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: December 31, 2020
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
(b) Not Applicable.
State Street Defensive Global Equity Fund |
Total Return One Year Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Defensive Global Equity Fund Class I | 0.43% | 8.64% |
MSCI World Index(a) | 15.90% | 14.23% |
* | Inception date is February 18, 2016. |
(a) | The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. |
ASSETS | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,058,468 |
Receivable for investments sold | 28,477 |
Receivable from Adviser | 22,110 |
Prepaid expenses and other assets | 4 |
TOTAL ASSETS | 2,109,059 |
LIABILITIES | |
Due to custodian | 11,606 |
Advisory fee payable | 1,293 |
Custodian fees payable | 5,346 |
Administration fees payable | 86 |
Trustees’ fees and expenses payable | 1 |
Transfer agent fees payable | 107 |
Registration and filing fees payable | 19 |
Professional fees payable | 26,841 |
Printing and postage fees payable | 8,717 |
Accrued expenses and other liabilities | 171 |
TOTAL LIABILITIES | 54,187 |
NET ASSETS | $2,054,872 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,254,539 |
Total distributable earnings (loss) | (199,667) |
NET ASSETS | $2,054,872 |
Class I | |
Net Assets | $2,054,872 |
Shares Outstanding | 234,635 |
Net asset value, offering and redemption price per share | $ 8.76 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | $2,177,741 |
Shares of affiliated State Street Defensive Global Equity Portfolio | 193,283 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Defensive Global Equity Portfolio | $ 58,991 |
EXPENSES | |
Advisory fee | 16,060 |
Administration fees | 1,071 |
Custodian fees | 32,164 |
Trustees’ fees and expenses | 21,019 |
Transfer agent fees | 878 |
Sub-transfer agent fee | 1,914 |
Registration and filing fees | 42,394 |
Professional fees and expenses | 24,475 |
Printing and postage fees | 8,522 |
Insurance expense | 10 |
Miscellaneous expenses | 1,453 |
TOTAL EXPENSES | 149,960 |
Expenses waived/reimbursed by the Adviser | (131,976) |
NET EXPENSES | 17,984 |
NET INVESTMENT INCOME (LOSS) | $ 41,007 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | (89,057) |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Defensive Global Equity Portfolio | 24,390 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (64,667) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (23,660) |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 41,007 | $ 64,866 | |
Net realized gain (loss) | (89,057) | 98,259 | |
Net change in unrealized appreciation/depreciation | 24,390 | 233,754 | |
Net increase (decrease) in net assets resulting from operations | (23,660) | 396,879 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class I | (124,096) | (679,703) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class I | |||
Proceeds from shares sold | 109,498 | 115,801 | |
Reinvestment of distributions | 107,565 | 575,522 | |
Cost of shares redeemed | (382,950) | (40,646) | |
Net increase (decrease) in net assets from beneficial interest transactions | (165,887) | 650,677 | |
Net increase (decrease) in net assets during the period | (313,643) | 367,853 | |
Net assets at beginning of period | 2,368,515 | 2,000,662 | |
NET ASSETS AT END OF PERIOD | $2,054,872 | $2,368,515 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class I | |||
Shares sold | 12,826 | 9,784 | |
Reinvestment of distributions | 12,321 | 61,884 | |
Shares redeemed | (45,614) | (3,416) | |
Net increase (decrease) from share transactions | (20,467) | 68,252 |
Class I | |||||||||
Year Ended 12/31/20 | 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) | 0.17 | 0.34 | 0.23 | 0.32 | 0.21 | ||||
Net realized and unrealized gain (loss) | (0.13) | 1.75 | (1.02) | 1.94 | 0.77 | ||||
Total from investment operations | 0.04 | 2.09 | (0.79) | 2.26 | 0.98 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.09) | (0.55) | (0.50) | (0.39) | (0.31) | ||||
Net realized gains | (0.47) | (2.97) | (0.48) | (0.04) | (0.02) | ||||
Total distributions | (0.56) | (3.52) | (0.98) | (0.43) | (0.33) | ||||
Net asset value, end of period | $ 8.76 | $ 9.28 | $10.71 | $12.48 | $10.65 | ||||
Total return (b) | 0.43% | 19.42% | (6.27)% | 21.26% | 9.85% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,055 | $2,369 | $2,001 | $4,953 | $3,194 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 7.00% | 7.18% | 3.43% | 4.48% | 5.37%(c) | ||||
Net expenses | 0.84% | 0.81% | 0.76% | 0.76% | 0.75%(c) | ||||
Net investment income (loss) | 1.92% | 2.86% | 1.80% | 2.72% | 2.26%(c) | ||||
Portfolio turnover rate (d) | 67% | 55% | 64% | 39% | 38%(e) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Portfolio turnover rate is from the State Street Defensive Global Equity Portfolio. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Fund | Class A Class I Class K | Not commenced February 19, 2016 Not commenced | Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Defensive Global Equity Fund | 1 | 12.51% |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Fund | $19,657 | $104,439 | $124,096 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Fund | $ 104,995 | $ 574,708 | $ 679,703 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Defensive Global Equity Fund | $21,350 | $(48,809) | $— | $(172,208) | $(199,667) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Defensive Global Equity Fund | $— | $48,809 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Fund | $2,230,676 | $— | $172,208 | $(172,208) |
February 26, 2021
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% | $1,113.50 | $4.46 | $1,020.90 | $4.27 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 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. |
Amount | |
State Street Defensive Global Equity Fund | $104,439 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Defensive Global Equity Portfolio |
1 | |
2 | |
5 | |
6 | |
7 | |
8 | |
9 | |
15 |
Description | Market Value | % of Net Assets | ||
Target Corp. | 35,306 | 1.7% | ||
Nintendo Co., Ltd. | 31,880 | 1.5 | ||
Wesfarmers, Ltd. | 30,491 | 1.5 | ||
Procter & Gamble Co. | 30,472 | 1.5 | ||
Waste Management, Inc. | 30,072 | 1.5 | ||
TOTAL | 158,221 | 7.7% |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.9% | |||||
AUSTRALIA — 5.8% | |||||
BHP Group, Ltd. | 550 | $ 18,008 | |||
Brambles, Ltd. | 834 | 6,822 | |||
Coles Group, Ltd. | 786 | 11,002 | |||
Fortescue Metals Group, Ltd. | 619 | 11,191 | |||
Rio Tinto, Ltd. | 83 | 7,290 | |||
Sonic Healthcare, Ltd. | 857 | 21,261 | |||
Telstra Corp., Ltd. | 5,705 | 13,119 | |||
Wesfarmers, Ltd. | 784 | 30,491 | |||
119,184 | |||||
BELGIUM — 1.3% | |||||
Ageas SA/NV | 152 | 8,105 | |||
Etablissements Franz Colruyt NV | 200 | 11,861 | |||
Telenet Group Holding NV | 163 | 6,996 | |||
26,962 | |||||
CANADA — 1.3% | |||||
Metro, Inc. | 280 | 12,483 | |||
TELUS Corp. | 732 | 14,485 | |||
26,968 | |||||
DENMARK — 2.8% | |||||
AP Moller - Maersk A/S Class B | 6 | 13,409 | |||
Carlsberg AS Class B | 57 | 9,137 | |||
Coloplast A/S Class B | 93 | 14,211 | |||
Novo Nordisk A/S Class B | 303 | 21,250 | |||
58,007 | |||||
FRANCE — 0.8% | |||||
Sanofi | 165 | 15,888 | |||
GERMANY — 3.7% | |||||
Allianz SE | 59 | 14,489 | |||
Deutsche Post AG | 374 | 18,533 | |||
Deutsche Telekom AG | 1,492 | 27,301 | |||
Merck KGaA | 98 | 16,829 | |||
77,152 | |||||
HONG KONG — 1.7% | |||||
CLP Holdings, Ltd. | 2,500 | 23,117 | |||
HKT Trust & HKT, Ltd. Stapled Security | 9,000 | 11,677 | |||
34,794 | |||||
ITALY — 0.5% | |||||
Snam SpA | 1,667 | 9,385 | |||
JAPAN — 12.4% | |||||
FUJIFILM Holdings Corp. | 200 | 10,534 | |||
Fujitsu, Ltd. | 200 | 28,873 | |||
ITOCHU Corp. | 800 | 22,967 | |||
KDDI Corp. | 300 | 8,909 | |||
Mitsubishi Gas Chemical Co., Inc. | 600 | 13,767 | |||
NEC Corp. | 400 | 21,464 | |||
Nintendo Co., Ltd. | 50 | 31,880 | |||
Nippon Telegraph & Telephone Corp. | 1,100 | 28,186 | |||
Nitto Denko Corp. | 200 | 17,880 |
Security Description | Shares | Value | |||
Ono Pharmaceutical Co., Ltd. | 200 | $ 6,021 | |||
Sekisui House, Ltd. | 200 | 4,068 | |||
Seven & i Holdings Co., Ltd. | 500 | 17,720 | |||
Softbank Corp. | 500 | 6,262 | |||
Sony Corp. | 300 | 29,885 | |||
Tokyo Gas Co., Ltd. | 300 | 6,927 | |||
255,343 | |||||
NETHERLANDS — 2.6% | |||||
Koninklijke Ahold Delhaize NV | 937 | 26,495 | |||
Koninklijke KPN NV | 6,474 | 19,700 | |||
Koninklijke Vopak NV | 150 | 7,890 | |||
54,085 | |||||
NEW ZEALAND — 0.8% | |||||
Spark New Zealand, Ltd. | 4,823 | 16,321 | |||
SINGAPORE — 0.5% | |||||
Oversea-Chinese Banking Corp., Ltd. | 1,500 | 11,418 | |||
SWEDEN — 1.0% | |||||
Swedish Match AB | 277 | 21,512 | |||
SWITZERLAND — 6.0% | |||||
Kuehne + Nagel International AG | 21 | 4,770 | |||
Nestle SA | 211 | 24,887 | |||
Novartis AG | 226 | 21,387 | |||
Roche Holding AG | 63 | 22,023 | |||
Schindler Holding AG | 40 | 10,797 | |||
Swiss Life Holding AG | 31 | 14,463 | |||
Swisscom AG | 45 | 24,288 | |||
122,615 | |||||
UNITED KINGDOM — 1.0% | |||||
Direct Line Insurance Group PLC | 3,228 | 14,076 | |||
Hikma Pharmaceuticals PLC | 184 | 6,333 | |||
20,409 | |||||
UNITED STATES — 57.7% | |||||
AbbVie, Inc. | 246 | 26,359 | |||
Accenture PLC Class A | 48 | 12,538 | |||
Adobe, Inc. (a) | 25 | 12,503 | |||
Allstate Corp. | 251 | 27,592 | |||
Amgen, Inc. | 82 | 18,853 | |||
Anthem, Inc. | 29 | 9,312 | |||
AT&T, Inc. | 319 | 9,175 | |||
AutoZone, Inc. (a) | 10 | 11,854 | |||
Bristol-Myers Squibb Co. | 312 | 19,353 | |||
Cadence Design Systems, Inc. (a) | 117 | 15,962 | |||
Campbell Soup Co. | 278 | 13,441 | |||
Cerner Corp. | 138 | 10,830 | |||
Cigna Corp. | 43 | 8,952 | |||
Cisco Systems, Inc. | 524 | 23,449 | |||
Citrix Systems, Inc. | 93 | 12,099 | |||
Clorox Co. | 78 | 15,750 | |||
CMS Energy Corp. | 87 | 5,308 | |||
Conagra Brands, Inc. | 308 | 11,168 | |||
Costco Wholesale Corp. | 35 | 13,187 | |||
Dollar General Corp. | 112 | 23,554 | |||
Dominion Energy, Inc. | 66 | 4,963 |
Security Description | Shares | Value | |||
eBay, Inc. | 405 | $ 20,351 | |||
Electronic Arts, Inc. | 189 | 27,140 | |||
Eli Lilly & Co. | 146 | 24,651 | |||
Entergy Corp. | 109 | 10,883 | |||
Equinix, Inc. REIT | 16 | 11,427 | |||
Equity LifeStyle Properties, Inc. REIT | 119 | 7,540 | |||
Eversource Energy | 14 | 1,211 | |||
General Mills, Inc. | 209 | 12,289 | |||
Gilead Sciences, Inc. | 212 | 12,351 | |||
HCA Healthcare, Inc. | 65 | 10,690 | |||
Hershey Co. | 95 | 14,471 | |||
Hologic, Inc. (a) | 112 | 8,157 | |||
Home Depot, Inc. | 109 | 28,953 | |||
Humana, Inc. | 17 | 6,975 | |||
International Business Machines Corp. | 50 | 6,294 | |||
Johnson & Johnson | 134 | 21,089 | |||
JPMorgan Chase & Co. | 140 | 17,790 | |||
Kellogg Co. | 295 | 18,358 | |||
Kimberly-Clark Corp. | 173 | 23,326 | |||
Kroger Co. | 696 | 22,105 | |||
Laboratory Corp. of America Holdings (a) | 52 | 10,585 | |||
Lockheed Martin Corp. | 50 | 17,749 | |||
McDonald's Corp. | 94 | 20,171 | |||
Merck & Co., Inc. | 244 | 19,959 | |||
Microsoft Corp. | 94 | 20,907 | |||
Mondelez International, Inc. Class A | 221 | 12,922 | |||
Motorola Solutions, Inc. | 71 | 12,074 | |||
Newmont Corp. | 370 | 22,159 | |||
NortonLifeLock, Inc. | 749 | 15,564 | |||
Oracle Corp. | 446 | 28,852 | |||
PACCAR, Inc. | 115 | 9,922 | |||
PepsiCo, Inc. | 199 | 29,512 | |||
Pfizer, Inc. | 525 | 19,325 | |||
Philip Morris International, Inc. | 230 | 19,042 | |||
Procter & Gamble Co. | 219 | 30,472 | |||
Public Service Enterprise Group, Inc. | 245 | 14,284 | |||
Public Storage REIT | 31 | 7,159 | |||
QUALCOMM, Inc. | 101 | 15,386 | |||
Quest Diagnostics, Inc. | 86 | 10,249 |
Security Description | Shares | Value | |||
Regeneron Pharmaceuticals, Inc. (a) | 24 | $ 11,595 | |||
Republic Services, Inc. | 194 | 18,682 | |||
Sealed Air Corp. | 232 | 10,623 | |||
Southern Co. | 119 | 7,310 | |||
Target Corp. | 200 | 35,306 | |||
Texas Instruments, Inc. | 44 | 7,222 | |||
United Parcel Service, Inc. Class B | 125 | 21,050 | |||
UnitedHealth Group, Inc. | 27 | 9,468 | |||
Verizon Communications, Inc. | 397 | 23,324 | |||
Viatris, Inc. (a) | 65 | 1,218 | |||
Walmart, Inc. | 205 | 29,551 | |||
Waste Management, Inc. | 255 | 30,072 | |||
Western Union Co. | 1,009 | 22,137 | |||
Xcel Energy, Inc. | 157 | 10,467 | |||
1,186,571 | |||||
TOTAL COMMON STOCKS (Cost $1,783,212) | 2,056,614 |
SHORT-TERM INVESTMENT — 0.8% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (b) (c) (Cost $16,223) | 16,220 | 16,223 | |
TOTAL INVESTMENTS — 100.7% (Cost $1,799,435) | 2,072,837 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)% | (15,166) | ||
NET ASSETS — 100.0% | $ 2,057,671 |
(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 December 31, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $2,056,614 | $— | $— | $2,056,614 | ||||
Short-Term Investment | 16,223 | — | — | 16,223 | ||||
TOTAL INVESTMENTS | $2,072,837 | $— | $— | $2,072,837 |
% of Net Assets | ||
Pharmaceuticals | 10.5% | |
Diversified Telecommunication Services | 9.1 | |
Food & Staples Retailing | 7.0 | |
Food Products | 5.2 | |
Software | 5.1 | |
IT Services | 4.4 | |
Multiline Retail | 4.3 | |
Health Care Providers & Services | 4.3 | |
Insurance | 3.8 | |
Household Products | 3.4 | |
Biotechnology | 3.4 | |
Entertainment | 2.9 | |
Metals & Mining | 2.9 | |
Commercial Services & Supplies | 2.7 | |
Electric Utilities | 2.6 | |
Specialty Retail | 2.0 | |
Tobacco | 2.0 | |
Air Freight & Logistics | 1.9 | |
Beverages | 1.9 | |
Communications Equipment | 1.7 | |
Household Durables | 1.6 | |
Chemicals | 1.5 | |
Banks | 1.4 | |
Equity Real Estate Investment Trusts (REITs) | 1.3 | |
Multi-Utilities | 1.2 | |
Trading Companies & Distributors | 1.1 | |
Semiconductors & Semiconductor Equipment | 1.1 | |
Health Care Equipment & Supplies | 1.1 | |
Machinery | 1.0 | |
Internet & Direct Marketing Retail | 1.0 | |
Hotels, Restaurants & Leisure | 1.0 | |
Marine | 0.9 | |
Aerospace & Defense | 0.9 | |
Gas Utilities | 0.8 | |
Wireless Telecommunication Services | 0.7 | |
Health Care Technology | 0.5 | |
Containers & Packaging | 0.5 | |
Technology Hardware, Storage & Peripherals | 0.5 | |
Oil, Gas & Consumable Fuels | 0.4 | |
Media | 0.3 | |
Short-Term Investment | 0.8 | |
Liabilities in Excess of Other Assets | (0.7) | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/20 | Value at 6/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 27,623 | $27,634 | $111,211 | $122,619 | $(3) | $— | 16,220 | $16,223 | $— |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,056,614 |
Investments in affiliated issuers, at value | 16,223 |
Total Investments | 2,072,837 |
Foreign currency, at value | 7,748 |
Dividends receivable — unaffiliated issuers | 1,838 |
Receivable from Adviser | 442 |
Receivable for foreign taxes recoverable | 4,239 |
TOTAL ASSETS | 2,087,104 |
LIABILITIES | |
Payable for investments purchased | 512 |
Payable for fund shares repurchased | 28,477 |
Advisory fee payable | 439 |
Trustees’ fees and expenses payable | 5 |
TOTAL LIABILITIES | 29,433 |
NET ASSETS | $2,057,671 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,773,487 |
Total distributable earnings (loss) | 284,184 |
NET ASSETS | $2,057,671 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 10.65 |
Shares outstanding (unlimited amount authorized, no par value) | 193,283 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,783,212 |
Investments in affiliated issuers | 16,223 |
Total cost of investments | $1,799,435 |
Foreign currency, at cost | $ 7,532 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 27,371 |
Foreign taxes withheld | (1,323) |
TOTAL INVESTMENT INCOME (LOSS) | 26,048 |
EXPENSES | |
Advisory fee | 2,713 |
Trustees’ fees and expenses | 18 |
TOTAL EXPENSES | 2,731 |
Expenses waived/reimbursed by the Adviser | (2,731) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $ 26,048 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 26,867 |
Investments — affiliated issuers | (3) |
Foreign currency transactions | 966 |
Net realized gain (loss) | 27,830 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 174,205 |
Foreign currency translations | 421 |
Net change in unrealized appreciation/depreciation | 174,626 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 202,456 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $228,504 |
Six Months Ended 12/31/20 (Unaudited) | Year Ended 6/30/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 26,048 | $ 60,639 | |
Net realized gain (loss) | 27,830 | 11,267 | |
Net change in unrealized appreciation/depreciation | 174,626 | (153,502) | |
Net increase (decrease) in net assets resulting from operations | 228,504 | (81,596) | |
Distributions to shareholders | (58,991) | (188,440) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 25,467 | 296,196 | |
Reinvestment of distributions | 58,991 | 188,440 | |
Cost of shares redeemed | (285,307) | (415,467) | |
Net increase (decrease) in net assets from beneficial interest transactions | (200,849) | 69,169 | |
Net increase (decrease) in net assets during the period | (31,336) | (200,867) | |
Net assets at beginning of period | 2,089,007 | 2,289,874 | |
NET ASSETS AT END OF PERIOD | $2,057,671 | $2,089,007 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 2,442 | 28,561 | |
Reinvestment of distributions | 5,607 | 17,400 | |
Shares redeemed | (27,441) | (41,531) | |
Net increase (decrease) from share transactions | (19,392) | 4,430 |
State Street Defensive Global Equity Portfolio | |||||||||||
Six Months Ended 12/31/20 (Unaudited) | 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 | $ 9.82 | $ 11.00 | $12.28 | $12.03 | $10.89 | $10.00 | |||||
Net investment income (loss) (a) | 0.13 | 0.28 | 0.33 | 0.42 | 0.31 | 0.15 | |||||
Net realized and unrealized gain (loss) | 1.01 | (0.58) | 0.39 | 0.36 | 1.21 | 0.74 | |||||
Total from investment operations | 1.14 | (0.30) | 0.72 | 0.78 | 1.52 | 0.89 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.31) | (0.39) | (0.74) | (0.38) | (0.28) | — | |||||
Net realized gains | — | (0.49) | (1.26) | (0.15) | (0.10) | — | |||||
Total distributions | (0.31) | (0.88) | (2.00) | (0.53) | (0.38) | — | |||||
Net asset value, end of period | $10.65 | $ 9.82 | $ 11.00 | $12.28 | $12.03 | $10.89 | |||||
Total return (b) | 11.63%(c) | (3.50)% | 8.38% | 6.48% | 14.43% | 8.90%(c) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,058 | $2,089 | $2,290 | $5,005 | $4,631 | $3,270 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.25%(d) | 0.25% | 0.27% | 0.30% | 0.33% | 0.27%(d) | |||||
Net expenses | —%(d) | —% | —% | —% | —% | —%(d) | |||||
Net investment income (loss) | 2.40%(d) | 2.66% | 2.73% | 3.37% | 2.75% | 4.00%(d) | |||||
Portfolio turnover rate | 33%(c) | 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 period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
Purchases | Sales | ||
State Street Defensive Global Equity Portfolio | $687,112 | $876,528 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $1,810,478 | $296,705 | $34,346 | $262,359 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Defensive Global Equity Portfolio | 0.00% | $1,116.30 | $0.00 | $1,025.20 | $0.00 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
• | the Program supported the Portfolio’s ability to honor redemption requests timely; |
• | the Program supported SSGA FM’s management of the Portfolio’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage the Portfolio’s liquidity risk; and |
• | the Program operated adequately during the period. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
State Street Equity 500 Index Fund | |
1 | |
3 | |
4 | |
5 | |
7 | |
State Street Equity 500 Index II Portfolio | |
13 | |
14 | |
21 | |
22 | |
23 | |
24 | |
25 | |
33 | |
34 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Average Annual Total Return Ten Years Ended December 31, 2020 | |
State Street Equity 500 Index Fund Administrative Shares | 18.14% | 14.94% | 13.60% |
State Street Equity 500 Index Fund Service Shares | 18.06% | 14.84% | 13.49% |
State Street Equity 500 Index Fund Class R Shares | 17.63% | 14.44% | 13.09% |
State Street Equity 500 Index Fund Class A Shares(1) | 17.79% | 14.65% | 13.30% |
State Street Equity 500 Index Fund Class I Shares(2) | 18.07% | 14.95% | 13.58% |
State Street Equity 500 Index Fund Class K Shares(3) | 18.32% | 15.12% | 13.71% |
S&P 500® Index(4) | 18.40% | 15.22% | 13.88% |
(1) | NAV Performance shown for the periods prior to the inception of Class A shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class A shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(2) | NAV Performance shown for the periods prior to the inception of Class I shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class I shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(3) | NAV Performance shown for the periods prior to the inception of Class K shares on September 17, 2014, reflect the historical performance of the fund’s Administrative Shares. Had the fund’s Class K fees been reflected, the returns shown for those periods would have been higher. |
(4) | The Standard & Poor's 500 Composite Stock Price Index ("S&P 500 ® Index") is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in the S&P 500 ® Index. |
ASSETS | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $2,174,075,254 |
Cash | 652,725 |
Receivable for investments sold | 2,594,648 |
Receivable for fund shares sold | 1,467,468 |
Receivable from Adviser | 84,353 |
Prepaid expenses and other assets | 2,603 |
TOTAL ASSETS | 2,178,877,051 |
LIABILITIES | |
Payable for investments purchased | 652,725 |
Payable for fund shares repurchased | 4,672,362 |
Advisory fee payable | 34,466 |
Custodian fees payable | 7,968 |
Administration fees payable | 80,505 |
Distribution fees payable | 67,633 |
Transfer agent fees payable | 19,259 |
Sub-transfer agent fee payable | 66,558 |
Registration and filing fees payable | 22,733 |
Professional fees payable | 22,483 |
Printing and postage fees payable | 30,539 |
Accrued expenses and other liabilities | 2,252 |
TOTAL LIABILITIES | 5,679,483 |
NET ASSETS | $2,173,197,568 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,578,153,780 |
Total distributable earnings (loss) | 595,043,788 |
NET ASSETS | $2,173,197,568 |
Administrative Shares | |
Net Assets | $ 246,181,169 |
Shares Outstanding | 858,199 |
Net asset value, offering and redemption price per share | $ 286.86 |
Service Shares | |
Net Assets | $ 22,997,171 |
Shares Outstanding | 80,243 |
Net asset value, offering and redemption price per share | $ 286.59 |
Class R Shares | |
Net Assets | $ 35,838,922 |
Shares Outstanding | 125,015 |
Net asset value, offering and redemption price per share | $ 286.68 |
Class A Shares | |
Net Assets | $ 67,324,369 |
Shares Outstanding | 234,677 |
Net asset value, offering and redemption price per share | $ 286.88 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 302.78 |
Class I Shares | |
Net Assets | $ 21,364,513 |
Shares Outstanding | 74,452 |
Net asset value, offering and redemption price per share | $ 286.96 |
Class K Shares | |
Net Assets | $1,779,491,424 |
Shares Outstanding | 6,201,011 |
Net asset value, offering and redemption price per share | $ 286.97 |
COST OF INVESTMENTS: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | $1,609,199,964 |
Shares of affiliated State Street Equity 500 Index II Portfolio | 6,305,871 |
INVESTMENT INCOME | |
Dividend income from affiliated State Street Equity 500 Index II Portfolio | $ 32,176,286 |
EXPENSES | |
Advisory fee | 290,894 |
Administration fees | 727,234 |
Sub-transfer agent fee | |
Class A Shares | 114,390 |
Class I Shares | 31,948 |
Distribution fees | |
Administrative Shares | 336,786 |
Service Shares | 52,607 |
Class R Shares | 198,435 |
Class A Shares | 142,097 |
Custodian fees | 48,071 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 189,821 |
Registration and filing fees | 165,176 |
Professional fees | 24,652 |
Printing and postage fees | 45,626 |
Insurance expense | 5,393 |
Miscellaneous expenses | 18,815 |
TOTAL EXPENSES | 2,412,945 |
Expenses waived/reimbursed by the Adviser | (1,245,789) |
NET EXPENSES | 1,167,156 |
NET INVESTMENT INCOME (LOSS) | $ 31,009,130 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | (5,804,703) |
Capital gain distributions from the State Street Equity 500 Index II Portfolio | 44,079,423 |
Net realized gain (loss) | 38,274,720 |
Net change in unrealized appreciation/depreciation on: | |
Investment in affiliated State Street Equity 500 Index II Portfolio | 244,514,455 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 282,789,175 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $313,798,305 |
Year Ended 12/31/20 | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 31,009,130 | $ 20,489,684 | |
Net realized gain (loss) | 38,274,720 | 5,420,997 | |
Net change in unrealized appreciation/depreciation | 244,514,455 | 241,955,281 | |
Net increase (decrease) in net assets resulting from operations | 313,798,305 | 267,865,962 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administrative Shares | (4,135,400) | (9,939,738) | |
Service Shares | (364,662) | (824,132) | |
Class R Shares | (442,751) | (1,368,384) | |
Class A Shares | (943,934) | (2,086,264) | |
Class I Shares | (348,143) | (596,779) | |
Class K Shares | (32,584,762) | (35,230,578) | |
Total distributions to shareholders | (38,819,652) | (50,045,875) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administrative Shares | |||
Proceeds from shares sold | 17,299,834 | 14,803,388 | |
Reinvestment of distributions | 4,135,400 | 9,939,738 | |
Cost of shares redeemed | (51,497,088) | (50,352,078) | |
Net increase (decrease) from capital share transactions | (30,061,854) | (25,608,952) | |
Service Shares | |||
Proceeds from shares sold | 3,437,867 | 3,698,474 | |
Reinvestment of distributions | 364,662 | 824,131 | |
Cost of shares redeemed | (4,673,129) | (9,865,290) | |
Net increase (decrease) from capital share transactions | (870,600) | (5,342,685) | |
Class R Shares | |||
Proceeds from shares sold | 5,102,099 | 6,798,328 | |
Reinvestment of distributions | 442,751 | 1,368,384 | |
Cost of shares redeemed | (11,825,080) | (11,252,184) | |
Net increase (decrease) from capital share transactions | (6,280,230) | (3,085,472) | |
Class A Shares | |||
Proceeds from shares sold | 19,813,744 | 21,123,719 | |
Reinvestment of distributions | 941,800 | 2,083,022 | |
Cost of shares redeemed | (17,563,046) | (8,312,522) | |
Net increase (decrease) from capital share transactions | 3,192,498 | 14,894,219 | |
Class I Shares | |||
Proceeds from shares sold | 8,350,218 | 9,836,747 | |
Reinvestment of distributions | 348,143 | 596,780 | |
Cost of shares redeemed | (4,712,625) | (14,359,801) | |
Net increase (decrease) from capital share transactions | 3,985,736 | (3,926,274) | |
Class K Shares | |||
Proceeds from shares sold | 936,654,587 | 324,590,677 | |
Reinvestment of distributions | 32,584,653 | 35,035,317 | |
Cost of shares redeemed | (238,194,915) | (154,736,207) | |
Net increase (decrease) from capital share transactions | 731,044,325 | 204,889,787 | |
Net increase (decrease) in net assets from beneficial interest transactions | 701,009,875 | 181,820,623 | |
Net increase (decrease) in net assets during the period | 975,988,528 | 399,640,710 | |
Net assets at beginning of period | 1,197,209,040 | 797,568,330 | |
NET ASSETS AT END OF PERIOD | $2,173,197,568 | $1,197,209,040 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administrative Shares | |||
Shares sold | 73,251 | 64,362 | |
Reinvestment of distributions | 14,531 | 40,128 | |
Shares redeemed | (208,496) | (211,716) | |
Net increase (decrease) from share transactions | (120,714) | (107,226) | |
Service Shares | |||
Shares sold | 14,470 | 16,401 | |
Reinvestment of distributions | 1,282 | 3,331 | |
Shares redeemed | (18,420) | (43,356) | |
Net increase (decrease) from share transactions | (2,668) | (23,624) |
Year Ended 12/31/20 | Year Ended 12/31/19(a) | ||
Class R Shares | |||
Shares sold | 21,042 | 30,772 | |
Reinvestment of distributions | 1,557 | 5,529 | |
Shares redeemed | (48,388) | (49,085) | |
Net increase (decrease) from share transactions | (25,789) | (12,784) | |
Class A Shares | |||
Shares sold | 78,581 | 91,596 | |
Reinvestment of distributions | 3,309 | 8,410 | |
Shares redeemed | (72,342) | (36,657) | |
Net increase (decrease) from share transactions | 9,548 | 63,349 | |
Class I Shares | |||
Shares sold | 34,372 | 45,295 | |
Reinvestment of distributions | 1,223 | 2,409 | |
Shares redeemed | (19,742) | (62,891) | |
Net increase (decrease) from share transactions | 15,853 | (15,187) | |
Class K Shares | |||
Shares sold | 3,698,640 | 1,413,544 | |
Reinvestment of distributions | 114,453 | 141,443 | |
Shares redeemed | (961,943) | (674,605) | |
Net increase (decrease) from share transactions | 2,851,150 | 880,382 |
(a) | On April 17, 2020, the State Street Equity 500 Index Fund underwent a 1-for-10 reverse share split. The historical activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Administrative Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.58 | 3.90 | 3.40 | 3.80 | 2.60 | ||||
Net realized and unrealized gain (loss) | 41.19 | 57.30 | (13.30) | 36.60 | 17.60 | ||||
Total from investment operations | 44.77 | 61.20 | (9.90) | 40.40 | 20.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.11) | (4.40) | (3.90) | (4.60) | (2.80) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (4.91) | (10.60) | (9.90) | (12.50) | (3.60) | ||||
Net asset value, end of period | $ 286.86 | $ 247.00 | $ 196.40 | $ 216.20 | $ 188.30 | ||||
Total return (c) | 18.14% | 31.14% | (4.56)% | 21.43% | 11.75% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $246,181 | $241,794 | $213,270 | $274,650 | $277,141 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.26%(d) | 0.27%(d) | 0.27%(d) | 0.26%(d) | 0.27%(d) | ||||
Net expenses | 0.17%(d) | 0.17%(d) | 0.17%(d) | 0.18%(d) | 0.18%(d) | ||||
Net investment income (loss) | 1.45% | 1.68% | 1.51% | 1.83% | 1.48% | ||||
Portfolio turnover rate | 6%(e) | 21%(e) | 8%(e) | 30%(e) | 5%(e) |
(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Service Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $246.70 | $196.20 | $216.00 | $188.10 | $ 171.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.33 | 3.10 | 3.20 | 1.50 | 2.60 | ||||
Net realized and unrealized gain (loss) | 41.18 | 57.70 | (13.30) | 38.70 | 17.40 | ||||
Total from investment operations | 44.51 | 60.80 | (10.10) | 40.20 | 20.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.82) | (4.10) | (3.70) | (4.40) | (2.60) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (4.62) | (10.30) | (9.70) | (12.30) | (3.40) | ||||
Net asset value, end of period | $286.59 | $246.70 | $196.20 | $216.00 | $ 188.10 | ||||
Total return (c) | 18.06% | 30.99% | (4.66)% | 21.33% | 11.65% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $22,997 | $20,457 | $20,897 | $27,876 | $124,591 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.36%(d) | 0.37%(d) | 0.37%(d) | 0.36%(d) | 0.37%(d) | ||||
Net expenses | 0.27%(d) | 0.27%(d) | 0.27%(d) | 0.28%(d) | 0.27%(d) | ||||
Net investment income (loss) | 1.35% | 1.36% | 1.44% | 0.73% | 1.46% | ||||
Portfolio turnover rate | 6%(e) | 21%(e) | 8%(e) | 30%(e) | 5%(e) |
(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class R Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $246.80 | $196.20 | $216.10 | $188.10 | $171.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.41 | 2.90 | 2.40 | 2.90 | 1.80 | ||||
Net realized and unrealized gain (loss) | 41.07 | 57.10 | (13.30) | 36.60 | 17.60 | ||||
Total from investment operations | 43.48 | 60.00 | (10.90) | 39.50 | 19.40 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.80) | (3.20) | (3.00) | (3.60) | (2.00) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (3.60) | (9.40) | (9.00) | (11.50) | (2.80) | ||||
Net asset value, end of period | $286.68 | $246.80 | $196.20 | $216.10 | $188.10 | ||||
Total return (c) | 17.63% | 30.58% | (5.04)% | 20.96% | 11.26% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $35,839 | $37,222 | $32,099 | $42,249 | $39,086 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.71%(d) | 0.72%(d) | 0.72%(d) | 0.71%(d) | 0.72%(d) | ||||
Net expenses | 0.62%(d) | 0.62%(d) | 0.62%(d) | 0.63%(d) | 0.63%(d) | ||||
Net investment income (loss) | 0.98% | 1.27% | 1.06% | 1.41% | 0.99% | ||||
Portfolio turnover rate | 6%(e) | 21%(e) | 8%(e) | 30%(e) | 5%(e) |
(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class A Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $247.00 | $196.40 | $216.30 | $188.30 | $171.70 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.20 | 4.20 | 6.40 | 1.60 | 6.80 | ||||
Net realized and unrealized gain (loss) | 40.72 | 56.30 | (16.60) | 38.20 | 12.90 | ||||
Total from investment operations | 43.92 | 60.50 | (10.20) | 39.80 | 19.70 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.24) | (3.70) | (3.70) | (3.90) | (2.30) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (4.04) | (9.90) | (9.70) | (11.80) | (3.10) | ||||
Net asset value, end of period | $286.88 | $247.00 | $196.40 | $216.30 | $188.30 | ||||
Total return (c) | 17.79% | 30.78% | (4.72)% | 21.12% | 11.42% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $67,324 | $55,604 | $31,766 | $ 6,293 | $ 7,509 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.56%(d) | 0.57%(d) | 0.38%(d) | 0.56%(d) | 0.57%(d) | ||||
Net expenses | 0.47%(d) | 0.47%(d) | 0.28%(d) | 0.48%(d) | 0.48%(d) | ||||
Net investment income (loss) | 1.29% | 1.81% | 2.89% | 0.79% | 3.69% | ||||
Portfolio turnover rate | 6%(e) | 21%(e) | 8%(e) | 30%(e) | 5%(e) |
(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class I Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $247.10 | $196.50 | $216.30 | $188.40 | $171.70 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 4.39 | 3.20 | 4.40 | 8.90 | 28.60 | ||||
Net realized and unrealized gain (loss) | 40.24 | 58.10 | (14.10) | 31.40 | (8.40) | ||||
Total from investment operations | 44.63 | 61.30 | (9.70) | 40.30 | 20.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (3.97) | (4.50) | (4.10) | (4.50) | (2.70) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (4.77) | (10.70) | (10.10) | (12.40) | (3.50) | ||||
Net asset value, end of period | $286.96 | $247.10 | $196.50 | $216.30 | $188.40 | ||||
Total return (c) | 18.07% | 31.17% | (4.45)% | 21.35% | 11.75% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $21,365 | $14,478 | $14,496 | $16,084 | $ 4,469 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.31%(d) | 0.24%(d) | 0.15%(d) | 0.31%(d) | 0.32%(d) | ||||
Net expenses | 0.22%(d) | 0.15%(d) | 0.05%(d) | 0.23%(d) | 0.23%(d) | ||||
Net investment income (loss) | 1.75% | 1.38% | 1.98% | 4.21% | 15.53%(e) | ||||
Portfolio turnover rate | 6%(f) | 21%(f) | 8%(f) | 30%(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | The calculation of the net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the net investment income ratio may vary significantly from period to period. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
Class K Shares | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | $ 171.70 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 5.92 | 5.10 | 4.70 | 4.40 | 4.40 | ||||
Net realized and unrealized gain (loss) | 39.30 | 56.60 | (14.30) | 36.40 | 16.10 | ||||
Total from investment operations | 45.22 | 61.70 | (9.60) | 40.80 | 20.50 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.55) | (4.80) | (4.20) | (5.00) | (3.10) | ||||
Net realized gains | (0.80) | (6.20) | (6.00) | (7.90) | (0.80) | ||||
Total distributions | (5.35) | (11.00) | (10.20) | (12.90) | (3.90) | ||||
Net asset value, end of period | $ 286.97 | $ 247.10 | $ 196.40 | $ 216.20 | $ 188.30 | ||||
Total return (c) | 18.32% | 31.39% | (4.42)% | 21.61% | 11.92% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,779,491 | $827,654 | $485,040 | $412,903 | $369,915 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.11%(d) | 0.12%(d) | 0.12%(d) | 0.11%(d) | 0.12%(d) | ||||
Net expenses | 0.02%(d) | 0.02%(d) | 0.02%(d) | 0.03%(d) | 0.03%(d) | ||||
Net investment income (loss) | 2.37% | 2.22% | 2.08% | 2.14% | 2.42% | ||||
Portfolio turnover rate | 6%(e) | 21%(e) | 8%(e) | 30%(e) | 5%(e) |
(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 have 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
% of Net Assets | |||
Common Stocks | 96.8% | ||
Short-Term Investments | 2.9 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 26.7% | ||
Health Care | 13.0 | ||
Consumer Discretionary | 12.3 | ||
Communication Services | 10.4 | ||
Financials | 10.1 | ||
TOTAL | 72.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.8% | |||||
COMMUNICATION SERVICES — 10.4% | |||||
Activision Blizzard, Inc. | 113,000 | $ 10,492,050 | |||
Alphabet, Inc. Class A (a) | 43,467 | 76,182,003 | |||
Alphabet, Inc. Class C (a) | 41,987 | 73,556,186 | |||
AT&T, Inc. | 1,024,040 | 29,451,390 | |||
Cars.com, Inc. (a) | 1 | 11 | |||
CenturyLink, Inc. | 146,778 | 1,431,086 | |||
Charter Communications, Inc. Class A (a) | 21,000 | 13,892,550 | |||
Comcast Corp. Class A | 661,966 | 34,687,018 | |||
Discovery, Inc. Class A (a)(b) | 20,703 | 622,953 | |||
Discovery, Inc. Class C (a) | 43,704 | 1,144,608 | |||
DISH Network Corp. Class A (a) | 37,018 | 1,197,162 | |||
Electronic Arts, Inc. | 43,679 | 6,272,304 | |||
Facebook, Inc. Class A (a) | 347,393 | 94,893,872 | |||
Fox Corp. Class A | 53,466 | 1,556,930 | |||
Fox Corp. Class B (a) | 20,100 | 580,488 | |||
Interpublic Group of Cos., Inc. | 58,066 | 1,365,712 | |||
Live Nation Entertainment, Inc. (a) | 22,100 | 1,623,908 | |||
Netflix, Inc. (a) | 63,504 | 34,338,518 | |||
News Corp. Class A | 50,888 | 914,457 | |||
News Corp. Class B | 11,400 | 202,578 | |||
Omnicom Group, Inc. | 30,891 | 1,926,672 | |||
Take-Two Interactive Software, Inc. (a) | 16,500 | 3,428,535 | |||
T-Mobile US, Inc. (a) | 85,075 | 11,472,364 | |||
Twitter, Inc. (a) | 114,300 | 6,189,345 | |||
Verizon Communications, Inc. | 599,915 | 35,245,006 | |||
ViacomCBS, Inc. Class B | 80,481 | 2,998,722 | |||
Walt Disney Co. (a) | 262,364 | 47,535,110 | |||
493,201,538 | |||||
CONSUMER DISCRETIONARY — 12.3% | |||||
Advance Auto Parts, Inc. | 10,200 | 1,606,602 | |||
Amazon.com, Inc. (a) | 61,790 | 201,245,705 | |||
Aptiv PLC | 38,419 | 5,005,612 | |||
AutoZone, Inc. (a) | 3,376 | 4,002,045 | |||
Best Buy Co., Inc. | 32,906 | 3,283,690 | |||
Booking Holdings, Inc. (a) | 5,924 | 13,194,348 | |||
BorgWarner, Inc. | 32,377 | 1,251,047 | |||
CarMax, Inc. (a) | 22,603 | 2,135,079 | |||
Carnival Corp. | 106,901 | 2,315,476 | |||
Chipotle Mexican Grill, Inc. (a) | 4,086 | 5,666,097 | |||
D.R. Horton, Inc. | 48,597 | 3,349,305 | |||
Darden Restaurants, Inc. | 18,271 | 2,176,442 | |||
Dollar General Corp. | 36,513 | 7,678,684 | |||
Dollar Tree, Inc. (a) | 33,426 | 3,611,345 | |||
Domino's Pizza, Inc. | 5,400 | 2,070,684 |
Security Description | Shares | Value | |||
eBay, Inc. | 94,545 | $ 4,750,886 | |||
Etsy, Inc. (a) | 17,100 | 3,042,261 | |||
Expedia Group, Inc. | 19,434 | 2,573,062 | |||
Ford Motor Co. | 576,338 | 5,066,011 | |||
Gap, Inc. | 25,934 | 523,607 | |||
Garmin, Ltd. | 21,540 | 2,577,476 | |||
General Motors Co. | 184,723 | 7,691,866 | |||
Genuine Parts Co. | 20,789 | 2,087,839 | |||
Hanesbrands, Inc. (b) | 46,800 | 682,344 | |||
Hasbro, Inc. | 19,097 | 1,786,333 | |||
Hilton Worldwide Holdings, Inc. | 39,200 | 4,361,392 | |||
Home Depot, Inc. | 156,002 | 41,437,251 | |||
L Brands, Inc. | 34,421 | 1,280,117 | |||
Las Vegas Sands Corp. | 49,200 | 2,932,320 | |||
Leggett & Platt, Inc. | 17,054 | 755,492 | |||
Lennar Corp. Class A | 39,506 | 3,011,542 | |||
LKQ Corp. (a) | 40,600 | 1,430,744 | |||
Lowe's Cos., Inc. | 105,250 | 16,893,678 | |||
Marriott International, Inc. Class A | 38,555 | 5,086,176 | |||
McDonald's Corp. | 108,310 | 23,241,160 | |||
MGM Resorts International | 59,000 | 1,859,090 | |||
Mohawk Industries, Inc. (a) | 9,631 | 1,357,489 | |||
Newell Brands, Inc. | 57,341 | 1,217,349 | |||
NIKE, Inc. Class B | 181,206 | 25,635,213 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 46,200 | 1,174,866 | |||
NVR, Inc. (a) | 560 | 2,284,722 | |||
O'Reilly Automotive, Inc. (a) | 10,580 | 4,788,191 | |||
Pool Corp. | 6,100 | 2,272,250 | |||
PulteGroup, Inc. | 37,162 | 1,602,425 | |||
PVH Corp. | 9,249 | 868,389 | |||
Ralph Lauren Corp. | 6,279 | 651,384 | |||
Ross Stores, Inc. | 51,156 | 6,282,468 | |||
Royal Caribbean Cruises, Ltd. | 24,400 | 1,822,436 | |||
Starbucks Corp. | 170,330 | 18,221,903 | |||
Tapestry, Inc. | 44,228 | 1,374,606 | |||
Target Corp. | 73,072 | 12,899,400 | |||
Tesla, Inc. (a) | 109,600 | 77,341,432 | |||
Tiffany & Co. | 16,299 | 2,142,504 | |||
TJX Cos., Inc. | 175,174 | 11,962,633 | |||
Tractor Supply Co. | 17,426 | 2,449,747 | |||
Ulta Beauty, Inc. (a) | 7,800 | 2,239,848 | |||
Under Armour, Inc. Class A (a) | 26,624 | 457,134 | |||
Under Armour, Inc. Class C (a) | 27,575 | 410,316 | |||
VF Corp. | 45,544 | 3,889,913 | |||
Whirlpool Corp. | 8,402 | 1,516,477 | |||
Wynn Resorts, Ltd. | 14,941 | 1,685,793 | |||
Yum! Brands, Inc. | 44,502 | 4,831,137 | |||
583,042,833 |
Security Description | Shares | Value | |||
CONSUMER STAPLES — 6.3% | |||||
Altria Group, Inc. | 271,529 | $ 11,132,689 | |||
Archer-Daniels-Midland Co. | 78,332 | 3,948,716 | |||
Brown-Forman Corp. Class B | 26,252 | 2,085,196 | |||
Campbell Soup Co. | 30,582 | 1,478,640 | |||
Church & Dwight Co., Inc. | 35,300 | 3,079,219 | |||
Clorox Co. | 18,764 | 3,788,827 | |||
Coca-Cola Co. | 555,800 | 30,480,072 | |||
Colgate-Palmolive Co. | 125,423 | 10,724,921 | |||
Conagra Brands, Inc. | 72,724 | 2,636,972 | |||
Constellation Brands, Inc. Class A | 23,850 | 5,224,343 | |||
Costco Wholesale Corp. | 63,455 | 23,908,575 | |||
Estee Lauder Cos., Inc. Class A | 33,041 | 8,795,184 | |||
General Mills, Inc. | 90,142 | 5,300,350 | |||
Hershey Co. | 21,067 | 3,209,136 | |||
Hormel Foods Corp. | 42,602 | 1,985,679 | |||
J.M. Smucker Co. | 16,405 | 1,896,418 | |||
Kellogg Co. | 36,428 | 2,266,914 | |||
Kimberly-Clark Corp. | 48,927 | 6,596,827 | |||
Kraft Heinz Co. | 93,918 | 3,255,198 | |||
Kroger Co. | 109,842 | 3,488,582 | |||
Lamb Weston Holdings, Inc. | 20,300 | 1,598,422 | |||
McCormick & Co., Inc. | 35,384 | 3,382,710 | |||
Molson Coors Beverage Co. Class B | 29,353 | 1,326,462 | |||
Mondelez International, Inc. Class A | 208,715 | 12,203,566 | |||
Monster Beverage Corp. (a) | 54,535 | 5,043,397 | |||
PepsiCo, Inc. | 198,616 | 29,454,753 | |||
Philip Morris International, Inc. | 226,912 | 18,786,045 | |||
Procter & Gamble Co. | 359,326 | 49,996,620 | |||
Sysco Corp. | 72,174 | 5,359,641 | |||
Tyson Foods, Inc. Class A | 42,044 | 2,709,315 | |||
Walmart, Inc. | 199,203 | 28,715,112 | |||
Walgreens Boots Alliance, Inc. | 102,305 | 4,079,923 | |||
297,938,424 | |||||
ENERGY — 2.2% | |||||
Apache Corp. | 47,855 | 679,062 | |||
Baker Hughes Co. | 99,679 | 2,078,307 | |||
Cabot Oil & Gas Corp. | 55,078 | 896,670 | |||
ChampionX Corp. (a) | 1 | 15 | |||
Chevron Corp. | 276,617 | 23,360,306 | |||
Concho Resources, Inc. | 29,800 | 1,738,830 | |||
ConocoPhillips | 154,527 | 6,179,535 | |||
Devon Energy Corp. | 56,801 | 898,024 | |||
Diamondback Energy, Inc. | 23,300 | 1,127,720 | |||
EOG Resources, Inc. | 82,971 | 4,137,764 | |||
Exxon Mobil Corp. | 607,675 | 25,048,363 | |||
Halliburton Co. | 123,167 | 2,327,856 | |||
Hess Corp. | 39,457 | 2,082,935 | |||
HollyFrontier Corp. | 20,000 | 517,000 |
Security Description | Shares | Value | |||
Kinder Morgan, Inc. | 283,850 | $ 3,880,230 | |||
Marathon Oil Corp. | 104,288 | 695,601 | |||
Marathon Petroleum Corp. | 92,741 | 3,835,768 | |||
Nov, Inc. | 63,816 | 876,194 | |||
Occidental Petroleum Corp. | 125,373 | 2,170,207 | |||
ONEOK, Inc. | 66,496 | 2,552,116 | |||
Phillips 66 | 63,573 | 4,446,296 | |||
Pioneer Natural Resources Co. | 22,676 | 2,582,570 | |||
Schlumberger NV | 197,050 | 4,301,601 | |||
TechnipFMC PLC | 47,791 | 449,235 | |||
Valero Energy Corp. | 58,223 | 3,293,675 | |||
Williams Cos., Inc. | 172,958 | 3,467,808 | |||
103,623,688 | |||||
FINANCIALS — 10.1% | |||||
Aflac, Inc. | 94,306 | 4,193,788 | |||
Allstate Corp. | 44,439 | 4,885,179 | |||
American Express Co. | 95,312 | 11,524,174 | |||
American International Group, Inc. | 127,201 | 4,815,830 | |||
Ameriprise Financial, Inc. | 16,944 | 3,292,727 | |||
Aon PLC Class A | 22,498 | 4,753,152 | |||
Arthur J Gallagher & Co. | 27,200 | 3,364,912 | |||
Assurant, Inc. | 7,885 | 1,074,095 | |||
Bank of America Corp. | 1,094,005 | 33,159,292 | |||
Bank of New York Mellon Corp. | 115,894 | 4,918,541 | |||
Berkshire Hathaway, Inc. Class B (a) | 281,184 | 65,198,134 | |||
BlackRock, Inc. | 20,716 | 14,947,423 | |||
Capital One Financial Corp. | 65,695 | 6,493,951 | |||
Cboe Global Markets, Inc. | 18,300 | 1,704,096 | |||
Charles Schwab Corp. | 216,604 | 11,488,676 | |||
Chubb, Ltd. | 66,053 | 10,166,878 | |||
Cincinnati Financial Corp. | 20,709 | 1,809,345 | |||
Citigroup, Inc. | 303,427 | 18,709,309 | |||
Citizens Financial Group, Inc. | 61,400 | 2,195,664 | |||
CME Group, Inc. | 52,463 | 9,550,889 | |||
Comerica, Inc. | 20,427 | 1,141,052 | |||
Discover Financial Services | 44,028 | 3,985,855 | |||
Everest Re Group, Ltd. | 6,000 | 1,404,540 | |||
Fifth Third Bancorp | 98,462 | 2,714,597 | |||
First Republic Bank | 24,400 | 3,585,092 | |||
Franklin Resources, Inc. | 37,989 | 949,345 | |||
Globe Life, Inc. | 15,212 | 1,444,532 | |||
Goldman Sachs Group, Inc. | 50,246 | 13,250,373 | |||
Hartford Financial Services Group, Inc. | 49,867 | 2,442,486 | |||
Huntington Bancshares, Inc. | 142,791 | 1,803,450 | |||
Intercontinental Exchange, Inc. | 82,185 | 9,475,109 | |||
Invesco, Ltd. | 55,411 | 965,814 | |||
JPMorgan Chase & Co. | 441,643 | 56,119,576 | |||
KeyCorp. | 140,196 | 2,300,616 | |||
Lincoln National Corp. | 26,382 | 1,327,278 | |||
Loews Corp. | 34,619 | 1,558,547 |
Security Description | Shares | Value | |||
M&T Bank Corp. | 17,563 | $ 2,235,770 | |||
MarketAxess Holdings, Inc. | 5,400 | 3,081,024 | |||
Marsh & McLennan Cos., Inc. | 74,219 | 8,683,623 | |||
MetLife, Inc. | 113,770 | 5,341,501 | |||
Moody's Corp. | 23,232 | 6,742,856 | |||
Morgan Stanley | 208,427 | 14,283,502 | |||
MSCI, Inc. | 12,300 | 5,492,319 | |||
Nasdaq, Inc. | 15,775 | 2,093,973 | |||
Northern Trust Corp. | 30,796 | 2,868,339 | |||
People's United Financial, Inc. | 78,966 | 1,021,030 | |||
PNC Financial Services Group, Inc. | 62,175 | 9,264,075 | |||
Principal Financial Group, Inc. | 35,665 | 1,769,341 | |||
Progressive Corp. | 85,849 | 8,488,749 | |||
Prudential Financial, Inc. | 58,402 | 4,559,444 | |||
Raymond James Financial, Inc. | 18,600 | 1,779,462 | |||
Regions Financial Corp. | 136,246 | 2,196,286 | |||
S&P Global, Inc. | 35,268 | 11,593,650 | |||
State Street Corp. (c) | 49,678 | 3,615,565 | |||
SVB Financial Group (a) | 7,400 | 2,869,942 | |||
Synchrony Financial | 77,876 | 2,703,076 | |||
T Rowe Price Group, Inc. | 32,255 | 4,883,084 | |||
Travelers Cos., Inc. | 37,406 | 5,250,680 | |||
Truist Financial Corp. | 197,315 | 9,457,308 | |||
Unum Group | 26,705 | 612,613 | |||
US Bancorp | 200,722 | 9,351,638 | |||
Wells Fargo & Co. | 600,503 | 18,123,181 | |||
Willis Towers Watson PLC | 29,245 | 6,161,337 | |||
WR Berkley Corp. | 21,000 | 1,394,820 | |||
Zions Bancorp NA | 24,095 | 1,046,687 | |||
479,679,192 | |||||
HEALTH CARE — 13.0% | |||||
Abbott Laboratories | 254,749 | 27,892,468 | |||
AbbVie, Inc. | 253,680 | 27,181,812 | |||
ABIOMED, Inc. (a) | 6,500 | 2,107,300 | |||
Agilent Technologies, Inc. | 45,493 | 5,390,466 | |||
Alexion Pharmaceuticals, Inc. (a) | 31,273 | 4,886,094 | |||
Align Technology, Inc. (a) | 10,200 | 5,450,676 | |||
AmerisourceBergen Corp. | 20,234 | 1,978,076 | |||
Amgen, Inc. | 83,654 | 19,233,728 | |||
Anthem, Inc. | 35,719 | 11,469,014 | |||
Baxter International, Inc. | 74,579 | 5,984,219 | |||
Becton Dickinson and Co. | 42,356 | 10,598,318 | |||
Biogen, Inc. (a) | 22,084 | 5,407,488 | |||
Bio-Rad Laboratories, Inc. Class A (a) | 3,300 | 1,923,702 | |||
Boston Scientific Corp. (a) | 210,057 | 7,551,549 | |||
Bristol-Myers Squibb Co. | 328,375 | 20,369,101 | |||
Cardinal Health, Inc. | 44,033 | 2,358,408 | |||
Catalent, Inc. (a) | 24,600 | 2,560,122 | |||
Centene Corp. (a) | 85,504 | 5,132,805 | |||
Cerner Corp. | 43,637 | 3,424,632 |
Security Description | Shares | Value | |||
Cigna Corp. | 51,941 | $ 10,813,077 | |||
Cooper Cos., Inc. | 7,800 | 2,833,896 | |||
CVS Health Corp. | 190,994 | 13,044,890 | |||
Danaher Corp. | 91,994 | 20,435,547 | |||
DaVita, Inc. (a) | 10,128 | 1,189,027 | |||
DENTSPLY SIRONA, Inc. | 33,034 | 1,729,660 | |||
DexCom, Inc. (a) | 13,600 | 5,028,192 | |||
Edwards Lifesciences Corp. (a) | 91,230 | 8,322,913 | |||
Eli Lilly & Co. | 115,672 | 19,530,061 | |||
Gilead Sciences, Inc. | 183,252 | 10,676,262 | |||
HCA Healthcare, Inc. | 37,900 | 6,233,034 | |||
Henry Schein, Inc. (a) | 18,700 | 1,250,282 | |||
Hologic, Inc. (a) | 37,100 | 2,701,993 | |||
Humana, Inc. | 18,990 | 7,791,027 | |||
IDEXX Laboratories, Inc. (a) | 12,500 | 6,248,375 | |||
Illumina, Inc. (a) | 21,000 | 7,770,000 | |||
Incyte Corp. (a) | 26,700 | 2,322,366 | |||
Intuitive Surgical, Inc. (a) | 17,044 | 13,943,696 | |||
IQVIA Holdings, Inc. (a) | 27,200 | 4,873,424 | |||
Johnson & Johnson | 380,408 | 59,868,611 | |||
Laboratory Corp. of America Holdings (a) | 13,975 | 2,844,611 | |||
McKesson Corp. | 23,052 | 4,009,204 | |||
Medtronic PLC | 195,693 | 22,923,478 | |||
Merck & Co., Inc. | 363,572 | 29,740,190 | |||
Mettler-Toledo International, Inc. (a) | 3,400 | 3,874,912 | |||
PerkinElmer, Inc. | 16,086 | 2,308,341 | |||
Perrigo Co. PLC | 20,086 | 898,246 | |||
Pfizer, Inc. | 798,833 | 29,405,043 | |||
Quest Diagnostics, Inc. | 20,142 | 2,400,322 | |||
Regeneron Pharmaceuticals, Inc. (a) | 15,042 | 7,266,941 | |||
ResMed, Inc. | 21,400 | 4,548,784 | |||
STERIS PLC | 11,700 | 2,217,618 | |||
Stryker Corp. | 47,794 | 11,711,442 | |||
Teleflex, Inc. | 6,900 | 2,839,833 | |||
Thermo Fisher Scientific, Inc. | 57,512 | 26,787,939 | |||
UnitedHealth Group, Inc. | 137,474 | 48,209,382 | |||
Universal Health Services, Inc. Class B | 12,000 | 1,650,000 | |||
Varian Medical Systems, Inc. (a) | 12,729 | 2,227,702 | |||
Vertex Pharmaceuticals, Inc. (a) | 38,152 | 9,016,844 | |||
Viatris, Inc. (a) | 172,414 | 3,231,038 | |||
Waters Corp. (a) | 8,650 | 2,140,183 | |||
West Pharmaceutical Services, Inc. | 10,600 | 3,003,086 | |||
Zimmer Biomet Holdings, Inc. | 29,425 | 4,534,098 | |||
Zoetis, Inc. | 69,420 | 11,489,010 | |||
616,784,558 | |||||
INDUSTRIALS — 8.1% | |||||
3M Co. | 84,029 | 14,687,429 | |||
A.O. Smith Corp. | 17,500 | 959,350 |
Security Description | Shares | Value | |||
Alaska Air Group, Inc. | 15,500 | $ 806,000 | |||
Allegion PLC | 15,496 | 1,803,424 | |||
American Airlines Group, Inc. (b) | 76,400 | 1,204,828 | |||
AMETEK, Inc. | 32,699 | 3,954,617 | |||
Boeing Co. | 77,364 | 16,560,538 | |||
C.H. Robinson Worldwide, Inc. | 18,379 | 1,725,237 | |||
Carrier Global Corp. | 118,579 | 4,472,800 | |||
Caterpillar, Inc. | 79,024 | 14,383,949 | |||
Cintas Corp. | 13,366 | 4,724,346 | |||
Copart, Inc. (a) | 29,500 | 3,753,875 | |||
CSX Corp. | 111,955 | 10,159,916 | |||
Cummins, Inc. | 22,514 | 5,112,929 | |||
Deere & Co. | 45,783 | 12,317,916 | |||
Delta Air Lines, Inc. | 90,934 | 3,656,456 | |||
Dover Corp. | 20,150 | 2,543,938 | |||
Eaton Corp. PLC | 57,325 | 6,887,026 | |||
Emerson Electric Co. | 85,979 | 6,910,132 | |||
Equifax, Inc. | 17,388 | 3,353,102 | |||
Expeditors International of Washington, Inc. | 23,476 | 2,232,802 | |||
Fastenal Co. | 80,816 | 3,946,245 | |||
FedEx Corp. | 35,250 | 9,151,605 | |||
Flowserve Corp. | 17,445 | 642,848 | |||
Fortive Corp. | 48,149 | 3,409,912 | |||
Fortune Brands Home & Security, Inc. | 21,100 | 1,808,692 | |||
General Dynamics Corp. | 33,072 | 4,921,775 | |||
General Electric Co. | 1,277,188 | 13,793,630 | |||
Honeywell International, Inc. | 100,878 | 21,456,751 | |||
Howmet Aerospace, Inc. | 60,286 | 1,720,562 | |||
Huntington Ingalls Industries, Inc. | 5,400 | 920,592 | |||
IDEX Corp. | 10,900 | 2,171,280 | |||
IHS Markit, Ltd. | 53,000 | 4,760,990 | |||
Illinois Tool Works, Inc. | 42,200 | 8,603,736 | |||
Ingersoll Rand, Inc. (a) | 53,287 | 2,427,756 | |||
Jacobs Engineering Group, Inc. | 19,743 | 2,151,197 | |||
JB Hunt Transport Services, Inc. | 11,600 | 1,585,140 | |||
Johnson Controls International PLC | 105,808 | 4,929,595 | |||
Kansas City Southern | 13,196 | 2,693,699 | |||
L3Harris Technologies, Inc. | 31,221 | 5,901,393 | |||
Lockheed Martin Corp. | 35,971 | 12,768,986 | |||
Masco Corp. | 37,684 | 2,069,982 | |||
Nielsen Holdings PLC | 46,225 | 964,716 | |||
Norfolk Southern Corp. | 37,387 | 8,883,525 | |||
Northrop Grumman Corp. | 22,325 | 6,802,874 | |||
Old Dominion Freight Line, Inc. | 14,250 | 2,781,315 | |||
Otis Worldwide Corp. | 57,289 | 3,869,872 | |||
PACCAR, Inc. | 51,239 | 4,420,901 | |||
Parker-Hannifin Corp. | 18,989 | 5,172,794 | |||
Pentair PLC | 24,204 | 1,284,990 |
Security Description | Shares | Value | |||
Quanta Services, Inc. | 20,007 | $ 1,440,904 | |||
Raytheon Technologies Corp. | 218,301 | 15,610,705 | |||
Republic Services, Inc. | 30,089 | 2,897,571 | |||
Robert Half International, Inc. | 15,966 | 997,556 | |||
Rockwell Automation, Inc. | 17,826 | 4,470,939 | |||
Rollins, Inc. | 32,325 | 1,262,938 | |||
Roper Technologies, Inc. | 15,065 | 6,494,371 | |||
Snap-on, Inc. | 8,440 | 1,444,422 | |||
Southwest Airlines Co. | 90,859 | 4,234,938 | |||
Stanley Black & Decker, Inc. | 22,757 | 4,063,490 | |||
Teledyne Technologies, Inc. (a) | 5,300 | 2,077,494 | |||
Textron, Inc. | 33,033 | 1,596,485 | |||
Trane Technologies PLC | 33,984 | 4,933,117 | |||
TransDigm Group, Inc. (a) | 8,000 | 4,950,800 | |||
Union Pacific Corp. | 96,798 | 20,155,280 | |||
United Airlines Holdings, Inc. (a) | 43,800 | 1,894,350 | |||
United Parcel Service, Inc. Class B | 103,091 | 17,360,524 | |||
United Rentals, Inc. (a) | 10,000 | 2,319,100 | |||
Verisk Analytics, Inc. | 24,000 | 4,982,160 | |||
W.W. Grainger, Inc. | 6,757 | 2,759,153 | |||
Waste Management, Inc. | 55,835 | 6,584,622 | |||
Westinghouse Air Brake Technologies Corp. | 25,766 | 1,886,071 | |||
Xylem, Inc. | 25,758 | 2,621,907 | |||
385,266,860 | |||||
INFORMATION TECHNOLOGY — 26.7% | |||||
Accenture PLC Class A | 91,018 | 23,774,812 | |||
Adobe, Inc. (a) | 69,544 | 34,780,345 | |||
Advanced Micro Devices, Inc. (a) | 174,600 | 16,012,566 | |||
Akamai Technologies, Inc. (a) | 23,290 | 2,445,217 | |||
Amphenol Corp. Class A | 43,020 | 5,625,725 | |||
Analog Devices, Inc. | 37,535 | 5,545,046 | |||
ANSYS, Inc. (a) | 12,300 | 4,474,740 | |||
Apple, Inc. | 2,314,096 | 307,057,398 | |||
Applied Materials, Inc. | 133,454 | 11,517,080 | |||
Arista Networks, Inc. (a) | 7,900 | 2,295,503 | |||
Autodesk, Inc. (a) | 32,106 | 9,803,246 | |||
Automatic Data Processing, Inc. | 62,852 | 11,074,522 | |||
Broadcom, Inc. | 58,591 | 25,654,069 | |||
Broadridge Financial Solutions, Inc. | 17,300 | 2,650,360 | |||
Cadence Design Systems, Inc. (a) | 41,200 | 5,620,916 | |||
CDW Corp. | 21,100 | 2,780,769 | |||
Cisco Systems, Inc. | 607,190 | 27,171,752 | |||
Citrix Systems, Inc. | 18,589 | 2,418,429 | |||
Cognizant Technology Solutions Corp. Class A | 79,741 | 6,534,775 | |||
Corning, Inc. | 108,326 | 3,899,736 | |||
DXC Technology Co. | 37,638 | 969,179 |
Security Description | Shares | Value | |||
F5 Networks, Inc. (a) | 9,441 | $ 1,661,050 | |||
Fidelity National Information Services, Inc. | 90,491 | 12,800,857 | |||
Fiserv, Inc. (a) | 81,424 | 9,270,937 | |||
FleetCor Technologies, Inc. (a) | 12,000 | 3,273,960 | |||
FLIR Systems, Inc. | 17,761 | 778,465 | |||
Fortinet, Inc. (a) | 18,600 | 2,762,658 | |||
Gartner, Inc. (a) | 12,900 | 2,066,451 | |||
Global Payments, Inc. | 43,868 | 9,450,045 | |||
Hewlett Packard Enterprise Co. | 178,953 | 2,120,593 | |||
HP, Inc. | 199,653 | 4,909,467 | |||
Intel Corp. | 588,936 | 29,340,792 | |||
International Business Machines Corp. | 129,895 | 16,351,183 | |||
Intuit, Inc. | 38,237 | 14,524,324 | |||
IPG Photonics Corp. (a) | 5,200 | 1,163,708 | |||
Jack Henry & Associates, Inc. | 10,400 | 1,684,696 | |||
Juniper Networks, Inc. | 42,349 | 953,276 | |||
Keysight Technologies, Inc. (a) | 26,500 | 3,500,385 | |||
KLA Corp. | 22,232 | 5,756,087 | |||
Lam Research Corp. | 21,277 | 10,048,489 | |||
Leidos Holdings, Inc. | 18,300 | 1,923,696 | |||
Mastercard, Inc. Class A | 127,451 | 45,492,360 | |||
Maxim Integrated Products, Inc. | 64,146 | 5,686,543 | |||
Microchip Technology, Inc. | 37,283 | 5,149,155 | |||
Micron Technology, Inc. (a) | 162,334 | 12,204,270 | |||
Microsoft Corp. | 1,094,758 | 243,496,074 | |||
Motorola Solutions, Inc. | 23,872 | 4,059,672 | |||
NetApp, Inc. | 33,814 | 2,239,839 | |||
NortonLifeLock, Inc. | 85,560 | 1,777,937 | |||
NVIDIA Corp. | 89,744 | 46,864,317 | |||
Oracle Corp. | 272,635 | 17,636,758 | |||
Paychex, Inc. | 47,407 | 4,417,384 | |||
Paycom Software, Inc. (a) | 7,100 | 3,210,975 | |||
PayPal Holdings, Inc. (a) | 169,845 | 39,777,699 | |||
Qorvo, Inc. (a) | 16,400 | 2,726,828 | |||
QUALCOMM, Inc. | 164,226 | 25,018,189 | |||
salesforce.com, Inc. (a) | 132,395 | 29,461,859 | |||
Seagate Technology PLC | 33,624 | 2,090,068 | |||
ServiceNow, Inc. (a) | 28,000 | 15,412,040 | |||
Skyworks Solutions, Inc. | 23,800 | 3,638,544 | |||
Synopsys, Inc. (a) | 21,600 | 5,599,584 | |||
TE Connectivity, Ltd. | 47,551 | 5,757,000 | |||
Teradyne, Inc. | 23,800 | 2,853,382 | |||
Texas Instruments, Inc. | 133,393 | 21,893,793 | |||
Tyler Technologies, Inc. (a) | 5,800 | 2,531,816 | |||
VeriSign, Inc. (a) | 14,501 | 3,138,016 | |||
Visa, Inc. Class A | 245,760 | 53,755,085 | |||
Vontier Corp. (a) | 17,739 | 592,483 | |||
Western Digital Corp. | 41,353 | 2,290,543 | |||
Western Union Co. | 53,945 | 1,183,553 | |||
Xerox Holdings Corp. | 25,527 | 591,971 | |||
Xilinx, Inc. | 36,060 | 5,112,226 |
Security Description | Shares | Value | |||
Zebra Technologies Corp. Class A (a) | 7,500 | $ 2,882,475 | |||
1,264,989,742 | |||||
MATERIALS — 2.6% | |||||
Air Products & Chemicals, Inc. | 31,702 | 8,661,620 | |||
Albemarle Corp. | 15,900 | 2,345,568 | |||
Alcoa Corp. (a) | 1 | 23 | |||
Amcor PLC | 219,026 | 2,577,936 | |||
Avery Dennison Corp. | 12,070 | 1,872,178 | |||
Ball Corp. | 48,332 | 4,503,576 | |||
Celanese Corp. | 17,000 | 2,208,980 | |||
CF Industries Holdings, Inc. | 28,520 | 1,104,009 | |||
Corteva, Inc. | 107,082 | 4,146,215 | |||
Dow, Inc. | 106,548 | 5,913,414 | |||
DuPont de Nemours, Inc. | 107,782 | 7,664,378 | |||
Eastman Chemical Co. | 20,136 | 2,019,238 | |||
Ecolab, Inc. | 35,700 | 7,724,052 | |||
FMC Corp. | 18,578 | 2,135,170 | |||
Freeport-McMoRan, Inc. | 210,440 | 5,475,649 | |||
International Flavors & Fragrances, Inc. (b) | 14,651 | 1,594,615 | |||
International Paper Co. | 54,403 | 2,704,917 | |||
Linde PLC (a) | 75,463 | 19,885,255 | |||
LyondellBasell Industries NV Class A | 37,758 | 3,460,898 | |||
Martin Marietta Materials, Inc. | 8,945 | 2,540,112 | |||
Mosaic Co. | 50,584 | 1,163,938 | |||
Newmont Corp. | 115,433 | 6,913,282 | |||
Nucor Corp. | 43,348 | 2,305,680 | |||
Packaging Corp. of America | 13,700 | 1,889,367 | |||
PPG Industries, Inc. | 34,854 | 5,026,644 | |||
Sealed Air Corp. | 22,923 | 1,049,644 | |||
Sherwin-Williams Co. | 12,009 | 8,825,534 | |||
Vulcan Materials Co. | 20,971 | 3,110,209 | |||
Westrock Co. | 37,536 | 1,633,942 | |||
120,456,043 | |||||
REAL ESTATE — 2.4% | |||||
Alexandria Real Estate Equities, Inc. REIT | 16,900 | 3,011,918 | |||
American Tower Corp. REIT | 64,718 | 14,526,602 | |||
AvalonBay Communities, Inc. REIT | 20,069 | 3,219,670 | |||
Boston Properties, Inc. REIT | 20,346 | 1,923,307 | |||
CBRE Group, Inc. Class A (a) | 49,967 | 3,133,930 | |||
Crown Castle International Corp. REIT | 61,458 | 9,783,499 | |||
Digital Realty Trust, Inc. REIT | 40,300 | 5,622,253 | |||
Duke Realty Corp. REIT | 53,300 | 2,130,401 | |||
Equinix, Inc. REIT | 12,943 | 9,243,632 | |||
Equity Residential REIT | 49,719 | 2,947,342 | |||
Essex Property Trust, Inc. REIT | 9,345 | 2,218,690 | |||
Extra Space Storage, Inc. REIT | 18,600 | 2,154,996 |
Security Description | Shares | Value | |||
Federal Realty Investment Trust REIT | 10,200 | $ 868,224 | |||
Healthpeak Properties, Inc. REIT | 86,023 | 2,600,475 | |||
Host Hotels & Resorts, Inc. REIT | 103,562 | 1,515,112 | |||
Iron Mountain, Inc. REIT (b) | 44,681 | 1,317,196 | |||
Kimco Realty Corp. REIT | 67,153 | 1,007,967 | |||
Mid-America Apartment Communities, Inc. REIT | 16,500 | 2,090,385 | |||
Prologis, Inc. REIT | 108,050 | 10,768,263 | |||
Public Storage REIT | 22,435 | 5,180,915 | |||
Realty Income Corp. REIT | 48,500 | 3,015,245 | |||
Regency Centers Corp. REIT | 21,200 | 966,508 | |||
SBA Communications Corp. REIT | 15,900 | 4,485,867 | |||
Simon Property Group, Inc. REIT | 48,180 | 4,108,790 | |||
SL Green Realty Corp. REIT (b) | 9,300 | 554,094 | |||
UDR, Inc. REIT | 42,600 | 1,637,118 | |||
Ventas, Inc. REIT | 53,497 | 2,623,493 | |||
Vornado Realty Trust REIT | 23,168 | 865,093 | |||
Welltower, Inc. REIT | 61,919 | 4,001,206 | |||
Weyerhaeuser Co. REIT | 110,987 | 3,721,394 | |||
111,243,585 | |||||
UTILITIES — 2.7% | |||||
AES Corp. | 91,136 | 2,141,696 | |||
Alliant Energy Corp. | 37,600 | 1,937,528 | |||
Ameren Corp. | 36,004 | 2,810,472 | |||
American Electric Power Co., Inc. | 71,309 | 5,937,900 | |||
American Water Works Co., Inc. | 26,900 | 4,128,343 | |||
Atmos Energy Corp. | 18,700 | 1,784,541 | |||
CenterPoint Energy, Inc. | 78,576 | 1,700,385 | |||
CMS Energy Corp. | 41,055 | 2,504,766 | |||
Consolidated Edison, Inc. | 51,852 | 3,747,344 | |||
Dominion Energy, Inc. | 117,266 | 8,818,403 | |||
DTE Energy Co. | 27,445 | 3,332,097 | |||
Duke Energy Corp. | 107,592 | 9,851,124 | |||
Edison International | 56,214 | 3,531,364 | |||
Entergy Corp. | 28,498 | 2,845,240 | |||
Evergy, Inc. | 31,299 | 1,737,408 | |||
Eversource Energy | 48,817 | 4,223,159 | |||
Exelon Corp. | 143,484 | 6,057,895 | |||
FirstEnergy Corp. | 78,393 | 2,399,610 | |||
NextEra Energy, Inc. | 285,256 | 22,007,500 | |||
NiSource, Inc. | 59,604 | 1,367,316 |
Security Description | Shares | Value | |||
NRG Energy, Inc. | 35,702 | $ 1,340,610 | |||
Pinnacle West Capital Corp. | 17,504 | 1,399,445 | |||
PPL Corp. | 109,219 | 3,079,976 | |||
Public Service Enterprise Group, Inc. | 74,888 | 4,365,970 | |||
Sempra Energy | 41,062 | 5,231,709 | |||
Southern Co. | 154,659 | 9,500,702 | |||
WEC Energy Group, Inc. | 44,882 | 4,130,490 | |||
Xcel Energy, Inc. | 76,251 | 5,083,654 | |||
126,996,647 | |||||
TOTAL COMMON STOCKS (Cost $2,958,183,894) | 4,583,223,110 |
SHORT-TERM INVESTMENTS — 2.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (d) (e) | 132,932,599 | 132,932,599 | |
State Street Navigator Securities Lending Portfolio II (c) (f) | 3,755,880 | 3,755,880 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $136,688,479) | 136,688,479 | ||
TOTAL INVESTMENTS — 99.7% (Cost $3,094,872,373) | 4,719,911,589 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 12,335,849 | ||
NET ASSETS — 100.0% | $ 4,732,247,438 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2020. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 729 | 03/19/2021 | $133,493,936 | $136,643,760 | $3,149,824 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $ 4,583,223,110 | $— | $— | $ 4,583,223,110 | ||||
Short-Term Investments | 136,688,479 | — | — | 136,688,479 | ||||
TOTAL INVESTMENTS | $ 4,719,911,589 | $— | $— | $ 4,719,911,589 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 3,149,824 | — | — | 3,149,824 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 3,149,824 | $— | $— | $ 3,149,824 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,723,061,413 | $— | $— | $4,723,061,413 |
(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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Corp. | 41,778 | $ 3,304,640 | $ 553,826 | $ — | $ — | $(242,901) | 49,678 | $ 3,615,565 | $ 97,974 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 116,650,458 | 116,662,123 | 75,576,793 | 192,251,388 | 16,656 | (4,184) | — | — | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 1,175,002,343 | 1,042,069,744 | — | — | 132,932,599 | 132,932,599 | 233,338 | ||||||||
State Street Navigator Securities Lending Portfolio II | 7,182,686 | 7,182,686 | 44,441,327 | 47,868,133 | — | — | 3,755,880 | 3,755,880 | 37,561 | ||||||||
Total | $127,149,449 | $1,295,574,289 | $1,282,189,265 | $16,656 | $(247,085) | $140,304,044 | $368,873 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $4,579,607,545 |
Investments in affiliated issuers, at value | 140,304,044 |
Total Investments | 4,719,911,589 |
Net cash at broker | 5,764,198 |
Receivable from broker — accumulated variation margin on futures contracts | 3,151,488 |
Receivable for fund shares sold | 32,013,122 |
Dividends receivable — unaffiliated issuers | 3,311,374 |
Dividends receivable — affiliated issuers | 30,223 |
Securities lending income receivable — unaffiliated issuers | 75 |
Securities lending income receivable — affiliated issuers | 2,466 |
Prepaid expenses and other assets | 6,192 |
TOTAL ASSETS | 4,764,190,727 |
LIABILITIES | |
Payable upon return of securities loaned | 3,755,880 |
Payable for fund shares repurchased | 27,904,648 |
Payable to Adviser | 17,720 |
Administration, custody, and transfer agent fees payable | 93,189 |
Trustees’ fees and expenses payable | 823 |
Registration and filing fees payable | 35,356 |
Professional fees payable | 46,500 |
Printing and postage fees payable | 10,633 |
Accrued expenses and other liabilities | 78,540 |
TOTAL LIABILITIES | 31,943,289 |
NET ASSETS | $4,732,247,438 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,132,512,628 |
Total distributable earnings (loss) | 1,599,734,810 |
NET ASSETS | $4,732,247,438 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 344.77 |
Shares outstanding (unlimited amount authorized, no par value) | 13,725,905 |
Net Assets | $4,732,247,438 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,954,835,473 |
Investments in affiliated issuers | 140,036,900 |
Total cost of investments | $3,094,872,373 |
* Includes investments in securities on loan, at value | $ 3,918,249 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 588 |
Dividend income — unaffiliated issuers | 63,069,462 |
Dividend income — affiliated issuers | 331,312 |
Unaffiliated securities lending income | 7,054 |
Affiliated securities lending income | 37,561 |
TOTAL INVESTMENT INCOME (LOSS) | 63,445,977 |
EXPENSES | |
Administration, custody, and transfer agent fees | 464,122 |
Trustees’ fees and expenses | 57,475 |
Professional fees | 56,134 |
Printing and postage fees | 18,928 |
Insurance expense | 14,801 |
Miscellaneous expenses | 100,291 |
TOTAL EXPENSES | 711,751 |
Expenses waived/reimbursed by the Adviser | (9,836) |
NET EXPENSES | 701,915 |
NET INVESTMENT INCOME (LOSS) | $ 62,744,062 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 5,961,778 |
Investments — affiliated issuers | 16,656 |
Futures contracts | 8,789,867 |
Net realized gain (loss) | 14,768,301 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 598,065,300 |
Investments — affiliated issuers | (247,085) |
Futures contracts | 1,207,500 |
Net change in unrealized appreciation/depreciation | 599,025,715 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 613,794,016 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $676,538,078 |
Year Ended 12/31/20 | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 62,744,062 | $ 65,664,107 | |
Net realized gain (loss) | 14,768,301 | 98,343,773 | |
Net change in unrealized appreciation/depreciation | 599,025,715 | 707,290,399 | |
Net increase (decrease) in net assets resulting from operations | 676,538,078 | 871,298,279 | |
Distributions to shareholders | (165,181,932) | (88,221,519) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 1,401,873,496 | 736,270,097 | |
Reinvestment of distributions | 165,181,932 | 88,221,519 | |
Cost of shares redeemed | (570,161,285) | (1,018,104,068) | |
Net increase (decrease) in net assets from beneficial interest transactions | 996,894,143 | (193,612,452) | |
Net increase (decrease) in net assets during the period | 1,508,250,289 | 589,464,308 | |
Net assets at beginning of period | 3,223,997,149 | 2,634,532,841 | |
NET ASSETS AT END OF PERIOD | $4,732,247,438 | $ 3,223,997,149 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 4,588,233 | 2,693,283 | |
Reinvestment of distributions | 487,190 | 292,706 | |
Shares redeemed | (2,014,344) | (3,510,546) | |
Net increase (decrease) from share transactions | 3,061,079 | (524,557) |
(a) | On April 17, 2020, State Street Equity 500 Index II Portfolio underwent a 1-for-20 reverse share split. The historical activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Year Ended 12/31/20 | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | $ 206.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 5.44 | 5.60 | 5.20 | 5.00 | 4.60 | ||||
Net realized and unrealized gain (loss) | 49.45 | 68.40 | (17.20) | 44.20 | 20.40 | ||||
Total from investment operations | 54.89 | 74.00 | (12.00) | 49.20 | 25.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (5.28) | (5.20) | (5.20) | (5.40) | (3.60) | ||||
Net realized gains | (7.24) | (1.80) | (8.80) | (8.60) | (1.60) | ||||
Total distributions | (12.52) | (7.00) | (14.00) | (14.00) | (5.20) | ||||
Net asset value, end of period | $ 344.77 | $ 302.40 | $ 235.40 | $ 261.40 | $ 226.20 | ||||
Total return (c) | 18.30% | 31.41% | (4.42)% | 21.66% | 12.18% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,732,247 | $3,223,997 | $2,634,533 | $2,199,181 | $1,227,444 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.02% | 0.03% | 0.03% | 0.03% | 0.04% | ||||
Net expenses | 0.02% | 0.02% | 0.02% | 0.03% | 0.03% | ||||
Net investment income (loss) | 1.79% | 2.01% | 1.93% | 1.98% | 2.15% | ||||
Portfolio turnover rate | 6% | 21% | 8% | 30% | 5% |
(a) | On April 17, 2020, the State Street Equity 500 Index II 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 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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified |
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at December 31, 2020 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 45.94% |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $3,151,488 | $— | $3,151,488 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $8,789,867 | $— | $8,789,867 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,207,500 | $— | $1,207,500 |
Purchases | Sales | ||
State Street Equity 500 Index II Portfolio | $1,099,752,086 | $206,989,869 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $33,291,426 | $ 5,528,226 | $ 38,819,652 | ||
State Street Equity 500 Index II Portfolio | 72,912,208 | 92,269,724 | 165,181,932 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Equity 500 Index Fund | $ 22,927,638 | $ 27,118,237 | $ 50,045,875 | ||
State Street Equity 500 Index II Portfolio | 69,977,339 | 18,244,180 | 88,221,519 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Equity 500 Index Fund | $ 172,861 | $— | $42,082,061 | $ 552,788,866 | $ 595,043,788 | ||||
State Street Equity 500 Index II Portfolio | 5,959,308 | — | 21,711,171 | 1,572,064,331 | 1,599,734,810 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Fund | $1,621,286,388 | $ 552,788,866 | $ — | $ 552,788,866 | |||
State Street Equity 500 Index II Portfolio | 3,150,996,988 | 1,657,417,065 | 85,352,640 | 1,572,064,425 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index II Portfolio | $ 3,918,249 | $ 3,755,880 | $ 286,267 | $ 4,042,147 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $3,755,880 | $— | $— | $— | $3,755,880 | $3,755,880 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Equity 500 Index Fund(b) | |||||||||
Administrative Shares | 0.17% | $1,219.90 | $0.95 | $1,024.30 | $0.87 | ||||
Service Shares | 0.27 | 1,219.20 | 1.51 | 1,023.80 | 1.37 | ||||
Class R Shares | 0.62 | 1,217.10 | 3.46 | 1,022.00 | 3.15 | ||||
Class A Shares | 0.47 | 1,218.00 | 2.62 | 1,022.80 | 2.39 | ||||
Class I Shares | 0.22 | 1,219.60 | 1.23 | 1,024.00 | 1.12 | ||||
Class K Shares | 0.02 | 1,220.80 | 0.11 | 1,025.00 | 0.10 | ||||
State Street Equity 500 Index II Portfolio | 0.02 | 1,220.80 | 0.11 | 1,025.00 | 0.10 |
(a) | Expenses are equal to the Fund’s/Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 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. |
Amount | |
State Street Equity 500 Index Fund | $ 5,528,226 |
State Street Equity 500 Index II Portfolio | 92,269,724 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
and the Portfolio and Transfer Agent of the
Portfolio
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Liquid Reserves Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
17 | |
18 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $16,127,551,865 |
Prepaid expenses and other assets | 28,402 |
TOTAL ASSETS | 16,127,580,267 |
LIABILITIES | |
Payable to Adviser | 12,883 |
Administration fees payable | 654,811 |
Shareholder servicing fee payable | 120,270 |
Distribution fees payable | 21,766 |
Transfer agent fees payable | 53,521 |
Registration and filing fees payable | 82,226 |
Professional fees payable | 36,269 |
Printing fees payable | 19,141 |
Distribution payable | 117,430 |
Accrued expenses and other liabilities | 232,379 |
TOTAL LIABILITIES | 1,350,696 |
NET ASSETS | $16,126,229,571 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $16,127,270,375 |
Total distributable earnings (loss) | (1,040,804) |
NET ASSETS | $16,126,229,571 |
Administration Class | |
Net Assets | $ 567,549,898 |
Shares Outstanding | 567,491,044 |
Net asset value, offering and redemption price per share | $ 1.0001 |
Institutional Class | |
Net Assets | $ 153,757,483 |
Shares Outstanding | 153,704,305 |
Net asset value, offering and redemption price per share | $ 1.0003 |
Investment Class | |
Net Assets | $ 6,200 |
Shares Outstanding | 6,199 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Investor Class | |
Net Assets | $ 97,897,652 |
Shares Outstanding | 97,878,093 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Premier Class | |
Net Assets | $14,854,600,535 |
Shares Outstanding | 14,851,607,029 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Trust Class | |
Net Assets | $ 452,417,803 |
Shares Outstanding | 452,331,090 |
Net asset value, offering and redemption price per share | $ 1.0002 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $16,127,076,192 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $135,448,459 |
Expenses allocated from affiliated Portfolio | (11,267,681) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 124,180,778 |
EXPENSES | |
Administration fees | |
Administration Class | 290,561 |
Institutional Class | 155,324 |
Investment Class | 7 |
Investor Class | 74,480 |
Premier Class | 7,724,040 |
Trust Class | 315,375 |
Shareholder servicing fees | |
Administration Class | 1,162,246 |
Institutional Class | 93,195 |
Investment Class | 26 |
Investor Class | 119,168 |
Trust Class | 365,836 |
Distribution fees | |
Administration Class | 290,561 |
Investment Class | 10 |
Custodian fees | 65,222 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 314,336 |
Registration and filing fees | 380,531 |
Professional fees and expenses | 95,193 |
Printing and postage fees | 55,081 |
Insurance expense | 68,133 |
Miscellaneous expenses | 77,799 |
TOTAL EXPENSES | 11,668,124 |
Expenses waived/reimbursed by the Adviser | (650,721) |
NET EXPENSES | 11,017,403 |
NET INVESTMENT INCOME (LOSS) | $ 113,163,375 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (1,520,746) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | (956,676) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,477,422) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 110,685,953 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 113,163,375 | $ 383,338,622 | |
Net realized gain (loss) | (1,520,746) | 206,342 | |
Net change in unrealized appreciation/depreciation | (956,676) | 1,566,595 | |
Net increase (decrease) in net assets resulting from operations | 110,685,953 | 385,111,559 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (2,508,291) | (16,286,035) | |
Institutional Class | (1,795,112) | (2,165,388) | |
Investment Class | (44) | (321) | |
Investor Class | (853,404) | (1,344,762) | |
Premier Class | (105,085,131) | (349,794,303) | |
Trust Class | (3,240,782) | (13,762,571) | |
Total distributions to shareholders | (113,482,764) | (383,353,380) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 5,350,163,645 | 7,064,387,447 | |
Reinvestment of distributions | 967,450 | 6,346,954 | |
Shares redeemed | (5,396,599,634) | (7,414,542,170) | |
Net increase (decrease) from capital share transactions | (45,468,539) | (343,807,769) | |
Institutional Class | |||
Shares sold | 1,039,255,767 | 346,019,418 | |
Reinvestment of distributions | 482,800 | 1,223,450 | |
Shares redeemed | (1,069,133,111) | (164,003,610) | |
Net increase (decrease) from capital share transactions | (29,394,544) | 183,239,258 | |
Investment Class | |||
Reinvestment of distributions | 22 | 117 | |
Shares redeemed | (6,007) | (11,314) | |
Net increase (decrease) from capital share transactions | (5,985) | (11,197) | |
Investor Class | |||
Shares sold | 838,381,570 | 591,140,341 | |
Reinvestment of distributions | 818,527 | 1,323,819 | |
Shares redeemed | (777,477,302) | (596,927,131) | |
Net increase (decrease) from capital share transactions | 61,722,795 | (4,462,971) | |
Premier Class | |||
Shares sold | 163,555,047,610 | 128,405,751,905 | |
Reinvestment of distributions | 88,956,761 | 300,188,572 | |
Shares redeemed | (168,975,379,628) | (118,008,766,305) | |
Net increase (decrease) from capital share transactions | (5,331,375,257) | 10,697,174,172 | |
Trust Class | |||
Shares sold | 5,768,057,656 | 7,060,825,006 | |
Reinvestment of distributions | 2,294,758 | 10,029,898 | |
Shares redeemed | (5,915,232,791) | (7,177,740,862) | |
Net increase (decrease) from capital share transactions | (144,880,377) | (106,885,958) | |
Net increase (decrease) in net assets from beneficial interest transactions | (5,489,401,907) | 10,425,245,535 | |
Net increase (decrease) in net assets during the period | (5,492,198,718) | 10,427,003,714 | |
Net assets at beginning of period | 21,618,428,289 | 11,191,424,575 | |
NET ASSETS AT END OF PERIOD | $ 16,126,229,571 | $ 21,618,428,289 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 5,349,685,085 | 7,063,766,984 | |
Reinvestment of distributions | 967,416 | 6,346,279 | |
Shares redeemed | (5,396,179,614) | (7,413,930,913) | |
Net increase (decrease) from share transactions | (45,527,113) | (343,817,650) | |
Institutional Class | |||
Shares sold | 1,038,965,842 | 345,940,633 | |
Reinvestment of distributions | 482,584 | 1,223,102 | |
Shares redeemed | (1,069,005,350) | (163,957,622) | |
Net increase (decrease) from share transactions | (29,556,924) | 183,206,113 | |
Investment Class | |||
Reinvestment of distributions | 22 | 117 | |
Shares redeemed | (6,005) | (11,313) | |
Net increase (decrease) from share transactions | (5,983) | (11,196) |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
Investor Class | |||
Shares sold | 838,222,166 | 591,076,978 | |
Reinvestment of distributions | 818,601 | 1,323,685 | |
Shares redeemed | (777,583,480) | (596,863,389) | |
Net increase (decrease) from share transactions | 61,457,287 | (4,462,726) | |
Premier Class | |||
Shares sold | 163,528,835,580 | 128,391,594,972 | |
Reinvestment of distributions | 88,949,273 | 300,151,150 | |
Shares redeemed | (168,952,575,641) | (117,995,489,305) | |
Net increase (decrease) from share transactions | (5,334,790,788) | 10,696,256,817 | |
Trust Class | |||
Shares sold | 5,766,928,033 | 7,059,739,420 | |
Reinvestment of distributions | 2,294,565 | 10,028,400 | |
Shares redeemed | (5,914,161,983) | (7,176,649,795) | |
Net increase (decrease) from share transactions | (144,939,385) | (106,881,975) |
Administration Class(a) | |||||||||
Year Ended 12/31/20 | 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) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0039 | 0.0205 | 0.0173 | 0.0080 | 0.0008 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0039) | (0.0203) | (0.0174) | (0.0080) | (0.0008) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0039) | (0.0203) | (0.0174) | (0.0080) | (0.0008) | ||||
Net asset value, end of period | $ 1.0001 | $ 1.0001 | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.39% | 2.07% | 1.75% | 0.80% | 0.08% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $567,550 | $613,074 | $956,750 | $831,606 | $798,447 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37% | 0.38% | 0.37% | 0.37% | 0.38%(d) | ||||
Net expenses | 0.32% | 0.37% | 0.37% | 0.37% | 0.38%(d) | ||||
Net investment income (loss) | 0.43% | 2.06% | 1.74% | 0.80% | 0.22%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class(a) | |||||
Year Ended 12/31/20 | 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) | 0.0054 | 0.0217 | 0.0108 | ||
Net realized and unrealized gain (loss) | 0.0002 | 0.0009 | 0.0001 | ||
Total from investment operations | 0.0056 | 0.0226 | 0.0109 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0055) | (0.0225) | (0.0108) | ||
Net asset value, end of period | $ 1.0003 | $ 1.0002 | $ 1.0001 | ||
Total return (b) | 0.56% | 2.28% | 1.08% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $153,757 | $183,304 | $ 55 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15% | 0.16% | 0.15%(c) | ||
Net expenses | 0.15% | 0.15% | 0.15%(c) | ||
Net investment income (loss) | 0.57% | 2.17% | 2.21%(c) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
Investment Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0036 | 0.0201 | 0.0164 | 0.0070 | 0.0010 | ||||
Net realized and unrealized gain (loss) | — | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | ||||
Total from investment operations | 0.0036 | 0.0198 | 0.0165 | 0.0069 | 0.0010 | ||||
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 | $ 1.0002 | $ 1.0002 | $ 1.0000 | $ 0.9999 | $ 1.0000 | ||||
Total return (c) | 0.37% | 1.99% | 1.67% | 0.69% | 0.10% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 6 | $ 12 | $ 23 | $ 5,547 | $ 5,582 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.45% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.35% | 0.45% | 0.47% | 0.47% | 0.46% | ||||
Net investment income (loss) | 0.38% | 2.01% | 1.18% | 0.70% | 0.08% |
(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. |
Investor Class(a) | |||||||
Year Ended 12/31/20 | 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) | 0.0049 | 0.0219 | 0.0191 | 0.0055 | |||
Net realized and unrealized gain (loss) | 0.0002 | 0.0003 | — | (0.0001) | |||
Total from investment operations | 0.0051 | 0.0222 | 0.0191 | 0.0054 | |||
Voluntary expense reimbursement from Affiliate | — | — | — | 0.0000(b) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0050) | (0.0220) | (0.0191) | (0.0055) | |||
Net realized gains | — | — | — | (0.0000)(b) | |||
Total distributions | (0.0050) | (0.0220) | (0.0191) | (0.0055) | |||
Net asset value, end of period | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | |||
Total return (c) | 0.51% | 2.24% | 1.92% | 0.54% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $ 97,898 | $ 36,424 | $ 40,881 | $ 34,361 | |||
Ratios to Average Net Assets: | |||||||
Total expenses | 0.20% | 0.21% | 0.20% | 0.20%(d) | |||
Net expenses | 0.20% | 0.20% | 0.20% | 0.20%(d) | |||
Net investment income (loss) | 0.57% | 2.19% | 1.95% | 1.19%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Premier Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | $ 1.0000 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) | 0.0058 | 0.0223 | 0.0199 | 0.0105 | 0.0045 | ||||
Net realized and unrealized gain (loss) | 0.0001 | 0.0007 | — | (0.0002) | 0.0001 | ||||
Total from investment operations | 0.0059 | 0.0230 | 0.0199 | 0.0103 | 0.0046 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0058) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0058) | (0.0228) | (0.0199) | (0.0105) | (0.0045) | ||||
Net asset value, end of period | $ 1.0002 | $ 1.0001 | $ 0.9999 | $ 0.9999 | $ 1.0001 | ||||
Total return (c) | 0.59% | 2.32% | 2.00% | 1.05% | 0.45% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $14,854,601 | $20,188,261 | $9,489,591 | $8,303,222 | $6,255,384 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.13% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.67% | 2.23% | 2.00% | 1.06% | 0.43% |
(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. |
Trust Class(a) | |||||||||
Year Ended 12/31/20 | 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) | 0.0052 | 0.0226 | 0.0193 | 0.0099 | 0.0015 | ||||
Net realized and unrealized gain (loss) | 0.0001 | (0.0003) | 0.0001 | (0.0001) | 0.0000(b) | ||||
Total from investment operations | 0.0053 | 0.0223 | 0.0194 | 0.0098 | 0.0015 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0052) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0052) | (0.0222) | (0.0193) | (0.0099) | (0.0015) | ||||
Net asset value, end of period | $ 1.0002 | $ 1.0001 | $ 1.0000 | $ 0.9999 | $ 1.0000 | ||||
Total return (c) | 0.53% | 2.26% | 1.96% | 0.99% | 0.15% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $452,418 | $597,353 | $704,123 | $764,391 | $1,211,202 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.19%(d) | ||||
Net expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.19%(d) | ||||
Net investment income (loss) | 0.51% | 2.26% | 1.91% | 0.97% | 0.39%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Liquid Reserves Fund | Premier Class Institutional Class Investment Class Administration Class Investor Class Service Class Trust Class | August 12, 2004 July 6, 2018 October 15, 2007 August 29, 2016 July 13, 2017 Not commenced August 29, 2016 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $113,482,764 | $— | $113,482,764 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Liquid Reserves Fund | $ 383,353,380 | $ — | $ 383,353,380 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Liquid Reserves Fund | $4,269 | $(1,520,746) | $— | $475,673 | $(1,040,804) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Institutional Liquid Reserves Fund | $1,520,746 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Institutional Liquid Reserves Fund | $16,127,076,192 | $475,673 | $— | $475,673 |
February 26, 2021
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 | 0.25% | $ 999.80 | $1.26 | $1,023.90 | $1.27 | ||||
Institutional Class | 0.15 | 1,000.30 | 0.75 | 1,024.40 | 0.76 | ||||
Investment Class | 0.32 | 999.80 | 1.61 | 1,023.50 | 1.63 | ||||
Investor Class | 0.20 | 1,000.10 | 1.01 | 1,024.10 | 1.02 | ||||
Premier Class | 0.12 | 1,000.50 | 0.60 | 1,024.50 | 0.61 | ||||
Trust Class | 0.18 | 1,000.20 | 0.91 | 1,024.20 | 0.92 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Money Market Portfolio |
1 | |
2 | |
8 | |
9 | |
10 | |
11 | |
12 | |
17 | |
18 |
% of Net Assets | |||
Certificates of Deposit | 21.0% | ||
Financial Company Commercial Paper | 20.2 | ||
Treasury Repurchase Agreements | 15.1 | ||
Other Notes | 14.4 | ||
Asset Backed Commercial Paper | 12.4 | ||
Other Repurchase Agreements | 9.3 | ||
Treasury Debt | 5.0 | ||
Government Agency Repurchase Agreements | 3.6 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 48.3% | ||
31 to 60 Days | 12.7 | ||
61 to 90 Days | 7.4 | ||
Over 90 Days | 32.6 | ||
Total | 101.0% | ||
Average days to maturity | 36 | ||
Weighted average life | 73 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—12.4% | ||||||||||
Alinghi Funding Company LLC(a) | 0.230% | 01/15/2021 | 01/15/2021 | $ 87,000,000 | $ 86,994,563 | |||||
Alinghi Funding Company LLC(a) | 0.260% | 03/05/2021 | 03/05/2021 | 97,000,000 | 96,959,821 | |||||
Alpine Securitization LLC(a) | 0.210% | 03/04/2021 | 03/04/2021 | 100,000,000 | 99,955,900 | |||||
Alpine Securitization LLC(a) | 0.240% | 02/10/2021 | 02/10/2021 | 50,000,000 | 49,986,277 | |||||
Alpine Securitization LLC(a) | 0.270% | 05/20/2021 | 05/20/2021 | 20,000,000 | 19,979,000 | |||||
Antalis SA(a) | 0.220% | 01/08/2021 | 01/08/2021 | 30,000,000 | 29,999,120 | |||||
Barton Capital SA(a) | 0.120% | 01/04/2021 | 01/04/2021 | 37,000,000 | 36,999,466 | |||||
Barton Capital SA(a) | 0.220% | 01/11/2021 | 01/11/2021 | 38,000,000 | 37,998,374 | |||||
Cancara Asset Securitisation LLC(a) | 0.260% | 05/04/2021 | 05/04/2021 | 75,000,000 | 74,932,575 | |||||
Collateralized Commercial Paper FLEX Co. LLC(a) | 0.250% | 04/01/2021 | 04/01/2021 | 110,000,000 | 109,930,487 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.250% | 06/04/2021 | 06/04/2021 | 69,000,000 | 68,919,193 | |||||
Collateralized Commercial Paper V Co. LLC(a) | 0.290% | 06/22/2021 | 06/22/2021 | 110,000,000 | 109,853,047 | |||||
Columbia Funding Co. LLC(a) | 0.240% | 04/06/2021 | 04/06/2021 | 38,000,000 | 37,969,397 | |||||
Ionic Capital II Trust(a) | 0.270% | 03/05/2021 | 03/05/2021 | 95,000,000 | 94,955,582 | |||||
Ionic Capital II Trust(a) | 0.310% | 03/02/2021 | 03/02/2021 | 128,000,000 | 127,943,392 | |||||
Ionic Capital II Trust(a) | 0.320% | 03/19/2021 | 03/19/2021 | 150,000,000 | 149,911,600 | |||||
Lexington Parker Capital Co. LLC(a) | 0.120% | 01/05/2021 | 01/05/2021 | 150,000,000 | 149,997,291 | |||||
Lexington Parker Capital Co. LLC(a) | 0.230% | 01/13/2021 | 01/13/2021 | 68,293,000 | 68,289,251 | |||||
LMA Americas LLC(a) | 0.090% | 01/04/2021 | 01/04/2021 | 145,000,000 | 144,998,179 | |||||
Mountcliff Funding LLC(a) | 0.140% | 01/04/2021 | 01/04/2021 | 110,000,000 | 109,998,412 | |||||
Ridgefield Funding Co. LLC(a) | 0.250% | 02/16/2021 | 02/16/2021 | 150,000,000 | 149,958,874 | |||||
Versailles Commercial Paper LLC(a) | 0.240% | 02/08/2021 | 02/08/2021 | 150,000,000 | 149,966,037 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 2,006,495,838 | |||||||||
CERTIFICATES OF DEPOSIT—21.0% | ||||||||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.09%(b) | 0.304% | 02/12/2021 | 02/12/2021 | 97,500,000 | 97,512,337 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.09%(b) | 0.320% | 01/19/2021 | 07/16/2021 | 50,000,000 | 50,023,976 | |||||
BNP Paribas, SOFR + 0.15%(b) | 0.240% | 01/01/2021 | 04/09/2021 | 150,000,000 | 150,027,628 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.04%(b) | 0.265% | 01/04/2021 | 10/01/2021 | 165,000,000 | 164,975,654 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.09%(b) | 0.309% | 03/16/2021 | 12/16/2021 | 200,000,000 | 199,999,988 | |||||
Credit Suisse(a) | 0.220% | 02/05/2021 | 02/05/2021 | 105,000,000 | 105,005,865 | |||||
Mizuho Bank Ltd.(a) | 0.290% | 02/19/2021 | 02/19/2021 | 150,000,000 | 149,940,836 | |||||
MUFG Bank Ltd.(a) | 0.240% | 04/14/2021 | 04/14/2021 | 100,000,000 | 100,003,141 | |||||
MUFG Bank Ltd.(a) | 0.290% | 01/26/2021 | 01/26/2021 | 150,000,000 | 150,021,436 | |||||
Oversea-Chinese Banking Corp. Ltd.(a) | 0.210% | 03/11/2021 | 03/11/2021 | 120,000,000 | 119,990,654 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.03%(b) | 0.236% | 02/10/2021 | 08/10/2021 | 63,000,000 | 62,996,221 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.05%(b) | 0.280% | 01/08/2021 | 10/08/2021 | 150,500,000 | 150,499,998 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.09%(b) | 0.320% | 03/08/2021 | 12/07/2021 | 150,000,000 | 149,999,990 | |||||
Standard Chartered Bank(a) | 0.260% | 02/26/2021 | 02/26/2021 | 100,000,000 | 100,012,954 | |||||
Standard Chartered Bank(a) | 0.280% | 02/01/2021 | 02/01/2021 | 151,000,000 | 151,015,946 | |||||
Standard Chartered Bank(a) | 0.300% | 05/14/2021 | 05/14/2021 | 155,000,000 | 155,040,873 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.230% | 02/26/2021 | 02/26/2021 | 150,000,000 | 150,013,263 | |||||
Sumitomo Mitsui Banking Corp.(a) | 0.270% | 05/06/2021 | 05/06/2021 | 130,000,000 | 130,004,497 | |||||
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.08%(b) | 0.235% | 01/04/2021 | 03/01/2021 | 175,000,000 | 175,018,991 | |||||
Sumitomo Mitsui Banking Corp., 3 Month USD LIBOR + 0.06%(b) | 0.305% | 03/23/2021 | 06/23/2021 | 42,000,000 | 41,999,999 | |||||
Sumitomo Mitsui Banking Corp., 3 Month USD LIBOR + 0.06%(b) | 0.305% | 03/24/2021 | 06/24/2021 | 108,000,000 | 107,999,996 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.25%(b) | 0.402% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,002,924 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.06%(b) | 0.292% | 02/05/2021 | 11/05/2021 | 150,000,000 | 149,999,991 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.08%(b) | 0.334% | 03/29/2021 | 12/29/2021 | $ 175,000,000 | $ 174,999,996 | |||||
Toronto Dominion Bank, 3 Month USD LIBOR + 0.04%(b) | 0.274% | 01/05/2021 | 10/05/2021 | 175,000,000 | 175,000,000 | |||||
Toronto-Dominion Bank(a) | 0.240% | 04/29/2021 | 04/29/2021 | 125,000,000 | 124,992,155 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 3,387,099,309 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—20.2% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.210% | 04/01/2021 | 04/01/2021 | 125,000,000 | 124,955,448 | |||||
Credit Industriel et Commercial, 3 Month USD LIBOR + 0.06%(b) | 0.280% | 02/04/2021 | 05/04/2021 | 150,000,000 | 150,024,973 | |||||
DBS Bank Ltd.(a) | 0.180% | 01/06/2021 | 01/06/2021 | 85,000,000 | 84,998,583 | |||||
DBS Bank Ltd.(a) | 0.220% | 04/07/2021 | 04/07/2021 | 65,000,000 | 64,964,622 | |||||
DBS Bank Ltd.(a) | 0.250% | 05/07/2021 | 05/07/2021 | 170,000,000 | 169,874,059 | |||||
DNB Bank ASA(a) | 0.080% | 01/07/2021 | 01/07/2021 | 89,000,000 | 88,998,270 | |||||
Erste Abwicklungsanstalt(a) | 0.210% | 04/07/2021 | 04/07/2021 | 85,000,000 | 84,956,027 | |||||
Federation des Caisses Desjardins du Quebec(a) | 0.080% | 01/06/2021 | 01/06/2021 | 100,000,000 | 99,998,333 | |||||
HSBC Bank PLC(a) | 0.400% | 03/22/2021 | 03/22/2021 | 175,000,000 | 174,913,375 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.14%(b) | 0.360% | 01/06/2021 | 10/06/2021 | 150,000,000 | 150,000,000 | |||||
Lloyds Bank PLC(a) | 0.270% | 04/16/2021 | 04/16/2021 | 150,000,000 | 149,900,625 | |||||
Oversea-Chinese Banking Corp. Ltd., 3 Month USD LIBOR + 0.05%(b) | 0.256% | 02/12/2021 | 08/12/2021 | 120,000,000 | 120,000,000 | |||||
Societe Generale(a) | 0.070% | 01/04/2021 | 01/04/2021 | 69,000,000 | 68,999,233 | |||||
Societe Generale(a) | 0.100% | 01/06/2021 | 01/06/2021 | 100,000,000 | 99,998,333 | |||||
Societe Generale(a) | 0.250% | 05/07/2021 | 05/07/2021 | 150,000,000 | 149,868,767 | |||||
Societe Generale(a) | 0.280% | 05/03/2021 | 05/03/2021 | 204,000,000 | 203,826,447 | |||||
Societe Generale(a) | 0.295% | 06/14/2021 | 06/14/2021 | 100,000,000 | 99,890,000 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.08%(b) | 0.232% | 01/04/2021 | 05/04/2021 | 150,000,000 | 150,000,000 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.04%(b) | 0.256% | 02/03/2021 | 02/03/2021 | 125,000,000 | 125,000,000 | |||||
Swedbank AB(a) | 0.220% | 04/30/2021 | 04/30/2021 | 200,000,000 | 199,880,000 | |||||
Toronto Dominion Bank(a) | 0.130% | 01/04/2021 | 01/04/2021 | 125,000,000 | 124,998,750 | |||||
Toronto Dominion Bank, 3 Month USD LIBOR + 0.05%(b) | 0.264% | 02/01/2021 | 02/01/2021 | 85,000,000 | 85,005,092 | |||||
Toronto Dominion Bank, 3 Month USD LIBOR + 0.05%(b) | 0.270% | 02/03/2021 | 02/03/2021 | 150,000,000 | 150,008,443 | |||||
Toyota Motor Finance, 3 Month USD LIBOR + 0.07%(b) | 0.307% | 01/15/2021 | 07/12/2021 | 130,000,000 | 130,000,000 | |||||
UBS AG, 3 Month USD LIBOR + 0.07%(b) | 0.304% | 01/04/2021 | 10/04/2021 | 150,000,000 | 149,999,999 | |||||
Westpac Banking Corp., 3 Month USD LIBOR + 0.07%(b) | 0.294% | 01/11/2021 | 01/11/2021 | 55,000,000 | 55,000,823 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 3,256,060,202 | |||||||||
OTHER NOTES—14.4% | ||||||||||
ABN Amro Bank NV(a) | 0.090% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
ABN Amro Bank NV(a) | 0.120% | 01/05/2021 | 01/05/2021 | 300,000,000 | 300,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.090% | 01/04/2021 | 01/04/2021 | 200,000,000 | 200,000,000 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.100% | 01/06/2021 | 01/06/2021 | 200,000,000 | 200,000,000 | |||||
Bank of America NA(a) | 0.176% | 03/02/2021 | 03/02/2021 | 75,000,000 | 75,008,630 | |||||
Canadian Imperial Bank of Commerce(a) | 0.080% | 01/04/2021 | 01/04/2021 | 232,433,000 | 232,433,000 | |||||
Citibank NA(a) | 0.140% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Mizuho Bank Ltd.(a) | 0.090% | 01/04/2021 | 01/04/2021 | 475,000,000 | 475,000,000 | |||||
National Australia Bank Ltd.(a) | 0.070% | 01/04/2021 | 01/04/2021 | 62,199,000 | 62,199,000 | |||||
National Bank of Canada(a) | 0.110% | 01/06/2021 | 01/06/2021 | 200,000,000 | 200,000,000 | |||||
Royal Bank of Canada(a) | 0.070% | 01/04/2021 | 01/04/2021 | 250,000,000 | 250,000,000 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.06%(b) | 0.285% | 01/01/2021 | 10/01/2021 | 125,000,000 | 125,013,750 | |||||
TOTAL OTHER NOTES | 2,319,654,380 | |||||||||
TREASURY DEBT—5.0% | ||||||||||
U.S. Treasury Bill(a) | 0.080% | 02/25/2021 | 02/25/2021 | 150,000,000 | 149,986,404 | |||||
U.S. Treasury Bill(a) | 0.081% | 03/11/2021 | 03/11/2021 | 150,000,000 | 149,978,688 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Bill(a) | 0.086% | 03/23/2021 | 03/23/2021 | $ 100,300,000 | $ 100,283,701 | |||||
U.S. Treasury Bill(a) | 0.088% | 06/10/2021 | 06/10/2021 | 150,000,000 | 149,946,032 | |||||
U.S. Treasury Bill(a) | 0.090% | 05/11/2021 | 05/11/2021 | 99,800,000 | 99,770,074 | |||||
U.S. Treasury Bill(a) | 0.095% | 05/27/2021 | 05/27/2021 | 149,000,000 | 148,951,171 | |||||
U.S. Treasury Bill(a) | 0.108% | 04/29/2021 | 04/29/2021 | 6,200,000 | 6,198,366 | |||||
TOTAL TREASURY DEBT | 805,114,436 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—3.6% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Federal National Mortgage Association, 4.500% due 04/01/2049, valued at $102,000,000); expected proceeds $100,002,000 | 0.180% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal National Mortgage Associations, 2.500% – 5.000% due 05/25/2030 – 09/25/2060, valued at $84,240,000); expected proceeds $78,000,693 | 0.080% | 01/04/2021 | 01/04/2021 | 78,000,000 | 78,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal National Mortgage Associations, 3.500% due 01/01/2036 – 08/01/2049, and a U.S. Treasury Note, 1.750% due 06/15/2022, valued at $117,300,001); expected proceeds $115,001,022 | 0.080% | 01/04/2021 | 01/04/2021 | 115,000,000 | 115,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 8.441% due 06/15/2029 – 09/25/2050, a Federal Home Loan Mortgage Corporation Strip, 6.500% due 06/01/2031, Federal National Mortgage Associations, 4.000% – 5.952% due 08/25/2049 – 08/25/2050, a Federal National Mortgage Associations Strip, 5.500% due 01/01/2039, a Government National Mortgage Association, 5.548% due 04/20/2040, U.S. Treasury Bonds, 2.250% – 2.875% due 05/15/2043 – 08/15/2049, and U.S. Treasury Strips, 0.000% due 02/15/2022 – 05/15/2033, valued at $55,139,900); expected proceeds $54,000,420 | 0.070% | 01/04/2021 | 01/04/2021 | 54,000,000 | 54,000,000 | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 3.000% due 10/01/2049 – 10/01/2050, valued at $40,800,000); expected proceeds $40,000,356 | 0.080% | 01/04/2021 | 01/04/2021 | 40,000,000 | 40,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 1.500% – 6.500% due 07/01/2027 – 05/01/2049, a Federal Home Loan Mortgage Corporation Strip, 5.500% due 12/15/2036, Federal National Mortgage Associations, 2.000% – 7.000% due 03/01/2026 – 12/01/2050, and Government National Mortgage Associations, 2.500% – 3.125% due 10/20/2039 – 12/20/2050, valued at $86,198,160); expected proceeds $84,508,751 | 0.080% | 01/04/2021 | 01/04/2021 | 84,508,000 | 84,508,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Government National Mortgage Associations, 2.000% – 8.500% due 04/20/2026 – 06/15/2062, valued at $102,000,000); expected proceeds $100,000,778 | 0.070% | 01/04/2021 | 01/04/2021 | $ 100,000,000 | $ 100,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 571,508,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—15.1% | ||||||||||
Agreement with Barclays Capital, Inc., dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.375% - 3.625% due 08/15/43 – 11/15/2048, valued at $124,505,322); expected proceeds $122,001,220 | 0.090% | 01/04/2021 | 01/04/2021 | 122,000,000 | 122,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.625% – 2.625% due 12/31/2027 – 02/15/2029, valued at $918,000,036); expected proceeds $900,005,000 | 0.050% | 01/04/2021 | 01/04/2021 | 900,000,000 | 900,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2021 – 05/15/2048, valued at $70,380,000); expected proceeds $69,000,077 | 0.010% | 01/04/2021 | 01/04/2021 | 69,000,000 | 69,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 01/19/2021, U.S. Treasury Bonds, 2.250% – 6.625% due 02/15/2027 – 08/15/2049, a U.S. Treasury Note, 2.875% due 07/31/2025, and U.S. Treasury Strips, 0.000% due 08/15/2021 – 08/15/2030, valued at $204,000,078); expected proceeds $200,001,111 | 0.050% | 01/04/2021 | 01/04/2021 | 200,000,000 | 200,000,000 | |||||
Agreement with MUFG Securities, dated 12/31/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 05/06/2021, U.S. Treasury Bonds, 1.125% - 5.375% due 02/15/2031 – 11/15/2049 and U.S. Treasury Notes, 0.250% - 2.500% due 02/28/2021 – 10/31/2025, valued at $ 917,234,577); expected proceeds $900,006,000 | 0.060% | 01/04/2021 | 01/04/2021 | 900,000,000 | 900,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.625% due 04/15/2023, and U.S. Treasury Notes, 0.125% – 1.875% due 10/31/2022 – 12/31/2026, valued at $255,000,048); expected proceeds $250,001,389 | 0.050% | 01/04/2021 | 01/04/2021 | 250,000,000 | 250,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 2,441,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—9.3% | ||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Corporate Bonds, 0.750% – 7.500% due 04/15/2021 – 03/15/2051, valued at $109,680,341); expected proceeds $100,002,556 | 0.230% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 10/01/2020 (collateralized by various Common Stocks, valued at $216,000,006); expected proceeds $200,253,222(c) | 0.430% | 01/01/2021 | 01/15/2021 | 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 Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2020 (collateralized by various Corporate Bonds, 0.000% – 11.500% due 12/15/2021 – 06/15/2039, valued at $143,750,001); expected proceeds $125,096,667(c) | 0.480% | 01/01/2021 | 02/26/2021 | $ 125,000,000 | $ 125,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Common Stock, valued at $129,600,135); expected proceeds $120,002,533 | 0.190% | 01/04/2021 | 01/04/2021 | 120,000,000 | 120,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, valued at $278,754,605); expected proceeds $258,006,593 | 0.230% | 01/04/2021 | 01/04/2021 | 258,000,000 | 258,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/24/2020 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 6.500% due 07/15/2025 – 12/15/2026, valued at $128,092,310); expected proceeds $117,206,700(c) | 0.530% | 01/01/2021 | 04/23/2021 | 117,000,000 | 117,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2020 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 7.500% due 11/15/2021 – 05/15/2030, valued at $112,155,211); expected proceeds $102,045,220(c) | 0.380% | 01/01/2021 | 02/10/2021 | 102,000,000 | 102,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Corporate Bonds, 0.901% – 9.455% due 08/10/2021 – 04/01/2050, valued at $53,745,695); expected proceeds $50,001,000 | 0.180% | 01/04/2021 | 01/04/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, and a Corporate Bond, 0.750% due 05/15/2023, valued at $137,434,092); expected proceeds $127,008,643 | 0.350% | 01/07/2021 | 01/07/2021 | 127,000,000 | 127,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/10/2020 (collateralized by various Common Stocks, and a Corporate Bond, 3.210% due 12/09/2024, valued at $47,560,365); expected proceeds $44,020,533(c) | 0.280% | 01/01/2021 | 02/08/2021 | 44,000,000 | 44,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/28/2020 (collateralized by various Common Stocks, valued at $86,400,001); expected proceeds $80,003,889 | 0.250% | 01/04/2021 | 01/04/2021 | 80,000,000 | 80,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, valued at $49,680,008); expected proceeds $46,001,073 | 0.210% | 01/04/2021 | 01/04/2021 | 46,000,000 | 46,000,000 | |||||
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Federal Home Loan Bank, 0.250% due 12/08/2023, a U.S. Treasury Bond, 2.875% due 11/15/2046, U.S. Treasury Strips, 0.000% due 11/15/2028 – 02/15/2046, and various Corporate Bonds, 0.875% – 3.000% due 12/06/2021 – 04/03/2025, valued at $61,200,060); expected proceeds $60,000,467 | 0.070% | 01/04/2021 | 01/04/2021 | 60,000,000 | 60,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Corporate Bonds, 0.250% – 8.875% due 01/20/2021 – 03/01/2026, valued at $71,402,026); expected proceeds $70,001,400 | 0.180% | 01/04/2021 | 01/04/2021 | $ 70,000,000 | $ 70,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 1,499,000,000 | |||||||||
TOTAL INVESTMENTS –101.0% (Cost $16,285,456,491)(d) | 16,285,932,165 | |||||||||
Other Assets in Excess of Liabilities —(1.0)% | (158,378,351) | |||||||||
NET ASSETS –100.0% | $16,127,553,814 |
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $588,000,000 or 3.6% of net assets as of December 31, 2020. |
(d) | Also represents the cost for federal tax purposes. |
SOFR | Secured Overnight Financing Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | �� | |||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 2,006,495,838 | $— | $ 2,006,495,838 | ||||
Certificates of Deposit | — | 3,387,099,309 | — | 3,387,099,309 | ||||
Financial Company Commercial Paper | — | 3,256,060,202 | — | 3,256,060,202 | ||||
Other Notes | — | 2,319,654,380 | — | 2,319,654,380 | ||||
Treasury Debt | — | 805,114,436 | — | 805,114,436 | ||||
Government Agency Repurchase Agreements | — | 571,508,000 | — | 571,508,000 | ||||
Treasury Repurchase Agreements | — | 2,441,000,000 | — | 2,441,000,000 | ||||
Other Repurchase Agreements | — | 1,499,000,000 | — | 1,499,000,000 | ||||
Total Investments | $— | $16,285,932,165 | $— | $16,285,932,165 |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 11,774,424,165 |
Repurchase agreements, at value | 4,511,508,000 |
Total Investments | 16,285,932,165 |
Cash | 532 |
Interest receivable — unaffiliated issuers | 2,589,903 |
Prepaid expenses and other assets | 2,142 |
TOTAL ASSETS | 16,288,524,742 |
LIABILITIES | |
Payable for investments purchased | 159,889,383 |
Advisory and administrator fee payable | 645,059 |
Custody, sub-administration and transfer agent fees payable | 327,896 |
Trustees’ fees and expenses payable | 4,435 |
Professional fees payable | 76,847 |
Printing fees payable | 242 |
Accrued expenses and other liabilities | 27,066 |
TOTAL LIABILITIES | 160,970,928 |
NET ASSETS | $16,127,553,814 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 11,773,948,491 |
Repurchase agreements | 4,511,508,000 |
Total cost of investments | $16,285,456,491 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 135,110,059 |
EXPENSES | |
Advisory and administrator fee | 8,564,149 |
Custodian, sub-administrator and transfer agent fees | 2,221,228 |
Trustees’ fees and expenses | 193,406 |
Professional fees and expenses | 194,664 |
Printing and postage fees | 6,491 |
Insurance expense | 5,568 |
Miscellaneous expenses | 82,175 |
TOTAL EXPENSES | 11,267,681 |
NET INVESTMENT INCOME (LOSS) | $123,842,378 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (1,520,746) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (956,675) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,477,421) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $121,364,957 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 123,842,378 | $ 395,127,821 | |
Net realized gain (loss) | (1,520,746) | 206,342 | |
Net change in unrealized appreciation/depreciation | (956,675) | 1,566,595 | |
Net increase (decrease) in net assets resulting from operations | 121,364,957 | 396,900,758 | |
CAPITAL TRANSACTIONS | |||
Contributions | 54,032,428,427 | 32,519,193,299 | |
Withdrawals | (59,652,398,320) | (22,486,319,974) | |
Net increase (decrease) in net assets from capital transactions | (5,619,969,893) | 10,032,873,325 | |
Net increase (decrease) in net assets during the period | (5,498,604,936) | 10,429,774,083 | |
Net assets at beginning of period | 21,626,158,750 | 11,196,384,667 | |
NET ASSETS AT END OF PERIOD | $ 16,127,553,814 | $ 21,626,158,750 |
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Total return (a) | 0.77% | 2.38% | 2.06% | 0.96% | 0.51% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $16,127,554 | $21,626,159 | $11,196,385 | $9,941,806 | $8,272,653 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.07% | 0.07% | 0.07% | 0.06% | 0.07% | ||||
Net investment income (loss) | 0.72% | 2.29% | 2.05% | 1.11% | 0.49% |
(a) | Results represent past performance and are not indicative of future results. |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Money Market Portfolio | $16,285,456,491 | $549,900 | $74,226 | $475,674 |
February 26, 2021
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% | $1,000.90 | $0.35 | $1,024.80 | $0.36 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Fund |
1 | |
2 | |
3 | |
4 | |
7 | |
13 | |
14 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $926,466,849 |
Receivable from Adviser | 72,630 |
Prepaid expenses and other assets | 1,029 |
TOTAL ASSETS | 926,540,508 |
LIABILITIES | |
Administration fees payable | 48,850 |
Shareholder servicing fee payable | 599 |
Transfer agent fees payable | 45,674 |
Registration and filing fees payable | 68,685 |
Professional fees payable | 16,462 |
Printing and postage fees payable | 15,295 |
Distribution payable | 10,933 |
Accrued expenses and other liabilities | 3,132 |
TOTAL LIABILITIES | 209,630 |
NET ASSETS | $926,330,878 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $926,433,807 |
Total distributable earnings (loss) | (102,929) |
NET ASSETS | $926,330,878 |
Institutional Class | |
Net Assets | $ 23,023,328 |
Shares Outstanding | 23,017,811 |
Net asset value, offering and redemption price per share | $ 1.0002 |
Investor Class | |
Net Assets | $ 50,014 |
Shares Outstanding | 50,001 |
Net asset value, offering and redemption price per share | $ 1.0002(a) |
Premier Class | |
Net Assets | $903,257,536 |
Shares Outstanding | 903,072,588 |
Net asset value, offering and redemption price per share | $ 1.0002 |
COST OF INVESTMENTS: | |
Investment in corresponding affiliated Portfolio | $926,436,663 |
(a) | Due to small class size; calculation of net assets value (total net assets/ shares outstanding) may not agree to net asset value shown |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $5,063,421 |
Expenses allocated from affiliated Portfolio | (612,717) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 4,450,704 |
EXPENSES | |
Administration fees | |
Institutional Class | 5,542 |
Investor Class | 25 |
Premier Class | 364,869 |
Shareholder servicing fees | |
Institutional Class | 3,325 |
Investor Class | 40 |
Custodian fees | 68,739 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 131,192 |
Registration and filing fees | 290,167 |
Professional fees and expenses | 31,553 |
Printing and postage fees | 30,129 |
Insurance expense | 1,029 |
Miscellaneous expenses | 13,475 |
TOTAL EXPENSES | 961,085 |
Expenses waived/reimbursed by the Adviser | (977,743) |
NET EXPENSES | (16,658) |
NET INVESTMENT INCOME (LOSS) | $4,467,362 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (133,115) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 29,435 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (103,680) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $4,363,682 |
Year Ended 12/31/20 | For the Period 12/03/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 4,467,362 | $ 1,196,549 | |
Net realized gain (loss) | (133,115) | — | |
Net change in unrealized appreciation/depreciation | 29,435 | 751 | |
Net increase (decrease) in net assets resulting from operations | 4,363,682 | 1,197,300 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Institutional Class(a) | (12,900) | (32) | |
Investor Class(a) | (243) | (32) | |
Premier Class | (4,456,306) | (1,194,841) | |
Total distributions to shareholders | (4,469,449) | (1,194,905) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Institutional Class(a) | |||
Shares sold | 43,981,001 | 50,000 | |
Shares redeemed | (21,004,700) | — | |
Net increase (decrease) from capital share transactions | 22,976,301 | 50,000 | |
Investor Class(a) | |||
Shares sold | 1 | 50,000 | |
Net increase (decrease) from capital share transactions | 1 | 50,000 | |
Premier Class | |||
Shares sold | 1,281,426,291 | 884,706,710 | |
Reinvestment of distributions | 4,166,367 | 1,154,331 | |
Shares redeemed | (1,263,449,501) | (4,646,250) | |
Net increase (decrease) from capital share transactions | 22,143,157 | 881,214,791 | |
Net increase (decrease) in net assets from beneficial interest transactions | 45,119,459 | 881,314,791 | |
Net increase (decrease) in net assets during the period | 45,013,692 | 881,317,186 | |
Net assets at beginning of period | 881,317,186 | — | |
NET ASSETS AT END OF PERIOD | $ 926,330,878 | $881,317,186 | |
SHARES OF BENEFICIAL INTEREST: | |||
Institutional Class(a) | |||
Shares sold | 43,967,811 | 50,000 | |
Shares redeemed | (21,000,000) | — | |
Net increase (decrease) from share transactions | 22,967,811 | 50,000 | |
Investor Class(a) | |||
Shares sold | 1 | 50,000 | |
Net increase (decrease) from share transactions | 1 | 50,000 | |
Premier Class | |||
Shares sold | 1,281,529,901 | 884,706,889 | |
Reinvestment of distributions | 4,166,376 | 1,154,330 | |
Shares redeemed | (1,263,838,658) | (4,646,250) | |
Net increase (decrease) from share transactions | 21,857,619 | 881,214,969 |
* | Inception date. |
(a) | For Institutional Class and Investor Class shares, data for the period ended December 31, 2019 is from December 19, 2019 (inception date) through December 31, 2019. |
Institutional Class | |||
Year Ended 12/31/20 | For the Period 12/20/19*- 12/31/19(a) | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0054 | 0.0006 | |
Net realized and unrealized gain (loss) | 0.0002 | 0.0000(b) | |
Total from investment operations | 0.0056 | 0.0006 | |
Distributions to shareholders from: | |||
Net investment income | (0.0054) | (0.0006) | |
Net asset value, end of period | $ 1.0002 | $ 1.0000 | |
Total return (c) | 0.56% | 0.06% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $ 23,023 | $ 50 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.22% | 0.31%(d) | |
Net expenses | 0.11% | 0.11%(d) | |
Net investment income (loss) | 0.12% | 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 | |||
Year Ended 12/31/20 | For the Period 12/20/19*- 12/31/19(a) | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0049 | 0.0006 | |
Net realized and unrealized gain (loss) | 0.0002 | 0.0000(b) | |
Total from investment operations | 0.0051 | 0.0006 | |
Distributions to shareholders from: | |||
Net investment income | (0.0049) | (0.0006) | |
Total distributions | (0.0049) | (0.0006) | |
Net asset value, end of period | $ 1.0002 | $ 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 | 0.29% | 0.36%(d) | |
Net expenses | 0.16% | 0.16%(d) | |
Net investment income (loss) | 0.49% | 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 | |||
Year Ended 12/31/20 | For the Period 12/04/2019 *- 12/31/19(a) | ||
Net asset value, beginning of period | $ 1.0000 | $ 1.0000 | |
Income (loss) from investment operations: | |||
Net investment income (loss) | 0.0058 | 0.0013 | |
Net realized and unrealized gain (loss) | 0.0002 | 0.0000(b) | |
Total from investment operations | 0.0060 | 0.0013 | |
Distributions to shareholders from: | |||
Net investment income | (0.0058) | (0.0013) | |
Total distributions | (0.0058) | (0.0013) | |
Net asset value, end of period | $ 1.0002 | $ 1.0000 | |
Total return (c) | 0.60% | 0.13% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $903,258 | $881,217 | |
Ratios to Average Net Assets: | |||
Total expenses | 0.21% | 0.23%(d) | |
Net expenses | 0.08% | 0.08%(d) | |
Net investment income (loss) | 0.61% | 1.75%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street ESG Liquid Reserves Fund | Premier Class Institutional Class Investment Class Administration Class Investor Class | December 4, 2019 December 20, 2019 Not commenced Not commenced December 20, 2019 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street ESG Liquid Reserves Fund | $4,469,449 | $— | $4,469,449 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street ESG Liquid Reserves Fund | $ 1,194,905 | $ — | $ 1,194,905 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street ESG Liquid Reserves Fund | $— | $(133,115) | $— | $30,186 | $(102,929) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street ESG Liquid Reserves Fund | $133,115 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street ESG Liquid Reserves Fund | $926,436,663 | $30,186 | $— | $30,186 |
February 26, 2021
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) | 0.11% | $1,000.50 | $0.55 | $1,024.60 | $0.56 | ||||
Investor Class(a) | 0.16 | 1,000.20 | 0.80 | 1,024.30 | 0.81 | ||||
Premier Class(a) | 0.08 | 1,000.80 | 0.40 | 1,024.70 | 0.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street ESG Liquid Reserves Portfolio |
1 | |
2 | |
7 | |
8 | |
9 | |
10 | |
11 | |
16 | |
17 |
% of Net Assets | |||
Financial Company Commercial Paper | 23.7% | ||
Certificates of Deposit | 20.5 | ||
Other Repurchase Agreements | 14.1 | ||
Treasury Repurchase Agreements | 13.0 | ||
Government Agency Repurchase Agreements | 11.4 | ||
Treasury Debt | 6.9 | ||
Asset Backed Commercial Paper | 6.6 | ||
Other Notes | 3.8 | ||
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 | |||
2 to 30 Days | 48.9% | ||
31 to 60 Days | 12.7 | ||
61 to 90 Days | 6.9 | ||
Over 90 Days | 31.5 | ||
Total | 100.0% | ||
Average days to maturity | 41 | ||
Weighted average life | 69 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
ASSET BACKED COMMERCIAL PAPER—6.6% | ||||||||||
Alinghi Funding Company LLC(a) | 0.260% | 03/05/2021 | 03/05/2021 | $ 9,000,000 | $ 8,996,272 | |||||
Antalis SA(a) | 0.240% | 01/19/2021 | 01/19/2021 | 2,000,000 | 1,999,828 | |||||
Antalis SA(a) | 0.250% | 03/01/2021 | 03/01/2021 | 7,000,000 | 6,997,433 | |||||
Barton Capital SA(a) | 0.120% | 01/04/2021 | 01/04/2021 | 1,000,000 | 999,986 | |||||
Britannia Funding Company LLC(a) | 0.270% | 03/08/2021 | 03/08/2021 | 5,000,000 | 4,997,515 | |||||
Columbia Funding Co. LLC(a) | 0.230% | 04/15/2021 | 04/15/2021 | 7,200,000 | 7,193,595 | |||||
Columbia Funding Co. LLC(a) | 0.270% | 02/24/2021 | 02/24/2021 | 3,100,000 | 3,098,778 | |||||
Columbia Funding Co. LLC(a) | 0.330% | 01/12/2021 | 01/12/2021 | 7,000,000 | 6,999,685 | |||||
Mackinac Funding Company LLC(a) | 0.260% | 02/16/2021 | 02/16/2021 | 3,000,000 | 2,998,864 | |||||
Mackinac Funding Company LLC(a) | 0.260% | 02/17/2021 | 02/17/2021 | 2,000,000 | 1,999,221 | |||||
Mackinac Funding Company LLC(a) | 0.260% | 02/22/2021 | 02/22/2021 | 2,500,000 | 2,498,881 | |||||
Mackinac Funding Company LLC(a) | 0.310% | 06/10/2021 | 06/10/2021 | 7,000,000 | 6,989,857 | |||||
Mont Blanc Capital Corp.(a) | 0.210% | 01/15/2021 | 01/15/2021 | 5,000,000 | 4,999,688 | |||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 60,769,603 | |||||||||
CERTIFICATES OF DEPOSIT—20.5% | ||||||||||
Bank of Montreal(a) | 0.180% | 02/01/2021 | 02/01/2021 | 2,000,000 | 1,999,996 | |||||
Bank of Montreal(a) | 0.190% | 01/05/2021 | 01/05/2021 | 3,000,000 | 3,000,032 | |||||
Bank of Montreal(a) | 0.190% | 02/01/2021 | 02/01/2021 | 3,000,000 | 3,000,021 | |||||
Bank of Montreal(a) | 0.250% | 05/19/2021 | 05/19/2021 | 9,000,000 | 9,000,136 | |||||
Bank of Montreal(a) | 0.260% | 05/14/2021 | 05/14/2021 | 2,000,000 | 2,000,110 | |||||
Bank of Montreal, 1 Month USD LIBOR + 0.09%(b) | 0.238% | 01/25/2021 | 06/25/2021 | 4,000,000 | 4,000,146 | |||||
Bank of Montreal, 1 Month USD LIBOR + 0.12%(b) | 0.273% | 01/19/2021 | 09/16/2021 | 2,000,000 | 1,999,992 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.03%(b) | 0.260% | 01/08/2021 | 10/08/2021 | 4,500,000 | 4,499,313 | |||||
Bank of Nova Scotia, 3 Month USD LIBOR + 0.05%(b) | 0.275% | 02/05/2021 | 08/05/2021 | 3,000,000 | 3,000,527 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.04%(b) | 0.265% | 01/04/2021 | 10/01/2021 | 2,000,000 | 1,999,705 | |||||
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.05%(b) | 0.263% | 02/09/2021 | 08/09/2021 | 7,000,000 | 7,000,000 | |||||
Credit Suisse(a) | 0.220% | 02/05/2021 | 02/05/2021 | 5,000,000 | 5,000,279 | |||||
Credit Suisse(a) | 0.260% | 05/17/2021 | 05/17/2021 | 8,000,000 | 8,001,939 | |||||
Credit Suisse(a) | 0.310% | 01/11/2021 | 01/11/2021 | 1,000,000 | 1,000,053 | |||||
Lloyds Bank Corporate Markets PLC(a) | 0.310% | 03/22/2021 | 03/22/2021 | 4,500,000 | 4,502,443 | |||||
Mizuho Bank Ltd.(a) | 0.250% | 02/25/2021 | 02/25/2021 | 7,000,000 | 7,000,914 | |||||
MUFG Bank Ltd.(a) | 0.250% | 04/20/2021 | 04/20/2021 | 5,000,000 | 5,000,258 | |||||
Natixis, SOFR + 0.25%(b) | 0.340% | 01/01/2021 | 02/12/2021 | 4,000,000 | 4,000,865 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.06%(b) | 0.292% | 02/05/2021 | 11/05/2021 | 4,000,000 | 4,000,000 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.11%(b) | 0.329% | 03/16/2021 | 12/16/2021 | 5,000,000 | 5,000,474 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.12%(b) | 0.356% | 03/18/2021 | 06/18/2021 | 4,000,000 | 4,001,618 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.220% | 05/24/2021 | 05/24/2021 | 3,000,000 | 3,000,023 | |||||
Skandinaviska Enskilda Banken AB(a) | 0.250% | 05/13/2021 | 05/13/2021 | 8,000,000 | 8,001,061 | |||||
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.08%(b) | 0.224% | 01/22/2021 | 02/22/2021 | 7,000,000 | 7,000,721 | |||||
Societe Generale(a) | 0.250% | 05/10/2021 | 05/10/2021 | 8,000,000 | 7,999,795 | |||||
Standard Chartered Bank(a) | 0.280% | 02/01/2021 | 02/01/2021 | 7,000,000 | 7,000,739 | |||||
Standard Chartered Bank, 1 Month USD LIBOR + 0.11%(b) | 0.253% | 01/25/2021 | 02/24/2021 | 3,000,000 | 3,000,443 | |||||
Standard Chartered Bank, 1 Month USD LIBOR + 0.18%(b) | 0.324% | 01/22/2021 | 04/22/2021 | 8,600,000 | 8,603,928 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.200% | 01/15/2021 | 01/15/2021 | 5,000,000 | 5,000,181 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.260% | 05/10/2021 | 05/10/2021 | 6,000,000 | 5,999,998 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.270% | 05/17/2021 | 05/17/2021 | 5,000,000 | 5,000,188 | |||||
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.08%(b) | 0.232% | 01/04/2021 | 05/04/2021 | 4,000,000 | 4,000,636 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.05%(b) | 0.263% | 02/23/2021 | 08/23/2021 | 8,000,000 | 7,999,999 | |||||
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.06%(b) | 0.292% | 02/05/2021 | 11/05/2021 | 7,000,000 | 7,000,000 | |||||
Toronto Dominion Bank(a) | 0.240% | 06/04/2021 | 06/04/2021 | 9,000,000 | 8,998,837 | |||||
Toronto Dominion Bank(a) | 0.250% | 03/31/2021 | 03/31/2021 | 7,000,000 | 7,000,350 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Toronto Dominion Bank(a) | 0.280% | 06/15/2021 | 06/15/2021 | $ 5,000,000 | $ 5,003,900 | |||||
TOTAL CERTIFICATES OF DEPOSIT | 189,619,620 | |||||||||
FINANCIAL COMPANY COMMERCIAL PAPER—23.7% | ||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.250% | 06/17/2021 | 06/17/2021 | 5,000,000 | 4,995,660 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.250% | 06/23/2021 | 06/23/2021 | 6,000,000 | 5,994,548 | |||||
Australia & New Zealand Banking Group Ltd.(a) | 0.250% | 06/28/2021 | 06/28/2021 | 5,000,000 | 4,995,276 | |||||
Bank of Montreal(a) | 0.170% | 01/04/2021 | 01/04/2021 | 5,000,000 | 4,999,937 | |||||
BPCE(a) | 0.200% | 02/01/2021 | 02/01/2021 | 7,000,000 | 6,998,936 | |||||
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%(b) | 0.266% | 01/22/2021 | 01/22/2021 | 1,200,000 | 1,200,040 | |||||
DBS Bank Ltd.(a) | 0.210% | 02/24/2021 | 02/24/2021 | 3,500,000 | 3,499,128 | |||||
DBS Bank Ltd.(a) | 0.220% | 03/18/2021 | 03/18/2021 | 9,000,000 | 8,996,400 | |||||
DBS Bank Ltd.(a) | 0.250% | 03/23/2021 | 03/23/2021 | 1,725,000 | 1,724,246 | |||||
DBS Bank Ltd.(a) | 0.250% | 06/02/2021 | 06/02/2021 | 5,000,000 | 4,995,474 | |||||
DBS Bank Ltd., SOFR + 0.13%(b) | 0.210% | 01/01/2021 | 04/23/2021 | 1,250,000 | 1,250,086 | |||||
HSBC Bank PLC(a) | 0.300% | 05/14/2021 | 05/14/2021 | 2,000,000 | 1,998,563 | |||||
HSBC Bank PLC, 1 Month USD LIBOR + 0.15%(b) | 0.302% | 01/19/2021 | 02/19/2021 | 4,000,000 | 4,000,782 | |||||
HSBC Bank PLC, 3 Month USD LIBOR + 0.16%(b) | 0.376% | 01/22/2021 | 04/22/2021 | 5,000,000 | 5,001,633 | |||||
Lloyds Bank Corporate Markets PLC(a) | 0.280% | 02/09/2021 | 02/09/2021 | 13,400,000 | 13,397,811 | |||||
Lloyds Bank PLC(a) | 0.270% | 04/16/2021 | 04/16/2021 | 4,000,000 | 3,997,350 | |||||
Lloyds Bank PLC, SOFR + 0.32%(b) | 0.410% | 01/01/2021 | 01/21/2021 | 8,000,000 | 8,000,753 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.140% | 01/04/2021 | 01/04/2021 | 10,000,000 | 9,999,889 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.150% | 01/07/2021 | 01/07/2021 | 6,665,000 | 6,664,870 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.170% | 01/12/2021 | 01/12/2021 | 3,000,000 | 2,999,900 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.180% | 01/22/2021 | 01/22/2021 | 2,000,000 | 1,999,863 | |||||
LVMH Moet Hennessy Louis Vuitton SE(a) | 0.240% | 03/23/2021 | 03/23/2021 | 6,700,000 | 6,697,482 | |||||
Mitsubishi UFJ Trust and Banking Corp.(a) | 0.270% | 01/12/2021 | 01/12/2021 | 7,000,000 | 6,999,753 | |||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.08%(b) | 0.232% | 01/19/2021 | 07/19/2021 | 7,000,000 | 6,998,664 | |||||
National Australia Bank Ltd., 1 Month USD LIBOR + 0.10%(b) | 0.247% | 01/29/2021 | 04/30/2021 | 8,000,000 | 8,001,728 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR%(b) | 0.206% | 02/10/2021 | 05/10/2021 | 6,000,000 | 6,000,000 | |||||
National Australia Bank Ltd., 3 Month USD LIBOR + 0.06%(b) | 0.274% | 02/10/2021 | 11/10/2021 | 8,000,000 | 8,000,000 | |||||
Royal Bank of Canada, 3 Month USD LIBOR + 0.06%(b) | 0.282% | 01/28/2021 | 10/28/2021 | 2,000,000 | 2,000,000 | |||||
Societe Generale(a) | 0.280% | 05/03/2021 | 05/03/2021 | 5,000,000 | 4,995,746 | |||||
Societe Generale(a) | 0.295% | 06/09/2021 | 06/09/2021 | 7,000,000 | 6,992,533 | |||||
Societe Generale, 3 Month USD LIBOR + 0.14%(b) | 0.362% | 01/26/2021 | 01/26/2021 | 4,000,000 | 4,000,210 | |||||
Sumitomo Mitsui Trust Bank(a) | 0.230% | 02/02/2021 | 02/02/2021 | 7,000,000 | 6,999,134 | |||||
Toronto Dominion Bank(a) | 0.130% | 01/04/2021 | 01/04/2021 | 5,000,000 | 4,999,950 | |||||
Toronto Dominion Bank(a) | 0.210% | 02/17/2021 | 02/17/2021 | 10,000,000 | 9,997,360 | |||||
Toyota Finance Australia Ltd.(a) | 0.230% | 03/17/2021 | 03/17/2021 | 3,000,000 | 2,999,139 | |||||
Toyota Finance Australia Ltd.(a) | 0.270% | 01/11/2021 | 01/11/2021 | 4,000,000 | 3,999,890 | |||||
UBS AG(a) | 0.270% | 05/17/2021 | 05/17/2021 | 9,000,000 | 8,990,718 | |||||
UBS AG, 3 Month USD LIBOR + 0.10%(b) | 0.332% | 02/05/2021 | 11/05/2021 | 5,000,000 | 5,000,000 | |||||
UBS AG, 3 Month USD LIBOR + 0.12%(b) | 0.357% | 01/14/2021 | 10/14/2021 | 8,000,000 | 8,000,000 | |||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 219,383,452 | |||||||||
OTHER NOTES—3.8% | ||||||||||
Credit Agricole Corporate & Investment Bank(a) | 0.080% | 01/04/2021 | 01/04/2021 | 5,000,000 | 5,000,000 | |||||
Mitsubishi UFJ Financial Group, Inc.(a) | 0.272% | 03/01/2021 | 03/01/2021 | 5,000,000 | 5,020,950 | |||||
Mizuho Bank Ltd.(a) | 0.090% | 01/04/2021 | 01/04/2021 | 8,595,000 | 8,595,000 | |||||
Royal Bank of Canada(a) | 0.070% | 01/04/2021 | 01/04/2021 | 12,000,000 | 12,000,000 | |||||
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.06%(b) | 0.285% | 01/01/2021 | 10/01/2021 | 5,000,000 | 5,000,550 | |||||
TOTAL OTHER NOTES | 35,616,500 | |||||||||
TREASURY DEBT—6.9% | ||||||||||
U.S. Treasury Bill(a) | 0.073% | 03/18/2021 | 03/18/2021 | 10,000,000 | 9,998,479 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
U.S. Treasury Bill(a) | 0.088% | 06/10/2021 | 06/10/2021 | $ 9,960,000 | $ 9,956,417 | |||||
U.S. Treasury Bill(a) | 0.090% | 01/12/2021 | 01/12/2021 | 8,000,000 | 7,999,920 | |||||
U.S. Treasury Bill(a) | 0.095% | 05/27/2021 | 05/27/2021 | 10,050,000 | 10,046,707 | |||||
U.S. Treasury Bill(a) | 0.100% | 01/26/2021 | 01/26/2021 | 7,000,000 | 6,999,770 | |||||
U.S. Treasury Bill(a) | 0.100% | 01/28/2021 | 01/28/2021 | 8,000,000 | 7,999,680 | |||||
U.S. Treasury Bill(a) | 0.100% | 04/20/2021 | 04/20/2021 | 8,000,000 | 7,998,704 | |||||
U.S. Treasury Bill(a) | 0.161% | 01/07/2021 | 01/07/2021 | 3,000,000 | 2,999,994 | |||||
TOTAL TREASURY DEBT | 63,999,671 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—11.4% | ||||||||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.267% – 3.617% due 09/01/2033 – 09/01/2048, Federal Home Loan Mortgage Corporation Strips, 5.500% due 05/01/2036 – 07/15/2036, Federal National Mortgage Associations, 2.500% – 6.000% due 09/01/2028 – 01/01/2049, Federal National Mortgage Associations Strips, 0.000% – 5.500% due 10/01/2033 – 09/01/2047, and a Government National Mortgage Association, 3.000% due 10/20/2048, valued at $56,100,000); expected proceeds $55,000,489 | 0.080% | 01/04/2021 | 01/04/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Government National Mortgage Association, 2.984% due 09/20/2070, valued at $1,020,000); expected proceeds $1,000,009 | 0.080% | 01/04/2021 | 01/04/2021 | 1,000,000 | 1,000,000 | |||||
Agreement with Calyon Securities (USA) Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 2.000% due 10/01/2050, valued at $35,700,001); expected proceeds $35,000,311 | 0.080% | 01/04/2021 | 01/04/2021 | 35,000,000 | 35,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Government National Mortgage Associations, 4.000% – 6.000% due 11/20/2048 – 12/20/2048, valued at $5,100,212); expected proceeds $5,000,039 | 0.070% | 01/04/2021 | 01/04/2021 | 5,000,000 | 5,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Federal Farm Credit Bank, 0.150% due 11/16/2022, valued at $10,200,495); expected proceeds $10,000,089 | 0.080% | 01/04/2021 | 01/04/2021 | 10,000,000 | 10,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 106,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—13.0% | ||||||||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Inflation Index Note, 1.125% due 01/15/2021, valued at $12,240,030); expected proceeds $12,000,253 | 0.190% | 01/04/2021 | 01/04/2021 | 12,000,000 | 12,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 3.625% due 08/15/43, valued at $8,160,364); expected proceeds $8,000,080 | 0.090% | 01/04/2021 | 01/04/2021 | 8,000,000 | 8,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 2.250% – 8.000% due 02/15/2021 – 08/15/2049, and U.S. Treasury Notes, 0.375% – 2.250% due 03/31/2022 – 11/15/2029, valued at $61,200,019); expected proceeds $60,000,467 | 0.070% | 01/04/2021 | 01/04/2021 | $ 60,000,000 | $ 60,000,000 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.000% due 11/15/2044 – 05/15/2045, a U.S. Treasury Inflation Index Note, 0.125% due 01/15/2023, and U.S. Treasury Notes, 0.249% – 2.250% due 01/31/2022 – 02/15/2027, valued at $40,800,020); expected proceeds $40,000,311 | 0.070% | 01/04/2021 | 01/04/2021 | 40,000,000 | 40,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 120,000,000 | |||||||||
OTHER REPURCHASE AGREEMENTS—14.1% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/18/2020 (collateralized by a Common Stock, valued at $11,880,067); expected proceeds $11,018,993(c) | 0.555% | 01/01/2021 | 04/09/2021 | 11,000,000 | 11,000,000 | |||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, valued at $21,600,000); expected proceeds $20,000,511 | 0.230% | 01/04/2021 | 01/04/2021 | 20,000,000 | 20,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 10/01/2020 (collateralized by a Common Stock, valued at $3,240,002); expected proceeds $3,003,798(c) | 0.430% | 01/01/2021 | 01/15/2021 | 3,000,000 | 3,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Common Stock, valued at $17,280,000); expected proceeds $16,000,409 | 0.230% | 01/04/2021 | 01/04/2021 | 16,000,000 | 16,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/24/2020 (collateralized by various Common Stocks, valued at $4,320,028); expected proceeds $4,007,067(c) | 0.530% | 01/01/2021 | 04/23/2021 | 4,000,000 | 4,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2020 (collateralized by various Common Stocks, valued at $10,800,008); expected proceeds $10,004,433(c) | 0.380% | 01/01/2021 | 02/10/2021 | 10,000,000 | 10,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2020 (collateralized by various Common Stocks, valued at $7,560,003); expected proceeds $7,006,650(c) | 0.380% | 01/01/2021 | 03/29/2021 | 7,000,000 | 7,000,000 | |||||
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, valued at $27,000,011); expected proceeds $25,000,639 | 0.230% | 01/04/2021 | 01/04/2021 | 25,000,000 | 25,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Common Stock, valued at $18,360,023); expected proceeds $17,001,157 | 0.350% | 01/07/2021 | 01/07/2021 | 17,000,000 | 17,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/28/2020 (collateralized by various Common Stocks, valued at $16,200,001); expected proceeds $15,000,729 | 0.250% | 01/04/2021 | 01/04/2021 | 15,000,000 | 15,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by various Common Stocks, valued at $3,240,017); expected proceeds $3,000,070 | 0.210% | 01/04/2021 | 01/04/2021 | $ 3,000,000 | $ 3,000,000 | |||||
TOTAL OTHER REPURCHASE AGREEMENTS | 131,000,000 | |||||||||
TOTAL INVESTMENTS –100.0% (Cost $926,358,660)(d) | 926,388,846 | |||||||||
Other Assets in Excess of Liabilities —0.0%(e) | 79,006 | |||||||||
NET ASSETS –100.0% | $ 926,467,852 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $35,000,000 or 3.8% of net assets as of December 31, 2020. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Amount shown represents less than 0.05% of net assets. |
SOFR | Secured Overnight Financing Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Assets: | ||||||||
Investments: | ||||||||
Asset Backed Commercial Paper | $— | $ 60,769,603 | $— | $ 60,769,603 | ||||
Certificates of Deposit | — | 189,619,620 | — | 189,619,620 | ||||
Financial Company Commercial Paper | — | 219,383,452 | — | 219,383,452 | ||||
Other Notes | — | 35,616,500 | — | 35,616,500 | ||||
Treasury Debt | — | 63,999,671 | — | 63,999,671 | ||||
Government Agency Repurchase Agreements | — | 106,000,000 | — | 106,000,000 | ||||
Treasury Repurchase Agreements | — | 120,000,000 | — | 120,000,000 | ||||
Other Repurchase Agreements | — | 131,000,000 | — | 131,000,000 | ||||
Total Investments | $— | $926,388,846 | $— | $926,388,846 |
ASSETS | |
Investments in unaffiliated issuers, at value | $569,388,846 |
Repurchase agreements, at value and amortized cost | 357,000,000 |
Total Investments | 926,388,846 |
Cash | 932 |
Interest receivable — unaffiliated issuers | 186,117 |
Prepaid expenses and other assets | 77 |
TOTAL ASSETS | 926,575,972 |
LIABILITIES | |
Advisory fee payable | 37,887 |
Custodian, sub-administrator and transfer agent fees payable | 29,112 |
Trustees’ fees and expenses payable | 68 |
Professional fees payable | 30,695 |
Printing and postage fees payable | 10 |
Accrued expenses and other liabilities | 10,348 |
TOTAL LIABILITIES | 108,120 |
NET ASSETS | $926,467,852 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $569,358,660 |
Repurchase agreements | 357,000,000 |
Total cost of investments | $926,358,660 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $5,063,421 |
EXPENSES | |
Advisory fee | 370,436 |
Custodian, sub-administrator and transfer agent fees | 162,951 |
Trustees’ fees and expenses | 26,430 |
Professional fees and expenses | 39,156 |
Printing and postage fees | 3,447 |
Insurance expense | 77 |
Miscellaneous expenses | 10,220 |
TOTAL EXPENSES | 612,717 |
NET INVESTMENT INCOME (LOSS) | $4,450,704 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (133,114) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 29,435 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (103,679) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $4,347,025 |
Year Ended 12/31/20 | For the Period 12/03/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 4,450,704 | $ 1,177,797 | |
Net realized gain (loss) | (133,114) | — | |
Net change in unrealized appreciation/depreciation | 29,435 | 751 | |
Net increase (decrease) in net assets resulting from operations | 4,347,025 | 1,178,548 | |
CAPITAL TRANSACTIONS | |||
Contributions | 1,370,984,362 | 884,807,715 | |
Withdrawals | (1,330,160,138) | (4,689,660) | |
Net increase (decrease) in net assets from capital transactions | 40,824,224 | 880,118,055 | |
Net increase (decrease) in net assets during the period | 45,171,249 | 881,296,603 | |
Net assets at beginning of period | 881,296,603 | — | |
NET ASSETS AT END OF PERIOD | $ 926,467,852 | $881,296,603 |
* | Inception date. |
Year Ended 12/31/20 | For the Period 12/04/19*- 12/31/19 | ||
Total return (a) | 0.59% | 0.13% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $926,468 | $881,297 | |
Ratios to average net assets: | |||
Total expenses | 0.08% | 0.11%(b) | |
Net investment income (loss) | 0.60% | 1.72%(b) |
* | Commencement of operations. |
(a) | Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(b) | Annualized. |
February 26, 2021
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% | $152.10 | $0.23 | $1,024.70 | $0.41 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional U.S. Government Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
17 | |
18 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $78,948,591,747 |
Receivable for fund shares sold | 12,521,255 |
Receivable from Adviser | 1,108,568 |
Prepaid expenses and other assets | 165,032 |
TOTAL ASSETS | 78,962,386,602 |
LIABILITIES | |
Payable for fund shares repurchased | 7,442,144 |
Administration fees payable | 2,818,211 |
Shareholder servicing fee payable | 631,916 |
Distribution fees payable | 147,514 |
Transfer agent fees payable | 24,399 |
Registration and filing fees payable | 472,795 |
Professional fees payable | 108,233 |
Printing fees payable | 29,302 |
Distribution payable | 288,448 |
Accrued expenses and other liabilities | 267,802 |
TOTAL LIABILITIES | 12,230,764 |
NET ASSETS | $78,950,155,838 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $78,950,138,017 |
Total distributable earnings (loss) | 17,821 |
NET ASSETS | $78,950,155,838 |
Administration Class | |
Net Assets | $ 2,550,830,560 |
Shares Outstanding | 2,550,962,146 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 1,349,398,424 |
Shares Outstanding | 1,349,397,808 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 483,015,108 |
Shares Outstanding | 483,022,017 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 936,979,998 |
Shares Outstanding | 936,982,337 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $67,604,722,574 |
Shares Outstanding | 67,605,000,166 |
Net asset value, offering and redemption price per share | $ 1.00 |
Class G | |
Net Assets | $ 6,025,209,174 |
Shares Outstanding | 6,025,227,887 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $353,675,642 |
Expenses allocated from affiliated Portfolio | (50,297,349) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 303,378,293 |
EXPENSES | |
Administration fees | |
Administration Class | 1,162,333 |
Institutional Class | 933,272 |
Investment Class | 224,116 |
Investor Class | 412,224 |
Premier Class | 33,817,300 |
Class G | 458,788 |
Shareholder servicing fees | |
Administration Class | 4,649,331 |
Institutional Class | 559,964 |
Investment Class | 1,120,580 |
Investor Class | 659,558 |
Distribution fees | |
Administration Class | 1,162,333 |
Investment Class | 448,232 |
Custodian fees | 46,987 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 153,921 |
Registration and filing fees | 1,510,311 |
Professional fees and expenses | 350,520 |
Printing and postage fees | 114,934 |
Insurance expense | 290,667 |
Miscellaneous expenses | 348,257 |
TOTAL EXPENSES | 48,444,628 |
Expenses waived/reimbursed by the Adviser | (4,595,603) |
NET EXPENSES | 43,849,025 |
NET INVESTMENT INCOME (LOSS) | $259,529,268 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 93,892 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $259,623,160 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 259,529,268 | $ 1,076,755,870 | |
Net realized gain (loss) | 93,892 | 60,335 | |
Net increase (decrease) in net assets resulting from operations | 259,623,160 | 1,076,816,205 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (4,573,492) | (34,381,796) | |
Institutional Class | (7,925,882) | (21,677,268) | |
Investment Class | (1,429,968) | (7,849,844) | |
Investor Class | (2,914,910) | (24,493,818) | |
Premier Class | (226,016,609) | (926,193,754) | |
Class G | (16,804,900) | (62,143,041) | |
Total distributions to shareholders | (259,665,761) | (1,076,739,521) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 31,088,369,220 | 24,892,352,758 | |
Reinvestment of distributions | 1,480,888 | 11,965,550 | |
Shares redeemed | (30,211,781,228) | (24,917,663,849) | |
Net increase (decrease) from capital share transactions | 878,068,880 | (13,345,541) | |
Institutional Class | |||
Shares sold | 48,481,712,594 | 29,380,759,495 | |
Reinvestment of distributions | 3,802,565 | 4,835,215 | |
Shares redeemed | (48,086,318,494) | (29,075,126,488) | |
Net increase (decrease) from capital share transactions | 399,196,665 | 310,468,222 | |
Investment Class | |||
Shares sold | 1,624,760,440 | 2,095,050,900 | |
Reinvestment of distributions | 206,037 | 878,064 | |
Shares redeemed | (1,659,948,146) | (1,958,018,009) | |
Net increase (decrease) from capital share transactions | (34,981,669) | 137,910,955 | |
Investor Class | |||
Shares sold | 20,279,658,576 | 15,997,492,868 | |
Reinvestment of distributions | 2,016,150 | 11,962,564 | |
Shares redeemed | (20,070,819,894) | (17,158,427,721) | |
Net increase (decrease) from capital share transactions | 210,854,832 | (1,148,972,289) | |
Premier Class | |||
Shares sold | 1,167,028,226,175 | 812,815,301,168 | |
Reinvestment of distributions | 180,794,674 | 770,502,953 | |
Shares redeemed | (1,152,430,920,049) | (793,699,136,883) | |
Net increase (decrease) from capital share transactions | 14,778,100,800 | 19,886,667,238 | |
Class G | |||
Shares sold | 58,771,955,180 | 41,580,859,111 | |
Reinvestment of distributions | 16,631,483 | 61,910,768 | |
Shares redeemed | (56,370,538,959) | (41,101,444,589) | |
Net increase (decrease) from capital share transactions | 2,418,047,704 | 541,325,290 | |
Net increase (decrease) in net assets from beneficial interest transactions | 18,649,287,212 | 19,714,053,875 | |
Net increase (decrease) in net assets during the period | 18,649,244,611 | 19,714,130,559 | |
Net assets at beginning of period | 60,300,911,227 | 40,586,780,668 | |
NET ASSETS AT END OF PERIOD | $ 78,950,155,838 | $ 60,300,911,227 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 31,088,369,220 | 24,892,352,758 | |
Reinvestment of distributions | 1,480,888 | 11,965,550 | |
Shares redeemed | (30,211,781,228) | (24,917,663,849) | |
Net increase (decrease) from share transactions | 878,068,880 | (13,345,541) | |
Institutional Class | |||
Shares sold | 48,481,712,594 | 29,380,759,495 | |
Reinvestment of distributions | 3,802,565 | 4,835,215 | |
Shares redeemed | (48,086,318,494) | (29,075,126,488) | |
Net increase (decrease) from share transactions | 399,196,665 | 310,468,222 | |
Investment Class | |||
Shares sold | 1,624,760,440 | 2,095,050,900 | |
Reinvestment of distributions | 206,037 | 878,064 | |
Shares redeemed | (1,659,948,146) | (1,958,018,009) | |
Net increase (decrease) from share transactions | (34,981,669) | 137,910,955 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
Investor Class | |||
Shares sold | 20,279,658,576 | 15,997,492,868 | |
Reinvestment of distributions | 2,016,150 | 11,962,564 | |
Shares redeemed | (20,070,819,894) | (17,158,427,721) | |
Net increase (decrease) from share transactions | 210,854,832 | (1,148,972,289) | |
Premier Class | |||
Shares sold | 1,167,028,226,175 | 812,815,301,168 | |
Reinvestment of distributions | 180,794,674 | 770,502,953 | |
Shares redeemed | (1,152,430,920,049) | (793,699,136,883) | |
Net increase (decrease) from share transactions | 14,778,100,800 | 19,886,667,238 | |
Class G | |||
Shares sold | 58,771,955,180 | 41,580,859,111 | |
Reinvestment of distributions | 16,631,483 | 61,910,768 | |
Shares redeemed | (56,370,538,959) | (41,101,444,589) | |
Net increase (decrease) from share transactions | 2,418,047,704 | 541,325,290 |
Administration Class(a) | |||||||||
Year Ended 12/31/20 | 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) | $2,550,831 | $1,672,762 | $1,686,105 | $1,909,670 | $3,423,655 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37%(d) | ||||
Net expenses | 0.23% | 0.37% | 0.37% | 0.37% | 0.37%(d) | ||||
Net investment income (loss) | 0.20% | 1.87% | 1.47% | 0.50% | 0.04%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class(a) | |||||
Year Ended 12/31/20 | 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) | 0.0037 | 0.0207 | 0.0170 | ||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | — | ||
Total from investment operations | 0.0037 | 0.0207 | 0.0170 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0037) | (0.0207) | (0.0170) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.37% | 2.09% | 1.67% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $1,349,398 | $950,202 | $639,733 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15% | 0.15% | 0.15%(d) | ||
Net expenses | 0.14% | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.42% | 1.95% | 1.71%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0025 | 0.0178 | 0.0140 | 0.0044 | 0.0000(b) | ||||
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) | ||||
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 | ||||
Total return (c) | 0.25% | 1.79% | 1.40% | 0.44% | 0.00%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $483,015 | $517,997 | $380,085 | $432,488 | $903,050 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.27% | 0.45% | 0.47% | 0.47% | 0.37% | ||||
Net investment income (loss) | 0.32% | 1.76% | 1.42% | 0.40% | 0.00%(d) |
(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%. |
Investor Class(a) | |||||||||
Year Ended 12/31/20 | 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) | $936,980 | $726,126 | $1,875,096 | $1,245,204 | $230,156 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.18% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.35% | 2.08% | 1.68% | 0.83% | 0.21%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Premier Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0039 | 0.0211 | 0.0170 | 0.0079 | 0.0025 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | — | 0.0000(b) | (0.0000)(b) | ||||
Total from investment operations | 0.0039 | 0.0211 | 0.0170 | 0.0079 | 0.0025 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0039) | (0.0211) | (0.0170) | (0.0079) | (0.0025) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0039) | (0.0211) | (0.0170) | (0.0079) | (0.0025) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.39% | 2.13% | 1.76% | 0.79% | 0.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $67,604,723 | $52,826,660 | $32,939,927 | $38,921,503 | $43,302,733 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.33% | 2.08% | 1.74% | 0.78% | 0.27% |
(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. |
Class G(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0043 | 0.0215 | 0.0180 | 0.0082 | 0.0029 | ||||
Net realized gain (loss) | 0.0000(b) | 0.0000(b) | — | 0.0001 | 0.0000(b) | ||||
Total from investment operations | 0.0043 | 0.0215 | 0.0180 | 0.0083 | 0.0029 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0043) | (0.0215) | (0.0180) | (0.0083) | (0.0029) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0043) | (0.0215) | (0.0180) | (0.0083) | (0.0029) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.43% | 2.17% | 1.80% | 0.83% | 0.29% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $6,025,209 | $3,607,164 | $3,065,834 | $4,349,842 | $581,991 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net expenses | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | ||||
Net investment income (loss) | 0.37% | 2.12% | 1.74% | 0.95% | 0.29% |
(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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional U.S. Government Money Market Fund | Administration Class Investment Class Investor Class Institutional Class Premier Class Select Class Class G | August 23, 2016 October 17, 2007 March 21, 2016 January 18, 2018 October 25, 2007 Not commenced October 5, 2014 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $259,665,761 | $— | $259,665,761 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional U.S. Government Money Market Fund | $ 1,076,739,521 | $ — | $ 1,076,739,521 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional U.S. Government Money Market Fund | $17,821 | $— | $— | $— | $17,821 |
February 26, 2021
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 | 0.16% | $1,000.00 | $0.80 | $1,024.30 | $0.81 | ||||
Institutional Class | 0.14 | 1,000.10 | 0.70 | 1,024.40 | 0.71 | ||||
Investment Class | 0.16 | 1,000.00 | 0.80 | 1,024.30 | 0.81 | ||||
Investor Class | 0.15 | 1,000.10 | 0.75 | 1,024.40 | 0.76 | ||||
Premier Class | 0.12 | 1,000.20 | 0.60 | 1,024.50 | 0.61 | ||||
Class G | 0.08 | 1,000.40 | 0.40 | 1,024.70 | 0.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street U.S. Government Money Market Portfolio |
1 | |
2 | |
9 | |
10 | |
11 | |
12 | |
13 | |
18 | |
19 |
% of Net Assets | |||
Treasury Debt | 59.2% | ||
Government Agency Debt | 18.5 | ||
Treasury Repurchase Agreements | 14.2 | ||
Government Agency Repurchase Agreements | 3.0 | ||
Other Assets in Excess of Liabilities | 5.1 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 29.2% | ||
31 to 60 Days | 13.6 | ||
61 to 90 Days | 12.2 | ||
Over 90 Days | 39.9 | ||
Total | 94.9% | ||
Average days to maturity | 47 | ||
Weighted average life | 99 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
GOVERNMENT AGENCY DEBT—18.5% | ||||||||||
Federal Farm Credit Bank (a) | 0.010% | 01/06/2021 | 01/06/2021 | $ 80,000,000 | $ 79,999,889 | |||||
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.12%(b) | 0.096% | 01/22/2021 | 07/22/2021 | 181,300,000 | 181,300,000 | |||||
Federal Farm Credit Bank, SOFR + 0.03%(b) | 0.115% | 01/01/2021 | 11/20/2021 | 347,000,000 | 346,984,405 | |||||
Federal Farm Credit Bank, SOFR + 0.04%(b) | 0.130% | 01/01/2021 | 02/09/2021 | 121,000,000 | 121,000,000 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR(b) | 0.153% | 01/19/2021 | 03/17/2021 | 165,000,000 | 164,996,369 | |||||
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.01%(b) | 0.153% | 01/28/2021 | 12/28/2021 | 101,390,000 | 101,385,035 | |||||
Federal Farm Credit Bank, SOFR + 0.07%(b) | 0.155% | 01/01/2021 | 11/18/2022 | 39,250,000 | 39,250,000 | |||||
