baidu, Inc. ADR (a) | 750 | 89,917 | ||||
Tencent Holdings, Ltd. | 17,500 | 1,121,370 | ||||
1,211,287 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 24.4% | ||||||
Alibaba Group Holding, Ltd. ADR (a) | 4,683 | 1,010,123 | ||||
JD.com, Inc. ADR (a) | 6,977 | 419,876 | ||||
Meituan Dianping Class B (a) | 10,200 | 227,934 | ||||
1,657,933 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 3.7% | ||||||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 2,500 | 36,020 |
Security Description | Shares | Value | ||||
WuXi AppTec Co., Ltd. Class H (b) | 6,860 | $ 89,590 | ||||
Wuxi Biologics Cayman, Inc. (a) (b) | 7,000 | 128,490 | ||||
254,100 | ||||||
OIL, GAS & CONSUMABLE FUELS — 0.7% | ||||||
CNOOC, Ltd. | 43,000 | 48,260 | ||||
PHARMACEUTICALS — 1.6% | ||||||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 8,400 | 109,879 | ||||
PROFESSIONAL SERVICES — 1.1% | ||||||
Centre Testing International Group Co., Ltd. Class A | 27,000 | 75,769 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 3.9% | ||||||
China Vanke Co., Ltd. Class H | 20,800 | 66,387 | ||||
Country Garden Holdings Co., Ltd. | 43,000 | 53,333 | ||||
Longfor Group Holdings, Ltd. (b) | 30,000 | 143,606 | ||||
263,326 | ||||||
SOFTWARE — 1.6% | ||||||
Venustech Group, Inc. Class A | 18,100 | 108,034 | ||||
TEXTILES, APPAREL & LUXURY GOODS — 3.8% | ||||||
ANTA Sports Products, Ltd. | 25,000 | 222,428 | ||||
Shenzhou International Group Holdings, Ltd. | 2,800 | 34,041 | ||||
256,469 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 1.3% | ||||||
China Mobile, Ltd. | 13,500 | 91,153 | ||||
TOTAL COMMON STOCKS (Cost $5,127,544) | 6,652,419 | |||||
SHORT-TERM INVESTMENT — 2.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (c) (d) (Cost $199,191) | 199,191 | 199,191 | ||||
TOTAL INVESTMENTS — 100.7% (Cost $5,326,735) | 6,851,610 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)% | (47,058) | |||||
NET ASSETS — 100.0% | $ 6,804,552 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.3% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
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 | $2,333,085 | $4,319,334 | $— | $6,652,419 | ||||
Short-Term Investment | 199,191 | — | — | 199,191 | ||||
TOTAL INVESTMENTS | $2,532,276 | $4,319,334 | $— | $6,851,610 |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 146 | $146 | $957,761 | $758,716 | $— | $— | 199,191 | $199,191 | $458 |
ASSETS | |
Investments in unaffiliated issuers, at value | $6,652,419 |
Investments in affiliated issuers, at value | 199,191 |
Total Investments | 6,851,610 |
Foreign currency, at value | 53,513 |
Dividends receivable — unaffiliated issuers | 14,054 |
Dividends receivable — affiliated issuers | 26 |
Receivable from Adviser | 19,385 |
TOTAL ASSETS | 6,938,588 |
LIABILITIES | |
Payable for investments purchased | 85,383 |
Advisory fee payable | 4,847 |
Administration fees payable | 269 |
Trustees’ fees and expenses payable | 175 |
Transfer agent fees payable | 175 |
Registration and filing fees payable | 406 |
Professional fees payable | 32,211 |
Printing and postage fees payable | 10,523 |
Accrued expenses and other liabilities | 47 |
TOTAL LIABILITIES | 134,036 |
NET ASSETS | $6,804,552 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,999,726 |
Total distributable earnings (loss) | 1,804,826 |
NET ASSETS | $6,804,552 |
Class K | |
Net Assets | $6,804,552 |
Shares Outstanding | 500,000 |
Net asset value, offering and redemption price per share | $ 13.61 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $5,127,544 |
Investments in affiliated issuers | 199,191 |
Total cost of investments | $5,326,735 |
Foreign currency, at cost | $ 53,939 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 42,449 |
Dividend income — affiliated issuers | 458 |
Foreign taxes withheld | (2,897) |
TOTAL INVESTMENT INCOME (LOSS) | 40,010 |
EXPENSES | |
Advisory fee | 26,613 |
Administration fees | 1,478 |
Custodian fees | 20,445 |
Trustees’ fees and expenses | 10,206 |
Transfer agent fees | 754 |
Registration and filing fees | 2,865 |
Professional fees and expenses | 28,400 |
Printing and postage fees | 18,396 |
Insurance expense | 14 |
Miscellaneous expenses | 939 |
TOTAL EXPENSES | 110,110 |
Expenses waived/reimbursed by the Adviser | (83,497) |
NET EXPENSES | 26,613 |
NET INVESTMENT INCOME (LOSS) | $ 13,397 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 266,513 |
Foreign currency transactions | 1,616 |
Net realized gain (loss) | 268,129 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 628,970 |
Foreign currency translations | (1,497) |
Net change in unrealized appreciation/depreciation | 627,473 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 895,602 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $908,999 |
Six Months Ended 6/30/20 (Unaudited) | For the Period 5/29/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 13,397 | $ 42,241 | |
Net realized gain (loss) | 268,129 | (3,111) | |
Net change in unrealized appreciation/depreciation | 627,473 | 896,973 | |
Net increase (decrease) in net assets resulting from operations | 908,999 | 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 | 908,999 | 5,895,553 | |
Net assets at beginning of period | 5,895,553 | — | |
NET ASSETS AT END OF PERIOD | $6,804,552 | $5,895,553 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | 500,000 | |
Net increase (decrease) from share transactions | — | 500,000 |
* | Inception date. |
Class K | |||
Six Months Ended 6/30/20 (Unaudited) | For the Period 5/30/19*- 12/31/19 | ||
Net asset value, beginning of period | $11.79 | $10.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.03 | 0.09 | |
Net realized and unrealized gain (loss) | 1.79 | 1.78 | |
Total from investment operations | 1.82 | 1.87 | |
Distributions to shareholders from: | |||
Net investment income | — | (0.08) | |
Total distributions | — | (0.08) | |
Net asset value, end of period | $13.61 | $11.79 | |
Total return (b) | 15.44% | 18.71% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $6,805 | $5,896 | |
Ratios to average net assets: | |||
Total expenses | 3.72%(c) | 5.35%(c) | |
Net expenses | 0.90%(c) | 0.90%(c) | |
Net investment income (loss) | 0.45%(c) | 1.32%(c) | |
Portfolio turnover rate | 25%(d) | 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 period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street China Equity Select Fund | Class K | May 30, 2019 | Non-Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street China Equity Select Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street China Equity Select Fund | $1,459,503 | $1,506,336 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $5,326,735 | $1,659,742 | $134,867 | $1,524,875 |
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% | $1,154.40 | $4.82 | $1,020.40 | $4.52 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including the information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
18 |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 98.6% | ||
Short-Term Investment | 1.9 | ||
Liabilities in Excess of Other Assets | (0.5) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.6% | ||||||
UNITED STATES — 98.6% | ||||||
State Street International Developed Equity Portfolio (a) (Cost: $3,177,919,964) | $ 3,284,726,587 | |||||
SHORT-TERM INVESTMENT — 1.9% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (b)(c) (Cost $62,556,858) | 62,594,900 | 62,619,938 | ||||
TOTAL INVESTMENTS — 100.5% (Cost $3,240,476,822) | 3,347,346,525 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.5)% | (16,363,429) | |||||
NET ASSETS — 100.0% | $ 3,330,983,096 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2020. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank of America | USD 592,147 | AUD 848,000 | 07/02/2020 | $ (8,299) | ||||
Bank of America | USD 486,890 | SEK 4,563,000 | 07/02/2020 | 2,879 | ||||
Bank of America | HKD 3,336,000 | USD 430,395 | 07/02/2020 | (32) | ||||
Bank of Montreal | USD 894,109 | AUD 1,301,000 | 07/02/2020 | 1,630 | ||||
Bank of Montreal | USD 1,630,348 | CHF 1,567,000 | 07/02/2020 | 23,391 | ||||
Bank of Montreal | USD 2,318,268 | GBP 1,857,000 | 07/02/2020 | (23,757) | ||||
Bank of Montreal | USD 241,021,417 | GBP 195,064,274 | 07/02/2020 | 121 | ||||
Bank of Montreal | USD 99,552,552 | HKD 771,587,035 | 07/02/2020 | 1,284 | ||||
Bank of Montreal | USD 2,678,592 | JPY 287,128,000 | 07/02/2020 | (17,166) | ||||
Bank of Montreal | NOK 181,421,520 | USD 18,667,358 | 07/02/2020 | (138,646) | ||||
Bank of Montreal | EUR 447,899,157 | USD 498,503,700 | 07/02/2020 | (4,554,253) | ||||
Bank of Montreal | CHF 1,427,000 | USD 1,500,729 | 07/02/2020 | (5,260) | ||||
Bank of Montreal | EUR 2,837,000 | USD 3,176,542 | 07/02/2020 | (9,835) | ||||
Bank of Montreal | CHF 998,000 | USD 1,049,025 | 07/02/2020 | (4,217) | ||||
Bank of Montreal | GBP 1,183,000 | USD 1,462,833 | 07/02/2020 | 1,117 | ||||
Bank of Montreal | USD 6,378,454 | GBP 5,161,000 | 08/04/2020 | (147) | ||||
Bank of Montreal | EUR 12,694,000 | USD 14,267,688 | 08/04/2020 | 207 | ||||
Bank of Montreal | HKD 771,587,035 | USD 99,528,410 | 08/04/2020 | (11,071) | ||||
Bank of Montreal | GBP 195,064,274 | USD 241,064,331 | 08/04/2020 | (9,094) | ||||
Barclays Capital | USD 688,289 | AUD 1,004,000 | 07/02/2020 | 2,965 | ||||
Barclays Capital | USD 4,162,537 | EUR 3,708,000 | 07/02/2020 | 2,104 | ||||
Barclays Capital | EUR 4,054,000 | USD 4,563,201 | 07/02/2020 | 9,951 | ||||
Barclays Capital | USD 625,553 | ILS 2,163,000 | 08/04/2020 | (79) | ||||
Barclays Capital | USD 1,416,311 | NOK 13,660,000 | 08/04/2020 | (150) | ||||
Barclays Capital | USD 1,318,145 | SEK 12,275,000 | 08/04/2020 | (79) | ||||
BNP Paribas S.A. | USD 370,179 | DKK 2,479,000 | 07/02/2020 | 3,393 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
BNP Paribas S.A. | USD 867,488 | HKD 6,724,000 | 07/02/2020 | $ 75 | ||||
BNP Paribas S.A. | USD 896,210 | SEK 8,373,000 | 07/02/2020 | 2,503 | ||||
BNP Paribas S.A. | DKK 2,256,000 | USD 340,590 | 07/02/2020 | 624 | ||||
BNP Paribas S.A. | SEK 4,154,000 | USD 444,840 | 07/02/2020 | (1,029) | ||||
BNP Paribas S.A. | AUD 1,422,000 | USD 974,697 | 07/02/2020 | (4,350) | ||||