Federal Farm Credit Bank, SOFR + 0.08%(b) | 0.170% | 01/01/2021 | 01/14/2021 | 75,700,000 | 75,700,000 | |||||
Federal Farm Credit Bank, SOFR + 0.09%(b) | 0.175% | 01/01/2021 | 10/07/2022 | 45,000,000 | 45,000,000 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.10%(b) | 0.195% | 01/01/2021 | 01/18/2022 | 100,000,000 | 99,995,382 | |||||
Federal Farm Credit Bank, 3 Month USD MMY + 0.13%(b) | 0.225% | 01/01/2021 | 02/28/2022 | 275,000,000 | 275,000,000 | |||||
Federal Home Loan Bank, 3 Month USD LIBOR - 0.17%(b) | 0.060% | 01/08/2021 | 01/08/2021 | 250,100,000 | 250,097,812 | |||||
Federal Home Loan Bank (a) | 0.079% | 03/17/2021 | 03/17/2021 | 85,000,000 | 84,986,010 | |||||
Federal Home Loan Bank, SOFR + 0.01%(b) | 0.100% | 01/01/2021 | 04/23/2021 | 399,250,000 | 399,250,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.05%(b) | 0.103% | 01/16/2021 | 02/16/2021 | 401,750,000 | 401,748,313 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.105% | 01/01/2021 | 05/19/2021 | 123,000,000 | 123,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.105% | 01/01/2021 | 06/21/2021 | 190,600,000 | 190,600,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(b) | 0.106% | 01/09/2021 | 01/08/2021 | 345,000,000 | 345,000,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(b) | 0.109% | 01/22/2021 | 03/22/2021 | 100,000,000 | 100,001,680 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.110% | 01/01/2021 | 02/12/2021 | 89,250,000 | 89,250,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.110% | 01/01/2021 | 08/23/2021 | 479,000,000 | 479,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.02%(b) | 0.110% | 01/01/2021 | 09/20/2021 | 155,650,000 | 155,650,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(b) | 0.114% | 01/13/2021 | 08/13/2021 | 175,000,000 | 175,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.03%(b) | 0.115% | 01/01/2021 | 02/25/2021 | 88,500,000 | 88,500,000 | |||||
Federal Home Loan Bank, SOFR + 0.03%(b) | 0.115% | 01/01/2021 | 12/27/2021 | 400,250,000 | 400,250,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(b) | 0.123% | 01/11/2021 | 01/11/2021 | 249,500,000 | 249,500,000 | |||||
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(b) | 0.123% | 01/16/2021 | 04/16/2021 | 615,800,000 | 615,800,000 | |||||
Federal Home Loan Bank, SOFR + 0.04%(b) | 0.125% | 01/01/2021 | 03/10/2021 | 522,900,000 | 522,900,000 | |||||
Federal Home Loan Bank, SOFR + 0.06%(b) | 0.150% | 01/01/2021 | 11/23/2022 | 350,000,000 | 350,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.06%(b) | 0.150% | 01/01/2021 | 12/16/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.07%(b) | 0.155% | 01/01/2021 | 11/10/2022 | 150,000,000 | 150,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.08%(b) | 0.165% | 01/01/2021 | 06/11/2021 | 145,000,000 | 145,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.08%(b) | 0.170% | 01/01/2021 | 03/04/2021 | 330,700,000 | 330,700,000 | |||||
Federal Home Loan Bank (a) | 0.173% | 05/14/2021 | 05/14/2021 | 388,900,000 | 388,896,791 | |||||
Federal Home Loan Bank, SOFR + 0.12%(b) | 0.210% | 01/01/2021 | 10/13/2021 | 687,000,000 | 687,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.12%(b) | 0.210% | 01/01/2021 | 02/28/2022 | 130,000,000 | 130,000,000 | |||||
Federal Home Loan Bank, SOFR + 0.14%(b) | 0.225% | 01/01/2021 | 03/10/2021 | 138,800,000 | 138,800,000 | |||||
Federal Home Loan Bank, SOFR + 0.16%(b) | 0.250% | 01/01/2021 | 01/07/2021 | 579,500,000 | 579,500,000 | |||||
Federal Home Loan Bank, SOFR + 0.23%(b) | 0.320% | 01/01/2021 | 04/13/2021 | 576,500,000 | 576,500,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.03%(b) | 0.115% | 01/01/2021 | 02/26/2021 | 400,000,000 | 400,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.03%(b) | 0.120% | 01/01/2021 | 02/24/2021 | 381,300,000 | 381,300,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.08%(b) | 0.165% | 01/01/2021 | 03/14/2022 | 250,000,000 | 250,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.15%(b) | 0.240% | 01/01/2021 | 03/04/2022 | 200,000,000 | 199,940,466 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.16%(b) | 0.250% | 01/01/2021 | 04/20/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.19%(b) | 0.280% | 01/01/2021 | 06/02/2022 | 460,000,000 | 460,000,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.24%(b) | 0.330% | 01/01/2021 | 07/23/2021 | 271,800,000 | 271,800,000 | |||||
Federal Home Loan Mortgage Corp., SOFR + 0.30%(b) | 0.390% | 01/01/2021 | 10/25/2021 | 226,500,000 | 226,500,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.04%(b) | 0.130% | 01/01/2021 | 01/29/2021 | 352,000,000 | 352,000,823 | |||||
Federal National Mortgage Assoc., SOFR + 0.05%(b) | 0.140% | 01/01/2021 | 03/04/2021 | 365,400,000 | 365,400,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.20%(b) | 0.290% | 01/01/2021 | 06/15/2022 | 457,150,000 | 457,150,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.31%(b) | 0.400% | 01/01/2021 | 10/25/2021 | 250,000,000 | 250,000,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.32%(b) | 0.410% | 01/01/2021 | 10/22/2021 | 224,800,000 | 224,800,000 | |||||
Federal National Mortgage Assoc., SOFR + 0.33%(b) | 0.420% | 01/01/2021 | 10/15/2021 | 224,500,000 | 224,500,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Federal National Mortgage Assoc., SOFR + 0.35%(b) | 0.440% | 01/01/2021 | 10/15/2021 | $ 226,600,000 | $ 226,600,000 | |||||
TOTAL GOVERNMENT AGENCY DEBT | 14,677,532,975 | |||||||||
TREASURY DEBT—59.2% | ||||||||||
U.S. Treasury Bill (a) | 0.073% | 03/18/2021 | 03/18/2021 | 602,900,000 | 602,780,432 | |||||
U.S. Treasury Bill (a) | 0.080% | 02/25/2021 | 02/25/2021 | 899,500,000 | 899,357,651 | |||||
U.S. Treasury Bill (a) | 0.081% | 03/11/2021 | 03/11/2021 | 850,000,000 | 849,817,917 | |||||
U.S. Treasury Bill (a) | 0.081% | 04/08/2021 | 04/08/2021 | 350,000,000 | 349,896,264 | |||||
U.S. Treasury Bill (a) | 0.083% | 06/17/2021 | 06/17/2021 | 1,299,850,000 | 1,299,343,498 | |||||
U.S. Treasury Bill (a) | 0.086% | 03/23/2021 | 03/23/2021 | 1,169,850,000 | 1,169,539,708 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/18/2021 | 05/18/2021 | 701,250,000 | 701,012,491 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/25/2021 | 05/25/2021 | 250,000,000 | 249,911,250 | |||||
U.S. Treasury Bill (a) | 0.088% | 06/10/2021 | 06/10/2021 | 875,880,000 | 875,527,260 | |||||
U.S. Treasury Bill (a) | 0.090% | 01/12/2021 | 01/12/2021 | 100,000,000 | 99,999,389 | |||||
U.S. Treasury Bill (a) | 0.090% | 04/27/2021 | 04/27/2021 | 487,550,000 | 487,408,611 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/03/2021 | 06/03/2021 | 475,000,000 | 474,815,284 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/08/2021 | 06/08/2021 | 650,300,000 | 650,049,635 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/24/2021 | 06/24/2021 | 392,926,000 | 392,755,077 | |||||
U.S. Treasury Bill (a) | 0.091% | 03/25/2021 | 03/25/2021 | 801,750,000 | 801,583,405 | |||||
U.S. Treasury Bill (a) | 0.095% | 05/27/2021 | 05/27/2021 | 1,101,985,000 | 1,101,567,436 | |||||
U.S. Treasury Bill (a) | 0.095% | 06/01/2021 | 06/01/2021 | 500,000,000 | 499,800,764 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 685,000,000 | 684,659,041 | |||||
U.S. Treasury Bill (a) | 0.100% | 01/26/2021 | 01/26/2021 | 752,200,000 | 752,144,542 | |||||
U.S. Treasury Bill (a) | 0.100% | 01/28/2021 | 01/28/2021 | 1,790,365,100 | 1,790,207,682 | |||||
U.S. Treasury Bill (a) | 0.100% | 04/20/2021 | 04/20/2021 | 1,301,065,200 | 1,300,697,447 | |||||
U.S. Treasury Bill (a) | 0.100% | 05/20/2021 | 05/20/2021 | 675,000,000 | 674,739,375 | |||||
U.S. Treasury Bill (a) | 0.103% | 02/04/2021 | 02/04/2021 | 1,400,807,000 | 1,400,675,112 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/09/2021 | 03/09/2021 | 688,100,000 | 687,980,292 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/01/2021 | 04/01/2021 | 1,199,000,000 | 1,198,714,393 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/06/2021 | 04/06/2021 | 926,100,000 | 925,846,448 | |||||
U.S. Treasury Bill (a) | 0.106% | 02/09/2021 | 02/09/2021 | 949,500,000 | 949,392,765 | |||||
U.S. Treasury Bill (a) | 0.108% | 04/29/2021 | 04/29/2021 | 1,248,766,000 | 1,248,358,893 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/02/2021 | 02/02/2021 | 675,000,000 | 674,934,000 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/23/2021 | 02/23/2021 | 302,850,000 | 302,809,872 | |||||
U.S. Treasury Bill (a) | 0.110% | 03/16/2021 | 03/16/2021 | 400,450,000 | 400,359,454 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/06/2021 | 05/06/2021 | 674,750,000 | 674,492,283 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/13/2021 | 05/13/2021 | 500,150,000 | 499,948,273 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/05/2021 | 01/05/2021 | 636,078,000 | 636,074,370 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/04/2021 | 03/04/2021 | 1,074,941,000 | 1,074,760,394 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/30/2021 | 03/30/2021 | 1,652,250,000 | 1,651,839,102 | |||||
U.S. Treasury Bill (a) | 0.115% | 04/15/2021 | 04/15/2021 | 2,400,700,000 | 2,399,999,995 | |||||
U.S. Treasury Bill (a) | 0.120% | 01/19/2021 | 01/19/2021 | 951,623,600 | 951,569,013 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/11/2021 | 02/11/2021 | 818,800,000 | 818,690,532 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/16/2021 | 02/16/2021 | 750,500,000 | 750,397,075 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/18/2021 | 02/18/2021 | 2,575,675,000 | 2,575,309,309 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/21/2021 | 01/21/2021 | 2,049,922,500 | 2,049,803,406 | |||||
U.S. Treasury Bill (a) | 0.140% | 04/22/2021 | 04/22/2021 | 1,600,900,000 | 1,600,277,780 | |||||
U.S. Treasury Bill (a) | 0.145% | 01/14/2021 | 01/14/2021 | 1,362,500,000 | 1,362,438,352 | |||||
U.S. Treasury Bill (a) | 0.161% | 01/07/2021 | 01/07/2021 | 1,458,350,000 | 1,458,329,480 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 07/31/2022 | 109,000,000 | 109,005,220 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 10/31/2022 | 200,000,000 | 199,981,467 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.209% | 01/01/2021 | 04/30/2022 | 200,000,000 | 200,171,898 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.210% | 01/01/2021 | 01/31/2021 | 280,800,000 | 280,777,622 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.234% | 01/01/2021 | 04/30/2021 | 740,000,000 | 739,812,191 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.249% | 01/01/2021 | 01/31/2022 | 200,000,000 | 199,986,645 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.315% | 01/01/2021 | 07/31/2021 | 1,577,300,000 | 1,577,041,528 |
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 + 0.30%(b) | 0.395% | 01/01/2021 | 10/31/2021 | $ 835,509,200 | $ 835,782,267 | |||||
TOTAL TREASURY DEBT | 47,143,173,590 | |||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS—3.0% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Government National Mortgage Associations, 0.602% – 5.948% due 05/20/2044 – 10/20/2050, valued at $164,160,000); expected proceeds $152,001,351 | 0.080% | 01/04/2021 | 01/04/2021 | 152,000,000 | 152,000,000 | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 3.500% due 07/01/2049 – 10/01/2050, valued at $30,600,000); expected proceeds $30,000,267 | 0.080% | 01/04/2021 | 01/04/2021 | 30,000,000 | 30,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Federal Home Loan Mortgage Corporations, 0.170% – 20.596% due 04/25/2023 – 08/15/2051, a Federal National Mortgage Association, 4.857% due 05/25/2035, Government National Mortgage Associations, 0.000% – 85.129% due 05/20/2035 – 04/16/2053, a U.S. Treasury Bond, 6.250% due 08/15/2023, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, U.S. Treasury Notes, 0.125% – 2.875% due 06/30/2023 – 10/15/2023, and a U.S. Treasury Strip, 0.000% due 02/15/2031, valued at $1,024,398,604); expected proceeds $1,000,017,500 | 0.090% | 01/07/2021 | 01/07/2021 | 1,000,000,000 | 1,000,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 11/25/2020 (collateralized by Government National Mortgage Associations, 0.250% – 6.498% due 11/20/2036 – 01/16/2062, valued at $257,458,224); expected proceeds $250,042,361 (c) | 0.100% | 01/25/2021 | 01/25/2021 | 250,000,000 | 250,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 2.000% due 12/01/2050, Federal National Mortgage Associations, 2.000% – 3.000% due 11/01/2035 – 12/01/2049, and Government National Mortgage Associations, 3.500% – 6.000% due 03/20/2032 – 11/20/2050, valued at $102,000,001); expected proceeds $100,000,889 | 0.080% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by Government National Mortgage Associations, 1.860% – 8.000% due 10/20/2026 – 12/15/2060, valued at $127,500,000); expected proceeds $125,000,972 | 0.070% | 01/04/2021 | 01/04/2021 | 125,000,000 | 125,000,000 | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/03/2020 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 4.500% due 05/01/2025 – 12/01/2050, and Federal National Mortgage Associations, 1.380% – 5.000% due 01/20/2024 – 01/01/2051, valued at $255,061,483); expected proceeds $250,070,000 (c) | 0.140% | 01/14/2021 | 01/14/2021 | 250,000,000 | 250,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/21/2020 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 03/01/2048, and Federal National Mortgage Associations, 1.500% – 4.500% due 05/01/2050 – 12/01/2050, valued at $153,002,210); expected proceeds $150,032,500 (c) | 0.130% | 01/01/2021 | 02/19/2021 | $ 150,000,000 | $ 150,000,000 | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 11/25/2020 (collateralized by a Federal National Mortgage Association, 2.500% due 12/01/2050, Government National Mortgage Associations, 3.000% due 11/20/2049 – 06/20/2050, U.S. Treasury Bills, 0.000% due 03/04/2021 – 08/12/2021, U.S. Treasury Bonds, 2.375% – 3.625% due 08/15/2043 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.250% – 1.750% due 01/15/2028 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 07/15/2022 – 07/15/2030 and U.S. Treasury Notes, 0.125% – 3.000% due 08/31/2021 – 11/15/2030, valued at $301,920,136); expected proceeds $296,051,189 (c) | 0.050% | 01/25/2021 | 01/04/2021 | 296,000,000 | 296,000,000 | |||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a Tennessee Valley Authority, 5.375% due 04/01/2056, valued at $30,600,122); expected proceeds $30,000,267 | 0.080% | 01/04/2021 | 01/04/2021 | 30,000,000 | 30,000,000 | |||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 2,383,000,000 | |||||||||
TREASURY REPURCHASE AGREEMENTS—14.2% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/16/2020 (collateralized by U.S. Treasury Notes, 0.375% – 2.750% due 07/31/2023 – 05/15/2030, valued at $314,160,061); expected proceeds $308,029,089 | 0.100% | 01/07/2021 | 01/07/2021 | 308,000,000 | 308,000,000 | |||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.625% – 2.875% due 01/31/2021 – 08/15/2030, valued at $254,668,535); expected proceeds $249,676,665 | 0.060% | 01/04/2021 | 01/04/2021 | 249,675,000 | 249,675,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 11/27/2020 (collateralized by U.S. Treasury Bonds, 2.250% – 2.875% due 08/15/2045 – 08/15/2049, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2022 – 07/15/2030, U.S. Treasury Notes, 0.250% – 2.750% due 02/28/2022 – 09/30/2027, and a U.S. Treasury Strip, 0.000% due 02/15/2029, valued at $153,000,056); expected proceeds $150,022,125 | 0.090% | 01/07/2021 | 01/07/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.375% – 1.750% due 06/15/2022 – 12/31/2025, valued at $510,000,017); expected proceeds $500,002,778 | 0.050% | 01/04/2021 | 01/04/2021 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.000% - 3.750%, due 11/15/2043 – 11/15/2048 valued at $647,996,585); expected proceeds $635,006,350 | 0.090% | 01/04/2021 | 01/04/2021 | 635,000,000 | 635,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/28/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 02/11/2021, U.S. Treasury Bonds, 2.500% – 8.125% due 02/15/2021 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2021 – 07/15/2030, U.S. Treasury Notes, 1.375% – 2.875% due 04/30/2021 – 02/28/2026, and U.S. Treasury Strips, 0.000% due 11/15/2026 – 11/15/2049, valued at $311,365,200); expected proceeds $305,282,895 | 0.090% | 01/07/2021 | 01/07/2021 | $ 305,260,000 | $ 305,260,000 | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 11/23/2020 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.500% due 10/15/2024 – 01/15/2028, valued at $312,222,062); expected proceeds $306,143,619 | 0.090% | 01/07/2021 | 01/07/2021 | 306,100,000 | 306,100,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.000% – 4.750% due 02/15/2041 – 05/15/2042, and U.S. Treasury Inflation Index Bonds, 0.625% – 0.750% due 02/15/2042 – 02/15/2043, valued at $153,008,788); expected proceeds $150,002,042 | 0.070% | 01/07/2021 | 01/07/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Strips, 0.000% due 05/15/2040 – 02/15/2043, valued at $127,600,669); expected proceeds $125,000,972 | 0.070% | 01/04/2021 | 01/04/2021 | 125,000,000 | 125,000,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2043 – 11/15/2047, valued at $510,000,044); expected proceeds $500,007,778 | 0.080% | 01/07/2021 | 01/07/2021 | 500,000,000 | 500,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.125% – 0.625% due 12/31/2022 – 12/31/2027, valued at $2,958,000,068); expected proceeds $2,900,016,111 | 0.050% | 01/04/2021 | 01/04/2021 | 2,900,000,000 | 2,900,000,000 | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 10/15/2025 and U.S. Treasury Notes, 0.125% - 0.625%, due 10/15/2023 – 12/31/2027 valued at $2,549,308,285); expected proceeds $2,500,023,073 | 0.080% | 01/04/2021 | 01/04/2021 | 2,500,000,851 | 2,500,000,851 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Note, 2.750% due 06/30/2025, valued at $105,060,015); expected proceeds $103,000,572 | 0.010% | 01/04/2021 | 01/04/2021 | 103,000,000 | 103,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Note, 0.125% due 05/31/2022, valued at $24,717,720); expected proceeds $24,233,162 | 0.060% | 01/04/2021 | 01/04/2021 | 24,233,000 | 24,233,000 | |||||
Agreement with LLOYDS Bank PLC, dated 11/03/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044 and a U.S. Treasury Note, 2.250% due 10/31/2024, valued at $372,578,125); expected proceeds $365,150,461 (c) | 0.140% | 02/17/2021 | 02/17/2021 | 365,000,000 | 365,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with MUFG Securities, dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 1.125% - 6.250% due 05/15/2030 – 05/15/2050 and U.S. Treasury Notes, 0.125% - 6.625% due 02/15/2021 – 11/30/2027, valued at $764,515,738); expected proceeds $750,005,000 | 0.060% | 01/04/2021 | 01/04/2021 | $ 750,000,000 | $ 750,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 11/02/2020 (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 $147,900,040); expected proceeds $145,036,653 | 0.140% | 01/06/2021 | 01/06/2021 | 145,000,000 | 145,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 08/15/2026, valued at $188,700,056); expected proceeds $185,041,419 (c) | 0.130% | 02/02/2021 | 02/02/2021 | 185,000,000 | 185,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/04/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $188,700,041); expected proceeds $185,069,375 (c) | 0.150% | 03/04/2021 | 03/04/2021 | 185,000,000 | 185,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/14/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $377,400,051); expected proceeds $370,140,292 (c) | 0.150% | 03/15/2021 | 03/15/2021 | 370,000,000 | 370,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2043 and U.S. Treasury Strips, 0.000%, due 02/15/2029 – 02/15/2045, valued at $144,686,871); expected proceeds $141,316,888 | 0.090% | 01/04/2021 | 01/04/2021 | 141,315,475 | 141,315,475 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 2.250% - 3.750% due 11/15/2042 – 11/15/2049 and a U.S. Treasury Strip, 0.000%, due 08/15/2027, valued at $297,264,211); expected proceeds $291,111,686 | 0.090% | 01/04/2021 | 01/04/2021 | 291,108,775 | 291,108,775 | |||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bills, 0.000% due 01/26/2021 – 12/02/2021, and a U.S. Treasury Note, 0.210% due 01/31/2021, valued at $25,500,065); expected proceeds $25,000,194 | 0.070% | 01/04/2021 | 01/04/2021 | 25,000,000 | 25,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bills, 0.000% due 01/19/2021 – 10/07/2021, U.S. Treasury Bonds, 2.250% – 7.625% due 11/15/2024 – 08/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 2.500% due 01/15/2029 – 02/15/2049, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2030, U.S. Treasury Notes, 0.125% – 3.625% due 02/15/2021 – 08/15/2030, and U.S. Treasury Strips, 0.000% due 02/15/2021 – 05/15/2029, valued at $102,000,014); expected proceeds $100,000,556 | 0.050% | 01/04/2021 | 01/04/2021 | $ 100,000,000 | $ 100,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 11,313,693,101 | |||||||||
TOTAL INVESTMENTS –94.9% (d)(e) | 75,517,399,666 | |||||||||
Other Assets in Excess of Liabilities —5.1% | 4,094,547,484 | |||||||||
NET ASSETS –100.0% | $ 79,611,947,150 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $2,051,000,000 or 2.6% of net assets as of December 31, 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 | $61,820,706,565 |
Repurchase agreements, at value and amortized cost | 13,696,693,101 |
Total Investments | 75,517,399,666 |
Cash | 5,392,914,003 |
Interest receivable — unaffiliated issuers | 6,295,395 |
Prepaid expenses and other assets | 12,528 |
TOTAL ASSETS | 80,916,621,592 |
LIABILITIES | |
Payable for investments purchased | 1,299,879,011 |
Advisory and administrator fee payable | 3,126,922 |
Custody, sub-administration and transfer agent fees payable | 1,318,411 |
Trustees’ fees and expenses payable | 13,236 |
Professional fees payable | 251,443 |
Printing fees payable | 1,221 |
Accrued expenses and other liabilities | 84,198 |
TOTAL LIABILITIES | 1,304,674,442 |
NET ASSETS | $ 79,611,947,150 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $356,718,536 |
EXPENSES | |
Advisory and administrator fee | 39,170,581 |
Custodian, sub-administrator and transfer agent fees | 9,861,919 |
Trustees’ fees and expenses | 671,050 |
Professional fees and expenses | 773,324 |
Printing and postage fees | 22,363 |
Insurance expense | 23,495 |
Miscellaneous expenses | 196,812 |
TOTAL EXPENSES | 50,719,544 |
NET INVESTMENT INCOME (LOSS) | $305,998,992 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 94,958 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $306,093,950 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 305,998,992 | $ 1,123,671,534 | |
Net realized gain (loss) | 94,958 | 61,113 | |
Net increase (decrease) in net assets resulting from operations | 306,093,950 | 1,123,732,647 | |
CAPITAL TRANSACTIONS | |||
Contributions | 215,779,123,984 | 177,701,232,695 | |
Withdrawals | (197,361,054,418) | (159,158,963,953) | |
Net increase (decrease) in net assets from capital transactions | 18,418,069,566 | 18,542,268,742 | |
Net increase (decrease) in net assets during the period | 18,724,163,516 | 19,666,001,389 | |
Net assets at beginning of period | 60,887,783,634 | 41,221,782,245 | |
NET ASSETS AT END OF PERIOD | $ 79,611,947,150 | $ 60,887,783,634 |
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Total return (a) | 0.45% | 2.20% | 1.81% | 0.74% | 0.31% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $79,611,947 | $60,887,784 | $41,221,782 | $48,665,017 | $50,925,227 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.07% | 0.07% | 0.06% | 0.07% | ||||
Net investment income (loss) | 0.39% | 2.13% | 1.78% | 0.85% | 0.32% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street U.S. Government Money Market Portfolio | 0.07% | $1,000.30 | $0.35 | $1,024.80 | $0.36 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Money Market Fund |
1 | |
2 | |
3 | |
5 | |
10 | |
16 | |
17 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $15,988,787,993 |
Receivable for fund shares sold | 43,511 |
Receivable from Adviser | 256,015 |
Other Receivable | 25,901 |
Prepaid expenses and other assets | 40,400 |
TOTAL ASSETS | 15,989,153,820 |
LIABILITIES | |
Payable for fund shares repurchased | 11,477 |
Administration fees payable | 680,472 |
Shareholder servicing fee payable | 136,581 |
Distribution fees payable | 37,386 |
Transfer agent fees payable | 7,293 |
Registration and filing fees payable | 348,418 |
Professional fees payable | 35,727 |
Printing fees payable | 19,932 |
Accrued expenses and other liabilities | 45,277 |
TOTAL LIABILITIES | 1,322,563 |
NET ASSETS | $15,987,831,257 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $15,987,754,637 |
Total distributable earnings (loss) | 76,620 |
NET ASSETS | $15,987,831,257 |
Administration Class | |
Net Assets | $ 325,007 |
Shares Outstanding | 325,007 |
Net asset value, offering and redemption price per share | $ 1.00 |
Institutional Class | |
Net Assets | $ 244,039,275 |
Shares Outstanding | 244,039,191 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 479,954,343 |
Shares Outstanding | 479,948,847 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 555,517,176 |
Shares Outstanding | 555,515,728 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $14,707,995,456 |
Shares Outstanding | 14,708,026,627 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 79,275,556 |
Expenses allocated from affiliated Portfolio | (11,496,213) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 67,779,343 |
EXPENSES | |
Administration fees | |
Administration Class | 105 |
Institutional Class | 101,818 |
Investment Class | 275,663 |
Investor Class | 227,853 |
Premier Class | 8,251,993 |
Shareholder servicing fees | |
Administration Class | 420 |
Institutional Class | 61,108 |
Investment Class | 1,378,361 |
Investor Class | 364,587 |
Distribution fees | |
Administration Class | 105 |
Investment Class | 551,344 |
Custodian fees | 40,711 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 41,207 |
Registration and filing fees | 619,318 |
Professional fees | 87,126 |
Printing and postage fees | 49,535 |
Insurance expense | 67,659 |
Miscellaneous expenses | 78,619 |
TOTAL EXPENSES | 12,218,532 |
Expenses waived/reimbursed by the Adviser | (1,653,903) |
NET EXPENSES | 10,564,629 |
NET INVESTMENT INCOME (LOSS) | $ 57,214,714 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 178,506 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 57,393,220 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 57,214,714 | $ 220,496,452 | |
Net realized gain (loss) | 178,506 | 271,783 | |
Net increase (decrease) in net assets resulting from operations | 57,393,220 | 220,768,235 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (149) | (920) | |
Institutional Class | (257,953) | (334,102) | |
Investment Class | (1,153,922) | (6,213,652) | |
Investor Class | (786,402) | (3,126,205) | |
Premier Class | (55,345,250) | (210,831,864) | |
Total distributions to shareholders | (57,543,676) | (220,506,743) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Administration Class | |||
Shares sold | 275,000 | — | |
Reinvestment of distributions | 7 | — | |
Net increase (decrease) from capital share transactions | 275,007 | — | |
Institutional Class | |||
Shares sold | 3,735,792,128 | 638,062,068 | |
Reinvestment of distributions | 84,369 | 226,396 | |
Shares redeemed | (3,515,465,052) | (614,710,718) | |
Net increase (decrease) from capital share transactions | 220,411,445 | 23,577,746 | |
Investment Class | |||
Shares sold | 1,082,002,666 | 693,177,178 | |
Reinvestment of distributions | 63,745 | 45,389 | |
Shares redeemed | (1,010,336,945) | (675,736,752) | |
Net increase (decrease) from capital share transactions | 71,729,466 | 17,485,815 | |
Investor Class | |||
Shares sold | 5,510,238,580 | 2,037,248,929 | |
Reinvestment of distributions | 687,569 | 3,109,787 | |
Shares redeemed | (5,086,484,885) | (2,006,528,761) | |
Net increase (decrease) from capital share transactions | 424,441,264 | 33,829,955 | |
Premier Class | |||
Shares sold | 145,220,418,421 | 90,382,471,629 | |
Reinvestment of distributions | 52,578,238 | 200,985,191 | |
Shares redeemed | (142,377,771,533) | (88,195,295,536) | |
Net increase (decrease) from capital share transactions | 2,895,225,126 | 2,388,161,284 | |
Net increase (decrease) in net assets from beneficial interest transactions | 3,612,082,308 | 2,463,054,800 | |
Net increase (decrease) in net assets during the period | 3,611,931,852 | 2,463,316,292 | |
Net assets at beginning of period | 12,375,899,405 | 9,912,583,113 | |
NET ASSETS AT END OF PERIOD | $ 15,987,831,257 | $ 12,375,899,405 | |
SHARES OF BENEFICIAL INTEREST: | |||
Administration Class | |||
Shares sold | 275,000 | — | |
Reinvestment of distributions | 7 | — | |
Net increase (decrease) from share transactions | 275,007 | — | |
Institutional Class | |||
Shares sold | 3,735,792,128 | 638,062,068 | |
Reinvestment of distributions | 84,369 | 226,396 | |
Shares redeemed | (3,515,465,052) | (614,710,718) | |
Net increase (decrease) from share transactions | 220,411,445 | 23,577,746 | |
Investment Class | |||
Shares sold | 1,082,002,666 | 693,177,178 | |
Reinvestment of distributions | 63,745 | 45,389 | |
Shares redeemed | (1,010,336,945) | (675,736,752) | |
Net increase (decrease) from share transactions | 71,729,466 | 17,485,815 | |
Investor Class | |||
Shares sold | 5,510,238,580 | 2,037,248,929 | |
Reinvestment of distributions | 687,569 | 3,109,787 | |
Shares redeemed | (5,086,484,885) | (2,006,528,761) | |
Net increase (decrease) from share transactions | 424,441,264 | 33,829,955 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
Premier Class | |||
Shares sold | 145,220,418,421 | 90,382,471,629 | |
Reinvestment of distributions | 52,578,238 | 200,985,191 | |
Shares redeemed | (142,377,771,533) | (88,195,295,536) | |
Net increase (decrease) from share transactions | 2,895,225,126 | 2,388,161,284 |
Administration Class(a) | |||||
Year Ended 12/31/20 | 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) | 0.0029 | 0.0184 | 0.0076 | ||
Net realized gain (loss) | (0.0001) | 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 | 0.37% | 0.37% | 0.37%(d) | ||
Net expenses | 0.18% | 0.37% | 0.37%(d) | ||
Net investment income (loss) | 0.07% | 1.84% | 1.79%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class(a) | |||||
Year Ended 12/31/20 | 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) | 0.0038 | 0.0205 | 0.0085 | ||
Net realized gain (loss) | — | 0.0000(b) | (0.0000)(b) | ||
Total from investment operations | 0.0038 | 0.0205 | 0.0085 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0038) | (0.0205) | (0.0085) | ||
Total distributions | (0.0038) | (0.0205) | (0.0085) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.38% | 2.07% | 0.85% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $244,039 | $ 23,628 | $ 50 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15% | 0.15% | 0.15%(d) | ||
Net expenses | 0.14% | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.12% | 1.86% | 2.01%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0027 | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | ||||
Net realized gain (loss) | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0028 | 0.0175 | 0.0138 | 0.0041 | 0.0000(b) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0027) | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | ||||
Net realized gains | (0.0001) | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0028) | (0.0175) | (0.0138) | (0.0041) | (0.0000)(b) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.27% | 1.76% | 1.39% | 0.41% | 0.00%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $479,954 | $408,230 | $390,735 | $366,364 | $609,545 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.47% | ||||
Net expenses | 0.26% | 0.46% | 0.47% | 0.47% | 0.31% | ||||
Net investment income (loss) | 0.21% | 1.74% | 1.37% | 0.38% | 0.00%(d) |
(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%. |
Investor Class(a) | |||||||||
Year Ended 12/31/20 | 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) | ||||
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) | $555,517 | $131,075 | $ 97,241 | $ 29,583 | $ 27,402 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.18%(e) | ||||
Net expenses | 0.17% | 0.20% | 0.20% | 0.20% | 0.18%(e) | ||||
Net investment income (loss) | 0.17% | 1.95% | 1.70% | 0.71% | 0.31%(e) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005%. |
(e) | Annualized. |
Premier Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0040 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | ||||
Net realized gain (loss) | 0.0001 | 0.0000(b) | (0.0000)(b) | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0041 | 0.0208 | 0.0173 | 0.0076 | 0.0019 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0040) | (0.0208) | (0.0173) | (0.0076) | (0.0019) | ||||
Net realized gains | (0.0001) | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0041) | (0.0208) | (0.0173) | (0.0076) | (0.0019) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.40% | 2.10% | 1.74% | 0.76% | 0.19% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $14,707,995 | $11,812,916 | $9,424,507 | $12,123,627 | $12,651,785 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.33% | 2.07% | 1.71% | 0.76% | 0.19% |
(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. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Institutional Treasury Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Select Class | July 31, 2018 July 31, 2018 October 25, 2007 December 22, 2016 October 25, 2007 Not commenced | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $57,543,676 | $— | $57,543,676 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Money Market Fund | $ 220,506,743 | $ — | $ 220,506,743 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Money Market Fund | $76,620 | $— | $— | $— | $76,620 |
February 26, 2021
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 | 0.15% | $1,000.00 | $0.75 | $1,024.40 | $0.76 | ||||
Institutional Class | 0.13 | 1,000.10 | 0.65 | 1,024.50 | 0.66 | ||||
Investment Class | 0.15 | 1,000.00 | 0.75 | 1,024.40 | 0.76 | ||||
Investor Class | 0.15 | 1,000.00 | 0.75 | 1,024.40 | 0.76 | ||||
Premier Class | 0.12 | 1,000.20 | 0.60 | 1,024.50 | 0.61 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Money Market Portfolio |
1 | |
2 | |
4 | |
5 | |
6 | |
7 | |
8 | |
12 | |
13 |
% of Net Assets | |||
Treasury Debt | 102.7% | ||
Liabilities in Excess of Other Assets | (2.7) | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 29.9% | ||
31 to 60 Days | 24.0 | ||
61 to 90 Days | 11.1 | ||
Over 90 Days | 37.7 | ||
Total | 102.7% | ||
Average days to maturity | 55 | ||
Weighted average life | 103 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—102.7% | ||||||||||
U.S. Treasury Bill (a) | 0.070% | 01/19/2021 | 01/19/2021 | $ 825,250,000 | $ 825,217,116 | |||||
U.S. Treasury Bill (a) | 0.075% | 02/09/2021 | 02/09/2021 | 249,800,000 | 249,771,799 | |||||
U.S. Treasury Bill (a) | 0.078% | 01/26/2021 | 01/26/2021 | 324,159,000 | 324,141,554 | |||||
U.S. Treasury Bill (a) | 0.080% | 02/25/2021 | 02/25/2021 | 352,500,000 | 352,436,034 | |||||
U.S. Treasury Bill (a) | 0.083% | 06/17/2021 | 06/17/2021 | 300,500,000 | 300,382,903 | |||||
U.S. Treasury Bill (a) | 0.086% | 03/23/2021 | 03/23/2021 | 150,000,000 | 149,959,500 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/18/2021 | 05/18/2021 | 400,000,000 | 399,864,522 | |||||
U.S. Treasury Bill (a) | 0.088% | 06/10/2021 | 06/10/2021 | 250,130,000 | 250,029,268 | |||||
U.S. Treasury Bill (a) | 0.090% | 03/25/2021 | 03/25/2021 | 100,000,000 | 99,979,250 | |||||
U.S. Treasury Bill (a) | 0.090% | 04/01/2021 | 04/01/2021 | 850,000 | 849,809 | |||||
U.S. Treasury Bill (a) | 0.090% | 05/11/2021 | 05/11/2021 | 200,000,000 | 199,935,000 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/03/2021 | 06/03/2021 | 151,500,000 | 151,441,085 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/08/2021 | 06/08/2021 | 150,000,000 | 149,942,250 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/24/2021 | 06/24/2021 | 200,000,000 | 199,913,000 | |||||
U.S. Treasury Bill (a) | 0.091% | 04/13/2021 | 04/13/2021 | 149,800,000 | 149,761,589 | |||||
U.S. Treasury Bill (a) | 0.095% | 03/18/2021 | 03/18/2021 | 300,000,000 | 299,940,467 | |||||
U.S. Treasury Bill (a) | 0.095% | 05/27/2021 | 05/27/2021 | 401,000,000 | 400,848,061 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 150,750,000 | 150,674,964 | |||||
U.S. Treasury Bill (a) | 0.100% | 01/28/2021 | 01/28/2021 | 1,069,790,000 | 1,069,719,471 | |||||
U.S. Treasury Bill (a) | 0.100% | 03/02/2021 | 03/02/2021 | 300,800,000 | 300,755,545 | |||||
U.S. Treasury Bill (a) | 0.100% | 03/04/2021 | 03/04/2021 | 300,818,400 | 300,766,614 | |||||
U.S. Treasury Bill (a) | 0.100% | 04/20/2021 | 04/20/2021 | 150,000,000 | 149,954,583 | |||||
U.S. Treasury Bill (a) | 0.100% | 05/20/2021 | 05/20/2021 | 350,000,000 | 349,864,861 | |||||
U.S. Treasury Bill (a) | 0.103% | 02/04/2021 | 02/04/2021 | 1,000,500,000 | 1,000,412,991 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/11/2021 | 03/11/2021 | 300,250,000 | 300,196,983 | |||||
U.S. Treasury Bill (a) | 0.108% | 04/29/2021 | 04/29/2021 | 350,830,000 | 350,715,163 | |||||
U.S. Treasury Bill (a) | 0.110% | 01/12/2021 | 01/12/2021 | 250,300,000 | 250,292,506 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/02/2021 | 02/02/2021 | 449,600,000 | 449,565,681 | |||||
U.S. Treasury Bill (a) | 0.110% | 03/16/2021 | 03/16/2021 | 150,000,000 | 149,966,083 | |||||
U.S. Treasury Bill (a) | 0.110% | 04/08/2021 | 04/08/2021 | 199,700,000 | 199,640,811 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/06/2021 | 05/06/2021 | 150,000,000 | 149,942,708 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/13/2021 | 05/13/2021 | 150,000,000 | 149,939,500 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/05/2021 | 01/05/2021 | 731,609,000 | 731,602,573 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/30/2021 | 03/30/2021 | 250,000,000 | 249,929,722 | |||||
U.S. Treasury Bill (a) | 0.115% | 04/15/2021 | 04/15/2021 | 200,000,000 | 199,933,556 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/11/2021 | 02/11/2021 | 449,800,000 | 449,741,800 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/16/2021 | 02/16/2021 | 285,000,000 | 284,960,133 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/18/2021 | 02/18/2021 | 551,150,000 | 551,072,514 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/21/2021 | 01/21/2021 | 250,000,000 | 249,984,444 | |||||
U.S. Treasury Bill (a) | 0.140% | 04/22/2021 | 04/22/2021 | 309,332,000 | 309,209,264 | |||||
U.S. Treasury Bill (a) | 0.145% | 01/14/2021 | 01/14/2021 | 928,820,000 | 928,792,580 | |||||
U.S. Treasury Bill (a) | 0.161% | 01/07/2021 | 01/07/2021 | 656,615,000 | 656,604,932 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 07/31/2022 | 330,000,000 | 330,007,178 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 10/31/2022 | 90,000,000 | 90,003,332 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.209% | 01/01/2021 | 04/30/2022 | 428,000,000 | 428,380,669 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.210% | 01/01/2021 | 01/31/2021 | 669,400,000 | 669,397,853 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.234% | 01/01/2021 | 04/30/2021 | 252,500,000 | 252,452,901 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.249% | 01/01/2021 | 01/31/2022 | 482,000,000 | 482,542,212 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.315% | 01/01/2021 | 07/31/2021 | 160,307,000 | 160,350,204 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b) | 0.395% | 01/01/2021 | 10/31/2021 | 369,250,000 | 369,755,844 | |||||
TOTAL INVESTMENTS –102.7% (c)(d) | 17,221,543,382 | |||||||||
Liabilities in Excess of Other Assets —(2.7)% | (450,040,226) | |||||||||
NET ASSETS –100.0% | $16,771,503,156 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 | $17,221,543,382 |
Cash | 61 |
Interest receivable — unaffiliated issuers | 1,120,124 |
Prepaid expenses and other assets | 3,137 |
TOTAL ASSETS | 17,222,666,704 |
LIABILITIES | |
Payable for investments purchased | 449,912,675 |
Advisory and administrator fee payable | 737,709 |
Custody, sub-administration and transfer agent fees payable | 413,084 |
Trustees’ fees and expenses payable | 2,879 |
Professional fees payable | 76,745 |
Printing fees payable | 309 |
Accrued expenses and other liabilities | 20,147 |
TOTAL LIABILITIES | 451,163,548 |
NET ASSETS | $16,771,503,156 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $81,548,995 |
EXPENSES | |
Advisory and administrator fee | 9,168,481 |
Custodian, sub-administrator and transfer agent fees | 2,324,656 |
Trustees’ fees and expenses | 162,664 |
Professional fees | 181,662 |
Printing and postage fees | 11,090 |
Insurance expense | 5,593 |
Miscellaneous expenses | 46,190 |
TOTAL EXPENSES | 11,900,336 |
NET INVESTMENT INCOME (LOSS) | $69,648,659 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 185,977 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $69,834,636 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 69,648,659 | $ 237,216,330 | |
Net realized gain (loss) | 185,977 | 283,242 | |
Net increase (decrease) in net assets resulting from operations | 69,834,636 | 237,499,572 | |
CAPITAL TRANSACTIONS | |||
Contributions | 36,624,674,911 | 22,575,489,084 | |
Withdrawals | (32,739,648,118) | (20,369,315,642) | |
Net increase (decrease) in net assets from capital transactions | 3,885,026,793 | 2,206,173,442 | |
Net increase (decrease) in net assets during the period | 3,954,861,429 | 2,443,673,014 | |
Net assets at beginning of period | 12,816,641,727 | 10,372,968,713 | |
NET ASSETS AT END OF PERIOD | $ 16,771,503,156 | $ 12,816,641,727 |
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Total return (a) | 0.48% | 2.18% | 1.80% | 0.73% | 0.25% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $16,771,503 | $12,816,642 | $10,372,969 | $13,005,602 | $14,004,301 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.38% | 2.13% | 1.76% | 0.81% | 0.25% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 26, 2021
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 | $1,024.80 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Institutional Treasury Plus Money Market Fund |
1 | |
2 | |
3 | |
5 | |
11 | |
17 | |
18 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $25,295,217,072 |
Receivable for fund shares sold | 3 |
Receivable from Adviser | 410,035 |
Prepaid expenses and other assets | 43,223 |
TOTAL ASSETS | 25,295,670,333 |
LIABILITIES | |
Payable for fund shares repurchased | 45,927 |
Administration fees payable | 1,007,596 |
Shareholder servicing fee payable | 277,671 |
Distribution fees payable | 3,614 |
Transfer agent fees payable | 3,999 |
Registration and filing fees payable | 234,018 |
Professional fees payable | 34,834 |
Printing fees payable | 21,306 |
Distribution payable | 52,133 |
Accrued expenses and other liabilities | 52,397 |
TOTAL LIABILITIES | 1,733,495 |
NET ASSETS | $25,293,936,838 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $25,293,927,540 |
Total distributable earnings (loss) | 9,298 |
NET ASSETS | $25,293,936,838 |
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 | $ 90,569,204 |
Shares Outstanding | 90,568,471 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investment Class | |
Net Assets | $ 42,357,501 |
Shares Outstanding | 42,363,858 |
Net asset value, offering and redemption price per share | $ 1.00 |
Investor Class | |
Net Assets | $ 546,562,649 |
Shares Outstanding | 546,563,388 |
Net asset value, offering and redemption price per share | $ 1.00 |
Premier Class | |
Net Assets | $20,004,414,454 |
Shares Outstanding | 20,004,550,707 |
Net asset value, offering and redemption price per share | $ 1.00 |
Trust Class | |
Net Assets | $ 4,609,983,030 |
Shares Outstanding | 4,610,297,880 |
Net asset value, offering and redemption price per share | $ 1.00 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $101,886,337 |
Expenses allocated from affiliated Portfolio | (14,391,853) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 87,494,484 |
EXPENSES | |
Administration fees | |
Administration Class | 25 |
Institutional Class | 178,878 |
Investment Class | 30,939 |
Investor Class | 267,189 |
Premier Class | 8,488,327 |
Trust Class | 2,135,589 |
Shareholder servicing fees | |
Administration Class | 98 |
Institutional Class | 107,327 |
Investment Class | 154,692 |
Investor Class | 427,503 |
Trust Class | 2,391,860 |
Distribution fees | |
Administration Class | 25 |
Investment Class | 61,877 |
Custodian fees | 44,397 |
Trustees’ fees and expenses | 21,000 |
Transfer agent fees | 26,349 |
Registration and filing fees | 814,853 |
Professional fees | 101,120 |
Printing and postage fees | 60,419 |
Insurance expense | 79,216 |
Miscellaneous expenses | 103,185 |
TOTAL EXPENSES | 15,494,868 |
Expenses waived/reimbursed by the Adviser | (1,373,715) |
NET EXPENSES | 14,121,153 |
NET INVESTMENT INCOME (LOSS) | $ 73,373,331 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 71,429 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 73,444,760 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 73,373,331 | $ 302,878,699 | |
Net realized gain (loss) | 71,429 | (6,693) | |
Net increase (decrease) in net assets resulting from operations | 73,444,760 | 302,872,006 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Administration Class | (131) | (926) | |
Institutional Class | (1,215,623) | (5,270,230) | |
Investment Class | (167,824) | (939,751) | |
Investor Class | (1,643,444) | (6,381,870) | |
Premier Class | (56,410,573) | (205,300,340) | |
Trust Class | (13,992,939) | (84,979,567) | |
Total distributions to shareholders | (73,430,534) | (302,872,684) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Institutional Class | |||
Shares sold | 3,459,672,489 | 3,468,482,556 | |
Reinvestment of distributions | 14,869 | — | |
Shares redeemed | (3,837,839,873) | (3,094,315,570) | |
Net increase (decrease) from capital share transactions | (378,152,515) | 374,166,986 | |
Investment Class | |||
Shares sold | 113,194,583 | 92,118,238 | |
Reinvestment of distributions | 51,260 | 224,257 | |
Shares redeemed | (122,974,456) | (110,070,043) | |
Net increase (decrease) from capital share transactions | (9,728,613) | (17,727,548) | |
Investor Class | |||
Shares sold | 10,654,831,975 | 5,339,147,529 | |
Reinvestment of distributions | 1,602,343 | 6,360,933 | |
Shares redeemed | (10,339,889,406) | (5,890,375,775) | |
Net increase (decrease) from capital share transactions | 316,544,912 | (544,867,313) | |
Premier Class | |||
Shares sold | 357,233,197,506 | 128,661,731,285 | |
Reinvestment of distributions | 47,415,475 | 179,913,178 | |
Shares redeemed | (351,948,556,858) | (122,571,343,544) | |
Net increase (decrease) from capital share transactions | 5,332,056,123 | 6,270,300,919 | |
Trust Class | |||
Shares sold | 38,065,217,733 | 41,350,337,370 | |
Reinvestment of distributions | 12,959,879 | 78,314,112 | |
Shares redeemed | (37,654,161,979) | (41,724,097,211) | |
Net increase (decrease) from capital share transactions | 424,015,633 | (295,445,729) | |
Net increase (decrease) in net assets from beneficial interest transactions | 5,684,735,540 | 5,786,427,315 | |
Net increase (decrease) in net assets during the period | 5,684,749,766 | 5,786,426,637 | |
Net assets at beginning of period | 19,609,187,072 | 13,822,760,435 | |
NET ASSETS AT END OF PERIOD | $ 25,293,936,838 | $ 19,609,187,072 | |
SHARES OF BENEFICIAL INTEREST: | |||
Institutional Class | |||
Shares sold | 3,459,672,489 | 3,468,482,556 | |
Reinvestment of distributions | 14,869 | — | |
Shares redeemed | (3,837,839,873) | (3,094,315,570) | |
Net increase (decrease) from share transactions | (378,152,515) | 374,166,986 | |
Investment Class | |||
Shares sold | 113,194,583 | 92,118,238 | |
Reinvestment of distributions | 51,260 | 224,257 | |
Shares redeemed | (122,974,456) | (110,070,043) | |
Net increase (decrease) from share transactions | (9,728,613) | (17,727,548) | |
Investor Class | |||
Shares sold | 10,654,831,975 | 5,339,147,529 | |
Reinvestment of distributions | 1,602,343 | 6,360,933 | |
Shares redeemed | (10,339,889,406) | (5,890,375,775) | |
Net increase (decrease) from share transactions | 316,544,912 | (544,867,313) | |
Premier Class | |||
Shares sold | 357,233,197,506 | 128,661,731,285 | |
Reinvestment of distributions | 47,415,475 | 179,913,178 | |
Shares redeemed | (351,948,556,858) | (122,571,343,544) | |
Net increase (decrease) from share transactions | 5,332,056,123 | 6,270,300,919 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
Trust Class | |||
Shares sold | 38,065,217,733 | 41,350,337,370 | |
Reinvestment of distributions | 12,959,879 | 78,314,112 | |
Shares redeemed | (37,654,161,979) | (41,724,097,211) | |
Net increase (decrease) from share transactions | 424,015,633 | (295,445,729) |
Administration Class(a) | |||||
Year Ended 12/31/20 | 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) | 0.0027 | 0.0185 | 0.0076 | ||
Net realized gain (loss) | — | (0.0000)(b) | — | ||
Total from investment operations | 0.0027 | 0.0185 | 0.0076 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0027) | (0.0185) | (0.0076) | ||
Total distributions | (0.0027) | (0.0185) | (0.0076) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.27% | 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 | 0.36% | 0.37% | 0.37%(d) | ||
Net expenses | 0.25% | 0.37% | 0.37%(d) | ||
Net investment income (loss) | 0.27% | 1.85% | 1.78%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Institutional Class(a) | |||||
Year Ended 12/31/20 | 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 | 0.0207 | 0.0085 | ||
Net realized gain (loss) | — | (0.0000)(b) | — | ||
Total from investment operations | 0.0037 | 0.0207 | 0.0085 | ||
Distributions to shareholders from: | |||||
Net investment income | (0.0037) | (0.0207) | (0.0085) | ||
Total distributions | (0.0037) | (0.0207) | (0.0085) | ||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||
Total return (c) | 0.37% | 2.09% | 0.85% | ||
Ratios and Supplemental Data: | |||||
Net assets, end of period (in 000s) | $ 90,569 | $468,721 | $ 94,554 | ||
Ratios to Average Net Assets: | |||||
Total expenses | 0.15% | 0.15% | 0.15%(d) | ||
Net expenses | 0.15% | 0.15% | 0.15%(d) | ||
Net investment income (loss) | 0.34% | 2.09% | 2.04%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Investment Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0025 | 0.0180 | 0.0139 | 0.0042 | 0.0000(b) | ||||
Net realized gain (loss) | — | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0025 | 0.0180 | 0.0139 | 0.0042 | 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 | ||||
Total return (c) | 0.25% | 1.81% | 1.40% | 0.42% | 0.00%(d) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 42,358 | $ 52,086 | $ 69,812 | $ 19,242 | $ 48,170 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.49% | ||||
Net expenses | 0.29% | 0.46% | 0.47% | 0.47% | 0.31% | ||||
Net investment income (loss) | 0.27% | 1.78% | 1.54% | 0.36% | 0.00%(d) |
(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%. |
Investor Class(a) | |||||||||
Year Ended 12/31/20 | 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) | 0.0034 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | ||||
Net realized gain (loss) | — | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0034 | 0.0202 | 0.0166 | 0.0069 | 0.0004 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0034) | (0.0202) | (0.0166) | (0.0069) | (0.0004) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0034) | (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) | 0.34% | 2.03% | 1.67% | 0.69% | 0.04% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $546,563 | $230,017 | $774,885 | $328,764 | $101,461 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net expenses | 0.18% | 0.20% | 0.20% | 0.20% | 0.20%(d) | ||||
Net investment income (loss) | 0.31% | 2.02% | 1.67% | 0.70% | 0.19%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Premier Class(a) | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 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) | 0.0040 | 0.0210 | 0.0174 | 0.0077 | 0.0019 | ||||
Net realized gain (loss) | — | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0040 | 0.0210 | 0.0174 | 0.0077 | 0.0019 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0040) | (0.0210) | (0.0174) | (0.0077) | (0.0019) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0040) | (0.0210) | (0.0174) | (0.0077) | (0.0019) | ||||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | ||||
Total return (c) | 0.40% | 2.12% | 1.75% | 0.77% | 0.19% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $20,004,414 | $14,672,348 | $8,402,049 | $4,000,478 | $2,515,246 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.14% | ||||
Net expenses | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% | ||||
Net investment income (loss) | 0.33% | 2.07% | 1.80% | 0.81% | 0.20% |
(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. |
Trust Class(a) | |||||||||
Year Ended 12/31/20 | 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) | 0.0036 | 0.0204 | 0.0168 | 0.0071 | 0.0007 | ||||
Net realized gain (loss) | — | (0.0000)(b) | — | 0.0000(b) | 0.0000(b) | ||||
Total from investment operations | 0.0036 | 0.0204 | 0.0168 | 0.0071 | 0.0007 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.0036) | (0.0204) | (0.0168) | (0.0071) | (0.0007) | ||||
Net realized gains | — | — | — | (0.0000)(b) | — | ||||
Total distributions | (0.0036) | (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) | 0.36% | 2.06% | 1.69% | 0.71% | 0.07% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,609,983 | $4,185,964 | $4,481,410 | $6,903,267 | $7,962,822 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.18% | 0.18% | 0.18% | 0.18% | 0.18%(d) | ||||
Net expenses | 0.16% | 0.18% | 0.18% | 0.18% | 0.18%(d) | ||||
Net investment income (loss) | 0.33% | 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 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $73,430,534 | $— | $73,430,534 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Institutional Treasury Plus Money Market Fund | $ 302,872,684 | $ — | $ 302,872,684 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Institutional Treasury Plus Money Market Fund | $9,298 | $— | $— | $— | $9,298 |
February 26, 2021
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 | 0.16% | $1,000.00 | $0.80 | $1,024.30 | $0.81 | ||||
Institutional Class | 0.14 | 1,000.10 | 0.70 | 1,024.40 | 0.71 | ||||
Investment Class | 0.16 | 1,000.00 | 0.80 | 1,024.30 | 0.81 | ||||
Investor Class | 0.15 | 1,000.10 | 0.75 | 1,024.40 | 0.76 | ||||
Premier Class | 0.12 | 1,000.20 | 0.60 | 1,024.50 | 0.61 | ||||
Trust Class | 0.14 | 1,000.10 | 0.70 | 1,024.40 | 0.71 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
15 | |
16 |
% of Net Assets | |||
Treasury Debt | 78.5% | ||
Treasury Repurchase Agreements | 15.9 | ||
Other Assets in Excess of Liabilities | 5.6 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 26.5% | ||
31 to 60 Days | 14.8 | ||
61 to 90 Days | 11.1 | ||
Over 90 Days | 42.0 | ||
Total | 94.4% | ||
Average days to maturity | 51 | ||
Weighted average life | 105 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—78.5% | ||||||||||
U.S. Treasury Bill (a) | 0.083% | 06/17/2021 | 06/17/2021 | $ 285,000,000 | $ 284,888,945 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/18/2021 | 05/18/2021 | 100,000,000 | 99,966,131 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/25/2021 | 05/25/2021 | 300,300,000 | 300,193,393 | |||||
U.S. Treasury Bill (a) | 0.088% | 06/10/2021 | 06/10/2021 | 400,555,000 | 400,393,686 | |||||
U.S. Treasury Bill (a) | 0.090% | 01/12/2021 | 01/12/2021 | 100,750,000 | 100,747,229 | |||||
U.S. Treasury Bill (a) | 0.090% | 04/27/2021 | 04/27/2021 | 175,000,000 | 174,949,250 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/03/2021 | 06/03/2021 | 200,000,000 | 199,922,225 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/08/2021 | 06/08/2021 | 275,000,000 | 274,894,125 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/24/2021 | 06/24/2021 | 250,000,000 | 249,891,250 | |||||
U.S. Treasury Bill (a) | 0.091% | 04/13/2021 | 04/13/2021 | 225,000,000 | 224,942,306 | |||||
U.S. Treasury Bill (a) | 0.095% | 04/29/2021 | 04/29/2021 | 276,000,000 | 275,914,991 | |||||
U.S. Treasury Bill (a) | 0.095% | 05/27/2021 | 05/27/2021 | 384,000,000 | 383,854,497 | |||||
U.S. Treasury Bill (a) | 0.095% | 06/01/2021 | 06/01/2021 | 300,000,000 | 299,880,458 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 250,000,000 | 249,875,563 | |||||
U.S. Treasury Bill (a) | 0.100% | 04/20/2021 | 04/20/2021 | 349,950,700 | 349,852,787 | |||||
U.S. Treasury Bill (a) | 0.100% | 05/20/2021 | 05/20/2021 | 236,249,500 | 236,158,281 | |||||
U.S. Treasury Bill (a) | 0.103% | 02/04/2021 | 02/04/2021 | 625,000,000 | 624,943,292 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/09/2021 | 03/09/2021 | 275,000,000 | 274,951,553 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/11/2021 | 03/11/2021 | 185,000,000 | 184,963,655 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/25/2021 | 03/25/2021 | 685,000,000 | 684,850,839 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/01/2021 | 04/01/2021 | 625,000,000 | 624,850,469 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/06/2021 | 04/06/2021 | 324,979,000 | 324,890,029 | |||||
U.S. Treasury Bill (a) | 0.106% | 02/09/2021 | 02/09/2021 | 250,000,000 | 249,971,766 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/02/2021 | 02/02/2021 | 250,000,000 | 249,975,556 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/23/2021 | 02/23/2021 | 350,000,000 | 349,950,681 | |||||
U.S. Treasury Bill (a) | 0.110% | 03/16/2021 | 03/16/2021 | 250,000,000 | 249,943,472 | |||||
U.S. Treasury Bill (a) | 0.110% | 04/08/2021 | 04/08/2021 | 175,000,000 | 174,948,132 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/06/2021 | 05/06/2021 | 325,000,000 | 324,875,868 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/13/2021 | 05/13/2021 | 185,000,000 | 184,925,383 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/05/2021 | 01/05/2021 | 100,000,000 | 99,998,722 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/26/2021 | 01/26/2021 | 550,000,000 | 549,958,681 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/04/2021 | 03/04/2021 | 475,000,000 | 474,920,132 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/30/2021 | 03/30/2021 | 250,000,000 | 249,929,722 | |||||
U.S. Treasury Bill (a) | 0.115% | 04/15/2021 | 04/15/2021 | 864,650,000 | 864,398,706 | |||||
U.S. Treasury Bill (a) | 0.120% | 01/19/2021 | 01/19/2021 | 400,000,000 | 399,977,250 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/11/2021 | 02/11/2021 | 325,000,000 | 324,956,936 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/16/2021 | 02/16/2021 | 275,000,000 | 274,962,306 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/18/2021 | 02/18/2021 | 910,450,000 | 910,319,204 | |||||
U.S. Treasury Bill (a) | 0.120% | 03/18/2021 | 03/18/2021 | 525,000,000 | 524,898,772 | |||||
U.S. Treasury Bill (a) | 0.120% | 03/23/2021 | 03/23/2021 | 250,000,000 | 249,932,500 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/21/2021 | 01/21/2021 | 850,000,000 | 849,950,903 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/28/2021 | 01/28/2021 | 395,000,000 | 394,960,344 | |||||
U.S. Treasury Bill (a) | 0.140% | 04/22/2021 | 04/22/2021 | 890,700,000 | 890,383,147 | |||||
U.S. Treasury Bill (a) | 0.145% | 01/14/2021 | 01/14/2021 | 650,000,000 | 649,971,418 | |||||
U.S. Treasury Bill (a) | 0.161% | 01/07/2021 | 01/07/2021 | 335,000,000 | 334,992,936 | |||||
U.S. Treasury Bill (a) | 0.180% | 02/25/2021 | 02/25/2021 | 390,591,300 | 390,516,006 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 07/31/2022 | 444,375,000 | 444,388,168 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 10/31/2022 | 250,000,000 | 249,983,319 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.209% | 01/01/2021 | 04/30/2022 | 740,125,000 | 740,783,367 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.210% | 01/01/2021 | 01/31/2021 | 589,600,000 | 589,606,930 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.234% | 01/01/2021 | 04/30/2021 | 671,900,000 | 671,787,323 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.249% | 01/01/2021 | 01/31/2022 | 724,500,000 | 725,278,629 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.315% | 01/01/2021 | 07/31/2021 | 954,000,000 | 954,019,665 |
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 + 0.30%(b) | 0.395% | 01/01/2021 | 10/31/2021 | $ 614,000,000 | $ 614,809,644 | |||||
TOTAL TREASURY DEBT | 22,036,050,542 | |||||||||
TREASURY REPURCHASE AGREEMENTS—15.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/16/2020 (collateralized by a U.S. Treasury Note, 0.625% due 11/30/2027, valued at $110,160,094); expected proceeds $108,010,200 | 0.100% | 01/07/2021 | 01/07/2021 | 108,000,000 | 108,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 11/27/2020 (collateralized by U.S. Treasury Bills, 0.000% due 01/07/2021 – 11/04/2021, a U.S. Treasury Bond, 2.750% due 08/15/2047, and U.S. Treasury Notes, 0.250% – 2.750% due 02/28/2021 – 05/15/2029, valued at $51,000,080); expected proceeds $50,007,375 | 0.090% | 01/07/2021 | 01/07/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.375% – 1.375% due 09/30/2023 – 12/31/2025, valued at $510,000,058); expected proceeds $500,002,778 | 0.050% | 01/04/2021 | 01/04/2021 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, valued at $239,833,913); expected proceeds $235,002,350 | 0.090% | 01/04/2021 | 01/04/2021 | 235,000,000 | 235,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/28/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 01/15/2023 – 07/15/2027, a U.S. Treasury Note, 0.249% due 01/31/2022, and U.S. Treasury Strips, 0.000% due 11/15/2026 – 05/15/2048, valued at $115,504,882); expected proceeds $113,248,493 | 0.090% | 01/07/2021 | 01/07/2021 | 113,240,000 | 113,240,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 2.500% – 8.125% due 05/15/2021 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.375% – 0.500% due 07/15/2027 – 01/15/2028, and a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $25,500,000); expected proceeds $25,000,139 | 0.050% | 01/04/2021 | 01/04/2021 | 25,000,000 | 25,000,000 | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 11/23/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, valued at $107,406,019); expected proceeds $105,315,005 | 0.090% | 01/07/2021 | 01/07/2021 | 105,300,000 | 105,300,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 7.625% due 02/15/2025, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2025, and U.S. Treasury Notes, 0.500% – 2.750% due 01/31/2025 – 03/31/2025, valued at $357,064,776); expected proceeds $350,004,764 | 0.070% | 01/07/2021 | 01/07/2021 | 350,000,000 | 350,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Note, 0.625% due 12/31/2027, valued at $943,500,099); expected proceeds $925,005,139 | 0.050% | 01/04/2021 | 01/04/2021 | 925,000,000 | 925,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2020 (collateralized by a U.S. Treasury Note, 0.375% due 12/31/2025, valued at $ 1,020,398,438); expected proceeds $1,000,008,889 | 0.080% | 01/04/2021 | 01/04/2021 | $ 1,000,000,000 | $ 1,000,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2025, valued at $102,000,000); expected proceeds $100,000,556 | 0.050% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bills, 0.000% due 02/09/2021 – 05/20/2021, U.S. Treasury Notes, 0.250% – 2.375% due 02/29/2024 – 07/31/2025, and U.S. Treasury Strips, 0.000% due 02/15/2022 – 02/15/2025, valued at $153,000,038); expected proceeds $150,001,000 | 0.060% | 01/04/2021 | 01/04/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 11/03/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044 and a U.S. Treasury Note, 2.250% due 10/31/2024, valued at $137,714,729); expected proceeds $135,055,650 (c) | 0.140% | 02/17/2021 | 02/17/2021 | 135,000,000 | 135,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 11/02/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $56,100,016); expected proceeds $55,013,903 | 0.140% | 01/06/2021 | 01/06/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2020 (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 $66,300,106); expected proceeds $65,014,553 (c) | 0.130% | 02/02/2021 | 02/02/2021 | 65,000,000 | 65,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/04/2020 (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 $66,300,105); expected proceeds $65,024,375 (c) | 0.150% | 03/04/2021 | 03/04/2021 | 65,000,000 | 65,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/14/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $132,600,019); expected proceeds $130,049,292 (c) | 0.150% | 03/15/2021 | 03/15/2021 | 130,000,000 | 130,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.000% - 3.375% due 11/15/2045 – 11/15/2048, U.S. Treasury Notes, 2.125% - 3.125%, due 05/15/2025 – 11/15/2028 and U.S. Treasury Strips, 0.000%, due 11/15/2021 – 08/15/2030 valued at $146,006,876); expected proceeds $142,983,180 | 0.090% | 01/04/2021 | 01/04/2021 | 142,981,750 | 142,981,750 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by U.S. Treasury Strips, 0.000%, due 11/15/2028 – 11/15/2030 valued at $99,607,952); expected proceeds $97,305,848 | 0.090% | 01/04/2021 | 01/04/2021 | 97,304,875 | 97,304,875 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 11/25/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 03/04/2021, U.S. Treasury Bonds, 1.375% – 3.625% due 08/15/2043 – 11/15/2050, U.S. Treasury Inflation Index Bonds, 0.250% – 2.000% due 01/15/2026 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2022 – 01/15/2030, and U.S. Treasury Notes, 0.250% – 3.125% due 01/15/2021 – 11/15/2030, valued at $106,080,048); expected proceeds $104,017,978 (c) | 0.100% | 01/25/2021 | 01/25/2021 | $ 104,000,000 | $ 104,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 4,455,826,625 | |||||||||
TOTAL INVESTMENTS –94.4% (d)(e) | 26,491,877,167 | |||||||||
Other Assets in Excess of Liabilities —5.6% | 1,557,480,602 | |||||||||
NET ASSETS –100.0% | $28,049,357,769 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $499,000,000 or 1.8% of net assets as of December 31, 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 | $22,036,050,542 |
Repurchase agreements, at value and amortized cost | 4,455,826,625 |
Total Investments | 26,491,877,167 |
Cash | 2,031,526,287 |
Interest receivable — unaffiliated issuers | 2,227,156 |
Prepaid expenses and other assets | 4,032 |
TOTAL ASSETS | 28,525,634,642 |
LIABILITIES | |
Payable for investments purchased | 474,557,600 |
Advisory and administrator fee payable | 1,128,419 |
Custody, sub-administration and transfer agent fees payable | 454,569 |
Trustees’ fees and expenses payable | 4,985 |
Professional fees payable | 92,934 |
Printing fees payable | 6,884 |
Accrued expenses and other liabilities | 31,482 |
TOTAL LIABILITIES | 476,276,873 |
NET ASSETS | $28,049,357,769 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $128,723,305 |
EXPENSES | |
Advisory and administrator fee | 13,626,967 |
Custodian, sub-administrator and transfer agent fees | 3,455,831 |
Trustees’ fees and expenses | 242,843 |
Professional fees | 261,858 |
Printing and postage fees | 1,346 |
Insurance expense | 7,778 |
Miscellaneous expenses | 71,893 |
TOTAL EXPENSES | 17,668,516 |
NET INVESTMENT INCOME (LOSS) | $ 111,054,789 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 91,876 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 111,146,665 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 111,054,789 | $ 392,456,554 | |
Net realized gain (loss) | 91,876 | (7,190) | |
Net increase (decrease) in net assets resulting from operations | 111,146,665 | 392,449,364 | |
CAPITAL TRANSACTIONS | |||
Contributions | 96,988,717,280 | 62,686,916,978 | |
Withdrawals | (92,885,440,947) | (56,691,696,503) | |
Net increase (decrease) in net assets from capital transactions | 4,103,276,333 | 5,995,220,475 | |
Net increase (decrease) in net assets during the period | 4,214,422,998 | 6,387,669,839 | |
Net assets at beginning of period | 23,834,934,771 | 17,447,264,932 | |
NET ASSETS AT END OF PERIOD | $ 28,049,357,769 | $ 23,834,934,771 |
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Total return (a) | 0.46% | 2.19% | 1.82% | 0.82% | 0.23% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.41% | 2.13% | 1.79% | 0.84% | 0.27% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 26, 2021
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% | $1,000.20 | $0.30 | $1,024.80 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Obligations Money Market Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
10 | |
11 |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value and cost | $2,754,139,614 |
Receivable from Adviser | 68,005 |
Prepaid expenses and other assets | 15,549 |
TOTAL ASSETS | 2,754,223,168 |
LIABILITIES | |
Administration fees payable | 132,617 |
Transfer agent fees payable | 1,097 |
Registration and filing fees payable | 52,697 |
Professional fees payable | 26,615 |
Printing fees payable | 7,976 |
Accrued expenses and other liabilities | 12,386 |
TOTAL LIABILITIES | 233,388 |
NET ASSETS | $2,753,989,780 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 2,753,989,110 |
Total distributable earnings (loss) | 670 |
NET ASSETS | $2,753,989,780 |
NET ASSET VALUE PER SHARE | |
Net asset value, offering and redemption price per share | $ 1.00 |
Shares outstanding | 2,753,989,110 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | 26,914,392 |
Expenses allocated from affiliated Portfolio | (3,276,662) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 23,637,730 |
EXPENSES | |
Administration fees | 2,525,364 |
Custodian fees | 27,392 |
Trustees’ fees and expenses | 20,999 |
Transfer agent fees | 643 |
Registration and filing fees | 122,612 |
Professional fees and expenses | 40,580 |
Printing and postage fees | 17,746 |
Insurance expense | 17,686 |
Miscellaneous expenses | 34,603 |
TOTAL EXPENSES | 2,807,625 |
Expenses waived/reimbursed by the Adviser | (2,043,996) |
NET EXPENSES | 763,629 |
NET INVESTMENT INCOME (LOSS) | $22,874,101 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | 20,447 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $22,894,548 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 22,874,101 | $ 78,372,768 | |
Net realized gain (loss) | 20,447 | (499) | |
Net increase (decrease) in net assets resulting from operations | 22,894,548 | 78,372,269 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Distributions to shareholders | (22,895,464) | (78,371,686) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 6,454,715,748 | 14,879,694,877 | |
Reinvestment of distributions | 23,024,368 | 77,871,119 | |
Cost of shares redeemed | (7,944,327,613) | (14,357,557,657) | |
Net increase (decrease) from share transactions | (1,466,587,497) | 600,008,339 | |
Net increase (decrease) in net assets during the period | (1,466,588,413) | 600,008,922 | |
Net assets at beginning of period | 4,220,578,193 | 3,620,569,271 | |
NET ASSETS AT END OF PERIOD | $ 2,753,989,780 | $ 4,220,578,193 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 6,454,715,748 | 14,879,694,877 | |
Reinvestment of distributions | 23,024,368 | 77,871,119 | |
Shares redeemed | (7,944,327,613) | (14,357,557,657) | |
Net increase (decrease) from share transactions | (1,466,587,497) | 600,008,339 |
Year Ended 12/31/20(a) | 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) | 0.0045 | 0.0213 | 0.0178 | 0.0025 | |||
Net realized and unrealized gain (loss) | (0.0001) | (0.0000)(b) | — | — | |||
Total from investment operations | 0.0044 | 0.0213 | 0.0178 | 0.0025 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.0044) | (0.0213) | (0.0178) | (0.0025) | |||
Total distributions | (0.0044) | (0.0213) | (0.0178) | (0.0025) | |||
Net asset value, end of period | $ 1.0000 | $ 1.0000 | $ 1.0000 | $ 1.0000 | |||
Total return (c) | 0.44% | 2.16% | 1.79% | 0.25% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,753,990 | $4,220,578 | $3,620,569 | $2,926,362 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.12% | 0.12% | 0.13% | 0.16%(d) | |||
Net expenses | 0.08% | 0.08% | 0.08% | 0.08%(d) | |||
Net investment income (loss) | 0.45% | 2.13% | 1.77% | 1.08%(d) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Amount is less than $0.00005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
Fund | Commencement of Operations | Diversification Classification |
State Street Treasury Obligations Money Market Fund | October 5, 2017 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $22,895,464 | $— | $22,895,464 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Treasury Obligations Money Market Fund | $ 78,371,686 | $ — | $ 78,371,686 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Treasury Obligations Money Market Fund | $670 | $— | $— | $— | $670 |
February 26, 2021
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% | $1,000.40 | $0.40 | $1,024.70 | $0.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Treasury Plus Money Market Portfolio |
1 | |
2 | |
6 | |
7 | |
8 | |
9 | |
10 | |
15 | |
16 |
% of Net Assets | |||
Treasury Debt | 78.5% | ||
Treasury Repurchase Agreements | 15.9 | ||
Other Assets in Excess of Liabilities | 5.6 | ||
TOTAL | 100.0% |
% of Net Assets | |||
2 to 30 Days | 26.5% | ||
31 to 60 Days | 14.8 | ||
61 to 90 Days | 11.1 | ||
Over 90 Days | 42.0 | ||
Total | 94.4% | ||
Average days to maturity | 51 | ||
Weighted average life | 105 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
TREASURY DEBT—78.5% | ||||||||||
U.S. Treasury Bill (a) | 0.083% | 06/17/2021 | 06/17/2021 | $ 285,000,000 | $ 284,888,945 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/18/2021 | 05/18/2021 | 100,000,000 | 99,966,131 | |||||
U.S. Treasury Bill (a) | 0.088% | 05/25/2021 | 05/25/2021 | 300,300,000 | 300,193,393 | |||||
U.S. Treasury Bill (a) | 0.088% | 06/10/2021 | 06/10/2021 | 400,555,000 | 400,393,686 | |||||
U.S. Treasury Bill (a) | 0.090% | 01/12/2021 | 01/12/2021 | 100,750,000 | 100,747,229 | |||||
U.S. Treasury Bill (a) | 0.090% | 04/27/2021 | 04/27/2021 | 175,000,000 | 174,949,250 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/03/2021 | 06/03/2021 | 200,000,000 | 199,922,225 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/08/2021 | 06/08/2021 | 275,000,000 | 274,894,125 | |||||
U.S. Treasury Bill (a) | 0.090% | 06/24/2021 | 06/24/2021 | 250,000,000 | 249,891,250 | |||||
U.S. Treasury Bill (a) | 0.091% | 04/13/2021 | 04/13/2021 | 225,000,000 | 224,942,306 | |||||
U.S. Treasury Bill (a) | 0.095% | 04/29/2021 | 04/29/2021 | 276,000,000 | 275,914,991 | |||||
U.S. Treasury Bill (a) | 0.095% | 05/27/2021 | 05/27/2021 | 384,000,000 | 383,854,497 | |||||
U.S. Treasury Bill (a) | 0.095% | 06/01/2021 | 06/01/2021 | 300,000,000 | 299,880,458 | |||||
U.S. Treasury Bill (a) | 0.098% | 07/01/2021 | 07/01/2021 | 250,000,000 | 249,875,563 | |||||
U.S. Treasury Bill (a) | 0.100% | 04/20/2021 | 04/20/2021 | 349,950,700 | 349,852,787 | |||||
U.S. Treasury Bill (a) | 0.100% | 05/20/2021 | 05/20/2021 | 236,249,500 | 236,158,281 | |||||
U.S. Treasury Bill (a) | 0.103% | 02/04/2021 | 02/04/2021 | 625,000,000 | 624,943,292 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/09/2021 | 03/09/2021 | 275,000,000 | 274,951,553 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/11/2021 | 03/11/2021 | 185,000,000 | 184,963,655 | |||||
U.S. Treasury Bill (a) | 0.105% | 03/25/2021 | 03/25/2021 | 685,000,000 | 684,850,839 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/01/2021 | 04/01/2021 | 625,000,000 | 624,850,469 | |||||
U.S. Treasury Bill (a) | 0.105% | 04/06/2021 | 04/06/2021 | 324,979,000 | 324,890,029 | |||||
U.S. Treasury Bill (a) | 0.106% | 02/09/2021 | 02/09/2021 | 250,000,000 | 249,971,766 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/02/2021 | 02/02/2021 | 250,000,000 | 249,975,556 | |||||
U.S. Treasury Bill (a) | 0.110% | 02/23/2021 | 02/23/2021 | 350,000,000 | 349,950,681 | |||||
U.S. Treasury Bill (a) | 0.110% | 03/16/2021 | 03/16/2021 | 250,000,000 | 249,943,472 | |||||
U.S. Treasury Bill (a) | 0.110% | 04/08/2021 | 04/08/2021 | 175,000,000 | 174,948,132 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/06/2021 | 05/06/2021 | 325,000,000 | 324,875,868 | |||||
U.S. Treasury Bill (a) | 0.110% | 05/13/2021 | 05/13/2021 | 185,000,000 | 184,925,383 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/05/2021 | 01/05/2021 | 100,000,000 | 99,998,722 | |||||
U.S. Treasury Bill (a) | 0.115% | 01/26/2021 | 01/26/2021 | 550,000,000 | 549,958,681 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/04/2021 | 03/04/2021 | 475,000,000 | 474,920,132 | |||||
U.S. Treasury Bill (a) | 0.115% | 03/30/2021 | 03/30/2021 | 250,000,000 | 249,929,722 | |||||
U.S. Treasury Bill (a) | 0.115% | 04/15/2021 | 04/15/2021 | 864,650,000 | 864,398,706 | |||||
U.S. Treasury Bill (a) | 0.120% | 01/19/2021 | 01/19/2021 | 400,000,000 | 399,977,250 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/11/2021 | 02/11/2021 | 325,000,000 | 324,956,936 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/16/2021 | 02/16/2021 | 275,000,000 | 274,962,306 | |||||
U.S. Treasury Bill (a) | 0.120% | 02/18/2021 | 02/18/2021 | 910,450,000 | 910,319,204 | |||||
U.S. Treasury Bill (a) | 0.120% | 03/18/2021 | 03/18/2021 | 525,000,000 | 524,898,772 | |||||
U.S. Treasury Bill (a) | 0.120% | 03/23/2021 | 03/23/2021 | 250,000,000 | 249,932,500 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/21/2021 | 01/21/2021 | 850,000,000 | 849,950,903 | |||||
U.S. Treasury Bill (a) | 0.130% | 01/28/2021 | 01/28/2021 | 395,000,000 | 394,960,344 | |||||
U.S. Treasury Bill (a) | 0.140% | 04/22/2021 | 04/22/2021 | 890,700,000 | 890,383,147 | |||||
U.S. Treasury Bill (a) | 0.145% | 01/14/2021 | 01/14/2021 | 650,000,000 | 649,971,418 | |||||
U.S. Treasury Bill (a) | 0.161% | 01/07/2021 | 01/07/2021 | 335,000,000 | 334,992,936 | |||||
U.S. Treasury Bill (a) | 0.180% | 02/25/2021 | 02/25/2021 | 390,591,300 | 390,516,006 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 07/31/2022 | 444,375,000 | 444,388,168 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.06%(b) | 0.150% | 01/01/2021 | 10/31/2022 | 250,000,000 | 249,983,319 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.11%(b) | 0.209% | 01/01/2021 | 04/30/2022 | 740,125,000 | 740,783,367 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b) | 0.210% | 01/01/2021 | 01/31/2021 | 589,600,000 | 589,606,930 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b) | 0.234% | 01/01/2021 | 04/30/2021 | 671,900,000 | 671,787,323 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.15%(b) | 0.249% | 01/01/2021 | 01/31/2022 | 724,500,000 | 725,278,629 | |||||
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b) | 0.315% | 01/01/2021 | 07/31/2021 | 954,000,000 | 954,019,665 |
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 + 0.30%(b) | 0.395% | 01/01/2021 | 10/31/2021 | $ 614,000,000 | $ 614,809,644 | |||||
TOTAL TREASURY DEBT | 22,036,050,542 | |||||||||
TREASURY REPURCHASE AGREEMENTS—15.9% | ||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/16/2020 (collateralized by a U.S. Treasury Note, 0.625% due 11/30/2027, valued at $110,160,094); expected proceeds $108,010,200 | 0.100% | 01/07/2021 | 01/07/2021 | 108,000,000 | 108,000,000 | |||||
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 11/27/2020 (collateralized by U.S. Treasury Bills, 0.000% due 01/07/2021 – 11/04/2021, a U.S. Treasury Bond, 2.750% due 08/15/2047, and U.S. Treasury Notes, 0.250% – 2.750% due 02/28/2021 – 05/15/2029, valued at $51,000,080); expected proceeds $50,007,375 | 0.090% | 01/07/2021 | 01/07/2021 | 50,000,000 | 50,000,000 | |||||
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Notes, 0.375% – 1.375% due 09/30/2023 – 12/31/2025, valued at $510,000,058); expected proceeds $500,002,778 | 0.050% | 01/04/2021 | 01/04/2021 | 500,000,000 | 500,000,000 | |||||
Agreement with Barclays Capital, Inc., dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, valued at $239,833,913); expected proceeds $235,002,350 | 0.090% | 01/04/2021 | 01/04/2021 | 235,000,000 | 235,000,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/28/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 01/15/2023 – 07/15/2027, a U.S. Treasury Note, 0.249% due 01/31/2022, and U.S. Treasury Strips, 0.000% due 11/15/2026 – 05/15/2048, valued at $115,504,882); expected proceeds $113,248,493 | 0.090% | 01/07/2021 | 01/07/2021 | 113,240,000 | 113,240,000 | |||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 2.500% – 8.125% due 05/15/2021 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.375% – 0.500% due 07/15/2027 – 01/15/2028, and a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $25,500,000); expected proceeds $25,000,139 | 0.050% | 01/04/2021 | 01/04/2021 | 25,000,000 | 25,000,000 | |||||
Agreement with Calyon Securities (USA), Inc. and Bank of New York Mellon (Tri-Party), dated 11/23/2020 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, valued at $107,406,019); expected proceeds $105,315,005 | 0.090% | 01/07/2021 | 01/07/2021 | 105,300,000 | 105,300,000 | |||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Bond, 7.625% due 02/15/2025, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2025, and U.S. Treasury Notes, 0.500% – 2.750% due 01/31/2025 – 03/31/2025, valued at $357,064,776); expected proceeds $350,004,764 | 0.070% | 01/07/2021 | 01/07/2021 | 350,000,000 | 350,000,000 | |||||
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Note, 0.625% due 12/31/2027, valued at $943,500,099); expected proceeds $925,005,139 | 0.050% | 01/04/2021 | 01/04/2021 | 925,000,000 | 925,000,000 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Fixed Income Clearing Corp., dated 12/31/2020 (collateralized by a U.S. Treasury Note, 0.375% due 12/31/2025, valued at $ 1,020,398,438); expected proceeds $1,000,008,889 | 0.080% | 01/04/2021 | 01/04/2021 | $ 1,000,000,000 | $ 1,000,000,000 | |||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2025, valued at $102,000,000); expected proceeds $100,000,556 | 0.050% | 01/04/2021 | 01/04/2021 | 100,000,000 | 100,000,000 | |||||
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2020 (collateralized by U.S. Treasury Bills, 0.000% due 02/09/2021 – 05/20/2021, U.S. Treasury Notes, 0.250% – 2.375% due 02/29/2024 – 07/31/2025, and U.S. Treasury Strips, 0.000% due 02/15/2022 – 02/15/2025, valued at $153,000,038); expected proceeds $150,001,000 | 0.060% | 01/04/2021 | 01/04/2021 | 150,000,000 | 150,000,000 | |||||
Agreement with LLOYDS Bank PLC, dated 11/03/2020 (collateralized by a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044 and a U.S. Treasury Note, 2.250% due 10/31/2024, valued at $137,714,729); expected proceeds $135,055,650 (c) | 0.140% | 02/17/2021 | 02/17/2021 | 135,000,000 | 135,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 11/02/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $56,100,016); expected proceeds $55,013,903 | 0.140% | 01/06/2021 | 01/06/2021 | 55,000,000 | 55,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/02/2020 (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 $66,300,106); expected proceeds $65,014,553 (c) | 0.130% | 02/02/2021 | 02/02/2021 | 65,000,000 | 65,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/04/2020 (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 $66,300,105); expected proceeds $65,024,375 (c) | 0.150% | 03/04/2021 | 03/04/2021 | 65,000,000 | 65,000,000 | |||||
Agreement with Norinchukin and Bank of New York Mellon (Tri-Party), dated 12/14/2020 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, and U.S. Treasury Notes, 1.500% – 2.000% due 06/30/2024 – 11/15/2026, valued at $132,600,019); expected proceeds $130,049,292 (c) | 0.150% | 03/15/2021 | 03/15/2021 | 130,000,000 | 130,000,000 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by U.S. Treasury Bonds, 3.000% - 3.375% due 11/15/2045 – 11/15/2048, U.S. Treasury Notes, 2.125% - 3.125%, due 05/15/2025 – 11/15/2028 and U.S. Treasury Strips, 0.000%, due 11/15/2021 – 08/15/2030 valued at $146,006,876); expected proceeds $142,983,180 | 0.090% | 01/04/2021 | 01/04/2021 | 142,981,750 | 142,981,750 | |||||
Agreement with Prudential Insurance Co., dated 12/31/2020 (collateralized by U.S. Treasury Strips, 0.000%, due 11/15/2028 – 11/15/2030 valued at $99,607,952); expected proceeds $97,305,848 | 0.090% | 01/04/2021 | 01/04/2021 | 97,304,875 | 97,304,875 |
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 11/25/2020 (collateralized by a U.S. Treasury Bill, 0.000% due 03/04/2021, U.S. Treasury Bonds, 1.375% – 3.625% due 08/15/2043 – 11/15/2050, U.S. Treasury Inflation Index Bonds, 0.250% – 2.000% due 01/15/2026 – 02/15/2050, U.S. Treasury Inflation Index Notes, 0.125% – 0.875% due 04/15/2022 – 01/15/2030, and U.S. Treasury Notes, 0.250% – 3.125% due 01/15/2021 – 11/15/2030, valued at $106,080,048); expected proceeds $104,017,978 (c) | 0.100% | 01/25/2021 | 01/25/2021 | $ 104,000,000 | $ 104,000,000 | |||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 4,455,826,625 | |||||||||
TOTAL INVESTMENTS –94.4% (d)(e) | 26,491,877,167 | |||||||||
Other Assets in Excess of Liabilities —5.6% | 1,557,480,602 | |||||||||
NET ASSETS –100.0% | $28,049,357,769 |
(a) | Rate shown is the discount rate at time of purchase. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 $499,000,000 or 1.8% of net assets as of December 31, 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 | $22,036,050,542 |
Repurchase agreements, at value and amortized cost | 4,455,826,625 |
Total Investments | 26,491,877,167 |
Cash | 2,031,526,287 |
Interest receivable — unaffiliated issuers | 2,227,156 |
Prepaid expenses and other assets | 4,032 |
TOTAL ASSETS | 28,525,634,642 |
LIABILITIES | |
Payable for investments purchased | 474,557,600 |
Advisory and administrator fee payable | 1,128,419 |
Custody, sub-administration and transfer agent fees payable | 454,569 |
Trustees’ fees and expenses payable | 4,985 |
Professional fees payable | 92,934 |
Printing fees payable | 6,884 |
Accrued expenses and other liabilities | 31,482 |
TOTAL LIABILITIES | 476,276,873 |
NET ASSETS | $28,049,357,769 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $128,723,305 |
EXPENSES | |
Advisory and administrator fee | 13,626,967 |
Custodian, sub-administrator and transfer agent fees | 3,455,831 |
Trustees’ fees and expenses | 242,843 |
Professional fees | 261,858 |
Printing and postage fees | 1,346 |
Insurance expense | 7,778 |
Miscellaneous expenses | 71,893 |
TOTAL EXPENSES | 17,668,516 |
NET INVESTMENT INCOME (LOSS) | $ 111,054,789 |
REALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 91,876 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 111,146,665 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 111,054,789 | $ 392,456,554 | |
Net realized gain (loss) | 91,876 | (7,190) | |
Net increase (decrease) in net assets resulting from operations | 111,146,665 | 392,449,364 | |
CAPITAL TRANSACTIONS | |||
Contributions | 96,988,717,280 | 62,686,916,978 | |
Withdrawals | (92,885,440,947) | (56,691,696,503) | |
Net increase (decrease) in net assets from capital transactions | 4,103,276,333 | 5,995,220,475 | |
Net increase (decrease) in net assets during the period | 4,214,422,998 | 6,387,669,839 | |
Net assets at beginning of period | 23,834,934,771 | 17,447,264,932 | |
NET ASSETS AT END OF PERIOD | $ 28,049,357,769 | $ 23,834,934,771 |
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Total return (a) | 0.46% | 2.19% | 1.82% | 0.82% | 0.23% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $28,049,358 | $23,834,935 | $17,447,265 | $14,180,281 | $10,628,952 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% | ||||
Net investment income (loss) | 0.41% | 2.13% | 1.79% | 0.84% | 0.27% |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
February 26, 2021
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% | $1,000.20 | $0.30 | $1,024.80 | $0.31 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Aggregate Bond Index Fund |
State Street Global All Cap Equity ex- U.S. Index Fund |
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 |
Management’s Discussion of Fund Performance & Performance Summaries (Unaudited) | |
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3 | |
5 | |
7 | |
11 | |
Portfolio Statistics (Unaudited) | |
20 | |
21 | |
22 | |
Schedules of Investments | |
23 | |
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148 | |
179 | |
182 | |
185 | |
198 | |
199 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Aggregate Bond Index Fund Class A | 7.25% | 3.94% | 3.48% |
State Street Aggregate Bond Index Fund Class I | 7.57% | 4.27% | 3.77% |
State Street Aggregate Bond Index Fund Class K | 7.79% | 4.31% | 3.83% |
Bloomberg Barclays U.S. Aggregate Index(1) | 7.51% | 4.44% | 3.94% |
* | Inception date is September 19, 2014. |
(1) | The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody's Investor Service, Inc., Standard & Poor's, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States. The securities in the Bloomberg Barclays U.S. Aggregate Bond Index must have at least 1 year remaining to maturity and must have $300 million or more of outstanding face value. Asset backed securities must have a minimum deal size of $500 million and a minimum tranche size of $25 million. For commercial mortgage backed securities, the original aggregate transaction must have a minimum deal size of $500 million, and a minimum tranche size of $25 million; the aggregate outstanding transaction sizes must be at least $300 million to remain in the index. In addition, the securities must be U.S. dollar denominated, fixed rate, non convertible, and taxable. Certain types of securities, such as flower bonds, TINs, and state and local government series bonds are excluded from the Bloomberg Barclays U.S. Aggregate Bond Index. Also excluded from the Bloomberg Barclays U.S. Aggregate Bond Index are structured notes with embedded swaps or other special features, private placements, floating rate securities and Eurobonds. The Bloomberg Barclays U.S. Aggregate Bond Index is market capitalization weighted and the securities in the Index are updated on the last business day of each month. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Global All Cap Equity ex- U.S. Index Fund Class A | 10.47% | 8.72% | 4.42% |
State Street Global All Cap Equity ex- U.S. Index Fund Class I | 10.91% | 9.01% | 4.70% |
State Street Global All Cap Equity ex- U.S. Index Fund Class K | 11.08% | 9.14% | 4.81% |
MSCI ACWI ex USA Investable Market Index(1), (2) | 11.12% | 9.05% | 4.91% |
* | Inception date is September 17, 2014. |
(1) | The MSCI ACWI ex USA Investable Market Index is a free float-adjusted market capitalization index that is designed to measure the combined equity market performance of securities, across all market capitalizations, in developed and emerging market countries excluding the United States. All listed equity securities and listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity derivatives, limited partnerships and most investment trusts, are eligible for inclusion. Countries covered in the Index have historically included, among others, Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece, Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Pakistan, Peru, Philippines, Poland, Portugal, Qatar, Russia, Saudi Arabia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Arab Emirates and the United Kingdom. |
(2) | Returns shown are reflective of the MSCI ACWI ex USA Investable Market Index for periods beginning on October 9, 2019 and the MSCI ACWI ex USA Index for periods prior to October 9, 2019. |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Small/Mid Cap Equity Index Fund Class A | 31.79% | 15.72% | 14.64% |
State Street Small/Mid Cap Equity Index Fund Class I | 32.15% | 16.03% | 14.94% |
State Street Small/Mid Cap Equity Index Fund Class K | 32.44% | 16.16% | 13.51% |
Russell Small Cap Completeness Index(1) | 32.88% | 16.33% | 13.65% |
* | Inception date is October 16, 2015 for Class A and Class I and inception date is August 12, 2015 for Class K and the date used for the Russell Small Cap Completeness Index return. |
(1) | The Russell Small Cap Completeness® Index is a float-adjusted, market capitalization index which measures the performance of the Russell 3000® Index companies excluding S&P 500® constituents. The Index is constructed to provide a comprehensive and unbiased barometer of the extended broad market beyond the S&P 500 exposure. The Index is completely reconstituted annually. |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||
ASSETS | |||||
Investment in corresponding affiliated Portfolio, at value* | $382,085,916 | $805,074,078 | $250,346,479 | ||
Cash | 404,855 | — | 302,083 | ||
Receivable for investments sold | — | 440,686 | — | ||
Receivable for fund shares sold | 590,907 | 410,533 | 1,401,817 | ||
Receivable from Adviser | 16,431 | 114,756 | 15,151 | ||
Prepaid expenses and other assets | 495 | 746 | 186 | ||
TOTAL ASSETS | 383,098,604 | 806,040,799 | 252,065,716 | ||
LIABILITIES | |||||
Due to custodian | — | 80,012 | — | ||
Payable for investments purchased | 1,218,662 | — | 1,030,077 | ||
Payable for fund shares repurchased | 173,961 | 657,647 | 969,414 | ||
Advisory fee payable | 7,650 | 39,786 | 5,313 | ||
Custodian fees payable | 6,365 | 6,369 | 6,366 | ||
Administration fees payable | 15,300 | 33,156 | 8,855 | ||
Distribution fees payable | 2,255 | 1,910 | 5,288 | ||
Transfer agent fees payable | 24,614 | 10,509 | 3,482 | ||
Sub-transfer agent fee payable | 37,894 | 6,267 | 30,010 | ||
Registration and filing fees payable | 13,318 | 12,976 | 831 | ||
Professional fees payable | 26,467 | 25,845 | 26,438 | ||
Printing and postage fees payable | 3,766 | 5,368 | 2,479 | ||
Accrued expenses and other liabilities | 580 | 303,114 | 220 | ||
TOTAL LIABILITIES | 1,530,832 | 1,182,959 | 2,088,773 | ||
NET ASSETS | $381,567,772 | $804,857,840 | $249,976,943 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $367,024,694 | $708,893,061 | $207,461,135 | ||
Total distributable earnings (loss) | 14,543,078 | 95,964,779 | 42,515,808 | ||
NET ASSETS | $381,567,772 | $804,857,840 | $249,976,943 | ||
Class A | |||||
Net Assets | $ 11,200,372 | $ 9,413,056 | $ 25,877,186 | ||
Shares Outstanding | 106,133 | 87,965 | 78,272 | ||
Net asset value, offering and redemption price per share | $ 105.53 | $ 107.01 | $ 330.61 | ||
Maximum sales charge | 3.75% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 109.64 | $ 112.94 | $ 348.93 | ||
Class I | |||||
Net Assets | $ 8,073,204 | $ 418,581 | $ 7,399,562 | ||
Shares Outstanding | 76,722 | 3,908 | 22,378 | ||
Net asset value, offering and redemption price per share | $ 105.23 | $ 107.12(a) | $ 330.66 | ||
Class K | |||||
Net Assets | $362,294,196 | $795,026,203 | $216,700,195 | ||
Shares Outstanding | 3,443,812 | 7,413,852 | 655,257 | ||
Net asset value, offering and redemption price per share | $ 105.20 | $ 107.24 | $ 330.71 | ||
COST OF INVESTMENTS: | |||||
*Investment in corresponding affiliated Portfolio, at cost | $369,863,834 | $708,740,733 | $ 211,094,764 |
(a) | Due to small class size; calculation of net asset value (total net assets/shares outstanding) will not agree to net asset value shown. |
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 | $ 7,245,276 | $13,400,642 | $ 3,068,741 | ||
EXPENSES | |||||
Advisory fee | 72,513 | 297,552 | 34,601 | ||
Administration fees | 145,027 | 247,960 | 57,668 | ||
Sub-transfer agent fee | |||||
Class A | 28,908 | 13,806 | 38,559 | ||
Class I | 15,905 | 670 | 11,915 | ||
Distribution fees | |||||
Class A | 36,137 | 17,258 | 48,198 | ||
Custodian fees | 38,179 | 38,450 | 38,458 | ||
Trustees’ fees and expenses | 20,999 | 20,999 | 20,999 | ||
Transfer agent fees | 228,527 | 112,623 | 36,277 | ||
Registration and filing fees | 66,548 | 71,961 | 54,179 | ||
Professional fees and expenses | 25,020 | 25,041 | 24,420 | ||
Printing and postage fees | 13,648 | 13,738 | 9,224 | ||
Insurance expense | 969 | 1,586 | 410 | ||
Miscellaneous expenses | 2,882 | 428,290 | 2,276 | ||
TOTAL EXPENSES | 695,262 | 1,289,934 | 377,184 | ||
Expenses waived/reimbursed by the Adviser | (541,799) | (1,201,170) | (226,611) | ||
NET EXPENSES | 153,463 | 88,764 | 150,573 | ||
NET INVESTMENT INCOME (LOSS) | $ 7,091,813 | $ 13,311,878 | $ 2,918,168 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investment in corresponding affiliated Portfolio | 3,805,760 | 1,541,239 | (2,048,071) | ||
Capital gain distributions from corresponding affiliated Portfolio | 2,045,668 | — | 3,988,884 | ||
Net realized gain (loss) | 5,851,428 | 1,541,239 | 1,940,813 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investment in corresponding affiliated Portfolio | 7,105,030 | 80,189,735 | 36,530,670 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 12,956,458 | 81,730,974 | 38,471,483 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $20,048,271 | $95,042,852 | $41,389,651 |
State Street Aggregate Bond Index Fund | State Street Global All Cap Equity ex- U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/20(b) | Year Ended 12/31/19(b) | Year Ended 12/31/20(c) | Year Ended 12/31/19(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 7,091,813 | $ 5,536,621 | $ 13,311,878 | $ 12,325,409 | $ 2,918,168 | $ 1,683,053 | |||||
Net realized gain (loss) | 5,851,428 | 90,763 | 1,541,239 | 7,849,558 | 1,940,813 | 3,691,103 | |||||
Net change in unrealized appreciation/depreciation | 7,105,030 | 8,264,351 | 80,189,735 | 55,075,154 | 36,530,670 | 12,029,745 | |||||
Net increase (decrease) in net assets resulting from operations | 20,048,271 | 13,891,735 | 95,042,852 | 75,250,121 | 41,389,651 | 17,403,901 | |||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | (376,387) | (122,467) | (118,663) | (295,877) | (255,924) | (1,084,071) | |||||
Class I | (239,504) | (278,785) | (6,455) | (33,133) | (91,947) | (337,036) | |||||
Class K | (9,329,360) | (5,103,124) | (13,440,767) | (19,410,272) | (3,125,619) | (4,269,044) | |||||
Total distributions to shareholders | (9,945,251) | (5,504,376) | (13,565,885) | (19,739,282) | (3,473,490) | (5,690,151) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from sale of shares sold | 11,684,206 | 19,325,795 | 3,031,290 | 3,514,321 | 6,208,805 | 15,166,292 | |||||
Reinvestment of distributions | 368,911 | 120,008 | 118,658 | 295,877 | 255,333 | 1,078,801 | |||||
Cost of shares redeemed | (20,967,724) | (1,270,756) | (1,641,250) | (967,350) | (7,879,861) | (5,644,151) | |||||
Net increase (decrease) from capital share transactions | (8,914,607) | 18,175,047 | 1,508,698 | 2,842,848 | (1,415,723) | 10,600,942 | |||||
Class I | |||||||||||
Proceeds from sale of shares sold | 2,323,532 | 652,191 | 180,901 | 199,110 | 1,136,933 | 1,143,157 | |||||
Reinvestment of distributions | 13,681 | 79,075 | 6,455 | 33,133 | 91,947 | 337,036 | |||||
Cost of shares redeemed | (1,868,214) | (4,693,496) | (451,774) | (229,932) | (1,563,862) | (1,258,349) | |||||
Net increase (decrease) from capital share transactions | 468,999 | (3,962,230) | (264,418) | 2,311 | (334,982) | 221,844 | |||||
Class K | |||||||||||
Proceeds from sale of shares sold | 224,103,569 | 109,961,561 | 375,663,145 | 164,108,478 | 125,769,004 | 53,522,034 | |||||
Reinvestment of distributions | 9,328,326 | 5,100,827 | 13,024,795 | 19,257,505 | 3,107,246 | 4,221,079 | |||||
Cost of shares redeemed | (90,609,127) | (40,110,624) | (97,810,660) | (247,782,361) | (21,298,146) | (26,552,849) | |||||
Net increase (decrease) from capital share transactions | 142,822,768 | 74,951,764 | 290,877,280 | (64,416,378) | 107,578,104 | 31,190,264 | |||||
Net increase (decrease) in net assets from beneficial interest transactions | 134,377,160 | 89,164,581 | 292,121,560 | (61,571,219) | 105,827,399 | 42,013,050 | |||||
Net increase (decrease) in net assets during the period | 144,480,180 | 97,551,940 | 373,598,527 | (6,060,380) | 143,743,560 | 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 | $381,567,772 | $237,087,592 | $804,857,840 | $ 431,259,313 | $249,976,943 | $106,233,383 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Class A | |||||||||||
Shares sold | 111,233 | 191,242 | 32,665 | 37,215 | 24,561 | 61,399 | |||||
Reinvestment of distributions | 3,511 | 1,190 | 1,111 | 3,010 | 777 | 4,250 | |||||
Shares redeemed | (199,831) | (12,949) | (18,284) | (10,307) | (34,042) | (22,953) | |||||
Net increase (decrease) from share transactions | (85,087) | 179,483 | 15,492 | 29,918 | (8,704) | 42,696 | |||||
Class I | |||||||||||
Shares sold | 22,114 | 6,645 | 1,912 | 2,113 | 4,431 | 4,745 | |||||
Reinvestment of distributions | 130 | 801 | 61 | 337 | 280 | 1,328 | |||||
Shares redeemed | (17,675) | (46,211) | (5,594) | (2,424) | (7,244) | (5,209) | |||||
Net increase (decrease) from share transactions | 4,569 | (38,765) | (3,621) | 26 | (2,533) | 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 | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/20(b) | Year Ended 12/31/19(b) | Year Ended 12/31/20(c) | Year Ended 12/31/19(c) | ||||||
Class K | |||||||||||
Shares sold | 2,129,056 | 1,097,746 | 4,024,381 | 1,684,347 | 424,709 | 214,683 | |||||
Reinvestment of distributions | 88,818 | 51,067 | 121,727 | 195,508 | 9,452 | 16,631 | |||||
Shares redeemed | (861,992) | (399,561) | (1,043,008) | (2,681,531) | (86,179) | (106,327) | |||||
Net increase (decrease) from share transactions | 1,355,882 | 749,252 | 3,103,100 | (801,676) | 347,982 | 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 | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $101.10 | $ 95.50 | $98.20 | $97.50 | $97.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.18 | 3.40 | 2.60 | 2.10 | 1.60 | ||||
Net realized and unrealized gain (loss) | 5.10 | 4.40 | (3.00) | 0.80 | 0.30 | ||||
Total from investment operations | 7.28 | 7.80 | (0.40) | 2.90 | 1.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.06) | (2.20) | (2.30) | (2.10) | (1.80) | ||||
Net realized gains | (0.79) | — | — | (0.10) | (0.10) | ||||
Total distributions | (2.85) | (2.20) | (2.30) | (2.20) | (1.90) | ||||
Net asset value, end of period | $105.53 | $101.10 | $95.50 | $98.20 | $97.50 | ||||
Total return (c) | 7.25% | 8.27% | (0.39)% | 2.93% | 1.91% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 11,200 | $19,325 | $1,121 | $ 340 | $ 211 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.66% | 0.68% | 0.55% | 0.58% | 0.67% | ||||
Net expenses (d) | 0.48% | 0.48% | 0.31% | 0.40% | 0.40% | ||||
Net investment income (loss) | 2.08% | 3.45% | 2.74% | 2.11% | 1.65% | ||||
Portfolio turnover rate (e) | 37% | 69% | 90% | 99% | 194% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | $ 97.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.38 | 2.70 | 2.70 | 2.30 | 1.80 | ||||
Net realized and unrealized gain (loss) | 5.20 | 5.40 | (2.90) | 0.90 | 0.60 | ||||
Total from investment operations | 7.58 | 8.10 | (0.20) | 3.20 | 2.40 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.36) | (2.80) | (2.70) | (2.30) | (2.10) | ||||
Net realized gains | (0.79) | — | — | (0.10) | (0.10) | ||||
Total distributions | (3.15) | (2.80) | (2.70) | (2.40) | (2.20) | ||||
Net asset value, end of period | $105.23 | $100.80 | $ 95.50 | $ 98.40 | $ 97.60 | ||||
Total return (c) | 7.57% | 8.55% | (0.20)% | 3.29% | 2.37% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 8,073 | $ 7,273 | $10,598 | $10,807 | $12,370 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.41% | 0.32% | 0.27% | 0.26% | 0.33% | ||||
Net expenses (d) | 0.23% | 0.12% | 0.04% | 0.08% | 0.06% | ||||
Net investment income (loss) | 2.27% | 2.73% | 2.78% | 2.30% | 1.83% | ||||
Portfolio turnover rate (e) | 37% | 69% | 90% | 99% | 194% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | $ 97.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.59 | 2.90 | 2.70 | 2.30 | 2.00 | ||||
Net realized and unrealized gain (loss) | 5.20 | 5.20 | (2.80) | 0.90 | 0.30 | ||||
Total from investment operations | 7.79 | 8.10 | (0.10) | 3.20 | 2.30 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.60) | (2.80) | (2.70) | (2.30) | (2.10) | ||||
Net realized gains | (0.79) | — | — | (0.10) | (0.10) | ||||
Total distributions | (3.39) | (2.80) | (2.70) | (2.40) | (2.20) | ||||
Net asset value, end of period | $ 105.20 | $ 100.80 | $ 95.50 | $ 98.30 | $ 97.50 | ||||
Total return (c) | 7.79% | 8.57% | (0.10)% | 3.30% | 2.27% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $362,294 | $210,489 | $127,817 | $97,318 | $76,429 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21% | 0.23% | 0.27% | 0.26% | 0.33% | ||||
Net expenses (d) | 0.03% | 0.03% | 0.04% | 0.08% | 0.06% | ||||
Net investment income (loss) | 2.47% | 2.94% | 2.83% | 2.37% | 1.98% | ||||
Portfolio turnover rate (e) | 37% | 69% | 90% | 99% | 194% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class A | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 98.00 | $84.60 | $106.70 | $ 87.40 | $84.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.63 | 3.20 | 3.60 | 0.80 | 3.10 | ||||
Net realized and unrealized gain (loss) | 8.74 | 14.50 | (19.00) | 22.50 | 0.90 | ||||
Total from investment operations | 10.37 | 17.70 | (15.40) | 23.30 | 4.00 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.34) | (2.50) | (2.30) | (2.60) | (1.10) | ||||
Net realized gains | (0.02) | (1.80) | (4.40) | (1.40) | — | ||||
Total distributions | (1.36) | (4.30) | (6.70) | (4.00) | (1.10) | ||||
Net asset value, end of period | $107.01 | $98.00 | $ 84.60 | $106.70 | $87.40 | ||||
Total return (c) | 10.47% | 21.01% | (14.38)% | 26.68% | 4.75% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 9,413 | $7,104 | $ 3,599 | $ 927 | $1,564 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.70% | 0.71% | 0.57% | 0.53% | 0.58% | ||||
Net expenses (d) | 0.46% | 0.45% | 0.42% | 0.44% | 0.42% | ||||
Net investment income (loss) | 1.79% | 3.44% | 3.59% | 0.79% | 3.51% | ||||
Portfolio turnover rate (e) | 2% | 28% | 4% | 2% | 8% |
(a) | After the close of trading on April 17, 2020, the 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. |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 98.10 | $84.60 | $106.70 | $ 87.40 | $84.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.26 | 2.70 | 2.30 | 2.10 | 1.70 | ||||
Net realized and unrealized gain (loss) | 9.44 | 15.40 | (17.60) | 21.40 | 2.50 | ||||
Total from investment operations | 10.70 | 18.10 | (15.30) | 23.50 | 4.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.66) | (2.80) | (2.40) | (2.80) | (1.30) | ||||
Net realized gains | (0.02) | (1.80) | (4.40) | (1.40) | — | ||||
Total distributions | (1.68) | (4.60) | (6.80) | (4.20) | (1.30) | ||||
Net asset value, end of period | $107.12 | $98.10 | $ 84.60 | $106.70 | $87.40 | ||||
Total return (c) | 10.91% | 21.24% | (14.18)% | 27.00% | 5.02% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 419 | $ 739 | $ 635 | $ 999 | $ 501 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.40% | 0.38% | 0.43% | 0.23% | 0.32% | ||||
Net expenses (d) | 0.16% | 0.12% | 0.30% | 0.15% | 0.16% | ||||
Net investment income (loss) | 1.37% | 2.90% | 2.27% | 2.12% | 2.01% | ||||
Portfolio turnover rate (e) | 2% | 28% | 4% | 2% | 8% |
(a) | After the close of trading on April 17, 2020, the 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. |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | $ 84.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.49 | 2.90 | 2.60 | 3.20 | 2.00 | ||||
Net realized and unrealized gain (loss) | 8.40 | 15.40 | (17.70) | 20.40 | 2.20 | ||||
Total from investment operations | 10.89 | 18.30 | (15.10) | 23.60 | 4.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.83) | (3.00) | (2.60) | (2.80) | (1.30) | ||||
Net realized gains | (0.02) | (1.80) | (4.40) | (1.40) | — | ||||
Total distributions | (1.85) | (4.80) | (7.00) | (4.20) | (1.30) | ||||
Net asset value, end of period | $ 107.24 | $ 98.20 | $ 84.70 | $ 106.80 | $ 87.40 | ||||
Total return (c) | 11.08% | 21.49% | (14.03)% | 27.11% | 5.02% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $795,026 | $423,417 | $433,086 | $456,567 | $222,297 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.25% | 0.27% | 0.18% | 0.18% | 0.23% | ||||
Net expenses (d) | 0.01% | 0.01% | 0.05% | 0.10% | 0.07% | ||||
Net investment income (loss) | 2.70% | 3.12% | 2.57% | 3.16% | 2.28% | ||||
Portfolio turnover rate (e) | 2% | 28% | 4% | 2% | 8% |
(a) | After the close of trading on April 17, 2020, the 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. |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class A | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $253.40 | $209.40 | $239.00 | $213.40 | $186.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.82 | 4.40 | 6.40 | 10.60 | 1.40 | ||||
Net realized and unrealized gain (loss) | 77.73 | 53.00 | (29.00) | 27.40 | 28.20 | ||||
Total from investment operations | 80.55 | 57.40 | (22.60) | 38.00 | 29.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.71) | (4.60) | (3.00) | (5.00) | (2.20) | ||||
Net realized gains | (2.63) | (8.80) | (4.00) | (7.40) | (0.00)(c) | ||||
Total distributions | (3.34) | (13.40) | (7.00) | (12.40) | (2.20) | ||||
Net asset value, end of period | $330.61 | $253.40 | $209.40 | $239.00 | $213.40 | ||||
Total return (d) | 31.79% | 27.42% | (9.35)% | 17.87% | 15.67% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $25,877 | $22,037 | $ 9,274 | $ 988 | $ 114 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.69% | 0.79% | 0.80% | 1.10% | 2.48% | ||||
Net expenses (e) | 0.50% | 0.49% | 0.29% | 0.35% | 0.30% | ||||
Net investment income (loss) | 1.12% | 1.76% | 2.65% | 4.60% | 0.69% | ||||
Portfolio turnover rate (f) | 52% | 51% | 22% | 21% | 21% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class I | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $253.40 | $209.60 | $239.00 | $213.40 | $186.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.20 | 3.80 | 4.00 | 8.00 | 2.80 | ||||
Net realized and unrealized gain (loss) | 78.24 | 54.40 | (25.80) | 30.60 | 27.40 | ||||
Total from investment operations | 81.44 | 58.20 | (21.80) | 38.60 | 30.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.55) | (5.60) | (3.60) | (5.60) | (2.80) | ||||
Net realized gains | (2.63) | (8.80) | (4.00) | (7.40) | (0.00)(c) | ||||
Total distributions | (4.18) | (14.40) | (7.60) | (13.00) | (2.80) | ||||
Net asset value, end of period | $330.66 | $253.40 | $209.60 | $239.00 | $213.40 | ||||
Total return (d) | 32.15% | 27.70% | (9.07)% | 18.16% | 15.96% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 7,400 | $ 6,312 | $ 5,038 | $ 4,135 | $ 297 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.44% | 0.46% | 0.61% | 0.90% | 2.22% | ||||
Net expenses (e) | 0.25% | 0.17% | 0.07% | 0.11% | 0.05% | ||||
Net investment income (loss) | 1.28% | 1.58% | 1.58% | 3.42% | 1.42% | ||||
Portfolio turnover rate (f) | 52% | 51% | 22% | 21% | 21% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
Class K | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 253.40 | $209.60 | $239.00 | $213.40 | $186.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 7.44 | 5.40 | 5.80 | 3.00 | 3.00 | ||||
Net realized and unrealized gain (loss) | 74.73 | 53.00 | (27.60) | 35.60 | 27.20 | ||||
Total from investment operations | 82.17 | 58.40 | (21.80) | 38.60 | 30.20 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.23) | (5.80) | (3.60) | (5.60) | (2.80) | ||||
Net realized gains | (2.63) | (8.80) | (4.00) | (7.40) | (0.00)(c) | ||||
Total distributions | (4.86) | (14.60) | (7.60) | (13.00) | (2.80) | ||||
Net asset value, end of period | $ 330.71 | $253.40 | $209.60 | $239.00 | $213.40 | ||||
Total return (d) | 32.44% | 27.84% | (9.03)% | 18.16% | 16.21% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $216,700 | $77,885 | $38,195 | $18,750 | $14,098 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (e) | 0.24% | 0.34% | 0.55% | 0.96% | 2.21% | ||||
Net expenses (e) | 0.05% | 0.05% | 0.04% | 0.05% | 0.05% | ||||
Net investment income (loss) | 2.91% | 2.17% | 2.37% | 1.29% | 1.51% | ||||
Portfolio turnover rate (f) | 52% | 51% | 22% | 21% | 21% |
(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) | Portfolio turnover rate is from the corresponding Portfolio. |
% of Net Assets | |||
U.S. Treasury Obligations | 36.4% | ||
U.S. Government Agency Obligations | 29.3 | ||
Corporate Bonds & Notes | 27.4 | ||
Foreign Government Obligations | 3.7 | ||
Mortgage-Backed Securities | 1.2 | ||
Municipal Bonds & Notes | 0.6 | ||
Asset-Backed Securities | 0.3 | ||
Short-Term Investments | 7.8 | ||
Liabilities in Excess of Other Assets | (6.7) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Banks | 5.5% | ||
Electric | 2.0 | ||
Pharmaceuticals | 2.0 | ||
Telecommunications | 1.5 | ||
Oil & Gas | 1.3 | ||
TOTAL | 12.3% |
% of Net Assets | |||
Common Stocks | 98.5% | ||
Warrants | 0.0 * | ||
Rights | 0.0 * | ||
Short-Term Investments | 5.7 | ||
Liabilities in Excess of Other Assets | (4.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
% of Net Assets | |||
Common Stocks | 98.8% | ||
Rights | 0.0 * | ||
Warrants | 0.0 * | ||
Short-Term Investments | 5.3 | ||
Liabilities in Excess of Other Assets | (4.1) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Software | 12.7% | ||
Biotechnology | 6.9 | ||
Equity Real Estate Investment Trusts (REITs) | 6.2 | ||
IT Services | 5.6 | ||
Banks | 4.4 | ||
TOTAL | 35.8% |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 27.4% | |||||
ADVERTISING — 0.0% (a) | |||||
Interpublic Group of Cos., Inc.: | |||||
4.20%, 4/15/2024 | $ 25,000 | $ 27,822 | |||
4.65%, 10/1/2028 (b) | 10,000 | 12,051 | |||
5.40%, 10/1/2048 | 25,000 | 34,475 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 | 100,000 | 106,327 | |||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.60%, 4/15/2026 | 100,000 | 114,056 | |||
WPP Finance 2010 3.63%, 9/7/2022 | 25,000 | 26,298 | |||
321,029 | |||||
AEROSPACE & DEFENSE — 0.6% | |||||
Boeing Co.: | |||||
1.95%, 2/1/2024 | 30,000 | 30,783 | |||
2.60%, 10/30/2025 | 35,000 | 36,601 | |||
2.75%, 2/1/2026 | 50,000 | 52,695 | |||
2.80%, 3/1/2023 (b) | 25,000 | 25,999 | |||
2.95%, 2/1/2030 | 50,000 | 51,704 | |||
3.25%, 2/1/2028 | 50,000 | 53,598 | |||
3.25%, 3/1/2028 | 25,000 | 26,474 | |||
3.38%, 6/15/2046 | 25,000 | 24,369 | |||
3.50%, 3/1/2039 | 250,000 | 252,002 | |||
3.55%, 3/1/2038 | 165,000 | 168,816 | |||
3.63%, 2/1/2031 | 30,000 | 32,874 | |||
3.65%, 3/1/2047 | 100,000 | 101,349 | |||
3.75%, 2/1/2050 | 50,000 | 52,290 | |||
3.83%, 3/1/2059 | 250,000 | 252,165 | |||
4.51%, 5/1/2023 | 400,000 | 431,092 | |||
4.88%, 5/1/2025 | 335,000 | 381,572 | |||
5.04%, 5/1/2027 | 150,000 | 175,507 | |||
5.15%, 5/1/2030 | 200,000 | 242,078 | |||
5.71%, 5/1/2040 | 150,000 | 194,578 | |||
5.81%, 5/1/2050 | 200,000 | 275,404 | |||
5.93%, 5/1/2060 | 150,000 | 212,329 | |||
General Dynamics Corp.: | |||||
2.25%, 11/15/2022 | 25,000 | 25,795 | |||
2.38%, 11/15/2024 | 250,000 | 266,527 | |||
3.63%, 4/1/2030 | 100,000 | 118,767 | |||
4.25%, 4/1/2050 | 60,000 | 81,825 | |||
L3Harris Technologies, Inc.: | |||||
2.90%, 12/15/2029 | 15,000 | 16,617 | |||
3.83%, 4/27/2025 | 50,000 | 56,075 | |||
3.85%, 6/15/2023 | 70,000 | 75,536 | |||
3.85%, 12/15/2026 | 50,000 | 57,816 | |||
4.40%, 6/15/2028 | 100,000 | 120,045 | |||
Lockheed Martin Corp.: | |||||
1.85%, 6/15/2030 | 395,000 | 413,652 | |||
2.80%, 6/15/2050 | 400,000 | 431,072 | |||
3.55%, 1/15/2026 | 100,000 | 113,631 |
Security Description | Principal Amount | Value | |||
3.60%, 3/1/2035 | $ 50,000 | $ 60,305 | |||
4.70%, 5/15/2046 | 110,000 | 154,069 | |||
Northrop Grumman Corp.: | |||||
2.55%, 10/15/2022 | 150,000 | 155,768 | |||
2.93%, 1/15/2025 | 150,000 | 163,152 | |||
3.25%, 8/1/2023 | 200,000 | 214,630 | |||
3.25%, 1/15/2028 | 150,000 | 169,739 | |||
4.03%, 10/15/2047 | 100,000 | 125,035 | |||
4.75%, 6/1/2043 | 25,000 | 33,465 | |||
Raytheon Technologies Corp.: | |||||
2.25%, 7/1/2030 | 200,000 | 212,188 | |||
2.80%, 3/15/2022 | 200,000 | 205,354 | |||
3.13%, 5/4/2027 (b) | 200,000 | 223,304 | |||
3.13%, 7/1/2050 | 200,000 | 219,816 | |||
3.50%, 3/15/2027 | 136,000 | 155,146 | |||
4.13%, 11/16/2028 | 60,000 | 71,565 | |||
4.35%, 4/15/2047 | 450,000 | 590,571 | |||
4.50%, 6/1/2042 | 100,000 | 130,428 | |||
4.63%, 11/16/2048 | 35,000 | 47,610 | |||
6.13%, 7/15/2038 | 50,000 | 74,700 | |||
United Technologies Corp. 4.45%, 11/16/2038 | 20,000 | 25,429 | |||
7,883,911 | |||||
AGRICULTURE — 0.4% | |||||
Altria Group, Inc.: | |||||
2.85%, 8/9/2022 | 200,000 | 207,794 | |||
3.49%, 2/14/2022 | 15,000 | 15,511 | |||
3.80%, 2/14/2024 | 40,000 | 43,694 | |||
3.88%, 9/16/2046 | 100,000 | 105,764 | |||
4.00%, 1/31/2024 | 25,000 | 27,478 | |||
4.40%, 2/14/2026 | 225,000 | 261,009 | |||
4.45%, 5/6/2050 | 500,000 | 591,115 | |||
4.50%, 5/2/2043 | 25,000 | 28,973 | |||
4.80%, 2/14/2029 | 40,000 | 47,961 | |||
5.80%, 2/14/2039 | 285,000 | 375,168 | |||
5.95%, 2/14/2049 | 75,000 | 104,783 | |||
6.20%, 2/14/2059 | 15,000 | 21,287 | |||
Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | 250,000 | 288,952 | |||
BAT Capital Corp.: | |||||
2.26%, 3/25/2028 | 25,000 | 25,853 | |||
2.73%, 3/25/2031 | 50,000 | 51,762 | |||
2.79%, 9/6/2024 | 70,000 | 74,864 | |||
3.22%, 8/15/2024 | 50,000 | 54,157 | |||
3.22%, 9/6/2026 | 100,000 | 110,190 | |||
3.46%, 9/6/2029 | 100,000 | 110,210 | |||
3.56%, 8/15/2027 | 100,000 | 111,486 | |||
3.73%, 9/25/2040 | 30,000 | 31,379 | |||
3.98%, 9/25/2050 | 250,000 | 260,270 | |||
4.39%, 8/15/2037 | 100,000 | 111,915 | |||
4.54%, 8/15/2047 | 105,000 | 116,588 | |||
4.70%, 4/2/2027 | 250,000 | 294,782 | |||
4.76%, 9/6/2049 | 100,000 | 115,113 |
Security Description | Principal Amount | Value | |||
BAT International Finance PLC 1.67%, 3/25/2026 | $ 25,000 | $ 25,633 | |||
Bunge, Ltd. Finance Corp.: | |||||
3.75%, 9/25/2027 | 30,000 | 34,307 | |||
4.35%, 3/15/2024 | 100,000 | 110,484 | |||
Philip Morris International, Inc.: | |||||
0.88%, 5/1/2026 | 150,000 | 150,348 | |||
1.75%, 11/1/2030 | 150,000 | 151,486 | |||
2.13%, 5/10/2023 | 75,000 | 77,949 | |||
2.63%, 2/18/2022 | 25,000 | 25,605 | |||
2.75%, 2/25/2026 | 125,000 | 136,404 | |||
3.13%, 3/2/2028 (b) | 200,000 | 224,480 | |||
4.13%, 3/4/2043 | 25,000 | 30,672 | |||
4.25%, 11/10/2044 | 250,000 | 313,975 | |||
4.50%, 3/20/2042 | 50,000 | 63,523 | |||
Reynolds American, Inc.: | |||||
5.70%, 8/15/2035 | 25,000 | 31,725 | |||
5.85%, 8/15/2045 | 175,000 | 222,948 | |||
5,187,597 | |||||
AIRLINES — 0.1% | |||||
American Airlines 2017-2 Pass Through Trust Series AA, Class AA, 3.35%, 4/15/2031 | 86,470 | 83,522 | |||
American Airlines 2019-1 Pass Through Trust Series 2019-1, Class AA, Class AA, 3.15%, 8/15/2033 | 72,392 | 69,961 | |||
Delta Air Lines 2020-1 Pass Through Trust Series AA, Class AA, 2.00%, 12/10/2029 | 97,010 | 97,127 | |||
JetBlue 2020-1 Pass Through Trust Series 1A, 4.00%, 5/15/2034 | 25,000 | 26,864 | |||
Southwest Airlines Co.: | |||||
2.63%, 2/10/2030 | 100,000 | 101,967 | |||
4.75%, 5/4/2023 | 250,000 | 271,678 | |||
5.13%, 6/15/2027 | 100,000 | 118,737 | |||
5.25%, 5/4/2025 | 90,000 | 104,334 | |||
United Airlines 2016-1 Pass Through Trust Series 2016-1,Series AA, Class AA, 3.10%, 1/7/2030 | 42,085 | 42,290 | |||
United Airlines 2018-1 Pass Through Trust Series 2018-1, Class AA, Class AA, 3.50%, 9/1/2031 | 104,448 | 102,705 | |||
United Airlines 2019-1 Pass Through Trust Series 2019-1, Class AA, Class AA, 4.15%, 2/25/2033 | 69,257 | 71,142 |
Security Description | Principal Amount | Value | |||
United Airlines 2019-2 Pass Through Trust Series 2019-2,Series AA, Class AA, 2.70%, 11/1/2033 | $ 64,040 | $ 60,910 | |||
United Airlines 2020-1 Pass Through Trust Series 20-1, Class A, 5.88%, 4/15/2029 | 90,000 | 97,099 | |||
1,248,336 | |||||
APPAREL — 0.1% | |||||
NIKE, Inc.: | |||||
2.38%, 11/1/2026 | 50,000 | 54,714 | |||
3.25%, 3/27/2040 | 200,000 | 233,858 | |||
3.38%, 3/27/2050 | 150,000 | 185,278 | |||
3.88%, 11/1/2045 | 30,000 | 38,907 | |||
Ralph Lauren Corp.: | |||||
2.95%, 6/15/2030 | 15,000 | 16,240 | |||
3.75%, 9/15/2025 (b) | 25,000 | 28,206 | |||
VF Corp.: | |||||
2.40%, 4/23/2025 | 100,000 | 106,869 | |||
2.95%, 4/23/2030 | 65,000 | 71,832 | |||
735,904 | |||||
AUTO MANUFACTURERS — 0.4% | |||||
American Honda Finance Corp.: | |||||
1.95%, 5/20/2022 | 65,000 | 66,479 | |||
Series MTN, 0.40%, 10/21/2022 | 150,000 | 150,243 | |||
Series MTN, 2.15%, 9/10/2024 | 100,000 | 105,866 | |||
Series MTN, 2.90%, 2/16/2024 | 50,000 | 53,590 | |||
Series MTN, 3.63%, 10/10/2023 | 300,000 | 326,460 | |||
Cummins, Inc. 1.50%, 9/1/2030 | 200,000 | 201,176 | |||
General Motors Co.: | |||||
5.15%, 4/1/2038 | 200,000 | 240,086 | |||
5.20%, 4/1/2045 | 200,000 | 242,018 | |||
5.40%, 10/2/2023 | 250,000 | 280,805 | |||
6.13%, 10/1/2025 | 250,000 | 303,542 | |||
6.60%, 4/1/2036 | 100,000 | 135,793 | |||
6.75%, 4/1/2046 | 25,000 | 35,773 | |||
General Motors Financial Co., Inc.: | |||||
1.70%, 8/18/2023 | 300,000 | 307,854 | |||
3.15%, 6/30/2022 | 250,000 | 258,647 | |||
3.45%, 1/14/2022 | 50,000 | 51,270 | |||
3.55%, 7/8/2022 | 50,000 | 52,231 | |||
3.70%, 5/9/2023 | 100,000 | 106,091 | |||
3.95%, 4/13/2024 | 150,000 | 163,567 | |||
4.00%, 1/15/2025 | 35,000 | 38,536 | |||
4.15%, 6/19/2023 | 200,000 | 215,366 |
Security Description | Principal Amount | Value | |||
4.35%, 1/17/2027 | $ 185,000 | $ 210,628 | |||
5.20%, 3/20/2023 | 250,000 | 274,190 | |||
5.25%, 3/1/2026 | 100,000 | 117,583 | |||
PACCAR Financial Corp.: | |||||
Series MTN, 2.00%, 9/26/2022 | 30,000 | 30,914 | |||
Series MTN, 2.30%, 8/10/2022 | 50,000 | 51,622 | |||
Series MTN, 2.65%, 5/10/2022 | 50,000 | 51,602 | |||
Series MTN, 2.65%, 4/6/2023 (b) | 80,000 | 84,182 | |||
Toyota Motor Credit Corp.: | |||||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 25,972 | |||
Series GMTN, 3.05%, 1/11/2028 | 50,000 | 56,419 | |||
Series GMTN, 3.45%, 9/20/2023 | 100,000 | 108,308 | |||
Series MTN, 0.35%, 10/14/2022 | 100,000 | 100,176 | |||
Series MTN, 0.45%, 7/22/2022 | 100,000 | 100,296 | |||
Series MTN, 0.80%, 10/16/2025 | 100,000 | 100,546 | |||
Series MTN, 1.15%, 5/26/2022 | 150,000 | 151,853 | |||
Series MTN, 1.15%, 8/13/2027 | 60,000 | 60,380 | |||
Series MTN, 1.35%, 8/25/2023 | 150,000 | 153,973 | |||
Series MTN, 1.80%, 2/13/2025 | 150,000 | 157,363 | |||
Series MTN, 2.15%, 9/8/2022 | 50,000 | 51,563 | |||
Series MTN, 2.60%, 1/11/2022 | 200,000 | 204,668 | |||
Series MTN, 2.90%, 3/30/2023 | 500,000 | 528,765 | |||
Series MTN, 2.90%, 4/17/2024 (b) | 50,000 | 53,883 | |||
Series MTN, 3.40%, 4/14/2025 | 100,000 | 111,559 | |||
6,121,838 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (a) | |||||
Aptiv PLC: | |||||
4.25%, 1/15/2026 | 25,000 | 28,697 | |||
4.40%, 10/1/2046 (b) | 30,000 | 32,647 | |||
Aptiv PLC 4.35%, 3/15/2029 | 45,000 | 51,929 | |||
BorgWarner, Inc. 2.65%, 7/1/2027 (b) | 50,000 | 53,912 | |||
Lear Corp.: | |||||
3.50%, 5/30/2030 | 25,000 | 27,316 | |||
4.25%, 5/15/2029 | 25,000 | 28,510 |
Security Description | Principal Amount | Value | |||
5.25%, 5/15/2049 | $ 30,000 | $ 36,716 | |||
259,727 | |||||
BANKS — 5.5% | |||||
Australia & New Zealand Banking Group, Ltd. 2.63%, 5/19/2022 | 250,000 | 258,047 | |||
Banco Bilbao Vizcaya Argentaria SA 1.13%, 9/18/2025 | 200,000 | 201,678 | |||
Banco Santander SA: | |||||
2.75%, 5/28/2025 | 200,000 | 213,938 | |||
2.75%, 12/3/2030 | 200,000 | 206,192 | |||
3.13%, 2/23/2023 | 200,000 | 210,574 | |||
4.38%, 4/12/2028 | 200,000 | 234,292 | |||
Bank of America Corp.: | |||||
6.11%, 1/29/2037 | 75,000 | 109,405 | |||
3 Month USD LIBOR + 0.78%, 3.55%, 3/5/2024 (c) | 250,000 | 266,995 | |||
3 Month USD LIBOR + 0.79%, 3.00%, 12/20/2023 (c) | 96,000 | 101,000 | |||
3 Month USD LIBOR + 0.81%, 3.37%, 1/23/2026 (c) | 250,000 | 274,665 | |||
3 Month USD LIBOR + 1.02%, 2.88%, 4/24/2023 (c) | 234,000 | 241,551 | |||
3 Month USD LIBOR + 1.19%, 3.95%, 1/23/2049 (c) | 100,000 | 124,355 | |||
3 Month USD LIBOR + 1.81%, 4.24%, 4/24/2038 (c) | 200,000 | 246,964 | |||
SOFR + 2.15%, 2.59%, 4/29/2031 (c) | 735,000 | 786,597 | |||
Series GMTN, 3.50%, 4/19/2026 | 130,000 | 147,395 | |||
Series GMTN, 3 Month USD LIBOR + 1.37%, 3.59%, 7/21/2028 (c) | 250,000 | 284,027 | |||
Series L, 3.95%, 4/21/2025 | 50,000 | 56,338 | |||
Series MTN, 2.50%, 10/21/2022 | 50,000 | 50,897 | |||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 55,472 | |||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 27,733 | |||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 56,039 | |||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 68,954 | |||
Series MTN, 5.00%, 1/21/2044 | 100,000 | 140,650 | |||
Series MTN, 3 Month USD LIBOR + 0.87%, 2.46%, 10/22/2025 (c) | 75,000 | 80,006 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 0.94%, 3.86%, 7/23/2024 (c) | $ 500,000 | $ 542,345 | |||
Series MTN, 3 Month USD LIBOR + 0.99%, 2.50%, 2/13/2031 (c) | 250,000 | 265,360 | |||
Series MTN, 3 Month USD LIBOR + 1.06%, 3.56%, 4/23/2027 (c) | 250,000 | 282,360 | |||
Series MTN, 3 Month USD LIBOR + 1.09%, 3.09%, 10/1/2025 (c) | 250,000 | 271,740 | |||
Series MTN, 3 Month USD LIBOR + 1.16%, 3.12%, 1/20/2023 (c) | 200,000 | 205,780 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.19%, 7/23/2030 (c) | 100,000 | 111,881 | |||
Series MTN, 3 Month USD LIBOR + 1.19%, 2.88%, 10/22/2030 (c) | 75,000 | 82,057 | |||
Series MTN, 3 Month USD LIBOR + 1.21%, 3.97%, 2/7/2030 (c) | 150,000 | 176,663 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 4.27%, 7/23/2029 (c) | 500,000 | 595,040 | |||
Series MTN, 3 Month USD LIBOR + 1.32%, 4.08%, 4/23/2040 (c) | 150,000 | 184,439 | |||
Series MTN, 3 Month USD LIBOR + 1.99%, 4.44%, 1/20/2048 (c) | 150,000 | 198,590 | |||
Series MTN, 3 Month USD LIBOR + 3.15%, 4.08%, 3/20/2051 (c) | 600,000 | 758,988 | |||
Series MTN, SOFR + 0.74%, 0.81%, 10/24/2024 (c) | 100,000 | 100,975 | |||
Series MTN, SOFR + 0.91%, 0.98%, 9/25/2025 (c) | 250,000 | 252,940 | |||
Series MTN, SOFR + 1.01%, 1.20%, 10/24/2026 (c) | 100,000 | 101,569 | |||
Series MTN, SOFR + 1.15%, 1.32%, 6/19/2026 (c) | 200,000 | 203,684 | |||
Series MTN, SOFR + 1.37%, 1.92%, 10/24/2031 (c) | 100,000 | 101,323 | |||
Series MTN, SOFR + 1.46%, 1.49%, 5/19/2024 (b) (c) | 400,000 | 409,516 | |||
Series MTN, SOFR + 1.53%, 1.90%, 7/23/2031 (c) | 500,000 | 505,171 |
Security Description | Principal Amount | Value | |||
Series MTN, SOFR + 1.88%, 2.83%, 10/24/2051 (c) | $ 275,000 | $ 285,879 | |||
Series MTN, SOFR + 1.93%, 2.68%, 6/19/2041 (c) | 350,000 | 364,766 | |||
Bank of America NA 3 Month USD LIBOR + 0.65%, 3.34%, 1/25/2023 (c) | 270,000 | 278,686 | |||
Bank of Montreal: | |||||
0.45%, 12/8/2023 | 250,000 | 250,685 | |||
Series MTN, 1.85%, 5/1/2025 (b) | 500,000 | 525,005 | |||
Series MTN, 2.05%, 11/1/2022 | 60,000 | 61,936 | |||
Series MTN, 2.50%, 6/28/2024 (b) | 65,000 | 69,381 | |||
Series MTN, 2.55%, 11/6/2022 | 30,000 | 31,199 | |||
Series MTN, 2.90%, 3/26/2022 | 100,000 | 103,245 | |||
Bank of New York Mellon Corp.: | |||||
Series G, 3.00%, 2/24/2025 | 100,000 | 110,012 | |||
Series MTN, 2.20%, 8/16/2023 | 200,000 | 209,436 | |||
Series MTN, 2.60%, 2/7/2022 | 125,000 | 127,893 | |||
Series MTN, 3.25%, 5/16/2027 | 100,000 | 113,123 | |||
Series MTN, 3.30%, 8/23/2029 | 250,000 | 285,477 | |||
Series MTN, 3 Month USD LIBOR + 1.07%, 3.44%, 2/7/2028 (c) | 250,000 | 286,185 | |||
Bank of Nova Scotia: | |||||
1.30%, 6/11/2025 | 150,000 | 153,867 | |||
1.63%, 5/1/2023 | 400,000 | 411,512 | |||
2.70%, 3/7/2022 | 100,000 | 102,881 | |||
Barclays Bank PLC 1.70%, 5/12/2022 | 250,000 | 254,232 | |||
Barclays PLC: | |||||
3.68%, 1/10/2023 | 200,000 | 206,190 | |||
4.38%, 1/12/2026 | 50,000 | 57,579 | |||
5.25%, 8/17/2045 | 25,000 | 34,492 | |||
1 year CMT + 0.80%, 1.01%, 12/10/2024 (c) | 245,000 | 246,744 | |||
3 Month USD LIBOR + 1.36%, 4.34%, 5/16/2024 (c) | 250,000 | 270,672 | |||
3 Month USD LIBOR + 1.61%, 3.93%, 5/7/2025 (c) | 250,000 | 273,622 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.90%, 4.97%, 5/16/2029 (c) | $ 200,000 | $ 240,580 | |||
3 Month USD LIBOR + 2.45%, 2.85%, 5/7/2026 (c) | 200,000 | 214,812 | |||
5 year CMT + 2.90%, 3.56%, 9/23/2035 (c) | 250,000 | 269,297 | |||
BBVA USA 2.50%, 8/27/2024 | 250,000 | 264,990 | |||
BNP Paribas SA Series MTN, 4.25%, 10/15/2024 | 250,000 | 281,350 | |||
BPCE SA 4.00%, 4/15/2024 | 250,000 | 277,102 | |||
Canadian Imperial Bank of Commerce: | |||||
0.50%, 12/14/2023 | 200,000 | 200,660 | |||
0.95%, 6/23/2023 | 500,000 | 506,611 | |||
0.95%, 10/23/2025 (b) | 45,000 | 45,671 | |||
2.55%, 6/16/2022 | 50,000 | 51,689 | |||
3.10%, 4/2/2024 (b) | 100,000 | 108,238 | |||
3 Month USD LIBOR + 0.79%, 2.61%, 7/22/2023 (c) | 50,000 | 51,684 | |||
Citibank NA Series BKNT, 3.65%, 1/23/2024 | 250,000 | 273,347 | |||
Citigroup, Inc.: | |||||
2.70%, 10/27/2022 | 250,000 | 260,032 | |||
2.75%, 4/25/2022 | 300,000 | 308,901 | |||
3.20%, 10/21/2026 | 300,000 | 335,223 | |||
3.75%, 6/16/2024 | 25,000 | 27,648 | |||
4.13%, 7/25/2028 | 70,000 | 81,843 | |||
4.30%, 11/20/2026 | 50,000 | 58,338 | |||
4.40%, 6/10/2025 | 250,000 | 286,592 | |||
4.45%, 9/29/2027 | 150,000 | 177,164 | |||
4.65%, 7/30/2045 | 25,000 | 33,618 | |||
4.65%, 7/23/2048 | 250,000 | 344,622 | |||
5.30%, 5/6/2044 | 50,000 | 69,824 | |||
6.68%, 9/13/2043 | 175,000 | 283,955 | |||
3 Month USD LIBOR + 0.90%, 3.35%, 4/24/2025 (c) | 250,000 | 272,042 | |||
3 Month USD LIBOR + 0.95%, 2.88%, 7/24/2023 (c) | 100,000 | 103,796 | |||
3 Month USD LIBOR + 1.15%, 3.52%, 10/27/2028 (c) | 250,000 | 282,257 | |||
3 Month USD LIBOR + 1.19%, 4.08%, 4/23/2029 (c) | 250,000 | 293,450 | |||
3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (c) | 100,000 | 113,799 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.56%, 3.89%, 1/10/2028 (c) | $ 250,000 | $ 287,215 | |||
3 Month USD LIBOR + 1.84%, 4.28%, 4/24/2048 (c) | 150,000 | 194,916 | |||
SOFR + 0.69%, 0.78%, 10/30/2024 (c) | 100,000 | 100,731 | |||
SOFR + 1.42%, 2.98%, 11/5/2030 (c) | 100,000 | 110,145 | |||
SOFR + 1.67%, 1.68%, 5/15/2024 (c) | 500,000 | 515,420 | |||
SOFR + 2.11%, 2.57%, 6/3/2031 (c) | 150,000 | 159,866 | |||
SOFR + 2.75%, 3.11%, 4/8/2026 (c) | 250,000 | 273,632 | |||
SOFR + 3.91%, 4.41%, 3/31/2031 (c) | 250,000 | 303,150 | |||
SOFR + 4.55%, 5.32%, 3/26/2041 (c) | 250,000 | 349,822 | |||
Citizens Bank NA/Providence RI Series BKNT, 2.25%, 4/28/2025 | 250,000 | 265,292 | |||
Citizens Financial Group, Inc.: | |||||
2.50%, 2/6/2030 | 75,000 | 80,289 | |||
2.85%, 7/27/2026 | 25,000 | 27,716 | |||
Comerica, Inc.: | |||||
3.70%, 7/31/2023 | 50,000 | 54,006 | |||
4.00%, 2/1/2029 (b) | 50,000 | 59,689 | |||
Cooperatieve Rabobank UA: | |||||
2.75%, 1/10/2023 | 250,000 | 262,182 | |||
3.88%, 2/8/2022 | 50,000 | 51,973 | |||
4.38%, 8/4/2025 | 250,000 | 285,517 | |||
5.75%, 12/1/2043 | 50,000 | 74,543 | |||
Series BKNT, 3.75%, 7/21/2026 | 500,000 | 565,080 | |||
Credit Suisse AG: | |||||
1.00%, 5/5/2023 | 250,000 | 253,727 | |||
2.80%, 4/8/2022 | 250,000 | 257,995 | |||
Series MTN, 3.63%, 9/9/2024 | 500,000 | 554,895 | |||
Credit Suisse Group Funding Guernsey, Ltd. 3.80%, 6/9/2023 | 150,000 | 161,562 | |||
Deutsche Bank AG: | |||||
3.30%, 11/16/2022 | 250,000 | 261,137 | |||
3.70%, 5/30/2024 | 50,000 | 53,848 | |||
3.95%, 2/27/2023 | 250,000 | 265,472 | |||
SOFR + 2.16%, 2.22%, 9/18/2024 (c) | 250,000 | 256,925 | |||
Discover Bank: | |||||
Series BKNT, 3.35%, 2/6/2023 | 250,000 | 263,855 | |||
Series BKNT, 3.45%, 7/27/2026 | 25,000 | 27,999 |
Security Description | Principal Amount | Value | |||
Fifth Third Bancorp: | |||||
2.55%, 5/5/2027 (b) | $ 500,000 | $ 543,830 | |||
3.95%, 3/14/2028 | 100,000 | 118,156 | |||
Fifth Third Bank NA Series BKNT, 3.85%, 3/15/2026 | 225,000 | 255,244 | |||
FNB Corp. 2.20%, 2/24/2023 | 10,000 | 10,204 | |||
Goldman Sachs Group, Inc.: | |||||
3.00%, 4/26/2022 | 250,000 | 252,022 | |||
3.50%, 1/23/2025 | 50,000 | 55,173 | |||
3.50%, 4/1/2025 | 250,000 | 277,840 | |||
3.50%, 11/16/2026 | 250,000 | 280,667 | |||
3.63%, 1/22/2023 | 25,000 | 26,673 | |||
3.75%, 2/25/2026 | 50,000 | 56,826 | |||
3.80%, 3/15/2030 (b) | 250,000 | 294,045 | |||
4.00%, 3/3/2024 | 50,000 | 55,227 | |||
4.75%, 10/21/2045 | 50,000 | 69,562 | |||
5.15%, 5/22/2045 | 250,000 | 350,025 | |||
5.95%, 1/15/2027 | 50,000 | 62,937 | |||
6.25%, 2/1/2041 | 200,000 | 314,504 | |||
6.75%, 10/1/2037 | 150,000 | 228,861 | |||
3 Month USD LIBOR + 0.99%, 2.91%, 7/24/2023 (c) | 250,000 | 259,542 | |||
3 Month USD LIBOR + 1.30%, 4.22%, 5/1/2029 (c) | 500,000 | 592,140 | |||
3 Month USD LIBOR + 1.37%, 4.02%, 10/31/2038 (c) | 200,000 | 243,862 | |||
3 Month USD LIBOR + 1.43%, 4.41%, 4/23/2039 (c) | 350,000 | 445,725 | |||
3 Month USD LIBOR + 1.51%, 3.69%, 6/5/2028 (c) | 250,000 | 287,987 | |||
3 Month USD LIBOR + 1.20%, 3.27%, 9/29/2025 (c) | 325,000 | 355,894 | |||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 69,102 | |||
Series VAR, SOFR + 0.54%, 0.63%, 11/17/2023 (c) | 405,000 | 406,891 | |||
Series VAR, SOFR + 0.79%, 1.09%, 12/9/2026 (b) (c) | 450,000 | 455,112 | |||
HSBC Holdings PLC: | |||||
3.60%, 5/25/2023 | 250,000 | 268,902 | |||
4.30%, 3/8/2026 | 250,000 | 288,655 | |||
4.95%, 3/31/2030 | 250,000 | 312,750 | |||
5.25%, 3/14/2044 | 250,000 | 347,215 | |||
6.50%, 9/15/2037 | 200,000 | 292,546 | |||
3 Month USD LIBOR + 0.92%, 3.03%, 11/22/2023 (c) | 250,000 | 262,460 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.99%, 3.95%, 5/18/2024 (c) | $ 250,000 | $ 269,890 | |||
3 Month USD LIBOR + 1.35%, 4.29%, 9/12/2026 (c) | 200,000 | 228,042 | |||
3 Month USD LIBOR + 1.53%, 4.58%, 6/19/2029 (c) | 250,000 | 295,752 | |||
3 Month USD LIBOR + 1.55%, 4.04%, 3/13/2028 (c) | 250,000 | 285,262 | |||
SOFR + 1.54%, 1.65%, 4/18/2026 (c) | 350,000 | 357,987 | |||
SOFR + 1.73%, 2.01%, 9/22/2028 (c) | 200,000 | 204,780 | |||
SOFR + 1.93%, 2.10%, 6/4/2026 (c) | 500,000 | 520,875 | |||
SOFR + 2.39%, 2.85%, 6/4/2031 (c) | 200,000 | 214,680 | |||
Huntington Bancshares, Inc.: | |||||
2.30%, 1/14/2022 | 12,000 | 12,224 | |||
4.00%, 5/15/2025 | 100,000 | 113,250 | |||
Huntington National Bank Series BKNT, 3.55%, 10/6/2023 | 250,000 | 270,910 | |||
ING Groep NV: | |||||
3.55%, 4/9/2024 | 200,000 | 218,470 | |||
4.55%, 10/2/2028 | 200,000 | 243,332 | |||
Intesa Sanpaolo SpA 5.25%, 1/12/2024 | 50,000 | 55,873 | |||
JPMorgan Chase & Co.: | |||||
2.70%, 5/18/2023 | 125,000 | 131,500 | |||
2.95%, 10/1/2026 | 350,000 | 388,594 | |||
2.97%, 1/15/2023 | 50,000 | 51,369 | |||
3.38%, 5/1/2023 | 75,000 | 80,150 | |||
3.88%, 2/1/2024 | 50,000 | 55,184 | |||
4.13%, 12/15/2026 | 50,000 | 58,392 | |||
4.25%, 10/1/2027 | 80,000 | 94,850 | |||
4.85%, 2/1/2044 | 50,000 | 71,752 | |||
4.95%, 6/1/2045 | 50,000 | 70,788 | |||
5.40%, 1/6/2042 | 50,000 | 74,465 | |||
5.50%, 10/15/2040 | 150,000 | 221,000 | |||
5.63%, 8/16/2043 | 250,000 | 375,480 | |||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (c) | 155,000 | 160,676 | |||
3 Month USD LIBOR + 0.73%, 3.56%, 4/23/2024 (c) | 75,000 | 80,316 | |||
3 Month USD LIBOR + 0.89%, 3.80%, 7/23/2024 (c) | 200,000 | 216,750 | |||
3 Month USD LIBOR + 0.94%, 2.78%, 4/25/2023 (c) | 338,000 | 348,775 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.95%, 3.51%, 1/23/2029 (c) | $ 185,000 | $ 210,839 | |||
3 Month USD LIBOR + 1.16%, 3.22%, 3/1/2025 (c) | 100,000 | 107,875 | |||
3 Month USD LIBOR + 1.16%, 3.70%, 5/6/2030 (c) | 125,000 | 144,973 | |||
3 Month USD LIBOR + 1.26%, 4.20%, 7/23/2029 (c) | 200,000 | 238,390 | |||
3 Month USD LIBOR + 1.34%, 3.78%, 2/1/2028 (c) | 250,000 | 287,005 | |||
3 Month USD LIBOR + 1.36%, 3.88%, 7/24/2038 (c) | 200,000 | 243,038 | |||
3 Month USD LIBOR + 1.38%, 3.54%, 5/1/2028 (c) | 200,000 | 228,122 | |||
3 Month USD LIBOR + 1.38%, 3.96%, 11/15/2048 (c) | 100,000 | 125,785 | |||
3 Month USD LIBOR + 1.46%, 4.03%, 7/24/2048 (c) | 50,000 | 63,483 | |||
3 Month USD LIBOR + 1.58%, 4.26%, 2/22/2048 (c) | 100,000 | 131,190 | |||
SOFR + 0.06%, 0.65%, 9/16/2024 (c) | 350,000 | 351,949 | |||
SOFR + 0.80%, 1.05%, 11/19/2026 (c) | 100,000 | 101,144 | |||
SOFR + 1.11%, 1.76%, 11/19/2031 (c) | 100,000 | 100,818 | |||
SOFR + 1.46%, 1.51%, 6/1/2024 (c) | 200,000 | 205,446 | |||
SOFR + 1.51%, 2.53%, 11/19/2041 (c) | 100,000 | 102,629 | |||
SOFR + 1.59%, 2.01%, 3/13/2026 (c) | 720,000 | 757,130 | |||
SOFR + 1.85%, 2.08%, 4/22/2026 (c) | 250,000 | 263,862 | |||
SOFR + 1.89%, 2.18%, 6/1/2028 (c) | 200,000 | 212,276 | |||
SOFR + 2.04%, 2.52%, 4/22/2031 (c) | 500,000 | 536,620 | |||
SOFR + 2.44%, 3.11%, 4/22/2051 (c) | 250,000 | 278,277 | |||
SOFR + 2.46%, 3.11%, 4/22/2041 (c) | 165,000 | 185,658 | |||
SOFR + 2.52%, 2.96%, 5/13/2031 (c) | 565,000 | 618,505 | |||
SOFR + 3.79%, 4.49%, 3/24/2031 (c) | 250,000 | 308,242 |
Security Description | Principal Amount | Value | |||
KeyBank NA: | |||||
Series BKNT, 2.30%, 9/14/2022 | $ 250,000 | $ 258,395 | |||
Series BKNT, 3.40%, 5/20/2026 | 25,000 | 28,018 | |||
KeyCorp.: | |||||
Series MTN, 2.25%, 4/6/2027 | 100,000 | 107,064 | |||
Series MTN, 4.15%, 10/29/2025 | 65,000 | 75,438 | |||
Landwirtschaftliche Rentenbank: | |||||
2.00%, 1/13/2025 | 25,000 | 26,588 | |||
Series GMTN, 1.75%, 7/27/2026 | 50,000 | 53,303 | |||
Lloyds Banking Group PLC: | |||||
3.75%, 1/11/2027 | 100,000 | 113,517 | |||
3.90%, 3/12/2024 | 250,000 | 274,612 | |||
4.34%, 1/9/2048 | 200,000 | 247,224 | |||
4.55%, 8/16/2028 (b) | 250,000 | 301,677 | |||
4.65%, 3/24/2026 | 100,000 | 115,320 | |||
1 year CMT + 3.50%, 3.87%, 7/9/2025 (c) | 250,000 | 275,645 | |||
3 Month USD LIBOR + 0.81%, 2.91%, 11/7/2023 (c) | 200,000 | 208,584 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
2.19%, 2/25/2025 | 250,000 | 263,585 | |||
2.67%, 7/25/2022 | 300,000 | 310,782 | |||
2.76%, 9/13/2026 | 25,000 | 27,443 | |||
3.00%, 2/22/2022 | 50,000 | 51,488 | |||
3.29%, 7/25/2027 | 50,000 | 56,771 | |||
3.41%, 3/7/2024 | 250,000 | 271,795 | |||
3.46%, 3/2/2023 | 50,000 | 53,279 | |||
3.68%, 2/22/2027 | 50,000 | 56,752 | |||
3.74%, 3/7/2029 (b) | 250,000 | 293,470 | |||
3.76%, 7/26/2023 | 100,000 | 108,443 | |||
3.78%, 3/2/2025 | 50,000 | 56,000 | |||
3.85%, 3/1/2026 | 25,000 | 28,851 | |||
3.96%, 3/2/2028 | 50,000 | 58,845 | |||
4.05%, 9/11/2028 | 100,000 | 119,404 | |||
4.29%, 7/26/2038 | 35,000 | 44,644 | |||
1 year CMT + 0.68%, 0.85%, 9/15/2024 (c) | 250,000 | 251,675 | |||
Mizuho Financial Group, Inc.: | |||||
2.95%, 2/28/2022 | 200,000 | 205,954 | |||
4.02%, 3/5/2028 | 200,000 | 234,444 | |||
3 Month USD LIBOR + 0.98%, 2.84%, 7/16/2025 (c) | 200,000 | 212,992 | |||
3 Month USD LIBOR + 1.31%, 2.87%, 9/13/2030 (c) | 200,000 | 217,404 | |||
Morgan Stanley: | |||||
3.63%, 1/20/2027 | 100,000 | 114,675 |
Security Description | Principal Amount | Value | |||
3.95%, 4/23/2027 | $ 25,000 | $ 28,908 | |||
4.30%, 1/27/2045 | 50,000 | 66,606 | |||
4.38%, 1/22/2047 | 100,000 | 135,892 | |||
6.38%, 7/24/2042 | 65,000 | 106,211 | |||
3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (c) | 250,000 | 268,967 | |||
3 Month USD LIBOR + 1.34%, 3.59%, 7/22/2028 (c) | 100,000 | 114,130 | |||
3 Month USD LIBOR + 1.43%, 4.46%, 4/22/2039 (c) | 250,000 | 326,320 | |||
3 Month USD LIBOR + 1.46%, 3.97%, 7/22/2038 (c) | 100,000 | 123,715 | |||
SOFR + 0.72%, 0.99%, 12/10/2026 (c) | 450,000 | 453,577 | |||
SOFR + 1.99%, 2.19%, 4/28/2026 (c) | 255,000 | 269,543 | |||
Series GMTN, 3.13%, 1/23/2023 | 300,000 | 316,668 | |||
Series GMTN, 3.70%, 10/23/2024 | 250,000 | 278,267 | |||
Series GMTN, 3.75%, 2/25/2023 | 50,000 | 53,598 | |||
Series GMTN, 3.88%, 1/27/2026 | 125,000 | 143,356 | |||
Series GMTN, 4.00%, 7/23/2025 | 500,000 | 572,005 | |||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 58,841 | |||
Series GMTN, 3 Month USD LIBOR + 1.63%, 4.43%, 1/23/2030 (c) | 250,000 | 304,317 | |||
Series GMTN, SOFR + 1.14%, 2.70%, 1/22/2031 (c) | 250,000 | 271,710 | |||
Series GMTN, SOFR + 4.84%, 5.60%, 3/24/2051 (c) | 200,000 | 321,958 | |||
Series I, SOFR + 0.75%, 0.86%, 10/21/2025 (c) | 15,000 | 15,113 | |||
Series MTN, 3.13%, 7/27/2026 | 225,000 | 251,534 | |||
Series MTN, SOFR + 0.47%, 0.56%, 11/10/2023 (c) | 75,000 | 75,128 | |||
Series MTN, SOFR + 1.03%, 1.79%, 2/13/2032 (c) | 65,000 | 65,521 | |||
Series MTN, SOFR + 1.15%, 2.72%, 7/22/2025 (c) | 500,000 | 534,900 | |||
National Australia Bank, Ltd.: | |||||
2.88%, 4/12/2023 | 250,000 | 264,512 | |||
Series BKNT, 2.50%, 7/12/2026 | 50,000 | 54,486 |
Security Description | Principal Amount | Value | |||
National Bank of Canada Series MTN, 1 year CMT + 0.40%, 0.55%, 11/15/2024 (c) | $ 250,000 | $ 250,822 | |||
Natwest Group PLC: | |||||
3.88%, 9/12/2023 | 75,000 | 81,349 | |||
5.13%, 5/28/2024 | 100,000 | 112,237 | |||
6.00%, 12/19/2023 | 95,000 | 108,397 | |||
1 year CMT + 2.55%, 3.07%, 5/22/2028 (c) | 500,000 | 543,350 | |||
3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (c) | 250,000 | 259,997 | |||
3 Month USD LIBOR + 1.55%, 4.52%, 6/25/2024 (c) | 250,000 | 272,955 | |||
3 Month USD LIBOR + 1.87%, 4.45%, 5/8/2030 (c) | 200,000 | 238,220 | |||
Northern Trust Corp.: | |||||
1.95%, 5/1/2030 | 75,000 | 78,281 | |||
3.65%, 8/3/2028 | 100,000 | 117,466 | |||
3 Month USD LIBOR + 1.13%, 3.38%, 5/8/2032 (c) | 63,000 | 68,897 | |||
PNC Bank NA: | |||||
Series BKNT, 2.63%, 2/17/2022 | 250,000 | 256,150 | |||
Series BKNT, 3.25%, 1/22/2028 | 250,000 | 284,415 | |||
PNC Financial Services Group, Inc.: | |||||
2.20%, 11/1/2024 | 150,000 | 159,548 | |||
3.15%, 5/19/2027 | 100,000 | 112,780 | |||
3.30%, 3/8/2022 | 50,000 | 51,639 | |||
3.45%, 4/23/2029 | 100,000 | 115,466 | |||
3.50%, 1/23/2024 | 50,000 | 54,506 | |||
3.90%, 4/29/2024 | 50,000 | 55,307 | |||
Regions Financial Corp. 2.25%, 5/18/2025 | 100,000 | 106,045 | |||
Royal Bank of Canada: | |||||
Series GMTN, 3.70%, 10/5/2023 | 500,000 | 545,785 | |||
Series GMTN, 4.65%, 1/27/2026 | 100,000 | 118,097 | |||
Series MTN, 0.50%, 10/26/2023 | 35,000 | 35,188 | |||
Santander Holdings USA, Inc.: | |||||
3.40%, 1/18/2023 | 50,000 | 52,510 | |||
3.70%, 3/28/2022 | 60,000 | 61,958 | |||
4.40%, 7/13/2027 | 50,000 | 56,949 | |||
4.50%, 7/17/2025 | 50,000 | 56,723 | |||
3.50%, 6/7/2024 | 70,000 | 75,804 | |||
Santander UK Group Holdings PLC: | |||||
3.57%, 1/10/2023 | 250,000 | 257,705 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.40%, 3.82%, 11/3/2028 (c) | $ 200,000 | $ 225,210 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
1.47%, 7/8/2025 | 200,000 | 205,066 | |||
2.14%, 9/23/2030 | 200,000 | 201,124 | |||
2.35%, 1/15/2025 | 500,000 | 530,550 | |||
2.45%, 9/27/2024 | 200,000 | 213,060 | |||
2.78%, 7/12/2022 | 350,000 | 363,006 | |||
2.78%, 10/18/2022 | 100,000 | 104,195 | |||
2.85%, 1/11/2022 | 250,000 | 256,270 | |||
3.01%, 10/19/2026 | 50,000 | 55,428 | |||
3.04%, 7/16/2029 | 200,000 | 222,064 | |||
3.10%, 1/17/2023 | 200,000 | 210,978 | |||
3.36%, 7/12/2027 | 50,000 | 56,560 | |||
3.75%, 7/19/2023 | 50,000 | 54,137 | |||
3.78%, 3/9/2026 | 30,000 | 34,183 | |||
3.94%, 7/19/2028 | 50,000 | 58,501 | |||
4.31%, 10/16/2028 | 100,000 | 119,625 | |||
SunTrust Bank Series BKNT, 4.05%, 11/3/2025 | 40,000 | 46,013 | |||
Synchrony Bank Series BKNT, 3.00%, 6/15/2022 | 250,000 | 258,272 | |||
Synovus Financial Corp. 3.13%, 11/1/2022 | 15,000 | 15,554 | |||
Toronto-Dominion Bank: | |||||
Series GMTN, 3.50%, 7/19/2023 | 50,000 | 54,069 | |||
Series MTN, 0.45%, 9/11/2023 | 200,000 | 200,584 | |||
Series MTN, 0.75%, 6/12/2023 | 165,000 | 166,660 | |||
Series MTN, 0.75%, 9/11/2025 (b) | 250,000 | 250,882 | |||
Series MTN, 1.15%, 6/12/2025 | 200,000 | 204,106 | |||
Truist Bank: | |||||
Series BKNT, 1.25%, 3/9/2023 | 500,000 | 509,923 | |||
Series BKNT, 1.50%, 3/10/2025 | 250,000 | 258,705 | |||
Series BKNT, 2.45%, 8/1/2022 | 50,000 | 51,611 | |||
Series BKNT, 2.80%, 5/17/2022 | 100,000 | 103,274 | |||
Series BKNT, 3.00%, 2/2/2023 | 100,000 | 105,201 | |||
Series BKNT, 3.63%, 9/16/2025 | 25,000 | 28,143 | |||
Truist Financial Corp.: | |||||
2.70%, 1/27/2022 | 50,000 | 51,186 | |||
4.00%, 5/1/2025 | 100,000 | 113,633 | |||
Series MTN, 1.13%, 8/3/2027 | 100,000 | 100,582 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.20%, 3/16/2023 | $ 100,000 | $ 103,909 | |||
Series MTN, 2.50%, 8/1/2024 | 100,000 | 106,620 | |||
Series MTN, 3.05%, 6/20/2022 | 150,000 | 155,694 | |||
Series MTN, 3.75%, 12/6/2023 | 50,000 | 54,937 | |||
Series MTN, 3.88%, 3/19/2029 (b) | 100,000 | 117,340 | |||
US Bancorp: | |||||
1.45%, 5/12/2025 | 150,000 | 155,628 | |||
2.40%, 7/30/2024 | 100,000 | 106,711 | |||
Series DMTN, 3.00%, 7/30/2029 | 100,000 | 111,858 | |||
Series MTN, 1.38%, 7/22/2030 | 150,000 | 150,284 | |||
Series MTN, 3.10%, 4/27/2026 (b) | 50,000 | 55,772 | |||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 27,647 | |||
Series V, 2.63%, 1/24/2022 (b) | 300,000 | 306,921 | |||
US Bank NA: | |||||
Series BKNT, 2.05%, 1/21/2025 | 500,000 | 529,111 | |||
Series BKNT, 3.40%, 7/24/2023 | 250,000 | 268,777 | |||
Wells Fargo & Co.: | |||||
3.00%, 4/22/2026 | 250,000 | 275,465 | |||
3.00%, 10/23/2026 | 250,000 | 277,017 | |||
3.07%, 1/24/2023 | 250,000 | 257,017 | |||
4.13%, 8/15/2023 | 25,000 | 27,287 | |||
4.48%, 1/16/2024 | 25,000 | 27,785 | |||
5.38%, 11/2/2043 | 150,000 | 207,573 | |||
5.61%, 1/15/2044 | 325,000 | 458,302 | |||
5.95%, 12/1/2086 | 25,000 | 33,205 | |||
SOFR + 2.00%, 2.19%, 4/30/2026 (c) | 310,000 | 326,284 | |||
SOFR + 2.53%, 3.07%, 4/30/2041 (c) | 415,000 | 449,964 | |||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 58,636 | |||
Series GMTN, 4.90%, 11/17/2045 | 150,000 | 199,656 | |||
Series MTN, 2.63%, 7/22/2022 | 365,000 | 377,855 | |||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 164,244 | |||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 56,190 | |||
Series MTN, 4.15%, 1/24/2029 | 250,000 | 296,562 | |||
Series MTN, 3 Month USD LIBOR + 0.75%, 2.16%, 2/11/2026 (c) | 625,000 | 657,112 |
Security Description | Principal Amount | Value | |||
Series MTN, 3 Month USD LIBOR + 0.83%, 2.41%, 10/30/2025 (c) | $ 250,000 | $ 264,102 | |||
Series MTN, 3 Month USD LIBOR + 1.00%, 2.57%, 2/11/2031 (c) | 250,000 | 265,575 | |||
Series MTN, 3 Month USD LIBOR + 1.17%, 3.20%, 6/17/2027 (c) | 110,000 | 122,054 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (c) | 350,000 | 396,791 | |||
Series MTN, 3 Month USD LIBOR + 3.77%, 4.48%, 4/4/2031 (c) | 150,000 | 183,290 | |||
Series MTN, 3 Month USD LIBOR + 4.24%, 5.01%, 4/4/2051 (c) | 500,000 | 709,770 | |||
Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (c) | 165,000 | 169,599 | |||
Series MTN, SOFR + 2.10%, 2.39%, 6/2/2028 (c) | 200,000 | 212,840 | |||
Westpac Banking Corp.: | |||||
2.35%, 2/19/2025 | 100,000 | 107,328 | |||
2.80%, 1/11/2022 | 100,000 | 102,595 | |||
2.85%, 5/13/2026 | 50,000 | 55,543 | |||
2.96%, 11/16/2040 | 30,000 | 31,815 | |||
3.30%, 2/26/2024 | 300,000 | 327,003 | |||
3.35%, 3/8/2027 | 150,000 | 170,477 | |||
3.40%, 1/25/2028 | 100,000 | 115,336 | |||
3.65%, 5/15/2023 | 100,000 | 107,847 | |||
4.42%, 7/24/2039 | 25,000 | 31,777 | |||
5 year CMT + 2.00%, 4.11%, 7/24/2034 (c) | 30,000 | 34,085 | |||
5 year CMT + 1.75%, 2.67%, 11/15/2035 (c) | 40,000 | 41,208 | |||
Zions Bancorp NA 3.25%, 10/29/2029 | 250,000 | 262,722 | |||
77,851,706 | |||||
BEVERAGES — 0.7% | |||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.65%, 2/1/2026 | 250,000 | 282,762 | |||
4.70%, 2/1/2036 | 125,000 | 158,461 | |||
4.90%, 2/1/2046 | 250,000 | 324,842 | |||
Anheuser-Busch InBev Worldwide, Inc.: | |||||
3.50%, 6/1/2030 (b) | 500,000 | 579,415 | |||
3.75%, 7/15/2042 | 50,000 | 56,819 | |||
4.00%, 4/13/2028 | 80,000 | 94,228 | |||
4.15%, 1/23/2025 | 500,000 | 569,155 | |||
4.38%, 4/15/2038 | 215,000 | 265,469 | |||
4.50%, 6/1/2050 | 250,000 | 315,515 |
Security Description | Principal Amount | Value | |||
4.60%, 4/15/2048 | $ 35,000 | $ 44,143 | |||
4.75%, 4/15/2058 | 125,000 | 164,342 | |||
4.90%, 1/23/2031 (b) | 65,000 | 82,752 | |||
4.95%, 1/15/2042 | 250,000 | 327,960 | |||
5.45%, 1/23/2039 | 350,000 | 473,963 | |||
5.55%, 1/23/2049 | 350,000 | 496,408 | |||
5.80%, 1/23/2059 | 45,000 | 68,934 | |||
Brown-Forman Corp.: | |||||
3.50%, 4/15/2025 | 50,000 | 55,460 | |||
4.00%, 4/15/2038 | 50,000 | 61,872 | |||
Coca-Cola Co: | |||||
1.45%, 6/1/2027 | 40,000 | 41,297 | |||
2.95%, 3/25/2025 | 250,000 | 275,672 | |||
Coca-Cola Co.: | |||||
1.00%, 3/15/2028 | 250,000 | 250,550 | |||
1.38%, 3/15/2031 | 200,000 | 199,652 | |||
2.13%, 9/6/2029 | 150,000 | 160,183 | |||
2.25%, 9/1/2026 | 25,000 | 27,161 | |||
2.50%, 3/15/2051 | 250,000 | 258,090 | |||
2.60%, 6/1/2050 | 350,000 | 367,787 | |||
2.88%, 10/27/2025 | 25,000 | 27,787 | |||
3.20%, 11/1/2023 | 25,000 | 27,108 | |||
Coca-Cola Femsa SAB de CV 1.85%, 9/1/2032 | 250,000 | 251,180 | |||
Constellation Brands, Inc.: | |||||
2.70%, 5/9/2022 | 50,000 | 51,427 | |||
2.88%, 5/1/2030 (b) | 25,000 | 27,399 | |||
3.15%, 8/1/2029 | 100,000 | 111,332 | |||
3.75%, 5/1/2050 | 20,000 | 23,551 | |||
4.25%, 5/1/2023 | 25,000 | 27,251 | |||
4.50%, 5/9/2047 | 50,000 | 63,395 | |||
4.65%, 11/15/2028 | 30,000 | 36,461 | |||
Diageo Capital PLC: | |||||
2.13%, 4/29/2032 | 500,000 | 528,182 | |||
2.63%, 4/29/2023 | 75,000 | 78,525 | |||
3.88%, 5/18/2028 | 200,000 | 234,864 | |||
Diageo Investment Corp. 4.25%, 5/11/2042 | 25,000 | 32,061 | |||
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 166,851 | |||
Keurig Dr Pepper, Inc.: | |||||
3.13%, 12/15/2023 | 50,000 | 53,713 | |||
3.20%, 5/1/2030 | 45,000 | 51,062 | |||
3.80%, 5/1/2050 | 70,000 | 83,779 | |||
4.06%, 5/25/2023 | 50,000 | 54,335 | |||
4.42%, 5/25/2025 | 200,000 | 230,604 | |||
5.09%, 5/25/2048 (b) | 25,000 | 35,150 | |||
Molson Coors Brewing Co.: | |||||
3.00%, 7/15/2026 | 50,000 | 54,809 | |||
4.20%, 7/15/2046 (b) | 30,000 | 34,322 | |||
PepsiCo, Inc.: | |||||
0.40%, 10/7/2023 | 25,000 | 25,132 | |||
0.75%, 5/1/2023 | 365,000 | 369,708 | |||
1.40%, 2/25/2031 (b) | 40,000 | 40,246 |
Security Description | Principal Amount | Value | |||
1.63%, 5/1/2030 | $ 75,000 | $ 76,953 | |||
2.25%, 5/2/2022 | 300,000 | 307,404 | |||
2.25%, 3/19/2025 | 250,000 | 267,532 | |||
2.63%, 7/29/2029 | 50,000 | 55,249 | |||
2.85%, 2/24/2026 | 85,000 | 94,044 | |||
2.88%, 10/15/2049 | 100,000 | 111,715 | |||
3.38%, 7/29/2049 | 35,000 | 42,295 | |||
3.45%, 10/6/2046 | 150,000 | 180,483 | |||
3.60%, 3/1/2024 | 25,000 | 27,330 | |||
3.63%, 3/19/2050 | 150,000 | 189,975 | |||
4.45%, 4/14/2046 | 75,000 | 104,239 | |||
4.60%, 7/17/2045 | 25,000 | 34,996 | |||
10,215,341 | |||||
BIOTECHNOLOGY — 0.4% | |||||
Amgen, Inc.: | |||||
2.20%, 2/21/2027 (b) | 70,000 | 74,819 | |||
2.30%, 2/25/2031 | 100,000 | 106,276 | |||
2.65%, 5/11/2022 | 150,000 | 154,447 | |||
2.77%, 9/1/2053 (d) | 65,000 | 65,109 | |||
3.15%, 2/21/2040 | 350,000 | 381,773 | |||
3.20%, 11/2/2027 | 250,000 | 281,460 | |||
3.38%, 2/21/2050 | 600,000 | 669,666 | |||
3.63%, 5/22/2024 | 100,000 | 109,776 | |||
4.40%, 5/1/2045 | 50,000 | 63,259 | |||
4.56%, 6/15/2048 | 200,000 | 263,242 | |||
4.66%, 6/15/2051 | 150,000 | 203,659 | |||
Baxalta, Inc. 4.00%, 6/23/2025 | 8,000 | 9,042 | |||
Biogen, Inc.: | |||||
2.25%, 5/1/2030 | 35,000 | 36,416 | |||
4.05%, 9/15/2025 | 50,000 | 57,295 | |||
5.20%, 9/15/2045 | 275,000 | 369,132 | |||
Gilead Sciences, Inc.: | |||||
0.75%, 9/29/2023 | 45,000 | 45,118 | |||
1.20%, 10/1/2027 | 295,000 | 297,145 | |||
1.65%, 10/1/2030 | 290,000 | 290,586 | |||
1.95%, 3/1/2022 | 5,000 | 5,086 | |||
2.60%, 10/1/2040 | 350,000 | 353,531 | |||
2.80%, 10/1/2050 | 100,000 | 99,852 | |||
2.95%, 3/1/2027 | 25,000 | 27,610 | |||
3.25%, 9/1/2022 | 250,000 | 260,942 | |||