Citibank N.A. | USD 3,025,871 | CHF 2,876,000 | 07/02/2020 | 9,325 | ||||
Citibank N.A. | USD 9,208,410 | EUR 8,172,000 | 07/02/2020 | (30,028) | ||||
Citibank N.A. | USD 4,280,263 | GBP 3,409,000 | 07/02/2020 | (68,101) | ||||
Citibank N.A. | USD 241,021,416 | GBP 195,064,273 | 07/02/2020 | 121 | ||||
Citibank N.A. | USD 434,612,998 | JPY 46,888,223,305 | 07/02/2020 | — | ||||
Citibank N.A. | GBP 194,883,774 | USD 240,958,196 | 07/02/2020 | 159,684 | ||||
Citibank N.A. | HKD 888,241,035 | USD 114,512,748 | 07/02/2020 | (92,344) | ||||
Citibank N.A. | GBP 195,064,273 | USD 241,063,355 | 08/04/2020 | (10,069) | ||||
Citibank N.A. | JPY 46,888,223,305 | USD 434,776,213 | 08/04/2020 | (12,942) | ||||
Goldman Sachs Capital Markets L.P. | USD 1,062,169 | CHF 1,007,000 | 07/02/2020 | 571 | ||||
Goldman Sachs Capital Markets L.P. | USD 1,407,365 | SGD 1,989,000 | 07/02/2020 | 18,390 | ||||
HSBC Bank USA | USD 885,016 | CHF 851,000 | 07/02/2020 | 13,089 | ||||
HSBC Bank USA | USD 525,218,249 | EUR 467,629,657 | 07/02/2020 | 15 | ||||
HSBC Bank USA | USD 472,646 | HKD 3,665,000 | 07/02/2020 | 230 | ||||
HSBC Bank USA | USD 10,363,461 | NZD 16,098,581 | 07/02/2020 | — | ||||
HSBC Bank USA | USD 103,118,023 | SEK 960,714,531 | 07/02/2020 | — | ||||
HSBC Bank USA | USD 37,532,920 | SGD 52,360,299 | 07/02/2020 | — | ||||
HSBC Bank USA | ILS 38,560,174 | USD 11,010,809 | 07/02/2020 | (130,690) | ||||
HSBC Bank USA | AUD 304,091,050 | USD 201,856,247 | 07/02/2020 | (7,510,416) | ||||
HSBC Bank USA | CHF 336,517,571 | USD 350,565,429 | 07/02/2020 | (4,579,493) | ||||
HSBC Bank USA | JPY 44,478,026,305 | USD 413,019,862 | 07/02/2020 | 747,291 | ||||
HSBC Bank USA | DKK 497,466,566 | USD 74,281,769 | 07/02/2020 | (683,619) | ||||
HSBC Bank USA | NZD 16,098,581 | USD 10,363,767 | 08/04/2020 | (317) | ||||
HSBC Bank USA | SGD 52,360,299 | USD 37,534,399 | 08/04/2020 | (1,049) | ||||
HSBC Bank USA | SEK 960,714,531 | USD 103,157,884 | 08/04/2020 | (1,761) | ||||
HSBC Bank USA | EUR 467,629,657 | USD 525,580,662 | 08/04/2020 | (13,880) | ||||
JP Morgan Chase Bank, N.A. | USD 3,210,650 | EUR 2,863,000 | 07/02/2020 | 4,929 | ||||
JP Morgan Chase Bank, N.A. | USD 1,472,443 | GBP 1,194,000 | 07/02/2020 | 2,864 | ||||
JP Morgan Chase Bank, N.A. | AUD 995,000 | USD 680,877 | 07/02/2020 | (4,181) | ||||
Morgan Stanley Bank, N.A. | USD 1,920,309 | GBP 1,547,000 | 07/02/2020 | (8,835) | ||||
Morgan Stanley Bank, N.A. | USD 2,210,704 | JPY 242,489,000 | 07/02/2020 | 36,957 | ||||
Royal Bank of Canada | USD 1,376,444 | CHF 1,305,000 | 07/02/2020 | 792 | ||||
Royal Bank of Canada | USD 13,738,804 | HKD 106,550,000 | 07/02/2020 | 8,785 | ||||
Royal Bank of Canada | USD 806,816 | NZD 1,303,000 | 07/02/2020 | 31,990 | ||||
Royal Bank of Canada | DKK 31,271,000 | USD 4,669,842 | 07/02/2020 | (42,520) | ||||
Royal Bank of Canada | JPY 6,296,857,000 | USD 58,471,366 | 07/02/2020 | 104,985 | ||||
Royal Bank of Canada | HKD 65,511,000 | USD 8,451,117 | 08/04/2020 | (205) | ||||
Societe Generale | GBP 1,691,000 | USD 2,118,221 | 07/02/2020 | 28,820 | ||||
Standard Chartered Bank | USD 1,061,019 | AUD 1,562,000 | 07/02/2020 | 14,418 | ||||
Standard Chartered Bank | USD 4,959,257 | EUR 4,454,000 | 07/02/2020 | 43,253 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Standard Chartered Bank | USD 7,630,770 | JPY 819,460,000 | 07/02/2020 | $ (35,089) | ||||
Standard Chartered Bank | JPY 406,571,000 | USD 3,788,161 | 07/02/2020 | 19,602 | ||||
Toronto Dominion Bank | USD 687,288 | DKK 4,548,000 | 07/02/2020 | (1,930) | ||||
Toronto Dominion Bank | USD 525,218,249 | EUR 467,629,657 | 07/02/2020 | 15 | ||||
Toronto Dominion Bank | USD 18,806,004 | NOK 181,421,520 | 07/02/2020 | — | ||||
Toronto Dominion Bank | USD 407,508 | SEK 3,799,000 | 07/02/2020 | 256 | ||||
Toronto Dominion Bank | JPY 44,478,026,305 | USD 413,016,027 | 07/02/2020 | 743,456 | ||||
Toronto Dominion Bank | GBP 194,883,773 | USD 240,960,728 | 07/02/2020 | 162,217 | ||||
Toronto Dominion Bank | JPY 284,534,000 | USD 2,662,364 | 07/02/2020 | 24,981 | ||||
Toronto Dominion Bank | EUR 467,629,657 | USD 525,578,324 | 08/04/2020 | (16,219) | ||||
Toronto Dominion Bank | NOK 181,421,520 | USD 18,807,583 | 08/04/2020 | (772) | ||||
UBS AG | USD 2,257,654 | CHF 2,167,000 | 07/02/2020 | 29,297 | ||||
UBS AG | USD 393,634 | HKD 3,051,000 | 07/02/2020 | 21 | ||||
UBS AG | USD 4,152,154 | JPY 446,609,000 | 07/02/2020 | (12,477) | ||||
UBS AG | USD 3,470,327 | JPY 371,882,000 | 07/02/2020 | (23,305) | ||||
Westpac Banking Corp. | USD 1,963,987 | AUD 2,867,000 | 07/02/2020 | 9,942 | ||||
Westpac Banking Corp. | USD 225,947,833 | AUD 328,174,050 | 07/02/2020 | (27) | ||||
Westpac Banking Corp. | USD 347,390,186 | CHF 329,169,571 | 07/02/2020 | — | ||||
Westpac Banking Corp. | USD 78,958,788 | DKK 523,966,566 | 07/02/2020 | — | ||||
Westpac Banking Corp. | USD 2,735,476 | EUR 2,418,000 | 07/02/2020 | (19,699) | ||||
Westpac Banking Corp. | USD 1,281,027 | GBP 1,008,000 | 07/02/2020 | (35,541) | ||||
Westpac Banking Corp. | USD 11,141,500 | ILS 38,560,174 | 07/02/2020 | — | ||||
Westpac Banking Corp. | USD 434,612,998 | JPY 46,888,223,305 | 07/02/2020 | — | ||||
Westpac Banking Corp. | NZD 17,401,581 | USD 10,774,189 | 07/02/2020 | (428,079) | ||||
Westpac Banking Corp. | SGD 54,349,299 | USD 38,455,056 | 07/02/2020 | (503,619) | ||||
Westpac Banking Corp. | EUR 447,899,157 | USD 498,518,928 | 07/02/2020 | (4,539,024) | ||||
Westpac Banking Corp. | SEK 878,349,531 | USD 93,283,899 | 07/02/2020 | (993,500) | ||||
Westpac Banking Corp. | GBP 6,502,000 | USD 8,039,619 | 07/02/2020 | 5,744 | ||||
Westpac Banking Corp. | EUR 54,185,000 | USD 60,310,181 | 07/02/2020 | (547,704) | ||||
Westpac Banking Corp. | AUD 29,248,000 | USD 19,415,612 | 07/02/2020 | (721,633) | ||||
Westpac Banking Corp. | SEK 94,946,000 | USD 10,084,388 | 07/02/2020 | (106,614) | ||||
Westpac Banking Corp. | AUD 328,174,050 | USD 225,984,589 | 08/04/2020 | (2,598) | ||||
Westpac Banking Corp. | JPY 46,888,223,305 | USD 434,782,260 | 08/04/2020 | (6,894) | ||||
Westpac Banking Corp. | CHF 329,169,571 | USD 347,720,458 | 08/04/2020 | (6,367) | ||||
Westpac Banking Corp. | ILS 38,560,174 | USD 11,149,070 | 08/04/2020 | (1,369) | ||||
Westpac Banking Corp. | AUD 1,298,000 | USD 893,848 | 08/04/2020 | 20 | ||||
Westpac Banking Corp. | DKK 523,966,566 | USD 79,008,793 | 08/04/2020 | (2,407) | ||||
Total | $(23,708,477) |
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) | 544 | 09/18/2020 | $48,062,061 | $48,372,480 | $310,419 |
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 | $3,284,726,587 | $ — | $— | $3,284,726,587 | ||||
Short-Term Investment | 62,619,938 | — | — | 62,619,938 | ||||
TOTAL INVESTMENTS | $3,347,346,525 | $ — | $— | $3,347,346,525 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts | — | 2,274,304 | — | 2,274,304 | ||||
Futures Contracts | 310,419 | — | — | 310,419 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ 310,419 | $ 2,274,304 | $— | $ 2,584,723 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,347,656,944 | $ 2,274,304 | $— | $3,349,931,248 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts | — | (25,982,781) | — | (25,982,781) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ — | $(25,982,781) | $— | $ (25,982,781) |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,284,726,587 |
Investment in affiliated issuers, at value | 62,619,938 |
Total Investments | 3,347,346,525 |
Foreign currency, at value | 53,173 |
Cash at broker | 6,439,520 |
Receivable from broker — accumulated variation margin on futures contracts | 311,905 |
Receivable for fund shares sold | 1,885,031 |
Unrealized appreciation on forward foreign currency exchange contracts | 2,274,304 |
Dividends receivable — affiliated issuers | 154,335 |
Receivable from Adviser | 201,767 |
Receivable for foreign taxes recoverable | 180,152 |
Prepaid expenses and other assets | 303,321 |
TOTAL ASSETS | 3,359,150,033 |
LIABILITIES | |
Payable for fund shares repurchased | 1,632,910 |
Unrealized depreciation on forward foreign currency exchange contracts | 25,982,781 |
Advisory fee payable | 386,044 |
Administration fees payable | 137,884 |
Trustees’ fees and expenses payable | 156 |
Transfer agent fees payable | 949 |
Registration and filing fees payable | 4,555 |
Professional fees payable | 21,609 |
Printing and postage fees payable | 49 |
TOTAL LIABILITIES | 28,166,937 |
NET ASSETS | $3,330,983,096 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,290,429,023 |
Total distributable earnings (loss) | 40,554,073 |
NET ASSETS | $3,330,983,096 |
Class K | |
Net Assets | $3,330,983,096 |
Shares Outstanding | 35,169,981 |
Net asset value, offering and redemption price per share | $ 94.71 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $3,177,919,964 |
Investment in affiliated issuers | 62,556,858 |
Total cost of investments | $3,240,476,822 |
Foreign currency, at cost | $ 52,658 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $ 54,738,129 |
Interest income — unaffiliated issuers | 7,737 |
Dividend income — affiliated issuers | 337,849 |
Expenses allocated from affiliated Portfolio | (2,385,957) |
Foreign taxes withheld allocated from affiliated Portfolio | (5,366,772) |
TOTAL INVESTMENT INCOME (LOSS) | 47,330,986 |
EXPENSES | |
Advisory fee | 2,378,865 |
Administration fees | 849,595 |
Custodian fees | 86,874 |
Trustees’ fees and expenses | 10,156 |
Transfer agent fees | 6,104 |
Registration and filing fees | 82,470 |
Professional fees and expenses | 24,432 |
Printing and postage fees | 14,565 |
Insurance expense | 8,933 |
Miscellaneous expenses | 395,449 |
TOTAL EXPENSES | 3,857,443 |
Expenses waived/reimbursed by the Adviser | (2,845,022) |
NET EXPENSES | 1,012,421 |
NET INVESTMENT INCOME (LOSS) | $ 46,318,565 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (77,652,621) |
Foreign currency transactions allocated from affiliated Portfolio | 18,206 |
Futures contracts allocated from affiliated Portfolio | 720,516 |
Forward foreign currency exchange contracts | 32,395,650 |
Foreign currency transactions | (1,444) |
Futures contracts | (23,409,724) |
Net realized gain (loss) | (67,929,417) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (385,781,173) |
Foreign currency transactions allocated from affiliated Portfolio | (55,303) |
Future contracts allocated from affiliated Portfolio | (928,388) |
Forward foreign currency exchange contracts | 39,719,757 |
Foreign currency translations | 777 |
Futures contracts | (738,771) |
Net change in unrealized appreciation/depreciation | (347,783,101) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (415,712,518) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(369,393,953) |
Six Months Ended 6/30/20(a) (Unaudited) | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 46,318,565 | $ 105,727,302 | |
Net realized gain (loss) | (67,929,417) | 109,623,221 | |
Net change in unrealized appreciation/depreciation | (347,783,101) | 526,360,746 | |
Net increase (decrease) in net assets resulting from operations | (369,393,953) | 741,711,269 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | — | (186,407,608) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 594,990,922 | 605,074,489 | |
Reinvestment of distributions | — | 185,888,647 | |
Cost of shares redeemed | (667,357,326) | (496,367,578) | |
Net increase (decrease) in net assets from beneficial interest transactions | (72,366,404) | 294,595,558 | |
Net increase (decrease) in net assets during the period | (441,760,357) | 849,899,219 | |
Net assets at beginning of period | 3,772,743,453 | 2,922,844,234 | |
NET ASSETS AT END OF PERIOD | $3,330,983,096 | $3,772,743,453 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 6,688,718 | 6,097,166 | |
Reinvestment of distributions | — | 1,763,649 | |
Shares redeemed | (7,678,904) | (4,939,014) | |
Net increase (decrease) from share transactions | (990,186) | 2,921,801 |
(a) | On April 17, 2020, the State Street Hedged International Developed Equity Index Fund underwent a 1-for-10 reverse share split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note 8. |
Class K | |||||||||||
Six Months Ended(a) 6/30/20 (Unaudited) | Year Ended(a) 12/31/19 | Year Ended(a) 12/31/18 | Year Ended(a) 12/31/17 | Year Ended(a)(b) 12/31/16 | For the Period 5/29/15*(a)(b) - 12/31/15 | ||||||
Net asset value, beginning of period | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | $ 90.00 | $ 100.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (c) | 1.27 | 3.10 | 2.90 | 2.70 | 2.40 | 0.90 | |||||
Net realized and unrealized gain (loss) | (10.86) | 18.60 | (12.60) | 12.70 | 3.40 | (10.00) | |||||
Total from investment operations | (9.59) | 21.70 | (9.70) | 15.40 | 5.80 | (9.10) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | — | (3.20) | (5.00) | — | (2.00) | (0.60) | |||||
Net realized gains | — | (2.10) | (1.40) | (3.20) | (2.00) | (0.30) | |||||
Total distributions | — | (5.30) | (6.40) | (3.20) | (4.00) | (0.90) | |||||
Net asset value, end of period | $ 94.71 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | $ 90.00 | |||||
Total return (d) | (9.27)% | 24.82% | (9.25)% | 16.85% | 6.27% | (9.01)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,330,983 | $3,772,743 | $2,922,844 | $2,894,400 | $2,113,394 | $958,544 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses | 0.37%(e) | 0.36% | 0.36% | 0.35% | 0.34% | 0.38%(e) | |||||
Net expenses | 0.20%(e) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(e) | |||||
Net investment income (loss) | 2.73%(e) | 3.08% | 2.85% | 2.69% | 2.79% | 1.60%(e) | |||||
Portfolio turnover rate (f) | 6%(g) | 3% | 14% | 4% | 1% | 1%(g) |
* | Commencement of operations. |
(a) | On April 17, 2020, the State Street Hedged International Developed Equity Index Fund underwent a 1-for-10 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 8. |
(b) | 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. |
(c) | Net investment income per share is calculated using the average shares method. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding affiliated Portfolio. |
(g) | 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 | $— | $2,274,304 | $— | $ — | $— | $2,274,304 | |||||
Futures Contracts | — | — | — | 311,905 | — | 311,905 |
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 | $— | $(25,982,781) | $— | $— | $— | $(25,982,781) |
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 | $— | $32,395,650 | $— | $ — | $— | $ 32,395,650 | |||||
Futures Contracts | — | — | — | (23,441,891) | — | (23,441,891) |
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 | $— | $39,719,757 | $— | $ — | $— | $39,719,757 | |||||
Futures Contracts | — | — | — | (738,771) | — | (738,771) |
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 | $ 2,879 | $ (2,879) | $— | $ — | ||||
Bank of Montreal | 27,750 | (27,750) | — | — | ||||
Barclays Capital | 15,020 | (308) | — | 14,712 | ||||
BNP Paribas S.A. | 6,595 | (5,379) | — | 1,216 | ||||
Citibank N.A. | 169,130 | (169,130) | — | — | ||||
Goldman Sachs Capital Markets L.P. | 18,961 | — | — | 18,961 | ||||
HSBC Bank USA | 760,625 | (760,625) | — | — | ||||
JP Morgan Chase Bank, N.A. | 7,793 | (4,181) | — | 3,612 | ||||
Morgan Stanley Bank, N.A. | 36,957 | (8,835) | — | 28,122 | ||||
Royal Bank of Canada | 146,552 | (42,725) | — | 103,827 | ||||
Societe Generale | 28,820 | — | — | 28,820 | ||||
Standard Chartered Bank | 77,273 | (35,089) | — | 42,184 | ||||
Toronto Dominion Bank | 930,925 | (18,920) | — | 912,005 | ||||
UBS AG | 29,318 | (29,318) | — | — | ||||
Westpac Banking Corp. | 15,706 | (15,706) | — | — | ||||
$2,274,304 | $(1,120,845) | $— | $1,153,459 |
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 | $ (8,331) | $ 2,879 | $— | $ (5,452) | ||||
Bank of Montreal | (4,773,445) | 27,750 | — | (4,745,695) | ||||
Barclays Capital | (308) | 308 | — | — | ||||
BNP Paribas S.A. | (5,379) | 5,379 | — | — | ||||
Citibank N.A. | (213,483) | 169,130 | — | (44,353) | ||||
HSBC Bank USA | (12,921,226) | 760,625 | — | (12,160,601) | ||||
JP Morgan Chase Bank, N.A. | (4,181) | 4,181 | — | — | ||||
Morgan Stanley Bank, N.A. | (8,835) | 8,835 | — | — | ||||
Royal Bank of Canada | (42,725) | 42,725 | — | — | ||||
Standard Chartered Bank | (35,089) | 35,089 | — | — | ||||
Toronto Dominion Bank | (18,920) | 18,920 | — | — | ||||
UBS AG | (35,782) | 29,318 | — | (6,464) | ||||
Westpac Banking Corp. | (7,915,077) | 15,706 | — | (7,899,371) | ||||
$(25,982,781) | $1,120,845 | $— | $(24,861,936) |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,238,895,267 | $111,035,981 | $25,982,781 | $85,053,200 |
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 Hedged International Developed Equity Index Fund | |||||||||
Class K | 0.20% | $907.30 | $0.95 | $1,023.90 | $1.01 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
2 | |
14 | |
15 | |
16 | |
17 | |
18 | |
25 |
Description | Market Value | % of Net Assets | ||
Nestle SA | 81,199,728 | 2.5% | ||
Roche Holding AG | 59,876,443 | 1.8 | ||
Novartis AG | 46,019,432 | 1.4 | ||
ASML Holding NV | 38,260,164 | 1.2 | ||
SAP SE | 35,746,723 | 1.1 | ||
TOTAL | 261,102,490 | 8.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.3% | |||||
AUSTRALIA — 6.9% | |||||
Afterpay, Ltd. (a) | 49,936 | $ 2,151,620 | |||
AGL Energy, Ltd. | 150,670 | 1,778,316 | |||
AMP, Ltd. (a) | 892,260 | 1,151,841 | |||
Ampol, Ltd. | 61,250 | 1,245,157 | |||
APA Group Stapled Security | 297,145 | 2,292,293 | |||
Aristocrat Leisure, Ltd. | 145,695 | 2,602,837 | |||
ASX, Ltd. | 47,308 | 2,805,387 | |||
Aurizon Holdings, Ltd. | 507,008 | 1,721,284 | |||
AusNet Services | 555,919 | 640,805 | |||
Australia & New Zealand Banking Group, Ltd. | 704,845 | 9,124,261 | |||
BHP Group PLC | 521,466 | 10,640,653 | |||
BHP Group, Ltd. | 728,108 | 18,086,313 | |||
BlueScope Steel, Ltd. | 128,543 | 1,056,462 | |||
Brambles, Ltd. | 372,135 | 2,815,129 | |||
CIMIC Group, Ltd. | 24,790 | 415,620 | |||
Coca-Cola Amatil, Ltd. | 124,122 | 745,911 | |||
Cochlear, Ltd. | 15,192 | 1,989,917 | |||
Coles Group, Ltd. | 322,569 | 3,825,603 | |||
Commonwealth Bank of Australia | 437,712 | 21,089,984 | |||
Computershare, Ltd. | 127,081 | 1,173,974 | |||
Crown Resorts, Ltd. | 91,949 | 617,975 | |||
CSL, Ltd. | 112,301 | 22,283,642 | |||
Dexus REIT | 281,105 | 1,800,039 | |||
Evolution Mining, Ltd. | 377,056 | 1,494,377 | |||
Fortescue Metals Group, Ltd. | 409,971 | 3,976,361 | |||
Goodman Group REIT | 400,764 | 4,125,585 | |||
GPT Group REIT | 481,330 | 1,395,076 | |||
Insurance Australia Group, Ltd. | 579,092 | 2,318,714 | |||
Lendlease Group Stapled Security | 151,641 | 1,307,631 | |||
Macquarie Group, Ltd. | 82,624 | 6,841,241 | |||
Magellan Financial Group, Ltd. | 32,572 | 1,327,012 | |||
Medibank Pvt, Ltd. | 647,264 | 1,338,830 | |||
Mirvac Group REIT | 962,862 | 1,451,129 | |||
National Australia Bank, Ltd. | 788,871 | 9,973,680 | |||
Newcrest Mining, Ltd. | 196,514 | 4,347,413 | |||
Northern Star Resources, Ltd. | 173,353 | 1,631,102 | |||
Oil Search, Ltd. | 449,817 | 994,554 | |||
Orica, Ltd. | 92,163 | 1,063,358 | |||
Origin Energy, Ltd. | 450,630 | 1,829,472 | |||
Qantas Airways, Ltd. | 178,931 | 473,048 | |||
QBE Insurance Group, Ltd. | 345,374 | 2,126,398 | |||
Ramsay Health Care, Ltd. | 42,271 | 1,947,648 | |||
REA Group, Ltd. (b) | 13,915 | 1,046,112 | |||
Rio Tinto, Ltd. | 92,548 | 6,322,400 | |||
Santos, Ltd. | 444,145 | 1,646,870 | |||
Scentre Group REIT | 1,344,493 | 2,036,399 | |||
SEEK, Ltd. | 76,262 | 1,164,017 | |||
Sonic Healthcare, Ltd. | 111,593 | 2,351,023 | |||
South32, Ltd. | 1,150,049 | 1,624,377 | |||
Stockland REIT | 553,225 | 1,279,844 | |||
Suncorp Group, Ltd. | 319,478 | 2,048,173 |
Security Description | Shares | Value | |||
Sydney Airport Stapled Security | 253,213 | $ 997,010 | |||
Tabcorp Holdings, Ltd. | 519,729 | 1,223,019 | |||
Telstra Corp., Ltd. | 1,065,564 | 2,307,581 | |||
TPG TELECOM, Ltd. (a) | 98,984 | 606,539 | |||
Transurban Group Stapled Security | 681,365 | 6,666,459 | |||
Treasury Wine Estates, Ltd. | 180,891 | 1,313,088 | |||
TUAS, Ltd. (a) | 49,492 | 23,001 | |||
Vicinity Centres REIT | 761,248 | 761,233 | |||
Washington H Soul Pattinson & Co., Ltd. (b) | 28,102 | 380,820 | |||
Wesfarmers, Ltd. | 279,038 | 8,655,783 | |||
Westpac Banking Corp. | 889,337 | 11,120,553 | |||
WiseTech Global, Ltd. (b) | 35,073 | 473,366 | |||
Woodside Petroleum, Ltd. | 231,891 | 3,496,365 | |||
Woolworths Group, Ltd. | 313,388 | 8,059,397 | |||