3.65%, 3/1/2026 | 85,000 | 96,380 | |||
4.15%, 3/1/2047 | 120,000 | 146,868 | |||
4.50%, 2/1/2045 | 25,000 | 31,982 | |||
4.60%, 9/1/2035 | 100,000 | 128,949 | |||
4.75%, 3/1/2046 | 175,000 | 232,160 | |||
4.80%, 4/1/2044 | 25,000 | 32,993 | |||
Regeneron Pharmaceuticals, Inc.: | |||||
1.75%, 9/15/2030 | 35,000 | 34,498 | |||
2.80%, 9/15/2050 | 30,000 | 29,053 | |||
Royalty Pharma PLC: | |||||
0.75%, 9/2/2023 (d) | 55,000 | 55,278 | |||
1.20%, 9/2/2025 (d) | 70,000 | 71,116 | |||
2.20%, 9/2/2030 (b) (d) | 40,000 | 41,064 |
Security Description | Principal Amount | Value | |||
3.30%, 9/2/2040 (d) | $ 65,000 | $ 68,439 | |||
3.55%, 9/2/2050 (d) | 315,000 | 335,686 | |||
5,529,707 | |||||
BUILDING MATERIALS — 0.2% | |||||
Carrier Global Corp.: | |||||
2.24%, 2/15/2025 | 35,000 | 37,031 | |||
2.70%, 2/15/2031 | 250,000 | 268,555 | |||
2.72%, 2/15/2030 | 300,000 | 320,712 | |||
3.38%, 4/5/2040 | 265,000 | 290,578 | |||
3.58%, 4/5/2050 | 50,000 | 55,924 | |||
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | 50,000 | 54,555 | |||
Johnson Controls International PLC: | |||||
4.50%, 2/15/2047 | 320,000 | 420,074 | |||
3.63%, 7/2/2024 (e) | 23,000 | 24,934 | |||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA 1.75%, 9/15/2030 | 15,000 | 15,293 | |||
Lennox International, Inc. 1.35%, 8/1/2025 | 25,000 | 25,553 | |||
Martin Marietta Materials, Inc. 4.25%, 12/15/2047 | 100,000 | 119,543 | |||
Masco Corp.: | |||||
4.38%, 4/1/2026 | 170,000 | 198,905 | |||
4.50%, 5/15/2047 | 100,000 | 125,898 | |||
Owens Corning: | |||||
3.95%, 8/15/2029 | 70,000 | 80,616 | |||
4.30%, 7/15/2047 | 100,000 | 119,519 | |||
Vulcan Materials Co. 4.70%, 3/1/2048 | 100,000 | 128,074 | |||
2,285,764 | |||||
CHEMICALS — 0.5% | |||||
Air Products & Chemicals, Inc.: | |||||
1.50%, 10/15/2025 | 20,000 | 20,851 | |||
2.05%, 5/15/2030 | 20,000 | 21,353 | |||
2.70%, 5/15/2040 | 50,000 | 53,768 | |||
2.80%, 5/15/2050 | 35,000 | 38,464 | |||
Cabot Corp. 4.00%, 7/1/2029 | 25,000 | 26,893 | |||
Celanese US Holdings LLC: | |||||
3.50%, 5/8/2024 | 30,000 | 32,461 | |||
4.63%, 11/15/2022 | 10,000 | 10,735 | |||
Dow Chemical Co.: | |||||
2.10%, 11/15/2030 (b) | 500,000 | 511,765 | |||
3.60%, 11/15/2050 | 250,000 | 280,312 | |||
3.63%, 5/15/2026 | 100,000 | 112,760 | |||
4.25%, 10/1/2034 | 50,000 | 60,366 | |||
4.38%, 11/15/2042 | 50,000 | 61,417 | |||
4.80%, 11/30/2028 | 100,000 | 123,054 | |||
4.80%, 5/15/2049 (b) | 65,000 | 89,467 |
Security Description | Principal Amount | Value | |||
DuPont de Nemours, Inc.: | |||||
2.17%, 5/1/2023 | $ 90,000 | $ 91,189 | |||
4.49%, 11/15/2025 | 100,000 | 116,836 | |||
4.73%, 11/15/2028 | 150,000 | 184,344 | |||
5.42%, 11/15/2048 | 110,000 | 159,159 | |||
Eastman Chemical Co.: | |||||
3.80%, 3/15/2025 | 25,000 | 27,810 | |||
4.50%, 12/1/2028 | 100,000 | 120,870 | |||
Ecolab, Inc.: | |||||
2.38%, 8/10/2022 | 150,000 | 154,656 | |||
2.70%, 11/1/2026 | 150,000 | 166,644 | |||
EI du Pont de Nemours & Co. 1.70%, 7/15/2025 | 40,000 | 41,647 | |||
FMC Corp. 4.50%, 10/1/2049 | 100,000 | 129,654 | |||
Huntsman International LLC 4.50%, 5/1/2029 | 20,000 | 23,148 | |||
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 45,000 | 53,273 | |||
Linde, Inc. 3.20%, 1/30/2026 | 275,000 | 307,978 | |||
LYB International Finance B.V. 4.88%, 3/15/2044 | 25,000 | 31,506 | |||
LYB International Finance II B.V. 3.50%, 3/2/2027 | 100,000 | 112,136 | |||
LYB International Finance III LLC: | |||||
1.25%, 10/1/2025 (b) | 20,000 | 20,351 | |||
2.25%, 10/1/2030 | 25,000 | 25,723 | |||
2.88%, 5/1/2025 | 50,000 | 54,199 | |||
3.38%, 5/1/2030 | 50,000 | 56,149 | |||
3.38%, 10/1/2040 | 280,000 | 298,701 | |||
3.63%, 4/1/2051 | 40,000 | 43,686 | |||
3.80%, 10/1/2060 | 30,000 | 32,134 | |||
4.20%, 10/15/2049 | 50,000 | 58,449 | |||
4.20%, 5/1/2050 | 50,000 | 58,552 | |||
LyondellBasell Industries NV: | |||||
4.63%, 2/26/2055 | 25,000 | 30,186 | |||
5.75%, 4/15/2024 | 100,000 | 115,119 | |||
Mosaic Co.: | |||||
3.25%, 11/15/2022 | 250,000 | 261,442 | |||
4.05%, 11/15/2027 | 250,000 | 283,277 | |||
5.63%, 11/15/2043 | 25,000 | 32,380 | |||
Nutrien, Ltd.: | |||||
2.95%, 5/13/2030 | 100,000 | 110,185 | |||
3.00%, 4/1/2025 | 50,000 | 54,202 | |||
4.00%, 12/15/2026 | 50,000 | 58,091 | |||
4.13%, 3/15/2035 | 25,000 | 29,785 | |||
4.20%, 4/1/2029 (b) | 85,000 | 101,596 | |||
5.00%, 4/1/2049 | 150,000 | 206,560 | |||
PPG Industries, Inc. 2.80%, 8/15/2029 | 100,000 | 109,661 |
Security Description | Principal Amount | Value | |||
Praxair, Inc.: | |||||
1.10%, 8/10/2030 | $ 500,000 | $ 494,773 | |||
3.55%, 11/7/2042 | 25,000 | 30,280 | |||
RPM International, Inc.: | |||||
3.75%, 3/15/2027 (b) | 50,000 | 55,414 | |||
4.25%, 1/15/2048 | 200,000 | 222,110 | |||
5.25%, 6/1/2045 | 25,000 | 30,854 | |||
Sherwin-Williams Co.: | |||||
2.30%, 5/15/2030 | 60,000 | 63,108 | |||
2.95%, 8/15/2029 | 50,000 | 55,261 | |||
3.30%, 5/15/2050 | 100,000 | 112,529 | |||
3.45%, 6/1/2027 | 30,000 | 34,000 | |||
3.80%, 8/15/2049 | 50,000 | 60,630 | |||
Westlake Chemical Corp.: | |||||
4.38%, 11/15/2047 | 150,000 | 177,769 | |||
5.00%, 8/15/2046 | 100,000 | 129,660 | |||
6,671,332 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
Automatic Data Processing, Inc. 1.25%, 9/1/2030 | 75,000 | 74,938 | |||
Block Financial LLC 3.88%, 8/15/2030 | 30,000 | 32,374 | |||
California Institute of Technology 3.65%, 9/1/2119 | 45,000 | 50,503 | |||
Cintas Corp. No. 2 3.70%, 4/1/2027 | 150,000 | 172,767 | |||
Equifax, Inc.: | |||||
2.60%, 12/1/2024 | 50,000 | 53,526 | |||
3.95%, 6/15/2023 | 40,000 | 43,220 | |||
George Washington University Series 2018, 4.13%, 9/15/2048 | 100,000 | 125,844 | |||
Georgetown University Series 20A, 2.94%, 4/1/2050 | 25,000 | 25,486 | |||
Global Payments, Inc. 2.65%, 2/15/2025 | 350,000 | 375,067 | |||
Massachusetts Institute of Technology: | |||||
3.96%, 7/1/2038 | 50,000 | 62,196 | |||
Series F, 2.99%, 7/1/2050 | 100,000 | 115,248 | |||
Moody's Corp. 2.63%, 1/15/2023 | 250,000 | 260,825 | |||
Northwestern University Series 2017, 3.66%, 12/1/2057 | 150,000 | 189,146 | |||
PayPal Holdings, Inc.: | |||||
1.35%, 6/1/2023 | 250,000 | 256,107 | |||
2.20%, 9/26/2022 | 20,000 | 20,662 | |||
2.30%, 6/1/2030 (b) | 55,000 | 58,936 | |||
2.40%, 10/1/2024 | 35,000 | 37,409 | |||
2.65%, 10/1/2026 | 270,000 | 296,703 |
Security Description | Principal Amount | Value | |||
2.85%, 10/1/2029 | $ 30,000 | $ 33,350 | |||
3.25%, 6/1/2050 | 65,000 | 74,697 | |||
President and Fellows of Harvard College 3.15%, 7/15/2046 | 225,000 | 264,816 | |||
RELX Capital, Inc.: | |||||
3.50%, 3/16/2023 | 30,000 | 31,917 | |||
4.00%, 3/18/2029 | 100,000 | 118,812 | |||
S&P Global, Inc.: | |||||
2.50%, 12/1/2029 | 55,000 | 59,921 | |||
3.25%, 12/1/2049 | 65,000 | 75,403 | |||
Total System Services, Inc. 4.45%, 6/1/2028 | 100,000 | 118,447 | |||
Trustees of Princeton University Series 2020, 2.52%, 7/1/2050 | 20,000 | 20,963 | |||
Trustees of the University of Pennsylvania 3.61%, 2/15/2119 | 25,000 | 28,438 | |||
University of Chicago Series 20B, 2.76%, 4/1/2045 | 10,000 | 10,329 | |||
University of Southern California: | |||||
2.81%, 10/1/2050 | 50,000 | 54,196 | |||
3.03%, 10/1/2039 | 25,000 | 27,430 | |||
Series A, 3.23%, 10/1/2120 | 35,000 | 35,283 | |||
Verisk Analytics, Inc. 4.13%, 3/15/2029 | 120,000 | 144,414 | |||
3,349,373 | |||||
COMPUTERS — 0.7% | |||||
Apple, Inc.: | |||||
0.55%, 8/20/2025 (b) | 200,000 | 200,886 | |||
0.75%, 5/11/2023 | 465,000 | 470,780 | |||
1.13%, 5/11/2025 | 350,000 | 359,898 | |||
1.25%, 8/20/2030 | 200,000 | 199,788 | |||
1.65%, 5/11/2030 | 90,000 | 92,645 | |||
2.40%, 1/13/2023 | 200,000 | 208,338 | |||
2.40%, 5/3/2023 | 25,000 | 26,221 | |||
2.40%, 8/20/2050 (b) | 110,000 | 112,231 | |||
2.50%, 2/9/2022 | 100,000 | 102,286 | |||
2.65%, 5/11/2050 | 300,000 | 318,855 | |||
2.70%, 5/13/2022 | 250,000 | 258,375 | |||
2.75%, 1/13/2025 | 200,000 | 217,094 | |||
2.85%, 5/11/2024 | 200,000 | 215,564 | |||
3.00%, 2/9/2024 | 100,000 | 107,604 | |||
3.00%, 11/13/2027 | 100,000 | 112,840 | |||
3.20%, 5/11/2027 | 250,000 | 283,122 | |||
3.25%, 2/23/2026 | 150,000 | 168,188 | |||
3.45%, 5/6/2024 | 250,000 | 275,340 | |||
3.45%, 2/9/2045 | 350,000 | 424,476 | |||
3.85%, 5/4/2043 | 25,000 | 31,772 | |||
3.85%, 8/4/2046 | 150,000 | 192,912 | |||
4.38%, 5/13/2045 | 75,000 | 103,100 |
Security Description | Principal Amount | Value | |||
4.50%, 2/23/2036 | $ 350,000 | $ 471,786 | |||
4.65%, 2/23/2046 | 75,000 | 107,049 | |||
Dell International LLC/EMC Corp.: | |||||
4.00%, 7/15/2024 (d) | 50,000 | 55,165 | |||
4.90%, 10/1/2026 (d) | 100,000 | 118,077 | |||
5.45%, 6/15/2023 (d) | 325,000 | 359,554 | |||
6.02%, 6/15/2026 (d) | 20,000 | 24,414 | |||
6.20%, 7/15/2030 (d) | 250,000 | 323,600 | |||
8.35%, 7/15/2046 (d) | 270,000 | 407,171 | |||
DXC Technology Co. 4.13%, 4/15/2025 (b) | 65,000 | 71,929 | |||
Genpact Luxembourg Sarl 3.38%, 12/1/2024 | 50,000 | 54,438 | |||
Hewlett Packard Enterprise Co.: | |||||
1.45%, 4/1/2024 | 150,000 | 153,935 | |||
1.75%, 4/1/2026 | 150,000 | 155,433 | |||
4.40%, 10/15/2022 | 200,000 | 212,436 | |||
4.45%, 10/2/2023 | 250,000 | 275,325 | |||
4.65%, 10/1/2024 | 250,000 | 284,162 | |||
4.90%, 10/15/2025 | 70,000 | 81,924 | |||
6.20%, 10/15/2035 | 10,000 | 12,929 | |||
6.35%, 10/15/2045 | 10,000 | 13,201 | |||
HP, Inc.: | |||||
4.05%, 9/15/2022 | 25,000 | 26,515 | |||
6.00%, 9/15/2041 | 250,000 | 326,172 | |||
IBM Credit LLC 2.20%, 9/8/2022 | 100,000 | 103,171 | |||
International Business Machines Corp.: | |||||
1.70%, 5/15/2027 | 100,000 | 103,870 | |||
1.95%, 5/15/2030 | 350,000 | 360,787 | |||
2.85%, 5/15/2040 | 100,000 | 107,286 | |||
2.88%, 11/9/2022 | 100,000 | 104,845 | |||
2.95%, 5/15/2050 | 100,000 | 106,543 | |||
3.00%, 5/15/2024 | 200,000 | 216,678 | |||
3.30%, 5/15/2026 | 250,000 | 282,530 | |||
3.50%, 5/15/2029 | 215,000 | 248,119 | |||
3.63%, 2/12/2024 | 50,000 | 54,796 | |||
4.15%, 5/15/2039 | 100,000 | 126,759 | |||
4.70%, 2/19/2046 | 325,000 | 450,226 | |||
5.88%, 11/29/2032 | 25,000 | 35,951 | |||
Leidos, Inc.: | |||||
2.30%, 2/15/2031 (d) | 55,000 | 56,319 | |||
3.63%, 5/15/2025 (d) | 25,000 | 27,949 | |||
10,403,359 | |||||
CONSTRUCTION MATERIALS — 0.0% (a) | |||||
Carrier Global Corp. 2.49%, 2/15/2027 | 35,000 | 37,754 |
Security Description | Principal Amount | Value | |||
COSMETICS/PERSONAL CARE — 0.1% | |||||
Colgate-Palmolive Co.: | |||||
Series GMTN, 2.25%, 11/15/2022 | $ 30,000 | $ 31,113 | |||
Series MTN, 3.70%, 8/1/2047 | 55,000 | 71,722 | |||
Estee Lauder Cos., Inc.: | |||||
2.00%, 12/1/2024 | 45,000 | 47,499 | |||
2.38%, 12/1/2029 | 40,000 | 43,284 | |||
3.13%, 12/1/2049 | 60,000 | 69,249 | |||
Procter & Gamble Co.: | |||||
0.55%, 10/29/2025 | 550,000 | 554,746 | |||
1.20%, 10/29/2030 | 50,000 | 49,991 | |||
2.45%, 11/3/2026 | 150,000 | 165,586 | |||
3.00%, 3/25/2030 | 100,000 | 115,022 | |||
Unilever Capital Corp.: | |||||
1.38%, 9/14/2030 (b) | 100,000 | 100,435 | |||
2.00%, 7/28/2026 | 100,000 | 106,703 | |||
2.90%, 5/5/2027 (b) | 150,000 | 167,004 | |||
3.10%, 7/30/2025 | 50,000 | 55,374 | |||
1,577,728 | |||||
DISTRIBUTION & WHOLESALE — 0.0% (a) | |||||
WW Grainger, Inc.: | |||||
1.85%, 2/15/2025 | 100,000 | 105,151 | |||
4.60%, 6/15/2045 | 50,000 | 66,635 | |||
171,786 | |||||
DIVERSIFIED FINANCIAL SERVICES — 1.0% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||||
3.65%, 7/21/2027 | 150,000 | 162,433 | |||
4.50%, 9/15/2023 | 150,000 | 162,477 | |||
Affiliated Managers Group, Inc. 3.30%, 6/15/2030 | 70,000 | 76,134 | |||
Air Lease Corp.: | |||||
2.75%, 1/15/2023 | 50,000 | 51,627 | |||
3.00%, 9/15/2023 | 25,000 | 26,268 | |||
3.13%, 12/1/2030 | 100,000 | 104,000 | |||
3.25%, 3/1/2025 | 100,000 | 106,719 | |||
3.63%, 4/1/2027 | 70,000 | 75,433 | |||
3.88%, 7/3/2023 | 50,000 | 53,278 | |||
4.25%, 9/15/2024 | 25,000 | 27,368 | |||
Series GMTN, 3.75%, 6/1/2026 | 150,000 | 165,483 | |||
Series MTN, 2.88%, 1/15/2026 | 160,000 | 169,282 | |||
Aircastle, Ltd.: | |||||
4.13%, 5/1/2024 | 25,000 | 26,571 | |||
4.25%, 6/15/2026 | 65,000 | 68,857 | |||
5.00%, 4/1/2023 | 25,000 | 26,814 | |||
5.50%, 2/15/2022 | 25,000 | 26,143 |
Security Description | Principal Amount | Value | |||
Ally Financial, Inc.: | |||||
1.45%, 10/2/2023 | $ 195,000 | $ 199,044 | |||
3.05%, 6/5/2023 | 65,000 | 68,549 | |||
5.80%, 5/1/2025 (b) | 215,000 | 256,607 | |||
American Express Co.: | |||||
2.50%, 8/1/2022 | 250,000 | 258,092 | |||
2.50%, 7/30/2024 | 165,000 | 176,268 | |||
3.00%, 10/30/2024 | 100,000 | 109,113 | |||
3.40%, 2/27/2023 | 200,000 | 212,714 | |||
3.70%, 8/3/2023 | 50,000 | 54,158 | |||
4.20%, 11/6/2025 (b) | 105,000 | 122,092 | |||
Ameriprise Financial, Inc.: | |||||
3.00%, 3/22/2022 | 35,000 | 36,128 | |||
3.70%, 10/15/2024 | 50,000 | 55,619 | |||
BlackRock, Inc.: | |||||
1.90%, 1/28/2031 | 25,000 | 26,184 | |||
2.40%, 4/30/2030 | 45,000 | 49,174 | |||
3.20%, 3/15/2027 | 56,000 | 63,288 | |||
3.25%, 4/30/2029 | 60,000 | 69,241 | |||
3.50%, 3/18/2024 | 25,000 | 27,501 | |||
Blackstone/GSO Secured Lending Fund 3.63%, 1/15/2026 (d) | 150,000 | 154,386 | |||
Brookfield Finance, Inc.: | |||||
3.50%, 3/30/2051 | 50,000 | 53,440 | |||
3.90%, 1/25/2028 | 50,000 | 57,694 | |||
4.35%, 4/15/2030 | 100,000 | 119,866 | |||
4.70%, 9/20/2047 | 50,000 | 63,712 | |||
4.85%, 3/29/2029 | 100,000 | 122,597 | |||
Capital One Financial Corp.: | |||||
3.20%, 1/30/2023 | 250,000 | 263,857 | |||
3.30%, 10/30/2024 | 100,000 | 109,910 | |||
3.75%, 7/28/2026 | 125,000 | 141,346 | |||
3.80%, 1/31/2028 | 250,000 | 288,740 | |||
3.90%, 1/29/2024 | 200,000 | 218,952 | |||
Cboe Global Markets, Inc. 1.63%, 12/15/2030 | 100,000 | 101,077 | |||
Charles Schwab Corp.: | |||||
0.90%, 3/11/2026 | 250,000 | 253,365 | |||
1.65%, 3/11/2031 | 250,000 | 252,295 | |||
2.65%, 1/25/2023 | 100,000 | 104,761 | |||
3.20%, 1/25/2028 | 50,000 | 56,999 | |||
3.45%, 2/13/2026 | 50,000 | 56,530 | |||
3.85%, 5/21/2025 | 250,000 | 284,422 | |||
4.00%, 2/1/2029 | 50,000 | 59,724 | |||
CI Financial Corp. 3.20%, 12/17/2030 | 250,000 | 255,842 | |||
CME Group, Inc. 3.75%, 6/15/2028 | 100,000 | 118,683 | |||
Credit Suisse USA, Inc. 7.13%, 7/15/2032 | 50,000 | 77,751 | |||
Discover Financial Services: | |||||
3.85%, 11/21/2022 | 50,000 | 53,201 | |||
4.10%, 2/9/2027 | 75,000 | 86,710 | |||
4.50%, 1/30/2026 | 50,000 | 57,857 |
Security Description | Principal Amount | Value | |||
Eaton Vance Corp. 3.50%, 4/6/2027 | $ 150,000 | $ 166,884 | |||
Franklin Resources, Inc. 1.60%, 10/30/2030 | 100,000 | 99,497 | |||
GE Capital Funding LLC: | |||||
3.45%, 5/15/2025 (d) | 200,000 | 220,940 | |||
4.05%, 5/15/2027 (d) | 200,000 | 228,580 | |||
4.40%, 5/15/2030 (d) | 200,000 | 235,622 | |||
4.55%, 5/15/2032 (d) | 200,000 | 239,550 | |||
GE Capital International Funding Co. 4.42%, 11/15/2035 | 550,000 | 656,414 | |||
GE Capital International Funding Co. Unlimited Co. 3.37%, 11/15/2025 | 250,000 | 277,870 | |||
Intercontinental Exchange, Inc.: | |||||
2.10%, 6/15/2030 | 30,000 | 31,413 | |||
2.65%, 9/15/2040 | 50,000 | 51,286 | |||
3.00%, 6/15/2050 | 25,000 | 26,497 | |||
3.00%, 9/15/2060 | 50,000 | 52,093 | |||
3.10%, 9/15/2027 | 100,000 | 111,838 | |||
3.75%, 12/1/2025 | 180,000 | 204,419 | |||
4.25%, 9/21/2048 | 150,000 | 190,165 | |||
Invesco Finance PLC 3.75%, 1/15/2026 | 50,000 | 56,512 | |||
Jefferies Group LLC: | |||||
2.75%, 10/15/2032 | 40,000 | 41,944 | |||
6.50%, 1/20/2043 | 50,000 | 68,513 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc.: | |||||
4.15%, 1/23/2030 | 50,000 | 58,424 | |||
4.85%, 1/15/2027 | 90,000 | 106,011 | |||
Lazard Group LLC 4.50%, 9/19/2028 | 100,000 | 118,700 | |||
Mastercard, Inc.: | |||||
2.00%, 3/3/2025 | 100,000 | 106,130 | |||
2.95%, 6/1/2029 | 100,000 | 112,629 | |||
3.30%, 3/26/2027 | 30,000 | 34,229 | |||
3.35%, 3/26/2030 | 50,000 | 58,271 | |||
3.50%, 2/26/2028 | 30,000 | 34,730 | |||
3.65%, 6/1/2049 | 100,000 | 124,028 | |||
3.85%, 3/26/2050 | 515,000 | 665,643 | |||
3.95%, 2/26/2048 | 30,000 | 38,862 | |||
Nasdaq, Inc.: | |||||
1.65%, 1/15/2031 | 200,000 | 198,142 | |||
2.50%, 12/21/2040 | 250,000 | 247,240 | |||
3.25%, 4/28/2050 | 40,000 | 43,812 | |||
Nomura Holdings, Inc. 1.85%, 7/16/2025 | 200,000 | 208,016 | |||
ORIX Corp.: | |||||
2.90%, 7/18/2022 | 30,000 | 31,059 | |||
3.70%, 7/18/2027 (b) | 50,000 | 57,030 | |||
Stifel Financial Corp. 4.00%, 5/15/2030 | 100,000 | 114,097 |
Security Description | Principal Amount | Value | |||
Synchrony Financial: | |||||
2.85%, 7/25/2022 | $ 30,000 | $ 31,002 | |||
4.50%, 7/23/2025 | 50,000 | 56,273 | |||
Visa, Inc.: | |||||
0.75%, 8/15/2027 (b) | 45,000 | 44,860 | |||
2.05%, 4/15/2030 | 150,000 | 160,395 | |||
2.75%, 9/15/2027 (b) | 250,000 | 278,422 | |||
2.80%, 12/14/2022 | 75,000 | 78,508 | |||
3.65%, 9/15/2047 | 100,000 | 126,409 | |||
4.15%, 12/14/2035 | 50,000 | 64,932 | |||
4.30%, 12/14/2045 | 200,000 | 273,770 | |||
VISA, Inc. 2.70%, 4/15/2040 | 350,000 | 382,375 | |||
Western Union Co. 4.25%, 6/9/2023 | 100,000 | 108,221 | |||
13,448,633 | |||||
ELECTRIC — 2.0% | |||||
AEP Texas, Inc.: | |||||
2.40%, 10/1/2022 | 150,000 | 154,837 | |||
3.80%, 10/1/2047 | 25,000 | 29,453 | |||
Series H, 3.45%, 1/15/2050 | 100,000 | 113,756 | |||
AEP Transmission Co. LLC: | |||||
3.75%, 12/1/2047 | 100,000 | 121,227 | |||
3.80%, 6/15/2049 | 50,000 | 61,251 | |||
4.25%, 9/15/2048 | 20,000 | 26,143 | |||
AES Corp.: | |||||
1.38%, 1/15/2026 (d) | 250,000 | 252,115 | |||
2.45%, 1/15/2031 (d) | 500,000 | 506,360 | |||
Alabama Power Co.: | |||||
3.85%, 12/1/2042 | 75,000 | 91,885 | |||
Series 20-A, 1.45%, 9/15/2030 | 50,000 | 50,430 | |||
Series A, 4.30%, 7/15/2048 | 65,000 | 86,635 | |||
Ameren Corp. 3.65%, 2/15/2026 | 50,000 | 56,422 | |||
Ameren Illinois Co.: | |||||
3.70%, 12/1/2047 | 50,000 | 61,313 | |||
3.80%, 5/15/2028 (b) | 25,000 | 29,193 | |||
4.15%, 3/15/2046 | 50,000 | 63,861 | |||
4.50%, 3/15/2049 | 50,000 | 68,200 | |||
American Electric Power Co., Inc.: | |||||
Series F, 2.95%, 12/15/2022 | 50,000 | 52,188 | |||
Series J, 4.30%, 12/1/2028 | 100,000 | 119,648 | |||
Series M, 0.75%, 11/1/2023 | 20,000 | 20,034 | |||
Series N, 1.00%, 11/1/2025 (b) | 30,000 | 30,371 | |||
Appalachian Power Co.: | |||||
4.40%, 5/15/2044 | 25,000 | 30,959 | |||
7.00%, 4/1/2038 | 25,000 | 38,524 |
Security Description | Principal Amount | Value | |||
Arizona Public Service Co.: | |||||
2.65%, 9/15/2050 (b) | $ 85,000 | $ 87,887 | |||
3.75%, 5/15/2046 | 25,000 | 30,414 | |||
4.20%, 8/15/2048 | 25,000 | 32,280 | |||
4.25%, 3/1/2049 | 50,000 | 64,717 | |||
4.35%, 11/15/2045 | 50,000 | 64,614 | |||
Avangrid, Inc. 3.15%, 12/1/2024 | 50,000 | 54,506 | |||
Baltimore Gas & Electric Co. 6.35%, 10/1/2036 | 50,000 | 75,804 | |||
Berkshire Hathaway Energy Co.: | |||||
1.65%, 5/15/2031 (d) | 30,000 | 29,978 | |||
2.80%, 1/15/2023 | 40,000 | 41,938 | |||
2.85%, 5/15/2051 (d) | 300,000 | 307,884 | |||
3.25%, 4/15/2028 | 30,000 | 34,217 | |||
3.70%, 7/15/2030 (d) | 250,000 | 296,057 | |||
3.75%, 11/15/2023 | 350,000 | 381,244 | |||
4.50%, 2/1/2045 | 50,000 | 64,056 | |||
5.15%, 11/15/2043 | 150,000 | 205,350 | |||
Black Hills Corp.: | |||||
3.15%, 1/15/2027 | 25,000 | 27,183 | |||
3.88%, 10/15/2049 | 100,000 | 116,933 | |||
4.35%, 5/1/2033 | 30,000 | 36,303 | |||
CenterPoint Energy Houston Electric LLC: | |||||
3.95%, 3/1/2048 | 50,000 | 63,314 | |||
Series AA, 3.00%, 2/1/2027 | 100,000 | 110,267 | |||
Series AC, 4.25%, 2/1/2049 | 200,000 | 264,186 | |||
Series Z, 2.40%, 9/1/2026 | 50,000 | 53,953 | |||
CenterPoint Energy, Inc.: | |||||
3.85%, 2/1/2024 | 25,000 | 27,354 | |||
4.25%, 11/1/2028 | 25,000 | 29,656 | |||
Cleco Corporate Holdings LLC 4.97%, 5/1/2046 | 20,000 | 23,319 | |||
CMS Energy Corp.: | |||||
3.45%, 8/15/2027 | 50,000 | 56,409 | |||
5 year CMT + 4.12%, 4.75%, 6/1/2050 (c) | 50,000 | 56,309 | |||
Commonwealth Edison Co.: | |||||
4.00%, 3/1/2048 | 125,000 | 158,274 | |||
Series 123, 3.75%, 8/15/2047 | 150,000 | 182,460 | |||
Connecticut Light & Power Co.: | |||||
Series A, 0.75%, 12/1/2025 | 250,000 | 251,912 | |||
Series A, 3.20%, 3/15/2027 | 150,000 | 169,038 | |||
Series A, 4.15%, 6/1/2045 (b) | 100,000 | 129,776 |
Security Description | Principal Amount | Value | |||
Consolidated Edison Co. of New York, Inc.: | |||||
3.70%, 11/15/2059 | $ 85,000 | $ 99,027 | |||
3.85%, 6/15/2046 | 50,000 | 58,512 | |||
4.45%, 3/15/2044 | 75,000 | 94,087 | |||
4.50%, 5/15/2058 | 100,000 | 132,366 | |||
Series 06-B, 6.20%, 6/15/2036 | 25,000 | 35,911 | |||
Series 20B, 3.95%, 4/1/2050 | 250,000 | 304,332 | |||
Series A, 4.13%, 5/15/2049 | 100,000 | 123,215 | |||
Series C, 3.00%, 12/1/2060 | 150,000 | 152,766 | |||
Series D, 4.00%, 12/1/2028 | 100,000 | 117,944 | |||
Consumers Energy Co.: | |||||
0.35%, 6/1/2023 | 25,000 | 25,008 | |||
3.25%, 8/15/2046 | 50,000 | 57,331 | |||
3.75%, 2/15/2050 | 50,000 | 63,027 | |||
4.05%, 5/15/2048 | 100,000 | 130,441 | |||
Dayton Power & Light Co. 3.95%, 6/15/2049 | 30,000 | 34,973 | |||
Dominion Energy, Inc.: | |||||
4.70%, 12/1/2044 | 130,000 | 169,837 | |||
Series B, 2.75%, 1/15/2022 | 150,000 | 153,360 | |||
Series C, 3.38%, 4/1/2030 | 350,000 | 398,482 | |||
Series D, 2.85%, 8/15/2026 | 25,000 | 27,536 | |||
DTE Electric Co. 3.70%, 6/1/2046 | 75,000 | 90,984 | |||
DTE Energy Co.: | |||||
Series B, 3.30%, 6/15/2022 | 175,000 | 181,356 | |||
Series C, 3.40%, 6/15/2029 | 175,000 | 198,795 | |||
Series D, 3.70%, 8/1/2023 | 50,000 | 54,019 | |||
Series F, 1.05%, 6/1/2025 | 70,000 | 70,875 | |||
Duke Energy Carolinas LLC: | |||||
2.45%, 8/15/2029 | 150,000 | 161,880 | |||
3.20%, 8/15/2049 | 100,000 | 113,331 | |||
3.88%, 3/15/2046 | 150,000 | 183,775 | |||
3.95%, 11/15/2028 | 100,000 | 119,107 | |||
4.25%, 12/15/2041 | 130,000 | 164,722 | |||
Duke Energy Corp.: | |||||
0.90%, 9/15/2025 | 350,000 | 351,071 | |||
2.40%, 8/15/2022 | 200,000 | 206,162 | |||
2.65%, 9/1/2026 | 50,000 | 54,481 | |||
3.15%, 8/15/2027 | 100,000 | 111,839 | |||
3.75%, 9/1/2046 | 250,000 | 290,155 | |||
3.95%, 8/15/2047 | 150,000 | 181,072 | |||
Duke Energy Florida LLC: | |||||
2.50%, 12/1/2029 | 150,000 | 163,479 | |||
3.20%, 1/15/2027 | 250,000 | 279,637 | |||
6.40%, 6/15/2038 | 50,000 | 77,677 |
Security Description | Principal Amount | Value | |||
Duke Energy Indiana LLC 2.75%, 4/1/2050 | $ 65,000 | $ 68,091 | |||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 28,000 | 33,219 | |||
Duke Energy Progress LLC: | |||||
2.50%, 8/15/2050 (b) | 100,000 | 100,232 | |||
2.80%, 5/15/2022 | 100,000 | 102,730 | |||
3.60%, 9/15/2047 | 50,000 | 60,188 | |||
3.70%, 9/1/2028 | 50,000 | 58,373 | |||
4.20%, 8/15/2045 | 150,000 | 192,331 | |||
Edison International: | |||||
2.95%, 3/15/2023 | 50,000 | 52,007 | |||
3.55%, 11/15/2024 | 80,000 | 86,744 | |||
4.13%, 3/15/2028 | 50,000 | 55,718 | |||
Emera US Finance L.P. 4.75%, 6/15/2046 | 130,000 | 165,993 | |||
Enel Chile SA 4.88%, 6/12/2028 | 50,000 | 59,164 | |||
Entergy Arkansas LLC: | |||||
2.65%, 6/15/2051 | 100,000 | 102,175 | |||
4.20%, 4/1/2049 | 25,000 | 32,617 | |||
Entergy Corp.: | |||||
2.95%, 9/1/2026 | 50,000 | 55,158 | |||
4.00%, 7/15/2022 | 50,000 | 52,432 | |||
Entergy Louisiana LLC: | |||||
0.62%, 11/17/2023 | 25,000 | 25,072 | |||
3.05%, 6/1/2031 | 25,000 | 28,292 | |||
3.25%, 4/1/2028 | 200,000 | 224,814 | |||
4.20%, 4/1/2050 | 50,000 | 64,933 | |||
Entergy Mississippi LLC: | |||||
2.85%, 6/1/2028 | 25,000 | 27,551 | |||
3.85%, 6/1/2049 | 125,000 | 151,575 | |||
Entergy Texas, Inc.: | |||||
1.75%, 3/15/2031 | 85,000 | 85,162 | |||
3.55%, 9/30/2049 | 25,000 | 29,039 | |||
Evergy Kansas Central, Inc. 3.25%, 9/1/2049 | 25,000 | 28,342 | |||
Evergy Metro, Inc.: | |||||
4.20%, 6/15/2047 | 25,000 | 32,031 | |||
Series 2019, 4.13%, 4/1/2049 | 100,000 | 128,370 | |||
Series 2020, 2.25%, 6/1/2030 | 50,000 | 53,019 | |||
Eversource Energy: | |||||
Series K, 2.75%, 3/15/2022 | 50,000 | 51,352 | |||
Series L, 2.90%, 10/1/2024 | 250,000 | 269,945 | |||
Series N, 3.80%, 12/1/2023 | 15,000 | 16,372 | |||
Series O, 4.25%, 4/1/2029 | 25,000 | 29,940 | |||
Exelon Corp.: | |||||
3.40%, 4/15/2026 | 100,000 | 112,595 | |||
3.50%, 6/1/2022 | 200,000 | 208,026 | |||
3.95%, 6/15/2025 | 50,000 | 56,639 | |||
4.70%, 4/15/2050 | 250,000 | 332,433 | |||
5.10%, 6/15/2045 | 330,000 | 446,866 |
Security Description | Principal Amount | Value | |||
Exelon Generation Co. LLC 3.40%, 3/15/2022 | $ 250,000 | $ 258,155 | |||
Florida Power & Light Co.: | |||||
3.15%, 10/1/2049 | 30,000 | 34,668 | |||
3.25%, 6/1/2024 | 25,000 | 26,920 | |||
3.95%, 3/1/2048 | 85,000 | 110,409 | |||
3.99%, 3/1/2049 | 25,000 | 32,575 | |||
4.05%, 10/1/2044 | 50,000 | 64,202 | |||
4.13%, 6/1/2048 | 100,000 | 132,853 | |||
Fortis, Inc. 3.06%, 10/4/2026 | 50,000 | 55,097 | |||
Georgia Power Co. Series A, 2.20%, 9/15/2024 | 100,000 | 105,555 | |||
Indiana Michigan Power Co. 4.25%, 8/15/2048 | 15,000 | 19,217 | |||
Interstate Power & Light Co.: | |||||
3.50%, 9/30/2049 (b) | 50,000 | 57,016 | |||
3.70%, 9/15/2046 | 50,000 | 58,279 | |||
4.10%, 9/26/2028 | 50,000 | 59,533 | |||
IPALCO Enterprises, Inc. 4.25%, 5/1/2030 (d) | 100,000 | 115,904 | |||
ITC Holdings Corp. 3.35%, 11/15/2027 | 50,000 | 56,297 | |||
Kansas City Power & Light Co. 4.20%, 3/15/2048 | 50,000 | 64,788 | |||
MidAmerican Energy Co. 3.95%, 8/1/2047 | 150,000 | 189,327 | |||
National Rural Utilities Cooperative Finance Corp.: | |||||
1.35%, 3/15/2031 | 50,000 | 49,380 | |||
2.95%, 2/7/2024 | 100,000 | 107,035 | |||
3.40%, 2/7/2028 | 50,000 | 57,506 | |||
3.90%, 11/1/2028 | 100,000 | 117,415 | |||
4.02%, 11/1/2032 | 50,000 | 61,788 | |||
3 Month USD LIBOR + 2.91%, 4.75%, 4/30/2043 (c) | 75,000 | 78,836 | |||
NextEra Energy Capital Holdings, Inc.: | |||||
2.25%, 6/1/2030 | 250,000 | 261,880 | |||
2.75%, 11/1/2029 | 165,000 | 179,883 | |||
2.80%, 1/15/2023 | 150,000 | 157,045 | |||
3.15%, 4/1/2024 | 100,000 | 108,100 | |||
3.50%, 4/1/2029 | 100,000 | 114,229 | |||
3.55%, 5/1/2027 | 100,000 | 114,032 | |||
3 Month USD LIBOR + 2.41%, 4.80%, 12/1/2077 (c) | 25,000 | 27,425 | |||
Northern States Power Co.: | |||||
2.60%, 6/1/2051 | 50,000 | 52,918 | |||
2.90%, 3/1/2050 | 30,000 | 33,606 | |||
3.60%, 9/15/2047 (b) | 50,000 | 61,321 | |||
NSTAR Electric Co. 3.20%, 5/15/2027 | 50,000 | 56,487 |
Security Description | Principal Amount | Value | |||
Oglethorpe Power Corp. 5.05%, 10/1/2048 | $ 100,000 | $ 126,872 | |||
Ohio Power Co. 4.00%, 6/1/2049 | 20,000 | 24,999 | |||
Oklahoma Gas & Electric Co. 3.80%, 8/15/2028 | 50,000 | 57,919 | |||
Oncor Electric Delivery Co. LLC: | |||||
3.70%, 11/15/2028 | 200,000 | 234,312 | |||
3.80%, 9/30/2047 | 100,000 | 123,693 | |||
5.35%, 10/1/2052 (d) | 100,000 | 154,626 | |||
7.50%, 9/1/2038 | 50,000 | 82,432 | |||
Oncor Electric Delivery Co., LLC 0.55%, 10/1/2025 (d) | 70,000 | 69,923 | |||
Pacific Gas & Electric Co.: | |||||
1.75%, 6/16/2022 | 50,000 | 50,113 | |||
2.50%, 2/1/2031 | 350,000 | 350,129 | |||
3.30%, 8/1/2040 (b) | 350,000 | 350,630 | |||
3.45%, 7/1/2025 | 250,000 | 270,905 | |||
3.50%, 8/1/2050 | 295,000 | 292,637 | |||
4.50%, 7/1/2040 | 250,000 | 280,802 | |||
4.55%, 7/1/2030 | 250,000 | 285,447 | |||
4.95%, 7/1/2050 | 250,000 | 296,535 | |||
PacifiCorp: | |||||
2.70%, 9/15/2030 | 320,000 | 352,525 | |||
3.30%, 3/15/2051 | 65,000 | 74,938 | |||
PECO Energy Co. 3.90%, 3/1/2048 | 125,000 | 158,210 | |||
PPL Capital Funding, Inc.: | |||||
3.50%, 12/1/2022 | 75,000 | 78,748 | |||
4.00%, 9/15/2047 | 250,000 | 292,707 | |||
5.00%, 3/15/2044 | 50,000 | 64,602 | |||
PPL Electric Utilities Corp.: | |||||
3.00%, 10/1/2049 | 70,000 | 76,808 | |||
3.95%, 6/1/2047 | 50,000 | 62,262 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 50,000 | 53,760 | |||
Public Service Co. of Colorado: | |||||
3.80%, 6/15/2047 | 150,000 | 186,336 | |||
Series 34, 3.20%, 3/1/2050 | 30,000 | 34,766 | |||
Public Service Electric & Gas Co.: | |||||
Series MTN, 2.05%, 8/1/2050 | 50,000 | 46,907 | |||
Series MTN, 3.20%, 5/15/2029 | 50,000 | 56,898 | |||
Series MTN, 3.20%, 8/1/2049 | 30,000 | 34,408 | |||
Series MTN, 3.60%, 12/1/2047 | 100,000 | 121,014 | |||
Series MTN, 3.65%, 9/1/2042 | 50,000 | 59,550 | |||
Series MTN, 3.70%, 5/1/2028 | 50,000 | 58,072 |
Security Description | Principal Amount | Value | |||
Public Service Enterprise Group, Inc.: | |||||
1.60%, 8/15/2030 | $ 100,000 | $ 98,780 | |||
2.65%, 11/15/2022 | 100,000 | 104,228 | |||
2.88%, 6/15/2024 | 70,000 | 75,416 | |||
Puget Sound Energy, Inc.: | |||||
3.25%, 9/15/2049 | 65,000 | 72,818 | |||
4.22%, 6/15/2048 | 65,000 | 82,720 | |||
5.80%, 3/15/2040 | 50,000 | 70,881 | |||
San Diego Gas & Electric Co.: | |||||
Series RRR, 3.75%, 6/1/2047 | 50,000 | 58,661 | |||
Series VVV, 1.70%, 10/1/2030 | 150,000 | 151,785 | |||
Sempra Energy: | |||||
2.90%, 2/1/2023 | 15,000 | 15,744 | |||
3.25%, 6/15/2027 | 300,000 | 334,809 | |||
3.40%, 2/1/2028 | 30,000 | 34,187 | |||
3.80%, 2/1/2038 | 100,000 | 115,563 | |||
4.00%, 2/1/2048 | 30,000 | 35,655 | |||
Sierra Pacific Power Co. 2.60%, 5/1/2026 | 50,000 | 54,252 | |||
Southern California Edison Co.: | |||||
2.85%, 8/1/2029 (b) | 115,000 | 125,030 | |||
3.65%, 2/1/2050 | 250,000 | 285,562 | |||
4.00%, 4/1/2047 | 191,000 | 224,639 | |||
4.50%, 9/1/2040 | 25,000 | 30,319 | |||
Series 13-A, 3.90%, 3/15/2043 | 50,000 | 56,331 | |||
Series A, 4.20%, 3/1/2029 | 100,000 | 117,183 | |||
Series B, 3.65%, 3/1/2028 | 100,000 | 112,262 | |||
Series C, 3.60%, 2/1/2045 | 50,000 | 55,157 | |||
Series D, 3.40%, 6/1/2023 | 50,000 | 53,298 | |||
Southern Co.: | |||||
3.25%, 7/1/2026 | 250,000 | 280,352 | |||
4.25%, 7/1/2036 | 250,000 | 308,252 | |||
Series B, 3 Month USD LIBOR + 3.63%, 5.50%, 3/15/2057 (c) | 50,000 | 51,797 | |||
Series B, 5 year CMT + 3.73%, 4.00%, 1/15/2051 (b) (c) | 500,000 | 527,875 | |||
Southern Power Co. Series F, 4.95%, 12/15/2046 | 150,000 | 180,528 | |||
Southwestern Electric Power Co.: | |||||
Series K, 2.75%, 10/1/2026 | 50,000 | 54,326 | |||
Series M, 4.10%, 9/15/2028 | 25,000 | 29,402 | |||
Southwestern Public Service Co.: | |||||
3.30%, 6/15/2024 (b) | 50,000 | 53,764 | |||
3.75%, 6/15/2049 | 100,000 | 121,052 |
Security Description | Principal Amount | Value | |||
Tampa Electric Co.: | |||||
3.63%, 6/15/2050 | $ 150,000 | $ 180,078 | |||
4.30%, 6/15/2048 | 50,000 | 63,959 | |||
4.45%, 6/15/2049 (b) | 25,000 | 33,284 | |||
Tucson Electric Power Co. 4.85%, 12/1/2048 | 50,000 | 66,983 | |||
Union Electric Co.: | |||||
3.50%, 3/15/2029 | 250,000 | 288,232 | |||
4.00%, 4/1/2048 | 50,000 | 62,844 | |||
Virginia Electric & Power Co.: | |||||
2.45%, 12/15/2050 | 375,000 | 378,307 | |||
3.30%, 12/1/2049 (b) | 50,000 | 58,391 | |||
3.45%, 2/15/2024 | 50,000 | 53,925 | |||
4.60%, 12/1/2048 | 250,000 | 350,790 | |||
8.88%, 11/15/2038 | 50,000 | 92,253 | |||
Series B, 2.95%, 11/15/2026 | 30,000 | 33,453 | |||
WEC Energy Group, Inc.: | |||||
0.55%, 9/15/2023 | 100,000 | 100,469 | |||
1.80%, 10/15/2030 | 250,000 | 250,505 | |||
3.55%, 6/15/2025 | 21,000 | 23,412 | |||
Westar Energy, Inc. 4.13%, 3/1/2042 | 30,000 | 37,097 | |||
Wisconsin Electric Power Co.: | |||||
2.05%, 12/15/2024 | 50,000 | 52,767 | |||
4.30%, 10/15/2048 (b) | 25,000 | 33,633 | |||
Xcel Energy, Inc.: | |||||
0.50%, 10/15/2023 | 100,000 | 100,337 | |||
2.60%, 12/1/2029 | 100,000 | 108,491 | |||
4.00%, 6/15/2028 | 50,000 | 58,863 | |||
28,849,376 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a) | |||||
Emerson Electric Co.: | |||||
0.88%, 10/15/2026 | 65,000 | 65,432 | |||
1.95%, 10/15/2030 (b) | 50,000 | 52,642 | |||
2.63%, 2/15/2023 | 25,000 | 26,049 | |||
144,123 | |||||
ELECTRONICS — 0.2% | |||||
Agilent Technologies, Inc. 2.75%, 9/15/2029 | 50,000 | 54,613 | |||
Allegion PLC 3.50%, 10/1/2029 | 50,000 | 55,237 | |||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 50,000 | 54,893 | |||
Amphenol Corp.: | |||||
2.80%, 2/15/2030 | 100,000 | 110,351 | |||
4.35%, 6/1/2029 | 50,000 | 61,541 | |||
Arrow Electronics, Inc.: | |||||
3.25%, 9/8/2024 | 50,000 | 53,956 | |||
3.88%, 1/12/2028 | 25,000 | 28,206 | |||
Flex, Ltd.: | |||||
3.75%, 2/1/2026 | 50,000 | 55,818 | |||
4.88%, 6/15/2029 | 75,000 | 89,074 |
Security Description | Principal Amount | Value | |||
Fortive Corp. 3.15%, 6/15/2026 | $ 50,000 | $ 55,486 | |||
Honeywell International, Inc.: | |||||
0.48%, 8/19/2022 | 145,000 | 145,197 | |||
1.95%, 6/1/2030 | 250,000 | 264,312 | |||
2.15%, 8/8/2022 | 45,000 | 46,276 | |||
2.30%, 8/15/2024 | 100,000 | 106,611 | |||
2.50%, 11/1/2026 (b) | 150,000 | 165,631 | |||
2.70%, 8/15/2029 | 60,000 | 67,037 | |||
3.35%, 12/1/2023 | 50,000 | 54,464 | |||
Hubbell, Inc. 3.35%, 3/1/2026 | 50,000 | 54,904 | |||
Jabil, Inc.: | |||||
3.60%, 1/15/2030 | 25,000 | 27,868 | |||
3.95%, 1/12/2028 | 25,000 | 28,376 | |||
Keysight Technologies, Inc.: | |||||
3.00%, 10/30/2029 | 50,000 | 55,214 | |||
4.60%, 4/6/2027 | 30,000 | 35,762 | |||
PerkinElmer, Inc. 3.30%, 9/15/2029 | 65,000 | 73,251 | |||
Roper Technologies, Inc.: | |||||
0.45%, 8/15/2022 | 50,000 | 50,081 | |||
1.75%, 2/15/2031 | 250,000 | 249,175 | |||
2.00%, 6/30/2030 | 30,000 | 30,737 | |||
2.95%, 9/15/2029 | 40,000 | 43,995 | |||
3.80%, 12/15/2026 | 30,000 | 34,684 | |||
4.20%, 9/15/2028 (b) | 65,000 | 77,561 | |||
Trimble, Inc. 4.90%, 6/15/2028 | 50,000 | 59,773 | |||
Tyco Electronics Group SA 3.70%, 2/15/2026 | 50,000 | 56,052 | |||
2,346,136 | |||||
ENVIRONMENTAL CONTROL — 0.1% | |||||
Republic Services, Inc.: | |||||
1.45%, 2/15/2031 | 100,000 | 97,997 | |||
2.90%, 7/1/2026 | 45,000 | 49,764 | |||
3.38%, 11/15/2027 | 60,000 | 68,092 | |||
3.95%, 5/15/2028 | 150,000 | 176,184 | |||
Waste Connections, Inc.: | |||||
3.05%, 4/1/2050 | 20,000 | 21,602 | |||
3.50%, 5/1/2029 | 50,000 | 57,042 | |||
Waste Management, Inc.: | |||||
0.75%, 11/15/2025 | 20,000 | 20,075 | |||
1.15%, 3/15/2028 | 30,000 | 29,981 | |||
1.50%, 3/15/2031 | 30,000 | 29,642 | |||
2.40%, 5/15/2023 | 150,000 | 156,555 | |||
2.50%, 11/15/2050 | 20,000 | 20,017 | |||
3.50%, 5/15/2024 | 25,000 | 27,311 | |||
3.90%, 3/1/2035 | 50,000 | 61,031 | |||
815,293 | |||||
FOOD — 0.3% | |||||
Campbell Soup Co.: | |||||
2.38%, 4/24/2030 | 15,000 | 15,833 |
Security Description | Principal Amount | Value | |||
3.65%, 3/15/2023 | $ 15,000 | $ 16,018 | |||
3.95%, 3/15/2025 | 100,000 | 112,788 | |||
4.15%, 3/15/2028 | 50,000 | 58,795 | |||
4.80%, 3/15/2048 | 20,000 | 26,642 | |||
Conagra Brands, Inc.: | |||||
5.30%, 11/1/2038 | 265,000 | 355,392 | |||
5.40%, 11/1/2048 | 40,000 | 57,046 | |||
General Mills, Inc.: | |||||
3.20%, 2/10/2027 | 100,000 | 112,293 | |||
3.65%, 2/15/2024 | 50,000 | 54,324 | |||
3.70%, 10/17/2023 | 20,000 | 21,766 | |||
4.20%, 4/17/2028 | 25,000 | 29,957 | |||
4.55%, 4/17/2038 | 10,000 | 12,906 | |||
4.70%, 4/17/2048 (b) | 320,000 | 448,483 | |||
Hershey Co.: | |||||
0.90%, 6/1/2025 | 45,000 | 45,702 | |||
3.20%, 8/21/2025 | 25,000 | 27,797 | |||
3.38%, 5/15/2023 | 50,000 | 53,613 | |||
Ingredion, Inc. 2.90%, 6/1/2030 | 100,000 | 110,324 | |||
JM Smucker Co.: | |||||
3.38%, 12/15/2027 (b) | 100,000 | 112,872 | |||
3.55%, 3/15/2050 | 25,000 | 28,352 | |||
4.25%, 3/15/2035 | 50,000 | 61,422 | |||
Kellogg Co.: | |||||
4.30%, 5/15/2028 | 100,000 | 119,867 | |||
4.50%, 4/1/2046 | 100,000 | 130,085 | |||
Kroger Co.: | |||||
2.65%, 10/15/2026 (b) | 50,000 | 54,870 | |||
2.80%, 8/1/2022 | 200,000 | 207,246 | |||
3.70%, 8/1/2027 | 35,000 | 40,359 | |||
3.85%, 8/1/2023 | 75,000 | 80,979 | |||
4.45%, 2/1/2047 | 100,000 | 127,192 | |||
4.65%, 1/15/2048 | 100,000 | 131,114 | |||
McCormick & Co., Inc.: | |||||
2.70%, 8/15/2022 | 200,000 | 207,066 | |||
3.40%, 8/15/2027 | 100,000 | 113,063 | |||
Mondelez International, Inc.: | |||||
1.50%, 5/4/2025 | 60,000 | 62,057 | |||
1.50%, 2/4/2031 (b) | 40,000 | 39,493 | |||
1.88%, 10/15/2032 | 75,000 | 76,024 | |||
2.63%, 9/4/2050 | 35,000 | 35,216 | |||
2.75%, 4/13/2030 | 35,000 | 38,436 | |||
Sysco Corp.: | |||||
2.40%, 2/15/2030 | 10,000 | 10,408 | |||
3.25%, 7/15/2027 | 50,000 | 55,799 | |||
3.30%, 7/15/2026 | 100,000 | 111,213 | |||
3.30%, 2/15/2050 | 10,000 | 10,445 | |||
3.55%, 3/15/2025 | 50,000 | 55,660 | |||
3.75%, 10/1/2025 | 5,000 | 5,630 | |||
4.45%, 3/15/2048 | 50,000 | 60,953 | |||
4.85%, 10/1/2045 | 5,000 | 6,328 | |||
6.60%, 4/1/2050 | 250,000 | 383,748 | |||
Tyson Foods, Inc.: | |||||
3.55%, 6/2/2027 | 150,000 | 171,029 |
Security Description | Principal Amount | Value | |||
4.50%, 6/15/2022 | $ 30,000 | $ 31,451 | |||
4.55%, 6/2/2047 | 285,000 | 377,847 | |||
4,505,903 | |||||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Celulosa Arauco y Constitucion SA: | |||||
3.88%, 11/2/2027 | 200,000 | 221,682 | |||
4.50%, 8/1/2024 | 50,000 | 55,061 | |||
Fibria Overseas Finance, Ltd. 5.50%, 1/17/2027 (b) | 25,000 | 28,595 | |||
Georgia-Pacific LLC 7.75%, 11/15/2029 | 25,000 | 37,063 | |||
International Paper Co.: | |||||
4.35%, 8/15/2048 (b) | 50,000 | 65,587 | |||
4.40%, 8/15/2047 | 50,000 | 65,314 | |||
5.00%, 9/15/2035 | 100,000 | 131,322 | |||
Suzano Austria GmbH 3.75%, 1/15/2031 | 150,000 | 159,426 | |||
764,050 | |||||
GAS — 0.2% | |||||
Atmos Energy Corp.: | |||||
1.50%, 1/15/2031 | 100,000 | 99,708 | |||
3.00%, 6/15/2027 (b) | 150,000 | 166,222 | |||
4.15%, 1/15/2043 | 25,000 | 31,257 | |||
CenterPoint Energy Resources Corp. 3.55%, 4/1/2023 | 100,000 | 106,644 | |||
Dominion Energy Gas Holdings LLC: | |||||
3.60%, 12/15/2024 (b) | 50,000 | 55,245 | |||
4.80%, 11/1/2043 | 25,000 | 32,270 | |||
Series A, 2.50%, 11/15/2024 | 85,000 | 90,895 | |||
Series B, 3.00%, 11/15/2029 (b) | 35,000 | 38,813 | |||
Series C, 3.90%, 11/15/2049 | 65,000 | 76,833 | |||
National Fuel Gas Co.: | |||||
3.95%, 9/15/2027 | 50,000 | 53,089 | |||
5.50%, 1/15/2026 | 30,000 | 34,643 | |||
NiSource, Inc.: | |||||
0.95%, 8/15/2025 (b) | 60,000 | 60,406 | |||
1.70%, 2/15/2031 | 100,000 | 99,584 | |||
2.95%, 9/1/2029 | 100,000 | 109,953 | |||
3.49%, 5/15/2027 | 50,000 | 56,680 | |||
4.38%, 5/15/2047 | 150,000 | 191,047 | |||
4.80%, 2/15/2044 | 30,000 | 39,452 | |||
ONE Gas, Inc. 4.50%, 11/1/2048 | 90,000 | 119,045 | |||
Southern California Gas Co.: | |||||
3.15%, 9/15/2024 | 25,000 | 27,052 | |||
3.20%, 6/15/2025 | 50,000 | 55,185 | |||
3.75%, 9/15/2042 | 30,000 | 35,343 | |||
5.13%, 11/15/2040 | 25,000 | 34,146 |
Security Description | Principal Amount | Value | |||
Series VV, 4.30%, 1/15/2049 | $ 50,000 | $ 66,419 | |||
Southern Co. Gas Capital Corp.: | |||||
4.40%, 5/30/2047 | 150,000 | 188,517 | |||
Series 20-A, 1.75%, 1/15/2031 | 500,000 | 503,259 | |||
Southwest Gas Corp. 3.70%, 4/1/2028 | 25,000 | 28,611 | |||
Washington Gas Light Co. Series MTN, 3.65%, 9/15/2049 | 50,000 | 59,383 | |||
2,459,701 | |||||
HAND & MACHINE TOOLS — 0.0% (a) | |||||
Kennametal, Inc. 4.63%, 6/15/2028 | 50,000 | 55,570 | |||
Snap-on, Inc. 3.10%, 5/1/2050 (b) | 70,000 | 79,210 | |||
Stanley Black & Decker, Inc.: | |||||
2.75%, 11/15/2050 | 100,000 | 104,498 | |||
3.40%, 3/1/2026 | 35,000 | 39,653 | |||
4.25%, 11/15/2028 | 100,000 | 121,403 | |||
5 year CMT + 2.66%, 4.00%, 3/15/2060 (c) | 30,000 | 31,950 | |||
432,284 | |||||
HEALTH CARE PRODUCTS — 0.3% | |||||
Abbott Laboratories: | |||||
2.95%, 3/15/2025 | 75,000 | 82,283 | |||
3.40%, 11/30/2023 | 35,000 | 37,928 | |||
3.75%, 11/30/2026 | 85,000 | 99,564 | |||
4.75%, 11/30/2036 | 250,000 | 342,802 | |||
4.75%, 4/15/2043 | 25,000 | 35,122 | |||
4.90%, 11/30/2046 | 150,000 | 221,538 | |||
Baxter International, Inc.: | |||||
1.73%, 4/1/2031 (b) (d) | 45,000 | 45,428 | |||
3.50%, 8/15/2046 | 50,000 | 56,974 | |||
Boston Scientific Corp.: | |||||
1.90%, 6/1/2025 | 65,000 | 68,042 | |||
2.65%, 6/1/2030 | 100,000 | 107,196 | |||
3.45%, 3/1/2024 | 25,000 | 27,096 | |||
4.00%, 3/1/2029 | 35,000 | 41,193 | |||
4.55%, 3/1/2039 | 50,000 | 64,165 | |||
4.70%, 3/1/2049 | 35,000 | 47,747 | |||
Danaher Corp. 2.60%, 10/1/2050 | 65,000 | 67,138 | |||
DH Europe Finance II Sarl: | |||||
2.05%, 11/15/2022 | 50,000 | 51,526 | |||
2.20%, 11/15/2024 | 50,000 | 53,021 | |||
2.60%, 11/15/2029 | 30,000 | 32,808 | |||
3.25%, 11/15/2039 | 50,000 | 56,894 | |||
3.40%, 11/15/2049 | 50,000 | 59,289 | |||
Medtronic, Inc.: | |||||
3.50%, 3/15/2025 | 47,000 | 52,674 |
Security Description | Principal Amount | Value | |||
4.38%, 3/15/2035 | $ 54,000 | $ 72,683 | |||
4.63%, 3/15/2045 | 345,000 | 490,217 | |||
Smith & Nephew PLC 2.03%, 10/14/2030 (b) | 50,000 | 50,866 | |||
Stryker Corp.: | |||||
0.60%, 12/1/2023 | 65,000 | 65,088 | |||
1.15%, 6/15/2025 | 50,000 | 50,984 | |||
1.95%, 6/15/2030 | 50,000 | 51,446 | |||
2.90%, 6/15/2050 | 25,000 | 26,509 | |||
3.38%, 11/1/2025 | 25,000 | 27,962 | |||
3.50%, 3/15/2026 | 25,000 | 28,366 | |||
3.65%, 3/7/2028 | 50,000 | 57,808 | |||
4.63%, 3/15/2046 | 25,000 | 33,496 | |||
Thermo Fisher Scientific, Inc.: | |||||
3.00%, 4/15/2023 | 250,000 | 263,635 | |||
4.10%, 8/15/2047 | 100,000 | 133,565 | |||
4.13%, 3/25/2025 (b) | 535,000 | 608,643 | |||
4.15%, 2/1/2024 | 25,000 | 27,641 | |||
Zimmer Biomet Holdings, Inc.: | |||||
3.55%, 4/1/2025 | 100,000 | 110,525 | |||
3.55%, 3/20/2030 | 350,000 | 396,704 | |||
4,146,566 | |||||
HEALTH CARE SERVICES — 0.6% | |||||
Advocate Health & Hospitals Corp. 3.39%, 10/15/2049 | 50,000 | 56,480 | |||
Aetna, Inc.: | |||||
2.80%, 6/15/2023 | 200,000 | 210,590 | |||
3.88%, 8/15/2047 | 100,000 | 119,226 | |||
4.13%, 11/15/2042 | 25,000 | 29,658 | |||
Anthem, Inc.: | |||||
2.25%, 5/15/2030 | 265,000 | 279,665 | |||
2.38%, 1/15/2025 | 20,000 | 21,376 | |||
2.95%, 12/1/2022 | 50,000 | 52,369 | |||
3.13%, 5/15/2050 | 270,000 | 295,888 | |||
3.30%, 1/15/2023 | 50,000 | 52,925 | |||
3.35%, 12/1/2024 | 50,000 | 55,051 | |||
3.50%, 8/15/2024 | 25,000 | 27,446 | |||
3.65%, 12/1/2027 | 130,000 | 149,899 | |||
4.10%, 3/1/2028 | 100,000 | 118,349 | |||
4.38%, 12/1/2047 | 130,000 | 168,453 | |||
4.55%, 3/1/2048 | 50,000 | 66,374 | |||
4.65%, 1/15/2043 | 50,000 | 65,717 | |||
Ascension Health 3.95%, 11/15/2046 | 150,000 | 192,178 | |||
Banner Health 2.34%, 1/1/2030 | 40,000 | 41,952 | |||
Children's Hospital Corp. Series 2020, 2.59%, 2/1/2050 | 15,000 | 15,019 | |||
CommonSpirit Health: | |||||
2.76%, 10/1/2024 (b) | 250,000 | 268,512 | |||
4.19%, 10/1/2049 | 250,000 | 291,655 | |||
4.35%, 11/1/2042 | 25,000 | 29,301 |
Security Description | Principal Amount | Value | |||
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | $ 50,000 | $ 62,287 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 35,000 | 40,633 | |||
4.50%, 2/15/2027 | 50,000 | 58,190 | |||
4.75%, 5/1/2023 | 55,000 | 60,010 | |||
5.00%, 3/15/2024 | 85,000 | 95,674 | |||
5.13%, 6/15/2039 | 275,000 | 351,706 | |||
5.25%, 4/15/2025 | 60,000 | 70,133 | |||
5.25%, 6/15/2026 | 65,000 | 77,003 | |||
5.25%, 6/15/2049 | 100,000 | 131,975 | |||
5.50%, 6/15/2047 | 65,000 | 86,937 | |||
Humana, Inc.: | |||||
2.90%, 12/15/2022 | 150,000 | 156,832 | |||
4.80%, 3/15/2047 | 100,000 | 133,981 | |||
4.95%, 10/1/2044 | 50,000 | 67,447 | |||
Johns Hopkins Health System Corp. 3.84%, 5/15/2046 | 50,000 | 62,189 | |||
Kaiser Foundation Hospitals: | |||||
3.50%, 4/1/2022 | 50,000 | 51,838 | |||
Series 2019, 3.27%, 11/1/2049 | 105,000 | 119,941 | |||
Laboratory Corp. of America Holdings: | |||||
2.30%, 12/1/2024 | 100,000 | 106,186 | |||
2.95%, 12/1/2029 | 100,000 | 110,536 | |||
3.25%, 9/1/2024 | 100,000 | 108,767 | |||
4.70%, 2/1/2045 | 25,000 | 32,722 | |||
Memorial Sloan-Kettering Cancer Center: | |||||
4.13%, 7/1/2052 | 25,000 | 32,840 | |||
Series 2020, 2.96%, 1/1/2050 | 55,000 | 58,923 | |||
Methodist Hospital Series 20A, 2.71%, 12/1/2050 | 65,000 | 66,188 | |||
Montefiore Obligated Group 4.29%, 9/1/2050 (b) | 50,000 | 54,525 | |||
Mount Sinai Hospitals Group, Inc. Series 2019, 3.74%, 7/1/2049 | 35,000 | 39,644 | |||
New York and Presbyterian Hospital: | |||||
2.26%, 8/1/2040 | 50,000 | 48,657 | |||
Series 2019, 3.95%, 8/1/2119 | 35,000 | 40,364 | |||
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 50,000 | 59,972 | |||
NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | 100,000 | 105,647 |
Security Description | Principal Amount | Value | |||
Orlando Health Obligated Group 3.33%, 10/1/2050 | $ 25,000 | $ 27,540 | |||
Partners Healthcare System, Inc. Series 2017, 3.77%, 7/1/2048 | 100,000 | 118,867 | |||
Providence St. Joseph Health Obligated Group Series 19A, 2.53%, 10/1/2029 | 80,000 | 85,310 | |||
Quest Diagnostics, Inc.: | |||||
2.95%, 6/30/2030 | 35,000 | 38,618 | |||
4.20%, 6/30/2029 | 100,000 | 118,932 | |||
4.70%, 3/30/2045 | 25,000 | 31,440 | |||
RWJ Barnabas Health, Inc. 3.48%, 7/1/2049 | 50,000 | 56,321 | |||
SSM Health Care Corp. Series 2018, 3.69%, 6/1/2023 | 20,000 | 21,382 | |||
Sutter Health: | |||||
Series 20A, 2.29%, 8/15/2030 | 55,000 | 57,329 | |||
Series 20A, 3.36%, 8/15/2050 | 55,000 | 60,114 | |||
UnitedHealth Group, Inc.: | |||||
1.25%, 1/15/2026 | 35,000 | 35,937 | |||
2.00%, 5/15/2030 | 305,000 | 323,825 | |||
2.38%, 10/15/2022 | 100,000 | 103,747 | |||
2.75%, 5/15/2040 | 300,000 | 325,098 | |||
2.88%, 3/15/2022 | 25,000 | 25,612 | |||
2.90%, 5/15/2050 | 50,000 | 55,397 | |||
3.10%, 3/15/2026 | 50,000 | 56,050 | |||
3.13%, 5/15/2060 | 100,000 | 115,737 | |||
3.38%, 4/15/2027 | 100,000 | 114,166 | |||
3.50%, 2/15/2024 | 10,000 | 10,924 | |||
3.50%, 8/15/2039 | 200,000 | 236,818 | |||
3.70%, 12/15/2025 | 10,000 | 11,456 | |||
3.75%, 7/15/2025 | 305,000 | 347,554 | |||
3.75%, 10/15/2047 | 50,000 | 62,155 | |||
3.88%, 12/15/2028 (b) | 15,000 | 17,990 | |||
4.25%, 4/15/2047 | 100,000 | 133,006 | |||
4.63%, 7/15/2035 | 200,000 | 268,550 | |||
4.75%, 7/15/2045 | 230,000 | 323,322 | |||
6.88%, 2/15/2038 | 25,000 | 41,009 | |||
8,324,036 | |||||
HOME BUILDERS — 0.1% | |||||
DR Horton, Inc. 2.50%, 10/15/2024 | 100,000 | 106,721 | |||
Lennar Corp. 4.75%, 11/29/2027 | 250,000 | 295,497 | |||
NVR, Inc. 3.00%, 5/15/2030 | 130,000 | 141,743 | |||
PulteGroup, Inc. 5.00%, 1/15/2027 | 250,000 | 295,033 | |||
838,994 |
Security Description | Principal Amount | Value | |||
HOME FURNISHINGS — 0.0% (a) | |||||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | $ 100,000 | $ 114,953 | |||
Whirlpool Corp.: | |||||
4.50%, 6/1/2046 | 25,000 | 31,039 | |||
4.60%, 5/15/2050 | 50,000 | 64,858 | |||
4.75%, 2/26/2029 | 60,000 | 73,392 | |||
284,242 | |||||
HOUSEHOLD PRODUCTS & WARES — 0.0% (a) | |||||
Clorox Co.: | |||||
3.10%, 10/1/2027 | 50,000 | 56,311 | |||
3.90%, 5/15/2028 | 50,000 | 58,865 | |||
Kimberly-Clark Corp.: | |||||
1.05%, 9/15/2027 (b) | 15,000 | 15,224 | |||
2.75%, 2/15/2026 | 25,000 | 27,714 | |||
3.10%, 3/26/2030 | 40,000 | 46,022 | |||
3.20%, 4/25/2029 (b) | 100,000 | 115,185 | |||
3.90%, 5/4/2047 | 50,000 | 64,469 | |||
3.95%, 11/1/2028 | 55,000 | 66,071 | |||
449,861 | |||||
INSURANCE — 0.8% | |||||
Aflac, Inc.: | |||||
3.63%, 6/15/2023 | 50,000 | 54,020 | |||
4.75%, 1/15/2049 | 75,000 | 104,654 | |||
Alleghany Corp. 4.90%, 9/15/2044 | 50,000 | 64,493 | |||
Allstate Corp.: | |||||
1.45%, 12/15/2030 (b) | 250,000 | 249,540 | |||
3.85%, 8/10/2049 | 125,000 | 158,694 | |||
4.20%, 12/15/2046 | 50,000 | 66,118 | |||
Series B, 3 Month USD LIBOR + 2.94%, 5.75%, 8/15/2053 (c) | 25,000 | 26,774 | |||
American Financial Group, Inc.: | |||||
3.50%, 8/15/2026 | 15,000 | 16,503 | |||
4.50%, 6/15/2047 | 100,000 | 120,250 | |||
American International Group, Inc.: | |||||
2.50%, 6/30/2025 | 100,000 | 107,546 | |||
3.40%, 6/30/2030 | 100,000 | 114,489 | |||
3.88%, 1/15/2035 | 200,000 | 240,244 | |||
3.90%, 4/1/2026 | 30,000 | 34,208 | |||
4.25%, 3/15/2029 | 100,000 | 120,098 | |||
4.38%, 6/30/2050 | 315,000 | 409,774 | |||
4.50%, 7/16/2044 | 50,000 | 63,960 | |||
4.88%, 6/1/2022 | 50,000 | 53,097 | |||
Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (c) | 100,000 | 115,070 | |||
Aon Corp.: | |||||
2.20%, 11/15/2022 | 100,000 | 103,355 | |||
3.75%, 5/2/2029 | 100,000 | 116,806 |
Security Description | Principal Amount | Value | |||
Aon PLC: | |||||
3.50%, 6/14/2024 | $ 50,000 | $ 54,560 | |||
3.88%, 12/15/2025 | 150,000 | 171,111 | |||
Arch Capital Group, Ltd. 3.64%, 6/30/2050 (b) | 105,000 | 121,806 | |||
Assurant, Inc.: | |||||
4.20%, 9/27/2023 (b) | 100,000 | 109,294 | |||
4.90%, 3/27/2028 | 50,000 | 57,969 | |||
Athene Holding, Ltd.: | |||||
3.50%, 1/15/2031 | 150,000 | 159,387 | |||
4.13%, 1/12/2028 | 100,000 | 111,291 | |||
AXIS Specialty Finance LLC 3.90%, 7/15/2029 | 25,000 | 27,819 | |||
Berkshire Hathaway Finance Corp.: | |||||
1.45%, 10/15/2030 | 80,000 | 81,062 | |||
1.85%, 3/12/2030 | 10,000 | 10,542 | |||
2.85%, 10/15/2050 | 90,000 | 96,525 | |||
4.20%, 8/15/2048 | 100,000 | 131,990 | |||
4.25%, 1/15/2049 | 150,000 | 198,730 | |||
Berkshire Hathaway, Inc.: | |||||
2.75%, 3/15/2023 | 50,000 | 52,493 | |||
3.00%, 2/11/2023 | 25,000 | 26,387 | |||
3.13%, 3/15/2026 | 55,000 | 61,470 | |||
4.50%, 2/11/2043 | 180,000 | 244,404 | |||
Brighthouse Financial, Inc.: | |||||
3.70%, 6/22/2027 (b) | 150,000 | 163,057 | |||
4.70%, 6/22/2047 | 150,000 | 157,614 | |||
Brown & Brown, Inc.: | |||||
2.38%, 3/15/2031 (b) | 150,000 | 156,021 | |||
4.50%, 3/15/2029 | 50,000 | 59,130 | |||
Chubb INA Holdings, Inc.: | |||||
1.38%, 9/15/2030 | 150,000 | 149,500 | |||
2.88%, 11/3/2022 | 50,000 | 52,088 | |||
3.35%, 5/3/2026 | 250,000 | 282,012 | |||
4.15%, 3/13/2043 | 25,000 | 32,263 | |||
4.35%, 11/3/2045 | 125,000 | 169,192 | |||
CNA Financial Corp.: | |||||
2.05%, 8/15/2030 | 100,000 | 103,035 | |||
3.45%, 8/15/2027 | 100,000 | 113,201 | |||
4.50%, 3/1/2026 | 25,000 | 29,320 | |||
Enstar Group, Ltd. 4.95%, 6/1/2029 | 50,000 | 57,156 | |||
Equitable Holdings, Inc.: | |||||
3.90%, 4/20/2023 | 150,000 | 161,476 | |||
4.35%, 4/20/2028 | 150,000 | 177,253 | |||
5.00%, 4/20/2048 | 100,000 | 130,747 | |||
Fairfax Financial Holdings, Ltd. 4.85%, 4/17/2028 | 100,000 | 112,271 | |||
Fidelity National Financial, Inc.: | |||||
2.45%, 3/15/2031 | 100,000 | 101,714 | |||
4.50%, 8/15/2028 | 50,000 | 58,136 | |||
First American Financial Corp. 4.60%, 11/15/2024 | 25,000 | 27,760 |
Security Description | Principal Amount | Value | |||
Globe Life, Inc.: | |||||
2.15%, 8/15/2030 | $ 100,000 | $ 101,560 | |||
4.55%, 9/15/2028 | 25,000 | 29,996 | |||
Hanover Insurance Group, Inc. 2.50%, 9/1/2030 | 15,000 | 15,638 | |||
Hartford Financial Services Group, Inc.: | |||||
2.80%, 8/19/2029 | 70,000 | 76,412 | |||
4.40%, 3/15/2048 | 100,000 | 132,046 | |||
Kemper Corp. 2.40%, 9/30/2030 | 100,000 | 101,550 | |||
Lincoln National Corp.: | |||||
3.05%, 1/15/2030 | 100,000 | 111,465 | |||
3.80%, 3/1/2028 | 35,000 | 40,405 | |||
4.00%, 9/1/2023 | 15,000 | 16,370 | |||
4.35%, 3/1/2048 | 50,000 | 63,864 | |||
6.30%, 10/9/2037 | 50,000 | 69,182 | |||
Loews Corp.: | |||||
3.20%, 5/15/2030 | 15,000 | 17,023 | |||
3.75%, 4/1/2026 | 50,000 | 57,081 | |||
Manulife Financial Corp.: | |||||
2.48%, 5/19/2027 | 70,000 | 75,743 | |||
USD 5 Year Swap Rate + 1.65%, 4.06%, 2/24/2032 (c) | 50,000 | 54,612 | |||
Markel Corp.: | |||||
3.50%, 11/1/2027 | 50,000 | 55,945 | |||
4.15%, 9/17/2050 | 50,000 | 63,232 | |||
5.00%, 5/20/2049 | 30,000 | 41,349 | |||
Marsh & McLennan Cos., Inc.: | |||||
2.75%, 1/30/2022 | 30,000 | 30,700 | |||
3.30%, 3/14/2023 | 150,000 | 158,751 | |||
3.75%, 3/14/2026 | 25,000 | 28,418 | |||
3.88%, 3/15/2024 | 100,000 | 110,402 | |||
4.38%, 3/15/2029 | 250,000 | 304,615 | |||
Mercury General Corp. 4.40%, 3/15/2027 | 50,000 | 55,381 | |||
MetLife, Inc.: | |||||
3.60%, 4/10/2024 | 300,000 | 330,663 | |||
4.05%, 3/1/2045 | 150,000 | 192,093 | |||
4.88%, 11/13/2043 | 200,000 | 282,944 | |||
6.40%, 12/15/2066 | 100,000 | 129,212 | |||
Series D, 4.37%, 9/15/2023 | 50,000 | 55,389 | |||
Principal Financial Group, Inc.: | |||||
2.13%, 6/15/2030 | 150,000 | 156,901 | |||
3.70%, 5/15/2029 | 50,000 | 58,628 | |||
Progressive Corp.: | |||||
4.00%, 3/1/2029 | 50,000 | 60,015 | |||
4.20%, 3/15/2048 | 100,000 | 133,927 | |||
Prudential Financial, Inc.: | |||||
3.94%, 12/7/2049 | 100,000 | 121,900 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 2.38%, 4.50%, 9/15/2047 (c) | $ 170,000 | $ 186,677 | |||
3 Month USD LIBOR + 3.03%, 5.38%, 5/15/2045 (c) | 200,000 | 218,370 | |||
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043 (c) | 80,000 | 86,230 | |||
5 year CMT + 3.04%, 3.70%, 10/1/2050 (c) | 100,000 | 105,606 | |||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 55,049 | |||
Series MTN, 3.70%, 3/13/2051 | 100,000 | 120,214 | |||
Series MTN, 4.60%, 5/15/2044 (b) | 75,000 | 98,015 | |||
Series MTN, 6.63%, 6/21/2040 | 25,000 | 38,593 | |||
Reinsurance Group of America, Inc.: | |||||
3.15%, 6/15/2030 | 35,000 | 38,418 | |||
3.90%, 5/15/2029 | 50,000 | 57,387 | |||
RenaissanceRe Finance, Inc. 3.45%, 7/1/2027 | 30,000 | 33,005 | |||
Travelers Cos., Inc.: | |||||
2.55%, 4/27/2050 | 10,000 | 10,513 | |||
3.75%, 5/15/2046 | 10,000 | 12,517 | |||
4.00%, 5/30/2047 | 80,000 | 104,350 | |||
4.05%, 3/7/2048 | 100,000 | 132,391 | |||
4.10%, 3/4/2049 | 100,000 | 133,076 | |||
Series MTN, 6.25%, 6/15/2037 | 25,000 | 38,179 | |||
Trinity Acquisition PLC 4.40%, 3/15/2026 | 26,000 | 30,308 | |||
Unum Group: | |||||
4.00%, 6/15/2029 (b) | 70,000 | 78,848 | |||
4.50%, 3/15/2025 | 25,000 | 28,344 | |||
4.50%, 12/15/2049 | 15,000 | 15,969 | |||
Voya Financial, Inc. 3.65%, 6/15/2026 | 50,000 | 57,144 | |||
Willis North America, Inc.: | |||||
3.60%, 5/15/2024 | 50,000 | 54,613 | |||
3.88%, 9/15/2049 | 70,000 | 85,699 | |||
4.50%, 9/15/2028 | 50,000 | 60,202 | |||
WR Berkley Corp. 4.00%, 5/12/2050 | 45,000 | 55,240 | |||
XLIT, Ltd. 5.50%, 3/31/2045 | 125,000 | 174,480 | |||
11,792,328 | |||||
INTERNET — 0.4% | |||||
Alibaba Group Holding, Ltd.: | |||||
3.40%, 12/6/2027 | 200,000 | 223,886 | |||
3.60%, 11/28/2024 | 75,000 | 82,577 | |||
4.20%, 12/6/2047 (b) | 260,000 | 325,881 |
Security Description | Principal Amount | Value | |||
Alphabet, Inc.: | |||||
1.10%, 8/15/2030 | $ 165,000 | $ 162,215 | |||
1.90%, 8/15/2040 | 350,000 | 341,544 | |||
2.00%, 8/15/2026 | 250,000 | 267,775 | |||
2.05%, 8/15/2050 | 250,000 | 238,290 | |||
Amazon.com, Inc.: | |||||
0.40%, 6/3/2023 | 250,000 | 251,067 | |||
0.80%, 6/3/2025 | 65,000 | 65,962 | |||
1.50%, 6/3/2030 | 235,000 | 239,277 | |||
2.40%, 2/22/2023 | 200,000 | 208,746 | |||
2.50%, 11/29/2022 | 25,000 | 25,944 | |||
2.50%, 6/3/2050 | 40,000 | 41,451 | |||
2.70%, 6/3/2060 | 30,000 | 32,049 | |||
2.80%, 8/22/2024 | 100,000 | 108,354 | |||
3.15%, 8/22/2027 | 100,000 | 113,759 | |||
3.80%, 12/5/2024 | 30,000 | 33,723 | |||
3.88%, 8/22/2037 | 125,000 | 155,749 | |||
4.05%, 8/22/2047 | 125,000 | 165,147 | |||
4.25%, 8/22/2057 | 150,000 | 212,601 | |||
4.95%, 12/5/2044 | 125,000 | 183,339 | |||
5.20%, 12/3/2025 | 50,000 | 60,709 | |||
Baidu, Inc. 2.88%, 7/6/2022 | 250,000 | 256,900 | |||
Booking Holdings, Inc.: | |||||
3.60%, 6/1/2026 | 250,000 | 284,287 | |||
4.10%, 4/13/2025 | 100,000 | 113,570 | |||
4.63%, 4/13/2030 | 100,000 | 124,019 | |||
E*TRADE Financial Corp. 2.95%, 8/24/2022 | 175,000 | 181,856 | |||
eBay, Inc.: | |||||
1.90%, 3/11/2025 (b) | 140,000 | 147,209 | |||
2.70%, 3/11/2030 (b) | 100,000 | 107,859 | |||
2.75%, 1/30/2023 | 150,000 | 156,963 | |||
3.45%, 8/1/2024 (b) | 25,000 | 27,300 | |||
3.80%, 3/9/2022 | 50,000 | 51,844 | |||
Expedia Group, Inc.: | |||||
3.25%, 2/15/2030 | 35,000 | 36,291 | |||
3.80%, 2/15/2028 | 50,000 | 53,466 | |||
4.63%, 8/1/2027 (d) | 90,000 | 100,553 | |||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 150,000 | 154,350 | |||
5,336,512 | |||||
INVESTMENT COMPANY SECURITY — 0.1% | |||||
Ares Capital Corp.: | |||||
3.50%, 2/10/2023 | 50,000 | 52,842 | |||
3.88%, 1/15/2026 | 100,000 | 108,392 | |||
4.20%, 6/10/2024 | 50,000 | 54,443 | |||
4.25%, 3/1/2025 | 50,000 | 54,310 | |||
FS KKR Capital Corp.: | |||||
3.40%, 1/15/2026 | 250,000 | 248,450 | |||
4.13%, 2/1/2025 | 100,000 | 104,022 | |||
Owl Rock Capital Corp.: | |||||
3.40%, 7/15/2026 | 250,000 | 253,075 |
Security Description | Principal Amount | Value | |||
4.00%, 3/30/2025 | $ 50,000 | $ 52,177 | |||
927,711 | |||||
IRON/STEEL — 0.1% | |||||
Nucor Corp.: | |||||
2.00%, 6/1/2025 | 15,000 | 15,865 | |||
2.70%, 6/1/2030 | 15,000 | 16,498 | |||
2.98%, 12/15/2055 (d) | 50,000 | 52,259 | |||
4.00%, 8/1/2023 | 25,000 | 27,023 | |||
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 40,000 | 40,687 | |||
Steel Dynamics, Inc.: | |||||
1.65%, 10/15/2027 (b) | 10,000 | 10,278 | |||
2.80%, 12/15/2024 | 25,000 | 26,869 | |||
3.25%, 10/15/2050 | 20,000 | 20,785 | |||
3.45%, 4/15/2030 | 40,000 | 45,278 | |||
Vale Overseas, Ltd.: | |||||
6.25%, 8/10/2026 | 150,000 | 186,360 | |||
6.88%, 11/10/2039 | 300,000 | 447,297 | |||
8.25%, 1/17/2034 | 25,000 | 38,440 | |||
927,639 | |||||
LODGING — 0.1% | |||||
Choice Hotels International, Inc. 3.70%, 12/1/2029 | 50,000 | 54,678 | |||
Hyatt Hotels Corp. 4.38%, 9/15/2028 | 50,000 | 54,966 | |||
Las Vegas Sands Corp.: | |||||
2.90%, 6/25/2025 | 65,000 | 68,082 | |||
3.20%, 8/8/2024 | 45,000 | 47,718 | |||
3.50%, 8/18/2026 | 30,000 | 32,164 | |||
3.90%, 8/8/2029 | 40,000 | 42,998 | |||
Marriott International, Inc.: | |||||
3.75%, 3/15/2025 | 25,000 | 26,967 | |||
Series EE, 5.75%, 5/1/2025 | 290,000 | 339,300 | |||
Sands China, Ltd. 5.13%, 8/8/2025 | 250,000 | 280,322 | |||
947,195 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
ABB Finance USA, Inc. 2.88%, 5/8/2022 | 50,000 | 51,706 | |||
Caterpillar Financial Services Corp.: | |||||
Series MTN, 0.45%, 9/14/2023 | 250,000 | 250,857 | |||
Series MTN, 0.80%, 11/13/2025 | 30,000 | 30,198 | |||
Series MTN, 0.95%, 5/13/2022 | 100,000 | 100,939 | |||
Series MTN, 1.95%, 11/18/2022 | 300,000 | 309,399 |
Security Description | Principal Amount | Value | |||
Series MTN, 2.40%, 6/6/2022 | $ 150,000 | $ 154,566 | |||
Series MTN, 2.95%, 2/26/2022 | 150,000 | 154,596 | |||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 27,401 | |||
Caterpillar, Inc.: | |||||
2.60%, 9/19/2029 (b) | 100,000 | 110,393 | |||
2.60%, 4/9/2030 (b) | 95,000 | 104,624 | |||
3.25%, 4/9/2050 | 125,000 | 146,812 | |||
3.80%, 8/15/2042 | 125,000 | 157,686 | |||
4.75%, 5/15/2064 | 25,000 | 37,261 | |||
Oshkosh Corp. 3.10%, 3/1/2030 | 10,000 | 10,886 | |||
1,647,324 | |||||
MACHINERY-DIVERSIFIED — 0.3% | |||||
CNH Industrial Capital LLC: | |||||
4.20%, 1/15/2024 | 100,000 | 110,039 | |||
4.38%, 4/5/2022 | 15,000 | 15,685 | |||
CNH Industrial NV Series MTN, 3.85%, 11/15/2027 (b) | 15,000 | 16,902 | |||
Deere & Co.: | |||||
2.60%, 6/8/2022 | 25,000 | 25,684 | |||
2.88%, 9/7/2049 | 35,000 | 38,929 | |||
3.90%, 6/9/2042 | 225,000 | 283,183 | |||
Flowserve Corp. 3.50%, 10/1/2030 | 35,000 | 37,454 | |||
IDEX Corp. 3.00%, 5/1/2030 | 25,000 | 27,573 | |||
John Deere Capital Corp.: | |||||
3.65%, 10/12/2023 | 100,000 | 109,213 | |||
Series GMTN, 3.45%, 6/7/2023 | 25,000 | 26,878 | |||
Series MTN, 2.15%, 9/8/2022 | 150,000 | 154,791 | |||
Series MTN, 2.25%, 9/14/2026 (b) | 100,000 | 108,115 | |||
Series MTN, 2.60%, 3/7/2024 | 65,000 | 69,509 | |||
Series MTN, 2.80%, 3/6/2023 | 150,000 | 158,457 | |||
Series MTN, 2.80%, 7/18/2029 | 50,000 | 55,895 | |||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 28,075 | |||
Series MTN, 3.45%, 3/13/2025 | 100,000 | 112,076 | |||
nVent Finance Sarl 4.55%, 4/15/2028 | 50,000 | 54,299 | |||
Otis Worldwide Corp.: | |||||
2.06%, 4/5/2025 (b) | 600,000 | 636,366 | |||
2.57%, 2/15/2030 | 250,000 | 268,372 | |||
3.11%, 2/15/2040 | 250,000 | 272,610 |
Security Description | Principal Amount | Value | |||
Rockwell Automation, Inc.: | |||||
3.50%, 3/1/2029 | $ 85,000 | $ 98,988 | |||
4.20%, 3/1/2049 | 250,000 | 338,215 | |||
Wabtec Corp. 4.40%, 3/15/2024 | 50,000 | 54,727 | |||
Westinghouse Air Brake Technologies Corp. 4.95%, 9/15/2028 | 300,000 | 354,972 | |||
Xylem, Inc. 1.95%, 1/30/2028 | 45,000 | 47,507 | |||
3,504,514 | |||||
MEDIA — 1.0% | |||||
CBS Corp.: | |||||
2.90%, 1/15/2027 | 125,000 | 137,186 | |||
4.20%, 6/1/2029 | 200,000 | 239,022 | |||
4.95%, 5/19/2050 | 200,000 | 259,662 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital: | |||||
2.30%, 2/1/2032 | 350,000 | 349,538 | |||
2.80%, 4/1/2031 | 290,000 | 305,846 | |||
3.70%, 4/1/2051 | 80,000 | 82,584 | |||
3.85%, 4/1/2061 | 100,000 | 100,931 | |||
4.20%, 3/15/2028 | 250,000 | 287,847 | |||
4.46%, 7/23/2022 | 150,000 | 158,104 | |||
4.80%, 3/1/2050 | 155,000 | 184,092 | |||
4.91%, 7/23/2025 | 50,000 | 58,049 | |||
5.05%, 3/30/2029 | 100,000 | 121,199 | |||
5.38%, 5/1/2047 | 150,000 | 187,699 | |||
6.48%, 10/23/2045 | 185,000 | 261,309 | |||
Class USD, 4.50%, 2/1/2024 | 100,000 | 111,008 | |||
Comcast Corp.: | |||||
1.50%, 2/15/2031 | 150,000 | 148,237 | |||
1.95%, 1/15/2031 | 70,000 | 71,754 | |||
2.45%, 8/15/2052 (b) | 115,000 | 111,720 | |||
2.65%, 8/15/2062 | 75,000 | 75,026 | |||
2.80%, 1/15/2051 | 55,000 | 57,285 | |||
3.10%, 4/1/2025 | 35,000 | 38,492 | |||
3.15%, 3/1/2026 | 225,000 | 250,639 | |||
3.15%, 2/15/2028 | 200,000 | 224,716 | |||
3.20%, 7/15/2036 | 250,000 | 283,282 | |||
3.30%, 2/1/2027 | 150,000 | 169,278 | |||
3.30%, 4/1/2027 | 100,000 | 113,749 | |||
3.40%, 4/1/2030 | 50,000 | 57,688 | |||
3.40%, 7/15/2046 | 100,000 | 114,762 | |||
3.60%, 3/1/2024 | 25,000 | 27,480 | |||
3.70%, 4/15/2024 | 500,000 | 551,125 | |||
3.75%, 4/1/2040 | 250,000 | 301,437 | |||
3.90%, 3/1/2038 | 150,000 | 183,022 | |||
3.95%, 10/15/2025 | 350,000 | 401,807 | |||
4.00%, 11/1/2049 | 69,000 | 87,345 | |||
4.15%, 10/15/2028 | 250,000 | 299,827 | |||
4.20%, 8/15/2034 | 100,000 | 125,394 |
Security Description | Principal Amount | Value | |||
4.25%, 10/15/2030 | $ 50,000 | $ 61,435 | |||
4.25%, 1/15/2033 | 50,000 | 62,792 | |||
4.60%, 10/15/2038 | 305,000 | 401,999 | |||
4.65%, 7/15/2042 | 75,000 | 100,676 | |||
4.70%, 10/15/2048 | 500,000 | 694,225 | |||
4.95%, 10/15/2058 | 105,000 | 158,619 | |||
Discovery Communications LLC: | |||||
3.80%, 3/13/2024 | 100,000 | 109,154 | |||
3.95%, 3/20/2028 | 30,000 | 34,396 | |||
4.00%, 9/15/2055 (d) | 265,000 | 295,660 | |||
4.65%, 5/15/2050 | 250,000 | 312,695 | |||
5.20%, 9/20/2047 | 100,000 | 129,833 | |||
Fox Corp.: | |||||
3.67%, 1/25/2022 | 15,000 | �� | 15,526 | ||
4.03%, 1/25/2024 | 25,000 | 27,519 | |||
4.71%, 1/25/2029 | 40,000 | 48,568 | |||
5.48%, 1/25/2039 | 275,000 | 377,864 | |||
5.58%, 1/25/2049 | 25,000 | 36,506 | |||
Grupo Televisa SAB: | |||||
5.00%, 5/13/2045 | 50,000 | 60,328 | |||
6.13%, 1/31/2046 | 100,000 | 138,639 | |||
Thomson Reuters Corp. 3.35%, 5/15/2026 | 50,000 | 56,043 | |||
Time Warner Cable LLC: | |||||
4.50%, 9/15/2042 | 100,000 | 116,507 | |||
5.50%, 9/1/2041 | 425,000 | 546,873 | |||
5.88%, 11/15/2040 | 50,000 | 66,373 | |||
6.75%, 6/15/2039 | 50,000 | 71,204 | |||
TWDC Enterprises 18 Corp.: | |||||
3.00%, 2/13/2026 | 50,000 | 55,463 | |||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 27,735 | |||
Series MTN, 3.00%, 7/30/2046 | 75,000 | 81,114 | |||
Viacom, Inc.: | |||||
4.95%, 1/15/2031 | 250,000 | 313,690 | |||
5.85%, 9/1/2043 | 200,000 | 277,894 | |||
ViacomCBS, Inc.: | |||||
3.70%, 6/1/2028 | 50,000 | 57,100 | |||
4.38%, 3/15/2043 | 25,000 | 29,520 | |||
4.75%, 5/15/2025 | 250,000 | 290,240 | |||
Walt Disney Co.: | |||||
1.65%, 9/1/2022 | 20,000 | 20,433 | |||
1.75%, 8/30/2024 | 50,000 | 52,108 | |||
1.75%, 1/13/2026 | 105,000 | 109,932 | |||
2.00%, 9/1/2029 | 185,000 | 192,909 | |||
2.20%, 1/13/2028 | 70,000 | 74,767 | |||
2.65%, 1/13/2031 (b) | 440,000 | 482,359 | |||
3.35%, 3/24/2025 | 250,000 | 277,187 | |||
3.38%, 11/15/2026 | 100,000 | 112,792 | |||
3.50%, 5/13/2040 | 150,000 | 176,455 | |||
3.60%, 1/13/2051 | 75,000 | 90,910 | |||
3.70%, 10/15/2025 | 100,000 | 113,000 | |||
3.80%, 5/13/2060 | 90,000 | 113,951 |
Security Description | Principal Amount | Value | |||
4.00%, 10/1/2023 | $ 100,000 | $ 108,949 | |||
4.70%, 3/23/2050 | 150,000 | 212,527 | |||
5.40%, 10/1/2043 | 75,000 | 109,524 | |||
6.65%, 11/15/2037 | 250,000 | 393,460 | |||
14,235,594 | |||||
METAL FABRICATE & HARDWARE — 0.0% (a) | |||||
Precision Castparts Corp. 2.50%, 1/15/2023 | 75,000 | 77,921 | |||
Timken Co. 4.50%, 12/15/2028 | 20,000 | 22,318 | |||
100,239 | |||||
MINING — 0.1% | |||||
Barrick Gold Corp. 5.25%, 4/1/2042 | 25,000 | 34,433 | |||
Barrick North America Finance LLC 5.75%, 5/1/2043 | 250,000 | 363,475 | |||
BHP Billiton Finance USA, Ltd.: | |||||
4.13%, 2/24/2042 (b) | 125,000 | 162,189 | |||
5.00%, 9/30/2043 | 50,000 | 73,467 | |||
Newmont Corp.: | |||||
2.25%, 10/1/2030 | 65,000 | 68,458 | |||
2.80%, 10/1/2029 | 80,000 | 87,458 | |||
3.70%, 3/15/2023 | 7,000 | 7,386 | |||
4.88%, 3/15/2042 | 50,000 | 67,712 | |||
Rio Tinto Finance USA PLC: | |||||
4.13%, 8/21/2042 | 25,000 | 32,615 | |||
4.75%, 3/22/2042 | 150,000 | 208,680 | |||
Rio Tinto Finance USA, Ltd. 3.75%, 6/15/2025 | 250,000 | 282,380 | |||
Southern Copper Corp. 5.88%, 4/23/2045 | 357,000 | 517,125 | |||
1,905,378 | |||||
MISCELLANEOUS MANUFACTURER — 0.2% | |||||
3M Co.: | |||||
1.75%, 2/14/2023 | 100,000 | 103,017 | |||
2.00%, 2/14/2025 | 100,000 | 106,022 | |||
2.38%, 8/26/2029 (b) | 100,000 | 108,245 | |||
2.88%, 10/15/2027 | 225,000 | 250,884 | |||
3.25%, 8/26/2049 | 60,000 | 68,762 | |||
Series MTN, 3.38%, 3/1/2029 (b) | 50,000 | 57,852 | |||
Series MTN, 3.63%, 10/15/2047 | 25,000 | 30,171 | |||
Series MTN, 4.00%, 9/14/2048 | 30,000 | 38,374 | |||
Carlisle Cos., Inc. 2.75%, 3/1/2030 | 65,000 | 69,754 | |||
Eaton Corp.: | |||||
3.10%, 9/15/2027 | 100,000 | 112,031 | |||
4.15%, 11/2/2042 | 25,000 | 31,649 |
Security Description | Principal Amount | Value | |||
General Electric Co.: | |||||
3.45%, 5/1/2027 | $ 45,000 | $ 50,724 | |||
3.63%, 5/1/2030 (b) | 50,000 | 56,993 | |||
4.13%, 10/9/2042 | 18,000 | 21,086 | |||
4.25%, 5/1/2040 | 305,000 | 360,174 | |||
4.35%, 5/1/2050 | 305,000 | 368,952 | |||
Series GMTN, 3.45%, 5/15/2024 | 50,000 | 54,509 | |||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 67,823 | |||
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 325,000 | 408,544 | |||
Parker-Hannifin Corp.: | |||||
2.70%, 6/14/2024 | 35,000 | 37,559 | |||
4.00%, 6/14/2049 | 40,000 | 49,921 | |||
Series MTN, 3.30%, 11/21/2024 | 50,000 | 54,740 | |||
Textron, Inc.: | |||||
2.45%, 3/15/2031 | 30,000 | 30,806 | |||
3.90%, 9/17/2029 | 50,000 | 57,051 | |||
4.00%, 3/15/2026 | 50,000 | 56,335 | |||
Trane Technologies Global Holding Co., Ltd. 5.75%, 6/15/2043 | 25,000 | 36,091 | |||
Trane Technologies Luxembourg Finance SA 3.80%, 3/21/2029 | 100,000 | 117,329 | |||
2,805,398 | |||||
OIL & GAS — 1.3% | |||||
BP Capital Markets America, Inc.: | |||||
1.75%, 8/10/2030 | 500,000 | 503,340 | |||
3.00%, 2/24/2050 | 250,000 | 257,215 | |||
3.02%, 1/16/2027 (b) | 200,000 | 221,032 | |||
3.22%, 4/14/2024 | 200,000 | 216,174 | |||
3.59%, 4/14/2027 | 250,000 | 284,167 | |||
3.63%, 4/6/2030 | 200,000 | 232,690 | |||
3.94%, 9/21/2028 | 100,000 | 117,577 | |||
BP Capital Markets PLC: | |||||
3.06%, 3/17/2022 | 200,000 | 206,368 | |||
3.81%, 2/10/2024 | 150,000 | 164,682 | |||
Canadian Natural Resources, Ltd.: | |||||
2.95%, 1/15/2023 | 250,000 | 261,550 | |||
3.85%, 6/1/2027 | 50,000 | 56,174 | |||
3.90%, 2/1/2025 | 25,000 | 27,639 | |||
Series GMTN, 4.95%, 6/1/2047 | 100,000 | 126,108 | |||
Chevron Corp.: | |||||
1.14%, 5/11/2023 | 250,000 | 255,140 | |||
1.55%, 5/11/2025 | 135,000 | 140,517 | |||
2.00%, 5/11/2027 | 350,000 | 371,164 | |||
2.24%, 5/11/2030 (b) | 100,000 | 107,227 | |||
2.95%, 5/16/2026 | 50,000 | 55,504 | |||
2.98%, 5/11/2040 | 45,000 | 49,862 |
Security Description | Principal Amount | Value | |||
3.08%, 5/11/2050 | $ 100,000 | $ 111,636 | |||
3.19%, 6/24/2023 | 25,000 | 26,617 | |||
Chevron USA, Inc.: | |||||
0.33%, 8/12/2022 (b) | 65,000 | 65,099 | |||
0.43%, 8/11/2023 | 30,000 | 30,090 | |||
0.69%, 8/12/2025 | 65,000 | 65,400 | |||
1.02%, 8/12/2027 | 40,000 | 40,056 | |||
2.34%, 8/12/2050 | 65,000 | 63,372 | |||
Cimarex Energy Co. 3.90%, 5/15/2027 | 250,000 | 276,190 | |||
CNOOC Finance 2015 USA LLC: | |||||
3.50%, 5/5/2025 | 300,000 | 323,472 | |||
4.38%, 5/2/2028 | 250,000 | 285,750 | |||
CNOOC Nexen Finance 2014 ULC 4.88%, 4/30/2044 | 100,000 | 124,647 | |||
Concho Resources, Inc. 3.75%, 10/1/2027 | 300,000 | 343,125 | |||
ConocoPhillips 6.50%, 2/1/2039 | 75,000 | 115,726 | |||
ConocoPhillips Co.: | |||||
4.95%, 3/15/2026 | 200,000 | 240,140 | |||
5.95%, 3/15/2046 | 200,000 | 306,048 | |||
6.95%, 4/15/2029 | 50,000 | 70,084 | |||
Devon Energy Corp.: | |||||
5.00%, 6/15/2045 | 25,000 | 29,312 | |||
5.85%, 12/15/2025 | 50,000 | 58,777 | |||
Diamondback Energy, Inc.: | |||||
2.88%, 12/1/2024 | 60,000 | 63,022 | |||
3.25%, 12/1/2026 | 45,000 | 48,094 | |||
3.50%, 12/1/2029 | 100,000 | 106,886 | |||
Ecopetrol SA: | |||||
4.13%, 1/16/2025 | 100,000 | 108,991 | |||
5.88%, 5/28/2045 | 225,000 | 272,257 | |||
6.88%, 4/29/2030 (b) | 250,000 | 322,250 | |||
7.38%, 9/18/2043 | 50,000 | 68,269 | |||
EOG Resources, Inc.: | |||||
2.63%, 3/15/2023 | 100,000 | 104,429 | |||
3.90%, 4/1/2035 | 25,000 | 29,386 | |||
4.38%, 4/15/2030 | 30,000 | 36,566 | |||
4.95%, 4/15/2050 | 35,000 | 47,530 | |||
Equinor ASA: | |||||
2.65%, 1/15/2024 | 75,000 | 79,738 | |||
2.88%, 4/6/2025 | 250,000 | 272,882 | |||
3.25%, 11/18/2049 | 305,000 | 339,364 | |||
3.63%, 9/10/2028 (b) | 50,000 | 58,175 | |||
3.63%, 4/6/2040 | 100,000 | 120,229 | |||
3.70%, 3/1/2024 | 300,000 | 329,997 | |||
3.95%, 5/15/2043 | 50,000 | 60,815 | |||
4.80%, 11/8/2043 | 30,000 | 40,409 | |||
Exxon Mobil Corp.: | |||||
1.57%, 4/15/2023 | 150,000 | 154,419 | |||
1.90%, 8/16/2022 | 20,000 | 20,528 | |||
2.02%, 8/16/2024 (b) | 50,000 | 52,628 | |||
2.44%, 8/16/2029 | 50,000 | 54,285 |
Security Description | Principal Amount | Value | |||
2.61%, 10/15/2030 (b) | $ 300,000 | $ 327,609 | |||
2.99%, 3/19/2025 | 150,000 | 164,227 | |||
3.00%, 8/16/2039 (b) | 50,000 | 54,224 | |||
3.10%, 8/16/2049 | 50,000 | 54,081 | |||
3.29%, 3/19/2027 | 350,000 | 398,881 | |||
3.45%, 4/15/2051 | 545,000 | 622,096 | |||
3.48%, 3/19/2030 | 250,000 | 290,225 | |||
4.11%, 3/1/2046 | 125,000 | 154,045 | |||
4.23%, 3/19/2040 | 105,000 | 130,684 | |||
4.33%, 3/19/2050 | 250,000 | 326,900 | |||
Hess Corp.: | |||||
5.60%, 2/15/2041 | 75,000 | 90,792 | |||
5.80%, 4/1/2047 | 250,000 | 315,437 | |||
HollyFrontier Corp. 2.63%, 10/1/2023 | 45,000 | 45,995 | |||
Husky Energy, Inc. 4.40%, 4/15/2029 | 100,000 | 111,331 | |||
Marathon Oil Corp.: | |||||
2.80%, 11/1/2022 | 9,000 | 9,251 | |||
4.40%, 7/15/2027 (b) | 50,000 | 55,532 | |||
5.20%, 6/1/2045 | 50,000 | 57,150 | |||
Marathon Petroleum Corp.: | |||||
3.63%, 9/15/2024 | 50,000 | 54,378 | |||
3.80%, 4/1/2028 | 30,000 | 33,445 | |||
4.50%, 5/1/2023 | 250,000 | 271,552 | |||
4.50%, 4/1/2048 | 25,000 | 27,854 | |||
4.70%, 5/1/2025 | 350,000 | 401,184 | |||
5.13%, 12/15/2026 | 150,000 | 178,902 | |||
Nexen, Inc. 5.88%, 3/10/2035 | 100,000 | 130,798 | |||
Noble Energy, Inc.: | |||||
4.95%, 8/15/2047 | 250,000 | 352,170 | |||
5.25%, 11/15/2043 | 50,000 | 70,868 | |||
Petro-Canada 5.35%, 7/15/2033 | 25,000 | 30,459 | |||
Phillips 66: | |||||
2.15%, 12/15/2030 (b) | 150,000 | 152,145 | |||
3.70%, 4/6/2023 | 20,000 | 21,421 | |||
3.85%, 4/9/2025 | 180,000 | 202,687 | |||
3.90%, 3/15/2028 (b) | 50,000 | 57,650 | |||
4.30%, 4/1/2022 | 35,000 | 36,682 | |||
4.88%, 11/15/2044 | 95,000 | 119,894 | |||
Pioneer Natural Resources Co. 4.45%, 1/15/2026 | 50,000 | 57,819 | |||
Shell International Finance B.V.: | |||||
0.38%, 9/15/2023 (b) | 200,000 | 200,438 | |||
2.38%, 4/6/2025 | 250,000 | 268,017 | |||
2.38%, 11/7/2029 | 100,000 | 107,561 | |||
2.50%, 9/12/2026 | 150,000 | 164,379 | |||
2.75%, 4/6/2030 | 250,000 | 276,427 | |||
3.13%, 11/7/2049 | 100,000 | 110,663 | |||
3.25%, 5/11/2025 | 100,000 | 110,979 | |||
3.25%, 4/6/2050 | 500,000 | 566,962 | |||
4.00%, 5/10/2046 | 100,000 | 125,489 |
Security Description | Principal Amount | Value | |||
4.13%, 5/11/2035 | $ 75,000 | $ 93,845 | |||
4.38%, 5/11/2045 | 250,000 | 328,952 | |||
4.55%, 8/12/2043 | 250,000 | 332,005 | |||
5.50%, 3/25/2040 | 25,000 | 36,017 | |||
Suncor Energy, Inc.: | |||||
2.80%, 5/15/2023 | 45,000 | 47,380 | |||
3.10%, 5/15/2025 | 40,000 | 43,810 | |||
3.60%, 12/1/2024 | 25,000 | 27,591 | |||
4.00%, 11/15/2047 | 70,000 | 79,323 | |||
6.50%, 6/15/2038 | 50,000 | 70,156 | |||
Total Capital International SA: | |||||
3.13%, 5/29/2050 | 200,000 | 217,670 | |||
3.75%, 4/10/2024 | 375,000 | 415,369 | |||
Total Capital SA 3.88%, 10/11/2028 (b) | 25,000 | 29,664 | |||
Valero Energy Corp.: | |||||
1.20%, 3/15/2024 | 250,000 | 251,840 | |||
2.15%, 9/15/2027 | 250,000 | 255,835 | |||
2.85%, 4/15/2025 | 55,000 | 58,680 | |||
3.40%, 9/15/2026 | 50,000 | 54,875 | |||
6.63%, 6/15/2037 | 250,000 | 331,537 | |||
19,034,652 | |||||
OIL & GAS SERVICES — 0.1% | |||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc.: | |||||
2.77%, 12/15/2022 | 100,000 | 104,462 | |||
3.34%, 12/15/2027 | 50,000 | 56,168 | |||
4.08%, 12/15/2047 | 150,000 | 171,216 | |||
Halliburton Co.: | |||||
2.92%, 3/1/2030 | 500,000 | 526,974 | |||
3.80%, 11/15/2025 (b) | 22,000 | 24,666 | |||
4.85%, 11/15/2035 | 150,000 | 174,702 | |||
5.00%, 11/15/2045 | 35,000 | 41,285 | |||
7.45%, 9/15/2039 | 25,000 | 36,029 | |||
National Oilwell Varco, Inc. 3.60%, 12/1/2029 (b) | 100,000 | 104,485 | |||
Schlumberger Investment SA 2.65%, 6/26/2030 | 150,000 | 160,483 | |||
1,400,470 | |||||
PACKAGING & CONTAINERS — 0.0% (a) | |||||
Berry Global, Inc. 1.57%, 1/15/2026 (d) | 250,000 | 252,208 | |||
Packaging Corp. of America: | |||||
3.00%, 12/15/2029 | 25,000 | 27,853 | |||
3.40%, 12/15/2027 | 35,000 | 39,415 | |||
4.05%, 12/15/2049 | 10,000 | 12,445 | |||
WRKCo, Inc.: | |||||
3.38%, 9/15/2027 | 100,000 | 111,713 | |||
3.75%, 3/15/2025 | 100,000 | 111,481 | |||
4.20%, 6/1/2032 | 50,000 | 60,611 | |||
615,726 |
Security Description | Principal Amount | Value | |||
PHARMACEUTICALS — 2.0% | |||||
AbbVie, Inc.: | |||||
2.60%, 11/21/2024 | $ 605,000 | $ 648,445 | |||
2.90%, 11/6/2022 | 25,000 | 26,162 | |||
2.95%, 11/21/2026 | 105,000 | 116,277 | |||
3.20%, 5/14/2026 | 200,000 | 222,112 | |||
3.20%, 11/21/2029 | 245,000 | 275,968 | |||
3.25%, 10/1/2022 | 500,000 | 520,785 | |||
3.45%, 3/15/2022 | 200,000 | 206,166 | |||
3.60%, 5/14/2025 | 350,000 | 390,288 | |||
3.75%, 11/14/2023 | 235,000 | 256,303 | |||
3.80%, 3/15/2025 | 425,000 | 474,593 | |||
3.85%, 6/15/2024 | 50,000 | 55,068 | |||
4.05%, 11/21/2039 | 200,000 | 241,852 | |||
4.25%, 11/14/2028 | 35,000 | 41,962 | |||
4.25%, 11/21/2049 | 340,000 | 427,652 | |||
4.30%, 5/14/2036 | 50,000 | 61,762 | |||
4.40%, 11/6/2042 | 50,000 | 62,658 | |||
4.45%, 5/14/2046 | 150,000 | 190,945 | |||
4.50%, 5/14/2035 | 50,000 | 62,937 | |||
4.55%, 3/15/2035 | 350,000 | 442,844 | |||
4.75%, 3/15/2045 | 75,000 | 98,200 | |||
4.88%, 11/14/2048 | 25,000 | 33,994 | |||
AmerisourceBergen Corp.: | |||||
2.80%, 5/15/2030 | 100,000 | 108,778 | |||
3.45%, 12/15/2027 | 50,000 | 56,931 | |||
AstraZeneca PLC: | |||||
0.70%, 4/8/2026 | 500,000 | 497,155 | |||
2.38%, 6/12/2022 | 400,000 | 411,416 | |||
3.38%, 11/16/2025 | 35,000 | 39,336 | |||
3.50%, 8/17/2023 | 50,000 | 53,897 | |||
4.00%, 1/17/2029 | 35,000 | 41,766 | |||
4.00%, 9/18/2042 | 25,000 | 31,062 | |||
4.38%, 8/17/2048 | 40,000 | 53,774 | |||
6.45%, 9/15/2037 | 25,000 | 38,395 | |||
Becton Dickinson & Co.: | |||||
3.70%, 6/6/2027 | 163,000 | 186,479 | |||
3.73%, 12/15/2024 | 50,000 | 55,381 | |||
4.67%, 6/6/2047 | 210,000 | 275,001 | |||
4.69%, 12/15/2044 | 20,000 | 25,826 | |||
Becton Dickinson and Co.: | |||||
2.89%, 6/6/2022 | 200,000 | 206,430 | |||
3.36%, 6/6/2024 | 50,000 | 54,237 | |||
Bristol-Myers Squibb Co.: | |||||
0.54%, 11/13/2023 (b) | 35,000 | 35,055 | |||
0.75%, 11/13/2025 | 50,000 | 50,340 | |||
1.13%, 11/13/2027 | 50,000 | 50,467 | |||
1.45%, 11/13/2030 | 30,000 | 30,123 | |||
2.35%, 11/13/2040 | 20,000 | 20,471 | |||
2.55%, 11/13/2050 | 30,000 | 30,658 | |||
2.60%, 5/16/2022 | 50,000 | 51,592 | |||
2.90%, 7/26/2024 | 500,000 | 542,640 | |||
3.25%, 2/20/2023 | 50,000 | 52,955 | |||
3.25%, 2/27/2027 (b) | 250,000 | 283,180 |
Security Description | Principal Amount | Value | |||
3.25%, 8/1/2042 | $ 50,000 | $ 57,521 | |||
3.63%, 5/15/2024 | 25,000 | 27,423 | |||
3.88%, 8/15/2025 | 275,000 | 313,646 | |||
3.90%, 2/20/2028 | 100,000 | 118,689 | |||
4.13%, 6/15/2039 | 35,000 | 44,869 | |||
4.25%, 10/26/2049 | 150,000 | 202,357 | |||
4.35%, 11/15/2047 | 225,000 | 302,866 | |||
4.55%, 2/20/2048 | 100,000 | 138,773 | |||
4.63%, 5/15/2044 | 50,000 | 67,817 | |||
5.00%, 8/15/2045 | 150,000 | 216,424 | |||
Cardinal Health, Inc.: | |||||
3.08%, 6/15/2024 | 250,000 | 268,890 | |||
3.41%, 6/15/2027 | 300,000 | 338,559 | |||
4.90%, 9/15/2045 | 25,000 | 30,934 | |||
Cigna Corp.: | |||||
2.40%, 3/15/2030 | 120,000 | 127,712 | |||
3.05%, 10/15/2027 | 50,000 | 55,776 | |||
3.20%, 3/15/2040 | 85,000 | 93,475 | |||
3.40%, 3/15/2050 | 415,000 | 465,709 | |||
3.75%, 7/15/2023 | 67,000 | 72,365 | |||
4.38%, 10/15/2028 | 310,000 | 374,278 | |||
4.80%, 8/15/2038 | 60,000 | 78,026 | |||
4.90%, 12/15/2048 | 295,000 | 405,227 | |||
6.13%, 11/15/2041 | 25,000 | 36,903 | |||
CVS Health Corp.: | |||||
1.30%, 8/21/2027 | 300,000 | 301,968 | |||
1.88%, 2/28/2031 | 250,000 | 253,097 | |||
2.70%, 8/21/2040 | 350,000 | 354,882 | |||
2.88%, 6/1/2026 | 210,000 | 230,689 | |||
3.38%, 8/12/2024 | 25,000 | 27,297 | |||
3.50%, 7/20/2022 | 200,000 | 208,758 | |||
3.70%, 3/9/2023 | 41,000 | 43,849 | |||
3.75%, 4/1/2030 | 250,000 | 291,470 | |||
3.88%, 7/20/2025 | 20,000 | 22,649 | |||
4.10%, 3/25/2025 | 311,000 | 352,742 | |||
4.13%, 4/1/2040 | 350,000 | 418,967 | |||
4.30%, 3/25/2028 | 460,000 | 545,215 | |||
4.78%, 3/25/2038 | 675,000 | 854,806 | |||
4.88%, 7/20/2035 | 45,000 | 58,473 | |||
5.05%, 3/25/2048 | 300,000 | 405,606 | |||
5.13%, 7/20/2045 | 185,000 | 248,202 | |||
Eli Lilly & Co.: | |||||
2.25%, 5/15/2050 | 100,000 | 98,332 | |||
2.35%, 5/15/2022 | 300,000 | 308,211 | |||
2.50%, 9/15/2060 (b) | 250,000 | 250,915 | |||
GlaxoSmithKline Capital PLC: | |||||
0.53%, 10/1/2023 | 100,000 | 100,500 | |||
2.88%, 6/1/2022 | 100,000 | 103,459 | |||
3.00%, 6/1/2024 | 70,000 | 75,648 | |||
3.38%, 6/1/2029 | 85,000 | 98,845 | |||
GlaxoSmithKline Capital, Inc.: | |||||
2.80%, 3/18/2023 | 25,000 | 26,369 | |||
3.38%, 5/15/2023 | 100,000 | 107,126 | |||
3.63%, 5/15/2025 (b) | 55,000 | 61,976 | |||
3.88%, 5/15/2028 | 100,000 | 119,001 |
Security Description | Principal Amount | Value | |||
4.20%, 3/18/2043 | $ 25,000 | $ 32,272 | |||
6.38%, 5/15/2038 | 50,000 | 79,005 | |||
Johnson & Johnson: | |||||
0.55%, 9/1/2025 | 50,000 | 50,198 | |||
0.95%, 9/1/2027 | 65,000 | 65,260 | |||
1.30%, 9/1/2030 | 570,000 | 573,152 | |||
2.10%, 9/1/2040 | 65,000 | 65,587 | |||
2.25%, 9/1/2050 | 100,000 | 101,179 | |||
2.45%, 3/1/2026 (b) | 30,000 | 32,638 | |||
2.45%, 9/1/2060 | 65,000 | 67,536 | |||
2.90%, 1/15/2028 | 250,000 | 282,325 | |||
3.38%, 12/5/2023 | 25,000 | 27,297 | |||
3.40%, 1/15/2038 | 100,000 | 120,026 | |||
3.55%, 3/1/2036 | 150,000 | 183,790 | |||
3.63%, 3/3/2037 | 200,000 | 245,382 | |||
3.75%, 3/3/2047 | 100,000 | 129,157 | |||
4.50%, 12/5/2043 | 50,000 | 70,066 | |||
Mckesson Corp. 0.90%, 12/3/2025 | 370,000 | 371,876 | |||
McKesson Corp.: | |||||
2.85%, 3/15/2023 | 25,000 | 26,121 | |||
3.95%, 2/16/2028 | 60,000 | 70,012 | |||
Mead Johnson Nutrition Co. 4.60%, 6/1/2044 | 25,000 | 33,158 | |||
Merck & Co., Inc.: | |||||
0.75%, 2/24/2026 | 350,000 | 353,139 | |||
1.45%, 6/24/2030 | 55,000 | 55,631 | |||
2.35%, 2/10/2022 | 50,000 | 51,140 | |||
2.35%, 6/24/2040 | 70,000 | 72,434 | |||
2.40%, 9/15/2022 | 25,000 | 25,782 | |||
2.75%, 2/10/2025 | 325,000 | 353,473 | |||
2.90%, 3/7/2024 | 45,000 | 48,512 | |||
3.40%, 3/7/2029 | 100,000 | 116,312 | |||
3.60%, 9/15/2042 | 25,000 | 30,878 | |||
3.70%, 2/10/2045 | 50,000 | 62,206 | |||
3.90%, 3/7/2039 | 100,000 | 126,736 | |||
4.00%, 3/7/2049 | 65,000 | 85,862 | |||
Novartis Capital Corp.: | |||||
1.75%, 2/14/2025 | 100,000 | 104,847 | |||
2.00%, 2/14/2027 | 100,000 | 106,590 | |||
2.20%, 8/14/2030 | 100,000 | 107,548 | |||
2.40%, 5/17/2022 | 300,000 | 308,268 | |||
2.75%, 8/14/2050 | 65,000 | 71,447 | |||
3.00%, 11/20/2025 | 25,000 | 27,677 | |||
3.10%, 5/17/2027 (b) | 30,000 | 33,710 | |||
3.40%, 5/6/2024 | 25,000 | 27,456 | |||
4.00%, 11/20/2045 | 50,000 | 65,425 | |||
Perrigo Finance Unlimited Co. 4.38%, 3/15/2026 | 50,000 | 56,641 | |||
Pfizer, Inc.: | |||||
1.70%, 5/28/2030 | 150,000 | 155,118 | |||
2.55%, 5/28/2040 | 150,000 | 159,418 | |||
2.70%, 5/28/2050 | 250,000 | 268,037 | |||
2.95%, 3/15/2024 | 100,000 | 107,911 | |||
3.00%, 12/15/2026 | 150,000 | 169,288 |
Security Description | Principal Amount | Value | |||
3.20%, 9/15/2023 | $ 50,000 | $ 53,854 | |||
3.40%, 5/15/2024 | 25,000 | 27,487 | |||
3.45%, 3/15/2029 | 100,000 | 116,727 | |||
3.60%, 9/15/2028 (b) | 100,000 | 117,878 | |||
3.90%, 3/15/2039 | 25,000 | 31,184 | |||
4.00%, 12/15/2036 | 150,000 | 190,453 | |||
4.00%, 3/15/2049 | 100,000 | 131,189 | |||
4.10%, 9/15/2038 | 200,000 | 255,504 | |||
4.20%, 9/15/2048 | 35,000 | 46,882 | |||
7.20%, 3/15/2039 | 75,000 | 129,163 | |||
Sanofi 3.63%, 6/19/2028 | 100,000 | 116,809 | |||
Shire Acquisitions Investments Ireland DAC: | |||||
2.88%, 9/23/2023 | 100,000 | 105,992 | |||
3.20%, 9/23/2026 | 30,000 | 33,550 | |||
Takeda Pharmaceutical Co., Ltd.: | |||||
2.05%, 3/31/2030 | 250,000 | 255,377 | |||
3.03%, 7/9/2040 | 200,000 | 211,388 | |||
4.40%, 11/26/2023 | 100,000 | 110,787 | |||
5.00%, 11/26/2028 | 100,000 | 124,273 | |||
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | 250,000 | 327,425 | |||
Viatris, Inc.: | |||||
1.13%, 6/22/2022 (d) | 500,000 | 504,640 | |||
2.70%, 6/22/2030 (d) | 150,000 | 159,111 | |||
3.85%, 6/22/2040 (d) | 500,000 | 564,336 | |||
4.00%, 6/22/2050 (d) | 150,000 | 171,334 | |||
Wyeth LLC 6.00%, 2/15/2036 | 25,000 | 37,367 | |||
Zoetis, Inc.: | |||||
3.00%, 9/12/2027 | 50,000 | 55,970 | |||
3.00%, 5/15/2050 | 105,000 | 115,585 | |||
3.90%, 8/20/2028 | 50,000 | 58,941 | |||
4.45%, 8/20/2048 | 25,000 | 33,393 | |||
4.70%, 2/1/2043 | 25,000 | 34,244 | |||
27,845,975 | |||||
PIPELINES — 0.9% | |||||
Boardwalk Pipelines L.P.: | |||||
3.40%, 2/15/2031 | 45,000 | 46,821 | |||
4.80%, 5/3/2029 | 40,000 | 45,800 | |||
Cheniere Corpus Christi Holdings LLC 3.70%, 11/15/2029 | 90,000 | 100,103 | |||
Enable Midstream Partners L.P.: | |||||
4.15%, 9/15/2029 (b) | 100,000 | 98,530 | |||
4.40%, 3/15/2027 | 50,000 | 50,630 | |||
4.95%, 5/15/2028 | 30,000 | 30,743 | |||
Enbridge, Inc.: | |||||
2.90%, 7/15/2022 | 50,000 | 51,879 | |||
3.70%, 7/15/2027 | 50,000 | 57,055 | |||
4.00%, 11/15/2049 | 100,000 | 114,197 | |||
4.25%, 12/1/2026 | 50,000 | 58,570 |
Security Description | Principal Amount | Value | |||
Energy Transfer Operating L.P.: | |||||
4.20%, 4/15/2027 | $ 50,000 | $ 55,001 | |||
4.75%, 1/15/2026 | 225,000 | 254,797 | |||
5.00%, 5/15/2050 | 250,000 | 270,902 | |||
5.15%, 2/1/2043 | 25,000 | 26,363 | |||
5.15%, 3/15/2045 | 225,000 | 243,594 | |||
5.20%, 2/1/2022 | 100,000 | 103,593 | |||
5.25%, 4/15/2029 | 275,000 | 320,969 | |||
5.88%, 1/15/2024 | 250,000 | 280,867 | |||
6.25%, 4/15/2049 | 275,000 | 333,919 | |||
Enterprise Products Operating LLC: | |||||
3.13%, 7/31/2029 | 100,000 | 111,075 | |||
3.20%, 2/15/2052 | 200,000 | 202,654 | |||
3.50%, 2/1/2022 | 25,000 | 25,843 | |||
3.70%, 1/31/2051 | 500,000 | 550,390 | |||
3.75%, 2/15/2025 | 75,000 | 84,019 | |||
3.95%, 2/15/2027 | 200,000 | 231,598 | |||
4.15%, 10/16/2028 | 25,000 | 29,630 | |||
4.20%, 1/31/2050 | 65,000 | 76,069 | |||
4.80%, 2/1/2049 | 25,000 | 31,590 | |||
4.85%, 3/15/2044 | 50,000 | 61,784 | |||
4.90%, 5/15/2046 | 50,000 | 62,851 | |||
5.10%, 2/15/2045 | 200,000 | 257,866 | |||
Series D, 3 Month USD LIBOR + 2.99%, 4.88%, 8/16/2077 (c) | 250,000 | 240,522 | |||
Series E, 3 Month USD LIBOR + 3.03%, 5.25%, 8/16/2077 (c) | 150,000 | 151,876 | |||
Kinder Morgan Energy Partners L.P. 5.40%, 9/1/2044 | 25,000 | 31,205 | |||
Kinder Morgan, Inc.: | |||||
2.00%, 2/15/2031 | 110,000 | 110,565 | |||
3.15%, 1/15/2023 (b) | 450,000 | 473,161 | |||
4.30%, 6/1/2025 | 300,000 | 342,489 | |||
5.05%, 2/15/2046 | 50,000 | 60,898 | |||
5.30%, 12/1/2034 | 200,000 | 246,712 | |||
5.55%, 6/1/2045 | 150,000 | 193,231 | |||
Magellan Midstream Partners L.P.: | |||||
4.20%, 10/3/2047 | 50,000 | 57,211 | |||
4.85%, 2/1/2049 | 275,000 | 345,843 | |||
5.00%, 3/1/2026 | 50,000 | 59,654 | |||
MPLX L.P.: | |||||
1.75%, 3/1/2026 | 35,000 | 36,199 | |||
2.65%, 8/15/2030 | 500,000 | 524,006 | |||
3.50%, 12/1/2022 | 75,000 | 78,785 | |||
4.00%, 3/15/2028 | 35,000 | 40,285 | |||
4.50%, 4/15/2038 | 180,000 | 206,606 | |||
4.70%, 4/15/2048 | 100,000 | 118,760 | |||
4.80%, 2/15/2029 | 105,000 | 126,146 | |||
4.88%, 6/1/2025 | 50,000 | 57,761 | |||
4.90%, 4/15/2058 | 25,000 | 29,775 |
Security Description | Principal Amount | Value | |||
5.20%, 3/1/2047 | $ 100,000 | $ 123,213 | |||
5.20%, 12/1/2047 | 100,000 | 121,547 | |||
ONEOK Partners L.P. 3.38%, 10/1/2022 | 25,000 | 26,039 | |||
ONEOK, Inc.: | |||||
2.20%, 9/15/2025 | 25,000 | 25,853 | |||
2.75%, 9/1/2024 | 100,000 | 105,553 | |||
3.10%, 3/15/2030 | 25,000 | 26,550 | |||
3.40%, 9/1/2029 (b) | 100,000 | 107,301 | |||
4.00%, 7/13/2027 | 30,000 | 33,416 | |||
4.45%, 9/1/2049 | 40,000 | 42,283 | |||
4.50%, 3/15/2050 | 25,000 | 26,535 | |||
4.55%, 7/15/2028 | 50,000 | 57,183 | |||
4.95%, 7/13/2047 | 150,000 | 168,616 | |||
5.20%, 7/15/2048 | 25,000 | 29,108 | |||
Phillips 66 Partners L.P.: | |||||
2.45%, 12/15/2024 (b) | 100,000 | 104,997 | |||
3.15%, 12/15/2029 (b) | 100,000 | 104,352 | |||
3.55%, 10/1/2026 | 10,000 | 10,957 | |||
3.75%, 3/1/2028 | 25,000 | 27,191 | |||
4.90%, 10/1/2046 | 10,000 | 11,243 | |||
Plains All American Pipeline L.P./PAA Finance Corp.: | |||||
3.60%, 11/1/2024 | 25,000 | 26,696 | |||
4.50%, 12/15/2026 | 50,000 | 56,042 | |||
4.65%, 10/15/2025 | 400,000 | 447,184 | |||
4.70%, 6/15/2044 | 25,000 | 26,044 | |||
Sabine Pass Liquefaction LLC: | |||||
4.20%, 3/15/2028 | 100,000 | 114,759 | |||
4.50%, 5/15/2030 (b) (d) | 250,000 | 297,185 | |||
5.63%, 3/1/2025 | 200,000 | 233,506 | |||
5.75%, 5/15/2024 | 75,000 | 85,813 | |||
5.88%, 6/30/2026 | 250,000 | 302,345 | |||
Spectra Energy Partners L.P. 4.75%, 3/15/2024 | 350,000 | 391,548 | |||
Sunoco Logistics Partners Operations L.P.: | |||||
4.00%, 10/1/2027 | 50,000 | 54,669 | |||
5.30%, 4/1/2044 | 25,000 | 26,996 | |||
5.35%, 5/15/2045 | 25,000 | 27,475 | |||
5.40%, 10/1/2047 | 150,000 | 167,784 | |||
TransCanada PipeLines, Ltd.: | |||||
2.50%, 8/1/2022 | 100,000 | 103,384 | |||
4.10%, 4/15/2030 | 200,000 | 236,740 | |||
4.63%, 3/1/2034 | 250,000 | 305,145 | |||
4.75%, 5/15/2038 | 100,000 | 123,990 | |||
7.63%, 1/15/2039 | 25,000 | 39,124 | |||
Transcontinental Gas Pipe Line Co. LLC 7.85%, 2/1/2026 | 200,000 | 262,442 | |||
Valero Energy Partners L.P. 4.50%, 3/15/2028 | 50,000 | 57,946 | |||
Williams Cos., Inc.: | |||||
3.50%, 11/15/2030 (b) | 100,000 | 113,404 | |||
3.60%, 3/15/2022 | 100,000 | 103,208 |
Security Description | Principal Amount | Value | |||
3.70%, 1/15/2023 | $ 20,000 | $ 21,203 | |||
3.75%, 6/15/2027 | 200,000 | 228,724 | |||
3.90%, 1/15/2025 | 50,000 | 55,548 | |||
4.55%, 6/24/2024 | 65,000 | 72,784 | |||
5.10%, 9/15/2045 | 125,000 | 155,574 | |||
5.75%, 6/24/2044 | 25,000 | 32,318 | |||
13,122,909 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.9% | |||||
Alexandria Real Estate Equities, Inc.: | |||||
3.38%, 8/15/2031 | 60,000 | 68,854 | |||
3.45%, 4/30/2025 | 100,000 | 110,894 | |||
4.00%, 2/1/2050 | 100,000 | 125,575 | |||
4.70%, 7/1/2030 | 35,000 | 43,451 | |||
American Campus Communities Operating Partnership L.P.: | |||||
3.30%, 7/15/2026 | 50,000 | 54,457 | |||
3.63%, 11/15/2027 | 30,000 | 32,987 | |||
American Tower Corp.: | |||||
2.25%, 1/15/2022 | 100,000 | 101,898 | |||
2.75%, 1/15/2027 | 200,000 | 217,494 | |||
3.00%, 6/15/2023 | 250,000 | 265,102 | |||
3.10%, 6/15/2050 | 100,000 | 103,121 | |||
3.13%, 1/15/2027 | 100,000 | 110,330 | |||
3.38%, 10/15/2026 | 75,000 | 84,265 | |||
3.50%, 1/31/2023 | 50,000 | 53,063 | |||
AvalonBay Communities, Inc.: | |||||
Series GMTN, 2.95%, 9/15/2022 | 25,000 | 25,931 | |||
Series GMTN, 2.95%, 5/11/2026 | 50,000 | 55,385 | |||
Series MTN, 2.45%, 1/15/2031 | 70,000 | 75,295 | |||
Series MTN, 3.20%, 1/15/2028 (b) | 40,000 | 44,610 | |||
Series MTN, 3.30%, 6/1/2029 | 65,000 | 73,750 | |||
Series MTN, 3.90%, 10/15/2046 | 50,000 | 60,526 | |||
Boston Properties L.P.: | |||||
2.75%, 10/1/2026 | 150,000 | 163,494 | |||
2.90%, 3/15/2030 | 35,000 | 37,646 | |||
3.40%, 6/21/2029 | 100,000 | 111,634 | |||
3.65%, 2/1/2026 | 100,000 | 114,028 | |||
3.85%, 2/1/2023 | 75,000 | 79,810 | |||
Brixmor Operating Partnership L.P.: | |||||
3.65%, 6/15/2024 | 50,000 | 54,210 | |||
4.05%, 7/1/2030 | 25,000 | 28,755 | |||
4.13%, 6/15/2026 | 50,000 | 56,814 | |||
4.13%, 5/15/2029 | 100,000 | 114,953 |
Security Description | Principal Amount | Value | |||
Camden Property Trust: | |||||
3.15%, 7/1/2029 | $ 65,000 | $ 73,264 | |||
4.10%, 10/15/2028 | 20,000 | 23,768 | |||
CBRE Services, Inc. 4.88%, 3/1/2026 | 50,000 | 59,059 | |||
Corporate Office Properties L.P. 2.25%, 3/15/2026 | 35,000 | 36,474 | |||
Crown Castle International Corp.: | |||||
3.20%, 9/1/2024 | 250,000 | 271,875 | |||
3.65%, 9/1/2027 | 150,000 | 169,936 | |||
3.70%, 6/15/2026 | 15,000 | 16,916 | |||
4.00%, 3/1/2027 | 20,000 | 22,940 | |||
4.75%, 5/15/2047 | 100,000 | 128,186 | |||
5.25%, 1/15/2023 | 100,000 | 109,544 | |||
CubeSmart L.P.: | |||||
3.00%, 2/15/2030 (b) | 100,000 | 109,060 | |||
4.38%, 2/15/2029 | 30,000 | 35,363 | |||
CyrusOne L.P./CyrusOne Finance Corp.: | |||||
2.90%, 11/15/2024 | 150,000 | 160,327 | |||
3.45%, 11/15/2029 | 60,000 | 64,570 | |||
Digital Realty Trust L.P.: | |||||
2.75%, 2/1/2023 | 125,000 | 130,467 | |||
3.70%, 8/15/2027 | 150,000 | 172,758 | |||
Duke Realty L.P.: | |||||
3.05%, 3/1/2050 | 10,000 | 10,859 | |||
4.00%, 9/15/2028 | 100,000 | 117,938 | |||
Equinix, Inc.: | |||||
1.00%, 9/15/2025 | 150,000 | 150,534 | |||
1.55%, 3/15/2028 | 75,000 | 75,889 | |||
2.63%, 11/18/2024 | 65,000 | 69,478 | |||
2.95%, 9/15/2051 | 150,000 | 151,888 | |||
3.20%, 11/18/2029 | 45,000 | 49,491 | |||
5.38%, 5/15/2027 | 60,000 | 65,301 | |||
ERP Operating L.P.: | |||||
3.00%, 7/1/2029 | 25,000 | 27,879 | |||
3.50%, 3/1/2028 | 100,000 | 114,216 | |||
4.00%, 8/1/2047 | 50,000 | 61,848 | |||
4.15%, 12/1/2028 | 100,000 | 119,143 | |||
Essex Portfolio L.P.: | |||||
3.00%, 1/15/2030 | 25,000 | 27,466 | |||
3.63%, 5/1/2027 | 50,000 | 56,277 | |||
4.00%, 3/1/2029 | 65,000 | 75,609 | |||
4.50%, 3/15/2048 | 50,000 | 64,780 | |||
Federal Realty Investment Trust: | |||||
3.20%, 6/15/2029 | 75,000 | 81,498 | |||
3.25%, 7/15/2027 | 50,000 | 54,370 | |||
GLP Capital L.P./GLP Financing II, Inc.: | |||||
3.35%, 9/1/2024 | 55,000 | 57,805 | |||
4.00%, 1/15/2030 | 65,000 | 70,775 | |||
4.00%, 1/15/2031 | 50,000 | 54,541 | |||
5.25%, 6/1/2025 | 20,000 | 22,541 |
Security Description | Principal Amount | Value | |||
5.38%, 11/1/2023 | $ 20,000 | $ 21,849 | |||
5.38%, 4/15/2026 | 40,000 | 45,900 | |||
5.75%, 6/1/2028 | 20,000 | 23,673 | |||
HCP, Inc. 3.88%, 8/15/2024 | 50,000 | 55,477 | |||
Healthcare Realty Trust, Inc. 2.40%, 3/15/2030 | 25,000 | 25,838 | |||
Healthcare Trust of America Holdings L.P.: | |||||
2.00%, 3/15/2031 | 55,000 | 54,999 | |||
3.50%, 8/1/2026 | 25,000 | 28,314 | |||
Healthpeak Properties, Inc. 2.88%, 1/15/2031 | 125,000 | 136,262 | |||
Highwoods Realty L.P.: | |||||
3.05%, 2/15/2030 | 25,000 | 26,317 | |||
3.88%, 3/1/2027 | 50,000 | 55,291 | |||
Host Hotels & Resorts L.P.: | |||||
3.88%, 4/1/2024 | 50,000 | 52,871 | |||
Series H, 3.38%, 12/15/2029 | 150,000 | 154,063 | |||
Hudson Pacific Properties L.P.: | |||||
3.25%, 1/15/2030 | 200,000 | 211,546 | |||
4.65%, 4/1/2029 | 25,000 | 29,109 | |||
Kilroy Realty L.P.: | |||||
3.05%, 2/15/2030 | 50,000 | 53,170 | |||
3.45%, 12/15/2024 (b) | 50,000 | 53,982 | |||
4.75%, 12/15/2028 | 25,000 | 29,441 | |||
Kimco Realty Corp.: | |||||
2.80%, 10/1/2026 | 50,000 | 54,551 | |||
3.30%, 2/1/2025 | 40,000 | 43,841 | |||
3.70%, 10/1/2049 | 100,000 | 107,309 | |||
3.80%, 4/1/2027 | 25,000 | 28,301 | |||
Life Storage L.P. 4.00%, 6/15/2029 (b) | 100,000 | 117,051 | |||
Mid-America Apartments L.P.: | |||||
3.60%, 6/1/2027 | 50,000 | 56,568 | |||
3.95%, 3/15/2029 | 100,000 | 117,372 | |||
National Retail Properties, Inc.: | |||||
3.10%, 4/15/2050 | 100,000 | 96,268 | |||
3.60%, 12/15/2026 | 50,000 | 54,777 | |||
4.30%, 10/15/2028 | 35,000 | 40,492 | |||
Office Properties Income Trust: | |||||
4.25%, 5/15/2024 | 50,000 | 52,099 | |||
4.50%, 2/1/2025 | 25,000 | 26,530 | |||
Omega Healthcare Investors, Inc.: | |||||
3.63%, 10/1/2029 | 50,000 | 53,102 | |||
4.38%, 8/1/2023 | 150,000 | 162,382 | |||
Physicians Realty L.P. 3.95%, 1/15/2028 | 100,000 | 107,593 | |||
Piedmont Operating Partnership L.P. 3.15%, 8/15/2030 | 100,000 | 101,334 |
Security Description | Principal Amount | Value | |||
Prologis L.P.: | |||||
1.25%, 10/15/2030 | $ 30,000 | $ 29,692 | |||
2.13%, 4/15/2027 | 50,000 | 53,744 | |||
2.25%, 4/15/2030 | 65,000 | 69,756 | |||
3.00%, 4/15/2050 | 50,000 | 55,311 | |||
3.75%, 11/1/2025 | 50,000 | 57,105 | |||
4.38%, 2/1/2029 | 65,000 | 79,487 | |||
Public Storage 2.37%, 9/15/2022 | 125,000 | 129,174 | |||
Realty Income Corp.: | |||||
0.75%, 3/15/2026 | 250,000 | 249,595 | |||
1.80%, 3/15/2033 | 300,000 | 300,957 | |||
3.65%, 1/15/2028 | 100,000 | 113,664 | |||
3.88%, 4/15/2025 | 100,000 | 112,799 | |||
4.13%, 10/15/2026 | 50,000 | 58,858 | |||
Regency Centers L.P.: | |||||
4.13%, 3/15/2028 | 50,000 | 56,922 | |||
4.40%, 2/1/2047 | 150,000 | 173,815 | |||
Sabra Health Care L.P.: | |||||
4.80%, 6/1/2024 | 25,000 | 26,768 | |||
5.13%, 8/15/2026 | 25,000 | 27,943 | |||
Simon Property Group L.P.: | |||||
2.63%, 6/15/2022 (b) | 100,000 | 102,695 | |||
2.65%, 7/15/2030 | 350,000 | 371,973 | |||
2.75%, 6/1/2023 | 200,000 | 209,648 | |||
4.25%, 11/30/2046 | 50,000 | 58,256 | |||
Spirit Realty L.P. 3.40%, 1/15/2030 | 100,000 | 108,523 | |||
STORE Capital Corp. 4.50%, 3/15/2028 | 50,000 | 56,948 | |||
Tanger Properties L.P. 3.88%, 7/15/2027 (b) | 50,000 | 52,357 | |||
UDR, Inc.: | |||||
Series GMTN, 3.50%, 1/15/2028 | 150,000 | 167,965 | |||
Series MTN, 1.90%, 3/15/2033 | 250,000 | 248,777 | |||
Series MTN, 2.95%, 9/1/2026 | 25,000 | 27,421 | |||
Series MTN, 3.50%, 7/1/2027 | 50,000 | 55,818 | |||
Ventas Realty L.P.: | |||||
2.65%, 1/15/2025 | 25,000 | 26,786 | |||
3.00%, 1/15/2030 | 50,000 | 53,728 | |||
3.10%, 1/15/2023 | 50,000 | 52,440 | |||
3.85%, 4/1/2027 | 100,000 | 111,549 | |||
4.00%, 3/1/2028 | 100,000 | 114,137 | |||
4.38%, 2/1/2045 | 75,000 | 82,653 | |||
VEREIT Operating Partnership L.P.: | |||||
2.85%, 12/15/2032 | 250,000 | 261,317 | |||
3.10%, 12/15/2029 (b) | 150,000 | 161,892 | |||
3.95%, 8/15/2027 | 40,000 | 45,430 | |||
4.60%, 2/6/2024 | 5,000 | 5,507 | |||
4.63%, 11/1/2025 | 50,000 | 57,604 | |||
4.88%, 6/1/2026 | 10,000 | 11,731 |
Security Description | Principal Amount | Value | |||
Vornado Realty L.P. 3.50%, 1/15/2025 (b) | $ 50,000 | $ 52,790 | |||
Welltower, Inc.: | |||||
2.70%, 2/15/2027 | 50,000 | 54,975 | |||
3.10%, 1/15/2030 | 55,000 | 60,075 | |||
4.00%, 6/1/2025 | 175,000 | 197,888 | |||
4.13%, 3/15/2029 | 100,000 | 116,609 | |||
Weyerhaeuser Co. 4.00%, 11/15/2029 | 200,000 | 235,822 | |||
WP Carey, Inc. 3.85%, 7/15/2029 | 100,000 | 114,040 | |||
12,783,581 | |||||
RETAIL — 0.9% | |||||
Advance Auto Parts, Inc. 3.90%, 4/15/2030 | 100,000 | 115,206 | |||
AutoNation, Inc. 4.75%, 6/1/2030 | 50,000 | 60,232 | |||
AutoZone, Inc.: | |||||
1.65%, 1/15/2031 | 40,000 | 39,615 | |||
3.13%, 4/18/2024 | 100,000 | 107,727 | |||
3.75%, 6/1/2027 | 100,000 | 114,880 | |||
Best Buy Co., Inc. 4.45%, 10/1/2028 | 50,000 | 60,182 | |||
Costco Wholesale Corp.: | |||||
1.38%, 6/20/2027 | 100,000 | 103,010 | |||
1.60%, 4/20/2030 | 65,000 | 66,648 | |||
1.75%, 4/20/2032 | 530,000 | 549,536 | |||
2.30%, 5/18/2022 (b) | 150,000 | 154,111 | |||
Darden Restaurants, Inc.: | |||||
3.85%, 5/1/2027 | 15,000 | 16,522 | |||
4.55%, 2/15/2048 | 15,000 | 16,602 | |||
Dollar General Corp.: | |||||
4.13%, 5/1/2028 | 70,000 | 82,809 | |||
4.15%, 11/1/2025 (b) | 25,000 | 28,869 | |||
Dollar Tree, Inc.: | |||||
3.70%, 5/15/2023 | 95,000 | 101,796 | |||
4.00%, 5/15/2025 | 100,000 | 112,879 | |||
4.20%, 5/15/2028 | 45,000 | 53,545 | |||
Home Depot, Inc.: | |||||
2.13%, 9/15/2026 | 150,000 | 161,598 | |||
2.50%, 4/15/2027 | 350,000 | 383,323 | |||
2.63%, 6/1/2022 | 150,000 | 154,672 | |||
2.70%, 4/15/2030 | 250,000 | 278,767 | |||
2.80%, 9/14/2027 | 250,000 | 278,955 | |||
3.00%, 4/1/2026 (b) | 350,000 | 391,062 | |||
3.13%, 12/15/2049 | 100,000 | 115,216 | |||
3.30%, 4/15/2040 | 250,000 | 294,215 | |||
3.35%, 4/15/2050 | 150,000 | 178,950 | |||
3.75%, 2/15/2024 | 25,000 | 27,415 | |||
4.25%, 4/1/2046 | 35,000 | 46,502 | |||
5.95%, 4/1/2041 | 50,000 | 77,950 | |||
Kohl's Corp.: | |||||
5.55%, 7/17/2045 (b) | 20,000 | 21,488 | |||
9.50%, 5/15/2025 (b) | 30,000 | 38,881 |
Security Description | Principal Amount | Value | |||
Lowe's Cos., Inc.: | |||||
1.30%, 4/15/2028 | $ 20,000 | $ 20,119 | |||
1.70%, 10/15/2030 | 20,000 | 20,216 | |||
2.50%, 4/15/2026 | 50,000 | 54,277 | |||
3.00%, 10/15/2050 | 265,000 | 284,239 | |||
3.10%, 5/3/2027 | 200,000 | 224,666 | |||
3.38%, 9/15/2025 (b) | 25,000 | 27,914 | |||
3.70%, 4/15/2046 | 50,000 | 59,608 | |||
4.05%, 5/3/2047 | 300,000 | 375,072 | |||
McDonald's Corp.: | |||||
Series MTN, 1.45%, 9/1/2025 | 15,000 | 15,543 | |||
Series MTN, 2.13%, 3/1/2030 (b) | 15,000 | 15,797 | |||
Series MTN, 2.63%, 9/1/2029 | 75,000 | 82,085 | |||
Series MTN, 3.35%, 4/1/2023 | 80,000 | 85,172 | |||
Series MTN, 3.50%, 3/1/2027 | 50,000 | 56,991 | |||
Series MTN, 3.60%, 7/1/2030 | 250,000 | 292,865 | |||
Series MTN, 3.63%, 9/1/2049 | 160,000 | 187,877 | |||
Series MTN, 3.70%, 1/30/2026 | 75,000 | 85,244 | |||
Series MTN, 3.80%, 4/1/2028 | 100,000 | 117,007 | |||
Series MTN, 4.45%, 3/1/2047 | 125,000 | 161,790 | |||
Series MTN, 4.45%, 9/1/2048 | 20,000 | 26,070 | |||
Series MTN, 4.70%, 12/9/2035 | 150,000 | 195,168 | |||
Series MTN, 4.88%, 12/9/2045 | 100,000 | 135,627 | |||
O'Reilly Automotive, Inc.: | |||||
1.75%, 3/15/2031 | 45,000 | 45,054 | |||
3.60%, 9/1/2027 | 50,000 | 57,230 | |||
4.35%, 6/1/2028 | 100,000 | 119,151 | |||
Starbucks Corp.: | |||||
2.00%, 3/12/2027 | 100,000 | 106,112 | |||
2.25%, 3/12/2030 (b) | 100,000 | 105,994 | |||
2.55%, 11/15/2030 | 100,000 | 108,092 | |||
3.35%, 3/12/2050 | 25,000 | 27,818 | |||
3.50%, 11/15/2050 | 150,000 | 172,395 | |||
3.80%, 8/15/2025 | 50,000 | 56,888 | |||
3.85%, 10/1/2023 (b) | 25,000 | 27,119 | |||
4.00%, 11/15/2028 (b) | 50,000 | 59,475 | |||
4.45%, 8/15/2049 | 100,000 | 131,435 | |||
4.50%, 11/15/2048 | 30,000 | 38,971 | |||
Target Corp.: | |||||
2.25%, 4/15/2025 | 500,000 | 535,590 | |||
2.50%, 4/15/2026 (b) | 50,000 | 55,259 | |||
3.38%, 4/15/2029 | 100,000 | 117,202 |
Security Description | Principal Amount | Value | |||
TJX Cos., Inc.: | |||||
1.60%, 5/15/2031 (b) | $ 250,000 | $ 252,262 | |||
2.25%, 9/15/2026 | 50,000 | 53,955 | |||
3.50%, 4/15/2025 | 350,000 | 390,523 | |||
Walgreen Co. 3.10%, 9/15/2022 | 25,000 | 26,121 | |||
Walgreens Boots Alliance, Inc.: | |||||
3.20%, 4/15/2030 (b) | 50,000 | 54,162 | |||
3.45%, 6/1/2026 | 250,000 | 277,035 | |||
4.10%, 4/15/2050 | 350,000 | 370,727 | |||
4.50%, 11/18/2034 | 25,000 | 28,789 | |||
4.65%, 6/1/2046 | 25,000 | 27,839 | |||
Walmart, Inc.: | |||||
2.65%, 12/15/2024 (b) | 150,000 | 162,423 | |||
2.95%, 9/24/2049 | 150,000 | 172,689 | |||
3.25%, 7/8/2029 | 80,000 | 93,094 | |||
3.30%, 4/22/2024 | 325,000 | 353,746 | |||
3.40%, 6/26/2023 | 325,000 | 349,186 | |||
3.70%, 6/26/2028 | 425,000 | 500,233 | |||
3.95%, 6/28/2038 | 325,000 | 413,809 | |||
4.05%, 6/29/2048 | 185,000 | 250,394 | |||
12,297,282 | |||||
SEMICONDUCTORS — 0.5% | |||||
Applied Materials, Inc.: | |||||
1.75%, 6/1/2030 | 30,000 | 31,134 | |||
3.90%, 10/1/2025 | 25,000 | 28,664 | |||
4.35%, 4/1/2047 (b) | 100,000 | 138,592 | |||
5.10%, 10/1/2035 | 50,000 | 69,046 | |||
Broadcom Corp./Broadcom Cayman Finance, Ltd.: | |||||
2.65%, 1/15/2023 | 200,000 | 208,220 | |||
3.88%, 1/15/2027 | 350,000 | 392,658 | |||
Broadcom, Inc.: | |||||
2.25%, 11/15/2023 | 70,000 | 73,130 | |||
3.15%, 11/15/2025 | 80,000 | 87,364 | |||
3.63%, 10/15/2024 | 250,000 | 274,532 | |||
4.11%, 9/15/2028 | 159,000 | 181,858 | |||
4.15%, 11/15/2030 | 100,000 | 115,629 | |||
4.30%, 11/15/2032 | 55,000 | 65,190 | |||
4.70%, 4/15/2025 | 315,000 | 361,214 | |||
4.75%, 4/15/2029 | 150,000 | 178,950 | |||
5.00%, 4/15/2030 | 200,000 | 243,244 | |||
Intel Corp.: | |||||
2.35%, 5/11/2022 | 50,000 | 51,316 | |||
2.45%, 11/15/2029 | 150,000 | 162,180 | |||
2.88%, 5/11/2024 | 200,000 | 215,704 | |||
3.10%, 2/15/2060 | 150,000 | 161,991 | |||
3.15%, 5/11/2027 | 200,000 | 224,934 | |||
3.25%, 11/15/2049 | 150,000 | 168,406 | |||
3.75%, 3/25/2027 | 300,000 | 348,069 | |||
4.10%, 5/19/2046 | 370,000 | 465,623 | |||
4.10%, 5/11/2047 | 50,000 | 63,237 | |||
4.75%, 3/25/2050 | 150,000 | 209,104 |
Security Description | Principal Amount | Value | |||
KLA Corp.: | |||||
3.30%, 3/1/2050 | $ 50,000 | $ 56,416 | |||
4.10%, 3/15/2029 | 65,000 | 77,901 | |||
Lam Research Corp.: | |||||
3.75%, 3/15/2026 | 50,000 | 57,224 | |||
4.00%, 3/15/2029 | 280,000 | 335,910 | |||
4.88%, 3/15/2049 | 25,000 | 36,307 | |||
Micron Technology, Inc.: | |||||
2.50%, 4/24/2023 | 30,000 | 31,284 | |||
4.66%, 2/15/2030 | 200,000 | 245,366 | |||
NVIDIA Corp.: | |||||
3.20%, 9/16/2026 | 50,000 | 56,647 | |||
3.50%, 4/1/2040 | 300,000 | 358,932 | |||
3.50%, 4/1/2050 | 150,000 | 181,836 | |||
NXP B.V./NXP Funding LLC 4.88%, 3/1/2024 (d) | 100,000 | 112,871 | |||
NXP B.V./NXP Funding LLC/NXP USA, Inc.: | |||||
2.70%, 5/1/2025 (d) | 10,000 | 10,752 | |||
3.15%, 5/1/2027 (d) | 15,000 | 16,539 | |||
3.40%, 5/1/2030 (d) | 20,000 | 22,721 | |||
QUALCOMM, Inc.: | |||||
2.15%, 5/20/2030 | 100,000 | 106,081 | |||
2.60%, 1/30/2023 | 200,000 | 209,680 | |||
2.90%, 5/20/2024 | 200,000 | 215,548 | |||
3.25%, 5/20/2027 | 50,000 | 56,779 | |||
3.25%, 5/20/2050 (b) | 45,000 | 52,214 | |||
3.45%, 5/20/2025 | 50,000 | 55,772 | |||
4.30%, 5/20/2047 | 50,000 | 67,249 | |||
4.80%, 5/20/2045 | 25,000 | 35,444 | |||
Texas Instruments, Inc.: | |||||
2.90%, 11/3/2027 | 70,000 | 78,315 | |||
3.88%, 3/15/2039 | 250,000 | 313,340 | |||
4.15%, 5/15/2048 | 150,000 | 200,874 | |||
Xilinx, Inc. 2.95%, 6/1/2024 | 50,000 | 53,791 | |||
7,565,782 | |||||
SOFTWARE — 0.7% | |||||
Activision Blizzard, Inc. 4.50%, 6/15/2047 | 150,000 | 196,364 | |||
Adobe, Inc.: | |||||
1.70%, 2/1/2023 | 20,000 | 20,579 | |||
1.90%, 2/1/2025 | 30,000 | 31,707 | |||
2.30%, 2/1/2030 | 30,000 | 32,414 | |||
3.25%, 2/1/2025 | 25,000 | 27,591 | |||
Autodesk, Inc. 3.50%, 6/15/2027 | 50,000 | 56,417 | |||
Broadridge Financial Solutions, Inc. 2.90%, 12/1/2029 | 50,000 | 54,913 | |||
Citrix Systems, Inc. 3.30%, 3/1/2030 | 100,000 | 110,527 |
Security Description | Principal Amount | Value | |||
Fidelity National Information Services, Inc.: | |||||
3.00%, 8/15/2026 | $ 200,000 | $ 222,502 | |||
3.75%, 5/21/2029 | 20,000 | 23,573 | |||
3.88%, 6/5/2024 | 7,000 | 7,703 | |||
Fiserv, Inc.: | |||||
2.25%, 6/1/2027 | 50,000 | 53,393 | |||
2.65%, 6/1/2030 | 50,000 | 54,250 | |||
2.75%, 7/1/2024 | 100,000 | 107,405 | |||
3.20%, 7/1/2026 | 275,000 | 307,898 | |||
3.50%, 7/1/2029 | 65,000 | 74,662 | |||
3.80%, 10/1/2023 | 150,000 | 163,529 | |||
4.20%, 10/1/2028 | 65,000 | 77,536 | |||
4.40%, 7/1/2049 | 60,000 | 79,973 | |||
Intuit, Inc.: | |||||
0.95%, 7/15/2025 | 15,000 | 15,190 | |||
1.65%, 7/15/2030 | 15,000 | 15,417 | |||
Microsoft Corp.: | |||||
2.00%, 8/8/2023 | 50,000 | 52,165 | |||
2.40%, 2/6/2022 | 300,000 | 306,624 | |||
2.40%, 8/8/2026 | 200,000 | 218,172 | |||
2.53%, 6/1/2050 | 918,000 | 966,608 | |||
2.65%, 11/3/2022 | 300,000 | 312,333 | |||
2.68%, 6/1/2060 | 288,000 | 313,030 | |||
2.88%, 2/6/2024 | 500,000 | 537,073 | |||
3.13%, 11/3/2025 | 50,000 | 55,869 | |||
3.30%, 2/6/2027 | 280,000 | 319,074 | |||
3.45%, 8/8/2036 | 550,000 | 677,798 | |||
3.63%, 12/15/2023 | 25,000 | 27,305 | |||
3.70%, 8/8/2046 | 150,000 | 189,822 | |||
3.95%, 8/8/2056 | 62,000 | 84,908 | |||
4.10%, 2/6/2037 | 157,000 | 205,293 | |||
4.20%, 11/3/2035 | 65,000 | 85,536 | |||
Oracle Corp.: | |||||
2.40%, 9/15/2023 | 200,000 | 210,382 | |||
2.50%, 5/15/2022 | 50,000 | 51,324 | |||
2.50%, 4/1/2025 | 600,000 | 644,742 | |||
2.63%, 2/15/2023 | 235,000 | 246,153 | |||
2.65%, 7/15/2026 | 45,000 | 49,316 | |||
2.80%, 4/1/2027 | 250,000 | 275,975 | |||
2.95%, 5/15/2025 | 10,000 | 10,959 | |||
2.95%, 4/1/2030 | 300,000 | 335,331 | |||
3.60%, 4/1/2040 | 250,000 | 293,287 | |||
3.60%, 4/1/2050 | 525,000 | 612,864 | |||
3.80%, 11/15/2037 | 180,000 | 216,360 | |||
3.85%, 7/15/2036 | 150,000 | 181,464 | |||
3.85%, 4/1/2060 | 250,000 | 306,000 | |||
3.90%, 5/15/2035 | 5,000 | 6,113 | |||
4.00%, 7/15/2046 | 180,000 | 220,608 | |||
4.30%, 7/8/2034 | 200,000 | 252,970 | |||
4.38%, 5/15/2055 | 10,000 | 13,142 | |||
salesforce.com, Inc.: | |||||
3.25%, 4/11/2023 | 275,000 | 293,023 | |||
3.70%, 4/11/2028 | 25,000 | 29,480 |
Security Description | Principal Amount | Value | |||
ServiceNow, Inc. 1.40%, 9/1/2030 | $ 65,000 | $ 63,400 | |||
VMware, Inc. 3.90%, 8/21/2027 | 150,000 | 169,368 | |||
10,567,414 | |||||
TELECOMMUNICATIONS — 1.5% | |||||
America Movil SAB de CV: | |||||
2.88%, 5/7/2030 | 200,000 | 217,318 | |||
3.13%, 7/16/2022 | 100,000 | 103,954 | |||
4.38%, 7/16/2042 | 50,000 | 62,402 | |||
4.38%, 4/22/2049 | 200,000 | 257,078 | |||
6.13%, 3/30/2040 | 100,000 | 147,924 | |||
AT&T, Inc.: | |||||
1.65%, 2/1/2028 | 30,000 | 30,663 | |||
2.25%, 2/1/2032 | 125,000 | 126,625 | |||
2.30%, 6/1/2027 | 550,000 | 586,019 | |||
2.55%, 12/1/2033 (d) | 350,000 | 358,753 | |||
2.75%, 6/1/2031 | 350,000 | 373,996 | |||
3.10%, 2/1/2043 | 150,000 | 152,514 | |||
3.30%, 2/1/2052 | 90,000 | 89,297 | |||
3.40%, 5/15/2025 | 250,000 | 277,790 | |||
3.50%, 6/1/2041 | 100,000 | 107,391 | |||
3.50%, 9/15/2053 (d) | 650,000 | 653,607 | |||
3.50%, 2/1/2061 | 100,000 | 98,756 | |||
3.55%, 9/15/2055 (d) | 429,000 | 430,866 | |||
3.65%, 6/1/2051 | 100,000 | 104,654 | |||
3.65%, 9/15/2059 (d) | 694,000 | 699,691 | |||
3.80%, 2/15/2027 | 150,000 | 172,511 | |||
3.80%, 12/1/2057 (d) | 471,000 | 491,974 | |||
3.85%, 6/1/2060 | 45,000 | 47,409 | |||
4.10%, 2/15/2028 | 184,000 | 216,099 | |||
4.13%, 2/17/2026 | 350,000 | 404,680 | |||
4.45%, 4/1/2024 | 25,000 | 27,907 | |||
4.50%, 5/15/2035 | 300,000 | 363,471 | |||
4.55%, 3/9/2049 | 208,000 | 248,208 | |||
4.65%, 6/1/2044 | 25,000 | 29,466 | |||
4.75%, 5/15/2046 | 30,000 | 36,948 | |||
4.85%, 3/1/2039 | 570,000 | 706,652 | |||
Bell Canada, Inc.: | |||||
4.30%, 7/29/2049 | 55,000 | 71,782 | |||
4.46%, 4/1/2048 | 30,000 | 39,942 | |||
British Telecommunications PLC 5.13%, 12/4/2028 | 200,000 | 245,918 | |||
Cisco Systems, Inc.: | |||||
3.00%, 6/15/2022 | 25,000 | 26,001 | |||
3.50%, 6/15/2025 | 25,000 | 28,253 | |||
3.63%, 3/4/2024 | 25,000 | 27,524 | |||
5.50%, 1/15/2040 | 300,000 | 449,883 | |||
Corning, Inc.: | |||||
4.38%, 11/15/2057 | 25,000 | 30,799 | |||
5.35%, 11/15/2048 | 100,000 | 141,011 | |||
5.75%, 8/15/2040 | 25,000 | 33,804 |
Security Description | Principal Amount | Value | |||
Deutsche Telekom International Finance B.V. 8.75%, 6/15/2030 | $ 250,000 | $ 394,702 | |||
Juniper Networks, Inc.: | |||||
1.20%, 12/10/2025 | 250,000 | 252,965 | |||
2.00%, 12/10/2030 | 250,000 | 246,590 | |||
3.75%, 8/15/2029 | 100,000 | 114,949 | |||
Motorola Solutions, Inc.: | |||||
4.00%, 9/1/2024 | 23,000 | 25,702 | |||
4.60%, 2/23/2028 | 125,000 | 150,961 | |||
4.60%, 5/23/2029 | 50,000 | 60,056 | |||
Orange SA 5.50%, 2/6/2044 | 50,000 | 73,143 | |||
Rogers Communications, Inc.: | |||||
3.00%, 3/15/2023 | 30,000 | 31,513 | |||
3.70%, 11/15/2049 | 50,000 | 58,969 | |||
4.30%, 2/15/2048 | 40,000 | 51,005 | |||
4.35%, 5/1/2049 | 155,000 | 200,460 | |||
5.00%, 3/15/2044 | 50,000 | 68,570 | |||
Telefonica Emisiones SA: | |||||
4.67%, 3/6/2038 | 150,000 | 180,570 | |||
5.21%, 3/8/2047 | 300,000 | 383,358 | |||
5.52%, 3/1/2049 | 150,000 | 200,843 | |||
7.05%, 6/20/2036 | 25,000 | 37,294 | |||
Telefonica Europe B.V. 8.25%, 9/15/2030 | 25,000 | 37,960 | |||
TELUS Corp. 4.60%, 11/16/2048 | 150,000 | 197,579 | |||
T-Mobile USA, Inc.: | |||||
2.05%, 2/15/2028 (d) | 45,000 | 46,825 | |||
2.25%, 11/15/2031 (d) | 50,000 | 51,285 | |||
2.55%, 2/15/2031 (d) | 165,000 | 173,390 | |||
3.00%, 2/15/2041 (d) | 55,000 | 56,866 | |||
3.30%, 2/15/2051 (d) | 100,000 | 102,750 | |||
3.50%, 4/15/2025 (d) | 150,000 | 165,962 | |||
3.60%, 11/15/2060 (d) | 20,000 | 21,234 | |||
3.75%, 4/15/2027 (d) | 150,000 | 171,071 | |||
3.88%, 4/15/2030 (d) | 380,000 | 439,314 | |||
4.38%, 4/15/2040 (d) | 350,000 | 427,217 | |||
4.50%, 4/15/2050 (d) | 45,000 | 55,764 | |||
Verizon Communications, Inc.: | |||||
0.85%, 11/20/2025 | 200,000 | 201,636 | |||
1.50%, 9/18/2030 | 60,000 | 58,916 | |||
1.68%, 10/30/2030 (d) | 55,000 | 54,645 | |||
1.75%, 1/20/2031 | 200,000 | 199,256 | |||
2.63%, 8/15/2026 | 50,000 | 54,761 | |||
2.65%, 11/20/2040 | 200,000 | 202,058 | |||
2.88%, 11/20/2050 | 200,000 | 201,304 | |||
2.99%, 10/30/2056 (d) | 837,000 | 842,457 | |||
3.00%, 11/20/2060 | 175,000 | 176,402 | |||
3.15%, 3/22/2030 | 500,000 | 560,706 | |||
3.38%, 2/15/2025 | 500,000 | 555,205 | |||
3.88%, 2/8/2029 | 10,000 | 11,766 | |||
4.00%, 3/22/2050 | 500,000 | 605,028 | |||
4.02%, 12/3/2029 | 350,000 | 415,320 |
Security Description | Principal Amount | Value | |||
4.27%, 1/15/2036 | $ 28,000 | $ 34,655 | |||
4.33%, 9/21/2028 | 285,000 | 342,661 | |||
4.40%, 11/1/2034 | 250,000 | 312,105 | |||
4.50%, 8/10/2033 | 250,000 | 315,345 | |||
4.52%, 9/15/2048 | 25,000 | 32,374 | |||
4.81%, 3/15/2039 | 100,000 | 130,560 | |||
5.01%, 4/15/2049 | 15,000 | 20,779 | |||
5.15%, 9/15/2023 | 300,000 | 338,133 | |||
Vodafone Group PLC: | |||||
3.75%, 1/16/2024 | 520,000 | 568,474 | |||
4.13%, 5/30/2025 | 50,000 | 57,178 | |||
4.38%, 5/30/2028 (b) | 500,000 | 599,655 | |||
4.38%, 2/19/2043 | 75,000 | 93,065 | |||
5.00%, 5/30/2038 | 250,000 | 326,845 | |||
5.25%, 5/30/2048 | 225,000 | 312,395 | |||
20,822,091 | |||||
TEXTILES — 0.0% (a) | |||||
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 100,000 | 112,152 | |||
TOYS/GAMES/HOBBIES — 0.0% (a) | |||||
Hasbro, Inc.: | |||||
3.50%, 9/15/2027 | 30,000 | 33,053 | |||
3.90%, 11/19/2029 (b) | 100,000 | 113,527 | |||
146,580 | |||||
TRANSPORTATION — 0.6% | |||||
Burlington Northern Santa Fe LLC: | |||||
3.05%, 2/15/2051 | 15,000 | 17,034 | |||
3.40%, 9/1/2024 | 100,000 | 109,748 | |||
3.55%, 2/15/2050 | 250,000 | 306,495 | |||
3.75%, 4/1/2024 | 25,000 | 27,379 | |||
3.90%, 8/1/2046 | 100,000 | 127,282 | |||
4.05%, 6/15/2048 | 155,000 | 203,642 | |||
4.13%, 6/15/2047 | 150,000 | 197,742 | |||
4.15%, 12/15/2048 | 30,000 | 39,937 | |||
4.45%, 3/15/2043 | 50,000 | 66,794 | |||
4.55%, 9/1/2044 | 50,000 | 67,997 | |||
4.90%, 4/1/2044 | 125,000 | 176,675 | |||
Canadian National Railway Co.: | |||||
2.45%, 5/1/2050 | 15,000 | 15,398 | |||
2.75%, 3/1/2026 | 100,000 | 109,708 | |||
2.95%, 11/21/2024 | 50,000 | 53,987 | |||
3.20%, 8/2/2046 | 25,000 | 29,507 | |||
3.65%, 2/3/2048 | 50,000 | 61,923 | |||
Canadian Pacific Railway Co.: | |||||
2.05%, 3/5/2030 | 35,000 | 36,757 | |||
4.00%, 6/1/2028 | 100,000 | 117,518 | |||
4.80%, 9/15/2035 | 30,000 | 39,316 | |||
CSX Corp.: | |||||
2.40%, 2/15/2030 (b) | 50,000 | 54,007 | |||
2.50%, 5/15/2051 | 60,000 | 59,699 | |||
3.25%, 6/1/2027 | 50,000 | 56,480 |
Security Description | Principal Amount | Value | |||
3.35%, 9/15/2049 | $ 65,000 | $ 74,757 | |||
3.40%, 8/1/2024 | 25,000 | 27,322 | |||
3.80%, 3/1/2028 | 50,000 | 58,203 | |||
3.80%, 11/1/2046 | 100,000 | 120,551 | |||
4.10%, 3/15/2044 | 75,000 | 93,527 | |||
4.25%, 3/15/2029 (b) | 95,000 | 115,196 | |||
4.30%, 3/1/2048 | 50,000 | 64,866 | |||
4.50%, 3/15/2049 | 125,000 | 168,037 | |||
4.65%, 3/1/2068 | 50,000 | 70,164 | |||
FedEx Corp.: | |||||
3.40%, 1/14/2022 | 150,000 | 154,695 | |||
3.40%, 2/15/2028 | 50,000 | 57,070 | |||
3.80%, 5/15/2025 | 500,000 | 564,427 | |||
3.90%, 2/1/2035 | 200,000 | 239,088 | |||
4.00%, 1/15/2024 | 25,000 | 27,696 | |||
4.05%, 2/15/2048 | 50,000 | 60,160 | |||
4.55%, 4/1/2046 | 100,000 | 127,685 | |||
4.75%, 11/15/2045 (b) | 25,000 | 32,610 | |||
4.95%, 10/17/2048 | 100,000 | 135,825 | |||
5.25%, 5/15/2050 | 250,000 | 354,312 | |||
Kansas City Southern: | |||||
2.88%, 11/15/2029 | 65,000 | 70,318 | |||
3.50%, 5/1/2050 | 25,000 | 27,862 | |||
4.70%, 5/1/2048 | 50,000 | 63,559 | |||
Norfolk Southern Corp.: | |||||
2.90%, 6/15/2026 | 150,000 | 165,723 | |||
3.00%, 4/1/2022 | 25,000 | 25,669 | |||
3.15%, 6/1/2027 | 50,000 | 55,559 | |||
3.16%, 5/15/2055 | 68,000 | 74,108 | |||
3.40%, 11/1/2049 | 100,000 | 114,163 | |||
3.94%, 11/1/2047 | 100,000 | 122,677 | |||
4.45%, 6/15/2045 | 19,000 | 24,669 | |||
Ryder System, Inc.: | |||||
Series MTN, 2.50%, 9/1/2024 (b) | 40,000 | 42,520 | |||
Series MTN, 2.80%, 3/1/2022 | 100,000 | 102,547 | |||
Union Pacific Corp.: | |||||
2.15%, 2/5/2027 | 250,000 | 265,745 | |||
2.40%, 2/5/2030 | 500,000 | 538,256 | |||
2.75%, 3/1/2026 | 50,000 | 54,636 | |||
2.95%, 3/1/2022 | 350,000 | 360,766 | |||
2.97%, 9/16/2062 (d) | 110,000 | 115,321 | |||
3.25%, 2/5/2050 | 200,000 | 227,154 | |||
3.50%, 6/8/2023 | 50,000 | 53,594 | |||
3.80%, 10/1/2051 | 52,000 | 63,796 | |||
3.84%, 3/20/2060 | 130,000 | 160,256 | |||
4.05%, 3/1/2046 | 175,000 | 214,919 | |||
4.10%, 9/15/2067 | 15,000 | 18,805 | |||
United Parcel Service, Inc.: | |||||
2.35%, 5/16/2022 | 50,000 | 51,334 | |||
2.40%, 11/15/2026 | 30,000 | 32,689 | |||
2.45%, 10/1/2022 | 125,000 | 129,697 | |||
2.50%, 4/1/2023 (b) | 150,000 | 157,050 | |||
3.05%, 11/15/2027 | 50,000 | 56,690 |
Security Description | Principal Amount | Value | |||
3.75%, 11/15/2047 | $ 175,000 | $ 221,398 | |||
5.30%, 4/1/2050 | 200,000 | 301,788 | |||
8,434,484 | |||||
TRUCKING & LEASING — 0.0% (a) | |||||
GATX Corp.: | |||||
3.85%, 3/30/2027 | 50,000 | 56,444 | |||
4.55%, 11/7/2028 | 50,000 | 60,291 | |||
4.70%, 4/1/2029 | 25,000 | 30,472 | |||
147,207 | |||||
WATER — 0.0% (a) | |||||
American Water Capital Corp.: | |||||
2.95%, 9/1/2027 | 121,000 | 133,396 | |||
3.40%, 3/1/2025 | 25,000 | 27,672 | |||
3.45%, 5/1/2050 | 50,000 | 59,155 | |||
3.75%, 9/1/2028 | 100,000 | 116,790 | |||
3.75%, 9/1/2047 | 100,000 | 122,292 | |||
4.30%, 12/1/2042 | 25,000 | 32,696 | |||
Essential Utilities, Inc. 2.70%, 4/15/2030 | 60,000 | 65,084 | |||
557,085 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $354,671,274) | 387,244,612 | ||||
ASSET-BACKED SECURITIES — 0.3% | |||||
ASSET-BACKED - OTHER — 0.0% (a) | |||||
Ford Credit Floorplan Master Owner Trust Series 2020-1, Class A1, 0.70%, 9/15/2025 | 350,000 | 351,683 | |||
AUTOMOBILE — 0.2% | |||||
AmeriCredit Automobile Receivables Trust Series 2020-3, Class A3, 0.53%, 6/18/2025 | 56,000 | 56,133 | |||
CarMax Auto Owner Trust Series 2020-2, Class A3, 1.70%, 11/15/2024 | 131,000 | 133,431 | |||
Carmax Auto Owner Trust 2019-1 Series 2019-1, Class A4, 3.26%, 8/15/2024 | 213,000 | 224,965 | |||
Drive Auto Receivables Trust: | |||||
Series 2018-4, Class D, 4.09%, 1/15/2026 | 100,000 | 103,748 | |||
Series 2019-4, Class C, 2.51%, 11/17/2025 | 50,000 | 51,096 | |||
Ford Credit Auto Owner Trust Series 2020-B, Class A3, 0.56%, 10/15/2024 | 189,000 | 189,834 |
Security Description | Principal Amount | Value | |||
Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024 | $ 385,000 | $ 392,785 | |||
Hyundai Auto Receivables Trust Series 2019-B, Class A3, Class A3, 1.94%, 2/15/2024 | 55,000 | 56,011 | |||
Mercedes-Benz Auto Receivables Trust Series 2019-1, Class A3, Class A3, 1.94%, 3/15/2024 | 100,000 | 101,714 | |||
Santander Drive Auto Receivables Trust Series 2020-3, Class A3, 0.52%, 7/15/2024 | 111,000 | 111,221 | |||
Toyota Auto Receivables Owner Trust: | |||||
Series 2020-D, Class A3, 0.35%, 1/15/2025 | 1,340,000 | 1,342,590 | |||
Series 2020-D, Class A4, 0.47%, 1/15/2026 | 250,000 | 251,168 | |||
Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024 | 100,000 | 99,999 | |||
3,114,695 | |||||
CREDIT CARD — 0.1% | |||||
American Express Credit Account Master Trust: | |||||
Series 2019-2, Class A, 2.67%, 11/15/2024 | 900,000 | 928,189 | |||
Series 2019-1, Class A, 2.87%, 10/15/2024 | 100,000 | 103,170 | |||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 200,000 | 240,911 | |||
Synchrony Card Funding LLC Series 2019-A2, Class A, 2.34%, 6/15/2025 | 150,000 | 154,431 | |||
1,426,701 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $4,856,733) | 4,893,079 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 3.7% | |||||
AUSTRIA — 0.0% (a) | |||||
Oesterreichische Kontrollbank AG: | |||||
0.38%, 09/17/2025 | 90,000 | 89,520 | |||
1.50%, 02/12/2025 | 50,000 | 52,185 | |||
1.63%, 09/17/2022 | 40,000 | 40,964 | |||
2.63%, 01/31/2022 | 200,000 | 205,150 |
Security Description | Principal Amount | Value | |||
Series GMTN, 2.88%, 03/13/2023 | $ 100,000 | $ 105,733 | |||
493,552 | |||||
CANADA — 0.4% | |||||
Canada Government International Bond 1.63%, 1/22/2025 | 500,000 | 525,020 | |||
Export Development Canada: | |||||
1.38%, 02/24/2023 | 250,000 | 256,335 | |||
1.75%, 07/18/2022 (b) | 150,000 | 153,632 | |||
2.00%, 05/17/2022 | 50,000 | 51,253 | |||
2.50%, 01/24/2023 | 200,000 | 209,510 | |||
Province of Alberta Canada: | |||||
1.30%, 07/22/2030 | 400,000 | 398,028 | |||
2.20%, 07/26/2022 | 50,000 | 51,493 | |||
3.30%, 03/15/2028 | 650,000 | 749,541 | |||
Province of British Columbia Canada 2.25%, 6/2/2026 (b) | 150,000 | 163,241 | |||
Province of Manitoba Canada: | |||||
2.13%, 06/22/2026 | 250,000 | 269,065 | |||
Series GX, 2.60%, 04/16/2024 | 100,000 | 107,100 | |||
Province of New Brunswick Canada 3.63%, 2/24/2028 | 50,000 | 58,284 | |||
Province of Ontario Canada: | |||||
2.00%, 10/02/2029 | 350,000 | 373,954 | |||
2.20%, 10/03/2022 | 250,000 | 258,430 | |||
2.50%, 04/27/2026 | 350,000 | 383,894 | |||
2.55%, 04/25/2022 | 750,000 | 772,455 | |||
3.40%, 10/17/2023 | 350,000 | 379,711 | |||
Province of Quebec Canada: | |||||
0.60%, 07/23/2025 | 250,000 | 250,732 | |||
1.35%, 05/28/2030 | 300,000 | 304,806 | |||
2.50%, 04/20/2026 | 250,000 | 274,107 | |||
2.75%, 04/12/2027 | 200,000 | 223,358 | |||
Series QO, 2.88%, 10/16/2024 | 200,000 | 218,628 | |||
6,432,577 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond: | |||||
2.45%, 01/31/2031 | 200,000 | 214,238 | |||
3.13%, 01/21/2026 (b) | 50,000 | 55,508 | |||
3.24%, 02/06/2028 | 200,000 | 226,834 | |||
3.86%, 06/21/2047 | 300,000 | 366,471 | |||
863,051 | |||||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond: | |||||
3.13%, 04/15/2031 | 250,000 | 265,775 | |||
4.13%, 05/15/2051 (b) | 200,000 | 222,676 | |||
4.50%, 01/28/2026 | 250,000 | 283,348 |
Security Description | Principal Amount | Value | |||
4.50%, 03/15/2029 | $ 250,000 | $ 289,655 | |||
5.00%, 06/15/2045 | 200,000 | 244,692 | |||
5.20%, 05/15/2049 | 250,000 | 316,527 | |||
5.63%, 02/26/2044 | 200,000 | 259,460 | |||
1,882,133 | |||||
FREE OF TAX — 0.0% (a) | |||||
Asian Development Bank: | |||||
Series GMTN, 0.25%, 10/06/2023 | 200,000 | 200,056 | |||
Series GMTN, 0.75%, 10/08/2030 | 200,000 | 194,924 | |||
394,980 | |||||
GERMANY — 0.4% | |||||
FMS Wertmanagement 2.75%, 1/30/2024 | 250,000 | 269,005 | |||
Kreditanstalt fuer Wiederaufbau: | |||||
0.01%, 06/29/2037 | 100,000 | 79,040 | |||
0.25%, 10/19/2023 (b) | 300,000 | 300,306 | |||
0.38%, 07/18/2025 | 250,000 | 249,673 | |||
0.75%, 09/30/2030 | 500,000 | 488,425 | |||
1.63%, 02/15/2023 | 500,000 | 515,100 | |||
1.75%, 09/14/2029 | 250,000 | 266,950 | |||
2.00%, 05/02/2025 | 100,000 | 106,994 | |||
2.13%, 03/07/2022 | 250,000 | 255,748 | |||
2.13%, 06/15/2022 | 250,000 | 257,045 | |||
2.13%, 01/17/2023 | 100,000 | 103,935 | |||
2.38%, 12/29/2022 | 250,000 | 260,847 | |||
2.50%, 02/15/2022 | 500,000 | 512,985 | |||
2.50%, 11/20/2024 | 300,000 | 325,302 | |||
2.63%, 01/25/2022 | 50,000 | 51,302 | |||
2.63%, 02/28/2024 | 250,000 | 268,577 | |||
2.88%, 04/03/2028 (b) | 290,000 | 333,715 | |||
Landwirtschaftliche Rentenbank: | |||||
0.88%, 09/03/2030 | 200,000 | 196,778 | |||
3.13%, 11/14/2023 | 100,000 | 108,240 | |||
Series 37, 2.50%, 11/15/2027 | 50,000 | 55,874 | |||
Series 40, 0.50%, 05/27/2025 | 90,000 | 90,276 | |||
5,096,117 | |||||
HUNGARY — 0.0% (a) | |||||
Hungary Government International Bond 5.38%, 3/25/2024 | 350,000 | 399,917 | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond: | |||||
2.95%, 01/11/2023 | 275,000 | 286,828 | |||
4.45%, 04/15/2070 | 200,000 | 246,164 | |||
4.75%, 02/11/2029 | 150,000 | 181,806 |
Security Description | Principal Amount | Value | |||
5.35%, 02/11/2049 | $ 100,000 | $ 137,497 | |||
852,295 | |||||
ISRAEL — 0.1% | |||||
Israel Government International Bond: | |||||
2.75%, 07/03/2030 | 200,000 | 220,942 | |||
2.88%, 03/16/2026 | 100,000 | 110,155 | |||
3.25%, 01/17/2028 | 100,000 | 114,137 | |||
3.88%, 07/03/2050 | 200,000 | 240,974 | |||
4.00%, 06/30/2022 | 50,000 | 52,758 | |||
4.13%, 01/17/2048 | 100,000 | 129,208 | |||
868,174 | |||||
ITALY — 0.0% | |||||
Republic of Italy Government International Bond: | |||||
1.25%, 02/17/2026 (b) | 250,000 | 249,320 | |||
2.38%, 10/17/2024 | 250,000 | 263,015 | |||
4.00%, 10/17/2049 | 200,000 | 221,120 | |||
5.38%, 06/15/2033 (b) | 50,000 | 64,242 | |||
797,697 | |||||
JAPAN — 0.2% | |||||
Japan Bank for International Cooperation: | |||||
0.38%, 09/15/2023 | 250,000 | 250,230 | |||
0.63%, 07/15/2025 | 450,000 | 450,274 | |||
1.75%, 10/17/2024 | 200,000 | 209,408 | |||
2.50%, 06/01/2022 | 200,000 | 206,188 | |||
2.50%, 05/23/2024 | 200,000 | 213,870 | |||
2.75%, 11/16/2027 (b) | 200,000 | 224,258 | |||
2.88%, 07/21/2027 | 100,000 | 112,656 | |||
3.25%, 07/20/2023 | 150,000 | 160,976 | |||
3.25%, 07/20/2028 | 250,000 | 291,237 | |||
3.38%, 10/31/2023 | 200,000 | 216,874 | |||
Series DTC, 2.38%, 04/20/2026 | 200,000 | 217,448 | |||
2,553,419 | |||||
MEXICO — 0.3% | |||||
Mexico Government International Bond: | |||||
2.66%, 05/24/2031 | 200,000 | 205,182 | |||
3.25%, 04/16/2030 | 350,000 | 379,015 | |||
3.75%, 01/11/2028 | 100,000 | 112,578 | |||
3.77%, 05/24/2061 | 200,000 | 209,042 | |||
3.90%, 04/27/2025 | 500,000 | 556,670 | |||
4.00%, 10/02/2023 | 80,000 | 87,592 | |||
4.13%, 01/21/2026 | 125,000 | 143,646 | |||
4.15%, 03/28/2027 | 200,000 | 231,354 | |||
4.50%, 04/22/2029 | 250,000 | 293,455 | |||
4.50%, 01/31/2050 | 250,000 | 293,405 | |||
4.60%, 02/10/2048 (b) | 200,000 | 234,934 | |||
4.75%, 04/27/2032 | 200,000 | 241,050 | |||
5.00%, 04/27/2051 | 200,000 | 249,474 | |||
5.55%, 01/21/2045 | 450,000 | 592,308 |
Security Description | Principal Amount | Value | |||
6.05%, 01/11/2040 | $ 30,000 | $ 40,324 | |||
Series MTN, 4.75%, 03/08/2044 | 100,000 | 118,939 | |||
3,988,968 | |||||
PANAMA — 0.1% | |||||
Panama Government International Bond: | |||||
2.25%, 09/29/2032 | 200,000 | 206,190 | |||
3.16%, 01/23/2030 | 200,000 | 222,052 | |||
3.75%, 03/16/2025 | 150,000 | 166,147 | |||
3.87%, 07/23/2060 | 200,000 | 235,772 | |||
3.88%, 03/17/2028 | 200,000 | 229,610 | |||
4.50%, 05/15/2047 | 50,000 | 64,449 | |||
4.50%, 04/16/2050 | 200,000 | 257,330 | |||
6.70%, 01/26/2036 | 50,000 | 74,314 | |||
1,455,864 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond: | |||||
2.39%, 01/23/2026 (b) | 250,000 | 266,800 | |||
2.78%, 01/23/2031 | 250,000 | 275,052 | |||
2.78%, 12/01/2060 | 150,000 | 151,694 | |||
2.84%, 06/20/2030 | 55,000 | 60,931 | |||
3.23%, 07/28/2121 | 150,000 | 150,296 | |||
4.13%, 08/25/2027 | 150,000 | 176,233 | |||
5.63%, 11/18/2050 | 150,000 | 235,884 | |||
6.55%, 03/14/2037 | 25,000 | 37,989 | |||
1,354,879 | |||||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond: | |||||
1.65%, 06/10/2031 | 250,000 | 253,865 | |||
2.46%, 05/05/2030 | 200,000 | 215,676 | |||
2.65%, 12/10/2045 | 250,000 | 254,485 | |||
2.95%, 05/05/2045 | 250,000 | 264,440 | |||
3.70%, 03/01/2041 (b) | 200,000 | 231,732 | |||
3.70%, 02/02/2042 | 100,000 | 116,195 | |||
3.95%, 01/20/2040 | 200,000 | 238,250 | |||
4.20%, 01/21/2024 | 300,000 | 334,188 | |||
5.00%, 01/13/2037 (b) | 150,000 | 198,309 | |||
7.75%, 01/14/2031 | 100,000 | 154,457 | |||
2,261,597 | |||||
POLAND — 0.0% (a) | |||||
Poland Government International Bond: | |||||
3.00%, 03/17/2023 | 50,000 | 52,846 | |||
3.25%, 04/06/2026 | 175,000 | 197,417 | |||
4.00%, 01/22/2024 | 150,000 | 166,164 | |||
5.00%, 03/23/2022 | 50,000 | 52,937 | |||
469,364 |
Security Description | Principal Amount | Value | |||
SOUTH KOREA — 0.1% | |||||
Export-Import Bank of Korea: | |||||
2.38%, 04/21/2027 | $ 25,000 | $ 26,605 | |||
3.00%, 11/01/2022 | 250,000 | 261,770 | |||
3.25%, 11/10/2025 (b) | 150,000 | 167,991 | |||
Korea Development Bank: | |||||
2.75%, 03/19/2023 | 200,000 | 210,240 | |||
3.00%, 01/13/2026 | 100,000 | 110,900 | |||
Korea International Bank 3.50%, 9/20/2028 | 200,000 | 233,606 | |||
Korea International Bond 1.00%, 9/16/2030 (b) | 200,000 | 196,028 | |||
1,207,140 | |||||
SUPRANATIONAL — 1.4% | |||||
African Development Bank: | |||||
0.75%, 04/03/2023 | 350,000 | 354,168 | |||
3.00%, 09/20/2023 | 150,000 | 161,138 | |||
Series GMTN, 1.63%, 09/16/2022 | 210,000 | 215,111 | |||
Asian Development Bank: | |||||
0.63%, 04/29/2025 | 500,000 | 504,545 | |||
1.50%, 10/18/2024 | 200,000 | 208,752 | |||
1.63%, 01/24/2023 (b) | 500,000 | 514,645 | |||
2.63%, 01/30/2024 | 200,000 | 214,422 | |||
Series GMTN, 0.25%, 07/14/2023 | 275,000 | 275,212 | |||
Series GMTN, 0.38%, 09/03/2025 | 250,000 | 249,320 | |||
Series GMTN, 1.75%, 09/13/2022 | 250,000 | 256,530 | |||
Series GMTN, 2.00%, 02/16/2022 | 150,000 | 153,069 | |||
Series GMTN, 2.00%, 04/24/2026 | 100,000 | 107,751 | |||
Series GMTN, 2.38%, 08/10/2027 | 50,000 | 55,241 | |||
Series GMTN, 2.50%, 11/02/2027 | 100,000 | 111,524 | |||
Series GMTN, 2.63%, 01/12/2027 | 50,000 | 55,707 | |||
Series GMTN, 2.75%, 03/17/2023 | 85,000 | 89,735 | |||
Series GMTN, 3.13%, 09/26/2028 | 50,000 | 58,534 | |||
Series MTN, 1.88%, 07/19/2022 | 400,000 | 410,400 | |||
Asian Infrastructure Investment Bank: | |||||
0.25%, 09/29/2023 | 165,000 | 165,081 | |||
0.50%, 05/28/2025 | 200,000 | 200,388 | |||
Corp. Andina de Fomento: | |||||
2.38%, 05/12/2023 | 150,000 | 155,009 | |||
2.75%, 01/06/2023 (b) | 100,000 | 103,662 | |||
Council Of Europe Development Bank: | |||||
1.75%, 09/26/2022 | 100,000 | 102,692 |
Security Description | Principal Amount | Value | |||
2.50%, 02/27/2024 | $ 30,000 | $ 32,084 | |||
2.63%, 02/13/2023 | 60,000 | 63,040 | |||
European Bank for Reconstruction & Development: | |||||
Series GMTN, 0.25%, 07/10/2023 (b) | 100,000 | 100,069 | |||
Series GMTN, 0.50%, 11/25/2025 (b) | 250,000 | 250,410 | |||
Series GMTN, 1.50%, 02/13/2025 | 250,000 | 261,342 | |||
Series GMTN, 1.88%, 02/23/2022 | 75,000 | 76,442 | |||
European Investment Bank: | |||||
0.25%, 09/15/2023 | 365,000 | 365,445 | |||
0.38%, 12/15/2025 (b) | 200,000 | 199,318 | |||
0.63%, 07/25/2025 | 350,000 | 353,405 | |||
0.75%, 09/23/2030 (b) | 200,000 | 195,250 | |||
1.38%, 05/15/2023 | 350,000 | 359,656 | |||
1.63%, 03/14/2025 (b) | 485,000 | 510,220 | |||
1.88%, 02/10/2025 (b) | 100,000 | 106,157 | |||
2.00%, 12/15/2022 | 250,000 | 258,850 | |||
2.13%, 04/13/2026 (b) | 100,000 | 108,543 | |||
2.25%, 03/15/2022 (b) | 250,000 | 256,233 | |||
2.38%, 06/15/2022 | 350,000 | 361,137 | |||
2.38%, 05/24/2027 (b) | 100,000 | 110,707 | |||
2.50%, 03/15/2023 (b) | 145,000 | 152,325 | |||
2.50%, 10/15/2024 (b) | 25,000 | 27,073 | |||
2.63%, 03/15/2024 (b) | 350,000 | 376,390 | |||
Series GMTN, 2.88%, 08/15/2023 | 350,000 | 374,255 | |||
Series GMTN, 3.13%, 12/14/2023 | 350,000 | 379,694 | |||
Inter-American Development Bank: | |||||
0.25%, 11/15/2023 | 150,000 | 150,039 | |||
0.63%, 07/15/2025 | 500,000 | 504,225 | |||
0.88%, 04/03/2025 | 500,000 | 509,730 | |||
2.00%, 07/23/2026 | 100,000 | 107,763 | |||
2.25%, 06/18/2029 | 250,000 | 276,045 | |||
2.38%, 07/07/2027 | 100,000 | 110,346 | |||
2.50%, 01/18/2023 | 100,000 | 104,651 | |||
2.63%, 01/16/2024 | 350,000 | 374,836 | |||
3.00%, 02/21/2024 | 100,000 | 108,448 | |||
3.13%, 09/18/2028 | 100,000 | 117,138 | |||
4.38%, 01/24/2044 | 75,000 | 111,866 | |||
Series GMTN, 1.75%, 09/14/2022 | 350,000 | 359,268 | |||
Series GMTN, 1.75%, 03/14/2025 | 250,000 | 263,942 | |||
Series GMTN, 2.13%, 01/18/2022 | 350,000 | 357,136 | |||
Series GMTN, 3.00%, 09/26/2022 | 100,000 | 104,857 |
Security Description | Principal Amount | Value | |||
International Bank for Reconstruction & Development: | |||||
0.25%, 11/24/2023 | $ 75,000 | $ 75,038 | |||
0.38%, 07/28/2025 | 250,000 | 249,438 | |||
0.50%, 10/28/2025 | 250,000 | 250,618 | |||
0.63%, 04/22/2025 | 550,000 | 554,994 | |||
0.75%, 03/11/2025 | 500,000 | 507,280 | |||
0.75%, 11/24/2027 | 390,000 | 390,253 | |||
0.75%, 08/26/2030 | 170,000 | 165,755 | |||
0.88%, 05/14/2030 | 250,000 | 247,260 | |||
1.63%, 01/15/2025 | 350,000 | 367,398 | |||
2.00%, 01/26/2022 | 300,000 | 305,844 | |||
2.13%, 07/01/2022 | 200,000 | 205,812 | |||
2.50%, 03/19/2024 | 350,000 | 374,871 | |||
3.00%, 09/27/2023 | 350,000 | 376,439 | |||
Series GDIF, 1.75%, 10/23/2029 | 250,000 | 266,410 | |||
Series GDIF, 1.88%, 06/19/2023 | 300,000 | 312,216 | |||
Series GDIF, 2.50%, 11/25/2024 | 300,000 | 325,005 | |||
Series GDIF, 2.50%, 07/29/2025 | 200,000 | 218,616 | |||
Series GDIF, 2.50%, 11/22/2027 | 250,000 | 279,275 | |||
Series GMTN, 4.75%, 02/15/2035 | 25,000 | 35,660 | |||
International Finance Corp.: | |||||
Series GMTN, 0.38%, 07/16/2025 | 250,000 | 249,415 | |||
Series GMTN, 2.13%, 04/07/2026 | 100,000 | 108,453 | |||
Series GMTN, 2.88%, 07/31/2023 | 150,000 | 160,175 | |||
Nordic Investment Bank: | |||||
0.38%, 09/11/2025 | 200,000 | 199,360 | |||
2.13%, 02/01/2022 | 200,000 | 204,182 | |||
19,990,738 | |||||
SWEDEN — 0.0% (a) | |||||
Svensk Exportkredit AB: | |||||
0.50%, 08/26/2025 | 350,000 | 348,968 | |||
1.63%, 11/14/2022 | 200,000 | 205,156 | |||
2.00%, 08/30/2022 | 200,000 | 205,740 | |||
759,864 | |||||
URUGUAY — 0.1% | |||||
Uruguay Government International Bond: | |||||
4.38%, 10/27/2027 | 225,000 | 266,076 | |||
4.38%, 01/23/2031 | 280,000 | 343,834 |
Security Description | Principal Amount | Value | |||
5.10%, 06/18/2050 | $ 175,000 | $ 245,112 | |||
855,022 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $50,200,544) | 52,977,348 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.3% | |||||
Federal Farm Credit Banks: | |||||
2.53%, 2/14/2022 | 500,000 | 512,750 | |||
2.60%, 1/18/2022 | 150,000 | 153,705 | |||
2.88%, 7/17/2023 | 100,000 | 106,506 | |||
3.50%, 12/20/2023 | 50,000 | 54,767 | |||
Federal Farm Credit Banks Funding Corp.: | |||||
0.13%, 11/23/2022 | 150,000 | 149,967 | |||
0.35%, 5/16/2024 | 250,000 | 249,667 | |||
0.38%, 4/8/2022 | 250,000 | 250,725 | |||
0.42%, 10/16/2023 | 150,000 | 149,919 | |||
0.47%, 8/19/2024 | 100,000 | 100,118 | |||
0.68%, 8/4/2025 | 100,000 | 99,984 | |||
0.79%, 6/21/2027 | 125,000 | 124,908 | |||
0.90%, 8/19/2027 | 100,000 | 99,934 | |||
1.00%, 8/3/2027 | 100,000 | 99,932 | |||
1.10%, 8/10/2029 | 150,000 | 149,787 | |||
1.14%, 8/20/2029 | 150,000 | 149,562 | |||
1.15%, 8/12/2030 | 100,000 | 99,522 | |||
1.32%, 9/9/2030 | 100,000 | 99,808 | |||
1.65%, 7/23/2035 | 100,000 | 99,073 | |||
1.69%, 8/20/2035 | 100,000 | 99,315 | |||
1.95%, 8/13/2040 | 100,000 | 98,405 | |||
Federal Home Loan Bank: | |||||
0.13%, 8/12/2022 | 190,000 | 189,979 | |||
0.13%, 10/21/2022 | 165,000 | 164,990 | |||
0.25%, 6/3/2022 | 250,000 | 250,390 | |||
0.50%, 4/14/2025 | 205,000 | 206,318 | |||
1.38%, 2/17/2023 | 750,000 | 769,342 | |||
1.50%, 8/15/2024 | 190,000 | 198,651 | |||
2.50%, 2/13/2024 (b) | 220,000 | 235,710 | |||
2.88%, 9/13/2024 | 50,000 | 54,751 | |||
3.25%, 6/9/2028 | 500,000 | 589,810 | |||
3.25%, 11/16/2028 (b) | 280,000 | 333,810 | |||
3.38%, 12/8/2023 | 50,000 | 54,618 | |||
5.50%, 7/15/2036 | 135,000 | 208,119 | |||
Federal Home Loan Mortgage Corp.: | |||||
0.13%, 10/16/2023 (b) | 190,000 | 189,742 | |||
0.25%, 6/26/2023 | 500,000 | 501,090 | |||
0.25%, 8/24/2023 | 215,000 | 215,357 | |||
0.25%, 11/6/2023 | 150,000 | 150,201 | |||
0.25%, 12/4/2023 | 875,000 | 876,015 | |||
0.32%, 10/20/2022 | 250,000 | 250,210 | |||
0.32%, 11/2/2023 | 150,000 | 150,134 |
Security Description | Principal Amount | Value | |||
0.35%, 11/24/2023 | $ 100,000 | $ 100,036 | |||
0.36%, 5/15/2024 | 250,000 | 250,080 | |||
0.38%, 4/20/2023 | 250,000 | 251,230 | |||
0.38%, 5/5/2023 | 350,000 | 351,890 | |||
0.38%, 9/23/2025 | 230,000 | 229,643 | |||
0.45%, 7/28/2023 | 150,000 | 150,030 | |||
0.60%, 10/15/2025 | 110,000 | 110,000 | |||
0.60%, 10/20/2025 | 150,000 | 150,227 | |||
0.63%, 11/25/2025 | 175,000 | 175,637 | |||
0.68%, 8/6/2025 | 100,000 | 100,240 | |||
0.70%, 8/19/2025 | 375,000 | 375,255 | |||
0.75%, 7/21/2025 | 250,000 | 250,067 | |||
0.75%, 6/23/2026 | 150,000 | 150,006 | |||
0.77%, 7/15/2025 | 150,000 | 150,029 | |||
1.50%, 2/12/2025 | 500,000 | 523,915 | |||
2.00%, 10/1/2050 | 1,675,482 | 1,740,883 | |||
2.00%, 12/1/2050 | 1,221,467 | 1,269,145 | |||
2.00%, 1/1/2051 | 3,050,000 | 3,169,053 | |||
2.22%, 7/13/2040 | 150,000 | 150,075 | |||
2.38%, 1/13/2022 | 325,000 | 332,511 | |||
2.50%, 10/1/2029 | 29,244 | 30,609 | |||
2.50%, 1/1/2031 | 59,531 | 62,404 | |||
2.50%, 5/1/2031 | 95,322 | 99,941 | |||
2.50%, 6/1/2031 | 176,827 | 185,396 | |||
2.50%, 10/1/2031 | 166,158 | 174,211 | |||
2.50%, 12/1/2031 | 204,137 | 216,302 | |||
2.50%, 12/1/2032 | 821,647 | 860,169 | |||
2.50%, 2/1/2033 | 953,164 | 997,852 | |||
2.50%, 9/1/2046 | 1,220,615 | 1,289,474 | |||
2.50%, 7/1/2050 | 5,126,996 | 5,403,935 | |||
2.50%, 10/1/2050 | 2,944,091 | 3,103,119 | |||
3.00%, 10/1/2030 | 394,281 | 422,057 | |||
3.00%, 12/1/2030 | 75,111 | 79,530 | |||
3.00%, 5/1/2031 | 58,442 | 61,728 | |||
3.00%, 12/1/2031 | 302,524 | 319,537 | |||
3.00%, 2/1/2032 | 431,027 | 455,266 | |||
3.00%, 5/1/2032 | 443,471 | 467,702 | |||
3.00%, 7/1/2032 | 133,111 | 140,384 | |||
3.00%, 1/1/2033 | 556,812 | 587,237 | |||
3.00%, 4/1/2036 | 289,359 | 305,740 | |||
3.00%, 6/1/2036 | 177,250 | 187,285 | |||
3.00%, 2/1/2038 | 654,895 | 689,380 | |||
3.00%, 1/1/2043 | 2,134,063 | 2,276,499 | |||
3.00%, 7/1/2043 | 2,346,892 | 2,503,558 | |||
3.00%, 6/1/2045 | 61,970 | 65,450 | |||
3.00% 8/1/2045 | 368,213 | 391,434 | |||
3.00%, 4/1/2046 | 249,824 | 264,043 | |||
3.00% 6/1/2046 | 2,862,177 | 3,052,861 | |||
3.00%, 8/1/2046 | 459,996 | 486,177 | |||
3.00%, 9/1/2046 | 151,217 | 159,824 | |||
3.00%, 10/1/2046 | 256,832 | 271,450 | |||
3.00% 11/1/2046 | 887,923 | 938,462 | |||
3.00% 12/1/2046 | 787,884 | 832,728 | |||
3.00%, 1/1/2047 | 578,693 | 611,631 | |||
3.00% 2/1/2047 | 1,294,322 | 1,390,796 |
Security Description | Principal Amount | Value | |||
3.00%, 4/1/2047 | $ 1,784,282 | $ 1,883,965 | |||
3.00%, 9/1/2049 | 516,923 | 540,654 | |||
3.00%, 12/1/2049 | 478,420 | 500,383 | |||
3.00%, 2/1/2050 | 1,784,385 | 1,866,300 | |||
3.00%, 4/1/2050 | 2,427,661 | 2,543,731 | |||
3.00%, 5/1/2050 | 4,032,754 | 4,258,188 | |||
3.50%, 4/1/2032 | 245,510 | 260,927 | |||
3.50%, 6/1/2033 | 497,934 | 528,169 | |||
3.50%, 9/1/2033 | 353,231 | 374,680 | |||
3.50%, 11/1/2034 | 172,709 | 185,652 | |||
3.50%, 3/1/2037 | 235,432 | 251,095 | |||
3.50%, 4/1/2042 | 207,790 | 229,321 | |||
3.50%, 12/1/2042 | 152,480 | 165,103 | |||
3.50%, 8/1/2043 | 415,030 | 450,062 | |||
3.50%, 5/1/2044 | 1,510,246 | 1,654,934 | |||
3.50%, 11/1/2044 | 29,232 | 31,423 | |||
3.50%, 1/1/2045 | 39,775 | 42,756 | |||
3.50% 7/1/2045 | 234,238 | 251,959 | |||
3.50%, 10/1/2045 | 38,768 | 41,616 | |||
3.50% 12/1/2045 | 459,686 | 493,959 | |||
3.50%, 1/1/2046 | 57,280 | 61,487 | |||
3.50%, 3/1/2046 | 117,754 | 125,054 | |||
3.50%, 4/1/2046 | 175,156 | 186,014 | |||
3.50%, 6/1/2046 | 200,843 | 213,293 | |||
3.50%, 8/1/2046 | 2,202,612 | 2,364,533 | |||
3.50%, 12/1/2046 | 642,025 | 681,824 | |||
3.50%, 2/1/2047 | 420,976 | 447,072 | |||
3.50%, 3/1/2047 | 415,355 | 440,287 | |||
3.50%, 4/1/2047 | 248,863 | 263,801 | |||
3.50%, 6/1/2047 | 249,704 | 264,693 | |||
3.50% 10/1/2047 | 440,166 | 466,589 | |||
3.50%, 11/1/2047 | 142,541 | 151,097 | |||
3.50%, 12/1/2047 | 284,059 | 301,109 | |||
3.50%, 4/1/2049 | 443,487 | 467,968 | |||
3.50%, 7/1/2049 | 1,176,507 | 1,241,635 | |||
3.50%, 10/1/2049 | 119,468 | 126,082 | |||
3.50%, 3/1/2050 | 3,164,562 | 3,339,742 | |||
4.00%, 11/1/2033 | 387,613 | 411,780 | |||
4.00%, 4/1/2042 | 24,140 | 26,656 | |||
4.00%, 6/1/2042 | 65,618 | 72,436 | |||
4.00%, 7/1/2042 | 1,247,201 | 1,377,208 | |||
4.00%, 12/1/2044 | 28,063 | 30,531 | |||
4.00%, 4/1/2045 | 22,687 | 24,736 | |||
4.00%, 10/1/2045 | 51,985 | 56,680 | |||
4.00%, 12/1/2045 | 91,325 | 99,572 | |||
4.00%, 1/1/2046 | 368,505 | 401,768 | |||
4.00%, 2/1/2046 | 142,864 | 155,759 | |||
4.00%, 1/1/2047 | 428,655 | 465,940 | |||
4.00%, 2/1/2047 | 189,024 | 205,465 | |||
4.00%, 6/1/2047 | 354,028 | 380,400 | |||
4.00%, 9/1/2047 | 435,671 | 468,125 | |||
4.00%, 11/1/2047 | 341,312 | 366,737 | |||
4.00%, 1/1/2048 | 883,559 | 949,375 | |||
4.00%, 10/1/2048 | 1,957,520 | 2,087,862 | |||
4.00%, 4/1/2049 | 157,660 | 168,476 |
Security Description | Principal Amount | Value | |||
4.50%, 5/1/2042 | $ 584,178 | $ 653,835 | |||
4.50%, 5/1/2044 | 155,638 | 173,684 | |||
4.50%, 12/1/2045 | 379,239 | 423,224 | |||
4.50%, 9/1/2046 | 287,566 | 322,297 | |||
4.50%, 4/1/2047 | 187,748 | 204,653 | |||
4.50%, 10/1/2047 | 279,572 | 304,744 | |||
4.50%, 11/1/2047 | 234,012 | 255,082 | |||
4.50%, 12/1/2047 | 122,806 | 133,863 | |||
4.50%, 7/1/2048 | 729,459 | 790,188 | |||
4.50%, 11/1/2048 | 435,407 | 471,657 | |||
4.50%, 6/1/2049 | 562,101 | 611,297 | |||
4.50%, 11/1/2049 | 1,150,909 | 1,251,640 | |||
5.00%, 7/1/2041 | 115,009 | 131,439 | |||
5.00%, 11/1/2048 | 460,821 | 510,570 | |||
5.50%, 8/1/2038 | 347,739 | 405,718 | |||
6.00%, 7/1/2040 | 128,507 | 151,118 | |||
6.25%, 7/15/2032 (b) | 460,000 | 712,223 | |||
2.75%, 6/19/2023 | 500,000 | 531,930 | |||
Series 0000, 0.60%, 7/29/2024 | 150,000 | 150,045 | |||
Series 0000, 0.64%, 11/24/2025 | 175,000 | 175,213 | |||
Series 0001, 0.60%, 11/12/2025 | 150,000 | 150,041 | |||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 128,597 | |||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 104,507 | |||
Series K039, Class A2, 3.30%, 7/25/2024 | 400,000 | 436,580 | |||
Series K040, Class A2, 3.24%, 9/25/2024 | 575,000 | 628,954 | |||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 220,039 | |||
Series K054, Class A2, 2.75%, 1/25/2026 | 500,000 | 547,529 | |||
Series K062, Class A2, 3.41%, 12/25/2026 | 400,000 | 457,515 | |||
Series K085, Class A2, 4.06%, 10/25/2028 (c) | 250,000 | 302,089 | |||
Series K086, Class A2, 3.86%, 11/25/2028 (c) | 160,001 | 192,188 | |||
Series K087, Class A2, Class A2, 3.77%, 12/25/2028 | 1,607,000 | 1,921,821 | |||
Series K090, Class A2, 3.42%, 2/25/2029 | 163,934 | 192,745 | |||
Series K092, Class A2, 3.30%, 4/25/2029 | 350,000 | 408,681 | |||
Series K093, Class A2, 2.98%, 5/25/2029 | 100,000 | 114,295 | |||
Series K094, Class A2, 2.90%, 6/25/2029 | 352,767 | 402,027 | |||
Series K098, Class A2, 2.43%, 8/25/2029 | 100,000 | 110,405 | |||
Series K099, Class A2, 2.60%, 9/25/2029 | 100,000 | 111,761 |
Security Description | Principal Amount | Value | |||
Series K101, Class A2, 2.52%, 10/25/2029 | $ 200,000 | $ 222,580 | |||
Series K109, Class A2, 1.56%, 4/25/2030 | 100,000 | 103,564 | |||
Series K114, Class A2, 1.37%, 6/25/2030 | 85,000 | 86,579 | |||
Series K115, Class A2, 1.38%, 6/25/2030 | 400,000 | 408,415 | |||
Series K118, Class A2, 1.49%, 9/25/2030 | 750,000 | 771,875 | |||
Series K121, Class A2, 1.55%, 10/25/2030 | 320,000 | 330,704 | |||
Series K-1515, Class A2, 1.94%, 2/25/2035 | 293,000 | 304,056 | |||
Series K157, Class A2, 3.99%, 5/25/2033 (c) | 500,000 | 614,439 | |||
Series K734, Class A2, 3.21%, 2/25/2026 | 350,000 | 388,685 | |||
Series K735, Class A2, 2.86%, 5/25/2026 | 200,000 | 220,287 | |||
Series K736, Class A2, 2.28%, 7/25/2026 | 300,000 | 322,578 | |||
Series USD, 0.13%, 7/25/2022 | 150,000 | 149,990 | |||
Series USD, 0.38%, 7/21/2025 | 110,000 | 109,992 | |||
Federal National Mortgage Association: | |||||
0.25%, 5/22/2023 | 350,000 | 350,759 | |||
0.25%, 7/10/2023 | 225,000 | 225,340 | |||
0.25%, 11/27/2023 | 210,000 | 210,260 | |||
0.38%, 8/25/2025 | 665,000 | 664,209 | |||
0.50%, 6/17/2025 | 250,000 | 251,272 | |||
0.50%, 11/7/2025 | 235,000 | 235,947 | |||
0.63%, 4/22/2025 (b) | 215,000 | 217,483 | |||
0.65%, 12/10/2025 | 100,000 | 100,072 | |||
0.65%, 12/17/2025 | 125,000 | 125,146 | |||
0.70%, 7/30/2025 | 100,000 | 100,219 | |||
0.75%, 10/8/2027 | 700,000 | 701,666 | |||
0.88%, 12/18/2026 | 125,000 | 124,850 | |||
0.88%, 8/5/2030 | 400,000 | 392,576 | |||
1.63%, 1/7/2025 | 215,000 | 226,404 | |||
2.00%, 1/5/2022 | 150,000 | 152,854 | |||
2.00%, 10/5/2022 | 250,000 | 258,170 | |||
2.00%, 11/1/2031 | 106,669 | 111,533 | |||
2.00%, 8/1/2035 | 1,419,457 | 1,484,346 | |||
2.00% 11/1/2035 | 2,953,664 | 3,088,690 | |||
2.00%, 7/1/2050 | 1,146,323 | 1,191,088 | |||
2.00%, 8/1/2050 | 1,939,126 | 2,014,851 | |||
2.00%, 10/1/2050 | 4,941,711 | 5,134,689 | |||
2.00%, 11/1/2050 | 4,966,719 | 5,160,674 | |||
2.00%, 1/1/2051 | 3,050,000 | 3,169,105 | |||
2.13%, 4/24/2026 (b) | 200,000 | 217,820 | |||
2.25%, 4/12/2022 | 210,000 | 215,662 | |||
2.50%, 2/5/2024 (b) | 250,000 | 267,590 | |||
2.50%, 3/1/2029 | 164,045 | 171,665 |
Security Description | Principal Amount | Value | |||
2.50%, 7/1/2030 | $ 919,811 | $ 962,676 | |||
2.50%, 2/1/2031 | 92,188 | 96,615 | |||
2.50%, 10/1/2031 | 162,052 | 169,845 | |||
2.50%, 12/1/2031 | 288,419 | 302,289 | |||
2.50%, 1/1/2032 | 102,757 | 107,698 | |||
2.50%, 4/1/2032 | 1,005,605 | 1,053,966 | |||
2.50%, 10/1/2032 | 384,879 | 402,864 | |||
2.50%, 12/1/2032 | 805,406 | 843,042 | |||
2.50%, 1/1/2033 | 444,353 | 465,118 | |||
2.50% 8/1/2035 | 2,422,549 | 2,533,562 | |||
2.50%, 9/1/2035 | 5,729,114 | 5,991,653 | |||
2.50%, 6/1/2040 | 538,780 | 569,157 | |||
2.50%, 8/1/2040 | 288,100 | 304,343 | |||
2.50%, 11/1/2049 | 2,850,582 | 2,998,342 | |||
2.50%, 12/1/2049 | 1,418,299 | 1,491,816 | |||
2.50%, 7/1/2050 | 2,252,066 | 2,373,593 | |||
2.50%, 8/1/2050 | 5,276,917 | 5,561,674 | |||
2.50%, 10/1/2050 | 2,952,190 | 3,111,498 | |||
2.50%, 11/1/2050 | 3,616,150 | 3,811,288 | |||
2.63%, 1/11/2022 | 250,000 | 256,395 | |||
2.63%, 9/6/2024 | 250,000 | 272,007 | |||
2.88%, 9/12/2023 (b) | 500,000 | 536,135 | |||
3.00%, 10/1/2028 | 55,192 | 58,139 | |||
3.00%, 8/1/2029 | 29,348 | 31,064 | |||
3.00%, 5/1/2030 | 170,318 | 179,355 | |||
3.00%, 6/1/2030 | 33,051 | 34,983 | |||
3.00%, 8/1/2030 | 489,099 | 519,655 | |||
3.00%, 9/1/2030 | 31,456 | 33,295 | |||
3.00%, 11/1/2030 | 66,559 | 70,449 | |||
3.00% 12/1/2030 | 363,420 | 385,970 | |||
3.00%, 4/1/2031 | 180,294 | 190,374 | |||
3.00%, 12/1/2031 | 281,802 | 297,557 | |||
3.00% 2/1/2032 | 1,062,751 | 1,129,462 | |||
3.00%, 5/1/2032 | 395,737 | 417,238 | |||
3.00%, 8/1/2032 | 135,560 | 142,925 | |||
3.00%, 10/1/2032 | 235,149 | 247,925 | |||
3.00%, 2/1/2034 | 1,050,392 | 1,107,462 | |||
3.00%, 7/1/2034 | 332,878 | 349,259 | |||
3.00%, 6/1/2036 | 51,104 | 53,982 | |||
3.00%, 8/1/2036 | 264,135 | 279,010 | |||
3.00%, 9/1/2036 | 483,332 | 510,552 | |||
3.00%, 10/1/2036 | 142,047 | 150,046 | |||
3.00%, 12/1/2036 | 252,876 | 267,117 | |||
3.00%, 11/1/2037 | 450,128 | 480,051 | |||
3.00%, 6/1/2042 | 974,255 | 1,039,019 | |||
3.00%, 6/1/2043 | 228,610 | 249,496 | |||
3.00%, 7/1/2043 | 59,139 | 63,066 | |||
3.00%, 2/1/2044 | 514,847 | 549,040 | |||
3.00%, 1/1/2045 | 864,475 | 921,889 | |||
3.00%, 5/1/2045 | 735,158 | 783,983 | |||
3.00%, 9/1/2045 | 55,684 | 58,795 | |||
3.00% 11/1/2045 | 390,239 | 412,040 | |||
3.00%, 12/1/2045 | 70,719 | 74,669 | |||
3.00%, 5/1/2046 | 513,404 | 542,494 | |||
3.00%, 7/1/2046 | 568,566 | 600,782 |
Security Description | Principal Amount | Value | |||
3.00%, 10/1/2046 | $ 357,700 | $ 377,968 | |||
3.00%, 11/1/2046 | 749,696 | 792,175 | |||
3.00% 12/1/2046 | 634,932 | 670,909 | |||
3.00% 1/1/2047 | 1,765,044 | 1,865,056 | |||
3.00%, 2/1/2047 | 559,083 | 590,762 | |||
3.00%, 5/1/2047 | 592,223 | 622,592 | |||
3.00%, 11/1/2047 | 367,075 | 385,898 | |||
3.00%, 12/1/2049 | 3,500,172 | 3,671,265 | |||
3.00%, 1/1/2050 | 2,804,306 | 2,932,954 | |||
3.00%, 3/1/2050 | 2,773,860 | 2,906,766 | |||
3.00%, 5/1/2050 | 2,730,771 | 2,861,612 | |||
3.00%, 7/1/2050 | 2,317,254 | 2,428,282 | |||
3.00%, 8/1/2050 | 950,413 | 995,951 | |||
3.50%, 11/1/2025 | 23,282 | 24,720 | |||
3.50%, 1/1/2027 | 24,495 | 26,008 | |||
3.50%, 5/1/2029 | 32,499 | 34,866 | |||
3.50%, 10/1/2029 | 28,500 | 30,575 | |||
3.50%, 2/1/2031 | 270,691 | 287,269 | |||
3.50%, 3/1/2032 | 203,060 | 215,781 | |||
3.50%, 4/1/2032 | 294,811 | 313,280 | |||
3.50%, 2/1/2033 | 569,600 | 605,272 | |||
3.50%, 4/1/2033 | 182,328 | 193,393 | |||
3.50%, 12/1/2035 | 32,505 | 34,935 | |||
3.50%, 1/1/2037 | 240,575 | 257,425 | |||
3.50%, 2/1/2037 | 348,068 | 372,447 | |||
3.50%, 7/1/2037 | 162,035 | 172,733 | |||
3.50%, 4/1/2038 | 387,817 | 410,356 | |||
3.50%, 2/1/2041 | 89,420 | 98,686 | |||
3.50%, 10/1/2044 | 25,913 | 27,850 | |||
3.50% 1/1/2045 | 72,778 | 78,218 | |||
3.50% 2/1/2045 | 2,899,519 | 3,138,928 | |||
3.50%, 5/1/2045 | 29,470 | 31,626 | |||
3.50% 8/1/2045 | 98,245 | 105,927 | |||
3.50%, 11/1/2045 | 35,809 | 38,429 | |||
3.50% 12/1/2045 | 504,234 | 541,124 | |||
3.50%, 1/1/2046 | 366,346 | 393,147 | |||
3.50% 2/1/2046 | 432,465 | 464,104 | |||
3.50% 4/1/2046 | 262,091 | 278,308 | |||
3.50% 5/1/2046 | 415,759 | 441,484 | |||
3.50%, 6/1/2046 | 108,826 | 115,560 | |||
3.50%, 7/1/2046 | 279,815 | 297,128 | |||
3.50%, 8/1/2046 | 2,499,334 | 2,709,566 | |||
3.50%, 1/1/2047 | 432,351 | 459,102 | |||
3.50% 2/1/2047 | 1,601,895 | 1,746,238 | |||
3.50%, 3/1/2047 | 422,501 | 448,643 | |||
3.50%, 4/1/2047 | 852,475 | 903,424 | |||
3.50% 5/1/2047 | 3,066,562 | 3,262,826 | |||
3.50%, 6/1/2047 | 375,370 | 397,805 | |||
3.50% 7/1/2047 | 3,669,654 | 3,973,897 | |||
3.50%, 9/1/2047 | 333,558 | 353,493 | |||
3.50%, 10/1/2047 | 398,124 | 421,918 | |||
3.50%, 11/1/2047 | 88,106 | 93,372 | |||
3.50%, 12/1/2047 | 613,127 | 649,772 | |||
3.50%, 1/1/2048 | 183,429 | 194,392 | |||
3.50%, 2/1/2048 | 242,275 | 261,466 |
Security Description | Principal Amount | Value | |||
3.50%, 6/1/2048 | $ 539,519 | $ 571,305 | |||
3.50%, 11/1/2048 | 1,516,663 | 1,610,504 | |||
3.50%, 7/1/2049 | 600,839 | 634,160 | |||
3.50%, 8/1/2049 | 1,662,493 | 1,754,688 | |||
3.50%, 6/1/2050 | 849,046 | 905,565 | |||
4.00%, 3/1/2021 | 397 | 397 | |||
4.00%, 3/1/2031 | 779,508 | 829,716 | |||
4.00%, 10/1/2033 | 115,111 | 125,267 | |||
4.00%, 10/1/2037 | 936,930 | 1,005,000 | |||
4.00%, 1/1/2039 | 128,880 | 138,062 | |||
4.00%, 2/1/2039 | 113,825 | 121,935 | |||
4.00%, 12/1/2040 | 42,763 | 47,103 | |||
4.00%, 2/1/2043 | 253,598 | 279,333 | |||
4.00% 10/1/2043 | 592,461 | 654,043 | |||
4.00%, 11/1/2043 | 181,973 | 199,798 | |||
4.00%, 12/1/2043 | 183,774 | 201,775 | |||
4.00% 10/1/2044 | 36,994 | 40,241 | |||
4.00%, 1/1/2045 | 541,454 | 597,553 | |||
4.00%, 3/1/2045 | 29,100 | 31,715 | |||
4.00%, 5/1/2045 | 1,467,238 | 1,596,056 | |||
4.00%, 7/1/2045 | 31,225 | 34,031 | |||
4.00% 9/1/2045 | 150,151 | 163,644 | |||
4.00% 12/1/2045 | 58,989 | 64,288 | |||
4.00%, 4/1/2046 | 133,640 | 145,222 | |||
4.00%, 7/1/2046 | 206,776 | 224,696 | |||
4.00% 11/1/2046 | 1,429,955 | 1,565,096 | |||
4.00%, 12/1/2046 | 439,840 | 477,957 | |||
4.00% 4/1/2047 | 769,216 | 826,515 | |||
4.00%, 7/1/2047 | 386,204 | 414,972 | |||
4.00%, 8/1/2047 | 348,482 | 374,441 | |||
4.00%, 9/1/2047 | 351,650 | 377,844 | |||
4.00%, 12/1/2047 | 491,571 | 528,188 | |||
4.00%, 2/1/2048 | 1,091,589 | 1,172,901 | |||
4.00%, 6/1/2048 | 861,097 | 918,441 | |||
4.00%, 7/1/2048 | 336,376 | 358,777 | |||
4.00%, 9/1/2048 | 2,094,414 | 2,233,891 | |||
4.00%, 7/1/2049 | 1,514,495 | 1,618,331 | |||
4.00%, 9/1/2049 | 526,090 | 562,160 | |||
4.00%, 2/1/2050 | 1,812,192 | 1,936,438 | |||
4.50%, 9/1/2039 | 321,050 | 359,276 | |||
4.50%, 12/1/2040 | 63,458 | 70,924 | |||
4.50%, 1/1/2042 | 50,699 | 56,668 | |||
4.50% 9/1/2043 | 98,550 | 110,089 | |||
4.50%, 11/1/2043 | 49,043 | 54,692 | |||
4.50%, 5/1/2044 | 144,122 | 160,847 | |||
4.50%, 6/1/2044 | 48,387 | 54,002 | |||
4.50%, 2/1/2046 | 185,568 | 207,399 | |||
4.50%, 3/1/2046 | 629,461 | 701,960 | |||
4.50%, 5/1/2046 | 475,000 | 531,556 | |||
4.50%, 7/1/2046 | 187,546 | 207,481 | |||
4.50%, 11/1/2047 | 631,615 | 688,173 | |||
4.50%, 4/1/2048 | 290,896 | 315,066 | |||
4.50% 8/1/2048 | 1,049,912 | 1,138,350 | |||
4.50%, 12/1/2048 | 429,373 | 465,048 | |||
4.50%, 1/1/2049 | 143,512 | 155,436 |
Security Description | Principal Amount | Value | |||
4.50%, 4/1/2049 | $ 212,050 | $ 230,555 | |||
4.50%, 3/1/2050 | 1,697,746 | 1,845,905 | |||
5.00%, 1/1/2039 | 434,898 | 496,943 | |||
5.00%, 6/1/2040 | 192,949 | 219,048 | |||
5.00%, 7/1/2041 | 30,793 | 34,959 | |||
5.00%, 5/1/2042 | 38,892 | 44,153 | |||
5.00%, 11/1/2044 | 498,666 | 566,117 | |||
5.00%, 1/1/2045 | 38,190 | 43,151 | |||
5.00%, 6/1/2048 | 542,246 | 600,686 | |||
5.00%, 9/1/2048 | 532,240 | 589,601 | |||
5.00%, 3/1/2050 | 717,894 | 796,977 | |||
5.50%, 2/1/2037 | 22,393 | 26,148 | |||
5.50%, 4/1/2038 | 102,069 | 119,481 | |||
5.50%, 9/1/2040 | 32,654 | 38,250 | |||
5.50%, 9/1/2041 | 51,319 | 60,082 | |||
5.50% 5/1/2044 | 598,767 | 699,486 | |||
5.63%, 7/15/2037 | 80,000 | 127,055 | |||
6.63%, 11/15/2030 | 365,000 | 552,511 | |||
7.25%, 5/15/2030 | 75,000 | 116,340 | |||
Series 0000, 0.56%, 11/17/2025 | 350,000 | 350,091 | |||
Series 0000, 0.77%, 7/15/2025 | 250,000 | 250,047 | |||
Series 2013-M12, Class APT, 2.41%, 3/25/2023 (c) | 26,201 | 27,190 | |||
Series 2013-M3, Class A2, 2.51%, 11/25/2022 (c) | 112,103 | 114,645 | |||
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (c) | 693,942 | 748,921 | |||
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (c) | 33,550 | 36,380 | |||
Series 2015-M8, Class A2, 2.90%, 1/25/2025 (c) | 250,000 | 271,026 | |||
Series 2017-M12, Class A2, 3.08%, 6/25/2027 (c) | 400,000 | 454,195 | |||
Series 2017-M13, Class A2, 2.94%, 9/25/2027 (c) | 330,000 | 372,952 | |||
Series 2018-M2, Class A2, 2.90%, 1/25/2028 (c) | 250,000 | 283,405 | |||
Series 2020-M42, Class A2, 1.27%, 7/25/2030 | 200,000 | 201,045 | |||
Series 2020-M8, Class A2, 1.82%, 2/25/2030 | 144,700 | 152,368 | |||
TBA, 1.50%, 1/1/2036 (f) | 3,000,000 | 3,086,160 | |||
TBA, 1.50%, 1/1/2051 (f) | 5,250,000 | 5,304,232 | |||
TBA, 2.00%, 1/1/2036 (f) | 5,250,000 | 5,488,612 | |||
TBA, 2.00%, 1/1/2051 (f) | 12,475,000 | 12,956,784 | |||
TBA, 2.50%, 1/1/2036 (f) | 1,350,000 | 1,408,009 | |||
TBA, 2.50%, 1/1/2051 (f) | 9,650,000 | 10,171,003 | |||
TBA, 3.00%, 1/1/2051 (f) | 5,000,000 | 5,236,700 | |||
TBA, 3.50%, 1/1/2051 (f) | 6,250,000 | 6,604,812 | |||
TBA, 4.00%, 1/1/2051 (f) | 8,350,000 | 8,914,126 |
Security Description | Principal Amount | Value | |||
Series 2020-M29, Class A2, VRN, 1.49%, 5/25/2030 (c) | $ 272,000 | $ 278,956 | |||
Series 2020-M52, Class A2, VRN, 1.32%, 10/25/2030 (c) | 350,000 | 353,613 | |||
Series 2020-M53, Class A2, VRN, 1.68%, 11/25/2032 (c) | 550,000 | 557,261 | |||
Government National Mortgage Association: | |||||
2.00%, 9/20/2050 | 990,258 | 1,036,163 | |||
2.50%, 12/20/2046 | 642,896 | 686,584 | |||
2.50%, 8/20/2050 | 3,303,317 | 3,498,255 | |||
2.50%, 9/20/2050 | 1,980,909 | 2,097,808 | |||
2.50%, 10/20/2050 | 3,455,186 | 3,659,086 | |||
3.00%, 1/20/2043 | 409,188 | 437,320 | |||
3.00%, 5/20/2043 | 204,353 | 218,319 | |||
3.00%, 12/20/2044 | 36,916 | 39,366 | |||
3.00%, 3/20/2045 | 20,132 | 21,451 | |||
3.00%, 4/20/2045 | 59,872 | 63,795 | |||
3.00%, 6/20/2045 | 924,950 | 985,563 | |||
3.00%, 7/20/2045 | 59,753 | 63,669 | |||
3.00%, 8/20/2045 | 54,976 | 58,579 | |||
3.00%, 2/20/2046 | 1,482,010 | 1,583,298 | |||
3.00%, 3/20/2046 | 564,624 | 599,702 | |||
3.00%, 4/20/2046 | 52,478 | 55,739 | |||
3.00%, 5/20/2046 | 93,913 | 99,747 | |||
3.00%, 7/20/2046 | 60,378 | 64,129 | |||
3.00%, 8/20/2046 | 194,652 | 206,745 | |||
3.00%, 9/20/2046 | 139,492 | 148,158 | |||
3.00%, 10/20/2046 | 139,881 | 148,571 | |||
3.00%, 11/20/2046 | 251,806 | 267,450 | |||
3.00%, 12/20/2046 | 989,630 | 1,051,111 | |||
3.00%, 2/20/2047 | 489,231 | 519,625 | |||
3.00%, 4/20/2047 | 699,716 | 740,858 | |||
3.00%, 6/20/2047 | 227,080 | 240,432 | |||
3.00%, 7/20/2047 | 444,250 | 470,371 | |||
3.00%, 8/20/2047 | 221,496 | 234,519 | |||
3.00%, 10/20/2047 | 333,566 | 353,178 | |||
3.00%, 1/20/2048 | 1,233,601 | 1,306,134 | |||
3.00%, 2/20/2048 | 748,967 | 793,004 | |||
3.00%, 3/20/2048 | 1,309,666 | 1,386,671 | |||
3.00%, 11/20/2049 | 2,318,026 | 2,427,516 | |||
3.00%, 12/20/2049 | 1,411,342 | 1,478,005 | |||
3.00%, 6/20/2050 | 3,694,472 | 3,876,407 | |||
3.00%, 7/20/2050 | 4,283,590 | 4,494,536 | |||
3.50%, 10/20/2042 | 325,420 | 355,131 | |||
3.50%, 1/20/2043 | 1,365,258 | 1,489,909 | |||
3.50%, 5/20/2043 | 49,134 | 53,471 | |||
3.50%, 9/20/2043 | 32,900 | 35,804 | |||
3.50%, 11/20/2043 | 258,313 | 281,114 | |||
3.50%, 6/20/2044 | 1,416,679 | 1,538,608 | |||
3.50%, 10/20/2044 | 31,740 | 34,471 | |||
3.50%, 12/20/2044 | 21,325 | 23,160 | |||
3.50%, 3/20/2045 | 19,264 | 20,869 |
Security Description | Principal Amount | Value | |||
3.50%, 4/20/2045 | $ 61,610 | $ 67,817 | |||
3.50%, 6/20/2045 | 865,676 | 937,768 | |||
3.50%, 10/20/2045 | 1,741,253 | 1,886,261 | |||
3.50% 1/20/2046 | 1,404,105 | 1,521,037 | |||
3.50%, 3/20/2046 | 141,694 | 153,108 | |||
3.50%, 4/20/2046 | 76,134 | 82,267 | |||
3.50%, 5/20/2046 | 78,339 | 84,649 | |||
3.50%, 6/20/2046 | 1,211,867 | 1,309,485 | |||
3.50%, 7/20/2046 | 193,314 | 208,886 | |||
3.50%, 10/20/2046 | 376,662 | 407,003 | |||
3.50%, 11/20/2046 | 243,420 | 263,027 | |||
3.50%, 12/20/2046 | 810,179 | 875,440 | |||
3.50%, 5/20/2047 | 612,868 | 656,555 | |||
3.50%, 6/20/2047 | 424,839 | 455,123 | |||
3.50%, 7/20/2047 | 331,718 | 355,363 | |||
3.50%, 8/20/2047 | 531,752 | 569,656 | |||
3.50%, 9/20/2047 | 220,972 | 236,724 | |||
3.50%, 10/20/2047 | 215,242 | 230,584 | |||
3.50%, 12/20/2047 | 1,015,507 | 1,087,894 | |||
3.50%, 6/20/2048 | 315,424 | 337,553 | |||
3.50%, 8/20/2048 | 235,501 | 252,023 | |||
3.50%, 8/20/2049 | 981,283 | 1,038,170 | |||
3.50%, 9/20/2049 | 1,098,889 | 1,162,593 | |||
3.50%, 12/20/2049 | 641,796 | 679,003 | |||
3.50%, 2/20/2050 | 1,157,236 | 1,224,323 | |||
3.50%, 7/20/2050 | 1,159,421 | 1,245,482 | |||
4.00%, 4/15/2040 | 37,552 | 41,327 | |||
4.00%, 2/20/2042 | 15,482 | 17,133 | |||
4.00%, 7/20/2042 | 10,860 | 12,004 | |||
4.00%, 7/15/2044 | 35,365 | 38,708 | |||
4.00%, 8/20/2044 | 21,162 | 23,363 | |||
4.00%, 10/20/2044 | 191,960 | 211,925 | |||
4.00%, 5/15/2045 | 23,784 | 26,001 | |||
4.00%, 6/15/2045 | 55,744 | 60,941 | |||
4.00%, 8/20/2045 | 21,118 | 23,101 | |||
4.00%, 11/20/2045 | 262,819 | 287,502 | |||
4.00%, 2/20/2046 | 200,765 | 219,620 | |||
4.00%, 5/20/2046 | 208,985 | 228,612 | |||
4.00%, 6/20/2046 | 146,320 | 157,922 | |||
4.00%, 1/20/2047 | 465,999 | 502,948 | |||
4.00%, 3/20/2047 | 207,604 | 224,065 | |||
4.00%, 4/20/2047 | 400,526 | 431,068 | |||
4.00%, 5/20/2047 | 269,258 | 289,790 | |||
4.00%, 7/20/2047 | 279,439 | 300,748 | |||
4.00%, 8/20/2047 | 115,644 | 124,463 | |||
4.00%, 1/20/2048 | 200,703 | 216,008 | |||
4.00%, 6/20/2048 | 874,920 | 938,400 | |||
4.00%, 8/20/2048 | 1,110,158 | 1,190,706 | |||
4.00%, 10/20/2048 | 470,735 | 504,889 | |||
4.00%, 11/20/2048 | 372,386 | 399,405 | |||
4.00%, 4/20/2049 | 376,324 | 400,793 | |||
4.00%, 6/20/2049 | 851,599 | 906,970 | |||
4.00%, 7/20/2049 | 461,966 | 492,003 | |||
4.00%, 1/20/2050 | 705,262 | 751,119 | |||
4.00%, 3/20/2050 | 1,451,698 | 1,546,088 |
Security Description | Principal Amount | Value | |||
4.50%, 1/20/2044 | $ 96,178 | $ 107,710 | |||
4.50%, 11/20/2044 | 28,842 | 32,220 | |||
4.50%, 12/20/2044 | 23,416 | 26,159 | |||
4.50%, 4/20/2046 | 133,810 | 149,480 | |||
4.50%, 6/20/2046 | 91,968 | 102,738 | |||
4.50%, 7/20/2046 | 127,686 | 142,639 | |||
4.50%, 4/20/2047 | 414,997 | 453,982 | |||
4.50%, 8/20/2047 | 121,616 | 132,622 | |||
4.50%, 11/20/2047 | 1,098,540 | 1,197,951 | |||
4.50%, 12/20/2047 | 68,351 | 74,537 | |||
4.50%, 11/20/2048 | 479,690 | 516,832 | |||
4.50%, 7/20/2049 | 519,602 | 557,292 | |||
5.00%, 6/15/2040 | 29,596 | 32,739 | |||
5.00%, 10/15/2041 | 74,180 | 82,044 | |||
5.00%, 3/20/2044 | 44,095 | 50,336 | |||
5.00%, 12/20/2045 | 153,190 | 174,713 | |||
5.00%, 1/20/2048 | 277,358 | 305,550 | |||
5.00%, 5/20/2048 | 248,225 | 271,427 | |||
5.00%, 9/20/2048 | 428,898 | 467,132 | |||
5.00%, 3/20/2050 | 659,163 | 720,778 | |||
5.50%, 10/20/2043 | 38,975 | 43,995 | |||
5.50%, 5/20/2045 | 455,956 | 511,870 | |||
TBA, 2.00%, 1/1/2051 (f) | 3,500,000 | 3,658,305 | |||
TBA, 2.50%, 1/1/2051 (f) | 5,225,000 | 5,529,356 | |||
TBA, 3.00%, 1/1/2051 (f) | 2,000,000 | 2,091,020 | |||
TBA, 3.50%, 1/1/2051 (f) | 3,275,000 | 3,469,404 | |||
TBA, 4.00%, 1/1/2051 (f) | 2,500,000 | 2,665,430 | |||
Iraq Government AID Bond 2.15%, 1/18/2022 | 200,000 | 203,646 | |||
Tennessee Valley Authority: | |||||
0.75%, 5/15/2025 | 85,000 | 86,219 | |||
2.88%, 9/15/2024 | 100,000 | 109,581 | |||
3.50%, 12/15/2042 | 175,000 | 219,002 | |||
4.25%, 9/15/2065 | 100,000 | 148,653 | |||
5.25%, 9/15/2039 | 150,000 | 225,477 | |||
Series A, 2.88%, 2/1/2027 | 150,000 | 169,015 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $405,820,820) | 414,514,325 | ||||
U.S. TREASURY OBLIGATIONS — 36.4% | |||||
Treasury Bonds: | |||||
1.13%, 5/15/2040 | 2,850,000 | 2,705,719 | |||
1.13%, 8/15/2040 | 6,500,000 | 6,155,703 | |||
1.25%, 5/15/2050 (b) | 1,500,000 | 1,361,484 | |||
1.38%, 11/15/2040 | 7,750,000 | 7,665,234 | |||
1.38%, 8/15/2050 | 2,600,000 | 2,435,062 | |||
1.63%, 11/15/2050 | 3,250,000 | 3,237,305 | |||
2.00%, 2/15/2050 | 1,300,000 | 1,412,734 | |||
2.25%, 8/15/2046 | 1,425,000 | 1,627,617 | |||
2.25%, 8/15/2049 | 2,000,000 | 2,290,312 | |||
2.38%, 11/15/2049 (b) | 2,500,000 | 2,938,672 | |||
2.50%, 2/15/2045 | 1,840,000 | 2,194,775 | |||
2.50%, 2/15/2046 | 2,400,000 | 2,868,375 | |||
2.50%, 5/15/2046 | 1,850,000 | 2,211,328 |
Security Description | Principal Amount | Value | |||
2.75%, 8/15/2042 | $ 900,000 | $ 1,115,438 | |||
2.75%, 11/15/2042 | 1,500,000 | 1,857,891 | |||
2.75%, 8/15/2047 (b) | 1,700,000 | 2,132,703 | |||
2.75%, 11/15/2047 | 1,650,000 | 2,072,039 | |||
2.88%, 5/15/2043 | 1,850,000 | 2,339,094 | |||
2.88%, 8/15/2045 (b) | 2,230,000 | 2,838,372 | |||
2.88%, 11/15/2046 (b) | 1,500,000 | 1,917,422 | |||
2.88%, 5/15/2049 | 2,450,000 | 3,165,477 | |||
3.00%, 5/15/2042 | 325,000 | 418,031 | |||
3.00%, 11/15/2044 | 1,925,000 | 2,492,273 | |||
3.00%, 5/15/2045 | 1,875,000 | 2,433,398 | |||
3.00%, 11/15/2045 (b) | 1,900,000 | 2,473,266 | |||
3.00%, 2/15/2047 | 2,200,000 | 2,878,562 | |||
3.00%, 5/15/2047 | 1,050,000 | 1,375,828 | |||
3.00%, 2/15/2048 | 1,700,000 | 2,232,578 | |||
3.00%, 8/15/2048 | 2,950,000 | 3,882,937 | |||
3.00%, 2/15/2049 | 2,650,000 | 3,497,172 | |||
3.13%, 11/15/2041 | 350,000 | 457,625 | |||
3.13%, 2/15/2042 | 725,000 | 950,430 | |||
3.13%, 2/15/2043 | 575,000 | 754,148 | |||
3.13%, 8/15/2044 | 2,500,000 | 3,298,047 | |||
3.13%, 5/15/2048 | 2,375,000 | 3,189,551 | |||
3.38%, 5/15/2044 | 1,900,000 | 2,598,844 | |||
3.38%, 11/15/2048 | 2,100,000 | 2,950,828 | |||
3.50%, 2/15/2039 | 1,000,000 | 1,357,188 | |||
3.63%, 8/15/2043 | 1,600,000 | 2,260,000 | |||
3.63%, 2/15/2044 | 1,475,000 | 2,088,508 | |||
3.75%, 11/15/2043 | 1,425,000 | 2,051,332 | |||
3.88%, 8/15/2040 | 750,000 | 1,074,727 | |||
4.25%, 11/15/2040 | 250,000 | 375,508 | |||
4.38%, 2/15/2038 (b) | 650,000 | 965,859 | |||
4.38%, 11/15/2039 | 1,250,000 | 1,889,453 | |||
4.38%, 5/15/2040 | 575,000 | 872,563 | |||
4.38%, 5/15/2041 | 300,000 | 459,891 | |||
4.50%, 2/15/2036 (b) | 1,500,000 | 2,201,016 | |||
4.50%, 5/15/2038 | 200,000 | 301,875 | |||
4.50%, 8/15/2039 | 650,000 | 994,094 | |||
4.63%, 2/15/2040 | 400,000 | 623,188 | |||
4.75%, 2/15/2037 | 350,000 | 533,367 | |||
4.75%, 2/15/2041 (b) | 650,000 | 1,038,375 | |||
5.00%, 5/15/2037 (b) | 300,000 | 470,016 | |||
5.25%, 11/15/2028 | 450,000 | 606,164 | |||
6.50%, 11/15/2026 (b) | 1,500,000 | 2,021,953 | |||
Treasury Notes: | |||||
0.13%, 6/30/2022 | 5,500,000 | 5,500,859 | |||
0.13%, 7/31/2022 | 5,000,000 | 5,000,586 | |||
0.13%, 8/31/2022 | 6,000,000 | 6,000,234 | |||
0.13%, 9/30/2022 | 4,000,000 | 4,000,156 | |||
0.13%, 10/31/2022 | 3,000,000 | 3,000,234 | |||
0.13%, 11/30/2022 (b) | 6,500,000 | 6,500,508 | |||
0.13%, 12/31/2022 | 6,000,000 | 6,000,703 | |||
0.13%, 5/15/2023 | 2,000,000 | 1,999,375 | |||
0.13%, 7/15/2023 | 4,500,000 | 4,497,539 | |||
0.13%, 10/15/2023 | 3,000,000 | 2,997,656 | |||
0.13%, 12/15/2023 | 6,000,000 | 5,992,969 |
Security Description | Principal Amount | Value | |||
0.25%, 4/15/2023 | $ 1,500,000 | $ 1,503,750 | |||
0.25%, 6/15/2023 | 3,000,000 | 3,007,734 | |||
0.25%, 11/15/2023 (b) | 3,500,000 | 3,509,570 | |||
0.25%, 6/30/2025 | 3,000,000 | 2,992,266 | |||
0.25%, 8/31/2025 | 5,000,000 | 4,983,203 | |||
0.25%, 9/30/2025 | 5,000,000 | 4,980,469 | |||
0.25%, 12/31/2025 | 6,000,000 | 6,004,687 | |||
0.38%, 4/30/2025 | 4,000,000 | 4,014,688 | |||
0.38%, 11/30/2025 (b) | 3,000,000 | 3,004,219 | |||
0.38%, 7/31/2027 | 2,000,000 | 1,973,438 | |||
0.38%, 9/30/2027 | 6,000,000 | 5,908,125 | |||
0.50%, 3/31/2025 (b) | 2,150,000 | 2,169,652 | |||
0.50%, 6/30/2027 | 4,500,000 | 4,480,664 | |||
0.50%, 8/31/2027 | 1,000,000 | 993,750 | |||
0.50%, 10/31/2027 | 2,250,000 | 2,232,070 | |||
0.63%, 11/30/2027 (b) | 4,550,000 | 4,548,578 | |||
0.63%, 12/31/2027 | 6,000,000 | 5,993,437 | |||
0.63%, 5/15/2030 | 3,900,000 | 3,813,469 | |||
0.63%, 8/15/2030 (b) | 3,250,000 | 3,169,258 | |||
0.88%, 11/15/2030 | 5,000,000 | 4,982,812 | |||
1.13%, 2/28/2022 | 1,500,000 | 1,517,520 | |||
1.13%, 2/28/2025 | 2,000,000 | 2,070,469 | |||
1.13%, 2/28/2027 | 1,250,000 | 1,296,191 | |||
1.25%, 7/31/2023 | 250,000 | 257,090 | |||
1.38%, 10/15/2022 | 2,500,000 | 2,555,469 | |||
1.38%, 2/15/2023 | 2,000,000 | 2,052,500 | |||
1.38%, 9/30/2023 | 550,000 | 568,434 | |||
1.38%, 1/31/2025 | 2,000,000 | 2,090,156 | |||
1.38%, 8/31/2026 | 3,000,000 | 3,155,391 | |||
1.50%, 1/31/2022 | 450,000 | 456,680 | |||
1.50%, 9/15/2022 | 3,000,000 | 3,069,727 | |||
1.50%, 3/31/2023 (b) | 1,000,000 | 1,030,391 | |||
1.50%, 10/31/2024 | 1,500,000 | 1,572,070 | |||
1.50%, 11/30/2024 | 1,500,000 | 1,572,891 | |||
1.50%, 8/15/2026 | 1,650,000 | 1,746,809 | |||
1.50%, 1/31/2027 | 2,000,000 | 2,119,688 | |||
1.50%, 2/15/2030 | 5,850,000 | 6,190,031 | |||
1.63%, 8/31/2022 | 1,150,000 | 1,178,436 | |||
1.63%, 11/15/2022 | 3,500,000 | 3,597,344 | |||
1.63%, 12/15/2022 (b) | 2,000,000 | 2,058,438 | |||
1.63%, 4/30/2023 (b) | 2,500,000 | 2,585,937 | |||
1.63%, 5/31/2023 (b) | 1,250,000 | 1,294,434 | |||
1.63%, 2/15/2026 | 1,925,000 | 2,047,117 | |||
1.63%, 5/15/2026 (b) | 1,000,000 | 1,064,609 | |||
1.63%, 9/30/2026 | 1,250,000 | 1,332,520 | |||
1.63%, 10/31/2026 | 1,250,000 | 1,333,008 | |||
1.63%, 8/15/2029 (b) | 2,250,000 | 2,407,148 | |||
1.75%, 2/28/2022 | 300,000 | 305,660 | |||
1.75%, 3/31/2022 | 250,000 | 255,059 | |||
1.75%, 4/30/2022 | 300,000 | 306,492 | |||
1.75%, 5/31/2022 (b) | 1,000,000 | 1,022,852 | |||
1.75%, 6/15/2022 | 1,500,000 | 1,535,273 | |||
1.75%, 6/30/2022 (b) | 3,750,000 | 3,840,820 | |||
1.75%, 9/30/2022 | 1,750,000 | 1,799,287 | |||
1.75%, 1/31/2023 | 2,925,000 | 3,023,262 |
Security Description | Principal Amount | Value | |||
1.75%, 5/15/2023 | $ 250,000 | $ 259,492 | |||
1.75%, 6/30/2024 (b) | 1,500,000 | 1,580,391 | |||
1.75%, 12/31/2024 (b) | 1,250,000 | 1,324,023 | |||
1.75%, 11/15/2029 | 3,000,000 | 3,242,344 | |||
1.88%, 2/28/2022 | 1,500,000 | 1,530,410 | |||
1.88%, 3/31/2022 (b) | 5,500,000 | 5,619,668 | |||
1.88%, 4/30/2022 (b) | 6,000,000 | 6,139,219 | |||
1.88%, 5/31/2022 | 100,000 | 102,473 | |||
1.88%, 7/31/2022 | 1,000,000 | 1,027,539 | |||
1.88%, 8/31/2022 | 150,000 | 154,330 | |||
1.88%, 9/30/2022 | 500,000 | 515,176 | |||
1.88%, 8/31/2024 | 850,000 | 901,133 | |||
1.88%, 6/30/2026 | 1,250,000 | 1,348,535 | |||
1.88%, 7/31/2026 | 1,000,000 | 1,079,453 | |||
2.00%, 7/31/2022 | 100,000 | 102,949 | |||
2.00%, 10/31/2022 | 1,000,000 | 1,034,063 | |||
2.00%, 11/30/2022 | 2,000,000 | 2,071,250 | |||
2.00%, 2/15/2023 | 500,000 | 519,727 | |||
2.00%, 5/31/2024 | 1,750,000 | 1,856,914 | |||
2.00%, 6/30/2024 | 350,000 | 371,820 | |||
2.00%, 2/15/2025 | 2,375,000 | 2,543,105 | |||
2.00%, 8/15/2025 (b) | 1,500,000 | 1,615,898 | |||
2.00%, 11/15/2026 | 2,250,000 | 2,448,633 | |||
2.13%, 6/30/2022 (b) | 4,500,000 | 4,634,297 | |||
2.13%, 12/31/2022 (b) | 3,900,000 | 4,054,629 | |||
2.13%, 11/30/2023 | 1,000,000 | 1,057,266 | |||
2.13%, 3/31/2024 | 975,000 | 1,035,938 | |||
2.13%, 7/31/2024 | 2,500,000 | 2,670,312 | |||
2.13%, 9/30/2024 | 1,500,000 | 1,605,586 | |||
2.13%, 11/30/2024 | 1,250,000 | 1,341,113 | |||
2.13%, 5/15/2025 | 2,350,000 | 2,536,531 | |||
2.13%, 5/31/2026 | 2,500,000 | 2,728,906 | |||
2.25%, 12/31/2023 | 1,750,000 | 1,859,102 | |||
2.25%, 1/31/2024 | 1,000,000 | 1,063,750 | |||
2.25%, 4/30/2024 | 1,000,000 | 1,068,125 | |||
2.25%, 10/31/2024 | 1,250,000 | 1,345,703 | |||
2.25%, 11/15/2024 (b) | 3,000,000 | 3,232,031 | |||
2.25%, 12/31/2024 | 1,250,000 | 1,348,926 | |||
2.25%, 11/15/2025 (b) | 1,975,000 | 2,156,916 | |||
2.25%, 3/31/2026 | 3,000,000 | 3,289,453 | |||
2.25%, 2/15/2027 | 3,000,000 | 3,315,937 | |||
2.25%, 8/15/2027 (b) | 2,000,000 | 2,217,500 | |||
2.25%, 11/15/2027 | 500,000 | 555,156 | |||
2.38%, 3/15/2022 (b) | 8,000,000 | 8,215,312 | |||
2.38%, 1/31/2023 | 1,500,000 | 1,569,609 | |||
2.38%, 2/29/2024 | 5,000,000 | 5,344,531 | |||
2.38%, 8/15/2024 | 1,950,000 | 2,101,582 | |||
2.38%, 5/15/2027 (b) | 2,900,000 | 3,234,633 | |||
2.38%, 5/15/2029 | 4,350,000 | 4,916,180 | |||
2.50%, 2/15/2022 | 2,000,000 | �� | 2,053,125 | ||
2.50%, 3/31/2023 | 1,250,000 | 1,316,016 | |||
2.50%, 8/15/2023 | 2,500,000 | 2,653,906 | |||
2.50%, 1/31/2024 | 2,000,000 | 2,142,656 | |||
2.50%, 5/15/2024 | 5,000,000 | 5,387,109 | |||
2.50%, 1/31/2025 | 1,000,000 | 1,090,703 |
Security Description | Principal Amount | Value | ||||
2.50%, 2/28/2026 | $ 2,500,000 | $ 2,770,703 | ||||
2.63%, 2/28/2023 | 4,000,000 | 4,214,063 | ||||
2.63%, 6/30/2023 | 1,600,000 | 1,698,500 | ||||
2.63%, 12/31/2023 | 3,000,000 | 3,219,844 | ||||
2.63%, 3/31/2025 | 1,000,000 | 1,098,594 | ||||
2.63%, 12/31/2025 | 3,250,000 | 3,614,355 | ||||
2.63%, 1/31/2026 | 2,250,000 | 2,505,762 | ||||
2.63%, 2/15/2029 (b) | 3,100,000 | 3,558,703 | ||||
2.75%, 4/30/2023 | 3,250,000 | 3,446,523 | ||||
2.75%, 5/31/2023 | 1,500,000 | 1,593,867 | ||||
2.75%, 7/31/2023 | 1,000,000 | 1,066,875 | ||||
2.75%, 8/31/2023 | 3,750,000 | 4,008,105 | ||||
2.75%, 11/15/2023 (b) | 1,500,000 | 1,611,563 | ||||
2.75%, 2/15/2024 | 7,100,000 | 7,670,219 | ||||
2.75%, 2/28/2025 | 1,000,000 | 1,102,266 | ||||
2.75%, 6/30/2025 | 2,750,000 | 3,049,707 | ||||
2.75%, 8/31/2025 | 2,500,000 | 2,779,883 | ||||
2.75%, 2/15/2028 (b) | 2,750,000 | 3,153,047 | ||||
2.88%, 9/30/2023 | 2,000,000 | 2,148,437 | ||||
2.88%, 10/31/2023 | 2,000,000 | 2,153,125 | ||||
2.88%, 11/30/2023 | 3,000,000 | 3,236,250 | ||||
2.88%, 4/30/2025 | 1,250,000 | 1,388,672 | ||||
2.88%, 5/31/2025 | 3,900,000 | 4,339,359 | ||||
2.88%, 7/31/2025 (b) | 4,000,000 | 4,464,688 | ||||
2.88%, 11/30/2025 | 1,500,000 | 1,684,219 | ||||
2.88%, 5/15/2028 | 4,000,000 | 4,633,750 | ||||
2.88%, 8/15/2028 (b) | 3,250,000 | 3,775,078 | ||||
3.00%, 9/30/2025 | 2,500,000 | 2,813,281 | ||||
3.00%, 10/31/2025 | 2,750,000 | 3,099,766 | ||||
3.13%, 11/15/2028 | 3,250,000 | 3,847,695 | ||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $489,999,517) | 514,955,195 | |||||
MUNICIPAL BONDS & NOTES — 0.6% | ||||||
CALIFORNIA — 0.2% | ||||||
Bay Area Toll Authority 6.91%, 10/1/2050 | 25,000 | 46,144 | ||||
California, Bay Area Toll Authority Revenue 2.57%, 4/1/2031 | 50,000 | 53,921 | ||||
California, State General Obligation: | ||||||
3.50%, 4/1/2028 | 250,000 | 291,697 | ||||
7.30%, 10/1/2039 | 125,000 | 206,329 | ||||
7.50%, 4/1/2034 | 100,000 | 166,666 | ||||
7.55%, 4/1/2039 | 100,000 | 175,580 | ||||
California, State University, Revenue Series B, 3.90%, 11/1/2047 | 100,000 | 122,461 | ||||
City of San Francisco CA Public Utilities Commission Water Revenue Series E, 2.83%, 11/1/2041 | 100,000 | 104,734 |
Security Description | Principal Amount | Value | |||
Los Angeles Community College District: | |||||
1.61%, 8/1/2028 | $ 50,000 | $ 51,870 | |||
1.81%, 8/1/2030 | 50,000 | 51,621 | |||
2.11%, 8/1/2032 | 50,000 | 52,107 | |||
Los Angeles Department of Water & Power Power System Revenue 5.72%, 7/1/2039 | 100,000 | 152,481 | |||
Los Angeles, CA, Unified School District, General Obligation 5.75%, 7/1/2034 | 25,000 | 35,270 | |||
Regents of the University of California Medical Center Pooled Revenue Series H, 6.55%, 5/15/2048 | 50,000 | 81,149 | |||
San Jose Redev. Agency Successor Agency Series A-T, 3.38%, 8/1/2034 | 275,000 | 295,501 | |||
State of California 7.60%, 11/1/2040 | 250,000 | 452,195 | |||
University of California Series BG, 0.88%, 5/15/2025 | 15,000 | 15,215 | |||
University of California, Revenue Series AX, 3.06%, 7/1/2025 | 300,000 | 330,903 | |||
2,685,844 | |||||
FLORIDA — 0.0% (a) | |||||
County of Miami-Dade FL Aviation Revenue Series C, 4.28%, 10/1/2041 | 125,000 | 137,682 | |||
State Board of Administration Finance Corp.: | |||||
Series A, 1.26%, 7/1/2025 | 50,000 | 51,146 | |||
Series A, 1.71%, 7/1/2027 | 50,000 | 51,900 | |||
Series A, 2.15%, 7/1/2030 | 50,000 | 52,611 | |||
293,339 | |||||
GEORGIA — 0.0% (a) | |||||
Georgia, Municipal Electric Authority Revenue 6.66%, 4/1/2057 | 162,000 | 250,394 | |||
ILLINOIS — 0.1% | |||||
Chicago O'Hare International Airport Series C, 4.57%, 1/1/2054 | 50,000 | 63,403 | |||
Chicago O'Hare International Airport, Revenue Series C, 4.47%, 1/1/2049 | 50,000 | 61,732 | |||
Sales Tax Securitization Corp. 3.59%, 1/1/2043 | 275,000 | 289,580 | |||
State of Illinois: | |||||
5.10%, 6/1/2033 | 50,000 | 53,811 | |||
6.63%, 2/1/2035 | 200,000 | 229,130 | |||
7.35%, 7/1/2035 | 100,000 | 119,226 | |||
816,882 |
Security Description | Principal Amount | Value | |||
MASSACHUSETTS — 0.0% (a) | |||||
Commonwealth of Massachusetts Series C, 2.51%, 7/1/2041 | $ 15,000 | $ 15,698 | |||
Massachusetts School Building Authority: | |||||
Series B, 3.40%, 10/15/2040 | 20,000 | 21,515 | |||
Series C, 2.95%, 5/15/2043 | 100,000 | 103,853 | |||
141,066 | |||||
MISSOURI — 0.0% (a) | |||||
Health & Educational Facilities Authority of the State of Missouri, Revenue: | |||||
3.23%, 5/15/2050 | 300,000 | 350,274 | |||
3.65%, 8/15/2057 | 100,000 | 126,380 | |||
476,654 | |||||
NEW JERSEY — 0.0% (a) | |||||
New Jersey Transportation Trust Fund Authority: | |||||
4.08%, 6/15/2039 | 200,000 | 210,252 | |||
4.13%, 6/15/2042 | 160,000 | 165,741 | |||
New Jersey Turnpike Authority Revenue Series A, 7.10%, 1/1/2041 | 100,000 | 163,290 | |||
Rutgers, State University of New Jersey, Revenue Series P, 3.92%, 5/1/2119 | 35,000 | 39,739 | |||
579,022 | |||||
NEW YORK — 0.1% | |||||
New York City Water & Sewer System 5.44%, 6/15/2043 | 25,000 | 38,026 | |||
New York State Dormitory Authority Series B, 3.14%, 7/1/2043 | 100,000 | 105,335 | |||
New York, State Urban Development Corp., Revenue Series B, 3.90%, 3/15/2033 | 100,000 | 114,877 | |||
Port Authority of New York & New Jersey: | |||||
4.46%, 10/1/2062 | 190,000 | 252,765 | |||
5.65%, 11/1/2040 | 100,000 | 143,419 | |||
Port Authority of New York & New Jersey, Revenue: | |||||
4.03%, 9/1/2048 | 125,000 | 152,174 | |||
Series 192, 4.81%, 10/15/2065 | 25,000 | 34,663 | |||
Series AAA, 1.09%, 7/1/2023 | 150,000 | 152,235 | |||
993,494 | |||||
OHIO — 0.0% (a) | |||||
American Municipal Power, Inc. 7.83%, 2/15/2041 | 150,000 | 243,771 |
Security Description | Principal Amount | Value | ||||
OREGON — 0.1% | ||||||
Port of Morrow, OR, Oregon Transmission Facilities, Revenue 2.54%, 9/1/2040 | $ 750,000 | $ 782,917 | ||||
PENNSYLVANIA — 0.0% (a) | ||||||
Commonwealth Financing Authority Series A, 4.14%, 6/1/2038 | 125,000 | 152,661 | ||||
University of Pittsburgh-of the Commonwealth System of Higher Education 3.56%, 9/15/2119 | 100,000 | 113,178 | ||||
265,839 | ||||||
TEXAS — 0.1% | ||||||
City of San Antonio TX Electric & Gas Systems Revenue 2.91%, 2/1/2048 | 75,000 | 79,045 | ||||
Dallas Area Rapid Transit 5.02%, 12/1/2048 | 100,000 | 142,382 | ||||
Dallas/Fort Worth TX International Airport Revenue Series A, 2.99%, 11/1/2038 | 250,000 | 267,422 | ||||
Grand Parkway Transportation Corp. 3.24%, 10/1/2052 | 65,000 | 67,978 | ||||
Permanent University Fund - University of Texas System 3.38%, 7/1/2047 | 150,000 | 180,724 | ||||
State of Texas 3.21%, 4/1/2044 | 50,000 | 54,629 | ||||
Texas, StateTransportation Commission General Obligation: | ||||||
2.47%, 10/1/2044 | 150,000 | 150,820 | ||||
2.56%, 4/1/2042 | 40,000 | 40,747 | ||||
983,747 | ||||||
VIRGINIA — 0.0% (a) | ||||||
University of Virginia Series C, 4.18%, 9/1/2117 | 50,000 | 66,641 | ||||
University of Virginia, Revenue 2.26%, 9/1/2050 | 150,000 | 148,497 | ||||
215,138 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $7,893,238) | 8,728,107 | |||||
MORTGAGE-BACKED SECURITIES — 1.2% | ||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 Series 2015-UBS7, Class A4, 3.71%, 9/15/2048 | 100,000 | 111,540 |
Security Description | Principal Amount | Value | |||
BANK 2017-BNK8: | |||||
Series 2017-BNK8, Class A4, 3.49%, 11/15/2050 | $ 90,000 | $ 103,058 | |||
Series 2017-BNK8, Class B, 3.93%, 11/15/2050 (c) | 50,000 | 56,411 | |||
BANK 2018-BNK14 Series 2018-BN14, Class A4, 4.23%, 9/15/2060 (c) | 143,329 | 171,166 | |||
BANK 2018-BNK15 Series 2018-BN15, Class A4, 4.41%, 11/15/2061 (c) | 100,000 | 120,498 | |||
BANK 2019-BNK18 Series 2019-BN18, Class A4, 3.58%, 5/15/2062 | 100,000 | 115,897 | |||
Bank 2019-BNK19 Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 112,940 | |||
BANK 2019-BNK20 Series 2019-BN20, Class A3, 3.01%, 9/15/2062 | 50,000 | 55,867 | |||
BANK 2019-BNK24 Series 2019-BN24, Class A3, 2.96%, 11/15/2062 | 200,000 | 223,275 | |||
BANK 2020-BNK28 Series 2020-BN28, Class A4, 1.84%, 3/15/2063 | 93,750 | 95,852 | |||
BANK 2020-BNK29 Series 2020-BN29, Class A4, 2.00%, 11/15/2053 | 500,000 | 517,578 | |||
Barclays Commercial Mortgage Trust Series 2019-C3, Class A4, 3.58%, 5/15/2052 | 150,000 | 173,211 | |||
BBCMS Mortgage Trust Series 2020-C8, Class A5, 2.04%, 10/15/2053 | 250,000 | 259,393 | |||
BENCHMARK Mortgage Trust: | |||||
Series 2018-B2, Class A5, 3.88%, 2/15/2051 (c) | 130,000 | 151,185 | |||
Series 2018-B3, Class A5, 4.03%, 4/10/2051 | 100,000 | 117,354 | |||
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 100,000 | 119,336 | |||
Series 2019-B10, Class A4, 3.72%, 3/15/2062 | 115,000 | 134,281 | |||
Series 2019-B12, Class A5, 3.12%, 8/15/2052 | 200,000 | 225,448 | |||
Series 2020-B16, Class A5, 2.73%, 2/15/2053 | 750,000 | 823,902 | |||
Series 2020-B18, Class A5, 1.93%, 7/15/2053 | 79,167 | 81,563 | |||
CD Mortgage Trust Series 2019-CD8, Class A4, 2.91%, 8/15/2057 | 200,000 | 221,334 |
Security Description | Principal Amount | Value | |||
CFCRE Commercial Mortgage Trust 2016-C7 Series 2016-C7, Class A3, 3.84%, 12/10/2054 | $ 300,000 | $ 340,310 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC33, Class A4, 3.78%, 9/10/2058 | 600,000 | 673,017 | |||
Series 2019-GC41, Class A5, 2.87%, 8/10/2056 | 100,000 | 110,625 | |||
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 150,000 | 168,422 | |||
Citigroup Commercial Mortgage Trust 2013-GC11 Series 2013-GC11, Class A4, 3.09%, 4/10/2046 | 75,000 | 78,787 | |||
Citigroup Commercial Mortgage Trust 2017-C4 Series 2017-C4, Class A4, 3.47%, 10/12/2050 | 250,000 | 283,806 | |||
COMM 2014-CCRE16 Mortgage Trust: | |||||
Series 2014-CR16, Class A4, 4.05%, 4/10/2047 | 100,000 | 110,159 | |||
Series 2014-CR16, Class B, 4.58%, 4/10/2047 | 400,000 | 435,068 | |||
COMM 2014-UBS6 Mortgage Trust Series 2014-UBS6, Class A5, 3.64%, 12/10/2047 | 100,000 | 110,157 | |||
COMM 2015-LC21 Mortgage Trust Series 2015-LC21, Class A4, 3.71%, 7/10/2048 | 50,000 | 55,917 | |||
COMM 2015-LC23 Mortgage Trust Series 2015-LC23, Class ASB, 3.60%, 10/10/2048 | 290,634 | 310,962 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR8, Class A4, 3.33%, 6/10/2046 | 35,301 | 37,321 | |||
Series 2014-CR14, Class A3, 3.96%, 2/10/2047 | 400,000 | 435,253 | |||
Series 2018-COR3, Class A3, 4.23%, 5/10/2051 | 100,000 | 118,838 | |||
CSAIL 2015-C1 Commercial Mortgage Trust Series 2015-C1, Class AS, 3.79%, 4/15/2050 (c) | 150,000 | 162,694 |
Security Description | Principal Amount | Value | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-CX10, Class A5, 3.46%, 11/15/2050 (c) | $ 250,000 | $ 283,174 | |||
Series 2018-C14, Class A4, 4.42%, 11/15/2051 (c) | 50,000 | 59,872 | |||
Series 2019-C17, Class A5, 3.02%, 9/15/2052 | 200,000 | 222,223 | |||
GS Mortgage Securities Trust Series 2019-GC42, Class A4, 3.00%, 9/1/2052 | 150,000 | 167,422 | |||
GS Mortgage Securities Trust 2013-GC13 Series 2013-GC13, Class A5, 4.05%, 7/10/2046 (c) | 80,000 | 86,521 | |||
GS Mortgage Securities Trust 2013-GC16 Series 2013-GC16, Class A3, 4.24%, 11/10/2046 | 86,987 | 93,700 | |||
GS Mortgage Securities Trust 2013-GCJ12 Series 2013-GC12, Class AS, 3.38%, 6/10/2046 | 150,000 | 156,599 | |||
GS Mortgage Securities Trust 2016-GS3 Series 2016-GS3, Class A4, 2.85%, 10/10/2049 | 200,000 | 217,845 | |||
GS Mortgage Securities Trust 2017-GS8 Series 2017-GS8, Class A4, 3.47%, 11/10/2050 | 250,000 | 284,162 | |||
GS Mortgage Securities Trust 2020-GSA2 Series 2020-GSA2, Class A5, 2.01%, 12/12/2053 | 500,000 | 514,065 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 Series 2013-C16, Class A4, 4.17%, 12/15/2046 | 60,000 | 65,304 | |||
JPMBB Commercial Mortgage Securities Trust Series 2015-C29, Class A4, 3.61%, 5/15/2048 | 100,000 | 111,416 | |||
JPMBB Commercial Mortgage Securities Trust 2014-C18 Series 2014-C18, Class AS, 4.44%, 2/15/2047 (c) | 50,000 | 54,691 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C30 Series 2015-C30, Class A5, 3.82%, 7/15/2048 | 200,000 | 225,785 | |||
JPMBB Commercial Mortgage Securities Trust 2015-C33 Series 2015-C33, Class A4, 3.77%, 12/15/2048 | 100,000 | 113,193 |
Security Description | Principal Amount | Value | |||
JPMBB Commercial Mortgage Securities Trust 2016-C1 Series 2016-C1, Class B, 4.74%, 3/15/2049 (c) | $ 300,000 | $ 335,199 | |||
JPMCC Commercial Mortgage Securities Trust 2017-JP6 Series 2017-JP6, Class A5, 3.49%, 7/15/2050 | 500,000 | 568,620 | |||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4, 3.25%, 2/15/2048 | 200,000 | 216,970 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 Series 2013-C7, Class A4, 2.92%, 2/15/2046 | 300,000 | 312,571 | |||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33 Series 2017-C33, Class A5, 3.60%, 5/15/2050 | 420,000 | 478,340 | |||
Morgan Stanley Capital I Trust 2015-MS1 Series 2015-MS1, Class A3, 3.51%, 5/15/2048 | 220,000 | 241,373 | |||
Morgan Stanley Capital I Trust 2018-L1 Series 2018-L1, Class A3, 4.14%, 10/15/2051 | 150,000 | 177,173 | |||
Morgan Stanley Capital I Trust 2019-H7 Series 2019-H7, Class A4, 3.26%, 7/15/2052 | 200,000 | 225,753 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-C8, Class A4, 3.98%, 2/15/2051 | 400,000 | 467,065 | |||
Series 2019-C16, Class A4, 3.60%, 4/15/2052 | 100,000 | 115,263 | |||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5, Class A4, 3.18%, 3/10/2046 | 175,000 | 182,864 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2019-C52, Class A5, 2.89%, 8/15/2052 | 200,000 | 221,661 | |||
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 100,000 | 111,863 | |||
Wells Fargo Commercial Mortgage Trust 2014-LC18 Series 2014-LC18, Class ASB, 3.24%, 12/15/2047 | 180,128 | 189,291 |
Security Description | Principal Amount | Value | |||
Wells Fargo Commercial Mortgage Trust 2015-C31 Series 2015-C31, Class A3, 3.43%, 11/15/2048 | $ 91,374 | $ 100,715 | |||
Wells Fargo Commercial Mortgage Trust 2015-SG1 Series 2015-SG1, Class A4, 3.79%, 9/15/2048 | 996,583 | 1,094,481 | |||
Wells Fargo Commercial Mortgage Trust 2017-C39 Series 2017-C39, Class A4, 3.16%, 9/15/2050 | 300,000 | 332,132 | |||
Wells Fargo Commercial Mortgage Trust 2017-C42 Series 2017-C42, Class A4, 3.59%, 12/15/2050 | 250,000 | 286,372 | |||
Wells Fargo Commercial Mortgage Trust 2018-C47 Series 2018-C47, Class A4, 4.44%, 9/15/2061 | 150,000 | 180,008 | |||
WFRBS Commercial Mortgage Trust 2013-C17 Series 2013-C17, Class AS, 4.26%, 12/15/2046 | 210,000 | 227,636 | |||
WFRBS Commercial Mortgage Trust 2014-C19 Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 118,298 | |||
WFRBS Commercial Mortgage Trust 2014-LC14 Series 2014-LC14, Class A5, 4.05%, 3/15/2047 | 100,000 | 109,655 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $15,481,962) | 16,371,700 |
Shares | |||
SHORT-TERM INVESTMENTS — 7.8% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (g) (h) | 48,860,303 | 48,870,075 | |
State Street Navigator Securities Lending Portfolio II (i) (j) | 60,700,873 | 60,700,873 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $109,570,826) | 109,570,948 | ||
TOTAL INVESTMENTS — 106.7% (Cost $1,438,494,935) | 1,509,255,314 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.7)% | (94,247,694) | ||
NET ASSETS — 100.0% | $ 1,415,007,620 |
(a) | Amount is less than 0.05% of net assets. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2020. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.9% of net assets as of December 31, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2020. Maturity date shown is the final maturity. |
(f) | Security, or a portion of the security has been designated as collateral for TBA securities. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(i) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
BKNT | Bank Notes |
CMT | Constant Maturity Treasury |
DMTN | Domestic Medium - Term Note |
GDIF | Global Debt Issuance Facility |
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 | $ — | $ 387,244,612 | $— | $ 387,244,612 | ||||
Asset-Backed Securities | — | 4,893,079 | — | 4,893,079 | ||||
Foreign Government Obligations | — | 52,977,348 | — | 52,977,348 | ||||
U.S. Government Agency Obligations | — | 414,514,325 | — | 414,514,325 | ||||
U.S. Treasury Obligations | — | 514,955,195 | — | 514,955,195 | ||||
Municipal Bonds & Notes | — | 8,728,107 | — | 8,728,107 | ||||
Mortgage-Backed Securities | — | 16,371,700 | — | 16,371,700 | ||||
Short-Term Investments | 109,570,948 | — | — | 109,570,948 | ||||
TOTAL INVESTMENTS | $109,570,948 | $1,399,684,366 | $— | $1,509,255,314 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 20,860,756 | $20,862,842 | $416,953,583 | $388,931,871 | $(13,771) | $(708) | 48,860,303 | $ 48,870,075 | $ 58,895 | ||||||||
State Street Navigator Securities Lending Portfolio II | 30,806,743 | 30,806,743 | 370,403,975 | 340,509,845 | — | — | 60,700,873 | 60,700,873 | 154,289 | ||||||||
Total | $51,669,585 | $787,357,558 | $729,441,716 | $(13,771) | $(708) | $109,570,948 | $213,184 |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.5% | |||||
ARGENTINA — 0.1% | |||||
Adecoagro SA (a) | 11,300 | $ 76,840 | |||
Banco BBVA Argentina SA ADR (a)(b) | 12,500 | 40,125 | |||
Banco Macro SA ADR (a) | 4,800 | 74,736 | |||
Central Puerto SA ADR (b) | 16,100 | 43,470 | |||
Despegar.com Corp. (a) | 7,500 | 96,075 | |||
Globant SA (a) | 4,300 | 935,723 | |||
Grupo Financiero Galicia SA ADR | 13,600 | 118,864 | |||
IRSA Propiedades Comerciales SA ADR | 13 | 119 | |||
Loma Negra Cia Industrial Argentina SA ADR (b) | 7,400 | 45,510 | |||
Pampa Energia SA ADR (a) | 5,700 | 78,546 | |||
Telecom Argentina SA ADR (b) | 11,500 | 75,440 | |||
Transportadora de Gas del Sur SA Class B, ADR (a) | 9,000 | 46,800 | |||
YPF SA ADR (a) | 23,000 | 108,100 | |||
1,740,348 | |||||
AUSTRALIA — 5.1% | |||||
Abacus Property Group REIT | 62,204 | 137,759 | |||
Accent Group, Ltd. | 61,268 | 109,211 | |||
Adelaide Brighton, Ltd. | 35,372 | 91,438 | |||
Afterpay, Ltd. (a) | 23,593 | 2,148,254 | |||
AGL Energy, Ltd. | 70,641 | 651,396 | |||
ALS, Ltd. | 54,239 | 402,212 | |||
Altium, Ltd. | 12,264 | 321,665 | |||
Alumina, Ltd. | 253,572 | 359,052 | |||
AMP, Ltd. | 355,993 | 428,535 | |||
Ampol, Ltd. | 28,489 | 624,772 | |||
Ansell, Ltd. | 13,737 | 368,674 | |||
APA Group Stapled Security | 127,255 | 947,595 | |||
Appen, Ltd. | 12,910 | 245,962 | |||
ARB Corp., Ltd. | 8,941 | 212,499 | |||
Aristocrat Leisure, Ltd. | 61,422 | 1,469,285 | |||
ASX, Ltd. | 21,327 | 1,184,903 | |||
Atlas Arteria, Ltd. Stapled Security | 101,330 | 508,244 | |||
AUB Group, Ltd. | 6,834 | 85,377 | |||
Aurizon Holdings, Ltd. | 206,710 | 622,080 | |||
AusNet Services | 192,422 | 260,587 | |||
Austal, Ltd. | 34,296 | 70,660 | |||
Australia & New Zealand Banking Group, Ltd. | 310,793 | 5,443,993 | |||
Australian Agricultural Co., Ltd. (a) | 66,789 | 56,692 | |||
Australian Pharmaceutical Industries, Ltd. | 85,600 | 81,245 | |||
Aventus Group REIT | 55,052 | 116,398 | |||
Bank of Queensland, Ltd. (b) | 48,559 | 290,022 | |||
Bapcor, Ltd. | 41,995 | 252,114 | |||
Beach Energy, Ltd. | 211,449 | 294,512 | |||
Bega Cheese, Ltd. | 33,033 | 130,253 |
Security Description | Shares | Value | |||
Bellevue Gold, Ltd. (a) | 77,436 | $ 66,924 | |||
Bendigo & Adelaide Bank, Ltd. | 62,877 | 452,198 | |||
BHP Group PLC | 231,445 | 6,090,192 | |||
BHP Group, Ltd. | 322,812 | 10,569,226 | |||
Bingo Industries, Ltd. (b) | 47,497 | 89,429 | |||
Blackmores, Ltd. (a) | 2,362 | 137,700 | |||
BlueScope Steel, Ltd. | 52,961 | 714,362 | |||
Boral, Ltd. | 140,160 | 535,365 | |||
Brambles, Ltd. | 168,216 | 1,375,921 | |||
Bravura Solutions, Ltd. (b) | 27,615 | 68,615 | |||
Breville Group, Ltd. | 9,858 | 194,509 | |||
Brickworks, Ltd. | 10,320 | 152,898 | |||
BWP Trust REIT | 46,487 | 158,553 | |||
BWX, Ltd. | 22,386 | 70,997 | |||
carsales.com, Ltd. | 28,203 | 435,475 | |||
Cedar Woods Properties, Ltd. | 15,633 | 75,395 | |||
Centuria Capital Group | 43,479 | 88,238 | |||
Centuria Industrial REIT | 46,555 | 111,006 | |||
Centuria Office REIT | 34,820 | 57,499 | |||
Chalice Mining, Ltd. (a) | 30,131 | 90,677 | |||
Challenger, Ltd. | 56,133 | 278,949 | |||
Champion Iron, Ltd. (a) | 28,333 | 103,850 | |||
Charter Hall Group REIT | 53,182 | 603,667 | |||
Charter Hall Long Wale REIT | 46,061 | 165,275 | |||
Charter Hall Retail REIT | 66,012 | 186,943 | |||
Charter Hall Social Infrastructure REIT | 31,604 | 79,502 | |||
CIMIC Group, Ltd. (a)(b) | 10,985 | 206,574 | |||
Cleanaway Waste Management, Ltd. | 199,305 | 361,415 | |||
Clinuvel Pharmaceuticals, Ltd. | 6,455 | 111,176 | |||
Coca-Cola Amatil, Ltd. | 53,528 | 534,072 | |||
Cochlear, Ltd. | 7,021 | 1,023,956 | |||
Codan, Ltd. | 10,768 | 92,896 | |||
Coles Group, Ltd. | 145,925 | 2,042,619 | |||
Collins Foods, Ltd. | 10,417 | 77,489 | |||
Commonwealth Bank of Australia | 193,986 | 12,290,991 | |||
Computershare, Ltd. | 52,028 | 585,751 | |||
Cooper Energy, Ltd. (a)(b) | 188,865 | 56,838 | |||
Coronado Global Resources, Inc. CDI (c) | 64,509 | 56,498 | |||
Corporate Travel Management, Ltd. (a)(b) | 11,274 | 152,243 | |||
Costa Group Holdings, Ltd. | 49,359 | 155,399 | |||
Credit Corp. Group, Ltd. | 8,972 | 205,620 | |||
Cromwell Property Group REIT (b) | 125,374 | 84,168 | |||
Crown Resorts, Ltd. | 39,227 | 291,495 | |||
CSL, Ltd. | 49,793 | 10,880,562 | |||
CSR, Ltd. | 60,538 | 244,315 | |||
Data#3, Ltd. | 12,944 | 56,034 | |||
De Grey Mining, Ltd. (a) | 96,762 | 75,786 | |||
Deterra Royalties, Ltd. (a) | 45,185 | 167,362 | |||
Dexus REIT | 117,689 | 853,659 |
Security Description | Shares | Value | |||
Dicker Data, Ltd. | 13,173 | $ 106,224 | |||
Domain Holdings Australia, Ltd. | 51,929 | 179,919 | |||
Domino's Pizza Enterprises, Ltd. | 6,253 | 418,242 | |||
Downer EDI, Ltd. | 72,645 | 298,781 | |||
Eagers Automotive, Ltd. | 22,732 | 233,122 | |||
Elders, Ltd. | 16,674 | 126,864 | |||
Electro Optic Systems Holdings, Ltd. (a) | 13,777 | 62,829 | |||
Emeco Holdings, Ltd. (a) | 91,638 | 80,612 | |||
EML Payments, Ltd. (a)(b) | 43,295 | 139,648 | |||
Evolution Mining, Ltd. | 174,635 | 672,438 | |||
Flight Centre Travel Group, Ltd. (a) | 12,845 | 157,103 | |||
Fortescue Metals Group, Ltd. | 185,569 | 3,355,044 | |||
Freedom Foods Group, Ltd. (a)(b)(d) | 11,132 | 19,392 | |||
G8 Education, Ltd. | 123,292 | 112,263 | |||
GDI Property Group REIT | 67,675 | 63,188 | |||
Genworth Mortgage Insurance Australia, Ltd. | 30,544 | 56,331 | |||
Glencore PLC (a) | 1,119,506 | 3,565,618 | |||
Gold Road Resources, Ltd. (a) | 85,928 | 87,856 | |||
Goodman Group REIT | 181,847 | 2,653,494 | |||
GPT Group REIT | 219,399 | 761,847 | |||
GrainCorp, Ltd. Class A | 34,811 | 112,551 | |||
Growthpoint Properties Australia, Ltd. REIT | 24,433 | 65,799 | |||
GUD Holdings, Ltd. | 7,926 | 71,803 | |||
GWA Group, Ltd. | 32,088 | 86,415 | |||
Hansen Technologies, Ltd. | 29,249 | 84,186 | |||
Harvey Norman Holdings, Ltd. | 71,585 | 259,069 | |||
Healius, Ltd. | 80,610 | 232,016 | |||
Home Consortium, Ltd. REIT | 14,306 | 44,157 | |||
HT&E, Ltd. (b) | 31,864 | 45,488 | |||
HUB24, Ltd. | 4,938 | 81,314 | |||
IDP Education, Ltd. | 16,362 | 250,621 | |||
IGO, Ltd. | 64,093 | 315,538 | |||
Iluka Resources, Ltd. | 45,185 | 226,287 | |||
Incitec Pivot, Ltd. (a) | 194,066 | 341,432 | |||
Ingenia Communities Group REIT | 29,597 | 112,366 | |||
Inghams Group, Ltd. (b) | 49,503 | 119,181 | |||
Insurance Australia Group, Ltd. | 267,353 | 969,624 | |||
Integral Diagnostics, Ltd. | 37,623 | 125,998 | |||
Integrated Research, Ltd. | 33,401 | 68,559 | |||
InvoCare, Ltd. (b) | 12,775 | 112,872 | |||
IOOF Holdings, Ltd. (b) | 96,661 | 262,551 | |||
IPH, Ltd. | 26,936 | 133,649 | |||
IRESS, Ltd. | 22,953 | 187,921 | |||
Irongate Group REIT | 126,513 | 123,982 | |||
JB Hi-Fi, Ltd. | 11,901 | 446,497 | |||
Jumbo Interactive, Ltd. | 3,849 | 41,759 |
Security Description | Shares | Value | |||
Jupiter Mines, Ltd. | 276,114 | $ 64,984 | |||
Kogan.com, Ltd. | 5,732 | 84,039 | |||
LendLease Corp., Ltd. Stapled Security | 74,436 | 752,445 | |||
Lifestyle Communities, Ltd. | 8,230 | 81,225 | |||
Link Administration Holdings, Ltd. | 65,176 | 279,127 | |||
Lovisa Holdings, Ltd. | 8,077 | 70,616 | |||
Lynas Rare Earths, Ltd. (a) | 127,163 | 390,539 | |||
Macquarie Group, Ltd. | 37,634 | 4,021,498 | |||
Magellan Financial Group, Ltd. | 14,421 | 597,127 | |||
Mayne Pharma Group, Ltd. (a) | 178,522 | 47,526 | |||
McMillan Shakespeare, Ltd. | 6,570 | 62,814 | |||
Medibank Pvt, Ltd. | 311,539 | 723,601 | |||
Megaport, Ltd. (a) | 11,378 | 125,113 | |||
Mesoblast, Ltd. (a)(b) | 43,560 | 75,629 | |||
Metcash, Ltd. (b) | 105,905 | 276,219 | |||
Mineral Resources, Ltd. | 18,826 | 544,039 | |||
Mirvac Group REIT | 441,625 | 899,659 | |||
Monadelphous Group, Ltd. | 8,112 | 84,317 | |||
Nanosonics, Ltd. (a)(b) | 34,472 | 213,601 | |||
National Australia Bank, Ltd. | 360,534 | 6,287,458 | |||
National Storage REIT | 127,043 | 187,243 | |||
nearmap, Ltd. (a) | 42,091 | 72,105 | |||
Netwealth Group, Ltd. | 8,601 | 105,793 | |||
New Hope Corp., Ltd. (b) | 83,313 | 90,968 | |||
Newcrest Mining, Ltd. | 89,427 | 1,778,984 | |||
NEXTDC, Ltd. (a) | 47,436 | 447,667 | |||
nib holdings, Ltd. | 47,734 | 219,899 | |||
Nick Scali, Ltd. | 7,545 | 56,183 | |||
Nickel Mines, Ltd. | 109,119 | 93,043 | |||
Nine Entertainment Co. Holdings, Ltd. | 149,876 | 268,312 | |||
Northern Star Resources, Ltd. | 82,424 | 807,116 | |||
NRW Holdings, Ltd. | 47,497 | 107,021 | |||
Nufarm, Ltd. (a) | 23,020 | 72,830 | |||
OceanaGold Corp. (a) | 84,900 | 163,936 | |||
Oil Search, Ltd. | 220,107 | 630,127 | |||
Omni Bridgeway, Ltd. | 22,796 | 75,639 | |||
oOh!media, Ltd. | 54,746 | 70,126 | |||
Orica, Ltd. | 46,295 | 541,212 | |||
Origin Energy, Ltd. | 199,358 | 732,253 | |||
Orocobre, Ltd. (a) | 47,432 | 163,606 | |||
Orora, Ltd. | 103,568 | 215,779 | |||
OZ Minerals, Ltd. | 56,350 | 820,949 | |||
Pact Group Holdings, Ltd. | 44,824 | 91,659 | |||
Pendal Group, Ltd. | 26,280 | 132,422 | |||
Perenti Global, Ltd. | 51,384 | 54,321 | |||
Perpetual, Ltd. | 7,306 | 195,966 | |||
Perseus Mining, Ltd. (a) | 156,849 | 157,342 | |||
Pilbara Minerals, Ltd. (a) | 499,501 | 335,333 | |||
Pinnacle Investment Management Group, Ltd. | 9,944 | 54,480 |
Security Description | Shares | Value | |||
Platinum Asset Management, Ltd. | 48,574 | $ 152,927 | |||
PointsBet Holdings, Ltd. (a) | 14,832 | 135,854 | |||
PolyNovo, Ltd. (a)(b) | 74,443 | 222,883 | |||
Premier Investments, Ltd. | 8,796 | 159,573 | |||
Pro Medicus, Ltd. | 6,177 | 162,823 | |||
Qantas Airways, Ltd. (a) | 97,964 | 366,631 | |||
QBE Insurance Group, Ltd. | 157,028 | 1,033,586 | |||
Qube Holdings, Ltd. | 191,242 | 433,861 | |||
Ramelius Resources, Ltd. | 75,907 | 98,697 | |||
Ramsay Health Care, Ltd. | 20,378 | 977,761 | |||
REA Group, Ltd. | 5,482 | 629,706 | |||
Redbubble, Ltd. (a) | 20,611 | 87,793 | |||
Regis Resources, Ltd. | 53,537 | 154,506 | |||
Resolute Mining, Ltd. (a) | 168,285 | 103,236 | |||
Rio Tinto PLC | 122,954 | 9,193,532 | |||
Rio Tinto, Ltd. | 40,221 | 3,532,890 | |||
Rural Funds Group REIT (b) | 71,949 | 143,240 | |||
Sandfire Resources, Ltd. | 16,700 | 68,943 | |||
Santos, Ltd. | 208,435 | 1,008,460 | |||
Saracen Mineral Holdings, Ltd. (a) | 119,802 | 439,115 | |||
Scentre Group REIT | 592,592 | 1,271,221 | |||
SeaLink Travel Group, Ltd. | 11,966 | 61,773 | |||
SEEK, Ltd. | 37,869 | 833,693 | |||
Select Harvests, Ltd. | 15,885 | 63,985 | |||
Service Stream, Ltd. | 39,978 | 55,682 | |||
Seven Group Holdings, Ltd. (b) | 16,554 | 298,270 | |||
Shopping Centres Australasia Property Group REIT | 111,477 | 216,774 | |||
Sigma Healthcare, Ltd. (a) | 183,261 | 86,969 | |||
Silver Lake Resources, Ltd. (a) | 111,938 | 154,615 | |||
SmartGroup Corp., Ltd. | 8,607 | 45,362 | |||
SolGold PLC (a) | 80,170 | 35,507 | |||
Sonic Healthcare, Ltd. | 50,037 | 1,241,346 | |||
South32, Ltd. (e) | 10,757 | 20,495 | |||
South32, Ltd. (e) | 531,183 | 1,012,422 | |||
Southern Cross Media Group, Ltd. (a) | 24,760 | 42,798 | |||
Spark Infrastructure Group Stapled Security | 184,015 | 299,610 | |||
St Barbara, Ltd. | 97,413 | 177,398 | |||
Star Entertainment Group, Ltd. | 100,013 | 284,004 | |||
Steadfast Group, Ltd. | 89,418 | 275,308 | |||
Stockland REIT | 257,159 | 829,466 | |||
Suncorp Group, Ltd. | 140,226 | 1,053,921 | |||
Super Retail Group, Ltd. | 16,371 | 133,022 | |||
Sydney Airport Stapled Security (a) | 143,443 | 709,509 | |||
Tabcorp Holdings, Ltd. | 255,124 | 767,779 | |||
Tassal Group, Ltd. (b) | 26,291 | 68,166 | |||
Technology One, Ltd. | 23,020 | 145,660 | |||
Telstra Corp., Ltd. | 444,899 | 1,023,053 |
Security Description | Shares | Value | |||
Temple & Webster Group, Ltd. (a) | 8,580 | $ 73,292 | |||
TPG TELECOM, Ltd. (a) | 37,112 | 206,763 | |||
Transurban Group Stapled Security | 299,840 | 3,160,536 | |||
Treasury Wine Estates, Ltd. | 82,679 | 599,713 | |||
Tyro Payments, Ltd. (a) | 16,236 | 39,966 | |||
United Malt Grp, Ltd. | 28,650 | 90,642 | |||
Vicinity Centres REIT | 400,599 | 496,141 | |||
Viva Energy Group, Ltd. (c) | 81,264 | 119,771 | |||
Vocus Group, Ltd. (a) | 56,908 | 177,409 | |||
Washington H Soul Pattinson & Co., Ltd. | 13,134 | 304,958 | |||
Waypoint REIT | 75,398 | 158,834 | |||
Webjet, Ltd. (b) | 34,421 | 134,664 | |||
Wesfarmers, Ltd. | 124,248 | 4,832,150 | |||
West African Resources, Ltd. (a) | 90,277 | 72,797 | |||
Western Areas, Ltd. (b) | 34,077 | 69,157 | |||
Westgold Resources, Ltd. (a) | 42,610 | 86,803 | |||
Westpac Banking Corp. | 398,442 | 5,955,458 | |||
Whitehaven Coal, Ltd. (b) | 130,725 | 165,938 | |||
WiseTech Global, Ltd. | 17,429 | 413,560 | |||
Woodside Petroleum, Ltd. | 105,737 | 1,855,402 | |||
Woolworths Group, Ltd. | 137,422 | 4,168,500 | |||
Worley, Ltd. | 42,656 | 378,199 | |||
Zip Co., Ltd. (a)(b) | 45,025 | 183,793 | |||
168,030,283 | |||||
AUSTRIA — 0.2% | |||||
Agrana Beteiligungs AG | 607 | 11,972 | |||
ams AG (a) | 29,317 | 642,092 | |||
ANDRITZ AG | 7,538 | 345,682 | |||
AT&S Austria Technologie & Systemtechnik AG | 4,273 | 136,457 | |||
BAWAG Group AG (c) | 7,283 | 338,622 | |||
CA Immobilien Anlagen AG | 8,392 | 321,903 | |||
DO & Co. AG (a)(b) | 757 | 61,872 | |||
Erste Group Bank AG | 30,614 | 934,196 | |||
EVN AG | 5,757 | 125,946 | |||
FACC AG (a)(b) | 6,220 | 64,613 | |||
IMMOFINANZ AG (a) | 10,275 | 213,346 | |||
Lenzing AG (a)(b) | 1,374 | 139,200 | |||
Oesterreichische Post AG (b) | 4,115 | 144,502 | |||
OMV AG | 16,138 | 651,606 | |||
Palfinger AG | 2,748 | 87,084 | |||
Porr AG (a)(b) | 3,398 | 53,633 | |||
Raiffeisen Bank International AG (a) | 15,326 | 312,785 | |||
S IMMO AG | 4,849 | 100,624 | |||
S&T AG (a) | 4,086 | 96,489 | |||
Schoeller-Bleckmann Oilfield Equipment AG | 1,349 | 51,333 | |||
Semperit AG Holding (a) | 1,065 | 31,665 | |||
Telekom Austria AG | 20,116 | 155,800 | |||
UNIQA Insurance Group AG | 23,821 | 186,536 | |||
Verbund AG | 7,050 | 602,528 |
Security Description | Shares | Value | |||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 5,462 | $ 139,007 | |||
Voestalpine AG | 12,016 | 430,774 | |||
Wienerberger AG | 12,817 | 408,993 | |||
Zumtobel Group AG | 2,928 | 21,854 | |||
6,811,114 | |||||
BELGIUM — 0.7% | |||||
Ackermans & van Haaren NV | 2,428 | 365,406 | |||
Aedifica SA REIT | 4,316 | 519,107 | |||
Ageas SA/NV | 20,657 | 1,101,479 | |||
AGFA-Gevaert NV (a) | 20,285 | 96,797 | |||
Anheuser-Busch InBev SA | 81,925 | 5,714,644 | |||
Barco NV | 7,104 | 154,893 | |||
Befimmo SA REIT | 2,488 | 110,504 | |||
Bekaert SA | 3,753 | 124,718 | |||
Biocartis Group NV (a)(c) | 10,226 | 58,181 | |||
bpost SA (a) | 10,354 | 107,557 | |||
Cie d'Entreprises CFE (a) | 691 | 70,681 | |||
Cofinimmo SA REIT | 3,365 | 501,480 | |||
D'ieteren SA | 2,263 | 187,731 | |||
Econocom Group SA | 27,987 | 84,753 | |||
Elia Group SA | 4,133 | 493,051 | |||
Etablissements Franz Colruyt NV | 5,733 | 339,998 | |||
Euronav NV | 18,225 | 147,175 | |||
Fagron | 6,352 | 147,668 | |||
Galapagos NV (a) | 5,280 | 519,928 | |||
Gimv NV | 1,974 | 120,764 | |||
Groupe Bruxelles Lambert SA | 12,246 | 1,236,446 | |||
Intervest Offices & Warehouses NV REIT | 5,463 | 150,730 | |||
Ion Beam Applications (b) | 4,121 | 61,515 | |||
KBC Ancora (a) | 4,469 | 191,272 | |||
KBC Group NV (a) | 26,668 | 1,869,025 | |||
Kinepolis Group NV (a) | 1,145 | 48,683 | |||
Melexis NV | 2,091 | 204,420 | |||
Mithra Pharmaceuticals SA (a)(b) | 1,371 | 33,046 | |||
Montea CVA REIT | 1,589 | 181,007 | |||
Ontex Group NV (a)(b) | 6,500 | 87,484 | |||
Orange Belgium SA | 3,420 | 91,223 | |||
Proximus SADP | 15,537 | 308,157 | |||
Recticel SA | 8,030 | 105,325 | |||
Retail Estates NV REIT | 1,506 | 108,902 | |||
Sioen Industries NV (a) | 717 | 19,388 | |||
Sofina SA | 1,948 | 660,223 | |||
Solvay SA | 8,805 | 1,043,723 | |||
Telenet Group Holding NV | 5,514 | 236,673 | |||
Tessenderlo Group SA (a) | 2,269 | 90,644 | |||
UCB SA | 14,429 | 1,491,461 | |||
Umicore SA | 23,323 | 1,121,213 | |||
Van de Velde NV | 621 | 17,400 | |||
Warehouses De Pauw CVA REIT | 16,773 | 579,969 |
Security Description | Shares | Value | |||
X-Fab Silicon Foundries SE (a)(c) | 6,093 | $ 36,679 | |||
Xior Student Housing NV REIT | 1,800 | 108,137 | |||
21,049,260 | |||||
BRAZIL — 1.7% | |||||
AES Tiete Energia SA | 22,400 | 71,286 | |||
Aliansce Sonae Shopping Centers SA (a) | 14,000 | 78,622 | |||
Alliar Medicos A Frente SA | 15,100 | 32,269 | |||
Alpargatas SA Preference Shares | 24,400 | 197,297 | |||
Alupar Investimento SA | 19,900 | 103,787 | |||
Ambev SA | 529,867 | 1,596,477 | |||
Ambipar Participacoes e Empreendimentos S/A (a) | 11,000 | 55,951 | |||
Anima Holding SA (a) | 24,663 | 170,934 | |||
Arcos Dorados Holdings, Inc. Class A (b) | 13,353 | 67,166 | |||
Arezzo Industria e Comercio SA | 6,200 | 81,382 | |||
Atacadao SA | 42,300 | 157,906 | |||
Azul SA Preference Shares (a) | 33,500 | 253,465 | |||
B2W Cia Digital (a) | 24,994 | 363,828 | |||
B3 SA - Brasil Bolsa Balcao | 229,401 | 2,737,337 | |||
Banco ABC Brasil SA Preference Shares | 16,392 | 49,452 | |||
Banco Bradesco SA Preference Shares | 494,257 | 2,582,522 | |||
Banco Bradesco SA | 147,446 | 686,957 | |||
Banco BTG Pactual SA | 32,064 | 580,266 | |||
Banco do Brasil SA | 95,100 | 710,385 | |||
Banco do Estado do Rio Grande do Sul SA Class B, Preference Shares | 21,600 | 60,589 | |||
Banco Inter SA | 10,112 | 191,661 | |||
Banco Pan SA Preference Shares | 45,500 | 83,481 | |||
Banco Santander Brasil SA | 49,000 | 422,908 | |||
BB Seguridade Participacoes SA | 82,400 | 470,046 | |||
BK Brasil Operacao e Assessoria a Restaurantes SA | 31,656 | 66,430 | |||
BR Malls Participacoes SA (a) | 83,682 | 159,496 | |||
BR Properties SA | 23,500 | 44,790 | |||
Bradespar SA Preference Shares | 25,900 | 317,679 | |||
BRF SA (a) | 65,800 | 279,202 | |||
C&A Modas Ltda | 18,000 | 44,669 | |||
Camil Alimentos SA | 18,200 | 38,788 | |||
CCR SA | 137,300 | 356,057 | |||
Centrais Eletricas Brasileiras SA | 37,100 | 261,918 |
Security Description | Shares | Value | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 33,200 | $ 236,495 | |||
Cia Brasileira de Distribuicao | 18,500 | 267,303 | |||
Cia de Locacao das Americas | 35,200 | 198,628 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 38,600 | 330,250 | |||
Cia de Saneamento de Minas Gerais-COPASA | 25,800 | 81,460 | |||
Cia de Saneamento do Parana Preference Shares | 41,300 | 40,551 | |||
Cia de Saneamento do Parana | 20,500 | 102,614 | |||
Cia Energetica de Minas Gerais Preference Shares | 110,840 | 310,698 | |||
Cia Energetica de Sao Paulo Class B, Preference Shares | 20,200 | 112,663 | |||
Cia Energetica do Ceara Class A, Preference Shares | 1,500 | 17,327 | |||
Cia Ferro Ligas da Bahia - FERBASA Preference Shares | 4,400 | 16,188 | |||
Cia Hering | 15,100 | 49,915 | |||
Cia Paranaense de Energia Preference Shares | 12,300 | 177,460 | |||
Cia Siderurgica Nacional SA | 78,400 | 480,736 | |||
Cielo SA | 130,139 | 100,219 | |||
Cogna Educacao | 209,663 | 186,889 | |||
Construtora Tenda SA | 10,700 | 62,191 | |||
Cosan Logistica SA (a) | 19,600 | 69,846 | |||
Cosan SA | 18,100 | 263,893 | |||
CPFL Energia SA | 24,500 | 153,532 | |||
CVC Brasil Operadora e Agencia de Viagens SA (a) | 17,266 | 68,410 | |||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 31,900 | 181,050 | |||
Duratex SA | 33,100 | 121,969 | |||
EcoRodovias Infraestrutura e Logistica SA (a) | 28,500 | 73,360 | |||
EDP - Energias do Brasil SA | 32,300 | 122,193 | |||
Embraer SA (a) | 88,300 | 150,448 | |||
Enauta Participacoes SA | 8,500 | 19,392 | |||
Energisa SA | 19,600 | 197,577 | |||
Eneva SA (a) | 20,100 | 240,308 | |||
Engie Brasil Energia SA | 24,466 | 206,969 | |||
Equatorial Energia SA | 101,700 | 453,462 | |||
Even Construtora e Incorporadora SA | 11,100 | 25,687 | |||
Ez Tec Empreendimentos e Participacoes SA | 13,200 | 109,022 | |||
Fleury SA | 21,900 | 113,923 | |||
Gerdau SA Preference Shares | 120,700 | 568,156 |
Security Description | Shares | Value | |||
Gol Linhas Aereas Inteligentes SA Preference Shares (a) | 22,500 | $ 108,034 | |||
Grendene SA | 42,700 | 68,890 | |||
Grupo De Mona Soma SA (a) | 32,800 | 84,554 | |||
Grupo SBF SA (a) | 10,267 | 58,745 | |||
Guararapes Confeccoes SA | 16,300 | 46,789 | |||
Hapvida Participacoes e Investimentos SA (c) | 126,000 | 370,174 | |||
Hypera SA | 46,500 | 306,616 | |||
Iguatemi Empresa de Shopping Centers SA | 12,000 | 85,826 | |||
Instituto Hermes Pardini SA | 9,200 | 40,012 | |||
Iochpe Maxion SA | 18,100 | 54,012 | |||
IRB Brasil Resseguros SA | 101,593 | 159,992 | |||
Itau Unibanco Holding SA Preference Shares | 538,503 | 3,279,206 | |||
Itausa SA Preference Shares | 483,965 | 1,092,932 | |||
Jereissati Participacoes SA | 3,700 | 18,727 | |||
JHSF Participacoes SA | 32,024 | 48,151 | |||
Klabin SA | 78,628 | 400,694 | |||
Light SA (a) | 25,900 | 121,168 | |||
Linx SA | 15,100 | 108,900 | |||
Localiza Rent a Car SA | 66,566 | 883,625 | |||
Locaweb Servicos de Internet SA (c) | 8,700 | 134,783 | |||
LOG Commercial Properties e Participacoes SA | 7,400 | 48,738 | |||
Lojas Americanas SA Preference Shares | 101,027 | 511,340 | |||
Lojas Quero Quero S/A | 30,200 | 94,829 | |||
Lojas Renner SA | 87,671 | 734,896 | |||
M Dias Branco SA | 11,500 | 75,409 | |||
Magazine Luiza SA | 328,452 | 1,577,698 | |||
Mahle-Metal Leve SA | 4,100 | 16,552 | |||
Marcopolo SA Preference Shares | 86,300 | 47,684 | |||
Marfrig Global Foods SA (a) | 43,200 | 120,679 | |||
Marisa Lojas SA (a) | 13,900 | 18,224 | |||
Metalurgica Gerdau SA Preference Shares | 76,900 | 166,704 | |||
Minerva SA | 36,335 | 71,212 | |||
Movida Participacoes SA | 19,000 | 75,536 | |||
MRV Engenharia e Participacoes SA | 33,400 | 121,853 | |||
Multiplan Empreendimentos Imobiliarios SA | 36,014 | 163,145 | |||
Natura & Co. Holding SA (a) | 97,737 | 987,870 | |||
Notre Dame Intermedica Participacoes SA | 59,277 | 894,028 | |||
Odontoprev SA | 34,600 | 96,922 | |||
Omega Geracao SA (a) | 13,740 | 106,763 | |||
Petro Rio SA (a) | 10,800 | 145,942 | |||
Petrobras Distribuidora SA | 85,500 | 364,275 | |||
Petroleo Brasileiro SA Preference Shares | 529,900 | 2,891,180 | |||
Petroleo Brasileiro SA | 415,300 | 2,306,689 |
Security Description | Shares | Value | |||
Qualicorp Consultoria e Corretora de Seguros SA | 32,700 | $ 220,216 | |||
Raia Drogasil SA | 118,800 | 572,706 | |||
Randon SA Implementos e Participacoes Preference Shares | 25,700 | 79,561 | |||
Rumo SA (a) | 143,871 | 532,917 | |||
Santos Brasil Participacoes SA | 50,481 | 51,023 | |||
Sao Martinho SA | 22,700 | 119,570 | |||
Ser Educacional SA (c) | 6,200 | 18,645 | |||
SIMPAR SA (a) | 16,600 | 113,358 | |||
SLC Agricola SA | 13,200 | 69,759 | |||
Smiles Fidelidade SA | 6,600 | 29,797 | |||
Sul America SA | 33,815 | 288,725 | |||
Suzano SA (a) | 82,109 | 925,390 | |||
Tegma Gestao Logistica SA | 2,800 | 14,539 | |||
Telefonica Brasil SA | 49,985 | 447,480 | |||
TIM SA | 97,600 | 275,276 | |||
TOTVS SA | 52,600 | 290,838 | |||
Transmissora Alianca de Energia Eletrica SA | 23,300 | 149,511 | |||
Trisul SA | 13,700 | 32,310 | |||
Tupy SA (a) | 11,000 | 44,409 | |||
Ultrapar Participacoes SA | 86,600 | 395,804 | |||
Unipar Carbocloro SA Preference Shares | 7,700 | 75,885 | |||
Usinas Siderurgicas de Minas Gerais SA Usiminas Class A, Preference Shares | 43,700 | 122,917 | |||
Vale SA | 409,106 | 6,887,744 | |||
Via Varejo S/A (a) | 141,980 | 441,723 | |||
Vivara Participacoes SA | 13,600 | 77,135 | |||
WEG SA | 94,670 | 1,380,445 | |||
Wheaton Precious Metals Corp. | 50,156 | 2,092,852 | |||
Wiz Solucoes e Corretagem de Seguros SA | 25,800 | 39,935 | |||
Yara International ASA | 18,959 | 788,302 | |||
YDUQS Participacoes SA | 29,600 | 187,600 | |||
55,162,157 | |||||
CANADA — 6.1% | |||||
Absolute Software Corp. (b) | 4,400 | 52,323 | |||
Advantage Oil & Gas, Ltd. (a)(b) | 20,000 | 26,845 | |||
Aecon Group, Inc. | 6,200 | 79,617 | |||
Ag Growth International, Inc. (b) | 2,000 | 46,797 | |||
Agnico Eagle Mines, Ltd. | 27,180 | 1,911,347 | |||
Air Canada (a) | 15,200 | 271,667 | |||
Alamos Gold, Inc. Class A | 41,742 | 364,341 | |||
Algonquin Power & Utilities Corp. (b) | 64,227 | 1,056,166 | |||
Alimentation Couche-Tard, Inc. Class B | 94,100 | 3,204,127 |
Security Description | Shares | Value | |||
Allied Properties Real Estate Investment Trust | 6,200 | $ 184,102 | |||
AltaGas, Ltd. (b) | 29,800 | 437,878 | |||
Altius Minerals Corp. (b) | 8,500 | 91,338 | |||
Altus Group, Ltd. | 4,200 | 162,000 | |||
Andlauer Healthcare Group, Inc. | 1,000 | 32,135 | |||
Aphria, Inc. (a)(b) | 34,100 | 235,542 | |||
ARC Resources, Ltd. (b) | 37,700 | 177,551 | |||
Aritzia, Inc. (a) | 9,000 | 182,190 | |||
Artis Real Estate Investment Trust | 6,100 | 51,041 | |||
Atco, Ltd. Class I | 9,900 | 283,557 | |||
Atlas Corp. (b) | 12,100 | 131,164 | |||
ATS Automation Tooling Systems, Inc. (a) | 7,600 | 133,328 | |||
Aurinia Pharmaceuticals, Inc. (a) | 11,400 | 157,130 | |||
Aurora Cannabis, Inc. (a)(b) | 19,641 | 163,418 | |||
B2Gold Corp. | 114,000 | 638,006 | |||
Badger Daylighting, Ltd. | 3,700 | 110,448 | |||
Ballard Power Systems, Inc. (a) | 18,100 | 423,091 | |||
Bank of Montreal | 71,216 | 5,409,956 | |||
Bank of Nova Scotia | 133,900 | 7,231,020 | |||
Barrick Gold Corp. (e) | 149,317 | 3,398,896 | |||
Barrick Gold Corp. (b)(e) | 45,552 | 1,037,374 | |||
BCE, Inc. (b) | 17,679 | 755,312 | |||
Birchcliff Energy, Ltd. | 43,800 | 60,852 | |||
BlackBerry, Ltd. (a) | 66,400 | 439,887 | |||
Boardwalk Real Estate Investment Trust | 2,300 | 60,912 | |||
Bombardier, Inc. Class B (a)(b) | 226,700 | 85,413 | |||
Boralex, Inc. Class A | 8,800 | 326,305 | |||
Boyd Group Services, Inc. | 2,300 | 396,380 | |||
Brookfield Asset Management, Inc. Class A | 144,425 | 5,965,183 | |||
Brookfield Infrastructure Corp. Class A | 4,100 | 296,687 | |||
CAE, Inc. | 30,500 | 844,376 | |||
Calibre Mining Corp. (a) | 23,200 | 44,069 | |||
Cameco Corp. | 42,100 | 563,426 | |||
Canaccord Genuity Group, Inc. (b) | 20,300 | 177,824 | |||
Canacol Energy, Ltd. (b) | 13,000 | 38,265 | |||
Canada Goose Holdings, Inc. (a)(b) | 6,300 | 187,121 | |||
Canadian Apartment Properties REIT | 8,900 | 349,224 | |||
Canadian Imperial Bank of Commerce | 48,900 | 4,173,005 | |||
Canadian National Railway Co. | 78,400 | 8,611,692 | |||
Canadian Natural Resources, Ltd. | 129,400 | 3,107,022 |
Security Description | Shares | Value | |||
Canadian Pacific Railway, Ltd. (b) | 14,900 | $ 5,163,891 | |||
Canadian Tire Corp., Ltd. Class A (b) | 6,300 | 827,456 | |||
Canadian Utilities, Ltd. Class A | 13,800 | 336,768 | |||
Canadian Western Bank (b) | 9,300 | 208,922 | |||
Canfor Corp. (a) | 11,300 | 203,826 | |||
Canopy Growth Corp. (a)(b) | 24,200 | 594,932 | |||
Capital Power Corp. (b) | 11,200 | 307,516 | |||
Cascades, Inc. | 8,200 | 93,650 | |||
CCL Industries, Inc. Class B | 16,300 | 739,385 | |||
Celestica, Inc. (a) | 15,400 | 124,143 | |||
Cenovus Energy, Inc. (b) | 120,400 | 732,418 | |||
Centerra Gold, Inc. | 25,200 | 291,560 | |||
CGI, Inc. (a) | 25,800 | 2,045,166 | |||
Chorus Aviation, Inc. | 7,200 | 20,911 | |||
CI Financial Corp. | 22,300 | 276,212 | |||
Cineplex, Inc. (b) | 6,000 | 43,658 | |||
Cogeco Communications, Inc. | 1,700 | 130,582 | |||
Cogeco, Inc. | 500 | 32,174 | |||
Colliers International Group, Inc. | 3,300 | 293,425 | |||
Cominar Real Estate Investment Trust | 9,500 | 60,475 | |||
Computer Modelling Group, Ltd. | 15,200 | 58,223 | |||
Constellation Software, Inc. | 2,200 | 2,854,336 | |||
Corby Spirit and Wine, Ltd. | 1,300 | 17,245 | |||
Corus Entertainment, Inc. Class B (b) | 27,200 | 91,378 | |||
Crescent Point Energy Corp. | 56,400 | 131,482 | |||
Crombie Real Estate Investment Trust | 10,200 | 114,890 | |||
Cronos Group, Inc. (a)(b) | 21,100 | 146,408 | |||
CT Real Estate Investment Trust | 8,000 | 98,399 | |||
Descartes Systems Group, Inc. (a) | 9,000 | 525,942 | |||
Docebo, Inc. (a) | 1,900 | 123,411 | |||
Dollarama, Inc. | 32,300 | 1,315,325 | |||
Dream Industrial Real Estate Investment Trust | 14,100 | 145,538 | |||
Dream Office Real Estate Investment Trust | 3,000 | 46,625 | |||
DREAM Unlimited Corp. Class A | 4,365 | 72,807 | |||
Dundee Precious Metals, Inc. | 20,800 | 149,388 | |||
Dye & Durham, Ltd. | 4,200 | 166,549 | |||
ECN Capital Corp. | 24,800 | 125,947 | |||
Element Fleet Management Corp. (b) | 46,600 | 489,410 | |||
Emera, Inc. | 26,700 | 1,133,807 | |||
Empire Co., Ltd. Class A | 18,200 | 497,000 | |||
Enbridge, Inc. | 223,900 | 7,154,607 | |||
Endeavour Silver Corp. (a)(b) | 40,100 | 202,389 |
Security Description | Shares | Value | |||
Enerflex, Ltd. (b) | 8,500 | $ 43,768 | |||
Enerplus Corp. (b) | 23,700 | 74,039 | |||
Enghouse Systems, Ltd. | 4,300 | 208,081 | |||
Equinox Gold Corp. (a) | 22,200 | 229,493 | |||
Equitable Group, Inc. | 1,300 | 103,061 | |||
ERO Copper Corp. (a) | 6,700 | 107,389 | |||
Evertz Technologies, Ltd. | 2,400 | 24,904 | |||
Exchange Income Corp. | 2,400 | 69,024 | |||
Extendicare, Inc. (b) | 8,100 | 42,217 | |||
Fairfax Financial Holdings, Ltd. | 3,000 | 1,021,625 | |||
Fiera Capital Corp. (b) | 7,200 | 60,358 | |||
Finning International, Inc. (b) | 17,300 | 367,048 | |||
First Capital Real Estate Investment Trust | 11,400 | 121,248 | |||
First Majestic Silver Corp. (a)(b) | 21,600 | 289,582 | |||
First National Financial Corp. | 2,400 | 78,141 | |||
FirstService Corp. | 4,500 | 615,377 | |||
Fortis, Inc. | 51,874 | 2,117,306 | |||
Fortuna Silver Mines, Inc. (a) | 21,600 | 177,344 | |||
Franco-Nevada Corp. | 20,915 | 2,620,121 | |||
Freehold Royalties, Ltd. (b) | 8,800 | 35,987 | |||
GDI Integrated Facility Services, Inc. (a) | 1,400 | 48,868 | |||
Genworth MI Canada, Inc. | 4,100 | 139,703 | |||
George Weston, Ltd. | 8,327 | 621,453 | |||
Gfl Environmental, Inc. | 20,200 | 588,400 | |||
Gibson Energy, Inc. | 16,600 | 267,893 | |||
Gildan Activewear, Inc. | 21,100 | 589,442 | |||
goeasy, Ltd. | 2,100 | 159,313 | |||
Gran Colombia Gold Corp. | 5,100 | 32,265 | |||
Granite Real Estate Investment Trust | 2,900 | 177,323 | |||
Great Canadian Gaming Corp. (a)(b) | 5,600 | 191,121 | |||
Great-West Lifeco, Inc. | 30,100 | 717,060 | |||
H&R Real Estate Investment Trust | 15,000 | 156,476 | |||
HLS Therapeutics, Inc. | 1,900 | 26,845 | |||
Home Capital Group, Inc. (a)(b) | 5,400 | 125,887 | |||
Hudbay Minerals, Inc. | 25,000 | 174,843 | |||
Husky Energy, Inc. (b) | 37,455 | 185,217 | |||
Hydro One, Ltd. (c) | 36,000 | 809,576 | |||
iA Financial Corp., Inc. | 11,400 | 493,761 | |||
IAMGOLD Corp. (a) | 48,500 | 177,783 | |||
IGM Financial, Inc. (b) | 9,600 | 260,044 | |||
Imperial Oil, Ltd. (b) | 27,400 | 519,611 | |||
Innergex Renewable Energy, Inc. (b) | 13,000 | 279,286 | |||
Intact Financial Corp. | 16,000 | 1,892,873 | |||
Inter Pipeline, Ltd. | 47,800 | 445,358 | |||
Interfor Corp. (a) | 7,200 | 134,336 | |||
InterRent Real Estate Investment Trust | 7,112 | 76,423 |
Security Description | Shares | Value | |||
Intertape Polymer Group, Inc. (b) | 8,100 | $ 153,480 | |||
Ivanhoe Mines, Ltd. Class A (a) | 67,900 | 365,615 | |||
Jamieson Wellness, Inc. | 5,900 | 167,321 | |||
Keyera Corp. (b) | 23,300 | 413,694 | |||
Killam Apartment Real Estate Investment Trust | 9,200 | 123,557 | |||
Kinaxis, Inc. (a) | 3,200 | 452,973 | |||
Kinross Gold Corp. | 137,000 | 1,004,380 | |||
Kirkland Lake Gold, Ltd. | 28,640 | 1,182,468 | |||
Knight Therapeutics, Inc. (a)(b) | 11,900 | 49,973 | |||
Labrador Iron Ore Royalty Corp. | 6,800 | 174,057 | |||
Largo Resources, Ltd. (a)(b) | 27,000 | 29,246 | |||
Lassonde Industries, Inc. Class A (b) | 300 | 40,745 | |||
Laurentian Bank of Canada (b) | 4,600 | 112,653 | |||
Lightspeed POS, Inc. (a) | 7,100 | 500,678 | |||
Linamar Corp. | 4,800 | 254,016 | |||
Lithium Americas Corp. (a) | 23,000 | 288,493 | |||
Loblaw Cos., Ltd. | 19,500 | 961,378 | |||
Lundin Gold, Inc. (a) | 7,200 | 61,771 | |||
MAG Silver Corp. (a)(b) | 8,500 | 173,870 | |||
Magna International, Inc. | 31,100 | 2,199,703 | |||
Manulife Financial Corp. | 212,500 | 3,777,963 | |||
Maple Leaf Foods, Inc. | 8,600 | 190,496 | |||
Martinrea International, Inc. | 8,400 | 97,978 | |||
Maverix Metals, Inc. | 11,300 | 62,177 | |||
MEG Energy Corp. (a)(b) | 28,700 | 100,247 | |||
Methanex Corp. (b) | 6,900 | 316,783 | |||
Metro, Inc. | 27,457 | 1,224,143 | |||
Minto Apartment Real Estate Investment Trust | 1,600 | 25,582 | |||
Morguard North American Residential Real Estate Investment Trust | 5,100 | 63,850 | |||
Morneau Shepell, Inc. | 7,100 | 172,930 | |||
MTY Food Group, Inc. (b) | 2,100 | 95,522 | |||
Mullen Group, Ltd. (b) | 9,800 | 83,846 | |||
National Bank of Canada | 37,500 | 2,108,713 | |||
New Gold, Inc. (a) | 68,900 | 151,429 | |||
New Pacific Metals Corp. (a) | 9,100 | 57,357 | |||
NexGen Energy, Ltd. (a) | 68,300 | 188,173 | |||
NFI Group, Inc. (b) | 6,000 | 113,454 | |||
Norbord, Inc. | 5,200 | 224,327 | |||
North West Co., Inc. (b) | 5,900 | 150,232 | |||
Northland Power, Inc. | 20,700 | 742,048 | |||
NorthWest Healthcare Properties Real Estate Investment Trust | 10,300 | 101,868 | |||
Novagold Resources, Inc. (a) | 26,200 | 253,363 | |||
Nutrien, Ltd. (b) | 62,418 | 3,000,375 | |||
Onex Corp. | 8,900 | 510,388 | |||
Open Text Corp. | 29,600 | 1,343,849 |
Security Description | Shares | Value | |||
Organigram Holdings, Inc. (a)(b) | 14,100 | $ 18,704 | |||
Orla Mining, Ltd. (a) | 14,600 | 78,615 | |||
Osisko Gold Royalties, Ltd. (b) | 12,833 | 162,477 | |||
Osisko Mining, Inc. (a) | 28,700 | 83,352 | |||
Pan American Silver Corp. | 23,000 | 792,543 | |||
Parex Resources, Inc. (a) | 15,200 | 209,030 | |||
Park Lawn Corp. (b) | 3,100 | 67,986 | |||
Parkland Corp. (b) | 15,800 | 500,912 | |||
Pason Systems, Inc. (b) | 21,600 | 133,601 | |||
Pembina Pipeline Corp. (b) | 59,848 | 1,413,991 | |||
Peyto Exploration & Development Corp. (b) | 27,200 | 62,342 | |||
Power Corp. of Canada | 60,953 | 1,398,474 | |||
PrairieSky Royalty, Ltd. (b) | 22,494 | 178,151 | |||
Premier Gold Mines, Ltd. (a)(b) | 61,100 | 144,357 | |||
Premium Brands Holdings Corp. | 3,800 | 300,451 | |||
Pretium Resources, Inc. (a) | 23,800 | 272,560 | |||
Quebecor, Inc. Class B | 18,800 | 483,429 | |||
Real Matters, Inc. (a) | 11,000 | 165,863 | |||
Recipe Unlimited Corp. | 1,800 | 23,666 | |||
Restaurant Brands International, Inc. | 31,546 | 1,927,178 | |||
Richelieu Hardware, Ltd. | 5,700 | 147,824 | |||
RioCan Real Estate Investment Trust | 16,100 | 211,676 | |||
Ritchie Bros Auctioneers, Inc. | 11,900 | 826,462 | |||
Rogers Communications, Inc. Class B | 38,800 | 1,804,779 | |||
Rogers Sugar, Inc. | 17,400 | 76,620 | |||
Roxgold, Inc. (a) | 34,500 | 43,599 | |||
Royal Bank of Canada | 157,000 | 12,889,035 | |||
Russel Metals, Inc. (b) | 6,600 | 117,754 | |||
Sabina Gold & Silver Corp. (a) | 54,400 | 140,484 | |||
Sandstorm Gold, Ltd. (a) | 26,400 | 188,986 | |||
Saputo, Inc. | 29,200 | 816,637 | |||
Savaria Corp. (b) | 7,800 | 88,531 | |||
Seabridge Gold, Inc. (a) | 5,500 | 115,612 | |||
Seven Generations Energy, Ltd. Class A (a) | 30,100 | 156,170 | |||
Shaw Communications, Inc. Class B | 51,008 | 894,442 | |||
Shopify, Inc. Class A (a) | 11,900 | 13,425,516 | |||
Sienna Senior Living, Inc. (b) | 7,100 | 78,802 | |||
Sierra Wireless, Inc. (a) | 7,300 | 106,119 | |||
Silvercorp Metals, Inc. (b) | 18,500 | 123,575 | |||
SilverCrest Metals, Inc. (a)(b) | 11,200 | 124,747 | |||
Slate Grocery REIT | 2,100 | 18,577 | |||
Sleep Country Canada Holdings, Inc. (c) | 3,500 | 72,720 | |||
SmartCentres Real Estate Investment Trust | 7,700 | 139,495 | |||
SNC-Lavalin Group, Inc. (b) | 18,700 | 318,957 |
Security Description | Shares | Value | |||
Spin Master Corp. (a)(c) | 3,200 | $ 72,867 | |||
Sprott, Inc. (b) | 2,970 | 86,163 | |||
SSR Mining, Inc. (a) | 23,304 | 467,543 | |||
Stantec, Inc. (b) | 12,400 | 401,783 | |||
Stelco Holdings, Inc. | 3,300 | 58,877 | |||
Stella-Jones, Inc. | 6,300 | 228,857 | |||
Summit Industrial Income REIT | 7,200 | 77,143 | |||
Sun Life Financial, Inc. | 64,100 | 2,847,771 | |||
Suncor Energy, Inc. | 167,164 | 2,801,375 | |||
SunOpta, Inc. (a) | 7,200 | 84,038 | |||
Superior Plus Corp. (b) | 18,700 | 178,780 | |||
TC Energy Corp. (b) | 103,036 | 4,185,332 | |||
Teck Resources, Ltd. Class B | 51,700 | 937,418 | |||
TELUS Corp. | 45,826 | 906,808 | |||
Teranga Gold Corp. (a) | 14,700 | 157,615 | |||
TFI International, Inc. | 10,200 | 524,651 | |||
Thomson Reuters Corp. | 19,530 | 1,597,045 | |||
Timbercreek Financial Corp. (b) | 17,500 | 118,819 | |||
TMX Group, Ltd. | 6,500 | 648,673 | |||
Topicus.com, Inc. (a) | 4,091 | 15,455 | |||
Torex Gold Resources, Inc. (a) | 9,100 | 136,357 | |||
Toromont Industries, Ltd. | 9,000 | 630,141 | |||
Toronto-Dominion Bank | 199,057 | 11,237,190 | |||
Tourmaline Oil Corp. | 27,400 | 369,061 | |||
TransAlta Corp. | 29,400 | 223,154 | |||
TransAlta Renewables, Inc. (b) | 12,500 | 213,501 | |||
Transcontinental, Inc. Class A (b) | 7,500 | 120,742 | |||
Tricon Residential, Inc. | 19,900 | 178,538 | |||
Trillium Therapeutics, Inc. (a)(b) | 9,100 | 133,786 | |||
Trisura Group, Ltd. (a) | 900 | 62,922 | |||
Uranium Participation Corp. (a) | 12,500 | 48,175 | |||
Vermilion Energy, Inc. | 16,600 | 74,009 | |||
Victoria Gold Corp. (a) | 3,000 | 28,705 | |||
Wallbridge Mining Co., Ltd. (a)(b) | 46,500 | 28,469 | |||
Well Health Technologies Corp. (a) | 11,700 | 73,929 | |||
Wesdome Gold Mines, Ltd. (a) | 14,700 | 122,538 | |||
West Fraser Timber Co., Ltd. (b) | 6,000 | 385,149 | |||
Westshore Terminals Investment Corp. (b) | 4,200 | 51,396 | |||
Whitecap Resources, Inc. (b) | 42,000 | 160,220 | |||
Winpak, Ltd. | 3,500 | 117,637 | |||
WPT Industrial Real Estate Investment Trust | 5,700 | 82,365 | |||
WSP Global, Inc. (b) | 12,400 | 1,173,717 | |||
Yamana Gold, Inc. | 114,200 | 651,675 | |||
197,965,153 |
Security Description | Shares | Value | |||
CAYMAN ISLANDS — 0.0% (f) | |||||
China Online Education Group ADR (a)(b) | 900 | $ 24,399 | |||
Endeavour Mining Corp. (a) | 15,665 | 364,205 | |||
388,604 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 335,410 | 55,611 | |||
Aguas Andinas SA Class A | 278,415 | 89,732 | |||
Antofagasta PLC | 42,897 | 844,681 | |||
Banco de Chile | 4,839,872 | 494,205 | |||
Banco de Credito e Inversiones SA | 5,544 | 217,624 | |||
Banco Santander Chile | 7,022,340 | 337,033 | |||
CAP SA | 8,595 | 115,467 | |||
Cencosud SA | 146,425 | 260,700 | |||
Cencosud Shopping SA | 54,486 | 87,308 | |||
Cia Cervecerias Unidas SA | 15,736 | 116,209 | |||
Cia Sud Americana de Vapores SA (a) | 1,190,230 | 48,028 | |||
Colbun SA | 840,183 | 148,407 | |||
Embotelladora Andina SA Class B, Preference Shares | 37,793 | 97,288 | |||
Empresa Nacional de Telecomunicaciones SA | 16,078 | 99,772 | |||
Empresas CMPC SA | 119,779 | 315,252 | |||
Empresas COPEC SA | 41,519 | 421,326 | |||
Enel Americas SA | 3,645,404 | 595,219 | |||
Enel Chile SA | 2,837,875 | 220,479 | |||
Engie Energia Chile SA | 71,134 | 87,103 | |||
Falabella SA | 77,203 | 285,776 | |||
Forus SA | 37,877 | 64,506 | |||
Grupo Security SA | 204,548 | 37,982 | |||
Inversiones Aguas Metropolitanas SA | 41,746 | 34,647 | |||
Inversiones La Construccion SA | 3,247 | 21,479 | |||
Itau CorpBanca | 13,434,953 | 45,193 | |||
Lundin Mining Corp. | 70,300 | 623,540 | |||
Parque Arauco SA | 67,993 | 111,296 | |||
Ripley Corp. SA | 96,292 | 29,951 | |||
SMU SA | 287,875 | 43,353 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 12,176 | 592,948 | |||
SONDA SA | 96,773 | 59,448 | |||
Vina Concha y Toro SA | 42,844 | 74,394 | |||
6,675,957 | |||||
CHINA — 10.9% | |||||
111, Inc. ADR (a) | 4,800 | 33,360 | |||
21Vianet Group, Inc. ADR (a) | 14,400 | 499,536 | |||
360 DigiTech, Inc. ADR (a) | 10,000 | 117,900 | |||
360 Security Technology, Inc. Class A | 27,600 | 66,741 | |||
3SBio, Inc. (a)(c) | 135,500 | 123,550 |
Security Description | Shares | Value | |||
51job, Inc. ADR (a) | 3,100 | $ 217,000 | |||
AAC Technologies Holdings, Inc. | 74,000 | 414,194 | |||
AECC Aviation Power Co., Ltd. Class A | 35,700 | 326,137 | |||
Agile Group Holdings, Ltd. | 166,000 | 220,938 | |||
Agricultural Bank of China, Ltd. Class A | 405,600 | 196,037 | |||
Agricultural Bank of China, Ltd. Class H | 2,926,000 | 1,071,705 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 22,580 | 260,290 | |||
Air China, Ltd. Class A | 43,000 | 49,575 | |||
Air China, Ltd. Class H | 186,000 | 146,327 | |||
Airtac International Group | 16,000 | 512,492 | |||
AK Medical Holdings, Ltd. (c) | 34,000 | 59,021 | |||
Alibaba Group Holding, Ltd. ADR (a) | 209,100 | 48,663,843 | |||
Alibaba Health Information Technology, Ltd. (a) | 441,500 | 1,303,914 | |||
A-Living Smart City Services Co., Ltd. (c) | 52,750 | 234,026 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 84,600 | 47,270 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 462,000 | 163,258 | |||
Anhui Conch Cement Co., Ltd. Class A | 22,500 | 178,777 | |||
Anhui Conch Cement Co., Ltd. Class H | 139,500 | 873,466 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 2,100 | 87,922 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 9,900 | 137,880 | |||
ANTA Sports Products, Ltd. | 120,000 | 1,902,023 | |||
Asia Cement China Holdings Corp. | 42,500 | 38,752 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 5,600 | 257,853 | |||
Autobio Diagnostics Co., Ltd. Class A | 2,800 | 62,571 | |||
Autohome, Inc. ADR | 6,900 | 687,378 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 7,100 | 85,561 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A | 13,900 | 167,271 | |||
AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A | 17,000 | 95,982 | |||
AviChina Industry & Technology Co., Ltd. Class H | 321,000 | 223,967 | |||
Baidu, Inc. ADR (a) | 30,200 | 6,530,448 | |||
Bank of Beijing Co., Ltd. Class A | 187,700 | 139,836 | |||
Bank of Chengdu Co., Ltd. Class A | 77,900 | 127,942 | |||
Bank of China, Ltd. Class A | 145,400 | 71,171 |
Security Description | Shares | Value | |||
Bank of China, Ltd. Class H | 8,629,000 | $ 2,949,096 | |||
Bank of Communications Co., Ltd. Class A | 200,000 | 137,917 | |||
Bank of Communications Co., Ltd. Class H | 1,112,000 | 587,992 | |||
Bank of Hangzhou Co., Ltd. Class A | 58,900 | 135,268 | |||
Bank of Jiangsu Co., Ltd. Class A | 156,780 | 131,763 | |||
Bank of Nanjing Co., Ltd. Class A | 46,000 | 57,211 | |||
Bank of Ningbo Co., Ltd. Class A | 33,300 | 181,143 | |||
Bank of Shanghai Co., Ltd. Class A | 66,800 | 80,613 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 100,700 | 92,227 | |||
Baozun, Inc. ADR (a)(b) | 6,500 | 223,275 | |||
BeiGene, Ltd. ADR (a)(b) | 5,100 | 1,317,789 | |||
Beijing Capital International Airport Co., Ltd. Class H | 160,000 | 133,508 | |||
Beijing Enterprises Holdings, Ltd. | 58,000 | 189,248 | |||
Beijing Enterprises Urban Resources Group, Ltd. (a) | 196,000 | 56,117 | |||
Beijing Enterprises Water Group, Ltd. (a) | 662,000 | 266,376 | |||
Beijing Jingneng Clean Energy Co., Ltd. Class H | 138,000 | 45,206 | |||
Beijing New Building Materials PLC Class A | 10,400 | 64,113 | |||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. Class A | 13,200 | 78,834 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 10,900 | 121,707 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 12,600 | 80,876 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 70,200 | 61,160 | |||
BEST, Inc. ADR (a)(b) | 26,700 | 54,468 | |||
BGI Genomics Co., Ltd. Class A | 2,500 | 49,472 | |||
Bilibili, Inc. ADR (a)(b) | 13,000 | 1,114,360 | |||
BOC Hong Kong Holdings, Ltd. | 395,500 | 1,198,663 | |||
BOE Technology Group Co., Ltd. Class A | 220,700 | 203,828 | |||
Bosideng International Holdings, Ltd. (b) | 324,000 | 165,053 | |||
Bright Scholar Education Holdings, Ltd. ADR | 1,500 | 8,640 | |||
Brilliance China Automotive Holdings, Ltd. | 310,000 | 282,260 | |||
Budweiser Brewing Co. APAC, Ltd. (c) | 183,400 | 605,511 | |||
BYD Co., Ltd. Class A | 11,600 | 346,930 |
Security Description | Shares | Value | |||
BYD Co., Ltd. Class H (b) | 68,500 | $ 1,795,134 | |||
BYD Electronic International Co., Ltd. (b) | 72,000 | 377,000 | |||
C&D International Investment Group, Ltd. | 30,000 | 46,429 | |||
C&D Property Management Group Co., Ltd. (a) | 30,000 | 11,994 | |||
Caitong Securities Co., Ltd. Class A | 23,200 | 45,174 | |||
CanSino Biologics, Inc. Class H (a)(c) | 6,000 | 136,577 | |||
Central China Real Estate, Ltd. | 89,000 | 41,321 | |||
Centre Testing International Group Co., Ltd. Class A | 42,800 | 180,314 | |||
CGN Power Co., Ltd. Class H (c) | 1,191,600 | 256,643 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 3,200 | 221,116 | |||
Changjiang Securities Co., Ltd. Class A | 35,800 | 46,288 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 4,600 | 141,965 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 24,900 | 142,770 | |||
China Aoyuan Group, Ltd. | 128,000 | 124,470 | |||
China Avionics Systems Co., Ltd. Class A | 35,100 | 106,165 | |||
China Bohai Bank Co., Ltd. Class H (a)(c) | 260,000 | 170,006 | |||
China Cinda Asset Management Co., Ltd. Class H | 1,059,592 | 200,881 | |||
China CITIC Bank Corp., Ltd. Class H | 912,000 | 386,966 | |||
China Common Rich Renewable Energy Investment, Ltd. (a)(d) | 68,000 | — | |||
China Communications Construction Co., Ltd. Class H | 386,000 | 166,769 | |||
China Communications Services Corp., Ltd. Class H | 250,000 | 110,268 | |||
China Conch Venture Holdings, Ltd. | 189,500 | 921,368 | |||
China Construction Bank Corp. Class A | 52,100 | 50,363 | |||
China Construction Bank Corp. Class H | 10,692,000 | 8,121,885 | |||
China East Education Holdings, Ltd. (b)(c) | 43,000 | 103,371 | |||
China Eastern Airlines Corp., Ltd. Class A | 60,800 | 43,799 | |||
China Education Group Holdings, Ltd. | 64,000 | 123,314 |
Security Description | Shares | Value | |||
China Everbright Bank Co., Ltd. Class A | 257,500 | $ 158,147 | |||
China Everbright Bank Co., Ltd. Class H | 267,300 | 101,696 | |||
China Everbright Environment Group, Ltd. | 361,518 | 204,215 | |||
China Everbright, Ltd. | 90,000 | 120,482 | |||
China Evergrande Group (b) | 193,000 | 370,874 | |||
China Feihe, Ltd. (c) | 109,000 | 255,285 | |||
China Film Co., Ltd. Class A | 32,200 | 61,757 | |||
China Fortune Land Development Co., Ltd. Class A | 21,320 | 42,432 | |||
China Galaxy Securities Co., Ltd. Class A | 27,500 | 52,954 | |||
China Galaxy Securities Co., Ltd. Class H | 366,800 | 229,905 | |||
China Gas Holdings, Ltd. | 290,200 | 1,152,738 | |||
China Greatwall Technology Group Co., Ltd. Class A | 33,600 | 98,214 | |||
China Harmony Auto Holding, Ltd. (b) | 85,500 | 40,689 | |||
China Hongqiao Group, Ltd. | 206,000 | 188,629 | |||
China Huarong Asset Management Co., Ltd. Class H (c) | 1,024,000 | 113,575 | |||
China International Capital Corp., Ltd. Class H (a)(c) | 136,000 | 368,333 | |||
China Jinmao Holdings Group, Ltd. | 754,000 | 347,154 | |||
China Jushi Co., Ltd. Class A | 22,500 | 69,128 | |||
China Kepei Education Group, Ltd. | 64,000 | 44,571 | |||
China Lesso Group Holdings, Ltd. | 102,000 | 159,699 | |||
China Life Insurance Co., Ltd. Class A | 15,100 | 89,229 | |||
China Life Insurance Co., Ltd. Class H | 850,000 | 1,874,553 | |||
China Literature, Ltd. (a)(b)(c) | 32,600 | 255,835 | |||
China Logistics Property Holdings Co., Ltd. (a)(b)(c) | 141,000 | 82,558 | |||
China Longyuan Power Group Corp., Ltd. Class H | 511,000 | 512,064 | |||
China Maple Leaf Educational Systems, Ltd. (b) | 136,000 | 35,781 | |||
China Medical System Holdings, Ltd. | 144,000 | 160,828 | |||
China Meidong Auto Holdings, Ltd. | 60,000 | 243,750 | |||
China Mengniu Dairy Co., Ltd. (a) | 296,000 | 1,786,571 | |||
China Merchants Bank Co., Ltd. Class A | 133,600 | 903,807 | |||
China Merchants Bank Co., Ltd. Class H | 426,000 | 2,692,082 |
Security Description | Shares | Value | |||
China Merchants Energy Shipping Co., Ltd. Class A | 51,000 | $ 44,354 | |||
China Merchants Port Holdings Co., Ltd. | 158,151 | 193,562 | |||
China Merchants Securities Co., Ltd. Class A | 40,300 | 144,783 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 32,300 | 66,075 | |||
China Minsheng Banking Corp., Ltd. Class A | 200,000 | 160,082 | |||
China Minsheng Banking Corp., Ltd. Class H | 639,600 | 364,597 | |||
China Mobile, Ltd. | 668,000 | 3,807,863 | |||
China Molybdenum Co., Ltd. Class A | 95,900 | 92,259 | |||
China Molybdenum Co., Ltd. Class H | 354,000 | 231,013 | |||
China National Building Material Co., Ltd. Class H | 396,000 | 475,985 | |||
China National Nuclear Power Co., Ltd. Class A | 70,800 | 53,618 | |||
China National Software & Service Co., Ltd. Class A | 8,900 | 107,896 | |||
China New Higher Education Group, Ltd. (c) | 79,000 | 49,108 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A (a) | 23,500 | 47,350 | |||
China Oilfield Services, Ltd. Class H | 186,000 | 157,362 | |||
China Oriental Group Co., Ltd. | 192,000 | 51,009 | |||
China Overseas Grand Oceans Group, Ltd. | 121,000 | 64,917 | |||
China Overseas Land & Investment, Ltd. | 407,500 | 886,069 | |||
China Overseas Property Holdings, Ltd. | 105,000 | 54,708 | |||
China Pacific Insurance Group Co., Ltd. Class A | 40,300 | 238,203 | |||
China Pacific Insurance Group Co., Ltd. Class H | 330,000 | 1,291,681 | |||
China Petroleum & Chemical Corp. Class A | 119,800 | 74,314 | |||
China Petroleum & Chemical Corp. Class H | 2,614,000 | 1,169,816 | |||
China Power International Development, Ltd. | 606,000 | 129,737 | |||
China Railway Construction Corp., Ltd. Class A | 49,900 | 60,679 | |||
China Railway Construction Corp., Ltd. Class H | 177,000 | 96,788 | |||
China Railway Group, Ltd. Class A | 110,500 | 89,636 | |||
China Railway Group, Ltd. Class H | 423,000 | 186,573 |
Security Description | Shares | Value | |||
China Resources Beer Holdings Co., Ltd. | 162,721 | $ 1,498,388 | |||
China Resources Cement Holdings, Ltd. | 276,000 | 308,255 | |||
China Resources Gas Group, Ltd. | 94,000 | 500,074 | |||
China Resources Land, Ltd. | 343,333 | 1,416,929 | |||
China Resources Medical Holdings Co., Ltd. | 86,000 | 73,868 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 177,000 | 90,853 | |||
China Resources Power Holdings Co., Ltd. | 222,055 | 239,128 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 17,300 | 66,413 | |||
China SCE Group Holdings, Ltd. | 147,000 | 60,667 | |||
China Shenhua Energy Co., Ltd. Class A | 23,900 | 66,256 | |||
China Shenhua Energy Co., Ltd. Class H | 363,000 | 683,506 | |||
China Shipbuilding Industry Co., Ltd. Class A (a) | 124,200 | 80,102 | |||
China South City Holdings, Ltd. | 476,000 | 70,597 | |||
China South Publishing & Media Group Co., Ltd. Class A | 41,182 | 60,410 | |||
China Southern Airlines Co., Ltd. Class A (a) | 56,500 | 51,833 | |||
China Southern Airlines Co., Ltd. Class H (a)(b) | 192,000 | 114,400 | |||
China Spacesat Co., Ltd. Class A | 18,400 | 91,141 | |||
China State Construction Engineering Corp., Ltd. Class A | 227,800 | 174,269 | |||
China State Construction International Holdings, Ltd. | 230,750 | 131,537 | |||
China Suntien Green Energy Corp., Ltd. Class H | 177,000 | 54,329 | |||
China Taiping Insurance Holdings Co., Ltd. | 168,200 | 303,260 | |||
China Telecom Corp., Ltd. Class H | 1,410,000 | 390,967 | |||
China Tobacco International HK Co., Ltd. (b) | 23,000 | 44,079 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 12,500 | 543,453 | |||
China Tower Corp., Ltd. Class H (c) | 5,062,000 | 744,234 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 238,000 | 117,867 | |||
China TransInfo Technology Co., Ltd. Class A | 19,700 | 57,978 |
Security Description | Shares | Value | |||
China Unicom Hong Kong, Ltd. | 626,000 | $ 359,267 | |||
China United Network Communications, Ltd. Class A | 174,400 | 119,727 | |||
China Vanke Co., Ltd. Class A | 59,600 | 263,293 | |||
China Vanke Co., Ltd. Class H | 246,600 | 850,745 | |||
China Yangtze Power Co., Ltd. Class A | 134,800 | 397,554 | |||
China Yuchai International, Ltd. | 2,300 | 37,582 | |||
China Yuhua Education Corp., Ltd. (c) | 132,000 | 114,911 | |||
China Zhongwang Holdings, Ltd. (a)(b) | 231,200 | 43,533 | |||
Chinasoft International, Ltd. | 224,000 | 249,889 | |||
Chongqing Brewery Co., Ltd. Class A | 7,200 | 131,872 | |||
Chongqing Changan Automobile Co., Ltd. Class A (a) | 25,000 | 84,197 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 257,000 | 104,738 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 10,200 | 232,225 | |||
CIFI Holdings Group Co., Ltd. | 323,802 | 274,364 | |||
CITIC Securities Co., Ltd. Class A | 68,200 | 308,633 | |||
CITIC Securities Co., Ltd. Class H | 291,000 | 656,020 | |||
CITIC Telecom International Holdings, Ltd. | 132,000 | 41,538 | |||
CITIC, Ltd. | 622,000 | 440,398 | |||
CNOOC, Ltd. | 1,959,000 | 1,814,018 | |||
COFCO Meat Holdings, Ltd. | 220,000 | 76,323 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 14,300 | 772,840 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 62,000 | 116,525 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 280,500 | 336,433 | |||
COSCO SHIPPING Ports, Ltd. | 192,581 | 133,870 | |||
Country Garden Holdings Co., Ltd. | 847,115 | 1,171,169 | |||
Country Garden Services Holdings Co., Ltd. | 154,000 | 1,041,715 | |||
CRRC Corp., Ltd. Class A | 109,400 | 89,417 | |||
CRRC Corp., Ltd. Class H | 344,350 | 118,575 | |||
CSC Financial Co., Ltd. Class A | 18,700 | 120,893 | |||
CSPC Pharmaceutical Group, Ltd. | 977,280 | 999,482 | |||
CStone Pharmaceuticals (a)(c) | 54,500 | 70,850 |
Security Description | Shares | Value | |||
Dali Foods Group Co., Ltd. (c) | 266,000 | $ 151,974 | |||
Daqin Railway Co., Ltd. Class A | 79,300 | 78,853 | |||
Daqo New Energy Corp. ADR (a) | 5,500 | 315,480 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 4,200 | 50,652 | |||
Dongfang Electric Corp., Ltd. Class A | 54,100 | 83,024 | |||
Dongfeng Motor Group Co., Ltd. Class H | 278,000 | 324,113 | |||
Dongyue Group, Ltd. | 106,000 | 84,074 | |||
DouYu International Holdings, Ltd. ADR (a) | 10,400 | 115,024 | |||
East Money Information Co., Ltd. Class A | 55,420 | 264,447 | |||
E-House China Enterprise Holdings, Ltd. | 45,000 | 41,263 | |||
ENN Energy Holdings, Ltd. | 89,200 | 1,309,151 | |||
ESR Cayman, Ltd. (a)(c) | 181,000 | 648,942 | |||
Eve Energy Co., Ltd. Class A | 13,306 | 166,923 | |||
Ever Sunshine Lifestyle Services Group, Ltd. | 80,000 | 175,603 | |||
Everbright Securities Co., Ltd. Class A | 35,500 | 101,200 | |||
Fanhua, Inc. ADR (b) | 4,800 | 57,792 | |||
Far East Horizon, Ltd. | 238,000 | 245,248 | |||
FIH Mobile, Ltd. (a)(b) | 297,000 | 36,388 | |||
Financial Street Holdings Co., Ltd. Class A | 118,527 | 117,676 | |||
FinVolution Group ADR (b) | 18,700 | 49,929 | |||
Focus Media Information Technology Co., Ltd. Class A | 72,000 | 109,386 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 17,256 | 532,662 | |||
Fosun International, Ltd. | 260,500 | 409,202 | |||
Founder Securities Co., Ltd. Class A (a) | 44,900 | 71,670 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 33,000 | 69,539 | |||
Fu Shou Yuan International Group, Ltd. | 81,000 | 76,050 | |||
Fufeng Group, Ltd. | 138,000 | 51,613 | |||
Futu Holdings, Ltd. ADR (a)(b) | 3,600 | 164,700 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 12,300 | 90,972 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (c) | 52,800 | 290,086 | |||
Ganfeng Lithium Co., Ltd. Class A | 6,100 | 95,021 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 1,600 | 104,916 | |||
GDS Holdings, Ltd. ADR (a) | 10,000 | 936,400 | |||
Geely Automobile Holdings, Ltd. | 641,000 | 2,190,718 |
Security Description | Shares | Value | |||
Gemdale Corp. Class A | 24,500 | $ 50,911 | |||
Gemdale Properties & Investment Corp., Ltd. | 432,000 | 61,843 | |||
Genertec Universal Medical Group Co., Ltd. (c) | 93,000 | 69,445 | |||
Genetron Holdings, Ltd. ADR (a) | 1,900 | 26,600 | |||
Genscript Biotech Corp. (a)(b) | 94,000 | 136,748 | |||
GF Securities Co., Ltd. Class A | 32,100 | 80,440 | |||
GF Securities Co., Ltd. Class H | 178,200 | 251,884 | |||
Giant Network Group Co., Ltd. Class A | 26,300 | 70,561 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 2,520 | 76,609 | |||
Glodon Co., Ltd. Class A | 9,200 | 111,505 | |||
GoerTek, Inc. Class A | 28,300 | 162,569 | |||
GOME Retail Holdings, Ltd. (a)(b) | 972,000 | 116,582 | |||
Great Wall Motor Co., Ltd. Class A | 14,400 | 83,807 | |||
Great Wall Motor Co., Ltd. Class H | 411,000 | 1,409,958 | |||
Greenland Holdings Corp., Ltd. Class A | 49,700 | 44,600 | |||
Greentown China Holdings, Ltd. (b) | 90,000 | 131,625 | |||
Greentown Service Group Co., Ltd. | 134,000 | 165,386 | |||
GreenTree Hospitality Group, Ltd. ADR | 2,500 | 33,500 | |||
GSX Techedu, Inc. ADR (a)(b) | 8,500 | 439,535 | |||
Guangdong Haid Group Co., Ltd. Class A | 8,600 | 86,706 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A (a) | 43,700 | 33,834 | |||
Guangdong Investment, Ltd. | 316,000 | 568,925 | |||
Guanghui Energy Co., Ltd. Class A (a) | 204,300 | 88,995 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 316,800 | 352,188 | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 51,100 | 85,184 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 6,600 | 130,158 | |||
Guangzhou R&F Properties Co., Ltd. Class H | 180,400 | 231,961 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 8,307 | 147,084 |
Security Description | Shares | Value | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 7,900 | $ 126,222 | |||
Guosen Securities Co., Ltd. Class A | 26,700 | 56,058 | |||
Guotai Junan Securities Co., Ltd. Class A | 35,300 | 95,250 | |||
Haidilao International Holding, Ltd. (c) | 81,000 | 623,651 | |||
Haier Smart Home Co., Ltd. Class A | 40,800 | 183,443 | |||
Haier Smart Home Co., Ltd. Class H (a)(b) | 211,200 | 765,390 | |||
Hainan Meilan International Airport Co., Ltd. Class H (a) | 25,000 | 132,515 | |||
Haitian International Holdings, Ltd. | 76,000 | 262,682 | |||
Haitong Securities Co., Ltd. Class A | 61,800 | 122,332 | |||
Haitong Securities Co., Ltd. Class H | 354,800 | 317,102 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 9,400 | 123,565 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 45,800 | 341,985 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 18,900 | 118,637 | |||
Hangzhou Steam Turbine Co., Ltd. Class B | 113,200 | 167,307 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 7,900 | 196,520 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (a)(c) | 13,200 | 305,577 | |||
Hansoh Pharmaceutical Group Co., Ltd. (a)(c) | 144,000 | 698,285 | |||
Health & Happiness H&H International Holdings, Ltd. | 22,500 | 83,281 | |||
Hebei Construction Group Corp., Ltd. Class H | 100,000 | 54,554 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 12,200 | 83,153 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 13,300 | 96,096 | |||
Hengan International Group Co., Ltd. | 65,000 | 460,223 | |||
Hengli Petrochemical Co., Ltd. Class A | 31,800 | 136,908 | |||
HengTen Networks Group, Ltd. (a)(b) | 2,024,000 | 69,173 | |||
Hengyi Petrochemical Co., Ltd. Class A | 49,790 | 98,099 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 3,600 | 68,701 |
Security Description | Shares | Value | |||
Hope Education Group Co., Ltd. (c) | 186,000 | $ 51,814 | |||
Hopson Development Holdings, Ltd. | 70,000 | 178,389 | |||
Hua Hong Semiconductor, Ltd. (a)(b)(c) | 47,000 | 266,706 | |||
Huadong Medicine Co., Ltd. Class A | 11,260 | 46,034 | |||
Hualan Biological Engineering, Inc. Class A | 28,860 | 187,642 | |||
Huami Corp. ADR (a)(b) | 5,700 | 67,545 | |||
Huaneng Power International, Inc. Class H | 478,000 | 174,460 | |||
Huangshan Tourism Development Co., Ltd. Class B | 20,400 | 15,178 | |||
Huatai Securities Co., Ltd. Class A | 34,600 | 95,918 | |||
Huatai Securities Co., Ltd. Class H (c) | 181,200 | 285,102 | |||
Huaxi Securities Co., Ltd. Class A | 50,700 | 97,394 | |||
Huaxia Bank Co., Ltd. Class A | 91,800 | 88,315 | |||
Huayu Automotive Systems Co., Ltd. Class A | 18,000 | 79,850 | |||
Huazhu Group, Ltd. ADR | 18,100 | 815,043 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 70,600 | 52,923 | |||
Hundsun Technologies, Inc. Class A | 5,720 | 92,360 | |||
HUYA, Inc. ADR (a)(b) | 7,500 | 149,475 | |||
iClick Interactive Asia Group, Ltd. ADR (a) | 5,700 | 48,678 | |||
Iflytek Co., Ltd. Class A | 11,900 | 74,862 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 345,400 | 265,298 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,807,000 | 4,415,769 | |||
Industrial Bank Co., Ltd. Class A | 134,400 | 431,750 | |||
Industrial Securities Co., Ltd. Class A | 42,900 | 57,318 | |||
INESA Intelligent Tech, Inc. Class B | 112,900 | 50,692 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (a) | 292,000 | 52,587 | |||
Inner Mongolia Eerduosi Resourses Co., Ltd. Class B | 87,500 | 84,962 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 219,500 | 167,244 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 34,200 | 233,575 |
Security Description | Shares | Value | |||
Inner Mongolia Yitai Coal Co., Ltd. Class B | 174,300 | $ 97,608 | |||
InnoCare Pharma, Ltd. (a)(c) | 28,000 | 48,678 | |||
Innovent Biologics, Inc. (a)(c) | 110,500 | 1,169,293 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 7,900 | 32,686 | |||
Intco Medical Technology Co., Ltd. Class A | 5,000 | 129,413 | |||
iQIYI, Inc. ADR (a)(b) | 30,800 | 538,384 | |||
Jafron Biomedical Co., Ltd. Class A | 9,500 | 99,173 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 4,100 | 44,498 | |||
JD Health International, Inc. (a)(c) | 24,150 | 467,187 | |||
JD.com, Inc. ADR (a) | 95,500 | 8,394,450 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 54,700 | 62,138 | |||
Jiangsu Expressway Co., Ltd. Class H | 158,000 | 176,668 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 13,468 | 234,257 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 34,004 | 583,391 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 7,700 | 68,008 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 11,900 | 432,266 | |||
Jiangxi Copper Co., Ltd. Class H | 121,000 | 190,071 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 25,800 | 67,671 | |||
Jiayuan International Group, Ltd. | 111,815 | 44,271 | |||
Jinke Properties Group Co., Ltd. Class A | 41,500 | 45,290 | |||
JinkoSolar Holding Co., Ltd. ADR (a) | 4,000 | 247,480 | |||
Jinxin Fertility Group, Ltd. (c) | 140,000 | 285,278 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 37,500 | 120,581 | |||
Jiumaojiu International Holdings, Ltd. (a)(c) | 32,000 | 97,397 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A (a) | 34,900 | 97,555 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. Class A | 5,170 | 53,040 | |||
JOYY, Inc. ADR | 6,800 | 543,864 | |||
Kaisa Group Holdings, Ltd. (a) | 292,000 | 144,233 | |||
Kama Co., Ltd. Class B (a) | 67,100 | 25,766 | |||
KE Holdings, Inc. ADR (a) | 10,600 | 652,324 | |||
Kerry Logistics Network, Ltd. | 59,000 | 129,355 | |||
Kingboard Holdings, Ltd. | 88,000 | 371,119 |
Security Description | Shares | Value | |||
Kingdee International Software Group Co., Ltd. (a) | 261,000 | $ 1,063,678 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 16,800 | 44,323 | |||
Kingsoft Cloud Holdings, Ltd. ADR (a)(b) | 6,700 | 291,785 | |||
Kingsoft Corp., Ltd. | 88,000 | 567,460 | |||
Konka Group Co., Ltd. Class B | 8,900 | 2,835 | |||
Koolearn Technology Holding, Ltd. (a)(b)(c) | 21,500 | 77,362 | |||
Kunlun Energy Co., Ltd. | 416,000 | 359,460 | |||
Kweichow Moutai Co., Ltd. Class A | 8,500 | 2,614,116 | |||
KWG Group Holdings, Ltd. | 202,000 | 275,626 | |||
KWG Living Group Holdings, Ltd. (a) | 67,000 | 54,437 | |||
Lee & Man Paper Manufacturing, Ltd. | 156,000 | 127,756 | |||
Lenovo Group, Ltd. | 868,000 | 819,433 | |||
Lens Technology Co., Ltd. Class A | 26,800 | 126,272 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 9,700 | 40,582 | |||
LexinFintech Holdings, Ltd. ADR (a)(b) | 10,600 | 71,020 | |||
Li Ning Co., Ltd. | 239,000 | 1,642,887 | |||
Liaoning Cheng Da Co., Ltd. Class A | 26,500 | 99,202 | |||
Lifetech Scientific Corp. (a) | 376,000 | 215,790 | |||
Lingyi iTech Guangdong Co. Class A | 50,400 | 93,017 | |||
Logan Group Co., Ltd. | 129,000 | 211,289 | |||
Lomon Billions Group Co., Ltd. Class A | 11,000 | 52,099 | |||
Longfor Group Holdings, Ltd. (c) | 201,500 | 1,179,814 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 24,200 | 343,445 | |||
Lonking Holdings, Ltd. | 174,000 | 53,857 | |||
Lu Thai Textile Co., Ltd. Class B | 49,300 | 24,860 | |||
Lufax Holding, Ltd. ADR (a) | 24,300 | 345,060 | |||
Luxshare Precision Industry Co., Ltd. Class A | 51,868 | 448,051 | |||
Luye Pharma Group, Ltd. (b)(c) | 154,500 | 71,931 | |||
Luzhou Laojiao Co., Ltd. Class A | 9,000 | 313,306 | |||
Mango Excellent Media Co., Ltd. Class A | 9,700 | 108,248 | |||
Maoyan Entertainment (a)(b)(c) | 41,600 | 65,669 | |||
Maxscend Microelectronics Co., Ltd. Class A | 1,000 | 87,821 |
Security Description | Shares | Value | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (a) | 24,000 | $ 41,855 | |||
Meitu, Inc. (a)(c) | 176,500 | 32,779 | |||
Meituan Class B (a) | 395,800 | 15,038,037 | |||
Metallurgical Corp. of China, Ltd. Class A | 116,300 | 48,871 | |||
Microport Scientific Corp. | 97,233 | 526,051 | |||
Minth Group, Ltd. | 78,000 | 411,434 | |||
MMG, Ltd. (a) | 212,000 | 92,140 | |||
Momo, Inc. ADR | 17,200 | 240,112 | |||
Muyuan Foods Co., Ltd. Class A | 24,017 | 285,025 | |||
NanJi E-Commerce Co., Ltd. Class A | 28,100 | 59,170 | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 26,130 | 141,295 | |||
Nanjing Securities Co., Ltd. Class A | 23,900 | 45,139 | |||
NARI Technology Co., Ltd. Class A | 23,700 | 96,928 | |||
NAURA Technology Group Co., Ltd. Class A | 4,000 | 111,282 | |||
NetEase, Inc. ADR | 46,000 | 4,405,420 | |||
New China Life Insurance Co., Ltd. Class A | 11,300 | 100,831 | |||
New China Life Insurance Co., Ltd. Class H | 95,100 | 371,012 | |||
New Hope Liuhe Co., Ltd. Class A | 42,400 | 146,192 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 16,900 | 3,140,189 | |||
Nexteer Automotive Group, Ltd. | 84,000 | 90,242 | |||
Ninestar Corp. Class A | 16,800 | 69,122 | |||
NIO, Inc. ADR (a) | 141,500 | 6,896,710 | |||
Niu Technologies ADR (a) | 3,100 | 86,955 | |||
Noah Holdings, Ltd. ADR (a) | 4,500 | 215,145 | |||
Oceanwide Holdings Co., Ltd. Class A | 115,300 | 58,212 | |||
Offcn Education Technology Co., Ltd. Class A | 10,500 | 56,778 | |||
Offshore Oil Engineering Co., Ltd. Class A | 92,400 | 63,860 | |||
OneSmart International Education Group, Ltd. ADR (a)(b) | 6,800 | 25,840 | |||
Oppein Home Group, Inc. Class A | 6,300 | 130,429 | |||
Orient Securities Co., Ltd. Class A | 32,600 | 58,359 | |||
Oriental Pearl Group Co., Ltd. Class A | 58,423 | 80,396 | |||
Ovctek China, Inc. Class A | 3,300 | 41,612 |
Security Description | Shares | Value | |||
People's Insurance Co. Group of China, Ltd. Class H | 953,000 | $ 302,350 | |||
Perfect World Co., Ltd. Class A | 10,650 | 48,360 | |||
PetroChina Co., Ltd. Class A | 124,800 | 79,721 | |||
PetroChina Co., Ltd. Class H | 2,534,000 | 784,333 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 13,800 | 233,149 | |||
PICC Property & Casualty Co., Ltd. Class H | 735,700 | 556,957 | |||
Pinduoduo, Inc. ADR (a) | 42,100 | 7,479,907 | |||
Ping An Bank Co., Ltd. Class A | 125,600 | 373,901 | |||
Ping An Healthcare and Technology Co., Ltd. (a)(b)(c) | 55,200 | 669,190 | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 70,190 | 939,734 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 662,500 | 8,116,935 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 64,800 | 157,795 | |||
Poly Property Group Co., Ltd. | 182,000 | 53,282 | |||
Poly Property Services Co., Ltd. Class H | 8,000 | 63,040 | |||
Postal Savings Bank of China Co., Ltd. Class A | 72,400 | 53,269 | |||
Postal Savings Bank of China Co., Ltd. Class H (c) | 1,060,000 | 598,773 | |||
Power Construction Corp. of China, Ltd. Class A | 142,200 | 84,926 | |||
Powerlong Commercial Management Holdings, Ltd. (b) | 16,000 | 51,175 | |||
Prosus NV | 53,796 | 5,816,040 | |||
Puxin, Ltd. ADR (a) | 4,200 | 24,444 | |||
Q Technology Group Co., Ltd. (b) | 28,000 | 47,450 | |||
Qudian, Inc. ADR (a)(b) | 26,300 | 36,294 | |||
Qutoutiao, Inc. ADR (a)(b) | 5,100 | 8,109 | |||
Redco Properties Group, Ltd. (b)(c) | 108,000 | 40,393 | |||
Rongsheng Petro Chemical Co., Ltd. Class A | 28,600 | 121,547 | |||
Ronshine China Holdings, Ltd. (b) | 54,500 | 38,096 | |||
SAIC Motor Corp., Ltd. Class A | 43,800 | 164,773 | |||
Sanan Optoelectronics Co., Ltd. Class A | 21,300 | 88,555 | |||
Sangfor Technologies, Inc. Class A | 2,500 | 95,438 | |||
Sany Heavy Equipment International Holdings Co., Ltd. | 85,000 | 63,581 | |||
Sany Heavy Industry Co., Ltd. Class A | 51,700 | 278,369 |
Security Description | Shares | Value | |||
SDIC Capital Co., Ltd. Class A | 22,600 | $ 48,111 | |||
SDIC Power Holdings Co., Ltd. Class A | 41,600 | 55,324 | |||
Seazen Group, Ltd. (a) | 230,000 | 191,324 | |||
Seazen Holdings Co., Ltd. Class A | 13,900 | 74,521 | |||
Semiconductor Manufacturing International Corp. (a) | 337,800 | 962,797 | |||
SF Holding Co., Ltd. Class A | 24,400 | 331,373 | |||
SG Micro Corp. Class A | 1,000 | 40,606 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 42,400 | 60,957 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 33,800 | 120,026 | |||
Shandong Gold Mining Co., Ltd. Class A | 16,800 | 61,080 | |||
Shandong Gold Mining Co., Ltd. Class H (c) | 59,000 | 136,203 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 10,500 | 60,285 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 25,208 | 136,465 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 17,000 | 118,041 | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 260,000 | 587,476 | |||
Shanghai Baosight Software Co., Ltd. Class A | 21,401 | 227,231 | |||
Shanghai Chlor-Alkali Chemical Co., Ltd. Class B | 100,625 | 45,382 | |||
Shanghai Diesel Engine Co., Ltd. Class B | 32,500 | 14,105 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 10,900 | 90,584 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H (b) | 66,000 | 315,366 | |||
Shanghai Fudan Microelectronics Group Co., Ltd. Class H (a) | 28,000 | 50,556 | |||
Shanghai Greencourt Investment Group Co., Ltd. Class B (a) | 257,441 | 70,796 | |||
Shanghai Haixin Group Co. Class B | 42,000 | 14,406 | |||
Shanghai Highly Group Co., Ltd. Class B | 24,100 | 12,411 | |||
Shanghai Industrial Urban Development Group, Ltd. | 63,600 | 6,726 | |||
Shanghai International Airport Co., Ltd. Class A | 5,200 | 60,559 |
Security Description | Shares | Value | |||
Shanghai Jinjiang International Industrial Investment Co., Ltd. Class B | 15,200 | $ 10,169 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 154,704 | 120,979 | |||
Shanghai M&G Stationery, Inc. Class A | 6,100 | 83,153 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 100,900 | 177,756 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 188,000 | 280,120 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 7,200 | 124,558 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 110,000 | 125,295 | |||
Shanxi Coking Coal Energy Group Co, Ltd. Class A | 129,480 | 112,407 | |||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 68,800 | 68,835 | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 34,400 | 35,371 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 6,400 | 369,707 | |||
Shenergy Co., Ltd. Class A | 156,400 | 125,666 | |||
Shengyi Technology Co., Ltd. Class A | 31,700 | 137,405 | |||
Shennan Circuits Co., Ltd. Class A | 4,760 | 79,174 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 106,000 | 86,149 | |||
Shenzhen Energy Group Co., Ltd. Class A | 52,200 | 48,933 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 2,627 | 62,899 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 20,500 | 294,406 | |||
Shenzhen International Holdings, Ltd. | 118,746 | 191,737 | |||
Shenzhen Investment, Ltd. | 376,301 | 129,092 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 4,100 | 110,126 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 6,600 | 432,777 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 50,300 | 54,894 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 5,900 | 32,585 | |||
Shenzhou International Group Holdings, Ltd. | 94,700 | 1,856,420 | |||
Shoucheng Holdings, Ltd. | 176,000 | 49,936 |
Security Description | Shares | Value | |||
Shougang Fushan Resources Group, Ltd. | 244,000 | $ 57,272 | |||
Shui On Land, Ltd. (b) | 328,000 | 45,686 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 76,700 | 118,651 | |||
Sihuan Pharmaceutical Holdings Group, Ltd. | 326,000 | 34,476 | |||
Silergy Corp. | 8,000 | 686,170 | |||
SINA Corp. (a) | 6,300 | 266,994 | |||
Sinolink Securities Co., Ltd. Class A | 19,600 | 49,086 | |||
Sino-Ocean Group Holding, Ltd. | 296,000 | 59,171 | |||
Sinopec Engineering Group Co., Ltd. Class H (b) | 140,500 | 60,521 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 133,200 | 70,530 | |||
Sinopharm Group Co., Ltd. Class H | 144,800 | 352,203 | |||
Sinotruk Hong Kong, Ltd. | 87,000 | 222,161 | |||
SITC International Holdings Co., Ltd. | 144,000 | 310,886 | |||
Smoore International Holdings, Ltd. (a)(c) | 45,000 | 347,344 | |||
SOHO China, Ltd. (a)(b) | 353,000 | 105,165 | |||
Sohu.com, Ltd. ADR (a) | 8,000 | 127,520 | |||
Songcheng Performance Development Co., Ltd. Class A | 32,040 | 87,391 | |||
So-Young International, Inc. ADR (a)(b) | 2,500 | 27,775 | |||
Spring Airlines Co., Ltd. Class A | 11,700 | 99,825 | |||
Sun Art Retail Group, Ltd. (b) | 251,500 | 255,592 | |||
Sunac China Holdings, Ltd. | 285,000 | 1,053,057 | |||
Suncity Group Holdings, Ltd. (a) | 400,000 | 35,595 | |||
Sungrow Power Supply Co., Ltd. Class A | 9,400 | 104,582 | |||
Suning.com Co., Ltd. Class A | 50,500 | 59,932 | |||
Sunny Optical Technology Group Co., Ltd. | 78,900 | 1,726,798 | |||
Sunwoda Electronic Co., Ltd. Class A | 18,900 | 89,341 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 11,100 | 44,423 | |||
Suzhou Gold Mantis Construction Decoration Co., Ltd. Class A | 54,900 | 79,350 | |||
TAL Education Group ADR (a) | 42,200 | 3,017,722 | |||
TBEA Co., Ltd. Class A | 113,000 | 176,545 | |||
TCL Electronics Holdings, Ltd. | 73,000 | 54,699 | |||
TCL Technology Group Corp Class A | 139,900 | 152,462 |
Security Description | Shares | Value | |||
Tencent Holdings, Ltd. | 634,900 | $ 46,181,394 | |||
Tencent Music Entertainment Group ADR (a) | 42,900 | 825,396 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 15,600 | 61,232 | |||
Tianli Education International Holdings, Ltd. | 105,000 | 110,500 | |||
Tianneng Power International, Ltd. (b) | 62,000 | 149,526 | |||
Times Neighborhood Holdings, Ltd. | 42,000 | 39,325 | |||
Tingyi Cayman Islands Holding Corp. | 262,000 | 447,375 | |||
Tong Ren Tang Technologies Co., Ltd. Class H | 51,000 | 31,900 | |||
Tongcheng-Elong Holdings, Ltd. (a)(b) | 87,200 | 168,690 | |||
Tongdao Liepin Group (a) | 19,400 | 46,737 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 346,900 | 137,230 | |||
Tongwei Co., Ltd. Class A | 37,800 | 223,659 | |||
Topchoice Medical Corp. Class A (a) | 2,000 | 85,127 | |||
Topsports International Holdings, Ltd. (c) | 133,000 | 198,972 | |||
Towngas China Co., Ltd. | 94,027 | 42,443 | |||
Transfar Zhilian Co., Ltd. Class A | 67,500 | 48,937 | |||
TravelSky Technology, Ltd. Class H | 107,000 | 258,052 | |||
Trip.com Group, Ltd. ADR (a) | 53,100 | 1,791,063 | |||
Tsingtao Brewery Co., Ltd. Class A | 4,500 | 68,851 | |||
Tsingtao Brewery Co., Ltd. Class H | 46,000 | 481,722 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 3,400 | 70,029 | |||
Uni-President China Holdings, Ltd. | 138,000 | 140,423 | |||
Unisplendour Corp., Ltd. Class A | 12,880 | 40,543 | |||
Uxin, Ltd. ADR (a)(b) | 11,700 | 10,208 | |||
Venustech Group, Inc. Class A | 10,200 | 45,861 | |||
Vipshop Holdings, Ltd. ADR (a) | 50,300 | 1,413,933 | |||
VSTECS Holdings, Ltd. | 136,000 | 111,552 | |||
Walvax Biotechnology Co., Ltd. Class A | 21,900 | 129,985 | |||
Wanhua Chemical Group Co., Ltd. Class A | 25,400 | 355,940 | |||
Want Want China Holdings, Ltd. | 507,000 | 366,820 | |||
Weibo Corp. ADR (a)(b) | 6,310 | 258,647 | |||
Weichai Power Co., Ltd. Class A | 32,500 | 78,991 |
Security Description | Shares | Value | |||
Weichai Power Co., Ltd. Class H | 198,000 | $ 397,335 | |||
Weifu High-Technology Group Co., Ltd. Class A | 52,900 | 188,828 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 10,200 | 139,812 | |||
Weimob, Inc. (a)(b)(c) | 113,000 | 203,153 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 34,560 | 96,977 | |||
Will Semiconductor Co., Ltd. Class A | 5,600 | 199,204 | |||
Wilmar International, Ltd. | 210,500 | 740,608 | |||
Wingtech Technology Co., Ltd. Class A | 8,000 | 121,909 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 175,700 | 118,185 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 23,800 | 152,948 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 11,500 | 55,282 | |||
Wuliangye Yibin Co., Ltd. Class A | 25,100 | 1,127,571 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 12,400 | 35,864 | |||
WuXi AppTec Co., Ltd. Class A | 17,500 | 362,895 | |||
WuXi AppTec Co., Ltd. Class H (b)(c) | 36,336 | 711,363 | |||
Wuxi Biologics Cayman, Inc. (a)(c) | 333,000 | 4,414,891 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 14,800 | 191,337 | |||
XCMG Construction Machinery Co., Ltd. Class A | 112,400 | 92,908 | |||
XD, Inc. (a) | 9,800 | 59,213 | |||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (c) | 40,500 | 92,346 | |||
Xiamen C & D, Inc. Class A | 72,000 | 90,988 | |||
Xiaomi Corp. Class B (a)(c) | 1,573,800 | 6,738,609 | |||
Xinhu Zhongbao Co., Ltd. Class A | 172,300 | 82,216 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H (b) | 115,200 | 231,474 | |||
Xinyi Solar Holdings, Ltd. | 501,966 | 1,310,937 | |||
XPeng, Inc. ADR (a) | 19,100 | 818,053 | |||
Xtep International Holdings, Ltd. | 134,500 | 67,130 | |||
Yadea Group Holdings, Ltd. (c) | 98,000 | 202,475 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 370,300 | 267,572 | |||
Yanlord Land Group, Ltd. | 52,900 | 44,829 |
Security Description | Shares | Value | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 11,700 | $ 63,032 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 151,925 | |||
Yealink Network Technology Corp., Ltd. Class A | 8,400 | 94,542 | |||
YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H (b)(c) | 22,000 | 25,053 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 5,320 | 73,855 | |||
Yihai International Holding, Ltd. (a) | 49,000 | 726,736 | |||
Yonghui Superstores Co., Ltd. Class A | 51,900 | 57,359 | |||
Yonyou Network Technology Co., Ltd. Class A | 20,930 | 141,334 | |||
Yuexiu Property Co., Ltd. | 714,000 | 143,650 | |||
Yuexiu Transport Infrastructure, Ltd. | 84,000 | 57,200 | |||
Yum China Holdings, Inc. | 44,400 | 2,534,796 | |||
Yunda Holding Co., Ltd. Class A | 18,850 | 45,553 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 6,900 | 120,653 | |||
Yunnan Energy New Material Co., Ltd. Class A | 5,400 | 117,847 | |||
Yuzhou Group Holdings Co., Ltd. | 284,209 | 102,631 | |||
Zai Lab, Ltd. ADR (a) | 7,500 | 1,015,050 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 3,300 | 135,883 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 95,000 | 113,086 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (a) | 45,800 | 50,124 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 13,200 | 79,566 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 18,400 | 56,333 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 8,260 | 128,655 | |||
Zhejiang Expressway Co., Ltd. Class H | 172,000 | 145,296 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 27,000 | 140,514 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A (a) | 7,300 | 89,106 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 21,100 | 44,235 | |||
Zhejiang NHU Co., Ltd. Class A | 11,700 | 60,655 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 34,000 | 129,005 |
Security Description | Shares | Value | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 12,400 | $ 146,395 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 35,800 | 93,238 | |||
Zhenro Properties Group, Ltd. | 120,000 | 72,274 | |||
Zheshang Securities Co., Ltd. Class A | 21,700 | 51,105 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 41,400 | 193,282 | |||
Zhongjin Gold Corp., Ltd. Class A | 37,500 | 50,853 | |||
Zhongsheng Group Holdings, Ltd. | 60,500 | 431,092 | |||
Zhou Hei Ya International Holdings Co., Ltd. (c) | 61,000 | 64,825 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 61,000 | 265,907 | |||
Zijin Mining Group Co., Ltd. Class A | 106,600 | 152,435 | |||
Zijin Mining Group Co., Ltd. Class H | 684,000 | 774,521 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 87,400 | 133,186 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 108,800 | 130,495 | |||
ZTE Corp. Class A | 25,000 | 129,490 | |||
ZTE Corp. Class H (b) | 73,400 | 184,592 | |||
ZTO Express Cayman, Inc. ADR | 45,700 | 1,332,612 | |||
355,540,603 | |||||
COLOMBIA — 0.1% | |||||
Bancolombia SA ADR | 500 | 20,090 | |||
Bancolombia SA | 29,524 | 301,929 | |||
Bancolombia SA Preference Shares | 45,715 | 469,112 | |||
Cementos Argos SA | 60,790 | 109,832 | |||
Corp. Financiera Colombiana SA (a) | 8,653 | 81,964 | |||
Ecopetrol SA ADR | 700 | 9,037 | |||
Ecopetrol SA | 545,795 | 358,225 | |||
Grupo Argos SA | 29,927 | 121,615 | |||
Grupo de Inversiones Suramericana SA | 24,789 | 183,209 | |||
Interconexion Electrica SA ESP | 50,157 | 376,856 | |||
Millicom International Cellular SA SDR (a) | 11,149 | 439,577 | |||
2,471,446 | |||||
CZECH REPUBLIC — 0.0% (f) | |||||
CEZ A/S | 15,240 | 365,668 | |||
Komercni banka A/S (a) | 6,779 | 207,503 |
Security Description | Shares | Value | |||
Moneta Money Bank A/S (a)(c) | 69,836 | $ 221,250 | |||
794,421 | |||||
DENMARK — 1.5% | |||||
ALK-Abello A/S (a) | 686 | 281,910 | |||
Alm Brand A/S (a) | 10,321 | 124,527 | |||
Ambu A/S Class B (b) | 17,909 | 774,825 | |||
AP Moller - Maersk A/S Class A | 524 | 1,089,603 | |||
AP Moller - Maersk A/S Class B | 699 | 1,562,079 | |||
Bavarian Nordic A/S (a) | 9,501 | 292,050 | |||
Better Collective A/S (a) | 2,526 | 46,598 | |||
Carlsberg AS Class B | 11,288 | 1,809,494 | |||
Chemometec A/S | 1,244 | 118,194 | |||
Chr. Hansen Holding A/S (a) | 11,502 | 1,184,327 | |||
Coloplast A/S Class B | 12,824 | 1,959,594 | |||
D/S Norden A/S | 2,858 | 51,490 | |||
Danske Bank A/S (a) | 75,931 | 1,256,260 | |||
Demant A/S (a) | 11,770 | 465,499 | |||
Dfds A/S (a) | 3,593 | 162,537 | |||
Drilling Co. of 1972 A/S (a)(b) | 3,800 | 120,368 | |||
DSV Panalpina A/S | 22,683 | 3,803,182 | |||
FLSmidth & Co. A/S (a) | 5,396 | 206,491 | |||
Genmab A/S (a) | 7,168 | 2,902,077 | |||
GN Store Nord A/S | 13,685 | 1,095,970 | |||
H Lundbeck A/S | 7,583 | 260,266 | |||
ISS A/S (a) | 16,446 | 284,936 | |||
Jyske Bank A/S (a) | 5,905 | 226,260 | |||
Matas A/S (a) | 12,409 | 176,237 | |||
Netcompany Group A/S (a)(c) | 4,168 | 426,495 | |||
Nilfisk Holding A/S (a) | 3,415 | 73,874 | |||
NKT A/S (a) | 5,931 | 264,402 | |||
NNIT A/S (c) | 5,944 | 118,812 | |||
Novo Nordisk A/S Class B | 188,693 | 13,233,479 | |||
Novozymes A/S Class B | 22,807 | 1,310,273 | |||
Orsted A/S (c) | 20,730 | 4,237,323 | |||
Pandora A/S | 10,688 | 1,196,438 | |||
Per Aarsleff Holding A/S | 2,547 | 129,161 | |||
Ringkjoebing Landbobank A/S | 2,894 | 263,545 | |||
Rockwool International A/S Class B | 896 | 335,512 | |||
Royal Unibrew A/S | 5,408 | 628,140 | |||
Scandinavian Tobacco Group A/S Class A (c) | 5,880 | 100,618 | |||
Schouw & Co. A/S | 1,823 | 184,592 | |||
SimCorp A/S | 4,438 | 660,575 | |||
Spar Nord Bank A/S (a) | 10,370 | 101,936 | |||
Sydbank A/S (a) | 6,778 | 149,855 | |||
Topdanmark A/S | 4,689 | 203,638 | |||
Tryg A/S (b) | 16,308 | 514,961 | |||
Vestas Wind Systems A/S | 21,579 | 5,106,102 | |||
Zealand Pharma A/S (a)(b) | 2,577 | 93,447 | |||
49,587,952 |
Security Description | Shares | Value | |||
EGYPT — 0.0% (f) | |||||
Centamin PLC | 118,072 | $ 199,650 | |||
Commercial International Bank Egypt SAE | 137,796 | 518,509 | |||
Eastern Co SAE | 112,565 | 93,315 | |||
ElSewedy Electric Co. | 69,110 | 43,100 | |||
854,574 | |||||
FAEROE ISLANDS — 0.0% (f) | |||||
Bakkafrost P/F (a) | 5,135 | 367,345 | |||
FINLAND — 0.8% | |||||
Admicom Oyj | 920 | 151,965 | |||
Aktia Bank Oyj (a) | 4,717 | 56,503 | |||
BasWare Oyj (a) | 895 | 45,993 | |||
Cargotec Oyj Class B | 4,285 | 177,315 | |||
Caverion Oyj (a) | 10,069 | 71,579 | |||
Citycon Oyj | 6,474 | 62,816 | |||
Elisa Oyj | 15,202 | 834,600 | |||
Finnair Oyj (a)(b) | 99,297 | 92,032 | |||
Fortum Oyj | 47,470 | 1,144,214 | |||
F-Secure Oyj (a) | 14,547 | 68,259 | |||
Huhtamaki Oyj | 11,550 | 597,218 | |||
Kemira Oyj | 15,042 | 238,156 | |||
Kesko Oyj Class B | 32,844 | 845,519 | |||
Kojamo Oyj | 17,592 | 389,597 | |||
Kone Oyj Class B | 37,246 | 3,028,738 | |||
Konecranes Oyj | 6,562 | 231,073 | |||
Metsa Board Oyj | 21,619 | 228,016 | |||
Musti Group Oyj | 3,125 | 93,831 | |||
Neles Oyj | 10,362 | 137,624 | |||
Neste Oyj | 46,731 | 3,382,633 | |||
Nokia Oyj (a)(e) | 615,185 | 2,371,788 | |||
Nokia Oyj (a)(e) | 12,368 | 47,532 | |||
Nokian Renkaat Oyj (b) | 14,145 | 498,791 | |||
Nordea Bank Abp (a)(e) | 350,647 | 2,870,058 | |||
Nordea Bank Abp (a)(e) | 4,394 | 35,871 | |||
Oriola Oyj Class B | 11,775 | 27,403 | |||
Orion Oyj Class B | 13,299 | 610,688 | |||
Outokumpu Oyj (a)(b) | 29,062 | 114,499 | |||
Outotec Oyj | 68,183 | 682,002 | |||
Revenio Group Oyj | 3,977 | 244,763 | |||
Rovio Entertainment Oyj (b)(c) | 4,628 | 35,731 | |||
Sampo Oyj Class A | 52,308 | 2,212,530 | |||
Sanoma Oyj | 6,693 | 112,520 | |||
Stora Enso Oyj Class R | 62,176 | 1,190,200 | |||
TietoEVRY Oyj | 10,438 | 343,040 | |||
Tokmanni Group Corp. | 6,629 | 131,721 | |||
UPM-Kymmene Oyj | 58,488 | 2,180,524 | |||
Uponor Oyj | 8,507 | 189,023 | |||
Valmet Oyj | 16,786 | 479,780 | |||
Wartsila OYJ Abp | 54,143 | 539,910 | |||
YIT Oyj | 22,823 | 137,726 | |||
26,933,781 |
Security Description | Shares | Value | |||
FRANCE — 6.0% | |||||
AB Science SA (a) | 2,718 | $ 65,381 | |||
ABC arbitrage | 11,541 | 102,518 | |||
Accor SA (a) | 22,237 | 805,359 | |||
Adevinta ASA (a) | 24,487 | 411,837 | |||
Aeroports de Paris (a) | 3,759 | 487,988 | |||
Air France-KLM (a)(b) | 17,448 | 109,304 | |||
Air Liquide SA | 52,514 | 8,626,032 | |||
Airbus SE (a) | 65,311 | 7,174,434 | |||
Akka Technologies (a) | 1,111 | 35,004 | |||
Albioma SA | 2,408 | 138,476 | |||
ALD SA (c) | 10,890 | 153,231 | |||
Alstom SA (a) | 27,467 | 1,566,434 | |||
Alten SA (a) | 3,006 | 340,766 | |||
Amundi SA (a)(c) | 6,646 | 543,198 | |||
Arkema SA | 7,381 | 844,401 | |||
Atos SE (a) | 11,588 | 1,060,268 | |||
Aubay | 681 | 28,622 | |||
AXA SA | 211,952 | 5,060,122 | |||
Beneteau SA | 8,515 | 98,611 | |||
BioMerieux | 4,428 | 625,223 | |||
BNP Paribas SA (a) | 125,008 | 6,593,062 | |||
Boiron SA | 454 | 22,970 | |||
Bollore SA | 103,643 | 428,879 | |||
Bonduelle SCA | 1,324 | 33,696 | |||
Bouygues SA | 26,630 | 1,096,422 | |||
Bureau Veritas SA (a) | 31,397 | 835,928 | |||
Capgemini SE | 17,836 | 2,767,186 | |||
Carmila SA REIT | 4,324 | 62,324 | |||
Carrefour SA | 67,633 | 1,161,015 | |||
Casino Guichard Perrachon SA (a)(b) | 4,904 | 151,147 | |||
Cellectis SA (a) | 6,927 | 206,803 | |||
CGG SA (a) | 58,359 | 57,838 | |||
Chargeurs SA | 4,757 | 102,439 | |||
Cie de Saint-Gobain (a) | 57,243 | 2,626,488 | |||
Cie des Alpes | 1,015 | 23,671 | |||
Cie Generale des Etablissements Michelin SCA | 18,845 | 2,419,916 | |||
Cie Plastic Omnium SA | 6,153 | 212,454 | |||
CNP Assurances (a) | 17,239 | 278,003 | |||
Coface SA (a) | 8,251 | 82,884 | |||
Covivio REIT | 6,407 | 590,690 | |||
Credit Agricole SA (a) | 127,299 | 1,607,409 | |||
Cromwell European Real Estate Investment Trust | 117,300 | 68,891 | |||
Danone SA | 67,718 | 4,454,358 | |||
Dassault Aviation SA (a) | 263 | 288,649 | |||
Dassault Systemes SE | 14,615 | 2,971,125 | |||
Derichebourg SA (a) | 21,744 | 156,437 | |||
Devoteam SA (a) | 452 | 51,488 | |||
Edenred | 26,714 | 1,516,953 | |||
Eiffage SA (a) | 9,049 | 875,123 | |||
Electricite de France SA (a) | 72,529 | 1,144,339 | |||
Elior Group SA (b)(c) | 8,872 | 59,921 |
Security Description | Shares | Value | |||
Elis SA (a) | 19,520 | $ 325,535 | |||
Engie SA (a) | 201,783 | 3,091,082 | |||
Eramet SA (a) | 843 | 44,270 | |||
EssilorLuxottica SA | 31,167 | 4,864,040 | |||
Eurazeo SE (a) | 5,311 | 360,654 | |||
Eutelsat Communications SA | 21,173 | 239,892 | |||
Faurecia SE (a) | 8,933 | 458,075 | |||
FFP | 451 | 52,202 | |||
Fnac Darty SA (a) | 1,790 | 115,421 | |||
Gaztransport Et Technigaz SA | 2,303 | 223,173 | |||
Gecina SA REIT | 4,900 | 757,218 | |||
Getlink SE (a) | 47,027 | 815,916 | |||
Hermes International | 3,547 | 3,817,404 | |||
ICADE REIT | 3,187 | 245,276 | |||
ID Logistics Group (a) | 230 | 63,600 | |||
Iliad SA | 1,581 | 325,178 | |||
Imerys SA | 3,286 | 155,436 | |||
Innate Pharma SA (a) | 9,314 | 39,453 | |||
Interparfums SA (a) | 1,411 | 74,150 | |||
Ipsen SA | 3,887 | 322,928 | |||
IPSOS | 5,617 | 189,686 | |||
JCDecaux SA (a) | 11,798 | 268,932 | |||
Kaufman & Broad SA | 1,893 | 84,772 | |||
Kering SA | 8,303 | 6,038,590 | |||
Klepierre SA REIT | 20,369 | 458,325 | |||
Korian SA (a) | 7,145 | 273,983 | |||
La Francaise des Jeux SAEM (c) | 8,899 | 407,334 | |||
Lagardere SCA (a) | 5,606 | 140,477 | |||
Legrand SA | 29,562 | 2,640,452 | |||
LISI (a) | 1,713 | 42,233 | |||
LNA Sante SA | 455 | 27,418 | |||
L'Oreal SA | 27,875 | 10,600,286 | |||
LVMH Moet Hennessy Louis Vuitton SE | 30,665 | 19,169,049 | |||
Maisons du Monde SA (a)(c) | 4,452 | 81,436 | |||
Manitou BF SA | 1,060 | 30,997 | |||
McPhy Energy SA (a) | 2,265 | 95,196 | |||
Mercialys SA REIT | 4,163 | 36,776 | |||
Mersen SA (a) | 1,410 | 42,699 | |||
Metropole Television SA (a) | 2,287 | 37,105 | |||
Natixis SA (a) | 98,026 | 334,512 | |||
Neoen SA (a)(c) | 3,248 | 249,175 | |||
Nexans SA (a) | 3,423 | 248,152 | |||
Nexity SA | 5,241 | 227,392 | |||
Novacyt SA (a) | 7,667 | 91,933 | |||
Orange SA | 220,881 | 2,630,700 | |||
Orpea SA (a) | 6,079 | 799,953 | |||
Pernod Ricard SA | 23,392 | 4,487,817 | |||
Peugeot SA (a) | 64,449 | 1,764,021 | |||
Pharmagest Interactive | 412 | 56,157 | |||
Publicis Groupe SA | 23,740 | 1,183,959 | |||
Quadient SA | 3,126 | 60,164 | |||
Remy Cointreau SA | 2,325 | 433,256 | |||
Renault SA (a) | 20,544 | 898,885 |
Security Description | Shares | Value | |||
Rexel SA (a) | 25,189 | $ 397,424 | |||
Rubis SCA | 10,138 | 471,117 | |||
Safran SA (a) | 35,115 | 4,981,787 | |||
Sanofi | 125,404 | 12,075,575 | |||
Sartorius Stedim Biotech | 3,226 | 1,149,416 | |||
Schneider Electric SE | 60,242 | 8,719,786 | |||
SCOR SE (a) | 16,947 | 547,832 | |||
SEB SA | 2,333 | 425,327 | |||
Societe BIC SA | 2,422 | 137,089 | |||
Societe Generale SA (a) | 88,189 | 1,836,736 | |||
Sodexo SA | 9,456 | 800,868 | |||
SOITEC (a) | 2,222 | 433,093 | |||
Sopra Steria Group (a) | 1,726 | 279,186 | |||
SPIE SA (a) | 12,511 | 272,632 | |||
Suez SA | 36,937 | 733,051 | |||
Synergie SE (a) | 232 | 9,084 | |||
Tarkett SA (a) | 2,965 | 52,241 | |||
Teleperformance | 6,529 | 2,167,296 | |||
Television Francaise 1 (a) | 4,354 | 35,107 | |||
Thales SA | 12,416 | 1,137,850 | |||
TOTAL SE | 278,899 | 12,046,014 | |||
Trigano SA | 816 | 144,571 | |||
Ubisoft Entertainment SA (a) | 10,766 | 1,038,539 | |||
Unibail-Rodamco-Westfield (b) | 34,100 | 134,198 | |||
Unibail-Rodamco-Westfield REIT | 13,176 | 1,041,126 | |||
Valeo SA | 24,461 | 966,116 | |||
Valneva SE (a) | 6,910 | 65,524 | |||
Veolia Environnement SA | 59,039 | 1,445,466 | |||
Verallia SASU (c) | 3,512 | 124,831 | |||
Vicat SA | 1,828 | 76,829 | |||
Vilmorin & Cie SA | 622 | 37,520 | |||
Vinci SA | 57,042 | 5,678,418 | |||
Virbac SA (a) | 438 | 127,548 | |||
Vivendi SA | 91,689 | 2,959,468 | |||
Wendel SE | 2,944 | 352,829 | |||
Worldline SA (a)(c) | 26,063 | 2,522,450 | |||
197,172,386 | |||||
GERMANY — 5.5% | |||||
Aareal Bank AG (a) | 7,346 | 175,719 | |||
Adesso SE | 303 | 35,961 | |||
Adidas AG (a) | 20,864 | 7,604,835 | |||
ADLER Group SA (a)(c) | 8,987 | 318,885 | |||
ADVA Optical Networking SE (a) | 10,788 | 93,190 | |||
AIXTRON SE (a) | 11,637 | 203,112 | |||
Allgeier SE | 797 | 18,187 | |||
Allianz SE | 45,715 | 11,226,071 | |||
alstria office REIT-AG | 16,470 | 298,248 | |||
Amadeus Fire AG (a) | 685 | 100,911 | |||
Aroundtown SA | 118,739 | 889,133 | |||
AURELIUS Equity Opportunities SE & Co. KGaA (a) | 1,948 | 41,472 | |||
Aurubis AG | 3,474 | 270,594 |
Security Description | Shares | Value | |||
BASF SE | 100,649 | $ 7,970,208 | |||
Basler AG | 379 | 33,388 | |||
Bayer AG | 107,656 | 6,343,096 | |||
Bayerische Motoren Werke AG | 36,548 | 3,230,003 | |||
Bayerische Motoren Werke AG Preference Shares | 5,860 | 395,784 | |||
BayWa AG | 2,500 | 101,096 | |||
Bechtle AG | 3,501 | 764,203 | |||
Beiersdorf AG | 11,021 | 1,273,499 | |||
Bertrandt AG | 1,559 | 75,538 | |||
bet-at-home.com AG | 1,390 | 54,168 | |||
Bilfinger SE | 5,632 | 178,202 | |||
Borussia Dortmund GmbH & Co. KGaA (a) | 6,662 | 44,343 | |||
Brenntag AG | 16,930 | 1,312,069 | |||
CANCOM SE | 3,937 | 218,504 | |||
Carl Zeiss Meditec AG | 4,761 | 634,378 | |||
CECONOMY AG (a) | 13,285 | 92,084 | |||
Cewe Stiftung & Co. KGaA | 785 | 88,845 | |||
Commerzbank AG (a) | 118,952 | 766,433 | |||
CompuGroup Medical SE & Co. KgaA | 2,805 | 269,760 | |||
Continental AG | 11,966 | 1,775,221 | |||
Corestate Capital Holding SA (a)(b) | 2,251 | 40,212 | |||
Covestro AG (c) | 19,606 | 1,210,961 | |||
CropEnergies AG | 4,161 | 60,585 | |||
CTS Eventim AG & Co. KGaA (a) | 5,935 | 395,040 | |||
Daimler AG | 93,788 | 6,631,651 | |||
Datagroup SE | 430 | 26,359 | |||
Delivery Hero SE (a)(c) | 14,079 | 2,187,748 | |||
Dermapharm Holding SE | 2,022 | 140,920 | |||
Deutsche Bank AG (a) | 213,584 | 2,338,648 | |||
Deutsche Beteiligungs AG | 1,870 | 75,734 | |||
Deutsche Boerse AG | 20,921 | 3,564,506 | |||
Deutsche EuroShop AG (a) | 5,377 | 121,383 | |||
Deutsche Lufthansa AG (a) | 30,797 | 407,527 | |||
Deutsche Pfandbriefbank AG (a)(c) | 12,164 | 130,898 | |||
Deutsche Post AG | 108,399 | 5,371,579 | |||
Deutsche Telekom AG | 365,238 | 6,683,194 | |||
Deutsche Wohnen SE | 37,185 | 1,987,795 | |||
Deutz AG (a) | 12,501 | 78,008 | |||
DIC Asset AG | 5,992 | 98,682 | |||
Draegerwerk AG & Co. KGaA | 314 | 22,975 | |||
Draegerwerk AG & Co. KGaA Preference Shares | 947 | 72,766 | |||
Duerr AG | 7,444 | 304,211 | |||
E.ON SE | 248,165 | 2,752,214 | |||
Eckert & Ziegler Strahlen- und Medizintechnik AG | 1,588 | 87,124 | |||
Elmos Semiconductor SE | 932 | 31,303 | |||
ElringKlinger AG (a) | 2,938 | 56,941 | |||
Encavis AG | 9,179 | 239,781 | |||
Evonik Industries AG | 22,498 | 734,432 |
Security Description | Shares | Value | |||
Evotec SE (a) | 15,941 | $ 590,600 | |||
Exasol AG (a) | 1,208 | 41,178 | |||
Flatex DEGIRO AG (a) | 2,461 | 191,208 | |||
Fraport AG Frankfurt Airport Services Worldwide (a) | 4,505 | 272,077 | |||
Freenet AG | 13,196 | 277,630 | |||
Fresenius Medical Care AG & Co. KGaA | 23,725 | 1,979,759 | |||
Fresenius SE & Co. KGaA | 45,816 | 2,121,241 | |||
Fuchs Petrolub SE Preference Shares | 7,099 | 403,377 | |||
GEA Group AG | 18,283 | 654,998 | |||
Gerresheimer AG | 3,436 | 368,911 | |||
Grand City Properties SA | 11,055 | 283,512 | |||
GRENKE AG | 2,516 | 119,506 | |||
Hamborner REIT AG | 13,269 | 146,231 | |||
Hamburger Hafen und Logistik AG | 2,218 | 50,043 | |||
Hannover Rueck SE | 6,441 | 1,026,879 | |||
HeidelbergCement AG | 15,896 | 1,190,701 | |||
HelloFresh SE (a) | 16,052 | 1,241,275 | |||
Henkel AG & Co. KGaA Preference Shares | 19,523 | 2,204,804 | |||
Henkel AG & Co. KGaA | 11,101 | 1,070,990 | |||
HOCHTIEF AG | 2,491 | 242,458 | |||
Home24 SE (a) | 2,725 | 74,686 | |||
Hornbach Baumarkt AG | 819 | 35,875 | |||
Hornbach Holding AG & Co. KGaA | 1,214 | 116,900 | |||
HUGO BOSS AG | 6,469 | 216,004 | |||
Hypoport AG (a) | 368 | 231,887 | |||
Indus Holding AG | 1,771 | 69,558 | |||
Infineon Technologies AG | 143,105 | 5,496,267 | |||
Jenoptik AG | 5,308 | 163,144 | |||
JOST Werke AG (a)(c) | 3,047 | 160,684 | |||
Jungheinrich AG Preference Shares | 4,946 | 221,491 | |||
K+S AG | 20,821 | 198,403 | |||
KION Group AG | 7,908 | 688,532 | |||
Kloeckner & Co. SE (a) | 12,637 | 123,773 | |||
Knorr-Bremse AG | 7,749 | 1,058,870 | |||
Koenig & Bauer AG (a) | 1,881 | 55,052 | |||
Krones AG | 2,176 | 175,854 | |||
KWS SAA t SE & Co. KGaA | 1,045 | 83,110 | |||
LANXESS AG | 9,037 | 693,951 | |||
LEG Immobilien AG | 7,753 | 1,205,314 | |||
LPKF Laser & Electronics AG | 2,502 | 90,156 | |||
Medios AG (a) | 1,048 | 47,957 | |||
Merck KGaA | 14,163 | 2,432,144 | |||
METRO AG | 18,554 | 208,765 | |||
MLP SE | 12,808 | 84,625 | |||
MorphoSys AG (a) | 3,359 | 385,591 | |||
MTU Aero Engines AG | 5,898 | 1,540,001 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 15,352 | 4,560,740 | |||
Nagarro SE (a) | 1,607 | 178,928 |
Security Description | Shares | Value | |||
Nemetschek SE | 5,951 | $ 439,793 | |||
New Work SE | 256 | 87,704 | |||
Nordex SE (a) | 6,238 | 169,136 | |||
Norma Group SE | 3,466 | 177,606 | |||
OHB SE (a) | 540 | 25,504 | |||
OSRAM Licht AG (a) | 3,992 | 254,185 | |||
PATRIZIA AG | 4,758 | 152,818 | |||
Pfeiffer Vacuum Technology AG | 515 | 98,804 | |||
PNE AG | 3,945 | 38,615 | |||
Porsche Automobil Holding SE Preference Shares | 16,357 | 1,128,767 | |||
ProSiebenSat.1 Media SE (a) | 21,077 | 354,724 | |||
Puma SE (a) | 10,991 | 1,240,985 | |||
Rational AG | 556 | 518,044 | |||
Rheinmetall AG | 4,489 | 475,542 | |||
RWE AG | 70,984 | 3,002,490 | |||
Salzgitter AG (a) | 3,534 | 93,831 | |||
SAP SE | 115,256 | 15,120,322 | |||
Sartorius AG Preference Shares | 3,898 | 1,638,765 | |||
Scout24 AG (c) | 11,494 | 942,957 | |||
SGL Carbon SE (a) | 6,303 | 27,725 | |||
Siemens AG | 84,436 | 12,141,186 | |||
Siemens Energy AG (a) | 43,104 | 1,582,197 | |||
Siemens Healthineers AG (c) | 29,450 | 1,512,688 | |||
Siltronic AG | 2,164 | 339,178 | |||
Sirius Real Estate, Ltd. | 127,528 | 162,819 | |||
Sixt SE (a) | 1,408 | 169,175 | |||
Sixt SE Preference Shares | 2,921 | 205,147 | |||
SMA Solar Technology AG (a) | 2,210 | 151,291 | |||
Software AG | 5,291 | 215,837 | |||
Softwareone Holding AG | 8,988 | 266,402 | |||
Stabilus SA | 3,524 | 248,790 | |||
STO SE & Co. KGaA Preference Shares | 608 | 96,263 | |||
STRATEC SE | 869 | 130,569 | |||
Stroeer SE & Co. KGaA | 2,915 | 288,899 | |||
Suedzucker AG | 6,464 | 92,298 | |||
Symrise AG | 13,876 | 1,840,413 | |||
TAG Immobilien AG | 17,690 | 560,595 | |||
Takkt AG (a) | 5,349 | 69,767 | |||
TeamViewer AG (a)(c) | 16,093 | 863,039 | |||
Telefonica Deutschland Holding AG | 106,340 | 293,403 | |||
Thyssenkrupp AG (a) | 41,697 | 414,473 | |||
TUI AG | 44,236 | 277,187 | |||
Uniper SE | 21,708 | 750,078 | |||
United Internet AG | 10,995 | 463,184 | |||
Varta AG (a)(b) | 1,874 | 271,025 | |||
VERBIO Vereinigte BioEnergie AG | 7,261 | 272,745 | |||
Volkswagen AG | 3,719 | 774,020 | |||
Volkswagen AG Preference Shares | 20,425 | 3,809,129 | |||
Vonovia SE | 57,140 | 4,178,039 | |||
Vossloh AG (a) | 1,786 | 90,361 |
Security Description | Shares | Value | |||
Wacker Chemie AG | 1,482 | $ 211,703 | |||
Wacker Neuson SE (a) | 5,915 | 126,725 | |||
Washtec AG (a) | 1,430 | 76,373 | |||
Westwing Group AG (a) | 1,239 | 50,202 | |||
Wuestenrot & Wuerttembergische AG | 2,120 | 42,852 | |||
Zalando SE (a)(c) | 16,640 | 1,853,970 | |||
Zeal Network SE | 1,460 | 82,263 | |||
zooplus AG (a) | 679 | 141,068 | |||
178,929,627 | |||||
GHANA — 0.0% (f) | |||||
Tullow Oil PLC (a)(b) | 111,829 | 45,217 | |||
GREECE — 0.1% | |||||
Aegean Airlines SA (a) | 8,153 | 51,374 | |||
Alpha Bank AE (a) | 126,379 | 147,549 | |||
Athens Water Supply & Sewage Co. SA | 4,435 | 37,280 | |||
Energean PLC (a) | 10,480 | 103,316 | |||
Eurobank Ergasias Services and Holdings SA Class A (a) | 237,936 | 168,446 | |||
FF Group (a)(d) | 122 | — | |||
GEK Terna Holding Real Estate Construction SA (a) | 9,885 | 95,307 | |||
Hellenic Telecommunications Organization SA | 24,475 | 394,693 | |||
Holding Co. ADMIE IPTO SA | 31,100 | 100,649 | |||
JUMBO SA | 9,840 | 171,085 | |||
LAMDA Development SA (a) | 12,062 | 104,785 | |||
Motor Oil Hellas Corinth Refineries SA | 5,457 | 78,788 | |||
Mytilineos SA | 11,055 | 160,963 | |||
National Bank of Greece SA (a) | 54,691 | 151,300 | |||
OPAP SA | 18,404 | 246,574 | |||
Piraeus Bank SA (a) | 26,546 | 42,224 | |||
Public Power Corp. SA (a) | 11,042 | 100,383 | |||
Sarantis SA | 3,274 | 37,455 | |||
Terna Energy SA | 8,992 | 145,229 | |||
2,337,400 | |||||
HONG KONG — 1.8% | |||||
AIA Group, Ltd. | 1,308,800 | 16,035,389 | |||
Alibaba Pictures Group, Ltd. (a) | 1,680,000 | 208,000 | |||
Apollo Future Mobility Group, Ltd. (a)(b) | 1,040,000 | 103,278 | |||
ASM Pacific Technology, Ltd. | 31,900 | 420,871 | |||
Bank of East Asia, Ltd. | 141,140 | 301,435 | |||
Cafe de Coral Holdings, Ltd. | 26,000 | 55,998 | |||
Champion REIT | 192,000 | 112,171 | |||
China Grand Pharmaceutical and Healthcare Holdings, Ltd. Class A | 76,000 | 67,435 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(d) | 66,000 | — |
Security Description | Shares | Value | |||
China Water Affairs Group, Ltd. | 126,000 | $ 98,475 | |||
China Youzan, Ltd. (a) | 1,408,000 | 419,466 | |||
Chow Sang Sang Holdings International, Ltd. | 60,000 | 68,095 | |||
Citychamp Watch & Jewellery Group, Ltd. (a) | 286,000 | 63,073 | |||
CK Asset Holdings, Ltd. | 278,024 | 1,427,079 | |||
CK Infrastructure Holdings, Ltd. | 67,500 | 362,578 | |||
CK Life Sciences Int'l Holdings, Inc. | 310,000 | 35,183 | |||
CLP Holdings, Ltd. | 175,500 | 1,622,852 | |||
Comba Telecom Systems Holdings, Ltd. (b) | 134,000 | 39,057 | |||
Cowell e Holdings, Inc. | 50,000 | 37,659 | |||
Dah Sing Banking Group, Ltd. | 38,000 | 39,010 | |||
Dah Sing Financial Holdings, Ltd. | 13,200 | 37,197 | |||
Digital China Holdings, Ltd. | 68,000 | 55,776 | |||
Far East Consortium International, Ltd. | 108,000 | 40,114 | |||
First Pacific Co., Ltd. | 386,000 | 122,961 | |||
Fortune Real Estate Investment Trust | 216,000 | 205,864 | |||
GCL-Poly Energy Holdings, Ltd. (a)(b) | 1,419,000 | 225,097 | |||
Glory Sun Financial Group, Ltd. (a)(b) | 4,116,000 | 175,175 | |||
Guotai Junan International Holdings, Ltd. | 261,000 | 35,007 | |||
Haitong International Securities Group, Ltd. (b) | 379,000 | 91,404 | |||
Hang Lung Group, Ltd. | 95,000 | 236,218 | |||
Hang Lung Properties, Ltd. | 229,000 | 603,964 | |||
Hang Seng Bank, Ltd. | 83,200 | 1,434,621 | |||
Henderson Land Development Co., Ltd. | 156,466 | 610,419 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 284,164 | 279,625 | |||
HKBN, Ltd. | 64,000 | 99,048 | |||
HKT Trust & HKT, Ltd. Stapled Security | 411,000 | 533,240 | |||
Hong Kong & China Gas Co., Ltd. | 1,139,430 | 1,701,684 | |||
Hong Kong Exchanges & Clearing, Ltd. | 130,661 | 7,161,723 | |||
Hong Kong Television Network, Ltd. (a) | 127,000 | 187,048 | |||
Hongkong & Shanghai Hotels Ltd | 37,473 | 33,346 | |||
Hongkong Land Holdings, Ltd. | 125,600 | 518,728 | |||
Huabao International Holdings, Ltd. (b) | 73,000 | 100,549 |
Security Description | Shares | Value | |||
Hutchison China MediTech, Ltd. ADR (a) | 7,900 | $ 252,958 | |||
Hutchison Port Holdings Trust Stapled Security | 472,800 | 93,614 | |||
Hutchison Telecommunications Hong Kong Holdings, Ltd. | 346,000 | 51,763 | |||
Hysan Development Co., Ltd. | 67,000 | 245,833 | |||
Jardine Matheson Holdings, Ltd. | 23,600 | 1,321,600 | |||
Jardine Strategic Holdings, Ltd. | 23,900 | 594,632 | |||
Johnson Electric Holdings, Ltd. | 52,500 | 130,000 | |||
K Wah International Holdings, Ltd. | 113,000 | 54,359 | |||
Kerry Properties, Ltd. | 75,500 | 191,237 | |||
Kingboard Laminates Holdings, Ltd. | 114,000 | 186,132 | |||
Lifestyle International Holdings, Ltd. (a) | 41,000 | 32,519 | |||
Link REIT | 229,076 | 2,085,772 | |||
Luk Fook Holdings International, Ltd. | 35,000 | 84,410 | |||
Man Wah Holdings, Ltd. | 163,600 | 354,888 | |||
Melco International Development, Ltd. | 62,000 | 120,580 | |||
Melco Resorts & Entertainment, Ltd. ADR | 26,330 | 488,421 | |||
MTR Corp., Ltd. | 165,381 | 924,607 | |||
NetDragon Websoft Holdings, Ltd. | 19,000 | 42,588 | |||
New World Development Co., Ltd. | 164,581 | 766,248 | |||
Nine Dragons Paper Holdings, Ltd. | 191,000 | 270,962 | |||
Nissin Foods Co., Ltd. | 76,000 | 62,534 | |||
NWS Holdings, Ltd. | 158,968 | 147,408 | |||
Pacific Basin Shipping, Ltd. | 439,000 | 82,661 | |||
Pacific Textiles Holdings, Ltd. | 85,000 | 55,798 | |||
PAX Global Technology, Ltd. | 81,000 | 71,871 | |||
PCCW, Ltd. | 461,471 | 277,935 | |||
Pou Sheng International Holdings, Ltd. (a) | 219,000 | 51,969 | |||
Power Assets Holdings, Ltd. | 149,000 | 807,083 | |||
Prosperity REIT | 191,000 | 59,612 | |||
Realord Group Holdings, Ltd. (a) | 46,000 | 26,518 | |||
Shanghai Industrial Holdings, Ltd. | 53,000 | 72,454 | |||
Shangri-La Asia, Ltd. (a) | 116,000 | 103,376 | |||
Shimao Group Holdings, Ltd. | 126,500 | 402,968 | |||
Shun Tak Holdings, Ltd. | 122,000 | 37,290 | |||
Sino Biopharmaceutical, Ltd. | 1,128,000 | 1,091,071 | |||
Sino Land Co., Ltd. (b) | 337,184 | 439,209 | |||
Skyworth Group, Ltd. (a) | 160,000 | 44,571 | |||
SSY Group, Ltd. | 204,000 | 115,762 |
Security Description | Shares | Value | |||
Stella International Holdings, Ltd. | 45,500 | $ 52,871 | |||
Sun Hung Kai Properties, Ltd. | 144,000 | 1,857,142 | |||
SUNeVision Holdings, Ltd. | 63,000 | 57,281 | |||
Sunlight Real Estate Investment Trust | 122,000 | 59,318 | |||
Swire Pacific, Ltd. Class A | 51,000 | 282,827 | |||
Swire Properties, Ltd. | 119,800 | 348,406 | |||
Techtronic Industries Co., Ltd. | 149,000 | 2,125,318 | |||
Television Broadcasts, Ltd. | 29,700 | 30,605 | |||
United Laboratories International Holdings, Ltd. | 60,000 | 42,559 | |||
Value Partners Group, Ltd. | 187,000 | 98,639 | |||
Vinda International Holdings, Ltd. | 38,000 | 103,652 | |||
Vitasoy International Holdings, Ltd. (b) | 74,000 | 288,218 | |||
VTech Holdings, Ltd. | 15,300 | 118,689 | |||
WH Group, Ltd. (c) | 1,027,000 | 860,927 | |||
Wharf Holdings, Ltd. | 247,000 | 664,180 | |||
Wharf Real Estate Investment Co., Ltd. | 205,000 | 1,066,793 | |||
Xinyi Glass Holdings, Ltd. | 184,000 | 513,758 | |||
Yue Yuen Industrial Holdings, Ltd. | 84,000 | 174,850 | |||
Yuexiu Real Estate Investment Trust | 123,000 | 59,962 | |||
57,055,120 | |||||
HUNGARY — 0.1% | |||||
Magyar Telekom Telecommunications PLC | 59,891 | 76,778 | |||
MOL Hungarian Oil & Gas PLC (a) | 40,674 | 300,506 | |||
OTP Bank Nyrt (a) | 21,242 | 957,401 | |||
Richter Gedeon Nyrt | 13,084 | 328,402 | |||
1,663,087 | |||||
INDIA — 2.9% | |||||
3M India, Ltd. (a) | 304 | 86,666 | |||
Aarti Industries, Ltd. | 9,462 | 159,903 | |||
Aavas Financiers, Ltd. (a) | 1,169 | 27,127 | |||
ACC, Ltd. | 8,159 | 180,633 | |||
Adani Gas, Ltd. | 29,500 | 151,643 | |||
Adani Green Energy, Ltd. (a) | 42,000 | 605,046 | |||
Adani Ports & Special Economic Zone, Ltd. | 50,750 | 335,995 | |||
Adani Power, Ltd. (a) | 82,554 | 56,266 | |||
Aditya Birla Fashion and Retail, Ltd. (a) | 76,383 | 173,114 | |||
AIA Engineering, Ltd. | 3,825 | 103,355 | |||
Alembic Pharmaceuticals, Ltd. | 4,179 | 59,124 | |||
Amara Raja Batteries, Ltd. | 8,200 | 103,690 | |||
Ambuja Cements, Ltd. | 97,798 | 333,076 |
Security Description | Shares | Value | |||
Apollo Hospitals Enterprise, Ltd. | 12,311 | $ 406,528 | |||
Apollo Tyres, Ltd. | 31,067 | 75,682 | |||
Ashok Leyland, Ltd. | 96,463 | 126,012 | |||
Asian Paints, Ltd. | 41,361 | 1,564,888 | |||
Astral Poly Technik, Ltd. | 7,155 | 174,582 | |||
AstraZeneca Pharma India, Ltd. | 1,288 | 81,425 | |||
Atul, Ltd. | 1,482 | 130,419 | |||
AU Small Finance Bank, Ltd. (a)(c) | 13,987 | 163,210 | |||
Aurobindo Pharma, Ltd. | 36,454 | 459,644 | |||
Avenue Supermarts, Ltd. (a)(c) | 16,679 | 630,843 | |||
Axis Bank, Ltd. (a) | 242,026 | 2,055,155 | |||
Bajaj Auto, Ltd. | 7,793 | 367,324 | |||
Bajaj Electricals, Ltd. (a) | 14,427 | 120,552 | |||
Bajaj Finance, Ltd. | 29,232 | 2,118,442 | |||
Bajaj Finserv, Ltd. | 4,919 | 599,587 | |||
Balkrishna Industries, Ltd. | 7,352 | 165,650 | |||
Balrampur Chini Mills, Ltd. (a) | 31,845 | 74,963 | |||
Bandhan Bank, Ltd. (a)(c) | 76,766 | 422,611 | |||
BASF India, Ltd. | 5,048 | 112,480 | |||
Bata India, Ltd. | 10,694 | 231,194 | |||
Bayer CropScience, Ltd. | 1,002 | 74,629 | |||
Berger Paints India, Ltd. | 33,671 | 349,970 | |||
Bharat Forge, Ltd. | 37,864 | 272,214 | |||
Bharat Petroleum Corp., Ltd. | 66,472 | 346,700 | |||
Bharti Airtel, Ltd. | 227,983 | 1,590,351 | |||
Biocon, Ltd. (a) | 45,189 | 287,829 | |||
Blue Dart Express, Ltd. (a) | 2,241 | 125,664 | |||
Blue Star, Ltd. | 6,804 | 74,598 | |||
Britannia Industries, Ltd. | 11,678 | 571,590 | |||
Can Fin Homes, Ltd. | 1,361 | 9,302 | |||
Carborundum Universal, Ltd. | 16,876 | 93,656 | |||
Castrol India, Ltd. | 94,135 | 158,529 | |||
CESC, Ltd. | 14,732 | 123,856 | |||
Cholamandalam Financial Holdings, Ltd. | 22,915 | 168,160 | |||
Cholamandalam Investment and Finance Co., Ltd. | 42,942 | 227,823 | |||
Cipla, Ltd. | 42,779 | 480,058 | |||
City Union Bank, Ltd. | 78,446 | 193,357 | |||
Coal India, Ltd. | 124,991 | 231,704 | |||
Coforge, Ltd. | 4,514 | 167,120 | |||
Colgate-Palmolive India, Ltd. | 13,194 | 282,642 | |||
Container Corp. Of India, Ltd. | 18,212 | 99,525 | |||
Coromandel International, Ltd. | 6,490 | 72,354 | |||
Crompton Greaves Consumer Electricals, Ltd. | 43,446 | 226,275 | |||
Cummins India, Ltd. | 13,447 | 105,738 | |||
Dabur India, Ltd. | 71,437 | 522,084 | |||
Dalmia Bharat, Ltd. | 8,304 | 122,712 | |||
DCB Bank, Ltd. (a) | 34,567 | 56,415 | |||
Deepak Nitrite, Ltd. | 7,407 | 95,477 | |||
Dhani Services, Ltd. | 21,764 | 95,807 |
Security Description | Shares | Value | |||
Divi's Laboratories, Ltd. | 14,272 | $ 750,424 | |||
Dixon Technologies India, Ltd. | 624 | 114,851 | |||
DLF, Ltd. | 51,417 | 163,855 | |||
Dr Lal PathLabs, Ltd. (c) | 2,694 | 84,995 | |||
Dr Reddy's Laboratories, Ltd. | 12,803 | 912,046 | |||
Edelweiss Financial Services, Ltd. (a) | 58,647 | 55,021 | |||
Eicher Motors, Ltd. | 14,838 | 513,956 | |||
EID Parry India, Ltd. (a) | 2,695 | 12,675 | |||
Emami, Ltd. | 26,541 | 153,923 | |||
Escorts, Ltd. | 5,547 | 95,685 | |||
Exide Industries, Ltd. | 45,727 | 119,688 | |||
FDC, Ltd. | 15,213 | 69,145 | |||
Federal Bank, Ltd. (a) | 146,800 | 134,007 | |||
Finolex Industries, Ltd. | 9,992 | 88,348 | |||
Fortis Healthcare, Ltd. (a) | 45,663 | 96,991 | |||
GAIL India, Ltd. | 130,252 | 219,709 | |||
GAIL India, Ltd. GDR | 1,422 | 14,106 | |||
Galaxy Surfactants, Ltd. | 4,286 | 117,266 | |||
Gillette India, Ltd. | 1,677 | 132,859 | |||
Glenmark Pharmaceuticals, Ltd. | 13,064 | 88,235 | |||
GMR Infrastructure, Ltd. (a) | 229,459 | 83,220 | |||
Godrej Consumer Products, Ltd. | 54,164 | 548,664 | |||
Godrej Properties, Ltd. (a) | 4,954 | 97,100 | |||
Granules India, Ltd. | 7,280 | 35,086 | |||
Grasim Industries, Ltd. | 30,235 | 383,940 | |||
Gujarat Gas, Ltd. | 15,258 | 78,600 | |||
Gujarat State Petronet, Ltd. | 30,640 | 92,925 | |||
Gulf Oil Lubricants India, Ltd. | 3,534 | 34,780 | |||
Havells India, Ltd. | 33,992 | 426,206 | |||
HCL Technologies, Ltd. | 116,018 | 1,502,315 | |||
HDFC Asset Management Co., Ltd. (c) | 8,332 | 332,744 | |||
HDFC Life Insurance Co., Ltd. (a)(c) | 75,535 | 699,346 | |||
HeidelbergCement India, Ltd. | 37,912 | 117,652 | |||
Hero MotoCorp, Ltd. | 12,919 | 549,876 | |||
Hindalco Industries, Ltd. | 169,506 | 558,041 | |||
Hindustan Petroleum Corp., Ltd. | 57,590 | 171,743 | |||
Hindustan Unilever, Ltd. | 87,894 | 2,881,463 | |||
Housing Development Finance Corp., Ltd. | 188,457 | 6,599,316 | |||
ICICI Bank, Ltd. ADR (a) | 61,022 | 906,787 | |||
ICICI Bank, Ltd. (a) | 447,122 | 3,274,132 | |||
ICICI Lombard General Insurance Co., Ltd. (a)(c) | 27,038 | 562,777 | |||
ICICI Prudential Life Insurance Co., Ltd. (a)(c) | 36,972 | 252,417 | |||
IDFC First Bank, Ltd. (a) | 188,111 | 95,385 | |||
IDFC, Ltd. (a) | 302,285 | 153,071 | |||
IIFL Finance, Ltd. | 39,096 | 60,864 | |||
Indiabulls Housing Finance, Ltd. | 26,026 | 78,469 |
Security Description | Shares | Value | |||
IndiaMart InterMesh, Ltd. (c) | 1,265 | $ 110,926 | |||
Indian Hotels Co., Ltd. | 45,062 | 74,068 | |||
Indian Oil Corp., Ltd. | 173,890 | 216,448 | |||
Indraprastha Gas, Ltd. | 34,214 | 235,226 | |||
Indus Towers, Ltd. | 17,640 | 55,503 | |||
Info Edge India, Ltd. | 7,609 | 495,471 | |||
Infosys, Ltd. ADR | 70,069 | 1,187,670 | |||
Infosys, Ltd. | 297,264 | 5,109,031 | |||
Inox Leisure, Ltd. (a) | 20,361 | 78,666 | |||
InterGlobe Aviation, Ltd. (a)(c) | 8,111 | 191,298 | |||
Ipca Laboratories, Ltd. | 7,490 | 224,369 | |||
ITC, Ltd. | 308,350 | 881,995 | |||
Jindal Steel & Power, Ltd. (a) | 42,048 | 153,333 | |||
JK Cement, Ltd. | 4,955 | 129,986 | |||
JSW Steel, Ltd. | 110,971 | 588,059 | |||
Jubilant Foodworks, Ltd. | 8,600 | 328,517 | |||
Jubilant Life Sciences, Ltd. | 6,773 | 78,318 | |||
Kajaria Ceramics, Ltd. | 12,979 | 124,981 | |||
Karur Vysya Bank, Ltd. (a) | 19,609 | 12,278 | |||
Kaveri Seed Co., Ltd. | 10,556 | 75,124 | |||
KEI Industries, Ltd. | 9,323 | 60,831 | |||
Kotak Mahindra Bank, Ltd. (a) | 60,198 | 1,644,112 | |||
L&T Finance Holdings, Ltd. | 65,382 | 83,844 | |||
L&T Technology Services, Ltd. (c) | 6,585 | 210,850 | |||
Lakshmi Machine Works, Ltd. | 1,452 | 91,472 | |||
Larsen & Toubro Infotech, Ltd. (c) | 5,000 | 250,419 | |||
Larsen & Toubro, Ltd. GDR | 2,055 | 35,798 | |||
Larsen & Toubro, Ltd. | 71,900 | 1,267,026 | |||
Laurus Labs, Ltd. (c) | 24,755 | 119,646 | |||
LIC Housing Finance, Ltd. | 27,542 | 136,169 | |||
Lupin, Ltd. | 24,227 | 323,894 | |||
Mahanagar Gas, Ltd. | 3,649 | 52,996 | |||
Mahindra & Mahindra Financial Services, Ltd. (a) | 54,532 | 130,532 | |||
Mahindra & Mahindra, Ltd. GDR | 3,302 | 32,095 | |||
Mahindra & Mahindra, Ltd. | 83,627 | 824,739 | |||
Manappuram Finance, Ltd. | 37,333 | 84,560 | |||
Marico, Ltd. | 62,219 | 342,868 | |||
Maruti Suzuki India, Ltd. | 14,654 | 1,534,160 | |||
Max Financial Services, Ltd. (a) | 15,780 | 145,787 | |||
Metropolis Healthcare, Ltd. (a) | 2,766 | 74,246 | |||
Mindspace Business Parks REIT (a)(c) | 37,000 | 161,976 | |||
Mindtree, Ltd. | 3,800 | 86,349 | |||
Motherson Sumi Systems, Ltd. | 136,106 | 307,725 | |||
Mphasis, Ltd. | 6,599 | 139,079 | |||
MRF, Ltd. | 206 | 213,564 | |||
Multi Commodity Exchange of India, Ltd. | 5,986 | 141,786 |
Security Description | Shares | Value | |||
Muthoot Finance, Ltd. | 13,072 | $ 216,571 | |||
Natco Pharma, Ltd. | 7,601 | 100,069 | |||
Navin Fluorine International, Ltd. | 3,460 | 123,697 | |||
NESCO, Ltd. | 5,149 | 38,691 | |||
Nestle India, Ltd. | 3,638 | 915,643 | |||
NTPC, Ltd. | 464,701 | 631,855 | |||
Oberoi Realty, Ltd. (a) | 13,822 | 110,360 | |||
Oil & Natural Gas Corp., Ltd. | 232,372 | 295,921 | |||
Orient Electric, Ltd. | 13,712 | 42,168 | |||
Page Industries, Ltd. | 490 | 185,158 | |||
Persistent Systems, Ltd. | 8,644 | 179,481 | |||
Petronet LNG, Ltd. | 80,619 | 273,189 | |||
Phoenix Mills, Ltd. (a) | 8,044 | 85,270 | |||
PI Industries, Ltd. | 8,978 | 269,712 | |||
Pidilite Industries, Ltd. | 16,401 | 396,324 | |||
Piramal Enterprises, Ltd. | 8,320 | 162,677 | |||
Power Grid Corp. of India, Ltd. | 225,125 | 584,938 | |||
Prestige Estates Projects, Ltd. | 13,088 | 47,664 | |||
Procter & Gamble Health, Ltd. | 760 | 70,911 | |||
PVR, Ltd. | 4,230 | 76,429 | |||
Rajesh Exports, Ltd. | 10,314 | 69,245 | |||
Rallis India, Ltd. | 37,687 | 145,064 | |||
Ramco Cements Ltd | 13,546 | 147,645 | |||
RBL Bank, Ltd. (c) | 36,130 | 114,248 | |||
REC, Ltd. | 149,512 | 273,989 | |||
Redington India, Ltd. | 45,228 | 81,830 | |||
Reliance Industries, Ltd. GDR (c) | 13,202 | 722,149 | |||
Reliance Industries, Ltd. | 283,447 | 7,701,472 | |||
Rhi Magnesita NV | 3,069 | 147,083 | |||
Sanofi India, Ltd. | 510 | 58,121 | |||
SBI Life Insurance Co., Ltd. (a)(c) | 43,448 | 537,693 | |||
Shree Cement, Ltd. | 1,165 | 382,870 | |||
Shriram Transport Finance Co., Ltd. | 27,135 | 388,638 | |||
Siemens, Ltd. | 6,614 | 142,617 | |||
Sobha, Ltd. | 12,486 | 70,857 | |||
Spandana Sphoorty Financial, Ltd. (a) | 5,000 | 51,367 | |||
SpiceJet, Ltd. (a) | 6,570 | 8,538 | |||
SRF, Ltd. | 3,081 | 235,032 | |||
State Bank of India (a) | 182,304 | 686,002 | |||
State Bank of India GDR (a) | 1,020 | 38,199 | |||
Strides Pharma Science, Ltd. | 5,713 | 68,665 | |||
Sun Pharma Advanced Research Co., Ltd. (a) | 8,505 | 22,552 | |||
Sun Pharmaceutical Industries, Ltd. | 84,827 | 687,683 | |||
Sundaram Finance, Ltd. | 6,637 | 163,887 | |||
Sundram Fasteners, Ltd. | 23,040 | 164,032 | |||
Sunteck Realty, Ltd. | 14,806 | 70,507 | |||
Supreme Industries, Ltd. | 6,899 | 153,894 |
Security Description | Shares | Value | |||
Symphony, Ltd. | 3,877 | $ 54,530 | |||
Syngene International, Ltd. (a)(c) | 13,475 | 117,954 | |||
Tata Chemicals, Ltd. | 17,851 | 116,633 | |||
Tata Communications, Ltd. | 6,812 | 102,617 | |||
Tata Consultancy Services, Ltd. | 101,071 | 3,959,914 | |||
Tata Consumer Products, Ltd. | 64,574 | 521,329 | |||
Tata Elxsi, Ltd. | 3,720 | 93,438 | |||
Tata Motors, Ltd. ADR (a) | 7,545 | 95,067 | |||
Tata Motors, Ltd. (a) | 143,863 | 361,983 | |||
Tata Power Co., Ltd. | 115,538 | 119,622 | |||
Tata Steel, Ltd. | 71,361 | 628,617 | |||
Tata Steel, Ltd. GDR | 1,300 | 11,258 | |||
TeamLease Services, Ltd. (a) | 1,645 | 59,127 | |||
Tech Mahindra, Ltd. | 67,709 | 901,829 | |||
Timken India, Ltd. | 6,375 | 116,009 | |||
Titan Co., Ltd. | 38,142 | 818,069 | |||
Torrent Pharmaceuticals, Ltd. | 4,600 | 176,445 | |||
Torrent Power, Ltd. | 10,653 | 46,276 | |||
Trent, Ltd. | 19,692 | 185,311 | |||
Tube Investments of India, Ltd. | 9,555 | 104,727 | |||
TV18 Broadcast, Ltd. (a) | 322,994 | 136,593 | |||
Ujjivan Financial Services, Ltd. | 1,086 | 4,104 | |||
UltraTech Cement, Ltd. | 11,784 | 852,849 | |||
United Spirits, Ltd. (a) | 25,960 | 205,445 | |||
UPL, Ltd. | 50,727 | 323,763 | |||
Varun Beverages, Ltd. | 5,485 | 68,766 | |||
Vedanta, Ltd. | 166,866 | 368,593 | |||
Vedanta, Ltd. ADR | 1,433 | 12,582 | |||
Vinati Organics, Ltd. | 4,690 | 77,551 | |||
V-Mart Retail, Ltd. (a) | 2,562 | 89,147 | |||
Vodafone Idea, Ltd. (a) | 693,861 | 101,134 | |||
Voltas, Ltd. | 23,360 | 263,964 | |||
Wipro, Ltd. ADR | 7,834 | 44,262 | |||
Wipro, Ltd. | 108,008 | 570,953 | |||
Wockhardt, Ltd. (a) | 5,297 | 39,622 | |||
Yes Bank, Ltd. (a) | 1,088,539 | 265,924 | |||
Zee Entertainment Enterprises, Ltd. | 115,040 | 351,886 | |||
93,553,962 | |||||
INDONESIA — 0.4% | |||||
Ace Hardware Indonesia Tbk PT | 1,445,300 | 176,419 | |||
Adaro Energy Tbk PT | 1,258,000 | 128,038 | |||
AKR Corporindo Tbk PT | 605,200 | 136,978 | |||
Aneka Tambang Tbk | 2,322,500 | 319,860 | |||
Astra Agro Lestari Tbk PT | 154,200 | 135,268 | |||
Astra International Tbk PT | 2,124,900 | 911,212 | |||
Bank BTPN Syariah Tbk PT | 170,800 | 45,587 | |||
Bank Central Asia Tbk PT | 1,084,800 | 2,613,557 | |||
Bank Mandiri Persero Tbk PT | 1,876,600 | 844,804 |
Security Description | Shares | Value | |||
Bank Negara Indonesia Persero Tbk PT | 1,007,600 | $ 442,842 | |||
Bank Rakyat Indonesia Persero Tbk PT | 6,036,300 | 1,791,557 | |||
Bank Tabungan Negara Persero Tbk PT | 370,200 | 45,452 | |||
Barito Pacific Tbk PT (a) | 2,421,300 | 189,568 | |||
Bukit Asam Tbk PT | 469,600 | 93,920 | |||
Bumi Serpong Damai Tbk PT (a) | 1,332,000 | 116,135 | |||
Charoen Pokphand Indonesia Tbk PT | 936,200 | 434,783 | |||
Ciputra Development Tbk PT | 929,100 | 65,136 | |||
Gudang Garam Tbk PT (a) | 43,700 | 127,523 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 403,700 | 299,543 | |||
Indocement Tunggal Prakarsa Tbk PT | 146,800 | 151,241 | |||
Indofood CBP Sukses Makmur Tbk PT | 220,400 | 150,201 | |||
Indofood Sukses Makmur Tbk PT | 409,500 | 199,650 | |||
Industri Jamu Dan Farmasi Sido Muncul Tbk PT | 2,066,100 | 118,378 | |||
Japfa Comfeed Indonesia Tbk PT | 1,478,400 | 154,153 | |||
Jasa Marga Persero Tbk PT | 150,175 | 49,488 | |||
Kalbe Farma Tbk PT | 1,941,600 | 204,524 | |||
Lippo Karawaci Tbk PT (a) | 12,717,700 | 193,707 | |||
Media Nusantara Citra Tbk PT (a) | 419,700 | 34,054 | |||
Mitra Adiperkasa Tbk PT (a) | 2,793,900 | 157,095 | |||
Pabrik Kertas Tjiwi Kimia Tbk PT | 133,200 | 93,382 | |||
Pacific Strategic Financial Tbk PT (a) | 1,897,100 | 105,995 | |||
Pakuwon Jati Tbk PT (a) | 1,357,000 | 49,258 | |||
Perusahaan Gas Negara Tbk PT | 2,224,000 | 261,973 | |||
Semen Indonesia Persero Tbk PT | 425,300 | 376,111 | |||
Summarecon Agung Tbk PT (a) | 864,100 | 49,509 | |||
Surya Citra Media Tbk PT (a) | 511,200 | 83,320 | |||
Telkom Indonesia Persero Tbk PT | 5,471,700 | 1,289,062 | |||
Tower Bersama Infrastructure Tbk PT | 785,500 | 91,129 | |||
Unilever Indonesia Tbk PT | 744,500 | 389,472 | |||
United Tractors Tbk PT | 219,300 | 415,187 | |||
Wijaya Karya Persero Tbk PT | 1,310,600 | 185,163 | |||
XL Axiata Tbk PT | 213,000 | 41,387 | |||
13,761,621 | |||||
IRELAND — 0.4% | |||||
AerCap Holdings NV (a) | 14,223 | 648,284 | |||
AIB Group PLC (a)(b) | 54,869 | 112,854 |
Security Description | Shares | Value | |||
Bank of Ireland Group PLC (a) | 73,987 | $ 298,738 | |||
C&C Group PLC (a) | 32,126 | 99,906 | |||
Cairn Homes PLC (a) | 98,009 | 117,520 | |||
COSMO Pharmaceuticals NV (a)(b) | 890 | 85,582 | |||
CRH PLC | 80,627 | 3,356,112 | |||
Flutter Entertainment PLC (a)(e) | 9,893 | 2,020,254 | |||
Flutter Entertainment PLC (a)(e) | 6,425 | 1,327,058 | |||
Glanbia PLC | 24,251 | 307,999 | |||
Greencore Group PLC | 38,062 | 60,614 | |||
Hibernia REIT PLC | 81,189 | 114,637 | |||
Irish Residential Properties REIT PLC | 25,376 | 46,449 | |||
Kerry Group PLC Class A | 16,612 | 2,408,585 | |||
Keywords Studios PLC (a) | 7,003 | 273,781 | |||
Kingspan Group PLC (a) | 16,642 | 1,168,797 | |||
Smurfit Kappa Group PLC | 25,820 | 1,201,762 | |||
UDG Healthcare PLC | 26,809 | 285,843 | |||
13,934,775 | |||||
ISRAEL — 0.5% | |||||
Africa Israel Properties, Ltd. (a) | 2,220 | 90,897 | |||
Airport City, Ltd. (a) | 6,576 | 99,742 | |||
Alony Hetz Properties & Investments, Ltd. | 22,632 | 316,487 | |||
Amot Investments, Ltd. | 20,335 | 113,936 | |||
Ashtrom Group, Ltd. | 6,844 | 135,205 | |||
AudioCodes, Ltd. | 2,032 | 55,939 | |||
Azrieli Group, Ltd. | 4,581 | 291,199 | |||
Bank Hapoalim BM (a) | 130,236 | 891,955 | |||
Bank Leumi Le-Israel BM | 165,581 | 974,673 | |||
Bezeq The Israeli Telecommunication Corp., Ltd. (a) | 278,833 | 277,808 | |||