227,621,081 | |||||
AUSTRIA — 0.2% | |||||
ANDRITZ AG (a) | 17,424 | 635,096 | |||
Erste Group Bank AG (a) | 65,346 | 1,542,843 | |||
OMV AG | 34,411 | 1,160,800 | |||
Raiffeisen Bank International AG | 34,387 | 614,418 | |||
Verbund AG (b) | 15,343 | 688,874 | |||
Voestalpine AG | 26,238 | 566,443 | |||
5,208,474 | |||||
BELGIUM — 0.9% | |||||
Ageas SA/NV | 43,311 | 1,534,452 | |||
Anheuser-Busch InBev SA | 190,099 | 9,368,281 | |||
Colruyt SA | 12,414 | 682,054 | |||
Elia Group SA | 6,832 | 743,029 | |||
Galapagos NV (a) | 10,971 | 2,164,756 | |||
Groupe Bruxelles Lambert SA | 19,203 | 1,607,944 | |||
Groupe Bruxelles Lambert SA | 9,427 | 790,663 | |||
KBC Group NV | 60,411 | 3,469,604 | |||
Proximus SADP | 40,640 | 827,867 | |||
Sofina SA | 3,463 | 914,131 | |||
Solvay SA | 17,518 | 1,404,959 | |||
Telenet Group Holding NV | 13,788 | 567,932 | |||
UCB SA | 32,204 | 3,735,995 | |||
Umicore SA | 51,518 | 2,431,102 | |||
30,242,769 | |||||
CHILE — 0.0% (c) | |||||
Antofagasta PLC | 94,425 | 1,089,822 | |||
CHINA — 0.2% | |||||
BeiGene, Ltd. ADR (a)(b) | 9,200 | 1,733,280 | |||
BOC Hong Kong Holdings, Ltd. | 926,500 | 2,966,572 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 576,000 | 387,356 | |||
5,087,208 | |||||
DENMARK — 2.3% | |||||
Ambu A/S Class B | 37,433 | 1,182,727 | |||
AP Moller - Maersk A/S Class A | 700 | 765,021 | |||
AP Moller - Maersk A/S Class B | 1,657 | 1,941,005 |
Security Description | Shares | Value | |||
Carlsberg A/S Class B | 26,887 | $ 3,563,581 | |||
Chr. Hansen Holding A/S | 26,096 | 2,690,284 | |||
Coloplast A/S Class B | 28,971 | 4,513,301 | |||
Danske Bank A/S (a) | 167,123 | 2,233,013 | |||
Demant A/S (a)(b) | 30,915 | 818,856 | |||
DSV Panalpina A/S | 51,764 | 6,355,120 | |||
Genmab A/S (a) | 16,082 | 5,419,918 | |||
GN Store Nord A/S | 29,936 | 1,601,652 | |||
H Lundbeck A/S | 19,955 | 753,596 | |||
Novo Nordisk A/S Class B | 438,928 | 28,580,298 | |||
Novozymes A/S Class B | 53,917 | 3,124,261 | |||
Orsted A/S (d) | 46,688 | 5,385,061 | |||
Pandora A/S | 25,242 | 1,377,862 | |||
Tryg A/S | 27,107 | 787,166 | |||
Vestas Wind Systems A/S | 48,458 | 4,959,653 | |||
76,052,375 | |||||
FINLAND — 1.2% | |||||
Elisa Oyj | 34,231 | 2,082,360 | |||
Fortum Oyj (b) | 115,542 | 2,203,638 | |||
Kone Oyj Class B | 83,170 | 5,734,398 | |||
Metso Oyj | 29,662 | 974,496 | |||
Neste Oyj | 102,824 | 4,037,265 | |||
Nokia Oyj | 1,384,520 | 6,048,282 | |||
Nordea Bank Abp (a) | 810,322 | 5,620,763 | |||
Orion Oyj Class B | 27,979 | 1,356,401 | |||
Sampo Oyj Class A | 113,280 | 3,903,521 | |||
Stora Enso Oyj Class R | 149,182 | 1,785,052 | |||
UPM-Kymmene Oyj | 130,683 | 3,784,015 | |||
Wartsila OYJ Abp | 120,166 | 996,474 | |||
38,526,665 | |||||
FRANCE — 10.4% | |||||
Accor SA (a) | 42,276 | 1,153,421 | |||
Aeroports de Paris | 7,865 | 811,735 | |||
Air Liquide SA | 117,185 | 16,938,119 | |||
Airbus SE (a) | 142,941 | 10,239,078 | |||
Alstom SA | 48,182 | 2,244,625 | |||
Amundi SA (a)(d) | 13,764 | 1,081,698 | |||
Arkema SA | 16,060 | 1,543,270 | |||
Atos SE (a) | 23,181 | 1,986,760 | |||
AXA SA (b) | 476,901 | 10,032,266 | |||
BioMerieux | 10,343 | 1,420,007 | |||
BNP Paribas SA (a) | 273,860 | 10,938,398 | |||
Bollore SA | 188,302 | 593,977 | |||
Bouygues SA (a) | 56,992 | 1,951,624 | |||
Bureau Veritas SA (a) | 73,174 | 1,551,497 | |||
Capgemini SE | 38,923 | 4,490,373 | |||
Carrefour SA | 150,313 | 2,330,335 | |||
Casino Guichard Perrachon SA | 8,276 | 306,516 | |||
Cie de Saint-Gobain (a) | 125,580 | 4,529,634 | |||
Cie Generale des Etablissements Michelin SCA (b) | 41,371 | 4,310,882 | |||
CNP Assurances (a) | 47,490 | 550,638 | |||
Covivio REIT | 11,839 | 858,458 | |||
Credit Agricole SA (a) | 288,892 | 2,742,372 | |||
Danone SA | 152,043 | 10,550,499 |
Security Description | Shares | Value | |||
Dassault Aviation SA (a) | 605 | $ 554,913 | |||
Dassault Systemes SE | 32,083 | 5,567,647 | |||
Edenred | 58,332 | 2,557,536 | |||
Eiffage SA (a) | 20,205 | 1,851,547 | |||
Electricite de France SA | 144,832 | 1,346,094 | |||
Engie SA | 454,490 | 5,634,796 | |||
EssilorLuxottica SA (a) | 69,916 | 8,988,983 | |||
Eurazeo SE (a) | 7,897 | 405,668 | |||
Faurecia SE (a) | 19,469 | 764,671 | |||
Gecina SA REIT | 11,847 | 1,462,733 | |||
Getlink SE | 112,207 | 1,622,089 | |||
Hermes International | 7,902 | 6,632,514 | |||
ICADE REIT | 6,092 | 425,260 | |||
Iliad SA | 3,166 | 617,843 | |||
Ingenico Group SA (a) | 15,284 | 2,454,982 | |||
Ipsen SA | 9,549 | 809,804 | |||
JCDecaux SA (a) | 19,153 | 357,673 | |||
Kering SA | 18,431 | 10,073,441 | |||
Klepierre SA REIT | 44,201 | 883,250 | |||
La Francaise des Jeux SAEM (d) | 18,485 | 571,159 | |||
Legrand SA | 65,897 | 5,005,457 | |||
L'Oreal SA (a) | 62,084 | 20,031,150 | |||
LVMH Moet Hennessy Louis Vuitton SE | 68,008 | 30,015,847 | |||
Natixis SA (a) | 221,885 | 585,048 | |||
Orange SA | 498,929 | 5,964,314 | |||
Orpea | 12,027 | 1,388,725 | |||
Pernod Ricard SA | 52,908 | 8,328,636 | |||
Peugeot SA (a) | 147,984 | 2,426,052 | |||
Publicis Groupe SA | 50,859 | 1,651,641 | |||
Remy Cointreau SA (b) | 5,928 | 808,481 | |||
Renault SA (a) | 47,770 | 1,222,227 | |||
Safran SA (a) | 78,662 | 7,910,249 | |||
Sanofi | 276,265 | 28,165,999 | |||
Sartorius Stedim Biotech | 6,864 | 1,739,738 | |||
Schneider Electric SE | 136,807 | 15,213,213 | |||
SCOR SE (a) | 41,578 | 1,147,954 | |||
SEB SA | 4,983 | 826,320 | |||
Societe Generale SA (a) | 205,131 | 3,428,657 | |||
Sodexo SA | 20,638 | 1,398,984 | |||
Suez SA | 89,128 | 1,047,249 | |||
Teleperformance | 14,830 | 3,775,756 | |||
Thales SA | 26,547 | 2,147,923 | |||
TOTAL SA | 604,740 | 23,310,557 | |||
Ubisoft Entertainment SA (a) | 21,991 | 1,820,517 | |||
Unibail-Rodamco-Westfield | 8,898 | 25,300 | |||
Unibail-Rodamco-Westfield REIT (b) | 33,313 | 1,877,161 | |||
Valeo SA | 53,270 | 1,404,577 | |||
Veolia Environnement SA | 131,507 | 2,968,655 | |||
Vinci SA | 125,527 | 11,635,645 | |||
Vivendi SA | 208,323 | 5,381,327 | |||
Wendel SE | 7,128 | 680,067 | |||
Worldline SA (a)(d) | 33,270 | 2,899,890 | |||
342,972,101 |
Security Description | Shares | Value | |||
GERMANY — 9.0% | |||||
Adidas AG (a) | 46,949 | $ 12,374,324 | |||
Allianz SE | 102,001 | 20,836,631 | |||
Aroundtown SA (a) | 270,512 | 1,550,039 | |||
BASF SE | 223,888 | 12,571,714 | |||
Bayer AG | 242,811 | 17,992,396 | |||
Bayerische Motoren Werke AG | 80,838 | 5,159,143 | |||
Bayerische Motoren Werke AG Preference Shares | 12,415 | 602,896 | |||
Beiersdorf AG | 24,701 | 2,807,980 | |||
Brenntag AG | 39,729 | 2,105,778 | |||
Carl Zeiss Meditec AG | 10,275 | 1,000,188 | |||
Commerzbank AG (a) | 228,232 | 1,016,882 | |||
Continental AG (a) | 27,756 | 2,727,877 | |||
Covestro AG (a)(d) | 43,724 | 1,664,852 | |||
Daimler AG | 210,296 | 8,552,990 | |||
Delivery Hero SE (a)(d) | 30,772 | 3,161,369 | |||
Deutsche Bank AG (a) | 472,044 | 4,501,942 | |||
Deutsche Boerse AG | 46,638 | 8,437,765 | |||
Deutsche Lufthansa AG (a)(b) | 64,206 | 643,946 | |||
Deutsche Post AG | 243,528 | 8,939,529 | |||
Deutsche Telekom AG | 812,909 | 13,635,745 | |||
Deutsche Wohnen SE | 82,769 | 3,718,118 | |||
E.ON SE | 560,698 | 6,327,007 | |||
Evonik Industries AG | 48,315 | 1,230,200 | |||
Fraport AG Frankfurt Airport Services Worldwide (a) | 10,591 | 463,793 | |||
Fresenius Medical Care AG & Co. KGaA | 51,915 | 4,464,849 | |||
Fresenius SE & Co. KGaA | 101,839 | 5,060,112 | |||
Fuchs Petrolub SE Preference Shares | 15,262 | 613,247 | |||
GEA Group AG | 34,919 | 1,107,923 | |||
Hannover Rueck SE | 15,442 | 2,667,917 | |||
HeidelbergCement AG | 37,100 | 1,985,409 | |||
Henkel AG & Co. KGaA Preference Shares | 44,125 | 4,115,303 | |||
Henkel AG & Co. KGaA | 26,031 | 2,177,084 | |||
HOCHTIEF AG | 6,344 | 564,309 | |||
Infineon Technologies AG | 306,438 | 7,178,276 | |||
KION Group AG | 16,364 | 1,007,215 | |||
Knorr-Bremse AG | 12,094 | 1,226,986 | |||
LANXESS AG | 20,021 | 1,058,412 | |||
LEG Immobilien AG | 16,351 | 2,073,244 | |||
Merck KGaA | 32,599 | 3,794,901 | |||
METRO AG | 46,138 | 437,722 | |||
MTU Aero Engines AG (a) | 13,632 | 2,372,600 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 35,549 | 9,253,895 | |||
Nemetschek SE | 13,024 | 894,630 | |||
Porsche Automobil Holding SE Preference Shares | 38,236 | 2,213,890 | |||
Puma SE (a) | 19,299 | 1,495,880 | |||
RWE AG | 140,760 | 4,926,059 | |||
SAP SE | 255,798 | 35,746,723 | |||
Sartorius AG Preference Shares | 8,673 | 2,861,615 |
Security Description | Shares | Value | |||
Scout24 AG (d) | 25,456 | $ 1,968,860 | |||
Siemens AG | 187,076 | 22,056,336 | |||
Siemens Healthineers AG (d) | 35,876 | 1,723,955 | |||
Symrise AG | 31,071 | 3,629,412 | |||
TeamViewer AG (a)(d) | 30,298 | 1,653,819 | |||
Telefonica Deutschland Holding AG | 255,715 | 753,917 | |||
Thyssenkrupp AG (a) | 100,059 | 713,626 | |||
Uniper SE | 49,780 | 1,605,856 | |||
United Internet AG | 23,175 | 984,330 | |||
Volkswagen AG | 7,916 | 1,277,701 | |||
Volkswagen AG Preference Shares | 46,281 | 7,032,522 | |||
Vonovia SE | 128,128 | 7,829,135 | |||
Zalando SE (a)(d) | 36,248 | 2,570,651 | |||
295,121,425 | |||||
HONG KONG — 3.3% | |||||
AIA Group, Ltd. | 3,001,200 | 28,084,211 | |||
ASM Pacific Technology, Ltd. | 81,800 | 864,467 | |||
Bank of East Asia, Ltd. | 350,839 | 804,231 | |||
Budweiser Brewing Co. APAC, Ltd. (d) | 393,700 | 1,152,538 | |||
CK Asset Holdings, Ltd. | 655,179 | 3,928,996 | |||
CK Hutchison Holdings, Ltd. | 685,000 | 4,435,806 | |||
CK Infrastructure Holdings, Ltd. | 153,000 | 790,901 | |||
CLP Holdings, Ltd. | 417,000 | 4,095,481 | |||
Dairy Farm International Holdings, Ltd. | 77,000 | 359,798 | |||
Galaxy Entertainment Group, Ltd. | 537,000 | 3,683,707 | |||
Hang Lung Properties, Ltd. | 474,000 | 1,126,837 | |||
Hang Seng Bank, Ltd. | 190,400 | 3,206,788 | |||
Henderson Land Development Co., Ltd. | 382,436 | 1,458,506 | |||
HK Electric Investments & HK Electric Investments, Ltd. Class SS, Stapled Security | 586,990 | 609,704 | |||
HKT Trust & HKT, Ltd. Stapled Security | 937,000 | 1,375,026 | |||
Hong Kong & China Gas Co., Ltd. | 2,596,424 | 4,035,304 | |||
Hong Kong Exchanges & Clearing, Ltd. | 297,930 | 12,689,425 | |||
Hongkong Land Holdings, Ltd. | 310,500 | 1,291,531 | |||