Big Shopping Centers, Ltd. (a) | 1,641 | 182,509 | |||
Blue Square Real Estate, Ltd. | 992 | 63,923 | |||
Caesarstone, Ltd. | 2,900 | 37,381 | |||
Check Point Software Technologies, Ltd. (a)(b) | 12,610 | 1,675,995 | |||
Clal Insurance Enterprises Holdings, Ltd. (a) | 14,033 | 219,315 | |||
Compugen, Ltd. (a) | 9,600 | 116,256 | |||
Danel Adir Yeoshua, Ltd. | 546 | 90,025 | |||
Elbit Systems, Ltd. | 2,863 | 377,269 | |||
Elco, Ltd. | 2,531 | 128,253 | |||
Electra, Ltd. | 174 | 95,161 | |||
Energix-Renewable Energies, Ltd. | 29,187 | 133,263 | |||
Enlight Renewable Energy, Ltd. (a) | 123,244 | 257,174 | |||
Equital, Ltd. (a) | 2,112 | 55,168 | |||
Fattal Holdings 1998, Ltd. (a) | 657 | 70,738 | |||
FIBI Holdings, Ltd. | 1,612 | 48,900 |
Security Description | Shares | Value | |||
First International Bank Of Israel, Ltd. | 4,456 | $ 118,159 | |||
Fiverr International, Ltd. (a) | 1,300 | 253,630 | |||
Formula Systems 1985, Ltd. | 1,091 | 94,292 | |||
Fox Wizel, Ltd. | 805 | 80,831 | |||
Gazit-Globe, Ltd. | 12,106 | 79,065 | |||
Gev-Yam Land, Ltd. | 10,700 | 87,245 | |||
Gilat Satellite Networks, Ltd. | 8,589 | 55,641 | |||
Harel Insurance Investments & Financial Services, Ltd. (a) | 14,865 | 137,039 | |||
Hilan, Ltd. | 1,722 | 81,734 | |||
ICL Group, Ltd. | 93,586 | 476,849 | |||
Isracard, Ltd. | 49,413 | 166,978 | |||
Israel Corp., Ltd. (a) | 350 | 66,800 | |||
Israel Discount Bank, Ltd. Class A | 125,650 | 483,691 | |||
Ituran Location and Control, Ltd. | 2,300 | 43,815 | |||
Kornit Digital, Ltd. (a) | 4,600 | 409,998 | |||
Matrix IT, Ltd. | 4,080 | 92,368 | |||
Maytronics, Ltd. | 9,751 | 146,654 | |||
Mega Or Holdings, Ltd. | 2,173 | 66,189 | |||
Mehadrin, Ltd. (a) | 0 | 10 | |||
Melisron, Ltd. | 2,227 | 121,033 | |||
Mivne Real Estate KD, Ltd. | 61,556 | 158,740 | |||
Mizrahi Tefahot Bank, Ltd. | 18,647 | 431,213 | |||
Nano-X Imaging, Ltd. (a)(b) | 1,200 | 54,792 | |||
Naphtha Israel Petroleum Corp., Ltd. (a) | 12,597 | 60,419 | |||
Nice, Ltd. (a) | 6,680 | 1,872,430 | |||
Nova Measuring Instruments, Ltd. (a) | 2,278 | 160,839 | |||
Oil Refineries, Ltd. (a) | 162,289 | 36,797 | |||
OPC Energy, Ltd. (a) | 13,656 | 142,225 | |||
Partner Communications Co., Ltd. (a) | 17,416 | 96,117 | |||
Paz Oil Co., Ltd. | 926 | 99,354 | |||
Phoenix Holdings, Ltd. (a) | 13,973 | 106,447 | |||
Plus500, Ltd. | 10,246 | 203,084 | |||
Property & Building Corp., Ltd. | 682 | 67,312 | |||
Radware, Ltd. (a) | 5,000 | 138,750 | |||
Rami Levy Chain Stores Hashikma Marketing 2006, Ltd. | 1,480 | 103,712 | |||
Reit 1, Ltd. | 26,757 | 134,085 | |||
Sapiens International Corp. NV | 3,605 | 111,458 | |||
Shapir Engineering and Industry, Ltd. | 13,487 | 102,450 | |||
Shikun & Binui, Ltd. (a) | 19,796 | 115,479 | |||
Shufersal, Ltd. | 16,242 | 125,452 | |||
Strauss Group, Ltd. | 4,796 | 143,964 | |||
Summit Real Estate Holdings, Ltd. (a) | 5,965 | 88,970 |
Security Description | Shares | Value | |||
Teva Pharmaceutical Industries, Ltd. ADR (a) | 102,553 | $ 989,636 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 19,463 | 185,186 | |||
Tower Semiconductor, Ltd. (a) | 9,194 | 238,727 | |||
UroGen Pharma, Ltd. (a)(b) | 2,000 | 36,040 | |||
Wix.com, Ltd. (a) | 6,300 | 1,574,748 | |||
17,439,618 | |||||
ITALY — 1.4% | |||||
A2A SpA | 163,163 | 260,428 | |||
ACEA SpA | 4,921 | 103,262 | |||
AMCO - Asset Management Co. SpA (a)(b)(d) | 404 | — | |||
Amplifon SpA (a) | 13,429 | 559,313 | |||
Anima Holding SpA (c) | 29,819 | 141,635 | |||
Arnoldo Mondadori Editore SpA (a) | 41,346 | 76,389 | |||
Ascopiave SpA | 16,517 | 73,461 | |||
Assicurazioni Generali SpA | 118,987 | 2,076,064 | |||
ASTM SpA (a) | 10,474 | 263,999 | |||
Atlantia SpA (a) | 58,298 | 1,049,628 | |||
Autogrill SpA (a)(b) | 11,566 | 77,409 | |||
Azimut Holding SpA | 9,951 | 216,359 | |||
Banca Farmafactoring SpA (a)(c) | 13,422 | 81,127 | |||
Banca Generali SpA (a) | 6,505 | 216,808 | |||
Banca Mediolanum SpA | 11,786 | 102,387 | |||
Banca Monte dei Paschi di Siena SpA (a)(b) | 25,614 | 32,688 | |||
Banca Popolare di Sondrio SCPA (a) | 56,342 | 151,662 | |||
Banco BPM SpA (a) | 149,932 | 331,676 | |||
BPER Banca (a) | 145,833 | 264,974 | |||
Brembo SpA (a) | 17,541 | 231,793 | |||
Brunello Cucinelli SpA (a) | 3,092 | 135,061 | |||
Buzzi Unicem SpA (e) | 3,778 | 60,648 | |||
Buzzi Unicem SpA (b)(e) | 8,867 | 211,560 | |||
Carel Industries SpA (c) | 5,036 | 118,183 | |||
Cerved Group SpA (a) | 15,889 | 144,835 | |||
CIR SpA-Compagnie Industriali (a) | 81,273 | 43,754 | |||
Credito Emiliano SpA (a) | 7,794 | 42,055 | |||
Credito Valtellinese SpA (a) | 10,643 | 150,329 | |||
Danieli & C Officine Meccaniche SpA | 3,347 | 39,314 | |||
Davide Campari-Milano NV | 60,497 | 691,357 | |||
De' Longhi SpA | 7,007 | 221,023 | |||
DiaSorin SpA | 2,622 | 545,706 | |||
doValue SpA (a)(c) | 6,479 | 76,499 | |||
El.En. SpA (a) | 2,722 | 88,425 | |||
Enav SpA (c) | 23,366 | 102,865 | |||
Enel SpA | 882,971 | 8,941,052 | |||
Eni SpA | 274,370 | 2,869,610 | |||
ERG SpA | 5,487 | 157,099 | |||
Falck Renewables SpA | 16,956 | 136,720 |
Security Description | Shares | Value | |||
Ferrari NV | 13,595 | $ 3,138,034 | |||
Fila SpA (a) | 4,681 | 52,521 | |||
FinecoBank Banca Fineco SpA (a) | 65,740 | 1,077,845 | |||
Gruppo MutuiOnline SpA | 3,985 | 169,923 | |||
GVS SpA (a)(c) | 12,903 | 240,759 | |||
Hera SpA | 76,827 | 280,125 | |||
Illimity Bank SpA (a) | 8,543 | 93,971 | |||
IMA Industria Macchine Automatiche SpA (a) | 2,085 | 173,220 | |||
Immobiliare Grande Distribuzione SIIQ SpA REIT | 13,675 | 60,235 | |||
Infrastrutture Wireless Italiane SpA (c) | 43,441 | 527,802 | |||
Interpump Group SpA | 7,226 | 356,661 | |||
Intesa Sanpaolo SpA (a) | 1,783,539 | 4,173,769 | |||
Iren SpA | 52,897 | 137,599 | |||
Italgas SpA | 45,346 | 288,512 | |||
Italmobiliare SpA | 2,891 | 103,642 | |||
Juventus Football Club SpA (a) | 49,118 | 48,956 | |||
La Doria SpA | 7,554 | 126,440 | |||
Leonardo SpA | 37,958 | 274,481 | |||
MARR SpA (a) | 3,554 | 73,316 | |||
Mediaset SpA (a) | 40,137 | 102,443 | |||
Mediobanca Banca di Credito Finanziario SpA (a) | 63,437 | 585,242 | |||
Moncler SpA (a) | 22,656 | 1,389,918 | |||
Nexi SpA (a)(c) | 49,673 | 993,103 | |||
Piaggio & C SpA | 24,484 | 80,765 | |||
Pirelli & C SpA (a)(b)(c) | 44,955 | 243,836 | |||
Poste Italiane SpA (c) | 54,418 | 553,972 | |||
Prysmian SpA | 26,199 | 932,182 | |||
RAI Way SpA (c) | 11,872 | 79,312 | |||
Recordati Industria Chimica e Farmaceutica SpA | 10,680 | 592,350 | |||
Reply SpA | 1,871 | 218,167 | |||
Saipem SpA (b) | 65,470 | 176,633 | |||
Salvatore Ferragamo SpA (a) | 6,814 | 132,229 | |||
Saras SpA (a)(b) | 44,370 | 32,275 | |||
Sesa SpA (a) | 1,926 | 242,725 | |||
Snam SpA | 219,686 | 1,236,734 | |||
Societa Cattolica di Assicurazioni SC (a)(b) | 13,369 | 75,016 | |||
Tamburi Investment Partners SpA | 9,384 | 79,110 | |||
Technogym SpA (a)(c) | 9,301 | 105,153 | |||
Telecom Italia SpA (b)(e) | 901,836 | 416,439 | |||
Telecom Italia SpA (e) | 844,429 | 437,871 | |||
Terna Rete Elettrica Nazionale SpA | 151,749 | 1,160,453 | |||
Tinexta SpA (a) | 5,449 | 140,010 | |||
UniCredit SpA (a) | 229,231 | 2,145,077 | |||
Unipol Gruppo SpA (a) | 44,840 | 214,518 | |||
Zignago Vetro SpA | 3,618 | 60,559 | |||
44,911,060 |
Security Description | Shares | Value | |||
JAPAN — 16.2% | |||||
77 Bank, Ltd. | 4,900 | $ 66,634 | |||
ABC-Mart, Inc. | 2,900 | 161,228 | |||
Acom Co., Ltd. | 36,100 | 154,197 | |||
Activia Properties, Inc. REIT | 63 | 265,742 | |||
Adastria Co., Ltd. | 2,800 | 56,084 | |||
ADEKA Corp. | 7,500 | 130,830 | |||
Advan Co., Ltd. | 7,300 | 85,059 | |||
Advance Residence Investment Corp. REIT | 128 | 383,709 | |||
Advantest Corp. | 21,500 | 1,609,715 | |||
Aeon Co., Ltd. | 71,700 | 2,350,763 | |||
Aeon Delight Co., Ltd. | 2,000 | 52,032 | |||
AEON Financial Service Co., Ltd. | 10,500 | 125,701 | |||
Aeon Mall Co., Ltd. | 8,700 | 143,420 | |||
AEON REIT Investment Corp. | 136 | 173,878 | |||
AGC, Inc. (b) | 21,000 | 732,239 | |||
Ai Holdings Corp. | 4,100 | 82,401 | |||
AI inside, Inc. (a) | 100 | 71,093 | |||
Aica Kogyo Co., Ltd. | 4,600 | 158,836 | |||
Aichi Bank, Ltd. | 2,200 | 62,604 | |||
Aichi Corp. | 11,000 | 97,700 | |||
Aida Engineering, Ltd. | 8,700 | 81,401 | |||
Aiful Corp. (a) | 30,500 | 73,263 | |||
Ain Holdings, Inc. | 3,000 | 185,094 | |||
Air Water, Inc. | 20,000 | 355,271 | |||
Aisin Seiki Co., Ltd. | 16,600 | 497,622 | |||
Ajinomoto Co., Inc. | 49,800 | 1,127,488 | |||
Akatsuki, Inc. | 1,100 | 44,055 | |||
Alfresa Holdings Corp. | 19,200 | 351,289 | |||
Alpen Co., Ltd. | 6,500 | 148,830 | |||
Alps Alpine Co., Ltd. | 23,600 | 310,415 | |||
Altech Corp. | 1,300 | 26,417 | |||
Amada Co., Ltd. | 31,200 | 342,386 | |||
Amano Corp. | 4,900 | 117,131 | |||
Amuse, Inc. | 2,700 | 67,471 | |||
ANA Holdings, Inc. (a) | 18,700 | 412,416 | |||
Anest Iwata Corp. | 7,800 | 79,930 | |||
AnGes, Inc. (a)(b) | 16,700 | 201,380 | |||
Anicom Holdings, Inc. | 7,200 | 75,107 | |||
Anritsu Corp. | 16,200 | 361,517 | |||
Aomori Bank, Ltd. (b) | 2,800 | 65,142 | |||
Aozora Bank, Ltd. (b) | 11,600 | 213,810 | |||
Arata Corp. | 1,900 | 90,174 | |||
Arcland Sakamoto Co., Ltd. | 7,200 | 119,320 | |||
Arcland Service Holdings Co., Ltd. (b) | 4,100 | 85,816 | |||
Arcs Co., Ltd. | 3,700 | 83,106 | |||
Argo Graphics, Inc. | 2,900 | 90,866 | |||
Ariake Japan Co., Ltd. | 2,000 | 143,736 | |||
ARTERIA Networks Corp. | 5,200 | 75,297 | |||
Aruhi Corp. | 3,000 | 52,564 | |||
As One Corp. | 1,300 | 222,238 | |||
Asahi Co., Ltd. | 5,300 | 83,367 |
Security Description | Shares | Value | |||
Asahi Group Holdings, Ltd. (b) | 49,800 | $ 2,047,084 | |||
Asahi Holdings, Inc. | 3,200 | 113,594 | |||
Asahi Intecc Co., Ltd. | 20,100 | 732,980 | |||
Asahi Kasei Corp. | 138,500 | 1,414,579 | |||
Asics Corp. (b) | 15,700 | 301,090 | |||
ASKA Pharmaceutical Co., Ltd. | 7,100 | 109,686 | |||
ASKUL Corp. | 2,400 | 89,496 | |||
Astellas Pharma, Inc. | 202,500 | 3,126,398 | |||
Atom Corp. | 8,300 | 69,940 | |||
Autobacs Seven Co., Ltd. | 6,500 | 89,840 | |||
Avex, Inc. | 6,600 | 73,131 | |||
Awa Bank, Ltd. | 2,900 | 65,671 | |||
Axial Retailing, Inc. | 2,100 | 102,107 | |||
Azbil Corp. | 14,200 | 775,708 | |||
Bandai Namco Holdings, Inc. | 21,900 | 1,893,355 | |||
Bank of Iwate, Ltd. | 1,300 | 25,258 | |||
Bank of Kyoto, Ltd. (b) | 5,500 | 286,067 | |||
Bank of Nagoya, Ltd. | 3,700 | 91,456 | |||
Bank of Okinawa, Ltd. | 2,300 | 61,017 | |||
Bank of the Ryukyus, Ltd. | 7,800 | 57,643 | |||
BASE, Inc. (a) | 1,600 | 151,252 | |||
BayCurrent Consulting, Inc. | 1,500 | 262,821 | |||
Belc Co., Ltd. | 1,500 | 90,658 | |||
Bell System24 Holdings, Inc. | 3,500 | 54,816 | |||
Belluna Co., Ltd. | 8,800 | 96,656 | |||
Benefit One, Inc. | 7,400 | 218,606 | |||
Benesse Holdings, Inc. | 6,600 | 128,682 | |||
BeNEXT Group, Inc. (b) | 5,700 | 70,501 | |||
Bengo4.com, Inc. (a) | 1,400 | 138,854 | |||
Bic Camera, Inc. | 9,400 | 104,247 | |||
BML, Inc. | 3,000 | 93,128 | |||
Bridgestone Corp. (b) | 58,700 | 1,923,975 | |||
Broadleaf Co., Ltd. (b) | 12,400 | 81,910 | |||
BRONCO BILLY Co., Ltd. (b) | 3,200 | 71,132 | |||
Brother Industries, Ltd. | 24,900 | 512,736 | |||
Bunka Shutter Co., Ltd. | 10,500 | 98,954 | |||
Calbee, Inc. | 8,900 | 268,090 | |||
Canon Marketing Japan, Inc. (b) | 4,800 | 109,441 | |||
Canon, Inc. (b) | 107,900 | 2,067,182 | |||
Capcom Co., Ltd. | 9,600 | 622,984 | |||
Casio Computer Co., Ltd. | 20,100 | 367,171 | |||
Cawachi, Ltd. | 5,300 | 150,871 | |||
Central Glass Co., Ltd. | 3,300 | 71,788 | |||
Central Japan Railway Co. | 15,700 | 2,218,635 | |||
Central Security Patrols Co., Ltd. (b) | 1,400 | 48,613 | |||
Change, Inc. (a)(b) | 2,400 | 81,941 | |||
Chiba Bank, Ltd. | 52,500 | 288,828 | |||
Chiyoda Co., Ltd. | 5,100 | 45,198 | |||
Chiyoda Corp. (a)(b) | 14,600 | 40,019 | |||
Chofu Seisakusho Co., Ltd. | 3,100 | 62,513 | |||
Chubu Electric Power Co., Inc. | 73,800 | 888,502 |
Security Description | Shares | Value | |||
Chubu Shiryo Co., Ltd. | 6,500 | $ 88,014 | |||
Chudenko Corp. | 3,000 | 64,071 | |||
Chugai Pharmaceutical Co., Ltd. | 74,600 | 3,976,210 | |||
Chugoku Bank, Ltd. | 11,600 | 92,917 | |||
Chugoku Electric Power Co., Inc. | 35,700 | 418,047 | |||
Chugoku Marine Paints, Ltd. | 8,400 | 84,533 | |||
Chukyo Bank, Ltd. | 3,500 | 66,139 | |||
CI Takiron Corp. | 12,200 | 81,534 | |||
Citizen Watch Co., Ltd. | 23,300 | 66,349 | |||
CKD Corp. | 5,700 | 121,900 | |||
Coca-Cola Bottlers Japan Holdings, Inc. (b) | 10,700 | 166,752 | |||
cocokara fine, Inc. | 1,500 | 110,853 | |||
COLOPL, Inc. (b) | 4,900 | 48,504 | |||
Colowide Co., Ltd. (b) | 5,200 | 82,247 | |||
Comforia Residential REIT, Inc. | 50 | 143,978 | |||
Computer Engineering & Consulting, Ltd. | 3,800 | 55,761 | |||
COMSYS Holdings Corp. | 11,700 | 363,199 | |||
Comture Corp. | 1,700 | 48,096 | |||
Concordia Financial Group, Ltd. | 106,900 | 375,851 | |||
CONEXIO Corp. | 5,500 | 76,125 | |||
COOKPAD, Inc. (a) | 26,600 | 80,126 | |||
Cosel Co., Ltd. | 7,800 | 94,964 | |||
Cosmo Energy Holdings Co., Ltd. | 4,000 | 71,171 | |||
Cosmos Pharmaceutical Corp. | 2,000 | 323,115 | |||
CRE Logistics REIT, Inc. | 40 | 60,865 | |||
Create Restaurants Holdings, Inc. (a)(b) | 9,100 | 54,647 | |||
Create SD Holdings Co., Ltd. | 2,400 | 90,077 | |||
Credit Saison Co., Ltd. | 12,900 | 148,185 | |||
Curves Holdings Co., Ltd. (b) | 4,300 | 32,111 | |||
CyberAgent, Inc. | 10,800 | 743,745 | |||
CYBERDYNE, Inc. (a)(b) | 11,000 | 77,350 | |||
Cybozu, Inc. (b) | 7,400 | 184,848 | |||
Dai Nippon Printing Co., Ltd. (b) | 24,800 | 445,581 | |||
Daibiru Corp. | 5,000 | 63,248 | |||
Daicel Corp. | 24,500 | 178,687 | |||
Dai-Dan Co., Ltd. | 1,100 | 31,707 | |||
Daido Steel Co., Ltd. | 4,200 | 175,127 | |||
Daifuku Co., Ltd. | 11,000 | 1,359,485 | |||
Daihen Corp. | 2,300 | 111,831 | |||
Daiho Corp. | 2,700 | 95,191 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 95,540 | |||
Dai-ichi Life Holdings, Inc. | 120,800 | 1,815,890 | |||
Daiichi Sankyo Co., Ltd. | 186,500 | 6,385,563 | |||
Daiichikosho Co., Ltd. | 3,500 | 120,853 | |||
Daiken Corp. | 4,000 | 67,877 | |||
Daikin Industries, Ltd. | 27,300 | 6,060,497 | |||
Daikokutenbussan Co., Ltd. | 2,200 | 146,390 |
Security Description | Shares | Value | |||
Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 2,400 | $ 55,999 | |||
Daio Paper Corp. | 9,400 | 182,455 | |||
Daiseki Co., Ltd. | 2,800 | 82,038 | |||
Daishi Hokuetsu Financial Group, Inc. | 3,500 | 75,258 | |||
Daito Trust Construction Co., Ltd. | 7,100 | 662,928 | |||
Daiwa House Industry Co., Ltd. | 63,400 | 1,881,521 | |||
Daiwa House REIT Investment Corp. | 206 | 509,189 | |||
Daiwa Industries, Ltd. | 6,600 | 67,250 | |||
Daiwa Office Investment Corp. REIT | 32 | 203,322 | |||
Daiwa Securities Group, Inc. | 150,300 | 684,207 | |||
Daiwa Securities Living Investments Corp. REIT | 188 | 174,261 | |||
Daiwabo Holdings Co., Ltd. | 1,700 | 151,155 | |||
DCM Holdings Co., Ltd. | 9,000 | 102,775 | |||
Demae-Can Co., Ltd. (a)(b) | 2,700 | 82,115 | |||
DeNA Co., Ltd. | 10,300 | 183,464 | |||
Denka Co., Ltd. | 9,200 | 359,107 | |||
Denso Corp. | 47,500 | 2,822,074 | |||
Dentsu Group, Inc. (b) | 23,500 | 697,637 | |||
Denyo Co., Ltd. | 4,200 | 87,462 | |||
Descente, Ltd. (a)(b) | 2,700 | 46,576 | |||
Dexerials Corp. | 9,400 | 122,820 | |||
DIC Corp. (b) | 8,100 | 204,295 | |||
Digital Arts, Inc. | 1,100 | 101,216 | |||
Digital Garage, Inc. | 3,600 | 148,366 | |||
Dip Corp. | 2,900 | 77,328 | |||
Disco Corp. | 3,100 | 1,043,392 | |||
DKK Co., Ltd. | 2,400 | 62,229 | |||
DMG Mori Co., Ltd. (b) | 11,600 | 176,284 | |||
Doshisha Co., Ltd. | 4,900 | 92,404 | |||
Dowa Holdings Co., Ltd. | 4,400 | 159,175 | |||
DTS Corp. | 3,400 | 70,012 | |||
Duskin Co., Ltd. | 3,800 | 105,743 | |||
DyDo Group Holdings, Inc. | 1,000 | 51,915 | |||
Earth Corp. (b) | 1,200 | 67,645 | |||
East Japan Railway Co. | 32,600 | 2,173,965 | |||
Ebara Corp. | 10,300 | 336,200 | |||
EDION Corp. | 7,600 | 77,145 | |||
eGuarantee, Inc. | 5,300 | 115,451 | |||
Ehime Bank, Ltd. | 6,900 | 66,430 | |||
Eiken Chemical Co., Ltd. | 3,800 | 75,636 | |||
Eisai Co., Ltd. | 27,500 | 1,963,582 | |||
Eizo Corp. | 1,600 | 56,410 | |||
Elan Corp. | 4,000 | 58,075 | |||
Elecom Co., Ltd. | 1,800 | 92,925 | |||
Electric Power Development Co., Ltd. | 12,800 | 176,171 | |||
EM Systems Co., Ltd. | 15,200 | 139,420 | |||
ENEOS HoldingS, Inc. | 327,600 | 1,175,292 | |||
Enigmo, Inc. | 2,600 | 31,277 |
Security Description | Shares | Value | |||
en-japan, Inc. | 2,300 | $ 68,836 | |||
Enplas Corp. (b) | 2,200 | 83,103 | |||
eRex Co., Ltd. (b) | 3,000 | 60,381 | |||
ES-Con Japan, Ltd. (b) | 8,700 | 68,761 | |||
ESPEC Corp. | 4,100 | 82,044 | |||
euglena Co., Ltd. (a) | 8,100 | 60,724 | |||
Ezaki Glico Co., Ltd. (b) | 3,900 | 171,306 | |||
FAN Communications, Inc. (b) | 14,400 | 58,440 | |||
Fancl Corp. | 9,300 | 370,667 | |||
FANUC Corp. | 21,000 | 5,158,216 | |||
Fast Retailing Co., Ltd. | 6,400 | 5,732,074 | |||
FCC Co., Ltd. | 3,600 | 62,171 | |||
Feed One Co., Ltd. (b) | 10,340 | 87,131 | |||
Ferrotec Holdings Corp. | 3,800 | 64,741 | |||
Financial Products Group Co., Ltd. | 7,200 | 35,078 | |||
Foster Electric Co., Ltd. | 3,100 | 38,223 | |||
FP Corp. | 4,400 | 184,745 | |||
France Bed Holdings Co., Ltd. | 7,600 | 66,324 | |||
Freee KK (a) | 3,000 | 293,477 | |||
Frontier Real Estate Investment Corp. REIT (b) | 42 | 162,313 | |||
Fuji Co., Ltd. (b) | 4,000 | 75,742 | |||
Fuji Corp. | 7,600 | 199,707 | |||
Fuji Electric Co., Ltd. | 14,900 | 536,137 | |||
Fuji Kyuko Co., Ltd. (b) | 2,700 | 125,919 | |||
Fuji Media Holdings, Inc. | 5,100 | 54,337 | |||
Fuji Oil Holdings, Inc. | 9,500 | 271,166 | |||
Fuji Seal International, Inc. | 3,900 | 76,115 | |||
Fuji Soft, Inc. | 2,700 | 134,941 | |||
Fujicco Co., Ltd. | 4,500 | 87,258 | |||
FUJIFILM Holdings Corp. | 39,100 | 2,059,429 | |||
Fujikura, Ltd. (a) | 39,500 | 181,728 | |||
Fujimi, Inc. | 2,900 | 109,967 | |||
Fujimori Kogyo Co., Ltd. | 2,700 | 124,742 | |||
Fujio Food Group, Inc. (b) | 4,800 | 58,393 | |||
Fujitec Co., Ltd. | 5,700 | 122,949 | |||
Fujitsu General, Ltd. | 6,400 | 173,258 | |||
Fujitsu, Ltd. | 21,500 | 3,103,855 | |||
Fujiya Co., Ltd. | 3,600 | 81,941 | |||
Fukuda Corp. (b) | 1,800 | 98,155 | |||
Fukui Computer Holdings, Inc. | 3,000 | 116,519 | |||
Fukuoka Financial Group, Inc. | 17,600 | 312,468 | |||
Fukuoka REIT Corp. | 76 | 112,625 | |||
Fukushima Galilei Co., Ltd. | 2,400 | 104,257 | |||
Fukuyama Transporting Co., Ltd. | 3,000 | 126,253 | |||
FULLCAST Holdings Co., Ltd. (b) | 3,600 | 55,929 | |||
Funai Soken Holdings, Inc. | 3,000 | 73,253 | |||
Furukawa Co., Ltd. | 5,200 | 61,698 | |||
Furukawa Electric Co., Ltd. | 6,100 | 164,368 | |||
Fuso Chemical Co., Ltd. | 3,100 | 111,545 |
Security Description | Shares | Value | |||
Futaba Corp. | 6,000 | $ 51,838 | |||
Fuyo General Lease Co., Ltd. | 2,900 | 191,564 | |||
Gakken Holdings Co., Ltd. | 2,400 | 40,680 | |||
Genky DrugStores Co., Ltd. | 3,300 | 129,769 | |||
Geo Holdings Corp. | 5,700 | 66,747 | |||
Giken, Ltd. (b) | 2,200 | 90,881 | |||
Global One Real Estate Investment Corp. REIT | 91 | 92,282 | |||
Glory, Ltd. | 4,000 | 80,624 | |||
GLP J-REIT | 451 | 710,277 | |||
GMO GlobalSign Holdings KK (b) | 500 | 42,859 | |||
GMO internet, Inc. | 6,900 | 197,888 | |||
GMO Payment Gateway, Inc. | 4,400 | 589,820 | |||
GNI Group, Ltd. (a) | 3,600 | 63,042 | |||
Godo Steel, Ltd. | 3,600 | 67,680 | |||
Goldcrest Co., Ltd. | 3,600 | 56,034 | |||
Goldwin, Inc. | 2,000 | 131,919 | |||
Grace Technology, Inc. | 1,300 | 87,133 | |||
Gree, Inc. | 15,200 | 89,070 | |||
GS Yuasa Corp. | 6,000 | 172,250 | |||
GungHo Online Entertainment, Inc. (a)(b) | 3,200 | 71,535 | |||
Gunma Bank, Ltd. | 44,800 | 137,986 | |||
Gunze, Ltd. | 1,500 | 48,816 | |||
Gurunavi, Inc. | 3,800 | 19,249 | |||
H.U. Group Holdings, Inc. | 4,100 | 110,358 | |||
H2O Retailing Corp. | 7,900 | 53,409 | |||
Hachijuni Bank, Ltd. | 28,400 | 94,350 | |||
Hakuhodo DY Holdings, Inc. | 23,800 | 326,185 | |||
Hamakyorex Co., Ltd. | 2,200 | 62,455 | |||
Hamamatsu Photonics KK | 15,200 | 868,613 | |||
Hankyu Hanshin Holdings, Inc. | 24,900 | 827,226 | |||
Hankyu Hanshin REIT, Inc. | 94 | 116,174 | |||
Hanwa Co., Ltd. | 3,500 | 93,801 | |||
Harmonic Drive Systems, Inc. | 3,900 | 348,278 | |||
Haseko Corp. | 27,700 | 317,392 | |||
Hazama Ando Corp. | 19,400 | 135,290 | |||
HEALIOS KK (a)(b) | 3,200 | 60,966 | |||
Heiwa Corp. | 5,300 | 73,049 | |||
Heiwa Real Estate Co., Ltd. | 2,900 | 104,770 | |||
Heiwa Real Estate REIT, Inc. | 115 | 143,242 | |||
Heiwado Co., Ltd. | 3,000 | 64,361 | |||
Hibiya Engineering, Ltd. | 4,100 | 75,332 | |||
Hiday Hidaka Corp. (b) | 3,500 | 58,783 | |||
Hikari Tsushin, Inc. | 2,200 | 515,240 | |||
Hino Motors, Ltd. | 29,300 | 249,452 | |||
Hioki EE Corp. | 2,100 | 85,021 | |||
Hirata Corp. | 1,100 | 82,251 | |||
Hirogin Holdings, Inc. | 29,200 | 164,037 | |||
Hirose Electric Co., Ltd. | 3,300 | 500,218 | |||
HIS Co., Ltd. (a) | 3,700 | 57,268 | |||
Hisamitsu Pharmaceutical Co., Inc. | 5,400 | 320,616 | |||
Hitachi Capital Corp. | 5,300 | 127,873 |
Security Description | Shares | Value | |||
Hitachi Construction Machinery Co., Ltd. | 11,500 | $ 326,360 | |||
Hitachi Metals, Ltd. | 22,200 | 336,725 | |||
Hitachi Transport System, Ltd. | 4,800 | 142,728 | |||
Hitachi Zosen Corp. | 16,500 | 91,094 | |||
Hitachi, Ltd. | 106,100 | 4,177,408 | |||
Hochiki Corp. | 5,300 | 65,451 | |||
Hodogaya Chemical Co., Ltd. | 2,200 | 108,247 | |||
Hogy Medical Co., Ltd. | 2,100 | 68,241 | |||
Hokkaido Electric Power Co., Inc. | 31,100 | 112,959 | |||
Hokkoku Bank, Ltd. | 1,900 | 48,197 | |||
Hokuetsu Corp. | 13,800 | 54,802 | |||
Hokuhoku Financial Group, Inc. | 15,100 | 143,183 | |||
Hokuriku Electric Power Co. | 11,800 | 76,804 | |||
Hokuto Corp. | 6,300 | 127,349 | |||
Honda Motor Co., Ltd. | 180,500 | 5,030,643 | |||
Horiba, Ltd. | 3,300 | 193,375 | |||
Hoshino Resorts REIT, Inc. (b) | 28 | 136,413 | |||
Hoshizaki Corp. (b) | 5,600 | 513,652 | |||
Hosiden Corp. | 7,100 | 68,287 | |||
Hosokawa Micron Corp. | 2,600 | 160,163 | |||
House Foods Group, Inc. | 6,600 | 250,588 | |||
Hoya Corp. | 41,600 | 5,749,741 | |||
Hulic Co., Ltd. | 32,400 | 355,554 | |||
Hulic Reit, Inc. | 121 | 180,366 | |||
Hyakugo Bank, Ltd. | 22,900 | 66,097 | |||
Hyakujushi Bank, Ltd. | 4,200 | 60,450 | |||
Ibiden Co., Ltd. | 12,100 | 564,303 | |||
IBJ Leasing Co., Ltd. | 2,800 | 84,207 | |||
Ichibanya Co., Ltd. | 1,500 | 74,822 | |||
Ichigo Office REIT Investment Corp. | 122 | 87,915 | |||
Ichigo, Inc. | 17,400 | 52,245 | |||
Icom, Inc. (b) | 3,400 | 89,639 | |||
Idec Corp. | 3,800 | 67,023 | |||
Idemitsu Kosan Co., Ltd. | 20,677 | 454,616 | |||
IHI Corp. | 14,400 | 285,503 | |||
Iida Group Holdings Co., Ltd. | 16,000 | 322,960 | |||
Inaba Denki Sangyo Co., Ltd. | 5,300 | 129,670 | |||
Inabata & Co., Ltd. | 5,700 | 79,611 | |||
Inageya Co., Ltd. | 2,600 | 45,883 | |||
Industrial & Infrastructure Fund Investment Corp. REIT | 200 | 369,025 | |||
Ines Corp. | 6,800 | 91,944 | |||
Infocom Corp. | 2,800 | 91,937 | |||
Infomart Corp. | 20,800 | 198,239 | |||
Information Services International-Dentsu, Ltd. | 2,000 | 60,536 | |||
Inpex Corp. | 118,100 | 635,998 | |||
Insource Co., Ltd. | 3,200 | 52,783 | |||
Internet Initiative Japan, Inc. | 6,000 | 118,088 | |||
Invesco Office J-Reit, Inc. | 835 | 122,203 |
Security Description | Shares | Value | |||
Invincible Investment Corp. REIT | 527 | $ 169,210 | |||
IR Japan Holdings, Ltd. | 1,100 | 175,582 | |||
Iriso Electronics Co., Ltd. | 1,500 | 64,797 | |||
Iseki & Co., Ltd. (a)(b) | 5,100 | 68,316 | |||
Isetan Mitsukoshi Holdings, Ltd. | 36,600 | 216,243 | |||
Isuzu Motors, Ltd. | 56,300 | 534,399 | |||
Ito En, Ltd. | 5,500 | 347,862 | |||
Itochu Advance Logistics Investment Corp. REIT | 64 | 82,383 | |||
ITOCHU Corp. | 147,600 | 4,237,362 | |||
Itochu Enex Co., Ltd. | 5,600 | 55,054 | |||
Itochu Techno-Solutions Corp. | 9,500 | 339,072 | |||
Itoham Yonekyu Holdings, Inc. | 15,500 | 101,036 | |||
Itokuro, Inc. (a) | 4,800 | 59,788 | |||
Iwatani Corp. | 3,800 | 234,084 | |||
Iyo Bank, Ltd. | 28,400 | 177,973 | |||
Izumi Co., Ltd. | 3,200 | 115,763 | |||
J Front Retailing Co., Ltd. | 21,300 | 168,139 | |||
JAC Recruitment Co., Ltd. (b) | 3,700 | 67,804 | |||
Jaccs Co., Ltd. | 3,300 | 58,428 | |||
JAFCO Group Co., Ltd. | 3,600 | 179,573 | |||
Japan Airlines Co., Ltd. (a) | 15,200 | 293,709 | |||
Japan Airport Terminal Co., Ltd. | 5,200 | 314,785 | |||
Japan Aviation Electronics Industry, Ltd. | 5,700 | 87,174 | |||
Japan Best Rescue System Co., Ltd. | 2,200 | 19,178 | |||
Japan Elevator Service Holdings Co., Ltd. | 5,600 | 142,326 | |||
Japan Excellent, Inc. REIT (b) | 102 | 126,358 | |||
Japan Exchange Group, Inc. | 54,400 | 1,389,968 | |||
Japan Hotel REIT Investment Corp. | 485 | 248,971 | |||
Japan Lifeline Co., Ltd. | 4,500 | 70,914 | |||
Japan Logistics Fund, Inc. REIT | 78 | 230,045 | |||
Japan Material Co., Ltd. | 5,700 | 78,065 | |||
Japan Petroleum Exploration Co., Ltd. | 2,300 | 41,792 | |||
Japan Post Bank Co., Ltd. | 41,400 | 339,637 | |||
Japan Post Holdings Co., Ltd. | 172,000 | 1,337,417 | |||
Japan Post Insurance Co., Ltd. | 23,000 | 470,493 | |||
Japan Prime Realty Investment Corp. REIT (b) | 87 | 288,188 | |||
Japan Pulp & Paper Co., Ltd. | 2,000 | 70,318 | |||
Japan Real Estate Investment Corp. REIT | 143 | 825,493 | |||
Japan Retail Fund Investment Corp. REIT | 267 | 485,149 | |||
Japan Steel Works, Ltd. | 6,400 | 190,615 |
Security Description | Shares | Value | |||
Japan Tobacco, Inc. (b) | 131,500 | $ 2,677,253 | |||
Japan Wool Textile Co., Ltd. | 5,100 | 49,298 | |||
JCR Pharmaceuticals Co., Ltd. | 6,200 | 146,345 | |||
JCU Corp. | 3,500 | 134,752 | |||
Jeol, Ltd. | 3,000 | 141,363 | |||
JFE Holdings, Inc. (a) | 50,200 | 480,387 | |||
JGC Holdings Corp. | 20,200 | 188,608 | |||
JINS Holdings, Inc. | 1,200 | 78,803 | |||
JM Holdings Co., Ltd. | 4,100 | 91,217 | |||
JMDC, Inc. (a) | 1,600 | 90,503 | |||
J-Oil Mills, Inc. | 1,800 | 61,630 | |||
Joshin Denki Co., Ltd. | 3,500 | 92,310 | |||
Joyful Honda Co., Ltd. (b) | 6,400 | 91,743 | |||
JSR Corp. | 21,100 | 587,354 | |||
JTEKT Corp. | 23,200 | 179,991 | |||
JTOWER, Inc. (a) | 900 | 93,273 | |||
Juroku Bank, Ltd. | 3,000 | 54,540 | |||
Justsystems Corp. (b) | 4,000 | 277,786 | |||
Kadokawa Dwango | 4,800 | 174,110 | |||
Kagome Co., Ltd. (b) | 8,700 | 306,727 | |||
Kajima Corp. | 45,900 | 614,401 | |||
Kakaku.com, Inc. | 14,400 | 394,712 | |||
Kaken Pharmaceutical Co., Ltd. | 3,100 | 119,652 | |||
Kamakura Shinsho, Ltd. (b) | 2,000 | 22,142 | |||
Kameda Seika Co., Ltd. | 1,600 | 75,084 | |||
Kamigumi Co., Ltd. | 10,700 | 195,148 | |||
Kanamoto Co., Ltd. | 3,000 | 64,391 | |||
Kandenko Co., Ltd. | 8,400 | 71,027 | |||
Kaneka Corp. | 5,200 | 181,820 | |||
Kanematsu Corp. | 6,200 | 77,226 | |||
Kanematsu Electronics, Ltd. | 1,000 | 40,196 | |||
Kansai Electric Power Co., Inc. | 81,000 | 763,908 | |||
Kansai Mirai Financial Group, Inc. | 8,100 | 39,149 | |||
Kansai Paint Co., Ltd. | 18,100 | 556,613 | |||
Kanto Denka Kogyo Co., Ltd. | 9,100 | 69,807 | |||
Kao Corp. | 53,500 | 4,129,934 | |||
Kappa Create Co., Ltd. (a)(b) | 7,600 | 106,368 | |||
Katakura Industries Co., Ltd. | 5,600 | 72,139 | |||
Katitas Co., Ltd. | 5,500 | 177,127 | |||
Kato Sangyo Co., Ltd. | 2,100 | 71,088 | |||
Kawasaki Heavy Industries, Ltd. (a) | 15,500 | 348,898 | |||
Kawasaki Kisen Kaisha, Ltd. (a)(b) | 6,700 | 137,057 | |||
KDDI Corp. | 178,700 | 5,306,738 | |||
Keihan Holdings Co., Ltd. | 10,000 | 478,958 | |||
Keihanshin Building Co., Ltd. (b) | 6,200 | 111,756 | |||
Keikyu Corp. | 24,800 | 424,923 | |||
Keio Corp. | 11,800 | 914,330 | |||
Keisei Electric Railway Co., Ltd. | 15,800 | 534,089 | |||
Keiyo Co., Ltd. | 15,400 | 109,334 |
Security Description | Shares | Value | |||
Kenedix Office Investment Corp. REIT | 44 | $ 298,320 | |||
Kenedix Residential Next Investment Corp. REIT | 73 | 133,987 | |||
Kenedix Retail REIT Corp. | 49 | 119,362 | |||
Kenedix, Inc. (b) | 23,800 | 172,429 | |||
Kewpie Corp. | 12,200 | 268,236 | |||
Key Coffee, Inc. | 8,000 | 166,129 | |||
Keyence Corp. | 20,100 | 11,291,588 | |||
KH Neochem Co., Ltd. | 3,300 | 87,290 | |||
Kikkoman Corp. | 15,900 | 1,104,199 | |||
Kinden Corp. | 11,400 | 185,390 | |||
Kintetsu Group Holdings Co., Ltd. | 18,600 | 814,296 | |||
Kintetsu World Express, Inc. | 3,700 | 87,729 | |||
Kirin Holdings Co., Ltd. | 90,100 | 2,124,107 | |||
Kisoji Co., Ltd. | 6,300 | 146,509 | |||
Kissei Pharmaceutical Co., Ltd. | 3,200 | 69,334 | |||
Kiyo Bank, Ltd. | 5,000 | 71,432 | |||
Kobayashi Pharmaceutical Co., Ltd. | 5,300 | 647,324 | |||
Kobe Bussan Co., Ltd. (b) | 12,600 | 388,087 | |||
Kobe Steel, Ltd. (a) | 35,800 | 191,058 | |||
Koei Tecmo Holdings Co., Ltd. | 4,300 | 262,386 | |||
Kohnan Shoji Co., Ltd. | 3,300 | 102,760 | |||
Koito Manufacturing Co., Ltd. | 10,800 | 734,331 | |||
Kokuyo Co., Ltd. (b) | 8,000 | 108,247 | |||
Komatsu, Ltd. | 95,900 | 2,617,059 | |||
KOMEDA Holdings Co., Ltd. | 4,200 | 75,868 | |||
Komeri Co., Ltd. | 5,500 | 155,339 | |||
Konami Holdings Corp. | 9,500 | 533,682 | |||
Konica Minolta, Inc. | 49,200 | 187,755 | |||
Konishi Co., Ltd. | 5,200 | 84,262 | |||
Konoike Transport Co., Ltd. | 4,700 | 46,524 | |||
Kose Corp. | 3,600 | 613,686 | |||
Koshidaka Holdings Co., Ltd. (b) | 4,300 | 18,492 | |||
Kotobuki Spirits Co., Ltd. (b) | 1,400 | 72,681 | |||
K's Holdings Corp. | 17,300 | 240,620 | |||
Kubota Corp. | 113,600 | 2,476,765 | |||
Kumagai Gumi Co., Ltd. | 3,200 | 80,523 | |||
Kumiai Chemical Industry Co., Ltd. | 7,900 | 71,084 | |||
Kura Sushi, Inc. | 1,100 | 66,696 | |||
Kurabo Industries, Ltd. | 1,400 | 24,638 | |||
Kuraray Co., Ltd. (b) | 39,900 | 423,946 | |||
Kureha Corp. | 1,200 | 84,498 | |||
Kurita Water Industries, Ltd. | 10,800 | 412,669 | |||
Kusuri no Aoki Holdings Co., Ltd. | 1,400 | 121,904 | |||
KYB Corp. (a) | 1,600 | 36,651 | |||
Kyocera Corp. | 35,200 | 2,156,765 | |||
Kyokuto Kaihatsu Kogyo Co., Ltd. | 5,800 | 78,760 | |||
KYORIN Holdings, Inc. | 6,100 | 114,680 |
Security Description | Shares | Value | |||
Kyoritsu Maintenance Co., Ltd. | 3,100 | $ 115,299 | |||
Kyowa Exeo Corp. | 10,400 | 293,128 | |||
Kyowa Kirin Co., Ltd. | 29,100 | 793,137 | |||
Kyudenko Corp. | 3,500 | 112,887 | |||
Kyushu Electric Power Co., Inc. | 40,500 | 348,336 | |||
Kyushu Financial Group, Inc. | 37,800 | 154,869 | |||
Kyushu Railway Co. | 16,100 | 346,966 | |||
LaSalle Logiport REIT | 226 | 364,244 | |||
Lasertec Corp. | 8,200 | 961,809 | |||
Lawson, Inc. | 5,400 | 251,315 | |||
LEC, Inc. | 7,500 | 94,145 | |||
Leopalace21 Corp. (a)(b) | 27,000 | 31,905 | |||
Life Corp. | 1,600 | 55,247 | |||
Lifenet Insurance Co. (a) | 3,600 | 56,243 | |||
LIFULL Co., Ltd. | 11,100 | 39,672 | |||
Lintec Corp. | 3,800 | 83,843 | |||
Lion Corp. (b) | 22,900 | 554,063 | |||
Lixil Corp. | 29,600 | 640,480 | |||
M&A Capital Partners Co., Ltd. (a) | 1,300 | 74,541 | |||
M3, Inc. | 48,300 | 4,557,963 | |||
Mabuchi Motor Co., Ltd. | 4,900 | 213,332 | |||
Macnica Fuji Electronics Holdings, Inc. | 5,800 | 113,759 | |||
Maeda Corp. | 19,500 | 173,195 | |||
Maeda Kosen Co., Ltd. (b) | 1,800 | 47,247 | |||
Maeda Road Construction Co., Ltd. | 3,500 | 58,647 | |||
Makino Milling Machine Co., Ltd. | 2,000 | 72,158 | |||
Makita Corp. | 24,900 | 1,246,869 | |||
Mandom Corp. | 3,500 | 57,562 | |||
Mani, Inc. | 7,200 | 195,822 | |||
Mars Group Holdings Corp. | 3,900 | 58,701 | |||
Marubeni Corp. | 179,300 | 1,191,513 | |||
Marudai Food Co., Ltd. (b) | 4,400 | 72,108 | |||
Maruha Nichiro Corp. | 6,800 | 146,215 | |||
Marui Group Co., Ltd. | 19,800 | 347,500 | |||
Maruichi Steel Tube, Ltd. | 5,100 | 112,823 | |||
Maruwa Co., Ltd. | 1,000 | 112,257 | |||
Maruwa Unyu Kikan Co., Ltd. (b) | 5,400 | 115,118 | |||
Maruzen Showa Unyu Co., Ltd. | 2,600 | 87,636 | |||
Marvelous, Inc. | 9,200 | 78,861 | |||
Matsui Securities Co., Ltd. | 13,000 | 101,990 | |||
Matsumotokiyoshi Holdings Co., Ltd. | 8,200 | 349,460 | |||
Matsuya Co., Ltd. (b) | 8,800 | 63,755 | |||
Matsuyafoods Holdings Co., Ltd. (b) | 2,200 | 71,810 | |||
Max Co., Ltd. | 4,200 | 58,538 | |||
Maxell Holdings, Ltd. (a) | 4,900 | 61,033 | |||
Mazda Motor Corp. | 60,700 | 406,842 |
Security Description | Shares | Value | |||
McDonald's Holdings Co. Japan, Ltd. (b) | 7,300 | $ 353,528 | |||
MCJ Co., Ltd. | 5,700 | 61,171 | |||
MCUBS MidCity Investment Corp. REIT | 131 | 119,143 | |||
Mebuki Financial Group, Inc. | 86,200 | 169,486 | |||
Media Do Co., Ltd. | 800 | 57,417 | |||
Medical Data Vision Co., Ltd. | 10,000 | 274,686 | |||
Medipal Holdings Corp. | 18,600 | 349,138 | |||
Medley, Inc. (a)(b) | 4,300 | 189,084 | |||
MedPeer, Inc. (a) | 1,400 | 110,649 | |||
Megachips Corp. | 1,800 | 49,077 | |||
Megmilk Snow Brand Co., Ltd. | 3,800 | 81,230 | |||
Meidensha Corp. | 4,000 | 89,961 | |||
MEIJI Holdings Co., Ltd. | 12,400 | 871,945 | |||
Meitec Corp. | 2,300 | 119,405 | |||
Menicon Co., Ltd. | 3,000 | 181,607 | |||
Mercari, Inc. (a) | 8,900 | 394,377 | |||
METAWATER Co., Ltd. | 4,200 | 94,459 | |||
Micronics Japan Co., Ltd. (b) | 8,600 | 108,120 | |||
Mie Kotsu Group Holdings, Inc. | 19,400 | 93,012 | |||
Milbon Co., Ltd. | 3,900 | 248,177 | |||
Mimasu Semiconductor Industry Co., Ltd. | 4,300 | 107,536 | |||
MINEBEA MITSUMI, Inc. | 39,400 | 781,551 | |||
Ministop Co., Ltd. | 11,400 | 155,467 | |||
Mirai Corp. REIT | 175 | 65,173 | |||
Mirait Holdings Corp. | 6,900 | 118,158 | |||
Miroku Jyoho Service Co., Ltd. (b) | 2,500 | 50,705 | |||
MISUMI Group, Inc. | 32,800 | 1,075,384 | |||
Mitsubishi Chemical Holdings Corp. | 139,300 | 842,182 | |||
Mitsubishi Corp. | 146,500 | 3,605,564 | |||
Mitsubishi Electric Corp. | 199,300 | 3,005,570 | |||
Mitsubishi Estate Co., Ltd. | 129,600 | 2,079,977 | |||
Mitsubishi Estate Logistics REIT Investment Corp. | 37 | 154,099 | |||
Mitsubishi Gas Chemical Co., Inc. | 16,900 | 387,778 | |||
Mitsubishi Heavy Industries, Ltd. | 34,800 | 1,063,769 | |||
Mitsubishi Logistics Corp. | 6,900 | 206,509 | |||
Mitsubishi Materials Corp. | 11,800 | 248,012 | |||
Mitsubishi Motors Corp. (a) | 64,600 | 135,776 | |||
Mitsubishi Pencil Co., Ltd. (b) | 5,800 | 77,300 | |||
Mitsubishi Shokuhin Co., Ltd. | 1,300 | 36,037 | |||
Mitsubishi UFJ Financial Group, Inc. | 1,352,900 | 5,976,635 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 40,900 | 196,092 | |||
Mitsuboshi Belting, Ltd. | 4,200 | 69,115 | |||
Mitsui & Co., Ltd. | 178,800 | 3,272,242 | |||
Mitsui Chemicals, Inc. | 21,400 | 627,004 | |||
Mitsui Fudosan Co., Ltd. | 99,300 | 2,076,024 |
Security Description | Shares | Value | |||
Mitsui Fudosan Logistics Park, Inc. REIT | 59 | $ 298,872 | |||
Mitsui High-Tec, Inc. | 2,100 | 78,817 | |||
Mitsui Mining & Smelting Co., Ltd. | 6,000 | 219,962 | |||
Mitsui OSK Lines, Ltd. | 10,800 | 329,507 | |||
Mitsui-Soko Holdings Co., Ltd. | 2,000 | 44,593 | |||
Mitsuuroko Group Holdings Co., Ltd. | 3,800 | 49,062 | |||
Miura Co., Ltd. | 9,100 | 507,686 | |||
Mixi, Inc. | 3,900 | 96,740 | |||
Miyazaki Bank, Ltd. | 3,100 | 66,177 | |||
Mizuho Financial Group, Inc. | 264,320 | 3,347,362 | |||
Mizuno Corp. | 3,400 | 66,192 | |||
Mochida Pharmaceutical Co., Ltd. | 3,500 | 133,057 | |||
Monex Group, Inc. | 16,800 | 62,810 | |||
Money Forward, Inc. (a) | 4,400 | 209,463 | |||
Monogatari Corp | 700 | 85,157 | |||
MonotaRO Co., Ltd. | 12,900 | 655,964 | |||
Mori Hills REIT Investment Corp. | 153 | 210,876 | |||
Mori Trust Hotel Reit, Inc. | 98 | 109,253 | |||
Mori Trust Sogo Reit, Inc. | 90 | 115,938 | |||
Morinaga & Co., Ltd. | 3,400 | 127,774 | |||
Morinaga Milk Industry Co., Ltd. | 3,200 | 157,451 | |||
Morita Holdings Corp. | 4,400 | 74,750 | |||
MOS Food Services, Inc. | 3,100 | 87,585 | |||
MS&AD Insurance Group Holdings, Inc. | 47,600 | 1,448,124 | |||
MTI, Ltd. | 10,500 | 83,597 | |||
Murata Manufacturing Co., Ltd. | 63,600 | 5,741,217 | |||
Musashi Seimitsu Industry Co., Ltd. | 4,900 | 77,644 | |||
Musashino Bank, Ltd. | 2,300 | 33,304 | |||
Nabtesco Corp. (b) | 11,600 | 507,841 | |||
Nachi-Fujikoshi Corp. | 1,200 | 49,746 | |||
Nagaileben Co., Ltd. | 3,300 | 94,322 | |||
Nagase & Co., Ltd. | 8,100 | 118,152 | |||
Nagoya Railroad Co., Ltd. | 23,000 | 606,383 | |||
Nakanishi, Inc. | 7,600 | 166,730 | |||
Nankai Electric Railway Co., Ltd. | 10,900 | 276,393 | |||
Nanto Bank, Ltd. | 3,100 | 52,305 | |||
NEC Capital Solutions, Ltd. | 3,800 | 69,563 | |||
NEC Corp. | 28,000 | 1,502,446 | |||
NEC Networks & System Integration Corp. | 6,000 | 103,676 | |||
NET One Systems Co., Ltd. | 8,300 | 292,624 | |||
Nexon Co., Ltd. | 54,600 | 1,681,709 | |||
Nextage Co., Ltd. | 6,800 | 87,071 | |||
NGK Insulators, Ltd. | 27,500 | 424,040 | |||
NGK Spark Plug Co., Ltd. | 14,900 | 254,431 | |||
NH Foods, Ltd. | 9,500 | 417,744 |
Security Description | Shares | Value | |||
NHK Spring Co., Ltd. | 28,100 | $ 192,695 | |||
Nichias Corp. | 6,300 | 149,621 | |||
Nichiban Co., Ltd. | 4,600 | 73,559 | |||
Nichicon Corp. | 5,100 | 64,463 | |||
Nichiden Corp. (b) | 3,800 | 82,371 | |||
Nichiha Corp. | 2,600 | 81,844 | |||
Nichi-iko Pharmaceutical Co., Ltd. | 6,000 | 56,603 | |||
Nichirei Corp. | 11,400 | 320,099 | |||
Nidec Corp. | 49,000 | 6,160,298 | |||
Nifco, Inc. | 9,900 | 387,869 | |||
Nihon Chouzai Co., Ltd. (b) | 4,000 | 57,804 | |||
Nihon Kohden Corp. | 8,800 | 327,299 | |||
Nihon M&A Center, Inc. | 17,300 | 1,156,182 | |||
Nihon Nohyaku Co., Ltd. | 15,600 | 76,153 | |||
Nihon Parkerizing Co., Ltd. | 12,300 | 127,354 | |||
Nihon Trim Co., Ltd. | 1,800 | 72,614 | |||
Nihon Unisys, Ltd. | 6,600 | 258,259 | |||
Nikkiso Co., Ltd. (b) | 4,200 | 40,843 | |||
Nikkon Holdings Co., Ltd. | 4,900 | 98,100 | |||
Nikon Corp. | 33,200 | 209,339 | |||
Nintendo Co., Ltd. | 12,300 | 7,842,598 | |||
Nippn Corp. | 3,900 | 60,854 | |||
Nippo Corp. | 4,300 | 117,657 | |||
Nippon Accommodations Fund, Inc. REIT | 39 | 219,090 | |||
Nippon Building Fund, Inc. REIT | 159 | 920,936 | |||
Nippon Ceramic Co., Ltd. | 2,800 | 78,675 | |||
Nippon Densetsu Kogyo Co., Ltd. | 3,100 | 64,045 | |||
Nippon Electric Glass Co., Ltd. (b) | 7,500 | 163,882 | |||
Nippon Express Co., Ltd. | 8,000 | 536,975 | |||
Nippon Gas Co., Ltd. | 3,800 | 203,535 | |||
Nippon Kanzai Co., Ltd. | 4,000 | 80,314 | |||
Nippon Kayaku Co., Ltd. | 13,800 | 127,781 | |||
Nippon Koei Co., Ltd. | 2,400 | 65,925 | |||
Nippon Light Metal Holdings Co., Ltd. | 14,500 | 268,526 | |||
Nippon Paint Holdings Co., Ltd. | 16,000 | 1,755,824 | |||
Nippon Paper Industries Co., Ltd. | 10,500 | 121,430 | |||
Nippon Parking Development Co., Ltd. | 44,800 | 66,824 | |||
Nippon Prologis REIT, Inc. | 222 | 692,372 | |||
NIPPON REIT Investment Corp. (b) | 38 | 136,365 | |||
Nippon Road Co., Ltd. | 1,200 | 89,496 | |||
Nippon Sanso Holdings Corp. | 15,500 | 287,646 | |||
Nippon Seiki Co., Ltd. | 4,600 | 51,995 | |||
Nippon Sharyo, Ltd. (a) | 2,900 | 67,862 | |||
Nippon Shinyaku Co., Ltd. (b) | 4,400 | 288,518 | |||
Nippon Shokubai Co., Ltd. | 3,200 | 179,147 | |||
Nippon Signal Co., Ltd. | 6,300 | 57,420 | |||
Nippon Soda Co., Ltd. | 2,900 | 86,091 |
Security Description | Shares | Value | |||
Nippon Steel Corp. (a) | 86,200 | $ 1,108,757 | |||
Nippon Steel Trading Corp. | 1,600 | 57,882 | |||
Nippon Suisan Kaisha, Ltd. | 35,600 | 146,889 | |||
Nippon Telegraph & Telephone Corp. | 141,100 | 3,615,478 | |||
Nippon Television Holdings, Inc. | 5,700 | 62,054 | |||
Nippon Yusen KK | 17,500 | 407,138 | |||
Nipro Corp. | 16,000 | 188,135 | |||
Nishimatsu Construction Co., Ltd. | 4,300 | 88,045 | |||
Nishimatsuya Chain Co., Ltd. (b) | 9,000 | 129,101 | |||
Nishi-Nippon Financial Holdings, Inc. | 11,300 | 72,126 | |||
Nishi-Nippon Railroad Co., Ltd. | 7,200 | 212,349 | |||
Nishio Rent All Co., Ltd. | 2,900 | 60,671 | |||
Nissan Chemical Corp. | 14,100 | 882,232 | |||
Nissan Motor Co., Ltd. (a) | 250,600 | 1,359,252 | |||
Nissan Shatai Co., Ltd. | 6,700 | 55,549 | |||
Nissei ASB Machine Co., Ltd. | 1,400 | 79,868 | |||
Nissha Co., Ltd. (b) | 4,100 | 59,488 | |||
Nisshin Oillio Group, Ltd. | 2,200 | 64,671 | |||
Nisshin Seifun Group, Inc. | 20,600 | 327,421 | |||
Nisshinbo Holdings, Inc. (b) | 12,900 | 93,959 | |||
Nissin Electric Co., Ltd. | 5,200 | 61,496 | |||
Nissin Foods Holdings Co., Ltd. | 7,500 | 642,162 | |||
Nitori Holdings Co., Ltd. | 8,600 | 1,800,881 | |||
Nitta Corp. | 1,700 | 36,718 | |||
Nitto Boseki Co., Ltd. | 2,300 | 101,361 | |||
Nitto Denko Corp. | 17,000 | 1,519,783 | |||
Nitto Kogyo Corp. | 3,700 | 73,215 | |||
Nittoku Co., Ltd. | 2,600 | 104,635 | |||
Noevir Holdings Co., Ltd. | 1,400 | 61,969 | |||
NOF Corp. | 7,300 | 369,790 | |||
Nohmi Bosai, Ltd. | 1,800 | 39,227 | |||
Nojima Corp. | 5,400 | 147,965 | |||
NOK Corp. | 14,600 | 156,825 | |||
Nomura Co., Ltd. | 5,300 | 43,737 | |||
Nomura Holdings, Inc. | 352,200 | 1,859,160 | |||
Nomura Real Estate Holdings, Inc. | 11,300 | 249,871 | |||
Nomura Real Estate Master Fund, Inc. REIT | 517 | 739,108 | |||
Nomura Research Institute, Ltd. | 34,800 | 1,245,445 | |||
Noritz Corp. | 6,800 | 106,105 | |||
North Pacific Bank, Ltd. | 27,700 | 58,488 | |||
NS Solutions Corp. | 3,800 | 111,889 | |||
NSD Co., Ltd. | 9,100 | 196,023 | |||
NSK, Ltd. | 38,700 | 335,854 | |||
NTN Corp. (a) | 36,100 | 92,658 | |||
NTT Data Corp. | 73,300 | 1,001,756 | |||
Obayashi Corp. | 66,300 | 571,524 |
Security Description | Shares | Value | |||
OBIC Business Consultants Co., Ltd. | 2,000 | $ 138,118 | |||
Obic Co., Ltd. | 7,500 | 1,505,884 | |||
Odakyu Electric Railway Co., Ltd. | 32,300 | 1,013,628 | |||
Ogaki Kyoritsu Bank, Ltd. | 3,000 | 60,904 | |||
Ohsho Food Service Corp. | 1,200 | 67,296 | |||
Oiles Corp. | 4,900 | 76,980 | |||
Oisix ra daichi, Inc. (a) | 2,400 | 72,643 | |||
Oita Bank, Ltd. | 2,700 | 53,218 | |||
Oji Holdings Corp. | 89,200 | 507,147 | |||
Okabe Co., Ltd. (b) | 8,900 | 66,721 | |||
Okamoto Industries, Inc. | 1,900 | 72,783 | |||
Okamura Corp. | 6,100 | 54,533 | |||
Okasan Securities Group, Inc. | 15,600 | 56,661 | |||
Oki Electric Industry Co., Ltd. | 5,300 | 46,765 | |||
Okinawa Electric Power Co., Inc. | 4,935 | 66,249 | |||
OKUMA Corp. | 2,300 | 128,539 | |||
Okumura Corp. | 2,700 | 66,712 | |||
Okuwa Co., Ltd. | 6,200 | 78,067 | |||
Olympus Corp. | 126,800 | 2,771,313 | |||
Omron Corp. | 20,000 | 1,782,169 | |||
One REIT, Inc. | 31 | 78,697 | |||
Ono Pharmaceutical Co., Ltd. | 40,700 | 1,225,198 | |||
Open House Co., Ltd. | 6,200 | 227,595 | |||
Optex Group Co., Ltd. | 4,700 | 85,856 | |||
Optim Corp. (a) | 1,800 | 48,955 | |||
Optorun Co., Ltd. (b) | 2,400 | 49,025 | |||
Oracle Corp. | 4,100 | 534,118 | |||
Organo Corp. | 1,500 | 89,060 | |||
Orient Corp. | 55,000 | 61,795 | |||
Oriental Land Co., Ltd. | 22,200 | 3,663,984 | |||
ORIX Corp. | 142,900 | 2,193,085 | |||
Orix JREIT, Inc. | 270 | 445,881 | |||
Osaka Gas Co., Ltd. | 41,100 | 840,750 | |||
Osaka Soda Co., Ltd. | 2,700 | 71,184 | |||
OSG Corp. | 6,600 | 125,997 | |||
Otsuka Corp. | 10,700 | 564,822 | |||
Otsuka Holdings Co., Ltd. | 42,800 | 1,831,473 | |||
Outsourcing, Inc. | 12,200 | 163,187 | |||
Oyo Corp. | 6,900 | 81,868 | |||
Pacific Industrial Co., Ltd. | 3,700 | 38,489 | |||
Pack Corp. | 2,300 | 62,977 | |||
PAL GROUP Holdings Co., Ltd. | 4,400 | 52,035 | |||
PALTAC Corp. | 2,900 | 157,577 | |||
Pan Pacific International Holdings Corp. | 44,800 | 1,036,199 | |||
Panasonic Corp. | 239,800 | 2,765,092 | |||
Paramount Bed Holdings Co., Ltd. | 1,800 | 82,028 | |||
Park24 Co., Ltd. (a) | 10,500 | 182,144 | |||
Pasona Group, Inc. | 4,800 | 96,330 | |||
Penta-Ocean Construction Co., Ltd. | 27,600 | 237,118 |
Security Description | Shares | Value | |||
PeptiDream, Inc. (a) | 12,400 | $ 629,338 | |||
Persol Holdings Co., Ltd. | 21,200 | 382,132 | |||
Pharma Foods International Co., Ltd. (b) | 2,400 | 47,235 | |||
Pigeon Corp. (b) | 12,300 | 506,916 | |||
Pilot Corp. (b) | 2,400 | 67,319 | |||
Piolax, Inc. | 2,400 | 36,821 | |||
PKSHA Technology, Inc. (a)(b) | 1,700 | 42,234 | |||
Plenus Co., Ltd. | 4,100 | 69,296 | |||
Pola Orbis Holdings, Inc. (b) | 9,700 | 196,734 | |||
Premier Investment Corp. REIT | 142 | 175,360 | |||
Pressance Corp. (b) | 4,300 | 73,968 | |||
Prestige International, Inc. | 8,800 | 77,734 | |||
Prima Meat Packers, Ltd. | 3,400 | 107,686 | |||
Proto Corp. | 3,000 | 30,248 | |||
Raito Kogyo Co., Ltd. | 9,300 | 163,400 | |||
Raiznext Corp. | 6,900 | 81,935 | |||
Raksul, Inc. (a) | 2,100 | 90,411 | |||
Rakus Co., Ltd. | 9,600 | 222,415 | |||
Rakuten, Inc. (a)(b) | 95,700 | 921,360 | |||
Raysum Co., Ltd. | 6,800 | 62,240 | |||
Recruit Holdings Co., Ltd. | 150,200 | 6,286,156 | |||
Relia, Inc. | 5,700 | 70,612 | |||
Relo Group, Inc. | 10,800 | 261,305 | |||
Renesas Electronics Corp. (a) | 81,800 | 854,881 | |||
Rengo Co., Ltd. | 21,800 | 182,432 | |||
RENOVA, Inc. (a) | 3,700 | 141,915 | |||
Resona Holdings, Inc. | 219,900 | 767,611 | |||
Resorttrust, Inc. | 7,400 | 105,648 | |||
Restar Holdings Corp. | 4,300 | 92,501 | |||
Retail Partners Co., Ltd. | 8,600 | 121,530 | |||
Ricoh Co., Ltd. | 71,600 | 469,497 | |||
Ricoh Leasing Co., Ltd. | 1,200 | 35,682 | |||
Riken Keiki Co., Ltd. | 3,700 | 110,020 | |||
Riken Vitamin Co., Ltd. | 4,400 | 58,002 | |||
Ringer Hut Co., Ltd. | 4,000 | 87,249 | |||
Rinnai Corp. | 4,200 | 487,346 | |||
Riso Kagaku Corp. | 1,800 | 24,286 | |||
Riso Kyoiku Co., Ltd. | 12,100 | 35,745 | |||
Rock Field Co., Ltd. (b) | 6,900 | 104,792 | |||
Rohm Co., Ltd. | 10,000 | 967,601 | |||
Rohto Pharmaceutical Co., Ltd. | 9,600 | 284,062 | |||
Rorze Corp. | 1,000 | 64,604 | |||
Round One Corp. | 4,900 | 43,995 | |||
Royal Holdings Co., Ltd. (a)(b) | 2,800 | 49,901 | |||
Ryohin Keikaku Co., Ltd. | 31,200 | 636,118 | |||
Ryosan Co., Ltd. | 2,800 | 50,606 | |||
Ryoyo Electro Corp. (b) | 4,900 | 150,923 | |||
S Foods, Inc. | 1,500 | 48,889 | |||
Saibu Gas Co., Ltd. | 2,400 | 72,294 | |||
Saizeriya Co., Ltd. | 2,700 | 49,897 |
Security Description | Shares | Value | |||
Sakai Chemical Industry Co., Ltd. | 3,000 | $ 57,213 | |||
Sakai Moving Service Co., Ltd. | 1,200 | 60,671 | |||
Sakata INX Corp. (b) | 6,900 | 77,391 | |||
Sakata Seed Corp. | 2,600 | 90,029 | |||
SAMTY Co., Ltd. | 4,100 | 71,282 | |||
Samty Residential Investment Corp. REIT | 80 | 84,304 | |||
San ju San Financial Group, Inc. | 5,200 | 63,461 | |||
San-A Co., Ltd. | 1,500 | 63,417 | |||
San-Ai Oil Co., Ltd. | 7,300 | 78,978 | |||
SanBio Co., Ltd. (a)(b) | 2,600 | 33,669 | |||
Sangetsu Corp. | 5,700 | 85,628 | |||
San-In Godo Bank, Ltd. | 12,800 | 60,997 | |||
Sanken Electric Co., Ltd. | 3,300 | 143,034 | |||
Sanki Engineering Co., Ltd. | 7,100 | 83,416 | |||
Sankyo Co., Ltd. | 3,800 | 102,688 | |||
Sankyu, Inc. | 4,900 | 184,856 | |||
Sanrio Co., Ltd. (b) | 4,400 | 60,090 | |||
Sansan, Inc. (a) | 1,400 | 92,208 | |||
Sanshin Electronics Co., Ltd. (b) | 5,100 | 102,153 | |||
Santen Pharmaceutical Co., Ltd. | 42,200 | 684,634 | |||
Sanwa Holdings Corp. | 17,000 | 197,918 | |||
Sanyo Chemical Industries, Ltd. | 1,300 | 69,379 | |||
Sanyo Denki Co., Ltd. | 1,500 | 80,633 | |||
Sapporo Holdings, Ltd. (b) | 6,900 | 133,061 | |||
Sato Holdings Corp. | 2,600 | 56,032 | |||
Sawai Pharmaceutical Co., Ltd. | 4,200 | 190,382 | |||
SBI Holdings, Inc. | 28,500 | 675,476 | |||
SBS Holdings, Inc. | 4,500 | 113,846 | |||
SCREEN Holdings Co., Ltd. (b) | 3,900 | 287,084 | |||
SCSK Corp. | 5,300 | 302,872 | |||
Secom Co., Ltd. | 23,000 | 2,120,112 | |||
Sega Sammy Holdings, Inc. | 18,200 | 286,807 | |||
Seibu Holdings, Inc. | 22,700 | 222,284 | |||
Seiko Epson Corp. | 29,000 | 430,035 | |||
Seino Holdings Co., Ltd. | 12,900 | 181,796 | |||
Seiren Co., Ltd. (b) | 6,100 | 92,228 | |||
Sekisui Chemical Co., Ltd. | 39,200 | 741,894 | |||
Sekisui House Reit, Inc. | 478 | 347,232 | |||
Sekisui House, Ltd. | 67,300 | 1,368,880 | |||
Sekisui Jushi Corp. | 3,600 | 76,013 | |||
Senko Group Holdings Co., Ltd. | 8,900 | 86,720 | |||
Senshu Ikeda Holdings, Inc. | 18,200 | 26,089 | |||
Seria Co., Ltd. | 4,900 | 179,873 | |||
Seven & i Holdings Co., Ltd. | 82,000 | 2,906,078 | |||
Seven Bank, Ltd. | 72,000 | 152,027 | |||
SG Holdings Co., Ltd. | 34,600 | 942,372 | |||
Sharp Corp. (b) | 22,200 | 336,295 |
Security Description | Shares | Value | |||
Shibaura Machine Co., Ltd. | 1,700 | $ 38,810 | |||
Shibuya Corp. | 1,200 | 41,145 | |||
SHIFT, Inc. (a) | 1,300 | 180,183 | |||
Shiga Bank, Ltd. | 4,200 | 85,835 | |||
Shikoku Bank, Ltd. | 8,000 | 52,690 | |||
Shikoku Chemicals Corp. | 6,600 | 76,711 | |||
Shikoku Electric Power Co., Inc. | 16,700 | 108,697 | |||
Shima Seiki Manufacturing, Ltd. | 2,400 | 40,610 | |||
Shimadzu Corp. | 24,100 | 936,036 | |||
Shimamura Co., Ltd. | 2,300 | 241,484 | |||
Shimano, Inc. | 8,100 | 1,889,568 | |||
Shimizu Corp. | 59,500 | 432,224 | |||
Shin-Etsu Chemical Co., Ltd. | 38,800 | 6,779,524 | |||
Shin-Etsu Polymer Co., Ltd. | 10,100 | 92,249 | |||
Shinko Electric Industries Co., Ltd. | 6,100 | 139,435 | |||
Shinsei Bank, Ltd. (b) | 14,900 | 183,427 | |||
Shionogi & Co., Ltd. | 28,300 | 1,544,583 | |||
Ship Healthcare Holdings, Inc. | 3,700 | 205,705 | |||
Shiseido Co., Ltd. | 43,400 | 2,999,684 | |||
Shizuoka Bank, Ltd. | 39,800 | 291,431 | |||
Shizuoka Gas Co., Ltd. | 8,100 | 81,122 | |||
SHO-BOND Holdings Co., Ltd. | 4,400 | 213,512 | |||
Shochiku Co., Ltd. | 900 | 123,260 | |||
Shoei Co., Ltd. | 3,200 | 128,471 | |||
Shoei Foods Corp. (b) | 2,300 | 79,975 | |||
Showa Denko KK (b) | 14,600 | 310,680 | |||
Showa Sangyo Co., Ltd. | 2,400 | 70,783 | |||
Sinko Industries, Ltd. | 3,500 | 60,139 | |||
Sintokogio, Ltd. | 7,900 | 58,918 | |||
SKY Perfect JSAT Holdings, Inc. | 14,300 | 70,361 | |||
Skylark Holdings Co., Ltd. (a)(b) | 21,100 | 326,376 | |||
SMC Corp. | 6,400 | 3,902,174 | |||
SMS Co., Ltd. | 7,400 | 283,113 | |||
Sodick Co., Ltd. | 9,700 | 82,771 | |||
Softbank Corp. | 318,700 | 3,991,274 | |||
SoftBank Group Corp. | 172,900 | 13,494,389 | |||
Sohgo Security Services Co., Ltd. | 8,000 | 414,548 | |||
Sojitz Corp. | 127,800 | 284,701 | |||
Solasto Corp. | 6,300 | 97,510 | |||
Sompo Holdings, Inc. | 35,900 | 1,451,021 | |||
Sony Corp. | 139,200 | 13,866,744 | |||
Sosei Group Corp. (a) | 6,100 | 106,349 | |||
SOSiLA Logistics REIT, Inc. | 112 | 136,793 | |||
Sotetsu Holdings, Inc. | 6,500 | 155,756 | |||
S-Pool, Inc. | 7,200 | 52,442 | |||
Square Enix Holdings Co., Ltd. | 9,800 | 594,198 | |||
St Marc Holdings Co., Ltd. | 4,800 | 65,088 | |||
Stanley Electric Co., Ltd. | 13,000 | 418,664 |
Security Description | Shares | Value | |||
Star Asia Investment Corp. REIT | 164 | $ 80,058 | |||
Star Micronics Co., Ltd. (b) | 4,800 | 76,897 | |||
Starts Corp., Inc. | 2,800 | 77,726 | |||
Starts Proceed Investment Corp. REIT | 62 | 120,943 | |||
Starzen Co., Ltd. | 1,700 | 69,732 | |||
Stella Chemifa Corp. | 2,900 | 93,113 | |||
Strike Co., Ltd. | 1,300 | 64,468 | |||
Studio Alice Co., Ltd. | 4,800 | 89,635 | |||
Subaru Corp. | 65,700 | 1,312,473 | |||
Sugi Holdings Co., Ltd. | 3,500 | 233,910 | |||
SUMCO Corp. | 28,000 | 613,725 | |||
Sumitomo Bakelite Co., Ltd. | 3,700 | 127,222 | |||
Sumitomo Chemical Co., Ltd. | 163,600 | 657,601 | |||
Sumitomo Corp. | 133,300 | 1,763,002 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 24,100 | 355,507 | |||
Sumitomo Electric Industries, Ltd. | 83,900 | 1,110,459 | |||
Sumitomo Forestry Co., Ltd. | 14,000 | 292,082 | |||
Sumitomo Heavy Industries, Ltd. | 11,900 | 293,451 | |||
Sumitomo Metal Mining Co., Ltd. | 25,300 | 1,122,076 | |||
Sumitomo Mitsui Construction Co., Ltd. | 14,000 | 58,037 | |||
Sumitomo Mitsui Financial Group, Inc. | 144,700 | 4,468,048 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 37,600 | 1,157,007 | |||
Sumitomo Osaka Cement Co., Ltd. | 2,900 | 84,687 | |||
Sumitomo Realty & Development Co., Ltd. | 33,600 | 1,035,223 | |||
Sumitomo Rubber Industries, Ltd. (b) | 21,500 | 184,711 | |||
Sumitomo Seika Chemicals Co., Ltd. | 2,400 | 95,423 | |||
Sumitomo Warehouse Co., Ltd. | 5,100 | 65,204 | |||
Sun Frontier Fudousan Co., Ltd. | 5,800 | 50,110 | |||
Sundrug Co., Ltd. | 7,400 | 295,298 | |||
Suntory Beverage & Food, Ltd. | 14,400 | 509,080 | |||
Suruga Bank, Ltd. (b) | 13,500 | 44,196 | |||
Sushiro Global Holdings, Ltd. | 10,700 | 409,366 | |||
Suzuken Co., Ltd. | 8,200 | 296,247 | |||
Suzuki Motor Corp. | 40,400 | 1,871,207 | |||
Sysmex Corp. | 18,500 | 2,221,899 | |||
Systena Corp. | 7,300 | 152,936 | |||
T Hasegawa Co., Ltd. | 4,000 | 84,072 | |||
T&D Holdings, Inc. | 65,400 | 770,902 | |||
Tadano, Ltd. | 8,800 | 75,262 | |||
Taihei Dengyo Kaisha, Ltd. | 3,100 | 70,560 | |||
Taiheiyo Cement Corp. | 12,300 | 307,247 |
Security Description | Shares | Value | |||
Taikisha, Ltd. | 3,300 | $ 86,555 | |||
Taisei Corp. | 20,900 | 719,643 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,800 | 255,799 | |||
Taiyo Holdings Co., Ltd. | 1,600 | 94,687 | |||
Taiyo Yuden Co., Ltd. | 12,000 | 561,964 | |||
Takamatsu Construction Group Co., Ltd. | 1,300 | 25,749 | |||
Takara Bio, Inc. | 5,600 | 150,136 | |||
Takara Holdings, Inc. | 17,700 | 220,982 | |||
Takara Leben Co., Ltd. | 21,500 | 63,930 | |||
Takara Leben Real Estate Investment Corp. REIT | 85 | 75,989 | |||
Takasago International Corp. | 2,900 | 66,682 | |||
Takasago Thermal Engineering Co., Ltd. | 4,000 | 60,632 | |||
Takashimaya Co., Ltd. | 14,800 | 126,863 | |||
Takeda Pharmaceutical Co., Ltd. | 174,338 | 6,340,638 | |||
Takeuchi Manufacturing Co., Ltd. | 3,500 | 82,411 | |||
Takuma Co., Ltd. | 6,200 | 110,675 | |||
Tamron Co., Ltd. | 2,900 | 51,290 | |||
Tamura Corp. | 13,300 | 73,685 | |||
Tanseisha Co., Ltd. | 6,300 | 49,975 | |||
Tatsuta Electric Wire and Cable Co., Ltd. | 19,100 | 138,933 | |||
Tayca Corp. (b) | 3,800 | 55,613 | |||
TBS Holdings, Inc. | 5,200 | 91,263 | |||
TDK Corp. | 14,000 | 2,107,221 | |||
TechMatrix Corp. | 3,200 | 66,545 | |||
TechnoPro Holdings, Inc. | 3,700 | 306,407 | |||
Teijin, Ltd. | 18,900 | 355,136 | |||
Teikoku Sen-I Co., Ltd. (b) | 4,100 | 94,870 | |||
Tenma Corp. | 3,800 | 75,157 | |||
Terumo Corp. | 70,500 | 2,944,414 | |||
T-Gaia Corp. | 1,700 | 31,861 | |||
THK Co., Ltd. | 12,900 | 416,069 | |||
TIS, Inc. | 26,500 | 542,603 | |||
TKC Corp. | 1,500 | 112,451 | |||
Toagosei Co., Ltd. | 9,600 | 112,602 | |||
Tobu Railway Co., Ltd. | 19,300 | 574,822 | |||
TOC Co., Ltd. | 8,700 | 58,649 | |||
Tocalo Co., Ltd. | 8,100 | 111,013 | |||
Toda Corp. | 27,100 | 179,275 | |||
Toei Animation Co., Ltd. | 700 | 54,850 | |||
Toei Co., Ltd. | 800 | 130,796 | |||
Toho Bank, Ltd. | 30,200 | 60,842 | |||
Toho Co., Ltd. | 11,400 | 480,314 | |||
Toho Gas Co., Ltd. | 7,600 | 502,765 | |||
Toho Holdings Co., Ltd. | 3,900 | 68,485 | |||
Tohoku Electric Power Co., Inc. | 43,700 | 359,775 | |||
Tokai Carbon Co., Ltd. (b) | 21,000 | 262,386 | |||
TOKAI Holdings Corp. | 8,800 | 87,450 | |||
Tokai Rika Co., Ltd. | 4,700 | 79,437 |
Security Description | Shares | Value | |||
Tokai Tokyo Financial Holdings, Inc. | 20,900 | $ 61,741 | |||
Token Corp. | 1,100 | 87,152 | |||
Tokio Marine Holdings, Inc. | 69,700 | 3,583,395 | |||
Tokushu Tokai Paper Co., Ltd. | 2,000 | 96,663 | |||
Tokuyama Corp. | 5,100 | 114,453 | |||
Tokyo Century Corp. | 5,200 | 411,991 | |||
Tokyo Dome Corp. | 7,300 | 91,776 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 146,300 | 385,429 | |||
Tokyo Electron, Ltd. | 16,400 | 6,099,666 | |||
Tokyo Gas Co., Ltd. | 42,700 | 985,973 | |||
Tokyo Kiraboshi Financial Group, Inc. (b) | 5,600 | 59,989 | |||
Tokyo Ohka Kogyo Co., Ltd. | 3,400 | 238,752 | |||
Tokyo Seimitsu Co., Ltd. | 4,000 | 187,903 | |||
Tokyo Steel Manufacturing Co., Ltd. | 15,900 | 102,874 | |||
Tokyo Tatemono Co., Ltd. (b) | 22,600 | 309,739 | |||
Tokyotokeiba Co., Ltd. | 1,600 | 72,526 | |||
Tokyu Corp. | 57,600 | 714,665 | |||
Tokyu Fudosan Holdings Corp. | 65,300 | 347,862 | |||
Tokyu REIT, Inc. | 63 | 99,829 | |||
TOMONY Holdings, Inc. | 28,300 | 85,521 | |||
Tomy Co., Ltd. | 8,100 | 71,393 | |||
Tonami Holdings Co., Ltd. | 1,700 | 98,300 | |||
Topcon Corp. | 11,200 | 139,071 | |||
Toppan Forms Co., Ltd. | 4,000 | 40,951 | |||
Toppan Printing Co., Ltd. | 28,300 | 398,823 | |||
Topre Corp. | 2,800 | 42,877 | |||
Toray Industries, Inc. | 150,600 | 891,099 | |||
Toridoll Holdings Corp. (b) | 4,700 | 62,958 | |||
Tosei Corp. | 5,700 | 65,256 | |||
Toshiba Corp. | 41,500 | 1,159,645 | |||
Toshiba TEC Corp. | 2,300 | 82,982 | |||
Tosoh Corp. | 27,200 | 423,629 | |||
Totetsu Kogyo Co., Ltd. | 2,900 | 76,654 | |||
TOTO, Ltd. | 16,800 | 1,008,862 | |||
Towa Pharmaceutical Co., Ltd. | 2,800 | 51,908 | |||
Toyo Construction Co., Ltd. | 16,800 | 71,434 | |||
Toyo Gosei Co., Ltd. | 500 | 57,146 | |||
Toyo Ink SC Holdings Co., Ltd. (b) | 4,100 | 78,351 | |||
Toyo Seikan Group Holdings, Ltd. | 16,600 | 181,202 | |||
Toyo Suisan Kaisha, Ltd. | 9,500 | 461,911 | |||
Toyo Tire Corp. (b) | 10,800 | 164,021 | |||
Toyobo Co., Ltd. | 7,200 | 96,237 | |||
Toyoda Gosei Co., Ltd. | 7,100 | 205,962 | |||
Toyota Boshoku Corp. | 8,800 | 142,767 | |||
Toyota Industries Corp. | 16,600 | 1,316,810 | |||
Toyota Motor Corp. | 233,888 | 18,025,539 | |||
Toyota Tsusho Corp. | 22,800 | 919,773 | |||
Trancom Co., Ltd. | 1,300 | 112,441 |
Security Description | Shares | Value | |||
Transcosmos, Inc. | 2,100 | $ 52,986 | |||
Trend Micro, Inc. (a)(b) | 14,500 | 834,229 | |||
Tri Chemical Laboratories, Inc. | 500 | 80,633 | |||
Trusco Nakayama Corp. (b) | 4,700 | 131,879 | |||
TS Tech Co., Ltd. | 5,800 | 179,205 | |||
Tsubaki Nakashima Co., Ltd. | 4,800 | 52,163 | |||
Tsubakimoto Chain Co. | 2,700 | 70,792 | |||
Tsugami Corp. | 4,400 | 66,440 | |||
Tsukishima Kikai Co., Ltd. | 5,200 | 70,210 | |||
Tsukui Holdings Corp. | 17,600 | 93,246 | |||
Tsumura & Co. | 6,000 | 180,154 | |||
Tsuruha Holdings, Inc. | 4,300 | 611,400 | |||
Tsurumi Manufacturing Co., Ltd. | 1,400 | 23,933 | |||
TV Asahi Holdings Corp. | 1,900 | 31,138 | |||
UACJ Corp. | 3,400 | 62,306 | |||
Ube Industries, Ltd. | 10,800 | 195,822 | |||
Ulvac, Inc. | 7,900 | 337,823 | |||
Unicharm Corp. | 44,200 | 2,094,304 | |||
Union Tool Co. | 2,400 | 71,945 | |||
Unipres Corp. | 3,300 | 31,004 | |||
United Arrows, Ltd. | 2,300 | 33,995 | |||
United Super Markets Holdings, Inc. | 5,500 | 60,197 | |||
United Urban Investment Corp. REIT | 307 | 379,420 | |||
Universal Entertainment Corp. (a) | 2,100 | 48,409 | |||
Ushio, Inc. | 13,700 | 178,075 | |||
USS Co., Ltd. | 22,600 | 456,619 | |||
UT Group Co., Ltd. (a)(b) | 3,200 | 99,182 | |||
UUUM Co., Ltd. (a)(b) | 1,500 | 23,173 | |||
Uzabase, Inc. (a) | 2,500 | 86,687 | |||
V Technology Co., Ltd. | 900 | 51,257 | |||
Valor Holdings Co., Ltd. | 4,500 | 115,197 | |||
Valqua, Ltd. | 4,600 | 91,514 | |||
ValueCommerce Co., Ltd. | 1,500 | 46,346 | |||
V-Cube, Inc. | 2,000 | 58,598 | |||
Vector, Inc. (a) | 3,200 | 30,932 | |||
Vision, Inc. (a)(b) | 2,300 | 23,079 | |||
Vital KSK Holdings, Inc. | 7,300 | 57,413 | |||
VT Holdings Co., Ltd. | 20,000 | 82,522 | |||
Wacoal Holdings Corp. | 7,800 | 156,839 | |||
Wacom Co., Ltd. | 24,300 | 203,589 | |||
Wakita & Co., Ltd. | 7,000 | 71,529 | |||
WATAMI Co., Ltd. (b) | 10,500 | 88,581 | |||
WDB Holdings Co., Ltd. | 2,600 | 66,533 | |||
Welcia Holdings Co., Ltd. | 10,300 | 388,576 | |||
West Holdings Corp. | 1,700 | 78,130 | |||
West Japan Railway Co. | 17,200 | 899,441 | |||
World Co., Ltd. | 3,100 | 37,622 | |||
Xebio Holdings Co., Ltd. | 7,300 | 58,191 | |||
Yakult Honsha Co., Ltd. | 14,100 | 710,155 | |||
YAKUODO Holdings Co., Ltd. | 3,100 | 74,193 | |||
YAMABIKO Corp. | 6,300 | 79,082 |
Security Description | Shares | Value | |||
Yamada Holdings Co., Ltd. | 74,000 | $ 392,774 | |||
Yamagata Bank, Ltd. | 5,300 | 52,720 | |||
Yamaguchi Financial Group, Inc. | 16,300 | 91,726 | |||
Yamaha Corp. | 13,900 | 817,211 | |||
Yamaha Motor Co., Ltd. | 28,600 | 582,831 | |||
YA-MAN, Ltd. | 3,100 | 56,118 | |||
Yamashin-Filter Corp. | 8,400 | 91,774 | |||
Yamato Holdings Co., Ltd. | 32,100 | 818,007 | |||
Yamato Kogyo Co., Ltd. | 7,700 | 205,468 | |||
Yamazaki Baking Co., Ltd. (b) | 11,200 | 187,019 | |||
Yamazen Corp. | 8,300 | 83,044 | |||
Yaoko Co., Ltd. | 1,700 | 118,388 | |||
Yaskawa Electric Corp. | 25,900 | 1,286,910 | |||
Yellow Hat, Ltd. | 4,700 | 76,387 | |||
Yodogawa Steel Works, Ltd. | 1,700 | 34,693 | |||
Yokogawa Bridge Holdings Corp. | 3,400 | 71,856 | |||
Yokogawa Electric Corp. | 28,100 | 559,033 | |||
Yokohama Reito Co., Ltd. | 11,000 | 91,840 | |||
Yokohama Rubber Co., Ltd. (b) | 10,800 | 160,465 | |||
Yokowo Co., Ltd. | 1,700 | 51,126 | |||
Yomiuri Land Co., Ltd. (b) | 2,600 | 151,601 | |||
Yonex Co., Ltd. (b) | 14,000 | 81,224 | |||
Yoshinoya Holdings Co., Ltd. | 7,000 | 129,294 | |||
Yuasa Trading Co., Ltd. | 3,200 | 102,746 | |||
Yumeshin Holdings Co., Ltd. (b) | 8,100 | 54,683 | |||
Z Holdings Corp. | 297,500 | 1,799,206 | |||
Zenkoku Hosho Co., Ltd. | 4,700 | 215,095 | |||
Zensho Holdings Co., Ltd. | 8,400 | 218,777 | |||
Zeon Corp. | 15,600 | 223,472 | |||
ZIGExN Co., Ltd. | 13,400 | 51,396 | |||
Zojirushi Corp. | 5,000 | 89,302 | |||
ZOZO, Inc. | 11,100 | 274,046 | |||
530,495,361 | |||||
KAZAKHSTAN — 0.0% (f) | |||||
KAZ Minerals PLC | 24,443 | 220,522 | |||
KUWAIT — 0.1% | |||||
Agility Public Warehousing Co. KSC | 100,000 | 222,222 | |||
Boubyan Bank KSCP | 100,000 | 186,719 | |||
Gulf Bank KSCP | 163,000 | 117,347 | |||
Humansoft Holding Co. KSC (a) | 9,000 | 112,397 | |||
Kuwait Finance House KSCP | 250,000 | 556,377 | |||
Mabanee Co. KPSC | 59,000 | 127,426 | |||
Mobile Telecommunications Co. KSCP | 231,000 | 460,178 | |||
National Bank of Kuwait SAKP | 280,000 | 773,176 | |||
2,555,842 |
Security Description | Shares | Value | |||
LIECHTENSTEIN — 0.0% (f) | |||||
Liechtensteinische Landesbank AG | 1,120 | $ 66,520 | |||
LUXEMBOURG — 0.1% | |||||
APERAM SA | 5,367 | 224,190 | |||
ArcelorMittal SA (a) | 81,377 | 1,879,859 | |||
B&S Group Sarl (c) | 3,050 | 27,541 | |||
Eurofins Scientific SE (a) | 14,720 | 1,236,071 | |||
Reinet Investments SCA | 15,345 | 287,924 | |||
SES SA | 39,514 | 373,048 | |||
Solutions 30 SE (a) | 8,587 | 110,530 | |||
Tenaris SA | 62,509 | 506,623 | |||
4,645,786 | |||||
MACAU — 0.1% | |||||
Galaxy Entertainment Group, Ltd. | 232,000 | 1,802,717 | |||
MGM China Holdings, Ltd. (b) | 81,600 | 140,177 | |||
Sands China, Ltd. | 261,200 | 1,147,025 | |||
SJM Holdings, Ltd. | 213,000 | 238,167 | |||
Wynn Macau, Ltd. (a) | 164,400 | 276,055 | |||
3,604,141 | |||||
MALAYSIA — 0.5% | |||||
AirAsia Group Bhd (a) | 140,400 | 30,890 | |||
Alliance Bank Malaysia Bhd (a) | 140,600 | 101,714 | |||
AMMB Holdings Bhd | 132,400 | 120,139 | |||
Axiata Group Bhd | 293,811 | 273,177 | |||
Axis Real Estate Investment Trust | 123,300 | 62,225 | |||
Berjaya Sports Toto Bhd | 115,544 | 62,906 | |||
Bermaz Auto Bhd | 173,300 | 62,470 | |||
BIMB Holdings Bhd | 57,400 | 60,789 | |||
British American Tobacco Malaysia Bhd | 23,500 | 82,257 | |||
Bursa Malaysia Bhd | 56,000 | 115,550 | |||
Carlsberg Brewery Malaysia Bhd Class B | 11,200 | 64,708 | |||
CIMB Group Holdings Bhd | 730,248 | 780,626 | |||
Dialog Group Bhd | 421,900 | 361,853 | |||
DiGi.Com Bhd | 429,800 | 442,355 | |||
DRB-Hicom Bhd | 92,900 | 48,038 | |||
FGV Holdings Bhd | 175,400 | 55,814 | |||
Focus Dynamics Group Bhd (a) | 1,083,800 | 175,132 | |||
Fraser & Neave Holdings Bhd | 17,600 | 140,362 | |||
Frontken Corp. Bhd | 61,900 | 54,629 | |||
Gamuda Bhd | 187,959 | 181,768 | |||
Genting Bhd | 190,200 | 210,887 | |||
Genting Malaysia Bhd | 259,500 | 173,538 | |||
Genting Plantations Bhd | 24,900 | 60,973 | |||
Globetronics Technology Bhd | 140,900 | 94,576 | |||
HAP Seng Consolidated Bhd | 66,200 | 141,534 | |||
Hartalega Holdings Bhd | 198,300 | 598,474 |
Security Description | Shares | Value | |||
Hong Leong Bank Bhd | 91,532 | $ 414,141 | |||
Hong Leong Financial Group Bhd | 20,700 | 92,938 | |||
IGB Real Estate Investment Trust | 237,700 | 101,639 | |||
IHH Healthcare Bhd | 234,400 | 320,497 | |||
IJM Corp. Bhd | 331,300 | 142,486 | |||
Inari Amertron Bhd | 243,500 | 167,075 | |||
IOI Corp. Bhd | 232,200 | 252,260 | |||
IOI Properties Group Bhd | 371,500 | 143,151 | |||
Kossan Rubber Industries | 136,600 | 152,815 | |||
KPJ Healthcare Bhd | 237,200 | 58,968 | |||
Kuala Lumpur Kepong Bhd | 43,969 | 258,841 | |||
Magnum Bhd | 110,393 | 62,572 | |||
Malayan Banking Bhd | 420,264 | 883,886 | |||
Malaysia Airports Holdings Bhd | 115,224 | 169,578 | |||
Malaysian Pacific Industries Bhd | 23,900 | 154,243 | |||
Maxis Bhd | 258,800 | 324,907 | |||
Mega First Corp. BHD | 27,800 | 47,687 | |||
MISC Bhd | 127,400 | 217,586 | |||
My EG Services Bhd | 210,328 | 100,393 | |||
Nestle Malaysia Bhd | 10,500 | 362,573 | |||
Pavilion Real Estate Investment Trust | 207,000 | 77,191 | |||
Pentamaster Corp. Bhd | 53,300 | 66,915 | |||
Petronas Chemicals Group Bhd | 256,400 | 473,599 | |||
Petronas Dagangan Bhd | 50,900 | 270,792 | |||
Petronas Gas Bhd | 108,200 | 462,120 | |||
PPB Group Bhd | 90,280 | 415,658 | |||
Press Metal Aluminium Holdings Bhd | 136,100 | 283,873 | |||
Public Bank Bhd | 311,000 | 1,592,691 | |||
QL Resources Bhd | 92,550 | 133,447 | |||
RHB Bank Bhd | 242,459 | 328,503 | |||
Scientex Bhd | 24,800 | 78,176 | |||
Serba Dinamik Holdings Bhd | 144,900 | 63,399 | |||
Sime Darby Bhd | 290,635 | 166,903 | |||
Sime Darby Plantation Bhd | 213,335 | 264,647 | |||
Sime Darby Property Bhd | 142,535 | 23,564 | |||
SKP Resources Bhd | 271,300 | 145,008 | |||
SP Setia Bhd Group | 134,214 | 33,032 | |||
Sunway Real Estate Investment Trust | 264,700 | 98,707 | |||
Supermax Corp. Bhd (a) | 387,360 | 578,753 | |||
Telekom Malaysia Bhd | 91,003 | 122,393 | |||
Tenaga Nasional Bhd | 289,200 | 749,152 | |||
TIME dotCom Bhd | 41,100 | 135,484 | |||
Top Glove Corp. Bhd | 588,400 | 895,216 | |||
ViTrox Corp. Bhd | 35,300 | 129,002 | |||
VS Industry Bhd | 222,000 | 142,941 | |||
Westports Holdings Bhd | 92,500 | 98,881 | |||
Yinson Holdings Bhd | 43,900 | 62,753 | |||
16,878,420 |
Security Description | Shares | Value | |||
MALTA — 0.0% (f) | |||||
Kambi Group PLC (a) | 4,950 | $ 233,861 | |||
Kindred Group PLC SDR (a) | 24,605 | 241,360 | |||
475,221 | |||||
MEXICO — 0.6% | |||||
Alfa SAB de CV Class A | 366,800 | 264,715 | |||
Alpek SAB de CV | 82,700 | 72,301 | |||
Alsea SAB de CV (a) | 104,100 | 135,261 | |||
America Movil SAB de CV Series L | 3,787,500 | 2,754,304 | |||
Arca Continental SAB de CV | 54,500 | 261,703 | |||
Axtel SAB de CV (a)(b) | 176,300 | 55,123 | |||
Banco del Bajio SA (a)(c) | 139,700 | 191,263 | |||
Becle SAB de CV | 73,300 | 183,714 | |||
Bolsa Mexicana de Valores SAB de CV | 72,200 | 170,884 | |||
Cemex SAB de CV Series CPO (a) | 1,737,664 | 895,627 | |||
Coca-Cola Femsa SAB de CV | 62,500 | 287,038 | |||
Concentradora Fibra Danhos SA de CV REIT | 46,300 | 56,511 | |||
Controladora Nemak SAB de CV (a) | 568,000 | 74,686 | |||
Controladora Vuela Cia de Aviacion SAB de CV Class A (a) | 91,600 | 113,871 | |||
Corp. Inmobiliaria Vesta SAB de CV | 92,700 | 180,464 | |||
Fibra Uno Administracion SA de CV REIT | 400,800 | 452,586 | |||
Fomento Economico Mexicano SAB de CV | 218,200 | 1,646,342 | |||
Fresnillo PLC | 19,000 | 293,354 | |||
Genomma Lab Internacional SAB de CV Class B (a) | 135,200 | 127,835 | |||
Gentera SAB de CV (a)(b) | 169,400 | 82,721 | |||
Gruma SAB de CV Class B | 27,050 | 321,646 | |||
Grupo Aeroportuario del Centro Norte SAB de CV (a) | 42,900 | 276,426 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B (a) | 46,600 | 519,521 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B (a) | 26,795 | 442,722 | |||
Grupo Bimbo SAB de CV Class A | 189,900 | 412,099 | |||
Grupo Carso SAB de CV Series A1 (a) | 56,300 | 187,558 | |||
Grupo Cementos de Chihuahua SAB de CV | 23,900 | 143,960 | |||
Grupo Comercial Chedraui SA de CV | 58,995 | 85,152 | |||
Grupo Financiero Banorte SAB de CV Series O (a) | 288,400 | 1,591,118 |
Security Description | Shares | Value | |||
Grupo Financiero Inbursa SAB de CV Series O (a) | 293,600 | $ 295,582 | |||
Grupo Herdez SAB de CV | 50,857 | 133,284 | |||
Grupo Mexico SAB de CV Class B | 350,200 | 1,478,448 | |||
Grupo Rotoplas SAB de CV (b) | 35,677 | 48,971 | |||
Grupo Televisa SAB Series CPO (a)(b) | 292,400 | 480,448 | |||
Industrias Penoles SAB de CV (a) | 17,920 | 302,883 | |||
Infraestructura Energetica Nova SAB de CV (a) | 67,000 | 260,831 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 195,500 | 333,495 | |||
La Comer SAB de CV | 67,600 | 153,958 | |||
Macquarie Mexico Real Estate Management SA de CV REIT (c) | 141,200 | 199,553 | |||
Megacable Holdings SAB de CV | 45,900 | 167,424 | |||
Nemak SAB de CV (c) | 177,600 | 51,697 | |||
Orbia Advance Corp. SAB de CV | 151,257 | 354,885 | |||
PLA Administradora Industrial S de RL de CV REIT | 130,200 | 200,474 | |||
Prologis Property Mexico SA de CV REIT | 65,714 | 147,222 | |||
Promotora y Operadora de Infraestructura SAB de CV | 28,660 | 252,619 | |||
Qualitas Controladora SAB de CV | 21,100 | 113,455 | |||
Regional SAB de CV (a)(b) | 27,900 | 128,960 | |||
Telesites SAB de CV (a) | 193,400 | 208,876 | |||
Wal-Mart de Mexico SAB de CV | 588,000 | 1,651,966 | |||
19,245,536 | |||||
MONGOLIA — 0.0% (f) | |||||
Turquoise Hill Resources, Ltd. (a)(b) | 10,370 | 128,852 | |||
NETHERLANDS — 2.6% | |||||
Aalberts NV | 10,304 | 459,668 | |||
ABN AMRO Bank NV (a)(c) | 45,622 | 447,683 | |||
Accell Group NV (a) | 2,918 | 92,293 | |||
Adyen NV (a)(c) | 1,990 | 4,638,416 | |||
Aegon NV | 192,989 | 763,886 | |||
Akzo Nobel NV | 21,442 | 2,305,038 | |||
Alfen Beheer B.V. (a)(c) | 1,409 | 142,401 | |||
Altice Europe NV (a) | 64,514 | 420,571 | |||
AMG Advanced Metallurgical Group NV | 2,837 | 84,906 | |||
Arcadis NV (a) | 7,491 | 247,838 | |||
Argenx SE (a) | 4,940 | 1,462,729 | |||
ASM International NV | 4,934 | 1,086,357 | |||
ASML Holding NV | 46,982 | 22,853,091 | |||
ASR Nederland NV | 15,207 | 611,224 | |||
Basic-Fit NV (a)(c) | 5,317 | 195,168 |
Security Description | Shares | Value | |||
BE Semiconductor Industries NV | 8,196 | $ 497,199 | |||
Boskalis Westminster (a) | 9,394 | 259,075 | |||
Brack Capital Properties NV (a) | 593 | 55,167 | |||
Brunel International NV (a) | 2,457 | 21,946 | |||
CM.com NV (a) | 1,086 | 41,192 | |||
Corbion NV | 6,390 | 360,823 | |||
Eurocommercial Properties NV REIT (a) | 4,112 | 77,380 | |||
Euronext NV (c) | 5,985 | 660,164 | |||
EXOR NV | 11,774 | 953,970 | |||
Flow Traders (c) | 3,614 | 119,657 | |||
ForFarmers NV | 3,364 | 21,980 | |||
Fugro NV (a) | 9,893 | 91,995 | |||
Heineken Holding NV | 12,314 | 1,160,896 | |||
Heineken NV (b) | 28,404 | 3,170,234 | |||
IMCD NV | 5,621 | 716,987 | |||
ING Groep NV (a) | 427,438 | 3,996,180 | |||
Intertrust NV (a)(c) | 9,351 | 158,807 | |||
JDE Peet's NV (a) | 8,065 | 364,620 | |||
Just Eat Takeaway (a)(c) | 5,995 | 676,896 | |||
Just Eat Takeaway.com NV (a)(b)(c) | 7,858 | 888,394 | |||
Koninklijke Ahold Delhaize NV | 120,619 | 3,410,652 | |||
Koninklijke BAM Groep NV (a) | 23,957 | 49,978 | |||
Koninklijke DSM NV | 18,887 | 3,253,774 | |||
Koninklijke KPN NV | 394,302 | 1,199,849 | |||
Koninklijke Philips NV (a) | 100,123 | 5,363,290 | |||
Koninklijke Vopak NV | 7,280 | 382,931 | |||
NIBC Holding NV (c) | 2,669 | 22,860 | |||
NN Group NV | 31,586 | 1,373,130 | |||
NSI NV REIT | 1,655 | 66,419 | |||
OCI NV (a) | 10,908 | 209,807 | |||
Pharming Group NV (a)(b) | 79,859 | 124,289 | |||
PostNL NV (a) | 48,688 | 166,206 | |||
Randstad NV (a) | 12,734 | 829,516 | |||
Royal Dutch Shell PLC Class A | 449,421 | 7,972,849 | |||
Royal Dutch Shell PLC Class B | 406,130 | 6,991,674 | |||
SBM Offshore NV | 17,495 | 333,184 | |||
Shop Apotheke Europe NV (a)(c) | 1,829 | 331,653 | |||
SIF Holding NV (a) | 5,076 | 102,726 | |||
Signify NV (a)(c) | 13,354 | 564,195 | |||
Sligro Food Group NV (a) | 2,866 | 59,403 | |||
TKH Group NV | 4,233 | 204,789 | |||
TomTom NV (a) | 6,283 | 64,883 | |||
Van Lanschot Kempen NV ADR (a) | 3,795 | 97,511 | |||
Vastned Retail NV REIT | 2,401 | 68,009 | |||
Wereldhave NV REIT (b) | 3,096 | 40,760 | |||
Wolters Kluwer NV | 29,918 | 2,528,022 | |||
85,917,190 |
Security Description | Shares | Value | |||
NEW ZEALAND — 0.3% | |||||
a2 Milk Co., Ltd. (a)(b) | 75,568 | $ 656,716 | |||
Air New Zealand, Ltd. (a) | 39,625 | 51,354 | |||
Argosy Property, Ltd. | 76,135 | 87,159 | |||
Auckland International Airport, Ltd. (a) | 127,848 | 697,743 | |||
Chorus, Ltd. | 59,266 | 337,532 | |||
Contact Energy, Ltd. | 91,772 | 588,736 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 58,694 | 1,393,301 | |||
Fletcher Building, Ltd. (a) | 76,946 | 326,866 | |||
Genesis Energy, Ltd. | 47,419 | 123,764 | |||
Goodman Property Trust REIT | 102,558 | 172,051 | |||
Infratil, Ltd. | 90,787 | 477,176 | |||
Kiwi Property Group, Ltd. | 146,941 | 129,073 | |||
Mercury NZ, Ltd. | 63,013 | 296,262 | |||
Meridian Energy, Ltd. | 133,930 | 715,507 | |||
Oceania Healthcare, Ltd. | 172,788 | 180,391 | |||
Precinct Properties New Zealand, Ltd. | 115,966 | 146,952 | |||
Pushpay Holdings, Ltd. (a) | 141,424 | 184,304 | |||
Restaurant Brands New Zealand, Ltd. (a) | 2,885 | 23,992 | |||
Ryman Healthcare, Ltd. | 49,434 | 540,650 | |||
SKYCITY Entertainment Group, Ltd. | 116,799 | 269,946 | |||
Spark New Zealand, Ltd. | 218,520 | 739,472 | |||
Summerset Group Holdings, Ltd. | 23,526 | 212,581 | |||
Synlait Milk, Ltd. (a) | 12,214 | 45,993 | |||
Xero, Ltd. (a) | 13,170 | 1,492,078 | |||
Z Energy, Ltd. (a) | 93,478 | 215,373 | |||
10,104,972 | |||||
NORWAY — 0.5% | |||||
Aker ASA Class A | 2,711 | 177,315 | |||
Atea ASA | 13,837 | 195,872 | |||
Austevoll Seafood ASA | 8,295 | 84,966 | |||
Bonheur ASA | 2,172 | 61,391 | |||
Borregaard ASA | 15,205 | 251,820 | |||
BW Offshore, Ltd. | 10,003 | 44,069 | |||
Crayon Group Holding ASA (a)(c) | 3,516 | 51,660 | |||
DNB ASA (a) | 103,144 | 2,023,860 | |||
DNO ASA (a) | 50,331 | 40,373 | |||
Elkem ASA (c) | 23,786 | 78,843 | |||
Entra ASA (c) | 18,031 | 408,975 | |||
Equinor ASA | 105,496 | 1,786,000 | |||
Europris ASA (c) | 25,386 | 151,510 | |||
Fjordkraft Holding ASA (c) | 8,055 | 78,744 | |||
Frontline, Ltd. | 14,558 | 92,327 | |||
Gjensidige Forsikring ASA | 21,505 | 480,738 | |||
Golden Ocean Group, Ltd. | 7,871 | 36,772 | |||
Grieg Seafood ASA (b) | 5,761 | 57,193 | |||
Hexagon Composites ASA (a) | 10,297 | 65,785 |
Security Description | Shares | Value | |||
Hexagon Purus Holding A/S (a) | 1,169 | $ 6,813 | |||
Kongsberg Gruppen ASA | 9,862 | 202,954 | |||
Leroy Seafood Group ASA | 32,404 | 229,199 | |||
Mowi ASA | 47,447 | 1,058,448 | |||
NEL ASA (a) | 151,274 | 511,670 | |||
Nordic Semiconductor ASA (a) | 15,525 | 250,229 | |||
Norsk Hydro ASA | 146,294 | 681,069 | |||
Norway Royal Salmon ASA | 1,201 | 30,102 | |||
Norwegian Finans Holding ASA (a) | 13,593 | 116,133 | |||
Ocean Yield ASA (b) | 29,146 | 90,380 | |||
Orkla ASA | 81,075 | 823,822 | |||
Pexip Holding ASA (a) | 7,600 | 58,318 | |||
Protector Forsikring ASA (a) | 9,425 | 65,608 | |||
Salmar ASA | 5,837 | 343,323 | |||
Sbanken ASA (a)(c) | 8,291 | 66,720 | |||
Scatec ASA (c) | 12,661 | 504,846 | |||
Schibsted ASA Class A (a) | 8,161 | 349,146 | |||
Schibsted ASA Class B (a) | 12,003 | 448,328 | |||
Selvaag Bolig ASA | 6,732 | 45,525 | |||
SpareBank 1 Nord Norge | 9,611 | 83,740 | |||
SpareBank 1 Oestlandet | 3,686 | 42,104 | |||
SpareBank 1 SMN | 20,154 | 229,741 | |||
SpareBank 1 SR-Bank ASA (a) | 19,475 | 206,988 | |||
Stolt-Nielsen, Ltd. | 2,737 | 35,164 | |||
Storebrand ASA (a) | 73,126 | 548,320 | |||
Telenor ASA | 76,117 | 1,297,073 | |||
TGS Nopec Geophysical Co. ASA | 12,760 | 197,765 | |||
Tomra Systems ASA | 12,076 | 596,046 | |||
Veidekke ASA | 9,726 | 125,864 | |||
Wallenius Wilhelmsen ASA (a) | 67,834 | 183,807 | |||
XXL ASA (a)(c) | 14,987 | 33,801 | |||
15,631,259 | |||||
PAKISTAN — 0.0% (f) | |||||
Bank Alfalah, Ltd. | 325,000 | 71,854 | |||
Habib Bank, Ltd. | 53,000 | 43,873 | |||
MCB Bank, Ltd. | 39,200 | 45,450 | |||
Millat Tractors, Ltd. | 5,850 | 40,053 | |||
Oil & Gas Development Co., Ltd. | 90,100 | 58,509 | |||
Pakistan Oilfields, Ltd. | 24,150 | 59,757 | |||
Pakistan State Oil Co., Ltd. (a) | 58,500 | 78,817 | |||
398,313 | |||||
PERU — 0.1% | |||||
Cia de Minas Buenaventura SAA ADR (a) | 24,300 | 296,217 | |||
Credicorp, Ltd. | 7,600 | 1,246,552 | |||
Hochschild Mining PLC | 31,281 | 88,854 |
Security Description | Shares | Value | |||
Southern Copper Corp. | 9,500 | $ 618,640 | |||
2,250,263 | |||||
PHILIPPINES — 0.2% | |||||
Aboitiz Equity Ventures, Inc. | 180,220 | 177,317 | |||
Aboitiz Power Corp. | 208,000 | 114,994 | |||
Alliance Global Group, Inc. | 450,900 | 99,525 | |||
Ayala Corp. | 25,640 | 441,540 | |||
Ayala Land, Inc. | 1,138,900 | 969,963 | |||
Bank of the Philippine Islands | 68,567 | 116,150 | |||
BDO Unibank, Inc. | 193,893 | 431,201 | |||
Globe Telecom, Inc. | 2,995 | 126,602 | |||
GT Capital Holdings, Inc. | 6,657 | 81,092 | |||
International Container Terminal Services, Inc. | 76,460 | 196,629 | |||
JG Summit Holdings, Inc. | 262,930 | 392,012 | |||
Jollibee Foods Corp. | 33,510 | 136,207 | |||
Manila Electric Co. | 24,040 | 146,172 | |||
Megaworld Corp. | 1,020,000 | 86,658 | |||
Metro Pacific Investments Corp. | 974,000 | 86,806 | |||
Metropolitan Bank & Trust Co. | 134,886 | 137,769 | |||
PLDT, Inc. | 6,380 | 178,021 | |||
Puregold Price Club, Inc. | 185,180 | 158,097 | |||
Robinsons Land Corp. | 196,244 | 86,632 | |||
Security Bank Corp. | 5,920 | 16,519 | |||
SM Investments Corp. | 23,315 | 509,280 | |||
SM Prime Holdings, Inc. | 982,300 | 787,501 | |||
Universal Robina Corp. | 80,890 | 256,868 | |||
5,733,555 | |||||
POLAND — 0.2% | |||||
Alior Bank SA (a)(b) | 13,668 | 62,251 | |||
Allegro.eu SA (a)(c) | 15,000 | 340,982 | |||
Asseco Poland SA | 9,061 | 165,608 | |||
Bank Handlowy w Warszawie SA (a) | 3,382 | 31,905 | |||
Bank Millennium SA (a) | 64,815 | 56,883 | |||
Bank Polska Kasa Opieki SA (a) | 18,766 | 307,730 | |||
Budimex SA | 1,486 | 122,637 | |||
CCC SA (a) | 4,227 | 99,288 | |||
CD Projekt SA (a) | 6,967 | 513,643 | |||
Ciech SA (a) | 2,728 | 23,575 | |||
Cyfrowy Polsat SA | 29,396 | 238,892 | |||
Dino Polska SA (a)(c) | 5,007 | 388,896 | |||
Enea SA (a) | 20,497 | 35,950 | |||
Eurocash SA (a) | 11,605 | 43,760 | |||
Grupa Azoty SA (a) | 4,145 | 30,537 | |||
Grupa Lotos SA | 9,571 | 106,473 | |||
Jastrzebska Spolka Weglowa SA (a) | 9,529 | 66,365 | |||
KGHM Polska Miedz SA (a) | 23,461 | 1,152,271 | |||
KRUK SA (a) | 1,586 | 60,443 | |||
LPP SA (a) | 134 | 297,958 | |||
mBank SA (a) | 1,535 | 73,825 |
Security Description | Shares | Value | |||
Neuca SA | 233 | $ 40,709 | |||
Orange Polska SA (a) | 67,940 | 120,162 | |||
PGE Polska Grupa Energetyczna SA (a) | 87,117 | 151,975 | |||
Polski Koncern Naftowy ORLEN SA | 30,999 | 480,210 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 177,063 | 263,361 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (a) | 90,597 | 698,322 | |||
Powszechny Zaklad Ubezpieczen SA (a) | 61,741 | 536,215 | |||
Santander Bank Polska SA (a) | 3,603 | 179,570 | |||
Tauron Polska Energia SA (a) | 97,650 | 71,337 | |||
TEN Square Games SA | 370 | 54,716 | |||
Warsaw Stock Exchange | 2,825 | 34,649 | |||
6,851,098 | |||||
PORTUGAL — 0.1% | |||||
Banco Comercial Portugues SA Class R (a)(b) | 944,985 | 142,448 | |||
CTT-Correios de Portugal SA (a) | 13,428 | 38,610 | |||
EDP - Energias de Portugal SA | 298,335 | 1,882,083 | |||
Galp Energia SGPS SA | 47,674 | 510,634 | |||
Jeronimo Martins SGPS SA | 26,225 | 443,451 | |||
Navigator Co. SA | 27,308 | 83,465 | |||
NOS SGPS SA | 43,721 | 152,888 | |||
REN - Redes Energeticas Nacionais SGPS SA | 43,185 | 124,964 | |||
Sonae SGPS SA | 99,350 | 80,412 | |||
3,458,955 | |||||
QATAR — 0.2% | |||||
Al Meera Consumer Goods Co. QSC | 25,614 | 145,692 | |||
Barwa Real Estate Co. | 230,600 | 215,400 | |||
Commercial Bank PQSC | 254,403 | 307,436 | |||
Doha Bank QPSC (a) | 98,027 | 63,727 | |||
Gulf International Services QSC (a) | 149,047 | 70,205 | |||
Industries Qatar QSC | 215,487 | 643,324 | |||
Masraf Al Rayan QSC | 321,190 | 399,613 | |||
Mesaieed Petrochemical Holding Co. | 504,113 | 283,416 | |||
Ooredoo QSC | 58,320 | 120,452 | |||
Qatar Aluminium Manufacturing Co. | 379,745 | 100,855 | |||
Qatar Electricity & Water Co. QSC | 64,414 | 315,790 | |||
Qatar Fuel QSC | 33,948 | 174,169 | |||
Qatar Insurance Co. SAQ | 269,557 | 174,868 | |||
Qatar International Islamic Bank QSC | 40,744 | 101,295 | |||
Qatar Islamic Bank SAQ | 104,670 | 491,871 |
Security Description | Shares | Value | |||
Qatar National Bank QPSC | 470,757 | $ 2,305,300 | |||
Qatar Navigation QSC | 38,565 | 75,128 | |||
Vodafone Qatar QSC | 240,260 | 88,357 | |||
6,076,898 | |||||
ROMANIA — 0.0% (f) | |||||
NEPI Rockcastle PLC | 38,089 | 242,452 | |||
RUSSIA — 0.8% | |||||
Alrosa PJSC (a) | 223,022 | 297,847 | |||
Evraz PLC | 52,083 | 335,755 | |||
Gazprom PJSC ADR | 67,115 | 375,441 | |||
Gazprom PJSC ADR | 56,669 | 317,346 | |||
Gazprom PJSC | 1,077,160 | 3,096,869 | |||
Inter Rao Use PJSC (a) | 5,356,000 | 385,455 | |||
LSR Group PJSC GDR | 26,652 | 60,900 | |||
LUKOIL PJSC ADR | 4,389 | 299,330 | |||
LUKOIL PJSC | 42,233 | 2,959,446 | |||
Magnit PJSC GDR | 33,455 | 588,808 | |||
Mail.Ru Group, Ltd. GDR (a) | 10,000 | 263,000 | |||
Mechel PJSC ADR (a) | 9,600 | 19,680 | |||
MMC Norilsk Nickel PJSC | 7,188 | 2,308,070 | |||
Mobile TeleSystems PJSC ADR | 38,700 | 346,365 | |||
Mobile TeleSystems PJSC | 31,200 | 139,181 | |||
Moscow Exchange MICEX (a) | 132,585 | 285,446 | |||
Novatek PJSC GDR | 9,820 | 1,604,588 | |||
Novolipetskiy Steel PJSC (a) | 113,250 | 320,070 | |||
PhosAgro PJSC GDR | 11,644 | 158,824 | |||
Polymetal International PLC | 22,125 | 509,456 | |||
Polyus PJSC (a) | 2,617 | 539,857 | |||
Polyus PJSC GDR | 1,062 | 107,050 | |||
Rosneft Oil Co. PJSC | 120,780 | 713,843 | |||
Rostelecom PJSC (a) | 100,000 | 130,847 | |||
Sberbank of Russia PJSC ADR | 26,760 | 388,555 | |||
Sberbank of Russia PJSC | 1,093,160 | 4,005,404 | |||
Severstal PAO | 18,520 | 330,416 | |||
Sistema PJSC FC GDR | 40,100 | 300,750 | |||
Surgutneftegas PJSC Preference Shares | 802,100 | 452,537 | |||
Surgutneftegas PJSC | 888,900 | 432,405 | |||
Tatneft PJSC ADR | 3,048 | 123,444 | |||
Tatneft PJSC | 129,220 | 898,337 | |||
TCS Group Holding PLC GDR | 12,425 | 408,782 | |||
VTB Bank PJSC | 437,390,000 | 223,069 | |||
X5 Retail Group NV GDR | 12,063 | 435,716 | |||
Yandex NV Class A (a) | 32,230 | 2,242,563 | |||
26,405,452 | |||||
SAUDI ARABIA — 0.7% | |||||
Abdullah Al Othaim Markets Co. | 1,991 | 65,171 | |||
Advanced Petrochemical Co. | 8,106 | 144,765 |
Security Description | Shares | Value | |||
Al Hammadi Co. for Development and Investment (a) | 20,250 | $ 155,993 | |||
Al Rajhi Bank | 127,833 | 2,507,866 | |||
Al Rajhi Co. for Co-operative Insurance (a) | 4,209 | 90,763 | |||
Aldrees Petroleum and Transport Services Co. | 5,468 | 94,593 | |||
Alinma Bank (a) | 81,229 | 350,327 | |||
Almarai Co. JSC | 20,087 | 293,948 | |||
Alujain Holding (a) | 7,396 | 92,756 | |||
Arab National Bank | 43,104 | 230,939 | |||
Arabian Cement Co. | 9,227 | 90,632 | |||
Arriyadh Development Co. | 18,294 | 83,775 | |||
Aseer Trading Tourism & Manufacturing Co. (a) | 26,480 | 115,756 | |||
Bank AlBilad | 27,799 | 210,071 | |||
Bank Al-Jazira | 22,911 | 83,422 | |||
Banque Saudi Fransi | 52,979 | 446,246 | |||
Bupa Arabia for Cooperative Insurance Co. (a) | 9,718 | 316,542 | |||
City Cement Co. | 6,348 | 43,317 | |||
Co. for Cooperative Insurance (a) | 5,049 | 107,262 | |||
Dallah Healthcare Co. | 7,407 | 95,263 | |||
Dar Al Arkan Real Estate Development Co. (a) | 39,088 | 90,229 | |||
Dur Hospitality Co. | 12,960 | 98,972 | |||
Eastern Province Cement Co. | 9,470 | 103,873 | |||
Emaar Economic City (a) | 34,732 | 85,265 | |||
Etihad Etisalat Co. (a) | 32,700 | 249,721 | |||
Fawaz Abdulaziz Al Hokair & Co. (a) | 11,570 | 67,232 | |||
Herfy Food Services Co. | 2,033 | 32,297 | |||
Jarir Marketing Co. | 4,275 | 197,592 | |||
Leejam Sports Co. JSC | 3,769 | 77,659 | |||
Maharah Human Resources Co. | 2,209 | 44,456 | |||
Middle East Healthcare Co. (a) | 11,802 | 110,262 | |||
Mobile Telecommunications Co. (a) | 51,843 | 187,937 | |||
Mouwasat Medical Services Co. | 4,245 | 156,149 | |||
Najran Cement Co. | 15,550 | 75,603 | |||
National Agriculture Development Co (a) | 20,791 | 165,149 | |||
National Commercial Bank | 157,343 | 1,818,109 | |||
National Gas & Industrialization Co. | 2,926 | 23,788 | |||
National Industrialization Co. (a) | 71,502 | 260,728 | |||
National Medical Care Co. | 5,781 | 82,286 | |||
Northern Region Cement Co. | 17,439 | 56,525 | |||
Qassim Cement Co. | 1,837 | 39,662 | |||
Rabigh Refining & Petrochemical Co. (a) | 13,507 | 49,757 |
Security Description | Shares | Value | |||
Riyad Bank | 157,995 | $ 850,703 | |||
Sahara International Petrochemical Co. | 26,583 | 122,726 | |||
Samba Financial Group | 86,844 | 707,187 | |||
Saudi Airlines Catering Co. | 4,009 | 82,390 | |||
Saudi Arabian Fertilizer Co. | 25,578 | 549,522 | |||
Saudi Arabian Mining Co. (a) | 41,436 | 447,318 | |||
Saudi Arabian Oil Co. (c) | 230,178 | 2,147,412 | |||
Saudi Basic Industries Corp. | 87,926 | 2,376,505 | |||
Saudi British Bank | 64,706 | 426,360 | |||
Saudi Cement Co. | 5,941 | 97,391 | |||
Saudi Ceramic Co. (a) | 1,873 | 23,939 | |||
Saudi Chemical Co. Holding (a) | 16,716 | 155,727 | |||
Saudi Co. For Hardware CJSC | 5,311 | 82,392 | |||
Saudi Electricity Co. | 89,964 | 510,778 | |||
Saudi Industrial Investment Group | 16,632 | 121,473 | |||
Saudi Kayan Petrochemical Co. (a) | 124,148 | 473,216 | |||
Saudi Pharmaceutical Industries & Medical Appliances Corp. | 10,157 | 106,129 | |||
Saudi Public Transport Co. (a) | 5,953 | 28,467 | |||
Saudi Real Estate Co. (a) | 15,161 | 61,103 | |||
Saudi Research & Marketing Group (a) | �� | 4,483 | 93,804 | ||
Saudi Telecom Co. | 63,988 | 1,807,956 | |||
Saudia Dairy & Foodstuff Co. | 534 | 24,909 | |||
Savola Group | 18,971 | 214,913 | |||
Seera Group Holding (a) | 14,011 | 70,884 | |||
Southern Province Cement Co. | 6,007 | 134,980 | |||
United Electronics Co. | 5,677 | 130,894 | |||
United International Transportation Co. | 1,592 | 16,125 | |||
Yamama Cement Co. | 14,880 | 117,204 | |||
Yanbu Cement Co. | 10,069 | 108,833 | |||
Yanbu National Petrochemical Co. | 21,130 | 359,902 | |||
22,143,800 | |||||
SINGAPORE — 0.7% | |||||
Accordia Golf Trust | 66,300 | 1,089 | |||
AEM Holdings, Ltd. | 28,400 | 74,135 | |||
AIMS APAC REIT | 50,300 | 47,573 | |||
ARA LOGOS Logistics Trust REIT | 133,200 | 60,470 | |||
Ascendas India Trust | 79,100 | 82,592 | |||
Ascendas Real Estate Investment Trust | 347,074 | 782,568 | |||
Ascott Residence Trust | 167,317 | 136,725 | |||
BOC Aviation, Ltd. (c) | 21,300 | 184,051 | |||
BW LPG, Ltd. (c) | 11,460 | 78,970 | |||
CapitaLand Integrated Commercial Trust REIT | 506,288 | 827,437 |
Security Description | Shares | Value | |||
CapitaLand Retail China Trust REIT | 114,800 | $ 120,737 | |||
CapitaLand, Ltd. | 284,800 | 706,801 | |||
CDL Hospitality Trusts Stapled Security | 71,300 | 68,514 | |||
City Developments, Ltd. | 59,600 | 359,408 | |||
ComfortDelGro Corp., Ltd. | 221,300 | 279,628 | |||
DBS Group Holdings, Ltd. | 198,091 | 3,753,035 | |||
Eagle Hospitality Trust Unit (a)(d) | 112,600 | 7,713 | |||
ESR-REIT | 195,708 | 58,491 | |||
Far East Hospitality Trust Stapled Security | 140,900 | 66,098 | |||
First Resources, Ltd. | 50,200 | 48,618 | |||
Frasers Centrepoint Trust REIT | 148,092 | 275,645 | |||
Frasers Hospitality Trust Stapled Security | 135,000 | 53,626 | |||
Frasers Logistics & Commercial Trust REIT | 285,139 | 304,200 | |||
Genting Singapore, Ltd. | 773,000 | 497,144 | |||
Golden Agri-Resources, Ltd. | 606,500 | 72,964 | |||
GuocoLand, Ltd. | 27,500 | 31,835 | |||
IGG, Inc. | 79,000 | 82,731 | |||
Kenon Holdings, Ltd. | 1,959 | 57,657 | |||
Keppel Corp., Ltd. | 173,900 | 707,889 | |||
Keppel DC REIT | 133,400 | 283,626 | |||
Keppel Infrastructure Trust | 573,500 | 236,490 | |||
Keppel Pacific Oak US REIT | 76,700 | 52,923 | |||
Keppel REIT | 186,200 | 157,791 | |||
Lendlease Global Commercial REIT | 83,600 | 46,176 | |||
Manulife US Real Estate Investment Trust | 204,200 | 152,129 | |||
Mapletree Commercial Trust REIT | 272,368 | 438,954 | |||
Mapletree Industrial Trust REIT | 177,400 | 387,914 | |||
Mapletree Logistics Trust REIT | 312,049 | 474,572 | |||
Mapletree North Asia Commercial Trust REIT | 240,400 | 176,437 | |||
NetLink NBN Trust | 426,700 | 311,554 | |||
OUE Commercial Real Estate Investment Trust | 194,900 | 56,775 | |||
OUE, Ltd. | 121,100 | 109,953 | |||
Oversea-Chinese Banking Corp., Ltd. | 362,312 | 2,757,809 | |||
Parkway Life Real Estate Investment Trust | 51,200 | 149,922 | |||
Prime US REIT | 43,900 | 34,681 | |||
Raffles Medical Group, Ltd. | 84,876 | 63,899 | |||
Sasseur Real Estate Investment Trust | 189,800 | 117,759 | |||
SATS, Ltd. (a)(b) | 81,900 | 246,633 | |||
Sembcorp Industries, Ltd. | 92,900 | 120,197 | |||
Sembcorp Marine, Ltd. (a) | 1,457,331 | 157,680 |
Security Description | Shares | Value | |||
Sheng Siong Group, Ltd. | 61,200 | $ 71,774 | |||
SIA Engineering Co., Ltd. | 26,100 | 38,904 | |||
Singapore Airlines, Ltd. (a) | 146,500 | 474,422 | |||
Singapore Exchange, Ltd. | 88,100 | 618,596 | |||
Singapore Post, Ltd. | 116,800 | 62,304 | |||
Singapore Press Holdings, Ltd. (b) | 178,700 | 152,787 | |||
Singapore Technologies Engineering, Ltd. | 166,900 | 482,396 | |||
Singapore Telecommunications, Ltd. | 894,700 | 1,563,770 | |||
Soilbuild Business Space REIT | 183,900 | 74,442 | |||
SPH REIT | 70,500 | 45,074 | |||
Starhill Global REIT | 183,300 | 70,039 | |||
StarHub, Ltd. | 54,800 | 54,317 | |||
Suntec Real Estate Investment Trust | 238,200 | 268,542 | |||
United Overseas Bank, Ltd. | 128,893 | 2,203,074 | |||
UOL Group, Ltd. | 49,233 | 287,206 | |||
Venture Corp., Ltd. | 30,300 | 445,221 | |||
Wing Tai Holdings, Ltd. | 35,900 | 52,968 | |||
Yoma Strategic Holdings, Ltd. (a)(b) | 306,500 | 67,253 | |||
23,395,307 | |||||
SOUTH AFRICA — 1.1% | |||||
Absa Group, Ltd. | 89,360 | 729,176 | |||
AECI, Ltd. | 9,970 | 59,051 | |||
African Rainbow Minerals, Ltd. | 12,579 | 224,292 | |||
Allied Electronics Corp., Ltd. Class A | 22,953 | 17,048 | |||
Anglo American Platinum, Ltd. | 6,612 | 649,620 | |||
Anglo American PLC | 134,888 | 4,470,416 | |||
Aspen Pharmacare Holdings, Ltd. (a) | 41,881 | 357,459 | |||
Astral Foods, Ltd. | 3,513 | 33,363 | |||
AVI, Ltd. | 32,809 | 163,545 | |||
Barloworld, Ltd. | 19,472 | 120,766 | |||
Bid Corp., Ltd. | 34,259 | 613,473 | |||
Bidvest Group, Ltd. | 39,038 | 417,309 | |||
Capitec Bank Holdings, Ltd. (a) | 8,493 | 828,355 | |||
Clicks Group, Ltd. | 26,819 | 461,330 | |||
Coronation Fund Managers, Ltd. | 19,084 | 56,088 | |||
DataTec, Ltd. (a) | 38,866 | 64,959 | |||
Dis-Chem Pharmacies, Ltd. (a)(c) | 31,283 | 44,745 | |||
Discovery, Ltd. | 41,160 | 430,241 | |||
DRDGOLD, Ltd. | 44,155 | 54,019 | |||
Equites Property Fund, Ltd. REIT | 80,348 | 95,015 | |||
Exxaro Resources, Ltd. | 35,745 | 338,012 | |||
FirstRand, Ltd. | 503,178 | 1,748,427 | |||
Fortress REIT, Ltd. Class A, | 115,468 | 107,302 |
Security Description | Shares | Value | |||
Foschini Group, Ltd. (a) | 34,541 | $ 240,585 | |||
Gold Fields, Ltd. | 96,518 | 903,956 | |||
Growthpoint Properties, Ltd. REIT | 324,240 | 277,471 | |||
Harmony Gold Mining Co., Ltd. (a) | 55,446 | 270,270 | |||
Impala Platinum Holdings, Ltd. | 86,178 | 1,184,535 | |||
Imperial Logistics, Ltd. | 47,957 | 121,943 | |||
Investec PLC | 72,538 | 185,719 | |||
Investec Property Fund, Ltd. REIT | 58,715 | 36,415 | |||
Investec, Ltd. | 34,578 | 86,252 | |||
JSE, Ltd. | 20,858 | 159,750 | |||
KAP Industrial Holdings, Ltd. (a) | 705,488 | 151,772 | |||
Kumba Iron Ore, Ltd. | 6,528 | 276,790 | |||
Liberty Holdings, Ltd. | 15,761 | 66,504 | |||
Life Healthcare Group Holdings, Ltd. (a) | 124,734 | 142,832 | |||
Momentum Metropolitan Holdings | 83,371 | 89,451 | |||
Motus Holdings, Ltd. | 19,611 | 74,766 | |||
Mr. Price Group, Ltd. | 36,746 | 426,905 | |||
MTN Group, Ltd. (b) | 183,058 | 750,116 | |||
MultiChoice Group, Ltd. | 46,114 | 420,681 | |||
Naspers, Ltd. Class N | 46,971 | 9,655,137 | |||
Nedbank Group, Ltd. | 39,239 | 345,888 | |||
Netcare, Ltd. | 112,609 | 95,829 | |||
Ninety One, Ltd. | 17,289 | 51,789 | |||
Northam Platinum, Ltd. (a) | 36,449 | 519,933 | |||
Oceana Group, Ltd. | 11,307 | 49,458 | |||
Old Mutual, Ltd. (e) | 156,832 | 126,950 | |||
Old Mutual, Ltd. (b)(e) | 315,585 | 257,366 | |||
Pick n Pay Stores, Ltd. | 29,885 | 102,256 | |||
PSG Group, Ltd. | 17,508 | 71,373 | |||
Rand Merchant Investment Holdings, Ltd. | 71,980 | 157,056 | |||
Redefine Properties, Ltd. REIT | 565,715 | 128,250 | |||
Remgro, Ltd. | 57,126 | 374,131 | |||
Resilient REIT, Ltd. | 34,728 | 100,008 | |||
Reunert, Ltd. | 15,137 | 37,305 | |||
Royal Bafokeng Platinum, Ltd. (a) | 14,538 | 64,709 | |||
Sanlam, Ltd. | 207,751 | 830,933 | |||
Santam, Ltd. | 4,350 | 75,452 | |||
Sappi, Ltd. (a) | 57,092 | 127,564 | |||
Sasol, Ltd. (a) | 69,231 | 631,239 | |||
Shoprite Holdings, Ltd. | 51,341 | 489,336 | |||
Sibanye Stillwater, Ltd. | 245,232 | 1,001,714 | |||
SPAR Group, Ltd. | 20,791 | 268,282 | |||
Standard Bank Group, Ltd. | 136,794 | 1,183,476 | |||
Steinhoff International Holdings NV (a)(b) | 418,971 | 29,664 | |||
Super Group, Ltd. (a) | 99,955 | 159,302 | |||
Telkom SA SOC, Ltd. | 39,144 | 81,839 |
Security Description | Shares | Value | |||
Tiger Brands, Ltd. | 17,906 | $ 253,777 | |||
Transaction Capital, Ltd. | 44,692 | 75,730 | |||
Truworths International, Ltd. | 45,425 | 113,959 | |||
Vodacom Group, Ltd. | 66,959 | 567,035 | |||
Vukile Property Fund, Ltd. REIT | 94,716 | 51,586 | |||
Wilson Bayly Holmes-Ovcon, Ltd. (a) | 5,617 | 34,852 | |||
Woolworths Holdings, Ltd. | 107,437 | 289,205 | |||
36,353,107 | |||||
SOUTH KOREA — 4.2% | |||||
ABLBio, Inc. (a) | 2,537 | 72,633 | |||
Ace Technologies Corp. (a) | 3,286 | 82,127 | |||
AfreecaTV Co., Ltd. | 572 | 31,857 | |||
Ahnlab, Inc. | 2,297 | 161,126 | |||
Alteogen, Inc. (a) | 1,964 | 324,893 | |||
Amicogen, Inc. (a) | 3,467 | 122,556 | |||
Amorepacific Corp. (a) | 3,822 | 724,783 | |||
AMOREPACIFIC Group (a) | 2,522 | 127,458 | |||
Ananti, Inc. (a) | 6,092 | 45,257 | |||
Asiana Airlines, Inc. (a) | 32,507 | 125,982 | |||
BGF retail Co., Ltd. (a) | 795 | 99,165 | |||
BH Co., Ltd. | 730 | 14,751 | |||
Binex Co., Ltd. (a) | 5,433 | 132,787 | |||
BNK Financial Group, Inc. | 27,622 | 144,429 | |||
Boditech Med, Inc. | 1,505 | 32,835 | |||
Boryung Pharmaceutical Co., Ltd. | 2,543 | 44,596 | |||
Bukwang Pharmaceutical Co., Ltd. | 3,983 | 103,031 | |||
Cellivery Therapeutics, Inc. (a) | 574 | 99,445 | |||
Celltrion Healthcare Co., Ltd. (a) | 8,072 | 1,211,209 | |||
Celltrion Pharm, Inc. (a) | 1,773 | 389,430 | |||
Celltrion, Inc. (a) | 10,484 | 3,464,748 | |||
Chabiotech Co., Ltd. (a) | 3,560 | 65,707 | |||
Cheil Worldwide, Inc. (a) | 7,506 | 142,340 | |||
Chong Kun Dang Pharmaceutical Corp. | 637 | 132,818 | |||
Chunbo Co., Ltd. | 931 | 156,324 | |||
CJ CGV Co., Ltd. (a) | 2,246 | 52,103 | |||
CJ CheilJedang Corp. (a) | 942 | 330,389 | |||
CJ Corp. (a) | 1,354 | 114,796 | |||
CJ ENM Co., Ltd. (a) | 1,018 | 130,729 | |||
CJ Logistics Corp. (a) | 1,096 | 166,978 | |||
CMG Pharmaceutical Co., Ltd. (a) | 11,128 | 59,210 | |||
Com2uSCorp | 2,104 | 308,540 | |||
Cosmax, Inc. | 682 | 62,468 | |||
Coway Co., Ltd. (a) | 6,030 | 403,554 | |||
CrystalGenomics, Inc. (a) | 7,875 | 129,764 | |||
CS Wind Corp. | 1,417 | 230,884 | |||
Daejoo Electronic Materials Co., Ltd. (a) | 1,149 | 49,131 | |||
Daelim Industrial Co., Ltd. | 2,706 | 206,755 |
Security Description | Shares | Value | |||
Daesang Corp. | 4,987 | $ 119,591 | |||
Daewoo Engineering & Construction Co., Ltd. (a) | 24,328 | 111,641 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 3,568 | 89,997 | |||
Daewoong Co., Ltd. (a) | 2,154 | 99,739 | |||
Daewoong Pharmaceutical Co., Ltd. | 429 | 65,162 | |||
Daou Technology, Inc. | 6,450 | 130,033 | |||
DB HiTek Co., Ltd. | 3,213 | 150,845 | |||
DB Insurance Co., Ltd. (a) | 5,525 | 222,516 | |||
DGB Financial Group, Inc. (a) | 15,300 | 95,634 | |||
DIO Corp. (a) | 4,286 | 124,875 | |||
Dong-A Socio Holdings Co., Ltd. (a) | 363 | 40,935 | |||
Dong-A ST Co., Ltd. (a) | 542 | 44,206 | |||
Dongjin Semichem Co., Ltd. (a) | 5,592 | 187,893 | |||
DongKook Pharmaceutical Co., Ltd. (a) | 4,240 | 114,167 | |||
Dongsuh Cos., Inc. (a) | 2,706 | 84,570 | |||
Doosan Bobcat, Inc. (a) | 4,079 | 111,334 | |||
Doosan Fuel Cell Co., Ltd. (a) | 2,353 | 115,885 | |||
Doosan Heavy Industries & Construction Co., Ltd. (a) | 20,537 | 255,224 | |||
Doosan Infracore Co., Ltd. (a) | 12,565 | 91,609 | |||
DoubleUGames Co., Ltd. (a) | 843 | 46,717 | |||
Douzone Bizon Co., Ltd. (a) | 2,524 | 241,642 | |||
Ecopro BM Co., Ltd. | 744 | 116,500 | |||
Ecopro Co., Ltd. | 3,500 | 160,131 | |||
E-MART, Inc. (a) | 2,133 | 297,477 | |||
Enzychem Lifesciences Corp. (a) | 1,168 | 113,327 | |||
Eo Technics Co., Ltd. (a) | 1,483 | 159,727 | |||
Eubiologics Co., Ltd. (a) | 2,973 | 58,294 | |||
Eugene Technology Co., Ltd. | 1,603 | 49,213 | |||
F&F Co., Ltd. (a) | 610 | 47,394 | |||
Feelux Co., Ltd. (a) | 7,699 | 29,023 | |||
Fila Holdings Corp. (a) | 5,207 | 209,469 | |||
Foosung Co., Ltd. (a) | 13,563 | 147,329 | |||
GemVax & Kael Co., Ltd. (a) | 2,866 | 63,056 | |||
Geneonelifescience, Inc. (a) | 4,103 | 81,395 | |||
Genexine, Inc. (a) | 2,807 | 321,191 | |||
Grand Korea Leisure Co., Ltd. | 3,328 | 51,162 | |||
Green Cross Corp. | 529 | 197,712 | |||
Green Cross Holdings Corp. (a) | 5,248 | 200,490 | |||
GS Engineering & Construction Corp. (a) | 5,552 | 193,193 | |||
GS Holdings Corp. (a) | 5,913 | 204,394 | |||
GS Home Shopping, Inc. (a) | 344 | 44,017 | |||
GS Retail Co., Ltd. (a) | 3,570 | 113,216 | |||
G-treeBNT Co., Ltd. (a) | 2,091 | 56,207 |
Security Description | Shares | Value | |||
Hana Financial Group, Inc. | 32,382 | $ 1,028,426 | |||
Hana Tour Service, Inc. | 978 | 50,417 | |||
Hanall Biopharma Co., Ltd. (a) | 2,599 | 89,720 | |||
Hankook Shell Oil Co., Ltd. | 332 | 79,004 | |||
Hankook Tire & Technology Co., Ltd. (a) | 8,351 | 302,890 | |||
Hanmi Pharm Co., Ltd. (a) | 628 | 211,877 | |||
Hanon Systems | 20,102 | 300,707 | |||
Hansol Chemical Co., Ltd. (a) | 1,234 | 223,217 | |||
Hansol Paper Co., Ltd. | 6,147 | 78,372 | |||
Hanssem Co., Ltd. (a) | 2,499 | 240,399 | |||
Hanwha Aerospace Co., Ltd. (a) | 4,757 | 124,804 | |||
Hanwha Corp. (a) | 3,640 | 94,828 | |||
Hanwha Life Insurance Co., Ltd. (a) | 31,079 | 69,808 | |||
Hanwha Solutions Corp. (a) | 13,246 | 584,078 | |||
HDC Hyundai Development Co-Engineering & Construction Class E (a) | 3,261 | 78,350 | |||
Helixmith Co., Ltd. (a) | 3,206 | 97,393 | |||
Hite Jinro Co., Ltd. | 2,855 | 83,708 | |||
HLB Life Science Co., Ltd. (a) | 4,660 | 116,682 | |||
HLB, Inc. (a) | 4,748 | 404,299 | |||
HMM Co., Ltd. (a) | 32,104 | 412,272 | |||
Hotel Shilla Co., Ltd. (a) | 3,574 | 270,773 | |||
Huchems Fine Chemical Corp. (a) | 1,984 | 46,847 | |||
Hugel, Inc. (a) | 1,296 | 224,053 | |||
Hyosung Chemical Corp. (a) | 809 | 116,550 | |||
Hyosung Corp. (a) | 858 | 60,344 | |||
Hyosung TNC Co., Ltd. (a) | 279 | 54,192 | |||
Hyundai Autoever Corp. | 571 | 64,916 | |||
Hyundai Bioscience Co., Ltd. (a) | 4,204 | 113,005 | |||
Hyundai Department Store Co., Ltd. (a) | 1,309 | 86,038 | |||
Hyundai Elevator Co., Ltd. (a) | 2,938 | 107,372 | |||
Hyundai Engineering & Construction Co., Ltd. (a) | 7,969 | 274,730 | |||
Hyundai Glovis Co., Ltd. (a) | 2,005 | 339,612 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (a) | 1,006 | 262,544 | |||
Hyundai Home Shopping Network Corp. (a) | 629 | 47,191 | |||
Hyundai Marine & Fire Insurance Co., Ltd. (a) | 5,728 | 119,960 | |||
Hyundai Mipo Dockyard Co., Ltd. (a) | 2,168 | 95,797 | |||
Hyundai Mobis Co., Ltd. (a) | 7,597 | 1,786,830 | |||
Hyundai Motor Co. (a) | 16,831 | 2,974,825 | |||
Hyundai Motor Co. Preference Shares (a)(e) | 3,845 | 317,143 | |||
Hyundai Motor Co. Preference Shares (a)(e) | 2,761 | 224,936 |
Security Description | Shares | Value | |||
Hyundai Rotem Co., Ltd. (a) | 7,810 | $ 123,660 | |||
Hyundai Steel Co. (a) | 8,186 | 298,413 | |||
Hyundai Wia Corp. (a) | 1,507 | 74,219 | |||
Iljin Materials Co., Ltd. | 2,086 | 97,742 | |||
Ilyang Pharmaceutical Co., Ltd. (a) | 1,234 | 74,747 | |||
Industrial Bank of Korea | 28,125 | 228,873 | |||
Innocean Worldwide, Inc. (a) | 814 | 44,660 | |||
IS Dongseo Co., Ltd. (a) | 3,285 | 161,483 | |||
JB Financial Group Co., Ltd. (a) | 11,582 | 60,133 | |||
JYP Entertainment Corp. (a) | 4,449 | 157,269 | |||
Kakao Corp. | 6,223 | 2,231,298 | |||
Kangwon Land, Inc. (a) | 11,437 | 247,417 | |||
KB Financial Group, Inc. | 44,995 | 1,797,646 | |||
KCC Corp. | 576 | 104,722 | |||
KEPCO Plant Service & Engineering Co., Ltd. (a) | 2,035 | 55,638 | |||
Kia Motors Corp. (a) | 28,418 | 1,632,407 | |||
KIWOOM Securities Co., Ltd. | 2,328 | 271,096 | |||
KMW Co., Ltd. (a) | 2,663 | 197,831 | |||
Koentec Co., Ltd. | 12,880 | 111,809 | |||
Koh Young Technology, Inc. (a) | 1,079 | 104,294 | |||
Kolmar BNH Co., Ltd. (a) | 790 | 37,744 | |||
Kolmar Korea Co., Ltd. (a) | 1,275 | 59,742 | |||
Kolon Industries, Inc. (a) | 1,620 | 61,218 | |||
Komipharm International Co., Ltd. (a) | 4,676 | 57,896 | |||
Korea Aerospace Industries, Ltd. (a) | 7,786 | 184,920 | |||
Korea Electric Power Corp. | 30,559 | 770,797 | |||
Korea Gas Corp. (a) | 2,420 | 68,837 | |||
Korea Investment Holdings Co., Ltd. (a) | 3,949 | 287,187 | |||
Korea Petrochemical Ind Co., Ltd. (a) | 507 | 107,346 | |||
Korea Real Estate Investment & Trust Co., Ltd. (a) | 40,468 | 75,251 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 3,817 | 381,243 | |||
Korea United Pharm, Inc. (a) | 955 | 58,374 | |||
Korea Zinc Co., Ltd. (a) | 874 | 323,033 | |||
Korean Air Lines Co., Ltd. (a) | 9,253 | 231,687 | |||
Korean Reinsurance Co. (a) | 8,166 | 59,311 | |||
KT&G Corp. (a) | 12,586 | 962,806 | |||
Kuk-il Paper Manufacturing Co., Ltd. (a) | 9,131 | 43,709 | |||
Kumho Petrochemical Co., Ltd. (a) | 1,926 | 257,084 | |||
Kwang Dong Pharmaceutical Co., Ltd. (a) | 12,503 | 117,975 | |||
L&C Bio Co., Ltd. | 1,326 | 42,113 | |||
L&F Co., Ltd. (a) | 3,082 | 202,856 | |||
LEENO Industrial, Inc. | 896 | 111,350 | |||
LegoChem Biosciences, Inc. (a) | 2,417 | 155,971 |
Security Description | Shares | Value | |||
LG Chem, Ltd. (a) | 5,136 | $ 3,895,852 | |||
LG Chem, Ltd. Preference Shares (a) | 786 | 276,037 | |||
LG Corp. (a) | 11,329 | 912,536 | |||
LG Display Co., Ltd. | 25,728 | 439,339 | |||
LG Electronics, Inc. | 11,472 | 1,425,684 | |||
LG Hausys, Ltd. | 1,772 | 127,236 | |||
LG Household & Health Care, Ltd. (a) | 1,001 | 1,492,792 | |||
LG Household & Health Care, Ltd. Preference Shares (a) | 184 | 121,617 | |||
LG Innotek Co., Ltd. (a) | 1,707 | 286,779 | |||
LG International Corp. (a) | 14,247 | 323,944 | |||
LG Uplus Corp. (a) | 23,441 | 253,550 | |||
Lock&Lock Co., Ltd. (a) | 10,907 | 101,911 | |||
Lotte Chemical Corp. (a) | 1,831 | 465,209 | |||
Lotte Corp. (a) | 2,576 | 83,709 | |||
LOTTE Fine Chemical Co., Ltd. (a) | 1,634 | 83,031 | |||
LOTTE Reit Co., Ltd. | 9,193 | 45,275 | |||
Lotte Shopping Co., Ltd. (a) | 983 | 92,753 | |||
Lotte Tour Development Co., Ltd. (a) | 3,330 | 45,982 | |||
LS Corp. (a) | 1,645 | 108,122 | |||
LS Electric Co., Ltd. (a) | 1,393 | 80,915 | |||
Mando Corp. (a) | 5,035 | 272,538 | |||
Mcnex Co., Ltd. | 1,909 | 70,997 | |||
Medipost Co., Ltd. (a) | 1,600 | 50,962 | |||
MedPacto, Inc. (a) | 1,028 | 111,383 | |||
Medy-Tox, Inc. | 541 | 87,154 | |||
MegaStudyEdu Co., Ltd. | 453 | 16,263 | |||
Meritz Fire & Marine Insurance Co., Ltd. (a) | 4,627 | 62,187 | |||
Meritz Securities Co., Ltd. (a) | 69,541 | 234,620 | |||
Mezzion Pharma Co., Ltd. (a) | 617 | 99,851 | |||
Mirae Asset Daewoo Co., Ltd. (a) | 47,797 | 415,358 | |||
Mirae Asset Maps Asia Pacific Real Estate 1 Investment | 27,768 | 102,120 | |||
Naturecell Co., Ltd. (a) | 12,479 | 117,748 | |||
NAVER Corp. (a) | 13,402 | 3,608,658 | |||
NCSoft Corp. (a) | 1,796 | 1,539,240 | |||
NEPES Corp. (a) | 1,564 | 61,189 | |||
Netmarble Corp. (a)(c) | 2,574 | 311,591 | |||
NH Investment & Securities Co., Ltd. (a) | 14,985 | 155,878 | |||
NHN Corp. (a) | 885 | 60,776 | |||
NHN KCP Corp. (a) | 1,369 | 86,327 | |||
NICE Information Service Co., Ltd. (a) | 10,100 | 230,581 | |||
NKMax Co., Ltd. (a) | 9,231 | 178,451 | |||
NongShim Co., Ltd. (a) | 521 | 143,883 | |||
OCI Co., Ltd. (a) | 1,629 | 139,461 | |||
Orion Corp/Republic of Korea (a) | 2,349 | 268,136 | |||
Oscotec, Inc. (a) | 4,726 | 285,396 | |||
Osstem Implant Co., Ltd. (a) | 1,153 | 54,131 |
Security Description | Shares | Value | |||
Ottogi Corp. (a) | 114 | $ 60,552 | |||
Pan Ocean Co., Ltd. (a) | 24,680 | 114,051 | |||
Paradise Co., Ltd. (a) | 4,113 | 57,930 | |||
Partron Co., Ltd. | 11,769 | 121,341 | |||
Pearl Abyss Corp. (a) | 605 | 144,971 | |||
Pharmicell Co., Ltd. (a) | 11,563 | 184,148 | |||
PI Advanced Materials Co., Ltd. (a) | 1,584 | 53,952 | |||
Poongsan Corp. (a) | 1,946 | 50,070 | |||
POSCO | 8,414 | 2,106,792 | |||
POSCO Chemtech Co., Ltd. | 2,247 | 215,123 | |||
Posco International Corp. (a) | 6,646 | 89,017 | |||
RFHIC Corp. (a) | 1,181 | 48,542 | |||
S&S Tech Corp. (a) | 1,616 | 64,711 | |||
S&T Motiv Co., Ltd. | 938 | 42,656 | |||
S-1 Corp. (a) | 1,546 | 120,970 | |||
Sam Chun Dang Pharm Co., Ltd. (a) | 2,749 | 207,763 | |||
SAM KANG M&T Co., Ltd. (a) | 5,577 | 110,123 | |||
Samsung Biologics Co., Ltd. (a)(c) | 1,767 | 1,343,590 | |||
Samsung C&T Corp. (a) | 9,098 | 1,155,780 | |||
Samsung Card Co., Ltd. (a) | 3,804 | 113,808 | |||
Samsung Electro-Mechanics Co., Ltd. (a) | 6,047 | 990,855 | |||
Samsung Electronics Co., Ltd. Preference Shares | 91,589 | 6,205,422 | |||
Samsung Electronics Co., Ltd. | 526,697 | 39,273,181 | |||
Samsung Engineering Co., Ltd. (a) | 16,699 | 203,684 | |||
Samsung Fire & Marine Insurance Co., Ltd. (a) | 3,633 | 627,071 | |||
Samsung Heavy Industries Co., Ltd. (a) | 51,399 | 333,102 | |||
Samsung Life Insurance Co., Ltd. (a) | 8,580 | 624,761 | |||
Samsung SDI Co., Ltd. | 5,984 | 3,459,405 | |||
Samsung SDS Co., Ltd. (a) | 4,063 | 667,629 | |||
Samsung Securities Co., Ltd. (a) | 7,238 | 269,518 | |||
Samwha Capacitor Co., Ltd. (a) | 848 | 51,444 | |||
Sangsangin Co., Ltd. (a) | 7,698 | 45,495 | |||
Seegene, Inc. | 2,072 | 368,127 | |||
Seojin System Co., Ltd. (a) | 2,971 | 138,390 | |||
Seoul Semiconductor Co., Ltd. (a) | 9,084 | 171,846 | |||
SFA Engineering Corp. (a) | 1,624 | 57,706 | |||
Shin Poong Pharmaceutical Co., Ltd. (a) | 3,440 | 392,672 | |||
Shinhan Financial Group Co., Ltd. | 48,958 | 1,444,448 | |||
Shinsegae International, Inc. (a) | 226 | 33,599 | |||
Shinsegae, Inc. (a) | 786 | 173,292 | |||
Shinsung E&G Co., Ltd. (a) | 13,547 | 42,899 |
Security Description | Shares | Value | |||
Silicon Works Co., Ltd. (a) | 1,216 | $ 65,149 | |||
SillaJen, Inc. (a)(d) | 6,523 | 54,493 | |||
SK Biopharmaceuticals Co., Ltd. (a) | 1,500 | 233,361 | |||
SK Chemicals Co., Ltd. (a) | 823 | 297,365 | |||
SK Discovery Co., Ltd. (a) | 2,244 | 135,718 | |||
SK Holdings Co., Ltd. | 4,028 | 891,774 | |||
SK Hynix, Inc. | 60,699 | 6,621,404 | |||
SK Innovation Co., Ltd. (a) | 5,989 | 1,047,510 | |||
SK Materials Co., Ltd. | 429 | 141,302 | |||
SK Networks Co., Ltd. (a) | 13,470 | 60,201 | |||
SK Telecom Co., Ltd. | 4,637 | 1,015,931 | |||
SKC Co., Ltd. | 1,867 | 161,556 | |||
SM Entertainment Co., Ltd. (a) | 1,656 | 45,352 | |||
S-Oil Corp. (a) | 4,845 | 308,639 | |||
Solid, Inc. (a) | 4,788 | 49,365 | |||
Solus Advanced Materials Co, Ltd. (a) | 1,317 | 60,073 | |||
Soulbrain Co., Ltd. (a) | 458 | 114,806 | |||
Soulbrain Holdings Co., Ltd. (a) | 567 | 23,540 | |||
ST Pharm Co., Ltd. (a) | 2,098 | 200,472 | |||
Suheung Co., Ltd. (a) | 2,578 | 121,033 | |||
Taeyoung Engineering & Construction Co., Ltd. (a) | 1,805 | 19,607 | |||
Telcon RF Pharmaceutical, Inc. (a) | 8,430 | 47,027 | |||
Tesna, Inc. (a) | 1,124 | 58,150 | |||
Tokai Carbon Korea Co., Ltd. | 499 | 57,557 | |||
TY Holdings Co., Ltd. (a) | 1,741 | 44,394 | |||
Unison Co., Ltd. (a) | 11,442 | 51,612 | |||
Value Added Technology Co., Ltd. (a) | 3,331 | 68,840 | |||
Vieworks Co., Ltd. | 3,440 | 96,110 | |||
Webzen, Inc. (a) | 4,173 | 132,915 | |||
WONIK IPS Co., Ltd. (a) | 5,486 | 223,470 | |||
Woori Financial Group, Inc. | 65,986 | 591,037 | |||
YG Entertainment, Inc. (a) | 2,609 | 107,357 | |||
Youngone Corp. (a) | 2,057 | 60,027 | |||
Yuhan Corp. (a) | 5,675 | 392,334 | |||
Yungjin Pharmaceutical Co., Ltd. (a) | 22,295 | 165,011 | |||
Zinus, Inc. (a) | 787 | 74,621 | |||
135,995,137 | |||||
SPAIN — 1.5% | |||||
Acciona SA (b) | 2,369 | 338,265 | |||
Acerinox SA | 17,523 | 193,691 | |||
ACS Actividades de Construccion y Servicios SA (b) | 28,587 | 949,642 | |||
Aedas Homes SA (a)(c) | 1,963 | 50,679 | |||
Aena SME SA (a)(c) | 7,564 | 1,316,051 | |||
Almirall SA | 10,710 | 143,098 | |||
Amadeus IT Group SA | 48,907 | 3,564,080 | |||
AmRest Holdings SE (a) | 7,136 | 53,051 |
Security Description | Shares | Value | |||
Applus Services SA (a) | 12,354 | $ 136,344 | |||
Banco Bilbao Vizcaya Argentaria SA | 723,878 | 3,573,803 | |||
Banco de Sabadell SA | 610,874 | 264,592 | |||
Banco Santander SA (a) | 1,878,018 | 5,831,940 | |||
Bankia SA | 125,411 | 222,344 | |||
Bankinter SA | 68,461 | 370,578 | |||
Befesa SA (c) | 3,480 | 220,136 | |||
CaixaBank SA | 411,301 | 1,057,323 | |||
Cellnex Telecom SA (c) | 33,942 | 2,039,940 | |||
Cia de Distribucion Integral Logista Holdings SA | 5,693 | 110,476 | |||
CIE Automotive SA | 7,659 | 206,728 | |||
Construcciones y Auxiliar de Ferrocarriles SA (a) | 1,714 | 82,314 | |||
Corp. Financiera Alba SA | 1,589 | 75,727 | |||
Distribuidora Internacional de Alimentacion SA (a)(b) | 401,966 | 56,314 | |||
Ebro Foods SA | 7,072 | 163,887 | |||
eDreams ODIGEO SA (a)(b) | 11,015 | 55,999 | |||
Enagas SA | 25,422 | 558,803 | |||
Ence Energia y Celulosa SA (a) | 12,316 | 51,160 | |||
Endesa SA (b) | 34,077 | 931,881 | |||
Euskaltel SA (c) | 8,122 | 86,955 | |||
Faes Farma SA | 22,047 | 94,145 | |||
Ferrovial SA | 53,454 | 1,478,122 | |||
Fluidra SA | 4,447 | 113,992 | |||
Fomento de Construcciones y Contratas SA | 9,168 | 98,714 | |||
Gestamp Automocion SA (c) | 33,976 | 164,040 | |||
Global Dominion Access SA (c) | 10,388 | 47,791 | |||
Grifols SA | 34,322 | 1,002,833 | |||
Grupo Catalana Occidente SA | 3,630 | 129,469 | |||
Iberdrola SA | 654,906 | 9,375,329 | |||
Indra Sistemas SA (a) | 12,047 | 102,886 | |||
Industria de Diseno Textil SA | 118,422 | 3,773,072 | |||
Inmobiliaria Colonial Socimi SA REIT | 30,167 | 296,209 | |||
Lar Espana Real Estate Socimi SA REIT | 11,653 | 66,585 | |||
Liberbank SA (a) | 179,722 | 55,415 | |||
Mapfre SA | 127,893 | 249,278 | |||
Mediaset Espana Comunicacion SA (a) | 14,887 | 77,596 | |||
Melia Hotels International SA (a) | 10,443 | 73,087 | |||
Merlin Properties Socimi SA REIT | 38,387 | 365,414 | |||
Naturgy Energy Group SA | 35,641 | 826,818 | |||
Neinor Homes SA (a)(c) | 7,187 | 95,851 | |||
Pharma Mar SA (b) | 1,592 | 138,300 | |||
Prosegur Cash SA (c) | 40,918 | 40,052 | |||
Prosegur Cia de Seguridad SA | 36,398 | 108,576 |
Security Description | Shares | Value | |||
Red Electrica Corp. SA | 49,670 | $ 1,019,479 | |||
Repsol SA | 159,014 | 1,605,133 | |||
Sacyr SA | 39,799 | 98,366 | |||
Siemens Gamesa Renewable Energy SA | 25,734 | 1,041,899 | |||
Solaria Energia y Medio Ambiente SA (a) | 9,631 | 278,574 | |||
Talgo SA (a)(c) | 12,764 | 64,578 | |||
Tecnicas Reunidas SA (a) | 2,480 | 32,832 | |||
Telefonica SA | 549,170 | 2,180,434 | |||
Unicaja Banco SA (a)(b)(c) | 73,212 | 64,049 | |||
Viscofan SA | 4,119 | 292,561 | |||
Zardoya Otis SA | 20,430 | 143,234 | |||
48,300,514 | |||||
SWEDEN — 2.4% | |||||
Sinch AB (a)(c) | 3,875 | 632,264 | |||
AAK AB | 20,531 | 414,992 | |||
AcadeMedia AB (c) | 15,147 | 156,772 | |||
Adapteo Oyj (a) | 6,042 | 70,113 | |||
AddTech AB Class B | 27,760 | 368,441 | |||
AF POYRY AB (a) | 10,381 | 317,527 | |||
Alfa Laval AB (a) | 33,959 | 935,753 | |||
Alimak Group AB (c) | 6,075 | 96,904 | |||
Ambea AB (a)(c) | 7,348 | 58,247 | |||
Arjo AB Class B | 22,985 | 175,902 | |||
Assa Abloy AB Class B | 109,834 | 2,708,219 | |||
Atlas Copco AB Class A | 73,048 | 3,745,550 | |||
Atlas Copco AB Class B | 42,761 | 1,917,660 | |||
Atrium Ljungberg AB Class B | 4,091 | 86,079 | |||
Attendo AB (a)(c) | 18,258 | 98,665 | |||
Avanza Bank Holding AB | 15,667 | 444,492 | |||
Axfood AB | 10,865 | 253,747 | |||
Bactiguard Holding AB (a) | 1,927 | 33,554 | |||
Beijer Ref AB | 7,727 | 354,146 | |||
Betsson AB | 15,247 | 136,828 | |||
BHG Group AB (a) | 8,600 | 187,235 | |||
Bilia AB Class A (a) | 10,517 | 129,853 | |||
BillerudKorsnas AB | 19,089 | 338,312 | |||
BioArctic AB (a)(c) | 3,632 | 42,191 | |||
BioGaia AB Class B | 1,663 | 108,740 | |||
Biotage AB (a) | 5,013 | 84,847 | |||
Boliden AB | 29,217 | 1,036,686 | |||
Bonava AB Class B (a) | 9,858 | 94,468 | |||
BoneSupport Holding AB (a)(c) | 5,159 | 48,747 | |||
Boozt AB (a)(c) | 10,974 | 249,611 | |||
Bravida Holding AB (c) | 21,892 | 291,892 | |||
Bufab AB (a) | 6,983 | 165,295 | |||
Bure Equity AB | 4,779 | 170,850 | |||
Calliditas Therapeutics AB Class B (a) | 2,965 | 50,400 | |||
Camurus AB (a) | 6,510 | 147,757 | |||
Cantargia AB (a) | 9,258 | 72,147 | |||
Castellum AB | 24,829 | 630,963 | |||
Catena AB | 4,150 | 194,550 | |||
Cellavision AB (a) | 1,868 | 69,829 |
Security Description | Shares | Value | |||
CELLINK AB Class B (a) | 2,364 | $ 67,501 | |||
Cibus Nordic Real Estate AB | 6,949 | 141,814 | |||
Clas Ohlson AB Class B (a) | 7,371 | 70,366 | |||
Cloetta AB Class B | 28,896 | 86,274 | |||
Collector AB (a)(b) | 28,130 | 83,062 | |||
Coor Service Management Holding AB (a)(c) | 8,780 | 77,402 | |||
Creades AB Class A | 482 | 55,345 | |||
Dios Fastigheter AB | 9,118 | 85,267 | |||
Dometic Group AB (a)(c) | 31,601 | 419,228 | |||
Duni AB (a) | 3,551 | 46,611 | |||
Dustin Group AB (c) | 10,657 | 83,049 | |||
Electrolux AB Class B | 24,891 | 579,953 | |||
Electrolux Professional AB Class B (a) | 18,389 | 104,299 | |||
Elekta AB Class B | 40,390 | 543,202 | |||
Embracer Group AB (a) | 24,874 | 595,458 | |||
Epiroc AB Class A | 71,076 | 1,295,155 | |||
Epiroc AB Class B | 42,734 | 723,286 | |||
EQT AB (b) | 26,107 | 668,844 | |||
Essity AB Class B | 66,689 | 2,147,840 | |||
Evolution Gaming Group AB (c) | 20,390 | 2,072,629 | |||
Fabege AB | 27,030 | 425,730 | |||
Fastighets AB Balder Class B (a) | 10,485 | 547,579 | |||
Fingerprint Cards AB Class B (a) | 31,312 | 66,379 | |||
Fortnox AB | 5,233 | 294,703 | |||
GARO AB (a) | 603 | 46,624 | |||
Getinge AB Class B | 25,065 | 586,296 | |||
Granges AB (a)(b) | 14,369 | 175,314 | |||
Hansa Biopharma AB (a) | 5,880 | 172,121 | |||
Hennes & Mauritz AB Class B (a) | 88,035 | 1,843,766 | |||
Hexagon AB Class B | 30,841 | 2,815,761 | |||
Hexpol AB | 28,637 | 306,854 | |||
HMS Networks AB (a) | 2,574 | 81,490 | |||
Holmen AB Class B | 10,293 | 493,309 | |||
Hufvudstaden AB Class A | 11,937 | 197,968 | |||
Husqvarna AB Class B | 46,569 | 603,905 | |||
ICA Gruppen AB | 10,413 | 520,995 | |||
Industrivarden AB Class A (a) | 11,533 | 385,063 | |||
Industrivarden AB Class C (a) | 19,084 | 616,958 | |||
Indutrade AB (a) | 27,780 | 596,019 | |||
Instalco AB | 3,853 | 117,759 | |||
Intrum AB (b) | 6,544 | 172,753 | |||
Investment AB Latour Class B | 15,329 | 372,747 | |||
Investment AB Oresund | 2,989 | 45,276 | |||
Investor AB Class B | 49,913 | 3,641,728 | |||
INVISIO Communications AB | 4,200 | 127,853 | |||
Inwido AB (a) | 4,681 | 68,683 | |||
JM AB | 6,004 | 212,451 | |||
John Mattson Fastighetsforetagen AB (a) | 3,703 | 61,232 | |||
Karo Pharma AB (a) | 17,994 | 115,029 |
Security Description | Shares | Value | |||
Kinnevik AB Class B | 25,865 | $ 1,308,596 | |||
Klovern AB Class B (b) | 52,490 | 99,323 | |||
KNOW IT AB (a) | 2,060 | 78,135 | |||
Kungsleden AB | 20,343 | 223,183 | |||
L E Lundbergforetagen AB Class B (a) | 9,305 | 499,209 | |||
LeoVegas AB (c) | 19,551 | 83,084 | |||
Lifco AB Class B | 4,519 | 434,151 | |||
Lime Technologies AB | 946 | 46,940 | |||
Lindab International AB | 8,991 | 186,552 | |||
Loomis AB | 7,725 | 212,771 | |||
Lundin Energy AB | 20,366 | 551,274 | |||
Mekonomen AB (a) | 8,779 | 97,383 | |||
MIPS AB | 4,306 | 270,025 | |||
Modern Times Group MTG AB Class B (a) | 8,909 | 159,141 | |||
Munters Group AB (a)(c) | 17,152 | 173,346 | |||
Mycronic AB (b) | 7,989 | 238,720 | |||
NCC AB Class B | 8,969 | 163,816 | |||
Nibe Industrier AB Class B | 33,633 | 1,104,507 | |||
Nobia AB (a) | 16,815 | 134,826 | |||
Nobina AB (a)(c) | 12,721 | 107,344 | |||
Nolato AB Class B (a) | 2,162 | 219,029 | |||
Nordic Entertainment Group AB Class B (a) | 7,214 | 402,840 | |||
Nyfosa AB (a) | 17,984 | 179,456 | |||
Oncopeptides AB (a)(c) | 5,199 | 107,429 | |||
Pandox AB (a) | 10,139 | 179,260 | |||
Paradox Interactive AB | 5,166 | 161,034 | |||
Peab AB Class B (a) | 20,077 | 219,165 | |||
Platzer Fastigheter Holding AB Class B | 6,400 | 83,696 | |||
PowerCell Sweden AB (a) | 3,453 | 136,732 | |||
Ratos AB Class B | 39,105 | 183,227 | |||
Recipharm AB Class B (a) | 8,507 | 227,266 | |||
Resurs Holding AB (a)(c) | 13,518 | 74,071 | |||
Saab AB Class B (a)(b) | 8,711 | 254,036 | |||
Sagax AB Class D | 13,000 | 50,733 | |||
Samhallsbyggnadsbolaget i Norden AB (b) | 99,213 | 346,232 | |||
Samhallsbyggnadsbolaget i Norden AB Class D (b) | 13,235 | 48,508 | |||
Sandvik AB (a) | 122,808 | 3,010,180 | |||
SAS AB (a) | 395,212 | 87,824 | |||
Scandi Standard AB (a) | 10,379 | 86,949 | |||
Scandic Hotels Group AB (a)(b)(c) | 16,583 | 70,269 | |||
Sdiptech AB Class B (a) | 2,220 | 62,173 | |||
Securitas AB Class B | 34,062 | 550,588 | |||
Sedana Medical AB (a) | 1,478 | 61,729 | |||
Skandinaviska Enskilda Banken AB Class A (a) | 177,043 | 1,821,619 | |||
Skanska AB Class B | 36,029 | 919,968 | |||
SKF AB Class B | 41,727 | 1,084,260 | |||
SkiStar AB (a) | 6,323 | 82,227 | |||
SSAB AB Class A (a) | 51,377 | 183,298 | |||
SSAB AB Class B (a) | 67,591 | 215,467 |
Security Description | Shares | Value | |||
Stillfront Group AB (a) | 32,010 | $ 389,769 | |||
Storytel AB (a) | 6,381 | 209,785 | |||
Svenska Cellulosa AB SCA Class B (a) | 65,345 | 1,140,199 | |||
Svenska Handelsbanken AB Class A (a) | 170,490 | 1,714,750 | |||
Svolder AB Class B | 2,235 | 53,177 | |||
Sweco AB Class B | 20,625 | 379,221 | |||
Swedbank AB Class A (a) | 99,238 | 1,741,503 | |||
Swedish Match AB | 17,774 | 1,380,358 | |||
Swedish Orphan Biovitrum AB (a) | 19,916 | 402,804 | |||
Tele2 AB Class B | 54,723 | 723,639 | |||
Telefonaktiebolaget LM Ericsson Class B | 319,845 | 3,802,676 | |||
Telia Co. AB | 262,117 | 1,083,889 | |||
Thule Group AB (a)(c) | 11,458 | 429,158 | |||
Tobii AB (a) | 20,023 | 137,996 | |||
Trelleborg AB Class B (a) | 26,581 | 590,685 | |||
Troax Group AB | 7,112 | 166,444 | |||
Vitrolife AB (a) | 6,363 | 167,200 | |||
Volvo AB Class B (a) | 160,408 | 3,785,313 | |||
Wallenstam AB Class B | 16,601 | 263,997 | |||
Wihlborgs Fastigheter AB | 15,160 | 342,240 | |||
Xvivo Perfusion AB (a) | 4,152 | 158,748 | |||
79,124,300 | |||||
SWITZERLAND — 5.7% | |||||
ABB, Ltd. | 201,951 | 5,645,352 | |||
Adecco Group AG | 16,576 | 1,109,380 | |||
Alcon, Inc. (a) | 53,881 | 3,586,581 | |||
Allreal Holding AG | 1,506 | 346,706 | |||
ALSO Holding AG | 662 | 189,474 | |||
APG SGA SA (a) | 139 | 31,041 | |||
Arbonia AG (a) | 6,222 | 99,670 | |||
Aryzta AG (a) | 102,583 | 79,147 | |||
Ascom Holding AG (a) | 3,750 | 55,574 | |||
Autoneum Holding AG (a) | 289 | 52,834 | |||
Bachem Holding AG Class B | 593 | 265,322 | |||
Baloise Holding AG | 4,955 | 882,869 | |||
Banque Cantonale Vaudoise | 3,190 | 347,528 | |||
Barry Callebaut AG | 323 | 768,813 | |||
Basilea Pharmaceutica AG (a) | 1,356 | 81,533 | |||
Belimo Holding AG | 57 | 495,232 | |||
Bell Food Group AG | 199 | 53,693 | |||
BKW AG | 2,176 | 244,198 | |||
Bobst Group SA (b) | 1,422 | 85,984 | |||
Bossard Holding AG Class A | 975 | 196,776 | |||
Bucher Industries AG | 786 | 360,656 | |||
Burckhardt Compression Holding AG (b) | 438 | 152,119 | |||
Burkhalter Holding AG | 433 | 32,379 | |||
Cembra Money Bank AG | 3,472 | 421,063 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 116 | 1,132,507 |
Security Description | Shares | Value | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 11 | $ 1,100,062 | |||
Cie Financiere Richemont SA | 57,202 | 5,182,121 | |||
Clariant AG | 23,053 | 490,817 | |||
Coca-Cola HBC AG | 21,946 | 713,078 | |||
Coltene Holding AG | 945 | 91,940 | |||
Comet Holding AG | 901 | 202,023 | |||
Conzzeta AG | 173 | 212,935 | |||
Credit Suisse Group AG | 268,229 | 3,459,257 | |||
Daetwyler Holding AG | 907 | 263,702 | |||
DKSH Holding AG | 3,979 | 299,567 | |||
dormakaba Holding AG | 337 | 191,575 | |||
Dufry AG (a) | 6,992 | 439,635 | |||
EFG International AG | 8,065 | 52,918 | |||
Emmi AG | 221 | 227,888 | |||
EMS-Chemie Holding AG | 875 | 844,363 | |||
Flughafen Zurich AG (a) | 2,056 | 363,077 | |||
Forbo Holding AG | 111 | 190,619 | |||
Galenica AG (c) | 4,895 | 326,721 | |||
GAM Holding AG (a) | 19,107 | 46,776 | |||
Geberit AG | 4,046 | 2,536,674 | |||
Georg Fischer AG | 468 | 603,564 | |||
Givaudan SA | 1,012 | 4,270,332 | |||
Gurit Holding AG | 85 | 238,475 | |||
Helvetia Holding AG | 4,067 | 429,728 | |||
Huber + Suhner AG | 1,498 | 118,457 | |||
Idorsia, Ltd. (a) | 11,587 | 334,521 | |||
Implenia AG | 1,966 | 53,468 | |||
Inficon Holding AG | 220 | 201,097 | |||
Interroll Holding AG | 79 | 240,856 | |||
Intershop Holding AG | 132 | 91,838 | |||
IWG PLC (a) | 79,365 | 372,331 | |||
Julius Baer Group, Ltd. | 24,525 | 1,414,984 | |||
Kardex Holding AG | 794 | 173,899 | |||
Komax Holding AG (a) | 565 | 112,687 | |||
Kuehne + Nagel International AG | 5,917 | 1,344,119 | |||
LafargeHolcim, Ltd. (e) | 49,049 | 2,697,848 | |||
LafargeHolcim, Ltd. (e) | 8,321 | 454,589 | |||
Landis+Gyr Group AG | 2,261 | 177,514 | |||
LEM Holding SA | 58 | 113,382 | |||
Leonteq AG | 942 | 37,352 | |||
Logitech International SA | 17,932 | 1,742,992 | |||
Lonza Group AG | 8,160 | 5,250,759 | |||
Medacta Group SA (a)(c) | 1,306 | 129,425 | |||
Medartis Holding AG (a)(c) | 425 | 22,357 | |||
Mediclinic International PLC | 45,822 | 176,634 | |||
Metall Zug AG Class B | 20 | 33,939 | |||
Meyer Burger Technology AG (a) | 231,890 | 88,354 | |||
Mobilezone Holding AG | 8,564 | 97,658 | |||
Mobimo Holding AG | 680 | 220,012 | |||
Molecular Partners AG (a) | 1,967 | 46,174 | |||
Nestle SA | 321,711 | 37,945,120 | |||
Novartis AG | 243,310 | 23,024,924 | |||
OC Oerlikon Corp. AG | 21,006 | 217,439 |
Security Description | Shares | Value | |||
Orior AG | 1,109 | $ 94,597 | |||
Partners Group Holding AG | 2,046 | 2,407,195 | |||
PSP Swiss Property AG | 4,929 | 659,653 | |||
Relief Therapeutics Holding, Inc. (a) | 195,898 | 59,615 | |||
Rieter Holding AG | 687 | 75,155 | |||
Roche Holding AG | 76,988 | 26,912,486 | |||
Schindler Holding AG (e) | 4,462 | 1,204,404 | |||
Schindler Holding AG (e) | 2,151 | 580,121 | |||
Schweiter Technologies AG | 124 | 204,808 | |||
Sensirion Holding AG (a)(c) | 883 | 57,238 | |||
SFS Group AG | 1,739 | 206,567 | |||
SGS SA | 664 | 2,005,634 | |||
Siegfried Holding AG | 400 | 294,813 | |||
SIG Combibloc Group AG | 34,715 | 806,659 | |||
Sika AG | 15,537 | 4,250,067 | |||
Sonova Holding AG (a) | 6,023 | 1,567,159 | |||
St Galler Kantonalbank AG | 309 | 145,070 | |||
Stadler Rail AG (b) | 5,519 | 252,365 | |||
STMicroelectronics NV | 70,571 | 2,614,591 | |||
Straumann Holding AG | 1,133 | 1,322,122 | |||
Sulzer AG | 1,843 | 194,110 | |||
Swatch Group AG (e) | 3,093 | 845,025 | |||
Swatch Group AG (e) | 6,411 | 339,135 | |||
Swiss Life Holding AG | 3,407 | 1,589,509 | |||
Swiss Prime Site AG | 8,120 | 798,267 | |||
Swiss Re AG | 32,182 | 3,034,162 | |||
Swisscom AG | 2,851 | 1,538,788 | |||
Swissquote Group Holding SA | 832 | 80,852 | |||
Tecan Group AG | 1,275 | 625,708 | |||
Temenos AG | 7,083 | 990,795 | |||
TX Group AG | 274 | 21,946 | |||
u-blox Holding AG | 976 | 64,978 | |||
UBS Group AG | 401,738 | 5,667,371 | |||
Valiant Holding AG | 1,670 | 163,420 | |||
Valora Holding AG (a) | 403 | 79,237 | |||
VAT Group AG (c) | 2,886 | 720,888 | |||
Vetropack Holding AG (a) | 2,150 | 145,206 | |||
Vifor Pharma AG | 4,863 | 764,700 | |||
Vontobel Holding AG | 2,998 | 238,090 | |||
VZ Holding AG | 1,500 | 137,282 | |||
V-ZUG Holding AG (a) | 233 | 23,275 | |||
Ypsomed Holding AG (b) | 343 | 57,506 | |||
Zehnder Group AG | 1,784 | 119,276 | |||
Zur Rose Group AG (a) | 1,188 | 380,343 | |||
Zurich Insurance Group AG | 16,488 | 6,966,761 | |||
187,735,956 | |||||
TAIWAN — 4.0% | |||||
AcBel Polytech, Inc. | 136,000 | 140,124 | |||
Accton Technology Corp. | 61,000 | 686,027 | |||
Acer, Inc. | 311,000 | 261,768 | |||
A-DATA Technology Co., Ltd. | 43,000 | 111,716 | |||
Adimmune Corp. (a) | 32,000 | 63,891 | |||
Advanced Ceramic X Corp. | 8,000 | 145,206 |
Security Description | Shares | Value | |||
Advanced Wireless Semiconductor Co. | 14,000 | $ 67,265 | |||
Advantech Co., Ltd. | 41,514 | 517,115 | |||
Alchip Technologies, Ltd. | 8,000 | 176,810 | |||
AmTRAN Technology Co., Ltd. (a) | 189,000 | 84,081 | |||
AP Memory Technology Corp. | 4,000 | 60,574 | |||
Apex International Co., Ltd. | 15,000 | 36,622 | |||
Arcadyan Technology Corp. | 25,487 | 85,084 | |||
Ardentec Corp. | 43,000 | 59,148 | |||
ASE Technology Holding Co., Ltd. | 346,325 | 1,002,072 | |||
Asia Cement Corp. | 233,000 | 358,232 | |||
Asia Optical Co., Inc. | 27,000 | 71,012 | |||
Asia Pacific Telecom Co., Ltd. (a) | 276,000 | 99,210 | |||
Asia Vital Components Co., Ltd. | 29,000 | 68,222 | |||
ASMedia Technology, Inc. | 4,000 | 223,503 | |||
ASPEED Technology, Inc. | 3,000 | 183,109 | |||
Asustek Computer, Inc. | 77,000 | 686,472 | |||
AU Optronics Corp. (a) | 922,000 | 459,392 | |||
AURAS Technology Co., Ltd. | 7,000 | 53,313 | |||
BES Engineering Corp. | 141,000 | 50,181 | |||
Bizlink Holding, Inc. | 10,000 | 86,661 | |||
Brighton-Best International Taiwan, Inc. | 68,000 | 66,674 | |||
Capital Securities Corp. | 222,000 | 107,057 | |||
Career Technology MFG. Co., Ltd. | 61,200 | 76,124 | |||
Casetek Holdings, Ltd. | 17,000 | 52,819 | |||
Catcher Technology Co., Ltd. | 71,000 | 520,535 | |||
Cathay Financial Holding Co., Ltd. | 844,523 | 1,269,880 | |||
Center Laboratories, Inc. | 29,000 | 71,525 | |||
Century Iron & Steel Industrial Co., Ltd. | 13,000 | 49,505 | |||
Chailease Holding Co., Ltd. | 133,079 | 795,689 | |||
Chang Hwa Commercial Bank, Ltd. | 559,649 | 357,524 | |||
Chang Wah Technology Co., Ltd. | 62,000 | 131,952 | |||
Charoen Pokphand Enterprise | 17,000 | 43,804 | |||
Cheng Loong Corp. | 121,000 | 146,416 | |||
Cheng Shin Rubber Industry Co., Ltd. | 207,000 | 324,520 | |||
Cheng Uei Precision Industry Co., Ltd. | 59,000 | 98,900 | |||
Chicony Electronics Co., Ltd. | 62,491 | 191,712 | |||
Chilisin Electronics Corp. | 24,000 | 95,665 | |||
China Airlines, Ltd. (a) | 434,000 | 186,124 | |||
China Development Financial Holding Corp. | 1,476,000 | 488,533 | |||
China General Plastics Corp. | 137,550 | 124,587 |
Security Description | Shares | Value | |||
China Life Insurance Co., Ltd. | 284,670 | $ 224,915 | |||
China Man-Made Fiber Corp. (a) | 267,000 | 106,427 | |||
China Petrochemical Development Corp. | 297,000 | 123,142 | |||
China Steel Chemical Corp. | 20,000 | 77,230 | |||
China Steel Corp. | 1,273,000 | 1,121,316 | |||
Chin-Poon Industrial Co., Ltd. | 91,000 | 102,666 | |||
Chipbond Technology Corp. | 67,000 | 158,332 | |||
ChipMOS Techinologies, Inc. | 67,000 | 81,908 | |||
Chong Hong Construction Co., Ltd. | 18,000 | 51,249 | |||
Chroma ATE, Inc. | 38,000 | 227,205 | |||
Chung Hung Steel Corp. (a) | 220,000 | 123,318 | |||
Chung Hwa Pulp Corp. (a) | 235,000 | 102,036 | |||
Chung-Hsin Electric & Machinery Manufacturing Corp. | 34,000 | 64,859 | |||
Chunghwa Precision Test Tech Co., Ltd. | 3,000 | 81,572 | |||
Chunghwa Telecom Co., Ltd. | 408,000 | 1,582,746 | |||
Cleanaway Co., Ltd. | 14,000 | 81,714 | |||
Clevo Co. | 43,000 | 46,064 | |||
Compal Electronics, Inc. | 446,000 | 328,571 | |||
Compeq Manufacturing Co., Ltd. | 109,000 | 168,749 | |||
Coretronic Corp. | 42,000 | 60,613 | |||
CTBC Financial Holding Co., Ltd. | 1,874,009 | 1,313,901 | |||
CTCI Corp. | 72,000 | 97,886 | |||
Cub Elecparts, Inc. | 6,000 | 43,135 | |||
Delta Electronics, Inc. | 221,630 | 2,074,478 | |||
E Ink Holdings, Inc. | 75,000 | 122,251 | |||
E.Sun Financial Holding Co., Ltd. | 1,210,909 | 1,101,101 | |||
Eclat Textile Co., Ltd. | 19,182 | 288,433 | |||
Egis Technology, Inc. | 8,000 | 48,971 | |||
Elan Microelectronics Corp. | 24,000 | 114,029 | |||
Elite Material Co., Ltd. | 30,000 | 167,628 | |||
Elite Semiconductor Memory Technology, Inc. | 103,000 | 237,173 | |||
eMemory Technology, Inc. | 7,000 | 148,231 | |||
Ennoconn Corp. | 6,000 | 53,598 | |||
Epistar Corp. (a) | 118,000 | 173,863 | |||
Eternal Materials Co., Ltd. | 79,000 | 102,764 | |||
Eva Airways Corp. | 323,121 | 151,222 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 369,683 | 535,486 | |||
Everlight Electronics Co., Ltd. | 90,000 | 135,170 | |||
Far Eastern Department Stores, Ltd. | 83,000 | 70,895 | |||
Far Eastern International Bank | 187,005 | 72,212 | |||
Far Eastern New Century Corp. | 341,620 | 351,979 |
Security Description | Shares | Value | |||
Far EasTone Telecommunications Co., Ltd. | 163,000 | $ 355,029 | |||
Faraday Technology Corp. | 37,000 | 67,026 | |||
Farglory Land Development Co., Ltd. | 25,000 | 50,093 | |||
Feng Hsin Steel Co., Ltd. | 39,000 | 98,687 | |||
Feng TAY Enterprise Co., Ltd. | 46,560 | 330,583 | |||
Firich Enterprises Co., Ltd. | 62,328 | 63,996 | |||
First Financial Holding Co., Ltd. | 1,107,563 | 841,571 | |||
FLEXium Interconnect, Inc. | 34,000 | 146,416 | |||
Formosa Chemicals & Fibre Corp. | 379,000 | 1,142,476 | |||
Formosa Petrochemical Corp. | 112,000 | 397,808 | |||
Formosa Plastics Corp. | 440,000 | 1,509,574 | |||
Formosa Sumco Technology Corp. | 8,000 | 38,437 | |||
Formosa Taffeta Co., Ltd. | 76,000 | 83,985 | |||
Foxconn Technology Co., Ltd. | 84,180 | 159,983 | |||
Foxsemicon Integrated Technology, Inc. | 19,000 | 142,003 | |||
Fubon Financial Holding Co., Ltd. | 714,000 | 1,187,967 | |||
Fulgent Sun International Holding Co., Ltd. | 12,000 | 47,833 | |||
Fusheng Precision Co., Ltd. | 9,000 | 55,573 | |||
General Interface Solution Holding, Ltd. | 20,000 | 81,500 | |||
Genius Electronic Optical Co., Ltd. | 8,396 | 169,426 | |||
Getac Technology Corp. | 34,000 | 59,171 | |||
Giant Manufacturing Co., Ltd. | 37,000 | 362,125 | |||
Gigabyte Technology Co., Ltd. | 43,000 | 119,062 | |||
Global Mixed Mode Technology, Inc. | 7,000 | 39,736 | |||
Global Unichip Corp. | 8,000 | 96,519 | |||
Globalwafers Co., Ltd. | 23,000 | 579,543 | |||
Gold Circuit Electronics, Ltd. (a) | 36,000 | 64,702 | |||
Goldsun Building Materials Co., Ltd. | 90,715 | 80,713 | |||
Gourmet Master Co., Ltd. | 10,000 | 50,182 | |||
Grand Pacific Petrochemical (a) | 88,000 | 74,383 | |||
Grape King Bio, Ltd. | 19,000 | 120,026 | |||
Great Wall Enterprise Co., Ltd. | 52,000 | 94,014 | |||
Greatek Electronics, Inc. | 29,000 | 57,798 | |||
Gudeng Precision Industrial Co., Ltd. | 5,000 | 48,580 | |||
Hannstar Board Corp. | 33,000 | 50,913 | |||
HannStar Display Corp. (a) | 325,000 | 142,270 | |||
Highwealth Construction Corp. | 80,190 | 130,853 | |||
Hiwin Technologies Corp. | 25,805 | 353,122 |
Security Description | Shares | Value | |||
Holtek Semiconductor, Inc. | 33,000 | $ 85,266 | |||
Holy Stone Enterprise Co., Ltd. | 18,000 | 74,632 | |||
Hon Hai Precision Industry Co., Ltd. | 1,393,320 | 4,562,084 | |||
Hota Industrial Manufacturing Co., Ltd. | 25,000 | 92,978 | |||
Hotai Finance Co., Ltd. | 18,000 | 51,634 | |||
Hotai Motor Co., Ltd. | 36,000 | 823,831 | |||
HTC Corp. (a) | 120,000 | 131,326 | |||
Hua Nan Financial Holdings Co., Ltd. | 1,019,476 | 662,162 | |||
Huaku Development Co., Ltd. | 35,000 | 109,367 | |||
Hung Sheng Construction, Ltd. | 78,080 | 54,465 | |||
IBF Financial Holdings Co., Ltd. | 395,636 | 180,935 | |||
IEI Integration Corp. | 41,000 | 79,525 | |||
Innodisk Corp. | 7,000 | 41,355 | |||
Innolux Corp. (a) | 942,000 | 472,710 | |||
International CSRC Investment Holdings Co. | 70,000 | 64,524 | |||
International Games System Co., Ltd. | 5,000 | 134,885 | |||
Inventec Corp. | 291,000 | 248,559 | |||
ITEQ Corp. | 16,188 | 79,505 | |||
Jentech Precision Industrial Co., Ltd. | 6,000 | 52,851 | |||
Jih Sun Financial Holdings Co., Ltd. | 154,000 | 69,058 | |||
Kenda Rubber Industrial Co., Ltd. | 56,000 | 69,656 | |||
King Slide Works Co., Ltd. | 5,000 | 52,851 | |||
King Yuan Electronics Co., Ltd. | 119,000 | 147,172 | |||
King's Town Bank Co., Ltd. | 72,000 | 99,423 | |||
Kinpo Electronics | 141,000 | 60,971 | |||
Kinsus Interconnect Technology Corp. | 28,000 | 80,618 | |||
KMC Kuei Meng International, Inc. | 6,000 | 36,942 | |||
Kung Long Batteries Industrial Co., Ltd. | 19,000 | 95,345 | |||
Land Mark Optoelectronics Corp. | 8,000 | 80,433 | |||
Largan Precision Co., Ltd. | 11,000 | 1,250,801 | |||
Lien Hwa Industrial Holdings Corp. | 69,600 | 105,522 | |||
Lite-On Technology Corp. | 225,419 | 399,525 | |||
Longchen Paper & Packaging Co., Ltd. | 75,000 | 62,060 | |||
Lotes Co., Ltd. | 8,000 | 135,099 | |||
Macronix International | 188,000 | 283,024 | |||
Makalot Industrial Co., Ltd. | 41,000 | 279,433 | |||
MediaTek, Inc. | 169,000 | 4,492,953 | |||
Medigen Vaccine Biologics Corp. (a) | 15,000 | 54,986 |
Security Description | Shares | Value | |||
Medtecs International Corp., Ltd. | 45,200 | $ 34,200 | |||
Mega Financial Holding Co., Ltd. | 1,162,601 | 1,233,024 | |||
Merida Industry Co., Ltd. | 22,000 | 184,782 | |||
Merry Electronics Co., Ltd. | 15,000 | 78,208 | |||
Microbio Co., Ltd. (a) | 32,000 | 77,443 | |||
Micro-Star International Co., Ltd. | 72,000 | 339,526 | |||
Mitac Holdings Corp. | 76,160 | 79,960 | |||
momo.com, Inc. | 5,000 | 113,353 | |||
Motech Industries, Inc. (a) | 37,000 | 45,562 | |||
Namchow Holdings Co., Ltd. | 43,000 | 71,927 | |||
Nan Kang Rubber Tire Co., Ltd. | 67,000 | 100,030 | |||
Nan Ya Plastics Corp. | 567,000 | 1,450,897 | |||
Nan Ya Printed Circuit Board Corp. | 30,000 | 194,320 | |||
Nantex Industry Co., Ltd. | 69,000 | 150,043 | |||
Nanya Technology Corp. | 131,000 | 404,684 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 197,238 | |||
Novatek Microelectronics Corp. | 62,000 | 814,222 | |||
OBI Pharma, Inc. (a) | 13,000 | 64,311 | |||
Oneness Biotech Co., Ltd. (a) | 25,000 | 214,428 | |||
Pan-International Industrial Corp. | 108,000 | 98,591 | |||
Parade Technologies, Ltd. | 7,000 | 276,532 | |||
PChome Online, Inc. | 17,000 | 54,452 | |||
Pegatron Corp. | 211,000 | 505,385 | |||
PharmaEssentia Corp. (a) | 20,386 | 68,055 | |||
Phison Electronics Corp. | 13,000 | 153,837 | |||
Pixart Imaging, Inc. | 12,000 | 81,999 | |||
Pou Chen Corp. | 235,000 | 262,617 | |||
Powertech Technology, Inc. | 87,000 | 293,839 | |||
Poya International Co., Ltd. | 5,000 | 102,498 | |||
President Chain Store Corp. | 70,000 | 663,926 | |||
President Securities Corp. | 83,000 | 54,353 | |||
Primax Electronics, Ltd. | 35,000 | 60,725 | |||
Qisda Corp. | 171,000 | 176,185 | |||
Quanta Computer, Inc. | 313,000 | 901,192 | |||
Radiant Opto-Electronics Corp. | 45,000 | 182,575 | |||
Radium Life Tech Co., Ltd. | 184,000 | 78,910 | |||
Realtek Semiconductor Corp. | 53,000 | 736,583 | |||
RichWave Technology Corp. | 9,000 | 126,361 | |||
Ruentex Development Co., Ltd. | 116,041 | 168,912 | |||
Ruentex Industries, Ltd. | 47,400 | 117,581 | |||
Run Long Construction Co., Ltd. | 20,000 | 42,494 | |||
Sanyang Motor Co., Ltd. | 55,000 | 69,880 | |||
SDI Corp. | 35,000 | 122,322 | |||
Sensortek Technology Corp. | 2,000 | 48,402 | |||
Sercomm Corp. | 27,000 | 74,952 |
Security Description | Shares | Value | |||
Shanghai Commercial & Savings Bank, Ltd. | 343,649 | $ 502,668 | |||
Shin Kong Financial Holding Co., Ltd. | 1,193,988 | 374,369 | |||
Shin Zu Shing Co., Ltd. | 18,742 | 88,380 | |||
Shining Building Business Co., Ltd. (a) | 188,000 | 110,399 | |||
Shinkong Synthetic Fibers Corp. | 122,000 | 61,873 | |||
Sigurd Microelectronics Corp. | 67,078 | 108,025 | |||
Simplo Technology Co., Ltd. | 18,000 | 224,215 | |||
Sinbon Electronics Co., Ltd. | 22,000 | 169,122 | |||
Sino-American Silicon Products, Inc. | 51,000 | 322,176 | |||
SinoPac Financial Holdings Co., Ltd. | 1,182,281 | 481,782 | |||
Sitronix Technology Corp. | 12,000 | 69,400 | |||
Soft-World International Corp. | 32,000 | 120,720 | |||
Solar Applied Materials Technology Co. | 37,000 | 57,282 | |||
Sporton International, Inc. | 11,000 | 104,918 | |||
St Shine Optical Co., Ltd. | 6,000 | 59,791 | |||
Standard Foods Corp. | 51,417 | 112,174 | |||
Sunny Friend Environmental Technology Co., Ltd. | 8,000 | 66,339 | |||
Supreme Electronics Co., Ltd. | 122,000 | 148,929 | |||
Syncmold Enterprise Corp. | 28,000 | 86,497 | |||
Synnex Technology International Corp. | 128,550 | 215,028 | |||
Systex Corp. | 16,000 | 49,939 | |||
TA Chen Stainless Pipe | 208,420 | 232,171 | |||
Taichung Commercial Bank Co., Ltd. | 240,356 | 92,813 | |||
TaiDoc Technology Corp. | 5,000 | 32,298 | |||
Taigen Biopharmaceuticals Holdings, Ltd. (a) | 126,000 | 102,466 | |||
TaiMed Biologics, Inc. (a) | 15,000 | 44,896 | |||
Tainan Spinning Co., Ltd. | 115,000 | 61,392 | |||
Taishin Financial Holding Co., Ltd. | 1,102,330 | 519,819 | |||
Taiwan Business Bank | 713,232 | 246,984 | |||
Taiwan Cement Corp. | 528,504 | 812,562 | |||
Taiwan Cogeneration Corp. | 134,000 | 184,561 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 1,015,182 | 735,246 | |||
Taiwan Fertilizer Co., Ltd. | 111,000 | 214,115 | |||
Taiwan Glass Industry Corp. (a) | 109,000 | 75,646 | |||
Taiwan High Speed Rail Corp. | 226,000 | 254,972 | |||
Taiwan Hon Chuan Enterprise Co., Ltd. | 101,000 | 216,752 | |||
Taiwan Mobile Co., Ltd. | 200,000 | 703,965 | |||
Taiwan Paiho, Ltd. | 32,000 | 84,276 | |||
Taiwan Secom Co., Ltd. | 24,000 | 75,763 | |||
Taiwan Semiconductor Co., Ltd. | 23,000 | 50,915 |
Security Description | Shares | Value | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,715,000 | $ 51,211,830 | |||
Taiwan Styrene Monomer | 154,000 | 103,313 | |||
Taiwan Surface Mounting Technology Corp. | 30,000 | 137,732 | |||
Taiwan TEA Corp. (a) | 161,000 | 102,566 | |||
Taiwan Union Technology Corp. | 21,000 | 90,433 | |||
TCI Co., Ltd. | 7,000 | 49,826 | |||
Teco Electric and Machinery Co., Ltd. | 191,000 | 187,955 | |||
Test Research, Inc. | 44,000 | 90,512 | |||
Thinking Electronic Industrial Co., Ltd. | 26,000 | 148,053 | |||
Ton Yi Industrial Corp. (a) | 184,000 | 77,600 | |||
Tong Hsing Electronic Industries, Ltd. | 13,599 | 85,665 | |||
Tong Yang Industry Co., Ltd. | 58,000 | 80,504 | |||
Topco Scientific Co., Ltd. | 22,000 | 93,565 | |||
TPK Holding Co., Ltd. (a) | 33,000 | 54,378 | |||
Transcend Information, Inc. | 21,000 | 48,580 | |||
Tripod Technology Corp. | 44,000 | 185,565 | |||
TSEC Corp. (a) | 40,000 | 59,435 | |||
TSRC Corp. | 58,000 | 48,096 | |||
TTY Biopharm Co., Ltd. | 22,000 | 53,712 | |||
Tung Ho Steel Enterprise Corp. | 68,000 | 88,334 | |||
TXC Corp. | 39,000 | 103,961 | |||
U-Ming Marine Transport Corp. | 67,000 | 87,988 | |||
Unimicron Technology Corp. | 129,000 | 401,260 | |||
Union Bank Of Taiwan | 158,000 | 60,449 | |||
Uni-President Enterprises Corp. | 515,880 | 1,239,302 | |||
Unitech Printed Circuit Board Corp. | 61,000 | 48,196 | |||
United Integrated Services Co., Ltd. | 13,000 | 99,936 | |||
United Microelectronics Corp. | 1,312,000 | 2,201,609 | |||
United Renewable Energy Co., Ltd. (a) | 273,450 | 138,681 | |||
UPC Technology Corp. | 80,000 | 54,666 | |||
USI Corp. | 244,000 | 196,256 | |||
Vanguard International Semiconductor Corp. | 105,000 | 433,483 | |||
Visual Photonics Epitaxy Co., Ltd. | 20,000 | 79,721 | |||
Voltronic Power Technology Corp. | 6,200 | 247,135 | |||
Wafer Works Corp. | 50,000 | 76,162 | |||
Wah Lee Industrial Corp. | 18,000 | 48,687 | |||
Walsin Lihwa Corp. | 328,000 | 225,297 | |||
Walsin Technology Corp. | 34,000 | 278,917 | |||
Wan Hai Lines, Ltd. | 59,000 | 111,079 | |||
Win Semiconductors Corp. | 36,000 | 443,306 | |||
Winbond Electronics Corp. | 403,000 | 416,654 | |||
Wistron Corp. | 302,842 | 334,120 |
Security Description | Shares | Value | |||
Wistron NeWeb Corp. | 36,000 | $ 99,552 | |||
Wiwynn Corp. | 8,000 | 200,441 | |||
WPG Holdings, Ltd. | 160,480 | 245,021 | |||
WT Microelectronics Co., Ltd. | 37,000 | 53,068 | |||
XinTec, Inc. (a) | 17,000 | 111,022 | |||
Xxentria Technology Materials Corp. | 32,000 | 69,016 | |||
Yageo Corp. | 43,962 | 810,460 | |||
Yang Ming Marine Transport Corp. (a) | 126,000 | 131,166 | |||
YC INOX Co., Ltd. | 86,531 | 87,923 | |||
YFY, Inc. | 119,000 | 124,726 | |||
Yieh Phui Enterprise Co., Ltd. (a) | 104,000 | 50,338 | |||
Yuanta Financial Holding Co., Ltd. | 1,056,142 | 772,429 | |||
Yulon Finance Corp. | 22,000 | 78,689 | |||
Yulon Motor Co., Ltd. (a) | 71,205 | 118,852 | |||
Zhen Ding Technology Holding, Ltd. | 55,000 | 223,148 | |||
131,854,861 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.0% (f) | |||||
AngloGold Ashanti, Ltd. | 45,212 | 1,054,277 | |||
THAILAND — 0.6% | |||||
Advanced Info Service PCL | 129,300 | 759,573 | |||
AEON Thana Sinsap Thailand PCL | 10,400 | 70,467 | |||
Airports of Thailand PCL | 509,100 | 1,057,793 | |||
Amata Corp. PCL | 98,300 | 53,481 | |||
AP Thailand PCL | 621,274 | 150,342 | |||
Asia Aviation PCL NVDR (a)(b) | 705,600 | 55,581 | |||
Asset World Corp. PCL (a) | 914,400 | 139,174 | |||
B Grimm Power PCL | 246,100 | 398,393 | |||
Bangchak Corp. PCL | 98,500 | 67,727 | |||
Bangkok Bank PCL | 49,296 | 195,802 | |||
Bangkok Chain Hospital PCL | 162,000 | 73,538 | |||
Bangkok Commercial Asset Management PCL | 166,700 | 121,854 | |||
Bangkok Dusit Medical Services PCL Class F | 992,500 | 689,052 | |||
Bangkok Expressway & Metro PCL | 782,100 | 216,670 | |||
Bangkok Land PCL | 1,469,600 | 57,391 | |||
Banpu PCL | 751,400 | 275,881 | |||
Berli Jucker PCL | 104,700 | 121,439 | |||
BTS Group Holdings PCL (b) | 909,400 | 282,290 | |||
Bumrungrad Hospital PCL | 69,400 | 277,971 | |||
Central Pattana PCL | 219,400 | 349,678 | |||
Central Retail Corp. PCL (a) | 184,325 | 189,185 | |||
CH Karnchang PCL (a) | 146,300 | 81,061 | |||
Charoen Pokphand Foods PCL | 521,300 | 465,446 | |||
Chularat Hospital PCL Class F | 887,900 | 72,905 |
Security Description | Shares | Value | |||
Com7 PCL Class F | 84,500 | $ 109,997 | |||
CP ALL PCL (a) | 636,800 | 1,238,104 | |||
Delta Electronics Thailand PCL | 33,600 | 545,047 | |||
Eastern Polymer Group PCL Class F | 280,400 | 66,450 | |||
Electricity Generating PCL | 29,200 | 187,617 | |||
Energy Absolute PCL | 170,713 | 280,628 | |||
GFPT PCL | 131,000 | 62,089 | |||
Global Power Synergy PCL Class F | 74,500 | 183,390 | |||
Gulf Energy Development PCL | 289,520 | 330,977 | |||
Gunkul Engineering PCL | 705,600 | 59,350 | |||
Hana Microelectronics PCL | 82,100 | 108,928 | |||
Home Product Center PCL | 591,100 | 270,296 | |||
Indorama Ventures PCL | 175,900 | 217,233 | |||
Intouch Holdings PCL Class F | 294,500 | 552,925 | |||
IRPC PCL | 971,500 | 120,627 | |||
Jasmine International PCL | 363,100 | 38,540 | |||
Kasikornbank PCL | 270,600 | 1,029,653 | |||
KCE Electronics PCL | 77,000 | 106,659 | |||
Krung Thai Bank PCL | 364,900 | 135,193 | |||
Krungthai Card PCL | 72,500 | 143,984 | |||
Land & Houses PCL | 855,300 | 226,957 | |||
Major Cineplex Group PCL | 1,245 | 760 | |||
MBK PCL | 114,100 | 47,986 | |||
Minor International PCL (a) | 367,650 | 315,988 | |||
MK Restaurants Group PCL | 80,900 | 132,988 | |||
Muangthai Capital PCL (a) | 60,500 | 119,142 | |||
Origin Property PCL Class F | 286,100 | 72,098 | |||
Osotspa PCL | 84,700 | 100,362 | |||
Plan B Media PCL Class F | 267,000 | 55,699 | |||
PTG Energy PCL | 109,300 | 58,006 | |||
PTT Exploration & Production PCL | 145,100 | 475,837 | |||
PTT Global Chemical PCL | 293,100 | 572,308 | |||
PTT PCL | 1,221,000 | 1,732,059 | |||
Quality Houses PCL | 981,000 | 75,965 | |||
Ratch Group PCL | 58,500 | 103,488 | |||
Ratchthani Leasing PCL | 447,000 | 62,067 | |||
Sansiri PCL | 1,966,900 | 53,177 | |||
Siam Cement PCL | 84,065 | 1,060,633 | |||
Siam Commercial Bank PCL | 191,100 | 558,119 | |||
Siamgas & Petrochemicals PCL (b) | 242,200 | 80,841 | |||
Singha Estate PCL | 705,600 | 37,682 | |||
Sino-Thai Engineering & Construction PCL | 104,500 | 44,297 | |||
SPCG PCL | 112,855 | 75,714 | |||
Sri Trang Agro-Industry PCL | 86,400 | 76,422 | |||
Sri Trang Gloves Thailand PCL | 84,500 | 214,353 | |||
Srisawad Corp. PCL | 84,900 | 186,321 | |||
Supalai PCL | 161,300 | 110,369 | |||
Super Energy Corp. PCL (a) | 3,551,400 | 113,797 |
Security Description | Shares | Value | |||
Thai Oil PCL | 117,200 | $ 203,418 | |||
Thai Union Group PCL Class F | 244,000 | 110,761 | |||
Thai Vegetable Oil PCL | 83,600 | 94,176 | |||
Thonburi Healthcare Group PCL | 111,000 | 95,402 | |||
Tisco Financial Group PCL | 54,200 | 160,104 | |||
Total Access Communication PCL | 45,600 | 50,608 | |||
TQM Corp. PCL | 18,600 | 83,501 | |||
True Corp. PCL (b) | 1,001,312 | 114,970 | |||
TTW PCL | 175,800 | 72,761 | |||
VGI PCL | 744,300 | 165,207 | |||
Vinythai PCL | 85,300 | 91,108 | |||
WHA Corp. PCL | 459,200 | 46,594 | |||
20,062,426 | |||||
TURKEY — 0.1% | |||||
Akbank T.A.S. (a) | 288,939 | 269,404 | |||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 23,020 | 71,793 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 88,368 | 216,982 | |||
BIM Birlesik Magazalar A/S | 41,200 | 418,513 | |||
Coca-Cola Icecek A/S (a) | 7,067 | 62,564 | |||
Eldorado Gold Corp. (a) | 21,500 | 284,698 | |||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 158,361 | 45,596 | |||
Eregli Demir ve Celik Fabrikalari TAS | 122,270 | 245,609 | |||
Ford Otomotiv Sanayi A/S | 6,094 | 103,309 | |||
Haci Omer Sabanci Holding A/S | 140,790 | 217,081 | |||
KOC Holding A/S | 71,562 | 203,349 | |||
Koza Altin Isletmeleri A/S (a) | 8,941 | 116,326 | |||
Migros Ticaret A/S (a) | 17,677 | 101,793 | |||
Petkim Petrokimya Holding A/S (a) | 532,531 | 356,812 | |||
TAV Havalimanlari Holding A/S | 12,185 | 34,920 | |||
Tekfen Holding A/S | 45,605 | 101,794 | |||
Turk Hava Yollari AO (a) | 85,741 | 148,929 | |||
Turkcell Iletisim Hizmetleri A/S | 100,945 | 218,663 | |||
Turkiye Garanti Bankasi A/S (a) | 190,042 | 265,151 | |||
Turkiye Is Bankasi A/S Class C (a) | 164,039 | 154,494 | |||
Turkiye Petrol Rafinerileri AS (a) | 12,883 | 187,200 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 117,520 | 115,583 | |||
Ulker Biskuvi Sanayi A/S (a) | 14,252 | 44,372 | |||
Yapi ve Kredi Bankasi A/S (a) | 273,794 | 113,459 | |||
4,098,394 |
Security Description | Shares | Value | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Commercial Bank PJSC | 226,966 | $ 383,101 | |||
Air Arabia PJSC | 303,107 | 105,625 | |||
Aldar Properties PJSC | 307,385 | 263,606 | |||
Amanat Holdings PJSC | 296,164 | 66,116 | |||
Dana Gas PJSC | 290,758 | 56,519 | |||
Dubai Islamic Bank PJSC | 117,687 | 147,704 | |||
Emaar Malls PJSC (a) | 267,179 | 133,111 | |||
Emaar Properties PJSC (a) | 256,763 | 246,756 | |||
Emirates NBD Bank PJSC | 256,095 | 718,124 | |||
Emirates Telecommunications Group Co. PJSC | 198,593 | 913,718 | |||
First Abu Dhabi Bank PJSC | 277,818 | 975,689 | |||
National Central Cooling Co. PJSC | 146,926 | 106,000 | |||
Network International Holdings PLC (a)(c) | 47,026 | 209,946 | |||
Union Properties PJSC (a) | 971,470 | 74,054 | |||
4,400,069 | |||||
UNITED KINGDOM — 8.0% | |||||
3i Group PLC | 106,637 | 1,687,986 | |||
888 Holdings PLC | 47,272 | 184,486 | |||
A.G. Barr PLC (a) | 16,160 | 114,647 | |||
AB Dynamics PLC (b) | 2,636 | 76,029 | |||
Abcam PLC | 20,974 | 444,391 | |||
Admiral Group PLC | 20,613 | 818,821 | |||
Advanced Medical Solutions Group PLC | 26,844 | 89,167 | |||
Aggreko PLC | 23,169 | 198,260 | |||
Airtel Africa PLC (c) | 81,639 | 84,367 | |||
AJ Bell PLC | 26,404 | 156,463 | |||
Alfa Financial Software Holdings PLC (c) | 72,989 | 131,699 | |||
Alliance Pharma PLC | 64,517 | 77,256 | |||
Alpha FX Group PLC (a) | 2,831 | 50,308 | |||
Alternative Credit Investments | 6,909 | 81,976 | |||
AO World PLC (a) | 26,609 | 149,494 | |||
Ascential PLC (a)(b) | 41,671 | 218,735 | |||
Ashmore Group PLC | 44,564 | 262,673 | |||
Ashtead Group PLC | 49,236 | 2,313,881 | |||
ASOS PLC (a) | 7,567 | 494,739 | |||
Associated British Foods PLC (a) | 38,076 | 1,178,366 | |||
Assura PLC REIT | 349,406 | 366,812 | |||
Aston Martin Lagonda Global Holdings PLC (a)(b)(c) | 7,558 | 207,558 | |||
AstraZeneca PLC | 145,080 | 14,524,738 | |||
Auto Trader Group PLC (c) | 104,018 | 847,437 | |||
Avacta Group PLC (a) | 27,428 | 42,742 | |||
Avast PLC (c) | 67,633 | 496,924 | |||
AVEVA Group PLC | 13,975 | 611,682 | |||
Aviva PLC | 430,408 | 1,913,301 | |||
Avon Rubber PLC | 3,300 | 142,771 |
Security Description | Shares | Value | |||
B&M European Value Retail SA | 98,679 | $ 696,298 | |||
Babcock International Group PLC (a) | 22,867 | 87,491 | |||
BAE Systems PLC | 349,917 | 2,338,022 | |||
Balfour Beatty PLC (a) | 75,884 | 280,277 | |||
Bank of Georgia Group PLC (a) | 5,714 | 95,291 | |||
Barclays PLC (a) | 1,910,212 | 3,830,054 | |||
Barratt Developments PLC (a) | 109,826 | 1,005,848 | |||
Beazley PLC | 65,010 | 324,003 | |||
Bellway PLC | 13,182 | 532,465 | |||
Berkeley Group Holdings PLC | 13,558 | 878,840 | |||
Biffa PLC (a)(c) | 23,119 | 72,528 | |||
Big Yellow Group PLC REIT | 17,821 | 267,234 | |||
Blue Prism Group PLC (a) | 8,409 | 197,708 | |||
BMO Commercial Property Trust REIT | 74,028 | 80,954 | |||
Bodycote PLC | 17,319 | 176,491 | |||
boohoo Group PLC (a) | 126,459 | 592,920 | |||
BP PLC | 2,220,522 | 7,734,049 | |||
Breedon Group PLC (a) | 164,941 | 197,057 | |||
Brewin Dolphin Holdings PLC | 34,485 | 143,775 | |||
British American Tobacco PLC | 254,210 | 9,410,089 | |||
British Land Co. PLC REIT | 108,042 | 722,194 | |||
Britvic PLC | 27,252 | 302,487 | |||
BT Group PLC | 971,919 | 1,757,026 | |||
Bunzl PLC | 37,294 | 1,245,417 | |||
Burberry Group PLC (a) | 43,208 | 1,056,935 | |||
Cairn Energy PLC (a) | 56,269 | 161,218 | |||
Calisen PLC (a) | 15,254 | 53,818 | |||
Capita PLC (a) | 140,018 | 75,047 | |||
Capital & Counties Properties PLC REIT | 66,111 | 131,037 | |||
Central Asia Metals PLC | 16,997 | 55,762 | |||
Centrica PLC (a) | 604,093 | 384,806 | |||
Ceres Power Holdings PLC (a) | 7,916 | 142,834 | |||
Cineworld Group PLC (b) | 111,775 | 97,939 | |||
Civitas Social Housing PLC REIT | 94,438 | 135,288 | |||
CK Hutchison Holdings, Ltd. | 293,024 | 2,044,481 | |||
Clinigen Healthcare, Ltd. | 11,720 | 108,139 | |||
Clipper Logistics PLC | 7,177 | 56,313 | |||
Close Brothers Group PLC | 15,457 | 292,002 | |||
CMC Markets PLC (c) | 21,347 | 114,095 | |||
CNH Industrial NV (a) | 118,425 | 1,496,081 | |||
Coats Group PLC (a) | 149,632 | 137,655 | |||
Coca-Cola European Partners PLC (e) | 11,300 | 563,079 | |||
Coca-Cola European Partners PLC (e) | 11,838 | 571,409 | |||
Compass Group PLC | 196,218 | 3,655,840 | |||
Computacenter PLC | 7,930 | 265,361 |
Security Description | Shares | Value | |||
ContourGlobal PLC (c) | 21,412 | $ 62,929 | |||
ConvaTec Group PLC (c) | 186,454 | 507,707 | |||
Countryside Properties PLC (c) | 72,392 | 462,521 | |||
Craneware PLC | 1,700 | 53,448 | |||
Cranswick PLC | 5,588 | 268,876 | |||
Crest Nicholson Holdings PLC (a) | 28,002 | 124,707 | |||
Croda International PLC | 15,011 | 1,353,451 | |||
Custodian Reit PLC | 48,411 | 58,102 | |||
CVS Group PLC (a) | 6,658 | 136,699 | |||
Daily Mail & General Trust PLC Class A | 14,271 | 145,333 | |||
DCC PLC | 11,243 | 795,787 | |||
Dechra Pharmaceuticals PLC | 11,621 | 548,043 | |||
Derwent London PLC REIT | 11,011 | 465,994 | |||
Diageo PLC | 258,918 | 10,186,042 | |||
Dialog Semiconductor PLC (a) | 8,298 | 453,738 | |||
Diploma PLC | 12,981 | 388,957 | |||
Direct Line Insurance Group PLC | 145,841 | 635,950 | |||
Dixons Carphone PLC (a) | 108,249 | 171,350 | |||
Domino's Pizza Group PLC | 46,932 | 202,726 | |||
Draper Esprit PLC (a) | 10,261 | 92,573 | |||
Drax Group PLC | 42,422 | 217,458 | |||
DS Smith PLC (a) | 150,427 | 770,275 | |||
Dunelm Group PLC (a) | 10,330 | 171,283 | |||
easyJet PLC | 23,226 | 263,515 | |||
Electrocomponents PLC | 46,641 | 554,995 | |||
Elementis PLC (a) | 57,380 | 90,201 | |||
EMIS Group PLC | 9,755 | 144,280 | |||
Empiric Student Property PLC REIT | 78,997 | 80,881 | |||
Entain PLC (a) | 62,283 | 965,036 | |||
Equiniti Group PLC (a)(c) | 29,179 | 44,034 | |||
Ergomed PLC (a) | 3,965 | 57,181 | |||
Essentra PLC (a) | 32,340 | 135,362 | |||
Eurasia Mining PLC (a) | 194,764 | 89,853 | |||
Euromoney Institutional Investor PLC | 11,681 | 170,212 | |||
Experian PLC | 102,596 | 3,894,563 | |||
Ferrexpo PLC | 26,623 | 102,845 | |||
Fevertree Drinks PLC | 10,675 | 368,744 | |||
Fiat Chrysler Automobiles NV (a) | 119,337 | 2,140,577 | |||
First Derivatives PLC (a) | 2,570 | 112,418 | |||
Firstgroup PLC (a) | 94,834 | 95,929 | |||
FLEX LNG, Ltd. | 7,577 | 66,461 | |||
Forterra PLC (a)(c) | 29,434 | 98,173 | |||
Frasers Group PLC (a) | 19,990 | 123,346 | |||
Frontier Developments PLC (a) | 5,571 | 234,550 | |||
Funding Circle Holdings PLC (a)(c) | 129,936 | 159,854 | |||
Future PLC | 10,516 | 249,835 | |||
G4S PLC (a) | 158,483 | 549,828 |
Security Description | Shares | Value | |||
Games Workshop Group PLC | 3,212 | $ 491,752 | |||
Gamesys Group PLC | 8,539 | 133,065 | |||
GB Group PLC | 19,091 | 244,784 | |||
GCP Student Living PLC REIT | 70,906 | 138,796 | |||
Genus PLC | 6,735 | 386,301 | |||
GlaxoSmithKline PLC | 555,793 | 10,195,723 | |||
Go-Ahead Group PLC (a) | 4,113 | 55,351 | |||
GoCo. Group PLC | 68,401 | 120,616 | |||
Grafton Group PLC (a) | 24,147 | 304,496 | |||
Grainger PLC | 68,809 | 266,750 | |||
Great Portland Estates PLC REIT | 31,129 | 284,246 | |||
Greatland Gold PLC (a) | 394,830 | 199,154 | |||
Greggs PLC (a) | 13,700 | 335,217 | |||
Halfords Group PLC | 44,124 | 161,042 | |||
Halma PLC | 40,532 | 1,356,873 | |||
Hammerson PLC REIT | 328,425 | 111,562 | |||
Hargreaves Lansdown PLC | 38,878 | 810,450 | |||
Hays PLC (a) | 173,711 | 339,559 | |||
Helical PLC | 16,644 | 84,977 | |||
Hikma Pharmaceuticals PLC | 20,922 | 720,131 | |||
Hill & Smith Holdings PLC | 6,431 | 123,951 | |||
Hiscox, Ltd. (a) | 35,853 | 487,152 | |||
HomeServe PLC | 30,440 | 426,502 | |||
Hotel Chocolat Group PLC (a)(b) | 15,284 | 88,271 | |||
Howden Joinery Group PLC (a) | 72,584 | 684,212 | |||
HSBC Holdings PLC (a) | 2,253,995 | 11,672,736 | |||
Hunting PLC | 13,720 | 41,823 | |||
Ibstock PLC (a)(c) | 43,773 | 123,620 | |||
Ideagen PLC | 16,804 | 64,317 | |||
IG Design Group PLC | 11,749 | 103,749 | |||
IG Group Holdings PLC | 44,995 | 530,181 | |||
IMI PLC | 28,799 | 458,623 | |||
Imperial Brands PLC | 103,709 | 2,176,801 | |||
Inchcape PLC (a) | 42,033 | 369,736 | |||
Indivior PLC (a) | 116,804 | 173,716 | |||
Informa PLC (a) | 160,544 | 1,204,811 | |||
IntegraFin Holdings PLC | 27,615 | 209,881 | |||
InterContinental Hotels Group PLC (a) | 19,301 | 1,237,386 | |||
Intermediate Capital Group PLC | 31,828 | 750,935 | |||
Intertek Group PLC | 17,500 | 1,351,093 | |||
iomart Group PLC | 15,727 | 68,794 | |||
IP Group PLC (a) | 109,619 | 148,195 | |||
IQE PLC (a) | 95,123 | 95,506 | |||
ITM Power PLC (a) | 41,473 | 292,528 | |||
ITV PLC (a) | 373,371 | 545,085 | |||
J D Wetherspoon PLC (a) | 7,825 | 119,372 | |||
J Sainsbury PLC | 194,911 | 600,807 | |||
JD Sports Fashion PLC (a) | 45,345 | 533,065 | |||
JET2 PLC (a) | 12,103 | 236,582 | |||
John Laing Group PLC (c) | 70,494 | 319,921 |
Security Description | Shares | Value | |||
John Wood Group PLC (a) | 74,508 | $ 315,935 | |||
Johnson Matthey PLC | 22,794 | 755,587 | |||
Judges Scientific PLC | 534 | 46,571 | |||
Jupiter Fund Management PLC | 47,696 | 184,119 | |||
Just Group PLC (a) | 106,609 | 101,865 | |||
Kainos Group PLC | 12,651 | 210,632 | |||
Keller Group PLC | 10,427 | 99,487 | |||
Kingfisher PLC (a) | 225,528 | 833,604 | |||
Lancashire Holdings, Ltd. | 22,503 | 222,552 | |||
Land Securities Group PLC REIT | 83,001 | 764,481 | |||
Learning Technologies Group PLC | 39,365 | 97,934 | |||
Legal & General Group PLC | 653,851 | 2,379,246 | |||
Liontrust Asset Management PLC | 6,558 | 116,538 | |||
Lloyds Banking Group PLC (a) | 7,798,502 | 3,884,561 | |||
London Stock Exchange Group PLC | 34,661 | 4,267,975 | |||
LondonMetric Property PLC REIT | 115,109 | 360,327 | |||
LXI REIT PLC | 73,462 | 119,498 | |||
M&G PLC | 306,058 | 828,155 | |||
Man Group PLC | 155,317 | 292,988 | |||
Marks & Spencer Group PLC (a) | 208,420 | 388,318 | |||
Marshalls PLC (a) | 18,096 | 184,904 | |||
Marston's PLC (a) | 55,445 | 57,298 | |||
McCarthy & Stone PLC (a)(c) | 54,789 | 89,723 | |||
Meggitt PLC (a) | 79,743 | 508,507 | |||
Melrose Industries PLC (a) | 519,244 | 1,263,764 | |||
Micro Focus International PLC ADR (a) | 15,603 | 89,093 | |||
Micro Focus International PLC (a) | 27,764 | 160,954 | |||
Mitchells & Butlers PLC (a) | 14,523 | 47,745 | |||
Mitie Group PLC (a) | 128,659 | 72,107 | |||
Mondi PLC (e) | 36,709 | 862,834 | |||
Mondi PLC (e) | 15,186 | 354,735 | |||
Moneysupermarket.com Group PLC | 48,525 | 172,859 | |||
Morgan Advanced Materials PLC | 31,654 | 134,568 | |||
Morgan Sindall Group PLC | 4,942 | 103,494 | |||
National Express Group PLC (a) | 80,953 | 262,704 | |||
National Grid PLC | 392,890 | 4,645,575 | |||
Natwest Group PLC (a) | 519,043 | 1,189,486 | |||
NCC Group PLC | 31,770 | 109,438 | |||
Next PLC (a) | 14,801 | 1,433,655 | |||
Ninety One PLC | 40,079 | 125,569 | |||
Numis Corp. PLC | 1,570 | 7,265 | |||
Ocado Group PLC (a) | 52,307 | 1,635,228 | |||
On the Beach Group PLC (c) | 15,830 | 80,605 | |||
OSB Group PLC (a) | 52,042 | 301,344 |
Security Description | Shares | Value | |||
Oxford Biomedica PLC (a) | 16,489 | $ 232,158 | |||
Pagegroup PLC (a) | 38,313 | 234,312 | |||
Paragon Banking Group PLC | 23,278 | 155,472 | |||
Pearson PLC | 90,003 | 837,093 | |||
Pennon Group PLC | 51,269 | 665,780 | |||
Persimmon PLC | 35,152 | 1,329,571 | |||
Petrofac, Ltd. (a)(b) | 14,738 | 27,822 | |||
Petropavlovsk PLC (a) | 278,657 | 123,796 | |||
Pets at Home Group PLC | 52,104 | 296,432 | |||
Phoenix Group Holdings PLC | 60,218 | 576,699 | |||
Picton Property Income, Ltd. REIT | 95,313 | 97,846 | |||
Playtech PLC (a) | 30,973 | 169,904 | |||
Polypipe Group PLC (a) | 19,986 | 163,099 | |||
Premier Foods PLC (a) | 54,995 | 75,326 | |||
Primary Health Properties PLC REIT | 142,846 | 298,362 | |||
Provident Financial PLC (a) | 25,086 | 105,274 | |||
Prudential PLC | 285,859 | 5,263,467 | |||
PZ Cussons PLC | 23,269 | 73,157 | |||
QinetiQ Group PLC | 81,230 | 355,097 | |||
Quilter PLC (c) | 190,265 | 399,487 | |||
Rathbone Brothers PLC | 4,610 | 97,045 | |||
RDI REIT PLC | 50,651 | 65,775 | |||
Reckitt Benckiser Group PLC | 77,938 | 6,969,670 | |||
Redde Northgate PLC | 40,263 | 146,400 | |||
Redrow PLC (a) | 29,155 | 227,762 | |||
Regional REIT, Ltd. (c) | 91,945 | 103,689 | |||
RELX PLC (e) | 194,761 | 4,772,144 | |||
RELX PLC (e) | 16,922 | 414,719 | |||
Renishaw PLC (a) | 3,793 | 298,647 | |||
Rentokil Initial PLC (a) | 200,989 | 1,400,084 | |||
Restaurant Group PLC (a)(b) | 51,115 | 44,858 | |||
Restore PLC (a) | 14,057 | 79,359 | |||
Rightmove PLC (a) | 93,316 | 830,149 | |||
Rolls-Royce Holdings PLC (a) | 949,122 | 1,443,359 | |||
Rotork PLC | 92,419 | 401,736 | |||
Royal Mail PLC (a) | 91,928 | 424,357 | |||
RSA Insurance Group PLC | 118,669 | 1,098,841 | |||
RWS Holdings PLC | 28,394 | 208,039 | |||
S4 Capital PLC (a) | 28,600 | 195,474 | |||
Sabre Insurance Group PLC (c) | 20,082 | 75,902 | |||
Safestore Holdings PLC REIT | 23,762 | 253,355 | |||
Sage Group PLC | 121,054 | 963,063 | |||
Sanne Group PLC | 12,797 | 107,756 | |||
Savills PLC (a) | 14,803 | 193,143 | |||
Schroders PLC | 14,907 | 679,984 | |||
Segro PLC REIT | 136,115 | 1,763,126 | |||
Senior PLC (a) | 31,367 | 38,268 | |||
Serco Group PLC (a) | 135,092 | 220,673 | |||
Serica Energy PLC | 48,012 | 75,474 | |||
Severn Trent PLC | 25,433 | 795,785 | |||
Shaftesbury PLC REIT | 21,049 | 163,718 |
Security Description | Shares | Value | |||
Signature Aviation PLC (a) | 142,333 | $ 752,955 | |||
Smart Metering Systems PLC | 13,920 | 135,289 | |||
Smith & Nephew PLC | 97,419 | 2,010,819 | |||
Smiths Group PLC | 42,508 | 874,209 | |||
Softcat PLC | 10,760 | 202,093 | |||
Spectris PLC | 11,660 | 449,151 | |||
Spirax-Sarco Engineering PLC | 8,228 | 1,270,378 | |||
Spire Healthcare Group PLC (c) | 49,079 | 104,256 | |||
Spirent Communications PLC | 65,382 | 235,947 | |||
SSE PLC | 113,930 | 2,336,048 | |||
SSP Group PLC | 55,605 | 252,199 | |||
St James's Place PLC | 62,142 | 962,851 | |||
St Modwen Properties PLC | 17,643 | 96,468 | |||
Stagecoach Group PLC | 45,711 | 46,270 | |||
Standard Chartered PLC (a) | 293,981 | 1,872,252 | |||
Standard Life Aberdeen PLC | 245,982 | 945,857 | |||
Strix Group PLC | 18,454 | 55,496 | |||
Subsea 7 SA (a) | 31,878 | 327,047 | |||
Synthomer PLC | 31,538 | 193,826 | |||
TalkTalk Telecom Group PLC | 67,139 | 89,940 | |||
Tate & Lyle PLC | 56,841 | 524,000 | |||
Taylor Wimpey PLC (a) | 389,488 | 882,736 | |||
TBC Bank Group PLC (a) | 4,451 | 76,054 | |||
Team17 Group PLC (a) | 10,609 | 114,856 | |||
Telecom Plus PLC | 6,746 | 132,235 | |||
Tesco PLC | 1,073,189 | 3,394,626 | |||
TORM PLC | 8,442 | 62,446 | |||
TP ICAP PLC | 50,423 | 164,181 | |||
Trainline PLC (a)(c) | 60,301 | 382,468 | |||
Travis Perkins PLC (a) | 25,864 | 476,229 | |||
Tritax Big Box REIT PLC | 176,739 | 405,635 | |||
UK Commercial Property REIT, Ltd. | 128,022 | 120,750 | |||
Ultra Electronics Holdings PLC | 7,250 | 205,343 | |||
Unilever PLC (e) | 131,508 | 7,895,269 | |||
Unilever PLC (e) | 159,011 | 9,643,262 | |||
UNITE Group PLC REIT (a) | 34,270 | 489,534 | |||
United Utilities Group PLC | 72,879 | 891,616 | |||
Urban & Civic PLC | 24,078 | 113,222 | |||
Vectura Group PLC (a) | 109,978 | 187,317 | |||
Vesuvius PLC | 33,163 | 243,207 | |||
Victoria PLC (a) | 5,835 | 52,244 | |||
Victrex PLC | 9,254 | 296,763 | |||
Virgin Money UK PLC (a) | 176,467 | 324,443 | |||
Vistry Group PLC (a) | 23,195 | 297,882 | |||
Vodafone Group PLC | 2,988,954 | 4,941,304 | |||
Warehouse Reit PLC | 28,238 | 46,320 | |||
Watkin Jones PLC | 28,675 | 72,201 | |||
Weir Group PLC (a) | 27,412 | 745,482 | |||
WH Smith PLC | 13,541 | 279,499 | |||
Whitbread PLC (a) | 23,462 | 994,212 | |||
William Hill PLC (a) | 150,155 | 554,392 |
Security Description | Shares | Value | |||
Wm Morrison Supermarkets PLC | 263,892 | $ 639,749 | |||
Workspace Group PLC REIT | 11,884 | 124,923 | |||
WPP PLC | 136,065 | 1,487,952 | |||
260,254,222 | |||||
UNITED STATES — 0.3% | |||||
Argonaut Gold, Inc. (a) | 31,500 | 67,747 | |||
Bausch Health Cos., Inc. (a) | 36,700 | 760,790 | |||
Brookfield Renewable Corp. Class A | 12,900 | 751,926 | |||
BRP, Inc. | 4,400 | 290,421 | |||
Burford Capital, Ltd. (a) | 18,434 | 179,160 | |||
Carnival PLC | 16,232 | 303,314 | |||
Charlottes Web Holdings, Inc. (a) | 10,700 | 35,191 | |||
CyberArk Software, Ltd. (a) | 4,383 | 708,249 | |||
Diversified Gas & Oil PLC | 66,708 | 103,041 | |||
Ferguson PLC | 24,415 | 2,964,952 | |||
Inmode, Ltd. (a) | 2,000 | 94,960 | |||
James Hardie Industries PLC CDI (a) | 47,363 | 1,396,852 | |||
JBS SA | 121,400 | 552,987 | |||
Primo Water Corp. (b) | 16,500 | 258,509 | |||
QIAGEN NV (a) | 25,110 | 1,304,206 | |||
Reliance Worldwide Corp., Ltd. | 101,916 | 318,506 | |||
Sims, Ltd. | 17,809 | 184,834 | |||
Taro Pharmaceutical Industries, Ltd. (a) | 2,400 | 176,208 | |||
TI Fluid Systems PLC (a)(c) | 21,178 | 70,984 | |||
Titan Cement International SA | 4,292 | 72,155 | |||
Viemed Healthcare, Inc. (a) | 3,200 | 24,992 | |||
10,619,984 | |||||
ZAMBIA — 0.0% (f) | |||||
First Quantum Minerals, Ltd. | 64,300 | 1,153,261 | |||
TOTAL COMMON STOCKS (Cost $2,544,365,370) | 3,223,109,094 |
RIGHTS — 0.0% (f) | |||
CHILE — 0.0% (f) | |||
AES Gener SA, (expiring 01/27/21) (a) | 79,292 | 869 | |
CHINA — 0.0% (f) | |||
Legend Holdings Corp. (expiring 1/28/21) Class H (a) (d) | 4,638 | — | |
SINGAPORE — 0.0% (f) | |||
ARA Logos Logistics Trust (expiring 1/15/21) (a) | 10,257 | 368 | |
SOUTH KOREA — 0.0% (f) | |||
CS Wind Corp.(expiring 1/29/21) (a) | 311 | 15,460 |
Security Description | Shares | Value | ||||
POSCO Chemical Co., Ltd. (expiring 1/14/21) (a) | 535 | $ 14,996 | ||||
30,456 | ||||||
SPAIN — 0.0% (f) | ||||||
Faes Farma SA (expiring 1/25/21) (a) | 22,047 | 4,483 | ||||
Repsol SA (expiring 1/26/21) (a) | 159,014 | 54,614 | ||||
59,097 | ||||||
TOTAL RIGHTS (Cost $60,284) | 90,790 | |||||
WARRANTS — 0.0% (f) | ||||||
BRAZIL — 0.0% (f) | ||||||
CVC Brasil Operadora e Agencia de Viagens SA (expiring 1/29/21) (a) | 1,766 | 3,264 | ||||
SWITZERLAND — 0.0% (f) | ||||||
Cie Financiere Richemont SA (expiring 11/22/23) (a) | 112,598 | 29,298 | ||||
THAILAND — 0.0% (f) | ||||||
BTS Group Holdings PCL (expiring 2/16/21) (a) | 61,990 | 21 | ||||
MBK PCL (expiring 11/15/23) (a) | 4,564 | 1,432 | ||||
Minor International PCL (expiring 12/31/21) (a) | 2,000 | 25 | ||||
Minor International PCL (expiring 9/30/21) (a) | 2,000 | 25 | ||||
Srisawad Corp. PCL (expiring 8/29/25) (a) | 3,396 | 1,145 | ||||
2,648 | ||||||
TOTAL WARRANTS (Cost $0) | 35,210 | |||||
SHORT-TERM INVESTMENTS — 5.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (g) (h) | 142,930,230 | 142,930,230 | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 42,151,995 | 42,151,995 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $185,082,225) | 185,082,225 | |||||
TOTAL INVESTMENTS — 104.2% (Cost $2,729,507,879) | 3,408,317,319 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.2)% | (137,354,942) | |||||
NET ASSETS — 100.0% | $ 3,270,962,377 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2020. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.7% of net assets as of December 31, 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 December 31, 2020, total aggregate fair value of this security is $81,598, representing less than 0.05% of the Fund's net assets. |
(e) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
(f) | Amount is less than 0.05% of net assets. |
(g) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(j) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
CDI | CREST Depository Interest |
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) | 355 | 03/19/2021 | $22,175,072 | $22,865,550 | $ 690,478 | |||||
MSCI EAFE Index (long) | 283 | 03/19/2021 | 29,662,145 | 30,150,820 | 488,675 | |||||
S&P/TSX 60 Index Future (long) | 16 | 03/18/2021 | 2,609,342 | 2,584,364 | (24,978) | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $1,154,175 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,203,915,613 | $ 19,111,883 | $81,598 | $3,223,109,094 | ||||
Rights | 70,479 | 20,311 | 0(a) | 90,790 | ||||
Warrants | 35,210 | — | — | 35,210 | ||||
Short-Term Investments | 185,082,225 | — | — | 185,082,225 | ||||
TOTAL INVESTMENTS | $3,389,103,527 | $19,132,194 | $81,598 | $3,408,317,319 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 1,179,153 | — | — | 1,179,153 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,179,153 | $ — | $ — | $ 1,179,153 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,390,282,680 | $19,132,194 | $81,598 | $3,409,496,472 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (24,978) | — | — | (24,978) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (24,978) | $ — | $ — | $ (24,978) |
(a) | Fund held a Level 3 security that was valued at $0 at December 31, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Banks | 9.1% | |
Internet | 5.9 | |
Pharmaceuticals | 5.5 | |
Semiconductors | 5.2 | |
Insurance | 4.0 | |
TOTAL | 29.7% |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 118,930,112 | $ 118,942,005 | $ 105,997,375 | $ 224,948,056 | $8,578 | $98 | — | $ — | $ 38,392 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 907,839,700 | 764,909,470 | — | — | 142,930,230 | 142,930,230 | 248,965 | ||||||||
State Street Navigator Securities Lending Portfolio II | 25,878,290 | 25,878,290 | 236,826,093 | 220,552,388 | — | — | 42,151,995 | 42,151,995 | 536,737 | ||||||||
Total | $144,820,295 | $1,250,663,168 | $1,210,409,914 | $8,578 | $98 | $185,082,225 | $824,094 |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.8% | ||||||
AEROSPACE & DEFENSE — 1.0% | ||||||
AAR Corp. | 5,841 | $ 211,561 | ||||
Aerojet Rocketdyne Holdings, Inc. (a) | 11,279 | 596,095 | ||||
AeroVironment, Inc. (a) | 3,300 | 286,770 | ||||
Astronics Corp. (a) | 3,868 | 51,174 | ||||
Axon Enterprise, Inc. (a) | 9,914 | 1,214,762 | ||||
BWX Technologies, Inc. | 15,026 | 905,767 | ||||
Cubic Corp. | 4,800 | 297,792 | ||||
Curtiss-Wright Corp. | 6,610 | 769,074 | ||||
Ducommun, Inc. (a) | 1,800 | 96,660 | ||||
HEICO Corp. | 7,046 | 932,890 | ||||
HEICO Corp. Class A | 12,397 | 1,451,193 | ||||
Hexcel Corp. | 13,117 | 636,043 | ||||
Kaman Corp. | 4,199 | 239,889 | ||||
Kratos Defense & Security Solutions, Inc. (a) | 19,000 | 521,170 | ||||
Maxar Technologies, Inc. | 9,476 | 365,679 | ||||
Mercury Systems, Inc. (a) | 8,600 | 757,316 | ||||
Moog, Inc. Class A | 4,621 | 366,445 | ||||
National Presto Industries, Inc. | 890 | 78,703 | ||||
PAE, Inc. (a) | 10,300 | 94,554 | ||||
Park Aerospace Corp. | 3,200 | 42,912 | ||||
Parsons Corp. (a) | 3,951 | 143,856 | ||||
Spirit AeroSystems Holdings, Inc. Class A | 16,486 | 644,438 | ||||
Triumph Group, Inc. | 8,945 | 112,349 | ||||
Vectrus, Inc. (a) | 1,900 | 94,468 | ||||
Virgin Galactic Holdings, Inc. (a) (b) | 10,300 | 244,419 | ||||
11,155,979 | ||||||
AIR FREIGHT & LOGISTICS — 0.3% | ||||||
Air Transport Services Group, Inc. (a) | 9,000 | 282,060 | ||||
Atlas Air Worldwide Holdings, Inc. (a) | 3,935 | 214,615 | ||||
Echo Global Logistics, Inc. (a) | 4,536 | 121,655 | ||||
Forward Air Corp. | 4,251 | 326,647 | ||||
Hub Group, Inc. Class A (a) | 5,017 | 285,969 | ||||
Radiant Logistics, Inc. (a) | 6,053 | 35,107 | ||||
XPO Logistics, Inc. (a) (b) | 14,443 | 1,721,606 | ||||
2,987,659 | ||||||
AIRLINES — 0.2% | ||||||
Allegiant Travel Co. | 2,053 | 388,510 | ||||
Copa Holdings SA Class A (b) | 4,891 | 377,732 | ||||
Hawaiian Holdings, Inc. | 7,945 | 140,627 | ||||
JetBlue Airways Corp. (a) | 48,736 | 708,621 | ||||
Mesa Air Group, Inc. (a) | 6,800 | 45,492 | ||||
SkyWest, Inc. | 7,603 | 306,477 | ||||
Spirit Airlines, Inc. (a) | 15,190 | 371,395 | ||||
2,338,854 | ||||||
AUTO COMPONENTS — 0.8% | ||||||
Adient PLC (a) | 13,700 | 476,349 |
Security Description | Shares | Value | ||||
American Axle & Manufacturing Holdings, Inc. (a) | 19,550 | $ 163,047 | ||||
Cooper Tire & Rubber Co. | 7,800 | 315,900 | ||||
Cooper-Standard Holdings, Inc. (a) | 2,890 | 100,196 | ||||
Dana, Inc. | 22,542 | 440,020 | ||||
Dorman Products, Inc. (a) | 4,127 | 358,306 | ||||
Fox Factory Holding Corp. (a) | 6,449 | 681,724 | ||||
Gentex Corp. | 39,023 | 1,324,050 | ||||
Gentherm, Inc. (a) | 5,085 | 331,644 | ||||
Goodyear Tire & Rubber Co. | 35,800 | 390,578 | ||||
LCI Industries | 3,819 | 495,248 | ||||
Lear Corp. | 9,511 | 1,512,534 | ||||
Modine Manufacturing Co. (a) | 8,583 | 107,802 | ||||
Motorcar Parts of America, Inc. (a) | 3,300 | 64,746 | ||||
Patrick Industries, Inc. | 3,428 | 234,304 | ||||
Standard Motor Products, Inc. | 3,643 | 147,396 | ||||
Stoneridge, Inc. (a) | 4,482 | 135,491 | ||||
Tenneco, Inc. Class A (a) | 8,868 | 94,001 | ||||
Visteon Corp. (a) | 4,364 | 547,769 | ||||
Workhorse Group, Inc. (a) (b) | 14,475 | 286,316 | ||||
XPEL, Inc. (a) (b) | 2,900 | 149,524 | ||||
8,356,945 | ||||||
AUTOMOBILES — 0.2% | ||||||
Harley-Davidson, Inc. | 24,200 | 888,140 | ||||
Thor Industries, Inc. (b) | 8,434 | 784,278 | ||||
Winnebago Industries, Inc. | 4,800 | 287,712 | ||||
1,960,130 | ||||||
BANKS — 4.4% | ||||||
1st Constitution Bancorp | 1,400 | 22,218 | ||||
1st Source Corp. | 2,820 | 113,646 | ||||
ACNB Corp. | 1,320 | 33,000 | ||||
Allegiance Bancshares, Inc. | 3,300 | 112,629 | ||||
Altabancorp | 2,741 | 76,529 | ||||
Amalgamated Bank Class A | 2,200 | 30,228 | ||||
Amerant Bancorp, Inc. (a) (b) | 3,700 | 56,240 | ||||
American National Bankshares, Inc. | 1,700 | 44,557 | ||||
Ameris Bancorp | 10,335 | 393,453 | ||||
Ames National Corp. | 1,402 | 33,676 | ||||
Arrow Financial Corp. | 2,654 | 79,381 | ||||
Associated Banc-Corp. | 23,630 | 402,892 | ||||
Atlantic Capital Bancshares, Inc. (a) | 3,399 | 54,112 | ||||
Atlantic Union Bankshares Corp. | 12,107 | 398,805 | ||||
Auburn National Bancorp, Inc. | 400 | 16,676 | ||||
Banc of California, Inc. | 7,813 | 114,929 | ||||
BancFirst Corp. | 3,252 | 190,892 | ||||
Bancorp, Inc. (a) | 9,000 | 122,850 | ||||
BancorpSouth Bank | 15,355 | 421,341 | ||||
Bank First Corp. (b) | 1,100 | 71,302 | ||||
Bank of Commerce Holdings | 2,729 | 27,017 | ||||
Bank of Hawaii Corp. | 6,226 | 477,036 |
Security Description | Shares | Value | |||
Bank of Marin Bancorp | 2,344 | $ 80,493 | |||
Bank of NT Butterfield & Son, Ltd. | 7,696 | 239,807 | |||
Bank of Princeton | 900 | 21,069 | |||
Bank OZK | 19,257 | 602,166 | |||
Bank7 Corp. | 500 | 7,100 | |||
BankFinancial Corp. | 2,191 | 19,237 | |||
BankUnited, Inc. | 14,327 | 498,293 | |||
Bankwell Financial Group, Inc. | 1,000 | 19,550 | |||
Banner Corp. | 5,300 | 246,927 | |||
Bar Harbor Bankshares | 3,080 | 69,577 | |||
Baycom Corp. (a) | 1,820 | 27,609 | |||
BCB Bancorp, Inc. | 2,300 | 25,461 | |||
Berkshire Hills Bancorp, Inc. | 7,916 | 135,522 | |||
BOK Financial Corp. | 4,908 | 336,100 | |||
Boston Private Financial Holdings, Inc. | 11,765 | 99,414 | |||
Bridge Bancorp, Inc. | 3,400 | 82,212 | |||
Brookline Bancorp, Inc. | 13,551 | 163,154 | |||
Bryn Mawr Bank Corp. | 3,405 | 104,176 | |||
Business First Bancshares, Inc. (b) | 3,400 | 69,224 | |||
Byline Bancorp, Inc. | 4,900 | 75,705 | |||
C&F Financial Corp. | 500 | 18,555 | |||
Cadence BanCorp | 19,000 | 311,980 | |||
California BanCorp (a) | 1,200 | 18,672 | |||
Cambridge Bancorp | 1,049 | 73,168 | |||
Camden National Corp. | 2,602 | 93,100 | |||
Capital Bancorp, Inc. (a) | 1,300 | 18,109 | |||
Capital City Bank Group, Inc. | 2,300 | 56,534 | |||
Capstar Financial Holdings, Inc. | 2,600 | 38,350 | |||
Carter Bankshares, Inc. | 3,500 | 37,520 | |||
Cathay General Bancorp | 11,754 | 378,361 | |||
CB Financial Services, Inc. | 800 | 16,008 | |||
CBTX, Inc. | 2,890 | 73,724 | |||
Central Pacific Financial Corp. | 4,754 | 90,374 | |||
Central Valley Community Bancorp | 1,700 | 25,313 | |||
Century Bancorp, Inc. Class A | 436 | 33,729 | |||
Chemung Financial Corp. | 604 | 20,506 | |||
ChoiceOne Financial Services, Inc. | 1,200 | 36,972 | |||
CIT Group, Inc. | 15,459 | 554,978 | |||
Citizens & Northern Corp. | 2,200 | 43,648 | |||
Citizens Holding Co. | 700 | 14,665 | |||
City Holding Co. | 2,649 | 184,238 | |||
Civista Bancshares, Inc. | 2,600 | 45,578 | |||
CNB Financial Corp. | 2,600 | 55,354 | |||
Coastal Financial Corp. (a) | 1,513 | 31,773 | |||
Codorus Valley Bancorp, Inc. | 1,438 | 24,388 | |||
Colony Bankcorp, Inc. | 1,200 | 17,580 | |||
Columbia Banking System, Inc. | 11,158 | 400,572 | |||
Commerce Bancshares, Inc. | 16,742 | 1,099,949 | |||
Community Bank System, Inc. | 8,239 | 513,372 | |||
Community Bankers Trust Corp. | 3,399 | 22,943 | |||
Community Financial Corp. | 800 | 21,184 |
Security Description | Shares | Value | |||
Community Trust Bancorp, Inc. | 2,703 | $ 100,146 | |||
ConnectOne Bancorp, Inc. | 6,434 | 127,329 | |||
County Bancorp, Inc. | 800 | 17,664 | |||
CrossFirst Bankshares, Inc. (a) | 8,323 | 89,472 | |||
Cullen/Frost Bankers, Inc. | 8,856 | 772,509 | |||
Customers Bancorp, Inc. (a) | 5,602 | 101,844 | |||
CVB Financial Corp. | 20,100 | 391,950 | |||
Dime Community Bancshares, Inc. | 5,000 | 78,850 | |||
Eagle Bancorp Montana, Inc. | 1,000 | 21,220 | |||
Eagle Bancorp, Inc. | 5,600 | 231,280 | |||
East West Bancorp, Inc. | 22,386 | 1,135,194 | |||
Eastern Bankshares, Inc. (a) | 25,800 | 420,798 | |||
Enterprise Bancorp, Inc. | 1,978 | 50,538 | |||
Enterprise Financial Services Corp. | 4,147 | 144,938 | |||
Equity Bancshares, Inc. Class A (a) | 2,300 | 49,657 | |||
Esquire Financial Holdings, Inc. (a) | 1,000 | 19,190 | |||
Evans Bancorp, Inc. | 800 | 22,032 | |||
Farmers & Merchants Bancorp, Inc. | 1,624 | 37,352 | |||
Farmers National Banc Corp. | 4,566 | 60,591 | |||
FB Financial Corp. | 5,483 | 190,425 | |||
Fidelity D&D Bancorp, Inc. (b) | 644 | 41,448 | |||
Financial Institutions, Inc. | 2,780 | 62,550 | |||
First BanCorp | 33,100 | 305,182 | |||
First Bancorp, Inc. | 1,600 | 40,640 | |||
First BanCorp. | 4,914 | 166,241 | |||
First Bancshares, Inc. | 3,600 | 111,168 | |||
First Bank | 2,600 | 24,388 | |||
First Busey Corp. | 8,788 | 189,381 | |||
First Business Financial Services, Inc. | 1,300 | 23,933 | |||
First Capital, Inc. (b) | 500 | 30,280 | |||
First Choice Bancorp | 1,620 | 29,954 | |||
First Citizens BancShares, Inc. Class A | 952 | 546,705 | |||
First Commonwealth Financial Corp. | 16,706 | 182,764 | |||
First Community Bankshares, Inc. | 3,500 | 75,530 | |||
First Community Corp. | 1,100 | 18,689 | |||
First Financial Bancorp | 14,891 | 261,039 | |||
First Financial Bankshares, Inc. | 20,302 | 734,425 | |||
First Financial Corp. | 2,300 | 89,355 | |||
First Foundation, Inc. | 6,850 | 137,000 | |||
First Guaranty Bancshares, Inc. | 803 | 14,269 | |||
First Hawaiian, Inc. | 20,300 | 478,674 | |||
First Horizon National Corp. | 86,647 | 1,105,616 | |||
First Internet Bancorp | 1,500 | 43,110 | |||
First Interstate BancSystem, Inc. Class A | 6,182 | 252,040 | |||
First Merchants Corp. | 8,320 | 311,251 | |||
First Mid-Illinois Bancshares, Inc. | 2,900 | 97,614 |
Security Description | Shares | Value | |||
First Midwest Bancorp, Inc. | 17,507 | $ 278,711 | |||
First Northwest Bancorp | 1,402 | 21,871 | |||
First of Long Island Corp. | 3,950 | 70,508 | |||
First Savings Financial Group, Inc. | 300 | 19,500 | |||
First United Corp. | 1,000 | 15,500 | |||
First Western Financial, Inc. (a) | 900 | 17,613 | |||
Flushing Financial Corp. | 5,100 | 84,864 | |||
FNB Corp. | 50,533 | 480,064 | |||
FNCB Bancorp, Inc. | 2,700 | 17,280 | |||
Franklin Financial Services Corp. | 700 | 18,921 | |||
Fulton Financial Corp. | 24,492 | 311,538 | |||
FVCBankcorp, Inc. (a) | 1,900 | 27,930 | |||
German American Bancorp, Inc. | 4,325 | 143,114 | |||
Glacier Bancorp, Inc. | 15,000 | 690,150 | |||
Great Southern Bancorp, Inc. | 1,868 | 91,345 | |||
Great Western Bancorp, Inc. | 9,611 | 200,870 | |||
Guaranty Bancshares, Inc. | 1,150 | 34,443 | |||
Hancock Whitney Corp. | 13,386 | 455,392 | |||
Hanmi Financial Corp. | 5,300 | 60,102 | |||
HarborOne Bancorp, Inc. (a) | 9,263 | 100,596 | |||
Hawthorn Bancshares, Inc. | 936 | 20,498 | |||
HBT Financial, Inc. | 1,400 | 21,210 | |||
Heartland Financial USA, Inc. | 5,300 | 213,961 | |||
Heritage Commerce Corp. | 10,166 | 90,172 | |||
Heritage Financial Corp. | 6,300 | 147,357 | |||
Hilltop Holdings, Inc. | 11,100 | 305,361 | |||
Home BancShares, Inc. | 23,814 | 463,897 | |||
HomeTrust Bancshares, Inc. | 2,709 | 52,311 | |||
Hope Bancorp, Inc. | 20,421 | 222,793 | |||
Horizon Bancorp, Inc. | 7,440 | 117,998 | |||
Howard Bancorp, Inc. (a) | 1,981 | 23,396 | |||
Independent Bank Corp. | 5,092 | 371,920 | |||
Independent Bank Corp. | 4,318 | 79,753 | |||
Independent Bank Group, Inc. | 5,772 | 360,865 | |||
International Bancshares Corp. | 8,250 | 308,880 | |||
Investar Holding Corp. | 1,640 | 27,126 | |||
Investors Bancorp, Inc. | 35,714 | 377,140 | |||
Lakeland Bancorp, Inc. | 8,500 | 107,950 | |||
Lakeland Financial Corp. | 4,328 | 231,894 | |||
Landmark Bancorp, Inc. | 630 | 14,396 | |||
LCNB Corp. | 1,900 | 27,911 | |||
Level One Bancorp, Inc. | 800 | 16,184 | |||
Limestone Bancorp, Inc. (a) | 800 | 10,048 | |||
Live Oak Bancshares, Inc. | 4,890 | 232,079 | |||
Macatawa Bank Corp. | 4,066 | 34,032 | |||
Mackinac Financial Corp. | 1,400 | 17,864 | |||
MainStreet Bancshares, Inc. (a) | 1,100 | 18,601 | |||
Mercantile Bank Corp. | 2,800 | 76,076 | |||
Meridian Corp. | 800 | 16,640 | |||
Metrocity Bankshares, Inc. | 2,800 | 40,376 | |||
Metropolitan Bank Holding Corp. (a) | 1,100 | 39,897 | |||
Mid Penn Bancorp, Inc. | 1,100 | 24,090 | |||
Middlefield Banc Corp. | 900 | 20,250 |
Security Description | Shares | Value | |||
Midland States Bancorp, Inc. | 3,502 | $ 62,581 | |||
MidWestOne Financial Group, Inc. | 3,051 | 74,750 | |||
MVB Financial Corp. | 1,530 | 34,700 | |||
National Bank Holdings Corp. Class A | 5,148 | 168,648 | |||
National Bankshares, Inc. | 1,037 | 32,468 | |||
NBT Bancorp, Inc. | 7,400 | 237,540 | |||
Nicolet Bankshares, Inc. (a) | 1,566 | 103,904 | |||
Northeast Bank (a) | 1,300 | 29,276 | |||
Northrim BanCorp, Inc. | 1,000 | 33,950 | |||
Norwood Financial Corp. | 950 | 24,862 | |||
Oak Valley Bancorp (b) | 1,100 | 18,282 | |||
OFG Bancorp | 8,800 | 163,152 | |||
Ohio Valley Banc Corp. | 700 | 16,520 | |||
Old National Bancorp | 25,461 | 421,634 | |||
Old Second Bancorp, Inc. | 4,535 | 45,804 | |||
Origin Bancorp, Inc. | 3,800 | 105,526 | |||
Orrstown Financial Services, Inc. | 1,800 | 29,790 | |||
Pacific Premier Bancorp, Inc. | 12,401 | 388,523 | |||
PacWest Bancorp | 18,334 | 465,684 | |||
Park National Corp. (b) | 2,161 | 226,927 | |||
Parke Bancorp, Inc. | 1,562 | 24,367 | |||
Partners Bancorp (b) | 1,500 | 9,750 | |||
PCB Bancorp | 1,930 | 19,512 | |||
Peapack-Gladstone Financial Corp. | 3,200 | 72,832 | |||
Penns Woods Bancorp, Inc. | 1,070 | 27,831 | |||
Peoples Bancorp of North Carolina, Inc. | 730 | 16,805 | |||
Peoples Bancorp, Inc. | 3,000 | 81,270 | |||
Peoples Financial Services Corp. | 1,139 | 41,870 | |||
Pinnacle Financial Partners, Inc. | 11,639 | 749,552 | |||
Plumas Bancorp | 700 | 16,450 | |||
Popular, Inc. | 13,110 | 738,355 | |||
Preferred Bank | 2,377 | 119,967 | |||
Premier Financial Bancorp, Inc. | 2,039 | 27,098 | |||
Professional Holding Corp. Class A (a) | 1,800 | 27,774 | |||
Prosperity Bancshares, Inc. | 14,109 | 978,600 | |||
QCR Holdings, Inc. | 2,620 | 103,726 | |||
RBB Bancorp | 2,700 | 41,526 | |||
Red River Bancshares, Inc. | 800 | 39,640 | |||
Reliant Bancorp, Inc. | 2,400 | 44,688 | |||
Renasant Corp. | 8,332 | 280,622 | |||
Republic Bancorp, Inc. Class A | 1,739 | 62,726 | |||
Republic First Bancorp, Inc. (a) (b) | 7,000 | 19,950 | |||
Richmond Mutual Bancorporation, Inc. | 1,900 | 25,954 | |||
S&T Bancorp, Inc. | 6,761 | 167,943 | |||
Salisbury Bancorp, Inc. | 400 | 14,908 | |||
Sandy Spring Bancorp, Inc. | 7,036 | 226,489 | |||
SB Financial Group, Inc. | 1,100 | 20,108 |
Security Description | Shares | Value | ||||
Seacoast Banking Corp. of Florida (a) | 8,984 | $ 264,579 | ||||
Select Bancorp, Inc. (a) | 2,428 | 22,993 | ||||
ServisFirst Bancshares, Inc. | 7,500 | 302,175 | ||||
Shore Bancshares, Inc. | 1,855 | 27,083 | ||||
Sierra Bancorp | 2,500 | 59,800 | ||||
Signature Bank | 8,245 | 1,115,466 | ||||
Silvergate Capital Corp. Class A (a) | 2,726 | 202,569 | ||||
Simmons First National Corp. Class A | 16,786 | 362,410 | ||||
SmartFinancial, Inc. | 2,302 | 41,758 | ||||
South Plains Financial, Inc. | 1,600 | 30,320 | ||||
South State Corp. | 10,975 | 793,493 | ||||
Southern First Bancshares, Inc. (a) | 1,300 | 45,955 | ||||
Southern National Bancorp of Virginia, Inc. | 4,425 | 53,587 | ||||
Southside Bancshares, Inc. | 5,555 | 172,372 | ||||
Spirit of Texas Bancshares, Inc. | 2,149 | 36,103 | ||||
Sterling Bancorp | 30,405 | 546,682 | ||||
Stock Yards Bancorp, Inc. | 3,600 | 145,728 | ||||
Summit Financial Group, Inc. | 1,900 | 41,952 | ||||
Synovus Financial Corp. | 23,139 | 749,009 | ||||
TCF Financial Corp. | 23,863 | 883,408 | ||||
Texas Capital Bancshares, Inc. (a) | 7,864 | 467,908 | ||||
Tompkins Financial Corp. | 2,542 | 179,465 | ||||
Towne Bank | 10,190 | 239,261 | ||||
TriCo Bancshares | 4,572 | 161,300 | ||||
TriState Capital Holdings, Inc. (a) | 5,500 | 95,700 | ||||
Triumph Bancorp, Inc. (a) | 3,921 | 190,365 | ||||
Trustmark Corp. | 9,696 | 264,798 | ||||
UMB Financial Corp. | 6,789 | 468,373 | ||||
Umpqua Holdings Corp. | 34,587 | 523,647 | ||||
United Bankshares, Inc. | 19,381 | 627,944 | ||||
United Community Banks, Inc. | 12,086 | 343,726 | ||||
United Security Bancshares | 2,100 | 14,805 | ||||
Unity Bancorp, Inc. | 1,200 | 21,060 | ||||
Univest Financial Corp. | 5,040 | 103,723 | ||||
Valley National Bancorp | 62,442 | 608,810 | ||||
Veritex Holdings, Inc. | 8,250 | 211,695 | ||||
Washington Trust Bancorp, Inc. | 3,023 | 135,430 | ||||
Webster Financial Corp. | 14,057 | 592,503 | ||||
WesBanco, Inc. | 10,002 | 299,660 | ||||
West Bancorporation, Inc. | 2,800 | 54,040 | ||||
Westamerica Bancorporation | 3,985 | 220,331 | ||||
Western Alliance Bancorp | 15,518 | 930,304 | ||||
Wintrust Financial Corp. | 8,928 | 545,412 | ||||
47,179,401 | ||||||
BEVERAGES — 0.5% | ||||||
Boston Beer Co., Inc. Class A (a) | 1,373 | 1,365,160 | ||||
Celsius Holdings, Inc. (a) | 5,400 | 271,674 | ||||
Coca-Cola Consolidated, Inc. | 819 | 218,075 |
Security Description | Shares | Value | ||||
Keurig Dr. Pepper, Inc. (b) | 71,300 | $ 2,281,600 | ||||
MGP Ingredients, Inc. (b) | 2,200 | 103,532 | ||||
National Beverage Corp. (b) | 2,047 | 173,791 | ||||
NewAge, Inc. (a) | 15,300 | 40,239 | ||||
Primo Water Corp. | 24,200 | 379,456 | ||||
4,833,527 | ||||||
BIOTECHNOLOGY — 6.9% | ||||||
89bio, Inc. (a) | 1,500 | 36,555 | ||||
Abeona Therapeutics, Inc. (a) | 10,786 | 16,934 | ||||
ACADIA Pharmaceuticals, Inc. (a) | 17,509 | 936,031 | ||||
Acceleron Pharma, Inc. (a) | 8,168 | 1,045,014 | ||||
ADMA Biologics, Inc. (a) (b) | 11,000 | 21,450 | ||||
Adverum Biotechnologies, Inc. (a) | 15,500 | 168,020 | ||||
Aeglea BioTherapeutics, Inc. (a) | 7,900 | 62,173 | ||||
Affimed NV (a) | 14,800 | 86,136 | ||||
Agenus, Inc. (a) | 27,400 | 87,132 | ||||
Agios Pharmaceuticals, Inc. (a) | 9,604 | 416,141 | ||||
Akebia Therapeutics, Inc. (a) | 25,017 | 70,048 | ||||
Akero Therapeutics, Inc. (a) (b) | 2,200 | 56,760 | ||||
Akouos, Inc. (a) | 2,300 | 45,609 | ||||
Albireo Pharma, Inc. (a) | 3,000 | 112,530 | ||||
Alector, Inc. (a) | 8,035 | 121,570 | ||||
Aligos Therapeutics, Inc. (a) | 1,800 | 49,770 | ||||
Alkermes PLC (a) | 24,762 | 494,002 | ||||
Allakos, Inc. (a) (b) | 4,095 | 573,300 | ||||
Allogene Therapeutics, Inc. (a) (b) | 7,800 | 196,872 | ||||
Allovir, Inc. (a) | 3,100 | 119,164 | ||||
Alnylam Pharmaceuticals, Inc. (a) | 18,422 | 2,394,307 | ||||
ALX Oncology Holdings, Inc. (a) | 1,700 | 146,540 | ||||
Amicus Therapeutics, Inc. (a) | 40,541 | 936,092 | ||||
AnaptysBio, Inc. (a) | 3,714 | 79,851 | ||||
Anavex Life Sciences Corp. (a) (b) | 8,500 | 45,900 | ||||
Anika Therapeutics, Inc. (a) | 2,447 | 110,751 | ||||
Annexon, Inc. (a) | 2,700 | 67,581 | ||||
Apellis Pharmaceuticals, Inc. (a) (b) | 9,400 | 537,680 | ||||
Applied Genetic Technologies Corp. (a) | 3,500 | 14,315 | ||||
Applied Molecular Transport, Inc. (a) | 2,500 | 76,925 | ||||
Applied Therapeutics, Inc. (a) (b) | 2,241 | 49,324 | ||||
Aprea Therapeutics, Inc. (a) (b) | 1,200 | 5,904 | ||||
Aptinyx, Inc. (a) (b) | 5,900 | 20,414 | ||||
Aravive, Inc. (a) (b) | 1,800 | 10,152 | ||||
Arcturus Therapeutics Holdings, Inc. (a) (b) | 3,835 | 166,362 | ||||
Arcus Biosciences, Inc. (a) | 7,395 | 191,974 | ||||
Arcutis Biotherapeutics, Inc. (a) | 3,600 | 101,268 | ||||
Ardelyx, Inc. (a) | 12,900 | 83,463 | ||||
Arena Pharmaceuticals, Inc. (a) | 9,130 | 701,458 |
Security Description | Shares | Value | |||
Arrowhead Pharmaceuticals, Inc. (a) | 15,900 | $ 1,220,007 | |||
Assembly Biosciences, Inc. (a) | 7,300 | 44,165 | |||
Atara Biotherapeutics, Inc. (a) | 11,500 | 225,745 | |||
Athenex, Inc. (a) | 12,398 | 137,122 | |||
Athersys, Inc. (a) (b) | 27,981 | 48,967 | |||
Atreca, Inc. Class A (a) (b) | 5,000 | 80,750 | |||
AVEO Pharmaceuticals, Inc. (a) | 3,100 | 17,887 | |||
Avid Bioservices, Inc. (a) | 9,868 | 113,877 | |||
Avidity Biosciences, Inc. (a) (b) | 2,900 | 74,008 | |||
Avrobio, Inc. (a) (b) | 5,398 | 75,248 | |||
Axcella Health, Inc. (a) (b) | 2,200 | 11,418 | |||
Aziyo Biologics, Inc. Class A (a) | 1,300 | 17,719 | |||
Beam Therapeutics, Inc. (a) (b) | 6,200 | 506,168 | |||
Beyondspring, Inc. (a) | 2,400 | 29,280 | |||
BioCryst Pharmaceuticals, Inc. (a) (b) | 30,830 | 229,683 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 7,500 | 642,825 | |||
BioMarin Pharmaceutical, Inc. (a) | 28,819 | 2,527,138 | |||
Bioxcel Therapeutics, Inc. (a) | 2,212 | 102,194 | |||
Black Diamond Therapeutics, Inc. (a) | 3,200 | 102,560 | |||
Bluebird Bio, Inc. (a) | 10,321 | 446,590 | |||
Blueprint Medicines Corp. (a) | 8,742 | 980,415 | |||
BrainStorm Cell Therapeutics, Inc. (a) (b) | 4,100 | 18,553 | |||
Bridgebio Pharma, Inc. (a) (b) | 11,500 | 817,765 | |||
C4 Therapeutics, Inc. (a) | 1,900 | 62,947 | |||
Cabaletta Bio, Inc. (a) (b) | 3,100 | 38,688 | |||
Calithera Biosciences, Inc. (a) | 10,600 | 52,046 | |||
Calyxt, Inc. (a) (b) | 1,300 | 5,486 | |||
CareDx, Inc. (a) | 7,442 | 539,173 | |||
CASI Pharmaceuticals, Inc. (a) (b) | 10,700 | 31,565 | |||
Catabasis Pharmaceuticals, Inc. (a) (b) | 2,700 | 5,778 | |||
Catalyst Biosciences, Inc. (a) | 3,300 | 20,823 | |||
Catalyst Pharmaceuticals, Inc. (a) | 16,947 | 56,603 | |||
Cellular Biomedicine Group, Inc. (a) | 1,900 | 34,922 | |||
CEL-SCI Corp. (a) (b) | 5,895 | 68,736 | |||
Centogene NV (a) | 1,200 | 12,936 | |||
Checkmate Pharmaceuticals, Inc. (a) | 700 | 10,213 | |||
Checkpoint Therapeutics, Inc. (a) (b) | 7,275 | 19,279 | |||
ChemoCentryx, Inc. (a) | 7,700 | 476,784 | |||
Chimerix, Inc. (a) | 8,597 | 41,524 | |||
Chinook Therapeutics, Inc. (a) | 2,090 | 33,147 | |||
Cidara Therapeutics, Inc. (a) | 5,100 | 10,200 | |||
Clovis Oncology, Inc. (a) (b) | 14,480 | 69,504 | |||
Cohbar, Inc. (a) | 4,200 | 5,628 | |||
Coherus Biosciences, Inc. (a) (b) | 10,217 | 177,571 |
Security Description | Shares | Value | |||
Concert Pharmaceuticals, Inc. (a) | 5,198 | $ 65,703 | |||
Constellation Pharmaceuticals, Inc. (a) (b) | 5,365 | 154,512 | |||
Contra Aduro Biotech | 2,090 | 272 | |||
ContraFect Corp. (a) (b) | 3,500 | 17,675 | |||
Corbus Pharmaceuticals Holdings, Inc. (a) | 22,014 | 27,518 | |||
Cortexyme, Inc. (a) (b) | 2,749 | 76,367 | |||
Crinetics Pharmaceuticals, Inc. (a) (b) | 4,400 | 62,084 | |||
Cue Biopharma, Inc. (a) | 5,185 | 64,864 | |||
Cyclerion Therapeutics, Inc. (a) | 3,740 | 11,444 | |||
Cytokinetics, Inc. (a) | 9,496 | 197,327 | |||
CytomX Therapeutics, Inc. (a) | 7,275 | 47,651 | |||
Deciphera Pharmaceuticals, Inc. (a) | 5,900 | 336,713 | |||
Denali Therapeutics, Inc. (a) | 9,900 | 829,224 | |||
Dermtech, Inc. (a) (b) | 1,400 | 45,416 | |||
Dicerna Pharmaceuticals, Inc. (a) | 9,600 | 211,488 | |||
Dyadic International, Inc. (a) | 2,900 | 15,602 | |||
Dynavax Technologies Corp. (a) (b) | 18,538 | 82,494 | |||
Dyne Therapeutics, Inc. (a) | 2,500 | 52,500 | |||
Eagle Pharmaceuticals, Inc. (a) | 1,746 | 81,311 | |||
Editas Medicine, Inc. (a) (b) | 9,839 | 689,812 | |||
Eidos Therapeutics, Inc. (a) | 1,889 | 248,555 | |||
Eiger BioPharmaceuticals, Inc. (a) | 5,375 | 66,059 | |||
Emergent BioSolutions, Inc. (a) | 7,100 | 636,160 | |||
Enanta Pharmaceuticals, Inc. (a) | 3,300 | 138,930 | |||
Enochian Biosciences, Inc. (a) (b) | 2,510 | 7,405 | |||
Epizyme, Inc. (a) | 15,538 | 168,743 | |||
Esperion Therapeutics, Inc. (a) (b) | 4,500 | 117,000 | |||
Evelo Biosciences, Inc. (a) (b) | 4,735 | 57,246 | |||
Exact Sciences Corp. (a) (b) | 23,749 | 3,146,505 | |||
Exelixis, Inc. (a) | 48,785 | 979,115 | |||
Exicure, Inc. (a) | 9,000 | 15,930 | |||
Fate Therapeutics, Inc. (a) | 11,260 | 1,023,872 | |||
Fennec Pharmaceuticals, Inc. (a) (b) | 3,300 | 24,585 | |||
FibroGen, Inc. (a) (b) | 13,108 | 486,176 | |||
Five Prime Therapeutics, Inc. (a) | 5,447 | 92,653 | |||
Flexion Therapeutics, Inc. (a) (b) | 7,600 | 87,704 | |||
Foghorn Therapeutics, Inc. (a) | 1,300 | 26,351 | |||
Forma Therapeutics Holdings, Inc. (a) | 3,000 | 104,700 | |||
Fortress Biotech, Inc. (a) (b) | 15,200 | 48,184 | |||
Frequency Therapeutics, Inc. (a) (b) | 4,400 | 155,144 | |||
G1 Therapeutics, Inc. (a) (b) | 5,961 | 107,238 |
Security Description | Shares | Value | |||
Galectin Therapeutics, Inc. (a) (b) | 6,283 | $ 14,074 | |||
Galera Therapeutics, Inc. (a) | 1,300 | 13,299 | |||
Generation Bio Co. (a) (b) | 2,000 | 56,700 | |||
Genprex, Inc. (a) (b) | 4,300 | 17,845 | |||
Geron Corp. (a) (b) | 50,083 | 79,632 | |||
Global Blood Therapeutics, Inc. (a) (b) | 9,281 | 401,960 | |||
GlycoMimetics, Inc. (a) | 5,291 | 19,894 | |||
Gossamer Bio, Inc. (a) | 9,900 | 95,733 | |||
Gritstone Oncology, Inc. (a) (b) | 5,300 | 20,882 | |||
Halozyme Therapeutics, Inc. (a) (b) | 20,952 | 894,860 | |||
Harpoon Therapeutics, Inc. (a) (b) | 1,790 | 29,732 | |||
Heron Therapeutics, Inc. (a) (b) | 13,417 | 283,971 | |||
Homology Medicines, Inc. (a) (b) | 6,900 | 77,901 | |||
Hookipa Pharma, Inc. (a) (b) | 1,985 | 22,014 | |||
iBio, Inc. (a) | 31,400 | 32,970 | |||
Ideaya Biosciences, Inc. (a) | 2,600 | 36,400 | |||
IGM Biosciences, Inc. (a) (b) | 1,200 | 105,948 | |||
Immunic, Inc. (a) | 800 | 12,232 | |||
ImmunoGen, Inc. (a) | 32,176 | 207,535 | |||
Immunovant, Inc. (a) | 5,800 | 267,902 | |||
Inhibrx, Inc. (a) | 1,400 | 46,158 | |||
Inovio Pharmaceuticals, Inc. (a) (b) | 22,911 | 202,762 | |||
Inozyme Pharma, Inc. (a) | 1,900 | 39,216 | |||
Insmed, Inc. (a) | 15,866 | 528,179 | |||
Intellia Therapeutics, Inc. (a) (b) | 7,800 | 424,320 | |||
Intercept Pharmaceuticals, Inc. (a) | 4,487 | 110,829 | |||
Invitae Corp. (a) (b) | 18,200 | 760,942 | |||
Ionis Pharmaceuticals, Inc. (a) | 20,730 | 1,172,074 | |||
Iovance Biotherapeutics, Inc. (a) | 21,900 | 1,016,160 | |||
Ironwood Pharmaceuticals, Inc. (a) | 24,478 | 278,804 | |||
iTeos Therapeutics, Inc. (a) | 2,000 | 67,640 | |||
IVERIC bio, Inc. (a) | 14,000 | 96,740 | |||
Jounce Therapeutics, Inc. (a) | 2,500 | 17,500 | |||
Kadmon Holdings, Inc. (a) | 30,063 | 124,761 | |||
KalVista Pharmaceuticals, Inc. (a) | 2,500 | 47,475 | |||
Karuna Therapeutics, Inc. (a) | 2,450 | 248,895 | |||
Karyopharm Therapeutics, Inc. (a) (b) | 12,200 | 188,856 | |||
Keros Therapeutics, Inc. (a) | 2,247 | 158,503 | |||
Kezar Life Sciences, Inc. (a) | 5,030 | 26,257 | |||
Kindred Biosciences, Inc. (a) | 5,800 | 24,998 | |||
Kiniksa Pharmaceuticals Ltd. Class A (a) | 4,625 | 81,724 | |||
Kodiak Sciences, Inc. (a) (b) | 5,100 | 749,241 | |||
Kronos Bio, Inc. (a) | 2,500 | 74,675 | |||
Krystal Biotech, Inc. (a) | 2,367 | 142,020 | |||
Kura Oncology, Inc. (a) | 9,500 | 310,270 | |||
Kymera Therapeutics, Inc. (a) | 1,800 | 111,600 |
Security Description | Shares | Value | |||
La Jolla Pharmaceutical Co. (a) (b) | 3,645 | $ 14,143 | |||
Lexicon Pharmaceuticals, Inc. (a) (b) | 6,521 | 22,302 | |||
Ligand Pharmaceuticals, Inc. (a) (b) | 2,105 | 209,342 | |||
LogicBio Therapeutics, Inc. (a) | 2,875 | 21,936 | |||
MacroGenics, Inc. (a) | 9,534 | 217,947 | |||
Madrigal Pharmaceuticals, Inc. (a) (b) | 1,540 | 171,202 | |||
Magenta Therapeutics, Inc. (a) (b) | 3,000 | 23,520 | |||
MannKind Corp. (a) | 39,000 | 122,070 | |||
Marker Therapeutics, Inc. (a) (b) | 4,870 | 7,062 | |||
MediciNova, Inc. (a) (b) | 7,500 | 39,450 | |||
MEI Pharma, Inc. (a) | 19,114 | 50,461 | |||
MeiraGTx Holdings PLC (a) (b) | 3,700 | 56,018 | |||
Mersana Therapeutics, Inc. (a) | 7,700 | 204,897 | |||
Metacrine, Inc. (a) | 1,200 | 9,432 | |||
Minerva Neurosciences, Inc. (a) | 4,680 | 10,951 | |||
Mirati Therapeutics, Inc. (a) | 6,800 | 1,493,552 | |||
Mirum Pharmaceuticals, Inc. (a) (b) | 797 | 13,916 | |||
Moderna, Inc. (a) | 45,736 | 4,778,040 | |||
Molecular Templates, Inc. (a) | 4,315 | 40,518 | |||
Morphic Holding, Inc. (a) (b) | 2,400 | 80,520 | |||
Mustang Bio, Inc. (a) (b) | 8,805 | 33,327 | |||
Myriad Genetics, Inc. (a) | 12,394 | 245,091 | |||
NantKwest, Inc. (a) (b) | 5,500 | 73,315 | |||
Natera, Inc. (a) | 11,900 | 1,184,288 | |||
Neoleukin Therapeutics, Inc. (a) (b) | 3,700 | 52,170 | |||
Neubase Therapeutics, Inc. (a) (b) | 2,600 | 18,174 | |||
NeuroBo Pharmaceuticals, Inc. (a) | 700 | 3,675 | |||
Neurocrine Biosciences, Inc. (a) | 14,628 | 1,402,094 | |||
NextCure, Inc. (a) (b) | 2,700 | 29,430 | |||
Nkarta, Inc. (a) | 2,800 | 172,116 | |||
Novavax, Inc. (a) (b) | 9,723 | 1,084,212 | |||
Nurix Therapeutics, Inc. (a) | 2,000 | 65,760 | |||
Nymox Pharmaceutical Corp. (a) (b) | 6,000 | 14,880 | |||
Oncocyte Corp. (a) (b) | 10,385 | 24,820 | |||
Oncorus, Inc. (a) | 1,200 | 38,796 | |||
OPKO Health, Inc. (a) (b) | 60,718 | 239,836 | |||
Organogenesis Holdings, Inc. (a) | 4,198 | 31,611 | |||
Orgenesis, Inc. (a) | 2,700 | 12,150 | |||
ORIC Pharmaceuticals, Inc. (a) | 3,900 | 132,015 | |||
Ovid therapeutics, Inc. (a) (b) | 12,400 | 28,644 | |||
Oyster Point Pharma, Inc. (a) (b) | 900 | 16,938 | |||
Pandion Therapeutics, Inc. (a) | 1,100 | 16,335 | |||
Passage Bio, Inc. (a) (b) | 4,300 | 109,951 | |||
PhaseBio Pharmaceuticals, Inc. (a) (b) | 2,496 | 8,387 |
Security Description | Shares | Value | |||
Pieris Pharmaceuticals, Inc. (a) | 9,300 | $ 23,250 | |||
PMV Pharmaceuticals, Inc. (a) | 2,400 | 147,624 | |||
Poseida Therapeutics, Inc. (a) | 2,900 | 31,813 | |||
Praxis Precision Medicines, Inc. (a) | 1,900 | 104,538 | |||
Precigen, Inc. (a) (b) | 11,541 | 117,718 | |||
Precision BioSciences, Inc. (a) (b) | 9,500 | 79,230 | |||
Prelude Therapeutics, Inc. (a) | 1,600 | 114,480 | |||
Prevail Therapeutics, Inc. (a) | 2,400 | 55,368 | |||
Protagonist Therapeutics, Inc. (a) | 5,502 | 110,920 | |||
Protara Therapeutics, Inc. (a) (b) | 700 | 16,947 | |||
Prothena Corp. PLC (a) | 5,000 | 60,050 | |||
PTC Therapeutics, Inc. (a) | 9,700 | 591,991 | |||
Puma Biotechnology, Inc. (a) (b) | 6,407 | 65,736 | |||
Radius Health, Inc. (a) (b) | 7,955 | 142,076 | |||
Rapt Therapeutics, Inc. (a) (b) | 2,400 | 47,400 | |||
REGENXBIO, Inc. (a) | 5,000 | 226,800 | |||
Relay Therapeutics, Inc. (a) | 5,600 | 232,736 | |||
Replimenu Group, Inc. (a) | 4,100 | 156,415 | |||
REVOLUTION Medicines, Inc. (a) | 5,842 | 231,285 | |||
Rhythm Pharmaceuticals, Inc. (a) | 5,900 | 175,407 | |||
Rigel Pharmaceuticals, Inc. (a) | 29,589 | 103,561 | |||
Rocket Pharmaceuticals, Inc. (a) | 5,200 | 285,168 | |||
Rubius Therapeutics, Inc. (a) (b) | 5,800 | 44,022 | |||
Sage Therapeutics, Inc. (a) | 8,074 | 698,482 | |||
Sangamo Therapeutics, Inc. (a) | 17,765 | 277,223 | |||
Sarepta Therapeutics, Inc. (a) (b) | 12,013 | 2,048,096 | |||
Savara, Inc. (a) | 5,445 | 6,262 | |||
Scholar Rock Holding Corp. (a) | 4,445 | 215,716 | |||
Seagen, Inc. (a) | 20,242 | 3,545,184 | |||
Selecta Biosciences, Inc. (a) | 10,300 | 31,209 | |||
Seres Therapeutics, Inc. (a) (b) | 8,446 | 206,927 | |||
Shattuck Labs, Inc. (a) | 2,300 | 120,543 | |||
Soleno Therapeutics, Inc. (a) | 8,500 | 16,405 | |||
Solid Biosciences, Inc. (a) (b) | 4,900 | 37,142 | |||
Sorrento Therapeutics, Inc. (a) (b) | 38,419 | 262,210 | |||
Spectrum Pharmaceuticals, Inc. (a) | 25,132 | 85,700 | |||
Spero Therapeutics, Inc. (a) (b) | 3,593 | 69,668 | |||
SpringWorks Therapeutics, Inc. (a) (b) | 3,700 | 268,324 | |||
Spruce Biosciences, Inc. (a) | 1,200 | 29,172 | |||
SQZ Biotechnologies Co. (a) (b) | 800 | 23,184 | |||
Stoke Therapeutics, Inc. (a) (b) | 2,200 | 136,246 | |||
Sutro Biopharma, Inc. (a) | 4,900 | 106,379 | |||
Syndax Pharmaceuticals, Inc. (a) | 4,700 | 104,528 | |||
Syros Pharmaceuticals, Inc. (a) (b) | 7,200 | 78,120 |
Security Description | Shares | Value | ||||
Taysha Gene Therapies, Inc. (a) | 1,500 | $ 39,810 | ||||
TCR2 Therapeutics, Inc. (a) | 4,400 | 136,092 | ||||
TG Therapeutics, Inc. (a) | 18,130 | 943,123 | ||||
Translate Bio, Inc. (a) (b) | 11,900 | 219,317 | ||||
Travere Therapeutics, Inc. (a) | 8,498 | 231,613 | ||||
Turning Point Therapeutics, Inc. (a) | 5,889 | 717,575 | ||||
Twist Bioscience Corp. (a) (b) | 5,184 | 732,447 | ||||
Tyme Technologies, Inc. (a) (b) | 9,400 | 11,468 | ||||
Ultragenyx Pharmaceutical, Inc. (a) (b) | 9,914 | 1,372,395 | ||||
United Therapeutics Corp. (a) | 6,871 | 1,042,949 | ||||
UNITY Biotechnology, Inc. (a) (b) | 5,590 | 29,292 | ||||
UroGen Pharma, Ltd. (a) (b) | 3,200 | 57,664 | ||||
Vanda Pharmaceuticals, Inc. (a) | 9,351 | 122,872 | ||||
Vaxart, Inc. (a) (b) | 9,100 | 51,961 | ||||
Vaxcyte, Inc. (a) | 3,200 | 85,024 | ||||
VBI Vaccines, Inc. (a) (b) | 31,406 | 86,366 | ||||
Veracyte, Inc. (a) (b) | 8,957 | 438,356 | ||||
Verastem, Inc. (a) | 34,800 | 74,124 | ||||
Vericel Corp. (a) | 6,873 | 212,238 | ||||
Viela Bio, Inc. (a) (b) | 3,800 | 136,686 | ||||
Viking Therapeutics, Inc. (a) (b) | 13,214 | 74,395 | ||||
Vir Biotechnology, Inc. (a) (b) | 8,139 | 217,962 | ||||
Voyager Therapeutics, Inc. (a) | 4,300 | 30,745 | ||||
vTv Therapeutics, Inc. Class A (a) (b) | 1,500 | 2,790 | ||||
X4 Pharmaceuticals, Inc. (a) (b) | 2,408 | 15,483 | ||||
XBiotech, Inc. (a) (b) | 2,275 | 35,604 | ||||
Xencor, Inc. (a) | 8,585 | 374,564 | ||||
XOMA Corp. (a) | 1,000 | 44,130 | ||||
Y-mAbs Therapeutics, Inc. (a) | 4,400 | 217,844 | ||||
Zentalis Pharmaceuticals, Inc. (a) (b) | 4,400 | 228,536 | ||||
ZIOPHARM Oncology, Inc. (a) (b) | 37,156 | 93,633 | ||||
73,483,031 | ||||||
BUILDING PRODUCTS — 1.1% | ||||||
AAON, Inc. | 6,400 | 426,432 | ||||
Advanced Drainage Systems, Inc. | 8,800 | 735,504 | ||||
Alpha Pro Tech, Ltd. (a) (b) | 1,900 | 21,185 | ||||
American Woodmark Corp. (a) | 2,612 | 245,136 | ||||
Apogee Enterprises, Inc. | 4,509 | 142,845 | ||||
Armstrong World Industries, Inc. | 7,495 | 557,553 | ||||
AZEK Co., Inc. (a) | 11,100 | 426,795 | ||||
Builders FirstSource, Inc. (a) | 20,300 | 828,443 | ||||
Caesarstone, Ltd. (b) | 3,527 | 45,463 | ||||
Cornerstone Building Brands, Inc. (a) | 7,628 | 70,788 | ||||
CSW Industrials, Inc. | 2,037 | 227,961 | ||||
Gibraltar Industries, Inc. (a) | 5,000 | 359,700 | ||||
Griffon Corp. | 7,600 | 154,888 | ||||
Insteel Industries, Inc. | 3,087 | 68,748 | ||||
JELD-WEN Holding, Inc. (a) | 10,409 | 263,972 |
Security Description | Shares | Value | ||||
Lennox International, Inc. | 5,554 | $ 1,521,629 | ||||
Masonite International Corp. (a) | 3,793 | 373,004 | ||||
Owens Corning | 16,976 | 1,286,102 | ||||
PGT Innovations, Inc. (a) | 9,954 | 202,464 | ||||
Quanex Building Products Corp. | 5,750 | 127,478 | ||||
Resideo Technologies, Inc. (a) | 21,977 | 467,231 | ||||
Simpson Manufacturing Co., Inc. | 6,800 | 635,460 | ||||
Trex Co., Inc. (a) | 18,388 | 1,539,443 | ||||
UFP Industries, Inc. | 9,309 | 517,115 | ||||
11,245,339 | ||||||
CAPITAL MARKETS — 2.1% | ||||||
Affiliated Managers Group, Inc. | 7,100 | 722,070 | ||||
Apollo Global Management, Inc. | 27,100 | 1,327,358 | ||||
Ares Management Corp. Class A | 15,500 | 729,275 | ||||
Artisan Partners Asset Management, Inc. Class A | 8,593 | 432,572 | ||||
Assetmark Financial Holdings, Inc. (a) | 2,900 | 70,180 | ||||
Associated Capital Group, Inc. Class A | 300 | 10,536 | ||||
B. Riley Financial, Inc. | 3,334 | 147,429 | ||||
BGC Partners, Inc. Class A | 54,000 | 216,000 | ||||
Blucora, Inc. (a) | 8,400 | 133,644 | ||||
Brightsphere Investment Group, Inc. | 10,738 | 207,029 | ||||
Carlyle Group, Inc. | 18,600 | 584,784 | ||||
Cohen & Steers, Inc. | 3,709 | 275,579 | ||||
Cowen, Inc. Class A | 4,350 | 113,056 | ||||
Diamond Hill Investment Group, Inc. | 548 | 81,800 | ||||
Donnelley Financial Solutions, Inc. (a) | 5,175 | 87,820 | ||||
Eaton Vance Corp. | 17,620 | 1,196,927 | ||||
Evercore, Inc. Class A | 6,243 | 684,482 | ||||
FactSet Research Systems, Inc. | 5,955 | 1,980,037 | ||||
Federated Hermes, Inc. | 14,800 | 427,572 | ||||
Focus Financial Partners, Inc. Class A (a) | 5,482 | 238,467 | ||||
GAMCO Investors, Inc. Class A | 882 | 15,647 | ||||
Greenhill & Co., Inc. | 2,417 | 29,342 | ||||
Hamilton Lane, Inc. Class A | 5,004 | 390,562 | ||||
Houlihan Lokey, Inc. | 8,100 | 544,563 | ||||
Interactive Brokers Group, Inc. Class A | 11,606 | 707,037 | ||||
KKR & Co., Inc. | 86,870 | 3,517,366 | ||||
Lazard, Ltd. Class A | 15,902 | 672,655 | ||||
LPL Financial Holdings, Inc. | 12,495 | 1,302,229 | ||||
Moelis & Co. Class A | 8,200 | 383,432 | ||||
Morningstar, Inc. | 3,416 | 791,043 | ||||
Oppenheimer Holdings, Inc. Class A | 1,500 | 47,145 | ||||
Piper Sandler Cos. | 2,700 | 272,430 | ||||
PJT Partners, Inc. Class A | 3,572 | 268,793 |
Security Description | Shares | Value | ||||
Pzena Investment Management, Inc. Class A | 2,600 | $ 18,980 | ||||
Safeguard Scientifics, Inc. (a) | 3,000 | 19,140 | ||||
Sculptor Capital Management, Inc. | 2,985 | 45,372 | ||||
SEI Investments Co. | 17,887 | 1,027,966 | ||||
Siebert Financial Corp. (a) (b) | 1,320 | 5,544 | ||||
Silvercrest Asset Management Group, Inc. Class A | 1,504 | 20,891 | ||||
StepStone Group, Inc. Class A (a) | 3,400 | 135,320 | ||||
Stifel Financial Corp. | 15,673 | 790,860 | ||||
StoneX Group, Inc. (a) | 2,803 | 162,294 | ||||
Tradeweb Markets, Inc. Class A | 13,200 | 824,340 | ||||
Value Line, Inc. | 200 | 6,594 | ||||
Virtu Financial, Inc. Class A | 9,697 | 244,073 | ||||
Virtus Investment Partners, Inc. | 1,113 | 241,521 | ||||
Waddell & Reed Financial, Inc. Class A | 10,636 | 270,899 | ||||
Westwood Holdings Group, Inc. | 1,305 | 18,922 | ||||
WisdomTree Investments, Inc. | 20,199 | 108,065 | ||||
22,549,642 | ||||||
CHEMICALS — 1.6% | ||||||
Advanced Emissions Solutions, Inc. (b) | 2,600 | 14,300 | ||||
AdvanSix, Inc. (a) | 4,800 | 95,952 | ||||
AgroFresh Solutions, Inc. (a) | 4,500 | 10,215 | ||||
American Vanguard Corp. | 5,052 | 78,407 | ||||
Amyris, Inc. (a) (b) | 17,800 | 109,915 | ||||
Ashland Global Holdings, Inc. | 8,731 | 691,495 | ||||
Avient Corp. | 14,333 | 577,333 | ||||
Axalta Coating Systems, Ltd. (a) | 33,402 | 953,627 | ||||
Balchem Corp. | 4,988 | 574,717 | ||||
Cabot Corp. | 8,698 | 390,366 | ||||
Chase Corp. | 1,296 | 130,909 | ||||
Chemours Co. | 25,743 | 638,169 | ||||
Element Solutions, Inc. | 34,200 | 606,366 | ||||
Ferro Corp. (a) | 14,258 | 208,595 | ||||
FutureFuel Corp. | 5,500 | 69,850 | ||||
GCP Applied Technologies, Inc. (a) | 8,497 | 200,954 | ||||
Hawkins, Inc. | 1,648 | 86,207 | ||||
HB Fuller Co. | 7,999 | 414,988 | ||||
Huntsman Corp. | 31,726 | 797,592 | ||||
Ingevity Corp. (a) | 6,438 | 487,550 | ||||
Innospec, Inc. | 3,747 | 339,965 | ||||
Intrepid Potash, Inc. (a) | 1,490 | 35,984 | ||||
Koppers Holdings, Inc. (a) | 3,630 | 113,111 | ||||
Kraton Corp. (a) | 5,485 | 152,428 | ||||
Kronos Worldwide, Inc. | 3,600 | 53,676 | ||||
Livent Corp. (a) (b) | 22,842 | 430,343 | ||||
Marrone Bio Innovations, Inc. (a) | 9,293 | 11,616 | ||||
Minerals Technologies, Inc. | 5,292 | 328,739 | ||||
NewMarket Corp. | 1,040 | 414,222 | ||||
Olin Corp. | 22,424 | 550,733 |
Security Description | Shares | Value | ||||
Orion Engineered Carbons SA | 10,500 | $ 179,970 | ||||
PQ Group Holdings, Inc. | 6,650 | 94,829 | ||||
Quaker Chemical Corp. (b) | 2,116 | 536,173 | ||||
Rayonier Advanced Materials, Inc. (a) | 12,600 | 82,152 | ||||
RPM International, Inc. | 20,390 | 1,851,004 | ||||
Scotts Miracle-Gro Co. | 6,442 | 1,282,860 | ||||
Sensient Technologies Corp. | 6,619 | 488,284 | ||||
Stepan Co. | 3,382 | 403,540 | ||||
Trecora Resources (a) | 3,870 | 27,051 | ||||
Tredegar Corp. | 4,607 | 76,937 | ||||
Trinseo SA | 5,899 | 302,088 | ||||
Tronox Holdings PLC Class A (a) | 15,569 | 227,619 | ||||
Valvoline, Inc. | 29,241 | 676,637 | ||||
Westlake Chemical Corp. | 5,296 | 432,154 | ||||
WR Grace & Co. | 8,776 | 481,100 | ||||
16,710,722 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 1.1% | ||||||
ABM Industries, Inc. | 10,400 | 393,536 | ||||
ACCO Brands Corp. | 16,142 | 136,400 | ||||
ADT, Inc. (b) | 27,080 | 212,578 | ||||
Brady Corp. Class A | 7,300 | 385,586 | ||||
BrightView Holdings, Inc. (a) | 7,100 | 107,352 | ||||
Brink's Co. | 7,714 | 555,408 | ||||
Casella Waste Systems, Inc. Class A (a) | 7,600 | 470,820 | ||||
CECO Environmental Corp. (a) | 4,743 | 33,011 | ||||
Cimpress PLC (a) (b) | 2,733 | 239,793 | ||||
Clean Harbors, Inc. (a) | 8,153 | 620,443 | ||||
CompX International, Inc. | 200 | 2,846 | ||||
Covanta Holding Corp. | 18,100 | 237,653 | ||||
Deluxe Corp. | 7,276 | 212,459 | ||||
Ennis, Inc. | 4,497 | 80,272 | ||||
Harsco Corp. (a) | 13,625 | 244,978 | ||||
Healthcare Services Group, Inc. | 11,565 | 324,977 | ||||
Heritage-Crystal Clean, Inc. (a) | 2,734 | 57,605 | ||||
Herman Miller, Inc. | 9,100 | 307,580 | ||||
HNI Corp. | 7,389 | 254,625 | ||||
IAA, Inc. (a) | 21,371 | 1,388,688 | ||||
IBEX Holdings, Ltd. (a) | 700 | 13,090 | ||||
Interface, Inc. | 10,162 | 106,701 | ||||
KAR Auction Services, Inc. | 19,992 | 372,051 | ||||
Kimball International, Inc. Class B | 6,265 | 74,867 | ||||
Knoll, Inc. | 8,733 | 128,200 | ||||
Matthews International Corp. Class A | 5,331 | 156,731 | ||||
McGrath RentCorp | 3,700 | 248,270 | ||||
Montrose Environmental Group, Inc. (a) | 1,800 | 55,728 | ||||
MSA Safety, Inc. | 5,717 | 854,063 | ||||
NL Industries, Inc. | 1,231 | 5,884 | ||||
PICO Holdings, Inc. (a) | 2,830 | 26,461 | ||||
Pitney Bowes, Inc. (b) | 30,164 | 185,810 |
Security Description | Shares | Value | ||||
Quad/Graphics, Inc. | 5,027 | $ 19,203 | ||||
SP Plus Corp. (a) | 4,000 | 115,320 | ||||
Steelcase, Inc. Class A | 15,000 | 203,250 | ||||
Stericycle, Inc. (a) | 14,500 | 1,005,285 | ||||
Team, Inc. (a) | 4,900 | 53,410 | ||||
Tetra Tech, Inc. | 8,475 | 981,236 | ||||
UniFirst Corp. | 2,328 | 492,814 | ||||
US Ecology, Inc. | 5,461 | 198,398 | ||||
Viad Corp. | 3,554 | 128,548 | ||||
VSE Corp. | 1,580 | 60,814 | ||||
11,752,744 | ||||||
COMMUNICATIONS EQUIPMENT — 0.7% | ||||||
Acacia Communications, Inc. (a) | 6,000 | 437,760 | ||||
ADTRAN, Inc. | 8,337 | 123,138 | ||||
Applied Optoelectronics, Inc. (a) (b) | 3,497 | 29,759 | ||||
CalAmp Corp. (a) | 7,000 | 69,440 | ||||
Calix, Inc. (a) | 8,000 | 238,080 | ||||
Cambium Networks Corp. (a) | 900 | 22,572 | ||||
Casa Systems, Inc. (a) | 4,899 | 30,227 | ||||
Ciena Corp. (a) | 24,264 | 1,282,352 | ||||
Clearfield, Inc. (a) | 1,800 | 44,496 | ||||
CommScope Holding Co., Inc. (a) | 30,655 | 410,777 | ||||
Comtech Telecommunications Corp. | 4,298 | 88,926 | ||||
Digi International, Inc. (a) | 4,970 | 93,933 | ||||
DZS, Inc. (a) | 2,860 | 44,244 | ||||
EchoStar Corp. Class A (a) | 8,441 | 178,865 | ||||
Extreme Networks, Inc. (a) | 21,100 | 145,379 | ||||
Genasys, Inc. (a) | 7,600 | 49,552 | ||||
Harmonic, Inc. (a) | 16,700 | 123,413 | ||||
Infinera Corp. (a) (b) | 25,100 | 263,048 | ||||
Inseego Corp. (a) (b) | 12,217 | 188,997 | ||||
KVH Industries, Inc. (a) | 2,532 | 28,738 | ||||
Lumentum Holdings, Inc. (a) | �� | 11,882 | 1,126,414 | |||
NETGEAR, Inc. (a) | 5,189 | 210,829 | ||||
NetScout Systems, Inc. (a) | 10,907 | 299,070 | ||||
PC-Tel, Inc. (a) | 2,700 | 17,739 | ||||
Plantronics, Inc. (b) | 6,048 | 163,477 | ||||
Resonant, Inc. (a) | 7,500 | 19,875 | ||||
Ribbon Communications, Inc. (a) | 11,800 | 77,408 | ||||
Ubiquiti, Inc. | 1,314 | 365,962 | ||||
ViaSat, Inc. (a) (b) | 9,011 | 294,209 | ||||
Viavi Solutions, Inc. (a) | 35,700 | 534,608 | ||||
7,003,287 | ||||||
CONSTRUCTION & ENGINEERING — 0.7% | ||||||
AECOM (a) | 24,304 | 1,209,853 | ||||
Aegion Corp. (a) | 5,300 | 100,647 | ||||
Ameresco, Inc. Class A (a) | 4,300 | 224,632 | ||||
API Group Corp. (a) (b) (c) | 21,723 | 394,272 | ||||
Arcosa, Inc. | 7,589 | 416,864 | ||||
Argan, Inc. | 2,539 | 112,960 |
Security Description | Shares | Value | ||||
Comfort Systems USA, Inc. | 5,525 | $ 290,947 | ||||
Concrete Pumping Holdings, Inc. (a) | 4,031 | 15,439 | ||||
Construction Partners, Inc. Class A (a) | 4,598 | 133,848 | ||||
Dycom Industries, Inc. (a) | 4,752 | 358,871 | ||||
EMCOR Group, Inc. | 8,553 | 782,257 | ||||
Fluor Corp. | 21,809 | 348,290 | ||||
Granite Construction, Inc. (b) | 8,179 | 218,461 | ||||
Great Lakes Dredge & Dock Corp. (a) | 11,050 | 145,529 | ||||
HC2 Holdings, Inc. (a) | 12,358 | 40,287 | ||||
IES Holdings, Inc. (a) | 1,400 | 64,456 | ||||
MasTec, Inc. (a) | 8,876 | 605,166 | ||||
Matrix Service Co. (a) | 4,600 | 50,692 | ||||
MYR Group, Inc. (a) | 2,800 | 168,280 | ||||
Northwest Pipe Co. (a) | 2,100 | 59,430 | ||||
NV5 Global, Inc. (a) | 1,844 | 145,270 | ||||
Primoris Services Corp. | 8,354 | 230,654 | ||||
Sterling Construction Co., Inc. (a) | 4,800 | 89,328 | ||||
Tutor Perini Corp. (a) | 7,100 | 91,945 | ||||
Valmont Industries, Inc. | 3,270 | 572,021 | ||||
WillScot Mobile Mini Holdings Corp. (a) | 25,113 | 581,868 | ||||
7,452,267 | ||||||
CONSTRUCTION MATERIALS — 0.1% | ||||||
Eagle Materials, Inc. | 6,464 | 655,126 | ||||
Forterra, Inc. (a) | 5,104 | 87,763 | ||||
Summit Materials, Inc. Class A (a) | 17,712 | 355,657 | ||||
United States Lime & Minerals, Inc. | 321 | 36,594 | ||||
US Concrete, Inc. (a) | 2,739 | 109,478 | ||||
1,244,618 | ||||||
CONSUMER FINANCE — 0.7% | ||||||
Ally Financial, Inc. | 59,575 | 2,124,445 | ||||
Atlanticus Holdings Corp. (a) | 800 | 19,704 | ||||
Credit Acceptance Corp. (a) (b) | 1,528 | 528,902 | ||||
Curo Group Holdings Corp. | 2,930 | 41,987 | ||||
Encore Capital Group, Inc. (a) | 5,451 | 212,316 | ||||
Enova International, Inc. (a) | 6,000 | 148,620 | ||||
EZCORP, Inc. Class A (a) | 7,700 | 36,883 | ||||
FirstCash, Inc. | 6,315 | 442,303 | ||||
Green Dot Corp. Class A (a) | 8,000 | 446,400 | ||||
LendingClub Corp. (a) | 11,806 | 124,671 | ||||
LendingTree, Inc. (a) (b) | 1,699 | 465,169 | ||||
Navient Corp. | 28,204 | 276,963 | ||||
Nelnet, Inc. Class A | 3,042 | 216,712 | ||||
OneMain Holdings, Inc. | 10,223 | 492,340 | ||||
Oportun Financial Corp. (a) | 3,451 | 66,846 | ||||
PRA Group, Inc. (a) (b) | 6,972 | 276,510 | ||||
Prog Holdings, Inc. | 10,597 | 570,860 | ||||
Regional Management Corp. | 1,900 | 56,734 |
Security Description | Shares | Value | ||||
Santander Consumer USA Holdings, Inc. | 11,064 | $ 243,629 | ||||
SLM Corp. | 59,100 | 732,249 | ||||
World Acceptance Corp. (a) (b) | 771 | 78,812 | ||||
7,603,055 | ||||||
CONTAINERS & PACKAGING — 0.7% | ||||||
AptarGroup, Inc. | 10,239 | 1,401,617 | ||||
Ardagh Group SA | 3,200 | 55,072 | ||||
Berry Global Group, Inc. (a) | 21,063 | 1,183,530 | ||||
Crown Holdings, Inc. (a) | 20,710 | 2,075,142 | ||||
Graphic Packaging Holding Co. | 42,567 | 721,085 | ||||
Greif, Inc. Class A | 4,500 | 210,960 | ||||
Greif, Inc. Class B | 1,242 | 60,088 | ||||
Myers Industries, Inc. | 5,195 | 107,952 | ||||
O-I Glass, Inc. | 24,128 | 287,123 | ||||
Pactiv Evergreen, Inc. (a) | 6,900 | 125,166 | ||||
Ranpak Holdings Corp. (a) | 4,700 | 63,168 | ||||
Silgan Holdings, Inc. | 12,368 | 458,605 | ||||
Sonoco Products Co. | 15,895 | 941,779 | ||||
UFP Technologies, Inc. (a) | 1,100 | 51,260 | ||||
7,742,547 | ||||||
DISTRIBUTORS — 0.0% (d) | ||||||
Core-Mark Holding Co., Inc. | 7,752 | 227,676 | ||||
Funko, Inc. Class A (a) (b) | 3,950 | 41,001 | ||||
Greenlane Holdings, Inc. Class A (a) (b) | 1,600 | 6,336 | ||||
Weyco Group, Inc. | 943 | 14,937 | ||||
289,950 | ||||||
DIVERSIFIED CONSUMER SERVICES — 1.0% | ||||||
Adtalem Global Education, Inc. (a) | 7,974 | 270,717 | ||||
American Public Education, Inc. (a) | 2,500 | 76,200 | ||||
Aspen Group, Inc. (a) | 3,900 | 43,407 | ||||
Bright Horizons Family Solutions, Inc. (a) | 9,504 | 1,644,097 | ||||
Carriage Services, Inc. | 3,296 | 103,231 | ||||
Chegg, Inc. (a) | 19,300 | 1,743,369 | ||||
Collectors Universe, Inc. | 1,715 | 129,311 | ||||
Franchise Group, Inc. | 3,800 | 115,710 | ||||
frontdoor, Inc. (a) | 13,506 | 678,136 | ||||
Graham Holdings Co. Class B | 592 | 315,761 | ||||
Grand Canyon Education, Inc. (a) | 7,410 | 689,945 | ||||
H&R Block, Inc. | 30,200 | 478,972 | ||||
Houghton Mifflin Harcourt Co. (a) | 17,399 | 57,939 | ||||
Laureate Education, Inc. Class A (a) | 16,470 | 239,803 | ||||
OneSpaWorld Holdings, Ltd. (b) | 7,900 | 80,106 | ||||
Perdoceo Education Corp. (a) | 12,112 | 152,975 | ||||
Regis Corp. (a) (b) | 3,706 | 34,058 | ||||
Service Corp. International | 26,783 | 1,315,045 | ||||
Strategic Education, Inc. | 3,746 | 357,106 |
Security Description | Shares | Value | ||||
Stride, Inc. (a) | 7,005 | $ 148,716 | ||||
Terminix Global Holdings, Inc. (a) | 21,012 | 1,071,822 | ||||
Universal Technical Institute, Inc. (a) | 4,400 | 28,424 | ||||
Vivint Smart Home, Inc. (a) | 11,913 | 247,195 | ||||
WW International, Inc. (a) | 8,200 | 200,080 | ||||
10,222,125 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | ||||||
Alerus Financial Corp. | 2,576 | 70,505 | ||||
A-Mark Precious Metals, Inc. | 1,200 | 30,780 | ||||
Banco Latinoamericano de Comercio Exterior SA Class E | 5,400 | 85,482 | ||||
Cannae Holdings, Inc. (a) | 13,500 | 597,645 | ||||
Equitable Holdings, Inc. | 63,946 | 1,636,378 | ||||
GWG Holdings, Inc. (a) (b) | 500 | 3,495 | ||||
Jefferies Financial Group, Inc. | 34,100 | 838,860 | ||||
Marlin Business Services Corp. | 1,400 | 17,136 | ||||
SWK Holdings Corp. (a) | 500 | 7,195 | ||||
Voya Financial, Inc. | 19,941 | 1,172,730 | ||||
4,460,206 | ||||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | ||||||
Alaska Communications Systems Group, Inc. | 7,900 | 29,151 | ||||
Anterix, Inc. (a) | 2,307 | 86,743 | ||||
ATN International, Inc. | 1,857 | 77,548 | ||||
Bandwidth, Inc. Class A (a) (b) | 3,158 | 485,290 | ||||
Cincinnati Bell, Inc. (a) | 8,774 | 134,067 | ||||
Cogent Communications Holdings, Inc. | 6,596 | 394,902 | ||||
Consolidated Communications Holdings, Inc. (a) | 11,949 | 58,431 | ||||
IDT Corp. Class B (a) | 3,500 | 43,260 | ||||
Iridium Communications, Inc. (a) | 18,519 | 728,260 | ||||
Liberty Latin America, Ltd. Class C (a) | 23,800 | 263,942 | ||||
Ooma, Inc. (a) | 3,400 | 48,960 | ||||
ORBCOMM, Inc. (a) | 12,911 | 95,800 | ||||
Vonage Holdings Corp. (a) | 36,500 | 469,937 | ||||
2,916,291 | ||||||
ELECTRIC UTILITIES — 0.7% | ||||||
ALLETE, Inc. | 8,162 | 505,554 | ||||
Avangrid, Inc. | 8,900 | 404,505 | ||||
Genie Energy, Ltd. Class B | 2,198 | 15,848 | ||||
Hawaiian Electric Industries, Inc. | 16,883 | 597,490 | ||||
IDACORP, Inc. | 7,938 | 762,286 | ||||
MGE Energy, Inc. | 5,662 | 396,510 | ||||
OGE Energy Corp. | 31,743 | 1,011,332 | ||||
Otter Tail Corp. | 6,176 | 263,159 | ||||
PG&E Corp. (a) | 211,446 | 2,634,617 |
Security Description | Shares | Value | ||||
PNM Resources, Inc. | 12,451 | $ 604,247 | ||||
Portland General Electric Co. | 14,121 | 603,955 | ||||
Spark Energy, Inc. Class A (b) | 2,096 | 20,059 | ||||
7,819,562 | ||||||
ELECTRICAL EQUIPMENT — 1.4% | ||||||
Acuity Brands, Inc. | 5,857 | 709,224 | ||||
Allied Motion Technologies, Inc. | 1,262 | 64,488 | ||||
American Superconductor Corp. (a) | 4,700 | 110,074 | ||||
Array Technologies, Inc. (a) | 8,500 | 366,690 | ||||
Atkore International Group, Inc. (a) | 7,300 | 300,103 | ||||
AZZ, Inc. | 4,544 | 215,567 | ||||
Bloom Energy Corp. Class A (a) (b) | 13,776 | 394,820 | ||||
Encore Wire Corp. | 3,534 | 214,054 | ||||
EnerSys | 6,641 | 551,602 | ||||
FuelCell Energy, Inc. (a) (b) | 45,000 | 502,650 | ||||
Generac Holdings, Inc. (a) | 9,794 | 2,227,254 | ||||
GrafTech International, Ltd. | 11,950 | 127,387 | ||||
Hubbell, Inc. | 8,548 | 1,340,241 | ||||
LSI Industries, Inc. | 3,900 | 33,384 | ||||
nVent Electric PLC | 24,500 | 570,605 | ||||
Orion Energy Systems, Inc. (a) | 4,700 | 46,389 | ||||
Plug Power, Inc. (a) (b) | 59,413 | 2,014,695 | ||||
Powell Industries, Inc. | 1,400 | 41,286 | ||||
Preformed Line Products Co. | 500 | 34,220 | ||||
Regal Beloit Corp. | 6,451 | 792,247 | ||||
Sensata Technologies Holding PLC (a) | 24,528 | 1,293,607 | ||||
Sunrun, Inc. (a) | 23,789 | 1,650,481 | ||||
Thermon Group Holdings, Inc. (a) | 5,680 | 88,778 | ||||
TPI Composites, Inc. (a) | 4,700 | 248,066 | ||||
Ultralife Corp. (a) | 1,400 | 9,058 | ||||
Vertiv Holdings Co. | 34,600 | 645,982 | ||||
Vicor Corp. (a) | 2,976 | 274,447 | ||||
14,867,399 | ||||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.9% | ||||||
Akoustis Technologies, Inc. (a) (b) | 5,700 | 69,711 | ||||
Arlo Technologies, Inc. (a) | 13,817 | 107,634 | ||||
Arrow Electronics, Inc. (a) | 11,858 | 1,153,783 | ||||
Avnet, Inc. | 15,397 | 540,589 | ||||
Badger Meter, Inc. | 4,576 | 430,419 | ||||
Bel Fuse, Inc. Class B | 1,500 | 22,545 | ||||
Belden, Inc. | 6,763 | 283,370 | ||||
Benchmark Electronics, Inc. | 6,331 | 171,000 | ||||
Cognex Corp. | 26,701 | 2,143,690 | ||||
Coherent, Inc. (a) | 3,834 | 575,177 | ||||
CTS Corp. | 5,587 | 191,802 | ||||
Daktronics, Inc. | 5,745 | 26,887 | ||||
Dolby Laboratories, Inc. Class A | 9,979 | 969,260 | ||||
ePlus, Inc. (a) | 2,364 | 207,914 |
Security Description | Shares | Value | ||||
Fabrinet (a) | 5,700 | $ 442,263 | ||||
FARO Technologies, Inc. (a) | 3,088 | 218,105 | ||||
Fitbit, Inc. Class A (a) | 37,609 | 255,741 | ||||
II-VI, Inc. (a) (b) | 16,266 | 1,235,565 | ||||
Insight Enterprises, Inc. (a) | 5,378 | 409,212 | ||||
Intellicheck, Inc. (a) (b) | 2,900 | 33,074 | ||||
Iteris, Inc. (a) | 6,300 | 35,595 | ||||
Itron, Inc. (a) | 6,299 | 604,074 | ||||
Jabil, Inc. | 23,267 | 989,546 | ||||
Kimball Electronics, Inc. (a) | 4,244 | 67,862 | ||||
Knowles Corp. (a) | 13,568 | 250,058 | ||||
Littelfuse, Inc. | 3,750 | 954,975 | ||||
Luna Innovations, Inc. (a) | 4,800 | 47,424 | ||||
Methode Electronics, Inc. | 6,349 | 243,040 | ||||
MTS Systems Corp. | 3,332 | 193,789 | ||||
Napco Security Technologies, Inc. (a) | 1,878 | 49,241 | ||||
National Instruments Corp. | 20,448 | 898,485 | ||||
nLight, Inc. (a) | 6,188 | 202,038 | ||||
Novanta, Inc. (a) | 5,341 | 631,413 | ||||
OSI Systems, Inc. (a) | 2,540 | 236,779 | ||||
PAR Technology Corp. (a) (b) | 3,300 | 207,207 | ||||
PC Connection, Inc. | 1,960 | 92,688 | ||||
Plexus Corp. (a) | 4,400 | 344,124 | ||||
Powerfleet, Inc. (a) | 6,600 | 49,038 | ||||
Research Frontiers, Inc. (a) | 4,000 | 11,240 | ||||
Rogers Corp. (a) | 3,068 | 476,430 | ||||
Sanmina Corp. (a) | 9,875 | 314,914 | ||||
ScanSource, Inc. (a) | 4,409 | 116,309 | ||||
SYNNEX Corp. | 6,484 | 528,057 | ||||
Trimble, Inc. (a) | 39,836 | 2,659,850 | ||||
TTM Technologies, Inc. (a) | 17,400 | 240,033 | ||||
Vishay Intertechnology, Inc. | 20,645 | 427,558 | ||||
Vishay Precision Group, Inc. (a) | 2,500 | 78,700 | ||||
Wrap Technologies, Inc. (a) (b) | 1,500 | 7,245 | ||||
20,445,453 | ||||||
ENERGY EQUIPMENT & SERVICES — 0.3% | ||||||
Archrock, Inc. | 22,642 | 196,080 | ||||
Aspen Aerogels, Inc. (a) | 3,400 | 56,746 | ||||
Bristow Group, Inc. (a) | 1,033 | 27,188 | ||||
Cactus, Inc. Class A | 8,343 | 217,502 | ||||
ChampionX Corp. (a) | 28,900 | 442,170 | ||||
DMC Global, Inc. | 2,500 | 108,125 | ||||
Dril-Quip, Inc. (a) | 6,075 | 179,941 | ||||
Exterran Corp. (a) | 4,500 | 19,890 | ||||
Frank's International NV (a) | 31,300 | 85,762 | ||||
Helix Energy Solutions Group, Inc. (a) | 24,009 | 100,838 | ||||
Helmerich & Payne, Inc. | 16,300 | 377,508 | ||||
Liberty Oilfield Services, Inc. Class A | 12,900 | 132,999 | ||||
Nabors Industries, Ltd. | 1,227 | 71,448 | ||||
National Energy Services Reunited Corp. (a) (b) | 3,700 | 36,741 | ||||
Newpark Resources, Inc. (a) | 13,900 | 26,688 |
Security Description | Shares | Value | ||||
NexTier Oilfield Solutions, Inc. (a) | 28,198 | $ 97,001 | ||||
Oceaneering International, Inc. (a) | 17,281 | 137,384 | ||||
Oil States International, Inc. (a) | 10,466 | 52,539 | ||||
Patterson-UTI Energy, Inc. | 31,960 | 168,110 | ||||
ProPetro Holding Corp. (a) | 13,999 | 103,453 | ||||
RPC, Inc. (a) (b) | 9,010 | 28,381 | ||||
Select Energy Services, Inc. Class A (a) | 12,892 | 52,857 | ||||
Solaris Oilfield Infrastructure, Inc. Class A | 4,900 | 39,886 | ||||
Tidewater, Inc. (a) | 6,625 | 57,240 | ||||
Transocean, Ltd. (a) (b) | 101,989 | 235,595 | ||||
US Silica Holdings, Inc. | 14,488 | 101,706 | ||||
3,153,778 | ||||||
ENTERTAINMENT — 1.7% | ||||||
AMC Entertainment Holdings, Inc. Class A (b) | 13,466 | 28,548 | ||||
Cinemark Holdings, Inc. (b) | 16,438 | 286,185 | ||||
Eros STX Global Corp. (a) (b) | 28,247 | 51,409 | ||||
Gaia, Inc. (a) | 2,000 | 19,760 | ||||
Glu Mobile, Inc. (a) | 25,500 | 229,755 | ||||
IMAX Corp. (a) | 8,633 | 155,567 | ||||
Liberty Media Corp.-Liberty Braves Class A (a) | 2,238 | 55,659 | ||||
Liberty Media Corp.-Liberty Braves Class C (a) | 6,375 | 158,610 | ||||
Liberty Media Corp.-Liberty Formula One Class A (a) | 4,401 | 167,194 | ||||
Liberty Media Corp.-Liberty Formula One Class C (a) | 31,486 | 1,341,304 | ||||
Lions Gate Entertainment Corp. Class A (a) (b) | 10,424 | 118,521 | ||||
Lions Gate Entertainment Corp. Class B (a) | 20,289 | 210,600 | ||||
LiveXLive Media, Inc. (a) (b) | 7,399 | 24,269 | ||||
Madison Square Garden Entertainment Corp. (a) | 2,860 | 300,414 | ||||
Madison Square Garden Sports Corp. (a) | 2,906 | 534,995 | ||||
Marcus Corp. | 3,537 | 47,679 | ||||
Roku, Inc. (a) | 17,450 | 5,793,749 | ||||
Spotify Technology SA (a) | 20,938 | 6,588,351 | ||||
World Wrestling Entertainment, Inc. Class A (b) | 7,142 | 343,173 | ||||
Zynga, Inc. Class A (a) | 141,132 | 1,392,973 | ||||
17,848,715 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 6.2% | ||||||
Acadia Realty Trust REIT | 14,747 | 209,260 | ||||
Agree Realty Corp. REIT (b) | 8,556 | 569,658 | ||||
Alexander & Baldwin, Inc. REIT (a) | 12,538 | 215,403 | ||||
Alexander's, Inc. REIT | 253 | 70,170 |
Security Description | Shares | Value | |||
Alpine Income Property Trust, Inc. REIT | 1,000 | $ 14,990 | |||
American Assets Trust, Inc. REIT | 7,617 | 219,979 | |||
American Campus Communities, Inc. REIT | 21,710 | 928,537 | |||
American Finance Trust, Inc. REIT | 19,044 | 141,497 | |||
American Homes 4 Rent Class A REIT | 43,397 | 1,301,910 | |||
Americold Realty Trust REIT (b) | 32,300 | 1,205,759 | |||
Apartment Income REIT Corp. (a) | 23,500 | 902,635 | |||
Apartment Investment & Management Co. Class A REIT | 26,000 | 137,280 | |||
Apple Hospitality REIT, Inc. | 32,800 | 423,448 | |||
Armada Hoffler Properties, Inc. REIT | 11,100 | 124,542 | |||
Bluerock Residential Growth REIT, Inc. (b) | 4,000 | 50,680 | |||
Brandywine Realty Trust REIT | 26,100 | 310,851 | |||
Brixmor Property Group, Inc. REIT | 46,848 | 775,334 | |||
Broadstone Net Lease, Inc. Class A | 6,200 | 121,396 | |||
Brookfield Property REIT, Inc. Class A (b) | 7,400 | 110,556 | |||
BRT Apartments Corp. REIT | 1,700 | 25,840 | |||
Camden Property Trust REIT | 15,038 | 1,502,597 | |||
CareTrust REIT, Inc. | 14,728 | 326,667 | |||
CatchMark Timber Trust, Inc. Class A REIT | 8,500 | 79,560 | |||
Centerspace REIT | 2,265 | 160,000 | |||
Chatham Lodging Trust REIT | 8,060 | 87,048 | |||
CIM Commercial Trust Corp. REIT | 1,800 | 25,632 | |||
City Office REIT, Inc. | 8,700 | 84,999 | |||
Clipper Realty, Inc. REIT | 2,293 | 16,166 | |||
Colony Capital, Inc. REIT (b) | 74,318 | 357,470 | |||
Columbia Property Trust, Inc. REIT | 17,494 | 250,864 | |||
Community Healthcare Trust, Inc. REIT | 3,847 | 181,232 | |||
CoreCivic, Inc. REIT (b) | 20,825 | 136,404 | |||
CorEnergy Infrastructure Trust, Inc. REIT (b) | 2,060 | 14,111 | |||
CorePoint Lodging, Inc. REIT | 6,280 | 43,206 | |||
CoreSite Realty Corp. REIT | 6,399 | 801,667 | |||
Corporate Office Properties Trust REIT | 17,600 | 459,008 | |||
Cousins Properties, Inc. REIT | 23,449 | 785,541 | |||
CTO Realty Growth, Inc. | 1,245 | 52,489 | |||
CubeSmart REIT | 30,625 | 1,029,306 | |||
CyrusOne, Inc. REIT | 19,115 | 1,398,262 | |||
DiamondRock Hospitality Co. REIT | 30,600 | 252,450 |
Security Description | Shares | Value | |||
Diversified Healthcare Trust REIT | 41,377 | $ 170,473 | |||
Douglas Emmett, Inc. REIT | 26,337 | 768,514 | |||
Easterly Government Properties, Inc. REIT | 12,500 | 283,125 | |||
EastGroup Properties, Inc. REIT | 6,164 | 851,002 | |||
Empire State Realty Trust, Inc. Class A REIT (b) | 25,224 | 235,088 | |||
EPR Properties REIT | 11,549 | 375,342 | |||
Equity Commonwealth REIT | 18,281 | 498,706 | |||
Equity LifeStyle Properties, Inc. REIT | 27,668 | 1,753,044 | |||
Essential Properties Realty Trust, Inc. REIT | 16,113 | 341,596 | |||
Farmland Partners, Inc. REIT (b) | 4,300 | 37,410 | |||
First Industrial Realty Trust, Inc. REIT | 20,315 | 855,871 | |||
Four Corners Property Trust, Inc. REIT | 11,409 | 339,646 | |||
Franklin Street Properties Corp. REIT | 18,083 | 79,023 | |||
Front Yard Residential Corp. REIT | 8,727 | 141,377 | |||
Gaming and Leisure Properties, Inc. REIT | 34,564 | 1,465,514 | |||
GEO Group, Inc. REIT (b) | 20,580 | 182,339 | |||
Getty Realty Corp. REIT | 6,074 | 167,278 | |||
Gladstone Commercial Corp. REIT | 5,830 | 104,940 | |||
Gladstone Land Corp. REIT | 3,700 | 54,168 | |||
Global Medical REIT, Inc. | 7,700 | 100,562 | |||
Global Net Lease, Inc. REIT | 13,782 | 236,223 | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT (b) | 11,497 | 729,255 | |||
Healthcare Realty Trust, Inc. REIT | 21,182 | 626,987 | |||
Healthcare Trust of America, Inc. Class A REIT | 34,470 | 949,304 | |||
Hersha Hospitality Trust REIT | 5,376 | 42,417 | |||
Highwoods Properties, Inc. REIT | 16,170 | 640,817 | |||
Hudson Pacific Properties, Inc. REIT | 23,637 | 567,761 | |||
Independence Realty Trust, Inc. REIT | 16,473 | 221,232 | |||
Industrial Logistics Properties Trust REIT | 9,928 | 231,223 | |||
Innovative Industrial Properties, Inc. REIT (b) | 3,429 | 627,953 | |||
Invitation Homes, Inc. REIT | 89,619 | 2,661,684 | |||
iStar, Inc. REIT (b) | 12,475 | 185,254 | |||
JBG SMITH Properties REIT | 19,143 | 598,602 | |||
Kilroy Realty Corp. REIT | 18,240 | 1,046,976 | |||
Kite Realty Group Trust REIT | 14,529 | 217,354 | |||
Lamar Advertising Co. Class A REIT | 13,674 | 1,137,950 |
Security Description | Shares | Value | |||
Lexington Realty Trust REIT | 42,600 | $ 452,412 | |||
Life Storage, Inc. REIT | 7,705 | 919,900 | |||
LTC Properties, Inc. REIT | 5,924 | 230,503 | |||
Macerich Co. REIT (b) | 22,858 | 243,895 | |||
Mack-Cali Realty Corp. REIT | 15,147 | 188,732 | |||
Medical Properties Trust, Inc. REIT | 84,712 | 1,845,874 | |||
Monmouth Real Estate Investment Corp. REIT | 14,479 | 250,776 | |||
National Health Investors, Inc. REIT | 6,745 | 466,552 | |||
National Retail Properties, Inc. REIT | 27,513 | 1,125,832 | |||
National Storage Affiliates Trust REIT | 9,700 | 349,491 | |||
NETSTREIT Corp. | 2,300 | 44,827 | |||
New Senior Investment Group, Inc. REIT | 14,307 | 74,110 | |||
NexPoint Residential Trust, Inc. REIT | 3,848 | 162,809 | |||
Office Properties Income Trust REIT | 8,327 | 189,189 | |||
Omega Healthcare Investors, Inc. REIT | 35,752 | 1,298,513 | |||
One Liberty Properties, Inc. REIT | 3,338 | 66,994 | |||
Outfront Media, Inc. REIT | 22,467 | 439,454 | |||
Paramount Group, Inc. REIT | 29,153 | 263,543 | |||
Park Hotels & Resorts, Inc. REIT | 37,034 | 635,133 | |||
Pebblebrook Hotel Trust REIT | 20,157 | 378,952 | |||
Physicians Realty Trust REIT | 32,717 | 582,363 | |||
Piedmont Office Realty Trust, Inc. Class A REIT | 19,505 | 316,566 | |||
Plymouth Industrial REIT, Inc. | 4,300 | 64,500 | |||
PotlatchDeltic Corp. REIT | 10,228 | 511,605 | |||
Preferred Apartment Communities, Inc. Class A REIT | 7,697 | 56,958 | |||
PS Business Parks, Inc. REIT | 3,110 | 413,226 | |||
QTS Realty Trust, Inc. Class A REIT (b) | 10,001 | 618,862 | |||
Rayonier, Inc. REIT | 20,809 | 611,368 | |||
Retail Opportunity Investments Corp. REIT | 17,600 | 235,664 | |||
Retail Properties of America, Inc. Class A REIT | 32,903 | 281,650 | |||
Retail Value, Inc. REIT | 2,650 | 39,405 | |||
Rexford Industrial Realty, Inc. REIT | 19,569 | 961,034 | |||
RLJ Lodging Trust REIT | 25,455 | 360,188 | |||
RPT Realty REIT | 14,100 | 121,965 | |||
Ryman Hospitality Properties, Inc. REIT | 7,927 | 537,133 | |||
Sabra Health Care REIT, Inc. | 32,155 | 558,532 | |||
Safehold, Inc. REIT (b) | 3,147 | 228,126 | |||
Saul Centers, Inc. REIT | 2,112 | 66,908 |
Security Description | Shares | Value | ||||
Seritage Growth Properties Class A REIT (a) (b) | 5,738 | $ 84,234 | ||||
Service Properties Trust REIT | 25,174 | 289,249 | ||||
SITE Centers Corp. REIT | 23,401 | 236,818 | ||||
Spirit Realty Capital, Inc. REIT | 17,175 | 689,920 | ||||
STAG Industrial, Inc. REIT | 23,550 | 737,586 | ||||
STORE Capital Corp. REIT | 38,393 | 1,304,594 | ||||
Summit Hotel Properties, Inc. REIT | 18,000 | 162,180 | ||||
Sun Communities, Inc. REIT | 16,920 | 2,570,994 | ||||
Sunstone Hotel Investors, Inc. REIT | 33,319 | 377,504 | ||||
Tanger Factory Outlet Centers, Inc. REIT (b) | 15,787 | 157,239 | ||||
Terreno Realty Corp. REIT | 10,424 | 609,908 | ||||
UMH Properties, Inc. REIT | 6,500 | 96,265 | ||||
Uniti Group, Inc. REIT | 29,870 | 350,375 | ||||
Universal Health Realty Income Trust REIT | 2,188 | 140,623 | ||||
Urban Edge Properties REIT | 20,200 | 261,388 | ||||
Urstadt Biddle Properties, Inc. Class A REIT | 4,940 | 69,802 | ||||
VEREIT, Inc. | 34,761 | 1,313,618 | ||||
VICI Properties, Inc. REIT | 85,265 | 2,174,257 | ||||
Washington Real Estate Investment Trust | 12,702 | 274,744 | ||||
Weingarten Realty Investors REIT | 18,948 | 410,603 | ||||
Whitestone REIT | 6,400 | 51,008 | ||||
WP Carey, Inc. REIT | 27,766 | 1,959,724 | ||||
Xenia Hotels & Resorts, Inc. REIT | 17,400 | 264,480 | ||||
66,211,071 | ||||||
FOOD & STAPLES RETAILING — 0.6% | ||||||
Albertsons Cos., Inc. Class A (a) (b) | 7,900 | 138,882 | ||||
Andersons, Inc. | 5,485 | 134,437 | ||||
BJ's Wholesale Club Holdings, Inc. (a) | 21,500 | 801,520 | ||||
Casey's General Stores, Inc. | 5,797 | 1,035,460 | ||||
Chefs' Warehouse, Inc. (a) | 5,300 | 136,157 | ||||
Grocery Outlet Holding Corp. (a) | 11,445 | 449,216 | ||||
HF Foods Group, Inc. (a) | 5,700 | 42,864 | ||||
Ingles Markets, Inc. Class A | 2,456 | 104,773 | ||||
Natural Grocers by Vitamin Cottage, Inc. | 1,400 | 19,236 | ||||
Performance Food Group Co. (a) | 20,611 | 981,290 | ||||
PriceSmart, Inc. | 3,491 | 317,995 | ||||
Rite Aid Corp. (a) (b) | 9,566 | 151,430 | ||||
SpartanNash Co. | 6,209 | 108,099 | ||||
Sprouts Farmers Market, Inc. (a) | 18,375 | 369,338 | ||||
United Natural Foods, Inc. (a) | 9,499 | 151,699 | ||||
US Foods Holding Corp. (a) | 34,854 | 1,160,987 |
Security Description | Shares | Value | ||||
Village Super Market, Inc. Class A | 1,969 | $ 43,436 | ||||
Weis Markets, Inc. | 1,615 | 77,213 | ||||
6,224,032 | ||||||
FOOD PRODUCTS — 1.1% | ||||||
Alico, Inc. | 800 | 24,816 | ||||
B&G Foods, Inc. (b) | 9,800 | 271,754 | ||||
Beyond Meat, Inc. (a) (b) | 8,287 | 1,035,875 | ||||
Bridgford Foods Corp. (a) | 300 | 5,466 | ||||
Bunge, Ltd. | 21,541 | 1,412,659 | ||||
Calavo Growers, Inc. | 2,834 | 196,765 | ||||
Cal-Maine Foods, Inc. (a) | 6,462 | 242,583 | ||||
Darling Ingredients, Inc. (a) | 25,500 | 1,470,840 | ||||
Farmer Brothers Co. (a) | 2,625 | 12,259 | ||||
Flowers Foods, Inc. | 30,731 | 695,443 | ||||
Fresh Del Monte Produce, Inc. | 5,447 | 131,109 | ||||
Freshpet, Inc. (a) | 6,064 | 861,027 | ||||
Hain Celestial Group, Inc. (a) | 13,301 | 534,035 | ||||
Hostess Brands, Inc. (a) | 19,200 | 281,088 | ||||
Ingredion, Inc. | 10,595 | 833,509 | ||||
J&J Snack Foods Corp. | 2,349 | 364,964 | ||||
John B Sanfilippo & Son, Inc. | 1,470 | 115,924 | ||||
Laird Superfood, Inc. (a) | 500 | 23,660 | ||||
Lancaster Colony Corp. | 2,921 | 536,675 | ||||
Landec Corp. (a) | 4,100 | 44,485 | ||||
Limoneira Co. | 3,600 | 59,940 | ||||
Mission Produce, Inc. (a) | 1,300 | 19,565 | ||||
Pilgrim's Pride Corp. (a) | 9,121 | 178,863 | ||||
Post Holdings, Inc. (a) | 10,110 | 1,021,211 | ||||
Sanderson Farms, Inc. | 3,150 | 416,430 | ||||
Seaboard Corp. | 45 | 136,395 | ||||
Seneca Foods Corp. Class A (a) | 1,049 | 41,855 | ||||
Simply Good Foods Co. (a) | 13,200 | 413,952 | ||||
Tootsie Roll Industries, Inc. (b) | 3,191 | 94,773 | ||||
TreeHouse Foods, Inc. (a) | 8,781 | 373,105 | ||||
Vital Farms, Inc. (a) | 1,700 | 43,027 | ||||
11,894,052 | ||||||
GAS UTILITIES — 0.5% | ||||||
Brookfield Infrastructure Corp. Class A (b) | 4,882 | 352,969 | ||||
Chesapeake Utilities Corp. | 2,621 | 283,618 | ||||
National Fuel Gas Co. | 13,670 | 562,247 | ||||
New Jersey Resources Corp. | 14,844 | 527,704 | ||||
Northwest Natural Holding Co. | 4,660 | 214,313 | ||||
ONE Gas, Inc. | 8,221 | 631,126 | ||||
RGC Resources, Inc. | 1,200 | 28,536 | ||||
South Jersey Industries, Inc. | 15,562 | 335,361 | ||||
Southwest Gas Holdings, Inc. | 8,739 | 530,894 | ||||
Spire, Inc. | 7,839 | 502,010 | ||||
UGI Corp. | 33,035 | 1,154,904 | ||||
5,123,682 |
Security Description | Shares | Value | ||||
HEALTH CARE EQUIPMENT & SUPPLIES — 2.8% | ||||||
Accelerate Diagnostics, Inc. (a) (b) | 5,000 | $ 37,900 | ||||
Accuray, Inc. (a) (b) | 14,721 | 61,387 | ||||
Acutus Medical, Inc. (a) | 1,600 | 46,096 | ||||
Alphatec Holdings, Inc. (a) (b) | 9,600 | 139,392 | ||||
AngioDynamics, Inc. (a) | 6,397 | 98,066 | ||||
Antares Pharma, Inc. (a) (b) | 28,600 | 114,114 | ||||
Apyx Medical Corp. (a) | 5,195 | 37,404 | ||||
Aspira Women's Health, Inc. (a) (b) | 13,800 | 92,598 | ||||
AtriCure, Inc. (a) | 6,800 | 378,556 | ||||
Atrion Corp. | 246 | 157,991 | ||||
Avanos Medical, Inc. (a) | 7,400 | 339,512 | ||||
AxoGen, Inc. (a) (b) | 6,300 | 112,770 | ||||
Axonics Modulation Technologies, Inc. (a) (b) | 4,363 | 217,801 | ||||
Bellerophon Therapeutics, Inc. (a) | 500 | 3,335 | ||||
Beyond Air, Inc. (a) (b) | 2,000 | 10,540 | ||||
BioLife Solutions, Inc. (a) | 2,420 | 96,534 | ||||
BioSig Technologies, Inc. (a) (b) | 3,900 | 15,210 | ||||
Cantel Medical Corp. | 5,917 | 466,615 | ||||
Cardiovascular Systems, Inc. (a) | 6,050 | 264,748 | ||||
Cerus Corp. (a) | 28,609 | 197,974 | ||||
Chembio Diagnostics, Inc. (a) (b) | 3,000 | 14,250 | ||||
Co-Diagnostics, Inc. (a) (b) | 4,300 | 39,990 | ||||
CONMED Corp. | 4,248 | 475,776 | ||||
CryoLife, Inc. (a) | 6,600 | 155,826 | ||||
CryoPort, Inc. (a) (b) | 5,300 | 232,564 | ||||
Cutera, Inc. (a) | 3,500 | 84,385 | ||||
CytoSorbents Corp. (a) (b) | 6,660 | 53,080 | ||||
Eargo, Inc. (a) | 1,400 | 62,748 | ||||
Electromed, Inc. (a) | 1,100 | 10,791 | ||||
Envista Holdings Corp. (a) | 25,259 | 851,986 | ||||
FONAR Corp. (a) | 1,000 | 17,360 | ||||
GenMark Diagnostics, Inc. (a) | 12,100 | 176,660 | ||||
Glaukos Corp. (a) (b) | 6,686 | 503,188 | ||||
Globus Medical, Inc. Class A (a) | 11,932 | 778,205 | ||||
Haemonetics Corp. (a) | 7,861 | 933,494 | ||||
Heska Corp. (a) (b) | 1,246 | 181,480 | ||||
Hill-Rom Holdings, Inc. | 10,536 | 1,032,212 | ||||
ICU Medical, Inc. (a) | 3,108 | 666,635 | ||||
Inari Medical, Inc. (a) | 1,300 | 113,477 | ||||
Inogen, Inc. (a) | 3,192 | 142,618 | ||||
Insulet Corp. (a) | 10,498 | 2,683,604 | ||||
Integer Holdings Corp. (a) | 5,083 | 412,689 | ||||
Integra LifeSciences Holdings Corp. (a) | 11,293 | 733,141 | ||||
Intersect ENT, Inc. (a) | 5,630 | 128,927 | ||||
IntriCon Corp. (a) | 1,323 | 23,946 | ||||
Invacare Corp. | 5,900 | 52,805 | ||||
iRadimed Corp. (a) (b) | 900 | 20,520 | ||||
iRhythm Technologies, Inc. (a) | 4,563 | 1,082,389 |
Security Description | Shares | Value | ||||
Lantheus Holdings, Inc. (a) | 11,561 | $ 155,958 | ||||
LeMaitre Vascular, Inc. | 2,900 | 117,450 | ||||
LENSAR, Inc. (a) | 1,203 | 8,722 | ||||
LivaNova PLC (a) | 7,650 | 506,506 | ||||
Masimo Corp. (a) | 7,815 | 2,097,390 | ||||
Meridian Bioscience, Inc. (a) | 7,371 | 137,764 | ||||
Merit Medical Systems, Inc. (a) | 8,400 | 466,284 | ||||
Mesa Laboratories, Inc. | 825 | 236,478 | ||||
Milestone Scientific, Inc. (a) | 7,000 | 14,840 | ||||
Misonix, Inc. (a) | 1,800 | 22,500 | ||||
Natus Medical, Inc. (a) | 5,873 | 117,695 | ||||
Nemaura Medical, Inc. (a) (b) | 1,000 | 3,770 | ||||
Neogen Corp. (a) | 8,310 | 658,983 | ||||
Nevro Corp. (a) | 5,358 | 927,470 | ||||
Novocure, Ltd. (a) | 16,104 | 2,786,636 | ||||
NuVasive, Inc. (a) | 7,980 | 449,513 | ||||
OraSure Technologies, Inc. (a) | 12,400 | 131,254 | ||||
Orthofix Medical, Inc. (a) | 3,260 | 140,115 | ||||
OrthoPediatrics Corp. (a) (b) | 1,568 | 64,680 | ||||
Outset Medical, Inc. (a) | 1,700 | 96,628 | ||||
PAVmed, Inc. (a) (b) | 5,500 | 11,660 | ||||
Penumbra, Inc. (a) (b) | 5,259 | 920,325 | ||||
Pulmonx Corp. (a) | 2,000 | 138,040 | ||||
Pulse Biosciences, Inc. (a) (b) | 2,158 | 51,490 | ||||
Quidel Corp. (a) | 5,859 | 1,052,569 | ||||
Quotient, Ltd. (a) (b) | 12,600 | 65,646 | ||||
Repro-Med Systems, Inc. (a) (b) | 4,300 | 25,886 | ||||
Retractable Technologies, Inc. (a) (b) | 2,000 | 21,480 | ||||
Rockwell Medical, Inc. (a) | 10,200 | 10,302 | ||||
SeaSpine Holdings Corp. (a) | 5,300 | 92,485 | ||||
Shockwave Medical, Inc. (a) (b) | 4,387 | 455,020 | ||||
SI-BONE, Inc. (a) | 5,060 | 151,294 | ||||
Sientra, Inc. (a) (b) | 10,800 | 42,012 | ||||
Silk Road Medical, Inc. (a) | 4,169 | 262,564 | ||||
Solition, Inc. (a) | 995 | 7,642 | ||||
STAAR Surgical Co. (a) | 7,142 | 565,789 | ||||
Stereotaxis, Inc. (a) (b) | 10,000 | 50,900 | ||||
Surgalign Holdings, Inc. (a) | 9,018 | 19,749 | ||||
Surmodics, Inc. (a) | 2,581 | 112,325 | ||||
Tactile Systems Technology, Inc. (a) | 3,200 | 143,808 | ||||
Tandem Diabetes Care, Inc. (a) | 9,591 | 917,667 | ||||
Tela Bio, Inc. (a) | 1,100 | 16,544 | ||||
TransMedics Group, Inc. (a) (b) | 5,000 | 99,500 | ||||
Utah Medical Products, Inc. | 740 | 62,382 | ||||
Vapotherm, Inc. (a) (b) | 3,400 | 91,324 | ||||
Varex Imaging Corp. (a) | 6,700 | 111,756 | ||||
Venus Concept, Inc. (a) | 2,800 | 4,844 | ||||
ViewRay, Inc. (a) (b) | 19,477 | 74,402 | ||||
VolitionRX, Ltd. (a) (b) | 3,600 | 14,004 | ||||
Zynex, Inc. (a) | 3,100 | 41,726 | ||||
29,329,060 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 1.9% | ||||||
1Life Healthcare, Inc. (a) (b) | 12,300 | 536,895 |
Security Description | Shares | Value | |||
Acadia Healthcare Co., Inc. (a) | 13,882 | $ 697,709 | |||
AdaptHealth Corp. (a) | 4,400 | 165,264 | |||
Addus HomeCare Corp. (a) | 2,316 | 271,180 | |||
Amedisys, Inc. (a) | 5,052 | 1,481,903 | |||
American Renal Associates Holdings, Inc. (a) | 2,300 | 26,335 | |||
AMN Healthcare Services, Inc. (a) | 7,248 | 494,676 | |||
Apollo Medical Holdings, Inc. (a) | 3,273 | 59,798 | |||
Avalon GloboCare Corp. (a) (b) | 3,520 | 3,942 | |||
Biodesix, Inc. (a) | 500 | 10,080 | |||
BioTelemetry, Inc. (a) | 5,200 | 374,816 | |||
Brookdale Senior Living, Inc. (a) | 32,041 | 141,942 | |||
Castle Biosciences, Inc. (a) (b) | 2,100 | 141,015 | |||
Chemed Corp. | 2,467 | 1,313,949 | |||
Community Health Systems, Inc. (a) | 14,867 | 110,462 | |||
CorVel Corp. (a) | 1,560 | 165,360 | |||
Covetrus, Inc. (a) | 18,180 | 522,493 | |||
Cross Country Healthcare, Inc. (a) | 6,258 | 55,509 | |||
Encompass Health Corp. | 15,603 | 1,290,212 | |||
Ensign Group, Inc. | 8,070 | 588,464 | |||
Enzo Biochem, Inc. (a) | 7,000 | 17,640 | |||
Exagen, Inc. (a) (b) | 600 | 7,920 | |||
Five Star Senior Living, Inc. (a) | 2,900 | 20,010 | |||
Fulgent Genetics, Inc. (a) | 2,400 | 125,040 | |||
Guardant Health, Inc. (a) | 13,100 | 1,688,328 | |||
Hanger, Inc. (a) | 6,450 | 141,836 | |||
HealthEquity, Inc. (a) | 11,863 | 826,970 | |||
InfuSystem Holdings, Inc. (a) | 2,600 | 48,828 | |||
Joint Corp (a) (b) | 2,150 | 56,459 | |||
LHC Group, Inc. (a) | 4,820 | 1,028,202 | |||
Magellan Health, Inc. (a) | 3,695 | 306,094 | |||
MEDNAX, Inc. (a) | 11,474 | 281,572 | |||
Molina Healthcare, Inc. (a) | 9,380 | 1,994,938 | |||
National HealthCare Corp. | 2,141 | 142,184 | |||
National Research Corp. | 2,400 | 102,600 | |||
Oak Street Health, Inc. (a) | 4,000 | 244,640 | |||
Ontrack,Inc. (a) (b) | 1,338 | 82,675 | |||
Option Care Health, Inc. (a) | 7,650 | 119,646 | |||
Owens & Minor, Inc. | 11,219 | 303,474 | |||
Patterson Cos., Inc. (b) | 13,200 | 391,116 | |||
PetIQ, Inc. (a) (b) | 3,709 | 142,611 | |||
Premier, Inc. Class A | 19,145 | 671,990 | |||
Progyny, Inc. (a) | 4,700 | 199,233 | |||
Providence Service Corp. (a) | 1,890 | 262,011 | |||
R1 RCM, Inc. (a) | 16,887 | 405,626 | |||
RadNet, Inc. (a) | 7,576 | 148,262 | |||
Select Medical Holdings Corp. (a) | 16,934 | 468,394 | |||
Sharps Compliance Corp. (a) (b) | 2,200 | 20,790 | |||
Surgery Partners, Inc. (a) | 3,971 | 115,199 | |||
Tenet Healthcare Corp. (a) | 16,369 | 653,614 | |||
The Pennant Group, Inc. (a) | 3,717 | 215,809 | |||
Tivity Health, Inc. (a) (b) | 7,597 | 148,825 |
Security Description | Shares | Value | ||||
Triple-S Management Corp. Class B (a) | 3,935 | $ 84,012 | ||||
US Physical Therapy, Inc. | 1,922 | 231,121 | ||||
Viemed Healthcare, Inc. (a) | 5,600 | 43,456 | ||||
20,193,129 | ||||||
HEALTH CARE TECHNOLOGY — 1.4% | ||||||
Accolade, Inc. (a) | 2,300 | 100,050 | ||||
Allscripts Healthcare Solutions, Inc. (a) | 24,312 | 351,065 | ||||
American Well Corp. Class A (a) | 7,900 | 200,107 | ||||
Change Healthcare, Inc. (a) | 38,300 | 714,295 | ||||
Computer Programs & Systems, Inc. | 2,204 | 59,155 | ||||
Evolent Health, Inc. Class A (a) | 13,165 | 211,035 | ||||
Health Catalyst, Inc. (a) (b) | 5,100 | 222,003 | ||||
HealthStream, Inc. (a) | 4,499 | 98,258 | ||||
HMS Holdings Corp. (a) | 13,741 | 504,982 | ||||
iCAD, Inc. (a) (b) | 3,500 | 46,200 | ||||
Inovalon Holdings, Inc. Class A (a) | 13,000 | 236,210 | ||||
Inspire Medical Systems, Inc. (a) | 4,110 | 773,050 | ||||
NantHealth, Inc. (a) (b) | 4,100 | 13,243 | ||||
NextGen Healthcare, Inc. (a) | 9,700 | 176,928 | ||||
Omnicell, Inc. (a) | 6,664 | 799,813 | ||||
OptimizeRx Corp. (a) (b) | 2,596 | 80,891 | ||||
Phreesia, Inc. (a) | 5,100 | 276,726 | ||||
Schrodinger, Inc. (a) (b) | 4,708 | 372,779 | ||||
Simulations Plus, Inc. | 2,397 | 172,392 | ||||
Tabula Rasa HealthCare, Inc. (a) (b) | 3,665 | 157,009 | ||||
Teladoc Health, Inc. (a) (b) | 17,186 | 3,436,513 | ||||
Veeva Systems, Inc. Class A (a) | 21,638 | 5,890,946 | ||||
Vocera Communications, Inc. (a) | 5,634 | 233,980 | ||||
15,127,630 | ||||||
HOTELS, RESTAURANTS & LEISURE — 2.5% | ||||||
Accel Entertainment, Inc. (a) | 8,800 | 88,880 | ||||
Aramark | 36,351 | 1,398,787 | ||||
Bally's Corp. | 3,128 | 157,119 | ||||
Biglari Holdings, Inc. Class A (a) | 10 | 5,850 | ||||
Biglari Holdings, Inc. Class B (a) | 136 | 15,123 | ||||
BJ's Restaurants, Inc. | 3,806 | 146,493 | ||||
Bloomin' Brands, Inc. | 13,393 | 260,092 | ||||
Bluegreen Vacations Corp. (b) | 1,074 | 8,528 | ||||
Bluegreen Vacations Holding Corp. | 2,000 | 27,060 | ||||
Boyd Gaming Corp. | 12,698 | 544,998 | ||||
Brinker International, Inc. | 6,930 | 392,030 | ||||
Caesars Entertainment, Inc. (a) | 28,523 | 2,118,403 | ||||
Carrols Restaurant Group, Inc. (a) | 5,500 | 34,540 | ||||
Century Casinos, Inc. (a) | 4,261 | 27,228 | ||||
Cheesecake Factory, Inc. (b) | 7,355 | 272,576 | ||||
Choice Hotels International, Inc. | 5,456 | 582,319 |
Security Description | Shares | Value | |||
Churchill Downs, Inc. | 5,960 | $ 1,160,948 | |||
Chuy's Holdings, Inc. (a) | 3,453 | 91,470 | |||
Cracker Barrel Old Country Store, Inc. | 3,731 | 492,194 | |||
Dave & Buster's Entertainment, Inc. (b) | 7,716 | 231,634 | |||
Del Taco Restaurants, Inc. (a) | 4,900 | 44,394 | |||
Denny's Corp. (a) | 10,841 | 159,146 | |||
Dine Brands Global, Inc. (b) | 2,730 | 158,340 | |||
El Pollo Loco Holdings, Inc. (a) | 3,000 | 54,300 | |||
Everi Holdings, Inc. (a) | 14,295 | 197,414 | |||
Extended Stay America, Inc. | 27,600 | 408,756 | |||
Fiesta Restaurant Group, Inc. (a) | 2,897 | 33,026 | |||
GAN, Ltd. (a) (b) | 4,200 | 85,176 | |||
Golden Entertainment, Inc. (a) | 2,925 | 58,178 | |||
Hilton Grand Vacations, Inc. (a) | 13,271 | 416,046 | |||
Hyatt Hotels Corp. Class A | 5,459 | 405,331 | |||
International Game Technology PLC (b) | 15,235 | 258,081 | |||
Jack in the Box, Inc. | 3,497 | 324,522 | |||
Kura Sushi USA, Inc. Class A (a) (b) | 600 | 11,700 | |||
Lindblad Expeditions Holdings, Inc. (a) (b) | 4,189 | 71,716 | |||
Marriott Vacations Worldwide Corp. | 6,340 | 869,975 | |||
Monarch Casino & Resort, Inc. (a) | 2,200 | 134,684 | |||
Nathan's Famous, Inc. | 500 | 27,610 | |||
Noodles & Co. (a) | 5,000 | 39,500 | |||
Papa John's International, Inc. | 5,088 | 431,717 | |||
Penn National Gaming, Inc. (a) | 24,714 | 2,134,548 | |||
Planet Fitness, Inc. Class A (a) | 13,027 | 1,011,286 | |||
PlayAGS, Inc. (a) | 4,160 | 29,952 | |||
RCI Hospitality Holdings, Inc. | 1,400 | 55,216 | |||
Red Robin Gourmet Burgers, Inc. (a) | 2,536 | 48,767 | |||
Red Rock Resorts, Inc. Class A | 10,086 | 252,553 | |||
Ruth's Hospitality Group, Inc. | 5,600 | 99,288 | |||
Scientific Games Corp. Class A (a) | 8,864 | 367,767 | |||
SeaWorld Entertainment, Inc. (a) | 7,791 | 246,118 | |||
Shake Shack, Inc. Class A (a) | 5,430 | 460,355 | |||
Six Flags Entertainment Corp. | 11,922 | 406,540 | |||
Target Hospitality Corp. (a) (b) | 5,100 | 8,058 | |||
Texas Roadhouse, Inc. | 10,341 | 808,253 | |||
Vail Resorts, Inc. | 6,342 | 1,769,164 | |||
Wendy's Co. | 28,258 | 619,415 | |||
Wingstop, Inc. | 4,688 | 621,394 | |||
Wyndham Destinations, Inc. | 13,200 | 592,152 | |||
Wyndham Hotels & Resorts, Inc. | 14,551 | 864,912 | |||
Yum China Holdings, Inc. | 64,006 | 3,654,103 | |||
26,295,725 |
Security Description | Shares | Value | ||||
HOUSEHOLD DURABLES — 0.9% | ||||||
Beazer Homes USA, Inc. (a) | 4,996 | $ 75,689 | ||||
Casper Sleep, Inc. (a) (b) | 4,800 | 29,520 | ||||
Cavco Industries, Inc. (a) | 1,413 | 247,911 | ||||
Century Communities, Inc. (a) | 5,051 | 221,133 | ||||
Ethan Allen Interiors, Inc. | 3,900 | 78,819 | ||||
GoPro, Inc. Class A (a) (b) | 21,322 | 176,546 | ||||
Green Brick Partners, Inc. (a) | 4,102 | 94,182 | ||||
Hamilton Beach Brands Holding Co. Class A | 1,017 | 17,808 | ||||
Helen of Troy, Ltd. (a) | 4,033 | 896,092 | ||||
Hooker Furniture Corp. | 1,900 | 61,275 | ||||
Installed Building Products, Inc. (a) | 3,514 | 358,182 | ||||
iRobot Corp. (a) (b) | 4,243 | 340,670 | ||||
KB Home | 13,800 | 462,576 | ||||
La-Z-Boy, Inc. | 6,833 | 272,227 | ||||
Legacy Housing Corp. (a) | 1,220 | 18,434 | ||||
LGI Homes, Inc. (a) | 3,500 | 370,475 | ||||
Lifetime Brands, Inc. | 1,900 | 28,880 | ||||
Lovesac Co. (a) (b) | 1,746 | 75,235 | ||||
M/I Homes, Inc. (a) | 4,891 | 216,622 | ||||
MDC Holdings, Inc. | 8,171 | 397,111 | ||||
Meritage Homes Corp. (a) | 5,805 | 480,770 | ||||
Purple Innovation, Inc. (a) (b) | 2,296 | 75,630 | ||||
Skyline Champion Corp. (a) | 8,037 | 248,665 | ||||
Sonos, Inc. (a) | 12,430 | 290,738 | ||||
Taylor Morrison Home Corp. (a) | 19,748 | 506,536 | ||||
Tempur Sealy International, Inc. (a) | 29,896 | 807,192 | ||||
Toll Brothers, Inc. | 18,283 | 794,762 | ||||
TopBuild Corp. (a) | 5,251 | 966,604 | ||||
TRI Pointe Group, Inc. (a) | 19,483 | 336,082 | ||||
Tupperware Brands Corp. (a) | 7,481 | 242,310 | ||||
Turtle Beach Corp. (a) | 2,400 | 51,720 | ||||
Universal Electronics, Inc. (a) | 2,239 | 117,458 | ||||
VOXX International Corp. (a) | 3,500 | 44,660 | ||||
9,402,514 | ||||||
HOUSEHOLD PRODUCTS — 0.2% | ||||||
Central Garden & Pet Co. (a) | 1,600 | 61,776 | ||||
Central Garden & Pet Co. Class A (a) | 6,882 | 250,023 | ||||
Energizer Holdings, Inc. | 9,712 | 409,652 | ||||
Oil-Dri Corp. of America | 848 | 28,900 | ||||
Reynolds Consumer Products, Inc. | 7,500 | 225,300 | ||||
Spectrum Brands Holdings, Inc. | 6,669 | 526,717 | ||||
WD-40 Co. | 2,176 | 578,120 | ||||
2,080,488 | ||||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 0.4% | ||||||
Atlantic Power Corp. (a) | 14,056 | 29,517 | ||||
Brookfield Renewable Corp. Class A | 16,142 | 940,594 | ||||
Clearway Energy, Inc. Class A | 6,126 | 181,023 |
Security Description | Shares | Value | ||||
Clearway Energy, Inc. Class C | 12,700 | $ 405,511 | ||||
Ormat Technologies, Inc. | 6,288 | 567,681 | ||||
Sunnova Energy International, Inc. (a) | 8,200 | 370,066 | ||||
Vistra Corp. | 77,707 | 1,527,720 | ||||
4,022,112 | ||||||
INDUSTRIAL CONGLOMERATES — 0.1% | ||||||
Carlisle Cos., Inc. | 8,349 | 1,303,947 | ||||
Raven Industries, Inc. | 6,222 | 205,886 | ||||
1,509,833 | ||||||
INSURANCE — 2.8% | ||||||
Alleghany Corp. | 2,202 | 1,329,325 | ||||
Ambac Financial Group, Inc. (a) | 7,894 | 121,410 | ||||
American Equity Investment Life Holding Co. | 14,072 | 389,232 | ||||
American Financial Group, Inc. | 11,252 | 985,900 | ||||
American National Group, Inc. | 1,324 | 127,263 | ||||
AMERISAFE, Inc. | 3,381 | 194,171 | ||||
Arch Capital Group, Ltd. (a) | 62,783 | 2,264,583 | ||||
Argo Group International Holdings, Ltd. | 5,660 | 247,342 | ||||
Assured Guaranty, Ltd. | 12,119 | 381,627 | ||||
Athene Holding, Ltd. Class A (a) | 18,001 | 776,563 | ||||
Axis Capital Holdings, Ltd. | 13,099 | 660,059 | ||||
Brighthouse Financial, Inc. (a) | 14,073 | 509,513 | ||||
Brown & Brown, Inc. | 37,585 | 1,781,905 | ||||
BRP Group, Inc. Class A (a) | 7,405 | 221,928 | ||||
Citizens, Inc. (a) (b) | 10,500 | 60,165 | ||||
CNA Financial Corp. | 4,891 | 190,553 | ||||
CNO Financial Group, Inc. | 21,579 | 479,701 | ||||
Crawford & Co. Class A | 2,600 | 19,214 | ||||
Donegal Group, Inc. Class A | 2,800 | 39,396 | ||||
eHealth, Inc. (a) | 3,907 | 275,873 | ||||
Employers Holdings, Inc. | 5,000 | 160,950 | ||||
Enstar Group, Ltd. (a) | 1,908 | 390,930 | ||||
Erie Indemnity Co. Class A | 4,030 | 989,768 | ||||
FBL Financial Group, Inc. Class A | 1,626 | 85,381 | ||||
FedNat Holding Co. | 1,790 | 10,597 | ||||
Fidelity National Financial, Inc. | 43,784 | 1,711,517 | ||||
First American Financial Corp. | 17,148 | 885,351 | ||||
Genworth Financial, Inc. Class A (a) | 77,782 | 294,016 | ||||
GoHealth, Inc. Class A (a) | 7,300 | 99,718 | ||||
Goosehead Insurance, Inc. Class A | 2,025 | 252,639 | ||||
Greenlight Capital Re, Ltd. Class A (a) | 4,600 | 33,626 | ||||
Hanover Insurance Group, Inc. | 5,810 | 679,305 | ||||
HCI Group, Inc. | 973 | 50,888 | ||||
Heritage Insurance Holdings, Inc. | 3,999 | 40,510 | ||||
Horace Mann Educators Corp. | 6,400 | 269,056 | ||||
Independence Holding Co. | 705 | 28,905 | ||||
Investors Title Co. | 218 | 33,354 |
Security Description | Shares | Value | ||||
James River Group Holdings, Ltd. | 5,200 | $ 255,580 | ||||
Kemper Corp. | 9,807 | 753,472 | ||||
Kinsale Capital Group, Inc. | 3,326 | 665,632 | ||||
Lemonade, Inc. (a) (b) | 2,200 | 269,500 | ||||
Markel Corp. (a) | 2,152 | 2,223,662 | ||||
MBIA, Inc. (a) | 8,597 | 56,568 | ||||
Mercury General Corp. | 4,137 | 215,993 | ||||
National General Holdings Corp. | 11,917 | 407,323 | ||||
National Western Life Group, Inc. Class A | 462 | 95,375 | ||||
NI Holdings, Inc. (a) | 1,500 | 24,630 | ||||
Old Republic International Corp. | 44,862 | 884,230 | ||||
Palomar Holdings, Inc. (a) | 3,110 | 276,293 | ||||
Primerica, Inc. | 6,248 | 836,795 | ||||
ProAssurance Corp. | 9,305 | 165,536 | ||||
ProSight Global, Inc. (a) | 1,300 | 16,679 | ||||
Protective Insurance Corp. Class B | 1,400 | 19,194 | ||||
Reinsurance Group of America, Inc. | 10,720 | 1,242,448 | ||||
RenaissanceRe Holdings, Ltd. | 8,020 | 1,329,877 | ||||
RLI Corp. | 6,229 | 648,750 | ||||
Safety Insurance Group, Inc. | 2,486 | 193,659 | ||||
Selective Insurance Group, Inc. | 9,298 | 622,780 | ||||
Selectquote, Inc. (a) (b) | 5,400 | 112,050 | ||||
State Auto Financial Corp. | 2,900 | 51,446 | ||||
Stewart Information Services Corp. | 4,565 | 220,763 | ||||
Third Point Reinsurance, Ltd. (a) | 14,000 | 133,280 | ||||
Tiptree, Inc. | 3,900 | 19,578 | ||||
Trean Insurance Group, Inc. (a) | 2,200 | 28,820 | ||||
Trupanion, Inc. (a) | 4,700 | 562,637 | ||||
United Fire Group, Inc. | 3,663 | 91,941 | ||||
United Insurance Holdings Corp. | 3,200 | 18,304 | ||||
Universal Insurance Holdings, Inc. | 4,417 | 66,741 | ||||
Vericity, Inc. (a) | 300 | 3,003 | ||||
Watford Holdings, Ltd. (a) | 3,000 | 103,800 | ||||
White Mountains Insurance Group, Ltd. | 429 | 429,283 | ||||
30,117,856 | ||||||
INTERACTIVE MEDIA & SERVICES — 1.7% | ||||||
Cargurus, Inc. (a) | 13,700 | 434,701 | ||||
Cars.com, Inc. (a) | 11,800 | 133,340 | ||||
DHI Group, Inc. (a) | 8,000 | 17,760 | ||||
Eventbrite, Inc. Class A (a) (b) | 11,193 | 202,594 | ||||
EverQuote, Inc. Class A (a) (b) | 2,435 | 90,947 | ||||
InterActiveCorp (a) | 11,969 | 2,266,330 | ||||
Liberty TripAdvisor Holdings, Inc. Class A (a) | 15,900 | 69,006 | ||||
Match Group, Inc. (a) | 35,817 | 5,415,172 | ||||
MediaAlpha, Inc. Class A (a) | 1,900 | 74,233 |
Security Description | Shares | Value | ||||
Pinterest, Inc. Class A (a) | 64,300 | $ 4,237,370 | ||||
QuinStreet, Inc. (a) | 8,398 | 180,053 | ||||
TripAdvisor, Inc. (a) | 15,700 | 451,846 | ||||
TrueCar, Inc. (a) | 17,066 | 71,677 | ||||
Veritone, Inc. (a) | 4,100 | 116,645 | ||||
Yelp, Inc. (a) | 11,191 | 365,610 | ||||
Zillow Group, Inc. Class A (a) | 9,282 | 1,261,795 | ||||
Zillow Group, Inc. Class C (a) (b) | 23,183 | 3,009,154 | ||||
18,398,233 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 0.7% | ||||||
1-800-Flowers.com, Inc. Class A (a) (b) | 4,400 | 114,400 | ||||
CarParts.com, Inc. (a) (b) | 6,000 | 74,340 | ||||
Duluth Holdings, Inc. Class B (a) (b) | 1,896 | 20,022 | ||||
Groupon, Inc. (a) (b) | 4,011 | 152,398 | ||||
GrubHub, Inc. (a) | 14,564 | 1,081,668 | ||||
Lands' End, Inc. (a) | 1,900 | 40,983 | ||||
Liquidity Services, Inc. (a) | 4,824 | 76,750 | ||||
Magnite, Inc. (a) (b) | 16,782 | 515,375 | ||||
Overstock.com, Inc. (a) | 6,600 | 316,602 | ||||
PetMed Express, Inc. (b) | 3,368 | 107,978 | ||||
Quotient Technology, Inc. (a) | 15,171 | 142,911 | ||||
Qurate Retail, Inc. Class A | 60,116 | 659,473 | ||||
RealReal, Inc. (a) | 11,100 | 216,894 | ||||
Shutterstock, Inc. | 3,350 | 240,195 | ||||
Stamps.com, Inc. (a) | 2,679 | 525,593 | ||||
Stitch Fix, Inc. Class A (a) | 9,446 | 554,669 | ||||
Waitr Holdings, Inc. (a) (b) | 13,513 | 37,566 | ||||
Wayfair, Inc. Class A (a) (b) | 11,326 | 2,557,524 | ||||
7,435,341 | ||||||
IT SERVICES — 5.6% | ||||||
Alliance Data Systems Corp. | 7,400 | 548,340 | ||||
Amdocs, Ltd. | 20,835 | 1,477,827 | ||||
BigCommerce Holdings, Inc. (a) (b) | 2,200 | 141,130 | ||||
Black Knight, Inc. (a) | 24,100 | 2,129,235 | ||||
Booz Allen Hamilton Holding Corp. | 21,519 | 1,876,026 | ||||
Brightcove, Inc. (a) | 6,871 | 126,426 | ||||
CACI International, Inc. Class A (a) | 3,986 | 993,829 | ||||
Cardtronics PLC Class A (a) | 6,311 | 222,778 | ||||
Cass Information Systems, Inc. | 2,436 | 94,785 | ||||
Concentrix Corp. (a) | 6,536 | 645,103 | ||||
Conduent, Inc. (a) | 28,800 | 138,240 | ||||
CSG Systems International, Inc. | 5,692 | 256,538 | ||||
Endurance International Group Holdings, Inc. (a) | 11,535 | 109,006 | ||||
EPAM Systems, Inc. (a) | 8,526 | 3,055,292 | ||||
Euronet Worldwide, Inc. (a) | 7,981 | 1,156,607 | ||||
EVERTEC, Inc. | 9,300 | 365,676 | ||||
Evo Payments, Inc. Class A (a) | 7,200 | 194,472 |
Security Description | Shares | Value | ||||
ExlService Holdings, Inc. (a) | 5,137 | $ 437,313 | ||||
Fastly, Inc. Class A (a) (b) | 12,500 | 1,092,125 | ||||
Genpact, Ltd. | 29,860 | 1,235,010 | ||||
Globant SA (a) | 6,128 | 1,333,514 | ||||
GoDaddy, Inc. Class A (a) | 26,888 | 2,230,360 | ||||
GreenSky, Inc. Class A (a) | 10,200 | 47,226 | ||||
Grid Dynamics Holdings, Inc. (a) (b) | 4,700 | 59,220 | ||||
GTT Communications, Inc. (a) (b) | 5,295 | 18,903 | ||||
Hackett Group, Inc. | 4,390 | 63,172 | ||||
I3 Verticals, Inc. Class A (a) (b) | 3,200 | 106,240 | ||||
Information Services Group, Inc. (a) | 5,600 | 18,368 | ||||
International Money Express, Inc. (a) | 5,000 | 77,600 | ||||
KBR, Inc. | 22,326 | 690,543 | ||||
Limelight Networks, Inc. (a) (b) | 20,599 | 82,190 | ||||
LiveRamp Holdings, Inc. (a) | 10,085 | 738,121 | ||||
ManTech International Corp. Class A | 4,158 | 369,813 | ||||
MAXIMUS, Inc. | 9,626 | 704,527 | ||||
MoneyGram International, Inc. (a) | 10,800 | 59,022 | ||||
MongoDB, Inc. (a) (b) | 8,138 | 2,921,868 | ||||
NIC, Inc. | 10,100 | 260,883 | ||||
Okta, Inc. (a) | 18,484 | 4,699,742 | ||||
Paysign, Inc. (a) | 4,700 | 21,808 | ||||
Perficient, Inc. (a) | 5,649 | 269,175 | ||||
Perspecta, Inc. | 21,700 | 522,536 | ||||
PFSweb, Inc. (a) | 2,600 | 17,498 | ||||
Priority Technology Holdings, Inc. (a) | 1,165 | 8,202 | ||||
Rackspace Technology, Inc. (a) | 5,900 | 112,454 | ||||
Repay Holdings Corp. (a) | 9,300 | 253,425 | ||||
Sabre Corp. | 50,035 | 601,421 | ||||
Science Applications International Corp. | 9,182 | 868,984 | ||||
ServiceSource International, Inc. (a) | 13,200 | 23,232 | ||||
Square, Inc. Class A (a) | 59,264 | 12,898,217 | ||||
StarTek, Inc. (a) | 2,500 | 18,800 | ||||
StoneCo, Ltd. Class A (a) | 32,200 | 2,702,224 | ||||
Switch, Inc. Class A | 11,836 | 193,755 | ||||
Sykes Enterprises, Inc. (a) | 6,675 | 251,447 | ||||
TTEC Holdings, Inc. | 3,155 | 230,094 | ||||
Tucows, Inc. Class A (a) | 1,624 | 119,997 | ||||
Twilio, Inc. Class A (a) | 22,477 | 7,608,464 | ||||
Unisys Corp. (a) | 10,800 | 212,544 | ||||
Verra Mobility Corp. (a) | 20,481 | 274,855 | ||||
Virtusa Corp. (a) | 4,405 | 225,228 | ||||
WEX, Inc. (a) | 6,979 | 1,420,436 | ||||
59,631,866 | ||||||
LEISURE EQUIPMENT & PRODUCTS — 1.1% | ||||||
Acushnet Holdings Corp. | 5,972 | 242,105 |
Security Description | Shares | Value | ||||
American Outdoor Brands, Inc. (a) | 2,181 | $ 37,142 | ||||
Brunswick Corp. | 12,544 | 956,355 | ||||
Callaway Golf Co. | 14,441 | 346,728 | ||||
Clarus Corp. | 4,265 | 65,681 | ||||
Escalade, Inc. | 1,700 | 35,989 | ||||
Johnson Outdoors, Inc. Class A | 936 | 105,422 | ||||
Malibu Boats, Inc. Class A (a) | 3,565 | 222,599 | ||||
Marine Products Corp. | 1,080 | 15,703 | ||||
MasterCraft Boat Holdings, Inc. (a) | 3,065 | 76,135 | ||||
Mattel, Inc. (a) | 54,500 | 951,025 | ||||
Nautilus, Inc. (a) (b) | 5,200 | 94,328 | ||||
Peloton Interactive, Inc. Class A (a) | 40,700 | 6,175,004 | ||||
Polaris, Inc. | 9,233 | 879,720 | ||||
Smith & Wesson Brands, Inc. | 9,626 | 170,861 | ||||
Sturm Ruger & Co., Inc. | 2,985 | 194,234 | ||||
Vista Outdoor, Inc. (a) | 10,121 | 240,475 | ||||
YETI Holdings, Inc. (a) | 12,634 | 865,050 | ||||
11,674,556 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 1.8% | ||||||
10X Genomics, Inc. Class A (a) | 9,153 | 1,296,065 | ||||
Adaptive Biotechnologies Corp. (a) | 12,000 | 709,560 | ||||
Avantor, Inc. (a) | 79,000 | 2,223,850 | ||||
Berkeley Lights, Inc. (a) | 2,247 | 200,904 | ||||
Bio-Techne Corp. | 6,093 | 1,934,832 | ||||
Bruker Corp. | 16,308 | 882,752 | ||||
Champions Oncology, Inc. (a) | 1,100 | 11,869 | ||||
Charles River Laboratories International, Inc. (a) | 7,829 | 1,956,154 | ||||
ChromaDex Corp. (a) (b) | 6,400 | 30,720 | ||||
Codexis, Inc. (a) | 9,321 | 203,477 | ||||
Fluidigm Corp. (a) (b) | 12,944 | 77,664 | ||||
Harvard Bioscience, Inc. (a) | 5,700 | 24,453 | ||||
Luminex Corp. | 7,451 | 172,267 | ||||
Medpace Holdings, Inc. (a) | 4,338 | 603,850 | ||||
NanoString Technologies, Inc. (a) | 6,900 | 461,472 | ||||
NeoGenomics, Inc. (a) | 16,500 | 888,360 | ||||
Pacific Biosciences of California, Inc. (a) | 27,800 | 721,132 | ||||
Personalis, Inc. (a) | 4,200 | 153,762 | ||||
PPD, Inc. (a) | 25,322 | 866,519 | ||||
PRA Health Sciences, Inc. (a) | 9,995 | 1,253,773 | ||||
QIAGEN NV (a) (b) | 35,881 | 1,896,311 | ||||
Quanterix Corp. (a) | 3,700 | 172,050 | ||||
Repligen Corp. (a) | 8,350 | 1,600,111 | ||||
Syneos Health, Inc. (a) | 11,894 | 810,338 | ||||
19,152,245 | ||||||
MACHINERY — 2.9% | ||||||
AGCO Corp. | 9,821 | 1,012,447 | ||||
Alamo Group, Inc. | 1,728 | 238,378 |
Security Description | Shares | Value | |||
Albany International Corp. Class A | 4,771 | $ 350,287 | |||
Allison Transmission Holdings, Inc. | 17,812 | 768,232 | |||
Altra Industrial Motion Corp. | 10,074 | 558,402 | |||
Astec Industries, Inc. | 3,906 | 226,079 | |||
Barnes Group, Inc. | 7,314 | 370,747 | |||
Blue Bird Corp. (a) | 2,422 | 44,226 | |||
Chart Industries, Inc. (a) | 5,645 | 664,925 | |||
CIRCOR International, Inc. (a) | 3,447 | 132,503 | |||
Colfax Corp. (a) | 15,627 | 597,577 | |||
Columbus McKinnon Corp. | 4,048 | 155,605 | |||
Crane Co. | 7,648 | 593,944 | |||
Donaldson Co., Inc. | 20,209 | 1,129,279 | |||
Douglas Dynamics, Inc. | 3,973 | 169,925 | |||
Eastern Co. | 821 | 19,786 | |||
Energy Recovery, Inc. (a) (b) | 7,000 | 95,480 | |||
Enerpac Tool Group Corp. | 9,491 | 214,592 | |||
EnPro Industries, Inc. | 3,145 | 237,510 | |||
ESCO Technologies, Inc. | 3,928 | 405,448 | |||
Evoqua Water Technologies Corp. (a) | 14,200 | 383,116 | |||
ExOne Co. (a) | 2,300 | 21,827 | |||
Federal Signal Corp. | 9,200 | 305,164 | |||
Franklin Electric Co., Inc. | 7,149 | 494,782 | |||
Gates Industrial Corp. PLC (a) | 7,800 | 99,528 | |||
Gencor Industries, Inc. (a) | 1,461 | 17,970 | |||
Gorman-Rupp Co. | 3,100 | 100,595 | |||
Graco, Inc. | 26,354 | 1,906,712 | |||
Graham Corp. | 1,500 | 22,770 | |||
Greenbrier Cos., Inc. | 5,594 | 203,510 | |||
Helios Technologies, Inc. | 4,748 | 253,021 | |||
Hillenbrand, Inc. | 11,568 | 460,406 | |||
Hurco Cos., Inc. | 1,056 | 31,680 | |||
Hyster-Yale Materials Handling, Inc. | 1,689 | 100,580 | |||
ITT, Inc. | 13,688 | 1,054,250 | |||
John Bean Technologies Corp. | 4,876 | 555,230 | |||
Kadant, Inc. | 1,788 | 252,072 | |||
Kennametal, Inc. | 12,917 | 468,112 | |||
LB Foster Co. Class A (a) | 1,600 | 24,080 | |||
Lincoln Electric Holdings, Inc. | 9,044 | 1,051,365 | |||
Lindsay Corp. | 1,885 | 242,147 | |||
Luxfer Holdings PLC | 4,631 | 76,041 | |||
Lydall, Inc. (a) | 2,945 | 88,438 | |||
Manitowoc Co., Inc (a) | 5,875 | 78,196 | |||
Mayville Engineering Co., Inc. (a) | 1,090 | 14,628 | |||
Meritor, Inc. (a) | 10,696 | 298,525 | |||
Middleby Corp. (a) | 8,729 | 1,125,343 | |||
Miller Industries, Inc. | 1,965 | 74,709 | |||
Mueller Industries, Inc. | 8,584 | 301,384 | |||
Mueller Water Products, Inc. Class A | 24,122 | 298,630 | |||
Navistar International Corp. (a) | 7,700 | 338,492 | |||
NN, Inc. (a) | 6,616 | 43,467 | |||
Nordson Corp. | 9,152 | 1,839,094 |
Security Description | Shares | Value | ||||
Omega Flex, Inc. | 509 | $ 74,314 | ||||
Oshkosh Corp. | 10,732 | 923,703 | ||||
Park-Ohio Holdings Corp. | 1,411 | 43,600 | ||||
Proto Labs, Inc. (a) | 4,185 | 641,979 | ||||
RBC Bearings, Inc. (a) | 3,899 | 698,077 | ||||
REV Group, Inc. | 4,300 | 37,883 | ||||
Rexnord Corp. | 18,890 | 745,966 | ||||
Shyft Group, Inc. | 6,000 | 170,280 | ||||
SPX Corp. (a) | 6,689 | 364,818 | ||||
SPX FLOW, Inc. (a) | 6,600 | 382,536 | ||||
Standex International Corp. | 2,119 | 164,265 | ||||
Tennant Co. | 3,224 | 226,228 | ||||
Terex Corp. | 10,392 | 362,577 | ||||
Timken Co. | 9,992 | 772,981 | ||||
Toro Co. | 17,041 | 1,616,168 | ||||
TriMas Corp. (a) | 7,106 | 225,047 | ||||
Trinity Industries, Inc. (b) | 13,669 | 360,725 | ||||
Wabash National Corp. | 9,187 | 158,292 | ||||
Watts Water Technologies, Inc. Class A | 4,326 | 526,474 | ||||
Welbilt, Inc. (a) | 19,990 | 263,868 | ||||
Woodward, Inc. | 8,850 | 1,075,541 | ||||
30,446,558 | ||||||
MARINE — 0.1% | ||||||
Costamare, Inc. | 8,800 | 72,864 | ||||
Eagle Bulk Shipping, Inc. (a) (b) | 1,013 | 19,247 | ||||
Genco Shipping & Trading, Ltd. | 2,400 | 17,664 | ||||
Kirby Corp. (a) | 9,340 | 484,092 | ||||
Matson, Inc. | 6,582 | 374,977 | ||||
Pangaea Logistics Solutions, Ltd. | 1,600 | 4,432 | ||||
Safe Bulkers, Inc. (a) | 9,060 | 11,778 | ||||
Scorpio Bulkers, Inc. (b) | 1,465 | 24,802 | ||||
SEACOR Holdings, Inc. (a) | 3,368 | 139,604 | ||||
1,149,460 | ||||||
MEDIA — 1.6% | ||||||
Altice USA, Inc. Class A (a) | 46,700 | 1,768,529 | ||||
AMC Networks, Inc. Class A (a) (b) | 4,186 | 149,733 | ||||
Boston Omaha Corp. Class A (a) (b) | 2,165 | 59,862 | ||||
Cable One, Inc. | 842 | 1,875,740 | ||||
Cardlytics, Inc. (a) (b) | 4,120 | 588,212 | ||||
comScore, Inc. (a) | 9,600 | 23,904 | ||||
Daily Journal Corp. (a) | 182 | 73,528 | ||||
Emerald Holding, Inc. | 3,500 | 18,970 | ||||
Entercom Communications Corp. Class A (b) | 18,700 | 46,189 | ||||
Entravision Communications Corp. Class A | 9,500 | 26,125 | ||||
EW Scripps Co. Class A | 9,740 | 148,925 | ||||
Fluent, Inc. (a) | 7,613 | 40,425 | ||||
Gannett Co., Inc. (a) | 27,514 | 92,447 | ||||
Gray Television, Inc. (a) | 13,277 | 237,526 |
Security Description | Shares | Value | ||||
Hemisphere Media Group, Inc. (a) | 2,700 | $ 27,972 | ||||
iHeartMedia, Inc. Class A (a) (b) | 10,700 | 138,886 | ||||
John Wiley & Sons, Inc. Class A | 6,640 | 303,182 | ||||
Liberty Broadband Corp. Class A (a) | 3,938 | 620,550 | ||||
Liberty Broadband Corp. Class C (a) | 25,512 | 4,040,335 | ||||
Liberty Latin America, Ltd. Class A (a) | 8,088 | 90,019 | ||||
Liberty Media Corp.-Liberty SiriusXM Class A (a) | 13,104 | 565,962 | ||||
Liberty Media Corp.-Liberty SiriusXM Class C (a) | 27,552 | 1,198,788 | ||||
Loral Space & Communications, Inc. | 2,800 | 58,772 | ||||
Meredith Corp. | 6,938 | 133,210 | ||||
MSG Networks, Inc. Class A (a) (b) | 4,122 | 60,758 | ||||
National CineMedia, Inc. | 9,700 | 36,084 | ||||
New York Times Co. Class A | 25,869 | 1,339,238 | ||||
Nexstar Media Group, Inc. Class A | 6,761 | 738,234 | ||||
Saga Communications, Inc. Class A | 644 | 15,469 | ||||
Scholastic Corp. | 5,029 | 125,725 | ||||
Sinclair Broadcast Group, Inc. Class A (b) | 7,662 | 244,035 | ||||
Sirius XM Holdings, Inc. (b) | 181,828 | 1,158,244 | ||||
TechTarget, Inc. (a) | 3,600 | 212,796 | ||||
TEGNA, Inc. | 34,183 | 476,853 | ||||
WideOpenWest, Inc. (a) (b) | 9,136 | 97,481 | ||||
Tribune Publishing Co. | 2,500 | 34,250 | ||||
16,866,958 | ||||||
METALS & MINING — 1.0% | ||||||
Alcoa Corp. (a) | 29,421 | 678,154 | ||||
Allegheny Technologies, Inc. (a) | 19,637 | 329,313 | ||||
Arconic Corp. (a) | 15,500 | 461,900 | ||||
Caledonia Mining Corp. PLC | 2,000 | 31,760 | ||||
Carpenter Technology Corp. | 8,255 | 240,386 | ||||
Century Aluminum Co. (a) | 8,800 | 97,064 | ||||
Cleveland-Cliffs, Inc. (b) | 62,202 | 905,661 | ||||
Coeur Mining, Inc. (a) | 37,542 | 388,560 | ||||
Commercial Metals Co. | 18,447 | 378,901 | ||||
Compass Minerals International, Inc. | 5,314 | 327,980 | ||||
Ferroglobe Representation & Warranty Insurance Trust (a) (e) | 2,200 | — | ||||
Fortitude Gold Corp. (a) | 3,000 | 3,150 | ||||
Gatos Silver, Inc. (a) | 4,100 | 53,423 | ||||
Gold Resource Corp. | 10,500 | 30,555 | ||||
Haynes International, Inc. | 2,000 | 47,680 | ||||
Hecla Mining Co. | 81,616 | 528,872 | ||||
Kaiser Aluminum Corp. | 2,388 | 236,173 | ||||
Materion Corp. | 3,555 | 226,525 | ||||
Novagold Resources, Inc. (a) | 36,800 | 355,856 |
Security Description | Shares | Value | ||||
Olympic Steel, Inc. | 1,400 | $ 18,662 | ||||
Reliance Steel & Aluminum Co. | 10,087 | 1,207,918 | ||||
Royal Gold, Inc. | 10,442 | 1,110,611 | ||||
Ryerson Holding Corp. (a) | 2,500 | 34,100 | ||||
Schnitzer Steel Industries, Inc. Class A | 4,472 | 142,702 | ||||
Southern Copper Corp. | 13,069 | 851,053 | ||||
Steel Dynamics, Inc. | 31,806 | 1,172,687 | ||||
SunCoke Energy, Inc. | 16,900 | 73,515 | ||||
TimkenSteel Corp. (a) | 7,214 | 33,689 | ||||
United States Steel Corp. (b) | 34,276 | 574,809 | ||||
Warrior Met Coal, Inc. | 8,938 | 190,558 | ||||
Worthington Industries, Inc. | 5,572 | 286,066 | ||||
11,018,283 | ||||||
MORTGAGE REAL ESTATE INVESTMENT TRUST (REITS) — 0.8% | ||||||
AGNC Investment Corp. REIT | 86,779 | 1,353,753 | ||||
Annaly Capital Management, Inc. REIT | 223,843 | 1,891,473 | ||||
Anworth Mortgage Asset Corp. REIT | 15,300 | 41,463 | ||||
Apollo Commercial Real Estate Finance, Inc. REIT | 21,549 | 240,702 | ||||
Arbor Realty Trust, Inc. REIT | 17,600 | 249,568 | ||||
Ares Commercial Real Estate Corp. REIT | 5,400 | 64,314 | ||||
Arlington Asset Investment Corp. Class A REIT | 5,700 | 21,546 | ||||
ARMOUR Residential REIT, Inc. | 11,200 | 120,848 | ||||
Blackstone Mortgage Trust, Inc. Class A REIT | 21,566 | 593,712 | ||||
Broadmark Realty Capital, Inc. REIT (b) | 22,409 | 228,572 | ||||
Capstead Mortgage Corp. REIT | 16,648 | 96,725 | ||||
Cherry Hill Mortgage Investment Corp. REIT | 2,545 | 23,261 | ||||
Chimera Investment Corp. REIT | 29,545 | 302,836 | ||||
Colony Credit Real Estate, Inc. REIT | 14,700 | 110,250 | ||||
Dynex Capital, Inc. REIT (b) | 3,900 | 69,420 | ||||
Ellington Financial, Inc. REIT | 7,200 | 106,848 | ||||
Ellington Residential Mortgage REIT | 1,400 | 18,256 | ||||
Granite Point Mortgage Trust, Inc. REIT (b) | 9,534 | 95,245 | ||||
Great Ajax Corp. REIT | 3,286 | 34,372 | ||||
Invesco Mortgage Capital, Inc. REIT (b) | 31,813 | 107,528 | ||||
KKR Real Estate Finance Trust, Inc. REIT | 5,000 | 89,600 | ||||
Ladder Capital Corp. REIT | 18,439 | 180,334 | ||||
MFA Financial, Inc. REIT | 69,536 | 270,495 | ||||
New Residential Investment Corp. REIT | 65,300 | 649,082 | ||||
New York Mortgage Trust, Inc. REIT | 66,088 | 243,865 |
Security Description | Shares | Value | ||||
Orchid Island Capital, Inc. REIT (b) | 12,100 | $ 63,162 | ||||
PennyMac Mortgage Investment Trust REIT | 15,024 | 264,272 | ||||
Ready Capital Corp. REIT (b) | 7,269 | 90,499 | ||||
Redwood Trust, Inc. REIT | 19,500 | 171,210 | ||||
TPG RE Finance Trust, Inc. REIT | 10,452 | 111,000 | ||||
Two Harbors Investment Corp. REIT | 41,957 | 267,266 | ||||
Western Asset Mortgage Capital Corp. REIT | 9,628 | 31,387 | ||||
Starwood Property Trust, Inc. REIT | 43,248 | 834,686 | ||||
9,037,550 | ||||||
MULTI-UTILITIES — 0.2% | ||||||
Avista Corp. | 10,700 | 429,498 | ||||
Black Hills Corp. | 9,805 | 602,517 | ||||
MDU Resources Group, Inc. | 31,537 | 830,685 | ||||
NorthWestern Corp. | 7,955 | 463,856 | ||||
Unitil Corp. | 2,538 | 112,357 | ||||
2,438,913 | ||||||
MULTILINE RETAIL — 0.3% | ||||||
Big Lots, Inc. (b) | 6,020 | 258,439 | ||||
Dillard's, Inc. Class A (b) | 1,205 | 75,975 | ||||
Kohl's Corp. | 25,000 | 1,017,250 | ||||
Macy's, Inc. (b) | 48,900 | 550,125 | ||||
Nordstrom, Inc. (b) | 17,200 | 536,812 | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) (b) | 8,695 | 710,990 | ||||
3,149,591 | ||||||
OIL, GAS & CONSUMABLE FUELS — 1.2% | ||||||
Adams Resources & Energy, Inc. | 300 | 7,230 | ||||
Antero Midstream Corp. (b) | 44,600 | 343,866 | ||||
Antero Resources Corp. (a) (b) | 42,274 | 230,393 | ||||
Arch Resources, Inc. | 2,594 | 113,539 | ||||
Ardmore Shipping Corp. | 5,200 | 17,004 | ||||
Berry Corp. | 10,900 | 40,112 | ||||
Bonanza Creek Energy, Inc. (a) | 3,300 | 63,789 | ||||
Brigham Minerals, Inc. Class A | 7,400 | 81,326 | ||||
Cheniere Energy, Inc. (a) | 36,947 | 2,217,928 | ||||
Cimarex Energy Co. | 15,800 | 592,658 | ||||
Clean Energy Fuels Corp. (a) | 22,600 | 177,636 | ||||
CNX Resources Corp. (a) | 34,481 | 372,395 | ||||
Comstock Resources, Inc. (a) | 3,600 | 15,732 | ||||
CONSOL Energy, Inc. (a) | 4,025 | 29,020 | ||||
Contango Oil & Gas Co. (a) (b) | 21,400 | 49,006 | ||||
Continental Resources, Inc. | 13,150 | 214,345 | ||||
CVR Energy, Inc. | 5,900 | 87,910 | ||||
Delek US Holdings, Inc. | 10,917 | 175,436 | ||||
DHT Holdings, Inc. | 19,466 | 101,807 | ||||
Diamond Shipping, Inc. (a) (b) | 4,196 | 27,945 | ||||
Dorian LPG, Ltd. (a) | 6,558 | 79,942 |
Security Description | Shares | Value | ||||
Earthstone Energy, Inc. Class A (a) | 3,785 | $ 20,174 | ||||
Energy Fuels, Inc. (a) (b) | 22,701 | 96,706 | ||||
EQT Corp. | 43,200 | 549,072 | ||||
Equitrans Midstream Corp. | 64,040 | 514,882 | ||||
Evolution Petroleum Corp. | 4,229 | 12,053 | ||||
Falcon Minerals Corp. | 6,000 | 18,900 | ||||
Frontline, Ltd. (b) | 20,600 | 128,132 | ||||
Golar LNG, Ltd. (a) (b) | 15,855 | 152,842 | ||||
Goodrich Petroleum Corp. (a) | 1,402 | 14,146 | ||||
Green Plains, Inc. (a) | 6,838 | 90,057 | ||||
International Seaways, Inc. | 4,897 | 79,968 | ||||
Kosmos Energy, Ltd. | 70,300 | 165,205 | ||||
Magnolia Oil & Gas Corp. Class A (a) (b) | 21,600 | 152,496 | ||||
Matador Resources Co. (a) | 19,202 | 231,576 | ||||
Murphy Oil Corp. | 22,400 | 271,040 | ||||
NACCO Industries, Inc. Class A | 586 | 15,412 | ||||
NextDecade Corp. (a) | 3,407 | 7,121 | ||||
Nordic American Tankers, Ltd. | 25,640 | 75,638 | ||||
Overseas Shipholding Group, Inc. Class A (a) | 10,041 | 21,488 | ||||
Ovintiv, Inc. | 41,000 | 588,760 | ||||
Par Pacific Holdings, Inc. (a) | 6,989 | 97,706 | ||||
Parsley Energy, Inc. Class A | 47,504 | 674,557 | ||||
PBF Energy, Inc. Class A | 16,852 | 119,649 | ||||
PDC Energy, Inc. (a) | 15,391 | 315,977 | ||||
Peabody Energy Corp. (a) | 10,003 | 24,107 | ||||
Penn Virginia Corp. (a) (b) | 2,119 | 21,508 | ||||
PrimeEnergy Resources Corp. (a) | 73 | 3,151 | ||||
Range Resources Corp. | 37,372 | 250,392 | ||||
Renewable Energy Group, Inc. (a) | 5,925 | 419,609 | ||||
REX American Resources Corp. (a) | 1,104 | 81,111 | ||||
Scorpio Tankers, Inc. (b) | 8,799 | 98,461 | ||||
SFL Corp., Ltd. | 16,500 | 103,620 | ||||
SM Energy Co. | 19,856 | 121,519 | ||||
Southwestern Energy Co. (a) | 99,749 | 297,252 | ||||
Talos Energy, Inc. (a) | 1,700 | 14,008 | ||||
Targa Resources Corp. | 35,853 | 945,802 | ||||
Tellurian, Inc. (a) (b) | 26,427 | 33,827 | ||||
Uranium Energy Corp. (a) (b) | 34,000 | 59,840 | ||||
W&T Offshore, Inc. (a) (b) | 14,700 | 31,899 | ||||
Whiting Petroleum Corp. (a) | 188 | 4,700 | ||||
World Fuel Services Corp. | 9,635 | 300,227 | ||||
WPX Energy, Inc. (a) | 63,232 | 515,341 | ||||
12,778,950 | ||||||
PAPER & FOREST PRODUCTS — 0.1% | ||||||
Clearwater Paper Corp. (a) | 2,807 | 105,964 | ||||
Domtar Corp. | 8,452 | 267,506 | ||||
Glatfelter Corp. | 7,600 | 124,488 | ||||
Louisiana-Pacific Corp. | 17,202 | 639,398 | ||||
Neenah, Inc. | 2,945 | 162,917 |
Security Description | Shares | Value | ||||
Schweitzer-Mauduit International, Inc. | 5,421 | $ 217,979 | ||||
Verso Corp. Class A | 6,429 | 77,277 | ||||
1,595,529 | ||||||
PERSONAL PRODUCTS — 0.3% | ||||||
BellRing Brands, Inc. Class A (a) | 6,971 | 169,465 | ||||
Coty, Inc. Class A | 44,700 | 313,794 | ||||
Edgewell Personal Care Co. | 8,379 | 289,746 | ||||
elf Beauty, Inc. (a) | 7,900 | 199,001 | ||||
Herbalife Nutrition, Ltd. (a) | 14,176 | 681,157 | ||||
Inter Parfums, Inc. | 3,077 | 186,128 | ||||
Lifevantage Corp. (a) | 2,200 | 20,504 | ||||
Medifast, Inc. | 1,760 | 345,558 | ||||
Nature's Sunshine Products, Inc. (a) | 1,300 | 19,435 | ||||
Nu Skin Enterprises, Inc. Class A | 7,858 | 429,283 | ||||
Revlon, Inc. Class A (a) | 1,100 | 13,068 | ||||
USANA Health Sciences, Inc. (a) | 2,044 | 157,592 | ||||
Veru, Inc. (a) (b) | 9,300 | 80,445 | ||||
2,905,176 | ||||||
PHARMACEUTICALS — 1.3% | ||||||
AcelRx Pharmaceuticals, Inc. (a) (b) | 12,200 | 15,128 | ||||
Aerie Pharmaceuticals, Inc. (a) (b) | 6,400 | 86,464 | ||||
Agile Therapeutics, Inc. (a) (b) | 10,300 | 29,561 | ||||
Amneal Pharmaceuticals, Inc. (a) (b) | 17,290 | 79,015 | ||||
Amphastar Pharmaceuticals, Inc. (a) | 6,327 | 127,236 | ||||
ANI Pharmaceuticals, Inc. (a) | 1,533 | 44,518 | ||||
Aquestive Therapeutics, Inc. (a) (b) | 3,000 | 16,050 | ||||
Arvinas Inc. (a) | 5,396 | 458,282 | ||||
Atea Pharmaceuticals, Inc. (a) | 2,500 | 104,450 | ||||
Athira Pharma, Inc. (a) | 2,200 | 75,350 | ||||
Avenue Therapeutics, Inc. (a) (b) | 1,000 | 5,950 | ||||
Axsome Therapeutics, Inc. (a) (b) | 4,300 | 350,321 | ||||
Aytu BioScience, Inc. (a) (b) | 350 | 2,093 | ||||
BioDelivery Sciences International, Inc. (a) | 18,200 | 76,440 | ||||
Cara Therapeutics, Inc. (a) (b) | 7,200 | 108,936 | ||||
Cassava Sciences, Inc. (a) (b) | 5,700 | 38,874 | ||||
Cerecor, Inc. (a) | 5,400 | 14,256 | ||||
Chiasma, Inc. (a) | 8,100 | 35,235 | ||||
Codiak Biosciences, Inc. (a) | 1,000 | 32,300 | ||||
Collegium Pharmaceutical, Inc. (a) | 5,967 | 119,519 | ||||
Corcept Therapeutics, Inc. (a) | 15,084 | 394,597 | ||||
CorMedix, Inc. (a) (b) | 5,800 | 43,094 | ||||
Cymabay Therapeutics, Inc. (a) | 12,030 | 69,052 |
Security Description | Shares | Value | |||
Durect Corp. (a) (b) | 35,700 | $ 73,899 | |||
Elanco Animal Health, Inc. (a) | 72,500 | 2,223,575 | |||
Eloxx Pharmaceuticals, Inc. (a) (b) | 3,939 | 15,677 | |||
Endo International PLC (a) | 34,600 | 248,428 | |||
Eton Pharmaceuticals, Inc. (a) (b) | 3,000 | 24,390 | |||
Evofem Biosciences, Inc. (a) (b) | 12,346 | 29,754 | |||
Evolus, Inc. (a) | 2,900 | 9,744 | |||
Fulcrum Therapeutics, Inc. (a) (b) | 2,320 | 27,167 | |||
Graybug Vision, Inc. (a) | 1,100 | 31,922 | |||
Harmony Biosciences Holdings, Inc. (a) (b) | 1,100 | 39,765 | |||
Harrow Health, Inc. (a) (b) | 3,400 | 23,324 | |||
Horizon Therapeutics PLC (a) | 31,124 | 2,276,721 | |||
IMARA, Inc. (a) (b) | 1,300 | 28,665 | |||
Innoviva, Inc. (a) | 11,053 | 136,947 | |||
Intra-Cellular Therapies, Inc. (a) | 10,225 | 325,155 | |||
Jazz Pharmaceuticals PLC (a) | 8,651 | 1,427,848 | |||
Kala Pharmaceuticals, Inc. (a) (b) | 6,500 | 44,070 | |||
Kaleido Biosciences, Inc. (a) (b) | 2,000 | 18,200 | |||
Lannett Co., Inc. (a) (b) | 5,097 | 33,232 | |||
Liquidia Corp. (a) (b) | 3,900 | 11,505 | |||
Lyra Therapeutics, Inc. (a) | 1,200 | 13,680 | |||
Marinus Pharmaceuticals, Inc. (a) (b) | 4,072 | 49,678 | |||
Nektar Therapeutics (a) (b) | 27,200 | 462,400 | |||
NGM Biopharmaceuticals, Inc. (a) | 4,125 | 124,967 | |||
Ocular Therapeutix, Inc. (a) | 9,900 | 204,930 | |||
Odonate Therapeutics, Inc. (a) | 2,700 | 51,840 | |||
Omeros Corp. (a) (b) | 10,293 | 147,036 | |||
Optinose, Inc. (a) (b) | 5,200 | 21,528 | |||
Osmotica Pharmaceuticals PLC (a) (b) | 2,100 | 8,652 | |||
Pacira BioSciences, Inc. (a) | 6,637 | 397,158 | |||
Paratek Pharmaceuticals, Inc. (a) (b) | 7,000 | 43,820 | |||
Phathom Pharmaceuticals, Inc. (a) (b) | 1,800 | 59,796 | |||
Phibro Animal Health Corp. Class A | 4,200 | 81,564 | |||
Pliant Therapeutics, Inc. (a) (b) | 1,700 | 38,624 | |||
Prestige Consumer Healthcare, Inc. (a) | 7,716 | 269,057 | |||
Provention Bio, Inc. (a) (b) | 8,300 | 140,602 | |||
Reata Pharmaceuticals, Inc. Class A (a) (b) | 3,767 | 465,677 | |||
Recro Pharma, Inc. (a) (b) | 3,100 | 8,835 | |||
Relmada Therapeutics, Inc. (a) (b) | 2,600 | 83,382 | |||
Revance Therapeutics, Inc. (a) | 9,674 | 274,161 | |||
Royalty Pharma PLC Class A (b) | 17,200 | 860,860 |
Security Description | Shares | Value | ||||
Satsuma Pharmaceuticals, Inc. (a) (b) | 1,300 | $ 5,993 | ||||
scPharmaceuticals, Inc. (a) (b) | 800 | 4,232 | ||||
SIGA Technologies, Inc. (a) | 10,700 | 77,789 | ||||
Strongbridge Biopharma PLC (a) | 6,500 | 15,795 | ||||
Supernus Pharmaceuticals, Inc. (a) | 8,500 | 213,860 | ||||
Tarsus Pharmaceuticals, Inc. (a) | 1,100 | 45,463 | ||||
TherapeuticsMD, Inc. (a) (b) | 44,900 | 54,329 | ||||
Theravance Biopharma, Inc. (a) (b) | 8,104 | 144,008 | ||||
Tricida, Inc. (a) (b) | 4,570 | 32,218 | ||||
Verrica Pharmaceuticals, Inc. (a) (b) | 2,000 | 23,020 | ||||
VYNE Therapeutics, Inc. (a) (b) | 22,793 | 36,013 | ||||
WaVe Life Sciences, Ltd. (a) | 5,710 | 44,938 | ||||
Xeris Pharmaceuticals, Inc. (a) | 7,400 | 36,408 | ||||
Zogenix, Inc. (a) (b) | 9,641 | 192,724 | ||||
14,111,746 | ||||||
PROFESSIONAL SERVICES — 1.6% | ||||||
Acacia Research Corp. (a) | 7,700 | 30,338 | ||||
Akerna Corp. (a) (b) | 3,000 | 9,720 | ||||
ASGN, Inc. (a) | 7,935 | 662,811 | ||||
Barrett Business Services, Inc. | 1,339 | 91,333 | ||||
BG Staffing, Inc. | 1,552 | 20,936 | ||||
CBIZ, Inc. (a) | 8,900 | 236,829 | ||||
CoreLogic, Inc. | 12,300 | 951,036 | ||||
CoStar Group, Inc. (a) | 6,291 | 5,814,646 | ||||
CRA International, Inc. | 1,245 | 63,408 | ||||
Dun & Bradstreet Holdings, Inc. (a) | 13,300 | 331,170 | ||||
Exponent, Inc. | 8,050 | 724,742 | ||||
Forrester Research, Inc. (a) | 2,200 | 92,180 | ||||
Franklin Covey Co. (a) | 1,983 | 44,161 | ||||
FTI Consulting, Inc. (a) | 5,577 | 623,062 | ||||
GP Strategies Corp. (a) | 2,000 | 23,720 | ||||
Heidrick & Struggles International, Inc. | 3,300 | 96,954 | ||||
Huron Consulting Group, Inc. (a) | 3,931 | 231,732 | ||||
ICF International, Inc. | 3,147 | 233,917 | ||||
Insperity, Inc. | 5,610 | 456,766 | ||||
Kelly Services, Inc. Class A | 5,895 | 121,260 | ||||
Kforce, Inc. | 3,400 | 143,106 | ||||
Korn Ferry | 8,452 | 367,662 | ||||
ManpowerGroup, Inc. | 9,190 | 828,754 | ||||
Mastech Digital, Inc. (a) | 600 | 9,540 | ||||
Mistras Group, Inc. (a) | 2,858 | 22,178 | ||||
Red Violet, Inc. (a) (b) | 1,600 | 41,776 | ||||
Resources Connection, Inc. | 6,200 | 77,934 | ||||
TransUnion | 30,383 | 3,014,601 | ||||
TriNet Group, Inc. (a) | 6,400 | 515,840 | ||||
TrueBlue, Inc. (a) | 6,107 | 114,140 | ||||
Upwork, Inc. (a) | 14,487 | 500,091 |
Security Description | Shares | Value | ||||
Willdan Group, Inc. (a) | 2,071 | $ 86,361 | ||||
16,582,704 | ||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.5% | ||||||
Altisource Portfolio Solutions SA (a) | 800 | 10,304 | ||||
American Realty Investors, Inc. (a) (b) | 300 | 3,270 | ||||
Cushman & Wakefield PLC (a) (b) | 16,906 | 250,716 | ||||
eXp World Holdings, Inc. (a) | 3,800 | 239,856 | ||||
Fathom Holdings, Inc. (a) | 700 | 25,228 | ||||
Forestar Group, Inc. (a) | 2,906 | 58,643 | ||||
FRP Holdings, Inc. (a) | 1,089 | 49,604 | ||||
Howard Hughes Corp. (a) | 6,074 | 479,421 | ||||
Indus Realty Trust, Inc. | 553 | 34,563 | ||||
Jones Lang LaSalle, Inc. | 8,169 | 1,212,035 | ||||
Kennedy-Wilson Holdings, Inc. | 18,642 | 333,505 | ||||
Marcus & Millichap, Inc. (a) | 4,046 | 150,633 | ||||
Maui Land & Pineapple Co., Inc. (a) | 1,036 | 11,945 | ||||
Newmark Group, Inc. Class A | 25,212 | 183,795 | ||||
Rafael Holdings, Inc. Class B (a) | 1,502 | 35,027 | ||||
RE/MAX Holdings, Inc. Class A | 3,200 | 116,256 | ||||
Realogy Holdings Corp. (a) (b) | 17,495 | 229,534 | ||||
Redfin Corp. (a) | 15,700 | 1,077,491 | ||||
RMR Group, Inc. Class A | 2,607 | 100,682 | ||||
St. Joe Co. (b) | 5,700 | 241,965 | ||||
Stratus Properties, Inc. (a) | 900 | 22,950 | ||||
Tejon Ranch Co. (a) | 4,500 | 65,025 | ||||
Transcontinental Realty Investors, Inc. (a) | 207 | 4,991 | ||||
4,937,439 | ||||||
ROAD & RAIL — 1.7% | ||||||
AMERCO | 1,377 | 625,103 | ||||
ArcBest Corp. | 4,367 | 186,340 | ||||
Avis Budget Group, Inc. (a) | 8,072 | 301,086 | ||||
Covenant Logistics Group, Inc. Class A (a) | 1,945 | 28,805 | ||||
Daseke, Inc. (a) | 9,764 | 56,729 | ||||
Heartland Express, Inc. | 8,455 | 153,036 | ||||
Knight-Swift Transportation Holdings, Inc. | 19,771 | 826,823 | ||||
Landstar System, Inc. | 6,005 | 808,633 | ||||
Lyft, Inc. Class A (a) (b) | 39,400 | 1,935,722 | ||||
Marten Transport, Ltd. | 10,348 | 178,296 | ||||
PAM Transportation Services, Inc. (a) | 298 | 14,602 | ||||
Ryder System, Inc. | 8,239 | 508,841 | ||||
Saia, Inc. (a) | 4,115 | 743,992 | ||||
Schneider National, Inc. Class B | 10,300 | 213,210 | ||||
Uber Technologies, Inc. (a) | 221,115 | 11,276,865 | ||||
Universal Logistics Holdings, Inc. | 1,329 | 27,364 |
Security Description | Shares | Value | ||||
US Xpress Enterprises, Inc. Class A (a) | 3,398 | $ 23,242 | ||||
Werner Enterprises, Inc. | 9,400 | 368,668 | ||||
18,277,357 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.5% | ||||||
Advanced Energy Industries, Inc. (a) | 5,954 | 577,359 | ||||
Allegro MicroSystems, Inc. (a) | 5,100 | 135,966 | ||||
Alpha & Omega Semiconductor, Ltd. (a) | 3,687 | 87,161 | ||||
Ambarella, Inc. (a) | 5,180 | 475,628 | ||||
Amkor Technology, Inc. | 15,235 | 229,744 | ||||
Atomera, Inc. (a) (b) | 3,000 | 48,270 | ||||
Axcelis Technologies, Inc. (a) | 5,785 | 168,459 | ||||
AXT, Inc. (a) | 6,853 | 65,583 | ||||
Brooks Automation, Inc. | 11,400 | 773,490 | ||||
CEVA, Inc. (a) | 3,871 | 176,130 | ||||
Cirrus Logic, Inc. (a) | 9,140 | 751,308 | ||||
CMC Materials, Inc. | 4,597 | 695,526 | ||||
Cohu, Inc. | 6,291 | 240,190 | ||||
Cree, Inc. (a) | 17,615 | 1,865,428 | ||||
CyberOptics Corp. (a) | 1,100 | 24,959 | ||||
Diodes, Inc. (a) | 6,692 | 471,786 | ||||
DSP Group, Inc. (a) | 3,896 | 64,635 | ||||
Enphase Energy, Inc. (a) | 16,836 | 2,954,213 | ||||
Entegris, Inc. | 21,398 | 2,056,348 | ||||
First Solar, Inc. (a) | 14,651 | 1,449,277 | ||||
FormFactor, Inc. (a) | 12,065 | 519,036 | ||||
GSI Technology, Inc. (a) | 2,400 | 17,760 | ||||
Ichor Holdings, Ltd. (a) | 3,899 | 117,535 | ||||
Impinj, Inc. (a) (b) | 3,000 | 125,610 | ||||
Inphi Corp. (a) | 7,619 | 1,222,621 | ||||
Lattice Semiconductor Corp. (a) | 21,480 | 984,214 | ||||
MACOM Technology Solutions Holdings, Inc. (a) (b) | 7,252 | 399,150 | ||||
Marvell Technology Group, Ltd. | 106,648 | 5,070,046 | ||||
Maxeon Solar Technologies, Ltd. (a) (b) | 2,069 | 58,698 | ||||
MaxLinear, Inc. (a) | 10,600 | 404,814 | ||||
MKS Instruments, Inc. | 8,647 | 1,300,941 | ||||
Monolithic Power Systems, Inc. | 7,036 | 2,576,794 | ||||
NeoPhotonics Corp. (a) | 8,700 | 79,083 | ||||
NVE Corp. | 786 | 44,157 | ||||
ON Semiconductor Corp. (a) | 64,701 | 2,117,664 | ||||
Onto Innovation, Inc. (a) | 7,357 | 349,825 | ||||
PDF Solutions, Inc. (a) | 5,029 | 108,626 | ||||
Photronics, Inc. (a) | 10,993 | 122,682 | ||||
Pixelworks, Inc. (a) | 5,800 | 16,356 | ||||
Power Integrations, Inc. | 9,252 | 757,369 | ||||
Rambus, Inc. (a) | 17,501 | 305,567 | ||||
Semtech Corp. (a) | 10,158 | 732,290 | ||||
Silicon Laboratories, Inc. (a) | 6,799 | 865,785 | ||||
SiTime Corp. (a) | 1,600 | 179,088 | ||||
SMART Global Holdings, Inc. (a) (b) | 2,490 | 93,699 |
Security Description | Shares | Value | ||||
SolarEdge Technologies, Inc. (a) | 7,813 | $ 2,493,285 | ||||
SunPower Corp. (a) (b) | 11,755 | 301,398 | ||||
Synaptics, Inc. (a) | 5,422 | 522,681 | ||||
Ultra Clean Holdings, Inc. (a) | 6,998 | 217,988 | ||||
Universal Display Corp. | 7,011 | 1,611,128 | ||||
Veeco Instruments, Inc. (a) | 8,508 | 147,699 | ||||
37,175,049 | ||||||
SOFTWARE — 12.7% | ||||||
2U, Inc. (a) (b) | 10,827 | 433,188 | ||||
8x8, Inc. (a) | 16,500 | 568,755 | ||||
A10 Networks, Inc. (a) | 10,400 | 102,544 | ||||
ACI Worldwide, Inc. (a) | 17,966 | 690,433 | ||||
Agilysys, Inc. (a) | 3,357 | 128,842 | ||||
Alarm.com Holdings, Inc. (a) | 7,500 | 775,875 | ||||
Altair Engineering, Inc. Class A (a) (b) | 6,753 | 392,890 | ||||
Alteryx, Inc. Class A (a) (b) | 8,522 | 1,037,894 | ||||
American Software, Inc. Class A | 5,200 | 89,284 | ||||
Anaplan, Inc. (a) | 21,224 | 1,524,944 | ||||
Appfolio, Inc. Class A (a) | 2,586 | 465,583 | ||||
Appian Corp. (a) (b) | 5,648 | 915,484 | ||||
Aspen Technology, Inc. (a) | 10,802 | 1,406,961 | ||||
Asure Software, Inc. (a) | 2,000 | 14,200 | ||||
Atlassian Corp. PLC Class A (a) | 21,043 | 4,921,326 | ||||
Avalara, Inc. (a) | 13,178 | 2,172,920 | ||||
Avaya Holdings Corp. (a) | 12,588 | 241,060 | ||||
Benefitfocus, Inc. (a) | 5,041 | 72,994 | ||||
Bill.Com Holdings, Inc. (a) | 11,621 | 1,586,267 | ||||
Blackbaud, Inc. | 7,733 | 445,111 | ||||
Blackline, Inc. (a) | 8,062 | 1,075,310 | ||||
Bottomline Technologies DE, Inc. (a) | 6,900 | 363,906 | ||||
Box, Inc. Class A (a) | 21,965 | 396,468 | ||||
CDK Global, Inc. | 19,273 | 998,920 | ||||
Cerence, Inc. (a) | 5,747 | 577,459 | ||||
Ceridian HCM Holding, Inc. (a) | 18,348 | 1,955,163 | ||||
ChannelAdvisor Corp. (a) | 4,900 | 78,302 | ||||
Cloudera, Inc. (a) (b) | 31,921 | 444,021 | ||||
Cloudflare, Inc. Class A (a) | 17,300 | 1,314,627 | ||||
CommVault Systems, Inc. (a) | 6,520 | 361,012 | ||||
Cornerstone OnDemand, Inc. (a) | 9,575 | 421,683 | ||||
Coupa Software, Inc. (a) | 11,045 | 3,743,261 | ||||
Crowdstrike Holdings, Inc. Class A (a) | 24,441 | 5,177,093 | ||||
Datadog, Inc. Class A (a) | 24,696 | 2,431,074 | ||||
Datto Holding Corp. (a) | 4,200 | 113,400 | ||||
Digimarc Corp. (a) (b) | 2,040 | 96,370 | ||||
Digital Turbine, Inc. (a) | 13,186 | 745,800 | ||||
DocuSign, Inc. (a) | 28,595 | 6,356,669 | ||||
Domo, Inc. Class B (a) | 3,944 | 251,509 | ||||
Dropbox, Inc. Class A (a) | 38,924 | 863,724 | ||||
Duck Creek Technologies, Inc. (a) | 4,000 | 173,200 | ||||
Dynatrace, Inc. (a) | 29,100 | 1,259,157 |
Security Description | Shares | Value | |||
Ebix, Inc. (b) | 4,698 | $ 178,383 | |||
eGain Corp. (a) | 4,594 | 54,255 | |||
Elastic NV (a) | 10,764 | 1,572,943 | |||
Envestnet, Inc. (a) | 8,299 | 682,925 | |||
Everbridge, Inc. (a) (b) | 5,551 | 827,488 | |||
Fair Isaac Corp. (a) | 4,505 | 2,302,235 | |||
FireEye, Inc. (a) | 35,047 | 808,184 | |||
Five9, Inc. (a) | 9,823 | 1,713,131 | |||
GTY Technology Holdings, Inc. (a) (b) | 7,100 | 36,778 | |||
Guidewire Software, Inc. (a) | 13,374 | 1,721,635 | |||
HubSpot, Inc. (a) | 6,655 | 2,638,308 | |||
Intelligent Systems Corp. (a) (b) | 1,583 | 63,494 | |||
InterDigital, Inc. | 4,773 | 289,626 | |||
J2 Global, Inc. (a) | 7,154 | 698,874 | |||
Jamf Holding Corp. (a) | 5,400 | 161,568 | |||
JFrog, Ltd. (a) | 2,300 | 144,509 | |||
LivePerson, Inc. (a) (b) | 9,800 | 609,854 | |||
Manhattan Associates, Inc. (a) | 10,083 | 1,060,530 | |||
McAfee Corp. Class A | 6,500 | 108,485 | |||
Medallia, Inc. (a) (b) | 13,620 | 452,456 | |||
MicroStrategy, Inc. Class A (a) | 1,170 | 454,604 | |||
Mimecast, Ltd. (a) | 8,900 | 505,876 | |||
Mitek Systems, Inc. (a) | 7,061 | 125,545 | |||
Model N, Inc. (a) (b) | 5,956 | 212,510 | |||
nCino, Inc. (a) | 2,600 | 188,266 | |||
New Relic, Inc. (a) | 8,131 | 531,767 | |||
Nuance Communications, Inc. (a) | 44,846 | 1,977,260 | |||
Nutanix, Inc. Class A (a) | 30,600 | 975,222 | |||
OneSpan, Inc. (a) | 5,797 | 119,882 | |||
Pagerduty, Inc. (a) (b) | 10,898 | 454,447 | |||
Palo Alto Networks, Inc. (a) | 14,954 | 5,314,502 | |||
Park City Group, Inc. (a) | 1,900 | 9,101 | |||
Paylocity Holding Corp. (a) | 6,054 | 1,246,579 | |||
Pegasystems, Inc. (b) | 6,263 | 834,607 | |||
Ping Identity Holding Corp. (a) (b) | 6,500 | 186,160 | |||
Pluralsight, Inc. Class A (a) | 13,812 | 289,500 | |||
Progress Software Corp. | 6,938 | 313,528 | |||
Proofpoint, Inc. (a) | 8,969 | 1,223,461 | |||
PROS Holdings, Inc. (a) | 6,000 | 304,620 | |||
PTC, Inc. (a) | 16,666 | 1,993,420 | |||
Q2 Holdings, Inc. (a) (b) | 8,199 | 1,037,419 | |||
QAD, Inc. Class A | 2,010 | 126,992 | |||
Qualys, Inc. (a) | 5,329 | 649,445 | |||
Rapid7, Inc. (a) | 8,125 | 732,550 | |||
RealPage, Inc. (a) | 13,976 | 1,219,266 | |||
Rimini Street, Inc. (a) | 3,200 | 14,176 | |||
RingCentral, Inc. Class A (a) | 12,609 | 4,778,433 | |||
SailPoint Technologies Holding, Inc. (a) | 13,800 | 734,712 | |||
Sapiens International Corp. NV | 4,800 | 146,928 | |||
Seachange International, Inc. (a) | 4,600 | 6,440 | |||
SecureWorks Corp. Class A (a) (b) | 1,295 | 18,415 |
Security Description | Shares | Value | ||||
ShotSpotter, Inc. (a) (b) | 1,300 | $ 49,010 | ||||
Slack Technologies, Inc. Class A (a) | 60,911 | 2,572,881 | ||||
Smartsheet, Inc. Class A (a) | 17,750 | 1,229,898 | ||||
Smith Micro Software, Inc. (a) | 8,000 | 43,360 | ||||
SolarWinds Corp. (a) | 8,204 | 122,650 | ||||
Splunk, Inc. (a) | 25,606 | 4,350,203 | ||||
Sprout Social, Inc. Class A (a) | 4,900 | 222,509 | ||||
SPS Commerce, Inc. (a) | 5,552 | 602,892 | ||||
SS&C Technologies Holdings, Inc. | 35,897 | 2,611,507 | ||||
Sumo Logic, Inc. (a) | 2,500 | 71,450 | ||||
SVMK, Inc. (a) | 19,200 | 490,560 | ||||
Synchronoss Technologies, Inc. (a) | 6,000 | 28,200 | ||||
Telenav, Inc. (a) | 5,252 | 24,684 | ||||
Tenable Holdings, Inc. (a) | 11,100 | 580,086 | ||||
Teradata Corp. (a) (b) | 16,867 | 379,001 | ||||
Trade Desk, Inc. Class A (a) | 6,648 | 5,325,048 | ||||
Unity Software, Inc. (a) | 4,600 | 705,962 | ||||
Upland Software, Inc. (a) | 4,600 | 211,094 | ||||
Varonis Systems, Inc. (a) | 5,072 | 829,830 | ||||
Verint Systems, Inc. (a) | 10,229 | 687,184 | ||||
VirnetX Holding Corp. (b) | 11,000 | 55,440 | ||||
VMware, Inc. Class A (a) (b) | 12,821 | 1,798,273 | ||||
Workday, Inc. Class A (a) | 28,230 | 6,764,190 | ||||
Workiva, Inc. (a) | 6,200 | 568,044 | ||||
Xperi Holding Corp. | 16,136 | 337,242 | ||||
Yext, Inc. (a) (b) | 15,700 | 246,804 | ||||
Zendesk, Inc. (a) | 18,439 | 2,638,990 | ||||
Zix Corp. (a) | 8,987 | 77,558 | ||||
Zoom Video Communications, Inc. Class A (a) | 26,855 | 9,058,729 | ||||
Zscaler, Inc. (a) | 11,566 | 2,309,846 | ||||
Zuora, Inc. Class A (a) (b) | 17,500 | 243,775 | ||||
135,272,877 | ||||||
SPECIALTY RETAIL — 2.1% | ||||||
Aaron's Co., Inc. (a) | 5,848 | 110,878 | ||||
Abercrombie & Fitch Co. Class A | 10,842 | 220,743 | ||||
Academy Sports & Outdoors, Inc. (a) | 3,100 | 64,263 | ||||
American Eagle Outfitters, Inc. (b) | 23,526 | 472,167 | ||||
America's Car-Mart, Inc. (a) | 1,131 | 124,229 | ||||
Asbury Automotive Group, Inc. (a) | 2,972 | 433,139 | ||||
At Home Group, Inc. (a) (b) | 9,400 | 145,324 | ||||
AutoNation, Inc. (a) | 9,069 | 632,926 | ||||
Bed Bath & Beyond, Inc. (b) | 19,646 | 348,913 | ||||
Boot Barn Holdings, Inc. (a) | 5,000 | 216,800 | ||||
Buckle, Inc. (b) | 5,087 | 148,540 | ||||
Burlington Stores, Inc. (a) | 10,402 | 2,720,643 | ||||
Caleres, Inc. | 5,990 | 93,744 | ||||
Camping World Holdings, Inc. Class A (b) | 5,727 | 149,188 |
Security Description | Shares | Value | |||
Carvana Co. (a) (b) | 8,890 | $ 2,129,511 | |||
Cato Corp. Class A | 3,500 | 33,565 | |||
Chico's FAS, Inc. | 18,253 | 29,022 | |||
Children's Place, Inc. (b) | 2,442 | 122,344 | |||
Citi Trends, Inc. | 1,700 | 84,456 | |||
Conn's, Inc. (a) | 2,822 | 32,989 | |||
Container Store Group, Inc. (a) | 3,173 | 30,270 | |||
Designer Brands, Inc. Class A (b) | 10,756 | 82,283 | |||
Dick's Sporting Goods, Inc. | 9,744 | 547,710 | |||
Envela Corp. (a) (b) | 1,200 | 6,240 | |||
Express, Inc. (a) (b) | 9,949 | 9,054 | |||
Five Below, Inc. (a) | 8,649 | 1,513,402 | |||
Floor & Decor Holdings, Inc. Class A (a) | 14,900 | 1,383,465 | |||
Foot Locker, Inc. | 16,300 | 659,172 | |||
GameStop Corp. Class A (a) (b) | 9,965 | 187,741 | |||
Genesco, Inc. (a) | 2,505 | 75,375 | |||
Group 1 Automotive, Inc. | 2,703 | 354,471 | |||
GrowGeneration Corp. (a) (b) | 5,600 | 225,232 | |||
Guess?, Inc. | 6,800 | 153,816 | |||
Haverty Furniture Cos., Inc. | 2,755 | 76,231 | |||
Hibbett Sports, Inc. (a) | 2,834 | 130,874 | |||
Leslie's, Inc. (a) | 8,100 | 224,775 | |||
Lithia Motors, Inc. Class A | 4,156 | 1,216,337 | |||
Lumber Liquidators Holdings, Inc. (a) | 4,959 | 152,440 | |||
MarineMax, Inc. (a) | 3,576 | 125,267 | |||
Michaels Cos., Inc. (a) (b) | 13,185 | 171,537 | |||
Monro, Inc. | 5,098 | 271,723 | |||
Murphy USA, Inc. | 4,183 | 547,429 | |||
National Vision Holdings, Inc. (a) | 12,605 | 570,881 | |||
ODP Corp. | 7,918 | 231,997 | |||
OneWater Marine, Inc. Class A (a) | 1,500 | 43,635 | |||
Penske Automotive Group, Inc. (b) | 4,889 | 290,358 | |||
Rent-A-Center, Inc. | 7,450 | 285,261 | |||
RH (a) (b) | 2,461 | 1,101,347 | |||
Sally Beauty Holdings, Inc. (a) (b) | 19,648 | 256,210 | |||
Shoe Carnival, Inc. | 1,500 | 58,770 | |||
Signet Jewelers, Ltd. (b) | 9,100 | 248,157 | |||
Sleep Number Corp. (a) | 4,176 | 341,847 | |||
Sonic Automotive, Inc. Class A | 4,036 | 155,669 | |||
Sportsman's Warehouse Holdings, Inc. (a) | 7,470 | 131,099 | |||
Tilly's, Inc. Class A | 3,437 | 28,046 | |||
Urban Outfitters, Inc. (a) | 10,550 | 270,080 | |||
Vroom, Inc. (a) (b) | 4,700 | 192,559 | |||
Williams-Sonoma, Inc. | 12,248 | 1,247,336 | |||
Winmark Corp. | 531 | 98,660 | |||
Zumiez, Inc. (a) | 3,600 | 132,408 | |||
22,142,548 |
Security Description | Shares | Value | ||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 0.5% | ||||||
3D Systems Corp. (a) (b) | 21,081 | $ 220,929 | ||||
Avid Technology, Inc. (a) | 5,497 | 87,237 | ||||
Corsair Gaming, Inc. (a) | 2,700 | 97,794 | ||||
Dell Technologies, Inc. Class C (a) | 41,347 | 3,030,322 | ||||
Diebold Nixdorf, Inc. (a) | 12,236 | 130,436 | ||||
Eastman Kodak Co. (a) (b) | 2,300 | 18,722 | ||||
Immersion Corp. (a) | 2,735 | 30,878 | ||||
Intevac, Inc. (a) | 3,500 | 25,235 | ||||
NCR Corp. (a) (b) | 20,067 | 753,917 | ||||
Pure Storage, Inc. Class A (a) (b) | 38,300 | 865,963 | ||||
Quantum Corp. (a) | 7,000 | 42,840 | ||||
Super Micro Computer, Inc. (a) | 7,715 | 244,257 | ||||
5,548,530 | ||||||
TEXTILES, APPAREL & LUXURY GOODS — 1.2% | ||||||
Capri Holdings, Ltd. (a) | 22,500 | 945,000 | ||||
Carter's, Inc. | 6,760 | 635,913 | ||||
Columbia Sportswear Co. | 4,520 | 394,958 | ||||
Crocs, Inc. (a) | 10,500 | 657,930 | ||||
Deckers Outdoor Corp. (a) | 4,405 | 1,263,266 | ||||
Fossil Group, Inc. (a) | 8,200 | 71,094 | ||||
G-III Apparel Group, Ltd. (a) | 7,681 | 182,347 | ||||
Kontoor Brands, Inc. (a) (b) | 8,000 | 324,480 | ||||
Lakeland Industries, Inc. (a) | 1,200 | 32,700 | ||||
Lululemon Athletica, Inc. (a) | 18,181 | 6,327,534 | ||||
Movado Group, Inc. | 3,361 | 55,860 | ||||
Oxford Industries, Inc. | 2,830 | 185,393 | ||||
Rocky Brands, Inc. | 1,105 | 31,017 | ||||
Skechers U.S.A., Inc. Class A (a) | 21,147 | 760,023 | ||||
Steven Madden, Ltd. | 12,813 | 452,555 | ||||
Superior Group of Cos., Inc. | 1,700 | 39,508 | ||||
Unifi, Inc. (a) | 2,210 | 39,205 | ||||
Vera Bradley, Inc. (a) | 3,100 | 24,676 | ||||
Wolverine World Wide, Inc. | 12,480 | 390,000 | ||||
12,813,459 | ||||||
THRIFTS & MORTGAGE FINANCE — 0.8% | ||||||
Axos Financial, Inc. (a) | 8,800 | 330,264 | ||||
Bogota Financial Corp. (a) | 900 | 8,019 | ||||
Bridgewater Bancshares, Inc. (a) | 3,450 | 43,091 | ||||
Capitol Federal Financial, Inc. | 19,900 | 248,750 | ||||
Columbia Financial, Inc. (a) | 8,300 | 129,148 | ||||
ESSA Bancorp, Inc. | 1,400 | 21,000 | ||||
Essent Group, Ltd. | 17,308 | 747,706 | ||||
Federal Agricultural Mortgage Corp. Class C | 1,532 | 113,751 | ||||
Flagstar Bancorp, Inc. | 7,425 | 302,643 | ||||
FS Bancorp, Inc. | 635 | 34,798 | ||||
Greene County Bancorp, Inc. | 600 | 15,294 | ||||
Hingham Institution for Savings | 233 | 50,328 |
Security Description | Shares | Value | ||||
Home Bancorp, Inc. | 1,200 | $ 33,588 | ||||
HomeStreet, Inc. | 3,074 | 103,748 | ||||
Kearny Financial Corp. | 13,951 | 147,323 | ||||
Luther Burbank Corp. | 3,100 | 30,380 | ||||
Merchants Bancorp | 1,400 | 38,682 | ||||
Meridian Bancorp, Inc. | 8,130 | 121,218 | ||||
Meta Financial Group, Inc. | 5,843 | 213,620 | ||||
MGIC Investment Corp. | 53,262 | 668,438 | ||||
MMA Capital Holdings, Inc. (a) | 800 | 19,680 | ||||
Mr Cooper Group, Inc. (a) | 11,660 | 361,810 | ||||
New York Community Bancorp, Inc. | 71,123 | 750,348 | ||||
NMI Holdings, Inc. Class A (a) | 12,665 | 286,862 | ||||
Northfield Bancorp, Inc. | 8,280 | 102,092 | ||||
Northwest Bancshares, Inc. | 17,876 | 227,740 | ||||
OceanFirst Financial Corp. | 10,307 | 192,019 | ||||
Oconee Federal Financial Corp. | 200 | 5,060 | ||||
OP Bancorp | 2,000 | 15,400 | ||||
PCSB Financial Corp. | 2,396 | 38,192 | ||||
PennyMac Financial Services, Inc. | 6,597 | 432,895 | ||||
Pioneer Bancorp, Inc. (a) | 1,700 | 17,969 | ||||
Ponce de Leon Federal Bank (a) | 1,400 | 14,714 | ||||
Premier Financial Corp. | 6,497 | 149,431 | ||||
Provident Bancorp, Inc. | 2,914 | 34,968 | ||||
Provident Financial Holdings, Inc. | 900 | 14,139 | ||||
Provident Financial Services, Inc. | 12,556 | 225,506 | ||||
Prudential Bancorp, Inc. | 1,400 | 19,390 | ||||
Radian Group, Inc. | 29,954 | 606,568 | ||||
Riverview Bancorp, Inc. | 3,300 | 17,358 | ||||
Rocket Cos., Inc. Class A (a) (b) | 17,100 | 345,762 | ||||
Security National Financial Corp. Class A (a) | 1,435 | 11,982 | ||||
Southern Missouri Bancorp, Inc. | 1,200 | 36,528 | ||||
Standard AVB Financial Corp. | 600 | 19,554 | ||||
Sterling Bancorp, Inc. | 2,300 | 10,442 | ||||
Territorial Bancorp, Inc. | 1,255 | 30,158 | ||||
TFS Financial Corp. | 8,517 | 150,155 | ||||
Timberland Bancorp, Inc. | 1,200 | 29,112 | ||||
TrustCo Bank Corp. NY | 16,499 | 110,048 | ||||
Walker & Dunlop, Inc. | 4,440 | 408,569 | ||||
Washington Federal, Inc. | 11,617 | 299,022 | ||||
Waterstone Financial, Inc. | 3,600 | 67,752 | ||||
Western New England Bancorp, Inc. | 3,700 | 25,493 | ||||
WSFS Financial Corp. | 7,790 | 349,615 | ||||
8,828,122 | ||||||
TOBACCO — 0.0% (d) | ||||||
Turning Point Brands, Inc. (b) | 2,100 | 93,576 | ||||
Universal Corp. | 4,241 | 206,155 | ||||
Vector Group, Ltd. | 21,396 | 249,263 | ||||
548,994 |
Security Description | Shares | Value | ||||
TRADING COMPANIES & DISTRIBUTORS — 0.9% | ||||||
Air Lease Corp. | 16,856 | $ 748,743 | ||||
Alta Equipment Group, Inc. (a) (b) | 2,600 | 25,688 | ||||
Applied Industrial Technologies, Inc. | 6,015 | 469,110 | ||||
Beacon Roofing Supply, Inc. (a) | 8,476 | 340,650 | ||||
BMC Stock Holdings, Inc. (a) | 11,783 | 632,511 | ||||
Boise Cascade Co. | 6,000 | 286,800 | ||||
CAI International, Inc. | 2,903 | 90,690 | ||||
DXP Enterprises, Inc. (a) | 2,900 | 64,467 | ||||
EVI Industries, Inc. (a) (b) | 1,220 | 36,502 | ||||
Foundation Building Materials, Inc. (a) | 3,600 | 69,156 | ||||
GATX Corp. | 5,431 | 451,751 | ||||
General Finance Corp. (a) | 1,847 | 15,718 | ||||
GMS, Inc. (a) | 7,300 | 222,504 | ||||
H&E Equipment Services, Inc. | 5,600 | 166,936 | ||||
Herc Holdings, Inc. (a) | 3,738 | 248,241 | ||||
Lawson Products, Inc. (a) | 753 | 38,335 | ||||
MRC Global, Inc. (a) | 13,700 | 90,831 | ||||
MSC Industrial Direct Co., Inc. Class A | 6,999 | 590,646 | ||||
Nesco Holdings, Inc. (a) (b) | 2,000 | 14,740 | ||||
NOW, Inc. (a) | 19,119 | 137,274 | ||||
Rush Enterprises, Inc. Class A | 6,250 | 258,875 | ||||
Rush Enterprises, Inc. Class B | 1,350 | 51,151 | ||||
SiteOne Landscape Supply, Inc. (a) | 6,933 | 1,099,782 | ||||
Systemax, Inc. | 2,200 | 78,958 | ||||
Textainer Group Holdings, Ltd. (a) | 8,665 | 166,195 | ||||
Titan Machinery, Inc. (a) | 3,300 | 64,515 | ||||
Transcat, Inc. (a) | 1,100 | 38,148 | ||||
Triton International, Ltd. | 9,431 | 457,498 | ||||
Univar Solutions, Inc. (a) | 26,164 | 497,378 | ||||
Veritiv Corp. (a) | 2,291 | 47,630 | ||||
Watsco, Inc. | 5,142 | 1,164,920 | ||||
WESCO International, Inc. (a) | 7,708 | 605,078 | ||||
Willis Lease Finance Corp. (a) | 410 | 12,489 | ||||
9,283,910 | ||||||
TRANSPORTATION INFRASTRUCTURE — 0.0% (d) | ||||||
Macquarie Infrastructure Corp. | 11,520 | 432,576 | ||||
WATER UTILITIES — 0.3% | ||||||
American States Water Co. | 5,719 | 454,718 | ||||
Artesian Resources Corp. Class A | 1,451 | 53,803 | ||||
Cadiz, Inc. (a) (b) | 3,200 | 34,080 | ||||
California Water Service Group | 7,676 | 414,734 | ||||
Consolidated Water Co., Ltd. | 2,300 | 27,715 | ||||
Essential Utilities, Inc. | 35,639 | 1,685,368 | ||||
Global Water Resources, Inc. | 3,000 | 43,230 | ||||
Middlesex Water Co. | 3,023 | 219,077 | ||||