Jardine Matheson Holdings, Ltd. | 54,600 | 2,282,871 | |||
Jardine Strategic Holdings, Ltd. | 58,400 | 1,259,752 | |||
Kerry Properties, Ltd. | 146,000 | 379,257 | |||
Link REIT | 501,900 | 4,120,707 | |||
Melco Resorts & Entertainment, Ltd. ADR | 55,923 | 867,925 | |||
MTR Corp., Ltd. | 385,601 | 2,005,426 | |||
New World Development Co., Ltd. | 402,269 | 1,910,018 | |||
NWS Holdings, Ltd. | 356,810 | 310,373 | |||
PCCW, Ltd. | 1,072,000 | 612,934 | |||
Power Assets Holdings, Ltd. | 361,000 | 1,972,538 |
Security Description | Shares | Value | |||
Sands China, Ltd. | 609,600 | $ 2,401,374 | |||
Sino Land Co., Ltd. | 803,387 | 1,016,451 | |||
SJM Holdings, Ltd. | 457,000 | 512,362 | |||
Sun Hung Kai Properties, Ltd. | 316,000 | 4,036,998 | |||
Swire Pacific, Ltd. Class A | 113,500 | 603,231 | |||
Swire Properties, Ltd. | 280,600 | 716,424 | |||
Techtronic Industries Co., Ltd. | 344,000 | 3,403,746 | |||
WH Group, Ltd. (d) | 2,352,309 | 2,032,864 | |||
Wharf Real Estate Investment Co., Ltd. (b) | 239,000 | 1,147,352 | |||
Wheelock & Co., Ltd. | 165,000 | 1,304,250 | |||
106,890,110 | |||||
IRELAND — 0.7% | |||||
AerCap Holdings NV (a) | 32,314 | 995,271 | |||
CRH PLC | 196,075 | 6,746,851 | |||
Flutter Entertainment PLC (b) | 35,184 | 4,643,697 | |||
James Hardie Industries PLC | 104,608 | 2,010,976 | |||
Kerry Group PLC Class A | 38,812 | 4,820,007 | |||
Kingspan Group PLC | 36,730 | 2,370,415 | |||
Smurfit Kappa Group PLC | 57,747 | 1,940,025 | |||
23,527,242 | |||||
ISRAEL — 0.6% | |||||
Azrieli Group, Ltd. | 10,695 | 487,867 | |||
Bank Hapoalim BM | 275,519 | 1,648,523 | |||
Bank Leumi Le-Israel BM | 360,144 | 1,812,342 | |||
Check Point Software Technologies, Ltd. (a) | 28,010 | 3,009,114 | |||
CyberArk Software, Ltd. (a) | 9,300 | 923,211 | |||
Elbit Systems, Ltd. | 6,111 | 840,517 | |||
ICL Group, Ltd. | 162,743 | 485,184 | |||
Israel Discount Bank, Ltd. Class A | 293,896 | 897,155 | |||
Mizrahi Tefahot Bank, Ltd. | 33,833 | 636,277 | |||
Nice, Ltd. (a) | 16,085 | 3,034,685 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a) | 166,228 | 2,049,591 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 98,441 | 1,204,410 | |||
Wix.com, Ltd. (a) | 12,800 | 3,279,616 | |||
20,308,492 | |||||
ITALY — 2.0% | |||||
Assicurazioni Generali SpA | 269,533 | 4,093,002 | |||
Atlantia SpA (a) | 129,788 | 2,098,708 | |||
Davide Campari-Milano SpA | 133,540 | 1,128,990 | |||
DiaSorin SpA | 5,764 | 1,106,606 | |||
Enel SpA | 2,013,928 | 17,411,919 | |||
Eni SpA | 616,682 | 5,909,676 | |||
Ferrari NV | 30,748 | 5,265,346 | |||
FinecoBank Banca Fineco SpA (a) | 157,778 | 2,134,714 | |||
Infrastrutture Wireless Italiane SpA (d) | 50,302 | 504,788 | |||
Intesa Sanpaolo SpA (a) | 3,615,721 | 6,946,133 | |||
Leonardo SpA | 97,959 | 652,825 |
Security Description | Shares | Value | |||
Mediobanca Banca di Credito Finanziario SpA | 161,856 | $ 1,168,445 | |||
Moncler SpA (a) | 45,559 | 1,751,360 | |||
Nexi SpA (a)(d) | 87,566 | 1,517,968 | |||
Pirelli & C SpA (a)(d) | 116,150 | 493,987 | |||
Poste Italiane SpA (d) | 121,311 | 1,059,350 | |||
Prysmian SpA | 55,227 | 1,280,775 | |||
Recordati SpA | 27,399 | 1,370,582 | |||
Snam SpA | 481,433 | 2,346,327 | |||
Telecom Italia SpA (b)(e) | 2,204,493 | 869,038 | |||
Telecom Italia SpA (e) | 1,626,518 | 632,845 | |||
Terna Rete Elettrica Nazionale SpA | 362,156 | 2,497,213 | |||
UniCredit SpA (a) | 515,760 | 4,758,578 | |||
66,999,175 | |||||
JAPAN — 25.0% | |||||
ABC-Mart, Inc. | 8,800 | 516,669 | |||
Acom Co., Ltd. | 91,400 | 350,062 | |||
Advantest Corp. | 50,100 | 2,861,616 | |||
Aeon Co., Ltd. | 156,400 | 3,641,606 | |||
Aeon Mall Co., Ltd. | 24,100 | 320,526 | |||
AGC, Inc. | 45,000 | 1,291,205 | |||
Air Water, Inc. | 52,200 | 738,146 | |||
Aisin Seiki Co., Ltd. | 37,200 | 1,091,314 | |||
Ajinomoto Co., Inc. | 111,700 | 1,855,203 | |||
Alfresa Holdings Corp. | 45,600 | 956,635 | |||
Amada Co., Ltd. | 91,300 | 748,175 | |||
ANA Holdings, Inc. (a) | 28,500 | 651,852 | |||
Aozora Bank, Ltd. (b) | 27,800 | 485,157 | |||
Asahi Group Holdings, Ltd. | 92,900 | 3,265,578 | |||
Asahi Intecc Co., Ltd. | 51,400 | 1,468,197 | |||
Asahi Kasei Corp. | 319,200 | 2,615,083 | |||
Astellas Pharma, Inc. | 458,500 | 7,663,136 | |||
Bandai Namco Holdings, Inc. | 48,900 | 2,576,148 | |||
Bank of Kyoto, Ltd. (b) | 12,500 | 444,494 | |||
Benesse Holdings, Inc. | 20,100 | 539,524 | |||
Bridgestone Corp. (b) | 130,200 | 4,205,767 | |||
Brother Industries, Ltd. | 53,900 | 974,628 | |||
Calbee, Inc. | 20,900 | 578,150 | |||
Canon, Inc. (b) | 241,900 | 4,829,452 | |||
Casio Computer Co., Ltd. | 53,600 | 935,864 | |||
Central Japan Railway Co. | 35,300 | 5,463,987 | |||
Chiba Bank, Ltd. | 134,000 | 634,047 | |||
Chubu Electric Power Co., Inc. | 152,800 | 1,918,007 | |||
Chugai Pharmaceutical Co., Ltd. | 163,800 | 8,777,158 | |||
Chugoku Electric Power Co., Inc. | 76,500 | 1,020,751 | |||
Coca-Cola Bottlers Japan Holdings, Inc. | 29,100 | 528,213 | |||
Concordia Financial Group, Ltd. | 287,400 | 924,779 | |||
Cosmos Pharmaceutical Corp. | 2,200 | 337,837 | |||
CyberAgent, Inc. | 25,800 | 1,269,223 | |||
Dai Nippon Printing Co., Ltd. | 58,500 | 1,346,058 | |||
Daicel Corp. | 63,200 | 490,231 | |||
Daifuku Co., Ltd. | 24,600 | 2,157,547 | |||
Dai-ichi Life Holdings, Inc. | 273,500 | 3,276,526 |
Security Description | Shares | Value | |||
Daiichi Sankyo Co., Ltd. | 139,800 | $ 11,444,006 | |||
Daikin Industries, Ltd. | 60,800 | 9,845,645 | |||
Daito Trust Construction Co., Ltd. | 15,100 | 1,392,798 | |||
Daiwa House Industry Co., Ltd. | 137,000 | 3,237,937 | |||
Daiwa House REIT Investment Corp. | 452 | 1,064,263 | |||
Daiwa Securities Group, Inc. | 376,300 | 1,582,117 | |||
Denso Corp. | 103,900 | 4,078,050 | |||
Dentsu Group, Inc. (b) | 56,000 | 1,329,519 | |||
Disco Corp. | 7,200 | 1,757,462 | |||
East Japan Railway Co. | 74,100 | 5,139,061 | |||
Eisai Co., Ltd. | 62,300 | 4,953,794 | |||
Electric Power Development Co., Ltd. | 35,600 | 675,413 | |||
FamilyMart Co., Ltd. | 65,500 | 1,125,435 | |||
FANUC Corp. | 47,200 | 8,468,597 | |||
Fast Retailing Co., Ltd. | 14,400 | 8,283,613 | |||
Fuji Electric Co., Ltd. | 30,600 | 842,935 | |||
FUJIFILM Holdings Corp. | 89,700 | 3,842,513 | |||
Fujitsu, Ltd. | 48,000 | 5,624,688 | |||
Fukuoka Financial Group, Inc. | 40,900 | 647,206 | |||
GLP J-REIT | 834 | 1,206,177 | |||
GMO Payment Gateway, Inc. | 10,800 | 1,130,552 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 662,941 | |||
Hamamatsu Photonics KK | 32,300 | 1,407,668 | |||
Hankyu Hanshin Holdings, Inc. | 57,700 | 1,950,630 | |||
Hikari Tsushin, Inc. | 4,800 | 1,098,427 | |||
Hino Motors, Ltd. | 63,000 | 427,786 | |||
Hirose Electric Co., Ltd. | 8,010 | 880,297 | |||
Hisamitsu Pharmaceutical Co., Inc. | 13,200 | 714,132 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 689,491 | |||
Hitachi Metals, Ltd. | 57,400 | 688,560 | |||
Hitachi, Ltd. | 240,700 | 7,656,989 | |||
Honda Motor Co., Ltd. | 401,400 | 10,281,862 | |||
Hoshizaki Corp. | 11,500 | 986,495 | |||
Hoya Corp. | 92,200 | 8,836,344 | |||
Hulic Co., Ltd. | 65,600 | 619,847 | |||
Idemitsu Kosan Co., Ltd. | 48,540 | 1,036,807 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 552,184 | |||
Inpex Corp. | 262,100 | 1,637,986 | |||
Isetan Mitsukoshi Holdings, Ltd. | 80,300 | 462,512 | |||
Isuzu Motors, Ltd. | 127,300 | 1,157,783 | |||
Ito En, Ltd. | 11,600 | 655,352 | |||
ITOCHU Corp. | 335,200 | 7,259,048 | |||
Itochu Techno-Solutions Corp. | 22,200 | 835,567 | |||
Japan Airlines Co., Ltd. | 28,300 | 511,114 | |||
Japan Airport Terminal Co., Ltd. | 12,400 | 529,574 | |||
Japan Exchange Group, Inc. | 128,900 | 2,987,804 | |||
Japan Post Bank Co., Ltd. | 94,700 | 704,892 | |||
Japan Post Holdings Co., Ltd. | 388,200 | 2,772,769 | |||
Japan Post Insurance Co., Ltd. | 55,100 | 726,624 | |||
Japan Prime Realty Investment Corp. REIT (b) | 191 | 560,789 |
Security Description | Shares | Value | |||
Japan Real Estate Investment Corp. REIT | 325 | $ 1,669,328 | |||
Japan Retail Fund Investment Corp. REIT | 633 | 792,403 | |||
Japan Tobacco, Inc. (b) | 297,700 | 5,533,721 | |||
JFE Holdings, Inc. | 130,500 | 944,238 | |||
JGC Holdings Corp. | 49,900 | 526,631 | |||
JSR Corp. | 53,300 | 1,034,876 | |||
JTEKT Corp. | 49,700 | 388,390 | |||
JXTG Holdings, Inc. | 761,700 | 2,717,393 | |||
Kajima Corp. | 116,200 | 1,390,546 | |||
Kakaku.com, Inc. | 33,100 | 843,901 | |||
Kamigumi Co., Ltd. | 24,000 | 472,390 | |||
Kansai Electric Power Co., Inc. | 180,800 | 1,753,410 | |||
Kansai Paint Co., Ltd. | 47,600 | 1,006,710 | |||
Kao Corp. | 118,600 | 9,419,689 | |||
Kawasaki Heavy Industries, Ltd. | 33,000 | 477,038 | |||
KDDI Corp. | 406,500 | 12,138,917 | |||
Keihan Holdings Co., Ltd. | 23,800 | 1,063,777 | |||
Keikyu Corp. | 55,000 | 842,318 | |||
Keio Corp. | 26,300 | 1,506,408 | |||
Keisei Electric Railway Co., Ltd. | 33,100 | 1,038,233 | |||
Keyence Corp. | 44,600 | 18,705,737 | |||
Kikkoman Corp. | 37,100 | 1,793,336 | |||
Kintetsu Group Holdings Co., Ltd. | 44,000 | 1,975,904 | |||
Kirin Holdings Co., Ltd. | 199,800 | 4,215,246 | |||
Kobayashi Pharmaceutical Co., Ltd. | 11,200 | 985,574 | |||
Kobe Bussan Co., Ltd. | 13,300 | 755,878 | |||
Koito Manufacturing Co., Ltd. | 27,200 | 1,101,418 | |||
Komatsu, Ltd. | 212,900 | 4,363,940 | |||
Konami Holdings Corp. (b) | 23,100 | 771,464 | |||
Kose Corp. | 8,700 | 1,053,988 | |||
Kubota Corp. | 251,300 | 3,762,268 | |||
Kuraray Co., Ltd. (b) | 75,800 | 793,888 | |||
Kurita Water Industries, Ltd. | 23,800 | 662,623 | |||
Kyocera Corp. | 77,100 | 4,211,980 | |||
Kyowa Kirin Co., Ltd. | 63,500 | 1,673,015 | |||
Kyushu Electric Power Co., Inc. | 101,200 | 848,879 | |||
Kyushu Railway Co. | 34,000 | 884,184 | |||
Lasertec Corp. | 17,600 | 1,665,126 | |||
Lawson, Inc. | 12,000 | 604,110 | |||
LINE Corp. (a) | 16,600 | 836,163 | |||
Lion Corp. | 53,300 | 1,283,020 | |||
LIXIL Group Corp. | 68,900 | 968,458 | |||
M3, Inc. | 110,600 | 4,702,331 | |||
Makita Corp. | 57,800 | 2,103,619 | |||
Marubeni Corp. | 403,800 | 1,835,751 | |||
Marui Group Co., Ltd. | 48,700 | 881,684 | |||
Maruichi Steel Tube, Ltd. | 16,600 | 414,105 | |||
Mazda Motor Corp. | 149,000 | 900,992 | |||
McDonald's Holdings Co. Japan, Ltd. | 16,000 | 865,482 | |||