Pure Cycle Corp. (a) | 3,000 | 33,690 |
Security Description | Shares | Value | ||||
SJW Group | 4,087 | $ 283,474 | ||||
York Water Co. | 2,300 | 107,180 | ||||
3,357,069 | ||||||
WIRELESS TELECOMMUNICATION SERVICES — 0.1% | ||||||
Boingo Wireless, Inc. (a) | 7,600 | 96,672 | ||||
Gogo, Inc. (a) (b) | 9,610 | 92,544 | ||||
Shenandoah Telecommunications Co. | 7,450 | 322,213 | ||||
Spok Holdings, Inc. | 2,700 | 30,051 | ||||
Telephone & Data Systems, Inc. | 15,500 | 287,835 | ||||
United States Cellular Corp. (a) | 2,535 | 77,799 | ||||
907,114 | ||||||
TOTAL COMMON STOCKS (Cost $770,661,578) | 1,053,053,113 | |||||
RIGHTS — 0.0% (d) | ||||||
BIOTECHNOLOGY — 0.0% (d) | ||||||
GTX, Inc. (CVR) (a) (b) | 85 | 161 | ||||
Progenic Pharmaceuticals, Inc. (CVR) (a) | 13,803 | 590 | ||||
Tobira Therapeutics, Inc. (CVR) (a) | 200 | 2,834 | ||||
3,585 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) | ||||||
NewStar Financial, Inc. (CVR) (a) | 2,400 | 204 | ||||
MEDIA — 0.0% (d) | ||||||
Media General, Inc. (CVR) (a) | 6,500 | 650 | ||||
TOTAL RIGHTS (Cost $186) | 4,439 | |||||
WARRANTS — 0.0% (d) | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (d) | ||||||
Pulse Biosciences, Inc.(expiring 5/14/25) (a) (b) | 54 | 910 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.0% (d) | ||||||
Whiting Petroleum Corp. (expiring 9/1/24) (a) | 738 | 1,291 | ||||
Whiting Petroleum Corp. (expiring 9/1/25) (a) | 369 | 701 | ||||
1,992 | ||||||
TOTAL WARRANTS (Cost $0) | 2,902 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 5.3% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (f) (g) | 13,650,443 | $ 13,653,173 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 43,142,840 | 43,142,840 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $56,796,013) | 56,796,013 | |||||
TOTAL INVESTMENTS — 104.1% (Cost $827,457,777) | 1,109,856,467 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.1)% | (43,997,480) | |||||
NET ASSETS — 100.0% | $ 1,065,858,987 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2020, total aggregate fair value of the security is $0, representing 0.00% of the Portfolio's 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 December 31, 2020 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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) | 62 | 03/19/2021 | $ 6,031,117 | $6,121,880 | $ 90,763 | |||||
E-mini S&P MidCap 400 Index (long) | 26 | 03/19/2021 | 5,893,419 | 5,989,100 | 95,681 | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $186,444 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,053,049,691 | $3,422 | $ 0(a) | $ 1,053,053,113 | ||||
Rights | — | 4,439 | — | 4,439 | ||||
Warrants | 1,992 | 910 | — | 2,902 | ||||
Short-Term Investments | 56,796,013 | — | — | 56,796,013 | ||||
TOTAL INVESTMENTS | $1,109,847,696 | $8,771 | $ 0 | $1,109,856,467 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 186,444 | — | — | 186,444 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 186,444 | $ — | $— | $ 186,444 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ 1,110,034,140 | $8,771 | $— | $ 1,110,042,911 |
(a) | The Fund held Level 3 securities that were valued at $0 at December 31, 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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 18,312,980 | $18,314,812 | $294,435,948 | $299,091,434 | $(4,727) | $(1,426) | 13,650,443 | $13,653,173 | $ 45,816 | ||||||||
State Street Navigator Securities Lending Portfolio II | 44,562,252 | 44,562,252 | 172,212,783 | 173,632,195 | — | — | 43,142,840 | 43,142,840 | 480,648 | ||||||||
Total | $62,877,064 | $466,648,731 | $472,723,629 | $(4,727) | $(1,426) | $56,796,013 | $526,464 |
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* | $1,399,684,366 | $3,223,235,094 | $1,053,060,454 | ||
Investments in affiliated issuers, at value | 109,570,948 | 185,082,225 | 56,796,013 | ||
Total Investments | 1,509,255,314 | 3,408,317,319 | 1,109,856,467 | ||
Foreign currency, at value | — | 14,145,746 | — | ||
Net cash at broker | — | 9,609,704 | 541,779 | ||
Cash | 1,261,280 | — | 496 | ||
Receivable from broker — accumulated variation margin on futures contracts | — | 1,155,948 | 186,643 | ||
Receivable for investments sold | 651,194 | 1,411,014 | 107,344,225 | ||
Receivable for fund shares sold | 95,748,750 | 96,300 | 1,030,077 | ||
Dividends receivable — unaffiliated issuers | — | 3,667,511 | 884,069 | ||
Dividends receivable — affiliated issuers | 6,363,723 | 6,885 | 687 | ||
Interest receivable - unaffiliated issuers | — | 16 | — | ||
Securities lending income receivable — unaffiliated issuers | 5,348 | 22,985 | 8,467 | ||
Securities lending income receivable — affiliated issuers | 8,173 | 36,351 | 41,836 | ||
Receivable for foreign taxes recoverable | 734 | 3,281,432 | — | ||
Other Receivable | 439 | — | — | ||
Prepaid expenses and other assets | 1,709 | 4,079 | 1,414 | ||
TOTAL ASSETS | 1,613,296,664 | 3,441,755,290 | 1,219,896,160 | ||
LIABILITIES | |||||
Due to custodian | — | 675,205 | — | ||
Payable upon return of securities loaned | 60,700,873 | 42,151,995 | 43,142,840 | ||
Payable for investments purchased | 137,459,446 | 69,180 | — | ||
Payable for fund shares repurchased | — | 125,719,825 | 110,760,600 | ||
Deferred foreign taxes payable | — | 1,899,956 | — | ||
Custodian, sub-administration and transfer agent fees payable | 39,433 | 65,731 | 37,408 | ||
Custodian fees payable | 3,729 | 69,788 | 3,708 | ||
Trustees’ fees and expenses payable | 263 | 555 | 197 | ||
Registration and filing fees payable | 18,821 | 36,669 | 14,510 | ||
Professional fees payable | 54,542 | 46,461 | 50,417 | ||
Printing and postage fees payable | 8,083 | 18,565 | 6,063 | ||
Accrued expenses and other liabilities | 3,854 | 38,983 | 21,430 | ||
TOTAL LIABILITIES | 198,289,044 | 170,792,913 | 154,037,173 | ||
NET ASSETS | $1,415,007,620 | $3,270,962,377 | $1,065,858,987 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $1,344,415,530 | $2,651,353,137 | $ 721,338,320 | ||
Total distributable earnings (loss)** | 70,592,090 | 619,609,240 | 344,520,667 | ||
NET ASSETS | $1,415,007,620 | $3,270,962,377 | $1,065,858,987 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 107.23 | $ 116.43 | $ 327.73 | ||
Shares of beneficial interest | 13,196,109 | 28,094,410 | 3,252,270 | ||
Net Assets | $1,415,007,620 | $3,270,962,377 | $1,065,858,987 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $1,328,924,109 | $2,544,425,654 | $ 770,661,764 | ||
Investments in affiliated issuers | 109,570,826 | 185,082,225 | 56,796,013 | ||
Total cost of investments | $1,438,494,935 | $2,729,507,879 | $ 827,457,777 | ||
Foreign currency, at cost | $ — | $ 13,921,755 | $ — | ||
* Includes investments in securities on loan, at value | $ 126,215,118 | $ 76,633,690 | $ 80,486,655 | ||
** Includes deferred foreign taxes | $ — | $ 1,899,956 | $ — |
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 | $24,023,166 | $ — | $ — | ||
Dividend income — unaffiliated issuers | — | 61,448,638 | 9,000,128 | ||
Dividend income — affiliated issuers | 58,895 | 287,357 | 45,816 | ||
Unaffiliated securities lending income | 53,892 | 247,021 | 78,567 | ||
Affiliated securities lending income | 154,289 | 536,737 | 480,648 | ||
Foreign taxes withheld | — | (6,273,011) | (7,624) | ||
TOTAL INVESTMENT INCOME (LOSS) | 24,290,242 | 56,246,742 | 9,597,535 | ||
EXPENSES | |||||
Custodian, sub-administration and transfer agent fees | 136,410 | 299,889 | 98,349 | ||
Custodian fees | 24,048 | 747,727 | 20,626 | ||
Trustees’ fees and expenses | 32,865 | 44,839 | 29,375 | ||
Registration and filing fees | — | 10,617 | — | ||
Professional fees and expenses | 46,975 | 50,295 | 40,598 | ||
Printing and postage fees | 17,489 | 38,553 | 12,785 | ||
Insurance expense | 4,453 | 9,654 | 3,466 | ||
Interest expense | — | 10,483 | — | ||
Miscellaneous expenses | 20,739 | 70,379 | 24,667 | ||
TOTAL EXPENSES | 282,979 | 1,282,436 | 229,866 | ||
Expenses waived/reimbursed by the Adviser | (38,532) | — | — | ||
NET EXPENSES | 244,447 | 1,282,436 | 229,866 | ||
NET INVESTMENT INCOME (LOSS) | $24,045,795 | $ 54,964,306 | $ 9,367,669 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | 12,997,401 | (10,180,981) | 87,284,067 | ||
Investments — affiliated issuers | (13,771) | 8,578 | (4,727) | ||
Foreign currency transactions | — | (285,152) | — | ||
Futures contracts | — | 23,010,981 | (35,166) | ||
Net realized gain (loss) | 12,983,630 | 12,553,426 | 87,244,174 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | 38,809,502 | 378,802,902 | 172,734,710 | ||
Investments — affiliated issuers | (708) | 98 | (1,426) | ||
Foreign currency translations | — | 490,973 | — | ||
Futures contracts | — | 499,540 | (45,008) | ||
Net change in unrealized appreciation/depreciation | 38,808,794 | 379,793,513 | 172,688,276 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 51,792,424 | 392,346,939 | 259,932,450 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $75,838,219 | $ 447,311,245 | $ 269,300,119 | ||
** Includes foreign deferred taxes | $ — | $ (1,405,870) | $ — |
State Street Aggregate Bond Index Portfolio | State Street Global All Cap Equity ex- U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/20(b) | Year Ended 12/31/19(b) | Year Ended 12/31/20(c) | Year Ended 12/31/19(c) | ||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ 24,045,795 | $ 29,256,716 | $ 54,964,306 | $ 70,661,931 | $ 9,367,669 | $ 11,790,880 | |||||
Net realized gain (loss) | 12,983,630 | 4,200,017 | 12,553,426 | (39,501,109) | 87,244,174 | 20,777,116 | |||||
Net change in unrealized appreciation/depreciation | 38,808,794 | 51,903,349 | 379,793,513 | 397,527,117 | 172,688,276 | 153,916,930 | |||||
Net increase (decrease) in net assets resulting from operations | 75,838,219 | 85,360,082 | 447,311,245 | 428,687,939 | 269,300,119 | 186,484,926 | |||||
Distributions to shareholders | (34,309,398) | (31,375,273) | (55,571,980) | (74,874,677) | (33,144,081) | (33,388,501) | |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||||||
Proceeds from shares sold | 606,503,436 | 350,758,636 | 1,101,256,816 | 614,713,722 | 315,250,396 | 237,969,754 | |||||
Reinvestment of distributions | 34,309,398 | 31,375,273 | 55,571,980 | 74,874,677 | 33,144,080 | 33,388,500 | |||||
Cost of shares redeemed | (300,912,971) | (249,299,011) | (374,904,536) | (853,701,487) | (267,893,599) | (303,985,012) | |||||
Other Capital | — | — | (50) | — | — | — | |||||
Net increase (decrease) in net assets from capital transactions | 339,899,863 | 132,834,898 | 781,924,210 | (164,113,088) | 80,500,877 | (32,626,758) | |||||
Contribution from Adviser | |||||||||||
Contribution from Affiliate (Note 5) | 439 | — | — | — | — | — | |||||
Net increase (decrease) in net assets during the period | 381,429,123 | 186,819,707 | 1,173,663,475 | 189,700,174 | 316,656,915 | 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 | $1,415,007,620 | $1,033,578,497 | $3,270,962,377 | $2,097,298,902 | $1,065,858,987 | $ 749,202,072 | |||||
SHARES OF BENEFICIAL INTEREST: | |||||||||||
Shares sold | 5,663,700 | 3,487,235 | 11,643,374 | 6,094,026 | 1,213,203 | 980,977 | |||||
Reinvestment of distributions | 320,927 | 309,821 | 489,794 | 707,032 | 100,678 | 131,038 | |||||
Shares redeemed | (2,865,783) | (2,442,349) | (3,713,369) | (8,265,719) | (1,003,530) | (1,218,755) | |||||
Net increase (decrease) from share transactions | 3,118,844 | 1,354,707 | 8,419,799 | (1,464,661) | 310,351 | (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. |
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | $ 98.90 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.65 | 2.80 | 2.60 | 2.30 | 2.30 | ||||
Net realized and unrealized gain (loss) | 7.25 | 5.70 | (2.80) | 1.00 | 0.10 | ||||
Total from investment operations | 7.90 | 8.50 | (0.20) | 3.30 | 2.40 | ||||
Contribution from Affiliate (Note 5) | 0.00(c) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.67) | (3.00) | (2.70) | (2.40) | (2.10) | ||||
Net realized gains | (0.60) | — | — | — | (0.10) | ||||
Total distributions | (3.27) | (3.00) | (2.70) | (2.40) | (2.20) | ||||
Net asset value, end of period | $ 107.23 | $ 102.60 | $ 97.10 | $ 100.00 | $ 99.10 | ||||
Total return (d) | 7.86%(e) | 8.69% | (0.12)% | 3.38% | 2.39% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,415,008 | $1,033,578 | $846,759 | $687,541 | $249,906 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.03% | 0.04% | 0.04% | 0.06% | 0.14% | ||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.03% | 0.01% | ||||
Net investment income (loss) | 2.20% | 2.76% | 2.73% | 2.31% | 2.24% | ||||
Portfolio turnover rate | 37%(f) | 69% | 90% | 99% | 194% |
(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 December 31, 2020, the total return would have remained 7.86%. |
(f) | Portfolio turnover rate excludes to-be-announced (“TBA”) transactions. |
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | $ 84.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.28 | 3.20 | 3.00 | 2.60 | 2.20 | ||||
Net realized and unrealized gain (loss) | 9.49 | 16.40 | (18.20) | 21.20 | 2.00 | ||||
Total from investment operations | 11.77 | 19.60 | (15.20) | 23.80 | 4.20 | ||||
Other capital | (0.00)(c) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.94) | (3.20) | (2.70) | (2.50) | (1.40) | ||||
Net realized gains | — | — | (0.00)(c) | (0.50) | — | ||||
Total distributions | (1.94) | (3.20) | (2.70) | (3.00) | (1.40) | ||||
Net asset value, end of period | $ 116.43 | $ 106.60 | $ 90.20 | $ 108.10 | $ 87.30 | ||||
Total return (d) | 11.07% | 21.70% | (13.99)% | 27.20% | 5.06% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,270,962 | $2,097,299 | $1,907,599 | $1,655,261 | $552,700 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05% | 0.06% | 0.06% | 0.06% | 0.23% | ||||
Net expenses | 0.05% | 0.06% | 0.06% | 0.06% | 0.08% | ||||
Net investment income (loss) | 2.29% | 3.19% | 2.89% | 2.59% | 2.51% | ||||
Portfolio turnover rate | 2% | 28% | 4% | 2% | 8% |
(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. |
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | $ 186.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 3.01 | 3.60 | 3.80 | 3.40 | 3.00 | ||||
Net realized and unrealized gain (loss) | 79.67 | 54.20 | (26.20) | 35.20 | 27.60 | ||||
Total from investment operations | 82.68 | 57.80 | (22.40) | 38.60 | 30.60 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.90) | (3.40) | (3.80) | (3.00) | (1.80) | ||||
Net realized gains | (6.65) | (6.00) | (9.60) | (6.60) | (1.80) | ||||
Total distributions | (9.55) | (9.40) | (13.40) | (9.60) | (3.60) | ||||
Net asset value, end of period | $ 327.73 | $ 254.60 | $ 206.20 | $ 242.00 | $ 213.00 | ||||
Total return (c) | 32.46% | 27.98% | (9.07)% | 18.20% | 16.46% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,065,859 | $749,202 | $628,732 | $464,870 | $142,269 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.03% | 0.05% | 0.05% | 0.07% | 0.22% | ||||
Net expenses | 0.03% | 0.03% | 0.03% | 0.03% | 0.03% | ||||
Net investment income (loss) | 1.19% | 1.48% | 1.52% | 1.46% | 1.55% | ||||
Portfolio turnover rate | 52% | 51% | 22% | 21% | 21% |
(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. |
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 December 31, 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 | 24.61% | ||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 23.49% |
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 | $— | $— | $— | $1,155,948 | $— | $1,155,948 |
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 | $— | $— | $— | $186,643 | $— | $186,643 |
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 | $— | $— | $— | $23,010,981 | $— | $23,010,981 |
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 | $— | $— | $— | $(35,166) | $— | $(35,166) |
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 | $— | $— | $— | $499,540 | $— | $499,540 |
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 | $— | $— | $— | $(45,008) | $— | $(45,008) |
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 | $437,985,815 | $314,418,503 | $204,860,202 | $ 82,595,865 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | — | — | 885,794,019 | 43,913,051 | |||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 465,379,011 | 398,175,437 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $ 7,124,058 | $ 2,821,193 | $ 9,945,251 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 13,356,345 | 209,540 | 13,565,885 | ||
State Street Small/Mid Cap Equity Index Fund | 1,521,933 | 1,951,557 | 3,473,490 | ||
State Street Aggregate Bond Index Portfolio | 27,085,216 | 7,224,182 | 34,309,398 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 55,571,980 | — | 55,571,980 | ||
State Street Small/Mid Cap Equity Index Portfolio | 14,411,451 | 18,732,630 | 33,144,081 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Aggregate Bond Index Fund | $ 5,504,376 | $ — | $ 5,504,376 | ||
State Street Global All Cap Equity ex- U.S. Index Fund | 12,373,392 | 7,365,890 | 19,739,282 | ||
State Street Small/Mid Cap Equity Index Fund | 2,155,987 | 3,534,164 | 5,690,151 | ||
State Street Aggregate Bond Index Portfolio | 31,375,273 | — | 31,375,273 | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 74,874,677 | — | 74,874,677 | ||
State Street Small/Mid Cap Equity Index Portfolio | 16,054,927 | 17,333,574 | 33,388,501 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Aggregate Bond Index Fund | $ — | $ — | $ 2,321,056 | $ 12,222,022 | $ — | $ 14,543,078 | |||||
State Street Global All Cap Equity ex- U.S. Index Fund | — | — | 1,209,068 | 94,755,711 | — | 95,964,779 | |||||
State Street Small/Mid Cap Equity Index Fund | 1,396,235 | — | 2,705,461 | 38,414,112 | — | 42,515,808 | |||||
State Street Aggregate Bond Index Portfolio | 390,429 | — | — | 70,487,868 | (286,207) | 70,592,090 | |||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 7,060,669 | (46,062,689) | — | 658,611,260 | — | 619,609,240 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 17,718,910 | — | 77,766,905 | 249,034,852 | — | 344,520,667 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Global All Cap Equity ex- U.S. Index Portfolio | $— | $46,062,689 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Aggregate Bond Index Fund | $ 369,863,894 | $ 12,222,022 | $ — | $ 12,222,022 | |||
State Street Global All Cap Equity ex- U.S. Index Fund | 710,318,367 | 94,755,711 | — | 94,755,711 | |||
State Street Small/Mid Cap Equity Index Fund | 211,932,367 | 38,414,112 | — | 38,414,112 | |||
State Street Aggregate Bond Index Portfolio | 1,438,767,446 | 72,075,296 | 1,587,428 | 70,487,868 | |||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 2,749,501,840 | 816,205,985 | 158,136,274 | 658,069,711 | |||
State Street Small/Mid Cap Equity Index Portfolio | 861,008,071 | 276,334,030 | 27,299,178 | 249,034,852 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Aggregate Bond Index Portfolio | $ 126,215,118 | $ 60,700,873 | $ 67,987,121 | $ 128,687,994 | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 76,633,690 | 42,151,995 | 38,596,939 | 80,748,934 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 80,486,655 | 43,142,840 | 39,937,565 | 83,080,405 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $16,404,060 | $— | $— | $— | $16,404,060 | $16,404,060 | |||||||
State Street Aggregate Bond Index Portfolio | Foreign Government Obligations | 4,501,675 | — | — | — | 4,501,675 | 4,501,675 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Government Agency Obligations | 2,193,163 | — | — | — | 2,193,163 | 2,193,163 | |||||||
State Street Aggregate Bond Index Portfolio | U.S. Treasury Obligations | 37,601,975 | — | — | — | 37,601,975 | 37,601,975 | |||||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | Common Stocks | 42,151,995 | — | — | — | 42,151,995 | 42,151,995 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Common Stocks | 43,142,736 | — | — | — | 43,142,736 | 43,142,736 | |||||||
State Street Small/Mid Cap Equity Index Portfolio | Rights | 95 | — | — | — | 95 | 95 |
Remaining Contractual Maturity of the Agreements As of December 31, 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 Small/Mid Cap Equity Index Portfolio | Warrants | $9 | $— | $— | $— | $9 | $9 |
February 26, 2021
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% | $1,010.00 | $2.43(a) | $1,022.70 | $2.44(a) | ||||
Class I | 0.23 | 1,011.30 | 1.16(a) | 1,024.00 | 1.17(a) | ||||
Class K | 0.02 | 1,012.30 | 0.10(a) | 1,025.00 | 0.10(a) | ||||
State Street Global All Cap Equity ex- U.S. Index Fund | |||||||||
Class A | 0.47 | 1,243.80 | 2.65(a) | 1,022.80 | 2.39(a) | ||||
Class I | 0.17 | 1,245.70 | 0.96(a) | 1,024.30 | 0.87(a) | ||||
Class K | 0.02 | 1,246.70 | 0.11(a) | 1,025.00 | 0.10(a) | ||||
State Street Small/Mid Cap Equity Index Fund | |||||||||
Class A | 0.50 | 1,404.00 | 3.02(a) | 1,022.60 | 2.54(a) | ||||
Class I | 0.25 | 1,405.80 | 1.51(a) | 1,023.90 | 1.27(a) | ||||
Class K | 0.05 | 1,407.20 | 0.30(a) | 1,024.90 | 0.25(a) | ||||
State Street Aggregate Bond Index Portfolio | 0.02 | 1,012.90 | 0.10(b) | 1,025.00 | 0.10(b) | ||||
State Street Global All Cap Equity ex- U.S. Index Portfolio | 0.04 | 1,246.70 | 0.23(b) | 1,024.90 | 0.20(b) | ||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,407.30 | 0.18(b) | 1,025.00 | 0.15(b) |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
(b) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Amount | |
State Street Aggregate Bond Index Fund | $ 2,821,193 |
State Street Global All Cap Equity ex- U.S. Index Fund | 209,540 |
State Street Small/Mid Cap Equity Index Fund | 1,951,557 |
State Street Aggregate Bond Index Portfolio | 7,224,182 |
State Street Small/Mid Cap Equity Index Portfolio | 18,732,630 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $1,135,474 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 4,708,771 |
Amount | |
State Street Global All Cap Equity ex- U.S. Index Fund | $12,930,464 |
State Street Global All Cap Equity ex- U.S. Index Portfolio | 53,622,169 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' and Portfolios' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
and the Portfolios and Transfer Agent of the
Portfolios
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Emerging Markets Equity Index Fund |
1 | |
4 | |
25 | |
26 | |
27 | |
28 | |
29 | |
38 | |
39 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Emerging Markets Equity Index Fund Class K | 18.18% | 12.58% | 12.51% |
MSCI Emerging Markets Index(1) | 18.31% | 12.81% | 12.88% |
* | Inception date is December 18, 2015. |
(1) | The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging market countries. |
% of Net Assets | |||
Common Stocks | 92.5% | ||
Warrants | 2.2 | ||
Rights | 0.0 * | ||
Short-Term Investments | 5.0 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 92.5% | |||||
ARGENTINA — 0.1% | |||||
Globant SA (a) | 3,900 | $ 848,679 | |||
Telecom Argentina SA ADR (b) | 10,300 | 67,568 | |||
YPF SA ADR (a) | 21,000 | 98,700 | |||
1,014,947 | |||||
BRAZIL — 4.8% | |||||
Alpargatas SA Preference Shares | 17,800 | 143,930 | |||
Ambev SA | 498,485 | 1,501,923 | |||
Atacadao SA | 42,500 | 158,653 | |||
B2W Cia Digital (a) | 24,588 | 357,918 | |||
B3 SA - Brasil Bolsa Balcao | 217,192 | 2,591,652 | |||
Banco Bradesco SA Preference Shares | 467,919 | 2,444,904 | |||
Banco Bradesco SA | 141,818 | 660,736 | |||
Banco BTG Pactual SA | 24,244 | 438,751 | |||
Banco do Brasil SA | 93,298 | 696,924 | |||
Banco Santander Brasil SA | 41,200 | 355,588 | |||
BB Seguridade Participacoes SA | 72,837 | 415,494 | |||
Bradespar SA Preference Shares | 22,200 | 272,296 | |||
BRF SA (a) | 62,323 | 264,449 | |||
CCR SA | 135,569 | 351,568 | |||
Centrais Eletricas Brasileiras SA | 34,000 | 240,033 | |||
Centrais Eletricas Brasileiras SA Class B, Preference Shares | 30,200 | 215,125 | |||
Cia Brasileira de Distribuicao | 17,700 | 255,744 | |||
Cia de Saneamento Basico do Estado de Sao Paulo | 35,400 | 302,872 | |||
Cia Energetica de Minas Gerais Preference Shares | 103,620 | 290,459 | |||
Cia Paranaense de Energia Preference Shares | 10,700 | 154,376 | |||
Cia Siderurgica Nacional SA | 76,900 | 471,538 | |||
Cosan SA | 17,100 | 249,313 | |||
CPFL Energia SA | 24,200 | 151,652 | |||
Energisa SA | 18,400 | 185,481 | |||
Engie Brasil Energia SA | 24,587 | 207,992 | |||
Equatorial Energia SA | 96,000 | 428,047 | |||
Gerdau SA Preference Shares | 113,700 | 535,206 | |||
Hapvida Participacoes e Investimentos SA (c) | 124,000 | 364,299 | |||
Hypera SA | 41,800 | 275,625 | |||
Itau Unibanco Holding SA Preference Shares | 511,061 | 3,112,098 | |||
Itausa SA Preference Shares | 467,063 | 1,054,763 | |||
Itausa SA | 253 | 601 | |||
Klabin SA | 77,307 | 393,962 | |||
Localiza Rent a Car SA | 64,908 | 861,616 | |||
Lojas Americanas SA Preference Shares | 97,922 | 495,624 | |||
Lojas Renner SA | 84,541 | 708,659 |
Security Description | Shares | Value | |||
Magazine Luiza SA | 308,856 | $ 1,483,570 | |||
Multiplan Empreendimentos Imobiliarios SA | 31,354 | 142,035 | |||
Natura & Co. Holding SA (a) | 95,490 | 965,158 | |||
Notre Dame Intermedica Participacoes SA | 54,170 | 817,003 | |||
Petrobras Distribuidora SA | 79,600 | 339,137 | |||
Petroleo Brasileiro SA Preference Shares | 502,298 | 2,740,581 | |||
Petroleo Brasileiro SA | 392,714 | 2,181,240 | |||
Raia Drogasil SA | 116,500 | 561,619 | |||
Rumo SA (a) | 136,400 | 505,243 | |||
Sul America SA | 33,144 | 282,996 | |||
Suzano SA (a) | 80,124 | 903,019 | |||
Telefonica Brasil SA | 46,755 | 418,564 | |||
TIM SA | 97,700 | 275,558 | |||
TOTVS SA | 48,800 | 269,827 | |||
Ultrapar Participacoes SA | 72,364 | 330,738 | |||
Vale SA | 389,884 | 6,564,121 | |||
Via Varejo S/A (a) | 136,100 | 423,429 | |||
WEG SA | 88,730 | 1,293,830 | |||
42,107,539 | |||||
CHILE — 0.5% | |||||
Banco de Chile | 4,739,564 | 483,963 | |||
Banco de Credito e Inversiones SA | 5,242 | 205,770 | |||
Banco Santander Chile | 7,384,708 | 354,424 | |||
Cencosud SA | 148,992 | 265,271 | |||
Cencosud Shopping SA | 53,243 | 85,316 | |||
Cia Cervecerias Unidas SA | 17,663 | 130,440 | |||
Colbun SA | 950,433 | 167,881 | |||
Embotelladora Andina SA Class B, Preference Shares | 43,538 | 112,077 | |||
Empresas CMPC SA | 122,388 | 322,119 | |||
Empresas COPEC SA | 43,547 | 441,906 | |||
Enel Americas SA | 3,725,446 | 608,289 | |||
Enel Chile SA | 3,038,792 | 236,089 | |||
Falabella SA | 81,495 | 301,663 | |||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 11,925 | 580,725 | |||
4,295,933 | |||||
CHINA — 34.4% | |||||
360 Security Technology, Inc. Class A | 14,900 | 36,031 | |||
3SBio, Inc. (a)(b)(c) | 134,800 | 122,911 | |||
51job, Inc. ADR (a) | 3,200 | 224,000 | |||
AAC Technologies Holdings, Inc. (b) | 78,500 | 439,382 | |||
Addsino Co., Ltd. Class A | 7,800 | 33,017 | |||
AECC Aviation Power Co., Ltd. Class A | 5,200 | 47,504 | |||
Agile Group Holdings, Ltd. | 124,000 | 165,038 | |||
Agricultural Bank of China, Ltd. Class A | 278,400 | 134,558 |
Security Description | Shares | Value | |||
Agricultural Bank of China, Ltd. Class H | 2,925,500 | $ 1,071,522 | |||
Aier Eye Hospital Group Co., Ltd. Class A | 14,141 | 163,010 | |||
Air China, Ltd. Class A | 18,400 | 21,213 | |||
Air China, Ltd. Class H | 174,000 | 136,887 | |||
Airtac International Group | 13,000 | 416,400 | |||
AK Medical Holdings, Ltd. (c) | 40,000 | 69,436 | |||
Alibaba Group Holding, Ltd. ADR (a) | 200,082 | 46,565,084 | |||
Alibaba Health Information Technology, Ltd. (a) | 422,500 | 1,247,799 | |||
A-Living Smart City Services Co., Ltd. (c) | 48,500 | 215,171 | |||
Aluminum Corp. of China, Ltd. Class A (a) | 29,900 | 16,707 | |||
Aluminum Corp. of China, Ltd. Class H (a) | 454,000 | 160,431 | |||
Angel Yeast Co., Ltd. Class A | 3,300 | 25,941 | |||
Anhui Conch Cement Co., Ltd. Class A | 14,500 | 115,212 | |||
Anhui Conch Cement Co., Ltd. Class H | 131,000 | 820,244 | |||
Anhui Gujing Distillery Co., Ltd. Class A | 900 | 37,681 | |||
Anhui Gujing Distillery Co., Ltd. Class B | 11,400 | 158,771 | |||
Anhui Kouzi Distillery Co., Ltd. Class A | 1,100 | 11,666 | |||
ANTA Sports Products, Ltd. | 114,000 | 1,806,922 | |||
Asymchem Laboratories Tianjin Co., Ltd. Class A | 500 | 23,023 | |||
Autobio Diagnostics Co., Ltd. Class A | 400 | 8,939 | |||
Autohome, Inc. ADR | 6,100 | 607,683 | |||
Avic Capital Co., Ltd. Class A | 20,500 | 13,821 | |||
AVIC Electromechanical Systems Co., Ltd. Class A | 14,500 | 25,555 | |||
AVIC Jonhon Optronic Technology Co., Ltd. Class A | 2,400 | 28,922 | |||
AVIC Shenyang Aircraft Co., Ltd. Class A | 4,000 | 48,136 | |||
AVIC Xi'an Aircraft Industry Group Co., Ltd. Class A | 6,300 | 35,570 | |||
AviChina Industry & Technology Co., Ltd. Class H | 256,000 | 178,616 | |||
AVICOPTER PLC Class A | 2,300 | 22,201 | |||
Baidu, Inc. ADR (a) | 28,700 | 6,206,088 | |||
Bank of Beijing Co., Ltd. Class A | 71,740 | 53,446 | |||
Bank of Chengdu Co., Ltd. Class A | 15,400 | 25,293 | |||
Bank of China, Ltd. Class A | 121,000 | 59,227 | |||
Bank of China, Ltd. Class H | 8,403,000 | 2,871,857 | |||
Bank of Communications Co., Ltd. Class A | 144,012 | 99,309 | |||
Bank of Communications Co., Ltd. Class H | 888,000 | 469,547 |
Security Description | Shares | Value | |||
Bank of Hangzhou Co., Ltd. Class A | 23,400 | $ 53,740 | |||
Bank of Jiangsu Co., Ltd. Class A | 46,800 | 39,332 | |||
Bank of Nanjing Co., Ltd. Class A | 25,440 | 31,640 | |||
Bank of Ningbo Co., Ltd. Class A | 20,000 | 108,795 | |||
Bank of Shanghai Co., Ltd. Class A | 49,008 | 59,142 | |||
Baoshan Iron & Steel Co., Ltd. Class A | 61,000 | 55,867 | |||
Baozun, Inc. ADR (a)(b) | 6,200 | 212,970 | |||
BBMG Corp. Class A | 33,400 | 15,269 | |||
BeiGene, Ltd. ADR (a)(b) | 4,700 | 1,214,433 | |||
Beijing Capital International Airport Co., Ltd. Class H | 178,000 | 148,528 | |||
Beijing Dabeinong Technology Group Co., Ltd. Class A | 19,800 | 29,441 | |||
Beijing Enlight Media Co., Ltd. Class A | 4,500 | 8,360 | |||
Beijing Enterprises Holdings, Ltd. | 49,000 | 159,882 | |||
Beijing Enterprises Water Group, Ltd. (a) | 562,000 | 226,138 | |||
Beijing New Building Materials PLC Class A | 3,500 | 21,576 | |||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. Class A | 9,400 | 56,140 | |||
Beijing Originwater Technology Co., Ltd. Class A | 12,700 | 14,955 | |||
Beijing Shiji Information Technology Co., Ltd. Class A | 4,000 | 19,142 | |||
Beijing Shunxin Agriculture Co., Ltd. Class A | 1,600 | 17,865 | |||
Beijing Sinnet Technology Co., Ltd. Class A | 2,300 | 6,079 | |||
Beijing Tiantan Biological Products Corp., Ltd. Class A | 1,920 | 12,324 | |||
Beijing-Shanghai High Speed Railway Co., Ltd. Class A | 37,800 | 32,932 | |||
Betta Pharmaceuticals Co., Ltd. Class A | 600 | 9,916 | |||
BGI Genomics Co., Ltd. Class A | 1,600 | 31,662 | |||
Bilibili, Inc. ADR (a)(b) | 12,600 | 1,080,072 | |||
BOE Technology Group Co., Ltd. Class A | 116,100 | 107,224 | |||
Bosideng International Holdings, Ltd. (b) | 306,000 | 155,884 | |||
Brilliance China Automotive Holdings, Ltd. | 334,000 | 304,112 | |||
BYD Co., Ltd. Class A | 5,600 | 167,483 | |||
BYD Co., Ltd. Class H (b) | 67,500 | 1,768,928 | |||
BYD Electronic International Co., Ltd. (b) | 72,000 | 377,000 | |||
By-health Co., Ltd. Class A | 6,300 | 23,419 |
Security Description | Shares | Value | |||
Caitong Securities Co., Ltd. Class A | 13,000 | $ 25,313 | |||
CanSino Biologics, Inc. Class H (a)(b)(c) | 7,800 | 177,551 | |||
Centre Testing International Group Co., Ltd. Class A | 6,600 | 27,805 | |||
CGN Power Co., Ltd. Class H (c) | 1,017,700 | 219,189 | |||
Changchun High & New Technology Industry Group, Inc. Class A | 1,400 | 96,738 | |||
Changjiang Securities Co., Ltd. Class A | 19,700 | 25,472 | |||
Changzhou Xingyu Automotive Lighting Systems Co., Ltd. Class A | 1,100 | 33,948 | |||
Chaozhou Three-Circle Group Co., Ltd. Class A | 7,700 | 44,150 | |||
Chengdu Kanghong Pharmaceutical Group Co., Ltd. Class A | 2,900 | 21,493 | |||
China Aoyuan Group, Ltd. | 141,000 | 137,111 | |||
China Bohai Bank Co., Ltd. Class H (a)(c) | 240,500 | 157,255 | |||
China Cinda Asset Management Co., Ltd. Class H | 958,481 | 181,712 | |||
China CITIC Bank Corp., Ltd. Class H | 969,000 | 411,152 | |||
China Communications Construction Co., Ltd. Class A | 8,800 | 9,834 | |||
China Communications Construction Co., Ltd. Class H | 398,000 | 171,953 | |||
China Communications Services Corp., Ltd. Class H | 258,000 | 113,796 | |||
China Conch Venture Holdings, Ltd. | 172,500 | 838,712 | |||
China Construction Bank Corp. Class A | 28,400 | 27,453 | |||
China Construction Bank Corp. Class H | 10,134,500 | 7,698,396 | |||
China East Education Holdings, Ltd. (b)(c) | 57,000 | 137,026 | |||
China Eastern Airlines Corp., Ltd. Class A | 22,400 | 16,136 | |||
China Education Group Holdings, Ltd. | 70,000 | 134,875 | |||
China Everbright Bank Co., Ltd. Class A | 142,600 | 87,580 | |||
China Everbright Bank Co., Ltd. Class H | 373,000 | 141,910 | |||
China Everbright Environment Group, Ltd. | 409,222 | 231,162 | |||
China Everbright, Ltd. | 92,000 | 123,159 | |||
China Evergrande Group (b) | 194,000 | 372,795 | |||
China Feihe, Ltd. (c) | 121,000 | 283,390 |
Security Description | Shares | Value | |||
China Fortune Land Development Co., Ltd. Class A | 12,350 | $ 24,580 | |||
China Galaxy Securities Co., Ltd. Class A | 14,200 | 27,344 | |||
China Galaxy Securities Co., Ltd. Class H | 382,000 | 239,432 | |||
China Gas Holdings, Ltd. | 276,000 | 1,096,333 | |||
China Gezhouba Group Co., Ltd. Class A | 6,400 | 6,482 | |||
China Greatwall Technology Group Co., Ltd. Class A | 7,100 | 20,754 | |||
China Hongqiao Group, Ltd. | 203,000 | 185,882 | |||
China Huarong Asset Management Co., Ltd. Class H (c) | 1,217,500 | 135,036 | |||
China International Capital Corp., Ltd. Class H (a)(c) | 138,000 | 373,750 | |||
China Jinmao Holdings Group, Ltd. | 596,000 | 274,408 | |||
China Jushi Co., Ltd. Class A | 6,500 | 19,970 | |||
China Lesso Group Holdings, Ltd. | 117,000 | 183,184 | |||
China Life Insurance Co., Ltd. Class A | 9,000 | 53,183 | |||
China Life Insurance Co., Ltd. Class H | 779,000 | 1,717,972 | |||
China Literature, Ltd. (a)(b)(c) | 29,600 | 232,292 | |||
China Longyuan Power Group Corp., Ltd. Class H | 329,000 | 329,685 | |||
China Medical System Holdings, Ltd. | 148,000 | 165,296 | |||
China Meidong Auto Holdings, Ltd. | 56,000 | 227,500 | |||
China Mengniu Dairy Co., Ltd. (a) | 292,000 | 1,762,428 | |||
China Merchants Bank Co., Ltd. Class A | 70,500 | 476,934 | |||
China Merchants Bank Co., Ltd. Class H | 413,000 | 2,609,929 | |||
China Merchants Energy Shipping Co., Ltd. Class A | 12,300 | 10,697 | |||
China Merchants Port Holdings Co., Ltd. | 140,969 | 172,533 | |||
China Merchants Securities Co., Ltd. Class A | 24,050 | 86,403 | |||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. Class A | 27,812 | 56,894 | |||
China Minsheng Banking Corp., Ltd. Class A | 130,300 | 104,294 | |||
China Minsheng Banking Corp., Ltd. Class H | 631,700 | 360,094 | |||
China Mobile, Ltd. | 636,500 | 3,628,301 | |||
China Molybdenum Co., Ltd. Class A | 50,000 | 48,102 | |||
China Molybdenum Co., Ltd. Class H | 348,000 | 227,098 |
Security Description | Shares | Value | |||
China National Building Material Co., Ltd. Class H | 420,000 | $ 504,833 | |||
China National Chemical Engineering Co., Ltd. Class A | 21,200 | 19,155 | |||
China National Medicines Corp., Ltd. Class A | 3,600 | 27,324 | |||
China National Nuclear Power Co., Ltd. Class A | 36,900 | 27,945 | |||
China National Software & Service Co., Ltd. Class A | 1,000 | 12,123 | |||
China Northern Rare Earth Group High-Tech Co., Ltd. Class A (a) | 8,300 | 16,724 | |||
China Oilfield Services, Ltd. Class H | 176,000 | 148,902 | |||
China Overseas Land & Investment, Ltd. | 407,000 | 884,982 | |||
China Overseas Property Holdings, Ltd. | 140,000 | 72,944 | |||
China Pacific Insurance Group Co., Ltd. Class A | 23,100 | 136,538 | |||
China Pacific Insurance Group Co., Ltd. Class H | 294,200 | 1,151,553 | |||
China Petroleum & Chemical Corp. Class A | 87,200 | 54,092 | |||
China Petroleum & Chemical Corp. Class H | 2,572,000 | 1,151,020 | |||
China Power International Development, Ltd. | 523,000 | 111,968 | |||
China Railway Construction Corp., Ltd. Class A | 36,900 | 44,871 | |||
China Railway Construction Corp., Ltd. Class H | 175,500 | 95,968 | |||
China Railway Group, Ltd. Class A | 62,100 | 50,375 | |||
China Railway Group, Ltd. Class H | 416,000 | 183,486 | |||
China Resources Beer Holdings Co., Ltd. | 153,333 | 1,411,941 | |||
China Resources Cement Holdings, Ltd. | 245,000 | 273,632 | |||
China Resources Gas Group, Ltd. | 96,000 | 510,714 | |||
China Resources Land, Ltd. | 336,000 | 1,386,666 | |||
China Resources Pharmaceutical Group, Ltd. (c) | 199,500 | 102,402 | |||
China Resources Power Holdings Co., Ltd. | 214,000 | 230,453 | |||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 4,200 | 16,123 | |||
China Shenhua Energy Co., Ltd. Class A | 13,300 | 36,870 | |||
China Shenhua Energy Co., Ltd. Class H | 361,000 | 679,740 | |||
China Shipbuilding Industry Co., Ltd. Class A (a) | 78,000 | 50,306 |
Security Description | Shares | Value | |||
China Southern Airlines Co., Ltd. Class A (a) | 34,500 | $ 31,650 | |||
China Southern Airlines Co., Ltd. Class H (a) | 188,000 | 112,017 | |||
China Spacesat Co., Ltd. Class A | 3,700 | 18,327 | |||
China State Construction Engineering Corp., Ltd. Class A | 153,900 | 117,735 | |||
China State Construction International Holdings, Ltd. (b) | 240,000 | 136,809 | |||
China Taiping Insurance Holdings Co., Ltd. | 183,600 | 331,026 | |||
China Telecom Corp., Ltd. Class H | 1,430,000 | 396,513 | |||
China Tourism Group Duty Free Corp., Ltd. Class A | 7,100 | 308,681 | |||
China Tower Corp., Ltd. Class H (b)(c) | 4,536,000 | 666,900 | |||
China Traditional Chinese Medicine Holdings Co., Ltd. | 278,000 | 137,676 | |||
China TransInfo Technology Co., Ltd. Class A | 6,000 | 17,658 | |||
China Unicom Hong Kong, Ltd. | 654,000 | 375,336 | |||
China United Network Communications, Ltd. Class A | 112,200 | 77,026 | |||
China Vanke Co., Ltd. Class A | 36,300 | 160,361 | |||
China Vanke Co., Ltd. Class H | 173,800 | 599,592 | |||
China Yangtze Power Co., Ltd. Class A | 71,305 | 210,294 | |||
China Yuhua Education Corp., Ltd. (c) | 122,000 | 106,205 | |||
China Zheshang Bank Co., Ltd. Class A | 36,900 | 23,174 | |||
Chongqing Brewery Co., Ltd. Class A | 2,000 | 36,631 | |||
Chongqing Changan Automobile Co., Ltd. Class A (a) | 16,700 | 56,244 | |||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 248,000 | 101,070 | |||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 5,400 | 122,942 | |||
CIFI Holdings Group Co., Ltd. | 352,323 | 298,531 | |||
CITIC Securities Co., Ltd. Class A | 36,100 | 163,367 | |||
CITIC Securities Co., Ltd. Class H | 237,000 | 534,284 | |||
CITIC, Ltd. | 633,000 | 448,186 | |||
CNOOC, Ltd. | 1,845,000 | 1,708,454 | |||
Contemporary Amperex Technology Co., Ltd. Class A | 7,600 | 410,740 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 27,000 | 50,745 | |||
COSCO SHIPPING Holdings Co., Ltd. Class H (a) | 254,250 | 304,949 |
Security Description | Shares | Value | |||
COSCO SHIPPING Ports, Ltd. | 168,115 | $ 116,863 | |||
Country Garden Holdings Co., Ltd. | 815,347 | 1,127,249 | |||
Country Garden Services Holdings Co., Ltd. | 155,000 | 1,048,479 | |||
CRRC Corp., Ltd. Class A | 69,509 | 56,813 | |||
CRRC Corp., Ltd. Class H | 389,000 | 133,950 | |||
CSC Financial Co., Ltd. Class A | 7,900 | 51,072 | |||
CSPC Pharmaceutical Group, Ltd. | 954,240 | 975,918 | |||
Dali Foods Group Co., Ltd. (c) | 252,300 | 144,146 | |||
Daqin Railway Co., Ltd. Class A | 59,600 | 59,264 | |||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 2,200 | 26,532 | |||
Dawning Information Industry Co., Ltd. Class A | 1,700 | 8,957 | |||
DHC Software Co., Ltd. Class A | 4,400 | 5,621 | |||
Dong-E-E-Jiao Co., Ltd. Class A | 2,700 | 16,088 | |||
Dongfang Electric Corp., Ltd. Class A | 11,100 | 17,034 | |||
Dongfeng Motor Group Co., Ltd. Class H | 290,000 | 338,103 | |||
Dongxing Securities Co., Ltd. Class A | 11,600 | 23,783 | |||
DouYu International Holdings, Ltd. ADR (a) | 9,200 | 101,752 | |||
East Money Information Co., Ltd. Class A | 32,280 | 154,030 | |||
ENN Energy Holdings, Ltd. | 83,400 | 1,224,027 | |||
Eve Energy Co., Ltd. Class A | 6,981 | 87,576 | |||
Everbright Securities Co., Ltd. Class A | 8,999 | 25,653 | |||
Fangda Carbon New Material Co., Ltd. Class A (a) | 17,360 | 18,892 | |||
Far East Horizon, Ltd. (b) | 211,000 | 217,426 | |||
FAW Jiefang Group Co., Ltd. (a) | 14,500 | 26,069 | |||
Fiberhome Telecommunication Technologies Co., Ltd. Class A | 2,000 | 7,413 | |||
Financial Street Holdings Co., Ltd. Class A | 11,900 | 11,815 | |||
First Capital Securities Co., Ltd. Class A | 14,100 | 21,595 | |||
Focus Media Information Technology Co., Ltd. Class A | 46,800 | 71,101 | |||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 8,500 | 262,380 | |||
Fosun International, Ltd. | 257,000 | 403,704 | |||
Founder Securities Co., Ltd. Class A (a) | 33,000 | 52,675 | |||
Foxconn Industrial Internet Co., Ltd. Class A | 23,700 | 49,942 |
Security Description | Shares | Value | |||
Fu Jian Anjoy Foods Co., Ltd. Class A | 800 | $ 23,750 | |||
Fujian Sunner Development Co., Ltd. Class A | 4,100 | 16,749 | |||
Fuyao Glass Industry Group Co., Ltd. Class A | 4,600 | 34,022 | |||
Fuyao Glass Industry Group Co., Ltd. Class H (b)(c) | 50,856 | 279,405 | |||
Ganfeng Lithium Co., Ltd. Class A | 3,600 | 56,078 | |||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 19,672 | |||
GCL System Integration Technology Co., Ltd. Class A (a) | 9,500 | 6,215 | |||
GDS Holdings, Ltd. ADR (a) | 9,400 | 880,216 | |||
Geely Automobile Holdings, Ltd. | 617,000 | 2,108,694 | |||
Gemdale Corp. Class A | 18,100 | 37,612 | |||
Genscript Biotech Corp. (a) | 110,000 | 160,024 | |||
GF Securities Co., Ltd. Class A | 18,200 | 45,608 | |||
GF Securities Co., Ltd. Class H | 149,200 | 210,893 | |||
Giant Network Group Co., Ltd. Class A | 5,400 | 14,488 | |||
Gigadevice Semiconductor Beijing, Inc. Class A | 1,209 | 36,754 | |||
Glodon Co., Ltd. Class A | 2,500 | 30,300 | |||
GoerTek, Inc. Class A | 9,400 | 53,998 | |||
GOME Retail Holdings, Ltd. (a)(b) | 1,017,000 | 121,979 | |||
Great Wall Motor Co., Ltd. Class A | 7,400 | 43,067 | |||
Great Wall Motor Co., Ltd. Class H | 328,000 | 1,125,222 | |||
Greenland Holdings Corp., Ltd. Class A | 32,500 | 29,165 | |||
Greentown China Holdings, Ltd. (b) | 83,000 | 121,387 | |||
Greentown Service Group Co., Ltd. | 158,000 | 195,008 | |||
GSX Techedu, Inc. ADR (a)(b) | 8,300 | 429,193 | |||
Guangdong Haid Group Co., Ltd. Class A | 4,100 | 41,337 | |||
Guangdong HEC Technology Holding Co., Ltd. Class A (a) | 12,100 | 9,368 | |||
Guangdong Investment, Ltd. | 320,000 | 576,127 | |||
Guangdong Kinlong Hardware Products Co., Ltd. Class A | 1,100 | 24,382 | |||
Guanghui Energy Co., Ltd. Class A (a) | 27,300 | 11,892 | |||
Guangzhou Automobile Group Co., Ltd. Class H | 324,800 | 361,082 | |||
Guangzhou Baiyun International Airport Co., Ltd. Class A | 4,200 | 9,135 | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 3,200 | 14,407 |
Security Description | Shares | Value | |||
Guangzhou Haige Communications Group, Inc. Co. Class A | 9,200 | $ 15,337 | |||
Guangzhou Kingmed Diagnostics Group Co., Ltd. Class A | 1,700 | 33,526 | |||
Guangzhou R&F Properties Co., Ltd. Class H (b) | 180,800 | 232,475 | |||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 2,200 | 38,953 | |||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 1,800 | 28,759 | |||
Guolian Securities Co., Ltd. Class A (a) | 7,800 | 25,609 | |||
Guosen Securities Co., Ltd. Class A | 9,400 | 19,736 | |||
Guotai Junan Securities Co., Ltd. Class A | 25,800 | 69,616 | |||
Guoxuan High-Tech Co., Ltd. Class A (a) | 6,100 | 36,732 | |||
Guoyuan Securities Co., Ltd. Class A | 18,720 | 25,818 | |||
Haidilao International Holding, Ltd. (b)(c) | 86,000 | 662,148 | |||
Haier Smart Home Co., Ltd. Class A | 20,400 | 91,722 | |||
Haier Smart Home Co., Ltd. Class H (a)(b) | 215,400 | 780,611 | |||
Haitian International Holdings, Ltd. | 69,000 | 238,488 | |||
Haitong Securities Co., Ltd. Class A | 32,500 | 64,333 | |||
Haitong Securities Co., Ltd. Class H | 292,400 | 261,332 | |||
Hangzhou First Applied Material Co., Ltd. Class A | 2,100 | 27,605 | |||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 23,100 | 172,486 | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 1,500 | 9,416 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class A | 1,800 | 44,777 | |||
Hangzhou Tigermed Consulting Co., Ltd. Class H (a)(c) | 12,200 | 282,427 | |||
Hansoh Pharmaceutical Group Co., Ltd. (a)(c) | 126,000 | 611,000 | |||
Hebei Construction Group Corp., Ltd. Class H (b) | 44,500 | 24,276 | |||
Hefei Meiya Optoelectronic Technology, Inc. Class A | 2,700 | 18,403 | |||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 8,797 | 63,561 | |||
Hengan International Group Co., Ltd. | 71,000 | 502,705 | |||
Hengli Petrochemical Co., Ltd. Class A | 20,300 | 87,397 | |||
Hengtong Optic-electric Co., Ltd. Class A | 8,100 | 17,443 |
Security Description | Shares | Value | |||
Hengyi Petrochemical Co., Ltd. Class A | 16,510 | $ 32,529 | |||
Hesteel Co., Ltd. Class A (a) | 42,500 | 14,654 | |||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 2,100 | 40,076 | |||
Hongfa Technology Co., Ltd. Class A | 3,600 | 30,045 | |||
Hopson Development Holdings, Ltd. | 64,000 | 163,098 | |||
Hua Hong Semiconductor, Ltd. (a)(b)(c) | 45,000 | 255,357 | |||
Huadian Power International Corp., Ltd. Class A | 27,200 | 14,235 | |||
Huadong Medicine Co., Ltd. Class A | 3,960 | 16,190 | |||
Hualan Biological Engineering, Inc. Class A | 4,810 | 31,274 | |||
Huaneng Power International, Inc. Class A | 6,600 | 4,551 | |||
Huaneng Power International, Inc. Class H | 362,000 | 132,123 | |||
Huatai Securities Co., Ltd. Class A | 25,218 | 69,909 | |||
Huatai Securities Co., Ltd. Class H (c) | 156,700 | 246,554 | |||
Huaxi Securities Co., Ltd. Class A | 10,400 | 19,978 | |||
Huaxia Bank Co., Ltd. Class A | 41,700 | 40,117 | |||
Huaxin Cement Co., Ltd. Class A | 5,400 | 17,148 | |||
Huayu Automotive Systems Co., Ltd. Class A | 9,900 | 43,918 | |||
Huazhu Group, Ltd. ADR (b) | 17,000 | 765,510 | |||
Hubei Biocause Pharmaceutical Co., Ltd. Class A | 13,782 | 10,331 | |||
Humanwell Healthcare Group Co., Ltd. Class A | 4,400 | 22,946 | |||
Hundsun Technologies, Inc. Class A | 4,160 | 67,171 | |||
HUYA, Inc. ADR (a)(b) | 6,600 | 131,538 | |||
Iflytek Co., Ltd. Class A | 6,650 | 41,835 | |||
Industrial & Commercial Bank of China, Ltd. Class A | 203,542 | 156,338 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 6,406,000 | 4,155,636 | |||
Industrial Bank Co., Ltd. Class A | 72,299 | 232,255 | |||
Industrial Securities Co., Ltd. Class A | 15,300 | 20,442 | |||
Ingenic Semiconductor Co., Ltd. Class A (a) | 1,900 | 26,757 | |||
Inner Mongolia BaoTou Steel Union Co., Ltd. Class A (a) | 126,100 | 22,710 | |||
Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd. Class A | 33,800 | 25,753 | |||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 22,000 | 150,253 |
Security Description | Shares | Value | |||
Innovent Biologics, Inc. (a)(c) | 102,000 | $ 1,079,348 | |||
Inspur Electronic Information Industry Co., Ltd. Class A | 3,248 | 13,439 | |||
Intco Medical Technology Co., Ltd. Class A | 1,500 | 38,824 | |||
iQIYI, Inc. ADR (a)(b) | 29,700 | 519,156 | |||
JA Solar Technology Co., Ltd. Class A (a) | 5,200 | 32,593 | |||
Jafron Biomedical Co., Ltd. Class A | 1,520 | 15,868 | |||
Jason Furniture Hangzhou Co., Ltd. Class A | 2,000 | 21,707 | |||
JD Health International, Inc. (a)(c) | 22,650 | 438,169 | |||
JD.com, Inc. ADR (a) | 91,067 | 8,004,789 | |||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. Class A | 11,000 | 12,496 | |||
Jiangsu Expressway Co., Ltd. Class H | 148,000 | 165,487 | |||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 4,364 | 75,906 | |||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 18,120 | 310,876 | |||
Jiangsu King's Luck Brewery JSC, Ltd. Class A | 2,800 | 24,730 | |||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd. Class A | 5,300 | 192,522 | |||
Jiangsu Yangnong Chemical Co., Ltd. Class A | 1,500 | 30,477 | |||
Jiangsu Zhongnan Construction Group Co., Ltd. Class A | 6,200 | 8,427 | |||
Jiangsu Zhongtian Technology Co., Ltd. Class A | 12,400 | 20,690 | |||
Jiangxi Copper Co., Ltd. Class A | 8,800 | 27,023 | |||
Jiangxi Copper Co., Ltd. Class H | 127,000 | 199,496 | |||
Jiangxi Zhengbang Technology Co., Ltd. Class A | 5,000 | 13,114 | |||
Jinke Properties Group Co., Ltd. Class A | 23,600 | 25,755 | |||
Jinxin Fertility Group, Ltd. (b)(c) | 132,000 | 268,976 | |||
Jinyu Bio-Technology Co., Ltd. Class A | 4,600 | 14,791 | |||
JiuGui Liquor Co., Ltd. Class A | 1,600 | 38,543 | |||
Jointown Pharmaceutical Group Co., Ltd. Class A (a) | 7,500 | 20,965 | |||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. Class A | 1,600 | 16,415 | |||
JOYY, Inc. ADR | 6,100 | 487,878 | |||
Juewei Food Co., Ltd. Class A | 2,300 | 27,451 | |||
Kaisa Group Holdings, Ltd. (a) | 305,000 | 150,654 | |||
KE Holdings, Inc. ADR (a) | 9,700 | 596,938 | |||
Kingboard Holdings, Ltd. | 72,500 | 305,751 |
Security Description | Shares | Value | |||
Kingdee International Software Group Co., Ltd. (a) | 252,000 | $ 1,026,999 | |||
Kingfa Sci & Tech Co., Ltd. Class A | 8,500 | 22,425 | |||
Kingsoft Cloud Holdings, Ltd. ADR (a)(b) | 5,400 | 235,170 | |||
Kingsoft Corp., Ltd. (b) | 84,000 | 541,666 | |||
Koolearn Technology Holding, Ltd. (a)(b)(c) | 24,500 | 88,156 | |||
Kuang-Chi Technologies Co., Ltd. Class A (a) | 7,100 | 24,316 | |||
Kunlun Energy Co., Ltd. | 406,000 | 350,819 | |||
Kweichow Moutai Co., Ltd. Class A | 4,299 | 1,322,128 | |||
KWG Group Holdings, Ltd. | 137,250 | 187,275 | |||
Lee & Man Paper Manufacturing, Ltd. | 136,000 | 111,377 | |||
Lenovo Group, Ltd. | 782,000 | 738,245 | |||
Lens Technology Co., Ltd. Class A | 14,500 | 68,319 | |||
Lepu Medical Technology Beijing Co., Ltd. Class A | 5,300 | 22,174 | |||
Li Ning Co., Ltd. | 223,000 | 1,532,903 | |||
Liaoning Cheng Da Co., Ltd. Class A | 7,400 | 27,702 | |||
Lingyi iTech Guangdong Co. Class A | 16,300 | 30,083 | |||
Logan Group Co., Ltd. | 150,000 | 245,684 | |||
Lomon Billions Group Co., Ltd. Class A | 8,200 | 38,838 | |||
Longfor Group Holdings, Ltd. (c) | 190,500 | 1,115,407 | |||
LONGi Green Energy Technology Co., Ltd. Class A | 11,400 | 161,788 | |||
Lufax Holding, Ltd. ADR (a) | 17,200 | 244,240 | |||
Luxshare Precision Industry Co., Ltd. Class A | 25,271 | 218,298 | |||
Luye Pharma Group, Ltd. (b)(c) | 185,500 | 86,364 | |||
Luzhou Laojiao Co., Ltd. Class A | 5,100 | 177,540 | |||
Mango Excellent Media Co., Ltd. Class A | 5,440 | 60,708 | |||
Maxscend Microelectronics Co., Ltd. Class A | 300 | 26,346 | |||
Meinian Onehealth Healthcare Holdings Co., Ltd. Class A (a) | 15,000 | 26,160 | |||
Meituan Class B (a) | 380,400 | 14,452,929 | |||
Metallurgical Corp. of China, Ltd. Class A | 40,900 | 17,187 | |||
Microport Scientific Corp. (b) | 77,000 | 416,587 | |||
Minth Group, Ltd. | 76,000 | 400,885 | |||
Momo, Inc. ADR | 15,700 | 219,172 | |||
Muyuan Foods Co., Ltd. Class A | 12,340 | 146,447 | |||
NanJi E-Commerce Co., Ltd. Class A | 9,800 | 20,636 |
Security Description | Shares | Value | |||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. Class A | 3,120 | $ 16,871 | |||
Nanjing Securities Co., Ltd. Class A | 13,133 | 24,804 | |||
NARI Technology Co., Ltd. Class A | 15,402 | 62,991 | |||
NAURA Technology Group Co., Ltd. Class A | 1,600 | 44,513 | |||
NavInfo Co., Ltd. Class A | 3,500 | 7,688 | |||
NetEase, Inc. ADR | 43,665 | 4,181,797 | |||
New China Life Insurance Co., Ltd. Class A | 6,800 | 60,677 | |||
New China Life Insurance Co., Ltd. Class H | 92,500 | 360,869 | |||
New Hope Liuhe Co., Ltd. Class A | 13,700 | 47,237 | |||
New Oriental Education & Technology Group, Inc. ADR (a) | 16,000 | 2,972,960 | |||
Ninestar Corp. Class A | 4,400 | 18,103 | |||
Ningbo Joyson Electronic Corp. Class A | 6,700 | 26,154 | |||
Ningbo Tuopu Group Co., Ltd. Class A | 5,000 | 29,577 | |||
NIO, Inc. ADR (a) | 135,100 | 6,584,774 | |||
Noah Holdings, Ltd. ADR (a)(b) | 4,400 | 210,364 | |||
Offcn Education Technology Co., Ltd. Class A | 5,500 | 29,741 | |||
Offshore Oil Engineering Co., Ltd. Class A | 6,200 | 4,285 | |||
OFILM Group Co., Ltd. Class A | 12,400 | 25,156 | |||
Oppein Home Group, Inc. Class A | 1,680 | 34,781 | |||
Orient Securities Co., Ltd. Class A | 23,900 | 42,785 | |||
Oriental Pearl Group Co., Ltd. Class A | 14,200 | 19,541 | |||
Ovctek China, Inc. Class A | 2,400 | 30,263 | |||
Pangang Group Vanadium Titanium & Resources Co., Ltd. Class A (a) | 33,400 | 11,156 | |||
People's Insurance Co. Group of China, Ltd. Class A | 19,600 | 19,821 | |||
People's Insurance Co. Group of China, Ltd. Class H | 928,000 | 294,419 | |||
Perfect World Co., Ltd. Class A | 4,800 | 21,796 | |||
PetroChina Co., Ltd. Class A | 51,800 | 33,089 | |||
PetroChina Co., Ltd. Class H | 2,228,000 | 689,619 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 12,500 | 211,185 | |||
PICC Property & Casualty Co., Ltd. Class H | 751,000 | 568,539 | |||
Pinduoduo, Inc. ADR (a) | 40,100 | 7,124,567 | |||
Ping An Bank Co., Ltd. Class A | 64,200 | 191,118 | |||
Ping An Healthcare and Technology Co., Ltd. (a)(b)(c) | 55,200 | 669,190 |
Security Description | Shares | Value | |||
Ping An Insurance Group Co. of China, Ltd. Class A | 36,000 | $ 481,984 | |||
Ping An Insurance Group Co. of China, Ltd. Class H | 628,000 | 7,694,242 | |||
Poly Developments and Holdings Group Co., Ltd. Class A | 42,600 | 103,735 | |||
Poly Property Services Co., Ltd. Class H (b) | 12,000 | 94,559 | |||
Postal Savings Bank of China Co., Ltd. Class A | 36,900 | 27,150 | |||
Postal Savings Bank of China Co., Ltd. Class H (c) | 1,081,000 | 610,636 | |||
Power Construction Corp. of China, Ltd. Class A | 51,100 | 30,518 | |||
Proya Cosmetics Co., Ltd. Class A | 1,000 | 27,399 | |||
RiseSun Real Estate Development Co., Ltd. Class A | 19,300 | 19,399 | |||
Rongsheng Petro Chemical Co., Ltd. Class A | 20,970 | 89,120 | |||
SAIC Motor Corp., Ltd. Class A | 27,800 | 104,582 | |||
Sanan Optoelectronics Co., Ltd. Class A | 12,000 | 49,890 | |||
Sangfor Technologies, Inc. Class A | 1,650 | 62,989 | |||
Sany Heavy Industry Co., Ltd. Class A | 28,555 | 153,749 | |||
SDIC Capital Co., Ltd. Class A | 8,100 | 17,243 | |||
SDIC Power Holdings Co., Ltd. Class A | 27,200 | 36,174 | |||
Seazen Group, Ltd. (a) | 218,000 | 181,342 | |||
Seazen Holdings Co., Ltd. Class A | 6,800 | 36,456 | |||
Semiconductor Manufacturing International Corp. (a) | 331,800 | 945,695 | |||
SF Holding Co., Ltd. Class A | 11,600 | 157,538 | |||
SG Micro Corp. Class A | 500 | 20,303 | |||
Shaanxi Coal Industry Co., Ltd. Class A | 24,700 | 35,510 | |||
Shandong Buchang Pharmaceuticals Co., Ltd. Class A | 4,600 | 16,335 | |||
Shandong Gold Mining Co., Ltd. Class A | 11,228 | 40,822 | |||
Shandong Gold Mining Co., Ltd. Class H (c) | 53,500 | 123,506 | |||
Shandong Hualu Hengsheng Chemical Co., Ltd. Class A | 6,500 | 37,319 | |||
Shandong Linglong Tyre Co., Ltd. Class A | 4,800 | 25,985 | |||
Shandong Nanshan Aluminum Co., Ltd. Class A | 47,889 | 23,293 | |||
Shandong Sinocera Functional Material Co., Ltd. Class A | 3,890 | 27,011 | |||
Shandong Sun Paper Industry JSC, Ltd. Class A | 10,500 | 23,322 |
Security Description | Shares | Value | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 268,000 | $ 605,552 | |||
Shanghai Bairun Investment Holding Group Co., Ltd. Class A | 1,700 | 27,290 | |||
Shanghai Baosight Software Co., Ltd. Class A | 1,300 | 13,803 | |||
Shanghai Construction Group Co., Ltd. Class A | 47,200 | 21,868 | |||
Shanghai Electric Group Co., Ltd. Class A (a) | 19,000 | 15,793 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class A | 7,920 | 65,819 | |||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 58,000 | 277,140 | |||
Shanghai Industrial Urban Development Group, Ltd. | 11,400 | 1,206 | |||
Shanghai International Airport Co., Ltd. Class A | 2,968 | 34,565 | |||
Shanghai International Port Group Co., Ltd. Class A | 19,400 | 13,647 | |||
Shanghai Jinjiang International Hotels Co., Ltd. Class A | 2,700 | 21,416 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 142,032 | 111,069 | |||
Shanghai M&G Stationery, Inc. Class A | 2,300 | 31,353 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class A | 8,600 | 25,416 | |||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 90,300 | 159,082 | |||
Shanghai Pudong Development Bank Co., Ltd. Class A | 111,600 | 166,284 | |||
Shanghai Putailai New Energy Technology Co., Ltd. Class A | 1,400 | 24,220 | |||
Shanghai RAAS Blood Products Co., Ltd. Class A | 18,500 | 21,072 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 13,000 | 17,789 | |||
Shanghai Zhangjiang High-Tech Park Development Co., Ltd. Class A | 6,200 | 16,262 | |||
Shanxi Meijin Energy Co., Ltd. Class A (a) | 7,400 | 7,609 | |||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 22,800 | 12,669 | |||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. Class A | 2,700 | 155,970 | |||
Shenergy Co., Ltd. Class A | 7,100 | 5,705 | |||
Shengyi Technology Co., Ltd. Class A | 6,000 | 26,007 | |||
Shennan Circuits Co., Ltd. Class A | 1,260 | 20,958 | |||
Shenwan Hongyuan Group Co., Ltd. Class A | 75,100 | 61,036 |
Security Description | Shares | Value | |||
Shenzhen Capchem Technology Co., Ltd. Class A | 2,000 | $ 31,216 | |||
Shenzhen Goodix Technology Co., Ltd. Class A | 1,200 | 28,732 | |||
Shenzhen Inovance Technology Co., Ltd. Class A | 5,900 | 84,731 | |||
Shenzhen International Holdings, Ltd. | 107,039 | 172,834 | |||
Shenzhen Investment, Ltd. | 363,472 | 124,691 | |||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 2,449 | 65,780 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 3,100 | 203,274 | |||
Shenzhen Overseas Chinese Town Co., Ltd. Class A | 32,900 | 35,905 | |||
Shenzhen SC New Energy Technology Corp. Class A | 1,500 | 33,617 | |||
Shenzhen Sunway Communication Co., Ltd. Class A | 2,100 | 11,598 | |||
Shenzhou International Group Holdings, Ltd. | 87,300 | 1,711,356 | |||
Sichuan Chuantou Energy Co., Ltd. Class A | 10,000 | 15,470 | |||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 5,200 | 15,560 | |||
Sichuan Swellfun Co., Ltd. Class A | 800 | 10,223 | |||
Silergy Corp. | 8,000 | 686,170 | |||
SINA Corp. (a) | 5,800 | 245,804 | |||
Sinolink Securities Co., Ltd. Class A | 12,200 | 30,553 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class A | 24,500 | 12,973 | |||
Sinopharm Group Co., Ltd. Class H | 146,000 | 355,122 | |||
Sinotruk Hong Kong, Ltd. | 73,500 | 187,687 | |||
Skshu Paint Co., Ltd. Class A | 1,200 | 27,984 | |||
Smoore International Holdings, Ltd. (a)(c) | 47,000 | 362,781 | |||
Songcheng Performance Development Co., Ltd. Class A | 11,340 | 30,931 | |||
SooChow Securities Co., Ltd. Class A | 15,600 | 23,676 | |||
Southwest Securities Co., Ltd. Class A | 29,900 | 24,761 | |||
Spring Airlines Co., Ltd. Class A | 3,300 | 28,156 | |||
Sun Art Retail Group, Ltd. (b) | 268,500 | 272,868 | |||
Sunac China Holdings, Ltd. | 271,700 | 1,003,915 | |||
Sungrow Power Supply Co., Ltd. Class A | 4,800 | 53,404 | |||
Suning.com Co., Ltd. Class A | 30,200 | 35,840 | |||
Sunny Optical Technology Group Co., Ltd. | 75,300 | 1,648,008 |
Security Description | Shares | Value | |||
Sunwoda Electronic Co., Ltd. Class A | 6,200 | $ 29,308 | |||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 7,200 | 28,815 | |||
TAL Education Group ADR (a) | 40,000 | 2,860,400 | |||
TBEA Co., Ltd. Class A | 14,887 | 23,259 | |||
TCL Technology Group Corp Class A | 31,000 | 33,784 | |||
Tencent Holdings, Ltd. | 607,300 | 44,173,823 | |||
Tencent Music Entertainment Group ADR (a) | 39,600 | 761,904 | |||
Thunder Software Technology Co., Ltd. Class A | 1,400 | 25,213 | |||
Tianfeng Securities Co., Ltd. Class A | 22,100 | 20,751 | |||
Tianjin Zhonghuan Semiconductor Co., Ltd. Class A | 12,400 | 48,671 | |||
Tianma Microelectronics Co., Ltd. Class A | 8,800 | 19,966 | |||
Tianshui Huatian Technology Co., Ltd. Class A | 9,100 | 19,078 | |||
Tingyi Cayman Islands Holding Corp. | 206,000 | 351,753 | |||
Toly Bread Co., Ltd. Class A | 2,200 | 20,013 | |||
Tongcheng-Elong Holdings, Ltd. (a)(b) | 90,000 | 174,107 | |||
TongFu Microelectronics Co., Ltd. Class A (a) | 6,300 | 24,476 | |||
Tonghua Dongbao Pharmaceutical Co., Ltd. Class A | 8,900 | 18,330 | |||
Tongkun Group Co., Ltd. Class A | 7,400 | 23,453 | |||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 42,200 | 16,694 | |||
Tongwei Co., Ltd. Class A | 14,100 | 83,428 | |||
Topchoice Medical Corp. Class A (a) | 1,100 | 46,820 | |||
Topsports International Holdings, Ltd. (c) | 125,000 | 187,004 | |||
Transfar Zhilian Co., Ltd. Class A | 13,000 | 9,425 | |||
TravelSky Technology, Ltd. Class H | 95,000 | 229,112 | |||
Trip.com Group, Ltd. ADR (a) | 50,067 | 1,688,760 | |||
Tsingtao Brewery Co., Ltd. Class A | 3,200 | 48,961 | |||
Tsingtao Brewery Co., Ltd. Class H | 50,000 | 523,611 | |||
Unigroup Guoxin Microelectronics Co., Ltd. Class A | 2,500 | 51,492 | |||
Uni-President China Holdings, Ltd. | 137,000 | 139,406 | |||
Unisplendour Corp., Ltd. Class A | 6,160 | 19,390 |
Security Description | Shares | Value | |||
Universal Scientific Industrial Shanghai Co., Ltd. Class A | 5,800 | $ 17,266 | |||
Venustech Group, Inc. Class A | 1,500 | 6,744 | |||
Vipshop Holdings, Ltd. ADR (a) | 46,688 | 1,312,400 | |||
Walvax Biotechnology Co., Ltd. Class A | 3,500 | 20,774 | |||
Wangsu Science & Technology Co., Ltd. Class A | 9,795 | 10,388 | |||
Wanhua Chemical Group Co., Ltd. Class A | 11,100 | 155,548 | |||
Want Want China Holdings, Ltd. | 499,000 | 361,032 | |||
Weibo Corp. ADR (a)(b) | 6,060 | 248,399 | |||
Weichai Power Co., Ltd. Class A | 18,400 | 44,721 | |||
Weichai Power Co., Ltd. Class H | 197,000 | 395,329 | |||
Weihai Guangwei Composites Co., Ltd. Class A | 2,400 | 32,897 | |||
Wens Foodstuffs Group Co., Ltd. Class A | 23,040 | 64,652 | |||
Western Securities Co., Ltd. Class A | 14,600 | 22,788 | |||
Will Semiconductor Co., Ltd. Class A | 2,900 | 103,159 | |||
Wingtech Technology Co., Ltd. Class A | 3,500 | 53,335 | |||
Winning Health Technology Group Co., Ltd. Class A | 8,450 | 22,762 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 20,300 | 13,655 | |||
Wuhan Guide Infrared Co., Ltd. Class A | 5,200 | 33,417 | |||
Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd. Class A | 9,100 | 43,745 | |||
Wuliangye Yibin Co., Ltd. Class A | 13,400 | 601,970 | |||
WUS Printed Circuit Kunshan Co., Ltd. Class A | 3,800 | 10,991 | |||
WuXi AppTec Co., Ltd. Class A | 7,278 | 150,923 | |||
WuXi AppTec Co., Ltd. Class H (b)(c) | 29,327 | 574,146 | |||
Wuxi Biologics Cayman, Inc. (a)(c) | 325,500 | 4,315,456 | |||
Wuxi Lead Intelligent Equipment Co., Ltd. Class A | 3,700 | 47,834 | |||
XCMG Construction Machinery Co., Ltd. Class A | 35,100 | 29,013 | |||
Xiamen C & D, Inc. Class A | 11,400 | 14,406 | |||
Xiaomi Corp. Class B (a)(c) | 1,508,900 | 6,460,723 | |||
Xinhu Zhongbao Co., Ltd. Class A | 16,000 | 7,635 | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class A | 7,800 | 17,109 |
Security Description | Shares | Value | |||
Xinjiang Goldwind Science & Technology Co., Ltd. Class H (b) | 68,600 | $ 137,840 | |||
Xinyi Solar Holdings, Ltd. | 431,558 | 1,127,059 | |||
XPeng, Inc. ADR (a) | 17,500 | 749,525 | |||
Yadea Group Holdings, Ltd. (c) | 100,000 | 206,607 | |||
Yango Group Co., Ltd. Class A | 16,200 | 16,258 | |||
Yantai Jereh Oilfield Services Group Co., Ltd. Class A | 1,600 | 8,620 | |||
Yanzhou Coal Mining Co., Ltd. Class A | 9,900 | 15,345 | |||
Yanzhou Coal Mining Co., Ltd. Class H | 190,000 | 151,925 | |||
Yealink Network Technology Corp., Ltd. Class A | 1,500 | 16,883 | |||
Yifeng Pharmacy Chain Co., Ltd. Class A | 980 | 13,605 | |||
Yihai International Holding, Ltd. (a) | 51,000 | 756,398 | |||
Yintai Gold Co., Ltd. Class A | 11,060 | 14,658 | |||
Yonghui Superstores Co., Ltd. Class A | 28,800 | 31,829 | |||
Yonyou Network Technology Co., Ltd. Class A | 9,878 | 66,703 | |||
Youngor Group Co., Ltd. Class A | 22,500 | 24,901 | |||
YTO Express Group Co., Ltd. Class A | 10,400 | 18,409 | |||
Yuexiu Property Co., Ltd. | 757,000 | 152,301 | |||
Yum China Holdings, Inc. | 42,000 | 2,397,780 | |||
Yunda Holding Co., Ltd. Class A | 9,360 | 22,620 | |||
Yunnan Baiyao Group Co., Ltd. Class A | 4,299 | 75,172 | |||
Yunnan Energy New Material Co., Ltd. Class A | 2,700 | 58,924 | |||
Zai Lab, Ltd. ADR (a) | 7,200 | 974,448 | |||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd. Class A | 2,400 | 98,824 | |||
Zhaojin Mining Industry Co., Ltd. Class H | 125,500 | 149,392 | |||
Zhejiang Century Huatong Group Co., Ltd. Class A (a) | 18,800 | 20,575 | |||
Zhejiang Chint Electrics Co., Ltd. Class A | 5,000 | 30,139 | |||
Zhejiang Dahua Technology Co., Ltd. Class A | 12,000 | 36,739 | |||
Zhejiang Dingli Machinery Co., Ltd. Class A | 1,960 | 30,528 | |||
Zhejiang Expressway Co., Ltd. Class H | 180,000 | 152,053 | |||
Zhejiang Huahai Pharmaceutical Co., Ltd. Class A | 5,830 | 30,341 | |||
Zhejiang Huayou Cobalt Co., Ltd. Class A (a) | 4,600 | 56,149 |
Security Description | Shares | Value | |||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. Class A | 6,000 | $ 27,780 | |||
Zhejiang Longsheng Group Co., Ltd. Class A | 7,400 | 15,514 | |||
Zhejiang NHU Co., Ltd. Class A | 5,400 | 27,995 | |||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 8,190 | 31,075 | |||
Zhejiang Supor Co., Ltd. Class A | 1,300 | 15,606 | |||
Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. Class A | 900 | 10,625 | |||
Zhengzhou Yutong Bus Co., Ltd. Class A | 9,300 | 24,221 | |||
Zhenro Properties Group, Ltd. | 162,000 | 97,570 | |||
Zheshang Securities Co., Ltd. Class A | 11,100 | 26,141 | |||
ZhongAn Online P&C Insurance Co., Ltd. Class H (a)(b)(c) | 40,900 | 190,948 | |||
Zhongji Innolight Co., Ltd. Class A | 2,200 | 17,223 | |||
Zhongjin Gold Corp., Ltd. Class A | 14,600 | 19,799 | |||
Zhongsheng Group Holdings, Ltd. | 62,500 | 445,343 | |||
Zhuzhou CRRC Times Electric Co., Ltd. Class H | 56,800 | 247,598 | |||
Zijin Mining Group Co., Ltd. Class A | 57,700 | 82,509 | |||
Zijin Mining Group Co., Ltd. Class H | 610,000 | 690,728 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class A | 28,400 | 43,278 | |||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 147,600 | 177,032 | |||
ZTE Corp. Class A | 13,800 | 71,478 | |||
ZTE Corp. Class H (b) | 87,000 | 218,795 | |||
ZTO Express Cayman, Inc. ADR | 42,800 | 1,248,048 | |||
302,746,686 | |||||
COLOMBIA — 0.2% | |||||
Bancolombia SA | 28,086 | 287,224 | |||
Bancolombia SA Preference Shares | 47,013 | 482,431 | |||
Ecopetrol SA | 553,011 | 362,961 | |||
Grupo de Inversiones Suramericana SA | 28,763 | 212,580 | |||
Interconexion Electrica SA ESP | 48,854 | 367,066 | |||
1,712,262 | |||||
CZECH REPUBLIC — 0.1% | |||||
CEZ A/S | 18,043 | 432,923 | |||
Komercni banka A/S (a) | 7,704 | 235,817 |
Security Description | Shares | Value | |||
Moneta Money Bank A/S (a)(c) | 54,482 | $ 172,606 | |||
841,346 | |||||
EGYPT — 0.1% | |||||
Commercial International Bank Egypt SAE | 149,434 | 562,301 | |||
Eastern Co SAE | 120,063 | 99,531 | |||
ElSewedy Electric Co. | 98,402 | 61,369 | |||
723,201 | |||||
GREECE — 0.1% | |||||
FF Group (a)(d) | 3,869 | — | |||
Hellenic Telecommunications Organization SA | 24,937 | 402,144 | |||
JUMBO SA | 11,960 | 207,944 | |||
OPAP SA | 23,297 | 312,130 | |||
922,218 | |||||
HONG KONG — 0.4% | |||||
Alibaba Pictures Group, Ltd. (a)(b) | 1,275,900 | 157,968 | |||
China Huishan Dairy Holdings Co., Ltd. (a)(b)(d) | 406,100 | — | |||
China Youzan, Ltd. (a) | 1,384,000 | 412,316 | |||
Hutchison China MediTech, Ltd. ADR (a) | 7,200 | 230,544 | |||
Kingboard Laminates Holdings, Ltd. | 107,300 | 175,193 | |||
Nine Dragons Paper Holdings, Ltd. | 180,000 | 255,357 | |||
Shimao Group Holdings, Ltd. | 131,500 | 418,895 | |||
Sino Biopharmaceutical, Ltd. | 1,097,000 | 1,061,086 | |||
SSY Group, Ltd. | 184,000 | 104,413 | |||
Vinda International Holdings, Ltd. (b) | 38,000 | 103,652 | |||
Wharf Holdings, Ltd. | 168,000 | 451,750 | |||
3,371,174 | |||||
HUNGARY — 0.2% | |||||
MOL Hungarian Oil & Gas PLC (a) | 45,650 | 337,269 | |||
OTP Bank Nyrt (a) | 23,682 | 1,067,375 | |||
Richter Gedeon Nyrt | 15,488 | 388,741 | |||
1,793,385 | |||||
INDIA — 8.7% | |||||
ACC, Ltd. | 7,293 | 161,461 | |||
Adani Green Energy, Ltd. (a) | 39,777 | 573,022 | |||
Adani Ports & Special Economic Zone, Ltd. | 54,406 | 360,200 | |||
Ambuja Cements, Ltd. | 70,151 | 238,917 | |||
Apollo Hospitals Enterprise, Ltd. | 9,022 | 297,920 | |||
Asian Paints, Ltd. | 40,528 | 1,533,372 | |||
Aurobindo Pharma, Ltd. | 31,970 | 403,106 | |||
Avenue Supermarts, Ltd. (a)(c) | 16,903 | 639,315 | |||
Axis Bank, Ltd. (a) | 239,003 | 2,029,485 | |||
Bajaj Auto, Ltd. | 7,304 | 344,275 | |||
Bajaj Finance, Ltd. | 28,618 | 2,073,946 |
Security Description | Shares | Value | |||
Bajaj Finserv, Ltd. | 3,968 | $ 483,668 | |||
Balkrishna Industries, Ltd. | 8,500 | 191,515 | |||
Bandhan Bank, Ltd. (a)(c) | 76,208 | 419,539 | |||
Berger Paints India, Ltd. | 25,564 | 265,707 | |||
Bharat Forge, Ltd. | 25,984 | 186,805 | |||
Bharat Petroleum Corp., Ltd. | 67,780 | 353,522 | |||
Bharti Airtel, Ltd. | 132,751 | 926,037 | |||
Biocon, Ltd. (a) | 41,674 | 265,441 | |||
Britannia Industries, Ltd. | 11,013 | 539,041 | |||
Cipla, Ltd. | 44,932 | 504,219 | |||
Coal India, Ltd. | 142,753 | 264,631 | |||
Colgate-Palmolive India, Ltd. | 12,153 | 260,341 | |||
Container Corp. Of India, Ltd. | 25,257 | 138,025 | |||
Dabur India, Ltd. | 55,174 | 403,229 | |||
Divi's Laboratories, Ltd. | 14,099 | 741,328 | |||
DLF, Ltd. | 65,554 | 208,906 | |||
Dr Reddy's Laboratories, Ltd. | 12,350 | 879,775 | |||
Eicher Motors, Ltd. | 13,857 | 479,976 | |||
GAIL India, Ltd. | 169,014 | 285,092 | |||
Godrej Consumer Products, Ltd. | 41,441 | 419,784 | |||
Grasim Industries, Ltd. | 29,743 | 377,692 | |||
Havells India, Ltd. | 21,734 | 272,510 | |||
HCL Technologies, Ltd. | 114,667 | 1,484,821 | |||
HDFC Asset Management Co., Ltd. (c) | 5,710 | 228,033 | |||
HDFC Life Insurance Co., Ltd. (a)(c) | 75,105 | 695,364 | |||
Hero MotoCorp, Ltd. | 12,177 | 518,294 | |||
Hindalco Industries, Ltd. | 159,289 | 524,405 | |||
Hindustan Petroleum Corp., Ltd. | 65,561 | 195,514 | |||
Hindustan Unilever, Ltd. | 86,744 | 2,843,762 | |||
Housing Development Finance Corp., Ltd. | 179,510 | 6,286,013 | |||
ICICI Bank, Ltd. (a) | 538,048 | 3,939,954 | |||
ICICI Lombard General Insurance Co., Ltd. (a)(c) | 20,575 | 428,255 | |||
ICICI Prudential Life Insurance Co., Ltd. (a)(c) | 38,573 | 263,347 | |||
Indian Oil Corp., Ltd. | 218,069 | 271,439 | |||
Indraprastha Gas, Ltd. | 30,770 | 211,548 | |||
Indus Towers, Ltd. | 40,967 | 128,899 | |||
Info Edge India, Ltd. | 7,514 | 489,285 | |||
Infosys, Ltd. | 359,158 | 6,172,794 | |||
InterGlobe Aviation, Ltd. (a)(c) | 9,246 | 218,067 | |||
Ipca Laboratories, Ltd. | 6,812 | 204,059 | |||
ITC, Ltd. | 317,210 | 907,338 | |||
JSW Steel, Ltd. | 92,354 | 489,403 | |||
Jubilant Foodworks, Ltd. | 8,449 | 322,749 | |||
Kotak Mahindra Bank, Ltd. (a) | 58,530 | 1,598,556 | |||
Larsen & Toubro Infotech, Ltd. (c) | 5,160 | 258,433 | |||
Larsen & Toubro, Ltd. | 72,697 | 1,281,071 | |||
Lupin, Ltd. | 24,422 | 326,501 | |||
Mahindra & Mahindra, Ltd. | 85,522 | 843,428 | |||
Marico, Ltd. | 55,128 | 303,792 |
Security Description | Shares | Value | |||
Maruti Suzuki India, Ltd. | 14,358 | $ 1,503,171 | |||
Motherson Sumi Systems, Ltd. | 124,677 | 281,885 | |||
MRF, Ltd. | 186 | 192,830 | |||
Muthoot Finance, Ltd. | 11,787 | 195,282 | |||
Nestle India, Ltd. | 3,571 | 898,780 | |||
NTPC, Ltd. | 457,909 | 622,620 | |||
Oil & Natural Gas Corp., Ltd. | 286,783 | 365,212 | |||
Page Industries, Ltd. | 584 | 220,678 | |||
Petronet LNG, Ltd. | 74,570 | 252,691 | |||
PI Industries, Ltd. | 8,306 | 249,524 | |||
Pidilite Industries, Ltd. | 15,298 | 369,671 | |||
Piramal Enterprises, Ltd. | 9,016 | 176,285 | |||
Power Grid Corp. of India, Ltd. | 212,876 | 553,112 | |||
REC, Ltd. | 86,724 | 158,926 | |||
Reliance Industries, Ltd. | 300,623 | 8,168,157 | |||
SBI Life Insurance Co., Ltd. (a)(c) | 43,344 | 536,406 | |||
Shree Cement, Ltd. | 1,088 | 357,565 | |||
Shriram Transport Finance Co., Ltd. | 18,742 | 268,430 | |||
Siemens, Ltd. | 7,799 | 168,169 | |||
State Bank of India (a) | 189,647 | 713,634 | |||
Sun Pharmaceutical Industries, Ltd. | 91,320 | 740,321 | |||
Tata Consultancy Services, Ltd. | 98,913 | 3,875,364 | |||
Tata Consumer Products, Ltd. | 63,765 | 514,798 | |||
Tata Motors, Ltd. ADR (a)(b) | 541 | 6,817 | |||
Tata Motors, Ltd. (a) | 177,384 | 446,328 | |||
Tata Steel, Ltd. | 67,755 | 596,852 | |||
Tata Steel, Ltd. GDR | 4,114 | 35,627 | |||
Tech Mahindra, Ltd. | 66,657 | 887,817 | |||
Titan Co., Ltd. | 37,708 | 808,760 | |||
Torrent Pharmaceuticals, Ltd. | 5,408 | 207,438 | |||
Trent, Ltd. | 17,706 | 166,622 | |||
UltraTech Cement, Ltd. | 12,253 | 886,792 | |||
United Spirits, Ltd. (a) | 31,592 | 250,016 | |||
UPL, Ltd. | 53,354 | 340,529 | |||
Vedanta, Ltd. | 198,142 | 437,679 | |||
Wipro, Ltd. ADR | 119 | 672 | |||
Wipro, Ltd. | 119,363 | 630,978 | |||
Yes Bank, Ltd. (a) | 982,689 | 240,066 | |||
Zee Entertainment Enterprises, Ltd. | 92,384 | 282,586 | |||
76,566,016 | |||||
INDONESIA — 1.3% | |||||
Ace Hardware Indonesia Tbk PT | 711,000 | 86,788 | |||
Adaro Energy Tbk PT | 1,405,700 | 143,071 | |||
Astra International Tbk PT | 2,141,300 | 918,244 | |||
Bank Central Asia Tbk PT | 1,040,400 | 2,506,587 | |||
Bank Mandiri Persero Tbk PT | 1,974,700 | 888,966 | |||
Bank Negara Indonesia Persero Tbk PT | 746,600 | 328,132 | |||
Bank Rakyat Indonesia Persero Tbk PT | 5,859,700 | 1,739,142 |
Security Description | Shares | Value | |||
Barito Pacific Tbk PT (a) | 2,937,300 | $ 229,967 | |||
Charoen Pokphand Indonesia Tbk PT | 742,900 | 345,012 | |||
Gudang Garam Tbk PT (a) | 48,300 | 140,947 | |||
Indah Kiat Pulp & Paper Corp. Tbk PT | 322,100 | 238,996 | |||
Indocement Tunggal Prakarsa Tbk PT | 153,700 | 158,349 | |||
Indofood CBP Sukses Makmur Tbk PT | 254,900 | 173,713 | |||
Indofood Sukses Makmur Tbk PT | 484,600 | 236,264 | |||
Kalbe Farma Tbk PT | 2,318,900 | 244,268 | |||
Merdeka Copper Gold Tbk PT (a) | 937,200 | 162,092 | |||
Perusahaan Gas Negara Tbk PT | 1,369,000 | 161,259 | |||
Sarana Menara Nusantara Tbk PT | 2,224,800 | 152,015 | |||
Semen Indonesia Persero Tbk PT | 315,700 | 279,187 | |||
Telkom Indonesia Persero Tbk PT | 5,233,400 | 1,232,922 | |||
Unilever Indonesia Tbk PT | 827,600 | 432,944 | |||
United Tractors Tbk PT | 176,200 | 333,589 | |||
11,132,454 | |||||
KUWAIT — 0.5% | |||||
Agility Public Warehousing Co. KSC | 110,430 | 245,400 | |||
Boubyan Bank KSCP | 104,380 | 194,897 | |||
Gulf Bank KSCP | 142,750 | 102,769 | |||
Kuwait Finance House KSCP | 446,383 | 993,430 | |||
Mabanee Co. KPSC | 52,033 | 112,379 | |||
Mobile Telecommunications Co. KSCP | 218,978 | 436,228 | |||
National Bank of Kuwait SAKP | 686,884 | 1,896,721 | |||
3,981,824 | |||||
LUXEMBOURG — 0.0% (e) | |||||
Reinet Investments SCA | 16,385 | 307,437 | |||
MALAYSIA — 1.4% | |||||
AMMB Holdings Bhd | 195,200 | 177,124 | |||
Axiata Group Bhd | 302,393 | 281,156 | |||
CIMB Group Holdings Bhd | 685,203 | 732,473 | |||
Dialog Group Bhd | 405,400 | 347,702 | |||
DiGi.Com Bhd | 322,200 | 331,612 | |||
Fraser & Neave Holdings Bhd | 18,500 | 147,540 | |||
Gamuda Bhd | 206,281 | 199,486 | |||
Genting Bhd | 235,800 | 261,446 | |||
Genting Malaysia Bhd | 315,400 | 210,920 | |||
Genting Plantations Bhd | 28,800 | 70,523 | |||
HAP Seng Consolidated Bhd | 77,700 | 166,121 | |||
Hartalega Holdings Bhd | 183,100 | 552,600 | |||
Hong Leong Bank Bhd | 69,600 | 314,909 | |||
Hong Leong Financial Group Bhd | 26,800 | 120,325 | |||
IHH Healthcare Bhd | 226,700 | 309,969 |
Security Description | Shares | Value | |||
IOI Corp. Bhd | 270,500 | $ 293,868 | |||
Kossan Rubber Industries | 134,000 | 149,907 | |||
Kuala Lumpur Kepong Bhd | 47,412 | 279,109 | |||
Malayan Banking Bhd | 402,981 | 847,537 | |||
Malaysia Airports Holdings Bhd | 105,100 | 154,678 | |||
Maxis Bhd | 242,500 | 304,444 | |||
MISC Bhd | 141,800 | 242,179 | |||
Nestle Malaysia Bhd | 7,800 | 269,340 | |||
Petronas Chemicals Group Bhd | 248,800 | 459,561 | |||
Petronas Dagangan Bhd | 29,200 | 155,346 | |||
Petronas Gas Bhd | 89,100 | 380,544 | |||
PPB Group Bhd | 68,320 | 314,552 | |||
Press Metal Aluminium Holdings Bhd | 149,800 | 312,448 | |||
Public Bank Bhd | 307,500 | 1,574,767 | |||
QL Resources Bhd | 122,700 | 176,920 | |||
RHB Bank Bhd | 185,810 | 251,750 | |||
Sime Darby Bhd | 271,469 | 155,896 | |||
Sime Darby Plantation Bhd | 205,469 | 254,889 | |||
Supermax Corp. Bhd (a) | 162,533 | 242,840 | |||
Telekom Malaysia Bhd | 127,600 | 171,614 | |||
Tenaga Nasional Bhd | 232,900 | 603,311 | |||
Top Glove Corp. Bhd | 517,500 | 787,346 | |||
Westports Holdings Bhd | 98,400 | 105,188 | |||
12,711,940 | |||||
MEXICO — 1.6% | |||||
Alfa SAB de CV Class A | 318,040 | 229,526 | |||
America Movil SAB de CV Series L | 3,587,821 | 2,609,095 | |||
Arca Continental SAB de CV | 48,600 | 233,372 | |||
Becle SAB de CV | 56,500 | 141,608 | |||
Cemex SAB de CV Series CPO (a) | 1,617,617 | 833,752 | |||
Coca-Cola Femsa SAB de CV | 60,500 | 277,853 | |||
Controladora Nemak SAB de CV (a) | 165,440 | 21,754 | |||
Fibra Uno Administracion SA de CV REIT | 313,558 | 354,072 | |||
Fomento Economico Mexicano SAB de CV | 205,380 | 1,549,614 | |||
Gruma SAB de CV Class B | 22,795 | 271,050 | |||
Grupo Aeroportuario del Pacifico SAB de CV Class B (a) | 41,300 | 460,434 | |||
Grupo Aeroportuario del Sureste SAB de CV Class B (a) | 20,840 | 344,330 | |||
Grupo Bimbo SAB de CV Class A | 159,615 | 346,378 | |||
Grupo Carso SAB de CV Series A1 (a) | 53,700 | 178,897 | |||
Grupo Financiero Banorte SAB de CV Series O (a) | 274,803 | 1,516,102 | |||
Grupo Financiero Inbursa SAB de CV Series O (a) | 254,026 | 255,741 |
Security Description | Shares | Value | |||
Grupo Mexico SAB de CV Class B | 328,936 | $ 1,388,678 | |||
Grupo Televisa SAB Series CPO (a) | 242,829 | 398,997 | |||
Industrias Penoles SAB de CV (a) | 14,495 | 244,994 | |||
Infraestructura Energetica Nova SAB de CV (a) | 53,800 | 209,443 | |||
Kimberly-Clark de Mexico SAB de CV Class A | 175,589 | 299,529 | |||
Megacable Holdings SAB de CV | 37,300 | 136,055 | |||
Orbia Advance Corp. SAB de CV | 110,910 | 260,221 | |||
Promotora y Operadora de Infraestructura SAB de CV | 24,150 | 212,866 | |||
Telesites SAB de CV (a) | 125,800 | 135,867 | |||
Wal-Mart de Mexico SAB de CV | 553,194 | 1,554,179 | |||
14,464,407 | |||||
PAKISTAN — 0.0% (e) | |||||
Habib Bank, Ltd. | 66,000 | 54,634 | |||
MCB Bank, Ltd. | 48,800 | 56,581 | |||
Oil & Gas Development Co., Ltd. | 76,400 | 49,612 | |||
160,827 | |||||
PERU — 0.2% | |||||
Cia de Minas Buenaventura SAA ADR (a) | 23,400 | 285,246 | |||
Credicorp, Ltd. | 7,100 | 1,164,542 | |||
Southern Copper Corp. | 8,667 | 564,395 | |||
2,014,183 | |||||
PHILIPPINES — 0.7% | |||||
Aboitiz Equity Ventures, Inc. | 216,340 | 212,856 | |||
Aboitiz Power Corp. | 192,500 | 106,424 | |||
Ayala Corp. | 29,505 | 508,098 | |||
Ayala Land, Inc. | 844,400 | 719,147 | |||
Bank of the Philippine Islands | 180,919 | 306,470 | |||
BDO Unibank, Inc. | 205,299 | 456,567 | |||
Globe Telecom, Inc. | 3,920 | 165,702 | |||
GT Capital Holdings, Inc. | 12,002 | 146,203 | |||
International Container Terminal Services, Inc. | 107,620 | 276,762 | |||
JG Summit Holdings, Inc. | 313,320 | 467,140 | |||
Jollibee Foods Corp. | 43,140 | 175,350 | |||
Manila Electric Co. | 26,550 | 161,433 | |||
Megaworld Corp. | 1,462,000 | 124,209 | |||
Metro Pacific Investments Corp. | 1,727,000 | 153,915 | |||
Metropolitan Bank & Trust Co. | 217,087 | 221,727 | |||
PLDT, Inc. | 8,581 | 239,436 | |||
Puregold Price Club, Inc. | 104,500 | 89,217 | |||
SM Investments Corp. | 25,180 | 550,019 | |||
SM Prime Holdings, Inc. | 1,072,700 | 859,974 |
Security Description | Shares | Value | |||
Universal Robina Corp. | 87,930 | $ 279,224 | |||
6,219,873 | |||||
POLAND — 0.7% | |||||
Allegro.eu SA (a)(c) | 26,665 | 606,153 | |||
Bank Polska Kasa Opieki SA (a) | 19,437 | 318,733 | |||
CCC SA (a) | 244 | 5,731 | |||
CD Projekt SA (a) | 7,115 | 524,555 | |||
Cyfrowy Polsat SA | 28,008 | 227,612 | |||
Dino Polska SA (a)(c) | 5,428 | 421,595 | |||
KGHM Polska Miedz SA (a) | 14,826 | 728,169 | |||
LPP SA (a) | 140 | 311,299 | |||
Orange Polska SA (a) | 76,094 | 134,584 | |||
PGE Polska Grupa Energetyczna SA (a) | 104,212 | 181,798 | |||
Polski Koncern Naftowy ORLEN SA | 32,516 | 503,710 | |||
Polskie Gornictwo Naftowe i Gazownictwo SA | 181,342 | 269,725 | |||
Powszechna Kasa Oszczednosci Bank Polski SA (a) | 92,942 | 716,397 | |||
Powszechny Zaklad Ubezpieczen SA (a) | 64,419 | 559,474 | |||
Santander Bank Polska SA (a) | 3,855 | 192,129 | |||
5,701,664 | |||||
QATAR — 0.7% | |||||
Barwa Real Estate Co. | 193,205 | 180,470 | |||
Commercial Bank PQSC | 220,357 | 266,292 | |||
Industries Qatar QSC | 190,451 | 568,581 | |||
Masraf Al Rayan QSC | 384,196 | 478,003 | |||
Mesaieed Petrochemical Holding Co. | 487,701 | 274,189 | |||
Ooredoo QSC | 96,940 | 200,217 | |||
Qatar Electricity & Water Co. QSC | 59,186 | 290,159 | |||
Qatar Fuel QSC | 54,188 | 278,009 | |||
Qatar Gas Transport Co., Ltd. | 245,585 | 214,491 | |||
Qatar International Islamic Bank QSC | 82,218 | 204,405 | |||
Qatar Islamic Bank SAQ | 123,697 | 581,284 | |||
Qatar National Bank QPSC | 477,526 | 2,338,448 | |||
5,874,548 | |||||
ROMANIA — 0.0% (e) | |||||
NEPI Rockcastle PLC | 46,578 | 296,488 | |||
RUSSIA — 2.8% | |||||
Alrosa PJSC (a) | 255,130 | 340,728 | |||
Gazprom PJSC | 1,248,138 | 3,588,437 | |||
Inter Rao Use PJSC (a) | 4,077,928 | 293,476 | |||
LUKOIL PJSC | 43,845 | 3,072,405 | |||
Magnit PJSC | 8,662 | 663,782 | |||
Mail.Ru Group, Ltd. GDR (a) | 11,526 | 303,134 | |||
MMC Norilsk Nickel PJSC | 6,680 | 2,144,951 | |||
Mobile TeleSystems PJSC ADR | 42,070 | 376,526 |
Security Description | Shares | Value | |||
Mobile TeleSystems PJSC | 13,301 | $ 59,335 | |||
Moscow Exchange MICEX (a) | 135,481 | 291,681 | |||
Novatek PJSC GDR | 600 | 98,040 | |||
Novatek PJSC | 91,850 | 1,569,156 | |||
Novolipetskiy Steel PJSC (a) | 131,643 | 372,053 | |||
PhosAgro PJSC GDR | 14,306 | 195,134 | |||
Polymetal International PLC | 25,552 | 588,367 | |||
Polyus PJSC (a) | 3,565 | 735,418 | |||
Rosneft Oil Co. PJSC | 123,821 | 731,816 | |||
Sberbank of Russia PJSC | 1,137,964 | 4,169,568 | |||
Severstal PAO | 23,136 | 412,770 | |||
Surgutneftegas PJSC Preference Shares | 721,300 | 406,950 | |||
Surgutneftegas PJSC | 774,400 | 376,707 | |||
Tatneft PJSC | 150,195 | 1,044,155 | |||
VTB Bank PJSC | 351,600,000 | 179,316 | |||
X5 Retail Group NV GDR | 12,785 | 461,794 | |||
Yandex NV Class A (a) | 31,821 | 2,214,105 | |||
24,689,804 | |||||
SAUDI ARABIA — 2.3% | |||||
Abdullah Al Othaim Markets Co. | 4,958 | 162,289 | |||
Advanced Petrochemical Co. | 11,368 | 203,022 | |||
Al Rajhi Bank | 129,234 | 2,535,351 | |||
Alinma Bank (a) | 102,357 | 441,448 | |||
Almarai Co. JSC | 25,179 | 368,463 | |||
Arab National Bank | 60,208 | 322,577 | |||
Bank AlBilad | 40,784 | 308,196 | |||
Bank Al-Jazira | 43,091 | 156,899 | |||
Banque Saudi Fransi | 61,969 | 521,969 | |||
Bupa Arabia for Cooperative Insurance Co. (a) | 6,745 | 219,703 | |||
Co. for Cooperative Insurance (a) | 7,040 | 149,560 | |||
Dar Al Arkan Real Estate Development Co. (a) | 51,903 | 119,810 | |||
Dr Sulaiman Al Habib Medical Services Group Co. | 5,026 | 146,027 | |||
Emaar Economic City (a) | 43,855 | 107,662 | |||
Etihad Etisalat Co. (a) | 42,091 | 321,438 | |||
Jarir Marketing Co. | 6,539 | 302,234 | |||
Mobile Telecommunications Co. (a) | 47,124 | 170,830 | |||
National Commercial Bank | 155,196 | 1,793,301 | |||
National Industrialization Co. (a) | 37,774 | 137,741 | |||
Rabigh Refining & Petrochemical Co. (a) | 25,187 | 92,783 | |||
Riyad Bank | 142,446 | 766,982 | |||
Sahara International Petrochemical Co. | 38,616 | 178,278 | |||
Samba Financial Group | 105,271 | 857,242 | |||
Saudi Airlines Catering Co. | 4,598 | 94,495 | |||
Saudi Arabian Fertilizer Co. | 21,366 | 459,031 | |||
Saudi Arabian Mining Co. (a) | 45,925 | 495,778 | |||
Saudi Arabian Oil Co. (c) | 232,157 | 2,165,875 |
Security Description | Shares | Value | |||
Saudi Basic Industries Corp. | 94,947 | $ 2,566,272 | |||
Saudi British Bank | 87,195 | 574,544 | |||
Saudi Cement Co. | 7,316 | 119,931 | |||
Saudi Electricity Co. | 84,542 | 479,994 | |||
Saudi Industrial Investment Group | 22,162 | 161,861 | |||
Saudi Kayan Petrochemical Co. (a) | 80,549 | 307,029 | |||
Saudi Telecom Co. | 63,341 | 1,789,675 | |||
Savola Group | 29,256 | 331,427 | |||
Yanbu National Petrochemical Co. | 25,572 | 435,561 | |||
20,365,278 | |||||
SINGAPORE — 0.0% (e) | |||||
BOC Aviation, Ltd. (c) | 22,100 | 190,963 | |||
SOUTH AFRICA — 3.1% | |||||
Absa Group, Ltd. | 74,970 | 611,754 | |||
African Rainbow Minerals, Ltd. | 10,894 | 194,247 | |||
Anglo American Platinum, Ltd. | 5,964 | 585,955 | |||
Aspen Pharmacare Holdings, Ltd. (a) | 43,039 | 367,342 | |||
Bid Corp., Ltd. | 34,213 | 612,649 | |||
Bidvest Group, Ltd. | 32,799 | 350,615 | |||
Capitec Bank Holdings, Ltd. (a) | 7,230 | 705,170 | |||
Clicks Group, Ltd. | 27,176 | 467,471 | |||
Discovery, Ltd. | 43,264 | 452,234 | |||
Exxaro Resources, Ltd. | 26,069 | 246,514 | |||
FirstRand, Ltd. | 503,324 | 1,748,934 | |||
Gold Fields, Ltd. | 93,727 | 877,816 | |||
Growthpoint Properties, Ltd. REIT | 348,515 | 298,244 | |||
Harmony Gold Mining Co., Ltd. (a) | 57,323 | 279,420 | |||
Impala Platinum Holdings, Ltd. | 84,451 | 1,160,797 | |||
Kumba Iron Ore, Ltd. | 6,835 | 289,807 | |||
Mr. Price Group, Ltd. | 28,132 | 326,830 | |||
MTN Group, Ltd. (b) | 180,104 | 738,011 | |||
MultiChoice Group, Ltd. | 49,126 | 448,158 | |||
Naspers, Ltd. Class N | 46,020 | 9,459,654 | |||
Nedbank Group, Ltd. | 37,804 | 333,239 | |||
Northam Platinum, Ltd. (a) | 37,983 | 541,814 | |||
Old Mutual, Ltd. | 509,299 | 412,259 | |||
Rand Merchant Investment Holdings, Ltd. | 74,289 | 162,094 | |||
Remgro, Ltd. | 53,212 | 348,498 | |||
Sanlam, Ltd. | 190,855 | 763,355 | |||
Sasol, Ltd. (a) | 60,096 | 547,947 | |||
Shoprite Holdings, Ltd. | 53,170 | 506,769 | |||
Sibanye Stillwater, Ltd. | 243,958 | 996,510 | |||
SPAR Group, Ltd. | 20,580 | 265,559 | |||
Standard Bank Group, Ltd. | 137,112 | 1,186,227 | |||
Tiger Brands, Ltd. | 15,917 | 225,588 | |||
Vodacom Group, Ltd. | 68,617 | 581,075 | |||
Woolworths Holdings, Ltd. | 106,029 | 285,415 | |||
27,377,971 |
Security Description | Shares | Value | |||
SOUTH KOREA — 12.8% | |||||
Alteogen, Inc. (a) | 1,907 | $ 315,463 | |||
Amorepacific Corp. (a) | 3,429 | 650,257 | |||
AMOREPACIFIC Group (a) | 3,081 | 155,709 | |||
BGF retail Co., Ltd. (a) | 940 | 117,251 | |||
Celltrion Healthcare Co., Ltd. (a) | 7,541 | 1,131,532 | |||
Celltrion Pharm, Inc. (a) | 1,718 | 377,350 | |||
Celltrion, Inc. (a) | 10,165 | 3,359,325 | |||
Cheil Worldwide, Inc. (a) | 8,082 | 153,263 | |||
CJ CheilJedang Corp. (a) | 889 | 311,801 | |||
CJ Corp. (a) | 1,500 | 127,175 | |||
CJ ENM Co., Ltd. (a) | 1,050 | 134,838 | |||
CJ Logistics Corp. (a) | 1,140 | 173,681 | |||
Coway Co., Ltd. (a) | 5,160 | 345,330 | |||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. (a) | 4,419 | 111,461 | |||
DB Insurance Co., Ltd. (a) | 5,288 | 212,971 | |||
Doosan Bobcat, Inc. (a) | 4,814 | 131,396 | |||
Doosan Heavy Industries & Construction Co., Ltd. (a) | 19,215 | 238,794 | |||
Douzone Bizon Co., Ltd. (a) | 2,048 | 196,071 | |||
E-MART, Inc. (a) | 1,949 | 271,816 | |||
Fila Holdings Corp. (a) | 4,764 | 191,648 | |||
GS Engineering & Construction Corp. (a) | 5,945 | 206,868 | |||
GS Holdings Corp. (a) | 5,609 | 193,886 | |||
GS Retail Co., Ltd. (a) | 3,214 | 101,926 | |||
Hana Financial Group, Inc. | 31,749 | 1,008,322 | |||
Hankook Tire & Technology Co., Ltd. (a) | 7,658 | 277,755 | |||
Hanmi Pharm Co., Ltd. (a) | 669 | 225,710 | |||
Hanon Systems | 19,447 | 290,908 | |||
Hanwha Corp. (a) | 5,038 | 131,249 | |||
Hanwha Solutions Corp. (a) | 10,911 | 481,117 | |||
HLB, Inc. (a) | 4,698 | 400,041 | |||
Hotel Shilla Co., Ltd. (a) | 3,434 | 260,166 | |||
Hyundai Construction Equipment Co., Ltd. (a) | 4 | 121 | |||
Hyundai Engineering & Construction Co., Ltd. (a) | 8,592 | 296,208 | |||
Hyundai Glovis Co., Ltd. (a) | 2,034 | 344,524 | |||
Hyundai Heavy Industries Holdings Co., Ltd. (a) | 1,077 | 281,073 | |||
Hyundai Marine & Fire Insurance Co., Ltd. (a) | 6,687 | 140,043 | |||
Hyundai Mobis Co., Ltd. (a) | 7,026 | 1,652,530 | |||
Hyundai Motor Co. (a) | 15,777 | 2,788,534 | |||
Hyundai Motor Co. Preference Shares (a)(f) | 3,991 | 329,185 | |||
Hyundai Motor Co. Preference Shares (a)(f) | 2,436 | 198,459 | |||
Hyundai Steel Co. (a) | 9,783 | 356,630 | |||
Industrial Bank of Korea | 28,223 | 229,671 | |||
Kakao Corp. | 6,038 | 2,164,965 | |||
Kangwon Land, Inc. (a) | 11,462 | 247,958 | |||
KB Financial Group, Inc. | 41,706 | 1,666,244 |
Security Description | Shares | Value | |||
Kia Motors Corp. (a) | 27,825 | $ 1,598,343 | |||
KMW Co., Ltd. (a) | 2,751 | 204,369 | |||
Korea Aerospace Industries, Ltd. (a) | 7,275 | 172,784 | |||
Korea Electric Power Corp. | 26,904 | 678,606 | |||
Korea Gas Corp. (a) | 3,203 | 91,110 | |||
Korea Investment Holdings Co., Ltd. (a) | 4,276 | 310,967 | |||
Korea Shipbuilding & Offshore Engineering Co., Ltd. (a) | 4,025 | 402,018 | |||
Korea Zinc Co., Ltd. (a) | 949 | 350,753 | |||
Korean Air Lines Co., Ltd. (a) | 9,732 | 243,681 | |||
KT&G Corp. (a) | 12,345 | 944,370 | |||
Kumho Petrochemical Co., Ltd. (a) | 1,868 | 249,342 | |||
LG Chem, Ltd. (a) | 4,838 | 3,669,808 | |||
LG Chem, Ltd. Preference Shares (a) | 803 | 282,007 | |||
LG Corp. (a) | 10,077 | 811,689 | |||
LG Display Co., Ltd. | 25,280 | 431,689 | |||
LG Electronics, Inc. | 11,251 | 1,398,219 | |||
LG Household & Health Care, Ltd. (a) | 990 | 1,476,388 | |||
LG Household & Health Care, Ltd. Preference Shares (a) | 207 | 136,819 | |||
LG Innotek Co., Ltd. (a) | 1,532 | 257,378 | |||
LG Uplus Corp. (a) | 24,599 | 266,076 | |||
Lotte Chemical Corp. (a) | 1,734 | 440,563 | |||
Lotte Corp. (a) | 3,364 | 109,315 | |||
Lotte Shopping Co., Ltd. (a) | 1,454 | 137,195 | |||
Meritz Securities Co., Ltd. (a) | 25,081 | 84,619 | |||
Mirae Asset Daewoo Co., Ltd. (a) | 31,312 | 272,103 | |||
NAVER Corp. (a) | 12,992 | 3,498,260 | |||
NCSoft Corp. (a) | 1,739 | 1,490,388 | |||
Netmarble Corp. (a)(c) | 2,279 | 275,880 | |||
NH Investment & Securities Co., Ltd. (a) | 11,641 | 121,093 | |||
Orion Corp/Republic of Korea (a) | 2,607 | 297,586 | |||
Ottogi Corp. (a) | 142 | 75,425 | |||
Pan Ocean Co., Ltd. (a) | 33,430 | 154,486 | |||
Pearl Abyss Corp. (a) | 609 | 145,929 | |||
POSCO | 7,822 | 1,958,560 | |||
POSCO Chemtech Co., Ltd. | 2,220 | 212,538 | |||
S-1 Corp. (a) | 2,014 | 157,590 | |||
Samsung Biologics Co., Ltd. (a)(c) | 1,748 | 1,329,143 | |||
Samsung C&T Corp. (a) | 8,891 | 1,129,484 | |||
Samsung Card Co., Ltd. (a) | 3,365 | 100,674 | |||
Samsung Electro-Mechanics Co., Ltd. (a) | 5,927 | 971,192 | |||
Samsung Electronics Co., Ltd. Preference Shares | 86,738 | 5,876,753 | |||
Samsung Electronics Co., Ltd. | 504,502 | 37,618,210 | |||
Samsung Engineering Co., Ltd. (a) | 16,760 | 204,428 |
Security Description | Shares | Value | |||
Samsung Fire & Marine Insurance Co., Ltd. (a) | 3,346 | $ 577,534 | |||
Samsung Heavy Industries Co., Ltd. (a) | 53,830 | 348,857 | |||
Samsung Life Insurance Co., Ltd. (a) | 7,304 | 531,848 | |||
Samsung SDI Co., Ltd. | 5,802 | 3,354,189 | |||
Samsung SDS Co., Ltd. (a) | 3,785 | 621,948 | |||
Samsung Securities Co., Ltd. (a) | 6,163 | 229,488 | |||
Seegene, Inc. | 1,945 | 345,563 | |||
Shin Poong Pharmaceutical Co., Ltd. (a) | 3,036 | 346,556 | |||
Shinhan Financial Group Co., Ltd. | 46,379 | 1,368,358 | |||
Shinsegae, Inc. (a) | 883 | 194,678 | |||
SK Biopharmaceuticals Co., Ltd. (a) | 1,552 | 241,451 | |||
SK Chemicals Co., Ltd. (a) | 761 | 274,963 | |||
SK Holdings Co., Ltd. | 3,734 | 826,684 | |||
SK Hynix, Inc. | 57,547 | 6,277,566 | |||
SK Innovation Co., Ltd. (a) | 5,867 | 1,026,171 | |||
SK Telecom Co., Ltd. | 4,186 | 917,120 | |||
S-Oil Corp. (a) | 5,019 | 319,723 | |||
Woori Financial Group, Inc. | 54,998 | 492,618 | |||
Yuhan Corp. (a) | 5,063 | 350,024 | |||
112,264,394 | |||||
TAIWAN — 12.0% | |||||
Accton Technology Corp. | 53,000 | 596,057 | |||
Acer, Inc. | 305,000 | 256,718 | |||
Advantech Co., Ltd. | 39,002 | 485,825 | |||
ASE Technology Holding Co., Ltd. | 344,307 | 996,233 | |||
Asia Cement Corp. | 227,000 | 349,007 | |||
ASMedia Technology, Inc. | 3,000 | 167,628 | |||
Asustek Computer, Inc. | 75,000 | 668,642 | |||
AU Optronics Corp. (a) | 951,000 | 473,842 | |||
Catcher Technology Co., Ltd. | 75,000 | 549,861 | |||
Cathay Financial Holding Co., Ltd. | 838,087 | 1,260,203 | |||
Chailease Holding Co., Ltd. | 131,998 | 789,226 | |||
Chang Hwa Commercial Bank, Ltd. | 561,221 | 358,528 | |||
Cheng Shin Rubber Industry Co., Ltd. | 182,000 | 285,326 | |||
Chicony Electronics Co., Ltd. | 59,788 | 183,420 | |||
China Development Financial Holding Corp. | 1,326,000 | 438,885 | |||
China Life Insurance Co., Ltd. | 308,869 | 244,035 | |||
China Steel Corp. | 1,248,000 | 1,099,295 | |||
Chunghwa Telecom Co., Ltd. | 401,000 | 1,555,591 | |||
Compal Electronics, Inc. | 468,000 | 344,779 | |||
CTBC Financial Holding Co., Ltd. | 1,862,040 | 1,305,509 | |||
Delta Electronics, Inc. | 206,000 | 1,928,180 | |||
E.Sun Financial Holding Co., Ltd. | 1,196,341 | 1,087,854 |
Security Description | Shares | Value | |||
Eclat Textile Co., Ltd. | 20,550 | $ 309,003 | |||
Evergreen Marine Corp. Taiwan, Ltd. (a) | 279,252 | 404,497 | |||
Far Eastern New Century Corp. | 317,000 | 326,612 | |||
Far EasTone Telecommunications Co., Ltd. | 166,000 | 361,563 | |||
Feng TAY Enterprise Co., Ltd. | 41,361 | 293,669 | |||
First Financial Holding Co., Ltd. | 1,090,579 | 828,666 | |||
Formosa Chemicals & Fibre Corp. | 372,000 | 1,121,375 | |||
Formosa Petrochemical Corp. | 124,000 | 440,430 | |||
Formosa Plastics Corp. | 405,000 | 1,389,494 | |||
Foxconn Technology Co., Ltd. | 106,830 | 203,029 | |||
Fubon Financial Holding Co., Ltd. | 703,000 | 1,169,665 | |||
Giant Manufacturing Co., Ltd. | 32,000 | 313,190 | |||
Globalwafers Co., Ltd. | 23,000 | 579,543 | |||
Highwealth Construction Corp. | 80,300 | 131,033 | |||
Hiwin Technologies Corp. | 26,721 | 365,657 | |||
Hon Hai Precision Industry Co., Ltd. | 1,315,800 | 4,308,264 | |||
Hotai Motor Co., Ltd. | 32,000 | 732,294 | |||
Hua Nan Financial Holdings Co., Ltd. | 908,229 | 589,906 | |||
Innolux Corp. (a) | 880,000 | 441,597 | |||
Inventec Corp. | 291,000 | 248,559 | |||
Largan Precision Co., Ltd. | 11,000 | 1,250,801 | |||
Lite-On Technology Corp. | 219,958 | 389,847 | |||
MediaTek, Inc. | 160,000 | 4,253,683 | |||
Mega Financial Holding Co., Ltd. | 1,154,000 | 1,223,902 | |||
Micro-Star International Co., Ltd. | 75,000 | 353,673 | |||
Nan Ya Plastics Corp. | 547,000 | 1,399,719 | |||
Nanya Technology Corp. | 136,000 | 420,130 | |||
Nien Made Enterprise Co., Ltd. | 17,000 | 197,238 | |||
Novatek Microelectronics Corp. | 61,000 | 801,089 | |||
Oneness Biotech Co., Ltd. (a) | 19,000 | 162,965 | |||
Pegatron Corp. | 205,000 | 491,014 | |||
Phison Electronics Corp. | 16,000 | 189,337 | |||
Pou Chen Corp. | 242,000 | 270,439 | |||
Powertech Technology, Inc. | 80,000 | 270,197 | |||
President Chain Store Corp. | 62,000 | 588,049 | |||
Quanta Computer, Inc. | 309,000 | 889,675 | |||
Realtek Semiconductor Corp. | 52,000 | 722,685 | |||
Ruentex Development Co., Ltd. | 95,760 | 139,390 | |||
Shanghai Commercial & Savings Bank, Ltd. | 352,736 | 515,960 | |||
Shin Kong Financial Holding Co., Ltd. | 1,148,084 | 359,976 | |||
SinoPac Financial Holdings Co., Ltd. | 1,099,457 | 448,031 | |||
Standard Foods Corp. | 48,512 | 105,836 | |||
Synnex Technology International Corp. | 154,700 | 258,769 |
Security Description | Shares | Value | |||
Taishin Financial Holding Co., Ltd. | 1,027,680 | $ 484,617 | |||
Taiwan Business Bank | 650,535 | 225,272 | |||
Taiwan Cement Corp. | 518,085 | 796,543 | |||
Taiwan Cooperative Financial Holding Co., Ltd. | 991,377 | 718,006 | |||
Taiwan High Speed Rail Corp. | 228,000 | 257,228 | |||
Taiwan Mobile Co., Ltd. | 177,000 | 623,009 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,602,000 | 49,080,362 | |||
Unimicron Technology Corp. | 121,000 | 376,376 | |||
Uni-President Enterprises Corp. | 512,000 | 1,229,981 | |||
United Microelectronics Corp. | 1,229,000 | 2,062,330 | |||
Vanguard International Semiconductor Corp. | 98,000 | 404,584 | |||
Walsin Technology Corp. | 35,000 | 287,120 | |||
Win Semiconductors Corp. | 36,000 | 443,306 | |||
Winbond Electronics Corp. | 320,000 | 330,842 | |||
Wistron Corp. | 316,101 | 348,748 | |||
Wiwynn Corp. | 9,000 | 225,496 | |||
WPG Holdings, Ltd. | 174,880 | 267,007 | |||
Yageo Corp. | 39,556 | 729,234 | |||
Yuanta Financial Holding Co., Ltd. | 1,031,600 | 754,480 | |||
Zhen Ding Technology Holding, Ltd. | 59,000 | 239,376 | |||
105,569,012 | |||||
TANZANIA, UNITED REPUBLIC OF — 0.1% | |||||
AngloGold Ashanti, Ltd. | 44,075 | 1,027,764 | |||
THAILAND — 1.7% | |||||
Advanced Info Service PCL | 121,600 | 714,338 | |||
Advanced Info Service PCL NVDR | 4,700 | 27,610 | |||
Airports of Thailand PCL | 453,000 | 941,230 | |||
Asset World Corp. PCL (a) | 866,500 | 131,884 | |||
B Grimm Power PCL | 85,100 | 137,762 | |||
Bangkok Bank PCL | 51,700 | 205,350 | |||
Bangkok Bank PCL NVDR | 8,100 | 32,038 | |||
Bangkok Commercial Asset Management PCL | 187,300 | 136,912 | |||
Bangkok Dusit Medical Services PCL NVDR | 38,300 | 26,590 | |||
Bangkok Dusit Medical Services PCL Class F | 974,700 | 676,694 | |||
Bangkok Expressway & Metro PCL | 829,899 | 229,912 | |||
Berli Jucker PCL | 128,600 | 149,161 | |||
BTS Group Holdings PCL | 795,184 | 246,836 | |||
Bumrungrad Hospital PCL | 42,300 | 169,426 | |||
Central Pattana PCL | 233,300 | 371,832 | |||
Central Retail Corp. PCL (a) | 193,558 | 198,662 | |||
Charoen Pokphand Foods PCL | 390,100 | 348,304 | |||
CP ALL PCL (a) | 619,900 | 1,205,246 | |||
Delta Electronics Thailand PCL | 33,200 | 538,558 |
Security Description | Shares | Value | |||
Electricity Generating PCL | 32,200 | $ 206,893 | |||
Energy Absolute PCL | 157,619 | 259,103 | |||
Global Power Synergy PCL Class F | 78,400 | 192,991 | |||
Gulf Energy Development PCL | 252,560 | 288,724 | |||
Home Product Center PCL | 655,700 | 299,836 | |||
Indorama Ventures PCL | 180,400 | 222,790 | |||
Intouch Holdings PCL Class F | 234,300 | 439,899 | |||
Kasikornbank PCL | 176,500 | 671,595 | |||
Krung Thai Bank PCL | 368,300 | 136,453 | |||
Krungthai Card PCL | 80,000 | 158,879 | |||
Land & Houses PCL | 921,653 | 244,564 | |||
Minor International PCL (a) | 300,600 | 258,359 | |||
Minor International PCL NVDR (a) | 32,500 | 27,933 | |||
Muangthai Capital PCL (a) | 74,900 | 147,500 | |||
Osotspa PCL | 79,900 | 94,675 | |||
PTT Exploration & Production PCL | 145,000 | 475,509 | |||
PTT Global Chemical PCL | 227,300 | 443,827 | |||
PTT PCL | 1,206,200 | 1,711,065 | |||
Ratch Group PCL | 85,200 | 150,721 | |||
Siam Cement PCL | 82,579 | 1,041,885 | |||
Siam Commercial Bank PCL | 93,600 | 273,364 | |||
Sri Trang Gloves Thailand PCL | 50,700 | 128,611 | |||
Srisawad Corp. PCL | 79,900 | 175,348 | |||
Thai Oil PCL | 119,300 | 207,063 | |||
Thai Union Group PCL Class F | 314,400 | 142,718 | |||
Total Access Communication PCL | 83,100 | 92,225 | |||
True Corp. PCL (b) | 1,233,437 | 141,623 | |||
15,122,498 | |||||
TURKEY — 0.4% | |||||
Akbank T.A.S. (a) | 318,803 | 297,249 | |||
Aselsan Elektronik Sanayi Ve Ticaret A/S | 80,550 | 197,785 | |||
BIM Birlesik Magazalar A/S | 47,786 | 485,415 | |||
Eregli Demir ve Celik Fabrikalari TAS | 151,859 | 305,046 | |||
Ford Otomotiv Sanayi A/S | 8,854 | 150,098 | |||
Haci Omer Sabanci Holding A/S | 87,028 | 134,187 | |||
KOC Holding A/S | 82,839 | 235,393 | |||
Turk Hava Yollari AO (a) | 65,005 | 112,912 | |||
Turkcell Iletisim Hizmetleri A/S | 122,127 | 264,547 | |||
Turkiye Garanti Bankasi A/S (a) | 258,383 | 360,502 | |||
Turkiye Is Bankasi A/S Class C (a) | 168,086 | 158,305 | |||
Turkiye Petrol Rafinerileri AS (a) | 13,756 | 199,885 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 147,597 | 145,164 | |||
Yapi ve Kredi Bankasi A/S (a) | 306,504 | 127,014 | |||
3,173,502 |
Security Description | Shares | Value | |||
UNITED ARAB EMIRATES — 0.5% | |||||
Abu Dhabi Commercial Bank PJSC | 290,985 | $ 491,161 | |||
Abu Dhabi Islamic Bank PJSC | 141,941 | 181,621 | |||
Aldar Properties PJSC | 411,014 | 352,475 | |||
Dubai Islamic Bank PJSC | 205,183 | 257,516 | |||
Emaar Malls PJSC (a) | 305,084 | 151,996 | |||
Emaar Properties PJSC (a) | 385,976 | 370,934 | |||
Emirates NBD Bank PJSC | 271,473 | 761,246 | |||
Emirates Telecommunications Group Co. PJSC | 184,573 | 849,212 | |||
First Abu Dhabi Bank PJSC | 288,672 | 1,013,808 | |||
4,429,969 | |||||
UNITED STATES — 0.1% | |||||
JBS SA | 116,400 | 530,211 | |||
TOTAL COMMON STOCKS (Cost $535,454,930) | 813,701,718 |
RIGHTS — 0.0% (e) | |||
CHINA — 0.0% (e) | |||
Legend Holdings Corp. (expiring 1/28/21) Class H (a) (d) | 3,446 | — | |
SOUTH KOREA — 0.0% (e) | |||
POSCO Chemical Co., Ltd. (expiring 1/14/21) (a) | 529 | 14,828 | |
TOTAL RIGHTS (Cost $0) | 14,828 | ||
WARRANTS — 2.2% | |||
CHINA — 0.9% | |||
MSCI CHINA A INCLUSION Net Return USD Index (expiring 8/31/27) (a) | 5,200 | 7,862,067 | |
SWITZERLAND — 1.3% | |||
UBS AG (expiring 11/26/27) (a) | 3,600 | 5,361,725 | |
UBS AG (expiring 5/28/27) (a) | 4,202 | 6,372,842 | |
11,734,567 | |||
THAILAND — 0.0% (e) | |||
BTS Group Holdings PCL (expiring 2/16/21) (a) | 79,518 | 27 | |
Srisawad Corp. PCL (expiring 8/29/25) (a) | 3,196 | 1,077 | |
1,104 | |||
TOTAL WARRANTS (Cost $15,894,439) | 19,597,738 | ||
SHORT-TERM INVESTMENTS — 5.0% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (g) (h) | 39,695,321 | 39,703,260 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (i) (j) | 4,068,390 | $ 4,068,390 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,771,092) | 43,771,650 | |||||
TOTAL INVESTMENTS — 99.7% (Cost $595,120,461) | 877,085,934 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 2,209,370 | |||||
NET ASSETS — 100.0% | $ 879,295,304 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2020. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.6% of net assets as of December 31, 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 December 31, 2020, total aggregate fair value of the security is $0, 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 December 31, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(i) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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) | 738 | 03/19/2021 | $46,229,303 | $47,534,580 | $1,305,277 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $799,570,336 | $14,131,382 | $ 0(a) | $813,701,718 | ||||
Rights | 14,828 | — | 0(a) | 14,828 | ||||
Warrants | 1,104 | 19,596,634 | — | 19,597,738 | ||||
Short-Term Investments | 43,771,650 | — | — | 43,771,650 | ||||
TOTAL INVESTMENTS | $843,357,918 | $33,728,016 | $ 0 | $877,085,934 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 1,305,277 | — | — | 1,305,277 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,305,277 | $ — | $— | $ 1,305,277 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $844,663,195 | $33,728,016 | $ 0 | $ 878,391,211 |
(a) | The Fund held Level 3 securities that were valued at $0 at December 31, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Description | % of Net Assets | |
Information Technology | 19.0% | |
Financials | 18.8 | |
Consumer Discretionary | 17.2 | |
Communication Services | 11.0 | |
Materials | 7.0 | |
TOTAL | 73.0% |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,395,448 | $13,396,788 | $184,649,962 | $158,324,886 | $(19,012) | $408 | 39,695,321 | $39,703,260 | $ 112,144 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,915,751 | 4,915,751 | 41,896,627 | 42,743,988 | — | — | 4,068,390 | 4,068,390 | 40,147 | ||||||||
Total | $18,312,539 | $226,546,589 | $201,068,874 | $(19,012) | $408 | $43,771,650 | $152,291 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $833,314,284 |
Investments in affiliated issuers, at value | 43,771,650 |
Total Investments | 877,085,934 |
Foreign currency, at value | 4,729,613 |
Net cash at broker | 2,135,615 |
Receivable from broker — accumulated variation margin on futures contracts | 1,967,665 |
Receivable for investments sold | 324,727 |
Receivable for fund shares sold | 551,977 |
Dividends receivable — unaffiliated issuers | 1,358,566 |
Dividends receivable — affiliated issuers | 2,303 |
Securities lending income receivable — unaffiliated issuers | 4,777 |
Securities lending income receivable — affiliated issuers | 3,175 |
Receivable from Adviser | 105,085 |
Receivable for foreign taxes recoverable | 12,074 |
Prepaid expenses and other assets | 1,171 |
TOTAL ASSETS | 888,282,682 |
LIABILITIES | |
Due to custodian | 660,510 |
Payable upon return of securities loaned | 4,068,390 |
Payable for investments purchased | 1,851,211 |
Payable for fund shares repurchased | 562,992 |
Deferred foreign taxes payable | 1,471,381 |
Advisory fee payable | 98,969 |
Custodian fees payable | 72,118 |
Administration fees payable | 35,348 |
Trustees’ fees and expenses payable | 174 |
Transfer agent fees payable | 3,171 |
Registration and filing fees payable | 593 |
Professional fees payable | 37,725 |
Printing and postage fees payable | 14,352 |
Accrued expenses and other liabilities | 110,444 |
TOTAL LIABILITIES | 8,987,378 |
NET ASSETS | $879,295,304 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $639,767,533 |
Total distributable earnings (loss)** | 239,527,771 |
NET ASSETS | $879,295,304 |
Class K | |
Net Assets | $879,295,304 |
Shares Outstanding | 11,033,571 |
Net asset value, offering and redemption price per share | $ 79.69 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $551,349,369 |
Investments in affiliated issuers | 43,771,092 |
Total cost of investments | $595,120,461 |
Foreign currency, at cost | $ 4,693,812 |
* Includes investments in securities on loan, at value | $ 14,973,901 |
** Includes deferred foreign taxes | $ 1,471,381 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 16,483,682 |
Dividend income — affiliated issuers | 112,144 |
Unaffiliated securities lending income | 87,905 |
Affiliated securities lending income | 40,147 |
Foreign taxes withheld | (1,997,153) |
TOTAL INVESTMENT INCOME (LOSS) | 14,726,725 |
EXPENSES | |
Advisory fee | 976,781 |
Administration fees | 348,850 |
Custodian fees | 439,481 |
Trustees’ fees and expenses | 28,578 |
Transfer agent fees | 23,150 |
Registration and filing fees | 61,494 |
Professional fees | 43,411 |
Printing and postage fees | 30,262 |
Insurance expense | 2,940 |
Miscellaneous expenses | 223,996 |
TOTAL EXPENSES | 2,178,943 |
Expenses waived/reimbursed by the Adviser | (989,911) |
NET EXPENSES | 1,189,032 |
NET INVESTMENT INCOME (LOSS) | $ 13,537,693 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (16,878,801) |
Investments — affiliated issuers | (19,012) |
Foreign currency transactions | (160,695) |
Futures contracts | 106,612 |
Net realized gain (loss) | (16,951,896) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers** | 124,499,203 |
Investments — affiliated issuers | 408 |
Foreign currency translations | 13,058 |
Futures contracts | 503,306 |
Net change in unrealized appreciation/depreciation | 125,015,975 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 108,064,079 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $121,601,772 |
** Includes foreign deferred taxes | $ (899,163) |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 13,537,693 | $ 20,892,219 | |
Net realized gain (loss) | (16,951,896) | (15,981,174) | |
Net change in unrealized appreciation/depreciation | 125,015,975 | 105,822,061 | |
Net increase (decrease) in net assets resulting from operations | 121,601,772 | 110,733,106 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (15,918,091) | (20,604,294) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 212,010,838 | 207,852,420 | |
Reinvestment of distributions | 15,713,545 | 20,544,136 | |
Cost of shares redeemed | (197,824,786) | (155,243,629) | |
Net increase (decrease) in net assets from beneficial interest transactions | 29,899,597 | 73,152,927 | |
Net increase (decrease) in net assets during the period | 135,583,278 | 163,281,739 | |
Net assets at beginning of period | 743,712,026 | 580,430,287 | |
NET ASSETS AT END OF PERIOD | $ 879,295,304 | $ 743,712,026 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K(a) | |||
Shares sold | 3,186,016 | 3,203,373 | |
Reinvestment of distributions | 200,915 | 297,957 | |
Shares redeemed | (3,176,084) | (2,384,662) | |
Net increase (decrease) from share transactions | 210,847 | 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 | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||
Net asset value, beginning of period | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | $ 49.95 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.28 | 2.00 | 1.60 | 1.45 | 1.05 | ||||
Net realized and unrealized gain (loss) | 11.18 | 8.85 | (12.30) | 18.60 | 4.35 | ||||
Total from investment operations | 12.46 | 10.85 | (10.70) | 20.05 | 5.40 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.47) | (1.95) | (1.35) | (1.50) | (1.10) | ||||
Net realized gains | — | — | (0.45) | (0.35) | (0.15) | ||||
Total distributions | (1.47) | (1.95) | (1.80) | (1.85) | (1.25) | ||||
Net asset value, end of period | $ 79.69 | $ 68.70 | $ 59.80 | $ 72.30 | $ 54.10 | ||||
Total return (c) | 18.18% | 18.13% | (14.77)% | 37.19% | 10.81% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $879,295 | $743,712 | $580,430 | $607,947 | $374,808 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.31% | 0.33% | 0.33% | 0.34% | 0.56% | ||||
Net expenses | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% | ||||
Net investment income (loss) | 1.94% | 3.10% | 2.36% | 2.23% | 1.98% | ||||
Portfolio turnover rate | 13% | 13% | 7% | 6% | 14% |
(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. |
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 | $— | $— | $— | $1,307,155 | $— | $1,307,155 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $106,612 | $— | $106,612 |
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 | $— | $— | $— | $503,306 | $— | $503,306 |
Purchases | Sales | ||
State Street Emerging Markets Equity Index Fund | $96,824,503 | $90,665,051 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $15,918,091 | $— | $15,918,091 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Emerging Markets Equity Index Fund | $ 20,604,294 | $ — | $ 20,604,294 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Emerging Markets Equity Index Fund | $1,925,360 | $(30,757,342) | $— | $268,359,753 | $239,527,771 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Emerging Markets Equity Index Fund | $3,610,004 | $27,147,338 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Emerging Markets Equity Index Fund | $608,600,525 | $309,000,690 | $40,681,385 | $268,319,305 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Emerging Markets Equity Index Fund | $ 14,973,901 | $ 4,068,390 | $ 11,804,000 | $ 15,872,390 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $4,068,390 | $— | $— | $— | $4,068,390 | $4,068,390 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Emerging Markets Equity Index Fund | 0.17% | $1,305.90 | $0.99 | $1,024.30 | $0.87 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Amount | |
State Street Emerging Markets Equity Index Fund | $1,874,170 |
Amount | |
State Street Emerging Markets Equity Index Fund | $15,957,635 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Value Spotlight Fund |
1 | |
6 | |
7 | |
8 | |
9 | |
10 | |
17 | |
18 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street International Value Spotlight Fund Class K | 8.01% | 9.54% |
MSCI ACWI ex USA Index(1) | 10.65% | 9.68% |
* | Inception date is July 13, 2016. |
(1) | The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries, excluding the US., and 23 Emerging Markets countries. The index covers approximately 85% of the global equity opportunity set outside the U.S. Index returns are net of dividend withholding taxes. |
% of Net Assets | |||
Common Stocks | 97.2% | ||
Short-Term Investment | 4.6 | ||
Liabilities in Excess of Other Assets | (1.8) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.2% | |||||
CHINA — 9.4% | |||||
China Construction Bank Corp. Class H | 87,000 | $ 66,087 | |||
CITIC Securities Co., Ltd. Class H | 29,000 | 65,377 | |||
Dali Foods Group Co., Ltd. (a) | 103,000 | 58,847 | |||
190,311 | |||||
FRANCE — 15.5% | |||||
BNP Paribas SA (b) | 1,177 | 62,076 | |||
Dassault Aviation SA (b) | 60 | 65,852 | |||
Ipsen SA | 684 | 56,826 | |||
Sanofi | 685 | 65,961 | |||
Societe Generale SA (b) | 3,078 | 64,106 | |||
314,821 | |||||
GERMANY — 3.0% | |||||
Bayerische Motoren Werke AG | 705 | 62,306 | |||
HONG KONG — 2.8% | |||||
WH Group, Ltd. (a) | 67,500 | 56,585 | |||
HUNGARY — 3.3% | |||||
Richter Gedeon Nyrt | 2,649 | 66,489 | |||
INDONESIA — 3.0% | |||||
Bank Mandiri Persero Tbk PT | 134,200 | 60,414 | |||
ITALY — 2.9% | |||||
Leonardo SpA | 8,198 | 59,281 | |||
JAPAN — 17.2% | |||||
Alfresa Holdings Corp. | 2,900 | 53,059 | |||
Komatsu, Ltd. | 2,400 | 65,495 | |||
Mitsubishi UFJ Financial Group, Inc. | 13,000 | 57,429 | |||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 55,580 | |||
TBS Holdings, Inc. | 3,100 | 54,407 | |||
Zeon Corp. | 4,400 | 63,031 | |||
349,001 | |||||
NETHERLANDS — 3.1% | |||||
Boskalis Westminster (b) | 2,264 | 62,439 | |||
SOUTH KOREA — 9.1% | |||||
Hyundai Motor Co. (b) | 363 | 64,159 | |||
KT&G Corp. (b) | 687 | 52,554 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,008 | 68,295 | |||
185,008 | |||||
SPAIN — 6.2% | |||||
ACS Actividades de Construccion y Servicios SA | 1,893 | 62,884 |
Security Description | Shares | Value | |||
Banco Bilbao Vizcaya Argentaria SA | 12,828 | $ 63,332 | |||
126,216 | |||||
SWITZERLAND — 6.1% | |||||
Credit Suisse Group AG | 4,965 | 64,032 | |||
LafargeHolcim, Ltd. | 1,087 | 59,384 | |||
123,416 | |||||
TAIWAN — 2.9% | |||||
Catcher Technology Co., Ltd. | 8,000 | 58,652 | |||
UNITED KINGDOM — 9.7% | |||||
CNH Industrial NV (b) | 5,862 | 74,055 | |||
Rolls-Royce Holdings PLC (b) | 41,987 | 63,851 | |||
Standard Chartered PLC (b) | 9,427 | 60,037 | |||
197,943 | |||||
UNITED STATES — 3.0% | |||||
Newmont Corp. | 1,014 | 60,633 | |||
TOTAL COMMON STOCKS (Cost $1,664,528) | 1,973,515 |
SHORT-TERM INVESTMENT — 4.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c) (d) (Cost $93,468) | 93,468 | 93,468 | |
TOTAL INVESTMENTS — 101.8% (Cost $1,757,996) | 2,066,983 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.8)% | (36,124) | ||
NET ASSETS — 100.0% | $ 2,030,859 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.7% of net assets as of December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,973,515 | $— | $— | $1,973,515 | ||||
Short-Term Investment | 93,468 | — | — | 93,468 | ||||
TOTAL INVESTMENTS | $2,066,983 | $— | $— | $2,066,983 |
% of Net Assets | ||
Financials | 30.5% | |
Industrials | 22.3 | |
Health Care | 11.9 | |
Materials | 9.0 | |
Consumer Staples | 8.3 | |
Information Technology | 6.3 | |
Consumer Discretionary | 6.2 | |
Communication Services | 2.7 | |
Short-Term Investment | 4.6 | |
Liabilities in Excess of Other Assets | (1.8) | |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,937 | $11,937 | $688,501 | $606,970 | $— | $— | 93,468 | $93,468 | $306 |
ASSETS | |
Investments in unaffiliated issuers, at value | $1,973,515 |
Investments in affiliated issuers, at value | 93,468 |
Total Investments | 2,066,983 |
Foreign currency, at value | 13,656 |
Dividends receivable — unaffiliated issuers | 3,013 |
Dividends receivable — affiliated issuers | 6 |
Receivable from Adviser (Note 3) | 19,344 |
Receivable for foreign taxes recoverable | 3,409 |
Prepaid expenses and other assets | 3 |
TOTAL ASSETS | 2,106,414 |
LIABILITIES | |
Due to custodian | 7,560 |
Advisory fee payable | 1,296 |
Custodian fees payable | 9,078 |
Administration fees payable | 86 |
Transfer agent fees payable | 62 |
Registration and filing fees payable | 398 |
Professional fees payable | 45,245 |
Printing and postage fees payable | 5,930 |
Accrued expenses and other liabilities | 5,900 |
TOTAL LIABILITIES | 75,555 |
NET ASSETS | $2,030,859 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,999,662 |
Total distributable earnings (loss) | 31,197 |
NET ASSETS | $2,030,859 |
NET ASSET VALUE PER SHARE Class K | |
Net Assets | $2,030,859 |
Shares Outstanding | 200,000 |
Net asset value, offering and redemption price per share | $ 10.15 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $1,664,528 |
Investments in affiliated issuers | 93,468 |
Total cost of investments | $1,757,996 |
Foreign currency, at cost | $ 13,416 |
INVESTMENT INCOME (LOSS) | |
Dividend income — unaffiliated issuers | $ 46,637 |
Dividend income — affiliated issuers | 306 |
Foreign taxes withheld | (4,474) |
TOTAL INVESTMENT INCOME (LOSS) | 42,469 |
EXPENSES | |
Advisory fee | 12,990 |
Administration fees | 866 |
Custodian fees | 54,090 |
Trustees’ fees and expenses | 28,562 |
Transfer agent fees | 728 |
Registration and filing fees | 31,604 |
Professional fees | 42,876 |
Printing and postage fees | 13,682 |
Insurance expense | 8 |
Miscellaneous expenses | 8,587 |
TOTAL EXPENSES | 193,993 |
Expenses waived/reimbursed by the Adviser | (181,003) |
NET EXPENSES | 12,990 |
NET INVESTMENT INCOME (LOSS) | $ 29,479 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (42,139) |
Foreign currency transactions | (212) |
Net realized gain (loss) | (42,351) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 159,590 |
Foreign currency translations | 361 |
Net change in unrealized appreciation/depreciation | 159,951 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 117,600 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 147,079 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 29,479 | $ 36,412 | |
Net realized gain (loss) | (42,351) | (87,228) | |
Net change in unrealized appreciation/depreciation | 159,951 | 378,454 | |
Net increase (decrease) in net assets resulting from operations | 147,079 | 327,638 | |
Distributions to shareholders | (30,860) | (37,400) | |
Contribution from Adviser (Note 3) | 7,560 | — | |
Net increase (decrease) in net assets during the period | 123,779 | 290,238 | |
Net assets at beginning of period | 1,907,080 | 1,616,842 | |
NET ASSETS AT END OF PERIOD | $2,030,859 | $1,907,080 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | — | |
Shares redeemed | — | — | |
Net increase (decrease) from share transactions | — | — |
Class K | |||||||||
Year Ended 12/31/20 | 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) | 0.15 | 0.18 | 0.21 | 0.24 | 0.02 | ||||
Net realized and unrealized gain (loss) | 0.57 | 1.47 | (2.66) | 2.56 | 1.44 | ||||
Total from investment operations | 0.72 | 1.65 | (2.45) | 2.80 | 1.46 | ||||
Voluntary contribution from Adviser | 0.04 | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.19) | (0.22) | (0.24) | (0.02) | ||||
Net realized gains | — | — | (1.81) | (1.25) | (0.19) | ||||
Total distributions | (0.15) | (0.19) | (2.03) | (1.49) | (0.21) | ||||
Net asset value, end of period | $10.15 | $ 9.54 | $ 8.08 | $12.56 | $ 11.25 | ||||
Total return (b) | 8.01%(c) | 20.39% | (19.32)% | 25.03% | 14.57% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,031 | $1,907 | $ 1,617 | $2,512 | $2,250 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 11.20% | 12.74% | 7.58% | 7.26% | 7.76%(d) | ||||
Net expenses | 0.75% | 0.75% | 0.75% | 0.75% | 0.75%(d) | ||||
Net investment income (loss) | 1.70% | 2.09% | 1.76% | 1.86% | 0.44%(d) | ||||
Portfolio turnover rate | 76% | 35% | 63% | 45% | 26%(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates 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) | If an affiliate had not made a contribution during the period ended December 31, 2020, the total return would have been 7.59%. |
(d) | Annualized. |
(e) | 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 | $1,241,433 | $1,268,676 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $30,860 | $— | $30,860 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Value Spotlight Fund | $ 37,400 | $ — | $ 37,400 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street International Value Spotlight Fund | $9,181 | $(264,985) | $— | $287,001 | $31,197 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street International Value Spotlight Fund | $127,744 | $137,241 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Value Spotlight Fund | $1,780,539 | $330,839 | $44,395 | $286,444 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street International Value Spotlight Fund | 0.75% | $1,256.60 | $4.25 | $1,021.40 | $3.81 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Amount | |
State Street International Value Spotlight Fund | $4,234 |
Amount | |
State Street International Value Spotlight Fund | $45,559 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Target Retirement Fund |
State Street Target Retirement 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 |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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Schedules of Investments | |
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(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement Fund Class I | 10.25% | 7.04% | 5.64% |
State Street Target Retirement Fund Class K | 10.29% | 7.03% | 5.62% |
Bloomberg Barclays U.S. Aggregate Index(b) | 7.51% | 4.44% | 3.92% |
State Street Target Retirement Composite Index(c) | 10.15% | 7.09% | 5.77% |
* | Inception date is September 30, 2014. |
(b) | The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody's Investor Service, Inc., Standard & Poor's, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States. |
(c) | The State Street Target Retirement Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Fixed Income | 46.7% | ||
Domestic Equity | 18.6 | ||
Inflation Linked | 18.0 | ||
International Equity | 11.5 | ||
Real Estate | 5.0 | ||
Short Term Investments | 7.4 | ||
Liabilities in Excess of Other Assets | (7.2) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date to December 31, 2020* | |
State Street Target Retirement 2020 Fund Class I | 11.57% | 8.87% | 7.05% |
State Street Target Retirement 2020 Fund Class K | 11.68% | 8.92% | 7.08% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2020 Composite Index(c) | 11.59% | 8.95% | 7.23% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2020 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Fixed Income | 36.8% | ||
Domestic Equity | 24.6 | ||
Inflation Linked | 18.0 | ||
International Equity | 15.5 | ||
Real Estate | 5.0 | ||
Short Term Investments | 5.7 | ||
Liabilities in Excess of Other Assets | (5.6) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2025 Fund Class I | 14.66% | 10.50% | 8.32% |
State Street Target Retirement 2025 Fund Class K | 14.84% | 10.53% | 8.37% |
S&P 500 Index(a) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2025 Composite Index(c) | 14.86% | 10.59% | 8.53% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2025 Composite Index consists of several indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 32.5% | ||
Domestic Fixed Income | 30.9 | ||
International Equity | 22.0 | ||
Inflation Linked | 11.2 | ||
Real Estate | 3.0 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2030 Fund Class I | 17.26% | 11.49% | 9.14% |
State Street Target Retirement 2030 Fund Class K | 17.24% | 11.52% | 9.17% |
S&P 500 Index(a) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2030 Composite Index(c) | 17.34% | 11.57% | 9.31% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2030 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 39.1% | ||
Domestic Fixed Income | 29.7 | ||
International Equity | 28.4 | ||
Inflation Linked | 2.0 | ||
Real Estate | 0.5 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2035 Fund Class I | 18.05% | 12.03% | 9.53% |
State Street Target Retirement 2035 Fund Class K | 18.19% | 12.09% | 9.61% |
S&P 500 Index(a) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2035 Composite Index(c) | 18.20% | 12.10% | 9.71% |
* | Inception date is September 30, 2014. |
(a) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2035 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 43.5% | ||
International Equity | 32.0 | ||
Domestic Fixed Income | 24.2 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2040 Fund Class I | 18.70% | 12.47% | 9.83% |
State Street Target Retirement 2040 Fund Class K | 18.79% | 12.47% | 9.86% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2040 Composite Index(c) | 18.77% | 12.51% | 10.00% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2040 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 47.3% | ||
International Equity | 34.7 | ||
Domestic Fixed Income | 17.7 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.3) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2045 Fund Class I | 19.26% | 12.82% | 10.08% |
State Street Target Retirement 2045 Fund Class K | 19.28% | 12.84% | 10.10% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2045 Composite Index(c) | 19.27% | 12.86% | 10.25% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2045 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 50.1% | ||
International Equity | 36.8 | ||
Domestic Fixed Income | 12.8 | ||
Short Term Investments | 0.5 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2050 Fund Class I | 19.67% | 12.89% | 10.09% |
State Street Target Retirement 2050 Fund Class K | 19.76% | 12.94% | 10.13% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2050 Composite Index(c) | 19.75% | 12.97% | 10.33% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2050 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.9% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2055 Fund Class I | 19.60% | 12.96% | 10.14% |
State Street Target Retirement 2055 Fund Class K | 19.65% | 12.97% | 10.14% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2055 Composite Index(c) | 19.75% | 12.97% | 10.33% |
* | Inception date is September 30, 2014. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2055 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.8% | ||
International Equity | 38.0 | ||
Domestic Fixed Income | 9.7 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Target Retirement 2060 Fund Class I | 19.61% | 12.88% | 10.09% |
State Street Target Retirement 2060 Fund Class K | 19.63% | 12.88% | 10.11% |
S&P 500 Index(b) | 18.40% | 15.22% | 13.11% |
State Street Target Retirement 2060 Composite Index(c) | 19.75% | 12.97% | 10.33% |
* | Inception date is September 30, 2014. |
(b) | The S&P 500 Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2060 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.8% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 0.6 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return Inception Date to December 31, 2020* | |
State Street Target Retirement 2065 Fund Class I | 43.15% |
State Street Target Retirement 2065 Fund Class K | 43.34% |
S&P 500 Index(b) | 44.92% |
State Street Target Retirement 2065 Composite Index(c) | 46.03% |
* | The Fund was seeded with cash on March 27, 2020, but its inception date is March 30, 2020 when it commenced investment operations, the trade date for its initial investments made in accordance with its investment objective. |
(b) | The S&P 500 Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
(c) | The State Street Target Retirement 2065 Composite Index consists of several different indexes, and is designed to provide exposure to a variety of asset classes. |
% of Net Assets | |||
Domestic Equity | 51.7% | ||
International Equity | 37.9 | ||
Domestic Fixed Income | 9.8 | ||
Short Term Investments | 1.3 | ||
Liabilities in Excess of Other Assets | (0.7) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% (a) | ||||||
DOMESTIC EQUITY — 18.6% | ||||||
State Street Equity 500 Index II Portfolio | 232,684 | $ 80,222,366 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 46,069 | 15,098,214 | ||||
95,320,580 | ||||||
DOMESTIC FIXED INCOME — 46.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 329,346 | 35,878,953 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 651,140 | 20,445,796 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 2,631,962 | 80,827,553 | ||||
State Street Aggregate Bond Index Portfolio | 954,590 | 102,360,710 | ||||
239,513,012 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 4,412,037 | 92,233,634 | ||||
INTERNATIONAL EQUITY — 11.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 505,235 | 58,814,413 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 580,432 | 25,806,007 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $453,669,180) | 511,687,646 | |||||
SHORT-TERM INVESTMENTS — 7.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 1,550,043 | 1,550,043 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 36,692,913 | $ 36,692,913 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $38,242,956) | $ 38,242,956 | ||||
TOTAL INVESTMENTS—107.2% (Cost $491,912,136) | 549,930,602 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(7.2)% | (36,991,693) | ||||
NET ASSETS—100.0% | $ 512,938,909 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $ 511,687,646 | $— | $— | $ 511,687,646 | ||||
Short-Term Investments | 38,242,956 | — | — | 38,242,956 | ||||
TOTAL INVESTMENTS | $549,930,602 | $— | $— | $549,930,602 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 2,011,577 | $ 39,447,025 | $ 58,998,414 | $ 11,568,989 | $ 400,203 | $ 4,956,981 | 4,412,037 | $ 92,233,634 | $1,391,880 | $ — | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 140,001 | 15,335,709 | 20,947,262 | 3,146,188 | (185,688) | 2,927,858 | 329,346 | 35,878,953 | 1,554,897 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 213,856 | 11,017,861 | 16,245,749 | 3,472,258 | (477,455) | 2,492,110 | 580,432 | 25,806,007 | 764,505 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 284,632 | 8,778,051 | 13,671,330 | 2,727,278 | (1,446) | 725,139 | 651,140 | 20,445,796 | 306,982 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 1,156,208 | 34,639,992 | 56,969,545 | 11,673,120 | 388,035 | 503,101 | 2,631,962 | 80,827,553 | 380,358 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 4,270,245 | 43,770,015 | 71,172,747 | 15,766,365 | 869,515 | 2,314,798 | 954,590 | 102,360,710 | 1,982,636 | 538,970 | |||||||||
State Street Equity 500 Index II Portfolio | 2,433,925 | 36,776,602 | 45,714,405 | 21,512,499 | 1,469,813 | 17,774,045 | 232,684 | 80,222,366 | 1,298,173 | 1,642,826 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,074,612 | 22,115,361 | 38,827,867 | 17,287,634 | (924,020) | 16,082,839 | 505,235 | 58,814,413 | 1,061,789 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 885,816 | 885,816 | 82,648,372 | 81,984,145 | — | — | 1,550,043 | 1,550,043 | 4,058 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 653,195,949 | 616,503,036 | — | — | 36,692,913 | 36,692,913 | 69,909 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 544,010 | 6,925,254 | 8,552,165 | 6,950,000 | 854,132 | 5,716,663 | 46,069 | 15,098,214 | 221,195 | 287,518 | |||||||||
Total | $219,691,686 | $1,066,943,805 | $792,591,512 | $2,393,089 | $53,493,534 | $549,930,602 | $9,036,382 | $2,469,314 |
* | 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 — 99.9% (a) | ||||||
DOMESTIC EQUITY — 24.6% | ||||||
State Street Equity 500 Index II Portfolio | 510,053 | $ 175,850,802 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 111,145 | 36,425,544 | ||||
212,276,346 | ||||||
DOMESTIC FIXED INCOME — 36.8% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 553,744 | 60,324,871 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 486,701 | 15,282,412 | ||||
SPDR Portfolio Short Term Treasury ETF (b) | 1,936,201 | 59,460,733 | ||||
State Street Aggregate Bond Index Portfolio | 1,695,732 | 181,833,361 | ||||
316,901,377 | ||||||
INFLATION LINKED — 18.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,423,377 | 155,185,696 | ||||
INTERNATIONAL EQUITY — 15.5% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,146,664 | 133,483,175 | ||||
REAL ESTATE — 5.0% | ||||||
SPDR Dow Jones Global Real Estate ETF | 975,660 | 43,377,844 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $765,206,716) | 861,224,438 | |||||
SHORT-TERM INVESTMENTS — 5.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 2,639,920 | 2,639,920 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 46,474,866 | $ 46,474,866 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $49,114,786) | $ 49,114,786 | ||||
TOTAL INVESTMENTS—105.6% (Cost $814,321,502) | 910,339,224 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.6)% | (48,218,888) | ||||
NET ASSETS—100.0% | $ 862,120,336 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $861,224,438 | $— | $— | $861,224,438 | ||||
Short-Term Investments | 49,114,786 | — | — | 49,114,786 | ||||
TOTAL INVESTMENTS | $910,339,224 | $— | $— | $910,339,224 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 7,242,468 | $142,024,798 | $ 43,886,844 | $ 39,497,170 | $ 1,100,505 | $ 7,670,719 | 7,423,377 | $155,185,696 | $ 1,650,996 | $ — | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 504,405 | 55,252,524 | 19,798,947 | 14,585,776 | (1,135,317) | 994,493 | 553,744 | 60,324,871 | 2,819,096 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 770,441 | 39,693,119 | 15,294,279 | 8,269,734 | (1,440,181) | (1,899,639) | 975,660 | 43,377,844 | 1,330,275 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 127,963 | 3,946,379 | 12,299,292 | 1,339,949 | 23,064 | 353,626 | 486,701 | 15,282,412 | 191,732 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | 474,514 | 14,216,439 | 49,708,205 | 4,808,024 | 118,644 | 225,469 | 1,936,201 | 59,460,733 | 214,169 | — | |||||||||
State Street Aggregate Bond Index Portfolio | 19,207,489 | 196,876,757 | 63,383,045 | 85,382,576 | 3,757,174 | 3,198,961 | 1,695,732 | 181,833,361 | 3,980,678 | 936,921 | |||||||||
State Street Equity 500 Index II Portfolio | 11,935,738 | 180,349,008 | 37,073,173 | 61,518,884 | 7,242,032 | 12,705,473 | 510,053 | 175,850,802 | 2,840,364 | 3,594,453 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 11,138,131 | 118,732,478 | 43,842,888 | 45,682,725 | (2,697,898) | 19,288,432 | 1,146,664 | 133,483,175 | 2,406,857 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,011,720 | 2,011,720 | 171,759,560 | 171,131,360 | — | — | 2,639,920 | 2,639,920 | 7,199 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 4,036,500 | 4,036,500 | 867,768,952 | 825,330,586 | — | — | 46,474,866 | 46,474,866 | 129,208 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,766,643 | 35,219,362 | 10,492,871 | 19,815,000 | 1,856,729 | 8,671,582 | 111,145 | 36,425,544 | 536,067 | 696,804 | |||||||||
Total | $792,359,084 | $1,335,308,056 | $1,277,361,784 | $ 8,824,752 | $ 51,209,116 | $910,339,224 | $16,106,641 | $5,228,178 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% (a) | ||||||
DOMESTIC EQUITY — 32.5% | ||||||
State Street Equity 500 Index II Portfolio | 983,103 | $ 338,944,393 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 242,534 | 79,485,731 | ||||
418,430,124 | ||||||
DOMESTIC FIXED INCOME — 30.9% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 754,771 | 82,224,753 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,137,775 | 51,347,786 | ||||
SPDR Portfolio Short Term Corporate Bond ETF (b) | 84,693 | 2,659,360 | ||||
SPDR Portfolio Short Term Treasury ETF | 266,523 | 8,184,921 | ||||
State Street Aggregate Bond Index Portfolio | 2,365,286 | 253,629,634 | ||||
398,046,454 | ||||||
INFLATION LINKED — 11.2% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 6,914,446 | 144,546,494 | ||||
INTERNATIONAL EQUITY — 22.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,431,053 | 282,998,878 | ||||
REAL ESTATE — 3.0% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 872,313 | 38,783,036 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,124,254,767) | 1,282,804,986 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 5,728,591 | $ 5,728,591 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 1,703,196 | 1,703,196 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,431,787) | $ 7,431,787 | |||||
TOTAL INVESTMENTS—100.2% (Cost $1,131,686,554) | 1,290,236,773 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)% | (2,143,940) | |||||
NET ASSETS—100.0% | $ 1,288,092,833 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,282,804,986 | $— | $— | $1,282,804,986 | ||||
Short-Term Investments | 7,431,787 | — | — | 7,431,787 | ||||
TOTAL INVESTMENTS | $1,290,236,773 | $— | $— | $1,290,236,773 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | — | $ — | $ 143,461,508 | $ 4,240,985 | $ 159,466 | $ 5,166,505 | 6,914,446 | $ 144,546,494 | $ 1,826,828 | $ — | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 571,127 | 62,561,251 | 29,999,629 | 10,709,409 | (912,869) | 1,286,151 | 754,771 | 82,224,753 | 3,470,368 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | 508,118 | 26,178,239 | 16,689,704 | 2,571,631 | (561,799) | (951,477) | 872,313 | 38,783,036 | 1,022,337 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 1,273,299 | 49,493,132 | 25,202,754 | 31,986,426 | 8,013,569 | 624,757 | 1,137,775 | 51,347,786 | 777,186 | — | |||||||||
SPDR Portfolio Short Term Corporate Bond ETF | — | — | 2,755,256 | 119,953 | 6,497 | 17,560 | 84,693 | 2,659,360 | 16,356 | — | |||||||||
SPDR Portfolio Short Term Treasury ETF | — | — | 8,387,159 | 199,930 | (291) | (2,017) | 266,523 | 8,184,921 | 6,810 | — | |||||||||
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 | 104,752,950 | 56,728,143 | 2,543,307 | 5,283,150 | 2,365,286 | 253,629,634 | 4,901,058 | 1,281,065 | |||||||||
State Street Equity 500 Index II Portfolio | 20,206,795 | 305,324,680 | 86,485,790 | 88,412,328 | 7,577,722 | 27,968,529 | 983,103 | 338,944,393 | 5,355,234 | 6,776,999 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 20,861,867 | 222,387,502 | 93,852,228 | 67,191,070 | (2,869,963) | 36,820,181 | 2,431,053 | 282,998,878 | 5,008,873 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,868,313 | 7,868,313 | 252,497,278 | 254,637,000 | — | — | 5,728,591 | 5,728,591 | 12,727 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 624,557,844 | 622,854,648 | — | — | 1,703,196 | 1,703,196 | 105,178 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,670,365 | 72,183,742 | 20,472,579 | 33,290,001 | 3,536,062 | 16,583,349 | 242,534 | 79,485,731 | 1,144,678 | 1,487,902 | |||||||||
Total | $1,048,169,532 | $1,413,943,750 | $1,284,937,129 | $22,714,208 | $90,346,412 | $1,290,236,773 | $23,647,633 | $9,545,966 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 39.1% | ||||||
State Street Equity 500 Index II Portfolio | 1,287,822 | $ 444,002,348 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 361,330 | 118,418,561 | ||||
562,420,909 | ||||||
DOMESTIC FIXED INCOME — 29.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 667,628 | 72,731,394 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,797,054 | 126,231,047 | ||||
State Street Aggregate Bond Index Portfolio | 2,129,289 | 228,323,641 | ||||
427,286,082 | ||||||
INFLATION LINKED — 2.0% | ||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF (b) | 1,358,366 | 28,396,642 | ||||
INTERNATIONAL EQUITY — 28.4% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,503,715 | 407,867,498 | ||||
REAL ESTATE — 0.5% | ||||||
SPDR Dow Jones Global Real Estate ETF (b) | 161,817 | 7,194,384 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,223,928,883) | 1,433,165,515 | |||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 3,707,162 | 3,707,162 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 1,251,125 | $ 1,251,125 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,958,287) | $ 4,958,287 | ||||
TOTAL INVESTMENTS—100.1% (Cost $1,228,887,170) | 1,438,123,802 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (1,132,756) | ||||
NET ASSETS—100.0% | $ 1,436,991,046 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,433,165,515 | $— | $— | $1,433,165,515 | ||||
Short-Term Investments | 4,958,287 | — | — | 4,958,287 | ||||
TOTAL INVESTMENTS | $1,438,123,802 | $— | $— | $1,438,123,802 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | — | $ — | $ 29,223,280 | $ 1,294,859 | $ (3,151) | $ 471,372 | 1,358,366 | $ 28,396,642 | $ 211,215 | $ — | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 404,416 | 44,299,729 | 31,933,498 | 5,126,432 | (461,088) | 2,085,687 | 667,628 | 72,731,394 | 2,842,684 | — | |||||||||
SPDR Dow Jones Global Real Estate ETF | — | — | 6,436,617 | — | — | 757,767 | 161,817 | 7,194,384 | 96,670 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,691,017 | 104,599,831 | 67,019,441 | 63,263,090 | 15,916,232 | 1,958,633 | 2,797,054 | 126,231,047 | 1,724,123 | — | |||||||||
SPDR Portfolio TIPS ETF | 1,099,008 | 31,376,678 | 1,097,106 | 33,297,010 | 1,498,935 | (675,709) | — | — | — | — | |||||||||
State Street Aggregate Bond Index Portfolio | 14,212,438 | 145,677,484 | 97,569,328 | 21,171,439 | 931,739 | 5,316,529 | 2,129,289 | 228,323,641 | 4,180,612 | 1,141,856 | |||||||||
State Street Equity 500 Index II Portfolio | 24,144,263 | 364,819,813 | 110,247,618 | 78,706,237 | 6,160,487 | 41,480,667 | 1,287,822 | 444,002,348 | 6,871,912 | 8,696,341 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 26,713,912 | 284,770,304 | 134,256,419 | 63,539,654 | 203,327 | 52,177,102 | 3,503,715 | 407,867,498 | 7,071,804 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,267,668 | 5,267,668 | 249,667,697 | 251,228,203 | — | — | 3,707,162 | 3,707,162 | 13,616 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 212,325 | 212,325 | 608,067,388 | 607,028,588 | — | — | 1,251,125 | 1,251,125 | 103,680 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,955,106 | 101,268,501 | 29,958,104 | 42,050,000 | 4,413,182 | 24,828,774 | 361,330 | 118,418,561 | 1,673,203 | 2,174,901 | |||||||||
Total | $1,082,292,333 | $1,365,476,496 | $1,166,705,512 | $28,659,663 | $128,400,822 | $1,438,123,802 | $24,789,519 | $12,013,098 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 43.5% | ||||||
State Street Equity 500 Index II Portfolio | 1,225,187 | $ 422,407,676 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 392,510 | 128,637,225 | ||||
551,044,901 | ||||||
DOMESTIC FIXED INCOME — 24.2% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 292,411 | 31,855,254 | ||||
SPDR Portfolio Long Term Treasury ETF | 2,739,335 | 123,626,189 | ||||
State Street Aggregate Bond Index Portfolio | 1,407,952 | 150,974,679 | ||||
306,456,122 | ||||||
INTERNATIONAL EQUITY — 32.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,473,501 | 404,350,298 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $1,065,944,565) | 1,261,851,321 | |||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 4,053,164 | 4,053,164 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (a)(e) | 299,700 | $ 299,700 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,352,864) | $ 4,352,864 | ||||
TOTAL INVESTMENTS—100.1% (Cost $1,070,297,429) | 1,266,204,185 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (861,735) | ||||
NET ASSETS—100.0% | $ 1,265,342,450 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,261,851,321 | $— | $— | $1,261,851,321 | ||||
Short-Term Investments | 4,352,864 | — | — | 4,352,864 | ||||
TOTAL INVESTMENTS | $1,266,204,185 | $— | $— | $1,266,204,185 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 95,734 | $ 10,486,702 | $ 23,663,553 | $ 3,881,922 | $ (188,905) | $ 1,775,826 | 292,411 | $ 31,855,254 | $ 1,037,910 | $ — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 2,273,624 | 88,375,765 | 62,107,443 | 41,827,122 | 10,902,855 | 4,067,248 | 2,739,335 | 123,626,189 | 1,551,283 | — | |||||||||
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 | 70,980,007 | 24,095,692 | 982,869 | 2,927,977 | 1,407,952 | 150,974,679 | 2,680,324 | 737,256 | |||||||||
State Street Equity 500 Index II Portfolio | 21,863,367 | 330,355,480 | 104,479,034 | 56,158,418 | 2,184,790 | 41,546,790 | 1,225,187 | 422,407,676 | 6,468,747 | 8,186,138 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 25,129,154 | 267,876,782 | 128,092,148 | 42,156,266 | (7,801) | 50,545,435 | 3,473,501 | 404,350,298 | 6,923,913 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,473,779 | 7,473,779 | 206,684,270 | 210,104,885 | — | — | 4,053,164 | 4,053,164 | 12,581 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 254,124,671 | 253,824,971 | — | — | 299,700 | 299,700 | 45,136 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,217,694 | 104,611,247 | 32,890,386 | 40,029,998 | 4,261,223 | 26,904,367 | 392,510 | 128,637,225 | 1,800,290 | 2,340,096 | |||||||||
Total | $ 917,114,110 | $883,282,020 | $680,315,554 | $18,437,307 | $127,686,302 | $1,266,204,185 | $20,520,184 | $11,263,490 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 47.3% | ||||||
State Street Equity 500 Index II Portfolio | 1,145,732 | $ 395,014,109 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 421,641 | 138,184,457 | ||||
533,198,566 | ||||||
DOMESTIC FIXED INCOME — 17.7% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 2,444,829 | 110,335,133 | ||||
State Street Aggregate Bond Index Portfolio | 837,846 | 89,842,189 | ||||
200,177,322 | ||||||
INTERNATIONAL EQUITY — 34.7% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,358,134 | 390,920,341 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $940,577,503) | 1,124,296,229 | |||||
SHORT-TERM INVESTMENTS — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 4,613,762 | 4,613,762 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 2,010,200 | 2,010,200 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,623,962) | $ 6,623,962 | |||||
TOTAL INVESTMENTS—100.3% (Cost $947,201,465) | 1,130,920,191 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.3)% | (3,162,674) | |||||
NET ASSETS—100.0% | $ 1,127,757,517 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,124,296,229 | $— | $— | $1,124,296,229 | ||||
Short-Term Investments | 6,623,962 | — | — | 6,623,962 | ||||
TOTAL INVESTMENTS | $1,130,920,191 | $— | $— | $1,130,920,191 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 1,951,123 | $ 75,840,151 | $ 60,888,019 | $ 39,103,510 | $ 9,802,116 | $ 2,908,357 | 2,444,829 | $ 110,335,133 | $ 1,354,834 | $ — | |||||||||
State Street Aggregate Bond Index Portfolio | 5,348,069 | 54,817,705 | 45,912,586 | 13,060,000 | 542,886 | 1,629,012 | 837,846 | 89,842,189 | 1,517,372 | 428,404 | |||||||||
State Street Equity 500 Index II Portfolio | 19,446,130 | 293,831,019 | 101,373,569 | 42,529,143 | 2,286,048 | 40,052,616 | 1,145,732 | 395,014,109 | 5,979,048 | 7,566,430 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 23,335,005 | 248,751,155 | 120,048,191 | 27,906,331 | 2,197,187 | 47,830,139 | 3,358,134 | 390,920,341 | 6,622,088 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,517,621 | 4,517,621 | 182,577,487 | 182,481,346 | — | — | 4,613,762 | 4,613,762 | 10,653 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 248,942,460 | 246,932,260 | — | — | 2,010,200 | 2,010,200 | 9,450 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 8,471,002 | 107,835,854 | 34,699,328 | 38,270,000 | 4,503,809 | 29,415,466 | 421,641 | 138,184,457 | 1,912,882 | 2,486,446 | |||||||||
Total | $785,593,505 | $794,441,640 | $590,282,590 | $19,332,046 | $121,835,590 | $1,130,920,191 | $17,406,327 | $10,481,280 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 50.1% | ||||||
State Street Equity 500 Index II Portfolio | 900,809 | $ 310,571,868 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 384,176 | 125,905,953 | ||||
436,477,821 | ||||||
DOMESTIC FIXED INCOME — 12.8% | ||||||
SPDR Portfolio Long Term Treasury ETF | 1,884,220 | 85,034,849 | ||||
State Street Aggregate Bond Index Portfolio | 242,176 | 25,968,587 | ||||
111,003,436 | ||||||
INTERNATIONAL EQUITY — 36.8% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,752,509 | 320,419,519 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $718,263,868) | 867,900,776 | |||||
SHORT-TERM INVESTMENT — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (b)(c) (Cost $4,087,329) | 4,087,329 | 4,087,329 | ||||
TOTAL INVESTMENTS—100.2% (Cost $722,351,197) | 871,988,105 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.2)% | (1,575,530) | |||||
NET ASSETS—100.0% | $ 870,412,575 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $867,900,776 | $— | $— | $867,900,776 | ||||
Short-Term Investment | 4,087,329 | — | — | 4,087,329 | ||||
TOTAL INVESTMENTS | $871,988,105 | $— | $— | $871,988,105 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 1,472,359 | $ 57,230,594 | $ 48,489,236 | $ 30,325,561 | $ 7,935,412 | $ 1,705,168 | 1,884,220 | $ 85,034,849 | $ 1,036,788 | $ — | |||||||||
State Street Aggregate Bond Index Portfolio | 1,151,918 | 11,807,156 | 15,784,954 | 2,110,001 | 138,598 | 347,880 | 242,176 | 25,968,587 | 379,746 | 115,208 | |||||||||
State Street Equity 500 Index II Portfolio | 14,904,611 | 225,208,677 | 84,740,944 | 33,612,641 | 50,809 | 34,184,079 | 900,809 | 310,571,868 | 4,644,225 | 5,877,223 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 18,711,759 | 199,467,354 | 96,891,590 | 17,121,044 | (657,873) | 41,839,492 | 2,752,509 | 320,419,519 | 5,358,317 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,825,017 | 4,825,017 | 155,452,154 | 156,189,842 | — | — | 4,087,329 | 4,087,329 | 9,364 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 219,438,122 | 219,438,122 | — | — | — | — | 12,384 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 7,509,057 | 95,590,294 | 32,341,079 | 33,140,000 | 2,894,860 | 28,219,720 | 384,176 | 125,905,953 | 1,720,129 | 2,235,898 | |||||||||
Total | $594,129,092 | $653,138,079 | $ 491,937,211 | $10,361,806 | $106,296,339 | $871,988,105 | $13,160,953 | $8,228,329 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% (a) | ||||||
DOMESTIC EQUITY — 51.9% | ||||||
State Street Equity 500 Index II Portfolio | 637,545 | $ 219,806,474 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 297,327 | 97,442,759 | ||||
317,249,233 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 1,325,876 | 59,836,784 | ||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,997,969 | 232,583,582 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $505,893,444) | 609,669,599 | |||||
SHORT-TERM INVESTMENTS — 0.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) | 2,538,129 | 2,538,129 | ||||
State Street Navigator Securities Lending Portfolio II (a)(e) | 27,600 | 27,600 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,565,729) | $ 2,565,729 | |||||
TOTAL INVESTMENTS—100.1% (Cost $508,459,173) | 612,235,328 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (663,475) | |||||
NET ASSETS—100.0% | $ 611,571,853 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(e) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $609,669,599 | $— | $— | $609,669,599 | ||||
Short-Term Investments | 2,565,729 | — | — | 2,565,729 | ||||
TOTAL INVESTMENTS | $612,235,328 | $— | $— | $612,235,328 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 955,477 | $ 37,139,391 | $ 37,009,137 | $ 20,571,245 | $5,313,496 | $ 946,005 | 1,325,876 | $ 59,836,784 | $ 699,110 | $ — | |||||||||