Mebuki Financial Group, Inc. | 259,300 | 604,532 | |||
Medipal Holdings Corp. | 46,300 | 894,364 |
Security Description | Shares | Value | |||
MEIJI Holdings Co., Ltd. | 28,100 | $ 2,237,953 | |||
Mercari, Inc. (a)(b) | 17,200 | 534,526 | |||
MINEBEA MITSUMI, Inc. | 90,300 | 1,647,328 | |||
MISUMI Group, Inc. | 67,200 | 1,688,691 | |||
Mitsubishi Chemical Holdings Corp. | 322,600 | 1,882,864 | |||
Mitsubishi Corp. | 336,600 | 7,118,870 | |||
Mitsubishi Electric Corp. | 452,800 | 5,919,075 | |||
Mitsubishi Estate Co., Ltd. | 288,800 | 4,307,235 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 546,475 | |||
Mitsubishi Heavy Industries, Ltd. | 82,800 | 1,956,546 | |||
Mitsubishi Materials Corp. | 28,100 | 593,840 | |||
Mitsubishi Motors Corp. | 149,700 | 371,330 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,023,800 | 11,910,166 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 114,900 | 548,743 | |||
Mitsui & Co., Ltd. | 405,200 | 6,008,701 | |||
Mitsui Chemicals, Inc. | 41,300 | 864,555 | |||
Mitsui Fudosan Co., Ltd. | 226,200 | 4,021,733 | |||
Miura Co., Ltd. | 19,600 | 817,417 | |||
Mizuho Financial Group, Inc. | 6,002,700 | 7,389,748 | |||
MonotaRO Co., Ltd. | 28,600 | 1,150,061 | |||
MS&AD Insurance Group Holdings, Inc. | 107,300 | 2,957,366 | |||
Murata Manufacturing Co., Ltd. | 141,500 | 8,348,168 | |||
Nabtesco Corp. (b) | 24,800 | 768,130 | |||
Nagoya Railroad Co., Ltd. | 43,100 | 1,215,802 | |||
NEC Corp. | 60,400 | 2,904,380 | |||
Nexon Co., Ltd. | 121,700 | 2,747,408 | |||
NGK Insulators, Ltd. | 65,800 | 912,458 | |||
NGK Spark Plug Co., Ltd. | 36,100 | 519,294 | |||
NH Foods, Ltd. | 21,000 | 845,756 | |||
Nidec Corp. | 108,400 | 7,308,865 | |||
Nihon M&A Center, Inc. | 34,700 | 1,579,402 | |||
Nikon Corp. | 75,900 | 637,964 | |||
Nintendo Co., Ltd. | 27,700 | 12,394,131 | |||
Nippon Building Fund, Inc. REIT | 301 | 1,715,676 | |||
Nippon Express Co., Ltd. | 19,100 | 991,227 | |||
Nippon Paint Holdings Co., Ltd. | 35,200 | 2,569,517 | |||
Nippon Prologis REIT, Inc. | 499 | 1,517,543 | |||
Nippon Shinyaku Co., Ltd. | 11,200 | 914,936 | |||
Nippon Steel Corp. | 205,500 | 1,943,482 | |||
Nippon Telegraph & Telephone Corp. | 312,100 | 7,277,820 | |||
Nippon Yusen KK | 36,900 | 522,687 | |||
Nissan Chemical Corp. | 28,900 | 1,488,111 | |||
Nissan Motor Co., Ltd. | 585,900 | 2,174,592 | |||
Nisshin Seifun Group, Inc. | 46,800 | 699,382 | |||
Nissin Foods Holdings Co., Ltd. | 15,300 | 1,356,707 | |||
Nitori Holdings Co., Ltd. | 19,700 | 3,865,781 | |||
Nitto Denko Corp. | 40,000 | 2,269,497 | |||
Nomura Holdings, Inc. | 759,500 | 3,415,726 |
Security Description | Shares | Value | |||
Nomura Real Estate Holdings, Inc. | 31,100 | $ 579,484 | |||
Nomura Real Estate Master Fund, Inc. REIT | 1,068 | 1,280,207 | |||
Nomura Research Institute, Ltd. | 75,900 | 2,074,766 | |||
NSK, Ltd. | 92,100 | 687,881 | |||
NTT Data Corp. | 146,500 | 1,639,292 | |||
NTT DOCOMO, Inc. | 286,700 | 7,617,662 | |||
Obayashi Corp. | 166,800 | 1,569,472 | |||
Obic Co., Ltd. | 16,800 | 2,963,283 | |||
Odakyu Electric Railway Co., Ltd. | 69,600 | 1,710,647 | |||
Oji Holdings Corp. | 230,700 | 1,077,197 | |||
Olympus Corp. | 284,800 | 5,487,683 | |||
Omron Corp. | 44,900 | 3,009,830 | |||
Ono Pharmaceutical Co., Ltd. | 90,100 | 2,631,899 | |||
Oracle Corp. Japan | 9,900 | 1,175,244 | |||
Oriental Land Co., Ltd. | 48,400 | 6,401,203 | |||
ORIX Corp. | 323,000 | 4,014,118 | |||
Orix JREIT, Inc. | 642 | 846,947 | |||
Osaka Gas Co., Ltd. | 96,000 | 1,899,211 | |||
Otsuka Corp. | 24,100 | 1,273,919 | |||
Otsuka Holdings Co., Ltd. | 94,100 | 4,104,479 | |||
Pan Pacific International Holdings Corp. | 97,900 | 2,157,231 | |||
Panasonic Corp. | 537,700 | 4,719,049 | |||
Park24 Co., Ltd. | 22,300 | 382,653 | |||
PeptiDream, Inc. (a) | 23,400 | 1,079,065 | |||
Persol Holdings Co., Ltd. | 41,200 | 568,493 | |||
Pigeon Corp. (b) | 30,500 | 1,181,489 | |||
Pola Orbis Holdings, Inc. | 20,800 | 363,441 | |||
Rakuten, Inc. | 204,500 | 1,807,855 | |||
Recruit Holdings Co., Ltd. | 313,300 | 10,783,428 | |||
Renesas Electronics Corp. (a) | 191,400 | 984,694 | |||
Resona Holdings, Inc. | 528,500 | 1,809,978 | |||
Ricoh Co., Ltd. | 175,200 | 1,258,210 | |||
Rinnai Corp. | 7,700 | 645,360 | |||
Rohm Co., Ltd. | 20,500 | 1,364,210 | |||
Ryohin Keikaku Co., Ltd. | 63,000 | 896,830 | |||
Santen Pharmaceutical Co., Ltd. | 91,100 | 1,678,501 | |||
SBI Holdings, Inc. | 59,200 | 1,285,741 | |||
SCSK Corp. | 11,000 | 538,621 | |||
Secom Co., Ltd. | 51,900 | 4,557,644 | |||
Sega Sammy Holdings, Inc. | 45,300 | 543,474 | |||
Seibu Holdings, Inc. | 48,100 | 524,351 | |||
Seiko Epson Corp. | 74,900 | 858,746 | |||
Sekisui Chemical Co., Ltd. | 94,900 | 1,360,835 | |||
Sekisui House, Ltd. | 155,600 | 2,973,218 | |||
Seven & i Holdings Co., Ltd. | 187,300 | 6,132,354 | |||
Seven Bank, Ltd. | 180,400 | 494,859 | |||
SG Holdings Co., Ltd. | 36,900 | 1,205,185 | |||
Sharp Corp. | 55,600 | 596,781 | |||
Shimadzu Corp. | 57,500 | 1,536,368 | |||
Shimamura Co., Ltd. | 5,100 | 345,722 | |||
Shimano, Inc. | 18,000 | 3,464,083 | |||
Shimizu Corp. | 125,300 | 1,033,093 |
Security Description | Shares | Value | |||
Shin-Etsu Chemical Co., Ltd. | 87,200 | $ 10,242,459 | |||
Shinsei Bank, Ltd. | 42,700 | 516,896 | |||
Shionogi & Co., Ltd. | 65,300 | 4,099,904 | |||
Shiseido Co., Ltd. | 96,800 | 6,173,302 | |||
Shizuoka Bank, Ltd. | 103,100 | 663,798 | |||
Showa Denko KK (b) | 31,900 | 720,629 | |||
SMC Corp. | 14,100 | 7,252,330 | |||
Softbank Corp. | 468,400 | 5,975,317 | |||
SoftBank Group Corp. | 383,100 | 19,334,951 | |||
Sohgo Security Services Co., Ltd. | 15,800 | 738,372 | |||
Sompo Holdings, Inc. | 80,600 | 2,777,000 | |||
Sony Corp. | 311,400 | 21,513,913 | |||
Sony Financial Holdings, Inc. | 41,600 | 1,005,266 | |||
Square Enix Holdings Co., Ltd. | 22,500 | 1,140,894 | |||
Stanley Electric Co., Ltd. | 33,600 | 814,053 | |||
Subaru Corp. | 154,100 | 3,229,495 | |||
SUMCO Corp. | 64,500 | 992,459 | |||
Sumitomo Chemical Co., Ltd. | 364,100 | 1,096,418 | |||
Sumitomo Corp. | 293,600 | 3,379,638 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 513,159 | |||
Sumitomo Electric Industries, Ltd. | 192,400 | 2,221,320 | |||
Sumitomo Heavy Industries, Ltd. | 26,400 | 577,878 | |||
Sumitomo Metal Mining Co., Ltd. | 59,600 | 1,680,320 | |||
Sumitomo Mitsui Financial Group, Inc. | 318,100 | 8,984,841 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 82,900 | 2,338,101 | |||
Sumitomo Realty & Development Co., Ltd. | 73,800 | 2,038,777 | |||
Sumitomo Rubber Industries, Ltd. (b) | 33,300 | 330,095 | |||
Sundrug Co., Ltd. | 16,700 | 553,159 | |||
Suntory Beverage & Food, Ltd. | 35,700 | 1,394,113 | |||
Suzuken Co., Ltd. | 17,400 | 650,601 | |||
Suzuki Motor Corp. | 92,700 | 3,167,984 | |||
Sysmex Corp. | 41,000 | 3,149,854 | |||
T&D Holdings, Inc. | 141,700 | 1,218,106 | |||
Taiheiyo Cement Corp. | 29,800 | 692,955 | |||
Taisei Corp. | 44,200 | 1,612,262 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 497,488 | |||
Taiyo Nippon Sanso Corp. | 34,900 | 584,114 | |||
Takeda Pharmaceutical Co., Ltd. | 389,317 | 13,999,025 | |||
TDK Corp. | 32,400 | 3,228,154 | |||
Teijin, Ltd. | 40,600 | 646,958 | |||
Terumo Corp. | 161,200 | 6,140,838 | |||
THK Co., Ltd. | 33,400 | 832,273 | |||
TIS, Inc. | 51,100 | 1,082,822 | |||
Tobu Railway Co., Ltd. | 49,200 | 1,626,894 | |||
Toho Co., Ltd. | 29,700 | 1,073,692 | |||
Toho Gas Co., Ltd. | 17,900 | 895,433 | |||
Tohoku Electric Power Co., Inc. | 96,500 | 917,474 |
Security Description | Shares | Value | |||
Tokio Marine Holdings, Inc. | 159,200 | $ 6,974,475 | |||
Tokyo Century Corp. | 9,800 | 502,239 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 374,900 | 1,154,224 | |||
Tokyo Electron, Ltd. | 36,700 | 9,063,051 | |||
Tokyo Gas Co., Ltd. | 96,900 | 2,322,167 | |||
Tokyu Corp. | 127,500 | 1,796,487 | |||
Tokyu Fudosan Holdings Corp. | 158,700 | 747,223 | |||
Toppan Printing Co., Ltd. | 59,400 | 993,932 | |||
Toray Industries, Inc. | 352,600 | 1,665,669 | |||
Toshiba Corp. | 93,000 | 2,985,907 | |||
Tosoh Corp. | 70,500 | 969,259 | |||
TOTO, Ltd. | 32,800 | 1,262,160 | |||
Toyo Suisan Kaisha, Ltd. | 23,100 | 1,291,763 | |||
Toyoda Gosei Co., Ltd. | 16,800 | 351,304 | |||
Toyota Industries Corp. | 37,800 | 2,010,846 | |||
Toyota Motor Corp. | 521,100 | 32,796,222 | |||
Toyota Tsusho Corp. | 55,400 | 1,413,951 | |||
Trend Micro, Inc. | 31,700 | 1,773,015 | |||
Tsuruha Holdings, Inc. (b) | 9,800 | 1,354,637 | |||
Unicharm Corp. | 100,100 | 4,108,774 | |||
United Urban Investment Corp. REIT | 802 | 864,514 | |||
USS Co., Ltd. | 53,400 | 856,735 | |||
Welcia Holdings Co., Ltd. | 10,500 | 848,972 | |||
West Japan Railway Co. | 41,600 | 2,335,247 | |||
Yakult Honsha Co., Ltd. | 29,300 | 1,725,273 | |||
Yamada Denki Co., Ltd. | 160,900 | 798,795 | |||
Yamaha Corp. | 31,400 | 1,482,218 | |||
Yamaha Motor Co., Ltd. | 63,400 | 999,380 | |||
Yamato Holdings Co., Ltd. | 73,600 | 1,598,997 | |||
Yamazaki Baking Co., Ltd. (b) | 30,000 | 515,747 | |||
Yaskawa Electric Corp. | 61,800 | 2,150,149 | |||
Yokogawa Electric Corp. | 54,700 | 857,792 | |||
Yokohama Rubber Co., Ltd. | 29,200 | 413,233 | |||
Z Holdings Corp. | 632,400 | 3,106,233 | |||
ZOZO, Inc. (b) | 22,600 | 504,223 | |||
820,856,230 | |||||
JORDAN — 0.0% | |||||
Hikma Pharmaceuticals PLC | 33,013 | 903,354 | |||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal SA (a) | 170,046 | 1,800,543 | |||
Eurofins Scientific SE (b) | 3,127 | 1,971,692 | |||
SES SA | 94,603 | 646,210 | |||
Tenaris SA | 125,773 | 817,096 | |||
5,235,541 | |||||
MACAU — 0.0% (c) | |||||
Wynn Macau, Ltd. | 428,400 | 743,036 | |||
NETHERLANDS — 4.5% | |||||
ABN AMRO Bank NV (d) | 108,292 | 931,632 | |||
Adyen NV (a)(d) | 4,408 | 6,413,820 | |||
Aegon NV | 446,111 | 1,318,278 | |||
Akzo Nobel NV | 49,671 | 4,461,083 | |||
Altice Europe NV (a) | 165,281 | 639,030 |
Security Description | Shares | Value | |||
ASML Holding NV | 104,622 | $ 38,260,164 | |||
EXOR NV | 25,598 | 1,468,797 | |||
Heineken Holding NV | 28,962 | 2,369,714 | |||
Heineken NV | 62,834 | 5,791,139 | |||
ING Groep NV | 946,101 | 6,593,124 | |||
Just Eat Takeaway.com NV (a)(d) | 28,831 | 3,012,620 | |||
Koninklijke Ahold Delhaize NV | 273,985 | 7,464,879 | |||
Koninklijke DSM NV | 42,736 | 5,930,677 | |||
Koninklijke KPN NV | 876,708 | 2,331,243 | |||
Koninklijke Philips NV (a) | 220,710 | 10,292,411 | |||
Koninklijke Vopak NV | 17,144 | 906,539 | |||
NN Group NV | 69,019 | 2,318,852 | |||
Prosus NV (a) | 120,283 | 11,177,831 | |||
Randstad NV | 28,901 | 1,291,907 | |||
Royal Dutch Shell PLC Class A | 1,017,078 | 16,238,710 | |||
Royal Dutch Shell PLC Class B | 921,940 | 13,937,405 | |||
Wolters Kluwer NV | 68,556 | 5,352,948 | |||
148,502,803 | |||||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (a)(b) | 191,697 | 2,503,236 | |||
Auckland International Airport, Ltd. | 330,140 | 1,400,633 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 147,181 | 3,382,435 | |||
Mercury NZ, Ltd. | 166,846 | 507,098 | |||
Meridian Energy, Ltd. | 305,752 | 950,834 | |||
Ryman Healthcare, Ltd. | 94,456 | 799,437 | |||
Spark New Zealand, Ltd. | 492,863 | 1,454,713 | |||
10,998,386 | |||||
NORWAY — 0.5% | |||||
DNB ASA | 238,601 | 3,177,544 | |||
Equinor ASA | 247,660 | 3,559,664 | |||
Gjensidige Forsikring ASA (a) | 43,976 | 810,677 | |||
Mowi ASA | 111,409 | 2,118,852 | |||
Norsk Hydro ASA (a) | 297,037 | 826,830 | |||
Orkla ASA | 173,932 | 1,523,609 | |||
Schibsted ASA Class B (a) | 24,544 | 578,437 | |||
Telenor ASA | 171,266 | 2,494,994 | |||
Yara International ASA | 40,982 | 1,425,506 | |||
16,516,113 | |||||
PORTUGAL — 0.2% | |||||
EDP - Energias de Portugal SA | 651,344 | 3,108,066 | |||
Galp Energia SGPS SA | 133,549 | 1,548,684 | |||
Jeronimo Martins SGPS SA (b) | 58,599 | 1,025,160 | |||
5,681,910 | |||||
RUSSIA — 0.0% (c) | |||||
Evraz PLC | 129,609 | 457,918 | |||
SINGAPORE — 1.1% | |||||
Ascendas Real Estate Investment Trust | 721,230 | 1,653,077 | |||
CapitaLand Commercial Trust REIT | 661,238 | 808,422 | |||
CapitaLand Mall Trust REIT | 610,500 | 865,356 |
Security Description | Shares | Value | |||
CapitaLand, Ltd. (a) | 589,900 | $ 1,244,953 | |||
City Developments, Ltd. | 96,600 | 589,716 | |||
DBS Group Holdings, Ltd. | 437,413 | 6,574,834 | |||
Genting Singapore, Ltd. | 1,319,900 | 725,419 | |||
Jardine Cycle & Carriage, Ltd. | 24,833 | 362,024 | |||
Keppel Corp., Ltd. (b) | 337,300 | 1,451,215 | |||
Mapletree Commercial Trust REIT | 493,800 | 690,210 | |||
Mapletree Logistics Trust REIT | 591,200 | 829,126 | |||
Oversea-Chinese Banking Corp., Ltd. | 815,841 | 5,311,950 | |||
Singapore Airlines, Ltd. | 343,749 | 926,890 | |||
Singapore Exchange, Ltd. | 182,300 | 1,095,879 | |||
Singapore Technologies Engineering, Ltd. | 346,900 | 827,102 | |||
Singapore Telecommunications, Ltd. | 1,965,100 | 3,492,079 | |||
Suntec Real Estate Investment Trust | 529,400 | 540,244 | |||
United Overseas Bank, Ltd. | 285,590 | 4,168,665 | |||
UOL Group, Ltd. | 95,932 | 471,178 | |||
Venture Corp., Ltd. | 67,800 | 791,534 | |||
Wilmar International, Ltd. | 440,800 | 1,302,429 | |||
34,722,302 | |||||
SOUTH AFRICA — 0.2% | |||||
Anglo American PLC | 300,650 | 6,911,370 | |||
SPAIN — 2.4% | |||||
ACS Actividades de Construccion y Servicios SA | 60,018 | 1,541,918 | |||
Aena SME SA (a)(d) | 17,308 | 2,314,079 | |||
Amadeus IT Group SA | 107,322 | 5,632,878 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,671,741 | 5,753,952 | |||
Banco Santander SA | 4,090,140 | 10,003,249 | |||
Bankinter SA | 160,926 | 771,098 | |||
CaixaBank SA | 899,730 | 1,924,182 | |||
Cellnex Telecom SA (d) | 63,782 | 3,894,448 | |||
Enagas SA (b) | 57,883 | 1,415,582 | |||
Endesa SA (b) | 80,722 | 2,001,785 | |||
Ferrovial SA | 117,292 | 3,134,235 | |||
Grifols SA | 75,632 | 2,299,103 | |||
Iberdrola SA | 1,434,532 | 16,742,491 | |||
Industria de Diseno Textil SA | 273,409 | 7,252,227 | |||
Mapfre SA | 271,207 | 484,140 | |||
Naturgy Energy Group SA | 76,473 | 1,427,223 | |||
Red Electrica Corp. SA (b) | 102,455 | 1,916,289 | |||
Repsol SA (b) | 352,730 | 3,115,742 | |||
Siemens Gamesa Renewable Energy SA (a)(b) | 53,578 | 953,657 | |||
Telefonica SA | 1,159,959 | 5,546,094 | |||
78,124,372 | |||||
SWEDEN — 2.8% | |||||
Alfa Laval AB (a) | 77,504 | 1,710,037 | |||
Assa Abloy AB Class B | 249,451 | 5,106,483 | |||
Atlas Copco AB Class A | 166,323 | 7,084,116 |
Security Description | Shares | Value | |||
Atlas Copco AB Class B | 93,230 | $ 3,464,818 | |||
Boliden AB | 71,106 | 1,631,190 | |||
Electrolux AB Class B | 56,183 | 945,431 | |||
Epiroc AB Class A | 154,026 | 1,930,328 | |||
Epiroc AB Class B | 96,382 | 1,183,877 | |||
EQT AB (b) | 52,938 | 954,678 | |||
Essity AB Class B (a) | 145,937 | 4,732,267 | |||
Evolution Gaming Group AB (d) | 29,920 | 1,777,413 | |||
Hennes & Mauritz AB Class B (b) | 191,123 | 2,790,151 | |||
Hexagon AB Class B (a) | 67,890 | 3,987,543 | |||
Husqvarna AB Class B | 101,271 | 833,602 | |||
ICA Gruppen AB | 22,934 | 1,090,338 | |||
Industrivarden AB Class C (a) | 35,307 | 804,922 | |||
Investment AB Latour Class B (b) | 31,349 | 569,274 | |||
Investor AB Class B | 112,720 | 5,980,554 | |||
Kinnevik AB Class B | 58,818 | 1,552,894 | |||
L E Lundbergforetagen AB Class B (a) | 17,802 | 811,616 | |||
Lundin Energy AB | 41,757 | 1,019,275 | |||
Nibe Industrier AB Class B (a) | 73,037 | 1,620,217 | |||
Sandvik AB (a) | 275,316 | 5,183,893 | |||
Securitas AB Class B (a) | 77,801 | 1,052,217 | |||
Skandinaviska Enskilda Banken AB Class A (a) | 388,874 | 3,376,200 | |||
Skanska AB Class B (a) | 86,703 | 1,770,360 | |||
SKF AB Class B | 98,908 | 1,849,246 | |||
Svenska Cellulosa AB SCA Class B (a) | 142,690 | 1,707,024 | |||
Svenska Handelsbanken AB Class A (a) | 372,218 | 3,534,916 | |||
Swedbank AB Class A (a) | 214,992 | 2,761,145 | |||
Swedish Match AB | 41,243 | 2,910,411 | |||
Tele2 AB Class B | 126,668 | 1,686,466 | |||
Telefonaktiebolaget LM Ericsson Class B | 714,617 | 6,625,284 | |||
Telia Co. AB | 594,721 | 2,225,340 | |||
Volvo AB Class B (a) | 371,648 | 5,848,809 | |||
92,112,335 | |||||
SWITZERLAND — 10.5% | |||||
ABB, Ltd. | 454,309 | 10,303,968 | |||
Adecco Group AG | 37,597 | 1,771,969 | |||
Alcon, Inc. (a) | 120,645 | 6,931,437 | |||
Baloise Holding AG | 10,882 | 1,639,205 | |||
Barry Callebaut AG | 795 | 1,517,365 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 280 | 2,312,371 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 25 | 2,156,192 | |||
Cie Financiere Richemont SA | 128,416 | 8,281,998 | |||
Clariant AG (a) | 55,040 | 1,083,121 | |||
Coca-Cola HBC AG | 49,968 | 1,247,320 | |||
Credit Suisse Group AG | 593,235 | 6,171,880 | |||
EMS-Chemie Holding AG | 1,955 | 1,518,685 | |||
Geberit AG | 9,033 | 4,531,699 |
Security Description | Shares | Value | |||
Givaudan SA | 2,248 | $ 8,402,063 | |||
Glencore PLC | 2,434,529 | 5,171,397 | |||
Julius Baer Group, Ltd. | 54,988 | 2,309,119 | |||
Kuehne + Nagel International AG (a) | 13,905 | 2,315,891 | |||
LafargeHolcim, Ltd. | 127,797 | 5,629,633 | |||
Logitech International SA | 39,146 | 2,564,941 | |||
Lonza Group AG | 18,359 | 9,723,686 | |||
Nestle SA | 732,460 | 81,199,728 | |||
Novartis AG | 528,280 | 46,019,432 | |||
Partners Group Holding AG | 4,659 | 4,242,470 | |||
Roche Holding AG | 172,847 | 59,876,443 | |||
Schindler Holding AG (e) | 9,933 | 2,350,483 | |||
Schindler Holding AG (e) | 4,748 | 1,125,496 | |||
SGS SA | 1,466 | 3,590,798 | |||
Sika AG | 34,688 | 6,686,180 | |||
Sonova Holding AG (a) | 14,179 | 2,837,984 | |||
STMicroelectronics NV | 154,592 | 4,212,599 | |||
Straumann Holding AG | 2,651 | 2,291,511 | |||
Swatch Group AG (b)(e) | 7,748 | 1,554,950 | |||
Swatch Group AG (e) | 15,664 | 615,931 | |||
Swiss Life Holding AG | 7,671 | 2,853,453 | |||
Swiss Prime Site AG | 19,666 | 1,824,130 | |||
Swiss Re AG | 74,247 | 5,756,098 | |||
Swisscom AG (b) | 6,259 | 3,281,879 | |||
Temenos AG | 16,698 | 2,594,995 | |||
UBS Group AG | 902,361 | 10,420,318 | |||
Vifor Pharma AG | 12,009 | 1,816,612 | |||
Zurich Insurance Group AG | 36,950 | 13,091,123 | |||
343,826,553 | |||||
UNITED KINGDOM — 12.7% | |||||
3i Group PLC | 245,281 | 2,518,523 | |||
Admiral Group PLC | 46,985 | 1,328,682 | |||
Ashtead Group PLC | 109,205 | 3,673,413 | |||
Associated British Foods PLC | 89,799 | 2,117,227 | |||
AstraZeneca PLC | 321,413 | 33,356,382 | |||
Auto Trader Group PLC (d) | 245,873 | 1,596,297 | |||
AVEVA Group PLC | 15,823 | 800,011 | |||
Aviva PLC | 982,380 | 3,320,249 | |||
BAE Systems PLC | 805,835 | 4,804,849 | |||
Barclays PLC | 4,254,290 | 5,984,995 | |||
Barratt Developments PLC | 262,383 | 1,608,087 | |||
Berkeley Group Holdings PLC | 31,858 | 1,636,059 | |||
BP PLC | 4,949,923 | 18,909,795 | |||
British American Tobacco PLC | 560,956 | 21,453,475 | |||
British Land Co. PLC REIT | 214,286 | 1,022,134 | |||
BT Group PLC | 2,179,261 | 3,073,312 | |||
Bunzl PLC | 86,604 | 2,316,427 | |||
Burberry Group PLC | 103,377 | 2,036,969 | |||
CNH Industrial NV (a) | 248,353 | 1,744,287 | |||
Coca-Cola European Partners PLC (e) | 24,400 | 921,344 | |||
Coca-Cola European Partners PLC (e) | 24,266 | 920,592 | |||
Compass Group PLC | 437,145 | 5,997,454 |
Security Description | Shares | Value | |||
Croda International PLC | 33,122 | $ 2,145,225 | |||
DCC PLC | 23,359 | 1,943,655 | |||
Diageo PLC | 571,163 | 18,930,321 | |||
Direct Line Insurance Group PLC | 313,441 | 1,048,017 | |||
Experian PLC | 222,865 | 7,800,211 | |||
Fiat Chrysler Automobiles NV (a) | 279,681 | 2,828,959 | |||
GlaxoSmithKline PLC | 1,227,531 | 24,725,703 | |||
GVC Holdings PLC | 134,435 | 1,228,738 | |||
Halma PLC | 91,270 | 2,592,956 | |||
Hargreaves Lansdown PLC | 78,544 | 1,579,452 | |||
HSBC Holdings PLC | 4,969,730 | 23,032,014 | |||
Imperial Brands PLC | 230,689 | 4,379,140 | |||
Informa PLC | 358,169 | 2,064,992 | |||
InterContinental Hotels Group PLC | 44,129 | 1,942,579 | |||
Intertek Group PLC | 38,641 | 2,595,161 | |||
ITV PLC | 948,250 | 873,924 | |||
J Sainsbury PLC | 440,863 | 1,137,712 | |||
JD Sports Fashion PLC | 107,276 | 823,335 | |||
Johnson Matthey PLC | 49,525 | 1,286,182 | |||
Kingfisher PLC | 485,075 | 1,330,762 | |||
Land Securities Group PLC REIT | 172,937 | 1,178,274 | |||
Legal & General Group PLC | 1,448,124 | 3,936,790 | |||
Lloyds Banking Group PLC | 17,527,834 | 6,742,426 | |||
London Stock Exchange Group PLC | 77,500 | 8,036,860 | |||
M&G PLC | 631,607 | 1,307,793 | |||
Melrose Industries PLC | 1,227,736 | 1,725,658 | |||