State Street Equity 500 Index II Portfolio | 9,736,522 | 147,118,844 | 69,786,704 | 20,018,582 | (112,494) | 23,032,002 | 637,545 | 219,806,474 | 3,263,981 | 4,130,537 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,427,071 | 132,472,577 | 80,261,011 | 9,691,277 | (521,892) | 30,063,163 | 1,997,969 | 232,583,582 | 3,861,620 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,553,827 | 3,553,827 | 115,899,087 | 116,914,785 | — | — | 2,538,129 | 2,538,129 | 6,940 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 189,706,489 | 189,678,889 | — | — | 27,600 | 27,600 | 7,312 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 5,154,800 | 65,620,603 | 28,697,080 | 20,580,000 | 2,302,460 | 21,402,616 | 297,327 | 97,442,759 | 1,314,348 | 1,708,446 | |||||||||
Total | $385,905,242 | $521,359,508 | $377,454,778 | $6,981,570 | $75,443,786 | $612,235,328 | $ 9,153,311 | $5,838,983 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 51.8% | ||||||
State Street Equity 500 Index II Portfolio | 346,647 | $ 119,513,323 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 161,610 | 52,964,533 | ||||
172,477,856 | ||||||
DOMESTIC FIXED INCOME — 9.7% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 720,811 | 32,530,201 | ||||
INTERNATIONAL EQUITY — 38.0% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,085,984 | 126,419,462 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $277,482,170) | 331,427,519 | |||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) (Cost $1,901,285) | 1,901,285 | 1,901,285 | ||||
TOTAL INVESTMENTS—100.1% (Cost $279,383,455) | 333,328,804 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (414,051) | |||||
NET ASSETS—100.0% | $ 332,914,753 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $331,427,519 | $— | $— | $331,427,519 | ||||
Short-Term Investment | 1,901,285 | — | — | 1,901,285 | ||||
TOTAL INVESTMENTS | $333,328,804 | $— | $— | $333,328,804 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 490,948 | $ 19,083,149 | $ 22,453,562 | $ 12,247,633 | $ 3,111,017 | $ 130,106 | 720,811 | $ 32,530,201 | $ 367,246 | $ — | |||||||||
State Street Equity 500 Index II Portfolio | 5,004,160 | 75,612,850 | 44,474,768 | 12,559,353 | (320,663) | 12,305,721 | 346,647 | 119,513,323 | 1,771,444 | 2,241,747 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 6,386,689 | 68,082,107 | 47,690,941 | 4,938,144 | (528,842) | 16,113,400 | 1,085,984 | 126,419,462 | 2,095,956 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,338,809 | 2,338,809 | 71,998,401 | 72,435,925 | — | — | 1,901,285 | 1,901,285 | 4,532 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 75,217,661 | 75,217,661 | — | — | — | — | 4,651 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 2,649,033 | 33,722,194 | 18,701,766 | 11,940,000 | 980,954 | 11,499,619 | 161,610 | 52,964,533 | 713,860 | 927,906 | |||||||||
Total | $198,839,109 | $280,537,099 | $189,338,716 | $3,242,466 | $40,048,846 | $333,328,804 | $4,957,689 | $3,169,653 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.5% (a) | ||||||
DOMESTIC EQUITY — 51.8% | ||||||
State Street Equity 500 Index II Portfolio | 146,610 | $ 50,546,808 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 68,264 | 22,372,292 | ||||
72,919,100 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Long Term Treasury ETF (b) | 305,095 | 13,768,937 | ||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 459,410 | 53,479,873 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $118,663,095) | 140,167,910 | |||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (c)(d) (Cost $755,775) | 755,775 | 755,775 | ||||
TOTAL INVESTMENTS—100.1% (Cost $119,418,870) | 140,923,685 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)% | (73,841) | |||||
NET ASSETS—100.0% | $ 140,849,844 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 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 | $140,167,910 | $— | $— | $140,167,910 | ||||
Short-Term Investment | 755,775 | — | — | 755,775 | ||||
TOTAL INVESTMENTS | $140,923,685 | $— | $— | $140,923,685 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | 185,180 | $ 7,197,947 | $ 12,619,561 | $ 7,292,747 | $1,517,760 | $ (273,584) | 305,095 | $ 13,768,937 | $ 149,230 | $ — | |||||||||
State Street Equity 500 Index II Portfolio | 1,886,325 | 28,502,371 | 23,889,115 | 6,742,994 | (327,925) | 5,226,241 | 146,610 | 50,546,808 | 740,419 | 936,992 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,410,723 | 25,698,310 | 24,723,466 | 3,402,894 | (512,960) | 6,973,951 | 459,410 | 53,479,873 | 875,969 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 628,414 | 628,414 | 37,142,744 | 37,015,383 | — | — | 755,775 | 755,775 | 2,137 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 77,622,512 | 77,622,512 | — | — | — | — | 4,163 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | 997,941 | 12,703,782 | 10,279,297 | 5,758,978 | 346,057 | 4,802,134 | 68,264 | 22,372,292 | 298,410 | 387,887 | |||||||||
Total | $74,730,824 | $186,276,695 | $137,835,508 | $1,022,932 | $16,728,742 | $140,923,685 | $2,070,328 | $1,324,879 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% (a) | ||||||
DOMESTIC EQUITY — 51.7% | ||||||
State Street Equity 500 Index II Portfolio | 3,843 | $ 1,324,993 | ||||
State Street Small/Mid Cap Equity Index Portfolio | 1,784 | 584,792 | ||||
1,909,785 | ||||||
DOMESTIC FIXED INCOME — 9.8% | ||||||
SPDR Portfolio Long Term Treasury ETF | 8,004 | 361,220 | ||||
INTERNATIONAL EQUITY — 37.9% | ||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 12,042 | 1,401,751 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $3,393,475) | 3,672,756 | |||||
SHORT-TERM INVESTMENT — 1.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.05% (b)(c) (Cost $48,118) | 48,118 | 48,118 | ||||
TOTAL INVESTMENTS—100.7% (Cost $3,441,593) | 3,720,874 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.7)% | (26,644) | |||||
NET ASSETS—100.0% | $ 3,694,230 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $3,672,756 | $— | $— | $3,672,756 | ||||
Short-Term Investment | 48,118 | — | — | 48,118 | ||||
TOTAL INVESTMENTS | $3,720,874 | $— | $— | $3,720,874 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Portfolio Long Term Treasury ETF | — | $— | $ 932,551 | $ 563,211 | $ (5,067) | $ (3,053) | 8,004 | $ 361,220 | $ 1,676 | $ — | |||||||||
State Street Equity 500 Index II Portfolio | — | — | 1,455,689 | 252,938 | 45,565 | 76,677 | 3,843 | 1,324,993 | 18,978 | 24,015 | |||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | — | — | 1,491,551 | 274,864 | 51,441 | 133,623 | 12,042 | 1,401,751 | 22,451 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 2,861,119 | 2,813,001 | — | — | 48,118 | 48,118 | 20 | — | |||||||||
State Street Small/Mid Cap Equity Index Portfolio | — | — | 651,347 | 192,330 | 53,741 | 72,034 | 1,784 | 584,792 | 7,648 | 9,941 | |||||||||
Total | $— | $7,392,257 | $4,096,344 | $145,680 | $279,281 | $3,720,874 | $50,773 | $33,956 |
* | 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* | $549,930,602 | $910,339,224 | $1,290,236,773 | $1,438,123,802 | |||
Cash | 82 | — | 103 | 99,729 | |||
Receivable for investments sold | 14,339,299 | 31,309,707 | 47,600,000 | 48,500,271 | |||
Receivable for fund shares sold | 274,962 | 620,191 | 2,918,580 | 1,250,263 | |||
Dividends receivable — unaffiliated issuers | 1,359 | 10 | — | — | |||
Dividends receivable — affiliated issuers | 94 | 117 | 266 | 57 | |||
Securities lending income receivable — unaffiliated issuers | — | — | — | 892 | |||
Securities lending income receivable — affiliated issuers | 5,235 | 8,272 | 1,798 | 1,631 | |||
Receivable from Adviser | 98,334 | 141,677 | 121,419 | 117,238 | |||
Prepaid expenses and other assets | 773 | 1,282 | 1,757 | 1,900 | |||
TOTAL ASSETS | 564,650,740 | 942,420,480 | 1,340,880,696 | 1,488,095,783 | |||
LIABILITIES | |||||||
Payable upon return of securities loaned | 36,692,913 | 46,474,866 | 1,703,196 | 1,251,125 | |||
Payable for investments purchased | 14,821,453 | 32,175,214 | 50,713,634 | 49,312,291 | |||
Payable for fund shares repurchased | 42,612 | 1,506,079 | 174,836 | 323,521 | |||
Advisory fee payable | 21,337 | 35,781 | 52,938 | 59,173 | |||
Custodian fees payable | 8,200 | 7,969 | 8,116 | 8,053 | |||
Administration fees payable | 21,747 | 36,168 | 53,261 | 59,468 | |||
Trustees’ fees and expenses payable | 56 | 234 | 296 | 293 | |||
Transfer agent fees payable | 40,501 | 12,623 | 16,801 | 18,970 | |||
Sub-transfer agent fee payable | 158 | 83 | 232 | 245 | |||
Registration and filing fees payable | 17,970 | 3,551 | 14,442 | 21,951 | |||
Professional fees payable | 40,251 | 33,884 | 34,112 | 34,091 | |||
Printing and postage fees payable | 3,781 | 6,184 | 7,913 | 7,893 | |||
Distribution payable | 2 | 976 | 17 | — | |||
Accrued expenses and other liabilities | 850 | 6,532 | 8,069 | 7,663 | |||
TOTAL LIABILITIES | 51,711,831 | 80,300,144 | 52,787,863 | 51,104,737 | |||
NET ASSETS | $512,938,909 | $862,120,336 | $1,288,092,833 | $1,436,991,046 | |||
NET ASSETS CONSIST OF: | |||||||
Paid-in Capital | $459,624,860 | $760,089,678 | $ 1,114,394,234 | $1,206,451,330 | |||
Total distributable earnings (loss) | 53,314,049 | 102,030,658 | 173,698,599 | 230,539,716 | |||
NET ASSETS | $512,938,909 | $862,120,336 | $1,288,092,833 | $1,436,991,046 | |||
Class I | |||||||
Net Assets | $ 21,801,361 | $ 41,182,376 | $ 59,791,963 | $ 69,750,189 | |||
Shares Outstanding | 1,817,911 | 3,370,337 | 4,577,688 | 5,092,630 | |||
Net asset value, offering and redemption price per share | $ 11.99 | $ 12.22 | $ 13.06 | $ 13.70 | |||
Class K | |||||||
Net Assets | $491,137,548 | $820,937,960 | $1,228,300,870 | $1,367,240,857 | |||
Shares Outstanding | 41,016,923 | 67,126,057 | 93,856,947 | 99,660,738 | |||
Net asset value, offering and redemption price per share | $ 11.97 | $ 12.23 | $ 13.09 | $ 13.72 | |||
COST OF INVESTMENTS: | |||||||
Investments in affiliated issuers | 491,912,136 | 814,321,502 | 1,131,686,554 | 1,228,887,170 | |||
* Includes investments in securities on loan, at value | $ 37,096,808 | $ 45,296,198 | $ 3,417,773 | $ 3,481,217 |
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 | ||||||
$1,266,204,185 | $1,130,920,191 | $871,988,105 | $612,235,328 | $333,328,804 | $140,923,685 | $3,720,874 | ||||||
— | — | — | — | — | — | — | ||||||
38,600,000 | 33,300,000 | 24,030,000 | 15,370,000 | 8,100,000 | 3,550,000 | 90,200 | ||||||
1,320,089 | 1,493,304 | 1,116,058 | 949,514 | 964,580 | 501,478 | 40,662 | ||||||
— | — | — | — | — | — | — | ||||||
86 | 182 | 73 | 33 | 27 | 12 | 3 | ||||||
21 | — | 15 | 468 | 21 | 40 | — | ||||||
781 | 774 | 1,513 | — | — | — | — | ||||||
89,494 | 71,131 | 58,694 | 46,697 | 32,933 | 28,461 | — | ||||||
1,629 | 1,444 | 1,117 | 745 | 389 | 156 | 2 | ||||||
1,306,216,285 | 1,165,787,026 | 897,195,575 | 628,602,785 | 342,426,754 | 145,003,832 | 3,851,741 | ||||||
299,700 | 2,010,200 | — | 27,600 | — | — | — | ||||||
39,963,623 | 35,526,256 | 26,373,534 | 16,657,317 | 9,307,780 | 4,023,230 | 115,782 | ||||||
415,430 | 311,465 | 254,830 | 214,159 | 102,517 | 51,289 | 2,540 | ||||||
51,933 | 46,353 | 35,625 | 25,018 | 13,535 | 5,685 | 10,473 | ||||||
8,033 | 8,047 | 8,044 | 8,044 | 8,068 | 8,080 | 8,107 | ||||||
52,157 | 46,557 | 35,752 | 25,081 | 13,599 | 5,748 | 140 | ||||||
244 | 202 | 152 | 101 | 50 | 13 | — | ||||||
20,469 | 20,878 | 22,072 | 21,983 | 21,382 | 20,853 | 133 | ||||||
— | — | — | — | 71 | 65 | 185 | ||||||
15,143 | 14,814 | 10,925 | 11,397 | 5,441 | 1,934 | 335 | ||||||
33,906 | 33,756 | 33,573 | 33,345 | 34,191 | 34,991 | 19,796 | ||||||
6,969 | 5,972 | 4,412 | 4,310 | 4,081 | 1,794 | — | ||||||
— | — | 350 | — | — | 11 | — | ||||||
6,228 | 5,009 | 3,731 | 2,577 | 1,286 | 295 | 20 | ||||||
40,873,835 | 38,029,509 | 26,783,000 | 17,030,932 | 9,512,001 | 4,153,988 | 157,511 | ||||||
$1,265,342,450 | $1,127,757,517 | $870,412,575 | $ 611,571,853 | $332,914,753 | $140,849,844 | $3,694,230 | ||||||
$1,054,005,584 | $ 927,353,692 | $708,638,647 | $499,162,749 | $274,219,518 | $ 117,471,271 | $3,349,042 | ||||||
211,336,866 | 200,403,825 | 161,773,928 | 112,409,104 | 58,695,235 | 23,378,573 | 345,188 | ||||||
$1,265,342,450 | $1,127,757,517 | $870,412,575 | $ 611,571,853 | $332,914,753 | $140,849,844 | $3,694,230 | ||||||
$ 49,518,267 | $ 51,116,129 | $ 23,058,828 | $ 24,015,569 | $ 8,939,921 | $ 3,458,135 | $ 136,868 | ||||||
3,497,363 | 3,562,047 | 1,581,550 | 1,658,001 | 607,231 | 235,345 | 10,000 | ||||||
$ 14.16 | $ 14.35 | $ 14.58 | $ 14.48 | $ 14.72 | $ 14.69 | $ 13.69 | ||||||
$1,215,824,183 | $1,076,641,388 | $847,353,747 | $587,556,284 | $323,974,832 | $137,391,709 | $3,557,362 | ||||||
85,572,456 | 74,963,976 | 58,128,712 | 40,541,416 | 22,038,674 | 9,349,947 | 259,866 | ||||||
$ 14.21 | $ 14.36 | $ 14.58 | $ 14.49 | $ 14.70 | $ 14.69 | $ 13.69 | ||||||
1,070,297,429 | 947,201,465 | 722,351,197 | 508,459,173 | 279,383,455 | 119,418,870 | 3,441,593 | ||||||
$ 294,138 | $ 2,057,928 | $ — | $ 45,130 | $ 216,624 | $ 401,657 | $ — |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | ||||
Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | ||||
INVESTMENT INCOME | |||||||
Dividend income — unaffiliated issuers | $ 4 | $ 29 | $ 7 | $ 4 | |||
Dividend income — affiliated issuers | 8,966,473 | 15,977,433 | 23,542,455 | 24,685,839 | |||
Unaffiliated securities lending income | 2,495 | 2,293 | 3,015 | 11,969 | |||
Affiliated securities lending income | 69,909 | 129,208 | 105,178 | 103,680 | |||
TOTAL INVESTMENT INCOME (LOSS) | 9,038,881 | 16,108,963 | 23,650,655 | 24,801,492 | |||
EXPENSES | |||||||
Advisory fee | 198,105 | 377,866 | 523,263 | 565,403 | |||
Administration fees | 198,105 | 377,866 | 523,263 | 565,403 | |||
Sub-transfer agent fee | |||||||
Class I | 3,324 | 7,560 | 9,826 | 11,880 | |||
Custodian fees | 48,994 | 49,754 | 49,746 | 51,125 | |||
Trustees’ fees and expenses | 24,036 | 29,906 | 32,886 | 33,375 | |||
Transfer agent fees | 185,178 | 121,737 | 164,625 | 186,304 | |||
Registration and filing fees | 56,431 | 39,627 | 40,069 | 40,460 | |||
Professional fees | 25,829 | 35,767 | 37,535 | 37,877 | |||
Printing and postage fees | 23,544 | 21,853 | 33,802 | 36,687 | |||
Insurance expense | 1,630 | 3,785 | 4,914 | 4,983 | |||
Miscellaneous expenses | 6,070 | 14,273 | 18,169 | 18,332 | |||
TOTAL EXPENSES | 771,246 | 1,079,994 | 1,438,098 | 1,551,829 | |||
Expenses waived/reimbursed by the Adviser | (889,558) | (1,271,948) | (1,530,831) | (1,251,593) | |||
NET EXPENSES | (118,312) | (191,954) | (92,733) | 300,236 | |||
NET INVESTMENT INCOME (LOSS) | $ 9,157,193 | $16,300,917 | $ 23,743,388 | $ 24,501,256 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments — affiliated issuers | 2,393,089 | 8,824,752 | 22,714,208 | 28,659,663 | |||
Capital gain distributions — affiliated issuers | 2,469,314 | 5,228,178 | 9,545,966 | 12,013,098 | |||
Net realized gain (loss) | 4,862,403 | 14,052,930 | 32,260,174 | 40,672,761 | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — affiliated issuers | 53,493,534 | 51,209,116 | 90,346,412 | 128,400,822 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 58,355,937 | 65,262,046 | 122,606,586 | 169,073,583 | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $67,513,130 | $81,562,963 | $146,349,974 | $193,574,839 |
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 | ||||||
Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | Year Ended 12/31/20 | For the Period 3/30/20 12/31/20(a) | ||||||
$ 7 | $ 9 | $ 4 | $ 5 | $ — | $ 2 | $ — | ||||||
20,475,048 | 17,396,877 | 13,148,569 | 9,145,999 | 4,953,038 | 2,066,165 | 50,773 | ||||||
3,180 | 17 | 71 | 146 | 109 | 167 | — | ||||||
45,136 | 9,450 | 12,384 | 7,312 | 4,651 | 4,163 | — | ||||||
20,523,371 | 17,406,353 | 13,161,028 | 9,153,462 | 4,957,798 | 2,070,497 | 50,773 | ||||||
487,413 | 428,030 | 328,222 | 221,815 | 116,689 | 47,188 | 562 | ||||||
487,413 | 428,030 | 328,222 | 221,815 | 116,689 | 47,188 | 562 | ||||||
9,166 | 8,188 | 3,810 | 3,833 | 1,333 | 485 | 185 | ||||||
49,971 | 49,420 | 49,310 | 49,334 | 49,432 | 49,619 | 36,675 | ||||||
31,444 | 29,991 | 27,833 | 25,598 | 23,374 | 21,846 | 11,004 | ||||||
201,486 | 206,257 | 217,562 | 220,653 | 213,902 | 207,619 | 4,026 | ||||||
40,330 | 39,954 | 38,958 | 38,436 | 36,456 | 36,539 | 50,967 | ||||||
36,784 | 35,948 | 34,676 | 33,325 | 33,041 | 33,083 | 19,800 | ||||||
35,905 | 33,228 | 30,718 | 28,059 | 29,484 | 21,280 | 7,752 | ||||||
4,196 | 3,542 | 2,706 | 1,816 | 913 | 276 | 1 | ||||||
15,461 | 13,261 | 10,435 | 7,261 | 4,424 | 2,363 | 1,393 | ||||||
1,399,569 | 1,275,849 | 1,072,452 | 851,945 | 625,737 | 467,486 | 132,927 | ||||||
(1,000,473) | (865,313) | (766,022) | (648,479) | (520,551) | (425,570) | (132,522) | ||||||
399,096 | 410,536 | 306,430 | 203,466 | 105,186 | 41,916 | 405 | ||||||
$ 20,124,275 | $ 16,995,817 | $ 12,854,598 | $ 8,949,996 | $ 4,852,612 | $ 2,028,581 | $ 50,368 | ||||||
18,437,307 | 19,332,046 | 10,361,806 | 6,981,570 | 3,242,466 | 1,022,932 | 145,680 | ||||||
11,263,490 | 10,481,280 | 8,228,329 | 5,838,983 | 3,169,653 | 1,324,879 | 33,956 | ||||||
29,700,797 | 29,813,326 | 18,590,135 | 12,820,553 | 6,412,119 | 2,347,811 | 179,636 | ||||||
127,686,302 | 121,835,590 | 106,296,339 | 75,443,786 | 40,048,846 | 16,728,742 | 279,281 | ||||||
157,387,099 | 151,648,916 | 124,886,474 | 88,264,339 | 46,460,965 | 19,076,553 | 458,917 | ||||||
$ 177,511,374 | $168,644,733 | $137,741,072 | $97,214,335 | $51,313,577 | $21,105,134 | $ 509,285 |
(a) | For the period March 30, 2020 (commencement of investment operations) through December 31, 2020. (See Note 1) |
State Street Target Retirement Fund | State Street Target Retirement 2020 Fund | ||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 9,157,193 | $ 6,553,981 | $ 16,300,917 | $ 27,715,398 | |||
Net realized gain (loss) | 4,862,403 | 942,013 | 14,052,930 | 37,256,373 | |||
Net change in unrealized appreciation/depreciation | 53,493,534 | 21,318,121 | 51,209,116 | 88,050,399 | |||
Net increase (decrease) in net assets resulting from operations | 67,513,130 | 28,814,115 | 81,562,963 | 153,022,170 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (345,325) | (2,544) | (1,577,020) | (123,081) | |||
Class K | (7,847,441) | (7,906,347) | (31,592,022) | (60,051,009) | |||
Total distributions to shareholders | (8,192,766) | (7,908,891) | (33,169,042) | (60,174,090) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 22,072,370 | 36,093 | 39,357,657 | 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 | 344,568 | 2,544 | 1,577,020 | 123,081 | |||
Cost of shares redeemed | (1,368,139) | (79,030) | (2,692,400) | (186,334) | |||
Net increase (decrease) from capital share transactions | 21,115,683 | (40,393) | 38,242,277 | 120,323 | |||
Class K | |||||||
Proceeds from sale of shares sold | 171,166,360 | 62,986,257 | 211,425,786 | 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 | 7,827,465 | 7,906,200 | 31,548,475 | 60,034,433 | |||
Cost of shares redeemed | (85,211,638) | (73,560,726) | (252,638,819) | (405,393,139) | |||
Net increase (decrease) from capital share transactions | 213,358,304 | (2,668,269) | (9,664,558) | (156,759,616) | |||
Net increase (decrease) in net assets from beneficial interest transactions | 234,473,987 | (2,708,662) | 28,577,719 | (156,639,293) | |||
Net increase (decrease) in net assets during the period | 293,794,351 | 18,196,562 | 76,971,640 | (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 | $512,938,909 | $219,144,558 | $ 862,120,336 | $ 785,148,696 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 1,893,325 | 3,352 | 3,279,118 | 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 | 28,762 | 230 | 129,264 | 10,815 | |||
Shares redeemed | (117,871) | (7,228) | (223,781) | (16,167) | |||
Net increase (decrease) from share transactions | 1,810,812 | (3,646) | 3,184,601 | 10,920 | |||
Class K | |||||||
Shares sold | 16,407,034 | 5,836,547 | 18,436,114 | 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 | 654,470 | 716,791 | 2,583,823 | 5,270,802 | |||
Shares redeemed | (7,713,029) | (6,777,725) | (22,606,597) | (35,610,279) | |||
Net increase (decrease) from share transactions | 21,164,354 | (224,387) | (1,586,660) | (13,628,920) |
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | |||||
$ 23,743,388 | $ 34,231,879 | $ 24,501,256 | $ 32,723,493 | $ 20,124,275 | $ 25,568,252 | |||||
32,260,174 | 58,036,721 | 40,672,761 | 67,393,740 | 29,700,797 | 54,220,182 | |||||
90,346,412 | 128,169,172 | 128,400,822 | 134,494,398 | 127,686,302 | 122,168,831 | |||||
146,349,974 | 220,437,772 | 193,574,839 | 234,611,631 | 177,511,374 | 201,957,265 | |||||
(2,700,654) | (124,624) | (3,268,395) | (177,060) | (2,145,820) | (72,448) | |||||
(55,486,221) | (83,964,667) | (64,236,287) | (86,578,774) | (52,763,736) | (69,858,786) | |||||
(58,186,875) | (84,089,291) | (67,504,682) | (86,755,834) | (54,909,556) | (69,931,234) | |||||
56,424,959 | 780,421 | 63,258,080 | 837,094 | 45,493,926 | 609,906 | |||||
— | — | — | — | — | — | |||||
2,700,654 | 118,083 | 3,268,395 | 177,060 | 2,145,821 | 72,447 | |||||
(2,712,029) | (181,680) | (1,700,614) | (174,664) | (1,481,320) | (24,272) | |||||
56,413,584 | 716,824 | 64,825,861 | 839,490 | 46,158,427 | 658,081 | |||||
329,308,524 | 282,492,001 | 358,927,216 | 319,322,790 | 319,670,456 | 250,711,635 | |||||
— | — | — | — | — | — | |||||
55,400,772 | 83,944,195 | 64,052,106 | 86,518,276 | 52,565,459 | 69,765,244 | |||||
(278,400,579) | (474,617,976) | (252,053,876) | (441,473,068) | (184,215,092) | (341,227,921) | |||||
106,308,717 | (108,181,780) | 170,925,446 | (35,632,002) | 188,020,823 | (20,751,042) | |||||
162,722,301 | (107,464,956) | 235,751,307 | (34,792,512) | 234,179,250 | (20,092,961) | |||||
250,885,400 | 28,883,525 | 361,821,464 | 113,063,285 | 356,781,068 | 111,933,070 | |||||
1,037,207,433 | 1,008,323,908 | 1,075,169,582 | 962,106,297 | 908,561,382 | 796,628,312 | |||||
$1,288,092,833 | $1,037,207,433 | $1,436,991,046 | $1,075,169,582 | $1,265,342,450 | $ 908,561,382 | |||||
4,415,804 | 65,171 | 4,752,369 | 66,374 | 3,360,339 | 50,472 | |||||
— | — | — | — | — | — | |||||
206,947 | 9,906 | 238,918 | 14,454 | 151,648 | 5,782 | |||||
(214,398) | (15,416) | (130,145) | (14,986) | (109,770) | (2,010) | |||||
4,408,353 | 59,661 | 4,861,142 | 65,842 | 3,402,217 | 54,244 | |||||
27,204,784 | 24,057,026 | 28,912,861 | 26,618,976 | 25,184,188 | 20,472,870 | |||||
— | — | — | — | — | — | |||||
4,238,774 | 7,030,502 | 4,671,926 | 7,051,204 | 3,701,793 | 5,550,139 | |||||
(24,262,408) | (39,913,999) | (21,285,976) | (36,182,374) | (15,506,619) | (27,376,674) | |||||
7,181,150 | (8,826,471) | 12,298,811 | (2,512,194) | 13,379,362 | (1,353,665) |
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | ||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 16,995,817 | $ 21,296,550 | $ 12,854,598 | $ 15,939,260 | |||
Net realized gain (loss) | 29,813,326 | 47,190,558 | 18,590,135 | 34,006,646 | |||
Net change in unrealized appreciation/depreciation | 121,835,590 | 104,396,007 | 106,296,339 | 82,635,681 | |||
Net increase (decrease) in net assets resulting from operations | 168,644,733 | 172,883,115 | 137,741,072 | 132,581,587 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||
Class I | (2,254,749) | (83,420) | (892,914) | (56,415) | |||
Class K | (47,647,713) | (57,985,145) | (32,999,187) | (43,234,896) | |||
Total distributions to shareholders | (49,902,462) | (58,068,565) | (33,892,101) | (43,291,311) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Class I | |||||||
Proceeds from sale of shares sold | 46,742,899 | 245,281 | 21,016,069 | 147,771 | |||
Reinvestment of distributions | 2,254,749 | 83,420 | 892,915 | 56,415 | |||
Cost of shares redeemed | (1,703,229) | (384,068) | (1,210,540) | (171,691) | |||
Net increase (decrease) from capital share transactions | 47,294,419 | (55,367) | 20,698,444 | 32,495 | |||
Class K | |||||||
Proceeds from sale of shares sold | 278,923,160 | 241,586,471 | 242,253,293 | 199,427,941 | |||
Reinvestment of distributions | 47,515,072 | 57,913,388 | 32,902,700 | 43,206,782 | |||
Cost of shares redeemed | (145,091,691) | (271,893,792) | (117,740,815) | (209,719,595) | |||
Net increase (decrease) from capital share transactions | 181,346,541 | 27,606,067 | 157,415,178 | 32,915,128 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 228,640,960 | 27,550,700 | 178,113,622 | 32,947,623 | |||
Net increase (decrease) in net assets during the period | 347,383,231 | 142,365,250 | 281,962,593 | 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 | $1,127,757,517 | $ 780,374,286 | $ 870,412,575 | $ 588,449,982 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Class I | |||||||
Shares sold | 3,418,786 | 19,886 | 1,532,464 | 12,028 | |||
Reinvestment of distributions | 157,235 | 6,600 | 61,284 | 4,439 | |||
Shares redeemed | (124,559) | (31,486) | (87,798) | (13,939) | |||
Net increase (decrease) from share transactions | 3,451,462 | (5,000) | 1,505,950 | 2,528 | |||
Class K | |||||||
Shares sold | 22,215,701 | 19,646,112 | 19,592,095 | 16,202,511 | |||
Reinvestment of distributions | 3,311,155 | 4,578,133 | 2,258,250 | 3,399,432 | |||
Shares redeemed | (12,114,713) | (21,669,158) | (9,911,551) | (16,634,746) | |||
Net increase (decrease) from share transactions | 13,412,143 | 2,555,087 | 11,938,794 | 2,967,197 |
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/20 | Year Ended 12/31/19 | |||||
$ 8,949,996 | $ 11,233,708 | $ 4,852,612 | $ 5,713,172 | $ 2,028,581 | $ 1,570,258 | |||||
12,820,553 | 27,975,617 | 6,412,119 | 10,329,391 | 2,347,811 | 674,947 | |||||
75,443,786 | 51,030,303 | 40,048,846 | 26,881,987 | 16,728,742 | 7,928,334 | |||||
97,214,335 | 90,239,628 | 51,313,577 | 42,924,550 | 21,105,134 | 10,173,539 | |||||
(948,192) | (28,559) | (261,233) | (13,842) | (67,966) | (5,268) | |||||
(23,295,939) | (33,329,248) | (9,529,649) | (15,108,285) | (2,725,775) | (2,337,955) | |||||
(24,244,131) | (33,357,807) | (9,790,882) | (15,122,127) | (2,793,741) | (2,343,223) | |||||
22,225,844 | 128,451 | 8,179,430 | 75,215 | 3,061,050 | 31,453 | |||||
948,192 | 28,559 | 259,902 | 11,559 | 65,517 | 1,903 | |||||
(1,090,661) | (148,130) | (372,802) | (3,768) | (125,458) | (19,312) | |||||
22,083,375 | 8,880 | 8,066,530 | 83,006 | 3,001,109 | 14,044 | |||||
197,996,802 | 171,005,376 | 134,127,162 | 113,461,276 | 76,516,272 | 53,057,576 | |||||
23,204,210 | 33,311,720 | 9,502,968 | 15,090,746 | 2,713,511 | 2,325,770 | |||||
(85,798,218) | (180,896,944) | (56,144,533) | (93,247,285) | (34,228,340) | (14,641,838) | |||||
135,402,794 | 23,420,152 | 87,485,597 | 35,304,737 | 45,001,443 | 40,741,508 | |||||
157,486,169 | 23,429,032 | 95,552,127 | 35,387,743 | 48,002,552 | 40,755,552 | |||||
230,456,373 | 80,310,853 | 137,074,822 | 63,190,166 | 66,313,945 | 48,585,868 | |||||
381,115,480 | 300,804,627 | 195,839,931 | 132,649,765 | 74,535,899 | 25,950,031 | |||||
$ 611,571,853 | $ 381,115,480 | $332,914,753 | $195,839,931 | $140,849,844 | $ 74,535,899 | |||||
1,636,647 | 10,460 | 597,938 | 6,300 | 227,030 | 2,629 | |||||
65,483 | 2,268 | 17,656 | 912 | 4,460 | 152 | |||||
(79,668) | (12,114) | (27,401) | (307) | (9,164) | (1,546) | |||||
1,622,462 | 614 | 588,193 | 6,905 | 222,326 | 1,235 | |||||
15,939,478 | 13,934,015 | 10,621,756 | 9,262,919 | 6,170,154 | 4,482,573 | |||||
1,601,395 | 2,645,887 | 646,901 | 1,192,945 | 184,718 | 185,764 | |||||
(7,203,634) | (14,440,931) | (4,681,287) | (7,413,695) | (2,940,767) | (1,245,077) | |||||
10,337,239 | 2,138,971 | 6,587,370 | 3,042,169 | 3,414,105 | 3,423,260 |
State Street Target Retirement 2065 Fund | |
For the Period 3/30/20*- 12/31/20 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $ 50,368 |
Net realized gain (loss) | 179,636 |
Net change in unrealized appreciation/depreciation | 279,281 |
Net increase (decrease) in net assets resulting from operations | 509,285 |
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class I | (6,273) |
Class K | (157,824) |
Total distributions to shareholders | (164,097) |
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 | 3,894,813 |
Reinvestment of distributions | 151,366 |
Cost of shares redeemed | (797,137) |
Net increase (decrease) from capital share transactions | 3,249,042 |
Net increase (decrease) in net assets from beneficial interest transactions | 3,349,042 |
Net increase (decrease) in net assets during the period | 3,694,230 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $3,694,230 |
SHARES OF BENEFICIAL INTEREST: | |
Class I | |
Shares sold | 10,000 |
Net increase (decrease) from share transactions | 10,000 |
Class K | |
Shares sold | 311,069 |
Reinvestment of distributions | 11,024 |
Shares redeemed | (62,227) |
Net increase (decrease) from share transactions | 259,866 |
* | For the period March 30, 2020 (commencement of investment operations) through December 31, 2020. (See Note 1) |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.05 | $10.02 | $10.73 | $10.12 | $ 9.79 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.38 | 0.29 | 0.28 | 0.19 | 0.19 | ||||
Net realized and unrealized gain (loss) | 0.75 | 1.11 | (0.55) | 0.71 | 0.32 | ||||
Total from investment operations | 1.13 | 1.40 | (0.27) | 0.90 | 0.51 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.31) | (0.29) | (0.20) | (0.17) | ||||
Net realized gains | (0.01) | (0.06) | (0.15) | (0.09) | (0.01) | ||||
Total distributions | (0.19) | (0.37) | (0.44) | (0.29) | (0.18) | ||||
Net asset value, end of period | $ 11.99 | $ 11.05 | $10.02 | $10.73 | $10.12 | ||||
Total return (b) | 10.25% | 13.98% | (2.50)%(c) | 8.92% | 5.27% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $21,801 | $ 78 | $ 108 | $ 139 | $ 612 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.24% | 0.24% | 0.25% | 0.36% | 0.66% | ||||
Net expenses (d) | 0.02% | (0.03)%(e) | (0.03)%(e) | (0.05)%(e) | (0.03)%(e) | ||||
Net investment income (loss) | 3.26% | 2.64% | 2.62% | 1.78% | 1.89% | ||||
Portfolio turnover rate | 24% | 26% | 53% | 25% | 37% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | $ 9.78 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.26 | 0.32 | 0.29 | 0.28 | 0.23 | ||||
Net realized and unrealized gain (loss) | 0.87 | 1.08 | (0.56) | 0.60 | 0.29 | ||||
Total from investment operations | 1.13 | 1.40 | (0.27) | 0.88 | 0.52 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.18) | (0.31) | (0.29) | (0.20) | (0.17) | ||||
Net realized gains | (0.01) | (0.06) | (0.15) | (0.09) | (0.01) | ||||
Total distributions | (0.19) | (0.37) | (0.44) | (0.29) | (0.18) | ||||
Net asset value, end of period | $ 11.97 | $ 11.03 | $ 10.00 | $ 10.71 | $ 10.12 | ||||
Total return (b) | 10.29% | 14.00% | (2.50)%(c) | 8.83% | 5.28% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $491,138 | $219,066 | $200,840 | $135,420 | $55,499 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.19% | 0.24% | 0.24% | 0.36% | 0.66% | ||||
Net expenses (d) | (0.03)%(e) | (0.03)%(e) | (0.04)%(e) | (0.02)%(e) | (0.04)%(e) | ||||
Net investment income (loss) | 2.29% | 2.92% | 2.69% | 2.61% | 2.23% | ||||
Portfolio turnover rate | 24% | 26% | 53% | 25% | 37% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (2.50)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.39 | $10.29 | $ 11.34 | $10.27 | $ 9.75 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.40 | 0.32 | 0.43 | 0.25 | 0.16 | ||||
Net realized and unrealized gain (loss) | 0.92 | 1.48 | (0.90) | 1.13 | 0.54 | ||||
Total from investment operations | 1.32 | 1.80 | (0.47) | 1.38 | 0.70 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.33) | (0.29) | (0.23) | (0.17) | ||||
Net realized gains | (0.24) | (0.37) | (0.29) | (0.08) | (0.01) | ||||
Total distributions | (0.49) | (0.70) | (0.58) | (0.31) | (0.18) | ||||
Net asset value, end of period | $ 12.22 | $ 11.39 | $10.29 | $ 11.34 | $10.27 | ||||
Total return (b) | 11.57% | 17.53% | (4.17)%(c) | 13.38% | 7.34% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $41,182 | $ 2,116 | $1,798 | $ 680 | $ 797 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.19% | 0.15% | 0.16% | 0.15% | 0.30% | ||||
Net expenses (d) | 0.03% | 0.01% | 0.02% | 0.01% | 0.07% | ||||
Net investment income (loss) | 3.39% | 2.83% | 3.85% | 2.29% | 1.54% | ||||
Portfolio turnover rate | 37% | 21% | 22% | 18% | 28% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | $ 9.74 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.24 | 0.33 | 0.29 | 0.29 | 0.27 | ||||
Net realized and unrealized gain (loss) | 1.08 | 1.48 | (0.76) | 1.08 | 0.45 | ||||
Total from investment operations | 1.32 | 1.81 | (0.47) | 1.37 | 0.72 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.33) | (0.29) | (0.23) | (0.17) | ||||
Net realized gains | (0.24) | (0.37) | (0.29) | (0.08) | (0.01) | ||||
Total distributions | (0.49) | (0.70) | (0.58) | (0.31) | (0.18) | ||||
Net asset value, end of period | $ 12.23 | $ 11.40 | $ 10.29 | $ 11.34 | $ 10.28 | ||||
Total return (b) | 11.68% | 17.55% | (4.16)%(c) | 13.38% | 7.45% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $820,938 | $783,033 | $847,142 | $775,643 | $235,727 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.14% | 0.15% | 0.15% | 0.24% | ||||
Net expenses (d) | (0.03)%(e) | (0.01)%(e) | 0.01% | 0.02% | 0.01% | ||||
Net investment income (loss) | 2.13% | 2.88% | 2.60% | 2.67% | 2.60% | ||||
Portfolio turnover rate | 37% | 21% | 22% | 18% | 28% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.92 | $10.53 | $ 11.74 | $10.33 | $ 9.74 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.50 | 0.37 | 0.23 | 0.26 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.26 | 1.81 | (0.87) | 1.45 | 0.63 | ||||
Total from investment operations | 1.76 | 2.18 | (0.64) | 1.71 | 0.78 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.33) | (0.29) | (0.23) | (0.16) | ||||
Net realized gains | (0.37) | (0.46) | (0.28) | (0.07) | (0.03) | ||||
Total distributions | (0.62) | (0.79) | (0.57) | (0.30) | (0.19) | ||||
Net asset value, end of period | $ 13.06 | $ 11.92 | $10.53 | $ 11.74 | $10.33 | ||||
Total return (b) | 14.66% | 20.76% | (5.48)%(c) | 16.54% | 8.01% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $59,792 | $2,019 | $1,155 | $2,232 | $ 2,110 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.19% | 0.15% | 0.15% | 0.15% | 0.33% | ||||
Net expenses (d) | 0.04% | 0.02% | 0.05% | 0.03% | 0.08% | ||||
Net investment income (loss) | 3.96% | 3.10% | 1.98% | 2.36% | 1.53% | ||||
Portfolio turnover rate | 39% | 27% | 15% | 10% | 21% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | $ 9.75 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.27 | 0.33 | 0.31 | 0.30 | 0.29 | ||||
Net realized and unrealized gain (loss) | 1.50 | 1.85 | (0.94) | 1.41 | 0.49 | ||||
Total from investment operations | 1.77 | 2.18 | (0.63) | 1.71 | 0.78 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.33) | (0.29) | (0.23) | (0.16) | ||||
Net realized gains | (0.37) | (0.46) | (0.28) | (0.07) | (0.03) | ||||
Total distributions | (0.62) | (0.79) | (0.57) | (0.30) | (0.19) | ||||
Net asset value, end of period | $ 13.09 | $ 11.94 | $ 10.55 | $ 11.75 | $ 10.34 | ||||
Total return (b) | 14.84% | 20.63% | (5.38)%(c) | 16.52% | 8.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,228,301 | $1,035,188 | $1,007,169 | $830,080 | $206,696 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.14% | 0.14% | 0.15% | 0.28% | ||||
Net expenses (d) | (0.01)%(e) | 0.01% | 0.04% | 0.04% | 0.04% | ||||
Net investment income (loss) | 2.24% | 2.83% | 2.63% | 2.63% | 2.81% | ||||
Portfolio turnover rate | 39% | 27% | 15% | 10% | 21% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Due to the Fund waiving acquired Fund fees, the waiver exceeded total fund expenses. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.26 | $10.67 | $ 11.98 | $10.37 | $ 9.76 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.53 | 0.38 | 0.29 | 0.25 | 0.14 | ||||
Net realized and unrealized gain (loss) | 1.58 | 2.03 | (1.05) | 1.64 | 0.65 | ||||
Total from investment operations | 2.11 | 2.41 | (0.76) | 1.89 | 0.79 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.24) | (0.32) | (0.27) | (0.23) | (0.16) | ||||
Net realized gains | (0.43) | (0.50) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.67) | (0.82) | (0.55) | (0.28) | (0.18) | ||||
Net asset value, end of period | $ 13.70 | $12.26 | $10.67 | $ 11.98 | $10.37 | ||||
Total return (b) | 17.26% | 22.55% | (6.24)% | 18.27% | 8.10% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $69,750 | $2,837 | $1,768 | $1,716 | $1,522 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.19% | 0.15% | 0.15% | 0.15% | 0.30% | ||||
Net expenses (c) | 0.08% | 0.04% | 0.07% | 0.06% | 0.08% | ||||
Net investment income (loss) | 4.00% | 3.12% | 2.44% | 2.25% | 1.39% | ||||
Portfolio turnover rate | 27% | 30% | 12% | 7% | 18% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | $ 9.76 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.27 | 0.33 | 0.29 | 0.28 | 0.25 | ||||
Net realized and unrealized gain (loss) | 1.86 | 2.07 | (1.04) | 1.62 | 0.55 | ||||
Total from investment operations | 2.13 | 2.40 | (0.75) | 1.90 | 0.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.32) | (0.28) | (0.23) | (0.16) | ||||
Net realized gains | (0.43) | (0.50) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.68) | (0.82) | (0.56) | (0.28) | (0.18) | ||||
Net asset value, end of period | $ 13.72 | $ 12.27 | $ 10.69 | $ 12.00 | $ 10.38 | ||||
Total return (b) | 17.24% | 22.52% | (6.22)% | 18.35% | 8.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,367,241 | $1,072,332 | $960,339 | $778,969 | $225,549 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.14% | 0.14% | 0.14% | 0.15% | 0.26% | ||||
Net expenses (c) | 0.03% | 0.03% | 0.06% | 0.06% | 0.05% | ||||
Net investment income (loss) | 2.13% | 2.75% | 2.43% | 2.46% | 2.48% | ||||
Portfolio turnover rate | 27% | 30% | 12% | 7% | 18% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.54 | $10.80 | $12.18 | $10.43 | $ 9.77 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.56 | 0.36 | 0.30 | 0.13 | 0.11 | ||||
Net realized and unrealized gain (loss) | 1.71 | 2.19 | (1.14) | 1.91 | 0.74 | ||||
Total from investment operations | 2.27 | 2.55 | (0.84) | 2.04 | 0.85 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.24) | (0.30) | (0.26) | (0.22) | (0.16) | ||||
Net realized gains | (0.41) | (0.51) | (0.28) | (0.07) | (0.03) | ||||
Total distributions | (0.65) | (0.81) | (0.54) | (0.29) | (0.19) | ||||
Net asset value, end of period | $ 14.16 | $12.54 | $10.80 | $12.18 | $10.43 | ||||
Total return (b) | 18.05% | 23.62% | (6.88)%(c) | 19.56% | 8.61% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $49,518 | $1,193 | $ 442 | $ 371 | $ 840 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.20% | 0.21% | 0.16% | 0.17% | 0.36% | ||||
Net expenses (d) | 0.10% | 0.12% | 0.07% | 0.07% | 0.09% | ||||
Net investment income (loss) | 4.14% | 2.95% | 2.49% | 1.10% | 1.08% | ||||
Portfolio turnover rate | 22% | 28% | 13% | 6% | 18% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | $ 9.78 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.26 | 0.32 | 0.28 | 0.27 | 0.27 | ||||
Net realized and unrealized gain (loss) | 2.03 | 2.24 | (1.12) | 1.79 | 0.58 | ||||
Total from investment operations | 2.29 | 2.56 | (0.84) | 2.06 | 0.85 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.24) | (0.31) | (0.26) | (0.22) | (0.16) | ||||
Net realized gains | (0.41) | (0.51) | (0.28) | (0.07) | (0.03) | ||||
Total distributions | (0.65) | (0.82) | (0.54) | (0.29) | (0.19) | ||||
Net asset value, end of period | $ 14.21 | $ 12.57 | $ 10.83 | $ 12.21 | $ 10.44 | ||||
Total return (b) | 18.19% | 23.61% | (6.85)%(c) | 19.73% | 8.60% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,215,824 | $907,369 | $796,187 | $584,717 | $165,008 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.14% | 0.15% | 0.15% | 0.17% | 0.33% | ||||
Net expenses (d) | 0.04% | 0.05% | 0.07% | 0.08% | 0.06% | ||||
Net investment income (loss) | 2.03% | 2.60% | 2.30% | 2.34% | 2.64% | ||||
Portfolio turnover rate | 22% | 28% | 13% | 6% | 18% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.65 | $10.79 | $12.26 | $10.39 | $ 9.71 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.58 | 0.29 | 0.31 | 0.24 | 0.09 | ||||
Net realized and unrealized gain (loss) | 1.79 | 2.37 | (1.23) | 1.91 | 0.78 | ||||
Total from investment operations | 2.37 | 2.66 | (0.92) | 2.15 | 0.87 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.30) | (0.26) | (0.23) | (0.16) | ||||
Net realized gains | (0.44) | (0.50) | (0.29) | (0.05) | (0.03) | ||||
Total distributions | (0.67) | (0.80) | (0.55) | (0.28) | (0.19) | ||||
Net asset value, end of period | $ 14.35 | $12.65 | $10.79 | $12.26 | $10.39 | ||||
Total return (b) | 18.70% | 24.64% | (7.46)%(c) | 20.59% | 9.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $51,116 | $1,398 | $1,247 | $ 912 | $ 708 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.20% | 0.17% | 0.19% | 0.17% | 0.38% | ||||
Net expenses (d) | 0.10% | 0.07% | 0.09% | 0.07% | 0.10% | ||||
Net investment income (loss) | 4.25% | 2.33% | 2.50% | 2.14% | 0.86% | ||||
Portfolio turnover rate | 19% | 32% | 11% | 6% | 16% |
(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 (7.46)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | $ 9.72 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.25 | 0.32 | 0.28 | 0.26 | 0.24 | ||||
Net realized and unrealized gain (loss) | 2.12 | 2.35 | (1.21) | 1.89 | 0.63 | ||||
Total from investment operations | 2.37 | 2.67 | (0.93) | 2.15 | 0.87 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.30) | (0.26) | (0.23) | (0.16) | ||||
Net realized gains | (0.44) | (0.50) | (0.29) | (0.05) | (0.03) | ||||
Total distributions | (0.67) | (0.80) | (0.55) | (0.28) | (0.19) | ||||
Net asset value, end of period | $ 14.36 | $ 12.66 | $ 10.79 | $ 12.27 | $ 10.40 | ||||
Total return (b) | 18.79% | 24.66% | (7.52)%(c) | 20.69% | 8.89% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,076,641 | $778,976 | $636,762 | $458,132 | $143,526 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.15% | 0.16% | 0.16% | 0.17% | 0.32% | ||||
Net expenses (d) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | ||||
Net investment income (loss) | 1.94% | 2.63% | 2.24% | 2.30% | 2.31% | ||||
Portfolio turnover rate | 19% | 32% | 11% | 6% | 16% |
(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 (7.52)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.72 | $10.77 | $12.29 | $10.36 | $ 9.64 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.58 | 0.29 | 0.33 | 0.20 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.87 | 2.45 | (1.31) | 2.02 | 0.75 | ||||
Total from investment operations | 2.45 | 2.74 | (0.98) | 2.22 | 0.90 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.30) | (0.26) | (0.24) | (0.16) | ||||
Net realized gains | (0.37) | (0.49) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.59) | (0.79) | (0.54) | (0.29) | (0.18) | ||||
Net asset value, end of period | $ 14.58 | $12.72 | $10.77 | $12.29 | $10.36 | ||||
Total return (b) | 19.26% | 25.45% | (7.96)%(c) | 21.45% | 9.31% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $23,059 | $ 962 | $ 787 | $ 762 | $ 853 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.21% | 0.21% | 0.20% | 0.21% | 0.59% | ||||
Net expenses (d) | 0.10% | 0.09% | 0.08% | 0.06% | 0.06% | ||||
Net investment income (loss) | 4.27% | 2.34% | 2.68% | 1.73% | 1.46% | ||||
Portfolio turnover rate | 18% | 32% | 11% | 5% | 17% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | $ 9.63 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.25 | 0.32 | 0.28 | 0.28 | 0.27 | ||||
Net realized and unrealized gain (loss) | 2.21 | 2.42 | (1.26) | 1.94 | 0.64 | ||||
Total from investment operations | 2.46 | 2.74 | (0.98) | 2.22 | 0.91 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.23) | (0.30) | (0.26) | (0.24) | (0.16) | ||||
Net realized gains | (0.37) | (0.49) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.60) | (0.79) | (0.54) | (0.29) | (0.18) | ||||
Net asset value, end of period | $ 14.58 | $ 12.72 | $ 10.77 | $ 12.29 | $ 10.36 | ||||
Total return (b) | 19.28% | 25.49% | (7.94)%(c) | 21.45% | 9.31% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $847,354 | $587,488 | $465,425 | $300,444 | $76,304 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.16% | 0.17% | 0.19% | 0.21% | 0.57% | ||||
Net expenses (d) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | ||||
Net investment income (loss) | 1.93% | 2.62% | 2.29% | 2.39% | 2.62% | ||||
Portfolio turnover rate | 18% | 32% | 11% | 5% | 17% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.60 | $10.70 | $12.24 | $10.33 | $ 9.62 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.61 | 0.28 | 0.37 | 0.15 | 0.08 | ||||
Net realized and unrealized gain (loss) | 1.87 | 2.47 | (1.37) | 2.06 | 0.80 | ||||
Total from investment operations | 2.48 | 2.75 | (1.00) | 2.21 | 0.88 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.29) | (0.26) | (0.25) | (0.15) | ||||
Net realized gains | (0.38) | (0.56) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.60) | (0.85) | (0.54) | (0.30) | (0.17) | ||||
Net asset value, end of period | $ 14.48 | $12.60 | $10.70 | $12.24 | $10.33 | ||||
Total return (b) | 19.67% | 25.76% | (8.14)% | 21.30% | 9.34% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $24,016 | $ 448 | $ 374 | $ 240 | $ 366 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.24% | 0.25% | 0.25% | 0.25% | 0.97% | ||||
Net expenses (c) | 0.10% | 0.09% | 0.08% | 0.06% | 0.12% | ||||
Net investment income (loss) | 4.48% | 2.32% | 3.05% | 1.34% | 0.76% | ||||
Portfolio turnover rate | 16% | 41% | 11% | 5% | 16% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | $ 9.61 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.25 | 0.34 | 0.28 | 0.27 | 0.26 | ||||
Net realized and unrealized gain (loss) | 2.24 | 2.42 | (1.28) | 1.94 | 0.63 | ||||
Total from investment operations | 2.49 | 2.76 | (1.00) | 2.21 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.30) | (0.26) | (0.25) | (0.15) | ||||
Net realized gains | (0.38) | (0.56) | (0.28) | (0.05) | (0.02) | ||||
Total distributions | (0.60) | (0.86) | (0.54) | (0.30) | (0.17) | ||||
Net asset value, end of period | $ 14.49 | $ 12.60 | $ 10.70 | $ 12.24 | $ 10.33 | ||||
Total return (b) | 19.76% | 25.81% | (8.13)% | 21.42% | 9.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $587,556 | $380,668 | $300,431 | $212,217 | $48,016 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.19% | 0.21% | 0.23% | 0.25% | 0.90% | ||||
Net expenses (c) | 0.05% | 0.05% | 0.07% | 0.07% | 0.05% | ||||
Net investment income (loss) | 1.98% | 2.74% | 2.30% | 2.37% | 2.61% | ||||
Portfolio turnover rate | 16% | 41% | 11% | 5% | 16% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $12.68 | $10.70 | $12.25 | $10.32 | $ 9.60 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.63 | 0.33 | 0.31 | 0.11 | 0.16 | ||||
Net realized and unrealized gain (loss) | 1.86 | 2.41 | (1.29) | 2.11 | 0.73 | ||||
Total from investment operations | 2.49 | 2.74 | (0.98) | 2.22 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.30) | (0.25) | (0.24) | (0.15) | ||||
Net realized gains | (0.23) | (0.46) | (0.32) | (0.05) | (0.02) | ||||
Total distributions | (0.45) | (0.76) | (0.57) | (0.29) | (0.17) | ||||
Net asset value, end of period | $14.72 | $12.68 | $10.70 | $12.25 | $10.32 | ||||
Total return (b) | 19.60% | 25.65% | (7.93)%(c) | 21.60% | 9.33% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $8,940 | $ 241 | $ 130 | $ 105 | $ 271 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.32% | 0.30% | 0.40% | 0.52% | 2.09% | ||||
Net expenses (d) | 0.09% | 0.05% | 0.07% | 0.06% | 0.04% | ||||
Net investment income (loss) | 4.61% | 2.69% | 2.53% | 0.95% | 1.58% | ||||
Portfolio turnover rate | 18% | 42% | 16% | 7% | 14% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | If the Affiliates had not made a contribution during the period ended December 31, 2018, total return would have remained (7.93)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | $ 9.59 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.26 | 0.35 | 0.30 | 0.31 | 0.26 | ||||
Net realized and unrealized gain (loss) | 2.23 | 2.39 | (1.28) | 1.90 | 0.63 | ||||
Total from investment operations | 2.49 | 2.74 | (0.98) | 2.21 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.30) | (0.25) | (0.24) | (0.15) | ||||
Net realized gains | (0.23) | (0.46) | (0.32) | (0.05) | (0.02) | ||||
Total distributions | (0.45) | (0.76) | (0.57) | (0.29) | (0.17) | ||||
Net asset value, end of period | $ 14.70 | $ 12.66 | $ 10.68 | $ 12.23 | $ 10.31 | ||||
Total return (b) | 19.65% | 25.70% | (7.94)%(c) | 21.53% | 9.34% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $323,975 | $195,598 | $132,520 | $81,529 | $18,718 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (d) | 0.27% | 0.30% | 0.40% | 0.51% | 2.09% | ||||
Net expenses (d) | 0.04% | 0.05% | 0.07% | 0.07% | 0.05% | ||||
Net investment income (loss) | 2.05% | 2.86% | 2.49% | 2.67% | 2.61% | ||||
Portfolio turnover rate | 18% | 42% | 16% | 7% | 14% |
(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)%. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $12.53 | $10.28 | $ 11.91 | $10.09 | $ 9.50 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.59 | 0.29 | 0.30 | 0.15 | 0.15 | ||||
Net realized and unrealized gain (loss) | 1.87 | 2.37 | (1.27) | 2.01 | 0.71 | ||||
Total from investment operations | 2.46 | 2.66 | (0.97) | 2.16 | 0.86 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.28) | (0.24) | (0.23) | (0.14) | ||||
Net realized gains | (0.08) | (0.13) | (0.42) | (0.11) | (0.13) | ||||
Total distributions | (0.30) | (0.41) | (0.66) | (0.34) | (0.27) | ||||
Net asset value, end of period | $14.69 | $12.53 | $10.28 | $ 11.91 | $10.09 | ||||
Total return (b) | 19.61% | 25.86% | (8.13)% | 21.45% | 9.09% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,458 | $ 163 | $ 121 | $ 103 | $ 170 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.54% | 0.85% | 1.56% | 3.13% | 11.36% | ||||
Net expenses (c) | 0.09% | 0.04% | 0.06% | 0.06% | 0.05% | ||||
Net investment income (loss) | 4.41% | 2.42% | 2.55% | 1.31% | 1.51% | ||||
Portfolio turnover rate | 25% | 29% | 38% | 18% | 55% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class K | |||||||||
Year Ended 12/31/20 | Year Ended 12/31/19 | Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | |||||
Net asset value, beginning of period | $ 12.53 | $ 10.28 | $ 11.91 | $ 10.08 | $ 9.49 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.27 | 0.39 | 0.34 | 0.33 | 0.29 | ||||
Net realized and unrealized gain (loss) | 2.19 | 2.27 | (1.31) | 1.84 | 0.57 | ||||
Total from investment operations | 2.46 | 2.66 | (0.97) | 2.17 | 0.86 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.22) | (0.28) | (0.24) | (0.23) | (0.14) | ||||
Net realized gains | (0.08) | (0.13) | (0.42) | (0.11) | (0.13) | ||||
Total distributions | (0.30) | (0.41) | (0.66) | (0.34) | (0.27) | ||||
Net asset value, end of period | $ 14.69 | $ 12.53 | $ 10.28 | $ 11.91 | $10.08 | ||||
Total return (b) | 19.63% | 25.87% | (8.13)% | 21.57% | 8.98% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $137,392 | $74,373 | $25,829 | $12,141 | $3,344 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.49% | 0.84% | 1.56% | 3.07% | 11.36% | ||||
Net expenses (c) | 0.04% | 0.04% | 0.06% | 0.07% | 0.06% | ||||
Net investment income (loss) | 2.12% | 3.33% | 2.87% | 2.94% | 2.91% | ||||
Portfolio turnover rate | 25% | 29% | 38% | 18% | 55% |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
Class I | |
For the Period 3/30/20*- 12/31/20 | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.19 |
Net realized and unrealized gain (loss) | 4.13 |
Total from investment operations | 4.32 |
Distributions to shareholders from: | |
Net investment income | (0.23) |
Net realized gains | (0.40) |
Total distributions | (0.63) |
Net asset value, end of period | $13.69 |
Total return (b) | 43.15% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $ 137 |
Ratios to Average Net Assets: | |
Total expenses (c) | 12.01%(d) |
Net expenses (c) | 0.22%(d) |
Net investment income (loss) | 2.08%(d) |
Portfolio turnover rate | 86%(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(d) | Annualized. |
(e) | Not annualized. |
Class K | |
For the Period 3/30/20*- 12/31/20 | |
Net asset value, beginning of period | $10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.45 |
Net realized and unrealized gain (loss) | 3.88 |
Total from investment operations | 4.33 |
Distributions to shareholders from: | |
Net investment income | (0.24) |
Net realized gains | (0.40) |
Total distributions | (0.64) |
Net asset value, end of period | $13.69 |
Total return (b) | 43.34% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $3,557 |
Ratios to Average Net Assets: | |
Total expenses (c) | 11.81%(d) |
Net expenses (c) | 0.02%(d) |
Net investment income (loss) | 4.70%(d) |
Portfolio turnover rate | 86%(e) |
* | For the period March 30, 2020 (commencement of investment operations) through December 31, 2020. (See Note 1) |
(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. |
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 |
Purchases | Sales | ||
State Street Target Retirement Fund | $ 211,265,946 | $ 94,104,332 | |
State Street Target Retirement 2020 Fund | 295,779,541 | 280,209,099 | |
State Street Target Retirement 2025 Fund | 536,888,629 | 407,445,482 | |
State Street Target Retirement 2030 Fund | 507,741,412 | 308,448,721 | |
State Street Target Retirement 2035 Fund | 422,473,078 | 216,385,698 | |
State Street Target Retirement 2040 Fund | 362,921,692 | 160,868,983 | |
State Street Target Retirement 2045 Fund | 278,247,802 | 116,309,246 | |
State Street Target Retirement 2050 Fund | 215,753,933 | 70,861,104 | |
State Street Target Retirement 2055 Fund | 133,321,036 | 41,685,130 | |
State Street Target Retirement 2060 Fund | 71,511,439 | 23,197,612 | |
State Street Target Retirement 2065 Fund | 4,531,136 | 1,283,341 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $ 7,750,309 | $ 442,457 | $ 8,192,766 | ||
State Street Target Retirement 2020 Fund | 16,334,210 | 16,834,832 | 33,169,042 | ||
State Street Target Retirement 2025 Fund | 24,848,790 | 33,338,085 | 58,186,875 | ||
State Street Target Retirement 2030 Fund | 24,953,049 | 42,551,633 | 67,504,682 | ||
State Street Target Retirement 2035 Fund | 20,533,229 | 34,376,327 | 54,909,556 | ||
State Street Target Retirement 2040 Fund | 17,075,444 | 32,827,018 | 49,902,462 | ||
State Street Target Retirement 2045 Fund | 12,921,471 | 20,970,630 | 33,892,101 | ||
State Street Target Retirement 2050 Fund | 9,006,515 | 15,237,616 | 24,244,131 | ||
State Street Target Retirement 2055 Fund | 4,994,927 | 4,795,955 | 9,790,882 | ||
State Street Target Retirement 2060 Fund | 2,395,233 | 398,508 | 2,793,741 | ||
State Street Target Retirement 2065 Fund | 164,097 | — | 164,097 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement Fund | $ 6,717,433 | $ 1,191,458 | $ 7,908,891 | ||
State Street Target Retirement 2020 Fund | 28,504,687 | 31,669,403 | 60,174,090 | ||
State Street Target Retirement 2025 Fund | 35,201,034 | 48,888,257 | 84,089,291 | ||
State Street Target Retirement 2030 Fund | 33,647,936 | 53,107,898 | 86,755,834 | ||
State Street Target Retirement 2035 Fund | 26,424,015 | 43,507,219 | 69,931,234 | ||
State Street Target Retirement 2040 Fund | 21,978,600 | 36,089,965 | 58,068,565 | ||
State Street Target Retirement 2045 Fund | 16,446,580 | 26,844,731 | 43,291,311 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Target Retirement 2050 Fund | $ 11,563,356 | $21,794,451 | $33,357,807 | ||
State Street Target Retirement 2055 Fund | 5,930,088 | 9,192,039 | 15,122,127 | ||
State Street Target Retirement 2060 Fund | 1,718,785 | 624,438 | 2,343,223 | ||
State Street Target Retirement 2065 Fund | — | — | — |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Target Retirement Fund | $1,007,848 | $(4,743,256) | $ 3,351,853 | $ 53,697,604 | $ 53,314,049 | ||||
State Street Target Retirement 2020 Fund | — | — | 10,672,593 | 91,358,065 | 102,030,658 | ||||
State Street Target Retirement 2025 Fund | — | — | 18,335,827 | 155,362,772 | 173,698,599 | ||||
State Street Target Retirement 2030 Fund | — | — | 23,053,798 | 207,485,918 | 230,539,716 | ||||
State Street Target Retirement 2035 Fund | — | — | 17,665,499 | 193,671,367 | 211,336,866 | ||||
State Street Target Retirement 2040 Fund | — | — | 17,431,306 | 182,972,519 | 200,403,825 | ||||
State Street Target Retirement 2045 Fund | — | — | 12,734,161 | 149,039,767 | 161,773,928 | ||||
State Street Target Retirement 2050 Fund | — | — | 8,897,826 | 103,511,278 | 112,409,104 | ||||
State Street Target Retirement 2055 Fund | — | — | 4,965,353 | 53,729,882 | 58,695,235 | ||||
State Street Target Retirement 2060 Fund | 965,091 | — | 1,195,763 | 21,217,719 | 23,378,573 | ||||
State Street Target Retirement 2065 Fund | 39,210 | — | 33,956 | 272,022 | 345,188 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Target Retirement Fund | $117,529 | $4,625,727 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Target Retirement Fund | $ 496,232,998 | $ 53,697,604 | $ — | $ 53,697,604 | |||
State Street Target Retirement 2020 Fund | 818,981,159 | 91,358,065 | — | 91,358,065 | |||
State Street Target Retirement 2025 Fund | 1,134,874,001 | 155,364,789 | 2,017 | 155,362,772 | |||
State Street Target Retirement 2030 Fund | 1,230,637,884 | 207,485,918 | — | 207,485,918 | |||
State Street Target Retirement 2035 Fund | 1,072,532,818 | 193,671,367 | — | 193,671,367 | |||
State Street Target Retirement 2040 Fund | 947,947,672 | 182,972,519 | — | 182,972,519 | |||
State Street Target Retirement 2045 Fund | 722,948,338 | 149,039,767 | — | 149,039,767 | |||
State Street Target Retirement 2050 Fund | 508,724,050 | 103,511,278 | — | 103,511,278 | |||
State Street Target Retirement 2055 Fund | 279,598,922 | 53,729,882 | — | 53,729,882 | |||
State Street Target Retirement 2060 Fund | 119,705,966 | 21,255,609 | 37,890 | 21,217,719 | |||
State Street Target Retirement 2065 Fund | 3,448,852 | 275,075 | 3,053 | 272,022 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Target Retirement Fund | $ 37,096,808 | $ 36,692,913 | $ 1,356,369 | $ 38,049,282 | ||||
State Street Target Retirement 2020 Fund | 45,296,198 | 46,474,866 | — | 46,474,866 | ||||
State Street Target Retirement 2025 Fund | 3,417,773 | 1,703,196 | 1,790,300 | 3,493,496 | ||||
State Street Target Retirement 2030 Fund | 3,481,217 | 1,251,125 | 2,298,700 | 3,549,825 | ||||
State Street Target Retirement 2035 Fund | 294,138 | 299,700 | — | 299,700 | ||||
State Street Target Retirement 2040 Fund | 2,057,928 | 2,010,200 | 87,400 | 2,097,600 | ||||
State Street Target Retirement 2050 Fund | 45,130 | 27,600 | 18,400 | 46,000 | ||||
State Street Target Retirement 2055 Fund | 216,624 | — | 220,800 | 220,800 | ||||
State Street Target Retirement 2060 Fund | 401,657 | — | 409,400 | 409,400 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $36,692,913 | $— | $— | $— | $36,692,913 | $36,692,913 | |||||||
State Street Target Retirement 2020 Fund | Mutual Funds and Exchange Traded Products | 46,474,866 | — | — | — | 46,474,866 | 46,474,866 | |||||||
State Street Target Retirement 2025 Fund | Mutual Funds and Exchange Traded Products | 1,703,196 | — | — | — | 1,703,196 | 1,703,196 | |||||||
State Street Target Retirement 2030 Fund | Mutual Funds and Exchange Traded Products | 1,251,125 | — | — | — | 1,251,125 | 1,251,125 | |||||||
State Street Target Retirement 2035 Fund | Mutual Funds and Exchange Traded Products | 299,700 | — | — | — | 299,700 | 299,700 | |||||||
State Street Target Retirement 2040 Fund | Mutual Funds and Exchange Traded Products | 2,010,200 | — | — | — | 2,010,200 | 2,010,200 | |||||||
State Street Target Retirement 2050 Fund | Mutual Funds and Exchange Traded Products | 27,600 | — | — | — | 27,600 | 27,600 |
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) | $ 9,770,213 |
Total net realized and change in unrealized gain (loss) | $35,202,572 |
Net increase (decrease) in net assets resulting from operations | $44,972,785 |
Individual series constituting State Street Institutional Investment Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
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 | For the year ended December 31, 2020 | For each of the two years in the period ended December 31, 2020 | For each of the five years in the period ended December 31, 2020 |
State Street Target Retirement 2065 Fund | For the period from March 30, 2020 (commencement of operations) through December 31, 2020 | For the period from March 30, 2020 (commencement of operations) through December 31, 2020 | For the period from March 30, 2020 (commencement of operations) to December 31, 2020 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | |||||
State Street Target Retirement Fund | |||||||||
Class I | 0.02% | $1,098.50 | $ 0.11 | $1,025.00 | $ 0.10 | ||||
Class K | 0.00(c) | 1,098.90 | 0.00 | 1,025.10 | 0.00 | ||||
State Street Target Retirement 2020 Fund | |||||||||
Class I | 0.03 | 1,125.60 | 0.16 | 1,025.00 | 0.15 | ||||
Class K | (0.03) | 1,126.70 | (0.16) | 1,025.30 | (0.15) | ||||
State Street Target Retirement 2025 Fund | |||||||||
Class I | 0.04 | 1,154.40 | 0.22 | 1,024.90 | 0.20 | ||||
Class K | (0.02) | 1,155.20 | (0.11) | 1,025.20 | (0.10) | ||||
State Street Target Retirement 2030 Fund | |||||||||
Class I | 0.08 | 1,176.40 | �� | 0.44 | 1,024.70 | 0.41 | |||
Class K | 0.03 | 1,176.30 | 0.16 | 1,025.00 | 0.15 | ||||
State Street Target Retirement 2035 Fund | |||||||||
Class I | 0.10 | 1,192.90 | 0.55 | 1,024.60 | 0.51 | ||||
Class K | 0.04 | 1,193.30 | 0.22 | 1,024.90 | 0.20 | ||||
State Street Target Retirement 2040 Fund | |||||||||
Class I | 0.10 | 1,208.90 | 0.56 | 1,024.60 | 0.51 | ||||
Class K | 0.05 | 1,209.00 | 0.28 | 1,024.90 | 0.25 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | |||||
State Street Target Retirement 2045 Fund | |||||||||
Class I | 0.10% | $1,224.40 | $ 0.56 | $1,024.60 | $ 0.51 | ||||
Class K | 0.04 | 1,224.60 | 0.22 | 1,024.90 | 0.20 | ||||
State Street Target Retirement 2050 Fund | |||||||||
Class I | 0.10 | 1,232.90 | 0.56 | 1,024.60 | 0.51 | ||||
Class K | 0.04 | 1,232.90 | 0.22 | 1,024.90 | 0.20 | ||||
State Street Target Retirement 2055 Fund | |||||||||
Class I | 0.09 | 1,231.90 | 0.50 | 1,024.70 | 0.46 | ||||
Class K | 0.04 | 1,232.50 | 0.22 | 1,024.90 | 0.20 | ||||
State Street Target Retirement 2060 Fund | |||||||||
Class I | 0.09 | 1,232.50 | 0.51 | 1,024.70 | 0.46 | ||||
Class K | 0.05 | 1,232.70 | 0.28 | 1,024.90 | 0.25 | ||||
State Street Target Retirement 2065 Fund | |||||||||
Class I | 0.21 | 1,222.50 | 1.17 | 1,024.10 | 1.07 | ||||
Class K | 0.02 | 1,223.00 | 0.11 | 1,025.00 | 0.10 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 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%. |
Amount | |
State Street Target Retirement Fund | $ 442,457 |
State Street Target Retirement 2020 Fund | 16,834,832 |
State Street Target Retirement 2025 Fund | 33,338,085 |
State Street Target Retirement 2030 Fund | 42,551,633 |
State Street Target Retirement 2035 Fund | 34,376,327 |
State Street Target Retirement 2040 Fund | 32,827,018 |
State Street Target Retirement 2045 Fund | 20,970,630 |
State Street Target Retirement 2050 Fund | 15,237,616 |
State Street Target Retirement 2055 Fund | 4,795,955 |
State Street Target Retirement 2060 Fund | 398,508 |
Amount | |
State Street Target Retirement Fund | $ 89,968 |
State Street Target Retirement 2020 Fund | 203,940 |
State Street Target Retirement 2025 Fund | 424,416 |
State Street Target Retirement 2030 Fund | 599,214 |
State Street Target Retirement 2035 Fund | 586,683 |
State Street Target Retirement 2040 Fund | 561,108 |
State Street Target Retirement 2045 Fund | 454,025 |
State Street Target Retirement 2050 Fund | 327,206 |
Amount | |
State Street Target Retirement 2055 Fund | $177,596 |
State Street Target Retirement 2060 Fund | 74,223 |
State Street Target Retirement 2065 Fund | 1,902 |
Amount | |
State Street Target Retirement Fund | $ 910,680 |
State Street Target Retirement 2020 Fund | 2,064,325 |
State Street Target Retirement 2025 Fund | 4,296,035 |
State Street Target Retirement 2030 Fund | 6,065,381 |
State Street Target Retirement 2035 Fund | 5,938,536 |
State Street Target Retirement 2040 Fund | 5,679,665 |
State Street Target Retirement 2045 Fund | 4,595,748 |
State Street Target Retirement 2050 Fund | 3,312,055 |
State Street Target Retirement 2055 Fund | 1,797,669 |
State Street Target Retirement 2060 Fund | 751,306 |
State Street Target Retirement 2065 Fund | 19,256 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Funds' trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street China Equity Select Fund |
1 | |
4 | |
6 | |
7 | |
8 | |
9 | |
10 | |
16 | |
17 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street China Equity Select Fund Class K | 49.76% | 43.45% |
MSCI China Index(1) | 29.49% | 30.52% |
* | Inception date is May 29, 2019. |
(1) | The MSCI China Index captures large and mid-cap representation across China H shares, B shares, Red chips, P chips and foreign listings (e.g. ADRs). The index covers about 85% of this China equity universe. Currently, the index also includes Large Cap A shares represented at 5% of their free float adjusted market capitalization. |
% of Net Assets | |||
Common Stocks | 98.3% | ||
Other Assets in Excess of Liabilities | 1.7 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Consumer Discretionary | 38.0% | ||
Communication Services | 22.5 | ||
Financials | 14.2 | ||
Health Care | 9.0 | ||
Consumer Staples | 8.1 | ||
TOTAL | 91.8% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.3% | ||||||
AUTOMOBILES — 2.8% | ||||||
NIO, Inc. ADR (a) | 3,600 | $ 175,464 | ||||
XPeng, Inc. ADR (a) | 1,200 | 51,396 | ||||
226,860 | ||||||
BANKS — 5.8% | ||||||
China Construction Bank Corp. Class H | 216,000 | 164,079 | ||||
China Merchants Bank Co., Ltd. Class H | 47,600 | 300,805 | ||||
464,884 | ||||||
BEVERAGES — 7.0% | ||||||
Kweichow Moutai Co., Ltd. Class A | 900 | 276,789 | ||||
Wuliangye Yibin Co., Ltd. Class A | 6,400 | 287,508 | ||||
564,297 | ||||||
BIOTECHNOLOGY — 1.0% | ||||||
BeiGene, Ltd. ADR (a) | 300 | 77,517 | ||||
CAPITAL MARKETS — 1.9% | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 2,800 | 153,472 | ||||
DIVERSIFIED CONSUMER SERVICES — 2.2% | ||||||
GSX Techedu, Inc. ADR (a) | 800 | 41,368 | ||||
TAL Education Group ADR (a) | 1,942 | 138,872 | ||||
180,240 | ||||||
ENTERTAINMENT — 4.2% | ||||||
NetEase, Inc. ADR | 2,800 | 268,156 | ||||
NetEase, Inc. | 3,700 | 70,432 | ||||
338,588 | ||||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.6% | ||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 2,000 | 131,144 | ||||
HOUSEHOLD DURABLES — 3.2% | ||||||
Gree Electric Appliances, Inc. of Zhuhai Class A | 11,300 | 107,736 | ||||
Midea Group Co., Ltd. Class A | 9,600 | 145,463 | ||||
253,199 | ||||||
HOUSEHOLD PRODUCTS — 1.1% | ||||||
Blue Moon Group Holdings, Ltd. (a) (b) | 44,900 | 88,366 | ||||
INSURANCE — 6.5% | ||||||
AIA Group, Ltd. | 15,800 | 193,581 | ||||
Ping An Insurance Group Co. of China, Ltd. Class H | 26,600 | 325,903 | ||||
519,484 | ||||||
INTERACTIVE MEDIA & SERVICES — 18.3% | ||||||
Baidu, Inc. ADR (a) | 850 | 183,804 | ||||
Tencent Holdings, Ltd. | 17,700 | 1,287,464 | ||||
1,471,268 |
Security Description | Shares | Value | ||||
INTERNET & DIRECT MARKETING RETAIL — 25.9% | ||||||
Alibaba Group Holding, Ltd. ADR (a) | 4,683 | $ 1,089,875 | ||||
JD.com, Inc. ADR (a) | 6,877 | 604,488 | ||||
Meituan Class B (a) | 10,200 | 387,539 | ||||
2,081,902 | ||||||
LIFE SCIENCES TOOLS & SERVICES — 5.5% | ||||||
Hangzhou Tigermed Consulting Co., Ltd. Class H (a) (b) | 1,600 | 37,040 | ||||
Pharmaron Beijing Co., Ltd. Class H (b) | 7,300 | 123,332 | ||||
WuXi AppTec Co., Ltd. Class H (b) | 5,260 | 102,977 | ||||
Wuxi Biologics Cayman, Inc. (a) (b) | 13,500 | 178,982 | ||||
442,331 | ||||||
PHARMACEUTICALS — 0.9% | ||||||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 4,300 | 73,773 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 2.2% | ||||||
Longfor Group Holdings, Ltd. (b) | 30,000 | 175,655 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.8% | ||||||
SG Micro Corp. Class A | 1,500 | 60,908 | ||||
SOFTWARE — 1.4% | ||||||
Venustech Group, Inc. Class A | 24,600 | 110,606 | ||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 2.2% | ||||||
Xiaomi Corp. Class B (a) (b) | 41,400 | 177,264 | ||||
TEXTILES, APPAREL & LUXURY GOODS — 3.8% | ||||||
ANTA Sports Products, Ltd. | 16,000 | 253,603 | ||||
Shenzhou International Group Holdings, Ltd. | 2,800 | 54,889 | ||||
308,492 | ||||||
TOTAL COMMON STOCKS (Cost $5,102,803) | 7,900,250 | |||||
TOTAL INVESTMENTS — 98.3% (Cost $5,102,803) | 7,900,250 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.7% | 133,331 | |||||
NET ASSETS — 100.0% | $ 8,033,581 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 11.0% of net assets as of December 31, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
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 | $7,900,250 | $— | $— | $7,900,250 | ||||
TOTAL INVESTMENTS | $7,900,250 | $— | $— | $7,900,250 |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 146 | $146 | $2,120,263 | $2,120,409 | $— | $— | — | $— | $547 |
ASSETS | |
Investments in unaffiliated issuers, at value | $7,900,250 |
Foreign currency, at value | 115,597 |
Receivable for investments sold | 380,550 |
Dividends receivable — unaffiliated issuers | 1,835 |
Dividends receivable — affiliated issuers | 8 |
Receivable from Adviser | 4,965 |
Prepaid expenses and other assets | 10 |
TOTAL ASSETS | 8,403,215 |
LIABILITIES | |
Due to custodian | 299,327 |
Advisory fee payable | 6,495 |
Custodian fees payable | 8,901 |
Administration fees payable | 361 |
Transfer agent fees payable | 62 |
Registration and filing fees payable | 305 |
Professional fees payable | 36,122 |
Printing and postage fees payable | 17,772 |
Accrued expenses and other liabilities | 289 |
TOTAL LIABILITIES | 369,634 |
NET ASSETS | $8,033,581 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $4,999,727 |
Total distributable earnings (loss) | 3,033,854 |
NET ASSETS | $8,033,581 |
Class K | |
Net Assets | $8,033,581 |
Shares Outstanding | 500,000 |
Net asset value, offering and redemption price per share | $ 16.07 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $5,102,803 |
Foreign currency, at cost | $ 114,670 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | 80,867 |
Dividend income — affiliated issuers | 547 |
Foreign taxes withheld | (5,920) |
TOTAL INVESTMENT INCOME (LOSS) | 75,494 |
EXPENSES | |
Advisory fee | 62,991 |
Administration fees | 3,500 |
Custodian fees | 51,341 |
Trustees’ fees and expenses | 21,055 |
Transfer agent fees | 744 |
Registration and filing fees | 3,306 |
Professional fees and expenses | 33,501 |
Printing and postage fees | 41,136 |
Insurance expense | 26 |
Miscellaneous expenses | 1,183 |
TOTAL EXPENSES | 218,783 |
Expenses waived/reimbursed by the Adviser | (155,792) |
NET EXPENSES | 62,991 |
NET INVESTMENT INCOME (LOSS) | $ 12,503 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 979,634 |
Foreign currency transactions | 10,040 |
Net realized gain (loss) | 989,674 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 1,901,542 |
Foreign currency translations | (91) |
Net change in unrealized appreciation/depreciation | 1,901,451 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 2,891,125 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $2,903,628 |
Year Ended 12/31/20 | For the Period 5/29/19*- 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 12,503 | $ 42,241 | |
Net realized gain (loss) | 989,674 | (3,111) | |
Net change in unrealized appreciation/depreciation | 1,901,451 | 896,973 | |
Net increase (decrease) in net assets resulting from operations | 2,903,628 | 936,103 | |
Distributions to shareholders | (765,600) | (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 | 2,138,028 | 5,895,553 | |
Net assets at beginning of period | 5,895,553 | — | |
NET ASSETS AT END OF PERIOD | $8,033,581 | $5,895,553 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | — | 500,000 | |
Net increase (decrease) from share transactions | — | 500,000 |
* | Inception date. |
Class K | |||
Year Ended 12/31/20 | 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) | 5.78 | 1.78 | |
Total from investment operations | 5.81 | 1.87 | |
Distributions to shareholders from: | |||
Net investment income | (0.04) | (0.08) | |
Net realized gains | (1.49) | — | |
Total distributions | (1.53) | (0.08) | |
Net asset value, end of period | $16.07 | $ 11.79 | |
Total return (b) | 49.76% | 18.71% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $8,034 | $5,896 | |
Ratios to average net assets: | |||
Total expenses | 3.13% | 5.35%(c) | |
Net expenses | 0.90% | 0.90%(c) | |
Net investment income (loss) | 0.18% | 1.32%(c) | |
Portfolio turnover rate | 53% | 18%(d) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street China Equity Select Fund | Class K | May 30, 2019 | Non-Diversified |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street China Equity Select Fund | 1 | 100.00% |
Purchases | Sales | ||
State Street China Equity Select Fund | $3,542,642 | $4,327,338 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street China Equity Select Fund | $450,050 | $315,550 | $765,600 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street China Equity Select Fund | $ 40,550 | $ — | $ 40,550 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street China Equity Select Fund | $42,465 | $— | $193,687 | $2,797,702 | $3,033,854 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street China Equity Select Fund | $5,103,525 | $2,834,420 | $36,718 | $2,797,702 |
February 26, 2021
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% | $1,297.30 | $5.20 | $1,020.60 | $4.57 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Amount | |
State Street China Equity Select Fund | $315,550 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Hedged International Developed Equity Index Fund |
1 | |
3 | |
4 | |
9 | |
10 | |
11 | |
12 | |
13 | |
22 | |
23 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Average Annual Total Return Five Years Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street Hedged International Developed Equity Index Fund Class K | 2.45% | 7.58% | 4.96% |
MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index(1) | 2.50% | 7.60% | 5.28% |
* | Inception date is May 29, 2015. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI EAFE Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 21 developed markets countries and its local performance is calculated in 13 different currencies, including the Euro. |
% of Net Assets | |||
Mutual Funds and Exchange Traded Products | 99.2% | ||
Short-Term Investment | 3.2 | ||
Liabilities in Excess of Other Assets | (2.4) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.2% | ||||||
UNITED STATES — 99.2% | ||||||
State Street International Developed Equity Portfolio, (a) (Cost: $2,885,662,038) | $ 3,655,808,068 | |||||
SHORT-TERM INVESTMENT — 3.2% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (b)(c) (Cost $115,897,903) | 115,888,798 | 115,911,975 | ||||
TOTAL INVESTMENTS — 102.4% (Cost $3,001,559,941) | 3,771,720,043 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)% | (87,510,937) | |||||
NET ASSETS — 100.0% | $ 3,684,209,106 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2020. |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank Of America, N.A. | USD 3,409,597 | CHF 3,030,000 | 01/05/2021 | $ 18,198 | ||||
Bank Of America, N.A. | USD 3,935,178 | JPY 410,382,000 | 01/05/2021 | 39,659 | ||||
Bank Of America, N.A. | JPY 289,543,000 | USD 2,804,489 | 01/05/2021 | 62 | ||||
Bank Of America, N.A. | SEK 3,656,000 | USD 441,484 | 01/05/2021 | (3,689) | ||||
Bank of Montreal | USD 966,825 | CHF 856,000 | 01/05/2021 | 1,556 | ||||
Bank of Montreal | USD 3,087,292 | EUR 2,548,000 | 01/05/2021 | 30,313 | ||||
Bank of Montreal | USD 607,436,484 | EUR 496,454,157 | 01/05/2021 | (45) | ||||
Bank of Montreal | USD 1,327,136 | GBP 993,000 | 01/05/2021 | 30,245 | ||||
Bank of Montreal | USD 264,565,344 | GBP 193,544,273 | 01/05/2021 | (125) | ||||
Bank of Montreal | USD 2,422,657 | JPY 252,131,000 | 01/05/2021 | 19,408 | ||||
Bank of Montreal | HKD 85,520,000 | USD 11,032,118 | 01/05/2021 | 2,759 | ||||
Bank of Montreal | JPY 7,907,444,000 | USD 75,892,204 | 01/05/2021 | (696,919) | ||||
Bank of Montreal | JPY 46,031,245,305 | USD 441,792,511 | 01/05/2021 | (4,052,279) | ||||
Bank of Montreal | EUR 496,454,157 | USD 607,819,746 | 02/02/2021 | (30,590) | ||||
Bank of Montreal | GBP 193,544,273 | USD 264,616,730 | 02/02/2021 | (6,793) | ||||
Barclays Bank PLC | USD 710,498 | AUD 939,000 | 01/05/2021 | 14,081 | ||||
Barclays Bank PLC | USD 2,549,759 | JPY 264,151,000 | 01/05/2021 | 8,728 | ||||
Barclays Bank PLC | SEK 973,594,531 | USD 113,974,015 | 01/05/2021 | (4,575,587) | ||||
Barclays Bank PLC | NOK 175,934,520 | USD 19,869,616 | 01/05/2021 | (678,801) | ||||
Barclays Bank PLC | DKK 537,680,566 | USD 86,500,491 | 01/05/2021 | (1,882,934) | ||||
Barclays Bank PLC | AUD 325,799,050 | USD 240,147,131 | 01/05/2021 | (11,255,767) | ||||
Barclays Bank PLC | NZD 16,232,581 | USD 11,408,745 | 01/05/2021 | (278,712) | ||||
Barclays Bank PLC | ILS 34,970,174 | USD 10,582,544 | 01/05/2021 | (308,877) | ||||
Barclays Bank PLC | HKD 817,376,035 | USD 105,437,945 | 01/05/2021 | 22,437 | ||||
Barclays Bank PLC | CHF 308,000,571 | USD 340,694,275 | 01/05/2021 | (7,742,368) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Barclays Bank PLC | SGD 48,550,299 | USD 36,239,004 | 01/05/2021 | $ (495,608) | ||||
BNP Paribas S.A. | JPY 335,486,000 | USD 3,240,221 | 01/05/2021 | (9,195) | ||||
Citibank N.A. | USD 3,253,376 | EUR 2,670,000 | 01/05/2021 | 13,502 | ||||
Citibank N.A. | USD 1,404,859 | GBP 1,041,000 | 01/05/2021 | 18,135 | ||||
Citibank N.A. | USD 478,089 | HKD 3,706,000 | 01/05/2021 | (133) | ||||
Citibank N.A. | USD 475,657,081 | JPY 49,109,215,305 | 01/05/2021 | — | ||||
Citibank N.A. | JPY 49,109,215,305 | USD 475,804,553 | 02/02/2021 | (15,473) | ||||
Goldman Sachs Bank USA | USD 868,994 | DKK 5,312,000 | 01/05/2021 | 4,187 | ||||
Goldman Sachs Bank USA | GBP 1,141,000 | USD 1,537,410 | 01/05/2021 | (22,279) | ||||
HSBC Bank USA | USD 607,436,484 | EUR 496,454,157 | 01/05/2021 | (45) | ||||
HSBC Bank USA | USD 264,565,345 | GBP 193,544,274 | 01/05/2021 | (125) | ||||
HSBC Bank USA | USD 376,177 | SGD 503,000 | 01/05/2021 | 4,407 | ||||
HSBC Bank USA | GBP 167,021,273 | USD 223,115,368 | 01/05/2021 | (5,194,253) | ||||
HSBC Bank USA | EUR 441,241,157 | USD 528,418,055 | 01/05/2021 | (11,462,523) | ||||
HSBC Bank USA | EUR 3,391,000 | USD 4,135,791 | 01/05/2021 | (13,267) | ||||
HSBC Bank USA | EUR 496,454,157 | USD 607,833,647 | 02/02/2021 | (16,689) | ||||
HSBC Bank USA | GBP 193,544,274 | USD 264,621,473 | 02/02/2021 | (2,051) | ||||
JP Morgan Chase Bank, N.A. | USD 1,282,044 | GBP 941,000 | 01/05/2021 | 4,256 | ||||
JP Morgan Chase Bank, N.A. | USD 1,555,715 | CHF 1,374,000 | 02/02/2021 | 42 | ||||
JP Morgan Chase Bank, N.A. | USD 1,130,748 | NOK 9,682,000 | 02/02/2021 | 44 | ||||
JP Morgan Chase Bank, N.A. | USD 5,749,830 | SEK 47,207,000 | 02/02/2021 | 402 | ||||
JP Morgan Chase Bank, N.A. | DKK 11,107,000 | USD 1,826,695 | 02/02/2021 | (196) | ||||
Morgan Stanley Bank, N.A. | USD 1,085,906 | AUD 1,459,000 | 01/05/2021 | 39,932 | ||||
Morgan Stanley Bank, N.A. | USD 2,162,293 | GBP 1,617,000 | 01/05/2021 | 48,064 | ||||
Morgan Stanley Bank, N.A. | USD 4,921,299 | GBP 3,683,000 | 01/05/2021 | 113,175 | ||||
Morgan Stanley Bank, N.A. | USD 9,019,573 | JPY 934,572,000 | 01/05/2021 | 32,410 | ||||
Morgan Stanley Bank, N.A. | USD 1,222,672 | SEK 10,185,000 | 01/05/2021 | 17,503 | ||||
Morgan Stanley Bank, N.A. | AUD 1,030,000 | USD 782,808 | 01/05/2021 | (11,992) | ||||
Morgan Stanley Bank, N.A. | CHF 938,000 | USD 1,061,276 | 01/05/2021 | 130 | ||||
Royal Bank of Canada | USD 2,502,982 | AUD 3,324,000 | 01/05/2021 | 61,983 | ||||
Royal Bank of Canada | USD 269,625,352 | AUD 349,414,050 | 01/05/2021 | 66 | ||||
Royal Bank of Canada | USD 360,248,398 | CHF 318,441,571 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 92,544,681 | DKK 562,995,566 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 1,471,762 | GBP 1,089,000 | 01/05/2021 | 16,846 | ||||
Royal Bank of Canada | USD 115,269,193 | HKD 893,780,035 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 12,057,485 | ILS 38,714,174 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 22,894,495 | NOK 196,021,520 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 11,687,458 | NZD 16,232,581 | 01/05/2021 | (1) | ||||
Royal Bank of Canada | USD 131,714,331 | SEK 1,081,710,531 | 01/05/2021 | — | ||||
Royal Bank of Canada | USD 40,386,108 | SGD 53,376,299 | 01/05/2021 | — | ||||
Royal Bank of Canada | SEK 115,962,000 | USD 13,576,450 | 01/05/2021 | (543,647) | ||||
Royal Bank of Canada | NOK 20,087,000 | USD 2,268,658 | 01/05/2021 | (77,420) | ||||
Royal Bank of Canada | CHF 16,119,000 | USD 17,829,963 | 01/05/2021 | (405,231) | ||||
Royal Bank of Canada | DKK 30,627,000 | USD 4,927,613 | 01/05/2021 | (106,825) | ||||
Royal Bank of Canada | ILS 3,744,000 | USD 1,133,068 | 01/05/2021 | (32,996) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Royal Bank of Canada | USD 3,910,817 | AUD 5,067,000 | 02/02/2021 | $ 332 | ||||
Royal Bank of Canada | USD 1,613,219 | HKD 12,508,000 | 02/02/2021 | 80 | ||||
Royal Bank of Canada | USD 2,582,321 | JPY 266,519,000 | 02/02/2021 | (14) | ||||
Royal Bank of Canada | USD 1,464,020 | SGD 1,935,000 | 02/02/2021 | 89 | ||||
Royal Bank of Canada | AUD 349,414,050 | USD 269,691,740 | 02/02/2021 | (16,225) | ||||
Royal Bank of Canada | NZD 16,232,581 | USD 11,688,675 | 02/02/2021 | (680) | ||||
Royal Bank of Canada | HKD 893,780,035 | USD 115,278,114 | 02/02/2021 | (2,862) | ||||
Royal Bank of Canada | SEK 1,081,710,531 | USD 131,752,834 | 02/02/2021 | (9,128) | ||||
Royal Bank of Canada | DKK 562,995,566 | USD 92,594,909 | 02/02/2021 | (7,215) | ||||
Royal Bank of Canada | ILS 38,714,174 | USD 12,059,551 | 02/02/2021 | (3,889) | ||||
Royal Bank of Canada | CHF 318,441,571 | USD 360,548,192 | 02/02/2021 | (17,861) | ||||
Royal Bank of Canada | NOK 196,021,520 | USD 22,893,158 | 02/02/2021 | (822) | ||||
Royal Bank of Canada | SGD 53,376,299 | USD 40,385,497 | 02/02/2021 | (1,451) | ||||
Societe Generale | GBP 1,322,000 | USD 1,784,208 | 01/05/2021 | (22,899) | ||||
Standard Chartered Bank | USD 663,828 | AUD 896,000 | 01/05/2021 | 27,571 | ||||
Standard Chartered Bank | USD 647,736 | AUD 849,000 | 01/05/2021 | 7,395 | ||||
Standard Chartered Bank | USD 748,944 | AUD 983,000 | 01/05/2021 | 9,588 | ||||
Standard Chartered Bank | USD 876,298 | CHF 774,000 | 01/05/2021 | (683) | ||||
Standard Chartered Bank | USD 5,010,614 | EUR 4,148,000 | 01/05/2021 | 64,671 | ||||
Standard Chartered Bank | USD 3,424,101 | EUR 2,795,000 | 01/05/2021 | (4,279) | ||||
Standard Chartered Bank | USD 11,501,787 | EUR 9,447,000 | 01/05/2021 | 57,089 | ||||
Standard Chartered Bank | AUD 1,193,000 | USD 903,888 | 01/05/2021 | (16,690) | ||||
Standard Chartered Bank | CHF 1,087,000 | USD 1,224,325 | 01/05/2021 | (5,383) | ||||
Toronto Dominion Bank | USD 919,924 | CHF 817,000 | 01/05/2021 | 4,337 | ||||
Toronto Dominion Bank | USD 1,494,670 | CHF 1,330,000 | 01/05/2021 | 9,940 | ||||
Toronto Dominion Bank | USD 2,677,718 | JPY 276,484,000 | 01/05/2021 | 223 | ||||
Toronto Dominion Bank | EUR 128,130,000 | USD 153,438,750 | 01/05/2021 | (3,334,700) | ||||
Toronto Dominion Bank | GBP 59,947,000 | USD 80,075,824 | 01/05/2021 | (1,868,689) | ||||
Toronto Dominion Bank | JPY 46,031,245,305 | USD 441,788,271 | 01/05/2021 | (4,056,519) | ||||
UBS AG | USD 1,013,807 | CHF 896,000 | 01/05/2021 | (175) | ||||
UBS AG | USD 2,962,473 | EUR 2,414,000 | 01/05/2021 | (8,823) | ||||
UBS AG | USD 1,088,742 | HKD 8,440,000 | 01/05/2021 | (250) | ||||
UBS AG | USD 2,318,204 | JPY 238,813,000 | 01/05/2021 | (5,133) | ||||
UBS AG | USD 526,165 | SEK 4,472,000 | 01/05/2021 | 18,367 | ||||
UBS AG | EUR 2,927,000 | USD 3,588,613 | 01/05/2021 | 7,283 | ||||
UBS AG | SEK 3,155,000 | USD 383,041 | 01/05/2021 | (1,127) | ||||
UBS AG | HKD 3,030,000 | USD 390,826 | 01/05/2021 | 52 | ||||
Westpac Banking Corp. | USD 475,657,081 | JPY 49,109,215,305 | 01/05/2021 | — | ||||
Westpac Banking Corp. | AUD 29,842,000 | USD 21,997,792 | 01/05/2021 | (1,029,793) | ||||
Westpac Banking Corp. | SGD 5,329,000 | USD 3,977,703 | 01/05/2021 | (54,378) | ||||
Westpac Banking Corp. | GBP 167,021,274 | USD 223,113,698 | 01/05/2021 | (5,195,924) | ||||
Westpac Banking Corp. | EUR 441,241,157 | USD 528,421,585 | 01/05/2021 | (11,458,993) | ||||
Westpac Banking Corp. | USD 10,672,781 | EUR 8,717,000 | 02/02/2021 | 171 | ||||
Westpac Banking Corp. | GBP 1,307,000 | USD 1,786,938 | 02/02/2021 | (58) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Westpac Banking Corp. | JPY 49,109,215,305 | USD 475,811,007 | 02/02/2021 | $ (9,019) | ||||
Total | $(76,287,379) | |||||||
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | United States Dollar |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 230 | 03/19/2021 | $24,571,826 | $24,504,200 | $(67,626) |
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 | $3,655,808,068 | $ — | $— | $3,655,808,068 | ||||
Short-Term Investment | 115,911,975 | — | — | 115,911,975 | ||||
TOTAL INVESTMENTS | $3,771,720,043 | $ — | $— | $3,771,720,043 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | 769,718 | — | 769,718 | ||||
Futures Contracts | (67,626) | — | — | (67,626) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ (67,626) | $ 769,718 | $— | $ 702,092 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,771,652,417 | $ 769,718 | $— | $3,772,422,135 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts | — | (77,057,097) | — | (77,057,097) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS | $ — | $(77,057,097) | $— | $ (77,057,097) |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 99,822,414 | $99,832,396 | $582,301,688 | $566,159,966 | $(75,976) | $13,833 | 115,888,798 | $115,911,975 | $— |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $3,655,808,068 |
Investment in affiliated issuers, at value | 115,911,975 |
Total Investments | 3,771,720,043 |
Foreign currency, at value | 63,211 |
Net cash at broker | 6,127,785 |
Receivable for fund shares sold | 5,258,204 |
Unrealized appreciation on forward foreign currency exchange contracts | 769,718 |
Dividends receivable — affiliated issuers | 4,825 |
Receivable from Adviser | 167,350 |
Receivable for foreign taxes recoverable | 201,643 |
Prepaid expenses and other assets | 349,181 |
TOTAL ASSETS | 3,784,661,960 |
LIABILITIES | |
Due to custodian | 20,050,100 |
Payable for fund shares repurchased | 2,444,253 |
Payable to broker – accumulated variation margin on open futures contracts | 67,125 |
Unrealized depreciation on forward foreign currency exchange contracts | 77,057,097 |
Advisory fee payable | 436,690 |
Custodian fees payable | 23,416 |
Administration fees payable | 155,971 |
Transfer agent fees payable | 2,658 |
Registration and filing fees payable | 3,793 |
Professional fees payable | 33,108 |
Printing and postage fees payable | 18,297 |
Accrued expenses and other liabilities | 160,346 |
TOTAL LIABILITIES | 100,452,854 |
NET ASSETS | $3,684,209,106 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,289,831,732 |
Total distributable earnings (loss) | 394,377,374 |
NET ASSETS | $3,684,209,106 |
Class K | |
Net Assets | $3,684,209,106 |
Shares Outstanding | 35,137,415 |
Net asset value, offering and redemption price per share | $ 104.85 |
COST OF INVESTMENTS: | |
Investment in affiliated Portfolio | $2,885,662,038 |
Investment in affiliated issuers | 115,897,903 |
Total cost of investments | $3,001,559,941 |
Foreign currency, at cost | $ 61,787 |
INVESTMENT INCOME | |
Dividend income allocated from affiliated Portfolio | $ 91,245,153 |
Securities Lending income allocated from affiliated Portfolio | 482,721 |
Expenses allocated from affiliated Portfolio | (4,822,321) |
Foreign taxes withheld allocated from affiliated Portfolio | (7,690,583) |
TOTAL INVESTMENT INCOME (LOSS) | 79,214,970 |
EXPENSES | |
Advisory fee | 4,834,264 |
Administration fees | 1,726,523 |
Custodian fees | 177,657 |
Trustees’ fees and expenses | 20,999 |
Transfer agent fees | 17,993 |
Registration and filing fees | 86,483 |
Professional fees and expenses | 42,538 |
Printing and postage fees | 42,021 |
Insurance expense | 15,001 |
Miscellaneous expenses | 755,176 |
TOTAL EXPENSES | 7,718,655 |
Expenses waived/reimbursed by the Adviser | (5,657,221) |
NET EXPENSES | 2,061,434 |
NET INVESTMENT INCOME (LOSS) | $ 77,153,536 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from affiliated Portfolio | (122,073,393) |
Foreign currency transactions allocated from affiliated Portfolio | 1,663,768 |
Futures contracts allocated from affiliated Portfolio | 13,005,715 |
Investments - affiliated issuers | (75,976) |
Forward foreign currency exchange contracts | (169,558,689) |
Foreign currency transactions | (1,209) |
Futures contracts | (7,784,554) |
Net realized gain (loss) | (284,824,338) |
Net change in unrealized appreciation/depreciation on: | |
Investments allocated from affiliated Portfolio | 277,495,154 |
Foreign currency transactions allocated from affiliated Portfolio | 690,066 |
Future contracts allocated from affiliated Portfolio | 674,032 |
Investments - affiliated issuers | 13,833 |
Forward foreign currency exchange contracts | (12,859,145) |
Foreign currency translations | 18,406 |
Futures contracts | (1,116,816) |
Net change in unrealized appreciation/depreciation | 264,915,530 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (19,908,808) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 57,244,728 |
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 77,153,536 | $ 105,727,302 | |
Net realized gain (loss) | (284,824,338) | 109,623,221 | |
Net change in unrealized appreciation/depreciation | 264,915,530 | 526,360,746 | |
Net increase (decrease) in net assets resulting from operations | 57,244,728 | 741,711,269 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class K | (73,489,711) | (186,407,608) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class K | |||
Proceeds from sale of shares sold | 1,036,070,604 | 605,074,489 | |
Reinvestment of distributions | 72,834,788 | 185,888,647 | |
Cost of shares redeemed | (1,181,194,756) | (496,367,578) | |
Net increase (decrease) in net assets from beneficial interest transactions | (72,289,364) | 294,595,558 | |
Net increase (decrease) in net assets during the period | (88,534,347) | 849,899,219 | |
Net assets at beginning of period | 3,772,743,453 | 2,922,844,234 | |
NET ASSETS AT END OF PERIOD | $ 3,684,209,106 | $3,772,743,453 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class K | |||
Shares sold | 11,157,983 | 6,097,166 | |
Reinvestment of distributions | 688,289 | 1,763,649 | |
Shares redeemed | (12,869,024) | (4,939,014) | |
Net increase (decrease) from share transactions | (1,022,752) | 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 | |||||||||
Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a)(b) | |||||
Net asset value, beginning of period | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | $ 90.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (c) | 2.15 | 3.10 | 2.90 | 2.70 | 2.40 | ||||
Net realized and unrealized gain (loss) | 0.53 | 18.60 | (12.60) | 12.70 | 3.40 | ||||
Total from investment operations | 2.68 | 21.70 | (9.70) | 15.40 | 5.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.13) | (3.20) | (5.00) | — | (2.00) | ||||
Net realized gains | — | (2.10) | (1.40) | (3.20) | (2.00) | ||||
Total distributions | (2.13) | (5.30) | (6.40) | (3.20) | (4.00) | ||||
Net asset value, end of period | $ 104.85 | $ 104.30 | $ 87.90 | $ 104.00 | $ 91.80 | ||||
Total return (d) | 2.45% | 24.82% | (9.25)% | 16.85% | 6.27% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,684,209 | $3,772,743 | $2,922,844 | $2,894,400 | $2,113,394 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses | 0.36% | 0.36% | 0.36% | 0.35% | 0.34% | ||||
Net expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 2.23% | 3.08% | 2.85% | 2.69% | 2.79% | ||||
Portfolio turnover rate (e) | 8% | 3% | 14% | 4% | 1% |
(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) | Portfolio turnover rate is from the corresponding affiliated Portfolio. |
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 | $— | $769,718 | $— | $— | $— | $769,718 |
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 | $— | $77,057,097 | $— | $ — | $— | $77,057,097 | |||||
Futures Contracts | — | — | — | 67,125 | — | 67,125 |
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 | $— | $(169,558,689) | $— | $ — | $— | $(169,558,689) | |||||
Futures Contracts | — | — | — | (7,784,554) | — | (7,784,554) |
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 | $— | $(12,859,145) | $— | $ — | $— | $(12,859,145) | |||||
Futures Contracts | — | — | — | (1,116,816) | — | (1,116,816) |
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 | $ 57,919 | $ (3,689) | $— | $ 54,230 | ||||
Bank of Montreal | 84,281 | (84,281) | — | — | ||||
Barclays Bank PLC | 45,246 | (45,246) | — | — | ||||
Citibank N.A. | 31,637 | (15,606) | — | 16,031 | ||||
Goldman Sachs Capital Markets L.P. | 4,187 | (4,187) | — | — | ||||
HSBC Bank USA | 4,407 | (4,407) | — | — | ||||
JP Morgan Chase Bank, N.A. | 4,744 | (196) | — | 4,548 | ||||
Morgan Stanley Bank, N.A. | 251,214 | (11,992) | — | 239,222 | ||||
Royal Bank of Canada | 79,396 | (79,396) | — | — | ||||
Standard Chartered Bank | 166,314 | (27,035) | — | 139,279 | ||||
Toronto Dominion Bank | 14,500 | (14,500) | — | — | ||||
UBS AG | 25,702 | (15,508) | — | 10,194 | ||||
Westpac Banking Corp. | 171 | (171) | — | — | ||||
$769,718 | $(306,214) | $— | $463,504 |
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 | $ (3,689) | $ 3,689 | $— | $ — | ||||
Bank of Montreal | (4,786,751) | 84,281 | — | (4,702,470) | ||||
Barclays Bank PLC | (27,218,654) | 45,246 | — | (27,173,408) | ||||
BNP Paribas S.A. | (9,195) | — | — | (9,195) | ||||
Citibank N.A. | (15,606) | 15,606 | — | — | ||||
Goldman Sachs Capital Markets L.P. | (22,279) | 4,187 | — | (18,092) | ||||
HSBC Bank USA | (16,688,953) | 4,407 | — | (16,684,546) | ||||
JP Morgan Chase Bank, N.A. | (196) | 196 | — | — | ||||
Morgan Stanley Bank, N.A. | (11,992) | 11,992 | — | — | ||||
Royal Bank of Canada | (1,226,267) | 79,396 | — | (1,146,871) | ||||
Societe Generale | (22,899) | — | — | (22,899) | ||||
Standard Chartered Bank | (27,035) | 27,035 | — | — | ||||
Toronto Dominion Bank | (9,259,908) | 14,500 | — | (9,245,408) | ||||
UBS AG | (15,508) | 15,508 | — | — |
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 | ||||
Westpac Banking Corp. | $(17,748,165) | $ 171 | $— | (17,747,994) | ||||
$(77,057,097) | $306,214 | $— | $(76,750,883) |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $73,489,711 | $— | $73,489,711 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Hedged International Developed Equity Index Fund | $ 151,901,213 | $ 34,506,395 | $ 186,407,608 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street Hedged International Developed Equity Index Fund | $9,058,033 | $(307,294,654) | $— | $692,613,995 | $394,377,374 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Hedged International Developed Equity Index Fund | $84,895,326 | $222,399,328 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Hedged International Developed Equity Index Fund | $3,003,016,354 | $694,163,028 | $— | $694,163,028 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Hedged International Developed Equity Index Fund | |||||||||
Class K | 0.20% | $1,129.20 | $1.07 | $1,024.10 | $1.02 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Amount | |
State Street Hedged International Developed Equity Index Fund | $5,435,791 |
Amount | |
State Street Hedged International Developed Equity Index Fund | $91,262,247 |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors. (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp (October 2010 - October 2019). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's trustees and officers and is available, without charge, upon request and by calling 1-800-997-7327. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
PO Box 219737
Kansas City, MO 64121
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street International Developed Equity Index Portfolio |
1 | |
3 | |
4 | |
16 | |
17 | |
18 | |
19 | |
20 | |
27 | |
28 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2020 | Total Return Inception Date* to December 31, 2020 | |
State Street International Developed Equity Index Portfolio | 7.96% | 8.06% |
MSCI EAFE (Europe, Australasia, Far East) Index(1) | 7.82% | 8.04% |
* | Inception date is April 28, 2016. |
(1) | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization index that is designed to capture large and mid-cap securities in developed market countries, excluding the United States and Canada. |
Description | Market Value | % of Net Assets | ||
Nestle SA | 76,544,851 | 2.1% | ||
Roche Holding AG | 55,294,553 | 1.5 | ||
Novartis AG | 47,287,257 | 1.3 | ||
ASML Holding NV | 46,331,721 | 1.3 | ||
LVMH Moet Hennessy Louis Vuitton SE | 39,038,222 | 1.1 | ||
TOTAL | 264,496,604 | 7.3% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.2% | |||||
AUSTRALIA — 7.7% | |||||
Afterpay, Ltd. (a) | 47,262 | $ 4,303,428 | |||
AGL Energy, Ltd. | 150,670 | 1,389,361 | |||
AMP, Ltd. | 717,643 | 863,880 | |||
Ampol, Ltd. | 51,429 | 1,127,853 | |||
APA Group Stapled Security | 266,666 | 1,985,708 | |||
Aristocrat Leisure, Ltd. | 124,478 | 2,977,658 | |||
ASX, Ltd. | 43,582 | 2,421,364 | |||
Aurizon Holdings, Ltd. | 422,789 | 1,272,356 | |||
AusNet Services | 383,490 | 519,340 | |||
Australia & New Zealand Banking Group, Ltd. | 630,052 | 11,036,280 | |||
BHP Group PLC | 477,579 | 12,566,906 | |||
BHP Group, Ltd. | 661,284 | 21,651,177 | |||
BlueScope Steel, Ltd. | 107,733 | 1,453,151 | |||
Brambles, Ltd. | �� | 340,909 | 2,788,462 | ||
CIMIC Group, Ltd. (a)(b) | 24,790 | 466,179 | |||
Coca-Cola Amatil, Ltd. | 124,122 | 1,238,419 | |||
Cochlear, Ltd. | 15,192 | 2,215,630 | |||
Coles Group, Ltd. | 304,255 | 4,258,881 | |||
Commonwealth Bank of Australia | 397,649 | 25,195,119 | |||
Computershare, Ltd. | 102,451 | 1,153,432 | |||
Crown Resorts, Ltd. | 91,949 | 683,272 | |||
CSL, Ltd. | 102,018 | 22,292,555 | |||
Dexus REIT | 242,238 | 1,757,076 | |||
Evolution Mining, Ltd. | 377,056 | 1,451,867 | |||
Fortescue Metals Group, Ltd. | 380,407 | 6,877,669 | |||
Glencore PLC (a) | 2,248,297 | 7,160,808 | |||
Goodman Group REIT | 366,906 | 5,353,858 | |||
GPT Group REIT | 413,810 | 1,436,925 | |||
Insurance Australia Group, Ltd. | 512,434 | 1,858,473 | |||
LendLease Corp., Ltd. Stapled Security | 151,641 | 1,532,881 | |||
Macquarie Group, Ltd. | 76,458 | 8,170,158 | |||
Magellan Financial Group, Ltd. | 27,349 | 1,132,433 | |||
Medibank Pvt, Ltd. | 647,264 | 1,503,379 | |||
Mirvac Group REIT | 845,804 | 1,723,035 | |||
National Australia Bank, Ltd. | 736,197 | 12,838,756 | |||
Newcrest Mining, Ltd. | 187,132 | 3,722,643 | |||
Northern Star Resources, Ltd. | 173,353 | 1,697,514 | |||
Oil Search, Ltd. | 449,817 | 1,287,746 | |||
Orica, Ltd. | 92,163 | 1,077,432 | |||
Origin Energy, Ltd. | 392,018 | 1,439,904 | |||
Qantas Airways, Ltd. (a) | 178,931 | 669,650 | |||
QBE Insurance Group, Ltd. | 313,570 | 2,063,973 | |||
Ramsay Health Care, Ltd. | 42,271 | 2,028,214 | |||
REA Group, Ltd. | 11,311 | 1,299,270 | |||
Rio Tinto PLC | 250,250 | 18,711,725 | |||
Rio Tinto, Ltd. | 82,040 | 7,206,143 | |||
Santos, Ltd. | 383,100 | 1,853,532 | |||
Scentre Group REIT | 1,199,790 | 2,573,775 |
Security Description | Shares | Value | |||
SEEK, Ltd. | 76,262 | $ 1,678,922 | |||
Sonic Healthcare, Ltd. | 101,699 | 2,523,005 | |||
South32, Ltd. | 1,038,863 | 1,980,048 | |||
Stockland REIT | 553,225 | 1,784,426 | |||
Suncorp Group, Ltd. | 284,230 | 2,136,237 | |||
Sydney Airport Stapled Security (a) | 302,380 | 1,495,655 | |||
Tabcorp Holdings, Ltd. | 481,417 | 1,448,794 | |||
Telstra Corp., Ltd. | 964,855 | 2,218,701 | |||
TPG TELECOM, Ltd. (a) | 98,984 | 551,471 | |||
Transurban Group Stapled Security | 607,362 | 6,402,046 | |||
Treasury Wine Estates, Ltd. | 147,841 | 1,072,366 | |||
Vicinity Centres REIT | 796,496 | 986,459 | |||
Washington H Soul Pattinson & Co., Ltd. | 28,102 | 652,499 | |||
Wesfarmers, Ltd. | 256,073 | 9,958,979 | |||
Westpac Banking Corp. | 802,643 | 11,996,996 | |||
WiseTech Global, Ltd. | 35,073 | 832,221 | |||
Woodside Petroleum, Ltd. | 215,480 | 3,781,098 | |||
Woolworths Group, Ltd. | 286,016 | 8,675,886 | |||
282,465,059 | |||||
AUSTRIA — 0.2% | |||||
Erste Group Bank AG | 65,346 | 1,994,055 | |||
OMV AG | 34,411 | 1,389,418 | |||
Raiffeisen Bank International AG (a) | 34,387 | 701,798 | |||
Verbund AG | 15,343 | 1,311,289 | |||
Voestalpine AG | 26,238 | 940,632 | |||
6,337,192 | |||||
BELGIUM — 0.9% | |||||
Ageas SA/NV | 38,086 | 2,030,833 | |||
Anheuser-Busch InBev SA | 173,208 | 12,082,051 | |||
Elia Group SA | 6,832 | 815,031 | |||
Etablissements Franz Colruyt NV | 12,414 | 736,218 | |||
Galapagos NV (a) | 9,816 | 966,594 | |||
Groupe Bruxelles Lambert SA | 25,073 | 2,531,554 | |||
KBC Group NV (a) | 56,404 | 3,953,071 | |||
Proximus SADP | 40,640 | 806,044 | |||
Sofina SA | 3,463 | 1,173,692 | |||
Solvay SA | 17,518 | 2,076,540 | |||
UCB SA | 27,486 | 2,841,104 | |||
Umicore SA | 46,251 | 2,223,437 | |||
32,236,169 | |||||
BRAZIL — 0.0% | |||||
Yara International ASA | 40,982 | 1,704,003 | |||
CHILE — 0.0% (c) | |||||
Antofagasta PLC | 83,473 | 1,643,659 | |||
CHINA — 0.5% | |||||
BOC Hong Kong Holdings, Ltd. | 842,500 | 2,553,409 |
Security Description | Shares | Value | |||
Budweiser Brewing Co. APAC, Ltd. (d) | 393,700 | $ 1,299,834 | |||
ESR Cayman, Ltd. (a)(d) | 387,200 | 1,388,234 | |||
Prosus NV | 108,318 | 11,710,570 | |||
Wilmar International, Ltd. | 440,800 | 1,550,880 | |||
18,502,927 | |||||
DENMARK — 2.5% | |||||
Ambu A/S Class B (b) | 37,433 | 1,619,523 | |||
AP Moller - Maersk A/S Class A | 700 | 1,455,577 | |||
AP Moller - Maersk A/S Class B | 1,358 | 3,034,768 | |||
Carlsberg AS Class B | 23,330 | 3,739,856 | |||
Chr. Hansen Holding A/S (a) | 24,085 | 2,479,961 | |||
Coloplast A/S Class B | 27,539 | 4,208,146 | |||
Danske Bank A/S (a) | 149,220 | 2,468,808 | |||
Demant A/S (a) | 23,412 | 925,935 | |||
DSV Panalpina A/S | 46,802 | 7,847,134 | |||
Genmab A/S (a) | 14,725 | 5,961,646 | |||
GN Store Nord A/S | 29,936 | 2,397,439 | |||
H Lundbeck A/S | 14,575 | 500,248 | |||
Novo Nordisk A/S Class B | 386,825 | 27,128,937 | |||
Novozymes A/S Class B | 45,083 | 2,590,040 | |||
Orsted A/S (d) | 43,168 | 8,823,771 | |||
Pandora A/S | 22,173 | 2,482,093 | |||
Rockwool International A/S Class B | 1,854 | 694,240 | |||
Tryg A/S (b) | 34,769 | 1,097,908 | |||
Vestas Wind Systems A/S | 44,649 | 10,565,009 | |||
90,021,039 | |||||
FINLAND — 1.2% | |||||
Elisa Oyj | 34,231 | 1,879,305 | |||
Fortum Oyj | 102,132 | 2,461,783 | |||
Kesko Oyj Class B | 62,859 | 1,618,210 | |||
Kone Oyj Class B | 75,357 | 6,127,815 | |||
Neste Oyj | 97,043 | 7,024,478 | |||
Nokia Oyj (a) | 1,270,136 | 4,896,890 | |||
Nordea Bank Abp (a) | 732,904 | 5,998,844 | |||
Orion Oyj Class B | 23,073 | 1,059,508 | |||
Sampo Oyj Class A | 106,567 | 4,507,584 | |||
Stora Enso Oyj Class R | 132,563 | 2,537,579 | |||
UPM-Kymmene Oyj | 121,370 | 4,524,864 | |||
Wartsila OYJ Abp | 95,439 | 951,711 | |||
43,588,571 | |||||
FRANCE — 10.4% | |||||
Accor SA (a) | 42,276 | 1,531,113 | |||
Adevinta ASA (a) | 47,690 | 802,079 | |||
Aeroports de Paris (a) | 5,916 | 768,007 | |||
Air Liquide SA | 106,167 | 17,439,159 | |||
Airbus SE (a) | 130,953 | 14,385,228 | |||
Alstom SA (a) | 57,713 | 3,291,353 | |||
Amundi SA (a)(d) | 13,764 | 1,124,975 | |||
Arkema SA | 16,060 | 1,837,295 | |||
Atos SE (a) | 23,181 | 2,120,993 |
Security Description | Shares | Value | |||
AXA SA | 431,941 | $ 10,312,119 | |||
BioMerieux | 8,992 | 1,269,649 | |||
BNP Paribas SA (a) | 254,514 | 13,423,353 | |||
Bollore SA | 188,302 | 779,202 | |||
Bouygues SA | 50,447 | 2,077,027 | |||
Bureau Veritas SA (a) | 64,040 | 1,705,030 | |||
Capgemini SE | 35,592 | 5,521,961 | |||
Carrefour SA | 135,532 | 2,326,597 | |||
Cie de Saint-Gobain (a) | 118,530 | 5,438,526 | |||
Cie Generale des Etablissements Michelin SCA | 38,792 | 4,981,341 | |||
CNP Assurances (a) | 32,643 | 526,414 | |||
Covivio REIT | 11,839 | 1,091,491 | |||
Credit Agricole SA (a) | 263,491 | 3,327,110 | |||
Danone SA | 140,446 | 9,238,263 | |||
Dassault Aviation SA (a) | 605 | 664,002 | |||
Dassault Systemes SE | 29,110 | 5,917,854 | |||
Edenred | 53,791 | 3,054,519 | |||
Eiffage SA (a) | 20,205 | 1,954,013 | |||
Electricite de France SA (a) | 144,832 | 2,285,112 | |||
Engie SA (a) | 416,383 | 6,378,507 | |||
EssilorLuxottica SA | 63,489 | 9,908,334 | |||
Eurazeo SE (a) | 7,897 | 536,262 | |||
Faurecia SE (a) | 19,469 | 998,350 | |||
Gecina SA REIT | 9,903 | 1,530,354 | |||
Getlink SE (a) | 95,283 | 1,653,154 | |||
Hermes International | 7,043 | 7,579,920 | |||
Iliad SA | 3,166 | 651,179 | |||
Ipsen SA | 9,549 | 793,322 | |||
Kering SA | 17,120 | 12,451,001 | |||
Klepierre SA REIT | 44,201 | 994,570 | |||
La Francaise des Jeux SAEM (d) | 18,485 | 846,114 | |||
Legrand SA | 59,995 | 5,358,702 | |||
L'Oreal SA | 56,488 | 21,481,218 | |||
LVMH Moet Hennessy Louis Vuitton SE | 62,450 | 39,038,222 | |||
Natixis SA (a) | 221,885 | 757,178 | |||
Orange SA | 454,223 | 5,409,812 | |||
Orpea SA (a) | 12,027 | 1,582,667 | |||
Pernod Ricard SA | 46,446 | 8,910,787 | |||
Peugeot SA (a) | 132,282 | 3,620,666 | |||
Publicis Groupe SA | 47,631 | 2,375,448 | |||
Remy Cointreau SA | 4,727 | 880,861 | |||
Renault SA (a) | 41,712 | 1,825,073 | |||
Safran SA (a) | 71,530 | 10,148,005 | |||
Sanofi | 254,491 | 24,505,798 | |||
Sartorius Stedim Biotech | 6,218 | 2,215,459 | |||
Schneider Electric SE | 120,103 | 17,384,423 | |||
SCOR SE (a) | 33,341 | 1,077,787 | |||
SEB SA | 4,983 | 908,445 | |||
Societe Generale SA (a) | 177,778 | 3,702,630 | |||
Sodexo SA | 20,638 | 1,747,917 | |||
Suez SA | 75,713 | 1,502,599 | |||
Teleperformance | 13,084 | 4,343,222 |
Security Description | Shares | Value | |||
Thales SA | 23,415 | $ 2,145,842 | |||
TOTAL SE | 566,150 | 24,452,761 | |||
Ubisoft Entertainment SA (a) | 19,445 | 1,875,756 | |||
Unibail-Rodamco-Westfield REIT (b) | 30,212 | 2,387,257 | |||
Valeo SA | 53,270 | 2,103,962 | |||
Veolia Environnement SA | 120,108 | 2,940,632 | |||
Vinci SA | 115,700 | 11,517,706 | |||
Vivendi SA | 189,349 | 6,111,664 | |||
Wendel SE | 5,133 | 615,173 | |||
Worldline SA (a)(d) | 52,595 | 5,090,291 | |||
381,532,815 | |||||
GERMANY — 9.1% | |||||
Adidas AG (a) | 42,649 | 15,545,369 | |||
Allianz SE | 93,671 | 23,002,457 | |||
Aroundtown SA | 214,113 | 1,603,305 | |||
BASF SE | 205,843 | 16,300,326 | |||
Bayer AG | 219,842 | 12,953,101 | |||
Bayerische Motoren Werke AG | 73,517 | 6,497,213 | |||
Bayerische Motoren Werke AG Preference Shares | 12,415 | 838,509 | |||
Bechtle AG | 6,283 | 1,371,461 | |||
Beiersdorf AG | 22,225 | 2,568,144 | |||
Brenntag AG | 35,766 | 2,771,853 | |||
Carl Zeiss Meditec AG | 8,478 | 1,129,648 | |||
Commerzbank AG (a) | 228,232 | 1,470,548 | |||
Continental AG | 25,118 | 3,726,392 | |||
Covestro AG (d) | 39,692 | 2,451,568 | |||
Daimler AG | 193,677 | 13,694,697 | |||
Delivery Hero SE (a)(d) | 28,895 | 4,490,018 | |||
Deutsche Bank AG (a) | 448,939 | 4,915,679 | |||
Deutsche Boerse AG | 43,060 | 7,336,534 | |||
Deutsche Lufthansa AG (a) | 64,206 | 849,618 | |||
Deutsche Post AG | 223,432 | 11,071,898 | |||
Deutsche Telekom AG | 746,102 | 13,652,315 | |||
Deutsche Wohnen SE | 78,026 | 4,171,028 | |||
E.ON SE | 509,982 | 5,655,831 | |||
Evonik Industries AG | 48,315 | 1,577,210 | |||
Fresenius Medical Care AG & Co. KGaA | 48,583 | 4,054,062 | |||
Fresenius SE & Co. KGaA | 92,062 | 4,262,390 | |||
Fuchs Petrolub SE Preference Shares | 15,262 | 867,212 | |||
GEA Group AG | 34,919 | 1,250,992 | |||
Hannover Rueck SE | 14,012 | 2,233,913 | |||
HeidelbergCement AG | 33,201 | 2,486,945 | |||
HelloFresh SE (a) | 34,012 | 2,630,092 | |||
Henkel AG & Co. KGaA Preference Shares | 39,237 | 4,431,178 | |||
Henkel AG & Co. KGaA | 23,494 | 2,266,629 | |||
HOCHTIEF AG | 6,344 | 617,483 | |||
Infineon Technologies AG | 291,774 | 11,206,232 | |||
KION Group AG | 13,825 | 1,203,713 | |||
Knorr-Bremse AG | 17,109 | 2,337,877 | |||
LANXESS AG | 20,021 | 1,537,412 |
Security Description | Shares | Value | |||
LEG Immobilien AG | 16,849 | $ 2,619,417 | |||
Merck KGaA | 29,082 | 4,994,113 | |||
MTU Aero Engines AG | 12,036 | 3,142,666 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 31,853 | 9,462,823 | |||
Nemetschek SE | 13,024 | 962,505 | |||
Porsche Automobil Holding SE Preference Shares | 34,064 | 2,350,696 | |||
Puma SE (a) | 22,562 | 2,547,457 | |||
Rational AG | 1,178 | 1,097,582 | |||
RWE AG | 147,597 | 6,243,076 | |||
SAP SE | 234,722 | 30,792,950 | |||
Sartorius AG Preference Shares | 8,092 | 3,401,972 | |||
Scout24 AG (d) | 25,456 | 2,088,385 | |||
Siemens AG | 171,830 | 24,707,708 | |||
Siemens Energy AG (a) | 90,243 | 3,312,504 | |||
Siemens Healthineers AG (d) | 58,540 | 3,006,885 | |||
Symrise AG | 28,935 | 3,837,730 | |||
TeamViewer AG (a)(d) | 30,298 | 1,624,827 | |||
Telefonica Deutschland Holding AG | 255,715 | 705,545 | |||
Uniper SE | 42,784 | 1,478,318 | |||
United Internet AG | 23,175 | 976,289 | |||
Volkswagen AG | 6,792 | 1,413,591 | |||
Volkswagen AG Preference Shares | 41,297 | 7,701,621 | |||
Vonovia SE | 118,913 | 8,694,840 | |||
Zalando SE (a)(d) | 33,849 | 3,771,336 | |||
331,965,688 | |||||
HONG KONG — 2.7% | |||||
AIA Group, Ltd. | 2,718,200 | 33,303,327 | |||
ASM Pacific Technology, Ltd. | 61,200 | 807,439 | |||
Bank of East Asia, Ltd. | 247,439 | 528,459 | |||
CK Asset Holdings, Ltd. | 562,679 | 2,888,194 | |||
CK Infrastructure Holdings, Ltd. | 153,000 | 821,843 | |||
CLP Holdings, Ltd. | 359,000 | 3,319,680 | |||
Hang Lung Properties, Ltd. | 474,000 | 1,250,127 | |||
Hang Seng Bank, Ltd. | 175,100 | 3,019,258 | |||
Henderson Land Development Co., Ltd. | 323,436 | 1,261,817 | |||
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security | 586,990 | 577,614 | |||
HKT Trust & HKT, Ltd. Stapled Security | 774,000 | 1,004,203 | |||
Hong Kong & China Gas Co., Ltd. | 2,425,424 | 3,622,254 | |||
Hong Kong Exchanges & Clearing, Ltd. | 269,630 | 14,778,820 | |||
Hongkong Land Holdings, Ltd. | 254,100 | 1,049,433 | |||
Jardine Matheson Holdings, Ltd. | 49,900 | 2,794,400 |
Security Description | Shares | Value | |||
Jardine Strategic Holdings, Ltd. | 47,600 | $ 1,184,288 | |||
Link REIT | 485,718 | 4,422,537 | |||
Melco Resorts & Entertainment, Ltd. ADR | 43,123 | 799,932 | |||
MTR Corp., Ltd. | 346,101 | 1,934,971 | |||
New World Development Co., Ltd. | 349,269 | 1,626,110 | |||
PCCW, Ltd. | 971,136 | 584,897 | |||
Power Assets Holdings, Ltd. | 316,000 | 1,711,666 | |||
Sino Land Co., Ltd. (b) | 648,759 | 845,060 | |||
Sun Hung Kai Properties, Ltd. | 297,000 | 3,830,355 | |||
Swire Pacific, Ltd. Class A | 113,500 | 629,429 | |||
Swire Properties, Ltd. | 280,600 | 816,050 | |||
Techtronic Industries Co., Ltd. | 302,000 | 4,307,692 | |||
WH Group, Ltd. (d) | 2,056,809 | 1,724,209 | |||
Wharf Real Estate Investment Co., Ltd. | 356,000 | 1,852,577 | |||
Xinyi Glass Holdings, Ltd. | 418,000 | 1,167,123 | |||
98,463,764 | |||||
IRELAND — 0.7% | |||||
CRH PLC | 179,063 | 7,453,527 | |||
Flutter Entertainment PLC (a) | 35,500 | 7,249,472 | |||
Kerry Group PLC Class A | 36,348 | 5,270,121 | |||
Kingspan Group PLC (a) | 33,279 | 2,337,243 | |||
Smurfit Kappa Group PLC | 56,403 | 2,625,212 | |||
24,935,575 | |||||
ISRAEL — 0.6% | |||||
Azrieli Group, Ltd. | 7,846 | 498,744 | |||
Bank Hapoalim BM (a) | 243,316 | 1,666,413 | |||
Bank Leumi Le-Israel BM | 315,202 | 1,855,400 | |||
Check Point Software Technologies, Ltd. (a) | 25,910 | 3,443,698 | |||
Elbit Systems, Ltd. | 6,111 | 805,271 | |||
ICL Group, Ltd. | 162,743 | 829,225 | |||
Israel Discount Bank, Ltd. Class A | 235,706 | 907,353 | |||
Mizrahi Tefahot Bank, Ltd. | 33,833 | 782,391 | |||
Nice, Ltd. (a) | 14,292 | 4,006,104 | |||
Teva Pharmaceutical Industries, Ltd. ADR (a) | 166,228 | 1,604,100 | |||
Teva Pharmaceutical Industries, Ltd. (a) | 71,135 | 676,833 | |||
Wix.com, Ltd. (a) | 12,700 | 3,174,492 | |||
20,250,024 | |||||
ITALY — 2.0% | |||||
Amplifon SpA (a) | 28,656 | 1,193,512 | |||
Assicurazioni Generali SpA | 250,878 | 4,377,275 | |||
Atlantia SpA (a) | 109,746 | 1,975,926 | |||
Davide Campari-Milano NV | 126,872 | 1,449,888 | |||
DiaSorin SpA | 5,764 | 1,199,637 | |||
Enel SpA | 1,823,781 | 18,467,787 | |||
Eni SpA | 563,571 | 5,894,335 |
Security Description | Shares | Value | |||
Ferrari NV | 28,263 | $ 6,523,742 | |||
FinecoBank Banca Fineco SpA (a) | 135,677 | 2,224,502 | |||
Infrastrutture Wireless Italiane SpA (d) | 77,345 | 939,730 | |||
Intesa Sanpaolo SpA (a) | 3,782,826 | 8,852,424 | |||
Mediobanca Banca di Credito Finanziario SpA (a) | 130,859 | 1,207,248 | |||
Moncler SpA (a) | 45,559 | 2,794,990 | |||
Nexi SpA (a)(d) | 101,136 | 2,021,992 | |||
Poste Italiane SpA (d) | 121,311 | 1,234,938 | |||
Prysmian SpA | 55,227 | 1,965,023 | |||
Recordati Industria Chimica e Farmaceutica SpA | 22,652 | 1,256,360 | |||
Snam SpA | 435,950 | 2,454,204 | |||
Telecom Italia SpA (b)(e) | 1,679,791 | 775,673 | |||
Telecom Italia SpA (e) | 1,172,567 | 608,023 | |||
Terna Rete Elettrica Nazionale SpA | 315,092 | 2,409,567 | |||
UniCredit SpA (a) | 468,004 | 4,379,446 | |||
74,206,222 | |||||
JAPAN — 24.7% | |||||
ABC-Mart, Inc. | 8,800 | 489,244 | |||
Acom Co., Ltd. | 91,400 | 390,405 | |||
Advantest Corp. | 45,000 | 3,369,170 | |||
Aeon Co., Ltd. | 148,100 | 4,855,620 | |||
Aeon Mall Co., Ltd. | 24,100 | 397,290 | |||
AGC, Inc. (b) | 45,000 | 1,569,083 | |||
Air Water, Inc. | 37,200 | 660,805 | |||
Aisin Seiki Co., Ltd. | 37,200 | 1,115,153 | |||
Ajinomoto Co., Inc. | 100,600 | 2,277,616 | |||
Alfresa Holdings Corp. | 45,600 | 834,311 | |||
Amada Co., Ltd. | 65,200 | 715,498 | |||
ANA Holdings, Inc. (a) | 28,500 | 628,549 | |||
Asahi Group Holdings, Ltd. (b) | 102,600 | 4,217,487 | |||
Asahi Intecc Co., Ltd. | 43,800 | 1,597,240 | |||
Asahi Kasei Corp. | 290,100 | 2,962,957 | |||
Astellas Pharma, Inc. | 412,800 | 6,373,221 | |||
Azbil Corp. | 28,400 | 1,551,417 | |||
Bandai Namco Holdings, Inc. | 45,400 | 3,925,037 | |||
Bank of Kyoto, Ltd. (b) | 12,500 | 650,153 | |||
Bridgestone Corp. (b) | 122,200 | 4,005,277 | |||
Brother Industries, Ltd. | 53,900 | 1,109,898 | |||
Calbee, Inc. | 20,900 | 629,561 | |||
Canon, Inc. (b) | 228,400 | 4,375,759 | |||
Capcom Co., Ltd. | 20,300 | 1,317,352 | |||
Casio Computer Co., Ltd. | 41,000 | 748,956 | |||
Central Japan Railway Co. | 31,800 | 4,493,796 | |||
Chiba Bank, Ltd. | 134,000 | 737,198 | |||
Chubu Electric Power Co., Inc. | 152,800 | 1,839,609 | |||
Chugai Pharmaceutical Co., Ltd. | 150,900 | 8,043,031 | |||
Chugoku Electric Power Co., Inc. | 60,000 | 702,601 |
Security Description | Shares | Value | |||
Coca-Cola Bottlers Japan Holdings, Inc. (b) | 29,100 | $ 453,503 | |||
Concordia Financial Group, Ltd. | 213,800 | 751,701 | |||
Cosmos Pharmaceutical Corp. | 3,900 | 630,074 | |||
CyberAgent, Inc. | 22,200 | 1,528,810 | |||
Dai Nippon Printing Co., Ltd. | 58,500 | 1,051,068 | |||
Daifuku Co., Ltd. | 22,600 | 2,793,123 | |||
Dai-ichi Life Holdings, Inc. | 241,500 | 3,630,277 | |||
Daiichi Sankyo Co., Ltd. | 380,600 | 13,031,343 | |||
Daikin Industries, Ltd. | 56,300 | 12,498,387 | |||
Daito Trust Construction Co., Ltd. | 15,100 | 1,409,889 | |||
Daiwa House Industry Co., Ltd. | 128,800 | 3,822,395 | |||
Daiwa House REIT Investment Corp. | 452 | 1,117,249 | |||
Daiwa Securities Group, Inc. | 327,300 | 1,489,961 | |||
Denso Corp. | 98,500 | 5,852,090 | |||
Dentsu Group, Inc. (b) | 47,400 | 1,407,148 | |||
Disco Corp. | 6,400 | 2,154,099 | |||
East Japan Railway Co. | 66,600 | 4,441,290 | |||
Eisai Co., Ltd. | 56,500 | 4,034,268 | |||
ENEOS HoldingS, Inc. | 701,100 | 2,515,254 | |||
FANUC Corp. | 43,700 | 10,734,002 | |||
Fast Retailing Co., Ltd. | 13,200 | 11,822,403 | |||
Fuji Electric Co., Ltd. | 30,600 | 1,101,061 | |||
FUJIFILM Holdings Corp. | 80,200 | 4,224,201 | |||
Fujitsu, Ltd. | 44,100 | 6,366,512 | |||
Fukuoka Financial Group, Inc. | 40,900 | 726,134 | |||
GLP J-REIT | 834 | 1,313,462 | |||
GMO Payment Gateway, Inc. | 9,000 | 1,206,451 | |||
Hakuhodo DY Holdings, Inc. | 55,500 | 760,642 | |||
Hamamatsu Photonics KK | 32,300 | 1,845,804 | |||
Hankyu Hanshin Holdings, Inc. | 50,400 | 1,674,386 | |||
Harmonic Drive Systems, Inc. | 8,900 | 794,789 | |||
Hikari Tsushin, Inc. | 4,800 | 1,124,161 | |||
Hino Motors, Ltd. | 63,000 | 536,365 | |||
Hirose Electric Co., Ltd. | 8,010 | 1,214,165 | |||
Hisamitsu Pharmaceutical Co., Inc. | 13,200 | 783,728 | |||
Hitachi Construction Machinery Co., Ltd. | 24,800 | 703,802 | |||
Hitachi Metals, Ltd. | 41,700 | 632,497 | |||
Hitachi, Ltd. | 219,900 | 8,657,983 | |||
Honda Motor Co., Ltd. | 368,100 | 10,259,167 | |||
Hoshizaki Corp. (b) | 11,500 | 1,054,821 | |||
Hoya Corp. | 85,600 | 11,831,198 | |||
Hulic Co., Ltd. | 65,600 | 719,888 | |||
Ibiden Co., Ltd. | 24,300 | 1,133,270 | |||
Idemitsu Kosan Co., Ltd. | 48,540 | 1,067,226 | |||
Iida Group Holdings Co., Ltd. | 35,900 | 724,641 | |||
Inpex Corp. | 226,600 | 1,220,297 | |||
Isuzu Motors, Ltd. | 127,300 | 1,208,330 |
Security Description | Shares | Value | |||
Ito En, Ltd. | 11,600 | $ 733,672 | |||
ITOCHU Corp. | 306,000 | 8,784,774 | |||
Itochu Techno-Solutions Corp. | 22,200 | 792,358 | |||
Japan Airlines Co., Ltd. (a) | 28,300 | 546,840 | |||
Japan Airport Terminal Co., Ltd. | 12,400 | 750,642 | |||
Japan Exchange Group, Inc. | 119,100 | 3,043,109 | |||
Japan Post Bank Co., Ltd. | 94,700 | 776,899 | |||
Japan Post Holdings Co., Ltd. | 354,500 | 2,756,478 | |||
Japan Post Insurance Co., Ltd. | 55,100 | 1,127,136 | |||
Japan Real Estate Investment Corp. REIT | 281 | 1,622,122 | |||
Japan Retail Fund Investment Corp. REIT | 633 | 1,150,185 | |||
Japan Tobacco, Inc. (b) | 273,500 | 5,568,279 | |||
JFE Holdings, Inc. (a) | 101,300 | 969,387 | |||
JSR Corp. | 43,400 | 1,208,113 | |||
Kajima Corp. | 98,500 | 1,318,485 | |||
Kakaku.com, Inc. | 33,100 | 907,288 | |||
Kansai Electric Power Co., Inc. | 159,100 | 1,500,467 | |||
Kansai Paint Co., Ltd. | 37,800 | 1,162,429 | |||
Kao Corp. | 107,300 | 8,283,026 | |||
KDDI Corp. | 360,200 | 10,696,626 | |||
Keihan Holdings Co., Ltd. | 23,800 | 1,139,920 | |||
Keikyu Corp. | 55,000 | 942,370 | |||
Keio Corp. | 22,700 | 1,758,923 | |||
Keisei Electric Railway Co., Ltd. | 26,300 | 889,021 | |||
Keyence Corp. | 40,900 | 22,976,415 | |||
Kikkoman Corp. | 33,200 | 2,305,623 | |||
Kintetsu Group Holdings Co., Ltd. | 38,900 | 1,703,017 | |||
Kirin Holdings Co., Ltd. | 187,100 | 4,410,881 | |||
Kobayashi Pharmaceutical Co., Ltd. | 11,200 | 1,367,931 | |||
Kobe Bussan Co., Ltd. | 26,600 | 819,294 | |||
Koei Tecmo Holdings Co., Ltd. | 10,400 | 634,607 | |||
Koito Manufacturing Co., Ltd. | 22,500 | 1,529,856 | |||
Komatsu, Ltd. | 193,500 | 5,280,510 | |||
Konami Holdings Corp. | 19,200 | 1,078,599 | |||
Kose Corp. | 7,100 | 1,210,325 | |||
Kubota Corp. | 237,100 | 5,169,375 | |||
Kuraray Co., Ltd. (b) | 75,800 | 805,391 | |||
Kurita Water Industries, Ltd. | 23,800 | 909,400 | |||
Kyocera Corp. | 72,700 | 4,454,455 | |||
Kyowa Kirin Co., Ltd. | 63,500 | 1,730,728 | |||
Kyushu Electric Power Co., Inc. | 74,100 | 637,327 | |||
Kyushu Railway Co. | 34,000 | 732,723 | |||
Lasertec Corp. | 17,600 | 2,064,371 | |||
Lawson, Inc. | 12,000 | 558,477 | |||
Lion Corp. (b) | 53,300 | 1,289,587 |
Security Description | Shares | Value | |||
Lixil Corp. | 58,000 | $ 1,254,995 | |||
M3, Inc. | 98,300 | 9,276,351 | |||
Makita Corp. | 51,600 | 2,583,873 | |||
Marubeni Corp. | 362,400 | 2,408,278 | |||
Marui Group Co., Ltd. | 48,700 | 854,709 | |||
Mazda Motor Corp. | 114,100 | 764,756 | |||
McDonald's Holdings Co. Japan, Ltd. (b) | 16,000 | 774,856 | |||
Medipal Holdings Corp. | 46,300 | 869,092 | |||
MEIJI Holdings Co., Ltd. | 24,800 | 1,743,891 | |||
Mercari, Inc. (a) | 16,900 | 748,874 | |||
MINEBEA MITSUMI, Inc. | 79,200 | 1,571,036 | |||
MISUMI Group, Inc. | 67,200 | 2,203,225 | |||
Mitsubishi Chemical Holdings Corp. | 282,700 | 1,709,151 | |||
Mitsubishi Corp. | 300,600 | 7,398,175 | |||
Mitsubishi Electric Corp. | 416,000 | 6,273,543 | |||
Mitsubishi Estate Co., Ltd. | 273,800 | 4,394,272 | |||
Mitsubishi Gas Chemical Co., Inc. | 35,900 | 823,741 | |||
Mitsubishi Heavy Industries, Ltd. | 73,400 | 2,243,696 | |||
Mitsubishi UFJ Financial Group, Inc. | 2,762,700 | 12,204,634 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 114,900 | 550,879 | |||
Mitsui & Co., Ltd. | 362,200 | 6,628,669 | |||
Mitsui Chemicals, Inc. | 41,300 | 1,210,059 | |||
Mitsui Fudosan Co., Ltd. | 211,900 | 4,430,105 | |||
Miura Co., Ltd. | 19,600 | 1,093,477 | |||
Mizuho Financial Group, Inc. | 541,740 | 6,860,623 | |||
MonotaRO Co., Ltd. | 28,600 | 1,454,308 | |||
MS&AD Insurance Group Holdings, Inc. | 98,800 | 3,005,771 | |||
Murata Manufacturing Co., Ltd. | 129,700 | 11,708,112 | |||
Nabtesco Corp. (b) | 24,800 | 1,085,728 | |||
Nagoya Railroad Co., Ltd. | 43,100 | 1,136,309 | |||
NEC Corp. | 56,000 | 3,004,891 | |||
Nexon Co., Ltd. | 112,900 | 3,477,379 | |||
NGK Insulators, Ltd. | 51,400 | 792,569 | |||
NGK Spark Plug Co., Ltd. | 36,100 | 616,440 | |||
NH Foods, Ltd. | 21,000 | 923,435 | |||
Nidec Corp. | 100,000 | 12,572,037 | |||
Nihon M&A Center, Inc. | 34,700 | 2,319,047 | |||
Nintendo Co., Ltd. | 25,300 | 16,131,522 | |||
Nippon Building Fund, Inc. REIT | 301 | 1,743,406 | |||
Nippon Express Co., Ltd. | 15,300 | 1,026,965 | |||
Nippon Paint Holdings Co., Ltd. | 33,000 | 3,621,386 | |||
Nippon Prologis REIT, Inc. | 499 | 1,556,279 | |||
Nippon Sanso Holdings Corp. | 34,900 | 647,667 | |||
Nippon Shinyaku Co., Ltd. | 11,200 | 734,408 | |||
Nippon Steel Corp. (a) | 181,200 | 2,330,705 | |||
Nippon Telegraph & Telephone Corp. | 289,300 | 7,412,883 |
Security Description | Shares | Value | |||
Nippon Yusen KK | 36,900 | $ 858,480 | |||
Nissan Chemical Corp. | 28,900 | 1,808,262 | |||
Nissan Motor Co., Ltd. (a) | 525,100 | 2,848,138 | |||
Nisshin Seifun Group, Inc. | 46,800 | 743,850 | |||
Nissin Foods Holdings Co., Ltd. | 15,300 | 1,310,010 | |||
Nitori Holdings Co., Ltd. | 18,500 | 3,873,989 | |||
Nitto Denko Corp. | 36,000 | 3,218,364 | |||
Nomura Holdings, Inc. | 709,300 | 3,744,186 | |||
Nomura Real Estate Holdings, Inc. | 31,100 | 687,697 | |||
Nomura Real Estate Master Fund, Inc. REIT | 889 | 1,270,923 | |||
Nomura Research Institute, Ltd. | 69,200 | 2,476,575 | |||
NSK, Ltd. | 92,100 | 799,279 | |||
NTT Data Corp. | 146,500 | 2,002,145 | |||
Obayashi Corp. | 143,500 | 1,237,009 | |||
Obic Co., Ltd. | 15,700 | 3,152,317 | |||
Odakyu Electric Railway Co., Ltd. | 69,600 | 2,184,164 | |||
Oji Holdings Corp. | 182,000 | 1,034,762 | |||
Olympus Corp. | 257,900 | 5,636,606 | |||
Omron Corp. | 41,800 | 3,724,732 | |||
Ono Pharmaceutical Co., Ltd. | 82,700 | 2,489,531 | |||
Oracle Corp. | 7,900 | 1,029,154 | |||
Oriental Land Co., Ltd. | 45,000 | 7,426,994 | |||
ORIX Corp. | 303,100 | 4,651,673 | |||
Orix JREIT, Inc. | 642 | 1,060,206 | |||
Osaka Gas Co., Ltd. | 85,000 | 1,738,777 | |||
Otsuka Corp. | 24,100 | 1,272,168 | |||
Otsuka Holdings Co., Ltd. | 88,200 | 3,774,203 | |||
Pan Pacific International Holdings Corp. | 88,400 | 2,044,643 | |||
Panasonic Corp. | 488,900 | 5,637,420 | |||
PeptiDream, Inc. (a) | 23,400 | 1,187,622 | |||
Persol Holdings Co., Ltd. | 41,200 | 742,634 | |||
Pigeon Corp. (b) | 25,300 | 1,042,680 | |||
Pola Orbis Holdings, Inc. (b) | 20,800 | 421,863 | |||
Rakuten, Inc. (a)(b) | 204,500 | 1,968,841 | |||
Recruit Holdings Co., Ltd. | 293,000 | 12,262,608 | |||
Renesas Electronics Corp. (a) | 167,600 | 1,751,566 | |||
Resona Holdings, Inc. | 468,000 | 1,633,660 | |||
Ricoh Co., Ltd. | 145,300 | 952,764 | |||
Rinnai Corp. | 7,700 | 893,467 | |||
Rohm Co., Ltd. | 20,500 | 1,983,583 | |||
Ryohin Keikaku Co., Ltd. | 51,300 | 1,045,925 | |||
Santen Pharmaceutical Co., Ltd. | 78,900 | 1,280,038 | |||
SBI Holdings, Inc. | 50,600 | 1,199,266 | |||
SCSK Corp. | 11,000 | 628,602 | |||
Secom Co., Ltd. | 46,700 | 4,304,750 | |||
Sega Sammy Holdings, Inc. | 45,300 | 713,866 | |||
Seibu Holdings, Inc. | 48,100 | 471,007 | |||
Seiko Epson Corp. | 56,900 | 843,759 | |||
Sekisui Chemical Co., Ltd. | 81,000 | 1,532,994 |
Security Description | Shares | Value | |||
Sekisui House, Ltd. | 144,400 | $ 2,937,091 | |||
Seven & i Holdings Co., Ltd. | 171,700 | 6,085,043 | |||
SG Holdings Co., Ltd. | 73,800 | 2,010,030 | |||
Sharp Corp. (b) | 55,600 | 842,253 | |||
Shimadzu Corp. | 50,100 | 1,945,867 | |||
Shimamura Co., Ltd. | 5,100 | 535,464 | |||
Shimano, Inc. | 16,900 | 3,942,433 | |||
Shimizu Corp. | 125,300 | 910,214 | |||
Shin-Etsu Chemical Co., Ltd. | 79,200 | 13,838,617 | |||
Shinsei Bank, Ltd. (b) | 42,700 | 525,659 | |||
Shionogi & Co., Ltd. | 61,000 | 3,329,314 | |||
Shiseido Co., Ltd. | 88,700 | 6,130,691 | |||
Shizuoka Bank, Ltd. | 103,100 | 754,938 | |||
SMC Corp. | 12,700 | 7,743,377 | |||
Softbank Corp. | 639,800 | 8,012,605 | |||
SoftBank Group Corp. | 352,200 | 27,488,281 | |||
Sohgo Security Services Co., Ltd. | 15,800 | 818,732 | |||
Sompo Holdings, Inc. | 74,600 | 3,015,214 | |||
Sony Corp. | 283,400 | 28,231,575 | |||
Square Enix Holdings Co., Ltd. | 22,500 | 1,364,231 | |||
Stanley Electric Co., Ltd. | 26,500 | 853,431 | |||
Subaru Corp. | 143,800 | 2,872,657 | |||
SUMCO Corp. | 64,500 | 1,413,759 | |||
Sumitomo Chemical Co., Ltd. | 364,100 | 1,463,524 | |||
Sumitomo Corp. | 273,200 | 3,613,295 | |||
Sumitomo Dainippon Pharma Co., Ltd. | 37,000 | 545,799 | |||
Sumitomo Electric Industries, Ltd. | 173,700 | 2,299,008 | |||
Sumitomo Metal Mining Co., Ltd. | 52,900 | 2,346,158 | |||
Sumitomo Mitsui Financial Group, Inc. | 291,000 | 8,985,500 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 74,900 | 2,304,783 | |||
Sumitomo Realty & Development Co., Ltd. | 66,500 | 2,048,879 | |||
Sundrug Co., Ltd. | 16,700 | 666,415 | |||
Suntory Beverage & Food, Ltd. | 29,500 | 1,042,908 | |||
Suzuken Co., Ltd. | 17,400 | 628,621 | |||
Suzuki Motor Corp. | 81,000 | 3,751,678 | |||
Sysmex Corp. | 38,500 | 4,623,953 | |||
T&D Holdings, Inc. | 119,000 | 1,402,712 | |||
Taiheiyo Cement Corp. | 29,800 | 744,387 | |||
Taisei Corp. | 44,200 | 1,521,924 | |||
Taisho Pharmaceutical Holdings Co., Ltd. | 8,100 | 545,256 | |||
Takeda Pharmaceutical Co., Ltd. | 352,717 | 12,828,247 | |||
TDK Corp. | 28,500 | 4,289,699 | |||
Teijin, Ltd. | 40,600 | 762,884 | |||
Terumo Corp. | 148,300 | 6,193,710 | |||
THK Co., Ltd. | 24,600 | 793,433 | |||
TIS, Inc. | 51,100 | 1,046,302 |
Security Description | Shares | Value | |||
Tobu Railway Co., Ltd. | 41,600 | $ 1,238,995 | |||
Toho Co., Ltd. | 23,800 | 1,002,760 | |||
Toho Gas Co., Ltd. | 17,900 | 1,184,145 | |||
Tohoku Electric Power Co., Inc. | 96,500 | 794,469 | |||
Tokio Marine Holdings, Inc. | 142,000 | 7,300,460 | |||
Tokyo Century Corp. | 9,800 | 776,444 | |||
Tokyo Electric Power Co. Holdings, Inc. (a) | 289,600 | 762,954 | |||
Tokyo Electron, Ltd. | 33,800 | 12,571,263 | |||
Tokyo Gas Co., Ltd. | 88,000 | 2,031,982 | |||
Tokyu Corp. | 110,800 | 1,374,738 | |||
Tokyu Fudosan Holdings Corp. | 158,700 | 845,416 | |||
Toppan Printing Co., Ltd. | 59,400 | 837,106 | |||
Toray Industries, Inc. | 303,500 | 1,795,808 | |||
Toshiba Corp. | 84,500 | 2,361,204 | |||
Tosoh Corp. | 54,900 | 855,046 | |||
TOTO, Ltd. | 32,800 | 1,969,684 | |||
Toyo Suisan Kaisha, Ltd. | 19,300 | 938,409 | |||
Toyoda Gosei Co., Ltd. | 16,800 | 487,346 | |||
Toyota Industries Corp. | 33,600 | 2,665,349 | |||
Toyota Motor Corp. | 477,100 | 36,769,671 | |||
Toyota Tsusho Corp. | 47,600 | 1,920,229 | |||
Trend Micro, Inc. (a)(b) | 31,700 | 1,823,798 | |||
Tsuruha Holdings, Inc. | 8,200 | 1,165,926 | |||
Unicharm Corp. | 89,700 | 4,250,205 | |||
United Urban Investment Corp. REIT | 602 | 744,009 | |||
USS Co., Ltd. | 53,400 | 1,078,913 | |||
Welcia Holdings Co., Ltd. | 21,000 | 792,242 | |||
West Japan Railway Co. | 37,200 | 1,945,303 | |||
Yakult Honsha Co., Ltd. | 29,300 | 1,475,713 | |||
Yamada Holdings Co., Ltd. | 160,900 | 854,019 | |||
Yamaha Corp. | 31,400 | 1,846,075 | |||
Yamaha Motor Co., Ltd. | 63,400 | 1,292,010 | |||
Yamato Holdings Co., Ltd. | 73,600 | 1,875,554 | |||
Yamazaki Baking Co., Ltd. (b) | 30,000 | 500,944 | |||
Yaskawa Electric Corp. | 55,100 | 2,737,789 | |||
Yokogawa Electric Corp. | 54,700 | 1,088,225 | |||
Z Holdings Corp. | 592,500 | 3,583,292 | |||
ZOZO, Inc. | 22,600 | 557,968 | |||
903,654,023 | |||||
LUXEMBOURG — 0.2% | |||||
ArcelorMittal SA (a) | 158,813 | 3,668,679 | |||
Eurofins Scientific SE (a) | 28,499 | 2,393,125 | |||
SES SA | 94,603 | 893,138 | |||
Tenaris SA | 94,688 | 767,427 | |||
7,722,369 | |||||
MACAU — 0.2% | |||||
Galaxy Entertainment Group, Ltd. | 475,000 | 3,690,908 | |||
Sands China, Ltd. | 553,200 | 2,429,304 | |||
SJM Holdings, Ltd. | 457,000 | 510,997 |
Security Description | Shares | Value | |||
Wynn Macau, Ltd. (a) | 316,800 | $ 531,960 | |||
7,163,169 | |||||
MEXICO — 0.0% (c) | |||||
Fresnillo PLC | 42,398 | 654,612 | |||
NETHERLANDS — 4.3% | |||||
ABN AMRO Bank NV (a)(d) | 90,661 | 889,645 | |||
Adyen NV (a)(d) | 4,050 | 9,439,993 | |||
Aegon NV | 410,480 | 1,624,755 | |||
Akzo Nobel NV | 42,537 | 4,572,774 | |||
Altice Europe NV (a) | 128,434 | 837,271 | |||
Argenx SE (a) | 10,057 | 2,977,868 | |||
ASML Holding NV | 95,250 | 46,331,721 | |||
EXOR NV | 25,598 | 2,074,039 | |||
Heineken Holding NV | 24,720 | 2,330,466 | |||
Heineken NV | 58,187 | 6,494,380 | |||
ING Groep NV (a) | 883,608 | 8,260,979 | |||
JDE Peet's NV (a) | 17,251 | 779,921 | |||
Just Eat Takeaway.com NV (a)(d) | 28,703 | 3,245,047 | |||
Koninklijke Ahold Delhaize NV | 248,657 | 7,031,085 | |||
Koninklijke DSM NV | 38,715 | 6,669,659 | |||
Koninklijke KPN NV | 826,431 | 2,514,804 | |||
Koninklijke Philips NV (a) | 202,382 | 10,841,000 | |||
Koninklijke Vopak NV | 17,144 | 901,781 | |||
NN Group NV | 65,730 | 2,857,462 | |||
Randstad NV (a) | 25,994 | 1,693,296 | |||
Royal Dutch Shell PLC Class A | 913,890 | 16,212,654 | |||
Royal Dutch Shell PLC Class B | 825,059 | 14,203,688 | |||
Wolters Kluwer NV | 59,994 | 5,069,394 | |||
157,853,682 | |||||
NEW ZEALAND — 0.4% | |||||
a2 Milk Co., Ltd. (a)(b) | 166,643 | 1,448,194 | |||
Auckland International Airport, Ltd. (a) | 272,054 | 1,484,762 | |||
Fisher & Paykel Healthcare Corp., Ltd. | 131,099 | 3,112,080 | |||
Mercury NZ, Ltd. | 166,846 | 784,443 | |||
Meridian Energy, Ltd. | 305,752 | 1,633,449 | |||
Ryman Healthcare, Ltd. | 94,456 | 1,033,046 | |||
Spark New Zealand, Ltd. | 418,418 | 1,415,927 | |||
Xero, Ltd. (a) | 27,944 | 3,165,879 | |||
14,077,780 | |||||
NORWAY — 0.5% | |||||
DNB ASA (a) | 217,000 | 4,257,909 | |||
Equinor ASA | 226,820 | 3,839,962 | |||
Gjensidige Forsikring ASA | 43,976 | 983,071 | |||
Mowi ASA | 96,866 | 2,160,887 | |||
Norsk Hydro ASA | 297,037 | 1,382,850 | |||
Orkla ASA | 173,932 | 1,767,364 | |||
Schibsted ASA Class A (a) | 17,399 | 744,369 | |||
Schibsted ASA Class B (a) | 24,544 | 916,750 |
Security Description | Shares | Value | |||
Telenor ASA | 155,677 | $ 2,652,816 | |||
18,705,978 | |||||
PORTUGAL — 0.2% | |||||
EDP - Energias de Portugal SA | 636,398 | 4,014,795 | |||
Galp Energia SGPS SA | 106,082 | 1,136,240 | |||
Jeronimo Martins SGPS SA | 58,599 | 990,877 | |||
6,141,912 | |||||
RUSSIA — 0.0% (c) | |||||
Evraz PLC | 129,609 | 835,529 | |||
SINGAPORE — 1.0% | |||||
Ascendas Real Estate Investment Trust | 747,915 | 1,686,367 | |||
CapitaLand Integrated Commercial Trust REIT | 950,091 | 1,552,753 | |||
CapitaLand, Ltd. | 615,482 | 1,527,470 | |||
City Developments, Ltd. | 96,600 | 582,531 | |||
DBS Group Holdings, Ltd. | 396,952 | 7,520,658 | |||
Genting Singapore, Ltd. | 1,319,900 | 848,875 | |||
Keppel Corp., Ltd. | 337,300 | 1,373,037 | |||
Mapletree Commercial Trust REIT | 493,800 | 795,819 | |||
Mapletree Logistics Trust REIT | 602,432 | 916,194 | |||
Oversea-Chinese Banking Corp., Ltd. | 744,149 | 5,664,237 | |||
Singapore Airlines, Ltd. (a) | 267,049 | 864,805 | |||
Singapore Exchange, Ltd. | 182,300 | 1,280,024 | |||
Singapore Technologies Engineering, Ltd. | 346,900 | 1,002,654 | |||
Singapore Telecommunications, Ltd. | 1,811,900 | 3,166,867 | |||
Suntec Real Estate Investment Trust | 349,400 | 393,906 | |||
United Overseas Bank, Ltd. | 268,090 | 4,582,267 | |||
UOL Group, Ltd. | 95,932 | 559,631 | |||
Venture Corp., Ltd. | 54,700 | 803,748 | |||
35,121,843 | |||||
SOUTH AFRICA — 0.2% | |||||
Anglo American PLC | 271,942 | 9,012,617 | |||
SPAIN — 2.4% | |||||
ACS Actividades de Construccion y Servicios SA | 57,032 | 1,894,568 | |||
Aena SME SA (a)(d) | 15,827 | 2,753,721 | |||
Amadeus IT Group SA | 100,117 | 7,295,990 | |||
Banco Bilbao Vizcaya Argentaria SA | 1,482,700 | 7,320,125 | |||
Banco Santander SA (a) | 3,877,982 | 12,042,568 | |||
CaixaBank SA | 787,847 | 2,025,301 | |||
Cellnex Telecom SA (d) | 72,479 | 4,356,044 | |||
Enagas SA | 57,883 | 1,272,330 | |||
Endesa SA (b) | 72,976 | 1,995,626 | |||
Ferrovial SA | 107,824 | 2,981,574 |
Security Description | Shares | Value | |||
Grifols SA | 66,280 | $ 1,936,594 | |||
Iberdrola SA | 1,353,201 | 19,371,795 | |||
Industria de Diseno Textil SA | 242,746 | 7,734,188 | |||
Naturgy Energy Group SA | 64,019 | 1,485,145 | |||
Red Electrica Corp. SA | 102,455 | 2,102,894 | |||
Repsol SA | 320,514 | 3,235,360 | |||
Siemens Gamesa Renewable Energy SA | 53,578 | 2,169,227 | |||
Telefonica SA (e) | 1,146,742 | 4,553,046 | |||
86,526,096 | |||||
SWEDEN — 3.1% | |||||
Alfa Laval AB (a) | 68,956 | 1,900,109 | |||
Assa Abloy AB Class B | 225,531 | 5,561,005 | |||
Atlas Copco AB Class A | 149,433 | 7,662,204 | |||
Atlas Copco AB Class B | 87,420 | 3,920,437 | |||
Boliden AB | 62,314 | 2,211,043 | |||
Electrolux AB Class B (b) | 48,614 | 1,132,692 | |||
Epiroc AB Class A | 154,026 | 2,806,679 | |||
Epiroc AB Class B | 81,797 | 1,384,440 | |||
EQT AB (b) | 50,827 | 1,302,154 | |||
Essity AB Class B | 138,577 | 4,463,122 | |||
Evolution Gaming Group AB (d) | 36,824 | 3,743,134 | |||
Fastighets AB Balder Class B (a) | 23,305 | 1,217,102 | |||
Hennes & Mauritz AB Class B (a) | 179,187 | 3,752,813 | |||
Hexagon AB Class B | 64,490 | 5,887,891 | |||
Husqvarna AB Class B | 101,271 | 1,313,278 | |||
ICA Gruppen AB | 22,934 | 1,147,461 | |||
Industrivarden AB Class A (a) | 24,590 | 821,009 | |||
Industrivarden AB Class C (a) | 35,307 | 1,141,425 | |||
Investment AB Latour Class B | 30,644 | 745,153 | |||
Investor AB Class B | 101,253 | 7,387,571 | |||
Kinnevik AB Class B | 54,272 | 2,745,800 | |||
L E Lundbergforetagen AB Class B (a) | 17,802 | 955,070 | |||
Lundin Energy AB | 41,757 | 1,130,292 | |||
Nibe Industrier AB Class B | 73,037 | 2,398,534 | |||
Sandvik AB (a) | 258,581 | 6,338,148 | |||
Securitas AB Class B | 64,085 | 1,035,888 | |||
Skandinaviska Enskilda Banken AB Class A (a) | 364,332 | 3,748,660 | |||
Skanska AB Class B | 74,574 | 1,904,179 | |||
SKF AB Class B | 84,434 | 2,193,986 | |||
Svenska Cellulosa AB SCA Class B (a) | 130,517 | 2,277,379 | |||
Svenska Handelsbanken AB Class A (a) | 346,035 | 3,480,343 | |||
Swedbank AB Class A (a) | 198,217 | 3,478,461 | |||
Swedish Match AB | 36,672 | 2,848,007 | |||
Tele2 AB Class B | 108,904 | 1,440,110 | |||
Telefonaktiebolaget LM Ericsson Class B | 662,795 | 7,880,050 | |||
Telia Co. AB | 528,084 | 2,183,698 |
Security Description | Shares | Value | |||
Volvo AB Class B (a) | 316,788 | $ 7,475,573 | |||
113,014,900 | |||||
SWITZERLAND — 9.6% | |||||
ABB, Ltd. | 411,826 | 11,512,213 | |||
Adecco Group AG | 33,927 | 2,270,628 | |||
Alcon, Inc. (a) | 109,281 | 7,274,273 | |||
Baloise Holding AG | 10,882 | 1,938,928 | |||
Banque Cantonale Vaudoise | 5,917 | 644,615 | |||
Barry Callebaut AG | 655 | 1,559,047 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 223 | 2,177,148 | |||
Chocoladefabriken Lindt & Spruengli AG (e) | 23 | 2,300,130 | |||
Cie Financiere Richemont SA | 117,843 | 10,675,793 | |||
Clariant AG | 44,228 | 941,649 | |||
Coca-Cola HBC AG | 42,572 | 1,383,266 | |||
Credit Suisse Group AG | 557,509 | 7,190,002 | |||
EMS-Chemie Holding AG | 1,955 | 1,886,549 | |||
Geberit AG | 8,492 | 5,324,132 | |||
Givaudan SA | 2,057 | 8,679,914 | |||
Julius Baer Group, Ltd. | 50,226 | 2,897,818 | |||
Kuehne + Nagel International AG | 12,486 | 2,836,347 | |||
LafargeHolcim, Ltd. | 120,168 | 6,609,614 | |||
Logitech International SA | 36,336 | 3,531,862 | |||
Lonza Group AG | 16,629 | 10,700,351 | |||
Nestle SA | 648,972 | 76,544,851 | |||
Novartis AG | 499,696 | 47,287,257 | |||
Partners Group Holding AG | 4,167 | 4,902,630 | |||
Roche Holding AG | 158,180 | 55,294,553 | |||
Schindler Holding AG (e) | 9,092 | 2,454,156 | |||
Schindler Holding AG (e) | 4,748 | 1,280,529 | |||
SGS SA | 1,377 | 4,159,274 | |||
Sika AG | 31,586 | 8,640,189 | |||
Sonova Holding AG (a) | 11,929 | 3,103,875 | |||
STMicroelectronics NV | 145,889 | 5,405,055 | |||
Straumann Holding AG | 2,396 | 2,795,943 | |||
Swatch Group AG (e) | 6,518 | 1,780,753 | |||
Swatch Group AG (e) | 9,932 | 525,392 | |||
Swiss Life Holding AG | 6,808 | 3,176,219 | |||
Swiss Prime Site AG | 16,514 | 1,623,470 | |||
Swiss Re AG | 64,994 | 6,127,722 | |||
Swisscom AG | 5,823 | 3,142,885 | |||
Temenos AG | 15,104 | 2,112,800 | |||
UBS Group AG | 819,425 | 11,559,737 | |||
Vifor Pharma AG | 10,512 | 1,652,998 | |||
Zurich Insurance Group AG | 34,237 | 14,466,338 | |||
350,370,905 | |||||
UNITED KINGDOM — 11.6% | |||||
3i Group PLC | 212,705 | 3,366,966 | |||
Admiral Group PLC | 40,919 | 1,625,448 | |||
Ashtead Group PLC | 102,427 | 4,813,631 | |||
Associated British Foods PLC (a) | 80,678 | 2,496,801 | |||
AstraZeneca PLC | 294,972 | 29,531,231 |
Security Description | Shares | Value | |||
Auto Trader Group PLC (d) | 214,211 | $ 1,745,181 | |||
AVEVA Group PLC | 28,129 | 1,231,198 | |||
Aviva PLC | 861,837 | 3,831,141 | |||
BAE Systems PLC | 728,819 | 4,869,712 | |||
Barclays PLC (a) | 3,900,883 | 7,821,432 | |||
Barratt Developments PLC (a) | 226,275 | 2,072,353 | |||
Berkeley Group Holdings PLC | 27,613 | 1,789,895 | |||
BP PLC | 4,514,650 | 15,724,467 | |||
British American Tobacco PLC | 514,699 | 19,052,607 | |||
British Land Co. PLC REIT | 181,839 | 1,215,481 | |||
BT Group PLC | 2,007,643 | 3,629,398 | |||
Bunzl PLC | 78,023 | 2,605,545 | |||
Burberry Group PLC (a) | 89,298 | 2,184,368 | |||
CK Hutchison Holdings, Ltd. | 603,500 | 4,210,728 | |||
CNH Industrial NV (a) | 225,330 | 2,846,628 | |||
Coca-Cola European Partners PLC (e) | 19,400 | 966,702 | |||
Coca-Cola European Partners PLC (e) | 24,266 | 1,171,297 | |||
Compass Group PLC | 401,181 | 7,474,612 | |||
Croda International PLC | 29,832 | 2,689,772 | |||
DCC PLC | 23,359 | 1,653,365 | |||
Diageo PLC | 524,608 | 20,638,500 | |||
Direct Line Insurance Group PLC | 313,441 | 1,366,781 | |||
Entain PLC (a) | 134,435 | 2,082,986 | |||
Experian PLC | 203,939 | 7,741,562 | |||
Fiat Chrysler Automobiles NV (a) | 248,964 | 4,465,727 | |||
GlaxoSmithKline PLC | 1,125,994 | 20,655,752 | |||
Halma PLC | 85,146 | 2,850,398 | |||
Hargreaves Lansdown PLC | 78,544 | 1,637,326 | |||
Hikma Pharmaceuticals PLC | 37,237 | 1,281,689 | |||
HSBC Holdings PLC (a) | 4,574,037 | 23,687,509 | |||
Imperial Brands PLC | 215,288 | 4,518,789 | |||
Informa PLC (a) | 324,059 | 2,431,918 | |||
InterContinental Hotels Group PLC (a) | 39,391 | 2,525,354 | |||
Intertek Group PLC | 35,767 | 2,761,402 | |||
J Sainsbury PLC | 366,395 | 1,129,402 | |||
JD Sports Fashion PLC (a) | 107,276 | 1,261,111 | |||
Johnson Matthey PLC | 41,585 | 1,378,481 | |||
Kingfisher PLC (a) | 485,075 | 1,792,949 | |||
Land Securities Group PLC REIT | 147,078 | 1,354,663 | |||
Legal & General Group PLC | 1,355,182 | 4,931,262 | |||
Lloyds Banking Group PLC (a) | 15,661,042 | 7,801,021 | |||
London Stock Exchange Group PLC | 70,467 | 8,676,940 | |||
M&G PLC | 546,615 | 1,479,073 | |||
Melrose Industries PLC (a) | 1,075,500 | 2,617,609 | |||
Mondi PLC | 112,066 | 2,634,077 | |||
National Grid PLC | 784,991 | 9,281,821 |
Security Description | Shares | Value | |||
Natwest Group PLC (a) | 1,072,932 | $ 2,458,828 | |||
Next PLC (a) | 29,174 | 2,825,853 | |||
Ocado Group PLC (a) | 107,997 | 3,376,216 | |||
Pearson PLC | 177,276 | 1,648,795 | |||
Persimmon PLC | 73,993 | 2,798,673 | |||
Phoenix Group Holdings PLC | 126,470 | 1,211,184 | |||
Prudential PLC | 589,595 | 10,856,099 | |||
Reckitt Benckiser Group PLC | 158,331 | 14,158,881 | |||
RELX PLC (e) | 318,236 | 7,797,599 | |||
RELX PLC (e) | 117,823 | 2,887,571 | |||
Rentokil Initial PLC (a) | 407,362 | 2,837,673 | |||
Rolls-Royce Holdings PLC (a) | 1,934,729 | 2,942,203 | |||
RSA Insurance Group PLC | 226,162 | 2,094,196 | |||
Sage Group PLC | 253,546 | 2,017,122 | |||
Schroders PLC | 29,656 | 1,352,761 | |||
Segro PLC REIT | 270,316 | 3,501,460 | |||
Severn Trent PLC | 55,915 | 1,749,551 | |||
Smith & Nephew PLC | 199,036 | 4,108,289 | |||
Smiths Group PLC | 90,381 | 1,858,753 | |||
Spirax-Sarco Engineering PLC | 16,478 | 2,544,153 | |||
SSE PLC | 233,444 | 4,786,592 | |||
St James's Place PLC | 124,600 | 1,930,599 | |||
Standard Chartered PLC (a) | 600,229 | 3,822,629 | |||
Standard Life Aberdeen PLC | 508,523 | 1,955,387 | |||
Taylor Wimpey PLC (a) | 844,503 | 1,913,983 | |||
Tesco PLC | 2,199,052 | 6,955,867 | |||
Unilever PLC (e) | 271,383 | 16,292,863 | |||
Unilever PLC (e) | 312,266 | 18,937,450 | |||
United Utilities Group PLC | 148,328 | 1,814,674 | |||
Vodafone Group PLC | 5,952,015 | 9,839,803 | |||
Whitbread PLC (a) | 46,813 | 1,983,721 | |||
Wm Morrison Supermarkets PLC | 495,781 | 1,201,914 | |||
WPP PLC | 277,941 | 3,039,450 | |||
423,104,853 | |||||
UNITED STATES — 0.3% | |||||
CyberArk Software, Ltd. (a) | 8,100 | 1,308,879 | |||
Ferguson PLC | 49,842 | 6,052,802 | |||
James Hardie Industries PLC CDI (a) | 96,301 | 2,840,154 | |||
QIAGEN NV (a) | 52,113 | 2,706,733 | |||
12,908,568 | |||||
TOTAL COMMON STOCKS (Cost $2,784,632,528) | 3,554,721,543 |
RIGHTS — 0.0% (c) | |||
SPAIN — 0.0% (c) | |||
Repsol SA (expiring 1/26/21) (a) (Cost: $121,536) | 346,285 | 118,932 |
Security Description | Shares | Value | ||||
WARRANTS — 0.0% (c) | ||||||
SWITZERLAND — 0.0% (c) | ||||||
Cie Financiere Richemont SA (expiring 11/22/23) (a) (Cost: $0) | 240,970 | $ 62,699 | ||||
SHORT-TERM INVESTMENTS — 2.5% | ||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.10% (f) (g) | 66,248,210 | 66,261,459 | ||||
State Street Navigator Securities Lending Portfolio II (h) (i) | 23,014,357 | 23,014,357 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $89,275,816) | 89,275,816 | |||||
TOTAL INVESTMENTS — 99.7% (Cost $2,874,029,880) | 3,644,178,990 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 11,643,385 | |||||
NET ASSETS — 100.0% | $ 3,655,822,375 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 1.9% of net assets as of December 31, 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 December 31, 2020 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2020. |
(h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2020 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
CDI | CREST Depository Interest |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 913 | 03/19/2021 | $95,465,100 | $97,271,020 | $1,805,920 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,554,721,543 | $— | $— | $3,554,721,543 | ||||
Rights | 118,932 | — | — | 118,932 | ||||
Warrants | 62,699 | — | — | 62,699 | ||||
Short-Term Investments | 89,275,816 | — | — | 89,275,816 | ||||
TOTAL INVESTMENTS | $3,644,178,990 | $— | $— | $3,644,178,990 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 1,805,920 | — | — | 1,805,920 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,805,920 | $— | $— | $ 1,805,920 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $3,645,984,910 | $— | $— | $3,645,984,910 |
% of Net Assets | ||
Financials | 15.8% | |
Industrials | 14.8 | |
Health Care | 12.5 | |
Consumer Discretionary | 12.2 | |
Consumer Staples | 10.6 | |
Information Technology | 8.7 | |
Materials | 7.7 | |
Communication Services | 5.1 | |
Utilities | 3.8 | |
Energy | 3.0 | |
Real Estate | 3.0 | |
Short-Term Investments | 2.5 | |
Other Assets in Excess of Liabilities | 0.3 | |
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 12/31/20 | Value at 12/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 18,248,665 | $18,250,489 | $ 727,803,042 | $ 679,792,351 | $887 | $(608) | 66,248,210 | $66,261,459 | $204,104 | ||||||||
State Street Navigator Securities Lending Portfolio II | 18,362,622 | 18,362,622 | 352,080,170 | 347,428,435 | — | — | 23,014,357 | 23,014,357 | 329,165 | ||||||||
Total | $ 36,613,111 | $1,079,883,212 | $1,027,220,786 | $887 | $(608) | $89,275,816 | $533,269 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $3,554,903,174 |
Investments in affiliated issuers, at value | 89,275,816 |
Total Investments | 3,644,178,990 |
Foreign currency, at value | 1,908,632 |
Net cash at broker | 6,324,317 |
Receivable from broker — accumulated variation margin on futures contracts | 1,808,245 |
Receivable for investments sold | 11,415,214 |
Dividends receivable — unaffiliated issuers | 2,814,741 |
Interest receivable - unaffiliated issuers | 5,270 |
Securities lending income receivable — unaffiliated issuers | 5,717 |
Securities lending income receivable — affiliated issuers | 13,938 |
Receivable for foreign taxes recoverable | 10,976,209 |
Prepaid expenses and other assets | 456 |
TOTAL ASSETS | 3,679,451,729 |
LIABILITIES | |
Due to custodian | 34,290 |
Payable upon return of securities loaned | 23,014,357 |
Advisory fee payable | 427,106 |
Custodian fees payable | 90,554 |
Trustees’ fees and expenses payable | 851 |
Professional fees payable | 49,568 |
Printing and postage fees payable | 689 |
Accrued expenses and other liabilities | 11,939 |
TOTAL LIABILITIES | 23,629,354 |
NET ASSETS | $3,655,822,375 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,784,754,064 |
Investments in affiliated issuers | 89,275,816 |
Total cost of investments | $2,874,029,880 |
Foreign currency, at cost | $ 1,888,754 |
* Includes investments in securities on loan, at value | $ 40,236,786 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 91,212,358 |
Dividend income — affiliated issuers | 204,104 |
Unaffiliated securities lending income | 153,557 |
Affiliated securities lending income | 329,165 |
Foreign taxes withheld | (7,700,594) |
TOTAL INVESTMENT INCOME (LOSS) | 84,198,590 |
EXPENSES | |
Advisory fee | 3,715,533 |
Administration fees | 422,219 |
Custodian fees | 490,968 |
Trustees’ fees and expenses | 58,710 |
Professional fees and expenses | 58,825 |
Printing and postage fees | 2,344 |
Insurance expense | 9,030 |
Miscellaneous expenses | 64,708 |
TOTAL EXPENSES | 4,822,337 |
NET INVESTMENT INCOME (LOSS) | $ 79,376,253 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (122,074,721) |
Investments — affiliated issuers | 887 |
Foreign currency transactions | 1,663,879 |
Futures contracts | 13,005,766 |
Net realized gain (loss) | (107,404,189) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 277,497,153 |
Investments — affiliated issuers | (608) |
Foreign currency translations | 690,069 |
Futures contracts | 674,032 |
Net change in unrealized appreciation/depreciation | 278,860,646 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 171,456,457 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 250,832,710 |
Year Ended 12/31/20 | Year Ended 12/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 79,376,253 | $ 104,047,058 | |
Net realized gain (loss) | (107,404,189) | (14,404,816) | |
Net change in unrealized appreciation/depreciation | 278,860,646 | 559,062,853 | |
Net increase (decrease) in net assets resulting from operations | 250,832,710 | 648,705,095 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 768,794,916 | 566,042,704 | |
Withdrawals | (1,090,211,334) | (297,852,001) | |
Net increase (decrease) in net assets from capital transactions | (321,416,418) | 268,190,703 | |
Net increase (decrease) in net assets during the period | (70,583,708) | 916,895,798 | |
Net assets at beginning of period | 3,726,406,083 | 2,809,510,285 | |
NET ASSETS AT END OF PERIOD | $ 3,655,822,375 | $3,726,406,083 |
Year Ended 12/31/20 | 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) | 7.96% | 22.11% | (13.83)% | 25.25% | 1.00% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,655,822 | $3,726,406 | $2,809,510 | $2,855,669 | $1,981,065 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.14% | 0.15% | 0.15% | 0.14% | 0.15%(b) | ||||
Net investment income (loss) | 2.35% | 3.17% | 2.96% | 2.80% | 2.57%(b) | ||||
Portfolio turnover rate | 8% | 3% | 14% | 4% | 1%(c) |
* | Commencement of operations. |
(a) | Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results. |
(b) | Annualized. |
(c) | Not annualized. |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $1,808,245 | $— | $1,808,245 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
Futures Contracts | $— | $— | $— | $13,005,766 | $— | $13,005,766 |
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 | $— | $— | $— | $674,032 | $— | $674,032 |
Purchases | Sales | ||
State Street International Developed Equity Index Portfolio | $260,779,987 | $544,904,998 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Developed Equity Index Portfolio | $2,949,940,040 | $931,237,092 | $235,192,222 | $696,044,870 |
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Developed Equity Index Portfolio | $ 40,236,786 | $ 23,014,357 | $ 19,402,120 | $ 42,416,477 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 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 | $23,014,357 | $— | $— | $— | $23,014,357 | $23,014,357 |
February 26, 2021
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street International Developed Equity Index Portfolio | 0.14% | $1,212.70 | $0.78 | $1,024.40 | $0.71 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2019 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 65 | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 – 1995 and 2001–2007) and Trustee Emeritus (2007 – present); Trustee and Independent Chairperson of GE Funds (1993 –February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 - 2017) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None. | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 47 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 65 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | 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). | 65 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | 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 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Fund Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011-July 2017). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $639,882 and $674,279, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $269,028 and $270,795, respectively.
(d) | All Other Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $7,019,005 and $6,939,666, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $36,534,447 and $35,152,927, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this 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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | March 8, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: �� | March 8, 2021 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | March 8, 2021 |