Mondi PLC | 124,129 | 2,315,271 | |||
National Grid PLC | 863,366 | 10,503,654 | |||
Next PLC | 31,655 | 1,911,138 | |||
Ocado Group PLC (a) | 117,693 | 2,949,314 | |||
Pearson PLC | 177,276 | 1,258,429 | |||
Persimmon PLC | 81,441 | 2,298,397 | |||
Prudential PLC | 641,100 | 9,632,848 | |||
Reckitt Benckiser Group PLC | 175,254 | 16,077,549 | |||
RELX PLC (e) | 318,236 | 7,345,009 | |||
RELX PLC (e) | 158,011 | 3,655,883 | |||
Rentokil Initial PLC | 443,456 | 2,796,127 | |||
Rio Tinto PLC | 277,723 | 15,585,147 | |||
Rolls-Royce Holdings PLC | 446,476 | 1,571,882 | |||
Royal Bank of Scotland Group PLC | 1,206,151 | 1,805,613 | |||
RSA Insurance Group PLC | 251,345 | 1,269,324 | |||
Sage Group PLC | 279,344 | 2,312,267 | |||
Schroders PLC | 29,656 | 1,079,319 | |||
Segro PLC REIT | 264,129 | 2,913,011 | |||
Severn Trent PLC | 55,915 | 1,706,378 | |||
Smith & Nephew PLC | 212,508 | 3,948,612 | |||
Smiths Group PLC | 102,649 | 1,789,432 | |||
Spirax-Sarco Engineering PLC | 17,970 | 2,206,037 | |||
SSE PLC | 260,035 | 4,390,768 | |||
St James's Place PLC | 124,600 | 1,460,966 | |||
Standard Chartered PLC | 687,994 | 3,718,941 |
Security Description | Shares | Value | |||
Standard Life Aberdeen PLC | 598,144 | $ 1,976,469 | |||
Taylor Wimpey PLC | 844,503 | 1,486,345 | |||
Tesco PLC | 2,399,494 | 6,729,905 | |||
Unilever NV | 361,116 | 19,247,888 | |||
Unilever PLC | 288,569 | 15,521,757 | |||
United Utilities Group PLC | 166,522 | 1,865,878 | |||
Vodafone Group PLC | 6,514,982 | 10,327,994 | |||
Whitbread PLC | 46,813 | 1,284,306 | |||
Wm Morrison Supermarkets PLC | 586,128 | 1,376,863 | |||
WPP PLC | 312,089 | 2,426,271 | |||
417,102,394 | |||||
UNITED STATES — 0.2% | |||||
Ferguson PLC | 54,735 | 4,462,850 | |||
QIAGEN NV (a) | 58,454 | 2,517,121 | |||
6,979,971 | |||||
TOTAL COMMON STOCKS (Cost $3,122,676,081) | 3,229,321,527 |
RIGHTS — 0.0% (c) | |||
SPAIN — 0.0% (c) | |||
ACS Actividades de Construccion y Servicios SA (expiring 7/10/20) (a) | 60,018 | 93,598 | |
Repsol SA (expiring 7/9/20) (a) (b) | 352,730 | 171,660 | |
Telefonica SA (expiring 7/6/20) (a) | 1,159,959 | 228,122 | |
TOTAL RIGHTS (Cost $540,403) | 493,380 | ||
SHORT-TERM INVESTMENTS — 1.8% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.35% (f) (g) | 23,659,276 | 23,668,740 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 35,792,424 | 35,792,424 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $59,461,163) | 59,461,164 | ||
TOTAL INVESTMENTS — 100.1% (Cost $3,182,677,647) | 3,289,276,071 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (4,746,317) | ||
NET ASSETS — 100.0% | $ 3,284,529,754 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(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 1.5% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI EAFE (long) | 661 | 09/18/2020 | $58,572,625 | $58,776,120 | $203,495 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $ 72,625,860 | $3,156,695,667 | $— | $3,229,321,527 | ||||
Rights | 493,380 | — | — | 493,380 | ||||
Short-Term Investments | 59,461,164 | — | — | 59,461,164 | ||||
TOTAL INVESTMENTS | $132,580,404 | $3,156,695,667 | $— | $3,289,276,071 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 203,495 | — | — | 203,495 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 203,495 | $ — | $— | $ 203,495 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $132,783,899 | $3,156,695,667 | $— | $3,289,479,566 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Financials | 15.8% | |
Industrials | 14.3 | |
Health Care | 14.2 | |
Consumer Staples | 11.8 | |
Consumer Discretionary | 11.1 | |
Information Technology | 8.2 | |
Materials | 7.2 | |
Communication Services | 5.3 | |
Utilities | 4.0 | |
Energy | 3.3 | |
Real Estate | 3.1 | |
Short-Term Investments | 1.8 | |
Liabilities in Excess of Other Assets | (0.1) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/19 | Value at 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/20 | Value at 6/30/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 18,248,665 | $18,250,489 | $311,819,851 | $306,407,037 | $6,044 | $(607) | 23,659,276 | $23,668,740 | $213,306 | ||||||||
State Street Navigator Securities Lending Portfolio II | 18,362,622 | 18,362,622 | 230,783,843 | 213,354,041 | — | — | 35,792,424 | 35,792,424 | 198,048 | ||||||||
Total | $36,613,111 | $542,603,694 | $519,761,078 | $6,044 | $(607) | $59,461,164 | $411,354 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,229,814,907 |
Investments in affiliated issuers, at value | 59,461,164 |
Total Investments | 3,289,276,071 |
Foreign currency, at value | 7,062,544 |
Cash at broker | 5,499,186 |
Receivable from broker — accumulated variation margin on futures contracts | 205,235 |
Receivable for investments sold | 2,991,167 |
Dividends receivable — unaffiliated issuers | 3,837,366 |
Dividends receivable — affiliated issuers | 5,032 |
Securities lending income receivable — unaffiliated issuers | 5,716 |
Securities lending income receivable — affiliated issuers | 53,647 |
Receivable for foreign taxes recoverable | 11,882,946 |
TOTAL ASSETS | 3,320,818,910 |
LIABILITIES | |
Payable upon return of securities loaned | 35,792,424 |
Payable for investments purchased | 17,038 |
Advisory fee payable | 344,473 |
Custodian fees payable | 34,982 |
Professional fees payable | 83,820 |
Printing and postage fees payable | 10,918 |
Accrued expenses and other liabilities | 5,501 |
TOTAL LIABILITIES | 36,289,156 |
NET ASSETS | $3,284,529,754 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,123,216,484 |
Investments in affiliated issuers | 59,461,163 |
Total cost of investments | $3,182,677,647 |
Foreign currency, at cost | $ 7,054,540 |
* Includes investments in securities on loan, at value | $ 58,578,986 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 54,655,191 |
Dividend income — affiliated issuers | 213,306 |
Unaffiliated securities lending income | 87,622 |
Affiliated securities lending income | 198,048 |
Foreign taxes withheld | (5,366,790) |
TOTAL INVESTMENT INCOME (LOSS) | 49,787,377 |
EXPENSES | |
Advisory fee | 2,020,556 |
Administration and custody fees | 214,577 |
Trustees’ fees and expenses | 36,228 |
Professional fees and expenses | 81,225 |
Printing and postage fees | 5,550 |
Insurance expense | 8,574 |
Miscellaneous expenses | 19,254 |
TOTAL EXPENSES | 2,385,964 |
NET INVESTMENT INCOME (LOSS) | $ 47,401,413 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (77,542,786) |
Investments — affiliated issuers | 6,044 |
Foreign currency transactions | 18,233 |
Futures contracts | 720,521 |
Net realized gain (loss) | (76,797,988) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (386,053,534) |
Investments — affiliated issuers | (607) |
Foreign currency translations | (55,301) |
Futures contracts | (928,393) |
Net change in unrealized appreciation/depreciation | (387,037,835) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (463,835,823) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(416,434,410) |
Six Months Ended 6/30/20 (Unaudited) | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 47,401,413 | $ 104,047,058 | |
Net realized gain (loss) | (76,797,988) | (14,404,816) | |
Net change in unrealized appreciation/depreciation | (387,037,835) | 559,062,853 | |
Net increase (decrease) in net assets resulting from operations | (416,434,410) | 648,705,095 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 383,835,991 | 566,042,704 | |
Withdrawals | (409,277,910) | (297,852,001) | |
Net increase (decrease) in net assets from capital transactions | (25,441,919) | 268,190,703 | |
Net increase (decrease) in net assets during the period | (441,876,329) | 916,895,798 | |
Net assets at beginning of period | 3,726,406,083 | 2,809,510,285 | |
NET ASSETS AT END OF PERIOD | $3,284,529,754 | $3,726,406,083 |
Six Months Ended 6/30/20 (Unaudited) | 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) | (10.98)% | 22.11% | (13.83)% | 25.25% | 1.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,284,530 | $3,726,406 | $2,809,510 | $2,855,669 | $1,981,065 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.14%(b) | 0.15% | 0.15% | 0.14% | 0.15%(b) | ||||
Net investment income (loss) | 2.87%(b) | 3.17% | 2.96% | 2.80% | 2.57%(b) | ||||
Portfolio turnover rate | 6%(c) | 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 | $— | $— | $— | $205,235 | $— | $205,235 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $720,521 | $— | $720,521 |
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 | $— | $— | $— | $(928,393) | $— | $(928,393) |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $197,901,016 | $186,041,343 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $3,182,677,647 | $558,324,473 | $451,522,554 | $106,801,919 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 58,578,986 | $ 35,792,424 | $ 25,809,164 | $ 61,601,588 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 | $35,646,923 | $— | $— | $— | $35,646,923 | $35,646,923 | |||||||
State Street International Developed Equity Index Portfolio | Rights | 145,501 | — | — | — | 145,501 | 145,501 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street International Developed Equity Index Portfolio | 0.14% | $890.20 | $0.66 | $1,024.20 | $0.70 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
• | A report prepared by an independent third-party provider of investment company data, which include: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the HIDE Fund; and |
• | Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Portfolio. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Portfolio and for Portfolio operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Portfolio; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (“Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Portfolio; |
• | Responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 13, 2020; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable
assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. | |
(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | September 3, 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: | September 3, 2020 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 3, 2020 |